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 811-21475
RBC Funds Trust
(Exact name of registrant as specified in charter)
50 South Sixth Street, Suite 2350
Minneapolis, MN 55402
(Address of principal executive offices) (Zip code)
Lee Thoresen, Esq.
RBC Plaza
60 South Sixth Street
Minneapolis, MN 55402
(Name and address of agent for service)
Registrant’s telephone number, including area code: (612)-313-1341
Date of fiscal year end: September 30
Date of reporting period: September 30, 2015
Item 1. Reports to Stockholders.
The Report to Shareholders is attached herewith.
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RBC Funds | ||||||||||
About Your Annual Report |
This annual report includes detailed information about the Access Capital Community Investment Fund (the” Fund”) including financial statements, performance, and a complete list of holdings.
The Fund compares its performance against the Barclays U.S. Securitized Index and the Barclays U.S. Aggregate Bond Index which are widely used market indices.
We hope the financial information presented will help you evaluate your investment in the Fund. We also encourage you to read the Fund’s prospectus for further detail as to the Fund’s investment policies and risk profile. Fund prospectuses and performance information subsequent to the date of this report are available on our website at www.rbcgam.us.
A description of the policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities is available (i) without charge, upon request, by calling 1-800-422-2766; (ii) on the Fund’s website at www.rbcgam.us; and (iii) on the Securities and Exchange Commission’s (the “Commission”) website at http://www.sec.gov.
Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12 month period ended June 30 is available (i) on the Fund’s website at www.rbcgam.us; and (ii) on the Commission’s website at http://www.sec.gov.
A schedule of the Fund’s portfolio holdings will be filed with the Commission for the first and third quarters of each fiscal year on Form N-Q. This information is available on the Commission’s website at http://www.sec.gov and may be reviewed and copied at the Commission’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room is available by calling 1-202-551-8090.
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Contents | ||||||||||
Letter from the Chief Investment Officer | 1 | |||||||||
Portfolio Managers | 4 | |||||||||
Performance Summary (Unaudited) | 5 | |||||||||
Management Discussion and Analysis (Unaudited) | 6 | |||||||||
Schedule of Portfolio Investments | 9 | |||||||||
Financial Statements | ||||||||||
- Statement of Assets and Liabilities | 28 | |||||||||
- Statement of Operations | 30 | |||||||||
- Statements of Changes in Net Assets | 31 | |||||||||
- Statement of Cash Flows | 32 | |||||||||
Financial Highlights | 34 | |||||||||
Notes to Financial Statements | 36 | |||||||||
Report of Independent Registered Public Accounting Firm | 47 | |||||||||
Other Federal Income Tax Information (Unaudited) | 48 | |||||||||
Management (Unaudited) | 49 | |||||||||
Share Class Information (Unaudited) | 52 | |||||||||
Supplemental Information (Unaudited) | 53 | |||||||||
Approval of Investment Advisory Agreement (Unaudited) | 54 | |||||||||
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1 |
LETTER FROM THE CHIEF INVESTMENT OFFICER | ||||||
On the impact side, the Fund continued to fulfill its community development mission. Since inception the Fund has supported:
13,235 Low- to moderate-income home buyers
39,006 Affordable rental units
5,294 Nursing home facility beds
27 Rural housing
88 Rural Enterprise
383 SBA loans
74 Community Economic development
14 Community-based not-for-profit organizations.
With increased market attention on impact investing strategies, we remain committed to our double-bottom line mission. Thank you for your continued confidence and trust in the Access Capital Community Investment Fund.
Sincerely,
Michael Lee, CFA CEO, President and Chief Investment Officer RBC Global Asset Management (U.S.) Inc.
Past performance is not a guarantee of future results.
Fund holdings and sector allocations are subject to change at any time and should not be considered recommendations to buy or sell any security. Please refer to the Schedule of Investments in this report for a complete list of fund holdings. The information provided herein represents the opinions of the Fund Managers and is not intended to be a forecast of future results, nor investment advice.
Investment in the Fund involves risks including, but not limited to: the effects of leveraging the Fund’s portfolio; concentration in the affordable housing market and related mortgage backed securities; competition for investments; interest rate risk; and use of derivatives.
Bond investments are subject to interest rate risk such that when interest rates rise, the prices of the bonds, and thus the value of the bond fund, can decline and the investor can lose principal value. In general, the risk of price fluctuation increases with the length of the bond’s maturity.
Effective duration is a calculation for bonds with embedded options. Effective duration takes into account that expected cash flows will fluctuate as interest rates change. | ||||||
2 |
LETTER FROM THE CHIEF INVESTMENT OFFICER
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The Barclays U.S. Securitized Index is an unmanaged index that tracks the performance of mortgage-backed pass-through securities issued by Ginnie Mae, Fannie Mae, and Freddie Mac, investment-grade bonds and asset-backed securities. One cannot invest directly in an Index. | ||||||||||||
3 |
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RBC Global Asset Management (U.S.) Inc. (“RBC GAM (US)”) serves as the investment advisor to the Access Capital Community Investment Fund. RBC GAM (US) employs a team approach to the management of the Access Capital Community Investment Fund, with no individual team member being solely responsible for the investment decisions. The Fund’s management team has access to RBC GAM (US)’s investment research and other money management resources.
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Brian Svendahl, CFA
| Brian Svendahl, CFA Managing Director, Co-Head, U.S. Fixed Income Brian Svendahl oversees the fixed income research, portfolio management and trading at RBC GAM (US). In addition to shaping the firm’s overall fixed income philosophy and process, he is a portfolio manager for its community investment strategy, including the Access Capital Community Investment Fund, and many of RBC GAM (US)’s government mandates. Brian joined RBC GAM (US) in 2005 and most recently led the mortgage and government team before being promoted to Co-Head. Prior to joining RBC GAM (US), he held several risk management, research and trading positions at Wells Fargo. Brian’s experience also includes liability management and implementing balance sheet hedging strategies. He earned a BS in economics from the University of Minnesota and a BBA in finance and an MBA from the University of Minnesota Carlson School of Management. Brian is a CFA charterholder.
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Scott Kirby | Scott Kirby Vice President, Senior Portfolio Manager Scott Kirby is a member of the government and mortgage research team in RBC GAM (US)’s fixed income group and serves as co-portfolio manager for the firm’s community investment strategy, including the Access Capital Community Investment Fund. Scott joined RBC GAM (US) in 2012 and most recently served as manager of investments of a broad-based asset portfolio for a large foundation, supporting its mission to reduce poverty. Previously he led the structured assets investment team of Ameriprise Financial/Riversource Investments, where he served as senior portfolio manager for more than $20 billion in agency and non-agency mortgage-backed, commercial mortgage-backed and asset-backed securities. He earned a BS in finance and an MBA in finance from the University of Minnesota Carlson School of Management. | |||||
4 |
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Average Annual Total Returns as of September 30, 2015 (Unaudited)
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Access Capital Community Investment Fund
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1 Year | 3 Year | 5 Year | 10 Year | Since Inception | Net Expense Ratio(1) | Gross Expense Ratio(2) | ||||||||||||||||||||||||||||
Class A (a) | ||||||||||||||||||||||||||||||||||
- Including Maximum Sales | ||||||||||||||||||||||||||||||||||
Charge of 3.75% | (1.15)% | 0.03% | 1.67% | 3.44% | 4.08% | |||||||||||||||||||||||||||||
- At Net Asset Value | 2.69% | 1.31% | 2.45% | 3.84% | 4.31% | 1.00% | 1.06% | |||||||||||||||||||||||||||
Class I (b) | ||||||||||||||||||||||||||||||||||
- At Net Asset Value | 2.95% | 1.65% | 2.75% | 4.07% | 4.61% | 0.63% | 0.63% | |||||||||||||||||||||||||||
Barclays U.S. Securitized Index (c) | 3.43% | 1.99% | 3.11% | 4.65% | 5.21% | |||||||||||||||||||||||||||||
Barclays U.S. Aggregate Bond Index (c)
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| 2.94%
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| 1.71%
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| 3.10%
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| 4.64%
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| 5.23%
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Performance data quoted represents past performance. Past performance is no guarantee of future results. Investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than performance quoted. For performance data current to most recent month-end go to www.rbcgam.us.
The Barclays U.S. Securitized Index is an unmanaged index that tracks the performance of mortgage-backed pass-through securities issued by Ginnie Mae, Fannie Mae, and Freddie Mac, investment-grade bonds and asset-backed securities.
The Barclays U.S. Aggregate Bond Index is an unmanaged index that tracks the performance of a representative list of government, corporate, asset-backed and mortgage-backed securities.
(a) The inception date for Class A shares of the Fund is January 29, 2009. All performance shown for such class of shares prior to its inception date is based on the performance of the Class I shares of the Fund, adjusted to reflect the fees and expenses of Class A shares, as applicable.
(b) Class I commenced operations on July 28, 2008. The performance in the table reflects the performance of Access Capital Strategies Community Investment Fund, Inc., the predecessor to the Fund. From its inception, June 23, 1998, until May 30, 2006, the predecessor fund elected status as a business development company. From May 31, 2006 until July 27, 2008, the predecessor fund operated as a continuously offered closed-end interval management company. If the predecessor fund had operated as an open-end management company, performance may have been adversely affected. Fund performance reflects applicable fee waivers/expense reimbursements which, if excluded, would cause performance to be lower.
(c) You cannot invest directly into the index.
(1) The Fund’s expenses reflect the most recent year end (September 30, 2015).
(2) The advisor has contractually agreed to waive fees and/or make payments in order to maintain other expenses (excluding interest expense, management fees and distribution/service (12b-1) fees) at 0.20% of the Fund’s average daily net assets until January 31, 2017. |
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5 |
6 |
MANAGEMENT DISCUSSION AND ANALYSIS (UNAUDITED)
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Access Capital Community Investment Fund
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Current income and capital appreciation
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Benchmark | |||||||||||
Barclays U.S. Securitized Index
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Barclays U.S. Aggregate Bond Index
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| Asset Allocation (as of 9/30/15) (% of fund’s investments) | |||||||||||
Fannie Mae Pool #AK2386, |
2.37% |
Fannie Mae Pool #465537, |
1.48% | Top Ten Holdings (excluding investment companies) (as of 9/30/15) (% of fund’s net assets) | ||||||||
Fannie Mae Pool #AS5114, | 1.92% | Ginnie Mae Series 2012-58, | 1.45% | |||||||||
Fannie Mae Pool #AS4908, | 1.92% | Fannie Mae Pool #466934, | 1.18% | |||||||||
Fannie Mae Pool #AS4737, | 1.92% | Ginnie Mae Series 2015-70, | 1.16% | |||||||||
Ginnie Mae Series 2014-172, | 1.74% | Ginnie Mae Series 2012-33, | 1.12% | |||||||||
* A listing of all portfolio holdings can be found beginning on page 9.
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7 |
MANAGEMENT DISCUSSION AND ANALYSIS (UNAUDITED)
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Access Capital Community Investment Fund | ||||||
Growth of $10,000 Initial Investment Over 10 Years |
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The graph reflects an initial investment of $10,000 over a 10 year period and is based on Class I shares. The Fund’s total return includes reinvested dividends and capital gains. The Fund’s total return also includes operating expenses that reduce return, while the total return of the index does not. The graph does not reflect the deduction of taxes that a shareholder would pay on fund distributions or redemption of fund shares. Performance of other classes will vary due to differences in fee structures. | ||||||
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8 |
SCHEDULE OF PORTFOLIO INVESTMENTS
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Access Capital Community Investment Fund
September 30, 2015
Principal Amount | Value | |||||
Municipal Bonds — 3.65% |
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California — 0.20% |
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$ 65,000 | California Rural Home Mortgage Finance Authority Revenue, Series C, 5.40%, 8/1/35, (Credit Support: Ginnie Mae, Fannie Mae, Freddie Mac), Callable 2/1/17 @ 104 | $ | 68,045 | |||
975,000 | California Statewide Communities Development Authority Revenue, Series B, 5.25%, 10/20/42, (Credit Support: Ginnie Mae), Callable 10/20/17 @ 102 | 996,733 | ||||
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1,064,778 | ||||||
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Delaware — 0.38% |
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670,000 | Delaware State Housing Authority Revenue, Series A, 5.05%, 7/1/23, (Credit Support: Ginnie Mae, Fannie Mae, Freddie Mac), Callable 1/1/18 @ 100 | 671,930 | ||||
765,000 | Delaware State Housing Authority Revenue, Series A, 5.25%, 7/1/28, (Credit Support: Ginnie Mae, Fannie Mae, Freddie Mac), Callable 1/1/18 @ 100 | 787,185 | ||||
560,000 | Delaware State Housing Authority Revenue, Series A, 5.35%, 7/1/31, (Credit Support: Ginnie Mae, Fannie Mae, Freddie Mac), Callable 1/1/18 @ 100 | 574,554 | ||||
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2,033,669 | ||||||
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Illinois — 0.05% |
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260,000 | City of Chicago Multi Family Revenue, Mercy Preservation Project, 4.55%, 8/1/26, (Credit Support: Freddie Mac), Callable 8/1/20 @ 100 | 279,354 | ||||
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Massachusetts — 0.40% |
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545,000 | Massachusetts Housing Finance Agency Revenue, Series 170, 1.51%, 12/1/17 | 546,450 | ||||
250,000 | Massachusetts Housing Finance Agency Revenue, Series 170, 2.21%, 6/1/18 | 251,645 | ||||
330,000 | Massachusetts Housing Finance Agency Revenue, Series 170, 2.31%, 12/1/18 | 332,254 | ||||
160,000 | Massachusetts Housing Finance Agency Revenue, Series 170, 2.51%, 6/1/19 | 163,744 | ||||
575,000 | Massachusetts Housing Finance Agency Revenue, Series 170, 2.61%, 12/1/19 | 587,201 | ||||
205,000 | Massachusetts Housing Finance Agency Revenue, Series 170, 3.09%, 6/1/20 | 209,766 | ||||
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2,091,060 | ||||||
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Mississippi — 0.02% |
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100,000 | Mississippi Home Corp. Multi Family Revenue OID, 5.35%, 8/20/48, (Credit Support: Ginnie Mae, FHA), Callable 9/1/18 @ 105 | 104,367 | ||||
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Missouri — 0.86% |
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4,469,034 | Missouri Housing Development Commission, Series 1, 3.75%, 3/1/42, (Credit Support: FHA), Callable 3/1/25 @ 100 | 4,539,153 | ||||
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9 |
SCHEDULE OF PORTFOLIO INVESTMENTS
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Access Capital Community Investment Fund (cont.)
September 30, 2015
Principal Amount | Value | |||||
New York — 1.68% |
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$ 750,000 | New York City Housing Development Corp. Revenue, 1.54%, 2/1/17 | $ | 755,723 | |||
500,000 | New York City Housing Development Corp. Revenue, 1.73%, 8/1/17 | 506,040 | ||||
750,000 | New York City Housing Development Corp. Revenue, 1.94%, 2/1/18 | 758,655 | ||||
700,000 | New York State Housing Finance Agency Revenue, 4.50%, 11/15/27, (Credit Support: Fannie Mae), Callable 11/15/16 @ 100 | 708,617 | ||||
1,000,000 | New York State Housing Finance Agency Revenue, Series A, 4.65%, 11/15/38, (Credit Support: Fannie Mae), Callable 11/15/16 @ 100 | 1,005,940 | ||||
1,335,000 | New York State Mortgage Agency Revenue, Series 184, 1.59%, 4/1/18 | 1,353,276 | ||||
1,335,000 | New York State Mortgage Agency Revenue, Series 184, 1.85%, 10/1/18 | 1,349,431 | ||||
1,335,000 | New York State Mortgage Agency Revenue, Series 184, 2.10%, 4/1/19 | 1,366,386 | ||||
1,140,000 | New York State Mortgage Agency Revenue, Series 187, 1.59%, 4/1/18 | 1,144,343 | ||||
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8,948,411 | ||||||
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Vermont — 0.06% |
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160,000 | Vermont Housing Finance Agency Revenue, Series C, 1.20%, 8/15/16 | 160,768 | ||||
165,000 | Vermont Housing Finance Agency Revenue, Series C, 1.95%, 8/15/17 | 167,628 | ||||
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328,396 | ||||||
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Total Municipal Bonds | 19,389,188 | |||||
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(Cost $18,971,679) | ||||||
U.S. Government Agency Backed Mortgages — 107.70% |
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Fannie Mae — 68.13% |
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47,763 | Pool #257612, 5.00%, 5/1/38 | 53,959 | ||||
174,996 | Pool #257613, 5.50%, 6/1/38 | 192,830 | ||||
167,677 | Pool #257631, 6.00%, 7/1/38 | 194,553 | ||||
53,482 | Pool #257632, 5.50%, 7/1/38 | 60,844 | ||||
73,392 | Pool #257656, 6.00%, 8/1/38 | 84,411 | ||||
130,073 | Pool #257663, 5.50%, 8/1/38 | 146,596 | ||||
114,564 | Pool #257857, 6.00%, 12/1/37 | 131,454 | ||||
65,059 | Pool #257869, 5.50%, 12/1/37 | 73,842 | ||||
116,576 | Pool #257890, 5.50%, 2/1/38 | 131,367 | ||||
122,300 | Pool #257892, 5.50%, 2/1/38 | 138,543 | ||||
44,404 | Pool #257897, 5.50%, 2/1/38 | 50,510 | ||||
46,045 | Pool #257898, 6.00%, 2/1/38 | 53,797 | ||||
51,189 | Pool #257902, 6.00%, 2/1/38 | 59,812 | ||||
136,117 | Pool #257903, 5.50%, 2/1/38 | 152,493 | ||||
81,334 | Pool #257913, 5.50%, 1/1/38 | 92,111 |
10 |
SCHEDULE OF PORTFOLIO INVESTMENTS
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Access Capital Community Investment Fund (cont.)
September 30, 2015
Principal Amount | Value | |||||
$ 72,443 | Pool #257926, 5.50%, 3/1/38 | $ | 82,415 | |||
97,438 | Pool #257943, 6.00%, 4/1/38 | 113,123 | ||||
78,490 | Pool #257995, 6.00%, 7/1/38 | 91,109 | ||||
65,301 | Pool #258022, 5.50%, 5/1/34 | 74,666 | ||||
87,451 | Pool #258027, 5.00%, 5/1/34 | 96,970 | ||||
102,718 | Pool #258030, 5.00%, 5/1/34 | 113,897 | ||||
145,141 | Pool #258070, 5.00%, 6/1/34 | 161,271 | ||||
43,597 | Pool #258121, 5.50%, 6/1/34 | 49,646 | ||||
142,132 | Pool #258152, 5.50%, 8/1/34 | 161,497 | ||||
174,550 | Pool #258157, 5.00%, 8/1/34 | 194,221 | ||||
71,432 | Pool #258163, 5.50%, 8/1/34 | 81,232 | ||||
122,277 | Pool #258166, 5.50%, 9/1/34 | 137,447 | ||||
76,848 | Pool #258171, 5.50%, 10/1/34 | 87,319 | ||||
143,157 | Pool #258180, 5.00%, 10/1/34 | 158,686 | ||||
42,495 | Pool #258222, 5.00%, 11/1/34 | 47,583 | ||||
107,286 | Pool #258224, 5.50%, 12/1/34 | 120,596 | ||||
207,658 | Pool #258238, 5.00%, 1/1/35 | 230,184 | ||||
98,196 | Pool #258251, 5.50%, 1/1/35 | 111,130 | ||||
111,817 | Pool #258258, 5.00%, 1/1/35 | 123,946 | ||||
118,141 | Pool #258305, 5.00%, 3/1/35 | 131,418 | ||||
100,341 | Pool #258336, 5.00%, 4/1/35 | 112,354 | ||||
66,310 | Pool #258340, 5.00%, 3/1/35 | 74,249 | ||||
21,413 | Pool #258393, 5.00%, 5/1/35 | 23,980 | ||||
68,438 | Pool #258394, 5.00%, 5/1/35 | 76,643 | ||||
257,923 | Pool #258395, 5.50%, 6/1/35 | 289,881 | ||||
65,465 | Pool #258403, 5.00%, 6/1/35 | 73,313 | ||||
88,145 | Pool #258404, 5.00%, 6/1/35 | 98,285 | ||||
51,320 | Pool #258410, 5.00%, 4/1/35 | 57,472 | ||||
54,290 | Pool #258411, 5.50%, 5/1/35 | 61,823 | ||||
120,688 | Pool #258448, 5.00%, 8/1/35 | 133,780 | ||||
207,952 | Pool #258450, 5.50%, 8/1/35 | 234,596 | ||||
98,232 | Pool #258456, 5.00%, 8/1/35 | 109,318 | ||||
69,432 | Pool #258479, 5.50%, 7/1/35 | 78,512 | ||||
88,573 | Pool #258552, 5.00%, 11/1/35 | 99,109 | ||||
384,981 | Pool #258571, 5.50%, 11/1/35 | 432,622 | ||||
95,272 | Pool #258600, 6.00%, 1/1/36 | 110,876 | ||||
370,923 | Pool #258627, 5.50%, 2/1/36 | 416,477 | ||||
109,951 | Pool #258634, 5.50%, 2/1/36 | 123,763 | ||||
59,070 | Pool #258658, 5.50%, 3/1/36 | 67,118 | ||||
56,996 | Pool #258737, 5.50%, 12/1/35 | 64,762 | ||||
81,191 | Pool #258763, 6.00%, 5/1/36 | 94,845 | ||||
46,742 | Pool #259004, 8.00%, 2/1/30 | 57,161 | ||||
52,299 | Pool #259030, 8.00%, 4/1/30 | 63,074 | ||||
49,516 | Pool #259181, 6.50%, 3/1/31 | 58,259 | ||||
16,254 | Pool #259187, 6.50%, 4/1/31 | 18,425 | ||||
78,451 | Pool #259190, 6.50%, 4/1/31 | 92,309 | ||||
38,378 | Pool #259306, 6.50%, 9/1/31 | 45,299 | ||||
89,313 | Pool #259316, 6.50%, 11/1/31 | 105,070 |
11 |
SCHEDULE OF PORTFOLIO INVESTMENTS
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Access Capital Community Investment Fund (cont.)
September 30, 2015
Principal Amount | Value | |||||
$ 33,935 | Pool #259378, 6.00%, 12/1/31 | $ | 39,860 | |||
37,933 | Pool #259393, 6.00%, 1/1/32 | 44,656 | ||||
47,302 | Pool #259590, 5.50%, 11/1/32 | 53,909 | ||||
194,314 | Pool #259611, 5.50%, 11/1/32 | 218,116 | ||||
57,418 | Pool #259634, 5.50%, 12/1/32 | 64,102 | ||||
65,386 | Pool #259655, 5.50%, 2/1/33 | 74,554 | ||||
152,126 | Pool #259659, 5.50%, 2/1/33 | 171,210 | ||||
36,333 | Pool #259671, 5.50%, 2/1/33 | 41,427 | ||||
88,671 | Pool #259686, 5.50%, 3/1/33 | 99,752 | ||||
42,804 | Pool #259722, 5.00%, 5/1/33 | 47,552 | ||||
54,260 | Pool #259724, 5.00%, 5/1/33 | 60,395 | ||||
137,600 | Pool #259725, 5.00%, 5/1/33 | 152,543 | ||||
68,269 | Pool #259726, 5.00%, 5/1/33 | 75,796 | ||||
117,194 | Pool #259729, 5.00%, 6/1/33 | 129,867 | ||||
68,272 | Pool #259761, 5.00%, 6/1/33 | 75,769 | ||||
123,663 | Pool #259764, 5.00%, 7/1/33 | 136,764 | ||||
129,064 | Pool #259777, 5.00%, 7/1/33 | 142,801 | ||||
90,701 | Pool #259781, 5.00%, 7/1/33 | 100,519 | ||||
55,128 | Pool #259789, 5.00%, 7/1/33 | 61,362 | ||||
101,077 | Pool #259807, 5.00%, 8/1/33 | 111,974 | ||||
139,809 | Pool #259816, 5.00%, 8/1/33 | 154,656 | ||||
30,571 | Pool #259819, 5.00%, 8/1/33 | 34,025 | ||||
56,402 | Pool #259830, 5.00%, 8/1/33 | 62,627 | ||||
37,362 | Pool #259848, 5.00%, 9/1/33 | 41,587 | ||||
78,952 | Pool #259867, 5.50%, 10/1/33 | 89,436 | ||||
92,850 | Pool #259869, 5.50%, 10/1/33 | 103,659 | ||||
121,346 | Pool #259875, 5.50%, 10/1/33 | 136,861 | ||||
76,113 | Pool #259876, 5.50%, 10/1/33 | 86,212 | ||||
43,949 | Pool #259879, 5.50%, 10/1/33 | 50,198 | ||||
195,129 | Pool #259930, 5.00%, 11/1/33 | 215,199 | ||||
41,915 | Pool #259961, 5.50%, 3/1/34 | 47,912 | ||||
115,580 | Pool #259976, 5.00%, 3/1/34 | 128,091 | ||||
41,881 | Pool #259998, 5.00%, 3/1/34 | 46,621 | ||||
7,172,542 | Pool #465537, 4.20%, 7/1/20 | 7,864,070 | ||||
702,986 | Pool #465946, 3.61%, 9/1/20 | 756,208 | ||||
5,731,605 | Pool #466934, 4.10%, 1/1/21 | 6,278,086 | ||||
3,270,270 | Pool #467882, 4.24%, 6/1/21 | 3,611,173 | ||||
2,356,649 | Pool #468104, 3.93%, 5/1/18 | 2,505,942 | ||||
284,772 | Pool #469101, 3.75%, 2/1/27 | 307,028 | ||||
814,810 | Pool #469239, 2.69%, 10/1/18 | 844,535 | ||||
452,588 | Pool #470439, 2.91%, 5/1/22 | 472,165 | ||||
3,259,981 | Pool #470561, 2.94%, 2/1/22 | 3,409,764 | ||||
945,395 | Pool #471478, 2.61%, 8/1/22 | 970,778 | ||||
3,474,537 | Pool #471948, 2.86%, 7/1/22 | 3,615,714 | ||||
208,714 | Pool #557295, 7.00%, 12/1/29 | 243,577 | ||||
31,054 | Pool #575886, 7.50%, 1/1/31 | 37,451 | ||||
78,222 | Pool #576445, 6.00%, 1/1/31 | 91,012 | ||||
112,404 | Pool #579402, 6.50%, 4/1/31 | 132,650 |
12 |
SCHEDULE OF PORTFOLIO INVESTMENTS
|
Access Capital Community Investment Fund (cont.)
September 30, 2015
Principal Amount | Value | |||||
$ 150,560 | Pool #583728, 6.50%, 6/1/31 | $ | 177,397 | |||
75,752 | Pool #585148, 6.50%, 7/1/31 | 89,173 | ||||
38,326 | Pool #590931, 6.50%, 7/1/31 | 45,175 | ||||
66,307 | Pool #590932, 6.50%, 7/1/31 | 77,569 | ||||
89,489 | Pool #601865, 6.50%, 4/1/31 | 101,606 | ||||
133,417 | Pool #601868, 6.00%, 7/1/29 | 155,279 | ||||
90,038 | Pool #607611, 6.50%, 11/1/31 | 106,635 | ||||
212,149 | Pool #634271, 6.50%, 5/1/32 | 249,987 | ||||
20,199 | Pool #640146, 5.00%, 12/1/17 | 20,916 | ||||
46,652 | Pool #644232, 6.50%, 6/1/32 | 55,215 | ||||
28,546 | Pool #644432, 6.50%, 7/1/32 | 33,659 | ||||
46,814 | Pool #644437, 6.50%, 6/1/32 | 55,416 | ||||
2,611,913 | Pool #663159, 5.00%, 7/1/32(a) | 2,888,510 | ||||
171,366 | Pool #670278, 5.50%, 11/1/32 | 195,102 | ||||
46,562 | Pool #676702, 5.50%, 11/1/32 | 52,773 | ||||
56,971 | Pool #677591, 5.50%, 12/1/32 | 64,114 | ||||
195,897 | Pool #681883, 6.00%, 3/1/33 | 227,495 | ||||
51,904 | Pool #683087, 5.00%, 1/1/18 | 53,883 | ||||
35,217 | Pool #684644, 4.50%, 6/1/18 | 36,528 | ||||
259,200 | Pool #686542, 5.50%, 3/1/33 | 289,372 | ||||
251,629 | Pool #695961, 5.50%, 1/1/33 | 282,445 | ||||
323,600 | Pool #696407, 5.50%, 4/1/33 | 365,376 | ||||
664,794 | Pool #702478, 5.50%, 6/1/33 | 745,640 | ||||
138,235 | Pool #702479, 5.00%, 6/1/33 | 152,930 | ||||
75,642 | Pool #703210, 5.50%, 9/1/32 | 84,731 | ||||
339,566 | Pool #720025, 5.00%, 8/1/33 | 375,995 | ||||
276,853 | Pool #723066, 5.00%, 4/1/33 | 306,304 | ||||
277,440 | Pool #723067, 5.50%, 5/1/33 | 310,837 | ||||
301,755 | Pool #723070, 4.50%, 5/1/33 | 330,000 | ||||
322,068 | Pool #727311, 4.50%, 9/1/33 | 351,621 | ||||
707,951 | Pool #727312, 5.00%, 9/1/33 | 783,050 | ||||
243,467 | Pool #727315, 6.00%, 10/1/33 | 284,046 | ||||
209,585 | Pool #738589, 5.00%, 9/1/33 | 232,211 | ||||
113,486 | Pool #739269, 5.00%, 9/1/33 | 125,625 | ||||
178,396 | Pool #743595, 5.50%, 10/1/33 | 200,412 | ||||
181,733 | Pool #748041, 4.50%, 10/1/33 | 197,936 | ||||
196,465 | Pool #749891, 5.00%, 9/1/33 | 217,709 | ||||
203,427 | Pool #749897, 4.50%, 9/1/33 | 222,068 | ||||
40,910 | Pool #750984, 5.00%, 12/1/18 | 43,093 | ||||
128,079 | Pool #751008, 5.00%, 12/1/18 | 134,227 | ||||
266,249 | Pool #753533, 5.00%, 11/1/33 | 293,861 | ||||
94,924 | Pool #755679, 6.00%, 1/1/34 | 111,616 | ||||
111,978 | Pool #755745, 5.00%, 1/1/34 | 124,074 | ||||
101,338 | Pool #755746, 5.50%, 12/1/33 | 115,574 | ||||
44,830 | Pool #763551, 5.50%, 3/1/34 | 51,244 | ||||
318,117 | Pool #763820, 5.50%, 1/1/34 | 357,770 | ||||
107,698 | Pool #763824, 5.00%, 3/1/34 | 119,365 | ||||
104,173 | Pool #765216, 5.00%, 1/1/19 | 109,732 |
13 |
SCHEDULE OF PORTFOLIO INVESTMENTS
|
Access Capital Community Investment Fund (cont.)
September 30, 2015
Principal Amount | Value | |||||
$ 24,351 | Pool #765217, 4.50%, 1/1/19 | $ | 25,365 | |||
52,860 | Pool #765306, 5.00%, 2/1/19 | 55,446 | ||||
12,376 | Pool #773096, 4.50%, 3/1/19 | 12,910 | ||||
174,359 | Pool #773175, 5.00%, 5/1/34 | 192,807 | ||||
170,455 | Pool #773476, 5.50%, 7/1/19 | 180,640 | ||||
84,814 | Pool #773547, 5.00%, 5/1/34 | 93,611 | ||||
369,279 | Pool #773568, 5.50%, 5/1/34 | 414,288 | ||||
169,867 | Pool #776850, 5.50%, 11/1/34 | 190,915 | ||||
50,222 | Pool #776851, 6.00%, 10/1/34 | 59,237 | ||||
63,857 | Pool #777444, 5.50%, 5/1/34 | 72,975 | ||||
1,501,667 | Pool #777621, 5.00%, 2/1/34(a) | 1,664,139 | ||||
143,661 | Pool #781437, 6.00%, 8/1/34 | 165,817 | ||||
90,434 | Pool #781741, 6.00%, 9/1/34 | 105,676 | ||||
159,242 | Pool #781907, 5.00%, 2/1/21 | 170,283 | ||||
152,490 | Pool #781954, 5.00%, 6/1/34 | 169,031 | ||||
201,228 | Pool #781959, 5.50%, 6/1/34 | 226,162 | ||||
274,912 | Pool #781960, 5.50%, 6/1/34 | 308,653 | ||||
294,035 | Pool #783893, 5.50%, 12/1/34 | 331,708 | ||||
186,843 | Pool #783929, 5.50%, 10/1/34 | 210,782 | ||||
51,875 | Pool #788329, 6.50%, 8/1/34 | 59,037 | ||||
63,784 | Pool #790282, 6.00%, 7/1/34 | 75,113 | ||||
174,542 | Pool #797623, 5.00%, 7/1/35 | 193,476 | ||||
153,900 | Pool #797626, 5.50%, 7/1/35 | 172,969 | ||||
132,589 | Pool #797627, 5.00%, 7/1/35 | 146,972 | ||||
125,227 | Pool #797674, 5.50%, 9/1/35 | 141,115 | ||||
485,855 | Pool #798725, 5.50%, 11/1/34 | 546,056 | ||||
162,572 | Pool #799547, 5.50%, 9/1/34 | 183,833 | ||||
113,464 | Pool #799548, 6.00%, 9/1/34 | 132,624 | ||||
1,123,837 | Pool #806754, 4.50%, 9/1/34(a) | 1,226,958 | ||||
357,197 | Pool #806757, 6.00%, 9/1/34 | 412,767 | ||||
828,003 | Pool #806761, 5.50%, 9/1/34(a) | 930,727 | ||||
78,956 | Pool #808185, 5.50%, 3/1/35 | 89,072 | ||||
125,551 | Pool #808205, 5.00%, 1/1/35 | 139,171 | ||||
57,066 | Pool #813942, 5.00%, 11/1/20 | 60,798 | ||||
296,100 | Pool #815009, 5.00%, 4/1/35 | 328,220 | ||||
367,708 | Pool #817641, 5.00%, 11/1/35 | 409,837 | ||||
131,993 | Pool #820334, 5.00%, 9/1/35 | 146,188 | ||||
353,841 | Pool #820335, 5.00%, 9/1/35 | 392,224 | ||||
194,685 | Pool #820336, 5.00%, 9/1/35 | 216,991 | ||||
426,633 | Pool #822008, 5.00%, 5/1/35 | 472,912 | ||||
800,114 | Pool #829005, 5.00%, 8/1/35 | 886,908 | ||||
197,326 | Pool #829006, 5.50%, 9/1/35 | 221,776 | ||||
337,458 | Pool #829275, 5.00%, 8/1/35 | 374,065 | ||||
171,923 | Pool #829276, 5.00%, 8/1/35 | 190,572 | ||||
127,873 | Pool #829277, 5.00%, 8/1/35 | 141,745 | ||||
474,352 | Pool #829649, 5.50%, 3/1/35 | 533,127 | ||||
420,648 | Pool #844361, 5.50%, 11/1/35 | 472,242 | ||||
175,916 | Pool #845245, 5.50%, 11/1/35 | 200,104 |
14 |
SCHEDULE OF PORTFOLIO INVESTMENTS
|
Access Capital Community Investment Fund (cont.)
September 30, 2015
Principal Amount | Value | |||||
$ 63,223 | Pool #866969, 6.00%, 2/1/36 | $ | 74,290 | |||
170,013 | Pool #867569, 6.00%, 2/1/36 | 195,263 | ||||
176,935 | Pool #867574, 5.50%, 2/1/36 | 199,826 | ||||
151,164 | Pool #868788, 6.00%, 3/1/36 | 176,382 | ||||
209,284 | Pool #870599, 6.00%, 6/1/36 | 241,743 | ||||
162,441 | Pool #870684, 6.00%, 7/1/36 | 185,857 | ||||
357,254 | Pool #871072, 5.50%, 2/1/37 | 399,566 | ||||
2,986,537 | Pool #874900, 5.45%, 10/1/17 | 3,229,349 | ||||
189,139 | Pool #884693, 5.50%, 4/1/36 | 213,609 | ||||
837,554 | Pool #885724, 5.50%, 6/1/36 | 938,714 | ||||
82,958 | Pool #908671, 6.00%, 1/1/37 | 96,565 | ||||
180,142 | Pool #908672, 5.50%, 1/1/37 | 201,478 | ||||
500,652 | Pool #911730, 5.50%, 12/1/21 | 546,281 | ||||
80,540 | Pool #919368, 5.50%, 4/1/37 | 91,299 | ||||
389,044 | Pool #922582, 6.00%, 12/1/36 | 445,447 | ||||
1,033,747 | Pool #934941, 5.00%, 8/1/39 | 1,141,685 | ||||
318,633 | Pool #934942, 5.00%, 9/1/39 | 355,089 | ||||
288,336 | Pool #941204, 5.50%, 6/1/37 | 324,153 | ||||
65,519 | Pool #943394, 5.50%, 6/1/37 | 74,416 | ||||
464,019 | Pool #944502, 6.00%, 6/1/37 | 530,673 | ||||
364,826 | Pool #948600, 6.00%, 8/1/37 | 416,497 | ||||
162,504 | Pool #948672, 5.50%, 8/1/37 | 181,674 | ||||
452,996 | Pool #952598, 6.00%, 7/1/37 | 519,523 | ||||
234,801 | Pool #952623, 6.00%, 8/1/37 | 269,473 | ||||
116,800 | Pool #952632, 6.00%, 7/1/37 | 134,563 | ||||
135,841 | Pool #952665, 6.00%, 8/1/37 | 155,590 | ||||
384,329 | Pool #952678, 6.50%, 8/1/37 | 447,015 | ||||
105,042 | Pool #952693, 6.50%, 8/1/37 | 121,778 | ||||
2,424,390 | Pool #957324, 5.43%, 5/1/18 | 2,661,839 | ||||
364,537 | Pool #958502, 5.07%, 5/1/19 | 405,467 | ||||
113,682 | Pool #960919, 5.00%, 2/1/38 | 126,760 | ||||
244,640 | Pool #975769, 5.50%, 3/1/38 | 274,112 | ||||
83,662 | Pool #982898, 5.00%, 5/1/38 | 93,261 | ||||
152,763 | Pool #983033, 5.00%, 5/1/38 | 168,761 | ||||
151,984 | Pool #984842, 5.50%, 6/1/38 | 170,293 | ||||
80,028 | Pool #986230, 5.00%, 7/1/38 | 89,210 | ||||
378,151 | Pool #986239, 6.00%, 7/1/38 | 432,734 | ||||
328,893 | Pool #986957, 5.50%, 7/1/38 | 368,515 | ||||
79,140 | Pool #990510, 5.50%, 8/1/38 | 89,836 | ||||
370,355 | Pool #990511, 6.00%, 8/1/38 | 422,336 | ||||
178,408 | Pool #990617, 5.50%, 9/1/38 | 199,956 | ||||
392,606 | Pool #AA0526, 5.00%, 12/1/38 | 433,722 | ||||
530,420 | Pool #AA0527, 5.50%, 12/1/38 | 597,882 | ||||
245,376 | Pool #AA0644, 4.50%, 3/1/39 | 267,508 | ||||
460,257 | Pool #AA0645, 4.50%, 3/1/39 | 504,287 | ||||
159,393 | Pool #AA2243, 4.50%, 5/1/39 | 176,211 | ||||
524,947 | Pool #AA3142, 4.50%, 3/1/39 | 572,787 | ||||
113,044 | Pool #AA3143, 4.00%, 3/1/39 | 121,805 |
15 |
SCHEDULE OF PORTFOLIO INVESTMENTS
|
Access Capital Community Investment Fund (cont.)
September 30, 2015
Principal Amount | Value | |||||
$ 536,842 | Pool #AA3206, 4.00%, 4/1/39 | $ | 575,511 | |||
541,367 | Pool #AA3207, 4.50%, 3/1/39 | 588,334 | ||||
175,922 | Pool #AA4468, 4.00%, 4/1/39 | 188,594 | ||||
636,321 | Pool #AA7042, 4.50%, 6/1/39 | 691,925 | ||||
424,206 | Pool #AA7658, 4.00%, 6/1/39 | 454,762 | ||||
356,111 | Pool #AA7659, 4.50%, 6/1/39 | 390,178 | ||||
274,363 | Pool #AA7741, 4.50%, 6/1/24 | 292,551 | ||||
345,079 | Pool #AA8455, 4.50%, 6/1/39 | 378,091 | ||||
4,001,931 | Pool #AB7798, 3.00%, 1/1/43 | 4,066,337 | ||||
4,153,728 | Pool #AB9203, 3.00%, 4/1/43 | 4,219,279 | ||||
2,091,495 | Pool #AB9204, 3.00%, 4/1/43 | 2,124,501 | ||||
1,316,307 | Pool #AB9831, 3.00%, 6/1/43 | 1,337,903 | ||||
903,640 | Pool #AC1463, 5.00%, 8/1/39 | 1,007,030 | ||||
114,653 | Pool #AC1464, 5.00%, 8/1/39 | 127,753 | ||||
1,147,339 | Pool #AC2109, 4.50%, 7/1/39(a) | 1,247,239 | ||||
292,239 | Pool #AC4394, 5.00%, 9/1/39 | 325,676 | ||||
660,096 | Pool #AC4395, 5.00%, 9/1/39 | 735,827 | ||||
464,938 | Pool #AC5328, 5.00%, 10/1/39 | 518,133 | ||||
385,793 | Pool #AC5329, 5.00%, 10/1/39 | 426,919 | ||||
312,721 | Pool #AC6304, 5.00%, 11/1/39 | 344,592 | ||||
358,606 | Pool #AC6305, 5.00%, 11/1/39 | 399,748 | ||||
499,482 | Pool #AC6307, 5.00%, 12/1/39 | 551,478 | ||||
595,094 | Pool #AC6790, 5.00%, 12/1/39 | 663,367 | ||||
2,559,016 | Pool #AC7199, 5.00%, 12/1/39(a) | 2,831,411 | ||||
1,373,747 | Pool #AD1470, 5.00%, 2/1/40 | 1,527,274 | ||||
2,180,558 | Pool #AD1471, 4.50%, 2/1/40(a) | 2,392,226 | ||||
507,388 | Pool #AD1560, 5.00%, 3/1/40 | 562,111 | ||||
1,781,650 | Pool #AD1585, 4.50%, 2/1/40(a) | 1,954,595 | ||||
389,774 | Pool #AD1586, 5.00%, 1/1/40 | 434,735 | ||||
669,567 | Pool #AD1638, 4.50%, 2/1/40 | 728,076 | ||||
529,777 | Pool #AD1640, 4.50%, 3/1/40 | 576,236 | ||||
2,019,409 | Pool #AD1942, 4.50%, 1/1/40(a) | 2,216,065 | ||||
776,881 | Pool #AD1943, 5.00%, 1/1/40 | 864,311 | ||||
2,029,911 | Pool #AD1988, 4.50%, 2/1/40(a) | 2,226,955 | ||||
413,558 | Pool #AD2896, 5.00%, 3/1/40 | 461,004 | ||||
1,070,745 | Pool #AD4456, 4.50%, 4/1/40(a) | 1,167,990 | ||||
154,214 | Pool #AD4457, 4.50%, 4/1/40 | 168,798 | ||||
979,400 | Pool #AD4458, 4.50%, 4/1/40 | 1,064,983 | ||||
611,316 | Pool #AD4940, 4.50%, 6/1/40 | 670,752 | ||||
425,457 | Pool #AD4946, 4.50%, 6/1/40 | 466,822 | ||||
626,351 | Pool #AD5728, 5.00%, 4/1/40 | 698,210 | ||||
755,864 | Pool #AD7239, 4.50%, 7/1/40 | 829,354 | ||||
286,911 | Pool #AD7242, 4.50%, 7/1/40 | 314,224 | ||||
431,093 | Pool #AD7256, 4.50%, 7/1/40 | 473,815 | ||||
1,203,442 | Pool #AD7271, 4.50%, 7/1/40(a) | 1,308,602 | ||||
480,648 | Pool #AD7272, 4.50%, 7/1/40 | 527,380 | ||||
862,853 | Pool #AD8960, 5.00%, 6/1/40 | 956,183 | ||||
504,753 | Pool #AD9613, 4.50%, 8/1/40 | 550,989 |
16 |
SCHEDULE OF PORTFOLIO INVESTMENTS
|
Access Capital Community Investment Fund (cont.)
September 30, 2015
Principal Amount | Value | |||||
$1,691,679 | Pool #AD9614, 4.50%, 8/1/40(a) | $ | 1,839,502 | |||
489,535 | Pool #AE2011, 4.00%, 9/1/40 | 524,873 | ||||
2,018,755 | Pool #AE2012, 4.00%, 9/1/40(a) | 2,162,907 | ||||
989,250 | Pool #AE2023, 4.00%, 9/1/40(a) | 1,059,888 | ||||
1,067,492 | Pool #AE5432, 4.00%, 10/1/40(a) | 1,143,050 | ||||
555,830 | Pool #AE5435, 4.50%, 9/1/40 | 604,400 | ||||
386,029 | Pool #AE5806, 4.50%, 9/1/40 | 423,561 | ||||
972,653 | Pool #AE5861, 4.00%, 10/1/40 | 1,041,498 | ||||
569,177 | Pool #AE5862, 4.00%, 10/1/40 | 609,641 | ||||
525,963 | Pool #AE5863, 4.00%, 10/1/40 | 563,191 | ||||
717,109 | Pool #AE6850, 4.00%, 10/1/40 | 767,867 | ||||
461,073 | Pool #AE6851, 4.00%, 10/1/40 | 493,708 | ||||
637,236 | Pool #AE7699, 4.00%, 11/1/40 | 682,340 | ||||
575,926 | Pool #AE7703, 4.00%, 10/1/40 | 621,011 | ||||
1,462,040 | Pool #AE7707, 4.00%, 11/1/40(a) | 1,565,524 | ||||
753,876 | Pool #AH0300, 4.00%, 11/1/40 | 807,236 | ||||
1,097,265 | Pool #AH0301, 3.50%, 11/1/40 | 1,148,056 | ||||
521,069 | Pool #AH0302, 4.00%, 11/1/40 | 557,951 | ||||
753,850 | Pool #AH0306, 4.00%, 12/1/40 | 811,331 | ||||
725,991 | Pool #AH0508, 4.00%, 11/1/40 | 777,377 | ||||
1,217,420 | Pool #AH0537, 4.00%, 12/1/40 | 1,305,302 | ||||
1,186,050 | Pool #AH0914, 4.50%, 11/1/40(a) | 1,289,691 | ||||
862,557 | Pool #AH0917, 4.00%, 12/1/40 | 923,610 | ||||
915,727 | Pool #AH1077, 4.00%, 1/1/41 | 988,698 | ||||
1,237,643 | Pool #AH2973, 4.00%, 12/1/40 | 1,325,244 | ||||
1,080,922 | Pool #AH2980, 4.00%, 1/1/41(a) | 1,157,431 | ||||
1,256,803 | Pool #AH5656, 4.00%, 1/1/41(a) | 1,347,529 | ||||
707,072 | Pool #AH5657, 4.00%, 2/1/41 | 757,120 | ||||
1,025,589 | Pool #AH5658, 4.00%, 2/1/41 | 1,098,182 | ||||
722,934 | Pool #AH5662, 4.00%, 2/1/41 | 778,284 | ||||
1,167,184 | Pool #AH5882, 4.00%, 2/1/26 | 1,245,696 | ||||
928,408 | Pool #AH6764, 4.00%, 3/1/41 | 993,252 | ||||
2,571,025 | Pool #AH6768, 4.00%, 3/1/41(a) | 2,750,595 | ||||
716,015 | Pool #AH7277, 4.00%, 3/1/41 | 768,710 | ||||
1,328,158 | Pool #AH7281, 4.00%, 3/1/41 | 1,422,582 | ||||
648,123 | Pool #AH7526, 4.50%, 3/1/41 | 708,099 | ||||
1,728,634 | Pool #AH7537, 4.00%, 3/1/41(a) | 1,849,368 | ||||
791,476 | Pool #AH8878, 4.50%, 4/1/41 | 861,132 | ||||
771,861 | Pool #AH8885, 4.50%, 4/1/41 | 839,791 | ||||
898,636 | Pool #AH9050, 3.50%, 2/1/26 | 950,694 | ||||
597,207 | Pool #AI0114, 4.00%, 3/1/41 | 639,665 | ||||
1,412,595 | Pool #AI1846, 4.50%, 5/1/41(a) | 1,536,914 | ||||
1,006,099 | Pool #AI1847, 4.50%, 5/1/41 | 1,094,644 | ||||
1,891,763 | Pool #AI1848, 4.50%, 5/1/41(a) | 2,058,253 | ||||
1,076,946 | Pool #AI1849, 4.50%, 5/1/41 | 1,183,841 | ||||
663,691 | Pool #AJ0651, 4.00%, 8/1/41 | �� | 709,423 | |||
860,355 | Pool #AJ7668, 4.00%, 11/1/41 | 919,639 | ||||
1,145,974 | Pool #AJ9133, 4.00%, 1/1/42 | 1,224,938 |
17 |
SCHEDULE OF PORTFOLIO INVESTMENTS
|
Access Capital Community Investment Fund (cont.)
September 30, 2015
Principal Amount | Value | |||||
$12,055,911 | Pool #AK2386, 3.50%, 2/1/42(a) | $ | 12,606,433 | |||
4,524,800 | Pool #AK6715, 3.50%, 3/1/42(a) | 4,731,421 | ||||
1,458,625 | Pool #AK6716, 3.50%, 3/1/42(a) | 1,525,231 | ||||
732,611 | Pool #AK6718, 3.50%, 2/1/42 | 766,065 | ||||
624,320 | Pool #AM0414, 2.87%, 9/1/27 | 622,181 | ||||
475,458 | Pool #AM0635, 2.55%, 10/1/22 | 488,769 | ||||
952,973 | Pool #AM1750, 3.04%, 12/1/30 | 964,383 | ||||
5,001,972 | Pool #AM4392, 3.79%, 10/1/23 | 5,418,368 | ||||
506,438 | Pool #AM4590, 3.18%, 10/1/20 | 535,851 | ||||
2,380,760 | Pool #AM5335, 3.69%, 2/1/24 | 2,564,872 | ||||
1,956,722 | Pool #AM5486, 3.70%, 2/1/24 | 2,109,367 | ||||
246,942 | Pool #AM6907, 3.68%, 10/1/32 | 264,288 | ||||
1,568,325 | Pool #AM7764, 3.05%, 1/1/27 | 1,614,255 | ||||
993,639 | Pool #AM7938, 2.59%, 12/1/25(b) | 981,298 | ||||
499,537 | Pool #AM9780, 3.31%, 3/1/31 | 514,648 | ||||
1,174,230 | Pool #AO2923, 3.50%, 5/1/42 | 1,227,851 | ||||
3,279,187 | Pool #AO8029, 3.50%, 7/1/42(a) | 3,428,928 | ||||
744,172 | Pool #AP7483, 3.50%, 9/1/42 | 778,154 | ||||
1,104,956 | Pool #AQ6710, 2.50%, 10/1/27 | 1,134,393 | ||||
2,526,018 | Pool #AQ7193, 3.50%, 7/1/43 | 2,640,577 | ||||
2,799,700 | Pool #AR3088, 3.00%, 1/1/43 | 2,846,508 | ||||
893,640 | Pool #AR6712, 3.00%, 1/1/43 | 910,675 | ||||
1,119,040 | Pool #AR6928, 3.00%, 3/1/43 | 1,138,449 | ||||
783,646 | Pool #AR6933, 3.00%, 3/1/43 | 796,258 | ||||
955,609 | Pool #AS1916, 4.00%, 3/1/44 | 1,021,158 | ||||
996,436 | Pool #AS1917, 4.00%, 3/1/44 | 1,064,785 | ||||
493,568 | Pool #AS2129, 4.00%, 3/1/44 | 527,424 | ||||
1,819,259 | Pool #AS2439, 4.00%, 5/1/44(a) | 1,944,049 | ||||
3,782,783 | Pool #AS2784, 4.00%, 7/1/44 | 4,041,076 | ||||
2,246,817 | Pool #AS3244, 4.00%, 9/1/44 | 2,400,233 | ||||
2,942,042 | Pool #AS3494, 4.00%, 10/1/44 | 3,142,928 | ||||
1,669,478 | Pool #AS3726, 4.00%, 11/1/44 | 1,783,472 | ||||
2,257,516 | Pool #AS3728, 4.00%, 11/1/44 | 2,411,662 | ||||
1,039,438 | Pool #AS3926, 3.50%, 12/1/44 | 1,084,954 | ||||
1,438,828 | Pool #AS3929, 4.00%, 12/1/44 | 1,537,073 | ||||
1,194,334 | Pool #AS3930, 4.00%, 11/1/44 | 1,275,884 | ||||
1,096,181 | Pool #AS4070, 4.00%, 12/1/44 | 1,179,250 | ||||
1,355,889 | Pool #AS4240, 3.50%, 1/1/45 | 1,415,263 | ||||
1,644,352 | Pool #AS4388, 3.50%, 2/1/45 | 1,716,357 | ||||
1,017,070 | Pool #AS4390, 3.50%, 2/1/45 | 1,061,607 | ||||
1,092,044 | Pool #AS4732, 3.50%, 4/1/45 | 1,139,864 | ||||
9,766,880 | Pool #AS4737, 3.50%, 4/1/45 | 10,194,563 | ||||
1,931,042 | Pool #AS4743, 3.50%, 4/1/45 | 2,015,601 | ||||
1,445,869 | Pool #AS4905, 3.50%, 4/1/45 | 1,509,634 | ||||
9,767,982 | Pool #AS4908, 3.50%, 5/1/45 | 10,195,713 | ||||
1,069,874 | Pool #AS4910, 3.50%, 5/1/45 | 1,116,723 | ||||
9,793,024 | Pool #AS5114, 3.50%, 6/1/45 | 10,221,852 | ||||
1,327,688 | Pool #AS5118, 3.50%, 5/1/45 | 1,385,826 |
18 |
SCHEDULE OF PORTFOLIO INVESTMENTS
|
Access Capital Community Investment Fund (cont.)
September 30, 2015
Principal Amount | Value | |||||
$1,457,563 | Pool #AS5341, 3.50%, 7/1/45 | $ | 1,521,388 | |||
2,953,302 | Pool #AS5345, 3.50%, 7/1/45 | 3,082,624 | ||||
1,841,555 | Pool #AS5576, 4.00%, 8/1/45 | 1,967,874 | ||||
2,823,069 | Pool #AS5749, 3.50%, 9/1/45 | 2,946,689 | ||||
2,893,944 | Pool #AS5916, 3.50%, 9/1/45 | 3,020,666 | ||||
1,029,730 | Pool #AS5919, 3.50%, 9/1/45 | 1,074,821 | ||||
1,041,746 | Pool #AS5922, 3.50%, 9/1/45 | 1,087,363 | ||||
1,420,710 | Pool #AT2688, 3.00%, 5/1/43(a) | 1,443,131 | ||||
1,968,404 | Pool #AT2689, 3.00%, 5/1/43 | 1,999,468 | ||||
1,165,713 | Pool #AT2690, 3.00%, 4/1/43 | 1,184,109 | ||||
873,131 | Pool #AT2691, 3.00%, 5/1/43 | 886,910 | ||||
1,069,902 | Pool #AT3963, 2.50%, 3/1/28 | 1,098,404 | ||||
907,000 | Pool #AT7873, 2.50%, 6/1/28 | 931,163 | ||||
850,465 | Pool #AT8051, 3.00%, 6/1/43 | 863,887 | ||||
1,494,968 | Pool #AU0971, 3.50%, 8/1/43(a) | 1,562,767 | ||||
1,252,174 | Pool #AU2165, 3.50%, 7/1/43 | 1,308,962 | ||||
994,091 | Pool #AU2188, 3.50%, 8/1/43 | 1,039,174 | ||||
947,133 | Pool #AU3700, 3.50%, 8/1/43 | 991,271 | ||||
983,355 | Pool #AU4653, 3.50%, 9/1/43 | 1,030,102 | ||||
795,546 | Pool #AU6054, 4.00%, 9/1/43 | 850,116 | ||||
519,377 | Pool #AU6718, 4.00%, 10/1/43 | 555,490 | ||||
1,582,765 | Pool #AU7003, 4.00%, 11/1/43(a) | 1,703,945 | ||||
1,172,748 | Pool #AU7005, 4.00%, 11/1/43 | 1,254,657 | ||||
1,349,331 | Pool #AV0679, 4.00%, 12/1/43(a) | 1,452,639 | ||||
841,708 | Pool #AV9282, 4.00%, 2/1/44 | 899,444 | ||||
1,445,996 | Pool #AW0993, 4.00%, 5/1/44(a) | 1,556,705 | ||||
834,300 | Pool #AW1565, 4.00%, 4/1/44 | 891,528 | ||||
445,444 | Pool #AW3671, 4.00%, 4/1/44 | 477,739 | ||||
1,214,105 | Pool #AW5046, 4.00%, 7/1/44 | 1,297,005 | ||||
1,210,002 | Pool #AW5047, 4.00%, 7/1/44 | 1,292,622 | ||||
646,896 | Pool #AW7040, 4.00%, 6/1/44 | 693,796 | ||||
1,684,642 | Pool #AW8629, 3.50%, 5/1/44 | 1,759,990 | ||||
1,220,548 | Pool #AX2884, 3.50%, 11/1/44 | 1,276,665 | ||||
1,998,884 | Pool #AX4860, 3.50%, 12/1/44 | 2,086,413 | ||||
1,104,399 | Pool #AY0075, 3.50%, 11/1/44 | 1,152,760 | ||||
2,045,769 | Pool #AY1389, 3.50%, 4/1/45 | 2,135,351 | ||||
1,363,016 | Pool #AY3435, 3.50%, 5/1/45 | 1,422,701 | ||||
1,668,192 | Pool #AY5571, 3.50%, 6/1/45 | 1,741,241 | ||||
245,342 | Pool #MC0007, 5.50%, 12/1/38 | 274,707 | ||||
58,078 | Pool #MC0013, 5.50%, 12/1/38 | 66,000 | ||||
95,377 | Pool #MC0014, 5.50%, 12/1/38 | 108,387 | ||||
77,784 | Pool #MC0016, 5.50%, 11/1/38 | 88,200 | ||||
153,892 | Pool #MC0038, 4.50%, 3/1/39 | 171,331 | ||||
26,628 | Pool #MC0047, 4.50%, 4/1/39 | 29,438 | ||||
53,110 | Pool #MC0059, 4.00%, 4/1/39 | 57,624 | ||||
93,686 | Pool #MC0081, 4.00%, 5/1/39 | 100,756 | ||||
115,261 | Pool #MC0082, 4.50%, 5/1/39 | 126,287 | ||||
115,307 | Pool #MC0112, 4.50%, 6/1/39 | 128,860 |
19 |
SCHEDULE OF PORTFOLIO INVESTMENTS
|
Access Capital Community Investment Fund (cont.)
September 30, 2015
Principal Amount | Value | |||||
$210,152 | Pool #MC0127, 4.50%, 7/1/39 | $ | 230,847 | |||
68,627 | Pool #MC0135, 4.50%, 6/1/39 | 76,457 | ||||
376,611 | Pool #MC0137, 4.50%, 7/1/39 | 409,403 | ||||
949,791 | Pool #MC0154, 4.50%, 8/1/39 | 1,032,786 | ||||
98,058 | Pool #MC0155, 5.00%, 8/1/39 | 109,522 | ||||
489,639 | Pool #MC0160, 4.50%, 8/1/39 | 532,272 | ||||
229,488 | Pool #MC0171, 4.50%, 9/1/39 | 251,907 | ||||
339,933 | Pool #MC0177, 4.50%, 9/1/39 | 372,771 | ||||
132,829 | Pool #MC0270, 4.50%, 3/1/40 | 146,221 | ||||
704,533 | Pool #MC0325, 4.50%, 7/1/40 | 774,023 | ||||
99,328 | Pool #MC0426, 4.50%, 1/1/41 | 108,008 | ||||
925,681 | Pool #MC0584, 4.00%, 1/1/42 | 989,466 | ||||
489,338 | Pool #MC0585, 4.00%, 1/1/42 | 523,057 | ||||
69,317 | Pool #MC3344, 5.00%, 12/1/38 | 77,832 | ||||
|
| |||||
362,623,422 | ||||||
|
| |||||
Freddie Mac — 7.73% |
| |||||
91,378 | Pool #A10124, 5.00%, 6/1/33 | 101,225 | ||||
228,215 | Pool #A10548, 5.00%, 6/1/33 | 251,295 | ||||
500,396 | Pool #A12237, 5.00%, 8/1/33 | 551,496 | ||||
110,773 | Pool #A12969, 4.50%, 8/1/33 | 120,957 | ||||
77,379 | Pool #A12985, 5.00%, 8/1/33 | 86,355 | ||||
63,965 | Pool #A12986, 5.00%, 8/1/33 | 71,404 | ||||
43,733 | Pool #A14028, 4.50%, 9/1/33 | 48,177 | ||||
146,661 | Pool #A14325, 5.00%, 9/1/33 | 161,732 | ||||
88,287 | Pool #A15268, 6.00%, 10/1/33 | 103,655 | ||||
292,219 | Pool #A15579, 5.50%, 11/1/33 | 326,350 | ||||
282,674 | Pool #A17393, 5.50%, 12/1/33 | 315,133 | ||||
183,325 | Pool #A17397, 5.50%, 1/1/34 | 204,921 | ||||
261,051 | Pool #A18617, 5.50%, 1/1/34 | 291,201 | ||||
280,532 | Pool #A19019, 5.50%, 2/1/34 | 315,103 | ||||
166,243 | Pool #A20069, 5.00%, 3/1/34 | 184,124 | ||||
545,737 | Pool #A20070, 5.50%, 3/1/34 | 608,110 | ||||
639,726 | Pool #A20540, 5.50%, 4/1/34 | 712,623 | ||||
129,926 | Pool #A20541, 5.50%, 4/1/34 | 144,926 | ||||
125,307 | Pool #A21679, 5.50%, 4/1/34 | 138,826 | ||||
141,523 | Pool #A21681, 5.00%, 4/1/34 | 156,148 | ||||
180,911 | Pool #A23192, 5.00%, 5/1/34 | 199,654 | ||||
754,189 | Pool #A25310, 5.00%, 6/1/34 | 831,160 | ||||
292,028 | Pool #A25311, 5.00%, 6/1/34 | 322,257 | ||||
172,909 | Pool #A26395, 6.00%, 9/1/34 | 202,244 | ||||
89,351 | Pool #A26396, 5.50%, 9/1/34 | 101,030 | ||||
280,953 | Pool #A28241, 5.50%, 10/1/34 | 314,601 | ||||
32,460 | Pool #A30055, 5.00%, 11/1/34 | 36,167 | ||||
197,350 | Pool #A30591, 6.00%, 12/1/34 | 228,237 | ||||
262,436 | Pool #A31135, 5.50%, 12/1/34 | 292,883 | ||||
328,855 | Pool #A33167, 5.00%, 1/1/35 | 363,847 | ||||
332,102 | Pool #A34999, 5.50%, 4/1/35 | 372,084 |
20 |
SCHEDULE OF PORTFOLIO INVESTMENTS
|
Access Capital Community Investment Fund (cont.)
September 30, 2015
Principal Amount | Value | |||||
$ 80,365 | Pool #A35628, 5.50%, 6/1/35 | $ | 90,719 | |||
450,126 | Pool #A37185, 5.00%, 9/1/35 | 496,616 | ||||
361,363 | Pool #A38830, 5.00%, 5/1/35 | 398,685 | ||||
260,473 | Pool #A40538, 5.00%, 12/1/35 | 287,212 | ||||
286,051 | Pool #A42095, 5.50%, 1/1/36 | 319,238 | ||||
244,185 | Pool #A42097, 5.00%, 1/1/36 | 270,015 | ||||
178,720 | Pool #A42098, 5.50%, 1/1/36 | 199,119 | ||||
353,016 | Pool #A42803, 5.50%, 2/1/36 | 395,405 | ||||
40,794 | Pool #A42804, 6.00%, 2/1/36 | 47,861 | ||||
111,050 | Pool #A42805, 6.00%, 2/1/36 | 128,104 | ||||
252,410 | Pool #A44639, 5.50%, 3/1/36 | 281,536 | ||||
292,166 | Pool #A45396, 5.00%, 6/1/35 | 322,342 | ||||
215,725 | Pool #A46321, 5.50%, 7/1/35 | 243,517 | ||||
86,168 | Pool #A46735, 5.00%, 8/1/35 | 95,337 | ||||
221,142 | Pool #A46746, 5.50%, 8/1/35 | 247,765 | ||||
101,530 | Pool #A46748, 5.50%, 8/1/35 | 114,133 | ||||
96,950 | Pool #A46996, 5.50%, 9/1/35 | 108,986 | ||||
346,562 | Pool #A46997, 5.50%, 9/1/35 | 386,877 | ||||
502,798 | Pool #A47552, 5.00%, 11/1/35 | 554,413 | ||||
345,053 | Pool #A47553, 5.00%, 11/1/35 | 381,553 | ||||
190,915 | Pool #A47554, 5.50%, 11/1/35 | 214,556 | ||||
173,865 | Pool #A48789, 6.00%, 5/1/36 | 199,402 | ||||
87,980 | Pool #A49013, 6.00%, 5/1/36 | 102,792 | ||||
168,645 | Pool #A49526, 6.00%, 5/1/36 | 193,758 | ||||
170,379 | Pool #A49843, 6.00%, 6/1/36 | 198,757 | ||||
469,008 | Pool #A49844, 6.00%, 6/1/36 | 538,399 | ||||
25,391 | Pool #A49845, 6.50%, 6/1/36 | 28,470 | ||||
102,720 | Pool #A50128, 6.00%, 6/1/36 | 115,645 | ||||
293,750 | Pool #A59530, 5.50%, 4/1/37 | 326,223 | ||||
209,223 | Pool #A59964, 5.50%, 4/1/37 | 234,607 | ||||
87,303 | Pool #A61754, 5.50%, 5/1/37 | 98,223 | ||||
92,832 | Pool #A61779, 5.50%, 5/1/37 | 104,530 | ||||
101,936 | Pool #A61915, 5.50%, 6/1/37 | 114,209 | ||||
154,006 | Pool #A61916, 6.00%, 6/1/37 | 176,345 | ||||
232,804 | Pool #A63456, 5.50%, 6/1/37 | 259,959 | ||||
552,394 | Pool #A64012, 5.50%, 7/1/37 | 612,855 | ||||
208,162 | Pool #A64015, 6.00%, 7/1/37 | 241,692 | ||||
506,106 | Pool #A66061, 5.50%, 8/1/37 | 565,613 | ||||
370,536 | Pool #A66122, 6.00%, 8/1/37 | 426,511 | ||||
212,589 | Pool #A66133, 6.00%, 6/1/37 | 247,047 | ||||
164,253 | Pool #A66156, 6.50%, 9/1/37 | 190,224 | ||||
218,347 | Pool #A68766, 6.00%, 10/1/37 | 251,365 | ||||
128,317 | Pool #A70292, 5.50%, 7/1/37 | 142,763 | ||||
119,540 | Pool #A75113, 5.00%, 3/1/38 | 132,260 | ||||
176,351 | Pool #A76187, 5.00%, 4/1/38 | 195,833 | ||||
170,560 | Pool #A78354, 5.50%, 11/1/37 | 189,815 | ||||
802,114 | Pool #A91887, 5.00%, 4/1/40 | 888,967 | ||||
304,770 | Pool #A92388, 4.50%, 5/1/40 | 334,093 |
21 |
SCHEDULE OF PORTFOLIO INVESTMENTS
|
Access Capital Community Investment Fund (cont.)
September 30, 2015
Principal Amount | Value | |||||
$472,290 | Pool #A93962, 4.50%, 9/1/40 | $ | 517,730 | |||
872,501 | Pool #A95573, 4.00%, 12/1/40 | 934,292 | ||||
674,193 | Pool #A96339, 4.00%, 12/1/40 | 721,940 | ||||
795,291 | Pool #A97099, 4.00%, 1/1/41 | 854,596 | ||||
588,310 | Pool #A97715, 4.00%, 3/1/41 | 632,549 | ||||
553,899 | Pool #A97716, 4.50%, 3/1/41 | 604,507 | ||||
39,205 | Pool #B31140, 6.50%, 10/1/31 | 43,703 | ||||
24,918 | Pool #B31206, 6.00%, 3/1/32 | 27,431 | ||||
72,485 | Pool #B31493, 5.00%, 2/1/34 | 78,620 | ||||
59,798 | Pool #B31532, 5.00%, 5/1/34 | 64,847 | ||||
89,815 | Pool #B31546, 5.50%, 5/1/34 | 98,556 | ||||
89,213 | Pool #B31547, 5.50%, 5/1/34 | 97,883 | ||||
90,844 | Pool #B31551, 5.50%, 6/1/34 | 99,657 | ||||
63,853 | Pool #B31587, 5.00%, 11/1/34 | 69,299 | ||||
121,338 | Pool #B31588, 5.50%, 11/1/34 | 133,150 | ||||
1,652 | Pool #B31642, 5.50%, 5/1/35 | 1,654 | ||||
19,983 | Pool #B50443, 5.00%, 11/1/18 | 20,738 | ||||
51,701 | Pool #B50450, 4.50%, 1/1/19 | 54,063 | ||||
37,144 | Pool #B50451, 5.00%, 1/1/19 | 38,676 | ||||
7,178 | Pool #B50470, 4.50%, 4/1/19 | 7,505 | ||||
89,556 | Pool #B50496, 5.50%, 9/1/19 | 95,073 | ||||
60,832 | Pool #B50499, 5.00%, 11/1/19 | 64,097 | ||||
28,915 | Pool #B50500, 5.50%, 10/1/19 | 30,668 | ||||
20,095 | Pool #B50501, 4.50%, 11/1/19 | 20,840 | ||||
38,582 | Pool #B50504, 5.50%, 11/1/19 | 41,031 | ||||
156,935 | Pool #B50506, 5.00%, 11/1/19 | 165,936 | ||||
40,607 | Pool #C37233, 7.50%, 2/1/30 | 48,168 | ||||
193,459 | Pool #C51686, 6.50%, 5/1/31 | 226,958 | ||||
107,064 | Pool #C53210, 6.50%, 6/1/31 | 126,049 | ||||
56,830 | Pool #C53914, 6.50%, 6/1/31 | 66,995 | ||||
47,200 | Pool #C60020, 6.50%, 11/1/31 | 55,804 | ||||
56,357 | Pool #C65616, 6.50%, 3/1/32 | 66,322 | ||||
54,510 | Pool #C68324, 6.50%, 6/1/32 | 64,429 | ||||
119,827 | Pool #C73273, 6.00%, 11/1/32 | 140,345 | ||||
178,027 | Pool #C73525, 6.00%, 11/1/32 | 209,322 | ||||
59,076 | Pool #C74672, 5.50%, 11/1/32 | 65,972 | ||||
170,836 | Pool #C77844, 5.50%, 3/1/33 | 190,316 | ||||
62,385 | Pool #C77845, 5.50%, 3/1/33 | 69,832 | ||||
160,392 | Pool #C78252, 5.50%, 3/1/33 | 179,001 | ||||
135,758 | Pool #J00980, 5.00%, 1/1/21 | 145,719 | ||||
32,792 | Pool #J05466, 5.50%, 6/1/22 | 34,853 | ||||
822,526 | Pool #J21142, 2.50%, 11/1/27 | 844,053 | ||||
713,830 | Pool #J23532, 2.50%, 5/1/28 | 732,959 | ||||
326,811 | Pool #Q00462, 4.00%, 3/1/41 | 349,445 | ||||
679,394 | Pool #Q00465, 4.50%, 4/1/41 | 738,177 | ||||
890,336 | Pool #Q05867, 3.50%, 12/1/41 | 929,218 | ||||
986,086 | Pool #Q06239, 3.50%, 1/1/42 | 1,029,150 | ||||
709,915 | Pool #Q06406, 4.00%, 2/1/42 | 758,417 |
22 |
SCHEDULE OF PORTFOLIO INVESTMENTS
|
Access Capital Community Investment Fund (cont.)
September 30, 2015
Principal Amount | Value | |||||
$1,446,042 | Pool #Q13349, 3.00%, 11/1/42 | $ | 1,466,434 | |||
1,353,770 | Pool #Q17662, 3.00%, 4/1/43 | 1,372,860 | ||||
1,362,129 | Pool #Q18754, 3.00%, 6/1/43 | 1,381,337 | ||||
1,266,102 | Pool #Q18772, 3.00%, 6/1/43 | 1,283,956 | ||||
2,195,417 | Pool #Q32756, 3.00%, 4/1/45 | 2,220,201 | ||||
|
| |||||
41,167,604 | ||||||
|
| |||||
Ginnie Mae — 31.84% |
| |||||
347,940 | Pool #409117, 5.50%, 6/20/38 | 384,963 | ||||
237,539 | Pool #487643, 5.00%, 2/15/39 | 264,318 | ||||
423,662 | Pool #588448, 6.25%, 9/15/32 | 425,215 | ||||
503,526 | Pool #616936, 5.50%, 1/15/36 | 569,358 | ||||
424,003 | Pool #617904, 5.75%, 9/15/23 | 425,711 | ||||
1,977,602 | Pool #618363, 4.00%, 9/20/41 | 2,109,623 | ||||
505,279 | Pool #624106, 5.13%, 3/15/34 | 506,812 | ||||
926,337 | Pool #654705, 4.00%, 9/20/41 | 988,177 | ||||
425,046 | Pool #664269, 5.85%, 6/15/38 | 437,089 | ||||
251,844 | Pool #675509, 5.50%, 6/15/38 | 285,085 | ||||
430,433 | Pool #697672, 5.50%, 12/15/38 | 486,910 | ||||
292,599 | Pool #697814, 5.00%, 2/15/39 | 323,482 | ||||
405,540 | Pool #697885, 4.50%, 3/15/39 | 440,867 | ||||
119,236 | Pool #698112, 4.50%, 5/15/39 | 129,771 | ||||
918,356 | Pool #698113, 4.50%, 5/15/39 | 999,502 | ||||
361,633 | Pool #699294, 5.63%, 9/20/38 | 402,253 | ||||
2,408,849 | Pool #713519, 6.00%, 7/15/39 | 2,778,123 | ||||
551,104 | Pool #714561, 4.50%, 6/15/39 | 599,800 | ||||
544,420 | Pool #716822, 4.50%, 4/15/39 | 592,185 | ||||
488,400 | Pool #716823, 4.50%, 4/15/39 | 531,555 | ||||
175,112 | Pool #717132, 4.50%, 5/15/39 | 190,913 | ||||
566,558 | Pool #717133, 4.50%, 5/15/39 | 616,265 | ||||
980,975 | Pool #720080, 4.50%, 6/15/39 | 1,083,556 | ||||
900,921 | Pool #720521, 5.00%, 8/15/39 | 999,213 | ||||
922,827 | Pool #724629, 5.00%, 7/20/40 | 1,013,595 | ||||
1,654,207 | Pool #726550, 5.00%, 9/15/39 | 1,834,684 | ||||
543,965 | Pool #729018, 4.50%, 2/15/40 | 592,688 | ||||
287,563 | Pool #729019, 5.00%, 2/15/40 | 318,936 | ||||
419,670 | Pool #729346, 4.50%, 7/15/41 | 457,276 | ||||
672,714 | Pool #738844, 3.50%, 10/15/41 | 705,956 | ||||
521,832 | Pool #738845, 3.50%, 10/15/41 | 547,618 | ||||
1,628,373 | Pool #738862, 4.00%, 10/15/41 | 1,743,759 | ||||
553,392 | Pool #747241, 5.00%, 9/20/40 | 607,131 | ||||
1,252,900 | Pool #748654, 3.50%, 9/15/40 | 1,313,245 | ||||
265,784 | Pool #748846, 4.50%, 9/20/40 | 291,272 | ||||
811,436 | Pool #757016, 3.50%, 11/15/40 | 850,518 | ||||
608,829 | Pool #757017, 4.00%, 12/15/40 | 655,918 | ||||
928,133 | Pool #759297, 4.00%, 1/20/41 | 993,864 | ||||
889,664 | Pool #759298, 4.00%, 2/20/41 | 949,890 |
23 |
SCHEDULE OF PORTFOLIO INVESTMENTS
|
Access Capital Community Investment Fund (cont.)
September 30, 2015
Principal Amount | Value | |||||
$ 680,310 | Pool #762877, 4.00%, 4/15/41 | $ | 728,516 | |||
477,176 | Pool #763564, 4.50%, 5/15/41 | 519,935 | ||||
659,946 | Pool #770391, 4.50%, 6/15/41 | 719,083 | ||||
1,222,751 | Pool #770481, 4.00%, 8/15/41 | 1,309,395 | ||||
445,226 | Pool #770482, 4.50%, 8/15/41 | 484,983 | ||||
1,241,350 | Pool #770517, 4.00%, 8/15/41 | 1,329,311 | ||||
777,408 | Pool #770529, 4.00%, 8/15/41 | 832,495 | ||||
1,363,064 | Pool #770537, 4.00%, 8/15/41 | 1,459,650 | ||||
736,193 | Pool #770738, 4.50%, 6/20/41 | 795,750 | ||||
1,298,309 | Pool #779592, 4.00%, 11/20/41 | 1,384,982 | ||||
766,610 | Pool #779593, 4.00%, 11/20/41 | 817,788 | ||||
752,226 | Pool #AA6312, 3.00%, 4/15/43 | 771,208 | ||||
1,236,138 | Pool #AA6424, 3.00%, 5/15/43 | 1,264,241 | ||||
2,175,767 | Pool #AB2733, 3.50%, 8/15/42 | 2,284,640 | ||||
2,625,811 | Pool #AB2745, 3.00%, 8/15/42 | 2,692,072 | ||||
2,369,523 | Pool #AB2841, 3.00%, 9/15/42 | 2,429,316 | ||||
772,398 | Pool #AB2843, 3.00%, 9/15/42 | 791,889 | ||||
879,007 | Pool #AB2852, 3.50%, 9/15/42 | 922,992 | ||||
5,678,833 | Pool #AC9541, 2.12%, 2/15/48 | 5,545,604 | ||||
992,784 | Pool #AE6946, 3.00%, 6/15/43 | 1,015,664 | ||||
1,371,218 | Pool #AE8253, 4.00%, 2/20/44 | 1,462,758 | ||||
831,950 | Pool #AG8915, 4.00%, 2/20/44 | 892,429 | ||||
1,181,345 | Pool #AK6446, 3.00%, 1/15/45 | 1,207,095 | ||||
1,103,063 | Pool #AK7036, 3.00%, 4/15/45 | 1,126,762 | ||||
2,198,972 | Pool #AO3594, 3.50%, 8/20/45 | 2,303,938 | ||||
1,378,011 | Pool #AO8336, 3.50%, 9/20/45 | 1,446,290 | ||||
2,227,131 | Pool #AP3887, 3.50%, 9/20/45 | 2,333,442 | ||||
700,000 | Series 2012-100, Class B, 2.31%, 11/16/51(c) | 665,392 | ||||
2,533,992 | Series 2012-107, Class A, 1.15%, 1/16/45 | 2,432,766 | ||||
1,600,000 | Series 2012-112, Class B, 2.70%, 1/16/53 | 1,551,524 | ||||
6,003,471 | Series 2012-114, Class A, 2.10%, 1/16/53(c) | 5,877,761 | ||||
2,114,339 | Series 2012-115, Class A, 2.13%, 4/16/45 | 2,081,005 | ||||
3,530,015 | Series 2012-120, Class A, 1.90%, 2/16/53 | 3,433,491 | ||||
1,669,826 | Series 2012-131, Class A, 1.90%, 2/16/53 | 1,622,926 | ||||
716,112 | Series 2012-144 Class AD, 1.77%, 1/16/53 | 690,604 | ||||
6,000,000 | Series 2012-33, Class B, 2.89%, 3/16/46 | 5,980,439 | ||||
3,000,000 | Series 2012-35, Class C, 3.25%, 11/16/52(c) | 3,020,741 | ||||
1,600,000 | Series 2012-45, Class C, 3.45%, 4/16/53(c) | 1,621,582 | ||||
2,346,386 | Series 2012-53, Class AC, 2.38%, 12/16/43 | 2,333,110 | ||||
8,000,000 | Series 2012-58, Class B, 2.20%, 3/16/44 | 7,743,513 | ||||
1,041,551 | Series 2012-70, Class A, 1.73%, 5/16/42 | 1,034,856 | ||||
3,432,351 | Series 2012-72, Class A, 1.71%, 5/16/42 | 3,393,878 | ||||
3,244,094 | Series 2012-78, Class A, 1.68%, 3/16/44 | 3,217,644 | ||||
1,481,356 | Series 2013-101, Class AG, 1.76%, 4/16/38 | 1,473,963 | ||||
1,241,244 | Series 2013-105, Class A, 1.71%, 2/16/37 | 1,234,009 | ||||
1,527,815 | Series 2013-107, Class A, 2.00%, 5/16/40 | 1,525,934 | ||||
1,389,310 | Series 2013-126, Class BK, 2.45%, 10/16/47 | 1,388,799 | ||||
713,708 | Series 2013-127, Class A, 2.00%, 3/16/52 | 715,037 |
24 |
SCHEDULE OF PORTFOLIO INVESTMENTS
|
Access Capital Community Investment Fund (cont.)
September 30, 2015
Principal Amount | Value | |||||
$ 873,346 | Series 2013-17, Class A, 1.13%, 1/16/49 | $ | 852,170 | |||
829,845 | Series 2013-29, Class AB, 1.77%, 10/16/45 | 816,011 | ||||
892,486 | Series 2013-33, Class A, 1.06%, 7/16/38 | 870,007 | ||||
2,785,114 | Series 2013-63, Class AB, 1.38%, 3/16/45 | 2,716,145 | ||||
1,476,762 | Series 2013-97, Class AC, 2.00%, 6/16/45 | 1,454,914 | ||||
1,523,449 | Series 2014-148, Class A, 2.65%, 3/1/39 | 1,560,621 | ||||
9,060,374 | Series 2014-172, Class AF, 2.50%, 1/1/55 | 9,253,279 | ||||
670,254 | Series 2014-47, Class AB, 2.25%, 8/16/40 | 676,540 | ||||
1,161,003 | Series 2014-54, Class AB, 2.62%, 10/16/43 | 1,175,135 | ||||
1,036,645 | Series 2014-77, Class AC, 2.35%, 10/16/40 | 1,048,523 | ||||
1,045,635 | Series 2014-82, Class AB, 2.40%, 5/16/45 | 1,059,455 | ||||
997,195 | Series 2015-107, Class AB, 2.20%, 11/16/49 | 1,009,315 | ||||
3,245,458 | Series 2015-114, Class AD, 2.50%, 11/15/51 | 3,281,273 | ||||
2,100,000 | Series 2015-128, Class AD, 2.50%, 12/16/50 | 2,129,613 | ||||
1,000,000 | Series 2015-130, Class AH, 2.90%, 8/16/47 | 1,020,861 | ||||
3,200,000 | Series 2015-135, Class AB, 2.50%, 4/16/49 | 3,244,150 | ||||
1,200,000 | Series 2015-136, Class AC, 2.50%, 3/16/47 | 1,212,887 | ||||
998,067 | Series 2015-15, Class A, 2.00%, 11/1/48 | 992,368 | ||||
1,976,647 | Series 2015-2, Class A, 2.50%, 12/16/44 | 2,023,492 | ||||
2,061,971 | Series 2015-22, Class A, 2.40%, 8/16/47 | 2,085,995 | ||||
6,234,749 | Series 2015-70, Class AB, 2.30%, 11/16/48 | 6,168,099 | ||||
705,733 | Series 2015-75, Class A, 3.00%, 2/16/44 | 731,017 | ||||
2,690,489 | Series 2015-98, Class AB, 2.50%, 11/16/43 | 2,705,440 | ||||
|
| |||||
169,445,608 | ||||||
|
| |||||
Total U.S. Government Agency Backed Mortgages | 573,236,634 | |||||
|
| |||||
(Cost $555,556,516) | ||||||
U.S. Government Agency Obligations — 0.95% |
| |||||
Small Business Administration — 0.88% |
| |||||
159,151 | 0.55%, 3/25/29(c) | 157,115 | ||||
202,376 | 0.60%, 3/25/28(c) | 200,353 | ||||
539,150 | 0.88%, 1/26/32(b) | 544,726 | ||||
98,548 | 0.91%, 4/16/20(b) | 98,632 | ||||
270,073 | 1.25%, 9/17/30(b) | 274,567 | ||||
11,050,591 | 1.26%, 7/18/30*(b)(d) | 168,079 | ||||
1,381,455 | 3.36%, 7/8/24(b) | 1,516,208 | ||||
69,510 | 3.36%, 7/1/21(b) | 73,895 | ||||
148,286 | 3.58%, 12/18/23(b) | 162,757 | ||||
23,453 | 3.58%, 12/25/15(c) | 23,422 | ||||
108,716 | 3.61%, 4/4/20(b) | 114,042 | ||||
371,849 | 3.86%, 9/16/34(b) | 423,057 | ||||
22,284 | 4.13%, 7/18/17(b) | 22,639 | ||||
166,948 | 4.36%, 7/17/29(b) | 192,336 | ||||
119,332 | 4.88%, 6/24/24(b) | 132,994 |
25 |
SCHEDULE OF PORTFOLIO INVESTMENTS
|
Access Capital Community Investment Fund (cont.)
September 30, 2015
Principal Amount | Value | |||||
$ 60,130 | 5.13%, 2/28/24(b) | $ | 66,804 | |||
484,488 | 6.03%, 10/31/32(b) | 506,770 | ||||
|
| |||||
4,678,396 | ||||||
|
| |||||
United States Department of Agriculture — 0.07% |
| |||||
232,618 | 5.38%, 10/26/22(b) | 242,044 | ||||
128,486 | 6.08%, 7/1/32(b) | 134,675 | ||||
|
| |||||
376,719 | ||||||
|
| |||||
Total U.S. Government Agency Obligations | 5,055,115 | |||||
|
| |||||
(Cost $5,700,933) | ||||||
Shares | ||||||
Investment Company — 1.76% | ||||||
9,378,538 | JPMorgan Prime Money Market Fund, Institutional Class | 9,378,538 | ||||
|
| |||||
Total Investment Company | 9,378,538 | |||||
|
| |||||
(Cost $9,378,538) | ||||||
Total Investments | $ | 607,059,475 | ||||
(Cost $589,607,666)(e) — 114.06% | ||||||
Liabilities in excess of other assets — (14.06)% | (74,818,696 | ) | ||||
|
| |||||
NET ASSETS — 100.00% | $ | 532,240,779 | ||||
|
|
* | Interest Only security represents the right to receive the monthly interest payment on an underlying pool of mortgage loans. The principal amount shown represents the par value on the underlying pool. |
(a) | This security is either fully or partially pledged as collateral for reverse repurchase agreements. |
(b) | The Pricing Committee has fair valued this security under procedures established by the Fund’s Board of Trustees. |
(c) | Floating rate note. Rate shown is as of report date. |
(d) | This security is restricted and illiquid as the security may not be offered or sold within the United States or to U.S. persons except to qualified purchasers who are also either qualified institutional buyers or “accredited investors” (as defined in Rule 501 (a) of Regulation D under the Securities Act of 1933). The total value of investment in restricted and illiquid securities representing $168,079, or 0.03% of net assets, are as follows: |
Acquisition Principal Amount | Issuer | Acquisition Date | Acquisition Cost | 9/30/2015 Carrying Value Per Unit | ||||||||||
$11,050,591 | Small Business Administration | 01/10/2008 | $ | 860,184 | $1.52 |
(e) | See Notes to Financial Statements for the tax cost of securities and the breakdown of unrealized appreciation (depreciation). |
26 |
SCHEDULE OF PORTFOLIO INVESTMENTS
|
Access Capital Community Investment Fund (cont.)
September 30, 2015
Abbreviations used are defined below:
FHA - Insured by Federal Housing Administration
OID - Original Issue Discount
Financial futures contracts as of September 30, 2015:
Number of Contracts | Expiration Date | Unrealized Appreciation (Depreciation) | Notional Value | Clearinghouse | ||||||||||||||
Short Position: | ||||||||||||||||||
Five Year | ||||||||||||||||||
USD Interest Rate | ||||||||||||||||||
Swap | 780 | December, 2015 | $ | (816,563 | ) | $ | 79,121,250 | Barclays Capital | ||||||||||
Ten Year | ||||||||||||||||||
USD Interest Rate | ||||||||||||||||||
Swap | 75 | December, 2015 | (147,656 | ) | 7,646,484 | Barclays Capital | ||||||||||||
Thirty Year | ||||||||||||||||||
U.S. Treasury Bonds | 30 | December, 2015 | (78,281 | ) | 4,642,031 | Barclays Capital | ||||||||||||
|
| |||||||||||||||||
Total | $ | (1,042,500 | ) | |||||||||||||||
|
|
Abbreviations used are defined below:
USD – U.S. Dollar
See Notes to Financial Statements.
27 |
|
Statement of Assets and Liabilities
September 30, 2015
Assets: | ||||
Investments in securities, at value (cost $589,607,666) | $ | 607,059,475 | ||
Interest and dividends receivable | 1,877,987 | |||
Receivable for Fund shares sold | 104,603 | |||
Due from Custodian | 3,191,058 | |||
Receivable for investments sold | 8,688 | |||
Cash pledged for financial futures contracts | 2,516,050 | |||
Prepaid expenses and other assets | 17,381 | |||
|
| |||
Total Assets | 614,775,242 | |||
|
| |||
Liabilities: | ||||
Cash overdraft | 3,191,058 | |||
Unrealized loss on futures contracts | 1,042,500 | |||
Distributions payable | 619,760 | |||
Payable for capital shares redeemed | 389,786 | |||
Payable for investments purchased | 5,694,366 | |||
Reverse repurchase agreements (including interest of $37,945) | 71,253,945 | |||
Accrued expenses and other payables: | ||||
Investment advisory fees | 212,304 | |||
Accounting fees | 8,267 | |||
Distribution fees | 9,445 | |||
Trustee fees | 242 | |||
Audit fees | 49,737 | |||
Transfer agent fees | 13,695 | |||
Other | 49,358 | |||
|
| |||
Total Liabilities | 82,534,463 | |||
|
| |||
Net Assets | $ | 532,240,779 | ||
|
| |||
Net Assets Consist Of: | ||||
Capital | $ | 557,701,946 | ||
Distributions in excess of net investment income | (1,322,641 | ) | ||
Accumulated net realized losses from investment transactions, futures contracts and sale commitments | (40,547,835 | ) | ||
Net unrealized appreciation on investments, futures contracts, and sale commitments | 16,409,309 | |||
|
| |||
Net Assets | $ | 532,240,779 | ||
|
|
28 |
FINANCIAL STATEMENTS
|
Statement of Assets and Liabilities (cont.)
Net Assets: | ||||
Class A | $ | 21,134,654 | ||
Class I | 511,106,125 | |||
|
| |||
Total | $ | 532,240,779 | ||
|
| |||
Shares Outstanding (1,000,000,000 shares authorized, 100,000,000 shares registered at $.0000001 par value): | ||||
Class A | 2,285,579 | |||
Class I | 55,311,285 | |||
|
| |||
Total | 57,596,864 | |||
|
| |||
Net Asset Values and Redemption Price Per Share: | ||||
Class A(a) | $ | 9.25 | ||
Class I | $ | 9.24 | ||
Maximum Offering Price Per Share: | ||||
Class A | $ | 9.61 | ||
Maximum Sales Charge - Class A | 3.75 | % |
(a) | For Class A shares, redemption price per share will be reduced by 1.00% for sales of shares within 12 months of purchase (only applicable on purchases of $1 million or more on which no initial sales charge was paid). Such reduction is not reflected in the net asset value and the redemption price per share. |
See Notes to Financial Statements.
29 |
FINANCIAL STATEMENTS
|
For the Year Ended September 30, 2015
Investment Income: | ||||
Interest income | $ | 18,214,960 | ||
Dividend income | 4,670 | |||
|
| |||
Total Investment Income | 18,219,630 | |||
|
| |||
Expenses: | ||||
Management fees | 2,567,092 | |||
Interest expense | 260,413 | |||
Distribution fees - Class A | 52,320 | |||
Accounting services | 50,671 | |||
Audit fees | 49,818 | |||
Legal fees | 28,784 | |||
Custodian fees | 47,094 | |||
Insurance fees | 7,909 | |||
Trustees’ fees and expenses | 17,571 | |||
Transfer agent fees - Class A | 37,703 | |||
Transfer agent fees - Class I | 38,845 | |||
Shareholder reports | 35,305 | |||
Registration and filing fees | 44,872 | |||
Other fees and expenses | 104,477 | |||
|
| |||
Total expenses before fee waiver/reimbursement | 3,342,874 | |||
Expenses reduced/waived by: | ||||
Advisor | (11,203 | ) | ||
|
| |||
Net Expenses | 3,331,671 | |||
|
| |||
Net Investment Income | 14,887,959 | |||
|
| |||
Realized/Unrealized Gains (Losses) from Investment Transactions and Futures Contracts: | ||||
Net realized gains from investment transactions | 1,285,670 | |||
Net realized losses from futures contracts | (2,334,885 | ) | ||
|
| |||
(1,049,215 | ) | |||
|
| |||
Net change in unrealized appreciation/depreciation on investments | 2,742,400 | |||
Net change in unrealized appreciation/depreciation on futures contracts | (1,372,969 | ) | ||
|
| |||
1,369,431 | ||||
|
| |||
Net realized/unrealized gains (losses) from investments and futures contracts | 320,216 | |||
|
| |||
Change in net assets resulting from operations | $ | 15,208,175 | ||
|
|
See Notes to Financial Statements.
30 |
FINANCIAL STATEMENTS
|
Statements of Changes in Net Assets
For the Year Ended September 30, 2015 | For the Year Ended September 30, 2014 | |||||||
From Investment Activities: | ||||||||
Operations: | ||||||||
Net investment income | $ 14,887,959 | $ 17,152,070 | ||||||
Net realized losses from investments and futures contracts | (1,049,215 | ) | (2,771,718 | ) | ||||
Net change in unrealized appreciation/depreciation on investments and futures contracts | 1,369,431 | 3,603,827 | ||||||
|
|
|
| |||||
Change in net assets resulting from operations | 15,208,175 | 17,984,179 | ||||||
|
|
|
| |||||
Distributions to Class A Shareholders: | ||||||||
From net investment income | (600,319 | ) | (531,396 | ) | ||||
Distributions to Class I Shareholders: | ||||||||
From net investment income | (15,955,838 | ) | (17,874,571 | ) | ||||
|
|
|
| |||||
Change in net assets resulting from shareholder distributions | (16,556,157 | ) | (18,405,967 | ) | ||||
|
|
|
| |||||
Capital Transactions: | ||||||||
Proceeds from shares issued | 50,926,593 | 21,597,165 | ||||||
Distributions reinvested | 8,697,151 | 8,846,237 | ||||||
Cost of shares redeemed | (24,094,072 | ) | (51,802,053 | ) | ||||
|
|
|
| |||||
Change in net assets resulting from capital transactions | 35,529,672 | (21,358,651 | ) | |||||
|
|
|
| |||||
Net increase (decrease) in net assets | 34,181,690 | (21,780,439 | ) | |||||
Net Assets: | ||||||||
Beginning of year | 498,059,089 | 519,839,528 | ||||||
|
|
|
| |||||
End of year | $ 532,240,779 | $ 498,059,089 | ||||||
|
|
|
| |||||
Distributions in excess of net investment income | $ (1,322,641 | ) | $ (1,328,491 | ) | ||||
|
|
|
| |||||
Share Transactions: | ||||||||
Issued | 5,479,719 | 2,333,320 | ||||||
Reinvested | 934,284 | 955,144 | ||||||
Redeemed | (2,590,371 | ) | (5,584,129 | ) | ||||
|
|
|
| |||||
Change in shares resulting from capital transactions | 3,823,632 | (2,295,665 | ) | |||||
|
|
|
|
See Notes to Financial Statements.
31 |
FINANCIAL STATEMENTS
|
For the Year Ended September 30, 2015
Cash Provided by Operating Activities: | ||||
Net increase in net assets resulting from operations | $ | 15,208,175 | ||
Adjustments to reconcile net increase in net assets resulting from operations to net cash provided by operating activities: | ||||
Purchases of long-term securities | (137,827,241 | ) | ||
Proceeds from sales and paydowns of long-term securities | 139,404,210 | |||
Purchases/proceeds from sales of short-term securities-net | (3,603,568 | ) | ||
Net change in unrealized (appreciation)/depreciation on investment securities | (2,742,400 | ) | ||
Net change in unrealized (appreciation)/depreciation on futures contracts | 1,372,969 | |||
Net realized gains from investment transactions | (1,285,670 | ) | ||
Amortization of premium and discount - net | 958,768 | |||
Decrease in interest and dividends receivable | 229,532 | |||
Increase in receivable from custodian | (3,191,058 | ) | ||
Increase in interest due on reverse repurchase agreements | 7,901 | |||
Decrease in cash pledged for financial futures contracts | 709,884 | |||
Decrease in prepaid expenses and other assets | 10,541 | |||
Increase in payable to investment advisor | 14,289 | |||
Decrease in accrued expenses and other liabilities | (1,311 | ) | ||
|
| |||
Net Cash Provided by Operating Activities | 9,265,021 | |||
|
| |||
Cash Used in Financing Activities: | ||||
Cash receipts/payments from reverse repurchase agreements - net | (32,161,489 | ) | ||
Proceeds from issuance of shares | 51,365,577 | |||
Cash payments on shares redeemed | (23,747,459 | ) | ||
Distributions paid to shareholders | (7,912,708 | ) | ||
|
| |||
Net Cash Used in Financing Activities | (12,456,079 | ) | ||
|
| |||
Cash: | ||||
Net change in cash | (3,191,058 | ) | ||
Cash at beginning of year | — | |||
|
| |||
Cash overdraft at end of year | $ | (3,191,058 | ) | |
|
| |||
Cash Flow Information: | ||||
Cash paid for interest | $ | 252,512 | ||
|
| |||
Noncash Financing Activities: | ||||
Capital shares issued in reinvestment of distributions to shareholders | $ | 8,697,151 | ||
|
|
See Notes to Financial Statements.
32 |
This Page Intentionally Left Blank
33 |
|
Access Capital Community Investment Fund | ||
(Selected data for a share outstanding throughout the years indicated) |
Investment Activities | Distributions | |||||||||||||||||||||||
Net Asset Value, Beginning of Year | Net Investment Income(a) | Net Realized and Unrealized Gains (Losses) on Investments | Total from Investment Activities | Net Investment Income | Net Asset Value, End of Year | |||||||||||||||||||
Class A | ||||||||||||||||||||||||
Year Ended September 30, 2015 | $ 9.27 | 0.24 | 0.01 | 0.25 | (0.27 | ) | $ 9.25 | |||||||||||||||||
Year Ended September 30, 2014 | 9.28 | 0.27 | 0.02 | 0.29 | (0.30 | ) | 9.27 | |||||||||||||||||
Year Ended September 30, 2013 | 9.77 | 0.28 | (0.46) | (0.18) | (0.31 | ) | 9.28 | |||||||||||||||||
Year Ended September 30, 2012 | 9.75 | 0.37 | 0.05 | 0.42 | (0.40 | ) | 9.77 | |||||||||||||||||
Year Ended September 30, 2011 | 9.81 | 0.43 | (0.05) | 0.38 | (0.44 | ) | 9.75 | |||||||||||||||||
Class I (b) | ||||||||||||||||||||||||
Year Ended September 30, 2015 | $ 9.26 | 0.27 | 0.01 | 0.28 | (0.30 | ) | $ 9.24 | |||||||||||||||||
Year Ended September 30, 2014 | 9.27 | 0.31 | 0.01 | 0.32 | (0.33 | ) | 9.26 | |||||||||||||||||
Year Ended September 30, 2013 | 9.76 | 0.31 | (0.46) | (0.15) | (0.34 | ) | 9.27 | |||||||||||||||||
Year Ended September 30, 2012 | 9.74 | 0.40 | 0.04 | 0.44 | (0.42 | ) | 9.76 | |||||||||||||||||
Year Ended September 30, 2011 | 9.80 | 0.45 | (0.05) | 0.40 | (0.46 | ) | 9.74 |
(a) | Per share net investment income has been calculated using the average daily shares method. |
(b) | The existing share class was renamed Class I Shares with the commencement of Class A Shares on January 29, 2009. |
See Notes to Financial Statements.
34 |
FINANCIAL HIGHLIGHTS
|
Access Capital Community Investment Fund (cont.) | ||
(Selected data for a share outstanding throughout the years indicated) |
Ratios to Average Net Assets | Supplemental Data | |||||||||||||||||||||||||||
Total Return(a)(b) | Total Expenses | Net Expenses | Total Expenses After Fees Waived/Reimbursed and Excluding Interest Expense | Net Investment Income | Net Assets, End of Period (000’s) | Portfolio Turnover Rate | ||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||
Year Ended September 30, 2015 | 2.69% | 1.06% | 1.00% | 0.95% | 2.55% | $ 21,135 | 23% | |||||||||||||||||||||
Year Ended September 30, 2014 | 3.26% | 1.06% | 1.01% | 0.95% | 2.91% | 19,454 | 10% | |||||||||||||||||||||
Year Ended September 30, 2013 | (1.92%) | 0.99% | 0.99% | 0.92% | 2.99% | 14,869 | 23% | |||||||||||||||||||||
Year Ended September 30, 2012 | 4.35% | 1.03% | 1.03% | 0.94% | 3.80% | 14,458 | 20% | |||||||||||||||||||||
Year Ended September 30, 2011 | 3.98% | 1.03% | 1.03% | 0.96% | 4.40% | 8,212 | 17% | |||||||||||||||||||||
Class I | ||||||||||||||||||||||||||||
Year Ended September 30, 2015 | 2.95% | 0.63% | 0.63% | 0.58% | 2.91% | $ 511,106 | 23% | |||||||||||||||||||||
Year Ended September 30, 2014 | 3.76% | 0.65% | 0.65% | 0.58% | 3.34% | 478,605 | 10% | |||||||||||||||||||||
Year Ended September 30, 2013 | (1.69%) | 0.74% | 0.74% | 0.67% | 3.28% | 504,970 | 23% | |||||||||||||||||||||
Year Ended September 30, 2012 | 4.62% | 0.78% | 0.78% | 0.70% | 4.12% | 576,183 | 20% | |||||||||||||||||||||
Year Ended September 30, 2011 | 4.23% | 0.79% | 0.79% | 0.72% | 4.66% | 537,319 | 17% |
(a) | Assumes investment at net asset value at the beginning of the year, reinvestment of all dividends and distributions, and a complete redemption of the investment at net asset value at the end of the year. |
(b) | Total investment returns exclude the effect of sales charge. |
See Notes to Financial Statements.
35 |
|
September 30, 2015
1. Organization:
RBC Funds Trust (the “Trust”) was organized as a Delaware statutory trust on December 16, 2003 and currently consists of 23 portfolios. Overall responsibility for the management of the Trust is vested in its Board of Trustees (the “Board”). This report includes the Access Capital Community Investment Fund (the “Fund”). At its inception in 1998, the Access Capital Strategies Community Investment Fund, Inc., the Fund’s predecessor, elected status as a business development company under the Investment Company Act of 1940 (the “1940 Act”), but withdrew its election on May 30, 2006, and registered as a continuously offered, closed-end interval management company under the 1940 Act. The predecessor fund was reorganized into a series of the Trust, a registered open-end management company under the 1940 Act, effective July 28, 2008.
The Fund offers two share classes: Class A and Class I shares. Class A shares are offered with a 3.75% maximum front-end sales charge and a 1.00% contingent deferred sales charge (“CDSC”) for redemption within 12 months of a $1 million or greater purchase on which no front-end sales charge was paid. Class I shares (intended for investors meeting certain investment minimum thresholds) are not subject to either a front-end sales charge or a CDSC.
RBC Global Asset Management (U.S.) Inc. (“RBC GAM (US)” or “Advisor” or “Co-Administrator”) acts as the investment advisor for the Fund. The officers of the Trust (“Fund Management”) are also employees of RBC GAM (US) or its affiliates.
The Fund’s investment objective is to invest in geographically specific debt securities located in portions of the United States designated by Fund investors. The Fund seeks to achieve its investment objective by investing primarily in high quality debt securities and other debt instruments supporting the affordable housing industry in areas of the United States designated by Fund shareholders. The Fund’s investments generally support community development, for example by supporting job creation or local business development.
2. Significant Accounting Policies:
Summarized below are the significant accounting policies of the Fund. The policies conform to accounting principles generally accepted in the United States of America (“US GAAP”). Fund Management follows these policies when preparing financial statements. Fund Management may also be required to make estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the financial statements and the reported amounts of income and expenses for the period. Actual results could differ from those estimates.
Security Valuation:
The Board has adopted pricing and valuation procedures for determining the fair value of the Fund’s investments. Fair value of a security is considered to be the price that a fund might reasonably expect to receive upon its current sale in an orderly transaction between market participants.
Fixed income securities, including to-be-announced (“TBA”) commitments and municipal bonds, are generally valued based on evaluated prices received from third-party pricing services or from broker-dealers who make markets in the securities and are generally categorized as Level 2 in the fair value hierarchy. The pricing services utilize both dealer-supplied valuations and electronic data processing techniques that take into account multiple appropriate factors such as institutional-size trading in similar groups of securities, market spreads, interest rates, and fundamental security analytical data including yield, quality, coupon rate, maturity and type of issue.
Mortgage-related securities represent direct or indirect participation in, or are secured by and payable from, mortgage loans secured by real property and include pass-through securities and collateralized mortgage obligations. These securities may be issued or guaranteed by U.S. Government agencies or instrumentalities, or private issuers, including commercial banks, savings and loan institutions, private mortgage insurance bankers and other secondary market issuers. These mortgage-related securities are generally valued by pricing services that use broker-dealer quotations or valuation estimates from
36 |
NOTES TO FINANCIAL STATEMENTS
|
their internal pricing models. These pricing models generally consider such factors as current market data, estimated cash flows, market-based yield spreads, and estimated prepayment rates. Securities valued using such techniques and inputs are generally categorized as Level 2 in the fair value hierarchy. To the extent significant inputs are unobservable, the securities will be categorized as Level 3.
Exchange-traded futures are valued at the last sale price at the close of the market on the principal exchange on which they are traded and are categorized as Level 1 in the fair value hierarchy. Investments in open-end investment companies (mutual funds) are valued at net asset value and are categorized as Level 1 in the fair value hierarchy.
The Board has delegated to the Fund’s Pricing Committee (“Pricing Committee”) the responsibility for implementing the pricing and valuation procedures, including responsibility for determining the fair value of the Fund’s securities or other assets and liabilities. The Pricing Committee includes representatives of the Fund’s Advisor and Co-Administrator, including personnel from accounting and operations, investment management, trading, risk management, compliance and legal. The Pricing Committee meets at least quarterly to review and approve Fund valuation matters, including a review of the Fund’s pricing activity and operations, fair value measurements, pricing vendors, policies and procedures, and related controls. At least a quorum of the Pricing Committee shall meet more frequently, as needed, to consider and approve time-sensitive fair valuation matters. The Pricing Committee reports to the Valuation, Portfolio Management and Performance Committee (“Valuation Committee”) of the Board. Members of the Pricing Committee meet with the Valuation Committee and the Board at each of their regularly scheduled meetings to discuss valuation matters and actions taken during the period.
The Board has adopted procedures to determine the fair value of a security when a price is not available from a pricing service or broker-dealer or Fund Management determines that a price provided by a pricing service or broker-dealer does not approximate fair value. Fair valuation may also be used when a significant valuation event affecting the value of a security or market sector is determined to have occurred between the time when a security’s market closes and the time the Fund’s net asset value is calculated. The fair value of the security will be determined in good faith by the Pricing Committee in accordance with procedures and methodologies adopted by the Board. General factors used in determining the fair value of securities include, but are not limited to, fundamental analytical data relating to the security, the issuer and the market, such as duration, prepayment and default rates; general level of interest rates and changes in interest rates; information from broker-dealers; trading in similar securities; any restrictions on disposition of the security; and an evaluation of the forces that influence the market in which the investments are traded. These securities are either categorized as Level 2 or 3 in the fair value hierarchy, depending on the relevant inputs used.
When the Fund utilizes fair valuation methods that use significant unobservable inputs to determine a security’s value, such securities will be categorized as Level 3 of the fair value hierarchy. These methods may require subjective determinations about the value of a security. While the Fund’s policy is intended to result in a calculation of a Fund’s net asset value that fairly reflects security values as of the time of pricing, the Fund cannot guarantee that values determined by the Board or persons acting at their direction would accurately reflect the price that the Fund could obtain for a security if they were to dispose of it as of the time of pricing (for instance, in a forced or distressed sale). The prices used by the Fund may differ from the value that would be realized if the securities were sold.
The Fund’s Pricing Committee employs various methods for calibrating the valuation approach related to securities categorized within Level 2 and Level 3 of the fair value hierarchy. These methods may include regular due diligence of the Fund’s pricing vendors, a regular review of key inputs and assumptions, transaction back-testing or disposition analysis to compare unrealized gains and losses to realized gains and losses, reviews of missing and stale prices and large movements in market value, and reviews of any market related activities. Additionally, the pricing of all fair value holdings is subsequently reported to the Valuation Committee and Board.
37 |
NOTES TO FINANCIAL STATEMENTS
|
Fair Value Measurements:
The Fund discloses the fair value of its investments in a hierarchy that categorizes investments based on the inputs to valuation techniques used to measure fair value. The three levels of the fair value hierarchy are as follows:
● Level 1 - Inputs that reflect unadjusted quoted prices in active markets for identical assets or liabilities that the Fund has the ability to access at the measurement date.
● Level 2 - Significant inputs other than quoted prices that are observable for the asset or liability either directly or indirectly, including inputs in markets that are not considered to be active. Observable inputs may include quoted prices for similar securities, interest rates, spreads, prepayment speeds, etc.
● Level 3 - Significant unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Fund’s own assumptions in determining the fair value of investments).
The inputs or methodology used for valuing investments are not necessarily an indication of the risk associated with investing in those securities.
Inputs used in determining fair value of an investment may include, but are not limited to, price information, volatility statistics, credit and market data, and other factors, all of which may be either observable or unobservable. Inputs can vary among investments and will be impacted by the investment type and volume of activity for the particular security or similar securities in the market. Investments in the Level 3 category are generally supported by transactions and quoted prices from dealers participating in the market for those investments. Investments may be included in the Level 3 category due to a lack of market activity or transparency. Internal valuation models may also be used as a pricing source for Level 3 investments. Internal valuation models may rely on one or more unobservable inputs, such as estimated cash flows, financial statement analysis and discount rates.
The summary of inputs used to determine the fair valuation of the Fund’s investments as of September 30, 2015 is as follows:
Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | Total | |||||||||||||||||
Assets: | ||||||||||||||||||||
Investments in Securities | ||||||||||||||||||||
Investment Company | $ 9,378,538 | $ | — | $ | — | $ | 9,378,538 | |||||||||||||
Municipal Bonds | — | 19,389,188 | — | 19,389,188 | ||||||||||||||||
U.S. Government Agency Backed Mortgages | — | 573,236,634 | — | 573,236,634 | ||||||||||||||||
U.S. Government Agency Obligations | — | 4,887,036 | 168,079 | 5,055,115 | ||||||||||||||||
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| |||||||||||||
Total Assets | $ 9,378,538 | $ | 597,512,858 | $ | 168,079 | $ | 607,059,475 | |||||||||||||
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| |||||||||||||
Liabilities: | ||||||||||||||||||||
Other Financial Instruments(*) | ||||||||||||||||||||
Interest Rate Contracts | $ 1,042,500 | $ | 71,253,945 | $ | — | $ | 72,296,445 | |||||||||||||
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* Other financial instruments are futures contracts which are reflected in the Schedule of Portfolio Investments and are shown at the unrealized appreciation/(depreciation) on the contracts and reverse repurchase agreements which are reflected in the Notes to Financial Statements and shown in the Statement of Assets and Liabilities at their par value plus accrued interest.
During the year ended September 30, 2015, the Fund recognized no transfers to/from Level 1 or 2. The Fund’s policy is to recognize transfers to/from Level 1, Level 2 and Level 3 at the end of the period utilizing fair value at the beginning of the period.
38 |
NOTES TO FINANCIAL STATEMENTS
|
Following is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value:
U.S. Government Agency Obligations (Small Business Administration) | Promissory Notes | |||||||||||||||
Balance as of 9/30/14(value) | $216,592 | $ | 9,336,066 | |||||||||||||
Sales (Paydowns) | — | (9,482,586) | ||||||||||||||
Realized gain (loss) | — | 600,000 | ||||||||||||||
Change in unrealized appreciation (depreciation) | (48,513)* | (453,480) | ||||||||||||||
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|
| |||||||||||||
Balance as of 9/30/15 (value) | $168,079 | $ | — | |||||||||||||
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|
|
|
* Net change in unrealized appreciation/(depreciation) in Level 3 securities still held at September 30, 2015.
The Fund’s assets assigned to the Level 3 category were valued using the valuation methodology and technique deemed most appropriate in the circumstances. The significant unobservable inputs used include assumptions regarding the particular security’s cash flow profile, prepayments and potential defaults which may not be generally observable for either the security or for assets of a similar type. Inputs with respect to variable rate securities may also include assumptions regarding future interest rate changes. Significant changes in any of these assumptions may result in a lower or higher fair value measurement.
Financial Instruments:
Reverse Repurchase Agreements:
To obtain short-term financing, the Fund entered into reverse repurchase agreements with primary dealers that report to the Federal Reserve Bank of New York or the 100 largest U.S. commercial banks, who are deemed creditworthy under guidelines approved by the Board. Interest on the value of the reverse repurchase agreements is based upon competitive market rates at the time of issuance. At the time the Fund enters into a reverse repurchase agreement, it will establish and maintain a segregated account with the custodian containing qualifying assets having a value, including accrued interest, not less than the repurchase price. Based on requirements with certain exchanges and third party broker-dealers, the Fund may also be required to deliver or deposit securities or cash as collateral. For the year ended September 30, 2015, the average amount borrowed was approximately $74,849,759 and the daily weighted average interest rate was 0.35%.
Details of open reverse repurchase agreements at September 30, 2015 were as follows:
Counterparty | Rate | Trade Date | Maturity Date | Net Closing Amount | Par Value | |||||||||||||||
BNP Paribas | 0.50% | 8/26/15 | 10/27/15 | $ | (9,712,356) | $ | (9,704,000) | |||||||||||||
Deutsche Bank AG | 0.55% | 9/02/15 | 11/17/15 | (15,244,680) | (15,227,000) | |||||||||||||||
Goldman Sachs | 0.36% | 8/04/15 | 10/02/15 | (18,184,723) | (18,174,000) | |||||||||||||||
Goldman Sachs | 0.48% | 8/18/15 | 10/16/15 | (17,827,013) | (17,813,000) | |||||||||||||||
Goldman Sachs | 0.52% | 8/26/15 | 11/03/15 | (10,308,264) | (10,298,000) |
Reverse repurchase transactions are entered into by the Fund under Master Repurchase Agreements (“MRA”), which permit the Fund, under certain circumstances, including an event of default (such as bankruptcy or insolvency), to offset payables and/or receivables under the MRA with collateral held and/or posted to the counterparty and create one single net payment due to or from the Fund. With reverse repurchase transactions, typically the Fund and the counterparties are permitted to sell, re-pledge, or use the collateral associated with the transaction. However, bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against such a right of offset in the event of the MRA counterparty’s bankruptcy or insolvency. Pursuant to the terms of the MRA, the Fund receives or posts securities as collateral with a market value in excess of the repurchase price to
39 |
NOTES TO FINANCIAL STATEMENTS
|
be received or paid by the Fund upon the maturity of the transaction. Upon a bankruptcy or insolvency of the MRA counterparty, the Fund is considered an unsecured creditor with respect to excess collateral and, as such, the return of excess collateral may be delayed.
The following table is a summary of the Fund’s reverse repurchase agreements by counterparty, which are subject to offset under a MRA on a net basis as of September 30, 2015 :
Counterparty | Reverse Repurchase Agreements | Fair Value of Non-cash Collateral Pledged1 | Cash Collateral Pledged | Net Amount2 | ||||||||||||
BNP Paribas | $ | 9,708,852 | $ | (9,708,852) | $ | — | $ | — | ||||||||
Deutsche Bank AG | 15,233,747 | (15,233,747) | — | — | ||||||||||||
Goldman Sachs | 46,311,346 | (46,311,346) | — | — | ||||||||||||
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| |||||||||
$ | 71,253,945 | $ | (71,253,945) | $ | — | $ | — | |||||||||
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1 | Collateral with a value of $73,771,318 has been pledged in connection with open reverse repurchase agreements. Excess of collateral pledged to the individual counterparty is not shown for financial reporting purposes. |
2 | Net amount represents the net amount payable due to the counterparty in the event of default. |
In the event the buyer of securities under a MRA files for bankruptcy or becomes insolvent, the Fund’s use of the proceeds of the agreement may be restricted while the other party, or its trustee or receiver, determines whether or not to enforce the Fund’s obligation to repurchase the securities.
Derivatives:
The Fund may use derivative instruments, including futures, forwards, options, indexed securities, swaps and inverse securities for hedging purposes only. Derivatives allow the Fund to manage its risk exposure more quickly and efficiently than other types of instruments. Derivatives may be riskier than other types of investments and could result in losses that significantly exceed a Fund’s original investment. Derivatives are subject to the risk that changes in the value of a derivative may not correlate perfectly with the underlying asset, rate or index. The use of derivatives may not be successful, resulting in losses to a Fund, and the cost of such strategies may reduce the Fund’s returns.
Hedging also involves the risk that changes in the value of the derivative will not match those of the holdings being hedged as expected by the Fund, in which case any losses on the holdings being hedged may not be reduced and may be increased. There can be no assurance that the Fund’s hedging strategy will reduce risk or that hedging transactions will be available or cost effective. The Fund is subject to interest rate risk in the normal course of pursuing its investment objectives by investing in various derivative financial instruments, as described below. For open derivative instruments as of September 30, 2015, see the following section for financial futures contracts.
Financial Futures Contracts:
The Fund entered into futures contracts in an effort to manage both the duration of the portfolio and hedge against certain market risk. A futures contract on a securities index is an agreement obligating one party to pay, and entitling the other party to receive, during the term of the contract, cash payments based on the level of a specified securities index. Futures transactions involve brokerage costs and require a Fund to segregate assets to cover contracts that would require it to purchase securities or currencies. A Fund may lose the expected benefit of futures transactions if interest rates, exchange rates or securities prices change in an unanticipated manner. Such unanticipated changes may also result in lower overall performance than if a Fund had not entered into any futures transactions.
Upon entering into a futures contract, a Fund is required to pledge to the broker an amount of cash, U.S. government securities, or other assets equal to a certain percentage of the contract amount. Subsequent payments are made or received by the Fund each day, depending on the daily fluctuations in the fair value of the underlying instrument. A Fund would record an unrealized gain or loss each day equal to these daily payments.
40 |
NOTES TO FINANCIAL STATEMENTS
|
Open futures contracts are shown on the Schedule of Portfolio Investments. Underlying collateral pledged for open futures contracts is the cash at brokers shown on the Statement of Assets and Liabilities at September 30, 2015.
Fair value of derivative instruments as of September 30, 2015 are as follows:
Derivative Instruments Categorized by Risk Exposure | Statement of Assets and Liabilities Location | Amount | ||||
Liability Derivatives | ||||||
Interest Rate Risk | Unrealized loss on futures contracts | $ | 1,042,500 |
The effect of derivative instruments on the Statement of Operations during the year ended September 30, 2015 is as follows:
Derivative Instruments Categorized by Risk Exposure | Net Realized Losses from Futures Contracts | Net Change in Unrealized Appreciation/Depreciation on Futures Contracts | ||||||
Interest Rate Risk | $(2,334,885) | $(1,372,969) |
For the year ended September 30, 2015, the average volume of derivative activities are as follows:
Futures Short Positions (Contracts) | ||||
731 |
Counterparty Credit Risk:
Derivatives may also expose a Fund to counterparty risk (the risk that the derivative counterparty will not fulfill its contractual obligations). To the extent amounts due to the Fund from their counterparties are not fully collateralized, contractually or otherwise, the Fund bears the risk of loss from counterparty non-performance. The Fund’s maximum risk of loss from counterparty credit risk on over-the-counter (“OTC”) derivatives is generally the aggregate unrealized gain in excess of any collateral pledged by the counterparty to the Fund.
The Fund’s risk of loss from counterparty credit risk in OTC derivatives is generally limited to the aggregate unrealized gain netted against any collateral held by such Fund.
With exchange-traded futures, there is less counterparty credit risk to the Fund since the exchange or clearinghouse, as counterparty to such instruments, guarantees against a possible default. The clearinghouse stands between the buyer and the seller of the contract; therefore, credit risk is limited to failure of the clearinghouse. While offset rights may exist under applicable law, the Fund does not have a contractual right of offset against a clearing broker or clearinghouse in the event of a default (including the bankruptcy or insolvency) of the clearing broker or clearinghouse. Additionally, credit risk exists in exchange-traded futures with respect to initial and variation margin that is held in a clearing broker’s customer accounts. While clearing brokers are required to segregate customer margin from their own assets, in the event that a clearing broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the clearing broker for all its clients, typically the shortfall would be allocated on a pro rata basis across all the clearing broker’s customers, potentially resulting in losses to the Fund.
TBA Commitments:
The Fund may enter into TBA commitments to purchase or sell securities for a fixed price at a future date. TBA commitments are considered securities in themselves, and involve a risk of loss if the value of the security to be purchased/sold declines/increases prior to settlement date, which is in addition to the risk of decline in the value of a Fund’s other assets. Unsettled TBA commitments are valued at the current value of the underlying securities, according to the procedures described under “Security Valuation”. As of September 30, 2015, the Fund had no outstanding TBA commitments.
41 |
NOTES TO FINANCIAL STATEMENTS
|
Mortgage Backed Securities:
Because the Fund will focus on community development investments, such as securities backed by commercial and/or residential mortgage loans, it will be affected by risks not typically associated with funds that do not specialize in community development investments. These risks include credit and prepayment risk and risk due to default on underlying loans within a security. Changes in economic conditions, including delinquencies and/or defaults or assets underlying these securities, can affect the value, income and/or liquidity of such positions.
In addition, the Fund invests in certain mortgage-backed securities that qualify under the Community Reinvestment Act of 1977 (“CRA”) in which the Fund may pay a premium for the geographically or other targeted nature of the securities. There can be no guarantee, however, that a similar premium will be received if the security is sold by the Fund.
Credit Enhancement:
Certain obligations held in the Fund have credit enhancement or liquidity features that may, under certain circumstances, provide for repayment of principal and interest on the obligation upon demand date, interest rate reset date or final maturity. These enhancements may include: letters of credit; liquidity guarantees; security purchase agreements; tender option purchase agreements; and third party insurance.
Investment Transactions and Income:
Investment transactions are recorded one business day after trade date, except on the last day of each fiscal quarter end, when they are recorded on trade date. Dividend income is recorded on the ex-dividend date. Realized gains and losses from investment transactions are calculated based on the costs of the specific security (also known as identified cost basis). Interest income is recognized on the accrual basis and includes, where applicable, the amortization and accretion of premium or discount using the effective yield method. Paydown gains and losses on mortgage- and asset-backed securities are included in the financial statements as interest income.
Expense, Investment Income and Gain/Loss Allocation:
The Fund pays the expenses that are directly related to its operations, such as custodian fees or advisory fees. Expenses incurred by the Trust, such as trustee or legal fees, are allocated to the Fund either proportionately based upon the Fund’s relative net assets or using another reasonable basis such as equally across all Funds in the Trust, depending on the nature of the expense. Individual share classes within the Fund are charged expenses specific to that class, such as distribution fees and transfer agent fees. Within the Fund, expenses other than class specific expenses are allocated daily to each class based upon the proportion of relative net assets. Investment income and realized and unrealized gains or losses are allocated to each class of shares based upon the proportion of relative net assets.
Distributions to Shareholders:
The Fund pays out any income that it receives, less expenses, in the form of dividends and capital gains to its shareholders. Income dividends are declared daily and paid monthly. Dividends will also be paid to a redeeming shareholder at any time during the month upon total redemption of shares in an account. Capital gain distributions are declared and paid at least annually. Distributions to shareholders are recorded on the ex-dividend date. The amount of dividends and distributions are calculated based on federal income tax regulations, which may differ from US GAAP. These “book/tax” differences may be either temporary or permanent in nature. To the extent these differences are determined, as of the end of the tax year, to be permanent (e.g., reclassification of paydown gains and losses, and expiring capital loss carryforward), they are reclassified within a Fund’s capital account based on their federal tax basis treatment.
42 |
NOTES TO FINANCIAL STATEMENTS
|
For the year ended September 30, 2015, permanent difference reclassification amounts were as follows:
Increase Undistributed Net Investment Income | Increase Accumulated Realized Gain/Loss | Decrease Paid-in-Capital | ||||||||
$1,674,048 | $810,119 | $(2,484,167) |
3. Agreements and Other Transactions with Affiliates:
RBC GAM (US) serves as investment advisor to the Fund and has agreed to waive or limit fees through January 31, 2017, to maintain expenses (excluding interest expense, management fees and distribution fees) at 0.20% of the Fund’s average daily net assets. The Fund will carry forward, for a period not to exceed 12 months from the date on which a waiver or reimbursement is made by the Advisor, any expenses in excess of the expense limitation and repay the Advisor such amounts, provided the Fund is able to effect such repayment and remain in compliance with the expense limitation disclosed in the effective prospectus. At September 30, 2015, the amount subject to possible recoupment under the expense limitation agreement is $11,203. During the year ended September 30, 2015, no reimbursements were made to the Advisor.
Under the terms of the Fund’s investment advisory agreement, the Advisor receives from the Fund an annual management fee, paid monthly, of 50 basis points (0.50%) of the Fund’s daily average net assets.
The Trust currently pays each of the independent Trustees (Trustees of the Trust who are not directors, officers or employees of the Advisor, either Co-Administrator or Distributor) an annual retainer of $41,500 ($46,000 effective October 1, 2015). The Board Chairperson and Audit Committee Chairperson each receive an additional retainer of $2,500 annually, and all other trustees serving as Chair of a Board committee each receive an additional retainer of $1,000 annually. In addition, Independent Trustees receive a quarterly meeting fee of $5,500 ($6,000 effective October 1, 2015) for each in-person Board meeting attended, a meeting fee of $1,500 for each telephonic or Special Board meeting attended, a $1,500 fee for each Board committee meeting attended, and are reimbursed for all out-of-pocket expenses relating to attendance at such meetings.
4. Fund Distribution:
The Fund has adopted a Master Distribution 12b-1 Plan (the “Plan”) in which Quasar Distributors LLC (the “Distributor”) acts as the Fund’s distributor. The Plan permits the Fund to make payments for, or to reimburse the Distributor for, distribution-related costs and expenses of marketing shares of Class A covered under the Plan, and/or for providing shareholder services. The Plan does not apply to Class I. The following chart shows the current Plan fee rate for Class A.
Class A | ||
12b-1 Plan Fee | 0.25% * |
* Under the Plan, the maximum fee rate for Class A shares is 0.50%. Currently the Board has approved an annual limit of 0.25%.
Plan fees are based on average daily net assets of Class A. The Distributor, subject to applicable legal requirements, may waive the Plan fee voluntarily, in whole or in part. For the year ended September 30, 2015, there were no fees waived by the Distributor.
5. Securities Transactions:
The cost of securities purchased and proceeds from securities sold (excluding securities maturing less than one year from acquisition) for the year ended September 30, 2015 were as follows:
Purchases (Excl. U.S. Gov’t.) | Sales (Excl. U.S. Gov’t.) | Purchases of U.S. Gov’t. | Sales of U.S. Gov’t. | |||||
$140,358,709 | $134,188,167 | $— | $— |
43 |
NOTES TO FINANCIAL STATEMENTS
|
6. Capital Share Transactions:
The Trust is authorized to issue 1,000,000,000 shares of beneficial interest (“shares outstanding”) with par value of $.0000001. Transactions in shares of the Fund are summarized below:
For the Year Ended September 30, 2015 | For the Year Ended September 30, 2014 | |||||||
CAPITAL TRANSACTIONS: | ||||||||
Class A | ||||||||
Proceeds from shares issued | $ | 7,363,847 | $ | 7,021,233 | ||||
Distributions reinvested | 521,306 | 438,285 | ||||||
Cost of shares redeemed | (6,124,647 | ) | (2,860,921 | ) | ||||
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| |||||
Change in Class A | $ | 1,760,506 | $ | 4,598,597 | ||||
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Class I | ||||||||
Proceeds from shares issued | $ | 43,562,746 | $ | 14,575,932 | ||||
Distributions reinvested | 8,175,845 | 8,407,952 | ||||||
Cost of shares redeemed | (17,969,425 | ) | (48,941,132 | ) | ||||
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Change in Class I | $ | 33,769,166 | $ | (25,957,248 | ) | |||
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Change in net assets resulting from capital transactions | $ | 35,529,672 | $ | (21,358,651 | ) | |||
|
|
|
| |||||
SHARE TRANSACTIONS: | ||||||||
Class A | ||||||||
Issued | 791,058 | 758,018 | ||||||
Reinvested | 55,977 | 47,283 | ||||||
Redeemed | (660,470 | ) | (309,068 | ) | ||||
|
|
|
| |||||
Change in Class A | 186,565 | 496,233 | ||||||
|
|
|
| |||||
Class I | ||||||||
Issued | 4,688,661 | 1,575,302 | ||||||
Reinvested | 878,307 | 907,861 | ||||||
Redeemed | (1,929,901 | ) | (5,275,061 | ) | ||||
|
|
|
| |||||
Change in Class I | 3,637,067 | (2,791,898 | ) | |||||
|
|
|
| |||||
Change in shares resulting from capital transactions | 3,823,632 | (2,295,665 | ) | |||||
|
|
|
|
7. Federal Income Taxes:
It is the policy of the Fund to continue to qualify as a regulated investment company by complying with the provisions available to certain investment companies, as defined under Subchapter M of the Internal Revenue Code, and to distribute substantially all of its net investment income and net realized capital gains. Therefore, no federal tax liability is recorded in the financial statements of the Fund.
Fund Management has analyzed the Fund’s tax positions taken or expected to be taken on federal income tax returns for all open tax years (the tax years ended September 30 of the years 2012, 2013, 2014 and 2015) and has concluded that no provision for federal income tax is required in the Fund’s financial statements. The Fund’s federal and state income and federal excise tax returns for tax years for which the applicable statutes of limitations have not expired are subject to examination by the Internal Revenue Service and state departments of revenue.
44 |
NOTES TO FINANCIAL STATEMENTS
|
As of and during the year ended September 30, 2015, the Fund did not have a liability for any unrecognized tax benefits. The Fund recognizes interest and penalties, if any, related to unrecognized tax benefits as income tax expense in the Statement of Operations. During the year, the Fund did not incur any interest or penalties.
As of September 30, 2015, the tax cost of securities and the breakdown of unrealized appreciation (depreciation) was as follows:
Tax | Unrealized | Unrealized | Net Unrealized | |||
$ 589,607,666 | $21,372,514 | $(3,920,705) | $17,451,809 |
The tax characters of distributions were as follows:
Distributions Paid From | ||||||||
Ordinary Income | Total Distributions Paid | |||||||
For the year ended September 30, 2015 | $ | 16,567,503 | $ | 16,567,503 | ||||
For the year ended September 30, 2014 | $ | 18,476,222 | $ | 18,476,222 |
As of September 30, 2015, the components of accumulated earnings/(losses) and tax character of distributions paid are as follows:
Undistributed Ordinary Income | Accumulated Earnings | Distributions Payable | Deferred Qualified Late-Year Losses | Accumulated Capital Loss Carryforwards | Unrealized Appreciation | Total Accumulated Losses | ||||||||||||||||||||
$56,109 | $— | $(1,378,750) | $— | $(41,590,335) | $17,451,809 | $(25,461,167) |
As of September 30, 2015, the Fund had capital loss carryforwards for federal income tax purposes as follows:
Capital Loss | Expires | |
$ 8,197,543 | 2016 | |
$ 11,587,282 | 2018 | |
$ 4,011,206 | 2019 |
During the year ended September 30, 2015, the Fund did not utilize any capital loss carryforwards and had capital loss carryforwards of $2,484,167 expire as of the end of the fiscal year ending September 30, 2015.
As of September 30, 2015, the Fund had a short-term capital loss carryforward of $8,995,285 and a long-term capital loss carryforward of $8,799,019 available to offset future realized capital gains in accordance with the Regulated Investment Company Modernization Act of 2010. These capital loss carryforwards are not subject to expiration and must first be utilized to offset future realized gains of the same character and must be utilized prior to the utilization of the loss carryforwards subject to expiration that are described above.
Under current tax law, capital losses realized after October 31 of a Fund’s fiscal year may be deferred and treated as occurring on the first business day of the following fiscal year for tax purposes. The Fund did not have any deferred qualified late-year capital losses which will be treated as arising on the first business day of the fiscal year ending September 30, 2016.
45 |
NOTES TO FINANCIAL STATEMENTS
|
8. Subsequent Events:
Fund Management has evaluated the impact of all subsequent events on the Fund and has determined that there were no subsequent events requiring recognition or disclosure in the financial statements.
46 |
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
|
To the Shareholders of Access Capital Community Investment Fund and Board of Trustees of RBC Funds Trust.
We have audited the accompanying statements of assets and liabilities, including the schedule of portfolio investments, of Access Capital Community Investment Fund (the “Fund”), one of the portfolios constituting the RBC Funds Trust, as of September 30, 2015, and the related statements of operations and cash flows for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended. These financial statements and financial highlights are the responsibility of the Fund’s management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.
We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. The Fund is not required to have, nor were we engaged to perform, an audit of their internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Fund’s internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of September 30, 2015, by correspondence with the custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of Access Capital Community Investment Fund, as of September 30, 2015, the results of its operations and its cash flows for the year then ended, the changes in their net assets for each of the two years in the period then ended and the financial highlights for each of the five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America.
DELOITTE & TOUCHE LLP
Chicago, Illinois
November 25, 2015
47 |
OTHER FEDERAL INCOME TAX INFORMATION (UNAUDITED)
|
The Fund reports a portion of the income dividends distributed during the fiscal year ended September 30, 2015, as qualified interest income as defined in the Internal Revenue Code as 100%.
The reporting is based on financial information available as of the date of this annual report and, accordingly, is subject to change. It is the intention of the Fund to report the maximum amount permitted under the Internal Revenue Code and the regulations thereunder.
48 |
|
Independent Trustees(1)(2)
T. Geron Bell (74)
Position, Term of Office and Length of Time Served with the Trust: Trustee since January 2004
Principal Occupation(s) During Past 5 Years: Chairman of the Executive Board of the Minnesota Twins (2011 to present); President of Twins Sports, Inc. (parent company of the Minnesota Twins) (2002-2011); President of the Minnesota Twins Baseball Club Incorporated (1987-2002)
Number of Portfolios in Fund Complex Overseen by Trustee: 23
Other Director/Trustee Positions Held by Trustee During Past 5 Years: None
Lucy Hancock Bode (64)
Position, Term of Office and Length of Time Served with the Trust: Trustee since January 2004
Principal Occupation(s) During Past 5 Years: Healthcare consultant (self-employed) (1986 to present)
Number of Portfolios in Fund Complex Overseen by Trustee: 23
Other Director/Trustee Positions Held by Trustee During Past 5 Years: Franklin Street Partners (2014 to present); BioSignia (2006 to 2010).
Leslie H. Garner Jr. (65)
Position, Term of Office and Length of Time Served with the Trust: Trustee since January 2004
Principal Occupation(s) During Past 5 Years: President and CEO, The Greater Cedar Rapids Community Foundation (2010 to present); previously, President, Cornell College (1994 to 2010)
Number of Portfolios in Fund Complex Overseen by Trustee: 23
Other Director/Trustee Positions Held by Trustee During Past 5 Years: None
Ronald James (64)
Position, Term of Office and Length of Time Served with the Trust: Trustee since January 2004
Principal Occupation(s) During Past 5 Years: President and Chief Executive Officer, Center for Ethical Business Cultures (2000 to present)
Number of Portfolios in Fund Complex Overseen by Trustee: 23
Other Director/Trustee Positions Held by Trustee During Past 5 Years: Bremer Financial Corporation (2004 to present); Best Buy Co. Inc. (2004 to 2013).
John A. MacDonald (66)
Position, Term of Office and Length of Time Served with the Trust: Trustee since January 2004
Principal Occupation(s) During Past 5 Years: Vice President and Treasurer, Hall Family Foundation (1988 to present)
Number of Portfolios in Fund Complex Overseen by Trustee: 23
Other Director/Trustee Positions Held by Trustee During Past 5 Years: None
H. David Rybolt (73)
Position, Term of Office and Length of Time Served with the Trust: Trustee since January 2004
Principal Occupation(s) During Past 5 Years: Principal, HDR Associates (consulting-executive search) (1985 to present)
Number of Portfolios in Fund Complex Overseen by Trustee: 23
Other Director/Trustee Positions Held by Trustee During Past 5 Years: None
49 |
MANAGEMENT (Unaudited)
|
Independent Trustees(1)(2)
James R. Seward (63)
Position, Term of Office and Length of Time Served with the Trust: Chairman of the Board and Trustee since January 2004
Principal Occupation(s) During Past 5 Years: Private investor (2000 to present); CFA (1987 to present)
Number of Portfolios in Fund Complex Overseen by Trustee: 23
Other Director/Trustee Positions Held by Trustee During Past 5 Years: Sooner Holdings (formerly Syntroleum Corporation) (1988 to 2014); Brookdale Senior Living Inc. (2008 to present)
William B. Taylor (70)
Position, Term of Office and Length of Time Served with the Trust: Trustee since September 2005
Principal Occupation(s) During Past 5 Years: Consultant (2003 to present); previously Partner, Ernst & Young LLP (1982 to 2003)
Number of Portfolios in Fund Complex Overseen by Trustee: 23
Other Director/Trustee Positions Held by Trustee During Past 5 Years: William Henry Insurance, LLC (2005 to present); Balance Innovations LLC (2014 to present); Kansas City Symphony (1995 to present)
Interested Trustees(1)(2)(3)
Kathleen A. Gorman (51)(5)
Position, Term of Office and Length of Time Served with the Trust: Trustee since September 2012
Principal Occupation(s) During Past 5 Years: President and Chief Executive Officer, RBC Funds (2012 to present); Chief Compliance Officer, RBC Funds (2006 to 2012); Director of Regulatory Administration, RBC Global Asset Management (U.S.) Inc. (2007 to 2012); Chief Compliance Officer, RBC Global Asset Management (U.S.) Inc. (2006-2009)
Number of Portfolios in Fund Complex Overseen by Trustee: 23
Other Director/Trustee Positions Held by Trustee During Past 5 Years: None
Executive Officers(1)(3)(4)
Kathleen A. Gorman (51)
Position, Term of Office and Length of Time Served with the Trust: President and Chief Executive Officer since September 2012
Principal Occupation(s) During Past 5 Years: President and Chief Executive Officer, RBC Funds (2012 to present); Chief Compliance Officer, RBC Funds (2006 to 2012); Director of Regulatory Administration, RBC Global Asset Management (U.S.) Inc. (2007 to 2012); Chief Compliance Officer, RBC Global Asset Management (U.S.) Inc. (2006-2009)
50 |
MANAGEMENT (Unaudited)
|
Executive Officers(1)(3)(4)
Kathleen A. Hegna (48)
Position, Term of Office and Length of Time Served with the Trust: Chief Financial Officer and Principal Accounting Officer since May 2009 and Treasurer since March 2014
Principal Occupation(s) During Past 5 Years: Associate Vice President and Director, Mutual Fund Accounting and Administration, RBC Global Asset Management (U.S.) Inc. (2009 to present)
Christina M. Weber (47)
Position, Term of Office and Length of Time Served with the Trust: Chief Compliance Officer since December 2012 and Assistant Secretary since March 2013
Principal Occupation(s) During Past 5 Years: Chief Compliance Officer, RBC Funds (2012-present); Senior Compliance Officer, RBC Funds (March 2012 to December 2012); Compliance Manager, Minnesota Life Insurance Company (2006-2012)
Lee Thoresen (44)
Position, Term of Office and Length of Time Served with the Trust: Chief Legal Officer and Secretary since March 2008
Principal Occupation(s) During Past 5 Years: Senior Associate General Counsel, RBC Capital Markets, LLC (2006-present)
Ronald A. Homer (68)
Position, Term of Office and Length of Time Served with the Trust: President, Access Capital Community Investment Fund, since July 2008 Principal Occupation(s) During Past 5 Years: Managing Director, RBC Global Asset Management (U.S.) Inc. and President, Access Capital Community Investment Fund (July 2008 to present); Chief Executive Officer and Co-Managing Member, Access Capital Strategies LLC (1997-July 2008); Chairman, Access Capital Strategies Community Investment Fund (1998-July 2008)
(1) | Except as otherwise noted, the address of each Trustee/Officer is RBC Funds Trust, 50 South Sixth Street, Suite 2350, Minneapolis, Minnesota 55402. |
(2) | All Trustees must retire on or before December 31 of the year in which they reach age 75. The Board may temporarily waive this requirement when necessary to avoid depriving the Board of a Trustee with critical skills. |
(3) | On December 31, 2009, Voyageur Asset Management Inc. changed its name to RBC Global Asset Management (U.S.) Inc. Any references to RBC Global Asset Management (U.S.) Inc. for prior periods are deemed to be references to the prior entity. |
(4) | Each officer serves in such capacity for an indefinite period of time until his or her removal, resignation or retirement. |
(5) | Kathleen A. Gorman has been determined to be an interested Trustee by virtue of her position with the Advisor. |
The Funds’ Statement of Additional Information includes information about the Funds’ Trustees. To receive your free copy of the Statement of Additional Information, call toll free: 1-800-422-2766.
51 |
SHARE CLASS INFORMATION (UNAUDITED)
|
The Access Capital Community Investment Fund offers Class A and Class I shares.
Class A
Class A shares are available for purchase primarily through investment advisors, broker-dealers, banks and other financial services intermediaries. Class A shares of the Fund are currently subject to a maximum up-front sales charge of 3.75% and a 1.00% CDSC for redemption within 12 months of a $1 million or greater purchase. Class A shares currently include a 0.25% annual 12b-1 service and distribution fee.
Class I
Class I shares are intended for investors meeting certain minimum investment thresholds. This share class does not have an up-front sales charge (load) or a 12b-1 service and distribution fee.
52 |
SUPPLEMENTAL INFORMATION (UNAUDITED)
|
Shareholder Expense Examples
As a shareholder of the Access Capital Community Investment Fund, you incur two types of costs: (1) transaction costs, and (2) ongoing costs, including management fees and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period from April 1, 2015 through September 30, 2015.
Actual Expenses
The table below provides information about actual account values and actual expenses. You may use the information below, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the table under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Beginning Account Value 4/1/15 | Ending Account Value 9/30/15 | Expenses Paid During Period* 4/1/15-9/30/15 | Annualized Expense Ratio During Period 4/1/15-9/30/15 | |||||
Class A | $1,000.00 | $1,001.40 | $5.02 | 1.00% | ||||
Class I | $1,000.00 | $1,003.20 | $3.16 | 0.63% |
Hypothetical Example for Comparison Purposes
The table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio 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 for the period. You may use this information to compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads), redemption fees, or exchange fees. Therefore, the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Beginning Account Value 4/1/15 | Ending Account Value 9/30/15 | Expenses Paid During Period* 4/1/15-9/30/15 | Annualized Expense Ratio During Period 4/1/15-9/30/15 | |||||
Class A | $1,000.00 | $1,020.05 | $5.06 | 1.00% | ||||
Class I | $1,000.00 | $1,021.91 | $3.19 | 0.63% |
*Expenses are equal to the average account value times the Fund’s annualized expense ratio multiplied by 183/365 (to reflect one half-year period).
53 |
APPROVAL OF INVESTMENT ADVISORY AGREEMENT (UNAUDITED)
|
Information Regarding the Approval of Investment Advisory Agreement
In September 2015, after evaluating the services provided by RBC Global Asset Management (U.S.) Inc. (the “Advisor”) and reviewing the performance, fees, and expenses of the Fund, the RBC Funds Board of Trustees determined to approve the continuation of the investment advisory agreement (“Agreement”) with the Advisor for the Fund for an additional year.
As part of their review of the Agreement, the Trustees requested and considered information regarding the advisory services performed by the Advisor; the staffing and qualifications of the personnel responsible for operating and managing the Fund; and the Fund’s performance, fees, and expenses. The Trustees considered information provided at regular quarterly Board and Committee meetings throughout the year as well as information presented at both a special meeting held to review requested material related to the proposed renewal and a meeting held specifically to consider the proposed renewal. In connection with their deliberations, the independent Trustees were advised by their own independent legal counsel with regard to the materials and their responsibilities under relevant laws and regulations.
The Trustees met with representatives from the Advisor’s senior management team, as well as the senior investment professionals responsible for managing the Fund, to discuss the information and the Advisor’s ongoing management of the Fund. The Trustees reviewed the nature, quality, and extent of the services provided to the Fund by the Advisor, including information as to the Fund’s performance relative to appropriate securities index benchmarks as well as fund peer group comparative information requested by the Board. Because of the specialized nature of the Fund, the Trustees requested and reviewed comparative information for its native category, intermediate government funds that are similar to the Fund in that they tend to have relatively high weightings in agency mortgage backed securities, as well as other funds and products that focus particularly on investments eligible for regulatory credit under the Community Reinvestment Act of 1977 (“CRA”); although only one peer shares the Fund’s specific mandate. The Trustees noted the slight underperformance of the Fund versus relevant peers, particularly for the five- and ten-year periods, acknowledging that the relative performance was due primarily to differences in duration and credit quality of portfolio holdings consistent with the Fund’s strategy.
In considering the nature and quality of services to be provided by the Advisor, the Trustees discussed the research, credit, and fundamental analysis capabilities; the specialized expertise in the area of fixed income investments eligible for regulatory credit under the CRA; and the extensive portfolio management experience of the Advisor’s staff as well as its operational and compliance structure and systems and financial strength. The Trustees reviewed the Fund’s investment advisory fee and reviewed comparative fee and expense information for similarly situated funds, noting that the effective advisory fee rates were slightly above median. The Trustees also received reports from the Advisor regarding the performance and fee levels for other advisory client accounts it advises in a similar strategy and discussed differences in services provided, noting that the need to: manage liquidity for shareholder redemptions; monitor the use of leverage and related borrowing levels, collateral requirements, and regulatory matters; and evaluating CRA eligibility, all require additional time and attention from the investment team.
The Trustees reviewed profitability data — including year-over-year variances — for the Advisor and considered information regarding other benefits the Advisor and its affiliates derived from their relationships with the Fund, including soft dollars and other fall-out benefits and the Advisor’s role as co-administrator of the Fund and the fees paid by the Fund for such services.
54 |
APPROVAL OF INVESTMENT ADVISORY AGREEMENT (UNAUDITED)
|
Based upon their review, the Trustees determined that the advisory fee proposed to be payable to the Advisor was fair and reasonable in light of the nature and quality of services provided under all the circumstances and were within the range of what might have been negotiated at arms’ length. The Trustees concluded that it is in the interests of the Fund and its shareholders for the Trustees to approve the continuation of the Agreement and expense limitation arrangement for the Fund. In arriving at their collective decision to approve the renewal of the Agreement, the Trustees did not assign relative weights to the factors discussed above or deem any one or group of them to be controlling in and of itself.
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Access Capital
P.O. Box 701
Milwaukee, WI 53201-0701
800-422-2766
www.rbcgam.us
Performance data represents past performance and does not guarantee future results. The principal value of an investment and investment return will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost.
This report and the financial statements contained herein are provided for the information of RBC Funds shareholders. This report is not authorized for distribution to prospective investors unless preceded or accompanied by a current prospectus, which contains information concerning investment objectives, risks, charges and expenses of the Fund. Please read the prospectus carefully before investing.
This report and the financial statements contained herein are not intended to be a forecast of future events, a guarantee of future results, or investment advice. There is no assurance that certain securities will remain in or out of the Fund’s portfolio. The views expressed in this report reflect those of the portfolio managers through the period ended September 30, 2015.
NOT FDIC INSURED ● NO BANK GUARANTEE ● MAY LOSE VALUE
RBC Global Asset Management (U.S.) Inc. serves as investment advisor to the Access Capital Community Investment Fund. The Fund is distributed by Quasar Distributors LLC.
The RBC Funds are pleased to offer shareholder reports printed entirely on Forest
Stewardship Council® certified paper. FSC® certification ensures that the paper
used in this report contains fiber from well-managed and responsibly harvested
forests that meet strict environmental and socioeconomic standards.
RBCF-AC AR 09-15
RBC Funds | ||||||||||||
About Your Annual Report |
This annual report includes detailed information about your Fund including financial statements, performance, and a complete list of its holdings. |
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The RBC Funds compare their performance against various Russell equity indices. Each of these indices is a widely recognized measure of return for the underlying category of securities. However, the indices are unmanaged, do not include fees, and cannot be invested in directly. |
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We hope the financial information presented will help you evaluate your investment in the RBC Funds. We also encourage you to read your Fund’s prospectus for further detail as to your Fund’s investment policies and risk profile. RBC Funds prospectuses and performance information subsequent to the date of this report are available on our website at www.rbcgam.us. |
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A description of the policies and procedures that your Fund uses to determine how to vote proxies relating to portfolio securities is available (i) without charge, upon request, by calling 1-800-422-2766; (ii) on the Fund’s website at www.rbcgam.us; and (iii) on the Securities and Exchange Commission’s (the “Commission”) website at http://www.sec.gov. |
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Information regarding how your Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available (i) on the Fund’s website at www.rbcgam.us; and (ii) on the Commission’s website at http://www.sec.gov. |
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A schedule of each Fund’s portfolio holdings will be filed with the Commission for the first and third quarters of each fiscal year on Form N-Q. This information is available on the Commission’s website at http://www.sec.gov and may be reviewed and copied at the Commission’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room is available by calling 1-202-551-8090. |
| |||||||||||
Contents | ||||||||||||
Letter from the Chief Investment Officer | 1 | |||||||||||
Portfolio Managers | 4 | |||||||||||
Performance Summary (Unaudited) | 6 | |||||||||||
Management Discussion and Analysis (Unaudited) | ||||||||||||
- RBC SMID Cap Growth Fund | 10 | |||||||||||
- RBC Enterprise Fund | 12 | |||||||||||
- RBC Small Cap Core Fund | 14 | |||||||||||
- RBC Microcap Value Fund | 16 | |||||||||||
- RBC Mid Cap Value Fund | 18 | |||||||||||
- RBC Small Cap Value Fund | 20 | |||||||||||
Schedules of Portfolio Investments | 22 | |||||||||||
Financial Statements | ||||||||||||
- Statements of Assets and Liabilities | 49 | |||||||||||
- Statements of Operations | 51 | |||||||||||
- Statements of Changes in Net Assets | 52 | |||||||||||
Financial Highlights | 58 | |||||||||||
Notes to Financial Statements | 70 | |||||||||||
Report of Independent Registered Public Accounting Firm | 83 | |||||||||||
Other Federal Income Tax Information (Unaudited) | 84 | |||||||||||
Management (Unaudited) | 86 | |||||||||||
Share Class Information (Unaudited) | 89 | |||||||||||
Supplemental Information (Unaudited) | 90 | |||||||||||
Approval of Investment Advisory Agreement (Unaudited) | 92 | |||||||||||
1 |
LETTER FROM THE CHIEF INVESTMENT OFFICER
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quarter, and the U.S. consumer, following years of post-financial crisis deleveraging and recent increases in disposable income driven by low commodity prices, is seemingly on the precipice of accelerating spending, by far the largest component of U.S. GDP. When combined with a fairly robust labor market - the 5.1% unemployment rate reported in September represents “full employment” (defined by economists as between 5% and 5.5%) and the lowest level since April of 2008 – and a housing market showing signs of strength, the U.S. economy appears poised for modest, if not accelerating, growth going forward, supporting our optimistic outlook. Perhaps the biggest uncertainty facing investors, outside of global growth concerns, is the Fed, which passed on an opportunity to increase interest rates for the first time in nine years during its September meeting. While all indications are that the lack of action was driven by global turmoil, the unintended impact was an indication that, despite significant signs to the contrary, perhaps the continued U.S. economic recovery is not as sustainable as once thought. We do not believe this to be the case, and we will not have to wait long for further clarity on this front as the Fed will have the opportunity to take action during one of the two remaining Federal Open Market Committee meetings in 2015. We think that any increased transparency has the potential to meaningfully impact markets and help set the course for equity market performance the next 12-18 months. While all is not perfect stateside as government discourse once again looms on the horizon with a debt ceiling breach and government shutdown possible over the last few months of 2015, we believe that recent market volatility and the subsequent sell-off was overdone creating substantial opportunity for outperformance in equity markets for the patient, long-term focused investor.
As always, thank you for your continued confidence and trust in the RBC Funds.
Michael Lee, CFA CEO, President and Chief Investment Officer RBC Global Asset Management (U.S.) Inc.
Past performance is not a guarantee of future results.
Diversification does not assure a profit or protect against a loss in a declining market.
Mutual fund investing involves risk. Principal loss is possible. Investments in smaller companies involve more limited liquidity and greater volatility than larger companies.
Fund holdings and sector allocations are subject to change at any time and should not be considered recommendations to buy or sell any security. Please refer to the Schedule of Investments in this report for a complete list of fund holdings.
The information provided herein represents the opinions of the Fund Managers and is not intended to be a forecast of future events, a guarantee of future results, nor investment advice. | |||||
2 |
LETTER FROM THE CHIEF INVESTMENT OFFICER
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The S&P 500 Index is the Standard & Poor’s composite index of 500 stocks, a widely recognized, unmanaged index of common stock prices.
The Russell 3000 Index is an unmanaged index that measures the performance of the largest 3,000 U.S. companies representing approximately 98% of the investable U.S. equity market.
The Russell 1000 Index is an unmanaged index that measures the performance of the large-cap segment of the U.S. equity universe. It is a subset of the Russell 3000Ò Index and includes approximately 1,000 of the largest securities based on a combination of their market cap and current index membership.
The Russell Midcap Index measures the performance of the mid-cap segment of the U.S. equity universe. It is a subset of the Russell 1000Ò Index and includes approximately 800 of the smallest securities based on a combination of their market cap and current index membership.
The Russell 2000 Value Index is an unmanaged index that measures the performance of small cap companies in the Russell 3000 Index with lower price-to-book ratios and lower forecasted growth rates.
The Russell Midcap Value Index 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.
The Russell 2500 Growth Index measures the performance of the small to mid cap growth segment of the U.S. equity universe. It includes those Russell 2500 Index companies with higher price-to-book ratios and higher forecasted growth values.
The Russell 2000 Index measures the performance of the small-cap segment of the U.S. equity universe. It is a subset of the Russell 3000 Index and represents approximately 10% of the total market capitalization of that index. It includes approximately 2,000 of the smallest securities based on a combination of their market cap and current index membership.
The Russell Microcap Index measures the performance of the microcap segment of the U.S. equity market. Microcap stocks make up less than 3% of the U.S. equity market (by market cap) and consist of the smallest 1,000 securities in the small-cap Russell 2000Ò Index, plus the next smallest eligible securities by market cap.
The Russell Microcap Value Index measures the performance of the microcap value segment of the U.S. Equity market. It includes those Russell Microcap Index companies with lower price-to-book ratios and lower forecasted growth values.
It is not possible to invest directly in an index.
Market Capitalization is the market price of an entire company, calculated by multiplying the number of shares outstanding by the price per share. | ||||||
3 |
| ||||||
RBC Global Asset Management (U.S.) Inc. (“RBC GAM (US)”) serves as the investment advisor to the RBC Funds. RBC GAM (US) employs a team approach to the management of the Funds, with no individual team member being solely responsible for the investment decisions.
| ||||||
Lance F. James |
Lance F. James Managing Director, Senior Portfolio Manager Lance James is responsible for portfolio management of the RBC Small Cap Core Fund, RBC Enterprise Fund, RBC Microcap Value Fund, and RBC Small Cap Value Fund. He is also co-manager of RBC Mid Cap Value Fund. Prior to joining RBC GAM (US) in 2006, Lance was an equity analyst and portfolio manager for OFI Institutional and Babson Capital Management, affiliated companies of Mass Mutual Life Insurance Company. During his tenure he served as head of the firm’s small/mid cap value investment team. Prior to joining Babson Capital in 1986, Lance worked at Rockwell International Corporation, EBF Associates of Boston and Hewitt Associates. Lance began his career in the investment industry in 1980. He received an AB in Economics from Princeton University and an MBA in Finance from the Wharton School of Business at the University of Pennsylvania.
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George Prince |
George Prince Vice President, Portfolio Manager, Senior Equity Analyst George Prince serves as the co-portfolio manager for the RBC Enterprise Fund. George also provides research support for the RBC Small Cap Core Fund. He joined RBC GAM (US) in 2006 from Eagle Asset Management, where he was a senior equity analyst. Prior to his experience at Eagle Asset Management, George was an analyst at Babson Capital Management. George also has a great deal of entrepreneurial experience and founded SignStorey, a leader in place-based digital communications in retail stores and co-founded Cutting Edge Inc., a global CAD-CAM technology company. George has over 12 years of investment industry experience. He received a BA from Yale University.
| |||||
Kenneth A. Tyszko, CPA, CFA |
Kenneth A. Tyszko, CPA, CFA Managing Director, Senior Portfolio Manager Ken Tyszko is responsible for portfolio management of the RBC SMID Cap Growth Fund, and is responsible for Small Cap Growth and SMID Cap Growth research and portfolio management at RBC GAM (US). Ken has been in the investment industry since 1984 and has been managing small cap growth and SMID cap growth portfolios since 1988. He joined RBC GAM (US) in 2001. Ken previously served as a portfolio manager for Oberweis Asset Management, ABN AMRO Asset Management (USA) Inc., ABN AMRO Incorporated, and Sears Investment Management Company. His background also includes experience at Main Hurdman, an international accounting and consulting firm. Ken earned a BS in Accountancy from the University of Illinois. He is a CFA charterholder. Ken is a member of the Illinois CPA Society, the CFA Society of Chicago, and the CFA Institute. He has been a guest on Bloomberg Television, Bloomberg Radio, CNBC, and WebFN.
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4 |
PORTFOLIO MANAGERS
| ||||||
Stephen E. Kylander Vice President, Senior Portfolio Manager
Steve Kylander is responsible for portfolio management of the RBC Mid Cap Value Fund and RBC Small Cap Value Fund. Prior to joining RBC GAM (US) in 2006, he was a portfolio manager and research analyst for Babson Capital Management. Steve’s previous experience also includes strategy consulting, mergers and acquisitions work and investment banking for L.E.K. Consulting, The Yarmouth Group, and First Boston Corporation. He began working in the investment industry in 1986. Steve earned a BA from Dartmouth College and an MBA from Harvard Business School.
|
Stephen E. Kylander | |||||
5 |
PERFORMANCE SUMMARY (UNAUDITED)
|
Average Annual Total Returns as of September 30, 2015 (Unaudited)
RBC SMID Cap Growth Fund (a)
1 Year | 3 Year | 5 Year | 10 Year | Since Inception(b) | Net Expense Ratio(1)(2) | Gross Expense Ratio(1)(2) | ||||||||
Class A | ||||||||||||||
- Including Maximum Sales Charge of 5.75% | (3.67)% | 7.78% | 10.82% | 6.09% | 10.39% | |||||||||
- At Net Asset Value | 2.20% | 9.92% | 12.14% | 6.71% | 10.66% | 1.10% | 1.45% | |||||||
Class I | 2.44% | 10.22% | 12.44% | 6.98% | 10.98% | 0.85% | 1.07% | |||||||
Russell 2500 Growth Index* | 3.35% | 13.79% | 13.93% | 8.38% | 10.07% |
RBC Enterprise Fund (c)
1 Year | 3 Year | 5 Year | 10 Year | Since Inception(d) | Net Expense Ratio(1)(2) | Gross Expense Ratio(1)(2) | ||||||||
Class A (f) | ||||||||||||||
- Including Maximum Sales Charge of 5.75% | (13.96)% | 4.52% | 9.01% | 3.50% | 9.81% | |||||||||
- At Net Asset Value | (8.73)% | 6.61% | 10.31% | 4.11% | 10.01% | 1.33% | 1.85% | |||||||
Class I (f) | (8.50)% | 6.89% | 10.57% | 4.36% | 10.28% | 1.08% | 1.21% | |||||||
Russell 2000 Index* | 1.25% | 11.02% | 11.73% | 6.55% | 9.05% |
Performance data quoted represents past performance. Past performance is no guarantee of future results. Investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than performance quoted. Performance shown reflects contractual fee waivers, without such fee waivers total returns would be reduced. Performance information does not reflect the 2% fee on shares redeemed or exchanged within 30 days of purchase. If such redemption fee was included, performance would be reduced. For performance data current to the most recent month-end go to www.rbcgam.us. Please see footnotes beginning on page 8.
6 |
PERFORMANCE SUMMARY (UNAUDITED)
|
RBC Small Cap Core Fund (g)
1 Year | 3 Year | 5 Year | 10 Year | Since Inception(h) | Net Expense Ratio(1)(2) | Gross Expense Ratio(1)(2) | ||||||||
Class A (l) | ||||||||||||||
- Including Maximum Sales Charge of 5.75% | (9.02)% | 7.79% | 10.24% | 6.48% | 9.65% | |||||||||
- At Net Asset Value | (3.47)% | 9.94% | 11.55% | 7.11% | 9.92% | 1.15% | 1.34% | |||||||
Class I (l) | (3.22)% | 10.22% | 11.83% | 7.41% | 10.21% | 0.90% | 1.13% | |||||||
Russell 2000 Index* | 1.25% | 11.02% | 11.73% | 6.55% | 9.45% |
RBC Microcap Value Fund (i)
1 Year | 3 Year | 5 Year | 10 Year | Since Inception(j) | Net Expense Ratio(1)(2) | Gross Expense Ratio(1)(2) | ||||||||
Class A (e) | ||||||||||||||
- Including Maximum Sales Charge of 5.75% | (5.93)% | 10.43% | 11.88% | 5.16% | 8.81% | |||||||||
- At Net Asset Value | (0.18)% | 12.63% | 13.21% | 5.78% | 9.04% | 1.32% | 1.69% | |||||||
Class I (e) | 0.04% | 12.90% | 13.50% | 6.05% | 9.31% | 1.07% | 1.22% | |||||||
Russell 2000 Value Index* | (1.60)% | 9.18% | 10.17% | 5.35% | 9.58% |
Performance data quoted represents past performance. Past performance is no guarantee of future results. Investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than performance quoted. Performance shown reflects contractual fee waivers, without such fee waivers total returns would be reduced. Performance information does not reflect the 2% fee on shares redeemed or exchanged within 30 days of purchase. If such redemption fee was included, performance would be reduced. For performance data current to the most recent month-end go to www.rbcgam.us. Please see footnotes beginning on page 8.
7 |
PERFORMANCE SUMMARY (UNAUDITED)
|
RBC Mid Cap Value Fund
1 Year | 3 Year | 5 Year | Since Inception(k) | Net Expense Ratio(1)(2) | Gross Expense Ratio(1)(2) | |||||||
Class I | ||||||||||||
- At Net Asset Value | 0.91% | 15.45% | 13.92% | 13.71% | 0.84% | 3.28% | ||||||
Russell Midcap Value Index* | (2.07)% | 13.69% | 13.15% | 13.40% |
Aggregate Total Returns as of September 30, 2015 (Unaudited)
RBC Small Cap Value Fund
1 Year | 3 Year | 5 Year | Since Inception(m) | Net Expense Ratio(2)(3)(4) | Gross Expense Ratio(2)(3)(4) | |||||||
Class I | ||||||||||||
- At Net Asset Value | N/A | N/A | N/A | (2.42)% | 1.00% | 3.50% | ||||||
Russell 2000 Value Index* | N/A | N/A | N/A | (7.28)% |
Performance data quoted represents past performance. Past performance is no guarantee of future results. Investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than performance quoted. Performance shown reflects contractual fee waivers, without such fee waivers total returns would be reduced. Performance information does not reflect the 2% fee on shares redeemed or exchanged within 30 days of purchase. If such redemption fee was included, performance would be reduced. For performance data current to the most recent month-end go to www.rbcgam.us. Please see footnotes below.
(1) The Funds’ expenses reflect the most recent fiscal year or period ended September 30, 2015.
(2) The advisor has contractually agreed to waive fees and/or make payments in order to keep total operating expenses of the Fund to the levels listed under net expense ratio until January 31, 2017 (October 31, 2017 for Mid Cap Value Fund). For Mid Cap Value Fund, effective August 3, 2015, the annual rate under the expense limitation agreement is 0.55% for Class I. Prior to August 3, 2015, the annual rate was 0.90% for Class I. The ratio of net expenses to average net assets represents a blended percentage for the period ended September 30, 2015.
(3) For the period from December 3, 2014 (commencement of operations) to September 30, 2015.
(4) Annualized.
*Each of the comparative indices is a widely recognized market value weighted measure of the return of securities, but do not include sales fees or operating expenses. You cannot invest directly in indices.
(a) | The performance in the table for the period from June 1, 1994 to April 19, 2004 reflects the performance of RBC Mid Cap Equity Fund, the predecessor to RBC SMID Cap Growth Fund. The performance of the Fund also includes the performance of a common trust fund (“CTF”) account advised by RBC GAM (US) (including its predecessor) and managed the same as the Fund in all material respects for the period from December 31, 1990 to June 1, 1994, as adjusted to reflect the full contractual rate of expenses associated with the Fund at its inception. The CTF account was not registered with the SEC under the 1940 Act and therefore was not subject to the investment restrictions imposed by law on registered mutual funds. If the CTF account had been registered, the CTF account’s performance may have been adversely affected. Fund performance reflects applicable fee waivers/expense reimbursements (which, if excluded, would cause performance to be lower). |
(b) | The since inception date (commencement of operations) of the Fund is December 31, 1990. |
8 |
PERFORMANCE SUMMARY (UNAUDITED)
|
(c) | The performance in the table for the period from December 2, 1983 to April 19, 2004 reflects the performance of Babson Enterprise Fund, the predecessor to RBC Enterprise Fund. Fund performance reflects applicable fee waivers/expense reimbursements (which, if excluded, would cause performance to be lower). |
(d) | The since inception date (commencement of operations) of the Fund is December 2, 1983. The performance of the index since inception of the Fund is calculated from November 30, 1983. |
(e) | Class I shares were previously designated Class S shares prior to November 27, 2012. The inception date of the Fund (Class S) is September 10, 1987. Performance shown for periods prior to the inception date of Class A (April 19, 2004) is based on the performance of Class S shares, adjusted to reflect the fees and expenses and any applicable sales charges of the applicable class. |
(f) | Performance shown for periods prior to the inception date of Class A (April 19, 2004) and Class I (September 30, 2004) is based on the performance of a class of shares that is no longer offered, adjusted to reflect the fees and expenses and any applicable sales charges of the applicable class. The inception date of the Fund and the prior class of shares is December 2, 1983. |
(g) | The performance in the table for the period from August 5, 1991 to April 19, 2004 reflects the performance of Babson Enterprise Fund II, the predecessor to RBC Small Cap Core Fund. Fund performance reflects applicable fee waivers/expense reimbursements (which, if excluded, would cause performance to be lower). |
(h) | The since inception date (commencement of operations) of the Fund is August 5, 1991. The performance of the index since inception of the Fund is calculated from July 31, 1991. |
(i) | The performance in the table for the period from September 10, 1987 to April 19, 2004 reflects the performance of Shadow Stock Fund, the predecessor to RBC Microcap Value Fund. Fund performance reflects applicable fee waivers/expense reimbursements (which, if excluded, would cause performance to be lower). |
(j) | The since inception date (commencement of operations) of the Fund is September 10, 1987. The performance of the index since inception of the Fund is calculated from August 31, 1987. |
(k) | The since inception date (commencement of operations) of the Fund is December 31, 2009. The performance of the index since inception of the Fund is calculated from December 31, 2009. |
(l) | Class I shares were previously designated Class S shares prior to November 27, 2012. The inception date of the Fund (Class S) is August 5, 1991. Performance shown for periods prior to the inception date of Class A (April 19, 2004) is based on the performance of Class S shares, adjusted to reflect the fees and expenses and any applicable sales charges of the applicable class. |
(m) | The since inception date (commencement of operations) of the Fund is December 3, 2014. The performance of the index since inception of the Fund is calculated from December 3, 2014. |
The Russell 2500 Growth Index is an unmanaged index that measures the performance of those Russell 2500 companies with higher price-to-book ratios and higher forecasted growth values.
The Russell 2000 Value Index is an unmanaged index that measures the performance of those Russell 2000 companies with lower price-to-book ratios and lower forecasted growth values.
The Russell 2000 Index is an unmanaged index that measures the performance of approximately 2,000 of the smallest securities in the Russell 3000 Index based on a combination of their market cap and current index membership.
The Russell Midcap Value Index is an unmanaged, market-weighted total return index that tracks the performance of those Russell Midcap companies with lower price-to-book ratios and lower forecasted growth rates.
The Russell Microcap Index is an unmanaged index that measures the performance of 1000 of the smallest securities in the Russell 2000 Index based on a combination of their market cap and current index membership.
9 |
10 |
MANAGEMENT DISCUSSION AND ANALYSIS (UNAUDITED)
|
| |||||||||||||||
| ||||||||||||||||
Long-term capital appreciation. |
| Investment Objective | ||||||||||||||
Russell 2500 Growth Index
|
| Benchmark | ||||||||||||||
|
| Asset Allocation (as of 9/30/15) (% of fund’s investments) & Top Five Industries (as of 9/30/15) (% of fund’s net assets)
| ||||||||||||||
Tractor Supply Co. |
|
2.66 |
% |
IDEXX Laboratories, Inc. |
|
1.83 |
% | Top Ten Holdings (excluding investment companies) (as of 9/30/15) (% of fund’s net assets) | ||||||||
Global Payments, Inc. | 2.37 | % | LKQ Corp. | 1.81 | % | |||||||||||
HCC Insurance Holdings, Inc. | 2.34 | % | Stericycle, Inc. | 1.80 | % | |||||||||||
Ultimate Software Group, Inc. | 2.18 | % | Cantel Medical Corp. | 1.67 | % | |||||||||||
(The) | Monro Muffler Brake, Inc. | 1.67 | % | |||||||||||||
Henry Schein, Inc. | 2.11 | % | ||||||||||||||
A listing of all portfolio holdings can be found beginning on page 22.
|
| |||||||||||||||
Growth of $10,000 Initial Investment Over 10 Years | ||||||||||||||||
The graph reflects an initial investment of $10,000 over a 10 year period and is based on Class I shares. The Fund’s total return includes reinvested dividends and capital gains. The Fund’s total return also includes operating expenses that reduce return, while the total return of the index does not. The graph does not reflect the deduction of taxes that a shareholder would pay on fund distributions or redemption of fund shares. Performance of other classes will vary due to differences in fee structures. | ||||||||||||||||
11 |
MANAGEMENT DISCUSSION AND TEST ANALYSIS (UNAUDITED)
| ||||||||||
| ||||||||||
Investment Strategy |
Seeks to provide superior long-term growth of capital compared to the Russell 2000 Index while taking a low risk approach to small company investing. The Adviser believes that portfolios of neglected small cap companies with low valuations, long-term attractive business fundamentals and near-term profitability improvement potential should produce strong absolute and risk-adjusted returns over time.
| |||||||||
Performance |
For the year ended September 30, 2015, the Fund had an annualized total return of -8.50% (Class I). That compares to an annualized total return of 1.25% for the Russell 2000 Index, the Fund’s primary benchmark.
| |||||||||
Factors That Made Positive Contributions
|
● Favorable stock selection in the energy and consumer staples sectors contributed positively to the Fund’s relative performance. | |||||||||
Factors That Detracted From Relative Returns |
● The Fund held an adverse underweight in the health care sector, especially the biotechnology industry sub-segment.
● An overweight in the industrials sector adversely impacted performance, relative to the benchmark.
● Stock selection in the health care and industrials sectors also contributed negatively to performance.
| |||||||||
Mutual fund investing involves risk. Principal loss is possible. Investing in small cap companies involves additional risks, including greater fluctuations in value and lack of liquidity. These risks are more fully described in the prospectus. Although the Fund does not generally invest in initial public offerings (IPO’s), it has the ability to. Investment in IPO’s typically involve greater price volatility resulting in increased turnover and expenses as well as the potential for taxable gains.
|
12 |
MANAGEMENT DISCUSSION AND TEST ANALYSIS (UNAUDITED)
|
| |||||||||||||||
RBC Enterprise Fund
| ||||||||||||||||
Long-term growth of capital and income. |
| Investment Objective | ||||||||||||||
Russell 2000 Index
|
| Benchmark | ||||||||||||||
Asset Allocation (as of 9/30/15) (% of fund’s investments) & Top Five Industries (as of 9/30/15) (% of fund’s net assets)
| ||||||||||||||||
Universal Electronics, Inc. | 3.80 | % | Libbey, Inc. | 3.11 | % | Top Ten Holdings | ||||||||||
AZZ, Inc. | 3.41 | % | Patrick Industries, Inc. | 2.39 | % | (excluding | ||||||||||
Tyler Technologies, Inc. | 3.39 | % | Columbus McKinnon Corp. | 2.30 | % | investment | ||||||||||
Compass Diversified Holdings | 3.17 | % | Destination XL Group, Inc. | 2.02 | % | companies) | ||||||||||
US Physical Therapy, Inc. | 3.16 | % | TESSCO Technologies, Inc. | 1.95 | % | (as of 9/30/15) | ||||||||||
A listing of all portfolio holdings can be found beginning on page 25.
|
| (% of fund’s net assets)
| ||||||||||||||
Growth of $10,000 Initial Investment Over 10 Years | ||||||||||||||||
The graph reflects an initial investment of $10,000 over a 10 year period and is based on Class I shares. The Fund’s total return includes reinvested dividends and capital gains. The Fund’s total return also includes operating expenses that reduce return, while the total return of the index does not. The graph does not reflect the deduction of taxes that a shareholder would pay on fund distributions or redemption of fund shares. Performance of other classes will vary due to differences in fee structures. | ||||||||||||||||
13 |
MANAGEMENT DISCUSSION AND ANALYSIS (UNAUDITED)
| ||||||||||
| ||||||||||
Investment Strategy |
Seeks to provide superior long-term growth of capital compared to the Russell 2000 Index while taking a low risk approach to small company investing. The Adviser believes that portfolios of neglected small cap companies with low valuations, long-term attractive business fundamentals and near-term profitability improvement potential should produce strong absolute and risk-adjusted returns over time.
| |||||||||
Performance |
For the year ended September 30, 2015, the Fund had an annualized total return of -3.22% (Class I). That compares to an annualized total return of 1.25% for the Russell 2000 Index, the Fund’s primary benchmark.
| |||||||||
Factors That Made Positive Contributions
|
● Favorable stock selection in the energy and consumer discretionary sectors contributed positively to relative performance. | |||||||||
Factors That Detracted From Relative Returns |
● The Fund held an adverse overweight in the industrials sector relative to the benchmark, negatively impacting performance.
● An adverse health care sector underweight, especially in biotechnology, detracted from relative returns.
● Unfavorable stock selection in the industrials and health care sectors was also a negative contributing factor.
| |||||||||
Mutual fund investing involves risk. Principal loss is possible. Investing in mid cap, small cap and micro cap companies involves additional risks, including greater fluctuations in value and lack of liquidity. These risks are more fully described in the prospectus. Although the Fund does not generally invest in initial public offerings (IPO’s), it has the ability to. Investment in IPO’s typically involve greater price volatility resulting in increased turnover and expenses as well as the potential for taxable gains.
|
14 |
MANAGEMENT DISCUSSION AND ANALYSIS (UNAUDITED)
|
| |||||||||||||||
RBC Small Cap Core Fund
| ||||||||||||||||
Long-term growth of capital and income. |
| Investment Objective | ||||||||||||||
Russell 2000 Index
|
| Benchmark | ||||||||||||||
|
| Asset Allocation (as of 9/30/15) (% of fund’s investments) & Top Five Industries (as of 9/30/15) (% of fund’s net assets)
| ||||||||||||||
Universal Electronics, Inc. |
|
3.58 |
% |
AZZ, Inc. |
|
2.68 |
% |
Top Ten Holdings | ||||||||
Synaptics, Inc. | 3.52 | % | Synchronoss Technologies, Inc. | 2.66 | % | (excluding | ||||||||||
Tyler Technologies, Inc. | 3.39 | % | West Pharmaceutical Services, | 2.63 | % | investment | ||||||||||
Compass Diversified Holdings | 3.05 | % | Inc. | companies) | ||||||||||||
Libbey, Inc. | 2.84 | % | EnerSys, Inc. | 2.51 | % | (as of 9/30/15) | ||||||||||
Patrick Industries, Inc. | 2.72 | % | (% of fund’s | |||||||||||||
A listing of all portfolio holdings can be found beginning on page 29.
|
| net assets) | ||||||||||||||
Growth of $10,000 Initial Investment Over 10 Years | ||||||||||||||||
The graph reflects an initial investment of $10,000 over a 10 year period and is based on Class I shares. The Fund’s total return includes reinvested dividends and capital gains. The Fund’s total return also includes operating expenses that reduce return, while the total return of the index does not. The graph does not reflect the deduction of taxes that a shareholder would pay on fund distributions or redemption of fund shares. Performance of other classes will vary due to differences in fee structures. | ||||||||||||||||
15 |
MANAGEMENT DISCUSSION AND ANALYSIS (UNAUDITED)
| ||||||||||
| ||||||||||
Investment Strategy |
Invests in a diversified portfolio of the smallest companies that have been neglected by institutional shareholders. Utilizing a quantitative process to identify value-oriented investments, the Fund strives to achieve long-term growth while offering shareholders some protection from market declines and fluctuations.
| |||||||||
Performance |
For the year ended September 30, 2015, the Fund had an annualized total return of 0.04% (Class I). That compares to an annualized total return of -1.60% for the Russell 2000 Value Index, the Fund’s primary benchmark.
| |||||||||
Factors That Made Positive Contributions |
● The Fund held a favorable underweight in the energy sector compared to the benchmark, which contributed to relative returns.
● Favorable consumer discretionary and materials sectors stock selection contributed positively to relative performance.
| |||||||||
Factors That Detracted From Relative Returns |
● The Fund held an adverse sector underweight in financials compared to the benchmark, which detracted from relative performance.
● Adverse stock selection in the health care sector detracted from relative returns.
| |||||||||
Mutual fund investing involves risk. Principal loss is possible. Investing in micro cap companies involves additional risks, including greater fluctuations in value and lack of liquidity. These risks are more fully described in the prospectus. Although the Fund does not generally invest in initial public offerings (IPO’s), it has the ability to. Investment in IPO’s typically involve greater price volatility resulting in increased turnover and expenses as well as the potential for taxable gains.
|
16 |
MANAGEMENT DISCUSSION AND ANALYSIS (UNAUDITED)
|
| |||||||||||||||
RBC Microcap Value Fund
| ||||||||||||||||
Long-term growth of capital. |
| Investment Objective | ||||||||||||||
Russell 2000 Value Index
|
| Benchmark | ||||||||||||||
|
| Asset Allocation (as of 9/30/15) (% of fund’s investments) & Top Five Industries (as of 9/30/15) (% of fund’s net assets)
| ||||||||||||||
PAM Transportation Services, Inc. |
|
1.10 |
% |
Methode Electronics, Inc. |
|
0.90 |
% |
Top Ten Holdings | ||||||||
Federated National Holding Co. | 1.04 | % | Patrick Industries, Inc. | 0.89 | % | (excluding | ||||||||||
Allied Motion Technologies, Inc. | 1.02 | % | Ingles Markets, Inc., Class A | 0.88 | % | investment | ||||||||||
PharMerica Corp. | 1.00 | % | Omega Protein Corp. | 0.84 | % | companies) | ||||||||||
Superior Uniform Group, Inc. | 0.97 | % | Integrated Silicon Solution, Inc. | 0.83 | % | (as of 9/30/15) | ||||||||||
A listing of all portfolio holdings can be found beginning on page 32.
|
| (% of fund’s net assets) | ||||||||||||||
Growth of $10,000 Initial Investment Over 10 Years | ||||||||||||||||
The graph reflects an initial investment of $10,000 over a 10 year period and is based on Class I shares. The Fund’s total return includes reinvested dividends and capital gains. The Fund’s total return also includes operating expenses that reduce return, while the total return of the index does not. The graph does not reflect the deduction of taxes that a shareholder would pay on fund distributions or redemption of fund shares. Performance of other classes will vary due to differences in fee structures. | ||||||||||||||||
17 |
MANAGEMENT DISCUSSION AND ANALYSIS (UNAUDITED)
| ||||||||||
| ||||||||||
Investment Strategy |
Seeks long-term capital appreciation by investing in common stocks of mid-sized companies that are considered to be undervalued in relation to earnings, dividends and/or assets. The Advisor uses a disciplined, bottom-up approach to select stocks for the Fund’s portfolio with a focus on fundamental research and qualitative analysis.
| |||||||||
Performance |
For the year ended September 30, 2015, the Fund had an annualized total return of 0.91%. That compares to an annualized total return of -2.07% for the Russell Midcap Value Index, the Fund’s primary benchmark.
| |||||||||
Factors That Made Positive Contributions |
● Stock selection was the primary driver of outperformance, with seven out of ten economic sectors contributing positively to returns, led by the materials, information technology, financials, and energy sectors.
● The portfolio’s modest overweight to the energy sector and significant underweight to the utilities sector also contributed positively to relative Fund performance.
● Top over stock contributors to the portfolio included AmTrust Financial Services (financials), Skyworks Solutions (information technology), Cytec Industries (materials), Mylan (health care), and Hartford Financial Services Group (financials). Cytec Industries and Mylan are no longer held by the Fund.
| |||||||||
Factors That Detracted From Relative Returns |
● Sector allocation, a fallout of the Fund’s bottom-up stock selection, detracted from overall returns with a significant underweight to the health care sector and an overweight to the materials sector weighing most on Fund performance.
● Largest stock detractors from the Fund included Range Resources (energy), Dynegy (utilities), Swift Transportation (industrials), United Rentals (industrials), and Calpine (utilities). United Rentals is no longer held by the Fund.
| |||||||||
Mutual fund investing involves risk. Principal loss is possible. Investing in mid cap companies involves additional risks, including greater fluctuations in value and lack of liquidity. These risks are more fully described in the prospectus. Although the Fund does not generally invest in initial public offerings (IPO’s), it has the ability to. Investment in IPO’s typically involve greater price volatility resulting in increased turnover and expenses as well as the potential for taxable gains.
|
18 |
MANAGEMENT DISCUSSION AND ANALYSIS (UNAUDITED)
|
| |||||||||||||||
RBC Mid Cap Value Fund
| ||||||||||||||||
Long-term capital appreciation. |
| Investment Objective | ||||||||||||||
Russell Midcap Value Index
|
| Benchmark | ||||||||||||||
Asset Allocation (as of 9/30/15) (% of fund’s investments) & Top Five Industries (as of 9/30/15) (% of fund’s net assets)
| ||||||||||||||||
LAM Research Corp. |
|
4.46 |
% |
Lincoln National Corp. |
|
3.15 |
% | Top Ten Holdings (excluding investment companies) (as of 9/30/15) (% of fund’s net assets) | ||||||||
Skyworks Solutions, Inc. | 4.22 | % | Fifth Third Bancorp | 3.15 | % | |||||||||||
Calpine Corp. | 4.17 | % | National General Holdings Corp. | 3.03 | % | |||||||||||
Swift Transporation Co. | 3.78 | % | AmTrust Financial Services, Inc. | 2.97 | % | |||||||||||
Dynegy, Inc. | 3.41 | % | ||||||||||||||
Hartford Financial Services | 3.16 | % | ||||||||||||||
A listing of all portfolio holdings can be found beginning on page 43.
|
| |||||||||||||||
Growth of $10,000 Initial Investment Since Inception (12/31/09) | ||||||||||||||||
The graph reflects an initial investment of $10,000 over the period from December 31, 2009 to September 30, 2015 and is based on Class I shares. The Fund’s total return includes reinvested dividends and capital gains. The Fund’s total return also includes operating expenses that reduce return, while the total return of the index does not. The graph does not reflect the deduction of taxes that a shareholder would pay on fund distributions or redemption of fund shares. | ||||||||||||||||
19 |
MANAGEMENT DISCUSSION AND ANALYSIS (UNAUDITED)
| ||||||||||
| ||||||||||
Investment Strategy |
Seeks long-term capital appreciation compared to the Russell 2000 Value Index using a bottom-up stock selection approach by the Adviser, looking for small companies that are considered to be undervalued in relation to earnings, cash flow, and/or assets while also considering factors such as attractive and sustainable business fundamentals, near-term profitability improvement potential, financial strength, and management strength.
| |||||||||
Performance |
Since the Fund’s inception on December 3, 2014, the Fund had an annualized total return of -2.42% as of September 30, 2015. For the same period, the Russell 200 Value Index, the Fund’s primary benchmark, had an annualized total return of -7.28%.
| |||||||||
Factors That Made Positive Contributions |
● Favorable stock selection in the consumer discretionary, energy and financials sectors all contributed positively to relative performance.
| |||||||||
Factors That Detracted From Relative Returns |
● Adverse health care stock selection had a negative impact on the Fund’s relative performance.
● The Fund held an adverse underweight in the financials sector compared to the index, which detracted from relative returns.
| |||||||||
Mutual fund investing involves risk. Principal loss is possible. Investing in mid cap companies involves additional risks, including greater fluctuations in value and lack of liquidity. These risks are more fully described in the prospectus. Although the Fund does not generally invest in initial public offerings (IPO’s), it has the ability to. Investment in IPO’s typically involve greater price volatility resulting in increased turnover and expenses as well as the potential for taxable gains.
|
20 |
MANAGEMENT DISCUSSION AND ANALYSIS (UNAUDITED)
|
| |||||||||||||||
RBC Small Cap Value Fund
| ||||||||||||||||
Long-term capital appreciation. |
| Investment Objective | ||||||||||||||
Russell 2000 Value Index
|
| Benchmark | ||||||||||||||
|
| Asset Allocation (as of 9/30/15) (% of fund’s investments) & Top Five Industries (as of 9/30/15) (% of fund’s net assets)
| ||||||||||||||
Compass Diversified Holdings |
|
3.16 |
% |
AmTrust Financial Services, Inc. |
|
1.93 |
% | Top Ten Holdings (excluding investment companies) (as of 9/30/15) (% of fund’s net assets) | ||||||||
Laclede Group, Inc. (The) | 2.63 | % | Hanmi Financial Corp. | 1.69 | % | |||||||||||
NorthWestern Corp. | 2.48 | % | EnerSys, Inc. | 1.68 | % | |||||||||||
Portland General Electric Co. | 2.46 | % | Smith & Wesson Holding Corp. | 1.61 | % | |||||||||||
AMERISAFE, Inc. | 1.97 | % | National General Holdings Corp. | 1.59 | % | |||||||||||
*A listing of all portfolio holdings can be found beginning on page 46.
|
| |||||||||||||||
Growth of $10,000 Initial Investment Since Inception (12/3/14) | ||||||||||||||||
The graph reflects an initial investment of $10,000 over the period from December 3, 2014 to September 30, 2015 and is based on Class I shares. The Fund’s total return includes reinvested dividends and capital gains. The Fund’s total return also includes operating expenses that reduce return, while the total return of the index does not. The graph does not reflect the deduction of taxes that a shareholder would pay on fund distributions or redemption of fund shares. | ||||||||||||||||
21 |
SCHEDULE OF PORTFOLIO INVESTMENTS
|
RBC SMID Cap Growth Fund
September 30, 2015
Shares | Value | |||||
| ||||||
Common Stocks — 98.18% |
| |||||
Consumer Discretionary — 12.83% |
| |||||
14,610 | Core-Mark Holding Co., Inc. | $ | 956,225 | |||
16,000 | Dorman Products, Inc.* | 814,240 | ||||
24,810 | DSW, Inc., Class A | 627,941 | ||||
15,120 | Gentherm, Inc.* | 679,190 | ||||
42,810 | LKQ Corp.* | 1,214,092 | ||||
16,530 | Monro Muffler Brake, Inc. | 1,116,601 | ||||
4,420 | Panera Bread Co., Class A* | 854,872 | ||||
21,140 | Tractor Supply Co. | 1,782,525 | ||||
16,840 | Vitamin Shoppe, Inc.* | 549,658 | ||||
|
| |||||
8,595,344 | ||||||
|
| |||||
Consumer Staples — 6.76% |
| |||||
9,100 | Casey’s General Stores, Inc. | 936,572 | ||||
12,880 | Church & Dwight Co., Inc. | 1,080,632 | ||||
9,800 | PriceSmart, Inc. | 757,932 | ||||
10,150 | TreeHouse Foods, Inc.* | 789,569 | ||||
19,930 | United Natural Foods, Inc.* | 966,804 | ||||
|
| |||||
4,531,509 | ||||||
|
| |||||
Energy — 1.23% |
| |||||
15,970 | Oceaneering International, Inc. | 627,302 | ||||
17,670 | Unit Corp.* | 198,964 | ||||
|
| |||||
826,266 | ||||||
|
| |||||
Financials — 13.02% |
| |||||
4,810 | Affiliated Managers Group, Inc.* | 822,462 | ||||
21,750 | Eagle Bancorp, Inc.* | 989,625 | ||||
18,260 | Eaton Vance Corp. | 610,249 | ||||
21,310 | First Cash Financial Services, Inc.* | 853,679 | ||||
20,210 | HCC Insurance Holdings, Inc. | 1,565,669 | ||||
18,380 | PRA Group, Inc.* | 972,670 | ||||
21,720 | Raymond James Financial, Inc. | 1,077,964 | ||||
15,570 | RLI Corp. | 833,462 | ||||
7,250 | Signature Bank* | 997,310 | ||||
|
| |||||
8,723,090 | ||||||
|
| |||||
Health Care — 22.52% |
| |||||
19,700 | Aceto Corp. | 540,765 | ||||
6,650 | Bio-Techne Corp. | 614,859 | ||||
19,700 | Cantel Medical Corp. | 1,116,990 | ||||
14,300 | Cepheid, Inc.* | 646,360 | ||||
12,010 | Charles River Laboratories International, Inc.* | 762,875 | ||||
16,630 | Greatbatch, Inc.* | 938,265 | ||||
10,670 | Henry Schein, Inc.* | 1,416,122 |
22 |
SCHEDULE OF PORTFOLIO INVESTMENTS
|
RBC SMID Cap Growth Fund (cont.)
September 30, 2015
Shares | Value | |||||
| ||||||
16,530 | IDEXX Laboratories, Inc.* | $ | 1,227,353 | |||
14,090 | Integra LifeSciences Holdings Corp.* | 839,059 | ||||
7,410 | Laboratory Corp of America Holdings* | 803,763 | ||||
17,430 | Medidata Solutions, Inc.* | 733,977 | ||||
3,560 | Mettler-Toledo International, Inc.* | 1,013,674 | ||||
16,720 | NuVasive, Inc.* | 806,238 | ||||
16,820 | PAREXEL International Corp.* | 1,041,494 | ||||
9,690 | Varian Medical Systems, Inc.* | 714,928 | ||||
8,650 | Waters Corp.* | 1,022,517 | ||||
15,760 | West Pharmaceutical Services, Inc. | 852,931 | ||||
|
| |||||
15,092,170 | ||||||
|
| |||||
Industrials — 16.00% |
| |||||
15,790 | Clean Harbors, Inc.* | 694,286 | ||||
24,040 | Copart, Inc.* | 790,916 | ||||
11,500 | Flowserve Corp. | 473,110 | ||||
6,380 | Huron Consulting Group, Inc.* | 398,941 | ||||
10,380 | Landstar System, Inc. | 658,818 | ||||
8,250 | Middleby Corp. (The)* | 867,817 | ||||
10,570 | MSC Industrial Direct Co., Inc., Class A | 645,087 | ||||
10,840 | Orbital ATK, Inc. | 779,071 | ||||
10,280 | Proto Labs, Inc.* | 688,760 | ||||
8,650 | Stericycle, Inc.* | 1,205,031 | ||||
8,550 | Teledyne Technologies, Inc.* | 772,065 | ||||
6,230 | Towers Watson & Co., Class A | 731,277 | ||||
10,670 | WageWorks, Inc.* | 481,004 | ||||
14,510 | Waste Connections, Inc. | 704,896 | ||||
20,430 | Woodward, Inc. | 831,501 | ||||
|
| |||||
10,722,580 | ||||||
|
| |||||
Information Technology — 20.34% |
| |||||
9,530 | ANSYS, Inc.* | 839,974 | ||||
19,700 | Bottomline Technologies (DE), Inc.* | 492,697 | ||||
22,100 | Cardtronics, Inc.* | 722,670 | ||||
6,150 | F5 Networks, Inc.* | 712,170 | ||||
13,840 | Global Payments, Inc. | 1,587,863 | ||||
12,410 | Guidewire Software, Inc.* | 652,518 | ||||
12,400 | Jack Henry & Associates, Inc. | 863,164 | ||||
7,680 | Mercadolibre, Inc. | 699,341 | ||||
18,930 | Microchip Technology, Inc. | 815,694 | ||||
18,560 | National Instruments Corp. | 515,782 | ||||
17,300 | Open Text Corp. | 774,175 | ||||
12,580 | SPS Commerce, Inc.* | 854,056 | ||||
23,020 | Synopsys, Inc.* | 1,063,064 | ||||
8,170 | Ultimate Software Group, Inc. (The)* | 1,462,512 | ||||
9,240 | WEX, Inc.* | 802,402 |
23 |
SCHEDULE OF PORTFOLIO INVESTMENTS
|
RBC SMID Cap Growth Fund (cont.)
September 30, 2015
Shares | Value | |||||
| ||||||
10,080 | Zebra Technologies Corp., Class A* | $ | 771,624 | |||
|
| |||||
13,629,706 | ||||||
|
| |||||
Materials — 5.48% |
| |||||
9,040 | Airgas, Inc. | 807,543 | ||||
13,260 | AptarGroup, Inc. | 874,630 | ||||
17,450 | Balchem Corp. | 1,060,437 | ||||
13,700 | HB Fuller Co. | 464,978 | ||||
8,550 | Reliance Steel & Aluminum Co. | 461,785 | ||||
|
| |||||
3,669,373 | ||||||
|
| |||||
Total Common Stocks | 65,790,038 | |||||
|
| |||||
(Cost $47,039,814) | ||||||
Investment Company — 1.94% | ||||||
1,298,170 | JPMorgan Prime Money Market Fund, Institutional Class | 1,298,170 | ||||
|
| |||||
Total Investment Company | 1,298,170 | |||||
|
| |||||
(Cost $1,298,170) | ||||||
Total Investments | $ | 67,088,208 | ||||
(Cost $48,337,984)(a) — 100.12% | ||||||
Liabilities in excess of other assets — (0.12)% | (82,411 | ) | ||||
|
| |||||
NET ASSETS — 100.00% | $ | 67,005,797 | ||||
|
|
* | Non-income producing security. |
(a) | See Notes to Financial Statements for the tax cost of securities and the breakdown of unrealized appreciation (depreciation). |
See Notes to Financial Statements.
24 |
SCHEDULE OF PORTFOLIO INVESTMENTS
|
RBC Enterprise Fund
September 30, 2015
Shares | Value | |||||
| ||||||
Common Stocks — 97.97% |
| |||||
Consumer Discretionary — 24.86% |
| |||||
122,103 | Bridgepoint Education, Inc.* | $ | 930,425 | |||
31,790 | Carmike Cinemas, Inc.* | 638,661 | ||||
78,508 | Delta Apparel, Inc.* | 1,384,096 | ||||
42,200 | Destination Maternity Corp. | 389,084 | ||||
366,452 | Destination XL Group, Inc.* | 2,129,086 | ||||
51,440 | Grand Canyon Education, Inc.* | 1,954,206 | ||||
79,000 | Kona Grill, Inc.* | 1,244,250 | ||||
100,700 | Libbey, Inc. | 3,283,827 | ||||
56,820 | Malibu Boats, Inc., Class A* | 794,344 | ||||
84,170 | Papa Murphy’s Holdings, Inc.* | 1,235,616 | ||||
87,610 | Performance Sports Group Ltd.* | 1,175,726 | ||||
16,000 | Red Robin Gourmet Burgers, Inc.* | 1,211,840 | ||||
106,650 | Salem Media Group, Inc. | 652,698 | ||||
106,636 | Smith & Wesson Holding Corp.* | 1,798,949 | ||||
29,330 | Superior Uniform Group, Inc. | 525,887 | ||||
207,100 | Tandy Leather Factory, Inc.* | 1,540,824 | ||||
95,400 | Universal Electronics, Inc.* | 4,009,662 | ||||
201,792 | ZAGG, Inc.* | 1,370,168 | ||||
|
| |||||
26,269,349 | ||||||
|
| |||||
Consumer Staples — 1.50% |
| |||||
30,840 | John B Sanfilippo & Son, Inc. | 1,580,858 | ||||
|
| |||||
Energy — 4.44% |
| |||||
121,560 | Callon Petroleum Co.* | 886,172 | ||||
55,390 | Gulfport Energy Corp.* | 1,643,975 | ||||
115,600 | Ring Energy, Inc.* | 1,140,972 | ||||
103,750 | Synergy Resources Corp.* | 1,016,750 | ||||
|
| |||||
4,687,869 | ||||||
|
| |||||
Financials — 16.14% |
| |||||
200,300 | Asta Funding, Inc.* | 1,708,559 | ||||
75,470 | Atlas Financial Holdings, Inc.* | 1,396,195 | ||||
44,200 | Boston Private Financial Holdings, Inc. | 517,140 | ||||
103,959 | CoBiz Financial, Inc. | 1,352,507 | ||||
207,900 | Compass Diversified Holdings | 3,351,348 | ||||
8,184 | East West Bancorp, Inc. | 314,429 | ||||
26,280 | First Bancorp/Southern Pines NC | 446,760 | ||||
41,050 | Gramercy Property Trust, Inc. REIT | 852,609 | ||||
27,323 | Heritage Financial Corp. | 514,219 | ||||
46,400 | LaSalle Hotel Properties REIT | 1,317,296 | ||||
27,626 | Mercantile Bank Corp. | 574,068 | ||||
9,100 | National Interstate Corp. | 242,788 | ||||
70,684 | Northrim BanCorp, Inc. | 2,044,888 | ||||
50,310 | Pacific Premier Bancorp, Inc.* | 1,022,299 | ||||
23,510 | Preferred Bank/Los Angeles CA | 742,916 |
25 |
SCHEDULE OF PORTFOLIO INVESTMENTS
|
RBC Enterprise Fund (cont.)
September 30, 2015
Shares | Value | |||||
| ||||||
31,510 | State Bank Financial Corp. | $ | 651,627 | |||
|
| |||||
17,049,648 | ||||||
|
| |||||
Health Care — 6.29% |
| |||||
220,537 | BioScrip, Inc.* | 412,404 | ||||
91,300 | Exactech, Inc.* | 1,591,359 | ||||
217,308 | Streamline Health Solutions, Inc.* | 497,635 | ||||
36,900 | SurModics, Inc.* | 805,896 | ||||
74,400 | US Physical Therapy, Inc. | 3,339,816 | ||||
|
| |||||
6,647,110 | ||||||
|
| |||||
Industrials — 22.20% |
| |||||
30,990 | Air Transport Services Group, Inc.* | 264,965 | ||||
74,000 | AZZ, Inc. | 3,603,060 | ||||
134,015 | Columbus McKinnon Corp. | 2,433,712 | ||||
48,210 | Ducommun, Inc.* | 967,575 | ||||
107,900 | Ennis, Inc. | 1,873,144 | ||||
57,000 | GP Strategies Corp.* | 1,300,740 | ||||
53,300 | Greenbrier Cos., Inc. (The) | 1,711,463 | ||||
311,300 | Hudson Technologies, Inc.* | 924,561 | ||||
22,900 | Jason Industries, Inc.* | 100,302 | ||||
32,300 | Marten Transport Ltd. | 522,291 | ||||
78,830 | NN, Inc. | 1,458,355 | ||||
21,305 | Old Dominion Freight Line, Inc.* | 1,299,605 | ||||
64,060 | Patrick Industries, Inc.* | 2,529,729 | ||||
107,640 | PGT, Inc.* | 1,321,819 | ||||
202,600 | Radiant Logistics, Inc.* | 903,596 | ||||
77,238 | Sparton Corp.* | 1,652,893 | ||||
21,200 | Sun Hydraulics Corp. | 582,364 | ||||
|
| |||||
23,450,174 | ||||||
|
| |||||
Information Technology — 14.74% |
| |||||
11,692 | Aspen Technology, Inc.* | 443,244 | ||||
10,440 | comScore, Inc.* | 481,806 | ||||
310,100 | CYREN Ltd.* | 551,978 | ||||
338,111 | Glu Mobile, Inc.* | 1,477,545 | ||||
117,470 | GSI Group, Inc.* | 1,495,393 | ||||
60,120 | Interactive Intelligence Group, Inc.* | 1,786,165 | ||||
88,350 | KEYW Holding Corp. (The)* | 543,353 | ||||
115,020 | Sapiens International Corp. | 1,325,030 | ||||
60,020 | Tangoe, Inc.* | 432,144 | ||||
98,142 | TESSCO Technologies, Inc. | 2,064,908 | ||||
24,000 | Tyler Technologies, Inc.* | 3,583,440 | ||||
55,065 | Vishay Precision Group, Inc.* | 638,203 | ||||
141,720 | Xplore Technologies Corp.* | 755,368 | ||||
|
| |||||
15,578,577 | ||||||
|
|
26 |
SCHEDULE OF PORTFOLIO INVESTMENTS
|
RBC Enterprise Fund (cont.)
September 30, 2015
Shares | Value | |||||
| ||||||
Materials — 5.43% |
| |||||
22,116 | Intertape Polymer Group, Inc. | $ | 235,978 | |||
48,960 | Koppers Holdings, Inc. | 987,523 | ||||
108,600 | Landec Corp.* | 1,267,362 | ||||
234,900 | OMNOVA Solutions, Inc.* | 1,301,346 | ||||
100,680 | Real Industry, Inc.* | 887,998 | ||||
99,588 | Universal Stainless & Alloy Products, Inc.* | 1,053,641 | ||||
|
| |||||
5,733,848 | ||||||
|
| |||||
Telecommunication Services — 0.42% |
| |||||
415,700 | Towerstream Corp.* | 444,799 | ||||
|
| |||||
Utilities — 1.95% | ||||||
55,800 | Unitil Corp. | 2,057,904 | ||||
|
| |||||
Total Common Stocks | 103,500,136 | |||||
|
| |||||
(Cost $77,960,263) | ||||||
Rights/Warrants — 0.27% | ||||||
12,460 | Imperial Holdings, Inc. Warrants, Expire 10/6/19*(a) | 0 | ||||
6,203 | US Concrete, Inc. Warrants, Expire 8/31/17* | 157,556 | ||||
6,203 | US Concrete, Inc., Class B Warrants, Expire 8/31/17* | 133,737 | ||||
|
| |||||
Total Rights/Warrants | 291,293 | |||||
|
| |||||
(Cost $0) | ||||||
Exchange Traded Funds — 0.63% | ||||||
16,100 | SPDR S&P Regional Banking | 662,998 | ||||
|
| |||||
Total Exchange Traded Funds | 662,998 | |||||
|
| |||||
(Cost $319,878) | ||||||
Investment Company — 0.38% | ||||||
398,873 | JPMorgan Prime Money Market Fund, Institutional Class | 398,873 | ||||
|
| |||||
Total Investment Company | 398,873 | |||||
|
| |||||
(Cost $398,873) | ||||||
Total Investments | $ | 104,853,300 | ||||
(Cost $78,679,014)(b) — 99.25% | ||||||
Other assets in excess of liabilities — 0.75% | 794,607 | |||||
|
| |||||
NET ASSETS — 100.00% | $ | 105,647,907 | ||||
|
|
27 |
SCHEDULE OF PORTFOLIO INVESTMENTS
|
RBC Enterprise Fund (cont.)
September 30, 2015
* | Non-income producing security. |
(a) | The Pricing Committee has fair valued this security under procedures established by the Fund’s Board of Trustees. |
(b) | See Notes to Financial Statements for the tax cost of securities and the breakdown of unrealized appreciation (depreciation). |
Abbreviations used are defined below:
REIT - Real Estate Investment Trust
See Notes to Financial Statements.
28 |
SCHEDULE OF PORTFOLIO INVESTMENTS
|
RBC Small Cap Core Fund
September 30, 2015
Shares | Value | |||||
| ||||||
Common Stocks — 97.10% |
| |||||
Consumer Discretionary — 23.11% |
| |||||
10,570 | Cavco Industries, Inc.* | $ | 719,711 | |||
24,310 | Core-Mark Holding Co., Inc. | 1,591,089 | ||||
71,800 | Destination Maternity Corp. | 661,996 | ||||
586,000 | Destination XL Group, Inc.* | 3,404,660 | ||||
72,800 | Drew Industries, Inc. | 3,975,608 | ||||
186,400 | Fox Factory Holding Corp.* | 3,142,704 | ||||
108,830 | Grand Canyon Education, Inc.* | 4,134,452 | ||||
58,810 | Helen of Troy Ltd.* | 5,251,733 | ||||
35,160 | Iconix Brand Group, Inc.* | 475,363 | ||||
92,000 | Kona Grill, Inc.* | 1,449,000 | ||||
203,420 | Libbey, Inc. | 6,633,526 | ||||
119,704 | Malibu Boats, Inc., Class A* | 1,673,462 | ||||
204,950 | Performance Sports Group Ltd.* | 2,750,429 | ||||
153,220 | Pier 1 Imports, Inc. | 1,057,218 | ||||
221,632 | Smith & Wesson Holding Corp.* | 3,738,932 | ||||
70,092 | Steven Madden Ltd.* | 2,566,769 | ||||
198,673 | Universal Electronics, Inc.* | 8,350,226 | ||||
352,816 | ZAGG, Inc.* | 2,395,621 | ||||
|
| |||||
53,972,499 | ||||||
|
| |||||
Energy — 4.19% |
| |||||
98,950 | Gulfport Energy Corp.* | 2,936,836 | ||||
307,500 | Ring Energy, Inc.* | 3,035,025 | ||||
100,400 | RSP Permian, Inc.* | 2,033,100 | ||||
182,130 | Synergy Resources Corp.* | 1,784,874 | ||||
|
| |||||
9,789,835 | ||||||
|
| |||||
Financials — 16.79% |
| |||||
116,800 | AMERISAFE, Inc. | 5,808,464 | ||||
78,930 | AmTrust Financial Services, Inc. | 4,971,011 | ||||
10,480 | BancFirst Corp. | 661,288 | ||||
69,800 | Chemical Financial Corp. | 2,258,030 | ||||
37,900 | Community Bank System, Inc. | 1,408,743 | ||||
442,020 | Compass Diversified Holdings | 7,125,362 | ||||
77,170 | EverBank Financial Corp. | 1,489,381 | ||||
54,560 | Gramercy Property Trust, Inc. REIT | 1,133,211 | ||||
83,190 | LaSalle Hotel Properties REIT | 2,361,764 | ||||
123,770 | National General Holdings Corp. | 2,387,523 | ||||
30,700 | Pinnacle Financial Partners, Inc. | 1,516,887 | ||||
49,450 | ProAssurance Corp. | 2,426,512 | ||||
139,790 | Safeguard Scientifics, Inc.* | 2,172,337 | ||||
66,540 | Texas Capital Bancshares, Inc.* | 3,488,027 | ||||
|
| |||||
39,208,540 | ||||||
|
| |||||
Health Care — 7.39% |
| |||||
95,870 | Air Methods Corp.* | 3,268,208 |
29 |
SCHEDULE OF PORTFOLIO INVESTMENTS
|
RBC Small Cap Core Fund (cont.)
September 30, 2015
Shares | Value | |||||
| ||||||
5,260 | Analogic Corp. | $ | 431,530 | |||
352,268 | BioScrip, Inc.* | 658,741 | ||||
30,790 | Hanger, Inc.* | 419,976 | ||||
50,340 | Masimo Corp.* | 1,941,110 | ||||
47,440 | OPKO Health, Inc.* | 398,970 | ||||
88,910 | US Physical Therapy, Inc. | 3,991,170 | ||||
113,400 | West Pharmaceutical Services, Inc. | 6,137,208 | ||||
|
| |||||
17,246,913 | ||||||
|
| |||||
Industrials — 23.47% |
| |||||
478,200 | ACCO Brands Corp.* | 3,380,874 | ||||
105,174 | Astronics Corp.* | 4,252,185 | ||||
128,452 | AZZ, Inc. | 6,254,328 | ||||
248,910 | Columbus McKinnon Corp. | 4,520,206 | ||||
90,370 | Ducommun, Inc.* | 1,813,726 | ||||
109,270 | EnerSys, Inc. | 5,854,687 | ||||
115,058 | GP Strategies Corp.* | 2,625,624 | ||||
120,070 | Greenbrier Cos., Inc. (The) | 3,855,448 | ||||
164,470 | Insteel Industries, Inc. | 2,644,678 | ||||
158,700 | Interface, Inc. | 3,561,228 | ||||
166,880 | NN, Inc. | 3,087,280 | ||||
49,200 | Old Dominion Freight Line, Inc.* | 3,001,200 | ||||
160,863 | Patrick Industries, Inc.* | 6,352,480 | ||||
19,050 | Spirit Airlines, Inc.* | 901,065 | ||||
30,860 | Wabtec Corp. | 2,717,223 | ||||
|
| |||||
54,822,232 | ||||||
|
| |||||
Information Technology — 16.34% |
| |||||
94,640 | Interactive Intelligence Group, Inc.* | 2,811,754 | ||||
76,990 | InterDigital, Inc. | 3,895,694 | ||||
49,530 | InvenSense, Inc.* | 460,134 | ||||
104,852 | KEYW Holding Corp. (The)* | 644,840 | ||||
264,260 | Mitel Networks Corp.* | 1,704,477 | ||||
99,700 | Synaptics, Inc.* | 8,221,262 | ||||
189,290 | Synchronoss Technologies, Inc.* | 6,208,712 | ||||
147,760 | Take-Two Interactive Software, Inc.* | 4,245,145 | ||||
97,400 | TESSCO Technologies, Inc. | 2,049,296 | ||||
53,030 | Tyler Technologies, Inc.* | 7,917,909 | ||||
|
| |||||
38,159,223 | ||||||
|
| |||||
Materials — 4.57% |
| |||||
139,960 | Ferro Corp.* | 1,532,562 | ||||
138,311 | FutureFuel Corp. | 1,366,513 | ||||
87,749 | Koppers Holdings, Inc. | 1,769,897 | ||||
129,050 | Landec Corp.* | 1,506,013 | ||||
375,500 | OMNOVA Solutions, Inc.* | 2,080,270 | ||||
93,200 | PH Glatfelter Co. | 1,604,904 |
30 |
SCHEDULE OF PORTFOLIO INVESTMENTS
|
RBC Small Cap Core Fund (cont.)
September 30, 2015
Shares | Value | |||||
| ||||||
77,091 | Universal Stainless & Alloy Products, Inc.* | $ | 815,623 | |||
|
| |||||
10,675,782 | ||||||
|
| |||||
Utilities — 1.24% | ||||||
53,000 | Laclede Group, Inc. (The) | 2,890,090 | ||||
|
| |||||
Total Common Stocks | 226,765,114 | |||||
|
| |||||
(Cost $202,325,417) | ||||||
Exchange Traded Funds — 0.10% | ||||||
2,140 | iShares Russell 2000 Index Fund | 233,688 | ||||
|
| |||||
Total Exchange Traded Funds | 233,688 | |||||
|
| |||||
(Cost $179,612) | ||||||
Investment Company — 0.77% | ||||||
1,796,035 | JPMorgan Prime Money Market Fund, Institutional Class | 1,796,035 | ||||
|
| |||||
Total Investment Company | 1,796,035 | |||||
|
| |||||
(Cost $1,796,035) | ||||||
Total Investments | $ | 228,794,837 | ||||
(Cost $204,301,064)(a) — 97.97% | ||||||
Other assets in excess of liabilities — 2.03% | 4,744,772 | |||||
|
| |||||
NET ASSETS — 100.00% | $ | 233,539,609 | ||||
|
|
* | Non-income producing security. |
(a) | See Notes to Financial Statements for the tax cost of securities and the breakdown of unrealized appreciation (depreciation). |
Abbreviations used are defined below:
REIT - Real Estate Investment Trust
See Notes to Financial Statements.
31 |
SCHEDULE OF PORTFOLIO INVESTMENTS
|
RBC Microcap Value Fund
September 30, 2015
Shares | Value | |||||
| ||||||
Common Stocks — 94.24% |
| |||||
Consumer Discretionary — 20.59% |
| |||||
25,100 | AH Belo Corp., Class A | $ | 123,743 | |||
3,725 | Ambassadors International, Inc.* | 23 | ||||
600 | Ambow Education Holding Ltd. ADR*(a) | 2,430 | ||||
11,800 | AMC Entertainment Holdings, Inc., Class A | 297,242 | ||||
11,900 | America’s Car-Mart, Inc.* | 393,771 | ||||
6,400 | Arctic Cat, Inc. | 141,952 | ||||
3 | Biglari Holdings, Inc.* | 1,097 | ||||
37,800 | Books-A-Million, Inc.* | 121,338 | ||||
13,427 | Bowl America, Inc., Class A | 194,154 | ||||
27,800 | Bridgepoint Education, Inc.* | 211,836 | ||||
26,200 | Build-A-Bear Workshop, Inc.* | 494,918 | ||||
11,800 | Caleres, Inc. | 360,254 | ||||
45,100 | Carriage Services, Inc. | 973,709 | ||||
18,200 | Century Communities, Inc.* | 361,270 | ||||
17,800 | Core-Mark Holding Co., Inc. | 1,165,010 | ||||
33,900 | CSS Industries, Inc. | 892,926 | ||||
30,200 | Delta Apparel, Inc.* | 532,426 | ||||
55,243 | E.W. Scripps Co. (The), Class A | 976,144 | ||||
33,500 | Entercom Communications Corp., Class A* | 340,360 | ||||
22,400 | Flexsteel Industries, Inc. | 700,000 | ||||
32,600 | Fred’s, Inc., Class A | 386,310 | ||||
44,800 | Harte-Hanks, Inc. | 158,144 | ||||
16,900 | Haverty Furniture Cos., Inc. | 396,812 | ||||
9,000 | Helen of Troy Ltd.* | 803,700 | ||||
44,400 | hhgregg, Inc.* | 216,228 | ||||
27,100 | Hooker Furniture Corp. | 637,934 | ||||
10,500 | JAKKS Pacific, Inc.* | 89,460 | ||||
20,500 | Johnson Outdoors, Inc., Class A | 432,550 | ||||
19,190 | Journal Media Group, Inc. | 143,925 | ||||
25,400 | K12, Inc.* | 315,976 | ||||
23,500 | Kid Brands, Inc.* | 35 | ||||
47,910 | Lakeland Industries, Inc.* | 665,470 | ||||
95,270 | Lazare Kaplan International, Inc.* | 109,561 | ||||
15,700 | La-Z-Boy, Inc. | 416,992 | ||||
25,400 | LeapFrog Enterprises, Inc.* | 18,123 | ||||
28,300 | Lifetime Brands, Inc. | 395,634 | ||||
42,500 | Luby’s, Inc.* | 211,225 | ||||
15,600 | M/I Homes, Inc.* | 367,848 | ||||
45,900 | Marcus Corp. (The) | 887,706 | ||||
28,500 | MarineMax, Inc.* | 402,705 | ||||
2,140 | Matthews International Corp., Class A | 104,796 | ||||
7,500 | McRae Industries, Inc., Class A | 205,500 | ||||
22,600 | Media General, Inc.* | 316,174 | ||||
21,300 | Mestek, Inc.* | 415,350 | ||||
17,400 | Modine Manufacturing Co.* | 136,938 | ||||
18,700 | Movado Group, Inc. | 483,021 |
32 |
SCHEDULE OF PORTFOLIO INVESTMENTS
|
RBC Microcap Value Fund (cont.)
September 30, 2015
Shares | Value | |||||
| ||||||
4,700 | NACCO Industries, Inc., Class A | $ | 223,485 | |||
28,200 | Nautilus, Inc.* | 423,000 | ||||
10,300 | Nobility Homes, Inc.* | 110,828 | ||||
41,000 | Orleans Homebuilders, Inc.*(a)(b)(c) | 0 | ||||
16,350 | Perry Ellis International, Inc.* | 359,046 | ||||
119,400 | Point.360* | 119,400 | ||||
51,900 | Red Lion Hotels Corp.* | 441,150 | ||||
19,950 | REX American Resources Corp.* | 1,009,869 | ||||
35,200 | Rocky Brands, Inc. | 499,488 | ||||
61,500 | Ruby Tuesday, Inc.* | 381,915 | ||||
15,700 | Saga Communications, Inc., Class A | 527,677 | ||||
39,150 | Salem Media Group, Inc. | 239,598 | ||||
39,000 | Shiloh Industries, Inc.* | 315,900 | ||||
82 | Sizmek, Inc.* | 491 | ||||
22,300 | Stage Stores, Inc. | 219,432 | ||||
21,800 | Standard Motor Products, Inc. | 760,384 | ||||
28,900 | Stein Mart, Inc. | 279,752 | ||||
16,900 | Stoneridge, Inc.* | 208,546 | ||||
14,600 | Strattec Security Corp. | 920,676 | ||||
36,500 | Superior Industries International, Inc. | 681,820 | ||||
75,800 | Superior Uniform Group, Inc. | 1,359,094 | ||||
28,200 | Systemax, Inc.* | 211,218 | ||||
65,200 | Trans World Entertainment Corp.* | 245,804 | ||||
30,200 | TravelCenters of America LLC* | 311,966 | ||||
32,100 | Unifi, Inc.* | 956,901 | ||||
31,100 | Universal Technical Institute, Inc. | 109,161 | ||||
30,000 | Universal Travel Group*(a)(b)(c) | 0 | ||||
45,600 | VOXX International Corp.* | 338,352 | ||||
1,397 | Walking Co. Holdings, Inc. (The)* | 7,334 | ||||
15,700 | WCI Communities, Inc.* | 355,291 | ||||
11,000 | Weyco Group, Inc. | 297,440 | ||||
|
| |||||
28,917,738 | ||||||
|
| |||||
Consumer Staples — 3.44% | ||||||
7,350 | Andersons, Inc. (The) | 250,341 | ||||
53,200 | Central Garden and Pet Co.* | 823,004 | ||||
25,800 | Ingles Markets, Inc., Class A | 1,234,014 | ||||
12,200 | Oil-Dri Corp. of America | 279,380 | ||||
69,500 | Omega Protein Corp.* | 1,179,415 | ||||
39,200 | Roundy’s, Inc.* | 90,944 | ||||
73,000 | Royal Hawaiian Orchards LP* | 205,130 | ||||
29,640 | SpartanNash Co. | 766,194 | ||||
|
| |||||
4,828,422 | ||||||
|
| |||||
Energy — 1.80% | ||||||
9,200 | Basic Energy Services, Inc.* | 30,360 | ||||
48,540 | Callon Petroleum Co.* | 353,856 | ||||
4,500 | Calumet Specialty Products Partners LP | 109,260 |
33 |
SCHEDULE OF PORTFOLIO INVESTMENTS
|
RBC Microcap Value Fund (cont.)
September 30, 2015
Shares | Value | |||||
| ||||||
14,600 | Era Group, Inc.* | $ | 218,562 | |||
7,500 | Global Partners LP | 212,475 | ||||
22,600 | Harvest Natural Resources, Inc.* | 31,414 | ||||
24,700 | Natural Gas Services Group, Inc.* | 476,710 | ||||
26,800 | Newpark Resources, Inc.* | 137,216 | ||||
9,800 | Niska Gas Storage Partners LLC* | 30,478 | ||||
53,100 | North American Energy Partners, Inc. | 115,758 | ||||
14,600 | PHI, Inc.* | 292,876 | ||||
11,900 | PHI, Inc., Non voting* | 224,672 | ||||
1,230 | Sanchez Production Partners L.P.* | 13,284 | ||||
14,700 | Swift Energy Co.* | 5,534 | ||||
17,600 | Teekay Tankers, Ltd., Class A | 121,440 | ||||
110,300 | Trico Marine Services, Inc.*(a)(b)(c) | 0 | ||||
51,400 | W&T Offshore, Inc. | 154,200 | ||||
|
| |||||
2,528,095 | ||||||
|
| |||||
Financials — 24.62% | ||||||
39,150 | Affirmative Insurance Holdings, Inc.* | 744 | ||||
12,800 | AG Mortgage Investment Trust, Inc. REIT | 194,816 | ||||
14,500 | Agree Realty Corp. REIT | 432,825 | ||||
14,970 | American Independence Corp.* | 151,197 | ||||
29,990 | Ameris Bancorp | 862,213 | ||||
21,800 | Apollo Commercial Real Estate Finance, Inc. REIT | 342,478 | ||||
13,600 | Apollo Residential Mortgage, Inc. REIT | 172,176 | ||||
58,600 | Arbor Realty Trust, Inc. REIT | 372,696 | ||||
23,900 | Ares Commercial Real Estate Corp. REIT | 286,561 | ||||
8,100 | Arlington Asset Investment Corp., Class A | 113,805 | ||||
59,500 | Asta Funding, Inc.* | 507,535 | ||||
17,400 | Baldwin & Lyons, Inc., Class B | 377,580 | ||||
40,700 | Banc of California, Inc. | 499,389 | ||||
12,400 | Banco Latinoamericano de Comercio Exterior SA | 287,060 | ||||
49,900 | Bancorp, Inc. (The)* | 380,238 | ||||
7,956 | Bank of The Ozarks, Inc. | 348,154 | ||||
7,028 | Banner Corp. | 335,727 | ||||
100,000 | Beverly Hills Bancorp, Inc.*(a)(b) | 1,000 | ||||
33,600 | California First National Bancorp | 448,896 | ||||
4,211 | Capital Bank Financial Corp., Class A* | 127,298 | ||||
38,000 | Capitol Bancorp Ltd.*(a)(b)(c) | 0 | ||||
37,100 | Cedar Realty Trust, Inc. REIT | 230,391 | ||||
3,280 | CIM Commercial Trust Corp. REIT | 60,254 | ||||
63,650 | Citizens, Inc.* | 472,283 | ||||
101,200 | Consumer Portfolio Services, Inc.* | 503,976 | ||||
15,756 | Cowen Group, Inc., Class A* | 71,847 | ||||
35,777 | Donegal Group, Inc., Class A | 503,025 | ||||
8,444 | Donegal Group, Inc., Class B | 156,214 | ||||
73,540 | Dynex Capital, Inc. REIT | 482,422 | ||||
34,050 | EMC Insurance Group, Inc. | 790,301 | ||||
24,800 | Federal Agricultural Mortgage Corp., Class C | 643,064 |
34 |
SCHEDULE OF PORTFOLIO INVESTMENTS
|
RBC Microcap Value Fund (cont.)
September 30, 2015
Shares | Value | |||||
| ||||||
60,900 | Federated National Holding Co. | $ | 1,462,818 | |||
29,500 | First Defiance Financial Corp. | 1,078,520 | ||||
9,400 | First Financial Corp. | 304,090 | ||||
41,200 | First Merchants Corp. | 1,080,264 | ||||
38,000 | First Place Financial Corp.*(a)(b)(c) | 0 | ||||
42,000 | First State Bancorporation*(a)(b)(c) | 0 | ||||
660 | Flagstar Bancorp, Inc.* | 13,570 | ||||
19,400 | Forestar Group, Inc.* | 255,110 | ||||
36,500 | GAIN Capital Holdings, Inc. | 265,720 | ||||
11,200 | Getty Realty Corp. REIT | 176,960 | ||||
7,100 | Guaranty Bancorp. | 116,937 | ||||
7,000 | HCI Group, Inc. | 271,390 | ||||
16,200 | Heritage Insurance Holdings, Inc.* | 319,626 | ||||
33,300 | HF Financial Corp. | 540,459 | ||||
10,458 | Hilltop Holdings, Inc.* | 207,173 | ||||
6,040 | HomeTrust Bancshares, Inc.* | 112,042 | ||||
45,700 | Independence Holding Co. | 592,272 | ||||
7,800 | Infinity Property & Casualty Corp. | 628,212 | ||||
7,000 | Investors Title Co. | 507,220 | ||||
28,400 | JAVELIN Mortgage Investment Corp. REIT | 171,252 | ||||
41,600 | JMP Group, Inc. | 258,336 | ||||
16,500 | Kansas City Life Insurance Co. | 775,335 | ||||
29,900 | Manning & Napier, Inc. | 220,064 | ||||
30,890 | Marlin Business Services Corp. | 475,397 | ||||
20,200 | MidSouth Bancorp, Inc. | 236,340 | ||||
23,100 | Monmouth Real Estate Investment Corp. REIT | 225,225 | ||||
45,000 | MutualFirst Financial, Inc. | 1,064,250 | ||||
5,300 | National Security Group, Inc. (The) | 81,832 | ||||
3,500 | National Western Life Insurance Co., Class A | 779,450 | ||||
9,900 | Navigators Group, Inc. (The)* | 772,002 | ||||
22,067 | Nicholas Financial, Inc.* | 286,430 | ||||
29,900 | OFG Bancorp. | 261,027 | ||||
20,600 | One Liberty Properties, Inc. REIT | 439,398 | ||||
15,700 | Onebeacon Insurance Group, Ltd., Class A | 220,428 | ||||
9,700 | Oppenheimer Holdings, Inc., Class A | 194,097 | ||||
14,800 | Pacific Mercantile Bancorp* | 99,604 | ||||
2,468 | Park Sterling Corp. | 16,782 | ||||
18,000 | PennyMac Financial Services, Inc. Class A* | 288,000 | ||||
25,200 | Peoples Bancorp, Inc. | 523,908 | ||||
7,300 | Piper Jaffray Cos.* | 264,041 | ||||
15,900 | Provident Financial Holdings, Inc. | 266,802 | ||||
17,400 | Ramco-Gershenson Properties Trust REIT | 261,174 | ||||
8,100 | RE/MAX Holdings, Inc. Class A | 291,438 | ||||
22,500 | Regional Management Corp.* | 348,750 | ||||
39,674 | Reis, Inc. | 898,616 | ||||
5,100 | Resource Capital Corp. REIT | 56,967 | ||||
9,100 | Safety Insurance Group, Inc. | 492,765 | ||||
12,300 | Simmons First National Corp., Class A | 589,539 |
35 |
SCHEDULE OF PORTFOLIO INVESTMENTS
|
RBC Microcap Value Fund (cont.)
September 30, 2015
Shares | Value | |||||
| ||||||
6,793 | South State Corp. | $ | 522,178 | |||
33,500 | Southwest Bancorp, Inc. | 549,735 | ||||
68,823 | Sterling Bancorp | 1,023,398 | ||||
10,600 | Stewart Information Services Corp. | 433,646 | ||||
3,140 | Sun Bancorp, Inc.* | 60,256 | ||||
22,000 | UMH Properties, Inc. REIT | 204,600 | ||||
52,000 | Unico American Corp.* | 555,360 | ||||
88,216 | United Community Financial Corp. | 441,080 | ||||
19,000 | United Western Bancorp, Inc.*(a)(b)(c) | 0 | ||||
10,800 | Urstadt Biddle Properties, Inc. REIT, Class A | 202,392 | ||||
21,900 | Walker & Dunlop, Inc.* | 571,152 | ||||
14,041 | Western Asset Mortgage Capital Corp. REIT | 177,057 | ||||
23,400 | Whitestone REIT | 269,802 | ||||
31,800 | Winthrop Realty Trust REIT | 456,648 | ||||
12,100 | ZAIS Financial Corp. REIT | 162,140 | ||||
|
| |||||
34,577,241 | ||||||
|
| |||||
Health Care — 5.07% | ||||||
39,339 | Aceto Corp. | 1,079,855 | ||||
30,800 | Albany Molecular Research, Inc.* | 536,536 | ||||
11,000 | American Shared Hospital Services* | 21,230 | ||||
34,900 | AngioDynamics, Inc.* | 460,331 | ||||
42,660 | BioScrip, Inc.* | 79,774 | ||||
18,200 | Cambrex Corp.* | 722,176 | ||||
18,800 | CONMED Corp. | 897,512 | ||||
10,300 | Cross Country Healthcare, Inc.* | 140,183 | ||||
55,200 | CryoLife, Inc. | 537,096 | ||||
55,200 | Five Star Quality Care, Inc.* | 170,568 | ||||
20,370 | Hanger, Inc.* | 277,847 | ||||
4,700 | Invacare Corp. | 68,009 | ||||
6,300 | Kewaunee Scientific Corp. | 103,005 | ||||
9,662 | Kindred Healthcare, Inc. | 152,177 | ||||
15,000 | MedCath Corp.*(a)(b)(c) | 0 | ||||
49,300 | PharMerica Corp.* | 1,403,571 | ||||
11,125 | Symmetry Surgical, Inc.* | 99,013 | ||||
21,100 | Triple-S Management Corp., Class B* | 375,791 | ||||
|
| |||||
7,124,674 | ||||||
|
| |||||
Industrials — 21.29% | ||||||
38,500 | Aegean Marine Petroleum Network, Inc. | 259,490 | ||||
3,000 | Aegion Corp.* | 49,440 | ||||
22,300 | Aerojet Rocketdyne Holdings, Inc.* | 360,814 | ||||
17,300 | Alamo Group, Inc. | 808,775 | ||||
80,900 | Allied Motion Technologies, Inc. | 1,437,593 | ||||
7,100 | Altra Industrial Motion Corp. | 164,152 | ||||
47,700 | Ameresco, Inc., Class A* | 280,476 | ||||
11,400 | Ampco-Pittsburgh Corp. | 124,374 | ||||
8,100 | AMREP Corp.* | 38,718 |
36 |
SCHEDULE OF PORTFOLIO INVESTMENTS
|
RBC Microcap Value Fund (cont.)
September 30, 2015
Shares | Value | |||||
| ||||||
9,100 | Argan, Inc. | $ | 315,588 | |||
20,200 | CAI International, Inc.* | 203,616 | ||||
49,800 | CBIZ, Inc.* | 489,036 | ||||
20,700 | CDI Corp. | 176,985 | ||||
8,774 | CECO Environmental Corp. | 71,859 | ||||
35,900 | Celadon Group, Inc. | 575,118 | ||||
85,425 | Cenveo, Inc.* | 160,599 | ||||
2,400 | Chicago Rivet & Machine Co. | 60,000 | ||||
17,800 | Comfort Systems USA, Inc. | 485,228 | ||||
31,878 | Compx International, Inc. | 350,339 | ||||
30,800 | Dolan Co. (The)*(a)(b) | 0 | ||||
13,600 | Douglas Dynamics, Inc. | 270,096 | ||||
27,500 | Ducommun, Inc.* | 551,925 | ||||
16,100 | Dycom Industries, Inc.* | 1,164,996 | ||||
45 | Eagle Bulk Shipping, Inc.* | 267 | ||||
13,100 | Eastern Co. (The) | 212,220 | ||||
8,480 | Ecology and Environment, Inc., Class A | 99,216 | ||||
13,600 | Encore Wire Corp. | 444,312 | ||||
40,500 | Ennis, Inc. | 703,080 | ||||
4,600 | EnPro Industries, Inc. | 180,182 | ||||
20,100 | Espey Manufacturing & Electronics Corp. | 487,425 | ||||
27,000 | Federal Signal Corp. | 370,170 | ||||
19,900 | FLY Leasing Ltd. ADR | 262,680 | ||||
42,400 | Furmanite Corp.* | 257,792 | ||||
11,300 | G&K Services, Inc., Class A | 752,806 | ||||
4,147 | Genco Shipping & Trading Ltd.* | 16,215 | ||||
32,900 | Gibraltar Industries, Inc.* | 603,715 | ||||
22,100 | Global Power Equipment Group, Inc. | 81,107 | ||||
27,900 | Golden Ocean Group Ltd. | 68,634 | ||||
11,260 | GP Strategies Corp.* | 256,953 | ||||
15,350 | Greenbrier Cos., Inc. (The) | 492,889 | ||||
29,000 | Griffon Corp. | 457,330 | ||||
22,250 | Hardinge, Inc. | 204,255 | ||||
7,600 | Hill International, Inc.* | 24,928 | ||||
23,350 | International Shipholding Corp. | 89,431 | ||||
23,500 | Jinpan International Ltd. | 85,070 | ||||
9,900 | Kadant, Inc. | 386,199 | ||||
11,700 | Key Technology, Inc.* | 141,102 | ||||
7,600 | Kforce, Inc. | 199,728 | ||||
34,800 | Kimball International, Inc., Class B | 329,208 | ||||
3,908 | Kratos Defense & Security Solutions, Inc.* | 16,492 | ||||
64,000 | LECG Corp.*(a)(b) | 0 | ||||
33,000 | LS Starrett Co. (The), Class A | 398,640 | ||||
44,250 | LSI Industries, Inc. | 373,470 | ||||
40,700 | Lydall, Inc.* | 1,159,543 | ||||
30,012 | Marten Transport Ltd. | 485,294 | ||||
44,100 | Meritor, Inc.* | 468,783 | ||||
72,000 | Mesa Air Group, Inc.*(a)(b)(c) | 0 |
37 |
SCHEDULE OF PORTFOLIO INVESTMENTS
|
RBC Microcap Value Fund (cont.)
September 30, 2015
Shares | Value | |||||
| ||||||
85,194 | MFC Industrial Ltd. | $ | 243,655 | |||
34,900 | Miller Industries, Inc. | 681,946 | ||||
18,000 | Mistras Group, Inc.* | 231,300 | ||||
4,900 | National Presto Industries, Inc. | 412,874 | ||||
29,500 | NN, Inc. | 545,750 | ||||
15,800 | Northwest Pipe Co.* | 206,348 | ||||
34,500 | Orion Marine Group, Inc.* | 206,310 | ||||
46,900 | PAM Transportation Services, Inc.* | 1,550,045 | ||||
5,200 | Paragon Shipping, Inc., Class A* | 1,716 | ||||
31,740 | Patrick Industries, Inc.* | 1,253,413 | ||||
11,700 | PowerSecure International, Inc.* | 134,784 | ||||
25,000 | RCM Technologies, Inc. | 123,250 | ||||
20,500 | Rush Enterprises, Inc., Class A* | 496,100 | ||||
39,700 | Safe Bulkers, Inc. | 109,572 | ||||
11,500 | SL Industries, Inc.* | 391,000 | ||||
20,950 | Sparton Corp.* | 448,330 | ||||
9,700 | Standex International Corp. | 730,895 | ||||
53,820 | Supreme Industries, Inc., Class A | 448,321 | ||||
4,269 | SYKES Enterprises, Inc.* | 108,859 | ||||
22,200 | Tredegar Corp. | 290,376 | ||||
11,800 | Universal Forest Products, Inc. | 680,624 | ||||
13,900 | USA Truck, Inc.* | 239,497 | ||||
19,000 | Viad Corp. | 550,810 | ||||
43,200 | Volt Information Sciences, Inc.* | 393,120 | ||||
33,600 | Willdan Group, Inc.* | 340,704 | ||||
35,200 | Willis Lease Finance Corp.* | 572,352 | ||||
|
| |||||
29,900,304 | ||||||
|
| |||||
Information Technology — 9.13% | ||||||
60,700 | Acorn Energy, Inc.* | 6,319 | ||||
10,800 | Black Box Corp. | 159,192 | ||||
26,000 | Blucora, Inc.* | 358,020 | ||||
59,200 | CIBER, Inc.* | 188,256 | ||||
50,000 | Comarco, Inc.* | 8,750 | ||||
18,400 | Communications Systems, Inc. | 153,456 | ||||
34,800 | CTS Corp. | 644,148 | ||||
25,600 | Digi International, Inc.* | 301,824 | ||||
24,700 | Edgewater Technology, Inc.* | 180,804 | ||||
30,600 | Electro Rent Corp. | 317,628 | ||||
14,400 | Electro Scientific Industries, Inc. | 66,816 | ||||
12,500 | ePlus, Inc.* | 988,375 | ||||
40,800 | Everi Holdings, Inc.* | 209,304 | ||||
8,000 | Exar Corp.* | 47,600 | ||||
8,200 | Fabrinet* | 150,306 | ||||
21,532 | GSI Group, Inc.* | 274,102 | ||||
33,400 | Insight Enterprises, Inc.* | 863,390 | ||||
54,375 | Integrated Silicon Solution, Inc. | 1,168,519 | ||||
13,000 | JinkoSolar Holding Co. Ltd. ADR* | 285,220 |
38 |
SCHEDULE OF PORTFOLIO INVESTMENTS
|
RBC Microcap Value Fund (cont.)
September 30, 2015
Shares | Value | |||||
| ||||||
4,800 | Kemet Corp.* | $ | 8,832 | |||
26,100 | Kimball Electronics, Inc.* | 311,373 | ||||
18,300 | Magal Security Systems Ltd.* | 76,677 | ||||
2,285 | Mecklermedia Corp.* | 777 | ||||
39,700 | Methode Electronics, Inc. | 1,266,430 | ||||
33,500 | Newport Corp.* | 460,625 | ||||
70,415 | Optical Cable Corp. | 242,932 | ||||
7,600 | Park Electrochemical Corp. | 133,684 | ||||
45,200 | PC Connection, Inc. | 936,996 | ||||
58,700 | Perceptron, Inc.* | 445,533 | ||||
31,730 | Photronics, Inc.* | 287,474 | ||||
40,600 | Richardson Electronics Ltd. | 239,134 | ||||
24,600 | Rudolph Technologies, Inc.* | 306,270 | ||||
60,100 | Sigmatron International, Inc.* | 422,503 | ||||
2,433 | STR Holdings, Inc. | 924 | ||||
25,600 | TESSCO Technologies, Inc. | 538,624 | ||||
23,200 | Vishay Precision Group, Inc.* | 268,888 | ||||
650 | WPCS International, Inc.* | 884 | ||||
35,300 | XO Group, Inc.* | 498,789 | ||||
|
| |||||
12,819,378 | ||||||
|
| |||||
Materials — 3.86% | ||||||
27,200 | American Vanguard Corp. | 314,432 | ||||
37,000 | Blue Earth Refineries, Inc.*(a)(b)(c) | 0 | ||||
15,700 | China Green Agriculture, Inc. | 26,863 | ||||
15,400 | Friedman Industries, Inc. | 92,400 | ||||
31,390 | FutureFuel Corp. | 310,133 | ||||
4,300 | Hawkins, Inc. | 165,550 | ||||
13,900 | Innospec, Inc. | 646,489 | ||||
15,300 | KMG Chemicals, Inc. | 295,137 | ||||
12,900 | Materion Corp. | 387,258 | ||||
21,600 | Myers Industries, Inc. | 289,440 | ||||
6,800 | Neenah Paper, Inc. | 396,304 | ||||
26 | North American Palladium Ltd.* | 87 | ||||
18,100 | Olympic Steel, Inc. | 180,095 | ||||
63,920 | OMNOVA Solutions, Inc.* | 354,117 | ||||
5,200 | Quaker Chemical Corp. | 400,816 | ||||
10,900 | Real Industry, Inc.* | 96,138 | ||||
18,400 | Schulman (A), Inc. | 597,448 | ||||
4,700 | Stepan Co. | 195,567 | ||||
67,100 | Thompson Creek Metals Co., Inc.* | 29,316 | ||||
22,100 | Trecora Resources* | 274,482 | ||||
16,000 | Universal Stainless & Alloy Products, Inc.* | 169,280 |
39 |
SCHEDULE OF PORTFOLIO INVESTMENTS
|
RBC Microcap Value Fund (cont.)
September 30, 2015
Shares | Value | |||||
| ||||||
3,200 | Vulcan International Corp. | $ | 191,456 | |||
|
| |||||
5,412,808 | ||||||
|
| |||||
Telecommunication Services — 0.76% |
| |||||
46,300 | Premiere Global Services, Inc.* | 636,162 | ||||
25,800 | Spok Holdings, Inc. | 424,668 | ||||
|
| |||||
1,060,830 | ||||||
|
| |||||
Utilities — 3.68% |
| |||||
15,500 | American States Water Co. | 641,700 | ||||
5,108 | California Water Service Group | 112,989 | ||||
20,085 | Chesapeake Utilities Corp. | 1,066,112 | ||||
18,700 | Connecticut Water Service, Inc. | 682,924 | ||||
16,100 | Delta Natural Gas Co., Inc. | 329,406 | ||||
16,600 | Empire District Electric Co. (The) | 365,698 | ||||
24,300 | Middlesex Water Co. | 579,312 | ||||
18,600 | SJW Corp. | 571,950 | ||||
22,276 | Unitil Corp. | 821,539 | ||||
|
| |||||
5,171,630 | ||||||
|
| |||||
Total Common Stocks | 132,341,120 | |||||
|
| |||||
(Cost $112,063,871) | ||||||
Preferred Stocks — 0.71% |
| |||||
3,122 | Alere, Inc. | 999,071 | ||||
|
| �� | ||||
Total Preferred Stocks | 999,071 | |||||
|
| |||||
(Cost $504,723) | ||||||
Exchange Traded Funds — 3.09% |
| |||||
59,350 | iShares Russell Microcap Index Fund | 4,139,663 | ||||
13,400 | PowerShares Zacks Micro Cap Portfolio | 193,898 | ||||
|
| |||||
Total Exchange Traded Funds | 4,333,561 | |||||
|
| |||||
(Cost $4,777,463) | ||||||
Rights/Warrants — 0.12% |
| |||||
724 | Eagle Bulk Shipping, Inc. Warrants, Expire 10/15/21* | 369 | ||||
992 | Genco Shipping & Trading Ltd. Warrants, Expire 7/9/21* | 407 | ||||
3,585 | US Concrete, Inc. Warrants, Expire 8/31/17* | 91,059 | ||||
3,585 | US Concrete, Inc., Class B Warrants, Expire 8/31/17* | 77,292 | ||||
|
| |||||
Total Rights/Warrants | 169,127 | |||||
|
| |||||
(Cost $73,488) |
40 |
SCHEDULE OF PORTFOLIO INVESTMENTS
|
RBC Microcap Value Fund (cont.)
September 30, 2015
Principal Amount | Value | |||||
| ||||||
Corporate Bonds — 0.00% |
| |||||
$1,947 | Trenwick America Corp.*(a)(b)(c) | $ | 0 | |||
1,625 | Trenwick America Corp.*(a)(b)(c) | 0 | ||||
|
| |||||
Total Corporate Bonds | 0 | |||||
|
| |||||
(Cost $0) | ||||||
Shares | ||||||
Investment Company — 1.83% |
| |||||
2,572,498 | JPMorgan Prime Money Market Fund, Institutional Class | 2,572,498 | ||||
|
| |||||
Total Investment Company | 2,572,498 | |||||
|
| |||||
(Cost $2,572,498) |
Total Investments | $ | 140,415,377 | ||||
(Cost $119,992,043)(d) — 99.99% | ||||||
Other assets in excess of liabilities — 0.01% | 19,688 | |||||
|
| |||||
NET ASSETS — 100.00% | $ | 140,435,065 | ||||
|
|
41 |
SCHEDULE OF PORTFOLIO INVESTMENTS
|
RBC Microcap Value Fund (cont.)
September 30, 2015
* | Non-income producing security. |
(a) | The Pricing Committee has fair valued this security under procedures established by the Fund’s Board of Trustees. |
(b) | This security is considered illiquid as to its marketability. |
The total investment in restricted and illiquid securities representing $1,000, or less than 0.00% of net assets, was as follows: |
9/30/15 | ||||||||||||
Carrying | ||||||||||||
Acquisition | Acquisition | Acquisition | Value | |||||||||
Shares | Issuer | Date | Cost | Per Unit | ||||||||
100,000 | Beverly Hills Bancorp, Inc. | 07/30/2007 | $ | 745,716 | $ 0.01 | |||||||
37,000 | Blue Earth Refineries, Inc. | 11/24/2003 | $ | — | $— | |||||||
38,000 | Capitol Bancorp Ltd. | 09/27/2004 | $ | 1,137,893 | $— | |||||||
30,800 | Dolan Co. (The) | 09/13/2010 | $ | 161,504 | $— | |||||||
38,000 | First Place Financial Corp. | 02/18/2004 | $ | 730,667 | $— | |||||||
42,000 | First State Bancorporation | 09/28/2004 | $ | 668,082 | $— | |||||||
64,000 | LECG Corp. | 05/23/2008 | $ | 618,298 | $— | |||||||
15,000 | MedCath Corp. | 05/23/2008 | $ | 78,842 | $— | |||||||
72,000 | Mesa Air Group, Inc. | 11/01/2006 | $ | 635,933 | $— | |||||||
41,000 | Orleans Homebuilders, Inc. | 12/12/2006 | $ | 685,227 | $— | |||||||
110,300 | Trico Marine Services, Inc. | 02/03/2009 | $ | 518,857 | $— | |||||||
30,000 | Universal Travel Group | 09/13/2010 | $ | 157,113 | $— | |||||||
19,000 | United Western Bancorp, Inc. | 09/26/2007 | $ | 173,961 | $— | |||||||
Acquisition | ||||||||||||
$1,947 | Trenwick America Corp. | 05/18/2006 | $ | — | $— | |||||||
$1,625 | Trenwick America Corp. | 05/18/2006 | $ | — | $— |
(c) | Security delisted or issuer in bankruptcy. |
(d) | See Notes to Financial Statements for the tax cost of securities and the breakdown of unrealized appreciation (depreciation). |
Abbreviations used are defined below:
ADR - American Depositary Receipt
REIT - Real Estate Investment Trust
See Notes to Financial Statements.
42 |
SCHEDULE OF PORTFOLIO INVESTMENTS
|
RBC Mid Cap Value Fund
September 30, 2015
Shares | Value | |||||
| ||||||
Common Stocks — 100.20% | ||||||
Consumer Discretionary — 11.24% | ||||||
4,270 | Ascena Retail Group, Inc.* | $ | 59,396 | |||
1,930 | Brunswick Corp. | 92,428 | ||||
1,479 | Grand Canyon Education, Inc.* | 56,187 | ||||
2,655 | Jarden Corp.* | 129,776 | ||||
2,420 | Newell Rubbermaid, Inc. | 96,098 | ||||
980 | Penske Automotive Group, Inc. | 47,471 | ||||
381 | Tenneco, Inc.* | 17,057 | ||||
470 | Whirlpool Corp. | 69,212 | ||||
|
| |||||
567,625 | ||||||
|
| |||||
Energy — 6.42% | ||||||
1,010 | Concho Resources, Inc.* | 99,283 | ||||
2,064 | Gulfport Energy Corp.* | 61,260 | ||||
490 | Pioneer Natural Resources Co. | 59,604 | ||||
3,240 | Range Resources Corp. | 104,069 | ||||
|
| |||||
324,216 | ||||||
|
| |||||
Financials — 32.38% | ||||||
860 | American Financial Group, Inc. | 59,263 | ||||
2,380 | AmTrust Financial Services, Inc. | 149,892 | ||||
2,290 | CIT Group, Inc. | 91,669 | ||||
4,420 | Columbia Property Trust, Inc. REIT | 102,544 | ||||
3,340 | Compass Diversified Holdings | 53,841 | ||||
8,400 | Fifth Third Bancorp | 158,844 | ||||
3,487 | Hartford Financial Services Group, Inc. (The) | 159,635 | ||||
10,540 | Huntington Bancshares, Inc. | 111,724 | ||||
3,267 | LaSalle Hotel Properties REIT | 92,750 | ||||
3,350 | Lincoln National Corp. | 158,991 | ||||
7,917 | National General Holdings Corp. | 152,719 | ||||
3,530 | Sterling Bancorp | 52,491 | ||||
2,250 | Synovus Financial Corp. | 66,600 | ||||
2,760 | Unum Group | 88,541 | ||||
3,720 | XL Group Plc | 135,110 | ||||
|
| |||||
1,634,614 | ||||||
|
| |||||
Health Care — 2.33% | ||||||
960 | Laboratory Corp of America Holdings* | 104,131 | ||||
110 | Universal Health Services, Inc., Class B | 13,729 | ||||
|
| |||||
117,860 | ||||||
|
| |||||
Industrials — 14.39% | ||||||
1,170 | Alaska Air Group, Inc. | 92,957 | ||||
1,080 | Carlisle Cos., Inc. | 94,370 | ||||
1,070 | Herman Miller, Inc. | 30,859 | ||||
1,270 | Jacobs Engineering Group, Inc.* | 47,536 | ||||
970 | Oshkosh Corp. | 35,240 |
43 |
SCHEDULE OF PORTFOLIO INVESTMENTS
|
RBC Mid Cap Value Fund (cont.)
September 30, 2015
Shares | Value | |||||
| ||||||
768 | Regal-Beloit Corp. | $ | 43,354 | |||
1,180 | Ryder System, Inc. | 87,367 | ||||
929 | Spirit Airlines, Inc.* | 43,942 | ||||
620 | Stanley Black & Decker, Inc. | 60,128 | ||||
12,701 | Swift Transporation Co.* | 190,769 | ||||
|
| |||||
726,522 | ||||||
|
| |||||
Information Technology — 15.49% | ||||||
1,960 | Arrow Electronics, Inc.* | 108,349 | ||||
1,750 | Freescale Semiconductor Ltd.* | 64,015 | ||||
3,450 | LAM Research Corp. | 225,389 | ||||
730 | NXP Semiconductor NV* | 63,561 | ||||
2,530 | Skyworks Solutions, Inc. | 213,051 | ||||
3,278 | Synchronoss Technologies, Inc.* | 107,518 | ||||
|
| |||||
781,883 | ||||||
|
| |||||
Materials — 6.34% | ||||||
1,040 | Avery Dennison Corp. | 58,833 | ||||
770 | Carpenter Technology Corp. | 22,923 | ||||
1,214 | Crown Holdings, Inc.* | 55,541 | ||||
3,695 | Ferro Corp.* | 40,460 | ||||
510 | PolyOne Corp. | 14,963 | ||||
540 | Reliance Steel & Aluminum Co. | 29,165 | ||||
1,910 | WestRock Co. | 98,250 | ||||
|
| |||||
320,135 | ||||||
|
| |||||
Telecommunication Services — 2.21% | ||||||
23,456 | Frontier Communications Corp. | 111,416 | ||||
|
| |||||
Utilities — 9.40% | ||||||
14,436 | Calpine Corp.* | 210,766 | ||||
1,360 | CMS Energy Corp. | 48,035 | ||||
540 | DTE Energy Co. | 43,400 | ||||
8,330 | Dynegy, Inc.* | 172,181 | ||||
|
| |||||
474,382 | ||||||
|
| |||||
Total Common Stocks | 5,058,653 | |||||
|
| |||||
(Cost $5,447,256) | ||||||
Investment Company — 1.38% |
| |||||
69,487 | JPMorgan Prime Money Market Fund, Institutional Class | 69,487 | ||||
|
| |||||
Total Investment Company | 69,487 | |||||
|
| |||||
(Cost $69,487) |
44 |
SCHEDULE OF PORTFOLIO INVESTMENTS
|
RBC Mid Cap Value Fund (cont.)
September 30, 2015
Value | ||||||
| ||||||
Total Investments | $
| 5,128,140
|
| |||
Liabilities in excess of other assets — (1.58)% | (79,661 | ) | ||||
|
| |||||
NET ASSETS — 100.00% | $ | 5,048,479 | ||||
|
|
* | Non-income producing security. |
(a) | See Notes to Financial Statements for the tax cost of securities and the breakdown of unrealized appreciation (depreciation). |
Abbreviations used are defined below:
REIT – Real Estate Investment Trust
See Notes to Financial Statements.
45 |
SCHEDULE OF PORTFOLIO INVESTMENTS
|
RBC Small Cap Value Fund
September 30, 2015
Shares | Value | |||||
| ||||||
Common Stocks — 96.24% |
| |||||
Consumer Discretionary — 12.20% |
| |||||
1,910 | Ascena Retail Group, Inc.* | $ | 26,568 | |||
1,890 | Bridgepoint Education, Inc.* | 14,402 | ||||
1,130 | Carriage Services, Inc. | 24,397 | ||||
1,250 | Conn’s, Inc.* | 30,050 | ||||
2,080 | Dana Holding Corp. | 33,030 | ||||
2,560 | Destination Maternity Corp. | 23,603 | ||||
770 | Helen of Troy Ltd.* | 68,761 | ||||
1,220 | Jarden Corp.* | 59,634 | ||||
2,240 | Libbey, Inc. | 73,046 | ||||
2,300 | Pier 1 Imports, Inc. | 15,870 | ||||
4,860 | Smith & Wesson Holding Corp.* | 81,988 | ||||
7,690 | Tandy Leather Factory, Inc.* | 57,214 | ||||
2,670 | Taylor Morrison Home Corp., Class A* | 49,822 | ||||
1,470 | Universal Electronics, Inc.* | 61,784 | ||||
|
| |||||
620,169 | ||||||
|
| |||||
Consumer Staples — 1.46% |
| |||||
1,450 | John B Sanfilippo & Son, Inc. | 74,327 | ||||
|
| |||||
Energy — 3.99% |
| |||||
6,130 | Callon Petroleum Co.* | 44,688 | ||||
1,510 | Gulfport Energy Corp.* | 44,817 | ||||
4,540 | Ring Energy, Inc.* | 44,810 | ||||
1,350 | RSP Permian, Inc.* | 27,337 | ||||
4,210 | Synergy Resources Corp.* | 41,258 | ||||
|
| |||||
202,910 | ||||||
|
| |||||
Financials — 38.90% |
| |||||
1,060 | American Financial Group, Inc. | 73,045 | ||||
2,010 | AMERISAFE, Inc. | 99,957 | ||||
1,560 | AmTrust Financial Services, Inc. | 98,249 | ||||
1,790 | Capital Bank Financial Corp., Class A* | 54,112 | ||||
1,780 | Cardinal Financial Corp. | 40,958 | ||||
940 | Chatham Lodging Trust REIT | 20,191 | ||||
2,150 | Chemical Financial Corp. | 69,553 | ||||
4,010 | CoBiz Financial, Inc. | 52,170 | ||||
1,470 | Columbia Property Trust, Inc. REIT | 34,104 | ||||
1,650 | Community Bank System, Inc. | 61,331 | ||||
9,970 | Compass Diversified Holdings | 160,716 | ||||
2,010 | CubeSmart REIT | 54,692 | ||||
3,430 | DiamondRock Hospitality Co. REIT | 37,901 | ||||
890 | DuPont Fabros Technology, Inc. REIT | 23,033 | ||||
380 | EastGroup Properties, Inc. REIT | 20,588 | ||||
2,780 | EverBank Financial Corp. | 53,654 | ||||
3,400 | Hanmi Financial Corp. | 85,680 | ||||
3,200 | Heritage Financial Corp. | 60,224 | ||||
1,410 | LaSalle Hotel Properties REIT | 40,030 |
46 |
SCHEDULE OF PORTFOLIO INVESTMENTS
|
RBC Small Cap Value Fund (cont.)
September 30, 2015
Shares | Value | |||||
| ||||||
3,430 | Mercantile Bank Corp. | $ | 71,275 | |||
4,180 | National General Holdings Corp. | 80,632 | ||||
2,150 | Northrim BanCorp, Inc. | 62,200 | ||||
3,520 | Parkway Properties, Inc. REIT | 54,771 | ||||
1,380 | ProAssurance Corp. | 67,717 | ||||
1,670 | Ramco-Gershenson Properties Trust REIT | 25,067 | ||||
880 | Reinsurance Group of America, Inc. | 79,719 | ||||
2,670 | Rexford Industrial Realty, Inc. REIT | 36,819 | ||||
2,260 | Safeguard Scientifics, Inc.* | 35,120 | ||||
1,460 | STAG Industrial, Inc. REIT | 26,587 | ||||
4,180 | Sterling Bancorp | 62,157 | ||||
2,700 | Synovus Financial Corp. | 79,920 | ||||
1,000 | Terreno Realty Corp. REIT | 19,640 | ||||
1,170 | Texas Capital Bancshares, Inc.* | 61,331 | ||||
3,660 | United Community Banks, Inc. | 74,810 | ||||
|
| |||||
1,977,953 | ||||||
|
| |||||
Health Care — 3.67% | ||||||
5,040 | BioScrip, Inc.* | 9,425 | ||||
820 | Merit Medical Systems, Inc.* | 19,606 | ||||
2,320 | PharMerica Corp.* | 66,050 | ||||
310 | Teleflex, Inc. | 38,505 | ||||
980 | West Pharmaceutical Services, Inc. | 53,038 | ||||
|
| |||||
186,624 | ||||||
|
| |||||
Industrials — 14.82% | ||||||
10,330 | ACCO Brands Corp.* | 73,033 | ||||
3,790 | Columbus McKinnon Corp. | 68,826 | ||||
1,590 | EnerSys, Inc. | 85,192 | ||||
3,980 | Ennis, Inc. | 69,093 | ||||
2,070 | Greenbrier Cos., Inc. (The) | 66,468 | ||||
1,920 | Herman Miller, Inc. | 55,373 | ||||
600 | Kirby Corp.* | 37,170 | ||||
2,900 | Marten Transport Ltd. | 46,893 | ||||
2,950 | NN, Inc. | 54,575 | ||||
1,880 | Patrick Industries, Inc.* | 74,241 | ||||
2,970 | PGT, Inc.* | 36,472 | ||||
580 | Primoris Services Corp. | 10,388 | ||||
1,470 | Roadrunner Transportation Systems, Inc.* | 27,048 | ||||
1,740 | Sparton Corp.* | 37,236 | ||||
250 | Spirit Airlines, Inc.* | 11,825 | ||||
|
| |||||
753,833 | ||||||
|
| |||||
Information Technology — 8.43% | ||||||
980 | Coherent, Inc.* | 53,606 | ||||
2,980 | Fairchild Semiconductor International, Inc.* | 41,839 | ||||
6,310 | GSI Group, Inc.* | 80,326 | ||||
4,960 | Mitel Networks Corp.* | 31,992 |
47 |
SCHEDULE OF PORTFOLIO INVESTMENTS
|
RBC Small Cap Value Fund (cont.)
September 30, 2015
Shares | Value | |||||
| ||||||
3,410 | Sapiens International Corp. | $ | 39,283 | |||
710 | Synaptics, Inc.* | 58,547 | ||||
1,290 | Synchronoss Technologies, Inc.* | 42,312 | ||||
2,090 | Take-Two Interactive Software, Inc.* | 60,046 | ||||
1,780 | Vishay Precision Group, Inc.* | 20,630 | ||||
|
| |||||
428,581 | ||||||
|
| |||||
Materials — 5.21% |
| |||||
670 | Ashland, Inc. | 67,415 | ||||
1,250 | Crown Holdings, Inc.* | 57,188 | ||||
2,750 | Ferro Corp.* | 30,113 | ||||
280 | Kaiser Aluminum Corp. | 22,470 | ||||
6,760 | OMNOVA Solutions, Inc.* | 37,450 | ||||
930 | Reliance Steel & Aluminum Co. | 50,229 | ||||
|
| |||||
264,865 | ||||||
|
| |||||
Utilities — 7.56% |
| |||||
2,450 | Laclede Group, Inc. (The) | 133,599 | ||||
2,340 | NorthWestern Corp. | 125,962 | ||||
3,380 | Portland General Electric Co. | 124,959 | ||||
|
| |||||
384,520 | ||||||
|
| |||||
Total Common Stocks | 4,893,782 | |||||
|
| |||||
(Cost $5,079,893) | ||||||
Investment Company — 5.16% |
| |||||
262,339 | RBC Prime Money Market Fund, Institutional Class 1(a) | 262,339 | ||||
|
| |||||
Total Investment Company | 262,339 | |||||
|
| |||||
(Cost $262,339) | ||||||
Total Investments | $ | 5,156,121 | ||||
(Cost $5,342,232)(b) — 101.40% | ||||||
Liabilities in excess of other assets — (1.40)% | (71,305 | ) | ||||
|
| |||||
NET ASSETS — 100.00% | $ | 5,084,816 | ||||
|
|
* | Non-income producing security. |
(a) | Affiliated investment. |
(b) | See Notes to Financial Statements for the tax cost of securities and the breakdown of unrealized appreciation (depreciation). |
Abbreviations used are defined below:
REIT - Real Estate Investment Trust
See Notes to Financial Statements.
48 |
|
Statements of Assets and Liabilities
September 30, 2015
RBC SMID Cap Growth Fund | RBC Enterprise Fund | RBC Small Cap Core Fund | RBC Microcap Value Fund | RBC Mid Cap Value Fund | RBC Small Cap Value Fund | |||||||||||||||||||
Assets: | ||||||||||||||||||||||||
Unaffiliated investments (cost $48,337,984, $78,679,014, $204,301,064, $119,992,043, $5,516,743 and $5,079,893, respectively) | $ | 67,088,208 | $ | 104,853,300 | $ | 228,794,837 | $ | 140,415,377 | $ | 5,128,140 | $ | 4,893,782 | ||||||||||||
Affiliated investments (cost $0, $0, $0, $0, $0 and $262,339, respectively) | — | — | — | — | — | 262,339 | ||||||||||||||||||
Cash | — | 2,444 | — | — | 654 | — | ||||||||||||||||||
Interest and dividends receivable | 13,722 | 33,977 | 132,023 | 217,521 | 5,915 | 7,097 | ||||||||||||||||||
Receivable from advisor | — | — | — | — | 17,180 | 4,701 | ||||||||||||||||||
Receivable for capital shares issued | 1,675 | 100 | 4,492,805 | 28,580 | — | — | ||||||||||||||||||
Receivable for investments sold | — | 1,528,005 | 569,292 | — | 44,507 | 6,322 | ||||||||||||||||||
Prepaid expenses | 15,052 | 16,028 | 15,843 | 15,369 | 9,249 | 10,799 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Assets | 67,118,657 | 106,433,854 | 234,004,800 | 140,676,847 | 5,205,645 | 5,185,040 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Liabilities: | �� | |||||||||||||||||||||||
Payable for capital shares redeemed | 5,145 | 35,628 | 110,364 | 41,098 | — | — | ||||||||||||||||||
Payable for investments purchased | — | 590,465 | 104,805 | — | 110,341 | 21,522 | ||||||||||||||||||
Accrued expenses and other payables: | ||||||||||||||||||||||||
Investment advisory fees | 33,449 | 78,764 | 108,549 | 87,676 | — | — | ||||||||||||||||||
Administration fees | 4,166 | 6,876 | 14,740 | 8,910 | 321 | — | ||||||||||||||||||
Audit fees | 34,433 | 34,433 | 34,433 | 34,433 | 34,433 | 31,651 | ||||||||||||||||||
Trustees’ fees | 35 | 65 | 107 | 71 | 2 | 255 | ||||||||||||||||||
Distribution fees | 7,791 | 1,189 | 4,928 | 7,773 | — | — | ||||||||||||||||||
Shareholder reports | 3,164 | 5,534 | 10,501 | 8,030 | 923 | 157 | ||||||||||||||||||
Transfer agent fees | 15,423 | 22,443 | 63,680 | 40,006 | 1,017 | 590 | ||||||||||||||||||
Offering Costs | — | — | — | — | — | 37,742 | ||||||||||||||||||
Other | 9,254 | 10,550 | 13,084 | 13,785 | 10,129 | 8,307 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Liabilities | 112,860 | 785,947 | 465,191 | 241,782 | 157,166 | 100,224 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Assets | $ | 67,005,797 | $ | 105,647,907 | $ | 233,539,609 | $ | 140,435,065 | $ | 5,048,479 | $ | 5,084,816 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Assets Consist Of: | ||||||||||||||||||||||||
Capital | $ | 41,993,576 | $ | 73,833,485 | $ | 206,887,466 | $ | 118,131,680 | $ | 4,999,364 | $ | 5,182,529 | ||||||||||||
Undistributed net investment income (loss) | (213,748 | ) | (337,037 | ) | (256,363 | ) | 420,278 | 16,222 | 44,446 | |||||||||||||||
Accumulated net realized gains (losses) from investment transactions and foreign currency | 6,475,745 | 5,977,173 | 2,414,733 | 1,459,773 | 421,496 | 43,952 | ||||||||||||||||||
Net unrealized appreciation (depreciation) on investments and foreign currency | 18,750,224 | 26,174,286 | 24,493,773 | 20,423,334 | (388,603 | ) | (186,111 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Assets | $ | 67,005,797 | $ | 105,647,907 | $ | 233,539,609 | $ | 140,435,065 | $ | 5,048,479 | $ | 5,084,816 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Assets: | ||||||||||||||||||||||||
Class A | $ | 12,070,380 | $ | 1,410,435 | $ | 7,302,579 | $ | 10,300,186 | $ | N/A | $ | N/A | ||||||||||||
Class I | 54,935,417 | 104,237,472 | 226,237,030 | 130,134,879 | 5,048,479 | 5,084,816 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total | $ | 67,005,797 | $ | 105,647,907 | $ | 233,539,609 | $ | 140,435,065 | $ | 5,048,479 | $ | 5,084,816 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
49 |
FINANCIAL STATEMENTS
|
Statements of Assets and Liabilities (cont.)
RBC SMID Cap Growth Fund | RBC Enterprise Fund | RBC Small Cap Core Fund | RBC Microcap Value Fund | RBC Mid Cap Value Fund | RBC Small Cap Value Fund | |||||||||||||||||||
Shares Outstanding (Unlimited number of shares authorized, no par value): | ||||||||||||||||||||||||
Class A | 889,401 | 69,970 | 255,817 | 398,058 | N/A | N/A | ||||||||||||||||||
Class I | 3,741,214 | 5,019,024 | 7,640,754 | 5,020,832 | 449,155 | 522,464 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total | 4,630,615 | 5,088,994 | 7,896,571 | 5,418,890 | 449,155 | 522,464 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Asset Values and Redemption Prices per Share: | ||||||||||||||||||||||||
Class A(a) | $ | 13.57 | $ | 20.16 | $ | 28.55 | $ | 25.88 | $ | N/A | $ | N/A | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Class I | $ | 14.68 | $ | 20.77 | $ | 29.61 | $ | 25.92 | $ | 11.24 | $ | 9.73 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Maximum Offering Price Per Share: | ||||||||||||||||||||||||
Class A | $ | 14.40 | $ | 21.39 | $ | 30.29 | $ | 27.46 | $ | N/A | $ | N/A | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Maximum Sales Charge - Class A | 5.75 | % | 5.75 | % | 5.75 | % | 5.75 | % | N/A | N/A | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
(a) | For Class A shares, redemption price per share will be reduced by 1.00% for sales of shares within 12 months of purchase (only applicable on purchases of $1 million or more on which no initial sales charge was paid). Such reduction is not reflected in the net asset value and the redemption price per share. |
See Notes to Financial Statements.
50 |
FINANCIAL STATEMENTS
|
For the Year Ended September 30, 2015
RBC SMID Cap Growth Fund | RBC Enterprise Fund | RBC Small Cap Core Fund | RBC Microcap Value Fund | RBC Mid Cap Value Fund | RBC Small Cap Value Fund(a) | |||||||||||||||||||
Investment Income: | ||||||||||||||||||||||||
Dividend income - unaffiliated | $ 392,644 | $ 1,247,197 | $ 2,625,667 | $ 2,364,387 | $ 72,237 | $ 71,526 | ||||||||||||||||||
Dividend income - affiliated | — | — | — | — | — | 38 | ||||||||||||||||||
Foreign tax withholding | (2,042 | ) | (8,105 | ) | — | (2,868 | ) | — | (248 | ) | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Investment Income | 390,602 | 1,239,092 | 2,625,667 | 2,361,519 | 72,237 | 71,316 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Expenses: | ||||||||||||||||||||||||
Investment advisory fees | 502,769 | 1,157,841 | 2,208,014 | 1,379,097 | 34,759 | 34,072 | ||||||||||||||||||
Distribution fees - Class A | 32,726 | 5,179 | 21,610 | 25,797 | — | — | ||||||||||||||||||
Accounting fees | 28,591 | 31,266 | 37,988 | 32,662 | 25,248 | 20,829 | ||||||||||||||||||
Administration fees | 53,868 | 93,987 | 194,825 | 114,925 | 3,724 | — | ||||||||||||||||||
Audit fees | 34,392 | 34,421 | 34,481 | 34,432 | 34,358 | 31,651 | ||||||||||||||||||
Custodian fees | 2,211 | 4,203 | 10,047 | 2,676 | 14,117 | 1,867 | ||||||||||||||||||
Insurance fees | 6,200 | 6,200 | 6,200 | 6,200 | 6,200 | 2,566 | ||||||||||||||||||
Legal fees | 3,907 | 7,008 | 13,691 | 8,347 | 1,136 | 2,991 | ||||||||||||||||||
Registration and filing fees | 39,408 | 37,801 | 41,489 | 40,343 | 27,809 | 4,469 | ||||||||||||||||||
Shareholder reports | 7,657 | 16,926 | 31,882 | 22,610 | 2,643 | 599 | ||||||||||||||||||
Transfer agent fees - Class A | 30,620 | 9,945 | 7,506 | 36,499 | — | — | ||||||||||||||||||
Transfer agent fees - Class I | 64,301 | 113,838 | 319,066 | 187,786 | 5,892 | 4,455 | ||||||||||||||||||
Trustees’ fees | 2,475 | 4,405 | 8,989 | 5,334 | 169 | 391 | ||||||||||||||||||
Offering Costs | — | — | — | — | — | 39,527 | ||||||||||||||||||
Other fees | 8,885 | 10,229 | 11,451 | 23,169 | 6,959 | 5,935 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total expenses before fee waiver/reimbursement | 818,010 | 1,533,249 | 2,947,239 | 1,919,877 | 163,014 | 149,352 | ||||||||||||||||||
Expenses waived/reimbursed by: | ||||||||||||||||||||||||
Advisor | (174,774 | ) | (174,636 | ) | (587,690 | ) | (254,479 | ) | (121,257 | ) | (106,773 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Expenses | 643,236 | 1,358,613 | 2,359,549 | 1,665,398 | 41,757 | 42,579 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Investment Income (Loss) | (252,634 | ) | (119,521 | ) | 266,118 | 696,121 | 30,480 | 28,737 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Realized/Unrealized Gains (Losses) from Investment Transactions: | ||||||||||||||||||||||||
Net realized gains from investment transactions | 6,699,435 | 6,831,032 | 2,340,320 | 2,743,790 | 489,794 | 34,794 | ||||||||||||||||||
Net change in unrealized appreciation/depreciation on investments and foreign currency | (4,506,588 | ) | (16,136,752 | ) | (11,397,830 | ) | (3,615,849 | ) | (495,004 | ) | (186,111 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net realized/unrealized gains (losses) from investments | 2,192,847 | (9,305,720 | ) | (9,057,510 | ) | (872,059 | ) | (5,210 | ) | (151,317 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Change in net assets resulting from operations | $ 1,940,213 | $ (9,425,241 | ) | $ (8,791,392 | ) | $ (175,938 | ) | $ 25,270 | $ (122,580 | ) | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
(a) | For the period from December 3, 2014 (commencement of operations) to September 30, 2015. |
See Notes to Financial Statements.
51 |
FINANCIAL STATEMENTS
|
Statements of Changes in Net Assets
RBC SMID Cap Growth Fund | ||||||||
For the Year Ended September 30, 2015 | For the Year Ended September 30, 2014 | |||||||
From Investment Activities: | ||||||||
Operations: | ||||||||
Net investment loss | $ | (252,634 | ) | $ | (386,680 | ) | ||
Net realized gains from investment transactions | 6,699,435 | 10,397,097 | ||||||
Net change in unrealized appreciation/depreciation on investments | (4,506,588 | ) | (6,815,021 | ) | ||||
|
|
|
| |||||
Change in net assets resulting from operations | 1,940,213 | 3,195,396 | ||||||
|
|
|
| |||||
Distributions to Class A Shareholders: | ||||||||
From net realized gains | (1,963,533 | ) | (975,004 | ) | ||||
Distributions to Class I Shareholders: | ||||||||
From net realized gains | (8,245,280 | ) | (4,316,659 | ) | ||||
|
|
|
| |||||
Change in net assets resulting from shareholder distributions | (10,208,813 | ) | (5,291,663 | ) | ||||
|
|
|
| |||||
Capital Transactions: | ||||||||
Proceeds from shares issued | 4,285,393 | 4,665,975 | ||||||
Distributions reinvested | 10,155,094 | 5,273,833 | ||||||
Cost of shares redeemed | (7,997,868 | ) | (14,177,804 | ) | ||||
|
|
|
| |||||
Change in net assets resulting from capital transactions | 6,442,619 | (4,237,996 | ) | |||||
|
|
|
| |||||
Net decrease in net assets | (1,825,981 | ) | (6,334,263 | ) | ||||
Net Assets: | ||||||||
Beginning of year | 68,831,778 | 75,166,041 | ||||||
|
|
|
| |||||
End of year | $ | 67,005,797 | $ | 68,831,778 | ||||
|
|
|
| |||||
Distributions in excess of net investment income | $ | (213,748 | ) | $ | (274,742 | ) | ||
|
|
|
| |||||
Share Transactions: | ||||||||
Issued | 278,020 | 265,083 | ||||||
Reinvested | 672,204 | 311,764 | ||||||
Redeemed | (503,955 | ) | (844,567 | ) | ||||
|
|
|
| |||||
Change in shares resulting from capital transactions | 446,269 | (267,720 | ) | |||||
|
|
|
|
See Notes to Financial Statements.
52 |
FINANCIAL STATEMENTS
|
Statements of Changes in Net Assets (cont.)
RBC Enterprise Fund | ||||||||
For the Year Ended September 30, 2015 | For the Year Ended September 30, 2014 | |||||||
From Investment Activities: | ||||||||
Operations: | ||||||||
Net investment loss | $ | (119,521 | ) | $ | (297,532 | ) | ||
Net realized gains from investment transactions | 6,831,032 | 15,985,230 | ||||||
Net change in unrealized appreciation/depreciation on investments | (16,136,752 | ) | (18,244,181 | ) | ||||
|
|
|
| |||||
Change in net assets resulting from operations | (9,425,241 | ) | (2,556,483 | ) | ||||
|
|
|
| |||||
Distributions to Class A Shareholders: | ||||||||
From net realized gains | (331,213 | ) | (74,553 | ) | ||||
Distributions to Class I Shareholders: | ||||||||
From net investment income | — | (64,697 | ) | |||||
From net realized gains | (15,298,012 | ) | (3,481,882 | ) | ||||
|
|
|
| |||||
Change in net assets resulting from shareholder distributions | (15,629,225 | ) | (3,621,132 | ) | ||||
|
|
|
| |||||
Capital Transactions: | ||||||||
Proceeds from shares issued | 888,263 | 2,576,317 | ||||||
Distributions reinvested | 14,771,510 | 3,407,825 | ||||||
Cost of shares redeemed | (11,893,907 | ) | (14,776,619 | ) | ||||
|
|
|
| |||||
Change in net assets resulting from capital transactions | 3,765,866 | (8,792,477 | ) | |||||
|
|
|
| |||||
Net decrease in net assets | (21,288,600 | ) | (14,970,092 | ) | ||||
Net Assets: | ||||||||
Beginning of year | 126,936,507 | 141,906,599 | ||||||
|
|
|
| |||||
End of year | $ | 105,647,907 | $ | 126,936,507 | ||||
|
|
|
| |||||
Distributions in excess of net investment income | $ | (337,037 | ) | $ | (73,803 | ) | ||
|
|
|
| |||||
Share Transactions: | ||||||||
Issued | 37,073 | 94,459 | ||||||
Reinvested | 623,105 | 121,845 | ||||||
Redeemed | (499,838 | ) | (535,479 | ) | ||||
|
|
|
| |||||
Change in shares resulting from capital transactions | 160,340 | (319,175 | ) | |||||
|
|
|
|
See Notes to Financial Statements.
53 |
FINANCIAL STATEMENTS
|
Statements of Changes in Net Assets (cont.)
RBC Small Cap Core Fund | ||||||||
For the Year Ended September 30, 2015 | For the Year Ended September 30, 2014 | |||||||
From Investment Activities: | ||||||||
Operations: | ||||||||
Net investment income (loss) | $ | 266,118 | $ | (119,153 | ) | |||
Net realized gains from investment transactions | 2,340,320 | 8,357,764 | ||||||
Net change in unrealized appreciation/depreciation on investments | (11,397,830 | ) | (4,183,607 | ) | ||||
|
|
|
| |||||
Change in net assets resulting from operations | (8,791,392 | ) | 4,055,004 | |||||
|
|
|
| |||||
Distributions to Class A Shareholders: | ||||||||
From net realized gains | (322,051 | ) | (282,136 | ) | ||||
Distributions to Class I Shareholders: | ||||||||
From net realized gains | (8,220,883 | ) | (4,284,423 | ) | ||||
|
|
|
| |||||
Change in net assets resulting from shareholder distributions | (8,542,934 | ) | (4,566,559 | ) | ||||
|
|
|
| |||||
Capital Transactions: | ||||||||
Proceeds from shares issued | 83,369,369 | 105,186,260 | ||||||
Distributions reinvested | 8,268,614 | 4,485,112 | ||||||
Cost of shares redeemed | (58,838,792 | ) | (38,696,913 | ) | ||||
|
|
|
| |||||
Change in net assets resulting from capital transactions | 32,799,191 | 70,974,459 | ||||||
|
|
|
| |||||
Net increase in net assets | 15,464,865 | 70,462,904 | ||||||
Net Assets: | ||||||||
Beginning of year | 218,074,744 | 147,611,840 | ||||||
|
|
|
| |||||
End of year | $ | 233,539,609 | $ | 218,074,744 | ||||
|
|
|
| |||||
Distributions in excess of net investment income | $ | (256,363 | ) | $ | — | |||
|
|
|
| |||||
Share Transactions: | ||||||||
Issued | 2,525,339 | 3,251,526 | ||||||
Reinvested | 253,357 | 138,999 | ||||||
Redeemed | (1,774,935 | ) | (1,200,249 | ) | ||||
|
|
|
| |||||
Change in shares resulting from capital transactions | 1,003,761 | 2,190,276 | ||||||
|
|
|
|
See Notes to Financial Statements.
54 |
FINANCIAL STATEMENTS
|
Statements of Changes in Net Assets (cont.)
RBC Microcap Value Fund | ||||||||
For the Year Ended September 30, 2015 | For the Year Ended September 30, 2014 | |||||||
From Investment Activities: | ||||||||
Operations: | ||||||||
Net investment income | $ | 696,121 | $ | 784,402 | ||||
Net realized gains from investment transactions and foreign currency | 2,743,790 | 13,369,889 | ||||||
Net change in unrealized appreciation/depreciation on investments | (3,615,849 | ) | (3,873,913 | ) | ||||
|
|
|
| |||||
Change in net assets resulting from operations | (175,938 | ) | 10,280,378 | |||||
|
|
|
| |||||
Distributions to Class A Shareholders: | ||||||||
From net investment income | (32,359 | ) | (55,248 | ) | ||||
From net realized gains | (227,428 | ) | — | |||||
Distributions to Class I Shareholders: | ||||||||
From net investment income | (862,426 | ) | (1,284,232 | ) | ||||
From net realized gains | (3,513,670 | ) | — | |||||
|
|
|
| |||||
Change in net assets resulting from shareholder distributions | (4,635,883 | ) | (1,339,480 | ) | ||||
|
|
|
| |||||
Capital Transactions: | ||||||||
Proceeds from shares issued | 22,586,350 | 21,721,063 | ||||||
Distributions reinvested | 4,210,277 | 1,252,611 | ||||||
Cost of shares redeemed | (25,924,177 | ) | (38,872,261 | ) | ||||
|
|
|
| |||||
Change in net assets resulting from capital transactions | 872,450 | (15,898,587 | ) | |||||
|
|
|
| |||||
Net decrease in net assets | (3,939,371 | ) | (6,957,689 | ) | ||||
Net Assets: | ||||||||
Beginning of year | 144,374,436 | 151,332,125 | ||||||
|
|
|
| |||||
End of year | $ | 140,435,065 | $ | 144,374,436 | ||||
|
|
|
| |||||
Undistributed net investment income | $ | 420,278 | $ | 414,733 | ||||
|
|
|
| |||||
Share Transactions: | ||||||||
Issued | 795,930 | 796,454 | ||||||
Reinvested | 152,213 | 46,085 | ||||||
Redeemed | (931,900 | ) | (1,461,430 | ) | ||||
|
|
|
| |||||
Change in shares resulting from capital transactions | 16,243 | (618,891 | ) | |||||
|
|
|
|
See Notes to Financial Statements.
55 |
FINANCIAL STATEMENTS
|
Statements of Changes in Net Assets (cont.)
RBC Mid Cap Value Fund | ||||||||
For the Year Ended September 30, 2015 | For the Year Ended September 30, 2014 | |||||||
From Investment Activities: | ||||||||
Operations: | ||||||||
Net investment income | $ | 30,480 | $ | 12,737 | ||||
Net realized gains from investment transactions | 489,794 | 889,620 | ||||||
Net change in unrealized appreciation/depreciation on investments | (495,004 | ) | (284,541 | ) | ||||
|
|
|
| |||||
Change in net assets resulting from operations | 25,270 | 617,816 | ||||||
|
|
|
| |||||
Distributions to Class I Shareholders: | ||||||||
From net investment income | (15,820 | ) | (10,724 | ) | ||||
From net realized gains | (876,067 | ) | (286,231 | ) | ||||
|
|
|
| |||||
Change in net assets resulting from shareholder distributions | (891,887 | ) | (296,955 | ) | ||||
|
|
|
| |||||
Capital Transactions: | ||||||||
Proceeds from shares issued | 1,401,090 | 1,065,484 | ||||||
Distributions reinvested | 843,794 | 296,955 | ||||||
Cost of shares redeemed | (932,149 | ) | (61,516 | ) | ||||
|
|
|
| |||||
Change in net assets resulting from capital transactions | 1,312,735 | 1,300,923 | ||||||
|
|
|
| |||||
Net increase in net assets | 446,118 | 1,621,784 | ||||||
Net Assets | ||||||||
Beginning of year | 4,602,361 | 2,980,577 | ||||||
|
|
|
| |||||
End of year | $ | 5,048,479 | $ | 4,602,361 | ||||
|
|
|
| |||||
Undistributed net investment income | $ | 16,222 | $ | 2,155 | ||||
|
|
|
| |||||
Share Transactions: | ||||||||
Issued | 111,075 | 79,798 | ||||||
Reinvested | 70,316 | 24,521 | ||||||
Redeemed | (73,531 | ) | (4,422 | ) | ||||
|
|
|
| |||||
Change in shares resulting from capital transactions | 107,860 | 99,897 | ||||||
|
|
|
|
See Notes to Financial Statements.
56 |
FINANCIAL STATEMENTS
|
Statements of Changes in Net Assets (cont.)
RBC Small Cap Value Fund | ||||
For the Period Ended September 30, 2015(a) | ||||
From Investment Activities: | ||||
Operations: | ||||
Net investment income | $ | 28,737 | ||
Net realized gains from investment transactions | 34,794 | |||
Net change in unrealized appreciation/depreciation on investments | (186,111 | ) | ||
|
| |||
Change in net assets resulting from operations | (122,580 | ) | ||
|
| |||
Distributions to Class I Shareholders: | ||||
From net investment income | (14,660 | ) | ||
|
| |||
Change in net assets resulting from shareholder distributions | (14,660 | ) | ||
|
| |||
Capital Transactions: | ||||
Proceeds from shares issued | 5,207,396 | |||
Distributions reinvested | 14,660 | |||
|
| |||
Change in net assets resulting from capital transactions | 5,222,056 | |||
|
| |||
Net increase in net assets | 5,084,816 | |||
Net Assets: | ||||
Beginning of period | — | |||
|
| |||
End of period | $ | 5,084,816 | ||
|
| |||
Undistributed net investment income | $ | 44,446 | ||
|
| |||
Share Transactions: | ||||
Issued | 521,010 | |||
Reinvested | 1,454 | |||
|
| |||
Change in shares resulting from capital transactions | 522,464 | |||
|
|
(a) | For the period from December 3, 2014 (commencement of operations) to September 30, 2015. |
See Notes to Financial Statements.
57 |
|
RBC SMID Cap Growth Fund | (Selected data for a share outstanding throughout the periods indicated) |
Investment Activities | Distributions | |||||||||||||||||||||||||||||||
Net Asset Value, Beginning of Year | Net Investment Loss | Net Realized and Unrealized Gains (Losses) on Investments | Redemption Fees | Total from Investment Activities | Net Realized Gains | Total Distributions | Net Asset Value, End of Year | |||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||||||
Year Ended September 30, 2015 | $15.60 | (0.08)(a) | 0.53 | (b) | 0.45 | (2.48) | (2.48) | $13.57 | ||||||||||||||||||||||||
Year Ended September 30, 2014 | 16.10 | (0.11)(a) | 0.77 | (b) | 0.66 | (1.16) | (1.16) | 15.60 | ||||||||||||||||||||||||
Year Ended September 30, 2013 | 14.61 | (0.09)(a) | 3.35 | (b) | 3.26 | (1.77) | (1.77) | 16.10 | ||||||||||||||||||||||||
Year Ended September 30, 2012 | 11.41 | (0.10)(a) | 3.30 | (b) | 3.20 | — | — | 14.61 | ||||||||||||||||||||||||
Year Ended September 30, 2011 | 10.94 | (0.10)(a) | 0.57 | (b) | 0.47 | — | — | 11.41 | ||||||||||||||||||||||||
Class I | ||||||||||||||||||||||||||||||||
Year Ended September 30, 2015 | $16.65 | (0.05)(a) | 0.56 | (b) | 0.51 | (2.48) | (2.48) | $14.68 | ||||||||||||||||||||||||
Year Ended September 30, 2014 | 17.07 | (0.08)(a) | 0.82 | (b) | 0.74 | (1.16) | (1.16) | 16.65 | ||||||||||||||||||||||||
Year Ended September 30, 2013 | 15.34 | (0.06)(a) | 3.56 | (b) | 3.50 | (1.77) | (1.77) | 17.07 | ||||||||||||||||||||||||
Year Ended September 30, 2012 | 11.95 | (0.07)(a) | 3.46 | (b) | 3.39 | — | — | 15.34 | ||||||||||||||||||||||||
Year Ended September 30, 2011 | 11.43 | (0.07)(a) | 0.59 | (b) | 0.52 | — | — | 11.95 |
(a) | Per share net investment income (loss) has been calculated using the average daily shares method. |
(b) | Less than $0.01 or $(0.01) per share. |
See Notes to Financial Statements.
58 |
FINANCIAL HIGHLIGHTS
|
RBC SMID Cap Growth Fund (cont.) | (Selected data for a share outstanding throughout the periods indicated) |
Ratios/Supplemental Data | ||||||||||||||||||||||||
Total Return*(a) | Net Assets, End of Year (000’s) | Ratio of Net Expenses to Average Net Assets | Ratio of Net Investment Loss to Average Net Assets | Ratio of Expenses to Average Net Assets** | Portfolio Turnover Rate*** | |||||||||||||||||||
Class A | ||||||||||||||||||||||||
Year Ended September 30, 2015 | 2.20% | $12,070 | 1.10% | (0.56%) | 1.45% | 18% | ||||||||||||||||||
Year Ended September 30, 2014 | 3.90% | 12,503 | 1.14%† | (0.70%) | 1.47% | 17% | ||||||||||||||||||
Year Ended September 30, 2013 | 25.08% | 13,620 | 1.35% | (0.65%) | 1.46% | 16% | ||||||||||||||||||
Year Ended September 30, 2012 | 28.16% | 29,755 | 1.35% | (0.77%) | 1.60% | 10% | ||||||||||||||||||
Year Ended September 30, 2011 | 4.21% | 23,593 | 1.35% | (0.75%) | 1.61% | 13% | ||||||||||||||||||
Class I | ||||||||||||||||||||||||
Year Ended September 30, 2015 | 2.44% | $54,935 | 0.85% | (0.31%) | 1.07% | 18% | ||||||||||||||||||
Year Ended September 30, 2014 | 4.16% | 56,329 | 0.89%† | (0.45%) | 1.04% | 17% | ||||||||||||||||||
Year Ended September 30, 2013 | 25.48% | 61,546 | 1.10% | (0.40%) | 1.20% | 16% | ||||||||||||||||||
Year Ended September 30, 2012 | 28.37% | 32,825 | 1.10% | (0.52%) | 1.35% | 10% | ||||||||||||||||||
Year Ended September 30, 2011 | 4.55% | 33,835 | 1.10% | (0.49%) | 1.35% | 13% |
* | Excludes sales charge. |
** | During the year, certain fees were contractually or voluntarily reduced and/or reimbursed. If such contractual/voluntary fee reductions and reimbursements had not occurred, the ratio would have been as indicated. |
*** | Portfolio turnover rate is calculated on the basis of the Fund as a whole without distinguishing between the classes of shares issued. |
† | Beginning November 27, 2013, the net operating expenses were contractually limited to 1.10% and 0.85% of average daily net assets for Class A and Class I respectively. The ratio of net expenses to average net assets represents a blended percentage for the period ended September 30, 2014. |
(a) | Assumes investment at net asset value at the beginning of the year, reinvestment of all dividends and distributions, and a complete redemption of the investment at net asset value at the end of the year. |
See Notes to Financial Statements.
59 |
FINANCIAL HIGHLIGHTS
|
RBC Enterprise Fund | (Selected data for a share outstanding throughout the periods indicated) |
Investment Activities | Distributions | |||||||||||||||||||||||||||||||||||
Net Asset Value, Beginning of Year | Net Investment Income/(Loss) | Net Realized and Unrealized Gains (Losses) on Investments | Redemption Fees | Total from Investment Activities | Net Investment Income | Net Realized Gains | Total Distributions | Net Asset Value, End of Year | ||||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||||||||||
Year Ended September 30, 2015 | $25.16 | (0.07)(a) | (1.72) | (b) | (1.79) | — | (3.21) | (3.21) | $20.16 | |||||||||||||||||||||||||||
Year Ended September 30, 2014 | 26.48 | (0.12)(a) | (0.52) | (b) | (0.64) | — | (0.68) | (0.68) | 25.16 | |||||||||||||||||||||||||||
Year Ended September 30, 2013 | 19.45 | 0.06(a) | 6.99 | (b) | 7.05 | (0.02) | — | (0.02) | 26.48 | |||||||||||||||||||||||||||
Year Ended September 30, 2012 | 14.27 | (0.02)(a) | 5.20 | (b) | 5.18 | — | — | — | 19.45 | |||||||||||||||||||||||||||
Year Ended September 30, 2011 | 14.43 | (0.07)(a) | (0.09) | (b) | (0.16) | — | — | — | 14.27 | |||||||||||||||||||||||||||
Class I | ||||||||||||||||||||||||||||||||||||
Year Ended September 30, 2015 | $25.77 | (0.02)(a) | (1.77) | (b) | (1.79) | — | (3.21) | (3.21) | $20.77 | |||||||||||||||||||||||||||
Year Ended September 30, 2014 | 27.05 | (0.06)(a) | (0.53) | (b) | (0.59) | (0.01) | (0.68) | (0.69) | 25.77 | |||||||||||||||||||||||||||
Year Ended September 30, 2013 | 19.85 | 0.10(a) | 7.16 | (b) | 7.26 | (0.06) | — | (0.06) | 27.05 | |||||||||||||||||||||||||||
Year Ended September 30, 2012 | 14.53 | 0.12(a) | 5.20 | (b) | 5.32 | — | — | — | 19.85 | |||||||||||||||||||||||||||
Year Ended September 30, 2011 | 14.67 | (0.04)(a) | (0.10) | (b) | (0.14) | — | — | — | 14.53 |
(a) | Per share net investment income (loss) has been calculated using the average daily shares method. |
(b) | Less than $0.01 or $(0.01) per share. |
See Notes to Financial Statements.
60 |
FINANCIAL HIGHLIGHTS
|
RBC Enterprise Fund (cont.) | (Selected data for a share outstanding throughout the periods indicated) |
Ratios/Supplemental Data | ||||||||||||||||||||||||
Total Return*(a) | Net Assets, End of Year (000’s) | Ratio of Net Expenses to Average Net Assets | Ratio of Net Investment Income (Loss) to Average Net Assets | Ratio of Expenses to Average Net Assets** | Portfolio Turnover Rate*** | |||||||||||||||||||
Class A | ||||||||||||||||||||||||
Year Ended September 30, 2015 | (8.73%) | 1,410 | 1.33% | (0.30%) | 1.85% | 16% | ||||||||||||||||||
Year Ended September 30, 2014 | (2.62%) | 2,708 | 1.33% | (0.45%) | 1.75% | 19% | ||||||||||||||||||
Year Ended September 30, 2013 | 36.31% | 3,025 | 1.33% | 0.25% | 1.54% | 16% | ||||||||||||||||||
Year Ended September 30, 2012 | 36.30% | 1,387 | 1.33% | (0.12%) | 1.58% | 13% | ||||||||||||||||||
Year Ended September 30, 2011 | (1.11%) | 1,320 | 1.33% | (0.44%) | 1.57% | 27% | ||||||||||||||||||
Class I | ||||||||||||||||||||||||
Year Ended September 30, 2015 | (8.50%) | 104,237 | 1.08% | (0.09%) | 1.21% | 16% | ||||||||||||||||||
Year Ended September 30, 2014 | (2.36%) | 124,229 | 1.08% | (0.20%) | 1.20% | 19% | ||||||||||||||||||
Year Ended September 30, 2013 | 36.69% | 138,882 | 1.08% | 0.44% | 1.29% | 16% | ||||||||||||||||||
Year Ended September 30, 2012 | 36.61% | 27 | 0.99% | 0.67% | 1.26% | 13% | ||||||||||||||||||
Year Ended September 30, 2011 | (0.96%) | 3,378 | 1.08% | (0.25%) | 1.29% | 27% |
* | Excludes sales charge. |
** | During the year, certain fees were contractually or voluntarily reduced and/or reimbursed. If such contractual/voluntary fee reductions and reimbursements had not occurred, the ratio would have been as indicated. |
*** | Portfolio turnover rate is calculated on the basis of the Fund as a whole without distinguishing between the classes of shares issued. |
(a) | Assumes investment at net asset value at the beginning of the year, reinvestment of all dividends and distributions, and a complete redemption of the investment at net asset value at the end of the year. |
See Notes to Financial Statements.
61 |
FINANCIAL HIGHLIGHTS
|
RBC Small Cap Core Fund | (Selected data for a share outstanding throughout the periods indicated) |
Investment Activities | Distributions | |||||||||||||||||||||||||||||||||||
Net Asset Value, Beginning of Year | Net Investment Income (Loss) | Net Realized and Unrealized Gains (Losses) on Investments | Redemption Fees | Total from Investment Activities | Net Investment Income | Net Realized Gains | Total Distributions | Net Asset Value, End of Year | ||||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||||||||||
Year Ended September 30, 2015 | $30.66 | (0.04)(a) | (0.91) | (b) | (0.95) | — | (1.16) | (1.16) | $28.55 | |||||||||||||||||||||||||||
Year Ended September 30, 2014 | 30.53 | (0.09)(a) | 1.04 | (b) | 0.95 | — | (0.82) | (0.82) | 30.66 | |||||||||||||||||||||||||||
Year Ended September 30, 2013 | 24.45 | 0.09(a) | 7.65 | (b) | 7.74 | (0.08) | (1.58) | (1.66) | 30.53 | |||||||||||||||||||||||||||
Year Ended September 30, 2012 | 20.02 | (0.06)(a) | 5.89 | (b) | 5.83 | — | (1.40) | (1.40) | 24.45 | |||||||||||||||||||||||||||
Year Ended September 30, 2011 | 19.99 | (0.09)(a) | 0.12 | (b) | 0.03 | — | — | — | 20.02 | |||||||||||||||||||||||||||
Class I(c) | ||||||||||||||||||||||||||||||||||||
Year Ended September 30, 2015 | $31.68 | 0.04(a) | (0.95) | (b) | (0.91) | — | (1.16) | (1.16) | $29.61 | |||||||||||||||||||||||||||
Year Ended September 30, 2014 | 31.45 | (0.01)(a) | 1.06 | (b) | 1.05 | — | (0.82) | (0.82) | 31.68 | |||||||||||||||||||||||||||
Year Ended September 30, 2013 | 25.11 | 0.12(a) | 7.92 | (b) | 8.04 | (0.12) | (1.58) | (1.70) | 31.45 | |||||||||||||||||||||||||||
Year Ended September 30, 2012 | 20.49 | —(a)(b) | 6.02 | (b) | 6.02 | — | (1.40) | (1.40) | 25.11 | |||||||||||||||||||||||||||
Year Ended September 30, 2011 | 20.41 | (0.02)(a) | 0.10 | (b) | 0.08 | — | — | — | 20.49 |
(a) | Per share net investment income (loss) has been calculated using the average daily shares method. |
(b) | Less than $0.01 or $(0.01) per share. |
(c) | Effective November 27, 2012, Class S shares were redesignated as Class I shares. Performance information shown for Class I prior to that date reflects the performance of Class S, and all financial data shown for prior years is for Class S. |
See Notes to Financial Statements.
62 |
FINANCIAL HIGHLIGHTS
|
RBC Small Cap Core Fund (cont.) | (Selected data for a share outstanding throughout the periods indicated) |
Ratios/Supplemental Data | ||||||||||||||||||||||||
Total Return*(a) | Net Assets, End of Year (000’s) | Ratio of Net Expenses to Average Net Assets | Ratio of Net Investment Income (Loss) to Average Net Assets | Ratio of Expenses to Average Net Assets** | Portfolio Turnover Rate*** | |||||||||||||||||||
Class A | ||||||||||||||||||||||||
Year Ended September 30, 2015 | (3.47%) | $ 7,303 | 1.15% | (0.13%) | 1.34% | 36% | ||||||||||||||||||
Year Ended September 30, 2014 | 3.05% | 8,971 | 1.15% | (0.30%) | 1.57% | 29% | ||||||||||||||||||
Year Ended September 30, 2013 | 33.57% | 9,186 | 1.17%† | 0.34% | 1.48% | 26% | ||||||||||||||||||
Year Ended September 30, 2012 | 29.76% | 4,117 | 1.30% | (0.27%) | 1.77% | 35% | ||||||||||||||||||
Year Ended September 30, 2011 | 0.20% | 1,420 | 1.30% | (0.37%) | 1.80% | 40% | ||||||||||||||||||
Class I(b) | ||||||||||||||||||||||||
Year Ended September 30, 2015 | (3.22%) | $226,237 | 0.90% | 0.11% | 1.13% | 36% | ||||||||||||||||||
Year Ended September 30, 2014 | 3.29% | 209,104 | 0.90% | (0.04%) | 1.13% | 29% | ||||||||||||||||||
Year Ended September 30, 2013 | 33.96% | 138,426 | 0.90%† | 0.47% | 1.20% | 26% | ||||||||||||||||||
Year Ended September 30, 2012 | 30.08% | 53,147 | 1.05% | (0.01%) | 1.52% | 35% | ||||||||||||||||||
Year Ended September 30, 2011 | 0.39% | 42,647 | 1.05% | (0.09%) | 1.54% | 40% |
* | Excludes sales charge. |
† | Beginning November 27, 2012, the net operating expenses were contractually limited to 1.15% and 0.90% of average daily net assets for Class A and Class I respectively. The ratio of net expenses to average net assets represents a blended percentage for the year ended September 30, 2013. |
** | During the year, certain fees were contractually or voluntarily reduced and/or reimbursed. If such contractual/voluntary fee reductions and reimbursements had not occurred, the ratio would have been as indicated. |
*** | Portfolio turnover rate is calculated on the basis of the Fund as a whole without distinguishing between the classes of shares issued. |
(a) | Assumes investment at net asset value at the beginning of the year, reinvestment of all dividends and distributions, and a complete redemption of the investment at net asset value at the end of the year. |
(b) | Effective November 27, 2012, Class S shares were redesignated as Class I shares. Performance information shown for Class I prior to that date reflects the performance of Class S, and all financial data shown for prior years is for Class S. |
See Notes to Financial Statements.
63 |
FINANCIAL HIGHLIGHTS
|
RBC Microcap Value Fund | (Selected data for a share outstanding throughout the periods indicated) |
Investment Activities | Distributions | |||||||||||||||||||||||||||||||||||
Net Asset Value, Beginning of Year | Net Investment Income (Loss) | Net Realized and Unrealized Gains (Losses) on Investments | Redemption Fees | Total from Investment Activities | Net Investment Income | Net Realized Gains | Total Distributions | Net Asset Value, End of Year | ||||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||||||||||
Year Ended September 30, 2015 | $26.68 | 0.06(a) | (0.06) | (b) | — | (0.10) | (0.70) | (0.80) | $25.88 | |||||||||||||||||||||||||||
Year Ended September 30, 2014 | 25.10 | 0.09(a) | 1.69 | (b) | 1.78 | (0.20) | — | (0.20) | 26.68 | |||||||||||||||||||||||||||
Year Ended September 30, 2013 | 18.91 | 0.15(a) | 6.18 | (b) | 6.33 | (0.14) | — | (0.14) | 25.10 | |||||||||||||||||||||||||||
Year Ended September 30, 2012 | 14.30 | 0.09(a) | 4.57 | (b) | 4.66 | (0.05) | — | (0.05) | 18.91 | |||||||||||||||||||||||||||
Year Ended September 30, 2011 | 14.59 | 0.05(a) | (0.32) | (b) | (0.27) | (0.02) | — | (0.02) | 14.30 | |||||||||||||||||||||||||||
Class I(c) | ||||||||||||||||||||||||||||||||||||
Year Ended September 30, 2015 | $26.73 | 0.13(a) | (0.07) | (b) | 0.06 | (0.17) | (0.70) | (0.87) | $25.92 | |||||||||||||||||||||||||||
Year Ended September 30, 2014 | 25.13 | 0.15(a) | 1.71 | (b) | 1.86 | (0.26) | — | (0.26) | 26.73 | |||||||||||||||||||||||||||
Year Ended September 30, 2013 | 18.93 | 0.20(a) | 6.18 | (b) | 6.38 | (0.18) | — | (0.18) | 25.13 | |||||||||||||||||||||||||||
Year Ended September 30, 2012 | 14.33 | 0.13(a) | 4.58 | (b) | 4.71 | (0.11) | — | (0.11) | 18.93 | |||||||||||||||||||||||||||
Year Ended September 30, 2011 | 14.62 | 0.08(a) | (0.30) | (b) | (0.22) | (0.07) | — | (0.07) | 14.33 |
(a) | Per share net investment income (loss) has been calculated using the average daily shares method. |
(b) | Less than $0.01 or $(0.01) per share. |
(c) | Effective November 27, 2012, Class S shares were redesignated as Class I shares. Performance information shown for Class I prior to that date reflects the performance of Class S, and all financial data shown for prior years is for Class S. |
See Notes to Financial Statements.
64 |
FINANCIAL HIGHLIGHTS
|
RBC Microcap Value Fund (cont.) | (Selected data for a share outstanding throughout the periods indicated) |
Ratios/Supplemental Data | ||||||||||||||||||||||||
Total Return*(a) | Net Assets, End of Year (000’s) | Ratio of Net Expenses to Average Net Assets | Ratio of Net Investment Income (Loss) to Average Net Assets | Ratio of Expenses to Average Net Assets** | Portfolio Turnover Rate*** | |||||||||||||||||||
Class A | ||||||||||||||||||||||||
Year Ended September 30, 2015 | (0.18%) | $ 10,300 | 1.32% | 0.20% | 1.69% | 5% | ||||||||||||||||||
Year Ended September 30, 2014 | 7.09% | 10,029 | 1.32% | 0.32% | 1.69% | 11% | ||||||||||||||||||
Year Ended September 30, 2013 | 33.66% | 6,417 | 1.32% | 0.69% | 1.52% | 4% | ||||||||||||||||||
Year Ended September 30, 2012 | 32.62% | 4,289 | 1.32% | 0.51% | 1.60% | 5% | ||||||||||||||||||
Year Ended September 30, 2011 | (1.85%) | 3,852 | 1.32% | 0.28% | 1.60% | 2% | ||||||||||||||||||
Class I(b) | ||||||||||||||||||||||||
Year Ended September 30, 2015 | 0.04% | $130,135 | 1.07% | 0.47% | 1.22% | 5% | ||||||||||||||||||
Year Ended September 30, 2014 | 7.39% | 134,345 | 1.07% | 0.55% | 1.23% | 11% | ||||||||||||||||||
Year Ended September 30, 2013 | 33.96% | 144,915 | 1.07% | 1.08% | 1.26% | 4% | ||||||||||||||||||
Year Ended September 30, 2012 | 32.97% | 126,432 | 1.07% | 0.76% | 1.35% | 5% | ||||||||||||||||||
Year Ended September 30, 2011 | (1.59%) | 105,991 | 1.07% | 0.51% | 1.35% | 2% |
* | Excludes sales charge. |
** | During the year, certain fees were contractually or voluntarily reduced and/or reimbursed. If such contractual/voluntary fee reductions and reimbursements had not occurred, the ratio would have been as indicated. |
*** | Portfolio turnover rate is calculated on the basis of the Fund as a whole without distinguishing between the classes of shares issued. |
(a) | Assumes investment at net asset value at the beginning of the year, reinvestment of all dividends and distributions, and a complete redemption of the investment at net asset value at the end of the year. |
(b) | Effective November 27, 2012, Class S shares were redesignated as Class I shares. Performance information shown for Class I prior to that date reflects the performance of Class S, and all financial data shown for prior years is for Class S. |
See Notes to Financial Statements.
65 |
FINANCIAL HIGHLIGHTS
|
RBC Mid Cap Value Fund | (Selected data for a share outstanding throughout the periods indicated) |
Investment Activities | Distributions | |||||||||||||||||||||||||||||||||||
Net Asset Value, Beginning of Year | Net Investment Income/(Loss) | Net Realized and Unrealized Gains (Losses) on Investments | Redemption Fees | Total from Investment Activities | Net Investment Income | Net Realized Gains | Total Distributions | Net Asset Value, End of Year | ||||||||||||||||||||||||||||
Class I | ||||||||||||||||||||||||||||||||||||
Year Ended September 30, 2015 | $13.49 | 0.08(a) | 0.20 | — | 0.28 | (0.04) | (2.49) | (2.53) | $11.24 | |||||||||||||||||||||||||||
Year Ended September 30, 2014 | 12.35 | 0.04(a) | 2.31 | — | 2.35 | (0.04) | (1.17) | (1.21) | 13.49 | |||||||||||||||||||||||||||
Year Ended September 30, 2013 | 10.34 | 0.06(a) | 2.59 | — | 2.65 | (0.16) | (0.48) | (0.64) | 12.35 | |||||||||||||||||||||||||||
Year Ended September 30, 2012 | 9.42 | 0.09(a) | 2.69 | — | 2.78 | (0.10) | (1.76) | (1.86) | 10.34 | |||||||||||||||||||||||||||
Year Ended September 30, 2011 | 10.80 | 0.13(a) | (0.52) | — | (0.39) | (0.47) | (0.52) | (0.99) | 9.42 |
(a) | Per share net investment income (loss) has been calculated using the average daily shares method. |
See Notes to Financial Statements.
66 |
FINANCIAL HIGHLIGHTS
|
RBC Mid Cap Value Fund (cont.) | (Selected data for a share outstanding throughout the periods indicated) |
Ratios/Supplemental Data | ||||||||||||||||||||||||
Total Return*(a) | Net Assets, End of Year (000’s) | Ratio of Net Expenses to Average Net Assets | Ratio of Net Investment Income (Loss) to Average Net Assets | Ratio of Expenses to Average Net Assets** | Portfolio Turnover Rate | |||||||||||||||||||
Class I | ||||||||||||||||||||||||
Year Ended September 30, 2015 | 0.91% | $5,048 | 0.84%† | 0.61% | 3.28% | 184% | ||||||||||||||||||
Year Ended September 30, 2014 | 20.14% | 4,602 | 0.90% | 0.33% | 3.71% | 162% | ||||||||||||||||||
Year Ended September 30, 2013 | 26.93% | 2,981 | 0.90% | 0.51% | 4.66% | 113% | ||||||||||||||||||
Year Ended September 30, 2012 | 31.73% | 2,185 | 0.90% | 0.89% | 5.31% | 160% | ||||||||||||||||||
Year Ended September 30, 2011 | (5.35%) | 1,659 | 0.90% | 1.12% | 5.59% | 174% |
* | Excludes sales charge. |
** | During the year, certain fees were contractually or voluntarily reduced and/or reimbursed. If such contractual/voluntary fee reductions and reimbursements had not occurred, the ratio would have been as indicated. |
† | Beginning August 3, 2015, the net operating expenses were contractually limited to 0.55% of average daily net assets for Class I. The ratio of net expenses to average net assets represents a blended percentage for the period ended September 30, 2015. |
(a) | Assumes investment at net asset value at the beginning of the year, reinvestment of all dividends and distributions, and a complete redemption of the investment at net asset value at the end of the year. |
See Notes to Financial Statements.
67 |
FINANCIAL HIGHLIGHTS
|
RBC Small Cap Value Fund | (Selected data for a share outstanding throughout the periods indicated) |
Investment Activities | Distributions | |||||||||||||||||||||||||||||||||||
Net Asset Value, Beginning of Period | Net Investment Income/(Loss) | Net Realized and Unrealized Gains (Losses) on Investments | Redemption Fees | Total from Investment Activities | Net Investment Income | Net Realized Gains | Total Distributions | Net Asset Value, End of Period | ||||||||||||||||||||||||||||
Class I | ||||||||||||||||||||||||||||||||||||
Period Ended September 30, 2015(b) | $ 10.00 | 0.06(a) | (0.30) | — | (0.24) | (0.03) | — | (0.03) | $ 9.73 |
(a) | Per share net investment income (loss) has been calculated using the average daily shares method. |
(b) | For the period from December 3, 2014 (commencement of operations) to September 30, 2015. |
See Notes to Financial Statements.
68 |
FINANCIAL HIGHLIGHTS
|
RBC Small Cap Value Fund (cont.) | (Selected data for a share outstanding throughout the periods indicated) |
Ratios/Supplemental Data | ||||||||||||||||||||||||
Total Return*(a) | Net Assets, End of Period (000’s) | Ratio of Net Expenses to Average Net Assets | Ratio of Net Investment Income (Loss) to Average Net Assets | Ratio of Expenses to Average Net Assets** | Portfolio Turnover Rate | |||||||||||||||||||
Class I | ||||||||||||||||||||||||
Period Ended September 30, 2015(b) | (2.42%)(c) | $5,085 | 1.00%(d) | 0.67%(d) | 3.50%(d) | 41% |
* | Excludes sales charge. |
** | During the year, certain fees were contractually or voluntarily reduced and/or reimbursed. If such contractual/voluntary fee reductions and reimbursements had not occurred, the ratio would have been as indicated. |
(a) | Assumes investment at net asset value at the beginning of the year, reinvestment of all dividends and distributions, and a complete redemption of the investment at net asset value at the end of the year. |
(b) | For the period from December 3, 2014 (commencement of operations) to September 30, 2015. |
(c) | Not Annualized. |
(d) | Annualized. |
See Notes to Financial Statements.
69 |
|
September 30, 2015
1. Organization:
RBC Funds Trust (the “Trust”) is registered under the Investment Company Act of 1940 (as amended) as an open-end management investment company. The Trust was organized as a Delaware statutory trust on December 16, 2003 and currently consists of 23 portfolios. Predecessor funds to the Trust were reorganized as portfolios of the Trust effective April 16, 2004. This report includes the following six investment portfolios (each a “Fund” and collectively, the “Funds”):
- RBC SMID Cap Growth Fund (“SMID Cap Growth Fund”)
- RBC Enterprise Fund (“Enterprise Fund”)
- RBC Small Cap Core Fund (“Small Cap Core Fund”)
- RBC Microcap Value Fund (“Microcap Value Fund”)
- RBC Mid Cap Value Fund (“Mid Cap Value Fund”)
- RBC Small Cap Value Fund (“Small Cap Value Fund”)
The SMID Cap Growth, Enterprise, Small Cap Core and Microcap Value Funds offer two share classes: Class A and Class I shares. On November 27, 2012, Class C shares were converted to Class A shares for the SMID Cap Growth, Enterprise, Small Cap Core and Microcap Value Funds and Class S shares were converted to Class I shares for SMID Cap Growth and Enterprise Funds. For the Small Cap Core and Microcap Value Funds, which did not previously have Class I shares, the Class S shares were redesignated as Class I shares. The Mid Cap Value Fund and Small Cap Value Fund offer Class I shares. Class A shares are offered with a 5.75% maximum front-end sales charge and a 1.00% contingent deferred sales charge (“CDSC”) for redemption within 12 months of a $1 million or greater purchase on which no front-end sales charge was paid. Class I shares (intended for investors meeting certain investment minimum thresholds) are not subject to either a front-end sales charge or a CDSC.
RBC Global Asset Management (U.S.) Inc. (“RBC GAM (US)” or “Advisor” or “Co-Administrator”) acts as the investment advisor for the Funds. The officers of the Trust (“Fund Management”) are also employees of RBC GAM (US) or its affiliates.
2. Significant Accounting Policies:
Summarized below are the significant accounting policies of the Funds. These policies conform to accounting principles generally accepted in the United States of America (“US GAAP”). Fund Management follows these policies when preparing financial statements. Fund Management may also be required to make estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the financial statements and the reported amounts of income and expenses for the period. Actual results could differ from those estimates. The financial statements are as of the close of regular trading on the New York Stock Exchange (“NYSE”).
Security Valuation:
The Trust’s Board of Trustees (the “Board”) has adopted pricing and valuation procedures for determining the fair value of each Fund’s investments. Fair value of a security is considered to be the price that a fund might reasonably expect to receive upon its current sale in an orderly transaction between market participants.
Equity securities are generally valued on the basis of prices furnished by third-party pricing services approved by the Board. Equity securities listed on one or more exchanges shall be valued at the last available quoted sale price on the primary trading exchange as of the close of regular trading on the exchange and are categorized as Level 1 in the fair value hierarchy. An equity security not listed on an exchange but listed on NASDAQ shall be valued at the NASDAQ official closing price and is also categorized as Level 1. If there was no sale on the primary exchange on the day the net asset value is calculated or a NASDAQ official closing price is not available, the most recent bid quotation generally
70 |
NOTES TO FINANCIAL STATEMENTS
|
will be used and such securities will generally categorized as Level 2. Investments in open-end investment companies (mutual funds) are valued at net asset value and are categorized as Level 1 in the fair value hierarchy.
Fixed income securities, including to-be-announced (“TBA”) commitments and municipal bonds, are generally valued based on evaluated prices received from third-party pricing services or from broker-dealers who make markets in the securities and are generally categorized as Level 2 in the fair value hierarchy. The pricing services utilize both dealer-supplied valuations and electronic data processing techniques that take into account multiple appropriate factors such as institutional-size trading in similar groups of securities, market spreads, interest rates, and fundamental security analytical data including yield, quality, coupon rate, maturity and type of issue.
Foreign securities valued in non-U.S. dollars are valued in the foreign currency and then converted into the U.S. dollar equivalent using the foreign exchange rate in effect at the close of the NYSE on the day the security’s value is determined. The value of securities traded in markets outside the United States may be affected on a day that the NYSE is closed and an investor is not able to purchase, exchange or redeem shares of the Funds.
The Board has delegated to the Funds’ Pricing Committee (“Pricing Committee”) the responsibility for implementing the pricing and valuation procedures, including responsibility for determining the fair value of the Funds’ securities or other assets. The Pricing Committee includes representatives of the Funds’ Advisor and Co-Administrator, including personnel from accounting and operations, investment management, trading, risk management, compliance and legal. The Pricing Committee meets at least quarterly to review and approve Fund valuation matters, including a review of the Funds’ pricing activity and operations, fair value measurements, pricing vendors, policies and procedures, and related controls. At least a quorum of the Pricing Committee shall meet more frequently, as needed, to consider and approve time-sensitive fair valuation matters. The Pricing Committee reports to the Valuation, Portfolio Management and Performance Committee (“Valuation Committee”) of the Board. Members of the Pricing Committee meet with the Valuation Committee and the Board at each of their regularly scheduled meetings to discuss valuation matters and actions taken during the period.
The Board has adopted procedures to determine the fair value of a security when a price is not available from a pricing service or broker-dealer or Fund Management determines that a price provided by a pricing service or broker-dealer does not approximate fair value. Fair valuation may also be used when a significant valuation event affecting the value of a security or market sector is determined to have occurred between the time when a security’s market closes and the time the Fund’s net asset value is calculated. The fair value of the security will be determined in good faith by the Pricing Committee in accordance with procedures and methodologies adopted by the Board. General factors used in determining the fair value of securities include, but are not limited to, fundamental analytical data relating to the security, the issuer and the market, such as duration, prepayment and default rates; general level of interest rates and changes in interest rates; information from broker-dealers; trading in similar securities; any restrictions on disposition of the security; and an evaluation of the forces that influence the market in which the investments are traded. These securities are either categorized as Level 2 or 3 in the fair value hierarchy, depending on the relevant inputs used.
When the Funds utilize fair valuation methods that use significant unobservable inputs to determine a security’s value, such securities will be categorized as Level 3 of the fair value hierarchy. These methods may require subjective determinations about the value of a security. While the Funds’ policy is intended to result in a calculation of a Fund’s net asset value that fairly reflects security values as of the time of pricing, the Funds cannot guarantee that values determined by the Board or persons acting at their direction would accurately reflect the price that the Funds could obtain for a security if they were to dispose of it as of the time of pricing (for instance, in a forced or distressed sale). The prices used by the Funds may differ from the value that would be realized if the securities were sold.
The Funds’ Pricing Committee employs various methods for calibrating the valuation approach related to securities categorized within Level 2 and Level 3 of the fair value hierarchy. These methods may include regular due diligence of the Funds’ pricing vendors, a regular review of key inputs and
71 |
NOTES TO FINANCIAL STATEMENTS
|
assumptions, transaction back-testing or disposition analysis to compare unrealized gains and losses to realized gains and losses, reviews of missing and stale prices and large movements in market value, and reviews of any market related activities. Additionally, the pricing of all fair value holdings is subsequently reported to the Valuation Committee and Board.
Fair Value Measurements:
The Funds disclose the fair value of their investments in a hierarchy that categorizes investments based on the inputs to valuation techniques used to measure fair value. The three levels of the fair value hierarchy are as follows:
· Level 1 - Inputs that reflect unadjusted quoted prices in active markets for identical assets or liabilities that the Funds have the ability to access at the measurement date.
· Level 2 - Significant inputs other than quoted prices that are observable for the asset or liability either directly or indirectly, including inputs in markets that are not considered to be active. Observable inputs may include quoted prices for similar securities, interest rates, spreads, prepayment speeds, etc.
· Level 3 - Significant unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Fund’s own assumptions in determining the fair value of investments).
The inputs or methodology used for valuing investments are not necessarily an indication of the risk associated with investing in those securities.
Inputs used in determining fair value of an investment may include, but are not limited to, price information, volatility statistics, credit and market data, and other factors, all of which may be either observable or unobservable. Inputs can vary among investments and will be impacted by the investment type and volume of activity for the particular security or similar securities in the market. Investments in the Level 3 category are generally supported by transactions and quoted prices from dealers participating in the market for those investments. Investments may be included in the Level 3 category due to a lack of market activity or transparency. Internal valuation models may also be used as a pricing source for Level 3 investments. Internal valuation models may rely on one or more unobservable inputs, such as estimated cash flows, financial statement analysis and discount rates.
The summary of inputs used to determine the fair value of each Fund’s investments as of September 30, 2015 is as follows:
Investments in Securities | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | Total | ||||||||||||
SMID Cap Growth Fund | $ | 67,088,208( | a) | $ | — | $ | — | $ | 67,088,208 | |||||||
Enterprise Fund | 104,853,300( | a) | — | — | 104,853,300 | |||||||||||
Small Cap Core Fund | 228,794,837( | a) | — | — | 228,794,837 | |||||||||||
Microcap Value Fund | 137,920,456( | a) | 2,494,921(b) | — | 140,415,377 | |||||||||||
Mid Cap Value Fund | 5,128,140( | a) | — | — | 5,128,140 | |||||||||||
Small Cap Value Fund | 5,156,121( | a) | — | — | 5,156,121 |
(a) The breakdown of the Fund’s investments into major categories is disclosed in the Schedules of Portfolio Investments.
(b) Represents securities in the Consumer Discretionary ($851,061), Consumer Staples ($205,130), Financials ($239,046), Information Technology ($8,750), Materials ($191,456), Preferred Stock ($999,071), and Rights/Warrants ($407) sections of the Schedule of Portfolio Investments.
The Funds did not have any liabilities that were measured at fair value on a recurring basis at September 30, 2015.
72 |
NOTES TO FINANCIAL STATEMENTS
|
During the period ended September 30, 2015, the Funds, except Enterprise Fund and Microcap Value Fund, recognized no transfers to/from Level 1 or Level 2. For Enterprise Fund, securities were transferred from Level 2 to Level 1 in the amount of $71,024 since the trading market became active for the securities. For Microcap Value Fund, transfers to Level 2 from Level 1 in the amount of $124,430 were due to the absence of an active trading market for the securities on September 30, 2015; Securities were transferred from Level 2 to Level 1 in the amount of $1,344,697 since the trading market became active for the securities. The Funds’ policy is to recognize transfers between Level 1, Level 2 and Level 3 at the end of the year utilizing fair value at the beginning of the year.
Following is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value:
Enterprise Fund | ||||||||||||||
(Common Stocks-Industrials) | ||||||||||||||
Balance as of 09/30/14 (value) | $ 8,916 | |||||||||||||
Sales | (11,146) | |||||||||||||
Gain (loss) | 11,146 | |||||||||||||
Change in unrealized appreciation/ (depreciation) | (8,916) | |||||||||||||
Balance as of 09/30/15 (value) | $ — |
Microcap Value Fund | ||||||||||||||||||
(Common Stocks- Financials) |
| (Common Stocks- Industrials) |
| (Rights/Warrants- Financials) |
| |||||||||||||
Balance as of 09/30/14 (value) | $ 4 | $ 1,879 | $ — | |||||||||||||||
Transfers in | 475(a) | 109(a) | — | |||||||||||||||
Net sales | — | — | (32,960) | |||||||||||||||
Realized gain (loss) | — | — | 32,960 | |||||||||||||||
Change in unrealized appreciation (depreciation) * | (479) | (1,988) | — | |||||||||||||||
Balance as of 9/30/15 (value) | $ — | $ — | $ — |
(a) These securities were transferred to Level 3 due to lack of a current market quotation and was valued at fair market value as determined in good faith by the Board or persons acting at their direction using unobservable inputs.
The Funds’ assets assigned to the Level 3 category were valued using market data or trade information specific to the security or comparable issues. However, due to a lack of market activity or corroborating data to support the valuations, the investments were classified as Level 3.
The significant unobservable inputs used in fair value measurement of the Funds’ investments are (i) an estimation of a normalized earnings level for the company and (ii) the likelihood of achieving normalized earnings. Significant changes in any of those inputs in isolation would result in a significantly lower or higher fair value measurement. Generally, a change in the assumptions used for the normalized earnings level will be accompanied by a directionally similar change in the discounts applied to the list of comparable investments.
Repurchase Agreements:
The Funds may enter into repurchase agreements with counterparties whom the Advisor has deemed creditworthy, including primary dealers that report to the Federal Reserve Bank of New York or other large U.S. commercial banks or broker-dealers. These repurchase agreements are subject to the seller’s
73 |
NOTES TO FINANCIAL STATEMENTS
|
agreement to repurchase such securities at a mutually agreed upon date and price. The repurchase price generally equals the price paid by the Funds plus interest negotiated on the basis of current short-term rates.
Securities pledged as collateral for repurchase agreements are held by a custodian bank until maturity of the repurchase agreement. The Funds have procedures to monitor additional collateral, if needed, to ensure that the daily market value of the collateral remains in excess of the repurchase agreement in the event of a default. There were no repurchase agreements held during the year ended September 30, 2015.
Affiliated Investments:
Small Cap Value Fund invests in other Funds of the Trust (an “Affiliated Fund”). The income and both realized and the change in unrealized gains and losses earned by each Fund from the Affiliated Funds for the period is disclosed in the Statements of Operations. The table below details the transactions of each Fund in Affiliated Funds.
Value December 3, 2014 (Inception) | Purchases | Sales | Value September 30, 2015 | Dividends | ||||||||||||||||
Investments in RBC Prime Money Market Fund — Institutional Class 1 | ||||||||||||||||||||
Small Cap Value Fund | $ | — | $ | 1,263,709 | $ | 1,001,370 | $ | 262,339 | $ | 38 |
Offering Costs:
Upon commencement of operations, offering costs associated with the establishment of the Small Cap Value Fund were incurred by the Fund. Offering costs are amortized and included in expenses over a 12-month period beginning with the commencement of operations and are included in the Statements of Operations. Unamortized offering costs are included in prepaid expenses on the Statements of Assets and Liabilities.
Investment Transactions and Income:
Investment transactions are recorded on one business day after trade date, except on the last day of each fiscal quarter end, when they are recorded on trade date. Dividend income is recorded on the ex-dividend date. Realized gains and losses from investment transactions are calculated based on the cost of the specific security (also known as identified cost basis). Interest income is recognized on the accrual basis and includes, where applicable, the amortization or accretion of premium or discount using the effective yield method.
Expense, Investment Income and Gain/Loss Allocation:
Each Fund pays the expenses that are directly related to its operations, such as custodian fees or investment advisory fees. Expenses incurred by the Trust, such as trustee or legal fees, are allocated among each of the Funds in the Trust either proportionately based upon each Fund’s relative net assets or using another reasonable basis such as equally across all Funds in the Trust. Individual share classes within a Fund are charged expenses specific to that class, such as distribution fees and transfer agent fees. Within a Fund, expenses other than class specific expenses are allocated daily to each class based upon the proportion of relative net assets. Investment income and realized and unrealized gains or losses are allocated to each class of shares based on relative net assets.
Real Estate Investment Trusts:
The Funds may own shares of real estate investment trusts (“REITs”) which report information on the source of their distributions annually. Dividends paid by a REIT, other than capital gain distributions, will be taxable as ordinary income up to the amount of the REIT’s current and accumulated earnings and profits. Capital gain dividends paid by a REIT to a fund will be treated as long term capital gains by the Fund and, in turn, may be distributed by the Fund to its shareholders as a capital gain distribution.
74 |
NOTES TO FINANCIAL STATEMENTS
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Distributions received from a REIT in excess of its income are recorded as a return of capital and a reduction to the cost basis of the REIT.
Distributions to Shareholders:
Each Fund pays out any income that it receives, less expenses, in the form of dividends and capital gain distributions to its shareholders. Income dividends and capital gain distributions for each Fund are declared and paid at least annually. Distributions to shareholders are recorded on the ex-dividend date. The amount of dividends and distributions are calculated based on federal income tax regulations, which may differ from US GAAP. These “book/tax” differences may be either temporary or permanent in nature. To the extent these differences are determined, as of the end of the tax year, to be permanent (e.g., net operating loss and basis adjustments on investments in real estate investment trusts (REITs), passive foreign investment companies (PFICs) and partnerships.), they are reclassified within a Fund’s capital accounts based on their federal tax basis treatment.
For the year ended September 30, 2015, permanent difference reclassification amounts were as follows:
Increase/(Decrease) Paid in Capital | Increase/(Decrease) Undistributed Net Investment Income/(Loss) | Increase/(Decrease) Accumulated Realized Gain/(Loss) | ||||||||||
SMID Cap Growth Fund | $(313,628) | $ 313,628 | $ — | |||||||||
Enterprise Fund | (154,018) | (143,713) | 297,731 | |||||||||
Small Cap Core Fund | — | (522,481) | 522,481 | |||||||||
Microcap Value Fund | (556) | 204,209 | (203,653) | |||||||||
Mid Cap Value Fund | — | (593) | 593 | |||||||||
Small Cap Value Fund | (39,527) | 30,369 | 9,158 |
3. Agreements and Other Transactions with Affiliates:
The Trust has entered into investment advisory agreements with RBC GAM (US) under which RBC GAM (US) manages each Fund’s assets and furnishes related office facilities, equipment, research and personnel. The agreements require each Fund to pay RBC GAM (US) a monthly fee based upon average daily net assets. Under the terms of the agreements, RBC GAM (US) is entitled to receive fees based on a percentage of the average daily net assets of each of the Funds as follows:
Average Daily Net Assets of Fund | Annual Rate | |||||||
SMID Cap Growth Fund | All Net Assets | 0.70% | ||||||
Enterprise Fund | Up to $30 million | 1.00% | ||||||
Over $30 million | 0.90% | |||||||
Small Cap Core Fund | All Net Assets | 0.85% | ||||||
Microcap Value Fund | All Net Assets | 0.90% | ||||||
Mid Cap Value Fund | All Net Assets | 0.70% | ||||||
Small Cap Value Fund | All Net Assets | 0.80% |
RBC GAM (US) has contractually agreed to waive fees and/or make payments in order to keep total operating expenses of Class A and Class I shares of each Fund to the following levels. This expense limitation agreement is in place until January 31, 2017 (October 31, 2017 for Mid Cap Value Fund).
75 |
NOTES TO FINANCIAL STATEMENTS
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Class A | Class I Annual Rate | |||||||||||
SMID Cap Growth Fund | 1.10% | 0.85% | ||||||||||
Enterprise Fund | 1.33% | 1.08% | ||||||||||
Small Cap Core Fund | 1.15% | 0.90% | ||||||||||
Microcap Value Fund | 1.32% | 1.07% | ||||||||||
Mid Cap Value Fund | N/A | 0.55% | * | |||||||||
Small Cap Value Fund | N/A | 1.00% |
* Prior to August 3, 2015, the annual rate for Mid Cap Value Fund under the expense limitation agreement was 0.90% for Class I.
Each Fund will carry forward, for a period not to exceed 12 months (for each of the Funds except Small Cap Value Fund which is for a period not to exceed 3 years from the end of the fiscal year in which fee was waived or reimbursement made) from the date on which a waiver or reimbursement is made by RBC GAM (US), any expenses in excess of the expense limitation and repay RBC GAM (US) such amounts, provided the Fund is able to effect such repayment and remain in compliance with the expense limitation stated above. At September 30, 2015, the amounts subject to possible recoupment under the expense limitation agreement are $174,774, $174,636, $587,690, $254,479, $121,257 and $106,609 for SMID Cap Growth, Enterprise, Small Cap Core, Microcap Value, Mid Cap Value and Small Cap Value Funds, respectively. There was no recoupment of expense reimbursements/waivers during the period. Amounts from prior years are no longer subject to recoupment.
RBC GAM (US) voluntarily agreed to waive its investment advisory fees by the amount of investment advisory fees Small Cap Value Fund pays to RBC GAM (US) indirectly through its investment in an affiliated money market fund. For the period ended September 30, 2015, the amount waived was $164 and is included in expenses waived/reimbursed by Advisor in the Statements of Operations.
RBC GAM (US) may also voluntarily waive and/or reimburse operating expenses of any Fund from time to time. Any such voluntary program may be changed or eliminated at any time without notice, and expenses waived under such program are not subject to recoupment.
RBC GAM (US) serves as co-administrator to the Funds. BNY Mellon serves as co-administrator and fund accounting agent. Services provided under the administrative services contract include providing day-to-day administration of matters related to the Funds, maintenance of their records and the preparation of reports. Under the terms of the administrative services contract, RBC GAM (US) receives from each Fund except Small Cap Value Fund a fee, payable monthly, at the annual rate of 0.075% of each Fund’s average daily net assets. BNY Mellon receives a fee for its services payable by each Fund based on each Funds’ average net assets. RBC GAM (US)’s fee is listed as “Administration fees” in the Statements of Operations. BNY Mellon’s fee is included with “Accounting fees” in the Statements of Operations.
Certain officers and trustees of the Trust are affiliated with the Advisor or the Co-Administrator. Such Officers and Trustees receive no compensation from the Funds for serving in their respective roles.
The Trust currently pays each of the independent trustees (trustees of the Trust who are not directors, officers or employees of the Advisor, either Co-Administrator or Distributor) an annual retainer of $41,500 ($46,000 effective October 1, 2015). The Board Chairperson and Audit Committee Chairperson each receive an additional retainer of $2,500 annually, and all other trustees serving as Chair of a Board committee each receive an additional retainer of $1,000 annually. In addition, independent trustees receive a quarterly meeting fee of $5,500 ($6,000 effective October 1, 2015) for each in-person Board meeting attended, a meeting fee of $1,500 for each telephonic or special board meeting attended, a $1,500 fee for each Board committee meeting attended, and are reimbursed for all out-of-pocket expenses relating to attendance at such meetings.
In conjunction with the launch of the Mid Cap Value Fund and Small Cap Value Fund, the Advisor invested seed capital to provide each of these two Funds with its initial investment assets. The table
76 |
NOTES TO FINANCIAL STATEMENTS
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below shows, as of September 30, 2015, each Fund’s net assets, the shares of each Fund held by the Advisor, and the percent of total net assets represented by the Advisor’s investment.
Net Assets | Shares held by Advisor | % of Fund | ||||||||||||||
Mid Cap Value Fund | $ | 5,048,479 | 276,533 | 61.6% | ||||||||||||
Small Cap Value Fund | $ | 5,084,816 | 501,454 | 96.0% |
4. Fund Distribution:
Each of the Funds has adopted a Master Distribution 12b-1 Plan (the “Plan”) in which Quasar Distributors LLC (the “Distributor”) acts as the Funds’ distributor. The Plan permits each Fund to make payments for or to reimburse the Distributor for distribution-related costs and expenses of marketing shares of Class A covered under the Plan, and/or for providing shareholder services. The Plan does not apply to Class I. The following chart shows the current Plan fee rate for Class A.
Class A | ||||
12b-1 Plan Fee | 0.25% | * |
* Under the Plan, the maximum fee rate for Class A shares is 0.50%. Currently the Board has approved an annual limit of 0.25%.
Plan fees are based on average daily net assets of Class A. Up to 0.25% of each Plan fee may be designated as a service fee, as defined by the applicable rules of the Financial Industry Regulatory Authority. The Distributor, subject to applicable legal requirements, may waive a Plan fee voluntarily, in whole or in part. For the year ended September 30, 2015, there were no fees waived by the Distributor.
For the year ended September 30, 2015, the Distributor received commissions of $14,595 front-end sales charges of Class A shares of the Funds, of which $2,680 was paid to affiliated broker-dealers, and the remainder was either paid to unaffiliated broker-dealers or retained by the Distributor.
The Distributor did not receive any CDSC fees from Class A shares of the Funds during the year ended September 30, 2015.
5. Securities Transactions:
The cost of securities purchased and proceeds from securities sold (excluding securities maturing less than one year from acquisition) for the year or period ended September 30, 2015 were as follows:
Purchases | Sales | |||||||||
SMID Cap Growth Fund | $ | 13,241,415 | $ | 12,385,696 | ||||||
Enterprise Fund | 19,720,278 | 32,203,904 | ||||||||
Small Cap Core Fund | 114,077,658 | 88,722,479 | ||||||||
Microcap Value Fund | 16,911,982 | 6,721,432 | ||||||||
Mid Cap Value Fund | 9,375,024 | 8,848,846 | ||||||||
Small Cap Value Fund | 7,114,970 | 2,069,306 |
Within the guidelines established by the Funds to always seek best execution when entering into portfolio transactions, certain of the Funds participate in a “commission recapture” program under which brokerage transactions are directed to Capital Institutional Services Inc. (“CAPIS”) and its correspondent brokers. A portion of the commissions paid under this program are reimbursed to the Funds and are recorded as net realized gains from investment transactions in the financial statements.
77 |
NOTES TO FINANCIAL STATEMENTS
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6. Capital Share Transactions:
The Trust is authorized to issue an unlimited number of shares of beneficial interest (“shares outstanding”) without par value. Transactions in capital stock of the Funds are summarized on the following pages:
SMID Cap Growth Fund | Enterprise Fund | |||||||||||||||||||||||||||||||||
For the Year Ended September 30, 2015 | For the Year Ended September 30, 2014 | For the Year Ended September 30, 2015 | For the Year Ended September 30, 2014 | |||||||||||||||||||||||||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||||||||
Proceeds from shares issued | $ | 304,193 | $ | 429,973 | $ | 115,122 | $ | 1,263,574 | ||||||||||||||||||||||||||
Distributions reinvested | 1,949,610 | 972,776 | 303,050 | 62,473 | ||||||||||||||||||||||||||||||
Cost of shares redeemed | (1,037,992 | ) | (2,102,266 | ) | (1,291,739 | ) | (1,489,567 | ) | ||||||||||||||||||||||||||
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Change in Class A | $ | 1,215,811 | $ | (699,517 | ) | $ | (873,567 | ) | $ | (163,520 | ) | |||||||||||||||||||||||
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Class I | ||||||||||||||||||||||||||||||||||
Proceeds from shares issued | $ | 3,981,200 | $ | 4,236,002 | $ | 773,141 | $ | 1,312,743 | ||||||||||||||||||||||||||
Distributions reinvested | 8,205,484 | 4,301,057 | 14,468,460 | 3,345,352 | ||||||||||||||||||||||||||||||
Cost of shares redeemed | (6,959,876 | ) | (12,075,538 | ) | (10,602,168 | ) | (13,287,052 | ) | ||||||||||||||||||||||||||
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| |||||||||||||||||||||||||||
Change in Class I | $ | 5,226,808 | $ | (3,538,479 | ) | $ | 4,639,433 | $ | (8,628,957 | ) | ||||||||||||||||||||||||
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|
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| |||||||||||||||||||||||||||
Change in net assets resulting from capital transactions | $ | 6,442,619 | $ | (4,237,996 | ) | $ | 3,765,866 | $ | (8,792,477 | ) | ||||||||||||||||||||||||
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SHARE TRANSACTIONS: | ||||||||||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||||||||
Issued | 20,456 | 26,496 | 4,948 | 47,080 | ||||||||||||||||||||||||||||||
Reinvested | 137,296 | 60,534 | 13,136 | 2,283 | ||||||||||||||||||||||||||||||
Redeemed | (69,800 | ) | (131,690 | ) | (55,736 | ) | (55,954 | ) | ||||||||||||||||||||||||||
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|
|
|
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| |||||||||||||||||||||||||||
Change in Class A | 87,952 | (44,660 | ) | (37,652 | ) | (6,591 | ) | |||||||||||||||||||||||||||
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Class I | ||||||||||||||||||||||||||||||||||
Issued | 257,564 | 238,587 | 32,125 | 47,379 | ||||||||||||||||||||||||||||||
Reinvested | 534,908 | 251,230 | 609,969 | 119,562 | ||||||||||||||||||||||||||||||
Redeemed | (434,155 | ) | (712,877 | ) | (444,102 | ) | (479,525 | ) | ||||||||||||||||||||||||||
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|
|
|
|
|
|
| |||||||||||||||||||||||||||
Change in Class I | 358,317 | (223,060 | ) | 197,992 | (312,584 | ) | ||||||||||||||||||||||||||||
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|
|
|
|
| |||||||||||||||||||||||||||
Change in shares resulting from capital transactions | 446,269 | (267,720 | ) | 160,340 | (319,175 | ) | ||||||||||||||||||||||||||||
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|
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| |||||||||||||||||||||||||||
Small Cap Core Fund | Microcap Value Fund | |||||||||||||||||||||||||||||||||
For the Year Ended September 30, 2015 | For the Year Ended September 30, 2014 | For the Year Ended September 30, 2015 | For the Year Ended September 30, 2014 | |||||||||||||||||||||||||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||||||||
Proceeds from shares issued | $ | 1,859,528 | $ | 9,702,806 | $ | 4,721,749 | $ | 4,715,644 | ||||||||||||||||||||||||||
Distributions reinvested | 319,421 | 278,675 | 203,435 | 41,961 | ||||||||||||||||||||||||||||||
Cost of shares redeemed | (3,359,271 | ) | (10,215,549 | ) | (4,150,550 | ) | (1,513,631 | ) | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
Change in Class A | $ | (1,180,322 | ) | $ | (234,068 | ) | $ | 774,634 | $ | 3,243,974 | ||||||||||||||||||||||||
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| |||||||||||||||||||||||||||
Class I | ||||||||||||||||||||||||||||||||||
Proceeds from shares issued | $ | 81,509,841 | $ | 95,483,454 | $ | 17,864,601 | $ | 17,005,419 | ||||||||||||||||||||||||||
Distributions reinvested | 7,949,193 | 4,206,437 | 4,006,842 | 1,210,650 | ||||||||||||||||||||||||||||||
Cost of shares redeemed | (55,479,521 | ) | (28,481,364 | ) | (21,773,627 | ) | (37,358,630 | ) | ||||||||||||||||||||||||||
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|
|
|
|
|
|
| |||||||||||||||||||||||||||
Change in Class I | $ | 33,979,513 | $ | 71,208,527 | $ | 97,816 | $ | (19,142,561 | ) | |||||||||||||||||||||||||
|
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|
|
|
|
|
| |||||||||||||||||||||||||||
Change in net assets resulting from capital transactions | $ | 32,799,191 | $ | 70,974,459 | $ | 872,450 | $ | (15,898,587 | ) | |||||||||||||||||||||||||
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|
|
78 |
NOTES TO FINANCIAL STATEMENTS
|
Small Cap Core Fund | Microcap Value Fund | |||||||||||||||||||||||||||||||||
For the Year Ended September 30, 2015 | For the Year Ended September 30, 2014 | For the Year Ended September 30, 2015 | For the Year Ended September 30, 2014 | |||||||||||||||||||||||||||||||
SHARE TRANSACTIONS: | ||||||||||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||||||||
Issued | 57,418 | 308,318 | 166,680 | 173,944 | ||||||||||||||||||||||||||||||
Reinvested | 10,114 | 8,889 | 7,352 | 1,543 | ||||||||||||||||||||||||||||||
Redeemed | (104,297 | ) | (325,453 | ) | (151,879 | ) | (55,207 | ) | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
Change in Class A | (36,765 | ) | (8,246 | ) | 22,153 | 120,280 | ||||||||||||||||||||||||||||
|
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|
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| |||||||||||||||||||||||||||
Class I | ||||||||||||||||||||||||||||||||||
Issued | 2,467,921 | 2,943,208 | 629,250 | 622,510 | ||||||||||||||||||||||||||||||
Reinvested | 243,243 | 130,110 | 144,861 | 44,542 | ||||||||||||||||||||||||||||||
Redeemed | (1,670,638 | ) | (874,796 | ) | (780,021 | ) | (1,406,223 | ) | ||||||||||||||||||||||||||
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|
|
|
|
|
|
| |||||||||||||||||||||||||||
Change in Class I | 1,040,526 | 2,198,522 | (5,910 | ) | (739,171 | ) | ||||||||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
Change in shares resulting from capital transactions | 1,003,761 | 2,190,276 | 16,243 | (618,891 | ) | |||||||||||||||||||||||||||||
|
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|
|
|
|
|
|
Mid Cap Value Fund | Small Cap Value Fund | |||||||||||||||||||||||||||||
For the Year Ended September 30, 2015 | For the Year Ended September 30, 2014 | For the Period Ended September 30, 2015 (a) | ||||||||||||||||||||||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||||||||||||||||
Class I | ||||||||||||||||||||||||||||||
Proceeds from shares issued | $ | 1,401,090 | $ | 1,065,484 | $ | 5,207,396 | ||||||||||||||||||||||||
Distributions reinvested | 843,794 | 296,955 | 14,660 | |||||||||||||||||||||||||||
Cost of shares redeemed | (932,149 | ) | (61,516 | ) | - | |||||||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||
Change in net assets resulting from capital transactions | $ | 1,312,735 | $ | 1,300,923 | $ | 5,222,056 | ||||||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||
SHARE TRANSACTIONS: | ||||||||||||||||||||||||||||||
Class I | ||||||||||||||||||||||||||||||
Issued | 111,075 | 79,798 | 521,010 | |||||||||||||||||||||||||||
Reinvested | 70,316 | 24,521 | 1,454 | |||||||||||||||||||||||||||
Redeemed | (73,531 | ) | (4,422 | ) | - | |||||||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||
Change in shares resulting from capital transactions | 107,860 | 99,897 | 522,464 | |||||||||||||||||||||||||||
|
|
|
|
|
|
(a) For the period from December 3, 2014 (commencement of operations) to September 30, 2015.
7. Federal Income Taxes:
It is the policy of each Fund to continue to qualify as a regulated investment company by complying with the provisions available to certain investment companies, as defined under Subchapter M of the Internal Revenue Code, and to distribute substantially all of its net investment income and net realized capital gains. Therefore, no federal tax liability is recorded in the financial statements of each Fund.
Fund Management has analyzed the Funds’ tax positions taken or expected to be taken on federal income tax returns for all open tax years (the tax years ended September 30 of the years 2012, 2013, 2014 and 2015 for all funds except Small Cap Value Fund, which is for the period ended September 30, 2015), and has concluded that no provision for federal income tax is required in the Funds’ financial statements. The Funds’ federal and state income and federal excise tax returns for tax years for which the applicable statutes of limitations have not expired are subject to examination by the Internal Revenue Service and state departments of revenue.
As of and during the year ended September 30, 2015, the Funds did not have a liability for any unrecognized tax benefits. The Funds recognize interest and penalties, if any, related to unrecognized
79 |
NOTES TO FINANCIAL STATEMENTS
|
tax benefits as income tax expense in the Statements of Operations. During the year, the Funds did not incur any interest or penalties.
As of September 30, 2015, the tax cost of securities and the breakdown of unrealized appreciation (depreciation) for each Fund were as follows:
Tax Cost of Securities | Unrealized Appreciation | Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | |||||||||||||
SMID Cap Growth Fund | $ | 48,528,805 | $ | 21,225,640 | $ | (2,666,237 | ) | $18,559,403 | ||||||||
Enterprise Fund | 78,475,002 | 36,058,029 | (9,679,731 | ) | 26,378,298 | |||||||||||
Small Cap Core Fund | 204,809,540 | 48,497,181 | (24,511,884 | ) | 23,985,297 | |||||||||||
Microcap Value Fund | 120,193,149 | 49,114,166 | (28,891,938 | ) | 20,222,228 | |||||||||||
Mid Cap Value Fund | 5,622,219 | 112,811 | (606,890 | ) | (494,079 | ) | ||||||||||
Small Cap Value Fund | 5,334,822 | 261,064 | (439,765 | ) | (178,701 | ) |
The difference between book basis and tax basis unrealized appreciation/depreciation is attributable primarily to the tax deferral of losses on wash sales, Passive Foreign Investment Companies (PFICs) and the timing of income recognition in partnerships.
The tax character of distributions during the fiscal year ended September 30, 2015 was as follows:
Distributions Paid From | ||||||||||||||||
Ordinary Income | Net Long Term Capital Gains | Total Taxable Distributions | Total Distributions Paid | |||||||||||||
SMID Cap Growth Fund | $ | — | $ 10,208,813 | $ 10,208,813 | $ 10,208,813 | |||||||||||
Enterprise Fund | — | 15,629,225 | 15,629,225 | 15,629,225 | ||||||||||||
Small Cap Core Fund | 1,478,926 | 7,064,008 | 8,542,934 | 8,542,934 | ||||||||||||
Microcap Value Fund | 894,785 | 3,741,098 | 4,635,883 | 4,635,883 | ||||||||||||
Mid Cap Value Fund | 635,033 | 256,854 | 891,887 | 891,887 | ||||||||||||
Small Cap Value Fund | 14,660 | — | 14,660 | 14,660 |
The tax character of distributions during the fiscal year ended September 30, 2014 was as follows:
Distributions Paid From | ||||||||||||||||
Ordinary Income | Net Long Term Capital Gains | Total Taxable Distributions | Total Distributions Paid | |||||||||||||
SMID Cap Growth Fund | $ | — | $ 5,291,663 | $ 5,291,663 | $ 5,291,663 | |||||||||||
Enterprise Fund | 64,651 | 3,556,481 | 3,621,132 | 3,621,132 | ||||||||||||
Small Cap Core Fund | 1,427,473 | 3,139,086 | 4,566,559 | 4,566,559 | ||||||||||||
Microcap Value Fund | 1,339,480 | — | 1,339,480 | 1,339,480 | ||||||||||||
Mid Cap Value Fund | 149,648 | 147,307 | 296,955 | 296,955 |
80 |
NOTES TO FINANCIAL STATEMENTS
|
As of September 30, 2015, the components of accumulated earnings/(losses) on a tax basis were as follows:
Undistributed Ordinary Income | Undistributed Long Term Gain | Accumulated Earnings | Accumulated Capital Loss Carryforwards | Deferred Qualified Late-Year Losses | Unrealized Appreciation/ (Depreciation) | Total Accumulated Earnings/(Losses) | ||||||||||||||||||||||
SMID Cap Growth Fund | $ | — | $ | 6,691,847 | $ | 6,691,847 | $ | — | $ | (239,029) | $ | 18,559,403 | $25,012,221 | |||||||||||||||
Enterprise Fund | — | 5,773,161 | 5,773,161 | — | (337,037) | 26,378,298 | 31,814,422 | |||||||||||||||||||||
Small Cap Core Fund | — | 2,923,209 | 2,923,209 | — | (256,363) | 23,985,297 | 26,652,143 | |||||||||||||||||||||
Microcap Value Fund | 586,339 | 1,494,818 | 2,081,157 | — | — | 20,222,228 | 22,303,385 | |||||||||||||||||||||
Mid Cap Value Fund | 518,889 | 24,305 | 543,194 | — | — | (494,079) | 49,115 | |||||||||||||||||||||
Small Cap Value Fund | 80,925 | 63 | 80,988 | — | — | (178,701) | (97,713) |
As of September 30, 2015, the Funds did not have any capital loss carryforwards for federal income tax purposes.
Under current tax law, capital losses realized after October 31 and ordinary losses after December 31 of a Fund’s fiscal year may be deferred and treated as occurring on the first business day of the following fiscal year for tax purposes. The SMID Cap Growth Fund, Enterprise Fund, and Small Cap Core Fund had deferred qualified late-year ordinary losses of $213,748, $337,037, and 256,363, respectively and the SMID Cap Growth Fund had qualified late-year short term capital losses of $25,281, which will be treated as arising on the first business day of the fiscal year ending September 30, 2016.
8. Market Timing:
The Trust strongly discourages attempts at market timing by Fund shareholders. Each Fund charges a redemption fee of 2% of the value of the shares redeemed or exchanged within 30 days of purchase, and may also limit the number of exchanges that may be made between Funds to five (5) per calendar year. When assessed, the redemption fee is deducted from the redemption proceeds and retained by the Fund, not by the Advisor. This redemption fee is not charged in certain situations, such as where the redemption results from an automatic reinvestment or asset re-allocation not specifically directed by the shareholder. The Trust also reserves the right to reject any Fund purchase order made by persons deemed to be market timers. The Funds’ prospectus contains a full description of the Trust’s policies on market timing and/or excessive trading. The redemption fee is recorded as a credit to capital and is included in the capital transactions on the Statements of Changes in Net Assets.
During the year ended September 30, 2015, the redemption fees collected by the Funds which are included in the cost of shares redeemed on the Statements of Changes in Net Assets are as follows:
Redemption Fees | ||||
SMID Cap Growth Fund | $ 25 | |||
Enterprise Fund | 195 | |||
Small Cap Core Fund | 1,224 | |||
Microcap Value Fund | 2,163 |
9. Soft Dollars:
The term soft dollars generally refers to arrangements in which services other than trade execution are received from a broker-dealer. Federal securities laws permit a fund advisor to incur commission charges on behalf of a fund that are higher than another broker dealer would have charged if the advisor believes the charges are reasonable in relation to the brokerage and research services received. RBC GAM (US) has a fiduciary duty to the shareholders of the Funds to seek the best execution price for all of the Funds’ securities transactions. Fund Management believes that using soft dollars to purchase brokerage and research services may, in certain cases, be in a Fund’s best interest. As of September 30, 2015, certain of the Funds used soft dollar arrangements on a limited basis. Fund Management continues to closely monitor its current use of soft dollars, in addition to regulatory developments in this area for any possible impact on Fund policies.
81 |
NOTES TO FINANCIAL STATEMENTS
|
10. Subsequent Events:
Fund Management has evaluated the impact of subsequent events of the Funds and has determined that there are no subsequent events that require recognition or disclosure in the financial statements except for the following:
The RBC Funds Trust filed with the Securities and Exchange Commission a post-effective amendment to its registration statement to create a new share class for Mid Cap Value Fund. The new share class, Class A, became effective and commenced operations on October 26, 2015.
82 |
|
To the Shareholders and Board of Trustees of RBC Funds Trust
We have audited the accompanying statements of assets and liabilities, including the schedules of portfolio investments, of RBC SMID Cap Growth Fund, RBC Enterprise Fund, RBC Small Cap Core Fund, RBC Microcap Value Fund, RBC Mid Cap Value Fund and RBC Small Cap Value Fund (collectively the “Funds”), six of the portfolios constituting the RBC Funds Trust (the “Trust”), as of September 30, 2015, and the related statements of operations, the statements of changes in net assets, and financial highlights for each of the periods presented. These financial statements and financial highlights are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.
We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. The Funds are not required to have, nor were we engaged to perform, an audit of their internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Funds’ internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of September 30, 2015, by correspondence with the custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of each of the portfolios constituting the RBC Funds Trust as of September 30, 2015, the results of their operations, the changes in their net assets and the financial highlights for each of the periods presented, in conformity with accounting principles generally accepted in the United States of America.
DELOITTE & TOUCHE LLP.
November 25, 2015
83 |
OTHER FEDERAL INCOME TAX INFORMATION (UNAUDITED)
|
For the fiscal year ended September 30, 2015, certain dividends paid by the Funds may be subject to a maximum tax rate of 15% as provided for by the Jobs and Growth Tax Reconciliation Act of 2003. The Funds intend to report the maximum amount allowable as taxed at a maximum rate of 15%.
Complete information will be reported in conjunction with your 2015 Form 1099-DIV.
All reportings are based on financial information available as of the date of this annual report and, accordingly, are subject to change. For each item, it is the intention of the Funds to report the maximum amount permitted under the Internal Revenue Code and the regulations thereunder.
For the fiscal year ended September 30, 2015, the following Funds had a qualified dividend income percentage of:
Qualified Dividend Income | ||||
Small Cap Core Fund | 75.98% | |||
Microcap Value Fund | 100.00% | |||
Mid Cap Value Fund | 5.41% | |||
Small Cap Value Fund | 49.18% |
For corporate shareholders, the following percentage of the total ordinary income distributions paid during the fiscal year ended September 30, 2015 qualify for the corporate dividends received deduction:
Dividends Received Deduction | ||||
Small Cap Core Fund | 75.08% | |||
Microcap Value Fund | 100.00% | |||
Mid Cap Value Fund | 5.24% | |||
Small Cap Value Fund | 49.62% |
The following Funds report a portion of the income dividends distributed during the fiscal year ended September 30, 2015, as qualified interest income as defined in the Internal Revenue Code:
Qualified Interest Income | ||||
Microcap Value Fund | 0.06% | |||
Mid Cap Value Fund | 0.16% | |||
Small Cap Value Fund | 0.06% |
84 |
OTHER FEDERAL INCOME TAX INFORMATION (UNAUDITED) |
The following Funds report a portion of the income dividends distributed during the fiscal year ended September 30, 2015, as qualified short term gains:
Qualified Short-term Gains | ||||
Small Cap Core Fund | 100% | |||
Mid Cap Value Fund | 100% |
85 |
|
Independent Trustees(1)(2)
T. Geron Bell (74)
Position, Term of Office and Length of Time Served with the Trust: Trustee since January 2004
Principal Occupation(s) During Past 5 Years: Chairman of the Executive Board of the Minnesota Twins (2011 to present); President of Twins Sports, Inc. (parent company of the Minnesota Twins) (2002 to 2011); President of the Minnesota Twins Baseball Club Incorporated (1987 to 2002)
Number of Portfolios in Fund Complex Overseen by Trustee: 23
Other Director/Trustee Positions Held by Trustee During Past 5 Years: None
Lucy Hancock Bode (64)
Position, Term of Office and Length of Time Served with the Trust: Trustee since January 2004
Principal Occupation(s) During Past 5 Years: Healthcare consultant (self-employed) (1986 to present)
Number of Portfolios in Fund Complex Overseen by Trustee: 23
Other Director/Trustee Positions Held by Trustee During Past 5 Years: Franklin Street Partners (2014 to present); BioSignia (2006 to 2010).
Leslie H. Garner Jr. (65)
Position, Term of Office and Length of Time Served with the Trust: Trustee since January 2004
Principal Occupation(s) During Past 5 Years: President and CEO, The Greater Cedar Rapids Community Foundation (2010 to present); President, Cornell College (1994 to 2010)
Number of Portfolios in Fund Complex Overseen by Trustee: 23
Other Director/Trustee Positions Held by Trustee During Past 5 Years: None
Ronald James (64)
Position, Term of Office and Length of Time Served with the Trust: Trustee since January 2004
Principal Occupation(s) During Past 5 Years: President and Chief Executive Officer, Center for Ethical Business Cultures (2000 to present)
Number of Portfolios in Fund Complex Overseen by Trustee: 23
Other Director/Trustee Positions Held by Trustee During Past 5 Years: Bremer Financial Corporation (2004 to present); Best Buy Co. Inc. (2004 to 2013).
John A. MacDonald (66)
Position, Term of Office and Length of Time Served with the Trust: Trustee since January 2004
Principal Occupation(s) During Past 5 Years: Vice President and Treasurer, Hall Family Foundation (1988 to present)
Number of Portfolios in Fund Complex Overseen by Trustee: 23
Other Director/Trustee Positions Held by Trustee During Past 5 Years: None
H. David Rybolt (73)
Position, Term of Office and Length of Time Served with the Trust: Trustee since January 2004
Principal Occupation(s) During Past 5 Years: Principal, HDR Associates (consulting-executive search) (1985 to present)
Number of Portfolios in Fund Complex Overseen by Trustee: 23
Other Director/Trustee Positions Held by Trustee During Past 5 Years: None
86 |
MANAGEMENT (Unaudited)
|
Independent Trustees(1)(2)
James R. Seward (63)
Position, Term of Office and Length of Time Served with the Trust: Chairman of the Board and Trustee since January 2004
Principal Occupation(s) During Past 5 Years: Private investor (2000 to present); CFA (1987 to present)
Number of Portfolios in Fund Complex Overseen by Trustee: 23
Other Director/Trustee Positions Held by Trustee During Past 5 Years: Sooner Holdings (formerly Syntroleum Corporation) (1988 to 2014); Brookdale Senior Living Inc. (2008 to present)
William B. Taylor (70)
Position, Term of Office and Length of Time Served with the Trust: Trustee since September 2005
Principal Occupation(s) During Past 5 Years: Consultant (2003 to present); Partner, Ernst & Young LLP (1982 to 2003)
Number of Portfolios in Fund Complex Overseen by Trustee: 23
Other Director/Trustee Positions Held by Trustee During Past 5 Years: William Henry Insurance, LLC (2005 to present); Balance Innovations LLC (2014 to present); Kansas City Symphony (1995 to present)
Interested Trustees(1)(2)(3)
Kathleen A. Gorman (51)(5)
Position, Term of Office and Length of Time Served with the Trust: Trustee since September 2012
Principal Occupation(s) During Past 5 Years: President and Chief Executive Officer, RBC Funds (2012 to present); Chief Compliance Officer, RBC Funds (2006 to 2012); Director of Regulatory Administration, RBC Global Asset Management (U.S.) Inc. (2007 to 2012); Chief Compliance Officer, RBC Global Asset Management (U.S.) Inc. (2006 to 2009)
Number of Portfolios in Fund Complex Overseen by Trustee: 23
Other Director/Trustee Positions Held by Trustee During Past 5 Years: None
Executive Officers(1)(3)(4)
Kathleen A. Gorman (51)
Position, Term of Office and Length of Time Served with the Trust: President and Chief Executive Officer since September 2012
Principal Occupation(s) During Past 5 Years: President and Chief Executive Officer, RBC Funds (2012 to present); Chief Compliance Officer, RBC Funds (2006 to 2012); Director of Regulatory Administration, RBC Global Asset Management (U.S.) Inc. (2007 to 2012); Chief Compliance Officer, RBC Global Asset Management (U.S.) Inc. (2006 to 2009)
Kathleen A. Hegna (48)
Position, Term of Office and Length of Time Served with the Trust: Chief Financial Officer and Principal Accounting Officer since May 2009 and Treasurer since March 2014
Principal Occupation(s) During Past 5 Years: Associate Vice President and Director, Mutual Fund Accounting and Administration, RBC Global Asset Management (U.S.) Inc. (2009 to present)
87 |
MANAGEMENT (Unaudited)
|
Executive Officers(1)(3)(4)
Christina M. Weber (47)
Position, Term of Office and Length of Time Served with the Trust: Chief Compliance Officer since December 2012 and Assistant Secretary since March 2013
Principal Occupation(s) During Past 5 Years: Chief Compliance Officer, RBC Funds (2012 to present); Senior Compliance Officer, RBC Funds (March 2012 to December 2012); Compliance Manager, Minnesota Life Insurance Company (2006 to 2012)
Lee Thoresen (44)
Position, Term of Office and Length of Time Served with the Trust: Chief Legal Officer and Secretary since March 2008
Principal Occupation(s) During Past 5 Years: Senior Associate General Counsel, RBC Capital Markets, LLC (2006 to present)
(1) | Except as otherwise noted, the address of each Trustee/Officer is RBC Funds Trust, 50 South Sixth Street, Suite 2350, Minneapolis, Minnesota 55402. |
(2) | All Trustees must retire on or before December 31 of the year in which they reach age 75. The Board may temporarily waive this requirement when necessary to avoid depriving the Board of a Trustee with critical skills. |
(3) | On December 31, 2009, Voyageur Asset Management Inc. changed its name to RBC Global Asset Management (U.S.) Inc. Any references to RBC Global Asset Management (U.S.) Inc. for prior periods are deemed to be references to the prior entity. |
(4) | Each officer serves in such capacity for an indefinite period of time until his or her removal, resignation or retirement. |
(5) | Kathleen A. Gorman has been determined to be an interested Trustee by virtue of her position with the Advisor. |
The Funds’ Statement of Additional Information includes information about the Funds’ Trustees. To receive your free copy of the Statement of Additional Information, call toll free: 1-800-422-2766.
88 |
SHARE CLASS INFORMATION (UNAUDITED)
|
The RBC Equity Funds offer two share classes. These two share classes are the A and I classes.
Class A
Class A shares of all Funds except Mid Cap Value and Small Cap Value are available for purchase primarily through investment advisors, broker-dealers, banks and other financial services intermediaries. Class A shares of the Funds are currently subject to a maximum up-front sales charge of 5.75% and a 1.00% CDSC for redemption within 12 months of a $1 million or greater purchase. Class A shares currently include a 0.25% (25 bps) annual 12b-1 service and distribution fee.
Class I
Class I shares are available in all of the Equity Funds. This share class is intended for investors meeting certain minimum investment thresholds. This share class does not have an up-front sales charge (load) or a 12b-1 service and distribution fee.
89 |
SUPPLEMENTAL INFORMATION (UNAUDITED)
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Shareholder Expense Examples
As a shareholder of the RBC Funds, you incur two types of costs: (1) transaction costs, including sales charges (loads) and (2) ongoing costs, including management fees; 12b-1 distribution and service fees; and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the RBC Funds and to compare these costs with the ongoing costs of investing in other mutual funds.
The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period from April 1, 2015 through September 30, 2015.
Actual Expenses and Performance
The table below provides information about actual account values and actual expenses. You may use the information below, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the table under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Beginning Account Value 4/1/2015 | Ending Account Value 9/30/2015 | Expenses Paid During Period* 4/1/15-9/30/15 | Annualized Expense Ratio During Period 4/1/15-9/30/15 | ||||||||||||||||||||||
SMID Cap Growth Fund | Class A | $ | 1,000.00 | $ | 923.80 | $ | 5.30 | 1.10 | % | ||||||||||||||||
Class I | 1,000.00 | 925.00 | 4.10 | 0.85 | % | ||||||||||||||||||||
Enterprise Fund | Class A | 1,000.00 | 846.70 | 6.16 | 1.33 | % | |||||||||||||||||||
Class I | 1,000.00 | 847.70 | 5.00 | 1.08 | % | ||||||||||||||||||||
Small Cap Core Fund | Class A | 1,000.00 | 857.10 | 5.35 | 1.15 | % | |||||||||||||||||||
Class I | 1,000.00 | 858.30 | 4.19 | 0.90 | % | ||||||||||||||||||||
Microcap Value Fund | Class A | 1,000.00 | 876.40 | 6.21 | 1.32 | % | |||||||||||||||||||
Class I | 1,000.00 | 877.40 | 5.04 | 1.07 | % | ||||||||||||||||||||
Mid Cap Value Fund | Class I | 1,000.00 | 903.50 | 3.72 | 0.78 | % | |||||||||||||||||||
Small Cap Value Fund | Class I | 1,000.00 | 930.20 | 4.84 | 1.00 | % |
*Expenses are equal to the average account value times the Fund’s annualized expense ratio multiplied by 183/365 (to reflect one-half year period).
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SUPPLEMENTAL INFORMATION (UNAUDITED)
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Hypothetical Example for Comparison Purposes
The table below provides information about hypothetical account values and hypothetical expenses based on each RBC Funds’ actual expense ratio 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 for the period. You may use this information to compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads), redemption fees, or exchange fees. Therefore, the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Beginning Account Value 4/1/2015 | Ending Account Value 9/30/2015 | Expenses Paid During Period* 4/1/15-9/30/15 | Annualized Expense Ratio During Period 4/1/15-9/30/15 | ||||||||||||||||||||||
SMID Cap Growth Fund | Class A | $ | 1,000.00 | $ | 1,019.55 | $ | 5.57 | 1.10 | % | ||||||||||||||||
Class I | 1,000.00 | 1,020.81 | 4.31 | 0.85 | % | ||||||||||||||||||||
Enterprise Fund | Class A | 1,000.00 | 1,018.40 | 6.73 | 1.33 | % | |||||||||||||||||||
Class I | 1,000.00 | 1,019.65 | 5.47 | 1.08 | % | ||||||||||||||||||||
Small Cap Core Fund | Class A | 1,000.00 | 1,019.30 | 5.82 | 1.15 | % | |||||||||||||||||||
Class I | 1,000.00 | 1,020.56 | 4.56 | 0.90 | % | ||||||||||||||||||||
Microcap Value Fund | Class A | 1,000.00 | 1,018.45 | 6.68 | 1.32 | % | |||||||||||||||||||
Class I | 1,000.00 | 1,019.70 | 5.42 | 1.07 | % | ||||||||||||||||||||
Mid Cap Value Fund | Class I | 1,000.00 | 1,021.16 | 3.95 | 0.78 | % | |||||||||||||||||||
Small Cap Value Fund | Class I | 1,000.00 | 1,020.05 | 5.06 | 1.00 | % |
*Expenses are equal to the average account value times the Fund’s annualized expense ratio multiplied by 183/365 (to reflect one-half year period).
91 |
APPROVAL OF INVESTMENT ADVISORY AGREEMENT (UNAUDITED)
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Information Regarding the Approval of Investment Advisory Agreements
In September 2015, after evaluating the services provided by RBC Global Asset Management (U.S.) Inc. (the “Advisor”) and reviewing the performance, fees, and expenses of the Funds, the RBC Funds Board of Trustees determined to approve the continuation of the investment advisory agreements (“Agreements”) with the Advisor for each Fund for an additional year.
As part of their review of the Agreements, the Trustees requested and considered information regarding the advisory services performed by the Advisor; the staffing and qualifications of the personnel responsible for operating and managing the Funds; and the Funds’ performance, fees, and expenses. The Trustees considered information provided at regular quarterly Board and Committee meetings throughout the year as well as information presented at both a special meeting held to review requested material related to the proposed renewals and a meeting held specifically to consider the proposed renewals. In connection with their deliberations, the independent Trustees were advised by their own independent legal counsel with regard to the materials and their responsibilities under relevant laws and regulations.
The Trustees met with representatives from the Advisor’s senior management team, as well as senior investment professionals, to discuss the information and the Advisor’s ongoing management of the Funds. The Trustees reviewed the nature, quality, and extent of the services provided to the Funds by the Advisor, including information as to each Fund’s performance relative to appropriate securities index benchmarks as well as fund peer group comparative information provided by an independent third-party as requested by the Board. The Trustees also reviewed supplemental information from the Advisor.
The Trustees recognized the strong research and fundamental analysis capabilities of the Advisor’s investment staff and their extensive portfolio management experience, as well as the Advisor’s effective trading, operational, and compliance structure and systems. The Trustees noted that the performance of the RBC Microcap Value Fund and RBC Mid Cap Value Fund was favorable relative to each Fund’s respective benchmark for all periods ended June 30, 2015. The performance of the RBC Small Cap Core Fund was favorable versus relevant microcap fund benchmarks and generally favorable versus its securities benchmark with slightly less favorable one-year performance and comparable performance versus its securities benchmark for the three-year period. Although the RBC Enterprise Fund lagged its benchmark and peer group for the one-, three-, five-, and 10-year periods ended June 30, 2015, the Trustees acknowledged that the investment team followed the historical strategy and attributed the underperformance to the Fund’s quality company investment approach. With regard to the RBC SMID Cap Growth Fund, the Trustees noted that the Fund underperformed as compared to its benchmark for the one-, three-, five- and 10-year periods ended June 30, 2015 due to market conditions continuing to not favor the team’s focus on high return on equity/high-quality companies.
The Trustees reviewed comparative advisory fee and expense information for each Fund, together with information regarding the Advisor’s contractual agreement to subsidize Fund expenses at competitive levels through expense limitation agreements. The Trustees noted that advisory fees and expense ratios were competitive. The Trustees also took note of the RBC Mid Cap Value Fund’s inclusion in the RBC Cornerstone Investor Program, launched in August 2015, which increased the contractual fee waiver for the Fund while also offering enhanced client service for investors. The Trustees also reviewed reports from the Advisor regarding its management of other investment client accounts with similar strategies, including the advisory fees paid and the reasons for differences in fees, which included liquidity management and matters related to mutual fund operations. The Trustees reviewed profitability data — including year-over-year variances — for the Advisor and considered information regarding other benefits the Advisor and its affiliates derived from their relationships with the Funds, including soft dollar research and other benefits, including the Advisor’s role as co-administrator of the Funds and the fees paid by the Funds for such services.
92 |
APPROVAL OF INVESTMENT ADVISORY AGREEMENT (UNAUDITED)
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Based upon their review, the Trustees determined that the advisory fees proposed to be payable to the Advisor were fair and reasonable in light of the nature and quality of services provided under all the circumstances and were within the range of what might have been negotiated at arms’ length. The Trustees concluded that it is in the interests of the Funds and their shareholders for the Trustees to approve the continuation of the Agreements and the expense limitation agreements for the Funds. In arriving at their collective decision to approve the renewal of the Agreements, the Trustees did not assign relative weights to the factors discussed above or deem any one or group of them to be controlling in and of itself.
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RBC Funds
P.O. Box 701
Milwaukee, WI 53201-0701
800-422-2766
www.rbcgam.us
Performance data represents past performance and does not guarantee future results. The principal value of an investment and investment return will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost.
This report and the financial statements contained herein are provided for the information of RBC Funds shareholders. This report is not authorized for distribution to prospective investors unless preceded or accompanied by a current prospectus, which contains information concerning investment objectives, risks, charges and expenses of the funds. Please read the prospectus carefully before investing.
This report and the financial statements contained herein are not intended to be a forecast of future events, a guarantee of future results, or investment advice. There is no assurance that certain securities will remain in or out of each fund’s portfolio. The views expressed in this report reflect those of the portfolio managers through the period ended September 30, 2015.
NOT FDIC INSURED ● NO BANK GUARANTEE ● MAY LOSE VALUE
RBC Global Asset Management (U.S.) Inc. serves as investment advisor for the RBC Funds.
RBC Funds are distributed by Quasar Distributors LLC.
The RBC Funds are pleased to offer shareholder reports printed entirely on Forest Stewardship Council® certified paper. FSC® certification ensures that the paper used in this report contains fiber from well-managed and responsibly harvested forests that meet strict environmental and socioeconomic standards.
RBCF-EQ AR 09-15
RBC Funds
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About Your Annual Report |
This annual report includes detailed information about your Fund including financial statements, performance, and a complete list of holdings.
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We hope the financial information presented will help you evaluate your investment in the RBC Funds. We also encourage you to read your Fund’s prospectus for further detail as to your Fund’s investment policies and risk profile. RBC Funds prospectuses and additional performance information are available on our website at www.rbcgam.us.
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A description of the policies and procedures that your Fund uses to determine how to vote proxies relating to portfolio securities is available (i) without charge, upon request, by calling 1-800-422-2766; (ii) on the Fund’s website at www.rbcgam.us; and (iii) on the Securities and Exchange Commission’s (“Commission”) website at http://www.sec.gov.
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Information regarding how your Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available (i) on the Fund’s website at www.rbcgam.us; and (ii) on the Commission’s website at http://www.sec.gov.
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A schedule of each Fund’s portfolio holdings will be filed with the Commission for the first and third quarters of each fiscal year on Form N-Q. This information is available on the Commission’s website at http://www.sec.gov and may be reviewed and copied at the Commission’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room is available by calling 1-202-551-8090.
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Table of Contents | ||||||||
Letter from the Chief Investment Officer | 1 | |||||||
Money Market Portfolio Managers | 3 | |||||||
Performance Summary (Unaudited) | 4 | |||||||
Schedules of Portfolio Investments | 8 | |||||||
Financial Statements | ||||||||
- Statements of Assets and Liabilities | 38 | |||||||
- Statements of Operations | 40 | |||||||
- Statements of Changes in Net Assets | 41 | |||||||
Financial Highlights | 44 | |||||||
Notes to Financial Statements | 50 | |||||||
Report of Independent Registered Public Accounting Firm | 61 | |||||||
Other Federal Income Tax Information (Unaudited) | 62 | |||||||
Management (Unaudited) | 63 | |||||||
Supplemental Information (Unaudited) | 66 | |||||||
Approval of Investment Advisory Agreement (Unaudited) | 68 |
1 |
LETTER FROM THE CHIEF INVESTMENT OFFICER | ||||
Past performance is not a guarantee of future results. | ||||
Opinions expressed are subject to change, are not guaranteed, and should not be considered a recommendation to buy or sell any security. | ||||
Diversification does not assure a profit or protect against a loss in a declining market. | ||||
An investment in a Money Market Fund is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. Although Money Market Funds seek to preserve the value of your investment at $1.00 per share, it is possible to lose money by investing in them. These risks are more fully described in the prospectus. | ||||
2 |
3 |
4 |
PERFORMANCE SUMMARY (UNAUDITED)
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Each of the RBC Money Market Funds was managed to preserve principal. This means that the share price of each fund held steady at $1.00. A consistent share price of $1.00 is expected for a money market mutual fund. An investment in the Fund is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. Although the Fund seeks to preserve the value of your investment at $1.00 per share, it is possible to lose money by investing in the Fund. These risks are more fully described in the prospectus.
| Investment Objective | |||||||||||
Total Return for the | SEC 7-Day Annualized Yield (1) | |||||||||||
Year Ended September 30, 2015 | September 30, 2015 | September 30, 2014 | ||||||||||
Prime Money Market Fund | ||||||||||||
RBC Institutional Class 1 | 0.01% | 0.01% | 0.01% | |||||||||
RBC Institutional Class 2 | 0.01% | 0.01% | 0.01% | |||||||||
RBC Investor Class | 0.01% | 0.01% | 0.01% | |||||||||
RBC Reserve Class | 0.01% | 0.01% | 0.01% | |||||||||
RBC Select Class | 0.01% | 0.01% | 0.01% | |||||||||
U.S. Government Money Market Fund | ||||||||||||
RBC Institutional Class 1 | 0.01% | 0.01% | 0.01% | |||||||||
RBC Institutional Class 2 | 0.01% | 0.01% | 0.01% | |||||||||
RBC Investor Class | 0.01% | 0.01% | 0.01% | |||||||||
RBC Reserve Class | 0.01% | 0.01% | 0.01% | |||||||||
RBC Select Class | 0.01% | 0.01% | 0.01% | |||||||||
Tax-Free Money Market Fund | ||||||||||||
RBC Institutional Class 1 | 0.00% | 0.00% | 0.00% | |||||||||
RBC Institutional Class 2 | 0.01% | 0.01% | 0.01% | |||||||||
RBC Investor Class | 0.01% | 0.01% | 0.01% | |||||||||
RBC Reserve Class | 0.01% | 0.01% | 0.01% | |||||||||
RBC Select Class | 0.01% | 0.01% | 0.01% | |||||||||
(1) As money market returns respond rapidly to market changes, such as in the Fed Funds rate, the 7-Day yield is a more accurate reflection of current earnings than the total return for the year. Prior year 7-Day yield information is provided for comparative purposes. | ||||||||||||
Performance data quoted represents past performance. Past performance is no guarantee of future results. Investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than performance quoted. Performance shown reflects contractual fee waivers, without such fee waivers total returns would be reduced. For performance data current to most recent month-end go to www.rbcgam.us. | ||||||||||||
5 |
PERFORMANCE SUMMARY (UNAUDITED)
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Asset Allocation | ||||||||||||
Money Market Maturity Schedules | ||||||||||||
As a percentage of value of investments based on effective maturity as of September 30, 2015. | ||||||||||||
Prime Money Market Fund | U.S. Government Money Market Fund | Tax-Free Money Market Fund | ||||||||||
Less than 8 days | 41.3% | 43.7% | 77.2% | |||||||||
8 to 14 Days | 7.6% | 7.7% | 2.9% | |||||||||
15 to 30 Days | 12.5% | 12.7% | 0.8% | |||||||||
31 to 180 Days | 37.4% | 29.6% | 19.1% | |||||||||
Over 180 Days | 1.2% | 6.3% | 0.0% | |||||||||
6 |
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7 |
SCHEDULES OF PORTFOLIO INVESTMENTS
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Prime Money Market Fund
September 30, 2015
Principal Amount | Value | |||||
Asset Backed Commercial Paper — 5.47% | ||||||
Finance - Diversified Domestic — 5.47% | ||||||
$ 40,000,000 | Cancara Asset Securitisation LLC, 0.17%, 10/5/15(a) | $ | 39,999,244 | |||
50,000,000 | Cancara Asset Securitisation LLC, 0.17%, 10/29/15(a) | 49,993,389 | ||||
50,000,000 | Cancara Asset Securitisation LLC, 0.18%, 10/14/15(a) | 49,996,750 | ||||
15,000,000 | Collateralized Commercial Paper II Co., LLC, 0.40%, 1/28/16(b) | 15,000,132 | ||||
25,000,000 | Collateralized Commercial Paper II Co., LLC, 0.42%, 1/14/16(b) | 25,003,830 | ||||
25,000,000 | Collateralized Commercial Paper II Co., LLC, 0.43%, 12/1/15(a)(b) | 24,981,785 | ||||
25,000,000 | Collateralized Commercial Paper II Co., LLC, 0.44%, 1/11/16(a)(b) | 24,968,833 | ||||
25,000,000 | Collateralized Commercial Paper II Co., LLC, 0.60%, 5/25/16(a)(b) | 24,901,250 | ||||
50,000,000 | Kells Funding LLC, 0.15%, 10/19/15(a)(b) | 49,996,250 | ||||
25,000,000 | Kells Funding LLC, 0.28%, 11/16/15(a)(b) | 24,991,056 | ||||
40,000,000 | Kells Funding LLC, 0.32%, 10/8/15(b) | 40,000,780 | ||||
50,000,000 | Kells Funding LLC, 0.33%, 12/14/15(a)(b) | 49,966,083 | ||||
20,000,000 | Kells Funding LLC, 0.34%, 10/19/15(a)(b) | 19,996,600 | ||||
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Total Asset Backed Commercial Paper (Cost $439,795,982) | 439,795,982 | |||||
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Commercial Paper — 38.69% | ||||||
Agriculture — 2.49% | ||||||
100,000,000 | Archer Daniels Midland Co., 0.11%, 10/1/15(a)(b) | 100,000,000 | ||||
100,000,000 | Archer Daniels Midland Co., 0.11%, 10/2/15(a)(b) | 99,999,694 | ||||
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199,999,694 | ||||||
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Banks - Australia & New Zealand — 3.85% | ||||||
45,000,000 | Australia & New Zealand Banking Group Ltd., 0.32%, 12/18/15(a)(b) | 44,968,800 | ||||
25,000,000 | Commonwealth Bank Australia, 0.26%, 11/10/15(a)(b) | 24,992,778 | ||||
45,000,000 | Commonwealth Bank Australia, 0.33%, 11/9/15(b)(c) | 45,000,006 | ||||
2,575,000 | Commonwealth Bank Australia, 0.75%, 1/15/16(b) | 2,576,638 | ||||
25,000,000 | National Australia Bank Ltd., 0.30%, 11/16/15(a)(b) | 24,990,417 | ||||
50,000,000 | National Australia Bank Ltd., 0.36%, 1/29/16(b)(c) | 50,000,000 | ||||
25,000,000 | Westpac Banking Corp., 0.36%, 3/2/16(b) | 25,000,000 | ||||
25,000,000 | Westpac Banking Corp., 0.47%, 1/4/16(a)(b) | 24,968,993 | ||||
44,535,000 | Westpac Banking Corp., 0.95%, 1/12/16 | 44,595,256 | ||||
22,235,000 | Westpac Banking Corp., 3.00%, 12/9/15 | 22,340,316 | ||||
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309,433,204 | ||||||
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Banks - Canadian — 1.78% | ||||||
45,000,000 | Bank of Nova Scotia, 0.31%, 11/9/15(a)(b) | 44,984,887 | ||||
25,000,000 | Toronto Dominion Holdings, 0.32%, 10/16/15(a)(b) | 24,996,667 | ||||
23,000,000 | Toronto Dominion Holdings, 0.39%, 1/19/16(a)(b) | 22,972,592 | ||||
25,000,000 | Toronto Dominion Holdings, 0.40%, 1/20/16(a)(b) | 24,969,167 | ||||
25,000,000 | Toronto Dominion Holdings, 0.42%, 1/19/16(a)(b) | 24,967,917 | ||||
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142,891,230 | ||||||
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8 |
SCHEDULES OF PORTFOLIO INVESTMENTS
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Prime Money Market Fund (cont.)
September 30, 2015
Principal Amount | Value | |||||
Banks - Domestic — 0.50% | ||||||
$15,000,000 | JP Morgan Securities LLC, 0.40%, 12/16/15(a) | $ | 14,987,333 | |||
25,000,000 | JP Morgan Securities LLC, 0.50%, 1/4/16(a)(b) | 24,967,014 | ||||
|
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39,954,347 | ||||||
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Banks - Foreign — 6.82% | ||||||
48,500,000 | DnB NOR Bank ASA, 0.28%, 10/28/15(b)(c) | 48,500,412 | ||||
25,000,000 | DnB NOR Bank ASA, 0.32%, 1/22/16(b)(c) | 25,000,000 | ||||
50,000,000 | DnB NOR Bank ASA, 0.37%, 1/11/16(a)(b) | 49,948,292 | ||||
25,000,000 | DnB NOR Bank ASA, 0.37%, 3/8/16(c) | 25,000,000 | ||||
40,000,000 | DnB NOR Bank ASA, 0.40%, 1/13/16(a)(b) | 39,953,778 | ||||
45,000,000 | DnB NOR Bank ASA, 0.43%, 2/1/16(a)(b) | 44,934,656 | ||||
50,000,000 | Nederlandse Waterschapsbank NV, 0.25%, 10/26/15(a)(b) | 49,991,319 | ||||
50,000,000 | Nederlandse Waterschapsbank NV, 0.29%, 1/4/16(b)(c) | 50,000,000 | ||||
50,000,000 | Nederlandse Waterschapsbank NV, 0.30%, 11/24/15(a)(b) | 49,977,500 | ||||
50,000,000 | Nederlandse Waterschapsbank NV, 0.35%, 1/4/16(a)(b) | 49,953,819 | ||||
40,000,000 | Rabobank Nederland NY, 0.29%, 10/9/15(a) | 39,997,422 | ||||
25,000,000 | Rabobank Nederland NY, 0.34%, 12/9/15(a) | 24,983,708 | ||||
50,000,000 | Svenska Handelsbanken AB, 0.30%, 1/7/16(a)(b) | 49,959,167 | ||||
|
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548,200,073 | ||||||
|
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Banks - Japanese — 2.49% | ||||||
50,000,000 | Mitsubishi UFJ Trust & Bank NY, 0.27%, 10/6/15(a)(b) | 49,998,125 | ||||
50,000,000 | Mitsubishi UFJ Trust & Bank NY, 0.27%, 10/13/15(a)(b) | 49,995,500 | ||||
50,000,000 | Mitsubishi UFJ Trust & Bank NY, 0.29%, 11/16/15(a)(b) | 49,981,472 | ||||
50,000,000 | Sumitomo Mitsui Bank NY, 0.30%, 11/17/15(a)(b) | 49,980,417 | ||||
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199,955,514 | ||||||
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Consumer Discretionary — 1.92% | ||||||
25,000,000 | Coca-Cola Co., 0.37%, 1/15/16(a)(b) | 24,972,764 | ||||
45,000,000 | Coca-Cola Co., 0.40%, 1/11/16(a)(b) | 44,949,000 | ||||
40,000,000 | Coca-Cola Co., 0.56%, 4/19/16(a)(b) | 39,874,933 | ||||
25,000,000 | Coca-Cola Co., 0.60%, 6/7/16(a)(b) | 24,895,833 | ||||
20,000,000 | Procter & Gamble Co., 0.14%, 10/6/15(a)(b) | 19,999,611 | ||||
|
| |||||
154,692,141 | ||||||
|
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Finance - Diversified Domestic — 5.98% | ||||||
20,000,000 | ABB Treasury Center USA, Inc., 0.12%, 10/1/15(a)(b) | 20,000,000 | ||||
30,000,000 | American Honda Finance Corp., 0.30%, 1/6/16(a) | 29,975,750 | ||||
50,000,000 | Cargill Inc., 0.09%, 10/1/15(a)(b) | 50,000,000 | ||||
50,000,000 | Cargill Inc., 0.10%, 10/6/15(a)(b) | 49,999,306 | ||||
22,921,000 | Caterpillar Financial Services Corp., 0.21%, 12/1/15(a) | 22,912,844 | ||||
50,000,000 | John Deere Canada ULC, 0.17%, 10/14/15(a)(b) | 49,996,930 | ||||
35,000,000 | John Deere Capital Corp., 0.17%, 10/13/15(a)(b) | 34,998,017 | ||||
45,409,000 | Siemens Capital Co. LLC, 0.15%, 10/29/15(a)(b) | 45,403,702 | ||||
25,000,000 | Toyota Credit Canada Inc., 0.30%, 11/25/15(a) | 24,988,542 | ||||
25,000,000 | Toyota Motor Credit Corp., 0.27%, 12/3/15(c) | 25,000,000 | ||||
25,000,000 | Toyota Motor Credit Corp., 0.29%, 10/29/15(c) | 25,000,000 |
9 |
SCHEDULES OF PORTFOLIO INVESTMENTS
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Prime Money Market Fund (cont.)
September 30, 2015
Principal Amount | Value | |||||
$25,000,000 | Toyota Motor Credit Corp., 0.30%, 12/7/15(a) | $ | 24,986,042 | |||
45,000,000 | Toyota Motor Credit Corp., 0.34%, 1/25/16(c) | 45,000,000 | ||||
32,517,000 | Toyota Motor Credit Corp., 2.80%, 1/11/16(c) | 32,728,802 | ||||
|
| |||||
480,989,935 | ||||||
|
| |||||
Finance - Diversified Foreign — 9.03% | ||||||
40,000,000 | Erste Abwicklungsanstalt, 0.40%, 1/15/16(a)(b) | 39,952,889 | ||||
60,000,000 | Erste Abwicklungsanstalt, 0.42%, 1/19/16(a)(b) | 59,923,000 | ||||
50,000,000 | Nordea Bank AB, 0.31%, 12/2/15(a)(b) | 49,973,736 | ||||
50,000,000 | Nordea Bank AB, 0.33%, 11/18/15(a)(b) | 49,978,000 | ||||
25,000,000 | Nordea Bank AB, 0.35%, 12/7/15(a)(b) | 24,983,948 | ||||
50,000,000 | Nordea Bank AB, 0.39%, 1/5/16(a)(b) | 49,948,667 | ||||
40,000,000 | Nordea Bank AB, 0.51%, 3/15/16(a)(b) | 39,906,856 | ||||
50,000,000 | NRW Bank, 0.19%, 10/1/15(a)(b) | 50,000,000 | ||||
50,000,000 | NRW Bank, 0.20%, 11/23/15(a)(b) | 49,985,646 | ||||
50,000,000 | NRW Bank, 0.21%, 10/5/15(a)(b) | 49,998,833 | ||||
50,000,000 | NRW Bank, 0.22%, 10/19/15(a)(b) | 49,994,625 | ||||
30,000,000 | PSP Capital Inc., 0.24%, 11/16/15(a)(b) | 29,990,800 | ||||
46,000,000 | PSP Capital Inc., 0.27%, 11/19/15(a)(b) | 45,983,095 | ||||
25,000,000 | PSP Capital Inc., 0.33%, 10/27/15(a)(b) | 24,994,042 | ||||
25,000,000 | PSP Capital Inc., 0.44%, 2/8/16(a)(b) | 24,960,278 | ||||
50,000,000 | Swedbank, 0.29%, 11/2/15(a) | 49,987,111 | ||||
35,000,000 | Swedbank, 0.35%, 1/4/16(a) | 34,968,135 | ||||
|
| |||||
725,529,661 | ||||||
|
| |||||
Healthcare — 0.65% | ||||||
12,400,000 | Trinity Health Corp., 0.12%, 10/1/15(a) | 12,400,000 | ||||
40,000,000 | Trinity Health Corp., 0.15%, 10/26/15(a) | 39,995,833 | ||||
|
| |||||
52,395,833 | ||||||
|
| |||||
Information Technology — 0.37% | ||||||
10,000,000 | United Technologies Corp., 0.26%, 11/30/15(a)(b) | 9,995,667 | ||||
20,000,000 | United Technologies Corp., 0.27%, 11/30/15(a)(b) | 19,991,000 | ||||
|
| |||||
29,986,667 | ||||||
|
| |||||
Insurance — 1.12% | ||||||
19,250,000 | General Re Corp., 0.18%, 10/8/15(a) | 19,249,326 | ||||
41,000,000 | Metlife Short Term Fund LLC, 0.17%, 10/5/15(a)(b) | 40,999,226 | ||||
17,098,000 | Metlife Short Term Fund LLC, 0.19%, 10/20/15(a)(b) | 17,096,285 | ||||
13,000,000 | Metlife Short Term Fund LLC, 0.21%, 10/14/15(a)(b) | 12,999,014 | ||||
|
| |||||
90,343,851 | ||||||
|
| |||||
Manufacturing — 1.00% | ||||||
43,000,000 | Danaher Corp., 0.30%, 10/27/15(a)(b) | 42,990,683 | ||||
37,500,000 | Honeywell International Inc., 0.27%, 12/7/15(a)(b) | 37,481,156 | ||||
|
| |||||
80,471,839 | ||||||
|
| |||||
Materials — 0.25% | ||||||
20,000,000 | BASF SE, 0.44%, 2/9/16(a)(b) | 19,967,978 | ||||
|
|
10 |
SCHEDULES OF PORTFOLIO INVESTMENTS
|
Prime Money Market Fund (cont.)
September 30, 2015
Principal Amount | Value | |||||
Utilities — 0.44% | ||||||
$ 35,000,000 | Electricite de France SA, 0.72%, 1/8/16(a)(b) | $ | 34,930,700 | |||
|
| |||||
Total Commercial Paper | 3,109,742,667 | |||||
|
| |||||
(Cost $3,109,742,667) | ||||||
Certificates of Deposit, Domestic — 1.25% | ||||||
Banks - Domestic — 1.25% | ||||||
50,000,000 | Citibank NA 0.29%, 11/27/15 | 50,000,000 | ||||
50,000,000 | Citibank NA 0.30%, 11/12/15 | 50,000,000 | ||||
|
| |||||
Total Certificates of Deposit, Domestic | 100,000,000 | |||||
|
| |||||
(Cost $100,000,000) | ||||||
Certificates of Deposit, Yankee(d) — 11.04% | ||||||
Banks - Canadian — 2.67% | ||||||
25,000,000 | Bank of Montreal Chicago, 0.22%, 10/8/15 | 25,000,000 | ||||
50,000,000 | Bank of Montreal Chicago, 0.32%, 11/16/15 | 50,000,000 | ||||
25,000,000 | Bank of Montreal Chicago, 0.33%, 10/9/15 | 25,000,000 | ||||
25,000,000 | Bank of Montreal Chicago, 0.33%, 10/9/15 | 25,000,000 | ||||
20,000,000 | Bank of Nova Scotia Houston, 0.36%, 1/7/16 | 20,000,000 | ||||
25,000,000 | Bank of Nova Scotia Houston, 0.38%, 3/10/16(c) | 25,000,000 | ||||
20,000,000 | Canadian Imperial Bank of Commerce NY, 0.30%, 10/26/15 | 20,000,000 | ||||
25,000,000 | Toronto Dominion Bank NY, 0.43%, 3/7/16 | 25,000,000 | ||||
|
| |||||
215,000,000 | ||||||
|
| |||||
Banks - Foreign — 3.39% | ||||||
10,000,000 | Nordea Bank Finland NY, 0.38%, 1/19/16 | 9,999,847 | ||||
25,000,000 | Rabobank Nederland NY, 0.25%, 10/30/15 | 25,000,000 | ||||
42,547,000 | Rabobank Nederland NY, 2.13%, 10/13/15 | 42,570,728 | ||||
25,000,000 | Svenska Handelsbanken NY, 0.29%, 10/6/15 | 25,000,000 | ||||
45,000,000 | Svenska Handelsbanken NY, 0.31%, 11/20/15 | 45,000,312 | ||||
100,000,000 | Swedbank, 0.08%, 10/7/15 | 100,000,000 | ||||
25,000,000 | Swedbank, 0.26%, 10/1/15 | 25,000,000 | ||||
|
| |||||
272,570,887 | ||||||
|
| |||||
Banks - Japanese — 4.98% | ||||||
50,000,000 | �� | Bank Tokyo-Mitsubishi UFJ NY, 0.25%, 10/7/15 | 50,000,000 | |||
50,000,000 | Bank Tokyo-Mitsubishi UFJ NY, 0.28%, 11/10/15 | 50,000,000 | ||||
50,000,000 | Bank Tokyo-Mitsubishi UFJ NY, 0.29%, 11/20/15 | 50,000,000 | ||||
100,000,000 | Sumitomo Mitsui Bank NY, 0.14%, 10/6/15 | 100,000,000 | ||||
50,000,000 | Sumitomo Mitsui Bank NY, 0.27%, 10/2/15 | 50,000,000 | ||||
50,000,000 | Sumitomo Mitsui Bank NY, 0.27%, 10/8/15 | 50,000,000 | ||||
50,000,000 | Sumitomo Mitsui Bank NY, 0.32%, 12/8/15 | 50,000,000 | ||||
|
| |||||
400,000,000 | ||||||
|
| |||||
Total Certificates of Deposit, Yankee | 887,570,887 | |||||
|
| |||||
(Cost $887,570,887) |
11 |
SCHEDULES OF PORTFOLIO INVESTMENTS
|
Prime Money Market Fund (cont.)
September 30, 2015
Principal Amount | Value | |||||
Corporate Bonds — 14.58% | ||||||
Banks - Australia & New Zealand — 0.36% | ||||||
$ 3,485,000 | Australia & New Zealand Banking Group Ltd., 1.00%, 10/6/15(b) | $ | 3,485,308 | |||
6,000,000 | Australia & New Zealand Banking Group Ltd., 3.25%, 3/1/16(b) | 6,064,840 | ||||
19,550,000 | National Australia Bank Ltd., 0.90%, 1/20/16 | 19,574,117 | ||||
|
| |||||
29,124,265 | ||||||
|
| |||||
Banks - Canadian — 5.59% | ||||||
4,840,000 | Bank of Montreal, 0.80%, 11/6/15 | 4,841,643 | ||||
50,000,000 | Bank of Montreal Chicago, 0.32%, 1/7/16(c) | 50,000,000 | ||||
25,000,000 | Bank of Montreal Chicago, 0.39%, 4/25/16(c) | 25,000,000 | ||||
34,500,000 | Bank of Montreal Chicago, 0.46%, 12/29/15(c) | 34,510,324 | ||||
15,590,000 | Bank of Nova Scotia, 1.65%, 10/29/15(b) | 15,604,679 | ||||
27,000,000 | Bank of Nova Scotia Houston, 0.31%, 1/7/16(c) | 26,997,165 | ||||
25,000,000 | Bank of Nova Scotia Houston, 0.36%, 1/15/16(c) | 25,000,000 | ||||
100,000,000 | Bank of Nova Scotia Houston, 0.47%, 12/11/15(c) | 100,000,000 | ||||
31,108,000 | Canadian Imperial Bank of Commerce Canada, 0.90%, 10/1/15 | 31,108,000 | ||||
52,780,000 | Canadian Imperial Bank of Commerce Canada, 2.35%, 12/11/15 | 52,975,775 | ||||
25,000,000 | Canadian Imperial Bank of Commerce NY, 0.36%, 4/1/16(c) | 25,000,000 | ||||
33,600,000 | Canadian Imperial Bank of Commerce NY, 0.41%, 11/13/15(c) | 33,602,951 | ||||
25,000,000 | Toronto Dominion Bank, 0.35%, 1/8/16(c) | 25,000,000 | ||||
|
| |||||
449,640,537 | ||||||
|
| |||||
Banks - Domestic — 2.23% | ||||||
4,000,000 | Bank of New York Mellon Corp., 0.52%, 10/23/15(c) | 4,000,539 | ||||
25,000,000 | Bank of New York Mellon Corp., 2.50%, 1/15/16 | 25,146,966 | ||||
75,000,000 | JP Morgan Chase Bank NA, 0.46%, 2/22/16(c) | 75,000,000 | ||||
50,000,000 | Wells Fargo & Co., 0.49%, 10/28/15(c) | 50,004,487 | ||||
25,000,000 | Wells Fargo Bank NA, 0.39%, 4/4/16(c) | 25,000,000 | ||||
|
| |||||
179,151,992 | ||||||
|
| |||||
Banks - Foreign — 1.80% | ||||||
75,000,000 | Svenska Handelsbanken AB, 0.48%, 3/3/16(b)(c) | 75,000,000 | ||||
25,000,000 | Svenska Handelsbanken NY, 0.31%, 12/17/15(c) | 25,000,000 | ||||
45,000,000 | Svenska Handelsbanken NY, 0.32%, 1/25/16(c) | 45,000,000 | ||||
|
| |||||
145,000,000 | ||||||
|
| |||||
Consumer Discretionary — 0.36% | ||||||
13,534,000 | Coca-Cola Co., 1.50%, 11/15/15 | 13,553,358 | ||||
4,000,000 | Procter & Gamble Co., 1.80%, 11/15/15 | 4,007,188 | ||||
11,375,000 | Walt Disney Co. (The), 0.45%, 12/1/15 | 11,377,038 | ||||
|
| |||||
28,937,584 | ||||||
|
| |||||
Consumer Staples — 0.10% | ||||||
8,000,000 | Wal-Mart Stores Inc, 1.50%, 10/25/15 | 8,006,646 | ||||
|
|
12 |
SCHEDULES OF PORTFOLIO INVESTMENTS
|
Prime Money Market Fund (cont.)
September 30, 2015
Principal Amount | Value | |||||
Finance - Diversified Domestic — 3.47% | ||||||
$20,000,000 | Altoona-Blair County Development Corp., 0.15%, 4/1/35(c) | $ | 20,000,000 | |||
40,000,000 | American Honda Finance Corp., 0.31%, 1/11/16(c) | 40,001,626 | ||||
4,500,000 | BHP Billiton Finance USA Ltd., 5.25%, 12/15/15 | 4,544,168 | ||||
20,000,000 | Caterpillar Financial Services Corp., 0.45%, 11/25/15(c) | 20,003,907 | ||||
8,280,000 | ETC Holdings LLC, 0.12%, 4/1/28, (LOC: U.S. Bank)(c) | 8,280,000 | ||||
35,000,000 | Fiore Capital LLC, 0.12%, 8/1/45(c) | 35,000,000 | ||||
7,300,000 | General Electric Capital Corp., 0.52%, 1/14/16(c) | 7,304,610 | ||||
18,850,000 | General Electric Capital Corp., 1.00%, 12/11/15 | 18,871,892 | ||||
7,118,000 | General Electric Capital Corp., 1.00%, 1/8/16 | 7,127,985 | ||||
70,149,000 | General Electric Capital Corp., 5.00%, 1/8/16 | 71,019,755 | ||||
17,800,000 | Jets Stadium Development LLC, 0.15%, 4/1/47(b)(c) | 17,800,000 | ||||
23,000,000 | Jets Stadium Finance Issuer 2015 LLC, 0.16%, 4/1/47(b)(c) | 23,000,000 | ||||
5,750,000 | PACCAR Financial Corp., 0.70%, 11/16/15 | 5,752,818 | ||||
|
| |||||
278,706,761 | ||||||
|
| |||||
Finance - Diversified Foreign — 0.08% | ||||||
6,575,000 | Shell International Finance BV, 0.63%, 12/4/15 | 6,577,506 | ||||
|
| |||||
Health Care — 0.21% | ||||||
16,955,000 | Keep Memory Alive, 0.14%, 5/1/37, (LOC: PNC Bank NA)(c) | 16,955,000 | ||||
|
| |||||
Information Technology — 0.26% | ||||||
20,860,000 | International Business Machines Corp., 0.37%, 2/5/16(c) | 20,867,306 | ||||
|
| |||||
Insurance — 0.12% | ||||||
9,250,000 | New York Life Global Funding, 0.29%, 10/29/15(b)(c) | 9,250,000 | ||||
|
| |||||
Total Corporate Bonds | 1,172,217,597 | |||||
|
| |||||
(Cost $1,172,217,597) | ||||||
Municipal Bonds — 7.08% | ||||||
California — 1.85% | ||||||
40,000,000 | University of California TECP, 0.11%, 10/6/15(a) | 39,999,389 | ||||
67,892,000 | University of California TECP, 0.12%, 10/1/15(a) | 67,892,000 | ||||
40,675,000 | University of California TECP, 0.16%, 10/15/15(a) | 40,672,469 | ||||
|
| |||||
148,563,858 | ||||||
|
| |||||
Georgia — 0.59% | ||||||
28,825,000 | Municipal Electric Authority TECP, 0.17%, 10/13/15 | 28,825,000 | ||||
18,785,000 | Valdosta-Lowndes County Industrial Development Authority Revenue, Series B, 0.19%, 6/1/28, (LOC: Wells Fargo Bank)(c) | 18,785,000 | ||||
|
| |||||
47,610,000 | ||||||
|
| |||||
Illinois — 0.11% | ||||||
8,540,000 | University of Illinois Facilities Revenue, Series S, 0.13%, 4/1/44, (LOC: Northern Trust Co.)(c) | 8,540,000 | ||||
|
| |||||
Maryland — 0.15% | ||||||
12,325,000 | Montgomery County Housing Opportunities Commission Refunding Revenue, Series D, 0.15%, 7/1/39, (LOC: PNC Bank NA, Freddie Mac)(c) | 12,325,000 | ||||
|
|
13 |
SCHEDULES OF PORTFOLIO INVESTMENTS
|
Prime Money Market Fund (cont.)
September 30, 2015
Principal Amount | Value | |||||
Michigan — 1.02% | ||||||
$10,000,000 | Board Trustee Michigan State University TECP, 0.11%, 10/6/15 | $ | 10,000,000 | |||
25,000,000 | Michigan Finance Authority Taxable School Loan Refunding Revenue, 0.13%, 9/1/50, (LOC: PNC Bank NA)(c) | 25,000,000 | ||||
47,385,000 | Michigan Finance Authority Taxable School Loan Revolving Fund, Series A, 0.12%, 9/1/53, (LOC: JP Morgan Chase Bank NA)(c) | 47,385,000 | ||||
|
| |||||
82,385,000 | ||||||
|
| |||||
New Jersey — 0.27% | ||||||
21,495,000 | New Jersey Health Care Facilities Financing Authority, Barnabas Health Refunding Revenue, 0.12%, 7/1/38, (LOC: JP Morgan Chase Bank NA)(c) | 21,495,000 | ||||
|
| |||||
New York — 0.53% | ||||||
7,600,000 | Nassau Health Care Corp. Refunding Revenue, Series A, 0.15%, 8/1/22, (Credit Support: County GTY), (LOC: JP Morgan Chase Bank NA)(c) | 7,600,000 | ||||
35,345,000 | New York City Housing Development Corp. Multi-Family Rental Housing Revenue, Series B, 0.10%, 4/15/36, (Credit Support: Fannie Mae)(c) | 35,345,000 | ||||
|
| |||||
42,945,000 | ||||||
|
| |||||
Pennsylvania — 1.23% | ||||||
54,900,000 | Blair County Industrial Development Authority Refunding Revenue, 0.15%, 10/1/28, (LOC: PNC Bank NA)(c) | 54,900,000 | ||||
25,000,000 | Carnegie Mellon University TECP, 0.11%, 10/7/15(a) | 24,999,542 | ||||
18,630,000 | Derry Township Industrial & Commercial Development Authority Revenue, 0.15%, 11/1/30, (LOC: PNC Bank NA)(c) | 18,630,000 | ||||
|
| |||||
98,529,542 | ||||||
|
| |||||
South Dakota — 0.37% | ||||||
30,000,000 | South Dakota Housing Development Authority Revenue, 0.13%, 11/1/45(c) | 30,000,000 | ||||
|
| |||||
Tennessee — 0.31% | ||||||
15,000,000 | Vanderbilt University TECP, 0.32%, 11/12/15(a) | 14,994,400 | ||||
10,000,000 | Vanderbilt University TECP, 0.50%, 3/15/16(a) | 9,977,002 | ||||
|
| |||||
24,971,402 | ||||||
|
| |||||
Texas — 0.40% | ||||||
20,000,000 | University of Texas TECP, 0.17%, 12/15/15(a) | 19,994,587 | ||||
12,000,000 | University of Texas TECP, 0.18%, 10/8/15(a) | 11,999,837 | ||||
|
| |||||
31,994,424 | ||||||
|
| |||||
Utah — 0.09% | ||||||
6,910,000 | Ogden City Redevelopment Agency Refunding Revenue, Series A, 0.19%, 6/1/31, (LOC: Wells Fargo Bank)(c) | 6,910,000 | ||||
|
|
14 |
SCHEDULES OF PORTFOLIO INVESTMENTS
|
Prime Money Market Fund (cont.)
September 30, 2015
Principal Amount | Value | |||||
Virginia — 0.16% | ||||||
$ 12,755,000 | Newport News Economic Development Authority Industrial Improvement Revenue, Series B, 0.19%, 7/1/31, (LOC: JP Morgan Chase Bank NA)(c) | $ | 12,755,000 | |||
|
| |||||
Total Municipal Bonds | 569,024,226 | |||||
|
| |||||
(Cost $569,024,226) | ||||||
U.S. Treasury Obligations — 0.62% | ||||||
U.S. Treasury Notes — 0.62% | ||||||
50,000,000 | 0.38%, 1/15/16 | 50,014,232 | ||||
|
| |||||
Total U.S. Treasury Obligations | 50,014,232 | |||||
|
| |||||
(Cost $50,014,232) | ||||||
Repurchase Agreements — 17.54% | ||||||
130,000,000 | BNP Paribas Securities Corp., dated 9/30/15; due 10/1/15 at 0.08% with maturity value of $130,000,289 (fully collateralized by U.S. Treasury securities with maturity dates ranging from 12/15/15 to 11/15/44 at rates ranging from 0.00% to 2.00%, aggregate original par and fair value of $131,730,674 and $132,600,000, respectively) | 130,000,000 | ||||
105,000,000 | BNP Paribas Securities Corp., dated 9/30/15; due 10/1/15 at 0.11% with maturity value of $105,000,321 (fully collateralized by Fannie Mae and Freddie Mac securities with maturity dates ranging from 12/1/17 to 9/1/45 at rates ranging from 2.50% to 6.50%, aggregate original par and fair value of $244,523,394 and $107,100,001, respectively) | 105,000,000 | ||||
| ||||||
Total Value of BNP Paribas Securities Corp., (collateral value of $239,700,001) | 235,000,000 | |||||
| ||||||
150,000,000 | Citibank N.A., dated 9/24/15; due 10/1/15 at 0.10% with maturity value of $150,002,917 (fully collateralized by U.S. Treasury, Fannie Mae, Freddie Mac, Federal Home Loan Bank and Federal Farm Credit Bank securities with maturity dates ranging from 3/15/16 to 11/23/35 at rates ranging from 0.000% to 5.625%, aggregate original par and fair value of $172,659,200 and $153,000,008, respectively) | 150,000,000 | ||||
100,000,000 | Citibank N.A., dated 9/29/15; due 10/6/15 at 0.07% with maturity value of $100,001,361 (fully collateralized by Fannie Mae, Freddie Mac and Federal Home Loan Bank securities with maturity dates ranging from 7/28/17 to 11/23/35 at rates ranging from 1.000% to 5.625%, aggregate original par and fair value of $101,579,481 and $102,000,997, respectively) | 100,000,000 | ||||
35,000,000 | Citibank N.A., dated 9/30/15; due 10/1/15 at 0.09% with maturity value of $35,000,088 (fully collateralized by a U.S. Treasury security with a maturity date of 11/15/24 at a rate of 2.25%, original par and fair value of $34,745,600 and $35,700,322, respectively) | 35,000,000 |
15 |
SCHEDULES OF PORTFOLIO INVESTMENTS
|
Prime Money Market Fund (cont.)
September 30, 2015
Principal Amount | Value | |||||
$ 100,000,000 | Citibank N.A., dated 9/30/15; due 10/1/15 at 0.10% with maturity value of $100,000,278 (fully collateralized by U.S. Treasury, Fannie Mae, Federal Home Loan Bank and Federal Farm Credit Bank securities with maturity dates ranging from 11/12/15 to 5/15/42 at rates ranging from 0.000% to 5.375%, aggregate original par and fair value of $99,108,092 and $102,000,001, respectively) | $ | 100,000,000 | |||
| ||||||
Total Value of Citibank N.A., (collateral value of $392,701,328) | 385,000,000 | |||||
| ||||||
40,000,000 | Credit Agricole Corporate and Investment Bank, dated 9/30/15; due 10/1/15 at 0.10% with maturity value of $40,000,111 (fully collateralized by a U.S. Treasury security with a maturity date of 2/15/39 at a rate of 3.50%, original par and fair value of $35,901,800 and $40,800,062, respectively) | 40,000,000 | ||||
| ||||||
Total Value of Credit Agricole Corporate and Investment Bank, (collateral value of $40,800,062) | 40,000,000 | |||||
| ||||||
100,000,000 | Goldman Sachs & Co., dated 9/30/15; due 10/1/15 at 0.12% with maturity value of $100,000,333 (fully collateralized by Fannie Mae and Freddie Mac securities with maturity dates ranging from 4/1/28 to 1/1/45 at rates ranging from 2.50% to 3.50%, aggregate original par and fair value of $121,712,363 and $102,000,001, respectively) | 100,000,000 | ||||
| ||||||
Total Value of Goldman Sachs & Co., (collateral value of $102,000,001) | 100,000,000 | |||||
| ||||||
100,000,000 | JP Morgan Securities, dated 8/13/13 at 0.39% with maturity value of Principal Amount plus interest accrued until maturity (fully collateralized by U.S. Treasury, Fannie Mae, Freddie Mac, Ginnie Mae and Federal Home Loan Bank securities with maturity dates ranging from 3/1/16 to 2/15/57 at rates ranging from 0.50% to 10.50%, aggregate original par and fair value of $227,230,173 and $102,000,384, respectively)(e)(f) | 100,000,000 | ||||
| ||||||
Total Value of JP Morgan Securities, (collateral value of $102,000,384) | 100,000,000 | |||||
| ||||||
50,000,000 | Merrill Lynch, Pierce, Fenner, Smith, dated 9/30/15; due 10/1/15 at 0.11% with maturity value of $50,000,153 (fully collateralized by Fannie Mae securities with maturity dates ranging from 11/16/15 to 10/08/27 at rates ranging from 0.00% to 6.03%, aggregate original par and fair value of $63,818,000 and $51,000,140, respectively) | 50,000,000 | ||||
| ||||||
Total Value of Merrill Lynch, Pierce, Fenner, Smith, (collateral value of $51,000,140) | 50,000,000 | |||||
|
16 |
SCHEDULES OF PORTFOLIO INVESTMENTS
|
Prime Money Market Fund (cont.)
September 30, 2015
Principal Amount | Value | |||||
$ 175,000,000 | TD Securities (USA), dated 9/30/15; due 10/1/15 at 0.12% with maturity value of $175,000,583 (fully collateralized by a U.S. Treasury security with a maturity date of 11/15/20 at a rate of 2.625%, original par and fair value of $167,283,100 and $178,500,059, respectively) | $ | 175,000,000 | |||
| ||||||
Total Value of TD Securities (USA), (collateral value of $178,500,059) | 175,000,000 | |||||
| ||||||
225,000,000 | Wells Fargo Securities, dated 9/30/15; due 10/1/15 at 0.12% with maturity value of $225,000,750 (fully collateralized by U.S. Treasury securities with maturity dates ranging from 1/15/25 to 2/15/41 at rates ranging from 2.000% to 3.625%, aggregate original par and fair value of $127,335,000 and $229,500,157, respectively) | 225,000,000 | ||||
100,000,000 | Wells Fargo Securities, dated 9/30/15; due 10/1/15 at 0.14% with maturity value of $100,000,389 (fully collateralized by Fannie Mae securities with maturity dates ranging from 9/1/45 to 10/1/45 at rates of 3.50%, aggregate original par and fair value of $97,469,744 and $102,000,001, respectively) | 100,000,000 | ||||
| ||||||
Total Value of Wells Fargo Securities, (collateral value of $331,500,158) | 325,000,000 | |||||
| ||||||
Total Repurchase Agreements | 1,410,000,000 | |||||
|
| |||||
(Cost $1,410,000,000) | ||||||
Total Investments (Cost 7,738,365,591)(g) — 96.27% | 7,738,365,591 | |||||
Other assets in excess of liabilities — 3.73% | 299,916,385 | |||||
|
| |||||
NET ASSETS — 100.00% | $ | 8,038,281,976 | ||||
|
|
(a) | Represents effective yield to maturity on date of purchase. |
(b) | Security exempt from registration under Rule 144A or Section 4(2) of the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. Security has been deemed to be liquid based on procedures approved by the Board of Trustees. |
(c) | Variable rate security. The rate reflected in the Schedule of Portfolio Investments is the rate in effect on September 30, 2015. The maturity date represents the actual maturity date. The security’s effective maturity resets periodically. |
(d) | Issuer is a U.S. branch of a foreign domiciled bank. |
(e) | This security is considered illiquid as to its marketability. |
The total investment in restricted and illiquid securities representing $100,000,000, or 1.24% of net assets, was as follows:
Acquisition Principal Amount | Issuer | Acquisition Date | Acquisition Cost | 9/30/15 Carrying Value Per Unit | ||||||||||||
$100,000,000 | JP Morgan Securities | 8/13/2013 | $ | 100,000,000 | $ | 100.00 |
17 |
SCHEDULES OF PORTFOLIO INVESTMENTS
|
Prime Money Market Fund (cont.)
September 30, 2015
(f) | Security is perpetual and thus does not have a predetermined maturity. This is a variable rate security. The rate reflected in the Schedule of Portfolio Investments is the rate in effect on September 30, 2015. The maturity date used for rule 2a-7 of the Investment Company Act of 1940 was October 1, 2015. |
(g) | Tax cost of securities is equal to book cost of securities. |
Abbreviations used are defined below:
GTY - Guaranty
LOC - Letter of Credit
TECP - Tax Exempt Commercial Paper
See Notes to Financial Statements.
18 |
SCHEDULE OF PORTFOLIO INVESTMENTS
|
U.S. Government Money Market Fund
September 30, 2015
Principal Amount | Value | |||||
U.S. Government Agency Backed Corporate Bonds — 0.24% | ||||||
Information Technology — 0.24% | ||||||
$15,200,000 | Net Magan Two LLC, 0.19%, 4/1/26, (LOC: Federal Home Loan Bank)(a) | $ | 15,200,000 | |||
|
| |||||
Total U.S. Government Agency Backed Corporate Bonds | 15,200,000 | |||||
|
| |||||
(Cost $15,200,000) | ||||||
U.S. Government Agency Backed Municipal Bonds — 10.93% | ||||||
California — 0.90% | ||||||
6,645,000 | California Municipal Finance Authority, Pacific Meadows Apartments Revenue, Series A, 0.07%, 10/1/47, (Credit Support: Freddie Mac)(a)(b) | 6,644,738 | ||||
29,320,000 | California Statewide Communities Development Authority Single Family Revenue, Series NN-1, 0.03%, 11/15/37, (Credit Support: Fannie Mae)(a) | 29,320,000 | ||||
20,800,000 | San Francisco City & County Housing Authority City Heights Apartments Refunding Revenue, Series A, 0.03%, 6/15/25, (Credit Support: Fannie Mae)(a) | 20,800,000 | ||||
|
| |||||
56,764,738 | ||||||
|
| |||||
Nevada — 0.70% | ||||||
10,800,000 | Nevada Housing Division Multi Unit Housing, Silver Project, Series A, 0.05%, 10/15/35, (LOC: Fannie Mae)(a) | 10,800,000 | ||||
16,300,000 | Nevada Housing Division Multi Unit Housing, Sonoma Palms, 0.03%, 4/15/39, (Credit Support: Fannie Mae)(a) | 16,300,000 | ||||
17,000,000 | Nevada Housing Division Multi Unit Housing, Southwest VLG Project, 0.10%, 10/15/38, (Credit Support: Fannie Mae)(a) | 17,000,000 | ||||
|
| |||||
44,100,000 | ||||||
|
| |||||
New York — 3.91% | ||||||
4,700,000 | New York City Housing Development Corp. Multi Family Revenue, Series B, 0.10%, 11/15/35, (Credit Support: Fannie Mae)(a) | 4,700,000 | ||||
8,000,000 | New York State Dormitory Authority Nursing Home Improvements Revenue, Series B, 0.10%, 11/15/36, (Credit Support: Fannie Mae)(a) | 8,000,000 | ||||
20,000,000 | New York State Housing Finance Agency 150 East 44th Street Revenue, Series A, 0.02%, 5/15/32, (Credit Support: Fannie Mae)(a) | 20,000,000 | ||||
21,000,000 | New York State Housing Finance Agency 750 6th. Ave. Revenue, Series A, 0.02%, 5/15/31, (Credit Support: Fannie Mae)(a) | 21,000,000 | ||||
54,000,000 | New York State Housing Finance Agency Biltmore Tower Revenue, Series A, 0.02%, 5/15/34, (Credit Support: Fannie Mae)(a) | 54,000,000 | ||||
60,000,000 | New York State Housing Finance Agency Clinton Green North Revenue, Series A, 0.02%, 11/1/38, (Credit Support: Freddie Mac)(a) | 60,000,000 | ||||
29,500,000 | New York State Housing Finance Agency North End Revenue, Series A, 0.01%, 11/15/36, (Credit Support: Fannie Mae)(a) | 29,500,000 |
19 |
SCHEDULE OF PORTFOLIO INVESTMENTS
|
U.S. Government Money Market Fund (cont.)
September 30, 2015
Principal Amount | Value | |||||
$ 50,000,000 | New York State Housing Finance Agency Theater Row Revenue, Series A, 0.02%, 11/1/32, (Credit Support: Freddie Mac)(a) | $ | 50,000,000 | |||
|
| |||||
247,200,000 | ||||||
|
| |||||
Oregon — 0.12% | ||||||
7,800,000 | City of Portland Housing Authority Civic Apartments Redevelopment Revenue, 0.04%, 6/1/38, (Credit Support: Freddie Mac)(a) | 7,800,000 | ||||
|
| |||||
Virginia — 4.87% | ||||||
202,600,000 | Federal Home Loan Mortgage Corp. Multi Family Housing Revenue, Series M017, Class A, 0.05%, 9/15/50, (Credit Support: Freddie Mac)(a)(b) | 202,600,000 | ||||
50,000,000 | Federal Home Loan Mortgage Corp. Multi Family Housing Revenue, Series MO15, Class A, 0.05%, 5/15/46, (Credit Support: Freddie Mac)(a) | 50,000,000 | ||||
31,705,000 | Federal Home Loan Mortgage Corp. Multi Family Housing Revenue, Series MO21, Class A, 0.05%, 6/15/36, (Credit Support: Freddie Mac)(a) | 31,705,000 | ||||
9,335,000 | Federal Home Loan Mortgage Corp. Multi Family Housing Revenue, Series MO25, Class A, 0.06%, 9/15/38, (Credit Support: Freddie Mac)(a) | 9,335,000 | ||||
14,705,000 | Federal Home Loan Mortgage Corp. Multi Family Housing Revenue, Series MO28, Class A, 0.04%, 9/15/24(a) | 14,705,000 | ||||
|
| |||||
308,345,000 | ||||||
|
| |||||
Washington — 0.43% | ||||||
27,180,000 | Washington State Housing Finance Commission Queen Anne Project Revenue, Series A, 0.04%, 9/1/38, (Credit Support: Fannie Mae)(a) | 27,180,000 | ||||
|
| |||||
Total U.S. Government Agency Backed Municipal Bonds | 691,389,738 | |||||
|
| |||||
(Cost $691,389,738) | ||||||
U.S. Government Agency Obligations — 66.37% | ||||||
Fannie Mae — 18.34% | ||||||
25,000,000 | 0.10%, 10/1/15(c) | 25,000,000 | ||||
55,030,000 | 0.11%, 10/1/15(c) | 55,030,000 | ||||
39,125,000 | 0.11%, 10/1/15(c) | 39,125,000 | ||||
76,118,200 | 0.11%, 10/1/15(c) | 76,118,200 | ||||
101,918,000 | 0.13%, 11/2/15(c) | 101,906,223 | ||||
12,705,000 | 0.13%, 10/1/15(c) | 12,705,000 | ||||
15,750,000 | 0.14%, 11/2/15(c) | 15,748,040 | ||||
49,250,000 | 0.14%, 11/2/15(c) | 49,243,871 | ||||
75,965,200 | 0.17%, 1/4/16(c) | 75,931,121 | ||||
52,000,000 | 0.17%, 1/4/16(c) | 51,976,672 | ||||
50,000,000 | 0.18%, 10/21/16(a) | 49,998,097 | ||||
39,101,500 | 0.18%, 1/4/16(c) | 39,082,927 | ||||
54,756,000 | 0.18%, 1/4/16(c) | 54,730,352 | ||||
18,000,000 | 0.18%, 12/1/15(c) | 17,994,510 | ||||
19,375,000 | 0.19%, 12/15/15(c) | 19,367,331 |
20 |
SCHEDULE OF PORTFOLIO INVESTMENTS
|
U.S. Government Money Market Fund (cont.)
September 30, 2015
Principal Amount | Value | |||||
$ 12,616,000 | 0.19%, 1/4/16(c) | $ | 12,609,674 | |||
42,500,000 | 0.20%, 11/2/15(c) | 42,492,539 | ||||
10,800,000 | 0.20%, 7/25/16(a) | 10,804,851 | ||||
35,000,000 | 0.21%, 10/21/15(a) | 35,000,493 | ||||
25,000,000 | 0.21%, 9/8/17(a) | 24,995,101 | ||||
25,000,000 | 0.22%, 8/16/17(a) | 24,995,257 | ||||
5,000,000 | 0.23%, 8/15/16(a) | 5,001,796 | ||||
58,668,870 | 0.24%, 12/1/15(c) | 58,645,260 | ||||
51,000,000 | 0.24%, 12/1/15(c) | 50,979,476 | ||||
116,867,000 | 0.24%, 12/1/15(c) | 116,819,474 | ||||
3,060,000 | 0.38%, 12/21/15 | 3,060,347 | ||||
631,869 | 0.52%, 1/25/17(a) | 631,869 | ||||
33,978 | 0.56%, 3/25/16(a) | 33,981 | ||||
246,275 | 0.95%, 11/25/15 | 246,275 | ||||
140,743 | 1.08%, 2/25/16 | 140,743 | ||||
33,960,000 | 1.63%, 10/26/15 | 33,994,600 | ||||
9,501,000 | 1.88%, 10/15/15 | 9,507,334 | ||||
30,000,000 | 2.38%, 4/11/16 | 30,325,634 | ||||
15,741,000 | 4.38%, 10/15/15 | 15,766,478 | ||||
|
| |||||
1,160,008,526 | ||||||
|
| |||||
Federal Farm Credit Bank — 9.62% | ||||||
15,000,000 | 0.09%, 10/13/15(a) | 14,999,745 | ||||
35,000,000 | 0.13%, 4/5/16(a) | 34,980,059 | ||||
10,000,000 | 0.14%, 3/29/16(a) | 9,999,499 | ||||
25,000,000 | 0.15%, 10/8/15(a) | 24,999,975 | ||||
20,000,000 | 0.16%, 1/25/16(a) | 19,999,841 | ||||
58,000,000 | 0.17%, 2/11/16(a) | 57,996,837 | ||||
25,000,000 | 0.18%, 10/3/16(a) | 24,996,305 | ||||
17,900,000 | 0.20%, 12/7/15 | 17,899,179 | ||||
50,000,000 | 0.21%, 5/5/16(a) | 50,004,563 | ||||
17,500,000 | 0.22%, 1/19/16(a) | 17,501,090 | ||||
10,000,000 | 0.22%, 7/8/16(a) | 10,005,078 | ||||
5,000,000 | 0.22%, 10/11/16(a) | 5,002,613 | ||||
25,000,000 | 0.22%, 10/3/16(a) | 25,006,374 | ||||
20,000,000 | 0.23%, 9/14/16(a) | 20,014,149 | ||||
3,000,000 | 0.23%, 1/3/17(a) | 3,002,487 | ||||
7,250,000 | 0.23%, 1/19/16(a) | 7,251,224 | ||||
9,565,000 | 0.23%, 10/11/16(a) | 9,572,592 | ||||
62,000,000 | 0.23%, 3/13/17(a) | 62,022,736 | ||||
50,000,000 | 0.24%, 6/19/17(a) | 49,997,431 | ||||
55,400,000 | 0.24%, 8/4/17(a) | 55,446,630 | ||||
7,250,000 | 0.24%, 3/24/17(a) | 7,254,904 | ||||
23,500,000 | 0.26%, 4/11/16(a) | 23,498,114 | ||||
8,869,000 | 0.26%, 4/17/17(a) | 8,875,694 | ||||
16,000,000 | 0.28%, 6/9/16(a) | 15,993,299 | ||||
12,610,000 | 0.29%, 7/15/16(a) | 12,620,079 |
21 |
SCHEDULE OF PORTFOLIO INVESTMENTS
|
U.S. Government Money Market Fund (cont.)
September 30, 2015
Principal Amount | Value | |||||
$ 16,500,000 | 1.50%, 11/16/15 | $ | 16,528,131 | |||
2,990,000 | 4.88%, 12/16/15 | 3,018,362 | ||||
|
| |||||
608,486,990 | ||||||
|
| |||||
Federal Home Loan Bank — 30.09% | ||||||
50,000,000 | 0.09%, 10/2/15(c) | 49,999,875 | ||||
50,000,000 | 0.09%, 10/7/15(c) | 49,999,225 | ||||
75,000,000 | 0.09%, 10/9/15(c) | 74,998,456 | ||||
79,200,000 | 0.10%, 10/21/15(c) | 79,195,713 | ||||
50,000,000 | 0.10%, 10/7/15(c) | 49,999,167 | ||||
25,000,000 | 0.11%, 10/28/15(c) | 24,997,900 | ||||
50,000,000 | 0.11%, 11/24/15 | 49,997,925 | ||||
22,675,000 | 0.11%, 11/20/15 | 22,674,128 | ||||
13,900,000 | 0.12%, 10/14/15(c) | 13,899,398 | ||||
51,100,000 | 0.12%, 11/12/15(c) | 51,092,846 | ||||
7,480,000 | 0.13%, 10/30/15(c) | 7,479,217 | ||||
25,000,000 | 0.13%, 11/4/15(c) | 24,996,930 | ||||
50,000,000 | 0.13%, 11/27/15(c) | 49,989,708 | ||||
84,000,000 | 0.14%, 10/8/15(a) | 83,999,920 | ||||
15,000,000 | 0.14%, 11/5/15 | 15,000,160 | ||||
40,000,000 | 0.14%, 7/1/16(a) | 39,998,198 | ||||
9,675,000 | 0.14%, 11/18/15 | 9,675,104 | ||||
40,000,000 | 0.14%, 7/22/16(a) | 40,000,000 | ||||
1,900,000 | 0.14%, 10/30/15(c) | 1,899,786 | ||||
29,600,000 | 0.14%, 11/25/15(c) | 29,593,822 | ||||
13,500,000 | 0.15%, 10/23/15(c) | 13,498,804 | ||||
40,000,000 | 0.15%, 1/8/16(a) | 39,999,453 | ||||
20,000,000 | 0.15%, 1/15/16(a) | 19,999,707 | ||||
25,000,000 | 0.15%, 10/22/15(a) | 25,000,762 | ||||
20,000,000 | 0.15%, 8/25/16(a) | 20,000,000 | ||||
600,000 | 0.15%, 11/12/15(c) | 599,895 | ||||
8,700,000 | 0.15%, 11/25/15(c) | 8,698,038 | ||||
25,000,000 | 0.16%, 11/6/15(c) | 24,996,000 | ||||
15,000,000 | 0.16%, 8/18/16(a) | 14,996,153 | ||||
50,000,000 | 0.17%, 10/14/15(a) | 49,999,822 | ||||
28,000,000 | 0.17%, 11/20/15(a) | 28,000,330 | ||||
19,000,000 | 0.17%, 3/3/16(a) | 18,999,797 | ||||
25,000,000 | 0.17%, 2/14/17(a) | 24,981,629 | ||||
50,000,000 | 0.18%, 10/7/15(a) | 50,000,206 | ||||
11,500,000 | 0.18%, 11/4/15 | 11,500,283 | ||||
25,000,000 | 0.18%, 5/17/16(a) | 25,000,000 | ||||
25,000,000 | 0.18%, 2/28/17(a) | 25,000,000 | ||||
12,500,000 | 0.19%, 1/15/16 | 12,499,689 | ||||
35,000,000 | 0.19%, 1/21/16(a) | 34,999,441 | ||||
15,000,000 | 0.19%, 11/13/15(c) | 14,996,614 | ||||
25,000,000 | 0.19%, 11/20/15(c) | 24,993,576 | ||||
25,000,000 | 0.19%, 11/25/15(c) | 24,992,781 | ||||
25,000,000 | 0.19%, 11/27/15(c) | 24,992,400 |
22 |
SCHEDULE OF PORTFOLIO INVESTMENTS
|
U.S. Government Money Market Fund (cont.)
September 30, 2015
Principal Amount | Value | |||||
$25,000,000 | 0.20%, 11/18/15(c) | $ | 24,993,333 | |||
17,500,000 | 0.20%, 12/8/15(c) | 17,493,389 | ||||
40,000,000 | 0.20%, 10/16/15 | 39,999,294 | ||||
18,000,000 | 0.20%, 12/2/15(c) | 17,993,800 | ||||
17,500,000 | 0.20%, 12/4/15(c) | 17,493,933 | ||||
23,000,000 | 0.21%, 10/9/15 | 22,999,885 | ||||
28,000,000 | 0.21%, 8/26/16(a) | 28,000,000 | ||||
17,500,000 | 0.21%, 12/9/15(c) | 17,493,023 | ||||
36,500,000 | 0.22%, 10/7/15(c) | 36,500,700 | ||||
35,000,000 | 0.22%, 10/7/15(c) | 35,000,350 | ||||
25,000,000 | 0.23%, 1/4/16 | 24,996,819 | ||||
35,000,000 | 0.23%, 6/14/16(a) | 35,000,000 | ||||
22,500,000 | 0.23%, 12/11/15(c) | 22,490,016 | ||||
23,500,000 | 0.25%, 3/23/16(c) | 23,471,604 | ||||
40,000,000 | 0.25%, 11/20/15(a) | 40,000,000 | ||||
25,000,000 | 0.25%, 1/12/16 | 24,997,628 | ||||
9,200,000 | 0.25%, 1/22/16 | 9,201,125 | ||||
20,000,000 | 0.27%, 12/16/15(c) | 19,988,600 | ||||
10,900,000 | 0.32%, 1/13/16 | 10,901,406 | ||||
50,000,000 | 0.33%, 4/1/16 | 49,988,954 | ||||
50,000,000 | 0.34%, 3/14/16 | 49,994,735 | ||||
11,040,000 | 1.00%, 3/11/16 | 11,071,381 | ||||
14,725,000 | 5.38%, 5/18/16 | 15,188,058 | ||||
|
| |||||
1,903,490,891 | ||||||
|
| |||||
Freddie Mac — 5.02% | ||||||
35,000,000 | 0.14%, 11/23/15(c) | 34,992,786 | ||||
25,000,000 | 0.15%, 8/17/16(a) | 25,000,000 | ||||
25,000,000 | 0.16%, 9/2/16(a) | 25,000,000 | ||||
50,000,000 | 0.19%, 6/15/16(a) | 49,994,596 | ||||
50,000,000 | 0.19%, 11/25/15(a) | 50,000,000 | ||||
20,000,000 | 0.20%, 9/16/16(a) | 20,000,000 | ||||
50,000,000 | 0.21%, 7/21/16(a) | 49,995,876 | ||||
9,162,000 | 4.75%, 11/17/15 | 9,215,878 | ||||
53,000,000 | 4.75%, 1/19/16 | 53,710,152 | ||||
|
| |||||
317,909,288 | ||||||
|
| |||||
Overseas Private Investment Corp. — 3.30% | ||||||
14,310,000 | 0.00%, 5/2/16(d) | 14,310,000 | ||||
13,455,000 | 0.00%, 5/2/16(d) | 13,455,000 | ||||
5,000,000 | 0.14%, 7/20/22(a) | 5,000,000 | ||||
5,000,000 | 0.15%, 11/20/19(a) | 5,000,000 | ||||
80,000,000 | 0.15%, 9/15/20(a) | 80,000,000 | ||||
10,000,000 | 0.15%, 9/15/22(a) | 10,000,000 | ||||
27,000,000 | 0.15%, 7/15/25(a) | 27,000,000 | ||||
11,000,000 | 0.15%, 10/10/25(a) | 11,000,000 | ||||
15,000,000 | 0.15%, 11/15/28(a) | 15,000,000 |
23 |
SCHEDULE OF PORTFOLIO INVESTMENTS
|
U.S. Government Money Market Fund (cont.)
September 30, 2015
Principal Amount | Value | |||||
$ 28,100,000 | 0.15%, 1/15/30(a) | $ | 28,100,000 | |||
|
| |||||
208,865,000 | ||||||
|
| |||||
Total U.S. Government Agency Obligations | 4,198,760,695 | |||||
|
| |||||
(Cost $4,198,760,695) | ||||||
U.S. Treasury Obligations — 7.54% | ||||||
U.S. Treasury Notes — 7.54% | ||||||
25,000,000 | 0.25%, 11/30/15 | 25,006,080 | ||||
88,500,000 | 0.25%, 12/15/15 | 88,508,469 | ||||
50,000,000 | 0.38%, 1/15/16 | 50,012,143 | ||||
55,000,000 | 0.50%, 6/15/16 | 55,076,793 | ||||
52,500,000 | 0.50%, 8/31/16 | 52,537,409 | ||||
50,000,000 | 0.63%, 8/15/16 | 50,089,572 | ||||
50,000,000 | 0.63%, 10/15/16 | 50,074,758 | ||||
25,000,000 | 0.88%, 9/15/16 | 25,088,347 | ||||
55,000,000 | 1.50%, 6/30/16 | 55,467,817 | ||||
25,000,000 | 2.00%, 1/31/16 | 25,138,973 | ||||
|
| |||||
477,000,361 | ||||||
|
| |||||
Total U.S. Treasury Obligations | 477,000,361 | |||||
|
| |||||
(Cost $477,000,361) | ||||||
Repurchase Agreements — 18.12% | ||||||
125,000,000 | BNP Paribas Securities Corp., dated 9/30/15; due 10/1/15 at 0.11% with maturity value of $125,000,382 (fully collateralized by Fannie Mae and Freddie Mac securities with maturity dates ranging from 1/1/16 to 10/1/45 at rates of 2.50% to 8.00%, aggregate original par and fair value of $219,780,479 and $127,500,000, respectively) | 125,000,000 | ||||
| ||||||
Total Value of BNP Paribas Securities Corp., (collateral value of $127,500,000) | 125,000,000 | |||||
| ||||||
76,340,000 | Citibank N.A., dated 9/24/15; due 10/1/15 at 0.09% with maturity value of $76,341,336 (fully collateralized by a U.S. Treasury security with a maturity date of 2/15/18 at a rate of 1.00%, original par and fair value of $77,370,900 and $77,866,847, respectively) | 76,340,000 | ||||
150,000,000 | Citibank N.A., dated 9/29/15; due 10/6/15 at 0.06% with maturity value of $150,001,750 (fully collateralized by U.S. Treasury securities with maturity dates ranging from 10/15/15 to 11/15/22 at rates ranging from 0.000% to 1.625%, aggregate original par and fair value of $152,575,000 and $153,000,027, respectively) | 150,000,000 |
24 |
SCHEDULE OF PORTFOLIO INVESTMENTS
|
U.S. Government Money Market Fund (cont.)
September 30, 2015
Principal Amount | Value | |||||
$150,000,000 | Citibank N.A., dated 9/30/15; due 10/1/15 at 0.10% with maturity value of $150,000,417 (fully collateralized by U.S. Treasury, Fannie Mae, Freddie Mac, Federal Home Loan Bank and Federal Farm Credit Bank securities with maturity dates ranging from 7/14/17 to 10/8/27 at rates ranging from 0.00% to 2.75%, aggregate original par and fair value of $157,452,000 and $153,000,383, respectively) | $ | 150,000,000 | |||
50,000,000 | Citibank N.A., dated 9/30/15; due 10/1/15 at 0.11% with maturity value of $50,000,153 (fully collateralized by U.S. Treasury and Freddie Mac securities with maturity dates ranging from 11/15/15 to 5/15/45 at rates of 0.00% to 4.25%, aggregate original par and fair value of $81,909,587 and $51,000,031, respectively) | 50,000,000 | ||||
| ||||||
Total Value of Citibank N.A., (collateral value of $434,867,288) | 426,340,000 | |||||
| ||||||
50,000,000 | Goldman Sachs & Co., dated 9/30/15; due 10/1/15 at 0.12% with maturity value of $50,000,167 (fully collateralized by Fannie Mae and Freddie Mac securities with maturity dates ranging from 1/1/26 to 12/1/43 at rates of 3.00% to 7.15%, aggregate original par and fair value of $59,816,113 and $51,000,000, respectively) | 50,000,000 | ||||
| ||||||
Total Value of Goldman Sachs & Co., (collateral value of $51,000,000) | 50,000,000 | |||||
| ||||||
50,000,000 | Merrill Lynch, Pierce, Fenner, Smith, dated 9/29/15; due 10/6/15 at 0.07% with maturity value of $50,000,681 (fully collateralized by a Freddie Mac security with a maturity date of 1/1/45 at a rate of 3.50%, original par and fair value of $49,327,419 and $51,000,001, respectively) | 50,000,000 | ||||
15,000,000 | Merrill Lynch, Pierce, Fenner, Smith, dated 9/30/15; due 10/1/15 at 0.11% with maturity value of $15,000,046 (fully collateralized by a U.S. Treasury security with a maturity date of 7/15/25 at a rate of 0.375%, original par and fair value of $15,611,500 and $15,300,025, respectively) | 15,000,000 | ||||
30,000,000 | Merrill Lynch, Pierce, Fenner, Smith, dated 9/30/15; due 10/1/15 at 0.12% with maturity value of $30,000,100 (fully collateralized by a Freddie Mac security with a maturity date of 1/1/45 at a rate of 3.50%, original par and fair value of $29,596,452 and $30,600,001, respectively) | 30,000,000 | ||||
50,000,000 | Merrill Lynch, Pierce, Fenner, Smith, dated 9/30/15; due 10/7/15 at 0.12% with maturity value of $50,001,167 (fully collateralized by a Freddie Mac security with a maturity date of 1/1/45 at a rate of 3.50%, original par and fair value of $49,327,419 and $51,000,001, respectively) | 50,000,000 | ||||
| ||||||
Total Value of Merrill Lynch, Pierce, Fenner, Smith, (collateral value of $147,900,028) | 145,000,000 | |||||
|
25 |
SCHEDULE OF PORTFOLIO INVESTMENTS
|
U.S. Government Money Market Fund (cont.)
September 30, 2015
Principal Amount | Value | |||||
$100,000,000 | TD Securities (USA), dated 9/30/15; due 10/1/15 at 0.12% with maturity value of $100,000,333 (fully collateralized by a U.S. Treasury security with a maturity date of 11/30/19 at a rate of 1.50%, original par and fair value of $100,415,400 and $102,000,055, respectively) | $ | 100,000,000 | |||
100,000,000 | TD Securities (USA), dated 9/30/15; due 10/7/15 at 0.12% with maturity value of $100,002,333 (fully collateralized by U.S. Treasury securities with maturity dates ranging from 1/31/21 to 4/30/21 at rates ranging from 2.125% to 2.250%, aggregate original par and fair value of $97,636,100 and $102,000,048, respectively) | 100,000,000 | ||||
| ||||||
Total Value of TD Securities (USA), (collateral value of $204,000,103) | 200,000,000 | |||||
| ||||||
150,000,000 | Wells Fargo Securities, dated 9/30/15; due 10/1/15 at 0.12% with maturity value of $150,000,500 (fully collateralized by U.S. Treasury securities with maturity dates ranging from 1/15/16 to 4/15/29 at rates ranging from 0.125% to 3.875%, aggregate original par and fair value of $101,587,900 and $153,000,067, respectively) | 150,000,000 | ||||
50,000,000 | Wells Fargo Securities, dated 9/30/15; due 10/1/15 at 0.14% with maturity value of $50,000,194 (fully collateralized by Fannie Mae securities with maturity dates of 10/1/45 at rates of 3.50%, aggregate original par and fair value of $48,733,482 and $51,000,000, respectively) | 50,000,000 | ||||
| ||||||
Total Value of Wells Fargo Securities, (collateral value of $204,000,067) | 200,000,000 | |||||
| ||||||
Total Repurchase Agreements | 1,146,340,000 | |||||
|
| |||||
(Cost $1,146,340,000) | ||||||
Total Investments (Cost 6,528,690,794)(e) — 103.20% | $ | 6,528,690,794 | ||||
Liabilities in excess of other assets — (3.20)% | (202,365,066 | ) | ||||
|
| |||||
NET ASSETS — 100.00% | $ | 6,326,325,728 | ||||
|
|
26 |
SCHEDULE OF PORTFOLIO INVESTMENTS
|
U.S. Government Money Market Fund (cont.)
September 30, 2015
(a) | Variable rate security. The rate reflected in the Schedule of Portfolio Investments is the rate in effect on September 30, 2015. The maturity date represents the actual maturity date. The security’s effective maturity resets periodically. |
(b) | Security exempt from registration under Rule 144A or Section 4(2) of the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. Security has been deemed to be liquid based on procedures approved by the Board of Trustees. |
(c) | Represents effective yield to maturity on date of purchase. |
(d) | Zero Coupon Bond. The rate represents the yield at time of purchase. |
(e) | Tax cost of securities is equal to book cost of securities. |
Abbreviations used are defined below:
LOC -Letter of Credit
See Notes to Financial Statements.
27 |
SCHEDULE OF PORTFOLIO INVESTMENTS
|
Tax-Free Money Market Fund
September 30, 2015
Principal Amount | Value | |||||
Municipal Bonds — 97.64% |
| |||||
Alabama — 0.49% |
| |||||
$ 5,000,000 | Mobile County Industrial Development Authority, Exxon Mobil Project Refunding Revenue, 0.01%, 7/15/32(a) | $ | 5,000,000 | |||
|
| |||||
Alaska — 0.92% | ||||||
9,435,000 | City of Valdez Exxon Pipeline Co. Project Refunding Revenue, Series C, 0.01%, 12/1/33(a) | 9,435,000 | ||||
|
| |||||
California — 1.07% | ||||||
2,270,000 | California Housing Finance Agency Revenue, Series A, 0.01%, 8/1/40, (LOC: JP Morgan Chase Bank NA)(a) | 2,270,000 | ||||
5,600,000 | County of San Bernardino Sycamore Terrace Refunding Revenue, Series A, 0.03%, 5/15/29, (Credit Support: Fannie Mae)(a) | 5,600,000 | ||||
3,100,000 | State of California TECP, 0.06%, 11/30/15(b) | 3,100,000 | ||||
|
| |||||
10,970,000 | ||||||
|
| |||||
Colorado — 3.01% | ||||||
4,200,000 | Colorado Educational & Cultural Facilities Authority Private Primary Schools Revenue, 0.03%, 5/1/32, (LOC: U.S. Bank NA)(a) | 4,200,000 | ||||
4,250,000 | Colorado Educational & Cultural Facilities Authority Refunding Revenue, 0.03%, 11/1/33, (LOC: U.S. Bank NA)(a) | 4,250,000 | ||||
1,035,000 | Colorado Health Facilities Authority Arapahoe Housing Project Revenue, Series A, 0.12%, 4/1/24, (LOC: Wells Fargo Bank)(a) | 1,035,000 | ||||
8,530,000 | Colorado Health Facilities Authority, Evangelical Nursing Home Revenue, 0.02%, 6/1/37, (LOC: U.S. Bank NA)(a) | 8,530,000 | ||||
3,475,000 | County of Pitkin Refunding Revenue, Series A, 0.03%, 12/1/24, (LOC: U.S. Bank NA)(a) | 3,475,000 | ||||
4,835,000 | Gateway Regional Metropolitan District Refunding GO, 0.07%, 12/1/37, (LOC: Wells Fargo Bank)(a) | 4,835,000 | ||||
4,175,000 | Holland Creek Metropolitan District Revenue, 0.02%, 6/1/41, (LOC: Bank of America NA)(a) | 4,175,000 | ||||
485,000 | Parker Automotive Metropolitan District GO, 0.03%, 12/1/34, (LOC: U.S. Bank NA)(a) | 485,000 | ||||
|
| |||||
30,985,000 | ||||||
|
| |||||
Delaware — 0.44% | ||||||
4,560,000 | Delaware State Economic Development Authority Revenue, 0.03%, 5/1/36, (LOC: PNC Bank NA)(a) | 4,560,000 | ||||
|
| |||||
District Of Columbia — 0.13% | ||||||
1,300,000 | District of Columbia Internships and Academic Revenue, 0.02%, 7/1/36, (LOC: Branch Banking & Trust)(a) | 1,300,000 | ||||
|
| |||||
Florida — 3.15% | ||||||
10,470,000 | Florida Capital Trust Agency, Portofino Villas, Series A, 0.02%, 4/15/36, (Credit Support: Fannie Mae)(a) | 10,470,000 | ||||
3,525,000 | Florida State Housing Finance Corp. South Pointe Project Refunding Revenue, Series J, 0.03%, 2/15/28, (Credit Support: Fannie Mae)(a) | 3,525,000 |
28 |
SCHEDULE OF PORTFOLIO INVESTMENTS
|
Tax-Free Money Market Fund (cont.)
September 30, 2015
Principal Amount | Value | |||||
$ 5,245,000 | JP Morgan Chase Putters/Drivers Trust Seminole County Sales Tax Refunding Revenue, Series 3438Z, 0.04%, 4/1/27(a)(c) | $ | 5,245,000 | |||
2,225,000 | JP Morgan Chase Putters/Drivers Trust Tampa Water Revenue, Series 3617, 0.04%, 10/1/25(a)(c) | 2,225,000 | ||||
1,500,000 | Miami-Dade County, Professional Sports Franchise Facilities Revenue, Series E, 0.02%, 10/1/48, (LOC: Wells Fargo Bank)(a) | 1,500,000 | ||||
9,515,000 | Orange County Housing Finance Authority, Post Fountains Project Refunding Revenue, 0.02%, 6/1/25, (Credit Support: Fannie Mae)(a) | 9,515,000 | ||||
|
| |||||
32,480,000 | ||||||
|
| |||||
Georgia — 1.14% | ||||||
7,215,000 | Clayton County Housing Authority Refunding Revenue, 0.02%, 9/1/26, (Credit Support: Fannie Mae)(a) | 7,215,000 | ||||
4,520,000 | Fulton County Development Authority School Improvement Revenue, 0.02%, 8/1/35, (LOC: Branch Banking & Trust)(a) | 4,520,000 | ||||
|
| |||||
11,735,000 | ||||||
|
| |||||
Idaho — 0.05% | ||||||
515,000 | Idaho Health Facilities Authority, Trinity Health Refunding Revenue, Series D, 2.00%, 12/1/15 | 516,594 | ||||
|
| |||||
Illinois — 7.30% | ||||||
3,795,000 | City of Elmhurst Hospital Improvements Revenue, 0.02%, 7/1/18, (LOC: JP Morgan Chase Bank NA)(a) | 3,794,981 | ||||
3,235,000 | Illinois Finance Authority, Cristo Rey Jesuit School Project Revenue, 0.13%, 9/1/41, (LOC: JP Morgan Chase Bank NA)(a) | 3,235,000 | ||||
2,100,000 | Illinois Finance Authority, North Park University Project Revenue, 0.01%, 10/1/29, (LOC: JP Morgan Chase Bank NA)(a) | 2,100,000 | ||||
13,220,000 | Illinois Finance Authority, Riverside Revenue, Series A, 0.02%, 11/15/22, (LOC: JP Morgan Chase Bank NA)(a) | 13,220,000 | ||||
5,650,000 | Illinois Finance Authority, Steppenwolf Theatre Co. Project Refunding Revenue, 0.02%, 3/1/43, (LOC: Northern Trust Co.)(a) | 5,650,000 | ||||
4,700,000 | Illinois Finance Authority, University of Chicago Medical Center Revenue, Series A, 0.01%, 8/1/44, (LOC: Bank of America N.A.)(a) | 4,700,000 | ||||
13,000,000 | Illinois State Development Finance Authority, Oak Park Residence Corp. Project Revenue, 0.02%, 7/1/41, (LOC: PNC Bank NA)(a) | 13,000,000 | ||||
20,500,000 | Illinois State Toll Highway Authority Highway Improvement Revenue, Series A-2A, 0.01%, 7/1/30, (LOC: Bank of Tokyo-Mitsubishi UFJ)(a) | 20,500,000 | ||||
3,615,000 | Saint Clair County, Mckendree College Project Revenue, 0.03%, 6/1/34, (LOC: U.S. Bank NA)(a) | 3,615,000 | ||||
5,355,000 | Village of Channahon Morris Hospital Refunding Revenue, Series A, 0.02%, 12/1/23, (LOC: U.S. Bank NA)(a) | 5,355,000 | ||||
|
| |||||
75,169,981 | ||||||
|
|
29 |
SCHEDULE OF PORTFOLIO INVESTMENTS
|
Tax-Free Money Market Fund (cont.)
September 30, 2015
Principal Amount | Value | |||||
Indiana — 5.37% | ||||||
$27,600,000 | City of Indianapolis Lakeside Pointe & Fox Club Refunding Revenue, 0.02%, 11/15/37, (Credit Support: Fannie Mae)(a) | $ | 27,600,000 | |||
4,100,000 | City of Rockport Pollution Control Refunding Revenue, 0.01%, 7/1/25, (LOC: Bank Tokyo-Mitsubishi UFJ)(a) | 4,100,000 | ||||
23,600,000 | Indiana Finance Authority Ascension Health Refunding Revenue, Series E7, 0.01%, 11/15/33(a) | 23,600,000 | ||||
|
| |||||
55,300,000 | ||||||
|
| |||||
Iowa — 1.51% | ||||||
5,100,000 | City of Urbandale Interstate Acres LP Refunding Revenue, 0.02%, 5/1/17, (LOC: Federal Home Loan Bank, Des Moines)(a) | 5,100,000 | ||||
1,125,000 | County of Woodbury Siouxland Medical Education Foundation Revenue, 0.12%, 11/1/16, (LOC: U.S. Bank NA)(a) | 1,125,000 | ||||
2,010,000 | Iowa Finance Authority Revenue, 0.02%, 2/1/23, (LOC: Wells Fargo Bank)(a) | 2,010,000 | ||||
7,270,000 | Iowa Higher Education Loan Authority University & College Revenue, 0.12%, 5/1/20, (LOC: Wells Fargo Bank)(a) | 7,270,000 | ||||
|
| |||||
15,505,000 | ||||||
|
| |||||
Kansas — 1.00% | ||||||
2,725,000 | City of Olathe Recreational Revenue, Series B, 0.03%, 11/1/18, (LOC: Bank of America NA)(a) | 2,725,000 | ||||
7,580,000 | City of Wichita Public Improvements Refunding GO, Series 268, 0.25%, 10/15/15 | 7,580,084 | ||||
|
| |||||
10,305,084 | ||||||
|
| |||||
Louisiana — 5.92% | ||||||
17,985,000 | East Baton Rouge Parish Industrial Development Board, Inc. Exxon Mobil Project Refunding Revenue, 0.01%, 3/1/22(a) | 17,985,000 | ||||
11,400,000 | East Baton Rouge Parish Industrial Development Board, Inc. Exxon Mobil Project Revenue, Series A, 0.01%, 8/1/35(a) | 11,400,000 | ||||
9,055,000 | Louisiana Local Government Environmental Facilities & Community Development Authority Revenue, Series A, 0.02%, 10/1/37, (LOC: Federal Home Loan Bank, Dallas)(a) | 9,055,000 | ||||
5,060,000 | Louisiana Public Facilities Authority, Community Health Care Project Revenue, 0.06%, 4/1/21, (LOC: Bank of NY Mellon, Capital One NA)(a) | 5,060,000 | ||||
3,750,000 | Louisiana Public Facilities Authority, Gulf Opportunity Zone Southern Ionics Inc. Revenue, 0.02%, 4/1/18, (LOC: Wells Fargo Bank NA)(a) | 3,750,000 | ||||
12,600,000 | Louisiana Public Facilities Authority, Multifamily Housing Refunding Revenue, 0.02%, 4/1/36, (Credit Support: Freddie Mac)(a) | 12,600,000 | ||||
1,055,000 | Terrebonne Economic Development Authority, Buquet District Industrial Revenue, 0.25%, 9/1/29, (LOC: Federal Home Loan Bank, Dallas)(a) | 1,055,000 | ||||
|
| |||||
60,905,000 | ||||||
|
| |||||
Maryland — 3.07% | ||||||
12,861,000 | Johns Hopkins University TECP, 0.03%, 11/2/15(b) | 12,861,000 |
30 |
SCHEDULE OF PORTFOLIO INVESTMENTS
|
Tax-Free Money Market Fund (cont.)
September 30, 2015
Principal Amount | Value | |||||
$ 2,000,000 | Johns Hopkins University TECP, 0.03%, 11/2/15(b) | $ | 2,000,000 | |||
2,835,000 | Maryland Health & Higher Educational Facilities Authority Glen Meadows Retirement Revenue, Series A, 0.01%, 7/1/29, (LOC: TD Bank NA)(a) | 2,835,000 | ||||
10,000,000 | Maryland Health & Higher Educational Facilities Authority Refunding Revenue, Series A, 0.01%, 4/1/35, (LOC: TD Bank NA)(a) | 10,000,000 | ||||
3,860,000 | Maryland Health & Higher Educational Facilities Authority Refunding Revenue, Series B, 0.01%, 4/1/35, (LOC: TD Bank NA)(a) | 3,860,000 | ||||
|
| |||||
31,556,000 | ||||||
|
| |||||
Massachusetts — 0.26% | ||||||
2,675,000 | Commonwealth of Massachusetts Public Improvements Refunding GO, Series C, 5.00%, 12/1/15 | 2,696,613 | ||||
|
| |||||
Michigan — 2.68% | ||||||
15,795,000 | Michigan Hospital Finance Authority Trinity Healthcare TECP, 0.05%, 12/1/15(b) | 15,795,000 | ||||
1,500,000 | State of Michigan Refunding GO, 5.50%, 12/1/15 | 1,513,545 | ||||
10,305,000 | University of Michigan, Series D-2, 0.01%, 12/1/29(a) | 10,305,000 | ||||
|
| |||||
27,613,545 | ||||||
|
| |||||
Minnesota — 14.35% | ||||||
1,500,000 | Bloomington Independent School District No. 271 Refunding Revenue GO, Series A, 5.00%, 2/1/16, (Credit Support: School District Credit Program) | 1,523,967 | ||||
9,745,000 | City of Andover Senior Housing Presbyterian Homes Inc. Project, Refunding Revenue, 0.02%, 11/15/33, (Credit Support: Fannie Mae)(a) | 9,745,000 | ||||
4,860,000 | City of Burnsville Berkshire Project Refunding Revenue, Series A, 0.03%, 7/15/30, (Credit Support: Fannie Mae)(a) | 4,860,000 | ||||
2,107,000 | City of Crystal Housing Development Revenue, Crystal Apartments, 0.02%, 5/1/27(a) | 2,107,000 | ||||
12,035,000 | City of Inver Grove Heights Refunding Revenue, 0.02%, 5/15/35, (Credit Support: Fannie Mae)(a) | 12,035,000 | ||||
6,100,000 | City of Minnetonka Beacon Hill Refunding Revenue, 0.02%, 5/15/34, (Credit Support: Fannie Mae)(a) | 6,099,994 | ||||
4,200,000 | City of Roseville Senior Housing Eaglecrest Project, Refunding Revenue, 0.02%, 7/1/39, (Credit Support: Freddie Mac)(a) | 4,200,000 | ||||
3,820,000 | City of Saint Louis Park Parkshore Senior Project Refunding Revenue, 0.02%, 8/1/34, (Credit Support: Freddie Mac)(a) | 3,820,000 | ||||
5,565,000 | City of Saint Louis Park Westwind Apartments Project Refunding Revenue, 0.02%, 9/15/33, (Credit Support: Fannie Mae)(a) | 5,565,000 | ||||
1,025,000 | City of Spring Lake Park Oak Crest Apartments Project Refunding Revenue, 0.02%, 2/15/33, (Credit Support: Fannie Mae)(a) | 1,025,000 | ||||
4,000,000 | Elk River Independent School District No. 728 Refunding GO, Series A, 5.00%, 2/1/16, (Credit Support: School District Credit Program) | 4,064,095 |
31 |
SCHEDULE OF PORTFOLIO INVESTMENTS
|
Tax-Free Money Market Fund (cont.)
September 30, 2015
Principal Amount | Value | |||||
$ 1,090,000 | Minnesota State Public Improvements GO, Series A, 5.00%, 10/1/15 | $ | 1,090,000 | |||
400,000 | Minnesota State Public Improvements GO, Series H, 5.00%, 11/1/15 | 401,596 | ||||
6,710,000 | Osseo Independent School District No. 279 Refunding GO, Series C, 2.00%, 2/1/16, (Credit Support: School District Credit Program) | 6,749,835 | ||||
5,500,000 | Pine City Senior Housing Lakeview Commons Project Refunding Revenue, 0.02%, 4/15/36, (Credit Support: Fannie Mae)(a) | 5,500,000 | ||||
29,450,000 | Rochester Health Care Facilities TECP, 0.04%, 10/14/15, (Credit Support: Mayo Clinic Foundation)(b) | 29,450,000 | ||||
10,000,000 | Rochester Health Care Facilities TECP, 0.06%, 1/15/16, (Credit Support: Mayo Clinic Foundation)(b) | 10,000,000 | ||||
5,350,000 | Saint Paul Housing & Redevelopment Authority, Highland Ridge Project Refunding Revenue, 0.02%, 10/1/33, (Credit Support: Freddie Mac)(a) | 5,350,000 | ||||
1,415,000 | Shakopee Independent School District #720, Refunding GO, Series A, 3.00%, 2/1/16, (Credit Support: School District Credit Program) | 1,428,303 | ||||
5,130,000 | South Washington County Independent School District No. 833 Refunding GO, Series A, 2.00%, 2/1/16, (Credit Support: School District Credit Program) | 5,160,459 | ||||
26,250,000 | University of Minnesota TECP, 0.06%, 1/7/16(b) | 26,250,000 | ||||
1,280,000 | University of Minnesota University and College Improvements Revenue, Series D, 5.00%, 12/1/15 | 1,290,356 | ||||
|
| |||||
147,715,605 | ||||||
|
| |||||
Mississippi — 4.15% | ||||||
7,900,000 | Jackson County Pollution Control, Chevron USA Inc. Project Refunding Revenue, 0.01%, 12/1/16(a) | 7,900,000 | ||||
1,605,000 | Mississippi Business Finance Corp., Chevron USA Inc. Project Revenue, Series A, 0.01%, 11/1/35(a) | 1,605,000 | ||||
2,000,000 | Mississippi Business Finance Corp., Chevron USA Inc. Project Revenue, Series B, 0.01%, 11/1/35(a) | 2,000,000 | ||||
3,570,000 | Mississippi Business Finance Corp., Chevron USA Inc. Project Revenue, Series C, 0.01%, 11/1/35(a) | 3,570,000 | ||||
13,200,000 | Mississippi Business Finance Corp., Chevron USA Inc. Project Revenue, Series F, 0.01%, 11/1/35(a) | 13,200,000 | ||||
7,350,000 | Mississippi Business Finance Corp., Chevron USA Inc. Project Revenue, Series J, 0.01%, 11/1/35(a) | 7,350,000 | ||||
7,140,000 | Mississippi Business Finance Corp., King Edward Hotel Project Revenue, 0.02%, 5/1/39, (LOC: Federal Home Loan Bank, Atlanta)(a) | 7,140,000 | ||||
|
| |||||
42,765,000 | ||||||
|
| |||||
Missouri — 1.55% | ||||||
3,400,000 | Kansas City, Roe Bartle Refunding Revenue, Series E, 0.02%, 4/15/34, (LOC: Sumitomo Mitsui Banking)(a) | 3,400,000 | ||||
5,000,000 | Kansas City, Roe Bartle Refunding Revenue, Series F, 0.02%, 4/15/25, (LOC: Sumitomo Mitsui Banking)(a) | 5,000,000 |
32 |
SCHEDULE OF PORTFOLIO INVESTMENTS
|
Tax-Free Money Market Fund (cont.)
September 30, 2015
Principal Amount | Value | |||||
$ 1,900,000 | Missouri State Health & Educational Facilities Authority Ascension Health Refunding Revenue, Series C2, 0.01%, 11/15/39(a) | $ | 1,900,001 | |||
5,640,000 | Nodaway County Industrial Development Authority Northwest Foundation Inc. Revenue, 0.02%, 11/1/28, (LOC: U.S. Bank NA)(a) | 5,640,000 | ||||
|
| |||||
15,940,001 | ||||||
|
| |||||
Montana — 2.02% | ||||||
14,775,000 | Montana Board of Investment Cash Flow Management Public Improvements Refunding Revenue, 0.23%, 3/1/32(a) | 14,774,558 | ||||
6,000,000 | Montana Board of Investment Cash Flow Management Public Improvements Refunding Revenue, 0.23%, 3/1/35(a) | 6,000,000 | ||||
|
| |||||
20,774,558 | ||||||
|
| |||||
New York — 6.08% | ||||||
3,800,000 | City of New York Refunding GO, Subseries I6, 0.01%, 4/1/36, (LOC: Bank of NY Mellon Trust)(a) | 3,800,000 | ||||
1,600,000 | Nassau Health Care Corp. Refunding Revenue, 0.01%, 8/1/29, (LOC: Wells Fargo Bank)(a) | 1,600,000 | ||||
2,800,000 | New York City Industrial Development Agency Revenue, New York Law School Project, Series A, 0.01%, 7/1/36, (LOC: JP Morgan Chase Bank NA)(a) | 2,800,000 | ||||
10,000,000 | New York City Transitional Finance Authority Future Tax Secured Refunding Revenue, 0.01%, 11/1/29(a) | 10,000,000 | ||||
3,855,000 | New York City Transitional Finance Authority Future Tax Secured Revenue, 5.00%, 11/1/15 | 3,870,772 | ||||
7,750,000 | New York State Housing Finance Agency, 625 West 57th Street Multifamily Housing Revenue, Series A2, 0.01%, 5/1/49, (LOC: Bank of NY Mellon Trust)(a) | 7,750,000 | ||||
30,000,000 | New York State Housing Finance Agency, North End Revenue, Series A, 0.01%, 11/15/36, (Credit Support: Fannie Mae)(a) | 30,000,000 | ||||
2,800,000 | Westchester County Industrial Development Agency, Northern Westchester Hospital Refunding Revenue, 0.01%, 11/1/24, (LOC: TD Bank, NA)(a) | 2,800,000 | ||||
|
| |||||
62,620,772 | ||||||
|
| |||||
North Carolina — 1.82% | ||||||
8,900,000 | Charlotte-Mecklenburg Hospital Authority Nursing Home Improvements Revenue, Series E, 0.01%, 1/15/44, (LOC: TD Bank NA)(a) | 8,900,000 | ||||
6,040,000 | North Carolina Capital Facilities Finance Agency College Improvements Revenue, Series A, 0.02%, 7/1/31, (LOC: Wells Fargo Bank NA)(a) | 6,040,000 | ||||
1,100,000 | North Carolina Capital Facilities Finance Agency Refunding Revenue, 0.02%, 7/1/19, (LOC: Branch Banking & Trust)(a) | 1,100,000 | ||||
2,660,000 | North Carolina Medical Care Commission Lower Cape Fear Hospice Revenue, 0.05%, 11/1/27, (LOC: Branch Banking & Trust)(a) | 2,660,000 | ||||
|
| |||||
18,700,000 | ||||||
|
|
33 |
SCHEDULE OF PORTFOLIO INVESTMENTS
|
Tax-Free Money Market Fund (cont.)
September 30, 2015
Principal Amount | Value | |||||
Ohio — 1.01% | ||||||
$ 3,000,000 | Cleveland-Cuyahoga County, Port Authority Special Buildings 1&3 LLC Revenue, 0.02%, 1/1/37, (LOC: JP Morgan Chase Bank NA)(a) | $ | 3,000,000 | |||
4,730,000 | Cuyahoga County, Cleveland Health Educational Museum Revenue, 0.02%, 3/1/32, (LOC: PNC Bank N.A.)(a) | 4,730,000 | ||||
2,700,000 | Ohio Higher Educational Facility Commission, John Carroll Revenue, Series A, 0.02%, 11/15/31, (LOC: JP Morgan Chase Bank NA)(a) | 2,700,000 | ||||
|
| |||||
10,430,000 | ||||||
|
| |||||
Pennsylvania — 7.00% | ||||||
6,500,000 | Allegheny County Hospital Development Authority Revenue, Series A, 0.02%, 6/1/30, (LOC: PNC Bank NA)(a) | 6,500,000 | ||||
2,000,000 | Allegheny County Industrial Development Authority Revenue, 0.02%, 5/1/31, (LOC: PNC Bank NA)(a) | 2,000,000 | ||||
3,600,000 | Delaware County Industrial Development Authority, Scott Paper Co. Project Revenue, Series B, 0.03%, 12/1/18, (Credit Support: Kimberly-Clark Corp.)(a) | 3,600,000 | ||||
3,500,000 | Delaware County Industrial Development Authority, Scott Paper Co. Project Revenue, Series E, 0.03%, 12/1/18, (Credit Support: Kimberly-Clark Corp.)(a) | 3,500,000 | ||||
33,220,000 | Delaware County Industrial Development Authority, United Parcel Service Project Revenue, 0.01%, 12/1/15(a) | 33,220,000 | ||||
8,200,000 | Jackson Township Industrial Development Authority Stoneridge Retirement Revenue, 0.02%, 10/15/42, (LOC: PNC Bank NA)(a) | 8,200,000 | ||||
8,155,000 | JP Morgan Chase Putters/Drivers Trust Owen J Roberts School District Refunding GO, Series 3405, 0.04%, 11/15/15, (Credit Support: State Aid Withholding)(a)(c) | 8,155,000 | ||||
6,845,000 | Luzerne County Convention Center Authority Revenue, Series A, 0.02%, 9/1/28, (LOC: PNC Bank NA)(a) | 6,845,000 | ||||
|
| |||||
72,020,000 | ||||||
|
| |||||
South Carolina — 2.72% | ||||||
10,000,000 | City of Columbia Waterworks & Sewer System Revenue, 0.02%, 2/1/38, (LOC: Sumitomo Mitsui Banking)(a) | 10,000,000 | ||||
1,265,000 | Richland County School District No. 2 Refunding GO, Series A, 2.00%, 2/1/16, (Credit Support: South Carolina School District) | 1,272,683 | ||||
6,825,000 | South Carolina Educational Facilities Authority, Charleston Southern University Project Revenue, 0.03%, 4/1/28, (LOC: Bank of America NA)(a) | 6,825,000 | ||||
5,100,000 | South Carolina Educational Facilities Authority, Columbia College Project Revenue, 0.03%, 12/1/22, (LOC: Bank of America NA)(a) | 5,100,000 | ||||
2,950,000 | South Carolina Jobs-Economic Development Authority Revenue, 0.12%, 5/1/29, (LOC: Wells Fargo Bank)(a) | 2,950,000 | ||||
1,830,000 | Spartanburg County School District No. 7 School Improvements GO, 4.00%, 3/1/16, (Credit Support: South Carolina School District) | 1,858,918 | ||||
|
| |||||
28,006,601 | ||||||
|
|
34 |
SCHEDULE OF PORTFOLIO INVESTMENTS
|
Tax-Free Money Market Fund (cont.)
September 30, 2015
Principal Amount | Value | |||||
South Dakota — 0.49% | ||||||
$ 5,000,000 | South Dakota Housing Development Authority Home Ownership Mortgage Revenue, Series C, 0.01%, 5/1/39(a) | $ | 5,000,000 | |||
|
| |||||
Tennessee — 0.93% | ||||||
1,800,000 | Clarksville Public Building Authority Refunding Revenue, 0.01%, 7/1/35, (LOC: Bank of America, N.A.)(a) | 1,800,000 | ||||
7,810,000 | Shelby County Health Educational & Housing Facilities Board, Hedgerow Apartments Refunding Revenue, Series A-1, 0.02%, 12/15/37, (Credit Support: Fannie Mae)(a) | 7,810,000 | ||||
|
| |||||
9,610,000 | ||||||
|
| |||||
Texas — 9.79% | ||||||
2,875,000 | City of Austin Refunding Revenue , Sub Series B, 0.02%, 11/15/29, (LOC: JP Morgan Chase Bank NA)(a) | 2,875,000 | ||||
10,600,000 | City of Houston Utility System Refunding Revenue, Series B-3, 0.01%, 5/15/34, (LOC: Sumitomo Mitsui Banking)(a) | 10,600,000 | ||||
7,050,000 | DeSoto Industrial Development Authority Caterpillar Refunding Revenue, 0.05%, 12/1/16(a) | 7,050,000 | ||||
1,385,000 | Galveston Independent School District School Improvements Refunding GO, 4.00%, 2/1/16, (Credit Support: PSF-GTD) | 1,402,109 | ||||
8,000,000 | Gulf Coast Waste Disposal Authority Exxon Project Refunding Revenue, 0.01%, 10/1/24(a) | 8,000,000 | ||||
18,000,000 | Harris County Cultural Educational Facilities TECP, 0.14%, 12/3/15, (Credit Support: Methodist Hospital)(b) | 18,000,000 | ||||
8,000,000 | Harris County Cultural Educational Facilities TECP, 0.14%, 12/3/15, (Credit Support: Methodist Hospital)(b) | 8,000,000 | ||||
17,000,000 | Harris County Cultural Educational Facilities TECP, 0.18%, 2/3/16, (Credit Support: Methodist Hospital)(b) | 17,000,000 | ||||
10,000,000 | Harris County Cultural Educational Facilities TECP, 0.18%, 2/3/16, (Credit Support: Methodist Hospital)(b) | 10,000,000 | ||||
11,995,000 | Katy Independent School District School Improvements GO, Series A, 2.00%, 2/15/16, (Credit Support: PSF-GTD) | 12,077,908 | ||||
1,960,000 | Klein Independent School District School Improvements Refunding GO, Series A, 4.00%, 2/1/16, (Credit Support: PSF-GTD) | 1,984,646 | ||||
1,715,000 | Pharr San Juan Alamo Independent School District Refunding GO, 5.00%, 2/1/16, (Credit Support: PSF-GTD) | 1,742,191 | ||||
2,000,000 | Port of Port Arthur Navigation District, Texaco Inc. Project Revenue, 0.01%, 10/1/24(a) | 2,000,000 | ||||
|
| |||||
100,731,854 | ||||||
|
| |||||
Utah — 1.76% | ||||||
245,000 | County of Sanpete Private Primary Schools Revenue, 0.12%, 8/1/28, (LOC: U.S. Bank NA)(a) | 245,000 | ||||
1,950,000 | Ogden City Redevelopment Agency Tax Allocation Revenue, Series A, 0.12%, 4/1/25, (LOC: Wells Fargo Bank)(a) | 1,950,000 | ||||
3,990,000 | Salt Lake County Housing Authority Refunding Revenue, 0.02%, 2/15/31, (Credit Support: Fannie Mae)(a) | 3,990,000 |
35 |
SCHEDULE OF PORTFOLIO INVESTMENTS
|
Tax-Free Money Market Fund (cont.)
September 30, 2015
Principal Amount | Value | |||||
$11,970,000 | Utah Associated Municipal Power Systems Horse Butte Wind Project Revenue, 0.02%, 9/1/32, (LOC: Bank of Montreal)(a) | $ | 11,970,000 | |||
|
| |||||
18,155,000 | ||||||
|
| |||||
Vermont — 1.00% | ||||||
10,300,000 | Vermont Educational & Health Buildings Financing Agency Norwich University Project Refunding Revenue, 0.01%, 9/1/38, (LOC: TD Bank NA)(a) | 10,300,000 | ||||
|
| |||||
Virginia — 0.56% | ||||||
5,780,000 | Stafford & Staunton County Industrial Development Authority TECP, 0.03%, 10/1/15(b) | 5,780,000 | ||||
|
| |||||
Washington — 1.14% | ||||||
4,250,000 | Washington State Housing Finance Commission Lake City Senior Apartments Project Refunding Revenue, 0.02%, 7/1/44, (LOC: Freddie Mac)(a) | 4,250,000 | ||||
4,330,000 | Washington State Housing Finance Commission Retirement Facilities Revenue, Series A, 0.02%, 8/1/44, (LOC: Federal Home Loan Bank, San Francisco)(a) | 4,330,000 | ||||
1,350,000 | Washington State Housing Finance Commission, Overlake School Project Refunding Revenue, 0.02%, 10/1/29, (LOC: Wells Fargo Bank NA)(a) | 1,350,000 | ||||
1,795,000 | Washington State University & College Improvements GO, Series C, 5.00%, 1/1/16 | 1,816,715 | ||||
|
| |||||
11,746,715 | ||||||
|
| |||||
Wisconsin — 3.76% | ||||||
6,235,000 | Wisconsin Health & Educational Facilities Authority Revenue, 0.12%, 6/1/28, (LOC: Wells Fargo Bank)(a) | 6,235,000 | ||||
29,150,000 | Wisconsin Health & Educational Facilities Authority, Aurora Health Care Refunding Revenue, Series C, 0.01%, 7/15/28, (LOC: Bank of Montreal)(a) | 29,150,000 | ||||
1,650,000 | Wisconsin Health & Educational Facilities Authority, Jewish Home & Care Center, 0.02%, 3/1/36, (LOC: JP Morgan Chase Bank NA)(a) | 1,650,000 | ||||
1,635,000 | Wisconsin Municipalities Private School Finance Commission Revenue, 0.03%, 3/1/23, (LOC: U.S. Bank NA)(a) | 1,635,000 | ||||
|
| |||||
38,670,000 | ||||||
|
| |||||
Total Municipal Bonds | 1,004,998,923 | |||||
|
| |||||
(Cost $1,004,998,923) | ||||||
Shares | ||||||
Investment Company — 1.46% | ||||||
15,000,000 | Goldman Sachs Financial Square Tax Free Money Market Fund, Institutional Shares | 15,000,000 | ||||
|
| |||||
Total Investment Company | 15,000,000 | |||||
|
| |||||
(Cost $15,000,000) |
36 |
SCHEDULE OF PORTFOLIO INVESTMENTS
|
Tax-Free Money Market Fund (cont.)
September 30, 2015
Total Investments | $ | 1,019,998,923 | ||
(Cost $1,019,998,923)(d) — 99.10% | ||||
Other assets in excess of liabilities — 0.90% | 9,276,921 | |||
|
| |||
NET ASSETS — 100.00% | $ | 1,029,275,844 | ||
|
|
(a) | Variable rate security. The rate reflected in the Schedule of Portfolio Investments is the rate in effect on September 30, 2015. The maturity date represents the actual maturity date. The security’s effective maturity resets periodically. |
(b) | Represents effective yield to maturity on date of purchase. |
(c) | Security exempt from registration under Rule 144A or Section 4(2) of the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. Security has been deemed to be liquid based on procedures approved by the Board of Trustees. |
(d) | Tax cost of securities is equal to book cost of securities. |
Abbreviations used are defined below:
GO - General Obligation
LOC - Letter of Credit
PSF-GTD - Permanent School Fund Guarantee
TECP - Tax Exempt Commercial Paper
See Notes to Financial Statements.
37 |
|
Statements of Assets and Liabilities
September 30, 2015
Prime | U.S. Government | Tax-Free | ||||||||||
Money | Money | Money | ||||||||||
Market Fund | Market Fund | Market Fund | ||||||||||
Assets: | ||||||||||||
Investments, at value (cost $7,738,365,591; $6,528,690,794; $1,019,998,923 respectively) | $ | 7,738,365,591* | $ | 6,528,690,794** | $ | 1,019,998,923 | ||||||
Cash | 297,573,039 | 71,933,746 | 8,807,891 | |||||||||
Interest and dividends receivable | 4,160,405 | 3,371,525 | 518,517 | |||||||||
Prepaid expenses and other assets | 165,354 | 112,021 | 63,994 | |||||||||
|
|
|
|
|
| |||||||
Total Assets | 8,040,264,389 | 6,604,108,086 | 1,029,389,325 | |||||||||
|
|
|
|
|
| |||||||
Liabilities: | ||||||||||||
Distributions payable | 34,957 | �� | — | |||||||||
Payable for investments purchased | — | 276,823,286 | — | |||||||||
Accrued expenses and other payables: | ||||||||||||
Investment advisory fees | 649,806 | 506,455 | 28,208 | |||||||||
Audit fees | 34,535 | 34,535 | 34,535 | |||||||||
Trustee fees | 5,361 | 2,762 | 654 | |||||||||
Distribution fees | 817,245 | 201,317 | — | |||||||||
Shareholder reports | 163,698 | 43,231 | 9,457 | |||||||||
Shareholder servicing fees | 34,010 | 29,358 | — | |||||||||
Transfer Agent fees | 20,753 | 6,954 | 5,317 | |||||||||
Other | 222,048 | 134,460 | 35,310 | |||||||||
|
|
|
|
|
| |||||||
Total Liabilities | 1,982,413 | 277,782,358 | 113,481 | |||||||||
|
|
|
|
|
| |||||||
Net Assets | $ | 8,038,281,976 | $ | 6,326,325,728 | $ | 1,029,275,844 | ||||||
|
|
|
|
|
| |||||||
Net Assets Consist Of: | ||||||||||||
Capital | $ | 8,042,312,355 | $ | 6,326,328,695 | $ | 1,029,279,741 | ||||||
Undistributed (distributions in excess of) net investment income | (1,576 | ) | — | — | ||||||||
Accumulated net realized losses from investment transactions | (4,028,803 | ) | (2,967 | ) | (3,897 | ) | ||||||
|
|
|
|
|
| |||||||
Net Assets | $ | 8,038,281,976 | $ | 6,326,325,728 | $ | 1,029,275,844 | ||||||
|
|
|
|
|
| |||||||
Net Assets: | ||||||||||||
RBC Institutional Class 1 | $ | 1,096,247,805 | $ | 920,564,678 | $ | 5,000 | ||||||
RBC Institutional Class 2 | 367,047,057 | 329,387,539 | 125,165,316 | |||||||||
RBC Investor Class | 1,715,059,638 | 704,958,537 | 108,042,969 | |||||||||
RBC Reserve Class | 3,487,107,505 | 2,705,029,481 | 536,568,438 | |||||||||
RBC Select Class | 1,372,819,971 | 1,666,385,493 | 259,494,121 | |||||||||
|
|
|
|
|
| |||||||
Total | $ | 8,038,281,976 | $ | 6,326,325,728 | $ | 1,029,275,844 | ||||||
|
|
|
|
|
|
38 |
FINANCIAL STATEMENTS
|
Statements of Assets and Liabilities (cont.)
Prime | U.S. Government | Tax-Free | ||||||||||
Money | Money | Money | ||||||||||
Market Fund | Market Fund | Market Fund | ||||||||||
Shares Outstanding (Unlimited number of shares authorized, no par value): | ||||||||||||
RBC Institutional Class 1 | 1,096,093,395 | 920,545,756 | 5,000 | |||||||||
RBC Institutional Class 2 | 367,004,977 | 329,385,225 | 125,235,466 | |||||||||
RBC Investor Class | 1,716,991,882 | 704,971,360 | 108,035,239 | |||||||||
RBC Reserve Class | 3,489,015,748 | 2,705,057,159 | 536,569,120 | |||||||||
RBC Select Class | 1,373,326,320 | 1,666,404,113 | 259,483,443 | |||||||||
|
|
|
|
|
| |||||||
Total | 8,042,432,322 | 6,326,363,613 | 1,029,328,268 | |||||||||
|
|
|
|
|
| |||||||
Net Asset Values and Redemption Price per Share: | ||||||||||||
RBC Institutional Class 1 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||
|
|
|
|
|
| |||||||
RBC Institutional Class 2 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||
|
|
|
|
|
| |||||||
RBC Investor Class | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||
|
|
|
|
|
| |||||||
RBC Reserve Class | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||
|
|
|
|
|
| |||||||
RBC Select Class | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||
|
|
|
|
|
|
* | $1,410,000,000 of which are repurchase agreements. See Schedule of Portfolio Investments for details. |
** | $1,146,340,000 of which are repurchase agreements. See Schedule of Portfolio Investments for details. |
See Notes to Financial Statements.
39 |
FINANCIAL STATEMENTS
|
For the Year Ended September 30, 2015
Prime | U.S. Government | Tax-Free | ||||||||||
Money | Money | Money | ||||||||||
Market Fund | Market Fund | Market Fund | ||||||||||
Investment Income: | ||||||||||||
Interest income | $ | 18,843,469 | $ | 7,395,879 | $ | 827,124 | ||||||
Dividend income | — | — | 966 | |||||||||
|
|
|
|
|
| |||||||
Total Investment Income | 18,843,469 | 7,395,879 | 828,090 | |||||||||
|
|
|
|
|
| |||||||
Expenses: | ||||||||||||
Investment advisory fees | 8,953,597 | 5,917,611 | 1,251,935 | |||||||||
Distribution fees-RBC Institutional Class 2 | 625,499 | 656,700 | 245,057 | |||||||||
Distribution fees-RBC Investor Class | 19,773,610 | 6,812,060 | 1,285,334 | |||||||||
Distribution fees-RBC Reserve Class | 40,025,395 | 21,190,993 | 5,423,559 | |||||||||
Distribution fees-RBC Select Class | 13,044,259 | 12,032,468 | 2,859,257 | |||||||||
Shareholder services administration fees-RBC Institutional Class 1 | 240,719 | 469,996 | 2 | |||||||||
Accounting fees | 447,680 | 295,881 | 62,597 | |||||||||
Audit fees | 39,673 | 37,497 | 35,164 | |||||||||
Custodian fees | 138,199 | 99,830 | 16,086 | |||||||||
Insurance fees | 72,946 | 39,792 | 11,232 | |||||||||
Legal fees | 299,546 | 160,843 | 39,546 | |||||||||
Registration and filing fees | 344,940 | 164,995 | 160,287 | |||||||||
Shareholder reports | 270,642 | 103,483 | 26,121 | |||||||||
Transfer agent fees-RBC Institutional Class 1 | 49,370 | 7,930 | 4,177 | |||||||||
Transfer agent fees-RBC Institutional Class 2 | 6,938 | 6,453 | 6,138 | |||||||||
Transfer agent fees-RBC Investor Class | 6,037 | 6,037 | 6,037 | |||||||||
Transfer agent fees-RBC Reserve Class | 6,036 | 6,036 | 6,037 | |||||||||
Transfer agent fees-RBC Select Class | 8,407 | 6,037 | 5,953 | |||||||||
Trustees’ fees | 313,813 | 201,262 | 43,527 | |||||||||
Other fees | 292,579 | 191,049 | 59,225 | |||||||||
|
|
|
|
|
| |||||||
Total expenses before fee reductions | 84,959,885 | 48,406,953 | 11,547,271 | |||||||||
Expenses reduced by: | ||||||||||||
Advisor - Class Specific | — | (801,603 | ) | (1,031,013 | ) | |||||||
Shareholder Services Administrator - Class Specific | (20,001 | ) | (425,474 | ) | (2 | ) | ||||||
Distributor - Class Specific | (67,120,144 | ) | (40,376,417 | ) | (9,813,208 | ) | ||||||
|
|
|
|
|
| |||||||
Net Expenses | 17,819,740 | 6,803,459 | 703,048 | |||||||||
|
|
|
|
|
| |||||||
Net Investment Income | 1,023,729 | 592,420 | 125,042 | |||||||||
|
|
|
|
|
| |||||||
Realized/Unrealized Gains (Losses) from Investment Transactions: | ||||||||||||
Net realized gains (losses) from investment transactions | 30,458 | (2,967 | ) | 12,163 | ||||||||
|
|
|
|
|
| |||||||
Change in net assets resulting from operations | $ | 1,054,187 | $ | 589,453 | $ | 137,205 | ||||||
|
|
|
|
|
|
See Notes to Financial Statements.
40 |
FINANCIAL STATEMENTS
|
Statements of Changes in Net Assets
Prime | ||||||||
Money Market Fund | ||||||||
For the | For the | |||||||
Year Ended | Year Ended | |||||||
September 30, 2015 | September 30, 2014 | |||||||
From Investment Activities: | ||||||||
Operations: | ||||||||
Net investment income | $ | 1,023,729 | $ | 1,237,554 | ||||
Net realized gains from investment transactions | 30,458 | 13,174 | ||||||
|
|
|
| |||||
Change in net assets resulting from operations | 1,054,187 | 1,250,728 | ||||||
|
|
|
| |||||
Distributions from Net Investment Income | ||||||||
RBC Institutional Class 1 Shareholders | (176,562 | ) | (126,773 | ) | ||||
RBC Institutional Class 2 Shareholders | (41,760 | ) | (54,213 | ) | ||||
RBC Investor Class Shareholders | (197,930 | ) | (246,155 | ) | ||||
RBC Reserve Class Shareholders | (444,918 | ) | (617,906 | ) | ||||
RBC Select Class Shareholders | (163,104 | ) | (192,507 | ) | ||||
|
|
|
| |||||
Change in net assets resulting from shareholder distributions | (1,024,274 | ) | (1,237,554 | ) | ||||
|
|
|
| |||||
Capital Transactions: | ||||||||
Proceeds from shares issued | 10,455,535,738 | 17,971,896,479 | ||||||
Distributions reinvested | 928,528 | 1,181,199 | ||||||
Cost of shares redeemed | (13,484,442,323 | ) | (19,950,583,437 | ) | ||||
|
|
|
| |||||
Change in net assets resulting from capital transactions | (3,027,978,057 | ) | (1,977,505,759 | ) | ||||
|
|
|
| |||||
Net decrease in net assets | (3,027,948,144 | ) | (1,977,492,585 | ) | ||||
Net Assets: | ||||||||
Beginning of year | 11,066,230,120 | 13,043,722,705 | ||||||
|
|
|
| |||||
End of year | $ | 8,038,281,976 | $ | 11,066,230,120 | ||||
|
|
|
| |||||
Distributions in excess of net investment income | $ | (1,576 | ) | $ | (1,031 | ) | ||
|
|
|
| |||||
Share Transactions: | ||||||||
Issued | 10,455,535,738 | 17,971,896,479 | ||||||
Reinvested | 928,528 | 1,181,199 | ||||||
Redeemed | (13,484,442,323 | ) | (19,950,583,437 | ) | ||||
|
|
|
| |||||
Change in shares resulting from capital transactions | (3,027,978,057 | ) | (1,977,505,759 | ) | ||||
|
|
|
|
See Notes to Financial Statements.
41 |
FINANCIAL STATEMENTS
|
Statements of Changes in Net Assets (cont.)
U.S. Government | ||||||||
Money Market Fund | ||||||||
For the | For the | |||||||
Year Ended | Year Ended | |||||||
September 30, 2015 | September 30, 2014 | |||||||
From Investment Activities: | ||||||||
Operations: | ||||||||
Net investment income | $ | 592,420 | $ | 601,637 | ||||
Net realized gains (losses) from investment transactions | (2,967 | ) | 16,663 | |||||
|
|
|
| |||||
Change in net assets resulting from operations | 589,453 | 618,300 | ||||||
|
|
|
| |||||
Distributions from Net Investment Income | ||||||||
RBC Institutional Class 1 Shareholders | (97,902 | ) | (123,107 | ) | ||||
RBC Institutional Class 2 Shareholders | (45,114 | ) | (50,656 | ) | ||||
RBC Investor Class Shareholders | (69,985 | ) | (71,835 | ) | ||||
RBC Reserve Class Shareholders | (241,680 | ) | (223,585 | ) | ||||
RBC Select Class Shareholders | (154,663 | ) | (137,720 | ) | ||||
|
|
|
| |||||
Change in net assets resulting from Distributions of Net Investment Income | (609,344 | ) | (606,903 | ) | ||||
|
|
|
| |||||
Capital Transactions: | ||||||||
Proceeds from shares issued | 6,210,795,093 | 5,266,489,871 | ||||||
Distributions reinvested | 598,310 | 588,816 | ||||||
Cost of shares redeemed | (5,523,006,294 | ) | (5,754,230,322 | ) | ||||
|
|
|
| |||||
Change in net assets resulting from capital transactions | 688,387,109 | (487,151,635 | ) | |||||
|
|
|
| |||||
Net increase (decrease) in net assets | 688,367,218 | (487,140,238 | ) | |||||
Net Assets: | ||||||||
Beginning of year | 5,637,958,510 | 6,125,098,748 | ||||||
|
|
|
| |||||
End of year | $ | 6,326,325,728 | $ | 5,637,958,510 | ||||
|
|
|
| |||||
Undistributed (distributions in excess of) net investment income | $ | — | $ | (270 | ) | |||
|
|
|
| |||||
Share Transactions: | ||||||||
Issued | 6,210,795,093 | 5,266,489,871 | ||||||
Reinvested | 598,310 | 588,816 | ||||||
Redeemed | (5,523,006,294 | ) | (5,754,230,322 | ) | ||||
|
|
|
| |||||
Change in shares resulting from capital transactions | 688,387,109 | (487,151,635 | ) | |||||
|
|
|
|
See Notes to Financial Statements.
42 |
FINANCIAL STATEMENTS
|
Statements of Changes in Net Assets (cont.)
Tax-Free | ||||||||
Money Market Fund | ||||||||
For the | For the | |||||||
Year Ended | Year Ended | |||||||
September 30, 2015 | September 30, 2014 | |||||||
From Investment Activities: | ||||||||
Operations: | ||||||||
Net investment income | $ | 125,042 | $ | 145,169 | ||||
Net realized gains from investment transactions | 12,163 | 26,146 | ||||||
|
|
|
| |||||
Change in net assets resulting from operations | 137,205 | 171,315 | ||||||
|
|
|
| |||||
Distributions from Net Investment Income | ||||||||
RBC Institutional Class 2 Shareholders | (16,346 | ) | (30,678 | ) | ||||
RBC Investor Class Shareholders | (12,853 | ) | (14,608 | ) | ||||
RBC Reserve Class Shareholders | (60,261 | ) | (62,634 | ) | ||||
RBC Select Class Shareholders | (35,739 | ) | (37,249 | ) | ||||
|
|
|
| |||||
Change in net assets resulting from Distributions of Net Investment Income | (125,199 | ) | (145,169 | ) | ||||
|
|
|
| |||||
Capital Transactions: | ||||||||
Proceeds from shares issued | 1,263,905,318 | 1,792,046,707 | ||||||
Distributions reinvested | 125,212 | 145,194 | ||||||
Cost of shares redeemed | (1,543,983,886 | ) | (1,845,621,176 | ) | ||||
|
|
|
| |||||
Change in net assets resulting from capital transactions | (279,953,356 | ) | (53,429,275 | ) | ||||
|
|
|
| |||||
Net decrease in net assets | (279,941,350 | ) | (53,403,129 | ) | ||||
Net Assets: | ||||||||
Beginning of year | 1,309,217,194 | 1,362,620,323 | ||||||
|
|
|
| |||||
End of year | $ | 1,029,275,844 | $ | 1,309,217,194 | ||||
|
|
|
| |||||
Distributions in excess of net investment income | $ | — | $ | — | ||||
|
|
|
| |||||
Share Transactions: | ||||||||
Issued | 1,263,905,318 | 1,792,046,707 | ||||||
Reinvested | 125,212 | 145,194 | ||||||
Redeemed | (1,543,983,886 | ) | (1,845,621,176 | ) | ||||
|
|
|
| |||||
Change in shares resulting from capital transactions | (279,953,356 | ) | (53,429,275 | ) | ||||
|
|
|
|
See Notes to Financial Statements.
43 |
|
Prime Money Market Fund | (Selected data for a share outstanding throughout the periods indicated) |
Investment Activities | Distributions | |||||||||||||
Net Asset Value, | Net | Net Realized / | Total from | Net | ||||||||||
Beginning | Investment | Unrealized Gain/(Loss) | Investment | Investment | Total | Net Asset Value, | ||||||||
of Year | Income | on Investments | Activities | Income | Distributions | End of Year | ||||||||
RBC Institutional Class 1 | ||||||||||||||
Year Ended September 30, 2015 | $ 1.00 | (a)(b) | (b) | (b) | (b) | (b) | $ 1.00 | |||||||
Year Ended September 30, 2014 | 1.00 | (a)(b) | (b) | (b) | (b) | (b) | 1.00 | |||||||
Year Ended September 30, 2013 | 1.00 | (a)(b) | (b) | (b) | (b) | (b) | 1.00 | |||||||
Year Ended September 30, 2012 | 1.00 | (a)(b) | (b) | (b) | (b) | (b) | 1.00 | |||||||
Year Ended September 30, 2011 | 1.00 | (a)(b) | (b) | (b) | (b) | (b) | 1.00 | |||||||
RBC Institutional Class 2 | ||||||||||||||
Year Ended September 30, 2015 | $ 1.00 | (a)(b) | (b) | (b) | (b) | (b) | $ 1.00 | |||||||
Year Ended September 30, 2014 | 1.00 | (a)(b) | (b) | (b) | (b) | (b) | 1.00 | |||||||
Year Ended September 30, 2013 | 1.00 | (a)(b) | (b) | (b) | (b) | (b) | 1.00 | |||||||
Year Ended September 30, 2012 | 1.00 | (a)(b) | (b) | (b) | (b) | (b) | 1.00 | |||||||
Year Ended September 30, 2011 | 1.00 | (a)(b) | (b) | (b) | (b) | (b) | 1.00 | |||||||
RBC Investor Class | ||||||||||||||
Year Ended September 30, 2015 | $ 1.00 | (a)(b) | (b) | (b) | (b) | (b) | $ 1.00 | |||||||
Year Ended September 30, 2014 | 1.00 | (a)(b) | (b) | (b) | (b) | (b) | 1.00 | |||||||
Year Ended September 30, 2013 | 1.00 | (a)(b) | (b) | (b) | (b) | (b) | 1.00 | |||||||
Year Ended September 30, 2012 | 1.00 | (a)(b) | (b) | (b) | (b) | (b) | 1.00 | |||||||
Year Ended September 30, 2011 | 1.00 | (a)(b) | (b) | (b) | (b) | (b) | 1.00 | |||||||
RBC Reserve Class | ||||||||||||||
Year Ended September 30, 2015 | $ 1.00 | (a)(b) | (b) | (b) | (b) | (b) | $ 1.00 | |||||||
Year Ended September 30, 2014 | 1.00 | (a)(b) | (b) | (b) | (b) | (b) | 1.00 | |||||||
Year Ended September 30, 2013 | 1.00 | (a)(b) | (b) | (b) | (b) | (b) | 1.00 | |||||||
Year Ended September 30, 2012 | 1.00 | (a)(b) | (b) | (b) | (b) | (b) | 1.00 | |||||||
Year Ended September 30, 2011 | 1.00 | (a)(b) | (b) | (b) | (b) | (b) | 1.00 | |||||||
RBC Select Class | ||||||||||||||
Year Ended September 30, 2015 | $ 1.00 | (a)(b) | (b) | (b) | (b) | (b) | $ 1.00 | |||||||
Year Ended September 30, 2014 | 1.00 | (a)(b) | (b) | (b) | (b) | (b) | 1.00 | |||||||
Year Ended September 30, 2013 | 1.00 | (a)(b) | (b) | (b) | (b) | (b) | 1.00 | |||||||
Year Ended September 30, 2012 | 1.00 | (a)(b) | (b) | (b) | (b) | (b) | 1.00 | |||||||
Year Ended September 30, 2011 | 1.00 | (a)(b) | (b) | (b) | (b) | (b) | 1.00 |
(a) | Per share net investment income has been calculated using the average daily shares method. |
(b) | Less than $0.01 or $(0.01) per share. |
See Notes to Financial Statements.
44 |
FINANCIAL HIGHLIGHTS
|
Prime Money Market Fund (cont.) | (Selected data for a share outstanding throughout the periods indicated) |
Ratios/Supplemental Data | ||||||||||
Total | Net Assets, | Ratio of Net Expenses | Ratio of Net Investment Income | Ratio of Expenses | ||||||
Return(c) | End of Year (millions) | to Average Net Assets | to Average Net Assets | to Average Net Assets* | ||||||
RBC Institutional Class 1 | ||||||||||
Year Ended September 30, 2015 | 0.03% | $ 1,096 | 0.18% | 0.04% | 0.18% | |||||
Year Ended September 30, 2014 | 0.01% | 716 | 0.18% | 0.01% | 0.18% | |||||
Year Ended September 30, 2013 | 0.06% | 1,760 | 0.17% | 0.07% | 0.17% | |||||
Year Ended September 30, 2012 | 0.09% | 1,746 | 0.17% | 0.09% | 0.17%(d) | |||||
Year Ended September 30, 2011 | 0.13% | 1,978 | 0.17% | 0.14% | 0.17%(d) | |||||
RBC Institutional Class 2 | ||||||||||
Year Ended September 30, 2015 | 0.01% | $ 367 | 0.20% | 0.01% | 0.28% | |||||
Year Ended September 30, 2014 | 0.01% | 448 | 0.18% | 0.01% | 0.27% | |||||
Year Ended September 30, 2013 | 0.01% | 586 | 0.22% | 0.01% | 0.27% | |||||
Year Ended September 30, 2012 | 0.01% | 633 | 0.25% | 0.01% | 0.27% | |||||
Year Ended September 30, 2011 | 0.04% | 687 | 0.26% | 0.04% | 0.27% | |||||
RBC Investor Class | ||||||||||
Year Ended September 30, 2015 | 0.01% | $ 1,715 | 0.20% | 0.01% | 1.13% | |||||
Year Ended September 30, 2014 | 0.01% | 2,200 | 0.18% | 0.01% | 1.12% | |||||
Year Ended September 30, 2013 | 0.01% | 2,658 | 0.22% | 0.01% | 1.12% | |||||
Year Ended September 30, 2012 | 0.01% | 2,816 | 0.26% | 0.01% | 1.12% | |||||
Year Ended September 30, 2011 | 0.01% | 3,199 | 0.30% | 0.01% | 1.12% | |||||
RBC Reserve Class | ||||||||||
Year Ended September 30, 2015 | 0.01% | $ 3,487 | 0.20% | 0.01% | 1.03% | |||||
Year Ended September 30, 2014 | 0.01% | 5,909 | 0.18% | 0.01% | 1.02% | |||||
Year Ended September 30, 2013 | 0.01% | 6,213 | 0.22% | 0.01% | 1.02% | |||||
Year Ended September 30, 2012 | 0.01% | 5,453 | 0.26% | 0.01% | 1.02% | |||||
Year Ended September 30, 2011 | 0.01% | 5,032 | 0.29% | 0.01% | 1.01% | |||||
RBC Select Class | ||||||||||
Year Ended September 30, 2015 | 0.01% | $ 1,373 | 0.20% | 0.01% | 0.93% | |||||
Year Ended September 30, 2014 | 0.01% | 1,794 | 0.18% | 0.01% | 0.92% | |||||
Year Ended September 30, 2013 | 0.01% | 1,826 | 0.22% | 0.01% | 0.92% | |||||
Year Ended September 30, 2012 | 0.01% | 1,668 | 0.26% | 0.01% | 0.92% | |||||
Year Ended September 30, 2011 | 0.01% | 1,595 | 0.29% | 0.01% | 0.92% |
* | During the year, certain fees were contractually or voluntarily reduced and/or reimbursed. If such contractual/voluntary fee reductions and reimbursements had not occurred, the ratio would have been as indicated. |
(c) | Assumes investment at net asset value at the beginning of the year, reinvestment of all dividends and distributions, and a complete redemption of the investment at net asset value at the end of the year. |
(d) | There were no waivers or reimbursements during the period. |
See Notes to Financial Statements.
45 |
FINANCIAL HIGHLIGHTS |
U.S. Government Money Market Fund | (Selected data for a share outstanding throughout the periods indicated) |
Investment Activities | Distributions | |||||||||||||
Net Asset Value, | Net | Net Realized/ | Total from | Net | ||||||||||
Beginning | Investment | Unrealized Gain/(Loss) | Investment | Investment | Total | Net Asset Value, | ||||||||
of Year | Income | on Investments | Activities | Income | Distributions | End of Year | ||||||||
RBC Institutional Class 1 | ||||||||||||||
Year Ended September 30, 2015 | $1.00 | (a)(b) | (b) | (b) | (b) | (b) | $ 1.00 | |||||||
Year Ended September 30, 2014 | 1.00 | (a)(b) | (b) | (b) | (b) | (b) | 1.00 | |||||||
Year Ended September 30, 2013 | 1.00 | (a)(b) | (b) | (b) | (b) | (b) | 1.00 | |||||||
Year Ended September 30, 2012 | 1.00 | (a)(b) | (b) | (b) | (b) | (b) | 1.00 | |||||||
Year Ended September 30, 2011 | 1.00 | (a)(b) | (b) | (b) | (b) | (b) | 1.00 | |||||||
RBC Institutional Class 2 | ||||||||||||||
Year Ended September 30, 2015 | $1.00 | (a)(b) | (b) | (b) | (b) | (b) | $ 1.00 | |||||||
Year Ended September 30, 2014 | 1.00 | (a)(b) | (b) | (b) | (b) | (b) | 1.00 | |||||||
Year Ended September 30, 2013 | 1.00 | (a)(b) | (b) | (b) | (b) | (b) | 1.00 | |||||||
Year Ended September 30, 2012 | 1.00 | (a)(b) | (b) | (b) | (b) | (b) | 1.00 | |||||||
Year Ended September 30, 2011 | 1.00 | (a)(b) | (b) | (b) | (b) | (b) | 1.00 | |||||||
RBC Investor Class | ||||||||||||||
Year Ended September 30, 2015 | $1.00 | (a)(b) | (b) | (b) | (b) | (b) | $ 1.00 | |||||||
Year Ended September 30, 2014 | 1.00 | (a)(b) | (b) | (b) | (b) | (b) | 1.00 | |||||||
Year Ended September 30, 2013 | 1.00 | (a)(b) | (b) | (b) | (b) | (b) | 1.00 | |||||||
Year Ended September 30, 2012 | 1.00 | (a)(b) | (b) | (b) | (b) | (b) | 1.00 | |||||||
Year Ended September 30, 2011 | 1.00 | (a)(b) | (b) | (b) | (b) | (b) | 1.00 | |||||||
RBC Reserve Class | ||||||||||||||
Year Ended September 30, 2015 | $1.00 | (a)(b) | (b) | (b) | (b) | (b) | $ 1.00 | |||||||
Year Ended September 30, 2014 | 1.00 | (a)(b) | (b) | (b) | (b) | (b) | 1.00 | |||||||
Year Ended September 30, 2013 | 1.00 | (a)(b) | (b) | (b) | (b) | (b) | 1.00 | |||||||
Year Ended September 30, 2012 | 1.00 | (a)(b) | (b) | (b) | (b) | (b) | 1.00 | |||||||
Year Ended September 30, 2011 | 1.00 | (a)(b) | (b) | (b) | (b) | (b) | 1.00 | |||||||
RBC Select Class | ||||||||||||||
Year Ended September 30, 2015 | $1.00 | (a)(b) | (b) | (b) | (b) | (b) | $ 1.00 | |||||||
Year Ended September 30, 2014 | 1.00 | (a)(b) | (b) | (b) | (b) | (b) | 1.00 | |||||||
Year Ended September 30, 2013 | 1.00 | (a)(b) | (b) | (b) | (b) | (b) | 1.00 | |||||||
Year Ended September 30, 2012 | 1.00 | (a)(b) | (b) | (b) | (b) | (b) | 1.00 | |||||||
Year Ended September 30, 2011 | 1.00 | (a)(b) | (b) | (b) | (b) | (b) | 1.00 |
(a) | Per share net investment income has been calculated using the average daily shares method. |
(b) | Less than $0.01 or $(0.01) per share. |
See Notes to Financial Statements.
46 |
FINANCIAL HIGHLIGHTS
|
U.S. Government Money Market Fund (cont.) | (Selected data for a share outstanding throughout the periods indicated) |
Ratios/Supplemental Data | ||||||||||
Total | Net Assets, | Ratio of Net Expenses | Ratio of Net Investment Income | Ratio of Expenses | ||||||
Return(c) | End of Year (millions) | to Average Net Assets | to Average Net Assets | to Average Net Assets* | ||||||
RBC Institutional Class 1 | ||||||||||
Year Ended September 30, 2015 | 0.01% | $ 921 | 0.11% | 0.01% | 0.17% | |||||
Year Ended September 30, 2014 | 0.01% | 1,173 | 0.09% | 0.01% | 0.17% | |||||
Year Ended September 30, 2013 | 0.01% | 1,231 | 0.13% | 0.01% | 0.17% | |||||
Year Ended September 30, 2012 | 0.01% | 1,046 | 0.16% | 0.01% | 0.17% | |||||
Year Ended September 30, 2011 | 0.05% | 1,580 | 0.17% | 0.05% | 0.17% | |||||
RBC Institutional Class 2 | ||||||||||
Year Ended September 30, 2015 | 0.01% | $ 329 | 0.11% | 0.01% | 0.27% | |||||
Year Ended September 30, 2014 | 0.01% | 299 | 0.09% | 0.01% | 0.27% | |||||
Year Ended September 30, 2013 | 0.01% | 497 | 0.12% | 0.01% | 0.27% | |||||
Year Ended September 30, 2012 | 0.01% | 213 | 0.16% | 0.01% | 0.27% | |||||
Year Ended September 30, 2011 | 0.01% | 142 | 0.20% | 0.01% | 0.27% | |||||
RBC Investor Class | ||||||||||
Year Ended September 30, 2015 | 0.01% | $ 705 | 0.12% | 0.01% | 1.12% | |||||
Year Ended September 30, 2014 | 0.01% | 672 | 0.09% | 0.01% | 1.12% | |||||
Year Ended September 30, 2013 | 0.01% | 795 | 0.13% | 0.01% | 1.12% | |||||
Year Ended September 30, 2012 | 0.01% | 857 | 0.16% | 0.01% | 1.12% | |||||
Year Ended September 30, 2011 | 0.01% | 981 | 0.21% | 0.01% | 1.12% | |||||
RBC Reserve Class | ||||||||||
Year Ended September 30, 2015 | 0.01% | $ 2,705 | 0.12% | 0.01% | 1.02% | |||||
Year Ended September 30, 2014 | 0.01% | 2,140 | 0.09% | 0.01% | 1.02% | |||||
Year Ended September 30, 2013 | 0.01% | 2,288 | 0.13% | 0.01% | 1.02% | |||||
Year Ended September 30, 2012 | 0.01% | 1,896 | 0.16% | 0.01% | 1.02% | |||||
Year Ended September 30, 2011 | 0.01% | 1,748 | 0.21% | 0.01% | 1.02% | |||||
RBC Select Class | ||||||||||
Year Ended September 30, 2015 | 0.01% | $ 1,666 | 0.12% | 0.01% | 0.92% | |||||
Year Ended September 30, 2014 | 0.01% | 1,354 | 0.09% | 0.01% | 0.92% | |||||
Year Ended September 30, 2013 | 0.01% | 1,313 | 0.13% | 0.01% | 0.92% | |||||
Year Ended September 30, 2012 | 0.01% | 1,309 | 0.16% | 0.01% | 0.92% | |||||
Year Ended September 30, 2011 | 0.01% | 1,262 | 0.21% | 0.01% | 0.92% |
* | During the year, certain fees were contractually or voluntarily reduced and/or reimbursed. If such contractual/voluntary fee reductions and reimbursements had not occurred, the ratio would have been as indicated. |
(c) | Assumes investment at net asset value at the beginning of the year, reinvestment of all dividends and distributions, and a complete redemption of the investment at net asset value at the end of the year. |
See Notes to Financial Statements.
47 |
FINANCIAL HIGHLIGHTS
|
Tax-Free Money Market Fund | (Selected data for a share outstanding throughout the periods indicated) |
Investment Activities | Distributions | |||||||||||||
Net Asset Value, | Net | Net Realized/ | Total from | Net | Net | |||||||||
Beginning | Investment | Unrealized Gain/(Loss) | Investment | Investment | Realized | Net Asset Value, | ||||||||
of Period | Income | on Investments | Activities | Income | Gains | End of Year | ||||||||
RBC Institutional Class 1 | ||||||||||||||
Year Ended September 30, 2015 | $1.00 | (a)(b) | (b) | (b) | (b) | (b) | $ 1.00 | |||||||
Period Ended September 30, 2014(e) | 1.00 | (a)(b) | (b) | (b) | (b) | (b) | 1.00 | |||||||
Period Ended October 28, 2012(f) | 1.00 | (a)(b) | (b) | (b) | (b) | (b) | 1.00 | |||||||
Year Ended September 30, 2012 | 1.00 | (a)(b) | (b) | (b) | (b) | (b) | 1.00 | |||||||
Year Ended September 30, 2011 | 1.00 | (a)(b) | (b) | (b) | (b) | (b) | 1.00 | |||||||
RBC Institutional Class 2 | ||||||||||||||
Year Ended September 30, 2015 | $1.00 | (a)(b) | (b) | (b) | (b) | (b) | $ 1.00 | |||||||
Year Ended September 30, 2014 | 1.00 | (a)(b) | (b) | (b) | (b) | (b) | 1.00 | |||||||
Year Ended September 30, 2013 | 1.00 | (a)(b) | (b) | (b) | (b) | (b) | 1.00 | |||||||
Year Ended September 30, 2012 | 1.00 | (a)(b) | (b) | (b) | (b) | (b) | 1.00 | |||||||
Year Ended September 30, 2011 | 1.00 | (a)(b) | (b) | (b) | (b) | (b) | 1.00 | |||||||
RBC Investor Class | ||||||||||||||
Year Ended September 30, 2015 | $1.00 | (a)(b) | (b) | (b) | (b) | (b) | $ 1.00 | |||||||
Year Ended September 30, 2014 | 1.00 | (a)(b) | (b) | (b) | (b) | (b) | 1.00 | |||||||
Year Ended September 30, 2013 | 1.00 | (a)(b) | (b) | (b) | (b) | (b) | 1.00 | |||||||
Year Ended September 30, 2012 | 1.00 | (a)(b) | (b) | (b) | (b) | (b) | 1.00 | |||||||
Year Ended September 30, 2011 | 1.00 | (a)(b) | (b) | (b) | (b) | (b) | 1.00 | |||||||
RBC Reserve Class | ||||||||||||||
Year Ended September 30, 2015 | $1.00 | (a)(b) | (b) | (b) | (b) | (b) | $ 1.00 | |||||||
Year Ended September 30, 2014 | 1.00 | (a)(b) | (b) | (b) | (b) | (b) | 1.00 | |||||||
Year Ended September 30, 2013 | 1.00 | (a)(b) | (b) | (b) | (b) | (b) | 1.00 | |||||||
Year Ended September 30, 2012 | 1.00 | (a)(b) | (b) | (b) | (b) | (b) | 1.00 | |||||||
Year Ended September 30, 2011 | 1.00 | (a)(b) | (b) | (b) | (b) | (b) | 1.00 | |||||||
RBC Select Class | ||||||||||||||
Year Ended September 30, 2015 | $1.00 | (a)(b) | (b) | (b) | (b) | (b) | $ 1.00 | |||||||
Year Ended September 30, 2014 | 1.00 | (a)(b) | (b) | (b) | (b) | (b) | 1.00 | |||||||
Year Ended September 30, 2013 | 1.00 | (a)(b) | (b) | (b) | (b) | (b) | 1.00 | |||||||
Year Ended September 30, 2012 | 1.00 | (a)(b) | (b) | (b) | (b) | (b) | 1.00 | |||||||
Year Ended September 30, 2011 | 1.00 | (a)(b) | (b) | (b) | (b) | (b) | 1.00 |
(a) | Per share net investment income has been calculated using the average daily shares method. |
(b) | Less than $0.01 or $(0.01) per share. |
(e) | For the period from July 28, 2014 to September 30, 2014. |
(f) | There were no RBC Institutional Class 1 shares outstanding during the period from October 29, 2012 to July 27, 2014. |
See Notes to Financial Statements.
48 |
FINANCIAL HIGHLIGHTS
|
Tax-Free Money Market Fund (cont.) | (Selected data for a share outstanding throughout the periods indicated) |
Ratios/Supplemental Data | ||||||||||
Total | Net Assets, End of Year (millions) | Ratio of Net Expenses | Ratio of Net Investment Income | Ratio of Expenses | ||||||
RBC Institutional Class 1 | ||||||||||
Year Ended September 30, 2015 | 0.00% | $—(i) | 0.06% | 0.01% | 83.73% | |||||
Period Ended September 30, 2014(e) | 0.00%(g) | —(i) | 0.09%(h) | 0.00%(h) | 71.03%(j) | |||||
Period Ended October 28, 2012(f) | 0.00%(g) | — | 0.18%(h) | 0.01%(h) | 0.19%(h) | |||||
Year Ended September 30, 2012 | 0.02% | 26 | 0.16% | 0.02% | 0.19% | |||||
Year Ended September 30, 2011 | 0.09% | 37 | 0.18% | 0.10% | 0.19% | |||||
RBC Institutional Class 2 | ||||||||||
Year Ended September 30, 2015 | 0.01% | $ 125 | 0.06% | 0.01% | 0.29% | |||||
Year Ended September 30, 2014 | 0.01% | 192 | 0.07% | 0.01% | 0.29% | |||||
Year Ended September 30, 2013 | 0.01% | 256 | 0.13% | 0.01% | 0.29% | |||||
Year Ended September 30, 2012 | 0.01% | 202 | 0.17% | 0.01% | 0.29% | |||||
Year Ended September 30, 2011 | 0.02% | 214 | 0.26% | 0.02% | 0.29% | |||||
RBC Investor Class | ||||||||||
Year Ended September 30, 2015 | 0.01% | $ 108 | 0.06% | 0.01% | 1.14% | |||||
Year Ended September 30, 2014 | 0.01% | 129 | 0.07% | 0.01% | 1.14% | |||||
Year Ended September 30, 2013 | 0.01% | 153 | 0.13% | 0.01% | 1.14% | |||||
Year Ended September 30, 2012 | 0.01% | 162 | 0.17% | 0.01% | 1.13% | |||||
Year Ended September 30, 2011 | 0.02% | 167 | 0.26% | 0.01% | 1.14% | |||||
RBC Reserve Class | ||||||||||
Year Ended September 30, 2015 | 0.01% | $ 537 | 0.06% | 0.01% | 1.04% | |||||
Year Ended September 30, 2014 | 0.01% | 598 | 0.07% | 0.01% | 1.04% | |||||
Year Ended September 30, 2013 | 0.01% | 607 | 0.13% | 0.01% | 1.04% | |||||
Year Ended September 30, 2012 | 0.01% | 600 | 0.17% | 0.01% | 1.04% | |||||
Year Ended September 30, 2011 | 0.02% | 520 | 0.26% | 0.01% | 1.04% | |||||
RBC Select Class | ||||||||||
Year Ended September 30, 2015 | 0.01% | $ 259 | 0.06% | 0.01% | 0.94% | |||||
Year Ended September 30, 2014 | 0.01% | 390 | 0.07% | 0.01% | 0.94% | |||||
Year Ended September 30, 2013 | 0.01% | 347 | 0.13% | 0.01% | 0.94% | |||||
Year Ended September 30, 2012 | 0.01% | 373 | 0.17% | 0.01% | 0.94% | |||||
Year Ended September 30, 2011 | 0.02% | 300 | 0.26% | 0.01% | 0.93% |
* | During the year, certain fees were contractually or voluntarily reduced and/or reimbursed. If such contractual/voluntary fee reductions and reimbursements had not occurred, the ratio would have been as indicated. |
(c) | Assumes investment at net asset value at the beginning of the year, reinvestment of all dividends and distributions, and a complete redemption of the investment at net asset value at the end of the year. |
(e) | For the period from July 28, 2014 to September 30, 2014. |
(f) | There were no RBC Institutional Class 1 shares outstanding during the period from October 29, 2012 to July 27, 2014. |
(g) | Not annualized. |
(h) | Annualized. |
(i) | Less than $1,000,000. |
(j) | Annual class specific transfer agent fees that were incurred upon the initial subscription into RBC Institutional Class 1 were not annualized. Had such expenses been annualized the expense ratio would have been 398.86%. |
See Notes to Financial Statements.
49 |
|
September 30, 2015
1. Organization
RBC Funds Trust (the “Trust”) is registered under the Investment Company Act of 1940 (as amended) as an open-end management investment company. The Trust was organized as a Delaware statutory trust on December 16, 2003 and currently consists of 23 portfolios. Predecessor funds to the Trust were reorganized as portfolios of the Trust effective April 16, 2004. This report includes the following three investment portfolios (each a “Fund” and collectively, the “Funds”):
- Prime Money Market Fund
- U.S. Government Money Market Fund
- Tax-Free Money Market Fund
The Funds offer five share classes: RBC Institutional Class 1, RBC Institutional Class 2, RBC Investor Class, RBC Reserve Class and RBC Select Class.
RBC Global Asset Management (U.S.) Inc. (“RBC GAM (US)” or “Advisor” or “Co-Administrator”) acts as the investment advisor for the Funds. The officers of the Trust (“Fund Management”) are also employees of RBC GAM (US) or its affiliates.
2. Significant Accounting Policies
Summarized below are the significant accounting policies of the Funds. These policies conform to accounting principles generally accepted in the United States of America (“US GAAP”). Fund Management follows these policies when preparing financial statements. Fund Management may also be required to make estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the financial statements and the reported amounts of income and expenses for the period. Actual results could differ from those estimates. The financial statements are as of the close of regular trading on the New York Stock Exchange (“NYSE”).
Security Valuation:
Each Fund has elected to use the amortized cost method to value its securities (other than other investment companies) pursuant to Rule 2a-7 of the Investment Company Act of 1940, as amended, which the Trust’s Board of Trustees (“Board”) believes approximates fair market value. The amortized cost method involves valuing a security initially at its cost and thereafter assuming a constant amortization to maturity of any discount or premium. Amortized cost approximates the current fair value of a security, but since the value is not obtained from a quoted price in an active market, securities valued at amortized cost are categorized as Level 2 in the fair value hierarchy. If amortized cost no longer approximates fair value due to credit or other impairments of an issuer, the Fund will determine the fair value of its securities by using pricing and valuation procedures approved by the Board. Investments in open-end investment companies (mutual funds) are valued at net asset value and are categorized as Level 1 in the fair value hierarchy.
The Board has delegated to the Funds’ Pricing Committee (“Pricing Committee”) the responsibility for implementing the pricing and valuation procedures, including responsibility for determining the fair value of the Funds’ securities and other assets. The Pricing Committee includes representatives of the Funds’ Advisor and Co-Administrator, including personnel from accounting and operations, investment management, trading, risk management, compliance and legal. The Pricing Committee meets at least quarterly to review and approve Fund valuation matters, including a review of the Funds’ pricing activity and operations, fair value measurements, pricing vendors, policies and procedures, and related controls. At least a quorum of the Pricing Committee shall meet more frequently, as needed, to consider and approve time-sensitive fair valuation matters. The Pricing Committee reports to the
50 |
NOTES TO FINANCIAL STATEMENTS
|
Valuation, Portfolio Management and Performance Committee (“Valuation Committee”) of the Board. Members of the Pricing Committee meet with the Valuation Committee and the Board at each of their regularly scheduled meetings to discuss valuation matters and actions taken during the period.
In accordance with Rule 2a-7, the fair values of the securities held in the Funds are determined at least once per week using evaluated prices supplied by third-party pricing vendors approved by the Board. The pricing services utilize both dealer-supplied valuations and electronic data processing techniques that take into account appropriate factors such as institutional-sized trading in similar groups of securities, yield, quality, coupon rate, maturity and type of issue. These security values are then compared to the securities’ amortized cost. If a security price is not available from a pricing service or broker-dealer, or Fund Management determines that a price provided by a pricing service or broker-dealer does not approximate fair value for purposes of this comparison, the security’s fair value will be determined in good faith by the Pricing Committee in accordance with procedures and methodologies adopted by the Board. General factors used in determining the fair value of securities include, but are not limited to, fundamental analytical data relating to the security, the issuer and the market, such as duration, prepayment and default rates; general level of interest rates and changes in interest rates; information from broker-dealers; trading in similar securities; any restrictions on disposition of the security; and an evaluation of the forces that influence the market in which the investments are traded.
Fair Value Measurements:
The Funds disclose the fair value of their investments in a hierarchy that categorizes investments based on the inputs to valuation techniques used to measure fair value. The three levels of the fair value hierarchy are as follows:
● Level 1 - Inputs that reflect unadjusted quoted prices in active markets for identical assets or liabilities that the Funds have the ability to access at the measurement date.
● Level 2 - Significant inputs other than quoted prices that are observable for the asset or liability either directly or indirectly, including inputs in markets that are not considered to be active. Observable inputs may include quoted prices for similar securities, interest rates, spreads, prepayment speeds, etc.
● Level 3 - Significant unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Funds’ own assumptions in determining the fair value of investments).
The inputs or methodology used for valuing investments are not necessarily an indication of the risk associated with investing in those securities.
Inputs used in determining fair value of an investment may include, but are not limited to, price information, volatility statistics, credit and market data, and other factors, all of which may be either observable or unobservable. Inputs can vary among investments and will be impacted by the investment type and volume of activity for the particular security or similar securities in the market. Investments in the Level 3 category are generally supported by transactions and quoted prices from dealers participating in the market for those investments. Investments may be included in the Level 3 category due to a lack of market activity or transparency. Internal valuation models may also be used as a pricing source for Level 3 investments. Internal valuation models may rely on one or more unobservable inputs, such as estimated cash flows, financial statement analysis and discount rates.
51 |
NOTES TO FINANCIAL STATEMENTS
|
The summary of inputs used to determine the fair value of the Funds’ investments as of September 30, 2015 is as follows:
Level 2 | Level 3 | |||||||||||||||
Significant | Significant | |||||||||||||||
Level 1 | Observable | Unobservable | ||||||||||||||
Funds | Quoted Prices | Inputs | Inputs | Total | ||||||||||||
Prime Money Market | $ | — | $ | 7,738,365,591(b)(c) | $— | $ | 7,738,365,591 | |||||||||
U.S. Government Money Market | — | 6,528,690,794(b)(c) | — | 6,528,690,794 | ||||||||||||
Tax-Free Money Market | 15,000,000(a) | 1,004,998,923(b)(c) | — | 1,019,998,923 |
(a) Level 1 investments consist of Investment Companies.
(b) The breakdown of the Fund’s investments by security type is disclosed in the Schedules of Portfolio Investments.
(c) The breakdown of the Fund’s investments by state classification or political subdivision is disclosed in the Schedules of Portfolio Investments.
During the year ended September 30, 2015, the Funds recognized no transfers to/from Level 1 or 2. The Fund’s policy is to recognize transfers between Level 1, Level 2 and Level 3 at the end of the year utilizing fair value at the beginning of the year.
Investment Transactions and Income:
Investment transactions are accounted for on the date the security is bought or sold (“trade date”). Dividend income is recorded on the ex-dividend date. Realized gains and losses from investment transactions are calculated based on the costs of the specific security (also known as identified cost basis). Interest income is recognized on the accrual basis and includes, where applicable, the amortization or accretion of premium and discount using the effective yield method.
When - Issued Transactions:
The Funds may engage in when-issued transactions. The Funds record when-issued securities on the trade date and maintain sufficient liquidity so that cash will be available to make payment for the securities purchased. Securities purchased on a when-issued basis are valued daily beginning on the trade date and begin earning interest on the settlement date. As of September 30, 2015, the Funds held no when-issued securities.
Repurchase Agreements:
The Funds may enter into repurchase agreements with counterparties whom the Advisor has deemed creditworthy, including primary dealers that report to the Federal Reserve Bank of New York or other large U.S. commercial banks or broker-dealers. These repurchase agreements are subject to the seller’s agreement to repurchase such securities at a mutually agreed upon date and price. The repurchase price generally equals the price paid by the Funds plus interest negotiated on the basis of current short-term rates.
Securities pledged by the dealers as collateral for repurchase agreements are held by a custodian bank until maturity of the repurchase agreement. The Funds have procedures to monitor additional collateral, if needed, to ensure that the daily market value of the collateral remains in excess of the market value of the repurchase agreement in the event of a default.
Master Repurchase Agreements (“MRA”) permit each Fund, under certain circumstances including an event of default (such as bankruptcy or insolvency), to offset payables and/or receivables under the MRA with collateral held and/or posted to the counterparty and create one single net payment due to or from the Fund. However, bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against such a right of offset in the event of a MRA counterparty’s bankruptcy or insolvency. Pursuant to the terms of the MRA, each Fund receives securities as collateral with a market value in excess of the repurchase price to be received by each Fund upon the maturity of the repurchase transaction. Upon a bankruptcy or insolvency of the MRA counterparty, each Fund recognizes a liability with respect to such excess collateral to reflect each Fund’s obligation under
52 |
NOTES TO FINANCIAL STATEMENTS
|
bankruptcy law to return the excess to the counterparty. Details of the counterparties and collateral for repurchase agreements are shown on the Schedules of Portfolio Investments.
Expense, Investment Income and Gain/Loss Allocation:
Each Fund pays the expenses that are directly related to its operations, such as custodian fees or investment advisory fees. Expenses incurred by the Trust, such as trustee or legal fees, are allocated among each of the Funds either proportionately based upon each Fund’s relative net assets or using another reasonable basis such as equally across all Funds, depending on the nature of the expense. Individual share classes within a Fund are charged expenses specific to that class, such as distribution fees and transfer agent fees. Within a Fund, expenses other than class specific expenses are allocated daily to each class based upon the proportion of relative net assets. Investment income and realized and unrealized gains or losses are allocated to each class of shares based on the proportion of relative net assets.
Distributions to Shareholders:
Each Fund pays out any income that it receives, less expenses, in the form of dividends and capital gain distributions to its shareholders. Income dividends are declared daily and paid monthly. Dividends will also be paid at any time during the month upon total redemption of shares in an account. Capital gains, if any, are declared and paid at least annually. Distributions to shareholders are recorded on the ex-dividend date. The amount of dividends and distributions are calculated based on federal income tax regulations, which may differ from US GAAP. These “book/tax” differences may be either temporary or permanent in nature. To the extent these differences are determined, as of the end of the tax year, to be permanent (e.g. distribution in excess of net investment income, redesignation of dividends paid), they are reclassified within a Fund’s capital accounts based on their federal tax basis treatment.
For the year ended September 30, 2015, reclassifications for permanent differences were as follows:
Increase | Increase | Decrease | ||||||||||
Undistributed | Accumulated | Accumulated | ||||||||||
Net Investment Income | Realized Losses | Paid-in-Capital | ||||||||||
U.S. Government Money Market Fund | $17,194 | $(16,663) | $(531) | |||||||||
Tax Free Money Market Fund | $ 157 | $ 0 | $(157) |
Credit Enhancement:
Certain obligations held in the Funds have credit enhancement or liquidity features that may, under certain circumstances, provide for repayment of principal and interest on the obligation upon demand date, interest rate reset date or final maturity. These enhancements may include: letters of credit; liquidity guarantees; security purchase agreements; tender option purchase agreements; and third party insurance.
3. Agreements and Other Transactions with Affiliates
The Trust has entered into an investment advisory agreement with RBC GAM (US) under which RBC GAM (US) manages the Funds’ assets and furnishes related office facilities, equipment, research and personnel. The agreement requires the Funds to pay RBC GAM (US) a monthly fee based upon average daily net assets. Under the terms of the advisory contracts, RBC GAM (US) is entitled to receive fees based on a percentage of the average daily net assets as follows:
Annual Rate | ||||
Prime Money Market Fund | 0.10% | |||
U.S. Government Money Market Fund | 0.10% | |||
Tax-Free Money Market Fund | 0.10% |
53 |
NOTES TO FINANCIAL STATEMENTS
|
RBC Institutional Class 1 of each Fund pays the Advisor an annual shareholder services administration fee of 0.05% of the average daily net assets attributable to RBC Institutional Class 1 shares of a Fund that is used to compensate financial intermediaries for providing services to shareholders and maintaining shareholder accounts. This shareholder services administration fee is not paid pursuant to Rule 12b-1.
RBC GAM (US) has contractually agreed to waive fees and/or reimburse expenses under an expense limitation agreement in order to maintain the net annual Fund operating expenses at 0.20% for RBC Institutional Class 1 of each Fund. During the year ended September 30, 2015, there were no fees waived under this agreement.
RBC GAM (US) serves as co-administrator to the Funds. BNY Mellon serves as co-administrator and fund accounting agent. Services provided under the administrative services agreement include providing day-to-day administration of matters related to the Funds, maintenance of their records and the preparation of reports. Under the terms of the administrative services agreement, RBC GAM (US) does not receive an administration services fee. BNY Mellon receives a fee for its services payable by the Funds based on the Funds’ average net assets. BNY Mellon’s fee is included with “Accounting fees” in the Statements of Operations.
Certain Officers and Trustees of the Trust are affiliated with the Advisor. Such Officers and Trustees receive no compensation from the Funds for serving in their respective roles.
The Trust currently pays each of the independent Trustees (Trustees of the Trust who are not directors, officers or employees of the Advisor, either Co-Administrator or Distributor) an annual retainer of $41,500 ($46,000 effective October 1, 2015). The Board Chairperson and Audit Committee Chairperson each receive an additional retainer of $2,500 annually, and all other Trustees serving as Chair of a Board committee each receive an additional retainer of $1,000 annually. In addition, independent Trustees receive a quarterly meeting fee of $5,500 ($6,000 effective October 1, 2015) for each in-person Board meeting attended, a meeting fee of $1,500 for each telephonic or special board meeting attended, a $1,500 fee for each Board committee meeting attended, and are reimbursed for all out-of-pocket expenses relating to attendance at such meetings.
Security Transactions with Affiliated Funds
During the year ended September 30, 2015, the Funds engaged in security purchase and sale transactions with other RBC Funds or investment advisory clients managed by RBC GAM (US). These purchase and sale transactions complied with Rule 17a-7 under the Investment Company Act of 1940 (as amended) and amounted to $6,000,000 and $338,790,000 for Prime Money Market Fund, respectively, $265,600,000 and $117,600,000, for U.S. Government Money Market Fund, respectively, and $253,290,000 and $71,000,000 for Tax-Free Money Market Fund, respectively.
4. Fund Distribution
Each of the Funds have adopted a Shareholder Account and Distribution Services (12b-1) Plan (the “Plan”) with respect to RBC Institutional Class 2, RBC Investor Class, RBC Reserve Class and the RBC Select Class, in which Quasar Distributors LLC (the “Distributor”) acts as the Funds’ distributor. The Plan permits each Fund to make payments for or to reimburse the Distributor or others, including RBC Capital Markets, LLC, monthly for distribution-related costs and expenses of marketing shares of each share class covered under the Plan, and/or for providing shareholder services. The following chart shows the current Plan fee rate for each class:
RBC Institutional Class 2 | RBC Investor Class | RBC Reserve Class | RBC Select Class | |||||||||||||
12b-1 Plan Fee | 0.15% | 1.00% | 0.90% | 0.80% |
Plan fees are based on average daily net assets of the applicable class. Up to 0.25% of each Plan fee may be designated as a service fee, as defined by the applicable rules of the Financial Industry Regulatory Authority.
54 |
NOTES TO FINANCIAL STATEMENTS
|
Pursuant to a shareholder account and distribution services agreement between the Distributor and RBC Capital Markets, LLC, the Distributor has agreed to compensate RBC Capital Markets, LLC for certain shareholder account servicing support provided to the Funds. RBC Capital Markets, LLC has agreed to waive fees and/or reimburse expenses in order to maintain the net annual fund operating expenses for each class listed below for each Fund to the following amounts:
Fund | Operating Expense Limit | |||
Prime Money Market Fund | ||||
RBC Institutional Class 2 | 0.30% | |||
RBC Investor Class | 1.05% | |||
RBC Reserve Class | 0.90% | |||
RBC Select Class | 0.80% | |||
U.S. Government Money Market Fund | ||||
RBC Institutional Class 2 | 0.30% | |||
RBC Investor Class | 1.00% | |||
RBC Reserve Class | 0.85% | |||
RBC Select Class | 0.77% | |||
Tax-Free Money Market Fund | ||||
RBC Institutional Class 2 | 0.30% | |||
RBC Investor Class | 1.00% | |||
RBC Reserve Class | 0.85% | |||
RBC Select Class | 0.70% |
This expense limitation agreement is in place until January 31, 2017. Each Fund will carry forward, for a period not to exceed 12 months from the date on which a waiver or reimbursement is made by RBC Capital Markets, any expenses in excess of the expense limitation and repay RBC Capital Markets, LLC such amounts, provided the Fund is able to effect such repayment and remain in compliance with the Expense Limitation. At September 30, 2015, the amounts subject to possible recoupment under the expense limitation agreement are $9,035,289, $7,172,217 and $2,159,516 for the Prime Money Market Fund, U.S. Government Money Market Fund and Tax-Free Money Market Fund, respectively.
RBC Capital Markets, LLC and/or the Advisor may voluntarily waive and/or reimburse additional Fund operating expenses at any time, such as to maintain a minimum yield in a fund. Any such voluntary program may be modified or discontinued at any time without notice.
55 |
NOTES TO FINANCIAL STATEMENTS
|
For the year ended September 30, 2015, the following distribution fees were waived:
Fund | Distribution Fees Waived | |
Prime Money Market Fund | ||
RBC Institutional Class 2 | $ 311,789 | |
RBC Investor Class | 18,267,870 | |
RBC Reserve Class | 36,739,135 | |
RBC Select Class | 11,801,350 | |
U.S. Government Money Market Fund | ||
RBC Institutional Class 2 | $ 637,698 | |
RBC Investor Class | 6,771,098 | |
RBC Reserve Class | 21,033,394 | |
RBC Select Class | 11,934,227 | |
Tax-Free Money Market Fund | ||
RBC Institutional Class 2 | $ 245,058 | |
RBC Investor Class | 1,285,334 | |
RBC Reserve Class | 5,423,559 | |
RBC Select Class | 2,859,257 |
For the year ended September 30, 2015, shareholder servicing fees were voluntarily waived for the RBC Institutional Class 1 in the amount of $20,001, $425,474, and $2 for the Prime Money Market Fund, U.S. Government Money Market Fund and the Tax-Free Money Market Fund, respectively and the Advisor voluntarily waived fees or reimbursed expenses totaling $801,603 for the U.S. Government Money Market Fund, which represented $154,339, $63,184, $91,377, $299,058 and $193,645 for RBC Institutional Class 1, RBC Institutional Class 2, RBC Investor Class, RBC Reserve Class and RBC Select Class, respectively and $1,031,013 for the Tax-Free Money Market Fund which represented $4,027, $136,953, $108,875, $486,457 and $294,701 for RBC Institutional Class 1, RBC Institutional Class 2, RBC Investor Class, RBC Reserve Class and RBC Select Class, respectively.
56 |
NOTES TO FINANCIAL STATEMENTS
|
5. Capital Share Transactions
The number of shares sold, reinvested and redeemed correspond to the net proceeds from sale of shares, reinvestments of dividends and cost of shares redeemed, respectively, since shares are redeemed at $1.00 per share.
Transactions for the period were as follows:
Prime | U.S. Government | |||||||||||||||||||||
Money Market Fund | Money Market Fund | |||||||||||||||||||||
For the Year | For the Year | For the Year | For the Year | |||||||||||||||||||
Ended | Ended | Ended | Ended | |||||||||||||||||||
September 30, | September 30, | September 30, | September 30, | |||||||||||||||||||
2015 | 2014 | 2015 | 2014 | |||||||||||||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||||||||
RBC Institutional Class 1 | ||||||||||||||||||||||
Proceeds from shares issued | $ | 7,071,953,977 | $ | 12,650,090,214 | $ | 875,502,559 | $ | 1,467,650,462 | ||||||||||||||
Distributions reinvested | 80,712 | 70,358 | 86,809 | 104,988 | ||||||||||||||||||
Cost of shares redeemed | (6,691,459,782 | ) | (13,694,762,112 | ) | (1,128,167,492 | ) | (1,525,784,158 | ) | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
Change in RBC Institutional Class 1 | $ | 380,574,907 | $ | (1,044,601,540 | ) | $ | (252,578,124 | ) | $ | (58,028,708 | ) | |||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
RBC Institutional Class 2 | ||||||||||||||||||||||
Proceeds from shares issued | $ | 497,835,399 | $ | 674,136,753 | $ | 1,332,726,993 | $ | 977,774,010 | ||||||||||||||
Distributions reinvested | 41,766 | 54,179 | 45,118 | 50,658 | ||||||||||||||||||
Cost of shares redeemed | (578,933,447 | ) | (811,907,284 | ) | (1,301,941,708 | ) | (1,176,690,100 | ) | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
Change in RBC Institutional Class 2 | $ | (81,056,282 | ) | $ | (137,716,352 | ) | $ | 30,830,403 | $ | (198,865,432 | ) | |||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
RBC Investor Class | ||||||||||||||||||||||
Proceeds from shares issued | $ | 433,790,843 | $ | 996,493,420 | $ | 808,388,041 | $ | 452,272,374 | ||||||||||||||
Distributions reinvested | 197,954 | 246,166 | 69,993 | 71,844 | ||||||||||||||||||
Cost of shares redeemed | (918,507,346 | ) | (1,455,344,868 | ) | (775,239,108 | ) | (575,738,715 | ) | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
Change in RBC Investor Class | $ | (484,518,549 | ) | $ | (458,605,282 | ) | $ | 33,218,926 | $ | (123,394,497 | ) | |||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
RBC Reserve Class | ||||||||||||||||||||||
Proceeds from shares issued | $ | 1,327,256,742 | $ | 2,063,865,998 | $ | 1,557,564,642 | $ | 1,068,391,963 | ||||||||||||||
Distributions reinvested | 444,974 | 617,965 | 241,707 | 223,600 | ||||||||||||||||||
Cost of shares redeemed | (3,749,222,077 | ) | (2,368,930,778 | ) | (993,099,500 | ) | (1,216,454,661 | ) | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
Change in RBC Reserve Class | $ | (2,421,520,361 | ) | $ | (304,446,815 | ) | $ | 564,706,849 | $ | (147,839,098 | ) | |||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
RBC Select Class | ||||||||||||||||||||||
Proceeds from shares issued | $ | 1,124,698,777 | $ | 1,587,310,094 | $ | 1,636,612,858 | $ | 1,300,401,062 | ||||||||||||||
Distributions reinvested | 163,122 | 192,531 | 154,683 | 137,726 | ||||||||||||||||||
Cost of shares redeemed | (1,546,319,671 | ) | (1,619,638,395 | ) | (1,324,558,486 | ) | (1,259,562,688 | ) | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
Change in RBC Select Class | $ | (421,457,772 | ) | $ | (32,135,770 | ) | $ | 312,209,055 | $ | 40,976,100 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
Change in net assets resulting from capital transactions | $ | (3,027,978,057 | ) | $ | (1,977,505,759 | ) | $ | 688,387,109 | $ | (487,151,635 | ) | |||||||||||
|
|
|
|
|
|
|
|
57 |
NOTES TO FINANCIAL STATEMENTS
|
Tax-Free | ||||||||||
Money Market Fund | ||||||||||
For the Year | For the Year | |||||||||
Ended | Ended | |||||||||
September 30, | September 30, | |||||||||
2015 | 2014 | |||||||||
CAPITAL TRANSACTIONS: | ||||||||||
RBC Institutional Class 1 | ||||||||||
Proceeds from shares issued | $ | — | $ | 5,000 | ||||||
|
|
|
| |||||||
Change in RBC Institutional Class 1 | $ | — | $ | 5,000 | ||||||
|
|
|
| |||||||
RBC Institutional Class 2 | ||||||||||
Proceeds from shares issued | $ | 275,192,745 | $ | 720,535,621 | ||||||
Distributions reinvested | 16,346 | 30,690 | ||||||||
Cost of shares redeemed | (342,031,805 | ) | (784,694,782 | ) | ||||||
|
|
|
| |||||||
Change in RBC Institutional Class 2 | $ | (66,822,714 | ) | $ | (64,128,471 | ) | ||||
|
|
|
| |||||||
RBC Investor Class | ||||||||||
Proceeds from shares issued | $ | 120,382,352 | $ | 202,928,722 | ||||||
Distributions reinvested | 12,854 | 14,612 | ||||||||
Cost of shares redeemed | (141,819,807 | ) | (226,023,506 | ) | ||||||
|
|
|
| |||||||
Change in RBC Investor Class | $ | (21,424,601 | ) | $ | (23,080,172 | ) | ||||
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RBC Reserve Class | ||||||||||
Proceeds from shares issued | $ | 483,418,702 | $ | 437,756,662 | ||||||
Distributions reinvested | 60,268 | 62,636 | ||||||||
Cost of shares redeemed | (544,787,170 | ) | (447,064,830 | ) | ||||||
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Change in RBC Reserve Class | $ | (61,308,200 | ) | $ | (9,245,532 | ) | ||||
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RBC Select Class | ||||||||||
Proceeds from shares issued | $ | 384,911,519 | $ | 430,820,702 | ||||||
Distributions reinvested | 35,744 | 37,256 | ||||||||
Cost of shares redeemed | (515,345,104 | ) | (387,838,058 | ) | ||||||
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Change in RBC Select Class | $ | (130,397,841 | ) | $ | 43,019,900 | |||||
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Change in net assets resulting from capital transactions | $ | (279,953,356 | ) | $ | (53,429,275 | ) | ||||
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6. Federal Income Taxes
It is the policy of each Fund to continue to qualify as a regulated investment company by complying with the provisions applicable to certain investment companies, as defined under Subchapter M of the Internal Revenue Code, and to distribute substantially all of its net investment income and net realized capital gains. Therefore, no federal tax liability is recorded in the financial statements of each Fund.
Fund Management has analyzed the Funds’ tax positions taken or expected to be taken on federal income tax returns for all open tax years (current and prior three tax years) and has concluded that no provision for federal income tax is required in the Funds’ financial statements. The Funds’ federal and state income and federal excise tax returns for tax years for which the applicable statutes of limitations have not expired are subject to examination by the Internal Revenue Service and state departments of revenue.
As of and during the year ended September 30, 2015, the Funds did not have a liability for any unrecognized tax benefits. The Funds recognize interest and penalties, if any, related to unrecognized tax benefits as income tax expense in the Statements of Operations. During the year, the Funds did not incur any interest or penalties.
58 |
NOTES TO FINANCIAL STATEMENTS
|
The tax character of distributions during the year ended September 30, 2015 were as follows:
Distributions Paid From | ||||||||||||||||||||||||
Net | Net | Total | ||||||||||||||||||||||
Ordinary | Long Term | Short Term | Total Taxable | Tax Exempt | Distributions | |||||||||||||||||||
Income | Capital Gains | Capital Gains | Distributions | Distributions | Paid* | |||||||||||||||||||
Prime Money Market Fund | $991,413 | $ | — | $ | — | $991,413 | $ | — | $991,413 | |||||||||||||||
U.S. Government Money Market Fund | 610,490 | — | — | 610,490 | — | 610,490 | ||||||||||||||||||
Tax-Free Money Market Fund | 7,157 | — | — | 7,157 | 118,042 | 125,199 | ||||||||||||||||||
The tax character of distributions during the year ended September 30, 2014 were as follows: | ||||||||||||||||||||||||
Distributions Paid From | ||||||||||||||||||||||||
Net | Net | Total | ||||||||||||||||||||||
Ordinary | Long Term | Short Term | Total Taxable | Tax Exempt | Distributions | |||||||||||||||||||
Income | Capital Gains | Capital Gains | Distributions | Distributions | Paid* | |||||||||||||||||||
Prime Money Market Fund | $ | 1,247,495 | $ | — | $ | — | $1,247,495 | $ | — | $ | 1,247,495 | |||||||||||||
U.S. Government Money Market Fund | 606,716 | 362 | — | 607,078 | — | 607,078 | ||||||||||||||||||
Tax-Free Money Market Fund | 1,000 | — | — | 1,000 | 144,169 | 145,169 |
*Total distributions paid may differ from the Statements of Changes in Net Assets because distributions are recognized when actually paid for tax purposes.
As of September 30, 2015, the components of accumulated earnings/(losses) on a tax basis were as follows:
Accumulated | Deferred | |||||||||||||||||||||||||||||||
Undistributed | Undistributed | Undistributed | Capital | Qualified | Total | |||||||||||||||||||||||||||
Ordinary | Short-Term | Long-Term | Distributions | Loss | Late-Year | Unrealized | Accumulated | |||||||||||||||||||||||||
Income | Capital Gains | Capital Gains | Payable | Carryforwards | Losses | Depreciation | Earnings/(Losses) | |||||||||||||||||||||||||
Prime Money Market Fund | $33,381 | $ | — | $ | — | $(34,957 | ) | $(4,028,803 | ) | $ | — | $ | — | $(4,030,379 | ) | |||||||||||||||||
U.S. Government Money Market Fund | — | — | — | — | (2,967 | ) | — | — | (2,967 | ) | ||||||||||||||||||||||
Tax-Free Money Market Fund | — | — | — | — | (3,897 | ) | — | — | (3,897 | ) |
As of September 30, 2015, the following Funds had net capital loss carryforwards to offset future net capital gains, if any:
Capital Loss | ||||||||||
Carryforward | Expires | |||||||||
Prime Money Market Fund | $4,028,803 | 2017 | ||||||||
Tax-Free Money Market Fund | 3,897 | 2019 |
Capital loss carryforwards utilized in the current year were $30,458 and $12,163 for the Prime Money Market Fund and Tax-Free Money Market Fund, respectively.
As of September 30, 2015, the U.S. Government Money Market Fund had a short-term capital loss carryforward of $2,967 available to offset future realized capital gains in accordance with the Regulated Investment Company Modernization Act of 2010. This capital loss carryforward is not subject to expiration and must first be utilized to offset future realized gains of the same character and must be utilized prior to the utilization of the loss carryforwards subject to expiration that are described above.
59 |
NOTES TO FINANCIAL STATEMENTS
|
Under current tax law, capital losses realized after October 31 of a Fund’s fiscal year may be deferred and treated as occurring on the first business day of the following fiscal year for tax purposes. The Funds did not have any deferred qualified late-year capital losses for the year ending September 30, 2015.
7. Line of Credit
The Tax-Free Money Market Fund is the sole participant in an uncommitted, unsecured $150,000,000 line of credit with U.S. Bank N.A. (the “Bank”), the Fund’s custodian, to be used to fund shareholder redemption requests and for other short-term temporary or emergency general business purposes. The line of credit has a scheduled termination date of February 13, 2016. Interest is charged on borrowings under this line of credit at the Bank’s prime lending rate – 1⁄2% per annum. There were no loans outstanding pursuant to this line of credit at September 30, 2015. During the year ended September 30, 2015, the Tax-Free Money Market Fund did not utilize this line of credit.
8. Regulatory Matters
On July 23, 2014, the SEC adopted amendments to the rules that govern money market mutual funds. In part, the amendments will require structural changes to most types of money market funds to one extent or another; however, the SEC provided for an extended 2-year transition period to comply with such structural requirements. At this time, Fund Management is evaluating the reforms adopted and the manner for implementing these reforms over time and its impact on the financial statements.
9. Subsequent Events
Management has evaluated the impact of subsequent events on the Funds and has determined that there are no subsequent events that require recognition or disclosure in the financial statements except the following:
On November 23, 2015, the Board approved in principal the Advisor’s recommendation that the Prime Money Market Fund will no longer be offered by the Trust after September 30, 2016 and will be closed to investments at a date to be determined. Shareholders will be notified of a liquidation date and the date the Fund will suspend purchases and exchanges into the Fund.
60 |
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
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To the Shareholders and Board of Trustees of RBC Funds Trust:
We have audited the accompanying statements of assets and liabilities, including the schedules of portfolio investments, of Prime Money Market Fund, US Government Money Market Fund, and Tax-Free Money Market Fund (collectively the “Funds”), three of the portfolios constituting the RBC Funds Trust (the “Trust”), as of September 30, 2015, and the related statements of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended. These financial statements and financial highlights are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.
We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. The Funds are not required to have, nor were we engaged to perform, an audit of their internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Funds’ internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of September 30, 2015, by correspondence with the custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of each of the portfolios constituting the RBC Funds Trust as of September 30, 2015, the results of their operations for the year then ended, the changes in their net assets for each of the two years in the period then ended and the financial highlights for each of the five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America.
Empasis of a Matter
As discussed in Note 9 to the Financial Statements, the Trust announced that the Board approved in principal the Advisor’s recommendation that the Prime Money Market Fund will no longer be offered by the Trust after September 30, 2016, and will be closed to investments at a date to be determined.
DELOITTE & TOUCHE LLP
Chicago, Illinois
November 25, 2015
61 |
OTHER FEDERAL INCOME TAX INFORMATION (UNAUDITED)
|
During the fiscal year ended September 30, 2015, the Tax-Free Money Market Fund declared tax-exempt distributions of $118,042.
The Funds report a portion of the income dividends distributed during the fiscal year ended September 30, 2015, as U.S. Government Income as follows:
Prime Money Market Fund | 0.84 | % | ||
U.S. Government Money Market Fund | 50.49 | % |
U.S. Government Income represents the amount of interest that was derived from direct U.S. Government obligations. Generally, such interest is exempt from state income tax. However, for residents of California, New York and Connecticut the statutory threshold requirements were not satisfied. Due to the diversity in state and local tax law, it is recommended you consult a tax adviser as to the applicability of the information provided for your specific situation.
The Funds report a portion of the income dividends distributed during the fiscal year ended September 30, 2015, as Qualified Interest Income as defined in the Internal Revenue Code as follows:
Prime Money Market Fund | 84.42 | % | ||
U.S. Government Money Market Fund | 99.57 | % | ||
Tax-Free Money Market Fund | 100.00 | % |
The Funds report a portion of the income dividends distributed during the fiscal year ended September 30, 2015, as Qualified Short-Term Gain as defined in the Internal Revenue Code as follows:
U.S. Government Money Market Fund | 100.00 | % |
All reportings are based on financial information available as of the date of this annual report and, accordingly, are subject to change. For each item above, it is the intention of the Funds to report the maximum amount permitted under the Internal Revenue Code and the regulations thereunder.
62 |
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Independent Trustees(1)(2)
T. Geron Bell (74)
Position, Term of Office and Length of Time Served with the Trust: Trustee since January 2004
Principal Occupation(s) During Past 5 Years: Chairman of the Executive Board of the Minnesota Twins (2011 to present); President of Twins Sports, Inc. (parent company of the Minnesota Twins) (2002 to 2011); President of the Minnesota Twins Baseball Club Incorporated (1987 to 2002)
Number of Portfolios in Fund Complex Overseen by Trustee: 23
Other Director/Trustee Positions Held by Trustee During Past 5 Years: None
Lucy Hancock Bode (64)
Position, Term of Office and Length of Time Served with the Trust: Trustee since January 2004
Principal Occupation(s) During Past 5 Years: Healthcare consultant (self-employed) (1986 to present)
Number of Portfolios in Fund Complex Overseen by Trustee: 23
Other Director/Trustee Positions Held by Trustee During Past 5 Years: Franklin Street Partners (2014 to present); BioSignia (2006 to 2010).
Leslie H. Garner Jr. (65)
Position, Term of Office and Length of Time Served with the Trust: Trustee since January 2004
Principal Occupation(s) During Past 5 Years: President and CEO, The Greater Cedar Rapids Community Foundation (2010 to present); previously, President, Cornell College (1994 to 2010)
Number of Portfolios in Fund Complex Overseen by Trustee: 23
Other Director/Trustee Positions Held by Trustee During Past 5 Years: None
Ronald James (64)
Position, Term of Office and Length of Time Served with the Trust: Trustee since January 2004
Principal Occupation(s) During Past 5 Years: President and Chief Executive Officer, Center for Ethical Business Cultures (2000 to present)
Number of Portfolios in Fund Complex Overseen by Trustee: 23
Other Director/Trustee Positions Held by Trustee During Past 5 Years: Bremer Financial Corporation (2004 to present); Best Buy Co. Inc. (2004 to 2013).
John A. MacDonald (66)
Position, Term of Office and Length of Time Served with the Trust: Trustee since January 2004
Principal Occupation(s) During Past 5 Years: Vice President and Treasurer, Hall Family Foundation (1988 to present)
Number of Portfolios in Fund Complex Overseen by Trustee: 23
Other Director/Trustee Positions Held by Trustee During Past 5 Years: None
H. David Rybolt (73)
Position, Term of Office and Length of Time Served with the Trust: Trustee since January 2004
Principal Occupation(s) During Past 5 Years: Principal, HDR Associates (consulting-executive search) (1985 to present)
Number of Portfolios in Fund Complex Overseen by Trustee: 23
Other Director/Trustee Positions Held by Trustee During Past 5 Years: None
63 |
MANAGEMENT (Unaudited)
|
Independent Trustees(1)(2)
James R. Seward (63)
Position, Term of Office and Length of Time Served with the Trust: Chairman of the Board and Trustee since January 2004
Principal Occupation(s) During Past 5 Years: Private investor (2000 to present); CFA (1987 to present)
Number of Portfolios in Fund Complex Overseen by Trustee: 23
Other Director/Trustee Positions Held by Trustee During Past 5 Years: Sooner Holdings (formerly Syntroleum Corporation) (1988 to 2014); Brookdale Senior Living Inc. (2008 to present)
William B. Taylor (70)
Position, Term of Office and Length of Time Served with the Trust: Trustee since September 2005
Principal Occupation(s) During Past 5 Years: Consultant (2003 to present); previously Partner, Ernst
& Young LLP (1982 to 2003)
Number of Portfolios in Fund Complex Overseen by Trustee: 23
Other Director/Trustee Positions Held by Trustee During Past 5 Years: William Henry Insurance, LLC (2005 to present); Balance Innovations LLC (2014 to present); Kansas City Symphony (1995 to present)
Interested Trustees(1)(2)(3)
Kathleen A. Gorman (51)(5)
Position, Term of Office and Length of Time Served with the Trust: Trustee since September 2012
Principal Occupation(s) During Past 5 Years: President and Chief Executive Officer, RBC Funds (2012 to present); Chief Compliance Officer, RBC Funds (2006 to 2012); Director of Regulatory Administration, RBC Global Asset Management (U.S.) Inc. (2007 to 2012); Chief Compliance Officer, RBC Global Asset Management (U.S.) Inc. (2006 to 2009)
Number of Portfolios in Fund Complex Overseen by Trustee: 23
Other Director/Trustee Positions Held by Trustee During Past 5 Years: None
Executive Officers(1)(3)(4)
Kathleen A. Gorman (51)
Position, Term of Office and Length of Time Served with the Trust: President and Chief Executive Officer since September 2012
Principal Occupation(s) During Past 5 Years: President and Chief Executive Officer, RBC Funds (2012 to present) Chief Compliance Officer, RBC Funds (2006 to 2012); Director of Regulatory Administration, RBC Global Asset Management (U.S.) Inc. (2007 to 2012); Chief Compliance Officer, RBC Global Asset Management (U.S.) Inc. (2006 to 2009)
64 |
MANAGEMENT (Unaudited)
|
Executive Officers(1)(3)(4)
Kathleen A. Hegna (48)
Position, Term of Office and Length of Time Served with the Trust: Chief Financial Officer and Principal Accounting Officer since May 2009 and Treasurer since March 2014
Principal Occupation(s) During Past 5 Years: Associate Vice President and Director, Mutual Fund Accounting and Administration, RBC Global Asset Management (U.S.) Inc. (2009 to present)
Christina M. Weber (47)
Position, Term of Office and Length of Time Served with the Trust: Chief Compliance Officer since December 2012 and Assistant Secretary since March 2013
Principal Occupation(s) During Past 5 Years: Chief Compliance Officer, RBC Funds (2012 to present); Senior Compliance Officer, RBC Funds (March 2012 to December 2012); Compliance Manager, Minnesota Life Insurance Company (2006 to 2012)
Lee Thoresen (44)
Position, Term of Office and Length of Time Served with the Trust: Chief Legal Officer and Secretary since March 2008
Principal Occupation(s) During Past 5 Years: Senior Associate General Counsel, RBC Capital Markets, LLC (2006 to present)
(1) | Except as otherwise noted, the address of each Trustee/Officer is RBC Funds Trust, 50 South Sixth Street, Suite 2350, Minneapolis, Minnesota 55402. |
(2) | All Trustees must retire on or before December 31 of the year in which they reach age 75. The Board may temporarily waive this requirement when necessary to avoid depriving the Board of a Trustee with critical skills. |
(3) | On December 31, 2009, Voyageur Asset Management Inc. changed its name to RBC Global Asset Management (U.S.) Inc. Any references to RBC Global Asset Management (U.S.) Inc. for prior periods are deemed to be references to the prior entity. |
(4) | Each officer serves in such capacity for an indefinite period of time until his or her removal, resignation or retirement. |
(5) | Kathleen A. Gorman has been determined to be an interested Trustee by virtue of her position with the Advisor. |
The Funds’ Statement of Additional Information includes information about the Funds’ Trustees. To receive your free copy of the Statement of Additional Information, call toll free: 1-800-422-2766.
65 |
SUPPLEMENTAL INFORMATION (Unaudited)
|
Shareholder Expense Examples
As a shareholder of the RBC Funds, you incur two types of costs: (1) transaction costs, including sales charges (loads) and (2) ongoing costs, including management fees; 12b-1 distribution and service fees; and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the RBC Funds and to compare these costs with the ongoing costs of investing in other mutual funds.
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period from April 1, 2015 through September 30, 2015.
Actual Expenses and Performance
The table below provides information about actual account values and actual expenses. You may use the information below, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the table under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Beginning Account Value 4/1/15 | Ending Account Value 9/30/15 | Expenses Paid During Period* 4/1/15-9/30/15 | Annualized Expense Ratio During Period 4/1/15-9/30/15 | |||||||||||||
Prime Money Market Fund | ||||||||||||||||
RBC Institutional Class 1 | $1,000.00 | $1,000.30 | $0.90 | 0.18% | ||||||||||||
RBC Institutional Class 2 | 1,000.00 | 1,000.10 | 1.10 | 0.22% | ||||||||||||
RBC Investor Class | 1,000.00 | 1,000.10 | 1.15 | 0.23% | ||||||||||||
RBC Reserve Class | 1,000.00 | 1,000.10 | 1.10 | 0.22% | ||||||||||||
RBC Select Class | 1,000.00 | 1,000.10 | 1.15 | 0.23% | ||||||||||||
U.S. Government Money Market Fund | ||||||||||||||||
RBC Institutional Class 1 | 1,000.00 | 1,000.10 | 0.65 | 0.13% | ||||||||||||
RBC Institutional Class 2 | 1,000.00 | 1,000.10 | 0.65 | 0.13% | ||||||||||||
RBC Investor Class | 1,000.00 | 1,000.10 | 0.65 | 0.13% | ||||||||||||
RBC Reserve Class | 1,000.00 | 1,000.10 | 0.65 | 0.13% | ||||||||||||
RBC Select Class | 1,000.00 | 1,000.10 | 0.65 | 0.13% | ||||||||||||
Tax-Free Money Market Fund | ||||||||||||||||
RBC Institutional Class 1 | 1,000.00 | 1,000.00 | 0.30 | 0.06% | ||||||||||||
RBC Institutional Class 2 | 1,000.00 | 1,000.10 | 0.35 | 0.07% | ||||||||||||
RBC Investor Class | 1,000.00 | 1,000.10 | 0.35 | 0.07% | ||||||||||||
RBC Reserve Class | 1,000.00 | 1,000.10 | 0.30 | 0.06% | ||||||||||||
RBC Select Class | 1,000.00 | 1,000.10 | 0.30 | 0.06% |
* | Expenses are equal to the average account value times the Fund’s annualized expense ratio multiplied by 183/365 (to reflect one-half year period). |
66 |
SUPPLEMENTAL INFORMATION (Unaudited)
|
Hypothetical Example for Comparison Purposes
The table below provides information about hypothetical account values and hypothetical expenses based on each RBC Funds’ actual expense ratio 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 for the period. You may use this information to compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads), redemption fees, or exchange fees. Therefore, the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Beginning Account Value 4/1/15 | Ending Account Value 9/30/15 | Expenses Paid During Period* 4/1/15-9/30/15 | Annualized Expense Ratio During Period 4/1/15-9/30/15 | |||||||||||||
Prime Money Market Fund | ||||||||||||||||
RBC Institutional Class 1 | $1,000.00 | $1,024.17 | $0.91 | 0.18 | % | |||||||||||
RBC Institutional Class 2 | 1,000.00 | 1,023.97 | 1.12 | 0.22 | % | |||||||||||
RBC Investor Class | 1,000.00 | 1,023.92 | 1.17 | 0.23 | % | |||||||||||
RBC Reserve Class | 1,000.00 | 1,023.97 | 1.12 | 0.22 | % | |||||||||||
RBC Select Class | 1,000.00 | 1,023.92 | 1.17 | 0.23 | % | |||||||||||
U.S. Government | ||||||||||||||||
Money Market Fund | ||||||||||||||||
RBC Institutional Class 1 | 1,000.00 | 1,024.42 | 0.66 | 0.13 | % | |||||||||||
RBC Institutional Class 2 | 1,000.00 | 1,024.42 | 0.66 | 0.13 | % | |||||||||||
RBC Investor Class | 1,000.00 | 1,024.42 | 0.66 | 0.13 | % | |||||||||||
RBC Reserve Class | 1,000.00 | 1,024.42 | 0.66 | 0.13 | % | |||||||||||
RBC Select Class | 1,000.00 | 1,024.42 | 0.66 | 0.13 | % | |||||||||||
Tax-Free Money Market Fund | ||||||||||||||||
RBC Institutional Class 1 | 1,000.00 | 1,000.00 | 0.30 | 0.06 | % | |||||||||||
RBC Institutional Class 2 | 1,000.00 | 1,024.72 | 0.36 | 0.07 | % | |||||||||||
RBC Investor Class | 1,000.00 | 1,024.72 | 0.36 | 0.07 | % | |||||||||||
RBC Reserve Class | 1,000.00 | 1,024.77 | 0.30 | 0.06 | % | |||||||||||
RBC Select Class | 1,000.00 | 1,024.77 | 0.30 | 0.06 | % |
* | Expenses are equal to the average account value times the Fund’s annualized expense ratio multiplied by 183/365 (to reflect one-half year period). |
67 |
APPROVAL OF INVESTMENT ADVISORY AGREEMENT (UNAUDITED)
|
Information Regarding the Approval of Investment Advisory Agreements
In September 2015, after evaluating the services provided by RBC Global Asset Management (U.S.) Inc. (the “Advisor”) and reviewing the performance, fees, and expenses of the Funds, the RBC Funds Board of Trustees determined to approve the continuation of the investment advisory agreements (“Agreements”) with the Advisor for each Fund for an additional year.
As part of their review of the Agreements, the Trustees requested and considered information regarding the advisory services performed by the Advisor, the staffing and qualifications of the personnel responsible for operating and managing the Funds, and the Funds’ performance and expenses. The Trustees considered information provided at regular quarterly Board and Committee meetings throughout the year as well as information presented at both a special meeting held to review requested material related to the proposed renewals and a meeting held specifically to consider the proposed renewals. In connection with their deliberations, the independent Trustees were advised by their own independent legal counsel with regard to the materials and their responsibilities under relevant laws and regulations.
The Trustees met with representatives from the Advisor’s senior management team, as well as senior investment professionals, to discuss the information and the Advisor’s ongoing management of the Funds. The Trustees reviewed the nature, quality, and extent of the services provided to the Funds by the Advisor, including information as to each Fund’s performance.
The Trustees reviewed the Funds’ performance data and noted that, although the low interest rate environment had driven down money market returns, the Funds’ relative performance had improved. The Trustees were satisfied with the quality and capabilities of the money market fund portfolio management and analyst team and with the overall investment performance of the Funds.
The Trustees highlighted the challenging economic climate for money market funds generally, which has resulted in continued low gross yields and corresponding fee waivers. The Trustees reviewed the investment advisory fees payable to the Advisor and reviewed comparative fee and expense information for similarly situated funds. With regard to the U.S. Government Money Market Fund, the Trustees noted the Fund’s net expense ratio ranks in the fourth quartile of its peer group but is only slightly below the median. The Trustees evaluated profitability data for the Advisor and considered information regarding other benefits the Advisor and its affiliates derived from their relationships with the Funds, including the Advisor’s role as co-administrator of the Funds and the fees paid by the Funds for such services. The Trustees also considered the voluntary and contractual agreements by the Advisor and its affiliates to subsidize Fund expenses at competitive levels through expense limitation agreements and viewed such commitments favorably.
Based upon their review, the Trustees determined that the advisory fees proposed to be payable to the Advisor were reasonable and fair in light of the nature and quality of services provided under all the circumstances and were within the range of what might have been negotiated at arms’ length. The Trustees concluded that it is in the interests of the Funds and their shareholders for the Trustees to approve the continuation of the Agreements as well as the expense limitation arrangements for the Funds. In arriving at their collective decision to approve the renewal of the Agreements, the Trustees did not assign relative weights to the factors discussed above or deem any one or group of them to be controlling in and of itself.
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RBC Funds
P.O. Box 701
Milwaukee, WI 53201-0701
800-422-2766
www.rbcgam.us
Performance data represents past performance and does not guarantee future results. The principal value of an investment and investment return will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost.
This report and the financial statements contained herein are provided for the information of RBC Funds shareholders. This report is not authorized for distribution to prospective investors unless preceded or accompanied by a current prospectus, which contains information concerning investment objectives, risks, charges and expenses of the funds. Please read the prospectus carefully before investing.
This report and the financial statements contained herein are not intended to be a forecast of future events, a guarantee of future results, or investment advice. There is no assurance that certain securities will remain in or out of each fund’s portfolio. The views expressed in this report reflect those of the portfolio managers through the year ended September 30, 2015.
NOT FDIC INSURED ● NO BANK GUARANTEE ● MAY LOSE VALUE
RBC Global Asset Management (U.S.) Inc. serves as investment advisor for the RBC Funds.
RBC Funds are distributed by Quasar Distributors LLC.
The RBC Funds are pleased to offer shareholder reports printed entirely on Forest
Stewardship Council® certified paper. FSC® certification ensures that the paper
used in this report contains fiber from well-managed and responsibly harvested
forests that meet strict environmental and socioeconomic standards.
RBCF-MM AR 09-15
RBC Funds | ||||||||||||
About Your Annual Report |
This annual report includes detailed information about your Fund including financial statements, performance, and a complete list of its holdings. |
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The RBC Funds compare their performance against various indices. Each of these indices is a widely recognized measure of return for the underlying category of securities. However, the indices are unmanaged, do not include fees, and cannot be invested in directly. |
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We hope the financial information presented will help you evaluate your investment in the RBC Funds. We also encourage you to read your Fund’s prospectus for further detail as to your Fund’s investment policies and risk profile. RBC Funds prospectuses and performance information subsequent to the date of this report are available on our website at www.rbcgam.us. |
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A description of the policies and procedures that your Fund uses to determine how to vote proxies relating to portfolio securities is available (i) without charge, upon request, by calling 1-800-422-2766; (ii) on the Fund’s website at www.rbcgam.us; and (iii) on the Securities and Exchange Commission’s (the “Commission”) website at http://www.sec.gov. |
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Information regarding how your Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 will be available (i) on the Fund’s website at www.rbcgam.us; and (ii) on the Commission’s website at http://www.sec.gov. |
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A schedule of each Fund’s portfolio holdings will be filed with the Commission for the first and third quarters of each fiscal year on Form N-Q. This information is available on the Commission’s website at http://www.sec.gov and may be reviewed and copied at the Commission’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room is available by calling 1-202-551-8090. |
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Table of | ||||||||||||
Contents | ||||||||||||
Letter from the Chief Investment Officer | 1 | |||||||||||
Portfolio Managers | 4 | |||||||||||
Performance Summary (Unaudited) | 8 | |||||||||||
Management Discussion and Analysis (Unaudited) | ||||||||||||
- RBC BlueBay Emerging Market Select Bond Fund | 12 | |||||||||||
- RBC BlueBay Emerging Market Corporate Bond Fund | 14 | |||||||||||
- RBC BlueBay Global High Yield Bond Fund | 16 | |||||||||||
- RBC BlueBay Global Convertible Bond Fund | 18 | |||||||||||
- RBC BlueBay Absolute Return Fund | 20 | |||||||||||
- RBC BlueBay Emerging Market Unconstrained Fixed Income Fund | 22 | |||||||||||
- RBC BlueBay Total Return Credit Fund | 24 | |||||||||||
Schedule of Portfolio Investments | 26 | |||||||||||
Financial Statements | ||||||||||||
- Statements of Assets and Liabilities | 101 | |||||||||||
- Statements of Operations | 105 | |||||||||||
- Statements of Changes in Net Assets | 107 | |||||||||||
Financial Highlights | 114 | |||||||||||
Notes to Financial Statements | 126 | |||||||||||
Report of Independent Registered Public Accounting Firm | 159 | |||||||||||
Other Federal Income Tax Information (Unaudited) | 160 | |||||||||||
Management (Unaudited) | 161 | |||||||||||
Share Class Information (Unaudited) | 164 | |||||||||||
Supplemental Information (Unaudited) | 165 | |||||||||||
Approval of Investment Advisory and Sub-Advisory Agreements (Unaudited) | 167 | |||||||||||
1 |
LETTER FROM THE CHIEF INVESTMENT OFFICER
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A further area of concern amongst global investors at the end of the second quarter was the sharp correction in Chinese stock markets; the Shanghai Stock Exchange Composite Index fell over 20% from its intra-month high as concerns grew that company valuations had become stretched. | ||||||
The third quarter of 2015 was dominated by events in Greece, China’s economy and as investors followed various communications from the Fed in an attempt to continue to determine the date of the first rate rise, which dragged down the performance of all risk assets. | ||||||
Looking forward, we believe the recent weakness in global risk markets has been overdone and that value is available in credit markets. | ||||||
While we believe the credit cycle is more mature in the US than in Europe, even in the US our current judgement is that it is in a mature phase rather than at the end phase of the cycle with default rates (ex-energy) remaining moderate by historic standards. Nevertheless, low all-in yields mean that the supply of issuance from companies will likely remain elevated and weigh on credit spreads, even though default rates are unlikely to spike. Moreover, low interest rates and yields, combined with spikes in volatility and heightened idiosyncratic risk, have made it an especially challenging investment environment. | ||||||
In addition, expectations of lower-for-longer commodity prices could result in commodity-related assets remaining weak. This in turn would have a knock-on effect on business models as well as countries (e.g. Brazil/Australia) that could face ongoing adjustments to the end of China’s investment and commodity boom. | ||||||
As we move towards the end of 2015, we continue to maintain our focus on absolute and risk-adjusted returns with an underlying emphasis on capital preservation. Thank you for your continued confidence and trust in the RBC BlueBay Funds. | ||||||
Sincerely. | ||||||
David Dowsett and Raphael Robelin, Co-Chief Investment Officers BlueBay Asset Management LLP | ||||||
Past performance is not a guarantee of future results. | ||||||
Mutual fund investing involves risk. Principal loss is possible. | ||||||
The RBC BlueBay Mutual Funds are distributed by Quasar Distributors, LLC, an affiliate of U.S. Bancorp Fund Services, LLC. | ||||||
The JP Morgan Emerging Markets Bond Index Global Diversified tracks total returns for U.S. Dollar denominated debt instruments issued by emerging market sovereign and quasi-sovereign entities: Brady bonds, loans, Eurobonds and local market instruments. | ||||||
The JP Morgan Government Bond Index - Emerging Markets Global Diversified Index (Unhedged) is a comprehensive global local emerging markets index, and consists of regularly traded, liquid fixed-rate, domestic currency government bonds to which international investors can gain exposure. | ||||||
2 |
LETTER FROM THE CHIEF INVESTMENT OFFICER
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The BofA Merrill Lynch Global High Yield Constrained Index USD Hedged tracks the performance of below investment grade bonds of corporate issuers domiciled in countries having an investment grade foreign currency long term debt rating. | ||||||
The Barclays Global Aggregate Corporate Bond Index provides a broad-based measure of the performance of the global investment grade corporate fixed-rate debt market and includes bonds issued by corporations in emerging and developed markets worldwide with a minimum maturity of at least one year and in accordance with minimum size thresholds set by the index provider. | ||||||
The JP Morgan European Leveraged Loan Index is designed to mirror the investable universe of the institutional European currency leveraged loan market, including only those loans which are Euro- or Sterling-denominated. | ||||||
The JP Morgan Leveraged Loan Index is designed to mirror the investable universe of US dollar institutional leveraged loans, including US and international borrowers. | ||||||
The Purchasing Managers Index is a measurement of surveys that have been developed in many countries to provide purchasing professionals, business decision-makers and economic analysts with an accurate and timely set of data to help better understand industry conditions. | ||||||
The Shanghai Stock Exchange Composite Index is a market composite made up of all the A shares and B shares that trade on the Shanghai Stock Exchange. | ||||||
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3 |
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RBC Global Asset Management (U.S.) Inc. (“RBC GAM (US)”) serves as the investment advisor and BlueBay Asset Management LLP (“BlueBay”) serves as an investment sub-advisor to each of the Funds and BlueBay Asset Management USA LLC (“BlueBay US”) serves as an investment sub-advisor for the RBC BlueBay Global High Yield Bond Fund, RBC BlueBay Absolute Return Fund and RBC BlueBay Total Return Credit Fund. The sub-advisors are responsible for the overall management of the Funds’ portfolios. The individuals primarily responsible for the day-to-day management of the Funds’ portfolios are set forth below.
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David Dowsett Partner, Co-Chief Investment Officer & Co-Head of Emerging Market Debt | ||||||
David Dowsett is Co-Chief Investment Officer of BlueBay and Co-Head of the Emerging Market Debt team at the firm and is responsible for portfolio management of the RBC BlueBay Emerging Market Select Bond Fund, RBC BlueBay Emerging Market Unconstrained Fixed Income Fund and RBC BlueBay Total Return Credit Fund. David joined BlueBay in April 2002. Previously he spent seven years at Deutsche Asset Management (formerly Morgan Grenfell Asset Management) where he was a Board Director with responsibility for emerging markets and a member of the Investment Policy Committee for all fixed income. David has a BA (Hons) degree in Politics and Economics from Durham University.
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Nick Shearn Portfolio Manager | ||||||
Nick Shearn is responsible for portfolio management of the RBC BlueBay Emerging Market Select Bond Fund and RBC BlueBay Total Return Credit Fund. Nick joined BlueBay in June 2011 from The Royal Bank of Scotland, where he was Head of Local Markets Rates Trading for the CEEMEA region. Prior to this he spent ten years at Deutsche Bank in Johannesburg (1998- 2002) and London (2002-2008) trading local markets products. Before trading emerging markets products, Nick focused on the Eurobond markets and was Head of Liquid Credit Trading at JP Morgan before joining DKB International as Head of Trading in 1995. He has a BSc Econ (Hons) from Queen Mary College, London University.
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Polina Kurdyavko Partner, Senior Portfolio Manager | ||||||
Polina Kurdyavko is Head of the Emerging Market Corporate Debt team at BlueBay and the lead portfolio manager for the BlueBay long only and alternative emerging market corporate bond portfolios, including the RBC BlueBay Emerging Market Corporate Bond Fund and RBC BlueBay Total Return Credit Fund. Polina joined BlueBay in July 2005 from UBS where she worked as a Credit Analyst in EMEA corporate research. Her role involved secondary coverage of CEEMEA issuers and research support for primary issuance of select corporates. Prior to this, Polina was with Alliance Capital where she started as an emerging markets equity analyst and then moved on to pioneer emerging markets quantitative research at Alliance. Polina holds an MSc (Hons) in Finance from the People’s Friendship University of Russia, Moscow and is a CFA charterholder. | ||||||
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4 |
PORTFOLIO MANAGERS
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Adam Borneleit Portfolio Manager Adam Borneleit is responsible for portfolio management of the RBC BlueBay Emerging Market Corporate Bond Fund. Adam joined BlueBay in June 2008 from Pacific Investment Management Company (PIMCO) where he worked from 2000. He was part of the Emerging Markets Portfolio Management team with a focus on corporate bonds. Prior to that, he was a Credit Analyst in SunAmerica’s high-yield bond group, a Manager at PriceWaterhouse Moscow’s corporate finance group in Russia, and an Analyst in Prudential’s private-placement group. Adam holds bachelor’s degrees in both economics and French from the University of Pennsylvania’s Wharton School and College of Arts and Sciences, and an MBA from Stanford University’s Graduate School of Business.
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Anthony Robertson Partner, Head of Global Leveraged Finance Group Senior Portfolio Manager Anthony Robertson is responsible for portfolio management of the RBC BlueBay Global High Yield Bond Fund and RBC BlueBay Total Return Credit Fund. Anthony joined BlueBay in August 2004 from Putnam Investments (formerly New Flag Asset Management) where he was a Senior Portfolio Manager responsible for European high yield portfolios. Prior to Putnam, Anthony held similar roles at Standard Asset Management, London & Capital Asset Management, and the West Merchant Bank (West LB). Anthony received his Bachelor of Commerce (Honours) from the University of Natal.
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Michael Reed Senior Portfolio Manager Michael Reed is responsible for portfolio management of the RBC BlueBay Global Convertible Bond Fund and RBC BlueBay Total Return Credit Fund. Michael joined BlueBay in October 2007 from Pendragon, where, as a Partner, he ran the company’s convertible arbitrage strategies. Prior to that, he was a Managing Director of Salomon Brothers, responsible for international convertible bond trading between 1994 and 2002. Michael joined the Japanese Warrant Arbitrage desk at Salomon in 1989 and spent two years trading Japanese Warrant Arbitrage in Tokyo. Michael holds a Bachelor of Engineering from Southampton University. | ||||||
5 |
PORTFOLIO MANAGERS
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Mark Dowding Partner, Co-Head Investment Grade Senior Portfolio Manager Mark Dowding Co-Heads the investment grade team at BlueBay, is a member of the asset allocation committee and is responsible for portfolio management of the RBC BlueBay Absolute Return Fund and RBC BlueBay Total Return Credit Fund. Mark joined BlueBay in August 2010 from Deutsche Asset Management, where he was Head of Fixed Income in Europe. Prior to this, Mark was Head of Fixed Income in Europe for Invesco, where he managed a range of global fixed income portfolios for retail and institutional clients. Mark started his career as a Fixed Income Portfolio Manager at Morgan Grenfell in 1993 and holds a BA Hons in Economics from the University of Warwick.
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Raphael Robelin Partner, Co-Chief Investment Officer & Co-Head of Investment Grade Debt Raphael Robelin is Co-Chief Investment Officer of BlueBay, Co-Head of Investment Grade Debt at the firm and is responsible for portfolio management of the RBC BlueBay Absolute Return Fund. He joined BlueBay in August 2003 from Invesco where he was Portfolio Manager for Investment Grade Funds. Prior to that, he was a Portfolio Manager with BNP Group and Saudi International Bank. Raphael holds a degree in Engineering (IT) and Applied Mathematics from EFREI as well as a Masters in Management and International Finance from La Sorbonne, Paris.
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Geraud Charpin Portfolio Manager Geraud Charpin is responsible for portfolio management of the RBC BlueBay Absolute Return Fund. Geraud has been working in credit markets since 1994 and joined BlueBay in August 2008 from UBS where he was Head of European Credit Strategy. Prior to that, he was a credit strategist with BNP Paribas and a credit analyst with Dresdner Kleinwort Benson and Natwest Markets. Geraud holds a degree in Engineering from ICPI Lyon, France as well as a Master of Finance from ESSEC International Management School, Paris.
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Andrzej Skiba Partner, Senior Portfolio Manager Andrzej Skiba is responsible for BlueBay’s U.S.-based analyst and execution team and is a portfolio manager for the RBC BlueBay Absolute Return Fund. Andrzej joined BlueBay in February 2005 from Goldman Sachs where he worked as a Credit Analyst covering European investment grade Telecom, Media and Utility sectors. He spent his first four years at BlueBay as a credit analyst covering the TMT, Utilities and Retail sectors for the Investment Grade team. In 2009, he moved into a Portfolio Manager position, focusing on benchmarked portfolios. Andrzej has a BSc (Honors) in Management and International Business Economics from UMIST and is a CFA Charterholder.
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Rodrigo da Fonseca Senior Portfolio Manager Rodrigo da Fonseca is responsible for portfolio management of the RBC BlueBay Emerging Market Unconstrained Fixed Income Fund. Rodrigo joined BlueBay in September 2005, initially as an economist within the emerging market debt team and subsequently as a portfolio manager. Before joining BlueBay he worked for DrKW as an emerging market researcher covering Latin America. He previously worked for the Ministry of Finance in Argentina.
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6 |
PORTFOLIO MANAGERS
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Rodrigo holds an MSc (Hons) in Economics and Finance from University of Warwick and an MA in Economics from Universidad Di Tella (Argentina). | ||||||
7 |
PERFORMANCE SUMMARY (UNAUDITED)
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Net | Gross | ||||||||||||||||||||||||
Since | Expense | Expense | |||||||||||||||||||||||
1 Year | 3 Year | Inception(a) | Ratio(1)(2) | Ratio(1)(2) | |||||||||||||||||||||
Average Annual Total Returns as of September 30, 2015 | |||||||||||||||||||||||||
RBC BlueBay Emerging Market Select Bond Fund | |||||||||||||||||||||||||
Class A | |||||||||||||||||||||||||
- Including Maximum Sales Charge of 4.25% | (14.49)% | N/A | (6.94)% | ||||||||||||||||||||||
- At Net Asset Value | (10.72)% | N/A | (4.70)% | 1.15% | 3.84% | ||||||||||||||||||||
Class I | |||||||||||||||||||||||||
- At Net Asset Value | (10.67)% | (4.50)% | (0.74)% | 0.90% | 1.14% | ||||||||||||||||||||
50% JPMorgan EMBI Global Diversified/50% JPMorgan GBI-EM Broad Diversified | (8.17)% | (2.41)% | 1.27% | ||||||||||||||||||||||
RBC BlueBay Emerging Market Corporate Bond Fund | |||||||||||||||||||||||||
Class A | |||||||||||||||||||||||||
- Including Maximum Sales Charge of 4.25% | (8.11)% | N/A | (1.24)% | ||||||||||||||||||||||
- At Net Asset Value | (3.99)% | N/A | 1.10% | 1.19% | 35.45% | ||||||||||||||||||||
Class I | |||||||||||||||||||||||||
- At Net Asset Value | (3.77)% | 0.63% | 3.76% | 0.94% | 1.74% | ||||||||||||||||||||
JPMorgan CEMBI Diversified(b) | (0.51)% | 2.53% | 5.70% | ||||||||||||||||||||||
RBC BlueBay Global High Yield Bond Fund | |||||||||||||||||||||||||
Class A | |||||||||||||||||||||||||
- Including Maximum Sales Charge of 4.25% | (4.09)% | N/A | 0.06% | ||||||||||||||||||||||
- At Net Asset Value | 0.15% | N/A | 2.44% | 0.98% | 2.38% | ||||||||||||||||||||
Class I | |||||||||||||||||||||||||
- At Net Asset Value | 0.28% | 4.35% | 6.77% | 0.75% | 1.33% | ||||||||||||||||||||
BofA Merrill Lynch Global High Yield Constrained Index USD hedged(b) | (2.83)% | 4.11% | 7.50% | ||||||||||||||||||||||
RBC BlueBay Global Convertible Bond Fund | |||||||||||||||||||||||||
Class I | |||||||||||||||||||||||||
- At Net Asset Value | 2.37% | 7.32% | 7.99% | 0.85% | 1.56% | ||||||||||||||||||||
Thomson Reuters Convertible Global Focus Hedged Index(b) | 2.55% | 6.99% | 7.75% | ||||||||||||||||||||||
RBC BlueBay Absolute Return Fund | |||||||||||||||||||||||||
Class A | |||||||||||||||||||||||||
- Including Maximum Sales Charge of 4.25% | (7.01)% | N/A | (2.55)% | ||||||||||||||||||||||
- At Net Asset Value | (2.90)% | N/A | (0.20)% | 1.20% | 1.17% | ||||||||||||||||||||
Class C | |||||||||||||||||||||||||
- At Net Asset Value | (3.58)% | N/A | (3.72)% | 1.92% | 1.90% | ||||||||||||||||||||
Class I | |||||||||||||||||||||||||
- At Net Asset Value | (2.54)% | N/A | 1.33% | 0.95% | 0.96% | ||||||||||||||||||||
3-Month USD London Interbank Offering Rate (LIBOR) Index(b) | 0.27% | N/A | 0.26% |
8 |
PERFORMANCE SUMMARY (UNAUDITED)
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Net | Gross | |||||||||
Since | Expense | Expense | ||||||||
1 Year | 3 Year | Inception(a) | Ratio(1)(2) | Ratio(1)(2) | ||||||
Aggregate Total Returns as of September 30, 2015 | ||||||||||
RBC BlueBay Emerging Market Unconstrained | ||||||||||
Fixed Income Fund | ||||||||||
Class I | ||||||||||
- At Net Asset Value | N/A | N/A | (6.53)% | 1.25%(3) | 2.49%(3) | |||||
3-Month USD LIBOR Index(b) | N/A | N/A | 0.29% | |||||||
RBC BlueBay Total Return Credit Fund | ||||||||||
Class I | ||||||||||
- At Net Asset Value | N/A | N/A | (3.08)% | 1.00%(3) | 1.34%(3) | |||||
3-Month USD LIBOR Index(b) | N/A | N/A | 0.29% |
Performance data quoted represents past performance. Past performance is no guarantee of future results. Investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than performance quoted. Performance shown reflects contractual fee waivers, without such fee waivers total returns would be reduced. Performance information does not reflect the 2% fee on shares redeemed or exchanged within 30 days of purchase. If such redemption fee was included, performance would be reduced. For performance data current to the most recent month-end go to www.rbcgam.us. Please see footnotes below.
(1) The Funds’ expenses reflect actual expenses for the most recent year end for all Funds except for Emerging Market Unconstrained Fixed Income Fund and Total Return Credit Fund, which reflects actual expenses from December 9, 2014 (commencement of operations) to September 30, 2015.
(2) The advisor has contractually agreed to waive fees and/or make payments in order to keep total operating expenses of the Fund to the levels listed under net expense ratio until January 31, 2017 (October 31, 2017 for Emerging Market Corporate Bond Fund and Global High Yield Bond Fund). For Emerging Market Corporate Bond Fund and Global High Yield Bond Fund, effective August 3, 2015, the annual rate under the expense limitation agreement is 0.83% and 0.70% for Class A and 0.58% and 0.45% for Class I. The ratio of net expenses to average net assets represents a blended percentage for the year ended September 30, 2015.
(3) Annualized.
(a) The inception date (commencement of operations) for Class A shares is November 27, 2013 and November 30, 2011 for Class I shares for each Fund except Absolute Return Fund, which is June 24, 2014 for Class C shares and November 30, 2012 for Class I shares, and Emerging Market Unconstrained Fixed Income Fund and Total Return Credit Fund, which is December 9, 2014 for Class I shares. The total returns for Emerging Market Unconstrained Fixed Income Fund and Total Return Credit Fund are not annualized.
(b) Each of the comparative indices is a widely recognized market value weighted measure of the return of securities, but do not include sales fees or operating expenses. You cannot invest directly in indices.
JPMorgan Emerging Markets Bond Index (“EMBI”) Global Diversified tracks total returns for U.S. Dollar denominated debt instruments issued by emerging market sovereign and quasi-sovereign entities: Brady bonds, loans, Eurobonds and local market instruments.
JPMorgan Government Bond Index - Emerging Markets (“GBI-EM”) Broad Diversified Index (Unhedged) is a comprehensive global local emerging markets index, and consists of regularly traded, liquid fixed-rate, domestic currency government bonds to which international investors can gain exposure.
The JPMorgan Corporate Emerging Markets Bond Index (“CEMBI”) Diversified limits the weights of those index countries with larger corporate debt stocks by only including a specified portion of these countries’
9 |
PERFORMANCE SUMMARY (UNAUDITED)
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eligible current face amounts of debt outstanding. The CEMBI Diversified results in well-distributed, more balanced weightings for countries included in the index. The countries covered in the CEMBI Diversified are identical to those covered by the CEMBI.
The BofA Merrill Lynch Global High Yield Constrained Index tracks the performance of below investment grade bonds of corporate issuers domiciled in countries having an investment grade foreign currency long term debt rating.
The Thomson Reuters Convertible Global Focus USD Hedged Index measures the performance of the liquid global convertible market. This index was formerly known as the UBS Global Focus Convertible Index.
The 3-Month USD London Interbank Offering Rate (LIBOR) Index is the average interest rate estimated by leading banks in London that they would be charged if borrowing from other banks.
10 |
This Page Intentionally Left Blank
11 |
12 |
MANAGEMENT DISCUSSION AND ANALYSIS (UNAUDITED)
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RBC BlueBay Emerging Market Select Bond Fund
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Current income and capital appreciation.
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| Investment Objective | ||||||||||||||
50% JPMorgan EMBI Global Diversified/50% JPMorgan GBI-EM Broad Diversified Index
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| Benchmark | ||||||||||||||
*Includes U.S. dollar denominated cash equivalent investments representing 20.36% of investments.
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| Asset Allocation (as of 9/30/15) (% of fund’s investments) & Top Five Industries (as of 9/30/15) (% of fund’s net assets) | ||||||||||||||
Brazil Notas do Tesouro Nacional, Series F, 10.00%, 1/1/17 |
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4.59 |
% |
Indonesia Treasury Bond, 11.00%, 9/15/25 |
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1.95 |
% | Top Ten Holdings (excluding investment companies) (as of 9/30/15) (% of fund’s net assets) | ||||||||
Poland Government Bond, 3.25%, 7/25/25 | 3.52 | % | Brazil Notas do Tesouro Nacional, Series F, 10.00%, 1/1/21 | 1.82 | % | |||||||||||
Colombian TES, 10.00%, 7/24/24 | 2.44 | % | Slovenia Government International Bond, 5.25%, 2/18/24 | 1.73 | % | |||||||||||
Turkey Government Bond, 8.00%, 3/12/25 | 2.29 | % | South Africa Government Bond, 10.50%, 12/21/26 | 1.70 | % | |||||||||||
Ivory Coast Government International Bond, 5.75%, 12/31/32 | 2.03 | % | Croatia Government International Bond. 5.50%, 4/4/23 | 1.60 | % | |||||||||||
A listing of all portfolio holdings can be found beginning on page 26.
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Growth of $10,000 Initial Investment Since Inception (11/30/11) | ||||||||||||||||
The graph reflects an initial investment of $10,000 over the period from November 30, 2011 to September 30, 2015 and is based on Class I shares. The Fund’s total return includes reinvested dividends and capital gains. The Fund’s total return also includes operating expenses that reduce return, while the total return of the index does not. The graph does not reflect the deduction of taxes that a shareholder would pay on fund distributions or redemption of fund shares. | ||||||||||||||||
13 |
14 |
MANAGEMENT DISCUSSION AND ANALYSIS (UNAUDITED)
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RBC BlueBay Emerging Market Corporate Bond Fund
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Current income and capital appreciation.
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| Investment Objective | ||||||||||||||
JPMorgan CEMBI Diversified Index
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| Benchmark | ||||||||||||||
*Includes U.S. dollar denominated cash equivalent investments representing 13.60% of investments. |
| Asset Allocation (as of 9/30/15) (% of fund’s investments) & Top Five Industries (as of 9/30/15) (% of fund’s net assets) | ||||||||||||||
DP World Ltd., 6.85%, 7/2/37 |
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2.56 |
% |
BBVA Bancomer SA, 6.75%, 9/30/22 |
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1.38 |
% | Top Ten Holdings (excluding investment companies) (as of 9/30/15) (% of fund’s net assets) | ||||||||
Fermaca Enterprises S de RL de CV, 6.38%, 3/30/38 | 2.15 | % | Gazprom OAO Via Gaz Capital SA, 9.25%, 3.15% | 1.37 | % | |||||||||||
Listrindo Capital BV, 6.95%, 2/21/19 | 2.09 | % | Israel Electric Corp. Ltd., 5.00%, 11/12/24 | 1.31 | % | |||||||||||
OCP SA, 4.50%, 10/22/25 | 1.69 | % | Guanay Finance Ltd., 6.00%, 12/15/20 | 1.27 | % | |||||||||||
Empresa de Energia de Bogota SA ESP, 6.13%, 11/10/21 | 1.59 | % | Woori Bank, 5.00%, 6/10/45 | 1.17 | % | |||||||||||
A listing of all portfolio holdings can be found beginning on page 40.
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Growth of $10,000 Initial Investment Since Inception (11/30/11) | ||||||||||||||||
The graph reflects an initial investment of $10,000 over the period from November 30, 2011 to September 30, 2015 and is based on Class I shares. The Fund’s total return includes reinvested dividends and capital gains. The Fund’s total return also includes operating expenses that reduce return, while the total return of the index does not. The graph does not reflect the deduction of taxes that a shareholder would pay on fund distributions or redemption of fund shares. | ||||||||||||||||
15 |
16 |
MANAGEMENT DISCUSSION AND ANALYSIS (UNAUDITED)
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RBC BlueBay Global High Yield Bond Fund
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Current income and capital appreciation.
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| Investment Objective | ||||||||||||||
BofA Merrill Lynch Global High Yield Constrained Index
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| Benchmark | ||||||||||||||
*Includes U.S. dollar denominated cash equivalent investments representing 11.12% of investments.
|
| Asset Allocation (as of 9/30/15) (% of fund’s investments) & Top Five Industries (as of 9/30/15) (% of fund’s net assets) | ||||||||||||||
Wind Acquisition Finance SA, 4.00%, 7/15/20 |
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2.30 |
% |
Zayo Group LLC/Zayo Capital, Inc., 6.00%, 4/1/23 |
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1.38 |
% | Top Ten Holdings (excluding investment companies) (as of 9/30/15) (% of fund’s net assets) | ||||||||
VRX Escrow Corp., 4.50%, 5/15/23 | 2.00 | % | Great Canadian Gaming Corp., 6.63%, 7/25/22 | 1.27 | % | |||||||||||
HD Supply, Inc., 7.50%, 7/15/20 | 1.93 | % | Numericable Group SA, 6.00%, 5/15/22 | 1.27 | % | |||||||||||
Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH, 4.00%, 1/15/25 | 1.44 | % | Pinnacle Entertainment, Inc., 7.75%, | 1.26 | % | |||||||||||
Albea Beauty Holdings SA, 8.38%, 11/1/19 | 1.39 | % | Alliance Data Systems Corp., 5.38%, 8/1/22 | 1.26 | % | |||||||||||
A listing of all portfolio holdings can be found beginning on page 47.
|
| |||||||||||||||
Growth of $10,000 Initial Investment Since Inception (11/30/11) | ||||||||||||||||
The graph reflects an initial investment of $10,000 over the period from November 30, 2011 to September 30, 2015 and is based on Class I shares. The Fund’s total return includes reinvested dividends and capital gains. The Fund’s total return also includes operating expenses that reduce return, while the total return of the index does not. The graph does not reflect the deduction of taxes that a shareholder would pay on fund distributions or redemption of fund shares. | ||||||||||||||||
17 |
18 |
MANAGEMENT DISCUSSION AND ANALYSIS (UNAUDITED)
|
| |||||||||||||||
RBC BlueBay Global Convertible Bond Fund
| ||||||||||||||||
Current income and capital appreciation.
|
| Investment Objective | ||||||||||||||
Thomson Reuters Convertible Global Focus USD Hedged Index
|
| Benchmark | ||||||||||||||
*Includes U.S. dollar denominated cash equivalent investments representing 11.41% of investments.
|
| Asset Allocation (as of 9/30/15) (% of fund’s investments) & Top Five Industries (as of 9/30/15) (% of fund’s net assets) | ||||||||||||||
Cemex SAB de CV, 3.75%, 3/15/18 |
|
2.51 |
% |
Salesforce.com, Inc., 0.25%, 4/1/18 |
|
1.90 |
% | Top Ten Holdings (excluding investment companies) (as of 9/30/15) (% of fund’s net assets) | ||||||||
Citrix Systems, Inc., 0.50%, 4/15/19 | 2.08 | % | ServiceNow, Inc., 1.92%, 11/1/18 | 1.88 | % | |||||||||||
NVIDIA Corp, 1.00%, 12/1/18 | 2.07 | % | Cahaya Capital Ltd., 0.26%, 9/18/21 | 1.74 | % | |||||||||||
Marine Harvest ASA, 0.88%, 5/6/19 | 1.93 | % | SanDisk Corp., 0.50%, 10/15/20 | 1.68 | % | |||||||||||
Microchip Technology, Inc., 1.63%, 2/15/25 | 1.92 | % | Kawasaki Kisen Kaisha Ltd., 1.40%, 9/26/18 | 1.68 | % | |||||||||||
A listing of all portfolio holdings can be found beginning on page 55.
|
| |||||||||||||||
Growth of $10,000 Initial Investment Since Inception (11/30/11) | ||||||||||||||||
The graph reflects an initial investment of $10,000 over the period from November 30, 2011 to September 30, 2015 and is based on Class I shares. The Fund’s total return includes reinvested dividends and capital gains. The Fund’s total return also includes operating expenses that reduce return, while the total return of the index does not. The graph does not reflect the deduction of taxes that a shareholder would pay on fund distributions or redemption of fund shares. | ||||||||||||||||
19 |
20 |
MANAGEMENT DISCUSSION AND ANALYSIS (UNAUDITED)
|
| |||||||||||||||
RBC BlueBay Absolute Return Fund
| ||||||||||||||||
Current income and capital appreciation.
|
| Investment Objective | ||||||||||||||
3-Month USD London Interbank Offering Rate (LIBOR) Index
|
| Benchmark | ||||||||||||||
*Includes U.S. dollar denominated cash equivalent investments representing 6.11% of investments.
|
| Asset Allocation (as of 9/30/15) (% of fund’s investments) & Top Five Industries (as of 9/30/15) (% of fund’s net assets) | ||||||||||||||
Slovenia Government International Bond, 4.13%, 2/18/19 |
|
3.27 |
% |
Iceland Government International Bond, 5.88%, 5/11/22 |
|
1.70 |
% | Top Ten Holdings (excluding investment companies) (as of 9/30/15) (% of fund’s net assets) | ||||||||
Spain Government Bond, 2.15%, 10/31/25 | 2.66 | % | Bundesrepublik Deutschland, 0.50%, 2/15/25 | 1.50 | % | |||||||||||
Cyprus Government International Bond, 4.63%, 2/3/20 | 2.57 | % | Spain Government Bond, 4.65%, 7/30/25 | 1.47 | % | |||||||||||
Slovenia Government International Bond, 5.50%, 10/26/22 | 1.98 | % | Mexico Government International Bond, 3.00%, 3/6/45 | 1.43 | % | |||||||||||
Nykredit Realkredit A/S, 2.00%, 10/1/15 | 1.85 | % | United States Treasury Note Bond, 2.88%, 8/15/45 | 1.38 | % | |||||||||||
A listing of all portfolio holdings can be found beginning on page 61.
|
| |||||||||||||||
Growth of $10,000 Initial Investment Since Inception (11/30/12) | ||||||||||||||||
The graph reflects an initial investment of $10,000 over the period from November 30, 2012 to September 30, 2015 and is based on Class I shares. The Fund’s total return includes reinvested dividends and capital gains. The Fund’s total return also includes operating expenses that reduce return, while the total return of the index does not. The graph does not reflect the deduction of taxes that a shareholder would pay on fund distributions or redemption of fund shares. | ||||||||||||||||
21 |
22 |
MANAGEMENT DISCUSSION AND ANALYSIS (UNAUDITED)
|
| |||||||||||||||
RBC BlueBay Emerging Market Unconstrained Fixed Income Fund
| ||||||||||||||||
Current income and capital appreciation.
|
| Investment Objective | ||||||||||||||
3-Month USD LIBOR Index
|
| Benchmark | ||||||||||||||
*Includes U.S. dollar denominated cash equivalent investments representing 38.58% of investments.
|
| Asset Allocation (as of 9/30/15) (% of fund’s investments) & Top Five Industries (as of 9/30/15) (% of fund’s net assets) | ||||||||||||||
Ukraine Goverment International Bond, 6.58%, 11/21/16 |
|
3.27 |
% |
Zambia Government International Bond, 8.97%, 7/30/27 |
|
4.28 |
% | Top Ten Holdings (excluding investment companies) (as of 9/30/15) (% of fund’s net assets) | ||||||||
Colombia Goverment International Bond, 4.50%, 1/2/8/26 | 2.66 | % | Petrobras Global Finance BV, 5.38%, 1/27/21 | 3.82 | % | |||||||||||
Colombia Goverment International Bond, 5.63%, 2/26/44 | 2.57 | % | Comision Federal de Electricidad, 7.35%, 11/25/25 | 3.58 | % | |||||||||||
Mexico Government International Bond, 3.63%, 3/15/22 | 1.98 | % | EP PetroEcuador via Noble Sovereign Funding I Ltd., 5.91%, 9/24/19 | 3.56 | % | |||||||||||
Indonesia Government International Bond, 6.63%, 2/17/37 | 1.85 | % | Ecuador Government International Bond, 10.50%, 3/24/20 | 2.15 | % | |||||||||||
*A listing of all portfolio holdings can be found beginning on page 72.
|
| |||||||||||||||
Growth of $10,000 Initial Investment Since Inception (12/9/14) | ||||||||||||||||
The graph reflects an initial investment of $10,000 over the period from December 9, 2014 to September 30, 2015 and is based on Class I shares. The Fund’s total return includes reinvested dividends and capital gains. The Fund’s total return also includes operating expenses that reduce return, while the total return of the index does not. The graph does not reflect the deduction of taxes that a shareholder would pay on fund distributions or redemption of fund shares. | ||||||||||||||||
23 |
24 |
MANAGEMENT DISCUSSION AND ANALYSIS (UNAUDITED)
|
| |||||||||||||||
RBC BlueBay Total Return Credit Fund
| ||||||||||||||||
Current income and capital appreciation.
|
| Investment Objective | ||||||||||||||
3-Month USD LIBOR Index
|
| Benchmark | ||||||||||||||
*Includes U.S. dollar denominated cash equivalent investments representing 4.44% of investments.
|
| Asset Allocation (as of 9/30/15) (% of fund’s investments) & Top Five Industries (as of 9/30/15) (% of fund’s net assets) | ||||||||||||||
HD Supply, Inc., 7.50%, 7/15/20 |
|
1.36 |
% |
Priory Goup No.3 Plc, 7.00%, 2/15/18 |
|
0.91 |
% | Top Ten Holdings (excluding investment companies) (as of 9/30/15) (% of fund’s net assets) | ||||||||
Brazil Notas do Tesouro Nacional, Series F, 10.00%, 1/1/18 | 1.35 | % | Pinnacle Entertainment, Inc., 7.75%, 4/1/22 | 0.88 | % | |||||||||||
Wind Acquisition Finance SA, 4.00%, 7/15/20 | 1.06 | % | Rite Aid Corp., 6.13%, 4/1/23 | 0.88 | % | |||||||||||
Turkey Government Bond, 8.00%, 3/12/25 | 1.06 | % | Indonesia Treasury Bond, 8.38%, 3/15/24 | 0.86 | % | |||||||||||
Zayo Group LLC/Zayo Capital, Inc., 6.00%, 4/1/23 | 0.98 | % | Colombian TES, 10.00%, 7/24/24 | 0.82 | % | |||||||||||
*A listing of all portfolio holdings can be found beginning on page 78.
|
| |||||||||||||||
Growth of $10,000 Initial Investment Since Inception (12/9/14) | ||||||||||||||||
The graph reflects an initial investment of $10,000 over the period from December 9, 2014 to September 30, 2015 and is based on Class I shares. The Fund’s total return includes reinvested dividends and capital gains. The Fund’s total return also includes operating expenses that reduce return, while the total return of the index does not. The graph does not reflect the deduction of taxes that a shareholder would pay on fund distributions or redemption of fund shares. | ||||||||||||||||
25 |
SCHEDULE OF PORTFOLIO INVESTMENTS
|
RBC BlueBay Emerging Market Select Bond Fund
September 30, 2015
Principal Amount | Value | |||||
Corporate Bonds — 3.97% |
| |||||
Azerbaijan — 0.65% |
| |||||
$ 200,000 | State Oil Co. of the Azerbaijan Republic, 4.75%, 3/13/23 | $ | 173,760 | |||
Brazil — 1.08% | ||||||
405,000 | Petrobras Global Finance BV, 5.38%, 1/27/21 | 289,575 | ||||
Colombia — 0.08% | ||||||
24,000 | Ecopetrol SA, 5.38%, 6/26/26 | 20,880 | ||||
Kazakhstan — 0.63% | ||||||
200,000 | KazMunayGas National Co. JSC, 4.40%, 4/30/23 | 167,750 | ||||
Mexico — 0.48% | ||||||
97,000 | Petroleos Mexicanos, 5.63%, 1/23/46 | 78,570 | ||||
55,000 | Petroleos Mexicanos, 6.63%, 6/15/35 | 51,219 | ||||
|
| |||||
129,789 | ||||||
|
| |||||
Venezuela — 1.05% | ||||||
123,600 | Petroleos de Venezuela SA, 5.25%, 4/12/17 | 54,940 | ||||
155,000 | Petroleos de Venezuela SA, 6.00%, 5/16/24 | 50,143 | ||||
495,500 | Petroleos de Venezuela SA, 6.00%, 11/15/26 | 158,560 | ||||
52,548 | Petroleos de Venezuela SA, 9.00%, 11/17/21 | 18,838 | ||||
|
| |||||
282,481 | ||||||
|
| |||||
Total Corporate Bonds | 1,064,235 | |||||
|
| |||||
(Cost $1,188,687) | ||||||
Foreign Government Bonds — 75.16% | ||||||
Argentina — 2.18% | ||||||
294,368 | Argentina Bonar Bonds, 7.00%, 4/17/17 | 294,957 | ||||
135,354 | Argentine Republic Government International Bond, 8.28%, 12/31/33(a) | 138,400 | ||||
151,234 | Argentine Republic Government International Bond, 8.75%, 6/2/17(a) | 151,234 | ||||
|
| |||||
584,591 | ||||||
|
| |||||
Azerbaijan — 0.69% | ||||||
200,000 | Republic of Azerbaijan International Bond, 4.75%, 3/18/24 | 186,000 | ||||
Brazil — 7.92% | ||||||
5,195,000(b) | Brazil Notas do Tesouro Nacional, Series F, 10.00%, 1/1/17 | 1,232,643 | ||||
2,392,000(b) | Brazil Notas do Tesouro Nacional, Series F, 10.00%, 1/1/21 | 488,229 | ||||
696,000(b) | Brazil Notas do Tesouro Nacional, Series F, 10.00%, 1/1/25 | 129,451 | ||||
220,000 | Brazilian Government International Bond, 2.63%, 1/5/23 | 178,200 |
26 |
SCHEDULE OF PORTFOLIO INVESTMENTS
|
RBC BlueBay Emerging Market Select Bond Fund (cont.)
September 30, 2015
Principal Amount | Value | |||||
$ 120,000 | Brazilian Government International Bond, 5.63%, 1/7/41 | $ | 95,700 | |||
|
| |||||
2,124,223 | ||||||
|
| |||||
Colombia — 6.73% | ||||||
220,000 | Colombia Government International Bond, 2.63%, 3/15/23 | 194,700 | ||||
205,000 | Colombia Government International Bond, 4.50%, 1/28/26 | 200,387 | ||||
210,000 | Colombia Government International Bond, 6.13%, 1/18/41 | 207,900 | ||||
1,424,900,000(b) | Colombian TES, 6.00%, 4/28/28 | 368,437 | ||||
598,200,000(b) | Colombian TES, 7.50%, 8/26/26 | 179,486 | ||||
1,814,900,000(b) | Colombian TES, 10.00%, 7/24/24 | 655,874 | ||||
|
| |||||
1,806,784 | ||||||
|
| |||||
Costa Rica — 0.65% | ||||||
200,000 | Costa Rica Government International Bond, 7.16%, 3/12/45 | 173,500 | ||||
Cote D’Ivoire (Ivory Coast) — 2.03% | ||||||
630,000 | Ivory Coast Government International Bond, 5.75%, 12/31/32(c) | 544,950 | ||||
Croatia (Hrvatska) — 3.82% | ||||||
420,000 | Croatia Government International Bond, 5.50%, 4/4/23 | 430,500 | ||||
220,000 | Croatia Government International Bond, 6.00%, 1/26/24 | 231,825 | ||||
125,000 | Croatia Government International Bond, 6.63%, 7/14/20 | 135,625 | ||||
210,000 | Croatia Government International Bond, 6.75%, 11/5/19 | 227,982 | ||||
|
| |||||
1,025,932 | ||||||
|
| |||||
Dominican Republic — 2.27% | ||||||
245,000 | Dominican Republic International Bond, 5.50%, 1/27/25 | 233,363 | ||||
250,000 | Dominican Republic International Bond, 5.88%, 4/18/24 | 245,000 | ||||
140,000 | Dominican Republic International Bond, 6.85%, 1/27/45 | 131,600 | ||||
|
| |||||
609,963 | ||||||
|
| |||||
Ecuador — 0.77% | ||||||
275,000 | Ecuador Government International Bond, 10.50%, 3/24/20 | 207,625 | ||||
El Salvador — 0.65% | ||||||
173,000 | El Salvador Government International Bond, 5.88%, 1/30/25 | 147,915 | ||||
30,000 | El Salvador Government International Bond, 6.38%, 1/18/27 | 25,800 | ||||
|
| |||||
173,715 | ||||||
|
| |||||
Gabon — 0.67% | ||||||
215,000 | Gabonese Republic, 6.95%, 6/16/25 | 180,063 | ||||
Georgia — 0.84% | ||||||
220,000 | Georgia Government International Bond, 6.88%, 4/12/21 | 226,050 |
27 |
SCHEDULE OF PORTFOLIO INVESTMENTS
|
RBC BlueBay Emerging Market Select Bond Fund (cont.)
September 30, 2015
Principal Amount | Value | |||||
Hungary — 2.78% | ||||||
30,380,000(b) | Hungary Government Bond, 3.00%, 6/26/24 | $ | 105,136 | |||
20,450,000(b) | Hungary Government Bond, 5.50%, 6/24/25 | 86,000 | ||||
30,380,000(b) | Hungary Government Bond, 7.00%, 6/24/22 | 133,722 | ||||
$ 378,000 | Hungary Government International Bond, 5.75%, 11/22/23 | 420,525 | ||||
|
| |||||
745,383 | ||||||
|
| |||||
Indonesia — 5.11% | ||||||
7,150,000,000(b) | Indonesia Treasury Bond, 11.00%, 9/15/25 | 522,567 | ||||
4,845,000,000(b) | Indonesia Treasury Bond Credit Linked Note, 8.38%, 3/19/24(d) | 304,888 | ||||
200,000 | Pertamina Persero PT, 5.63%, 5/20/43 | 155,500 | ||||
420,000 | Perusahaan Penerbit SBSN Indonesia III, 4.33%, 5/28/25 | 388,710 | ||||
|
| |||||
1,371,665 | ||||||
|
| |||||
Jamaica — 0.74% | ||||||
200,000 | Jamaica Government International Bond, 7.88%, 7/28/45 | 199,500 | ||||
Kazakhstan — 2.86% | ||||||
200,000 | Kazakhstan Government International Bond, 4.88%, 10/14/44 | 157,500 | ||||
420,000 | Kazakhstan Government International Bond, 5.13%, 7/21/25 | 404,250 | ||||
220,000 | Kazakhstan Government International Bond, 6.50%, 7/21/45 | 206,250 | ||||
|
| |||||
768,000 | ||||||
|
| |||||
Kenya — 1.38% | ||||||
200,000 | Kenya Government International Bond, 5.88%, 6/24/19 | 191,500 | ||||
200,000 | Kenya Government International Bond, 6.88%, 6/24/24 | 179,500 | ||||
|
| |||||
371,000 | ||||||
|
| |||||
Mexico — 7.80% | ||||||
6,300,000(b) | Mexican Bonos, 6.50%, 6/10/21 | 390,312 | ||||
4,730,000(b) | Mexican Bonos, 7.50%, 6/3/27 | 305,454 | ||||
2,030,000(b) | Mexican Bonos, 8.00%, 12/7/23 | 135,448 | ||||
3,610,000(b) | Mexican Bonos, 8.50%, 5/31/29 | 252,392 | ||||
4,160,000(b) | Mexican Bonos, 10.00%, 12/5/24 | 313,439 | ||||
770,000(b) | Mexican Bonos, 10.00%, 11/20/36 | 62,009 | ||||
400,000 | Mexico Government International Bond, 4.00%, 10/2/23 | 406,800 | ||||
221,000 | Mexico Government International Bond, 5.55%, 1/21/45 | 226,525 | ||||
|
| |||||
2,092,379 | ||||||
|
| |||||
Morocco — 0.75% | ||||||
200,000 | Morocco Government International Bond, 4.25%, 12/11/22 | 201,500 | ||||
Pakistan — 0.76% | ||||||
200,000 | Pakistan Government International Bond, 8.25%, 9/30/25(d) | 204,500 |
28 |
SCHEDULE OF PORTFOLIO INVESTMENTS
|
RBC BlueBay Emerging Market Select Bond Fund (cont.)
September 30, 2015
Principal Amount | Value | |||||
Paraguay — 1.56% | ||||||
$ 420,000 | Republic of Paraguay, 4.63%, 1/25/23 | $ | 417,900 | |||
Peru — 0.42% | ||||||
115,000 | Peruvian Government International Bond, 4.13%, 8/25/27 | 113,275 | ||||
Poland — 5.03% | ||||||
3,477,000(b) | Poland Government Bond, 3.25%, 7/25/25 | 945,327 | ||||
380,000 | Poland Government International Bond, 4.00%, 1/22/24 | 402,835 | ||||
|
| |||||
1,348,162 | ||||||
|
| |||||
Romania — 1.85% | ||||||
244,000 | Romanian Government International Bond, 4.38%, 8/22/23 | 254,065 | ||||
208,000 | Romanian Government International Bond, 6.13%, 1/22/44 | 241,800 | ||||
|
| |||||
495,865 | ||||||
|
| |||||
Russia — 0.14% | ||||||
3,058,000(b) | Russian Federal Bond - OFZ, 7.00%, 8/16/23 | 37,273 | ||||
Slovenia — 1.73% | ||||||
420,000 | Slovenia Government International Bond, 5.25%, 2/18/24 | 464,100 | ||||
South Africa — 5.25% | ||||||
4,711,942(b) | South Africa Government Bond, 6.75%, 3/31/21 | 320,032 | ||||
4,795,015(b) | South Africa Government Bond, 7.00%, 2/28/31 | 290,840 | ||||
5,526,867(b) | South Africa Government Bond, 10.50%, 12/21/26 | 456,239 | ||||
320,000 | South Africa Government International Bond, 5.50%, 3/9/20 | 340,783 | ||||
|
| |||||
1,407,894 | ||||||
|
| |||||
Thailand — 1.26% | ||||||
8,567,000(b) | Thailand Government Bond, 3.85%, 12/12/25 | 257,427 | ||||
2,396,000(b) | Thailand Government Bond, 4.88%, 6/22/29 | 79,147 | ||||
|
| |||||
336,574 | ||||||
|
| |||||
Turkey — 3.26% | ||||||
2,220,150(b) | Turkey Government Bond, 8.00%, 3/12/25 | 615,353 | ||||
835,834 | Turkey Government Bond, 9.40%, 7/8/20 | 259,236 | ||||
|
| |||||
874,589 | ||||||
|
| |||||
Ukraine — 1.83% | ||||||
342,000 | Ukraine Government International Bond, 6.58%, 11/21/16 | 271,035 | ||||
110,000 | Ukraine Government International Bond, 6.75%, 11/14/17 | 86,900 | ||||
150,000 | Ukreximbank Via Biz Finance Plc, 9.63%, 4/27/22 | 132,000 | ||||
|
| |||||
489,935 | ||||||
|
|
29 |
SCHEDULE OF PORTFOLIO INVESTMENTS
|
RBC BlueBay Emerging Market Select Bond Fund (cont.)
September 30, 2015
Principal Amount | Value | |||||
Venezuela — 0.42% | ||||||
$ 80,000 | Venezuela Government International Bond, 7.75%, 10/13/19 | $ | 27,200 | |||
140,000 | Venezuela Government International Bond, 11.75%, 10/21/26 | 55,160 | ||||
74,700 | Venezuela Government International Bond, 11.95%, 8/5/31 | 29,581 | ||||
|
| |||||
111,941 | ||||||
|
| |||||
Vietnam — 0.41% | ||||||
100,000 | Vietnam Government International Bond, 6.75%, 1/29/20 | 109,450 | ||||
Zambia — 0.60% | ||||||
200,000 | Zambia Government International Bond, 8.97%, 7/30/27 | 160,000 | ||||
|
| |||||
Total Foreign Government Bonds | 20,164,281 | |||||
|
| |||||
(Cost $21,421,172) | ||||||
Shares | ||||||
Investment Company — 20.22% | ||||||
5,426,098 | JPMorgan 100% US Treasury Securities Money Market Fund, Capital Shares | $ | 5,426,098 | |||
|
| |||||
Total Investment Company | 5,426,098 | |||||
|
| |||||
(Cost $5,426,098) | ||||||
Total Investments | $ | 26,654,614 | ||||
|
| |||||
(Cost $28,035,957)(e) — 99.35% | ||||||
Other assets in excess of liabilities — 0.65% | 175,162 | |||||
|
| |||||
NET ASSETS — 100.00% | $ | 26,829,776 | ||||
|
|
(a) | Issuer filed for bankruptcy and/or is in default of interest payments. |
(b) | Investment in non-U.S. Dollars. Principal amount reflects local currency. |
(c) | Represents a step-up bond that pays an initial coupon rate for the first period and then a higher coupon rate for the following periods. Rate shown is as of report date. |
(d) | Security exempt from registration under Rule 144A or Section 4(2) of the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. Security has been deemed to be liquid based on procedures approved by the Board of Trustees. |
(e) | See Notes to Financial Statements for the tax cost of securities and the breakdown of unrealized appreciation (depreciation). |
Foreign currency exchange contracts as of September 30, 2015:
Currency Purchased | Currency Sold | Counterparty | Settlement | Unrealized | ||||||||||||||||
BRL | 552,210 | USD | 138,816 | Citibank N.A. | 10/2/15 | $300 | ||||||||||||||
BRL | 394,435 | USD | 99,655 | Citibank N.A. | 10/2/15 | (286) |
30 |
SCHEDULE OF PORTFOLIO INVESTMENTS
|
RBC BlueBay Emerging Market Select Bond Fund (cont.)
September 30, 2015
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized (Depreciation) | ||||||||||||||||
BRL | 309,501 | USD | 78,494 | Citibank N.A. | 10/2/15 | $ (522) | ||||||||||||||
BRL | 552,210 | USD | 140,547 | Citibank N.A. | 10/2/15 | (1,431) | ||||||||||||||
BRL | 159,254 | USD | 43,504 | Citibank N.A. | 10/2/15 | (3,383) | ||||||||||||||
BRL | 1,380,744 | USD | 360,000 | Citibank N.A. | 10/2/15 | (12,154) | ||||||||||||||
BRL | 3,266,067 | USD | 865,000 | Citibank N.A. | 10/2/15 | (42,190) | ||||||||||||||
USD | 672,392 | BRL | 2,572,908 | Citibank N.A. | 10/2/15 | 24,208 | ||||||||||||||
USD | 504,635 | BRL | 1,930,028 | Citibank N.A. | 10/2/15 | 18,410 | ||||||||||||||
USD | 180,000 | BRL | 692,712 | Citibank N.A. | 10/2/15 | 5,487 | ||||||||||||||
USD | 120,000 | BRL | 460,080 | Citibank N.A. | 10/2/15 | 4,094 | ||||||||||||||
USD | 120,000 | BRL | 460,800 | Citibank N.A. | 10/2/15 | 3,912 | ||||||||||||||
USD | 120,000 | BRL | 460,800 | Citibank N.A. | 10/2/15 | 3,912 | ||||||||||||||
USD | 10,000 | BRL | 37,093 | Citibank N.A. | 10/2/15 | 655 | ||||||||||||||
CLP | 19,337,080 | USD | 28,000 | Citibank N.A. | 10/15/15 | (258) | ||||||||||||||
CLP | 71,869,336 | USD | 103,409 | Citibank N.A. | 10/15/15 | (301) �� | ||||||||||||||
CLP | 47,072,456 | USD | 68,000 | Citibank N.A. | 10/15/15 | (467) | ||||||||||||||
CLP | 93,963,375 | USD | 137,500 | Citibank N.A. | 10/15/15 | (2,695) | ||||||||||||||
CLP | 93,846,500 | USD | 137,500 | Citibank N.A. | 10/15/15 | (2,862) | ||||||||||||||
CNY | 1,576,150 | USD | 245,000 | Citibank N.A. | 10/15/15 | 2,253 | ||||||||||||||
CNY | 656,534 | USD | 102,000 | Citibank N.A. | 10/15/15 | 991 | ||||||||||||||
CNY | 9,831,811 | USD | 1,593,177 | Citibank N.A. | 10/15/15 | (50,847) | ||||||||||||||
CNY | 9,826,541 | USD | 1,593,381 | Citibank N.A. | 10/15/15 | (51,879) | ||||||||||||||
CNY | 9,826,542 | USD | 1,593,536 | Citibank N.A. | 10/15/15 | (52,034) | ||||||||||||||
COP | 947,617,230 | USD | 301,000 | Citibank N.A. | 10/15/15 | 5,345 | ||||||||||||||
COP | 337,942,500 | USD | 105,000 | Citibank N.A. | 10/15/15 | 4,250 | ||||||||||||||
COP | 176,904,971 | USD | 55,102 | Citibank N.A. | 10/15/15 | 2,088 | ||||||||||||||
COP | 330,565,664 | USD | 106,000 | Citibank N.A. | 10/15/15 | 865 | ||||||||||||||
COP | 1,169,740,369 | USD | 382,006 | Citibank N.A. | 10/15/15 | (3,854) | ||||||||||||||
EUR | 241,000 | USD | 274,150 | Citibank N.A. | 10/15/15 | (4,794) | ||||||||||||||
EUR | 246,996 | USD | 281,230 | Citibank N.A. | 10/15/15 | (5,172) | ||||||||||||||
HKD | 1,084,979 | USD | 140,000 | Citibank N.A. | 10/15/15 | (5) | ||||||||||||||
HUF | 28,143,074 | USD | 101,000 | Citibank N.A. | 10/15/15 | (706) | ||||||||||||||
IDR | 363,472,022 | USD | 25,000 | Citibank N.A. | 10/15/15 | (346) | ||||||||||||||
IDR | 2,161,050,000 | USD | 150,000 | Citibank N.A. | 10/15/15 | (3,415) | ||||||||||||||
IDR | 3,525,173,730 | USD | 247,034 | Citibank N.A. | 10/15/15 | (7,920) | ||||||||||||||
IDR | 5,189,014,000 | USD | 361,000 | Citibank N.A. | 10/15/15 | (9,027) | ||||||||||||||
INR | 40,045,200 | USD | 600,000 | Citibank N.A. | 10/15/15 | 8,586 | ||||||||||||||
INR | 63,243,973 | USD | 956,358 | Citibank N.A. | 10/15/15 | 4,790 | ||||||||||||||
INR | 16,675,375 | USD | 250,000 | Citibank N.A. | 10/15/15 | 3,423 | ||||||||||||||
JPY | 36,403,085 | USD | 294,619 | Citibank N.A. | 10/15/15 | 8,885 | ||||||||||||||
JPY | 1,080,482 | USD | 9,000 | Citibank N.A. | 10/15/15 | 8 | ||||||||||||||
JPY | 6,103,425 | USD | 51,032 | Citibank N.A. | 10/15/15 | (146) | ||||||||||||||
JPY | 30,401,993 | USD | 255,000 | Citibank N.A. | 10/15/15 | (1,529) | ||||||||||||||
KRW | 225,026,500 | USD | 190,000 | Citibank N.A. | 10/15/15 | (409) | ||||||||||||||
KRW | 83,512,080 | USD | 72,000 | Citibank N.A. | 10/15/15 | (1,639) | ||||||||||||||
KRW | 116,705,000 | USD | 100,000 | Citibank N.A. | 10/15/15 | (1,673) | ||||||||||||||
KRW | 132,215,500 | USD | 115,000 | Citibank N.A. | 10/15/15 | (3,605) | ||||||||||||||
KRW | 233,008,000 | USD | 200,000 | Citibank N.A. | 10/15/15 | (3,684) |
31 |
SCHEDULE OF PORTFOLIO INVESTMENTS
|
RBC BlueBay Emerging Market Select Bond Fund (cont.)
September 30, 2015
Currency Purchased | Currency Sold | Counterparty | Settlement | Unrealized | ||||||||||||||||
KRW | 111,224,000 | USD | 100,000 | Citibank N.A. | 10/15/15 | $ (6,291) | ||||||||||||||
KRW | 153,748,250 | USD | 137,000 | Citibank N.A. | 10/15/15 | (7,463) | ||||||||||||||
KRW | 242,900,550 | USD | 215,000 | Citibank N.A. | 10/15/15 | (10,349) | ||||||||||||||
KRW | 307,674,980 | USD | 277,000 | Citibank N.A. | 10/15/15 | (17,775) | ||||||||||||||
KRW | 761,433,630 | USD | 691,000 | Citibank N.A. | 10/15/15 | (49,470) | ||||||||||||||
KRW | 1,666,356,400 | USD | 1,490,000 | Citibank N.A. | 10/15/15 | (86,046) | ||||||||||||||
MXN | 16,156,075 | USD | 951,000 | Citibank N.A. | 10/15/15 | 3,453 | ||||||||||||||
MXN | 1,867,140 | USD | 110,000 | Citibank N.A. | 10/15/15 | 305 | ||||||||||||||
MXN | 2,203,630 | USD | 130,000 | Citibank N.A. | 10/15/15 | 184 | ||||||||||||||
MXN | 6,767,382 | USD | 400,000 | Citibank N.A. | 10/15/15 | (203) | ||||||||||||||
MXN | 639,025 | USD | 37,974 | Citibank N.A. | 10/15/15 | (222) | ||||||||||||||
MXN | 2,270,349 | USD | 135,000 | Citibank N.A. | 10/15/15 | (875) | ||||||||||||||
MXN | 1,845,114 | USD | 110,055 | Citibank N.A. | 10/15/15 | (1,051) | ||||||||||||||
MXN | 6,177,989 | USD | 368,121 | Citibank N.A. | 10/15/15 | (3,144) | ||||||||||||||
MYR | 109,805 | USD | 25,000 | Citibank N.A. | 10/15/15 | (21) | ||||||||||||||
MYR | 100,115 | USD | 24,008 | Citibank N.A. | 10/15/15 | (1,233) | ||||||||||||||
MYR | 169,440 | USD | 40,000 | Citibank N.A. | 10/15/15 | (1,455) | ||||||||||||||
MYR | 233,062 | USD | 55,000 | Citibank N.A. | 10/15/15 | (1,981) | ||||||||||||||
MYR | 223,440 | USD | 53,391 | Citibank N.A. | 10/15/15 | (2,561) | ||||||||||||||
MYR | 443,992 | USD | 105,000 | Citibank N.A. | 10/15/15 | (3,997) | ||||||||||||||
MYR | 357,099 | USD | 86,037 | Citibank N.A. | 10/15/15 | (4,801) | ||||||||||||||
MYR | 688,038 | USD | 162,000 | Citibank N.A. | 10/15/15 | (5,480) | ||||||||||||||
MYR | 2,110,709 | USD | 491,320 | Citibank N.A. | 10/15/15 | (11,159) | ||||||||||||||
MYR | 1,648,062 | USD | 390,000 | Citibank N.A. | 10/15/15 | (15,086) | ||||||||||||||
PEN | 89,483 | USD | 27,000 | Citibank N.A. | 10/15/15 | 493 | ||||||||||||||
PHP | 1,449,237 | USD | 30,855 | Citibank N.A. | 10/15/15 | 83 | ||||||||||||||
PHP | 13,335,150 | USD | 285,000 | Citibank N.A. | 10/15/15 | (328) | ||||||||||||||
PLN | 56,573 | USD | 15,000 | Citibank N.A. | 10/15/15 | (120) | ||||||||||||||
PLN | 886,966 | USD | 234,000 | Citibank N.A. | 10/15/15 | (709) | ||||||||||||||
PLN | 107,798 | USD | 29,152 | Citibank N.A. | 10/15/15 | (799) | ||||||||||||||
PLN | 683,085 | USD | 182,409 | Citibank N.A. | 10/15/15 | (2,743) | ||||||||||||||
PLN | 2,117,411 | USD | 561,000 | Citibank N.A. | 10/15/15 | (4,076) | ||||||||||||||
PLN | 713,180 | USD | 192,847 | Citibank N.A. | 10/15/15 | (5,266) | ||||||||||||||
PLN | 713,181 | USD | 192,947 | Citibank N.A. | 10/15/15 | (5,365) | ||||||||||||||
RON | 195,107 | USD | 49,000 | Citibank N.A. | 10/15/15 | 333 | ||||||||||||||
RON | 470,108 | USD | 119,000 | Citibank N.A. | 10/15/15 | (133) | ||||||||||||||
RON | 105,859 | USD | 27,366 | Citibank N.A. | 10/15/15 | (600) | ||||||||||||||
RON | 197,957 | USD | 51,198 | Citibank N.A. | 10/15/15 | (1,145) | ||||||||||||||
RON | 197,957 | USD | 51,283 | Citibank N.A. | 10/15/15 | (1,229) | ||||||||||||||
RON | 197,956 | USD | 51,283 | Citibank N.A. | 10/15/15 | (1,229) | ||||||||||||||
RUB | 16,637,380 | USD | 238,777 | Citibank N.A. | 10/15/15 | 14,653 | ||||||||||||||
RUB | 12,305,825 | USD | 180,000 | Citibank N.A. | 10/15/15 | 7,449 | ||||||||||||||
RUB | 5,039,918 | USD | 75,000 | Citibank N.A. | 10/15/15 | 1,771 | ||||||||||||||
RUB | 1,061,008 | USD | 15,537 | Citibank N.A. | 10/15/15 | 625 | ||||||||||||||
RUB | 1,317,800 | USD | 20,000 | Citibank N.A. | 10/15/15 | 73 | ||||||||||||||
THB | 180,431 | USD | 5,000 | Citibank N.A. | 10/15/15 | (32) | ||||||||||||||
THB | 180,200 | USD | 5,000 | Citibank N.A. | 10/15/15 | (38) |
32 |
SCHEDULE OF PORTFOLIO INVESTMENTS
|
RBC BlueBay Emerging Market Select Bond Fund (cont.)
September 30, 2015
Currency Purchased | Currency Sold | Counterparty | Settlement | Unrealized | ||||||||||||||||
THB | 970,370 | USD | 26,940 | Citibank N.A. | 10/15/15 | $ (219) | ||||||||||||||
THB | 1,204,028 | USD | 33,540 | Citibank N.A. | 10/15/15 | (386) | ||||||||||||||
THB | 1,262,028 | USD | 35,156 | Citibank N.A. | 10/15/15 | (404) | ||||||||||||||
THB | 1,262,028 | USD | 35,156 | Citibank N.A. | 10/15/15 | (404) | ||||||||||||||
THB | 1,262,028 | USD | 35,156 | Citibank N.A. | 10/15/15 | (404) | ||||||||||||||
THB | 1,262,028 | USD | 35,156 | Citibank N.A. | 10/15/15 | (404) | ||||||||||||||
THB | 1,262,028 | USD | 35,163 | Citibank N.A. | 10/15/15 | (411) | ||||||||||||||
THB | 1,347,531 | USD | 37,538 | Citibank N.A. | 10/15/15 | (432) | ||||||||||||||
THB | 3,291,179 | USD | 91,270 | Citibank N.A. | 10/15/15 | (642) | ||||||||||||||
THB | 5,182,056 | USD | 144,000 | Citibank N.A. | 10/15/15 | (1,305) | ||||||||||||||
THB | 12,386,638 | USD | 345,000 | Citibank N.A. | 10/15/15 | (3,917) | ||||||||||||||
TRY | 88,806 | USD | 28,962 | Citibank N.A. | 10/15/15 | 245 | ||||||||||||||
TRY | 59,042 | USD | 20,000 | Citibank N.A. | 10/15/15 | (582) | ||||||||||||||
TRY | 506,191 | USD | 169,000 | Citibank N.A. | 10/15/15 | (2,520) | ||||||||||||||
TRY | 291,496 | USD | 98,762 | Citibank N.A. | 10/15/15 | (2,892) | ||||||||||||||
TRY | 953,740 | USD | 317,913 | Citibank N.A. | 10/15/15 | (4,239) | ||||||||||||||
TRY | 1,211,659 | USD | 406,000 | Citibank N.A. | 10/15/15 | (7,499) | ||||||||||||||
TRY | 818,413 | USD | 277,287 | Citibank N.A. | 10/15/15 | (8,121) | ||||||||||||||
TWD | 394,176 | USD | 12,000 | Citibank N.A. | 10/15/15 | (29) | ||||||||||||||
TWD | 226,820 | USD | 7,000 | Citibank N.A. | 10/15/15 | (111) | ||||||||||||||
TWD | 12,768,600 | USD | 390,000 | Citibank N.A. | 10/15/15 | (2,206) | ||||||||||||||
TWD | 9,571,275 | USD | 295,000 | Citibank N.A. | 10/15/15 | (4,312) | ||||||||||||||
USD | 1,179,260 | KRW | 1,317,728,415 | Citibank N.A. | 10/15/15 | 69,035 | ||||||||||||||
USD | 1,179,218 | KRW | 1,317,728,414 | Citibank N.A. | 10/15/15 | 68,993 | ||||||||||||||
USD | 1,148,142 | KRW | 1,283,852,908 | Citibank N.A. | 10/15/15 | 66,459 | ||||||||||||||
USD | 1,898,000 | CNY | 11,700,031 | Citibank N.A. | 10/15/15 | 62,601 | ||||||||||||||
USD | 876,000 | CNY | 5,386,261 | Citibank N.A. | 10/15/15 | 31,050 | ||||||||||||||
USD | 233,694 | ZAR | 3,037,476 | Citibank N.A. | 10/15/15 | 15,097 | ||||||||||||||
USD | 233,642 | ZAR | 3,037,477 | Citibank N.A. | 10/15/15 | 15,046 | ||||||||||||||
USD | 233,597 | ZAR | 3,037,474 | Citibank N.A. | 10/15/15 | 15,001 | ||||||||||||||
USD | 233,531 | ZAR | 3,037,476 | Citibank N.A. | 10/15/15 | 14,935 | ||||||||||||||
USD | 203,000 | ZAR | 2,645,587 | Citibank N.A. | 10/15/15 | 12,606 | ||||||||||||||
USD | 349,297 | CNY | 2,150,100 | Citibank N.A. | 10/15/15 | 12,008 | ||||||||||||||
USD | 320,000 | CNY | 1,975,411 | Citibank N.A. | 10/15/15 | 10,115 | ||||||||||||||
USD | 133,355 | ZAR | 1,733,599 | Citibank N.A. | 10/15/15 | 8,594 | ||||||||||||||
USD | 248,000 | IDR | 3,531,867,200 | Citibank N.A. | 10/15/15 | 8,432 | ||||||||||||||
USD | 606,000 | TWD | 19,700,393 | Citibank N.A. | 10/15/15 | 7,681 | ||||||||||||||
USD | 418,563 | TRY | 1,250,706 | Citibank N.A. | 10/15/15 | 7,220 | ||||||||||||||
USD | 118,000 | MYR | 488,375 | Citibank N.A. | 10/15/15 | 6,901 | ||||||||||||||
USD | 229,000 | TRY | 677,160 | Citibank N.A. | 10/15/15 | 6,290 | ||||||||||||||
USD | 127,114 | ZAR | 1,680,109 | Citibank N.A. | 10/15/15 | 6,203 | ||||||||||||||
USD | 105,000 | KRW | 117,489,750 | Citibank N.A. | 10/15/15 | 6,011 | ||||||||||||||
USD | 449,068 | IDR | 6,533,494,000 | Citibank N.A. | 10/15/15 | 5,899 | ||||||||||||||
USD | 175,000 | CNY | 1,078,542 | Citibank N.A. | 10/15/15 | 5,808 | ||||||||||||||
USD | 146,000 | CNY | 895,856 | Citibank N.A. | 10/15/15 | 5,466 | ||||||||||||||
USD | 356,000 | PLN | 1,334,758 | Citibank N.A. | 10/15/15 | 4,931 | ||||||||||||||
USD | 934,706 | TWD | 30,620,955 | Citibank N.A. | 10/15/15 | 4,720 |
33 |
SCHEDULE OF PORTFOLIO INVESTMENTS
|
RBC BlueBay Emerging Market Select Bond Fund (cont.)
September 30, 2015
Currency Purchased | Currency Sold | Counterparty | Settlement | Unrealized | ||||||||||||||||
USD | 157,381 | TRY | 464,714 | Citibank N.A. | 10/15/15 | $4,542 | ||||||||||||||
USD | 275,000 | MXN | 4,584,195 | Citibank N.A. | 10/15/15 | 4,179 | ||||||||||||||
USD | 179,596 | ZAR | 2,438,443 | Citibank N.A. | 10/15/15 | 4,110 | ||||||||||||||
USD | 256,053 | MYR | 1,108,709 | Citibank N.A. | 10/15/15 | 3,835 | ||||||||||||||
USD | 90,000 | ZAR | 1,198,764 | Citibank N.A. | 10/15/15 | 3,729 | ||||||||||||||
USD | 159,145 | ZAR | 2,160,706 | Citibank N.A. | 10/15/15 | 3,646 | ||||||||||||||
USD | 157,295 | ZAR | 2,135,595 | Citibank N.A. | 10/15/15 | 3,604 | ||||||||||||||
USD | 123,246 | TRY | 363,897 | Citibank N.A. | 10/15/15 | 3,564 | ||||||||||||||
USD | 180,104 | ZAR | 2,457,604 | Citibank N.A. | 10/15/15 | 3,238 | ||||||||||||||
USD | 140,000 | MXN | 2,318,806 | Citibank N.A. | 10/15/15 | 3,012 | ||||||||||||||
USD | 104,677 | EUR | 91,000 | Citibank N.A. | 10/15/15 | 2,970 | ||||||||||||||
USD | 242,494 | HUF | 67,246,163 | Citibank N.A. | 10/15/15 | 2,848 | ||||||||||||||
USD | 79,827 | MYR | 338,867 | Citibank N.A. | 10/15/15 | 2,739 | ||||||||||||||
USD | 253,000 | TWD | 8,245,574 | Citibank N.A. | 10/15/15 | 2,574 | ||||||||||||||
USD | 146,253 | TRY | 437,149 | Citibank N.A. | 10/15/15 | 2,479 | ||||||||||||||
USD | 211,331 | TRY | 635,757 | Citibank N.A. | 10/15/15 | 2,238 | ||||||||||||||
USD | 278,283 | PLN | 1,049,738 | Citibank N.A. | 10/15/15 | 2,180 | ||||||||||||||
USD | 104,632 | EUR | 92,000 | Citibank N.A. | 10/15/15 | 1,807 | ||||||||||||||
USD | 222,000 | THB | 7,996,753 | Citibank N.A. | 10/15/15 | 1,799 | ||||||||||||||
USD | 134,720 | IDR | 1,960,048,200 | Citibank N.A. | 10/15/15 | 1,770 | ||||||||||||||
USD | 46,063 | MYR | 195,515 | Citibank N.A. | 10/15/15 | 1,586 | ||||||||||||||
USD | 234,000 | EUR | 208,140 | Citibank N.A. | 10/15/15 | 1,371 | ||||||||||||||
USD | 140,000 | TRY | 421,666 | Citibank N.A. | 10/15/15 | 1,319 | ||||||||||||||
USD | 139,168 | THB | 5,012,817 | Citibank N.A. | 10/15/15 | 1,133 | ||||||||||||||
USD | 135,000 | KRW | 158,989,500 | Citibank N.A. | 10/15/15 | 1,047 | ||||||||||||||
USD | 88,000 | COP | 269,221,595 | Citibank N.A. | 10/15/15 | 966 | ||||||||||||||
USD | 39,506 | TRY | 117,212 | Citibank N.A. | 10/15/15 | 956 | ||||||||||||||
USD | 121,995 | PLN | 460,485 | Citibank N.A. | 10/15/15 | 878 | ||||||||||||||
USD | 125,000 | TRY | 377,462 | Citibank N.A. | 10/15/15 | 857 | ||||||||||||||
USD | 23,000 | CNY | 141,241 | Citibank N.A. | 10/15/15 | 843 | ||||||||||||||
USD | 556,660 | MXN | 9,408,551 | Citibank N.A. | 10/15/15 | 830 | ||||||||||||||
USD | 159,000 | HUF | 44,405,154 | Citibank N.A. | 10/15/15 | 752 | ||||||||||||||
USD | 22,122 | IDR | 315,172,445 | Citibank N.A. | 10/15/15 | 744 | ||||||||||||||
USD | 15,000 | MYR | 62,725 | Citibank N.A. | 10/15/15 | 731 | ||||||||||||||
USD | 125,000 | TRY | 378,362 | Citibank N.A. | 10/15/15 | 561 | ||||||||||||||
USD | 15,000 | CNY | 92,218 | Citibank N.A. | 10/15/15 | 534 | ||||||||||||||
USD | 135,612 | PLN | 513,750 | Citibank N.A. | 10/15/15 | 485 | ||||||||||||||
USD | 10,000 | ZAR | 132,926 | Citibank N.A. | 10/15/15 | 434 | ||||||||||||||
USD | 11,000 | PLN | 40,379 | Citibank N.A. | 10/15/15 | 379 | ||||||||||||||
USD | 42,820 | THB | 1,541,318 | Citibank N.A. | 10/15/15 | 378 | ||||||||||||||
USD | 85,013 | HUF | 23,766,970 | Citibank N.A. | 10/15/15 | 314 | ||||||||||||||
USD | 9,000 | ZAR | 121,475 | Citibank N.A. | 10/15/15 | 258 | ||||||||||||||
USD | 4,000 | MYR | 16,745 | Citibank N.A. | 10/15/15 | 191 | ||||||||||||||
USD | 134,486 | HUF | 37,691,372 | Citibank N.A. | 10/15/15 | 164 | ||||||||||||||
USD | 8,000 | TRY | 23,878 | Citibank N.A. | 10/15/15 | 147 | ||||||||||||||
USD | 5,000 | TRY | 14,793 | Citibank N.A. | 10/15/15 | 135 | ||||||||||||||
USD | 163,135 | PLN | 619,800 | Citibank N.A. | 10/15/15 | 115 |
34 |
SCHEDULE OF PORTFOLIO INVESTMENTS
|
RBC BlueBay Emerging Market Select Bond Fund (cont.)
September 30, 2015
Currency Purchased | Currency Sold | Counterparty | Settlement | Unrealized | ||||||||||||||||
USD | 4,000 | IDR | 57,444,000 | Citibank N.A. | 10/15/15 | $ 104 | ||||||||||||||
USD | 170,612 | MXN | 2,886,551 | Citibank N.A. | 10/15/15 | 83 | ||||||||||||||
USD | 7,000 | IDR | 102,053,000 | Citibank N.A. | 10/15/15 | 78 | ||||||||||||||
USD | 152,948 | MXN | 2,587,695 | Citibank N.A. | 10/15/15 | 75 | ||||||||||||||
USD | 5,000 | JPY | 592,862 | Citibank N.A. | 10/15/15 | 57 | ||||||||||||||
USD | 6,000 | PLN | 22,628 | Citibank N.A. | 10/15/15 | 48 | ||||||||||||||
USD | 110,000 | JPY | 13,188,450 | Citibank N.A. | 10/15/15 | 44 | ||||||||||||||
USD | 4,000 | THB | 143,806 | Citibank N.A. | 10/15/15 | 40 | ||||||||||||||
USD | 7,000 | THB | 253,858 | Citibank N.A. | 10/15/15 | 10 | ||||||||||||||
USD | 11,000 | MXN | 186,105 | Citibank N.A. | 10/15/15 | 5 | ||||||||||||||
USD | 73,000 | RON | 288,703 | Citibank N.A. | 10/15/15 | 1 | ||||||||||||||
USD | 100,000 | HKD | 775,062 | Citibank N.A. | 10/15/15 | (6) | ||||||||||||||
USD | 13,000 | PHP | 609,301 | Citibank N.A. | 10/15/15 | (7) | ||||||||||||||
USD | 240,000 | HKD | 1,860,093 | Citibank N.A. | 10/15/15 | (8) | ||||||||||||||
USD | 3,000 | COP | 9,323,649 | Citibank N.A. | 10/15/15 | (14) | ||||||||||||||
USD | 1,000 | CLP | 707,353 | Citibank N.A. | 10/15/15 | (15) | ||||||||||||||
USD | 43,000 | CLP | 29,988,501 | Citibank N.A. | 10/15/15 | (23) | ||||||||||||||
USD | 50,000 | INR | 3,292,100 | Citibank N.A. | 10/15/15 | (32) | ||||||||||||||
USD | 25,000 | MXN | 424,025 | Citibank N.A. | 10/15/15 | (50) | ||||||||||||||
USD | 103,778 | HUF | 29,137,124 | Citibank N.A. | 10/15/15 | (59) | ||||||||||||||
USD | 65,000 | PLN | 247,410 | Citibank N.A. | 10/15/15 | (74) | ||||||||||||||
USD | 265,000 | THB | 9,627,450 | Citibank N.A. | 10/15/15 | (105) | ||||||||||||||
USD | 5,000 | CNY | 32,576 | Citibank N.A. | 10/15/15 | (110) | ||||||||||||||
USD | 66,000 | HUF | 18,551,557 | Citibank N.A. | 10/15/15 | (113) | ||||||||||||||
USD | 7,000 | INR | 468,139 | Citibank N.A. | 10/15/15 | (115) | ||||||||||||||
USD | 55,000 | PHP | 2,583,625 | Citibank N.A. | 10/15/15 | (154) | ||||||||||||||
USD | 44,000 | PHP | 2,069,012 | Citibank N.A. | 10/15/15 | (168) | ||||||||||||||
USD | 55,000 | PHP | 2,585,550 | Citibank N.A. | 10/15/15 | (195) | ||||||||||||||
USD | 17,000 | PEN | 56,029 | Citibank N.A. | 10/15/15 | (214) | ||||||||||||||
USD | 105,000 | JPY | 12,622,575 | Citibank N.A. | 10/15/15 | (238) | ||||||||||||||
USD | 17,000 | MXN | 291,871 | Citibank N.A. | 10/15/15 | (243) | ||||||||||||||
USD | 12,000 | INR | 811,416 | Citibank N.A. | 10/15/15 | (331) | ||||||||||||||
USD | 105,000 | PHP | 4,938,150 | Citibank N.A. | 10/15/15 | (417) | ||||||||||||||
USD | 97,000 | EUR | 87,233 | Citibank N.A. | 10/15/15 | (497) | ||||||||||||||
USD | 18,597 | RUB | 1,263,869 | Citibank N.A. | 10/15/15 | (655) | ||||||||||||||
USD | 42,000 | PEN | 139,726 | Citibank N.A. | 10/15/15 | (929) | ||||||||||||||
USD | 63,744 | PEN | 211,185 | Citibank N.A. | 10/15/15 | (1,140) | ||||||||||||||
USD | 125,000 | TRY | 384,562 | Citibank N.A. | 10/15/15 | (1,478) | ||||||||||||||
USD | 135,000 | KRW | 162,054,000 | Citibank N.A. | 10/15/15 | (1,535) | ||||||||||||||
USD | 154,000 | CNY | 996,334 | Citibank N.A. | 10/15/15 | (2,296) | ||||||||||||||
USD | 405,000 | INR | 26,803,710 | Citibank N.A. | 10/15/15 | (2,349) | ||||||||||||||
USD | 90,000 | COP | 288,630,000 | Citibank N.A. | 10/15/15 | (3,308) | ||||||||||||||
USD | 123,000 | JPY | 15,185,519 | Citibank N.A. | 10/15/15 | (3,606) | ||||||||||||||
USD | 120,000 | RUB | 8,217,756 | Citibank N.A. | 10/15/15 | (5,178) | ||||||||||||||
USD | 366,707 | MXN | 6,299,251 | Citibank N.A. | 10/15/15 | (5,434) | ||||||||||||||
USD | 766,798 | COP | 2,393,943,788 | Citibank N.A. | 10/15/15 | (7,113) | ||||||||||||||
USD | 565,955 | CNY | 3,657,765 | Citibank N.A. | 10/15/15 | (7,844) |
35 |
SCHEDULE OF PORTFOLIO INVESTMENTS
|
RBC BlueBay Emerging Market Select Bond Fund (cont.)
September 30, 2015
Currency Purchased | Currency Sold | Counterparty | Settlement | Unrealized | ||||||||||||||||
USD | 219,998 | COP | 708,757,460 | Citibank N.A. | 10/15/15 | $ (9,128) | ||||||||||||||
USD | 218,786 | COP | 708,757,460 | Citibank N.A. | 10/15/15 | (10,340) | ||||||||||||||
USD | 278,745 | COP | 899,788,290 | Citibank N.A. | 10/15/15 | (12,138) | ||||||||||||||
ZAR | 346,274 | USD | 25,000 | Citibank N.A. | 10/15/15 | (80) | ||||||||||||||
ZAR | 531,980 | USD | 40,500 | Citibank N.A. | 10/15/15 | (2,215) | ||||||||||||||
ZAR | 760,509 | USD | 57,858 | Citibank N.A. | 10/15/15 | (3,127) | ||||||||||||||
ZAR | 760,104 | USD | 57,858 | Citibank N.A. | 10/15/15 | (3,156) | ||||||||||||||
ZAR | 1,520,553 | USD | 115,000 | Citibank N.A. | 10/15/15 | (5,571) | ||||||||||||||
ZAR | 4,324,082 | USD | 317,000 | Citibank N.A. | 10/15/15 | (5,811) | ||||||||||||||
ZAR | 2,467,321 | USD | 190,000 | Citibank N.A. | 10/15/15 | (12,435) | ||||||||||||||
ZAR | 3,066,887 | USD | 235,092 | Citibank N.A. | 10/15/15 | (14,379) | ||||||||||||||
ZAR | 10,331,705 | USD | 761,000 | Citibank N.A. | 10/15/15 | (17,463) | ||||||||||||||
ZAR | 4,514,414 | USD | 347,132 | Citibank N.A. | 10/15/15 | (22,246) | ||||||||||||||
ZAR | 7,885,826 | USD | 604,404 | Citibank N.A. | 10/15/15 | (36,888) | ||||||||||||||
BRL | 581,160 | USD | 145,000 | Citibank N.A. | 11/4/15 | (313) | ||||||||||||||
USD | 139,026 | BRL | 552,210 | Citibank N.A. | 11/4/15 | 1,546 | ||||||||||||||
USD | 77,659 | BRL | 309,501 | Citibank N.A. | 11/4/15 | 605 | ||||||||||||||
USD | 98,587 | BRL | 394,435 | Citibank N.A. | 11/4/15 | 387 | ||||||||||||||
USD | 137,342 | BRL | 552,210 | Citibank N.A. | 11/4/15 | (138) | ||||||||||||||
USD | 105,000 | HKD | 814,196 | Citibank N.A. | 11/25/15 | (55) | ||||||||||||||
USD | 90,000 | CNY | 575,023 | Citibank N.A. | 11/25/15 | (156) | ||||||||||||||
| ||||||||||||||||||||
Total | $(75,554) | |||||||||||||||||||
|
36 |
SCHEDULE OF PORTFOLIO INVESTMENTS
|
RBC BlueBay Emerging Market Select Bond Fund (cont.)
September 30, 2015
Financial futures contracts as of September 30, 2015:
Long Position | Number of Contracts | Expiration Date | Unrealized Appreciation (Depreciation) | Notional Value | Clearinghouse | |||||||||||||||
Thirty Year U.S. Treasury Bonds | 5 | December, 2015 | $11,938 | USD | 790,094 | Citigroup Global Markets, Inc. | ||||||||||||||
Short Position | Number of Contracts | Expiration Date | Unrealized Appreciation (Depreciation) | Notional Value | Clearinghouse | |||||||||||||||
Five Year U.S. Treasury Bonds | 6 | December, 2015 | $(5,086) | USD | 718,008 | Citigroup Global Markets, Inc. | ||||||||||||||
Ten Year U.S. Treasury Bonds | 8 | December, 2015 | (4,362) | USD | 1,025,513 | Citigroup Global Markets, Inc. | ||||||||||||||
|
| |||||||||||||||||||
$(9,448) | ||||||||||||||||||||
|
|
Interest rate swaps as of September 30, 2015:
Fixed Rate | Floating Rate | Counterparty | Expiration Date | Notional Amount (000) | Unrealized Appreciation (Depreciation) | |||||||||||||||
2.59% | CNY-CNREPOFIX=CFXS-Reuters | JPMorgan Chase Bank, N.A. | 8/5/20 | CNY | 3,100(a) | $ 1,264 | ||||||||||||||
2.72% | CNY-CNREPOFIX=CFXS-Reuters | JPMorgan Chase Bank, N.A. | 8/5/20 | CNY | 1,480(a) | 2,091 | ||||||||||||||
2.65% | CNY-CNREPOFIX=CFXS-Reuters | JPMorgan Chase Bank, N.A. | 8/7/20 | CNY | 900(a) | 730 | ||||||||||||||
2.65% | CNY-CNREPOFIX=CFXS-Reuters | JPMorgan Chase Bank, N.A. | 9/9/20 | CNY | 3,650(a) | 2,752 | ||||||||||||||
2.62% | CNY-CNREPOFIX=CFXS-Reuters | BNP Paribas SA | 9/24/20 | CNY | 2,300(a) | 1,303 | ||||||||||||||
6.76% | INR-MIBOR-OIS-COMPOUND | Deutsche Bank AG | 9/9/18 | INR | 125,832(a) | (119) | ||||||||||||||
8.41% | INR-MIBOR-OIS-COMPOUND | Deutsche Bank AG | 9/9/18 | INR | 104,810(a) | 70,290 | ||||||||||||||
6.21% | MXN-TIIE-Banxico | Deutsche Bank AG | 12/5/24 | MXN | 2,700(b) | 723 | ||||||||||||||
6.38% | MXN-TIIE-Banxico | Deutsche Bank AG | 12/5/24 | MXN | 745(b) | (389) | ||||||||||||||
|
| |||||||||||||||||||
Total | $78,645 | |||||||||||||||||||
|
|
(a) | The Counterparty pays the fixed rate on these swaps. |
(b) | The Fund pays the fixed rate on these swaps. |
37 |
SCHEDULE OF PORTFOLIO INVESTMENTS
|
RBC BlueBay Emerging Market Select Bond Fund (cont.)
September 30, 2015
Credit default rate swaps as of September 30, 2015:
Fixed | Issuer | Counterparty | Expiration Date | Buy/Sell | Notional Amount (000) | Value | ||||||||||||
1.00% | China Government International Bond | BNP Paribas SA | 12/20/20 | Buy | USD | 450 | $ | 5,217 | ||||||||||
1.00% | China Government International Bond | BNP Paribas SA | 12/20/20 | Buy | USD | 325 | 3,768 | |||||||||||
|
| |||||||||||||||||
Total (Premiums paid $9,612) | $ | 8,985 | ||||||||||||||||
|
|
Abbreviations used are defined below:
BRL - Brazilian Real
CLP - Chilean Peso
CNY - Chinese Yuan
CNREPOFIX=CFXS - Chinese Renminbi Repo Rate=Chinese Foreign Exchange Trade System
COP - Colombian Peso
EUR - Euro
HKD - Hong Kong Dollar
HUF - Hungarian Forint
IDR - Indonesian Rupiah
INR - Indian Rupee
INR-MIBOR-OIS-COMPOUND - Mumbai Interbank Offered Rate - Overnight Index Swap
JPY - Japanese Yen
KRW - South Korean Won
MXN - Mexican Peso
MXN-TIIE-Banxico - Mexican Interbank Equilibrium Interest Rate
MYR - Malaysian Ringgit
PEN - Peruvian Nuevo Sol
PHP - Philippine Peso
PLN - Polish Zloty
RON - Romanian Leu
RUB - Russian Ruble
THB - Thai Baht
TRY - Turkish Lira
TWD - Taiwan Dollar
USD - United States Dollar
ZAR - South African Rand
38 |
SCHEDULE OF PORTFOLIO INVESTMENTS
|
RBC BlueBay Emerging Market Select Bond Fund (cont.)
September 30, 2015
Portfolio Diversification (Unaudited) | ||||
Industries | Percentage of Net Assets | |||
Foreign Government Bonds | 75.16 | % | ||
Energy | 3.97 | % | ||
Other* | 20.87 | % | ||
|
| |||
100.00 | % | |||
|
|
* | Includes cash, Investment Company, interest and dividend receivable, pending trades and Fund share transactions, interest rate swaps, credit default swaps, futures, foreign currency exchange contracts and accrued expenses payable. |
See Notes to Financial Statements.
39 |
SCHEDULE OF PORTFOLIO INVESTMENTS
|
RBC BlueBay Emerging Market Corporate Bond Fund
September 30, 2015
Principal Amount | Value | |||||
| ||||||
Corporate Bonds — 81.31% |
| |||||
Argentina — 0.89% |
| |||||
$ 199,000 | YPF SA, 8.50%, 7/28/25 | $ | 172,633 | |||
Barbados — 1.07% |
| |||||
200,000 | Columbus International, Inc., 7.38%, 3/30/21 | 207,000 | ||||
Brazil — 6.47% |
| |||||
320,000(a) | BRF SA, 7.75%, 5/22/18 | 64,573 | ||||
200,000 | Caixa Economica Federal, 7.25%, 7/23/24(b) | 145,000 | ||||
200,000 | Cosan Overseas Ltd., 8.25%, 11/29/49 | 150,000 | ||||
200,000 | GTL Trade Finance Inc, 5.89%, 4/29/24 | 163,750 | ||||
200,000 | Klabin Finance SA, 5.25%, 7/16/24 | 176,000 | ||||
300,000(a) | Odebrecht Finance Ltd., 8.25%, 4/25/18 | 40,863 | ||||
200,000 | Petrobras Global Finance BV, 3.50%, 2/6/17 | 177,000 | ||||
170,000 | Petrobras Global Finance BV, 5.88%, 3/1/18 | 138,550 | ||||
20,000 | Petrobras Global Finance SA, 8.38%, 12/10/18 | 16,600 | ||||
200,000 | TAM Capital 3, Inc., 8.38%, 6/3/21 | 178,000 | ||||
|
| |||||
1,250,336 | ||||||
|
| |||||
Chile — 5.39% |
| |||||
200,000 | AES Gener SA, 8.38%, 12/18/73(b) | 211,000 | ||||
200,000 | Embotelladora Andina SA, 5.00%, 10/1/23 | 212,160 | ||||
200,000 | Empresa Electrica Guacolda SA, 4.56%, 4/30/25 | 190,500 | ||||
250,000 | Guanay Finance Ltd., 6.00%, 12/15/20 | 245,625 | ||||
200,000 | VTR Finance BV, 6.88%, 1/15/24 | 183,500 | ||||
|
| |||||
1,042,785 | ||||||
|
| |||||
China — 9.38% |
| |||||
200,000 | Alibaba Group Holding Ltd., 3.60%, 11/28/24 | 186,960 | ||||
200,000 | Baidu Inc, 3.50%, 11/28/22 | 196,035 | ||||
200,000 | China Construction Bank Corp., 3.88%, 5/13/25(b) | 197,128 | ||||
200,000 | China Overseas Finance Cayman VI Ltd., 6.45%, 6/11/34 | 211,342 | ||||
200,000 | China Resources Power East Foundation Co. Ltd., 7.25%, 5/9/16(b) | 203,000 | ||||
200,000 | CITIC Ltd., 8.63%, 5/29/49(b) | 223,500 | ||||
200,000 | Country Garden Holdings Co. Ltd, 7.50%, 3/9/20 | 205,799 | ||||
200,000 | Greenland Global Investment Ltd., 5.88%, 7/3/24 | 190,998 | ||||
200,000 | Industrial & Commercial Bank of China Ltd., 4.88%, 9/21/25(c) | 198,030 | ||||
|
| |||||
1,812,792 | ||||||
|
| |||||
Colombia — 2.79% |
| |||||
100,000 | Bancolombia SA, 5.95%, 6/3/21 | 105,000 | ||||
100,000 | Colombia Telecomunicaciones SA ESP, 8.50%, 12/29/49(b) | 92,750 | ||||
300,000 | Empresa de Energia de Bogota SA ESP, 6.13%, 11/10/21 | 306,750 |
40 |
SCHEDULE OF PORTFOLIO INVESTMENTS
|
RBC BlueBay Emerging Market Corporate Bond Fund (cont.)
September 30, 2015
Principal Amount | Value | |||||
| ||||||
126,000,000(a) | Empresa de Telecomunicaciones de Bogota, 7.00%, 1/17/23 | $ | 35,576 | |||
|
| |||||
540,076 | ||||||
|
| |||||
Guatemala — 1.02% |
| |||||
$ 200,000 | Comcel Trust, 6.88%, 2/6/24 | 198,000 | ||||
Hong Kong — 1.97% |
| |||||
200,000 | FPC Finance Ltd., 6.00%, 6/28/19 | 210,760 | ||||
200,000 | MCE Finance Ltd., 5.00%, 2/15/21 | 170,500 | ||||
|
| |||||
381,260 | ||||||
|
| |||||
India — 5.40% |
| |||||
200,000 | Bharat Petroleum Corp. Ltd., 4.00%, 5/8/25 | 194,595 | ||||
200,000 | Bharti Airtel International Netherlands BV, 5.13%, 3/11/23 | 211,520 | ||||
200,000 | Bharti Airtel Ltd, 4.38%, 6/10/25 | 199,082 | ||||
200,000 | Indian Oil Corp Ltd, 5.75%, 8/1/23 | 218,810 | ||||
200,000 | NTPC Ltd., 5.63%, 7/14/21 | 219,214 | ||||
|
| |||||
1,043,221 | ||||||
|
| |||||
Indonesia — 3.06% |
| |||||
400,000 | Listrindo Capital BV, 6.95%, 2/21/19 | 403,520 | ||||
200,000 | Perusahaan Gas Negara Persero Tbk PT, 5.13%, 5/16/24 | 188,500 | ||||
|
| |||||
592,020 | ||||||
|
| |||||
Israel — 3.89% |
| |||||
20,000 | Delek & Avner Tamar Bond Ltd., 5.08%, 12/30/23(c) | 20,000 | ||||
195,714 | Delek & Avner Tamar Bond Ltd., 5.41%, 12/30/25(c) | 195,225 | ||||
249,000 | Israel Electric Corp. Ltd., 5.00%, 11/12/24(c) | 253,980 | ||||
200,000 | Israel Electric Corp. Ltd., 6.88%, 6/21/23 | 226,500 | ||||
50,000 | Teva Pharmaceutical Finance Co. LLC, 6.15%, 2/1/36 | 57,207 | ||||
|
| |||||
752,912 | ||||||
|
| |||||
Jamaica — 0.94% |
| |||||
200,000 | Digicel Ltd., 6.75%, 3/1/23 | 181,000 | ||||
Korea — 1.18% |
| |||||
230,000 | Woori Bank, 5.00%, 6/10/45(b)(c) | 227,125 | ||||
Luxembourg — 2.09% |
| |||||
200,000 | Altice Financing SA, 7.88%, 12/15/19(c) | 206,500 | ||||
200,000 | Millicom International Cellular SA, 6.63%, 10/15/21 | 197,000 | ||||
|
| |||||
403,500 | ||||||
|
| |||||
Mexico — 8.74% |
| |||||
200,000 | Alfa SAB de CV, 6.88%, 3/25/44 | 194,000 |
41 |
SCHEDULE OF PORTFOLIO INVESTMENTS
|
RBC BlueBay Emerging Market Corporate Bond Fund (cont.)
September 30, 2015
Principal Amount | Value | |||||
| ||||||
$250,000 | BBVA Bancomer SA, 6.75%, 9/30/22 | $ | 267,750 | |||
200,000 | Cemex Espana SA, 9.88%, 4/30/19 | 214,940 | ||||
200,000 | Cemex Finance LLC, 9.38%, 10/12/22 | 211,140 | ||||
440,641 | Fermaca Enterprises S de RL de CV, 6.38%, 3/30/38 | 416,406 | ||||
196,824 | Mexico Generadora de Energia S de rl, 5.50%, 12/6/32 | 180,586 | ||||
200,000 | Nemak SAB de CV, 5.50%, 2/28/23 | 197,000 | ||||
225,000 | Urbi Desarrollos Urbanos SAB de CV, 9.75%, 2/3/22(d) | 8,437 | ||||
|
| |||||
1,690,259 | ||||||
|
| |||||
Morocco — 2.74% |
| |||||
350,000 | OCP SA, 4.50%, 10/22/25 | 326,813 | ||||
200,000 | OCP SA, 5.63%, 4/25/24 | 203,500 | ||||
|
| |||||
530,313 | ||||||
|
| |||||
Peru — 2.75% |
| |||||
120,000 | Banco de Credito del Peru, 6.13%, 4/24/27(b) | 123,300 | ||||
77,000 | Banco de Credito del Peru, 6.88%, 9/16/26(b) | 82,967 | ||||
200,000 | Corp Financiera de Desarrollo SA, 4.75%, 2/8/22 | 202,000 | ||||
55,000 | Southern Copper Corp., 5.25%, 11/8/42 | 41,607 | ||||
100,000 | Southern Copper Corp., 5.88%, 4/23/45 | 81,185 | ||||
|
| |||||
531,059 | ||||||
|
| |||||
Philippines — 1.03% |
| |||||
200,000 | Royal Capital B.V., 6.25%, 5/5/19(b) | 200,000 | ||||
Qatar — 0.99% |
| |||||
200,000 | Ooredoo International Finance Ltd., 3.88%, 1/31/28 | 191,260 | ||||
Russia — 7.16% |
| |||||
200,000 | Gazprom Neft OAO Via GPN Capital SA, 6.00%, 11/27/23 | 184,500 | ||||
140,000 | Gazprom OAO Via Gaz Capital SA, 7.29%, 8/16/37 | 133,875 | ||||
240,000 | Gazprom OAO Via Gaz Capital SA, 9.25%, 4/23/19 | 264,600 | ||||
200,000 | Rosneft Oil Co. Via Rosneft International Finance Ltd., 3.15%, 3/6/17 | 196,000 | ||||
210,000 | Russian Agricultural Bank OJSC Via RSHB Capital SA, 5.30%, 12/27/17 | 208,578 | ||||
200,000 | Sibur Securities Ltd., 3.91%, 1/31/18 | 192,000 | ||||
200,000 | Vimpel Communications Via VIP Finance Ireland Ltd. OJSC, 7.75%, 2/2/21 | 204,000 | ||||
|
| |||||
1,383,553 | ||||||
|
| |||||
Singapore — 3.11% |
| |||||
200,000 | Oversea-Chinese Banking Corp. Ltd., 3.15%, 3/11/23(b) | 201,860 | ||||
200,000 | Puma International Financing SA, 6.75%, 2/1/21 | 198,024 | ||||
200,000 | STATS ChipPAC Ltd., 4.50%, 3/20/18 | 200,500 | ||||
|
| |||||
600,384 | ||||||
|
|
42 |
SCHEDULE OF PORTFOLIO INVESTMENTS
|
RBC BlueBay Emerging Market Corporate Bond Fund (cont.)
September 30, 2015
Principal Amount | Value | |||||
| ||||||
South Africa — 1.01% |
| |||||
$ 200,000 | Myriad International Holdings BV, 5.50%, 7/21/25(c) | $ | 196,000 | |||
United Arab Emirates — 5.55% |
| |||||
168,123 | Doric Nimrod Air Finance Alpha Ltd. 2012-1, Class A Pass Through Trust, 5.13%, 11/30/22 | 174,007 | ||||
470,000 | DP World Ltd., 6.85%, 7/2/37 | 495,850 | ||||
200,000 | MAF Global Securities Ltd., 7.13%, 10/29/49(b) | 205,000 | ||||
200,000 | National Bank of Abu Dhabi PJSC, 2.25%, 2/11/20 | 198,500 | ||||
|
| |||||
1,073,357 | ||||||
|
| |||||
United Kingdom — 2.12% |
| |||||
200,000 | Sable International Finance Ltd., 6.88%, 8/1/22(c) | 200,000 | ||||
200,000 | Sable International Finance Ltd., 8.75%, 2/1/20 | 209,500 | ||||
|
| |||||
409,500 | ||||||
|
| |||||
Venezuela — 0.57% |
| |||||
340,000 | Petroleos de Venezuela SA, 6.00%, 5/16/24 | 109,990 | ||||
|
| |||||
Total Corporate Bonds | 15,720,335 | |||||
|
| |||||
(Cost $16,531,160) | ||||||
Foreign Government Bonds — 1.33% |
| |||||
Argentina — 0.23% |
| |||||
44,000 | Argentina Bonar Bonds, 7.00%, 4/17/17 | 44,088 | ||||
South Africa — 1.10% |
| |||||
200,000 | South Africa Government International Bond, 5.88%, 9/16/25 | 212,726 | ||||
|
| |||||
Total Foreign Government Bonds | 256,814 | |||||
|
| |||||
(Cost $265,462) | ||||||
Shares | ||||||
| ||||||
Investment Company — 13.01% |
| |||||
2,515,979 | JPMorgan 100% US Treasury Securities Money Market Fund, | |||||
Capital Shares | 2,515,979 | |||||
|
| |||||
Total Investment Company | 2,515,979 | |||||
|
| |||||
(Cost $2,515,979) |
43 |
SCHEDULE OF PORTFOLIO INVESTMENTS
|
RBC BlueBay Emerging Market Corporate Bond Fund (cont.)
September 30, 2015
Contracts | Value | |||||
| ||||||
Call Options Purchased — 0.02% | ||||||
9 | U.S. Treasury 10 Year Futures Option, Strike Price USD 129.5, Expires 10/23/15 | $ | 3,094 | |||
|
| |||||
Total Call Options Purchased | 3,094 | |||||
|
| |||||
(Cost $2,953) | ||||||
Total Investments | $ | 18,496,222 | ||||
(Cost $19,315,554)(e) — 95.67% | ||||||
Other assets in excess of liabilities — 4.33% | 838,017 | |||||
|
| |||||
NET ASSETS — 100.00% | $ | 19,334,239 | ||||
|
|
(a) | Investment in non-U.S. Dollars. Principal amount reflects local currency. |
(b) | Variable rate security. The rate reflected in the Schedule of Portfolio Investments is the rate in effect on September 30, 2015. |
(c) | Security exempt from registration under Rule 144A or Section 4(2) of the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. Security has been deemed to be liquid based on procedures approved by the Board of Trustees. |
(d) | Issuer filed for bankruptcy and/or is in default of interest payments. |
(e) | See Notes to Financial Statements for the tax cost of securities and the breakdown of unrealized appreciation (depreciation). |
Financial futures contracts as of September 30, 2015:
Long Position | Number of Contracts | Expiration Date | Unrealized Appreciation | Notional Value | Clearinghouse | |||||||||||||||||
Five Year U.S. Treasury Bonds | 23 | December, 2015 | $ | 10,536 | USD | 2,761,323 | Citigroup Global Markets, Inc. | |||||||||||||||
Ten Year U.S. Treasury Bonds | 3 | December, 2015 | 6,375 | USD | 379,828 | Citigroup Global Markets, Inc. | ||||||||||||||||
Thirty Year U.S. Treasury Bonds | 1 | December, 2015 | 719 | USD | 159,687 | Citigroup Global Markets, Inc. | ||||||||||||||||
|
| |||||||||||||||||||||
Total | $ | 17,630 | ||||||||||||||||||||
|
|
Foreign currency exchange contracts as of September 30, 2015:
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||||||
BRL | 479,897 | USD | 113,432 | Citibank, N.A. | 10/2/15 | $ | 7,466 | |||||||||||||||||||||
BRL | 31,380 | USD | 8,000 | Citibank, N.A. | 10/2/15 | (94) | ||||||||||||||||||||||
BRL | 264,592 | USD | 76,043 | Citibank, N.A. | 10/2/15 | (9,385) | ||||||||||||||||||||||
BRL | 258,720 | USD | 80,000 | Citibank, N.A. | 10/2/15 | (14,821) | ||||||||||||||||||||||
COP | 114,819,549 | USD | 37,039 | Citibank, N.A. | 10/2/15 | 137 |
44 |
SCHEDULE OF PORTFOLIO INVESTMENTS
|
RBC BlueBay Emerging Market Corporate Bond Fund (cont.)
September 30, 2015
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||||||
COP | 6,045,040 | USD | 2,000 | Citibank, N.A. | 10/2/15 | $ (43) | ||||||||||||||||||||||
COP | 240,366,288 | USD | 89,256 | Citibank, N.A. | 10/2/15 | (11,431) | ||||||||||||||||||||||
MXN | 1,702,752 | USD | 100,000 | Citibank, N.A. | 10/2/15 | 708 | ||||||||||||||||||||||
MXN | 53,354 | USD | 3,359 | Citibank, N.A. | 10/2/15 | (203) | ||||||||||||||||||||||
MXN | 1,338,208 | USD | 84,048 | Citibank, N.A. | 10/2/15 | (4,901) | ||||||||||||||||||||||
TRY | 264,713 | USD | 88,660 | Citibank, N.A. | 10/2/15 | (1,221) | ||||||||||||||||||||||
USD | 164,730 | BRL | 519,804 | Citibank, N.A. | 10/2/15 | 33,777 | ||||||||||||||||||||||
USD | 141,520 | COP | 361,230,877 | Citibank, N.A. | 10/2/15 | 24,562 | ||||||||||||||||||||||
USD | 145,105 | BRL | 511,277 | Citibank, N.A. | 10/2/15 | 16,301 | ||||||||||||||||||||||
USD | 90,972 | MXN | 1,391,562 | Citibank, N.A. | 10/2/15 | 8,669 | ||||||||||||||||||||||
USD | 65,236 | TRY | 182,215 | Citibank, N.A. | 10/2/15 | 5,047 | ||||||||||||||||||||||
USD | 27,706 | TRY | 82,498 | Citibank, N.A. | 10/2/15 | 456 | ||||||||||||||||||||||
USD | 100,000 | MXN | 1,688,410 | Citibank, N.A. | 10/2/15 | 140 | ||||||||||||||||||||||
USD | 1,022 | BRL | 3,507 | Citibank, N.A. | 10/2/15 | 138 | ||||||||||||||||||||||
USD | 848 | MXN | 14,342 | Citibank, N.A. | 10/2/15 | — | ||||||||||||||||||||||
USD | 36,710 | COP | 114,819,549 | Citibank, N.A. | 10/5/15 | (453) | ||||||||||||||||||||||
USD | 576,050 | EUR | 509,000 | Citibank, N.A. | 10/29/15 | 7,041 | ||||||||||||||||||||||
USD | 109,626 | BRL | 479,897 | Citibank, N.A. | 1/5/16 | (7,364) | ||||||||||||||||||||||
|
| |||||||||||||||||||||||||||
Total | $ 54,526 | |||||||||||||||||||||||||||
|
|
Credit default swaps as of September 30, 2015:
Fixed Rate | Issuer | Counterparty | Expiration | Buy/Sell | Notional Amount (000) | Value | ||||||||
1.00% | Turkey Government International Bond | BNP Paribas SA | 12/20/20 | Sell | USD 160 (a) | $(15,494) | ||||||||
1.00% | Turkey Government International Bond | BNP Paribas SA | 12/20/20 | Sell | USD 160 (a) | (15,700) | ||||||||
|
| |||||||||||||
Total (Premiums received $(31,283)) | $(31,194) | |||||||||||||
|
|
(a) | The maximum potential amount the Fund may pay should a negative credit event take place as defined under the terms of the agreement. |
Abbreviations used are defined below:
BRL - Brazilian Real
COP - Colombian Peso
EUR - Euro
MXN - Mexican Peso
TRY - Turkish Lira
USD - United States Dollar
45 |
SCHEDULE OF PORTFOLIO INVESTMENTS
|
RBC BlueBay Emerging Market Corporate Bond Fund (cont.)
September 30, 2015
Portfolio Diversification (Unaudited)
Industries | Percentage of Net Assets | |||
Financials | 18.56 | % | ||
Utilities | 14.48 | % | ||
Telecom Services | 13.97 | % | ||
Energy | 12.48 | % | ||
Materials | 7.29 | % | ||
Consumer Staples | 5.80 | % | ||
Consumer Discretionary | 4.93 | % | ||
Industrials | 2.46 | % | ||
Foreign Government Bonds | 1.33 | % | ||
Information Technology | 1.04 | % | ||
Health Care | 0.30 | % | ||
Other* | 17.36 | % | ||
|
| |||
100.00 | % | |||
|
|
* | Includes cash, Investment Company, credit default swaps, options, futures, interest and dividend receivable, pending trades and Fund share transactions, foreign currency exchange contracts and accrued expenses payable. |
See Notes to Financial Statements.
46 |
SCHEDULE OF PORTFOLIO INVESTMENTS
|
RBC BlueBay Global High Yield Bond Fund
September 30, 2015
Principal Amount | Value | |||||
Bank Loans — 8.67% |
| |||||
Netherlands — 0.76% |
| |||||
60,795(a) | Ziggo BV Term Loan B1, 3.50%, 1/15/22(b) | $ | 66,627 | |||
39,165(a) | Ziggo BV Term Loan B2, 3.50%, 1/15/22(b) | 42,922 | ||||
110,040(a) | Ziggo BV Term Loan B3, 2.75%, 1/15/22(b) | 120,596 | ||||
|
| |||||
230,145 | ||||||
|
| |||||
United States — 7.91% |
| |||||
$ 178,078 | Aramark Corp. Term Loan, 3.25%, 2/24/21(b) | 177,300 | ||||
150,000 | Charter Communications Operating LLC Term Loan, 3.25%, 1/20/23 | 149,094 | ||||
10,000 | Charter Communications Operating LLC Term Loan, 3.50%, 7/20/21 | 9,940 | ||||
136,579 | Hilton Worldwide Holdings, Inc. Term Loan, 3.50%, 10/25/20(b) | 136,123 | ||||
79,068 | J Crew Group, Inc., 0.00%, 3/5/21 | 61,037 | ||||
252,000 | Level 3 Financing, Inc. Term Loan B2, 3.50%, 5/31/22(b) | 249,689 | ||||
255,052 | NewPage Corp. Term Loan, 9.50%, 5/30/17(b) | 137,409 | ||||
339,150 | PetSmart, Inc. Term Loan B1, 4.25%, 3/10/22(b) | 338,268 | ||||
169,330 | Rue21, Inc. Term Loan, 5.63%, 10/10/20(b) | 144,848 | ||||
346,072 | SBA Communications Corp. Term Loan B1A, 3.25%, 3/31/21(b) | 341,410 | ||||
310,000 | Staples, Inc. Term Loan B, 0.00%, 4/24/21(b) | 308,180 | ||||
180,000 | Valeant Pharmaceuticals International, Inc. Series E1 Tranche B Term Loan, 3.75%, 8/5/20(b) | 177,120 | ||||
178,200 | Vertellus Specialties, Inc. Term Loan, 10.50%, 10/10/19(b) | 154,589 | ||||
|
| |||||
2,385,007 | ||||||
|
| |||||
Total Bank Loans | 2,615,152 | |||||
|
| |||||
(Cost $2,767,722) | ||||||
Corporate Bonds — 78.23% |
| |||||
Australia — 0.45% |
| |||||
130,000 | TFS Corp. Ltd., 11.00%, 7/15/18(c) | 134,713 | ||||
Barbados — 0.69% |
| |||||
200,000 | Columbus International, Inc., 7.38%, 3/30/21 | 207,000 | ||||
Belgium — 1.03% |
| |||||
300,000 | LBC Tank Terminals Holding Netherlands BV, 6.88%, 5/15/23(c) | 310,500 | ||||
Canada — 3.04% |
| |||||
182,000 | 1011778 BC ULC/New Red Finance, Inc., 6.00%, 4/1/22(c) | 184,330 | ||||
500,000(d) | Great Canadian Gaming Corp., 6.63%, 7/25/22(c) | 384,039 | ||||
160,000 | Paramount Resources Ltd., 6.88%, 6/30/23(c) | 139,200 | ||||
240,000 | Seven Generations Energy Ltd., 6.75%, 5/1/23(c) | 210,867 | ||||
|
| |||||
918,436 | ||||||
|
|
47 |
SCHEDULE OF PORTFOLIO INVESTMENTS
|
RBC BlueBay Global High Yield Bond Fund (cont.)
September 30, 2015
Principal Amount | Value | |||||
France — 4.83% |
| |||||
$ 400,000 | Albea Beauty Holdings SA, 8.38%, 11/1/19(c) | $ | 419,000 | |||
100,000 | Ephios Bondco Plc, 5.00%, 7/1/22(c) | 112,020 | ||||
210,000 | Ephios Bondco Plc, 6.25%, 7/1/22(c) | 232,309 | ||||
280,000(a) | Numericable Group SA, 5.63%, 5/15/24 | 309,745 | ||||
400,000 | Numericable Group SA, 6.00%, 5/15/22(c) | 384,000 | ||||
|
| |||||
1,457,074 | ||||||
|
| |||||
Germany — 2.44% |
| |||||
150,000(a) | Hypo Real Estate International Trust I, 5.86%, 6/14/49 | 160,906 | ||||
410,000(a) | Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH, 4.00%, 1/15/25 | 433,534 | ||||
150,000 | ZF North America Capital, Inc., 4.50%, 4/29/22(c) | 141,750 | ||||
|
| |||||
736,190 | ||||||
|
| |||||
Ireland — 1.01% |
| |||||
270,000(a) | Baggot Securities Ltd., 10.24%, 12/29/49 | 305,094 | ||||
Italy — 2.30% |
| |||||
630,000(a) | Wind Acquisition Finance SA, 4.00%, 7/15/20 | 694,286 | ||||
Jamaica — 1.50% |
| |||||
200,000 | Digicel Ltd., 6.00%, 4/15/21 | 181,000 | ||||
300,000 | Digicel Ltd., 6.75%, 3/1/23(c) | 271,500 | ||||
|
| |||||
452,500 | ||||||
|
| |||||
Luxembourg — 2.01% |
| |||||
220,000 | Aguila 3 SA, 7.88%, 1/31/18 | 221,925 | ||||
397,900 | Intelsat Jackson Holdings SA, 6.63%, 12/15/22 | 310,362 | ||||
80,000 | Intelsat Jackson Holdings SA, 7.25%, 10/15/20 | 73,000 | ||||
|
| |||||
605,287 | ||||||
|
| |||||
Mexico — 0.03% |
| |||||
280,000 | Urbi Desarrollos Urbanos SAB de CV, 9.75%, 2/3/22(e) | 10,500 | ||||
Netherlands — 5.78% |
| |||||
210,000(a) | LGE HoldCo VI BV, 7.13%, 5/15/24 | 250,494 | ||||
260,000 | Neptune Finco Corp., 6.63%, 10/15/25(c) | 261,300 | ||||
280,000 | Neptune Finco Corp., 10.13%, 1/15/23(c) | 283,150 | ||||
200,000 | Neptune Finco Corp., 10.88%, 10/15/25(c) | 202,000 | ||||
290,000(f) | UPC Holding BV, 6.75%, 3/15/23 | 322,850 | ||||
100,000(a) | UPCB Finance IV Ltd., 4.00%, 1/15/27 | 97,214 | ||||
200,000 | UPCB Finance IV Ltd., 5.38%, 1/15/25(c) | 184,500 | ||||
135,000 | UPCB Finance V Ltd., 7.25%, 11/15/21(c) | 142,087 | ||||
|
| |||||
1,743,595 | ||||||
|
|
48 |
SCHEDULE OF PORTFOLIO INVESTMENTS
|
RBC BlueBay Global High Yield Bond Fund (cont.)
September 30, 2015
Principal Amount | Value | |||||
Switzerland — 0.68% |
| |||||
$ 200,000 | UBS Group AG, 7.00%, 12/29/49(b) | $ | 204,000 | |||
United Kingdom — 6.30% |
| |||||
225,000 | CEVA Group Plc, 7.00%, 3/1/21(c) | 207,000 | ||||
370,000 | EnQuest Plc, 7.00%, 4/15/22(c) | 231,210 | ||||
100,000(g) | Equiniti Newco 2 Plc, 7.13%, 12/15/18 | 154,300 | ||||
110,000(g) | F&C Asset Management Plc, 6.75%, 12/20/26(b) | 171,394 | ||||
371,000 | Lloyds Banking Group Plc, 7.50%, 6/27/24(b) | 377,570 | ||||
61,220(g) | Priory Group No. 3 Plc, 7.00%, 2/15/18 | 94,694 | ||||
50,000(a) | Rexam Plc, 6.75%, 6/29/67(b) | 55,661 | ||||
140,000(a) | Virgin Media Finance Plc, 4.50%, 1/15/25 | 142,357 | ||||
200,000 | Virgin Media Secured Finance Plc, 5.50%, 1/15/25(c) | 193,750 | ||||
180,000(g) | Virgin Media Secured Finance Plc, 6.00%, 4/15/21 | 274,336 | ||||
|
| |||||
1,902,272 | ||||||
|
| |||||
United States — 46.14% |
| |||||
120,000 | Acadia Healthcare Co., Inc, 5.63%, 2/15/23(c) | 120,600 | ||||
360,000 | ADT Corp. (The), 4.13%, 6/15/23 | 324,000 | ||||
70,000 | Allegion Plc, 5.88%, 9/15/23 | 71,575 | ||||
97,000 | Allegion US Holding Co., Inc, 5.75%, 10/1/21 | 99,425 | ||||
390,000 | Alliance Data Systems Corp., 5.38%, 8/1/22(c) | 380,250 | ||||
240,000 | Altice US Finance I Corp., 5.38%, 7/15/23(c) | 230,400 | ||||
215,000 | AMC Entertainment, Inc., 5.88%, 2/15/22 | 216,075 | ||||
220,000 | Amsurg Corp., 5.63%, 7/15/22 | 219,725 | ||||
240,000 | Apex Tool Group LLC, 7.00%, 2/1/21(c) | 196,800 | ||||
150,000 | Audatex North America, Inc., 6.00%, 6/15/21(c) | 150,299 | ||||
150,000 | Audatex North America, Inc., 6.13%, 11/1/23(c) | 150,750 | ||||
237,000 | BakerCorp International, Inc., 8.25%, 6/1/19 | 180,120 | ||||
220,000 | Berry Plastics Corp., 5.50%, 5/15/22 | 213,950 | ||||
70,000 | Berry Plastics Escrow LLC/Berry Plastics Escrow Corp, 6.00%, 10/15/22(c) | 70,175 | ||||
420,000 | Blackboard, Inc., 7.75%, 11/15/19(c) | 352,800 | ||||
280,000 | Cablevision Systems Corp, 8.63%, 9/15/17 | 291,900 | ||||
260,000 | Cequel Communications Holdings I LLC/Cequel Capital Corp., 5.13%, 12/15/21(c) | 228,963 | ||||
230,000 | CHS/Community Health Systems, Inc., 5.13%, 8/15/18 | 235,175 | ||||
150,000 | CHS/Community Health Systems, Inc., 7.13%, 7/15/20 | 156,000 | ||||
70,000 | CommScope, Inc., 4.38%, 6/15/20(c) | 69,475 | ||||
156,000 | DaVita HealthCare Partners, Inc., 5.00%, 5/1/25 | 149,760 | ||||
200,000 | Endo Finance LLC/Endo Ltd./Endo Finco, Inc., 6.00%, 7/15/23(c) | 197,500 | ||||
270,000 | Envision Healthcare Corp., 5.13%, 7/1/22(c) | 269,325 | ||||
115,000 | EP Energy LLC/Everest Acquisition Finance Inc, 9.38%, 5/1/20 | 98,900 | ||||
100,000 | Equinix, Inc., 5.75%, 1/1/25 | 99,250 | ||||
230,000 | ESH Hospitality, Inc., 5.25%, 5/1/25(c) | 225,975 | ||||
250,000 | Halcon Resources Corp., 8.63%, 2/1/20(c) | 207,813 | ||||
80,000 | HCA, Inc., 5.00%, 3/15/24 | 80,200 | ||||
185,000 | HCA, Inc., 5.88%, 5/1/23 | 191,937 |
49 |
SCHEDULE OF PORTFOLIO INVESTMENTS
|
RBC BlueBay Global High Yield Bond Fund (cont.)
September 30, 2015
Principal Amount | Value | |||||
$ 560,000 | HD Supply, Inc., 7.50%, 7/15/20 | $ | 582,400 | |||
300,000 | Hilton Worldwide Finance LLC/Hilton Worldwide Finance Corp., 5.63%, 10/15/21 | 309,750 | ||||
120,000 | Level 3 Communications, Inc., 5.75%, 12/1/22 | 117,750 | ||||
210,000 | Level 3 Financing, Inc., 7.00%, 6/1/20 | 217,350 | ||||
272,683 | Live Nation Entertainment, Inc., 5.38%, 6/15/22(c) | 267,229 | ||||
120,000 | Live Nation Entertainment, Inc., 7.00%, 9/1/20(c) | 125,400 | ||||
270,000 | LTF Merger Sub, Inc., 8.50%, 6/15/23(c) | 255,150 | ||||
80,000 | Mallinckrodt International Finance SA/Mallinckrodt CB LLC, 5.63%, 10/15/23(c) | 72,800 | ||||
192,000 | Memorial Resource Development Corp., 5.88%, 7/1/22 | 174,720 | ||||
100,000 | MGM Resorts International, 5.25%, 3/31/20 | 98,500 | ||||
125,000 | MGM Resorts International, 6.00%, 3/15/23 | 121,406 | ||||
440,000 | Momentive Performance Materials, Inc., 3.88%, 10/24/21 | 338,800 | ||||
110,000 | Momentive Performance Materials, Inc., 4.69%, 4/24/22 | 77,000 | ||||
440,000 | Momentive Performance Materials, Inc., 8.88%, 10/15/20(e)(h) | 0 | ||||
139,000 | Mood Media Corp., 9.25%, 10/15/20(c) | 100,080 | ||||
295,000 | Nielsen Finance LLC/Nielsen Finance Co., 5.00%, 4/15/22(c) | 285,781 | ||||
330,000 | Onex York Acquisition Corp., 8.50%, 10/1/22(c) | 280,500 | ||||
290,000 | OPE KAG Finance Sub Inc., 7.88%, 7/31/23(c) | 294,350 | ||||
171,000 | Overseas Shipholding Group, Inc., 8.13%, 3/30/18(e) | 174,420 | ||||
180,000 | Overseas Shipholding Group, Inc., Series N-II, 7.50%, 2/15/21 | 180,900 | ||||
348,000 | Pinnacle Entertainment, Inc., 7.75%, 4/1/22 | 381,060 | ||||
310,000 | Rite Aid Corp., 6.13%, 4/1/23(c) | 307,675 | ||||
130,000 | SandRidge Energy, Inc., 8.75%, 6/1/20(c) | 78,813 | ||||
100,000 | Sealed Air Corp, 4.50%, 9/15/23(c) | 113,137 | ||||
160,000 | Sealed Air Corp., 4.88%, 12/1/22(c) | 158,200 | ||||
90,000 | Sirius XM Radio Inc, 4.25%, 5/15/20(c) | 87,975 | ||||
158,000 | Sirius XM Radio, Inc., 5.88%, 10/1/20(c) | 160,765 | ||||
180,000 | Spectrum Brands, Inc., 5.75%, 7/15/25(c) | 183,600 | ||||
270,000 | Sunoco L.P./Sunoco Finance Corp, 5.50%, 8/1/20(c) | 265,950 | ||||
220,000 | Sunoco L.P./Sunoco Finance Corp., 6.38%, 4/1/23(c) | 214,500 | ||||
150,000 | Taylor Morrison Communities, Inc./Monarch Communities, Inc., 5.63%, 3/1/24(c) | 144,000 | ||||
340,000 | Tenet Healthcare Corp., 5.00%, 3/1/19 | 328,950 | ||||
130,000 | Tenet Healthcare Corp., 6.75%, 6/15/23 | 129,027 | ||||
140,000 | Tenet Healthcare Corp., 8.00%, 8/1/20 | 144,550 | ||||
220,000 | TransDigm, Inc., 5.50%, 10/15/20 | 209,687 | ||||
158,000 | United Rentals North America, Inc., 7.38%, 5/15/20 | 165,900 | ||||
620,000(a) | VRX Escrow Corp., 4.50%, 5/15/23 | 602,729 | ||||
257,000(a) | VWR Funding, Inc., 4.63%, 4/15/22 | 272,815 | ||||
430,000 | Zayo Group LLC/Zayo Capital, Inc., 6.00%, 4/1/23(c) | 417,100 | ||||
|
| |||||
13,919,836 | ||||||
|
| |||||
Total Corporate Bonds | 23,601,283 | |||||
|
| |||||
(Cost $25,070,814) |
50 |
SCHEDULE OF PORTFOLIO INVESTMENTS
|
RBC BlueBay Global High Yield Bond Fund (cont.)
September 30, 2015
Shares | Value | |||||
Common Stocks — 0.17% |
| |||||
Germany — 0.01% |
| |||||
1,929 | Telegate AG | $ | 2,507 | |||
Italy — 0.13% |
| |||||
9,304,599 | Seat Pagine Gialle SpA* | 39,509 | ||||
United States — 0.03% |
| |||||
13 | CEVA Holdings LLC* | 8,332 | ||||
|
| |||||
Total Common Stocks | 50,348 | |||||
|
| |||||
(Cost $46,901) | ||||||
Warrants/Rights — 0.03% |
| |||||
Australia — 0.03% |
| |||||
48,100 | TFS Corp. Ltd. Warrants, Expire 7/15/18* | 8,272 | ||||
|
| |||||
Total Warrants/Rights | 8,272 | |||||
|
| |||||
(Cost $0) | ||||||
Investment Company — 10.77% |
| |||||
3,248,516 | JPMorgan 100% US Treasury Securities Money Market Fund, Capital Shares | 3,248,516 | ||||
|
| |||||
Total Investment Company | 3,248,516 | |||||
|
| |||||
(Cost $3,248,516) |
51 |
SCHEDULE OF PORTFOLIO INVESTMENTS
|
RBC BlueBay Global High Yield Bond Fund (cont.)
September 30, 2015
Shares | Value | |||||
Preferred Stocks — 0.25% |
| |||||
United States — 0.25% |
| |||||
121 | CEVA Holdings LLC, Series A-2* | $ | 77,378 | |||
|
| |||||
Total Preferred Stocks | 77,378 | |||||
|
| |||||
(Cost $103,184) | ||||||
Total Investments | $ | 29,600,949 | ||||
(Cost $31,237,137)(i) — 98.12% | ||||||
Other assets in excess of liabilities — 1.88% | 565,693 | |||||
|
| |||||
NET ASSETS — 100.00% | $ | 30,166,642 | ||||
|
|
* | Non-income producing security. |
(a) | Principal amount denoted in Euros. |
(b) | Variable rate security. The rate reflected in the Schedule of Portfolio Investments is the rate in effect on September 30, 2015. |
(c) | Security exempt from registration under Rule 144A or Section 4(2) of the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. Security has been deemed to be liquid based on procedures approved by the Board of Trustees. |
(d) | Principal amount denoted in Canadian Dollars. |
(e) | Issuer filed for bankruptcy and/or is in default of interest payments. |
(f) | Principal amount denoted in Swiss Francs. |
(g) | Principal amount denoted in British Pounds. |
(h) | The Pricing Committee has fair valued this security under procedures established by the Fund’s Board of Trustees. |
(i) | See Notes to Financial Statements for the tax cost of securities and the breakdown of unrealized appreciation (depreciation). |
52 |
SCHEDULE OF PORTFOLIO INVESTMENTS
|
RBC BlueBay Global High Yield Bond Fund (cont.)
September 30, 2015
Foreign currency exchange contracts as of September 30, 2015:
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized | ||||||||||||||||||||||
CHF | 3,000 | USD | 3,068 | Citibank, N.A. | 10/29/15 | $ 13 | ||||||||||||||||||||
EUR | 102,000 | USD | 114,366 | Citibank, N.A. | 10/29/15 | (341 | ) | |||||||||||||||||||
USD | 9,936 | AUD | 14,000 | Citibank, N.A. | 10/29/15 | 125 | ||||||||||||||||||||
USD | 379,481 | CAD | 503,000 | Citibank, N.A. | 10/29/15 | 2,618 | ||||||||||||||||||||
USD | 329,131 | CHF | 319,000 | Citibank, N.A. | 10/29/15 | 1,488 | ||||||||||||||||||||
USD | 4,593,695 | EUR | 4,062,000 | Citibank, N.A. | 10/29/15 | 52,807 | ||||||||||||||||||||
USD | 973,873 | GBP | 633,000 | Citibank, N.A. | 10/29/15 | 16,439 | ||||||||||||||||||||
|
| |||||||||||||||||||||||||
Total | $73,149 | |||||||||||||||||||||||||
|
|
Credit default swaps as of September 30, 2015:
Fixed Rate | Issuer | Counterparty | Expiration Date | Buy/Sell | Notional Amount (000) | Value | ||||||||||||||||
5.00% | CNH Industrial Finance Europe SA | Barclays Bank Plc | 6/20/20 | Buy | EUR | 28 | $ | (2,059 | ) | |||||||||||||
5.00% | CNH Industrial Finance Europe SA | Citibank, N.A. | 6/20/20 | Sell | EUR | 25 (a | ) | 1,506 | ||||||||||||||
5.00% | CNH Industrial Finance Europe SA | Citibank, N.A. | 6/20/20 | Sell | EUR | 25 (a | ) | 1,506 | ||||||||||||||
5.00% | CNH Industrial Finance Europe SA | JP Morgan Chase Bank, N.A. | 6/20/20 | Buy | EUR | 22 | (1,618 | ) | ||||||||||||||
5.00% | INEOS Group Holdings SA | Morgan Stanley & Co. | 12/20/20 | Buy | EUR | 24 | 1,119 | |||||||||||||||
5.00% | INEOS Group Holdings SA | Morgan Stanley & Co. | 12/20/20 | Buy | EUR | 24 | 1,119 | |||||||||||||||
5.00% | INEOS Group Holdings SA | Morgan Stanley & Co. | 12/20/20 | Buy | EUR | 14 | 653 | |||||||||||||||
5.00% | INEOS Group Holdings SA | Morgan Stanley & Co. | 12/20/20 | Buy | EUR | 10 | 466 | |||||||||||||||
5.00% | INEOS Group Holdings SA | Morgan Stanley & Co. | 12/20/20 | Buy | EUR | 10 | 466 | |||||||||||||||
5.00% | INEOS Group Holdings SA | Morgan Stanley & Co. | 12/20/20 | Buy | EUR | 5 | 233 | |||||||||||||||
|
| |||||||||||||||||||||
Total (Premiums received $(4,786)) | $ | 3,391 | ||||||||||||||||||||
|
|
(a) | The maximum potential amount the Fund may pay should a negative credit event take place as defined under the terms of the agreement. |
Abbreviations used are defined below:
AUD - Australian Dollar
CAD - Canadian Dollar
CHF - Swiss Franc
EUR - Euro
GBP - British Pound
USD - United States Dollar
53 |
SCHEDULE OF PORTFOLIO INVESTMENTS
|
RBC BlueBay Global High Yield Bond Fund (cont.)
September 30, 2015
Portfolio Diversification (Unaudited)
Industries | Percentage of Net Assets | |||
Telecom Services | 24.18 | % | ||
Financials | 13.61 | % | ||
Consumer Discretionary | 12.49 | % | ||
Health Care | 11.06 | % | ||
Industrials | 7.51 | % | ||
Consumer Staples | 6.78 | % | ||
Energy | 5.38 | % | ||
Information Technology | 2.17 | % | ||
Materials | 1.82 | % | ||
Utilities | 1.03 | % | ||
Other* | 13.97 | % | ||
|
| |||
100.00 | % | |||
|
|
* | Includes cash, interest and dividend receivable, pending trades and Fund share transactions, Investment Company, credit default swaps, warrants, foreign currency exchange contracts and accrued expenses payable. |
See Notes to Financial Statements.
54 |
SCHEDULE OF PORTFOLIO INVESTMENTS
|
RBC BlueBay Global Convertible Bond Fund
September 30, 2015
Principal Amount | Value | |||||
Convertible Bonds — 85.67% |
| |||||
Austria — 0.64% |
| |||||
27,444(a) | IMMOFINANZ AG, 4.25%, 3/8/18 | $ | 133,581 | |||
China — 5.76% |
| |||||
1,000,000(b) | China Singyes Solar Technologies Holdings Ltd., 5.00%, 8/8/19 | 133,709 | ||||
$ 106,000 | Ctrip.com International Ltd., 1.00%, 7/1/20(c) | 95,612 | ||||
100,000 | Ctrip.com International Ltd., 1.25%, 10/15/18 | 108,000 | ||||
154,000 | Ctrip.com International Ltd., 1.99%, 7/1/25(c) | 135,751 | ||||
250,000 | ENN Energy Holdings Ltd., 4.22%, 2/26/18(d) | 263,125 | ||||
200,000 | Qihoo 360 Technology Co. Ltd., 1.75%, 8/15/21 | 168,000 | ||||
2,000,000(e) | Shenzhou International Group Holdings Ltd., 0.50%, 6/18/19 | 303,546 | ||||
|
| |||||
1,207,743 | ||||||
|
| |||||
Cyprus — 0.62% |
| |||||
100,000(a) | Primecity Investment Plc, 4.00%, 11/13/19 | 129,060 | ||||
France — 2.34% |
| |||||
7,809(a) | Air France-KLM, 2.03%, 2/15/23 | 88,925 | ||||
39,102(a) | Alcatel-Lucent, 4.25%, 7/1/18 | 177,262 | ||||
2,600(a) | Faurecia, 3.25%, 1/1/18 | 83,788 | ||||
799(a) | Misarte, 3.25%, 1/1/16 | 141,135 | ||||
|
| |||||
491,110 | ||||||
|
| |||||
Germany — 0.42% |
| |||||
100,000(a) | Air Berlin Finance BV, 6.00%, 3/6/19 | 89,113 | ||||
Hong Kong — 4.10% |
| |||||
250,000 | Asia View Ltd., 1.50%, 8/8/19 | 255,625 | ||||
1,000,000(b) | China Daye Non-Ferrous Metals Mining Ltd., 0.50%, 5/30/18 | 150,619 | ||||
220,000 | PB Issuer No. 3 Ltd., 1.88%, 10/22/18 | 208,450 | ||||
2,000,000(f) | Shine Power International Ltd., 0.50%, 7/28/19(d) | 246,127 | ||||
|
| |||||
860,821 | ||||||
|
| |||||
Japan — 8.90% |
| |||||
10,000,000(f) | Asics Corp., 6.78%, 3/1/19(d) | 101,280 | ||||
10,000,000(f) | Chugoku Electric Power Co., Inc. (The), 0.49%, 3/23/18(d) | 87,317 | ||||
10,000,000(f) | Chugoku Electric Power Co., Inc. (The), 0.80%, 3/25/20(d) | 89,943 | ||||
100,000 | Gunma Bank Ltd. (The), 0.49%, 10/11/19(d) | 109,150 | ||||
40,000,000(f) | Kawasaki Kisen Kaisha Ltd., 1.40%, 9/26/18(d) | 352,770 | ||||
10,000,000(f) | Resorttrust, Inc., 0.49%, 12/1/21(d) | 94,069 | ||||
10,000,000(f) | SBI Holdings, Inc., 0.62%, 11/2/17(d) | 89,151 | ||||
20,000,000(f) | Takashimaya Co. Ltd., 1.32%, 12/11/20(d) | 176,635 |
55 |
SCHEDULE OF PORTFOLIO INVESTMENTS
|
RBC BlueBay Global Convertible Bond Fund (cont.)
September 30, 2015
Principal Amount | Value | |||||
20,000,000(f) | Terumo Corp., 0.35%, 12/6/21(d) | $ | 190,972 | |||
10,000,000(f) | Toppan Printing Co. Ltd., 0.49%, 12/19/16(d) | 85,942 | ||||
20,000,000(f) | Toppan Printing Co. Ltd., 1.02%, 12/19/19(d) | 180,219 | ||||
20,000,000(f) | Toray Industries, Inc., 0.47%, 8/31/21(d) | 219,981 | ||||
10,000,000(f) | Yamada Denki Co. Ltd., 2.94%, 6/28/19(d) | 90,401 | ||||
|
| |||||
1,867,830 | ||||||
|
| |||||
Malaysia — 2.81% |
| |||||
$ 400,000 | Cahaya Capital Ltd., 0.26%, 9/18/21(d) | 364,000 | ||||
300,000(g) | Indah Capital Ltd., 0.31%, 10/24/18(d) | 225,572 | ||||
|
| |||||
589,572 | ||||||
|
| |||||
Mexico — 2.51% |
| |||||
511,000 | Cemex SAB de CV, 3.75%, 3/15/18 | 526,330 | ||||
Netherlands — 2.30% |
| |||||
220,000 | NXP Semiconductor NV, 1.00%, 12/1/19(c) | 237,875 | ||||
100,000(a) | OCI NV, 3.88%, 9/25/18 | 126,546 | ||||
100,000(a) | Vastned Retail NV, 1.88%, 4/10/19 | 117,607 | ||||
|
| |||||
482,028 | ||||||
|
| |||||
Norway — 3.91% |
| |||||
200,000 | Golden Ocean Group Ltd., 3.07%, 1/30/19 | 159,174 | ||||
300,000(a) | Marine Harvest ASA, 0.88%, 5/6/19 | 404,361 | ||||
150,000 | Ship Finance International Ltd., 3.25%, 2/1/18 | 156,563 | ||||
100,000 | Ship Finance International Ltd., 3.75%, 2/10/16 | 101,125 | ||||
|
| |||||
821,223 | ||||||
|
| |||||
Philippines — 1.01% |
| |||||
200,000 | AYC Finance Ltd., 0.50%, 5/2/19 | 212,250 | ||||
Singapore — 2.14% |
| |||||
100,000 | Olam International Ltd., 6.00%, 10/15/16 | 100,950 | ||||
500,000(f) | Suntec Real Estate Investment Trust, 1.40%, 3/18/18 | 347,844 | ||||
|
| |||||
448,794 | ||||||
|
| |||||
South Africa — 1.57% |
| |||||
200,000(a) | Steinhoff Finance Holding GmbH, 4.00%, 1/30/21 | 329,355 | ||||
Switzerland — 1.15% |
| |||||
70,000(f) | BKW AG, 0.13%, 9/30/20 | 75,056 |
56 |
SCHEDULE OF PORTFOLIO INVESTMENTS
|
RBC BlueBay Global Convertible Bond Fund (cont.)
September 30, 2015
Principal Amount | Value | |||||
155,000(f) | Schindler Holding AG, 0.38%, 6/5/17 | $ | 165,799 | |||
|
| |||||
240,855 | ||||||
|
| |||||
Taiwan — 2.84% |
| |||||
$ 200,000 | Advanced Semiconductor Engineering, Inc., 0.00%, 9/5/18(d) | 233,000 | ||||
250,000 | Siliconware Precision Industries Co. Ltd., 1.00%, 10/31/19(d) | 257,813 | ||||
100,000 | Zhen Ding Technology Holding Ltd., 0.07%, 6/26/19(d) | 104,500 | ||||
|
| |||||
595,313 | ||||||
|
| |||||
United Arab Emirates — 0.96% |
| |||||
200,000 | National Bank of Abu Dhabi PJSC, 1.00%, 3/12/18 | 201,000 | ||||
United Kingdom — 1.48% |
| |||||
100,000(h) | Helical Bar Jersey Ltd., 4.00%, 6/17/19 | 155,586 | ||||
100,000(h) | St. Modwen Properties Securities Jersey Ltd., 2.88%, 3/6/19 | 154,602 | ||||
|
| |||||
310,188 | ||||||
|
| |||||
United States — 40.21% |
| |||||
310,000 | Akamai Technologies, Inc., 0.25%, 2/15/19(d) | 324,725 | ||||
150,000 | Ares Capital Corp., 4.38%, 1/15/19 | 153,750 | ||||
26,000 | BioMarin Pharmaceutical, Inc., 0.75%, 10/15/18 | 33,589 | ||||
77,000 | BioMarin Pharmaceutical, Inc., 1.50%, 10/15/20 | 103,469 | ||||
268,000 | Cardtronics, Inc., 1.00%, 12/1/20 | 248,235 | ||||
150,000 | Cepheid, Inc., 1.25%, 2/1/21 | 152,250 | ||||
413,000 | Citrix Systems, Inc., 0.50%, 4/15/19 | 435,457 | ||||
100,000 | Cobalt International Energy Inc, 3.13%, 5/15/24 | 63,000 | ||||
134,000 | Euronet Worldwide, Inc., 1.50%, 10/1/44(c) | 163,899 | ||||
102,000 | FireEye, Inc., 1.00%, 6/1/35(c) | 91,991 | ||||
100,000 | FireEye, Inc., 1.63%, 6/1/35(c) | 88,437 | ||||
77,000 | Huron Consulting Group Inc., 1.25%, 10/1/19 | 80,224 | ||||
25,000 | Illumina, Inc., 0.25%, 3/15/16 | 52,422 | ||||
169,000 | Intel Corp., 3.25%, 8/1/39 | 254,979 | ||||
100,000 | Jarden Corp, 1.50%, 6/15/19 | 134,187 | ||||
155,000 | Jarden Corp., 1.13%, 3/15/34 | 177,281 | ||||
140,000 | JDS Uniphase Corp., 0.63%, 8/15/33 | 130,637 | ||||
150,000 | LAM Research Corp., 0.50%, 5/15/16 | 169,594 | ||||
175,000 | Liberty Interactive LLC, 3.50%, 1/15/31 | 90,344 | ||||
180,000 | Liberty Media Corp., 1.38%, 10/15/23 | 170,213 | ||||
285,000 | LinkedIn Corp., 0.50%, 11/1/19(c) | 280,547 | ||||
129,000 | Medidata Solutions, Inc., 1.00%, 8/1/18 | 136,014 | ||||
422,000 | Microchip Technology, Inc., 1.63%, 2/15/25(c) | 403,801 | ||||
330,000 | NVIDIA Corp., 1.00%, 12/1/18 | 434,156 | ||||
72,000 | ON Semiconductor Corp., 1.00%, 12/1/20(c) | 67,005 | ||||
63,000 | Pattern Energy Group Inc., 4.00%, 7/15/20(c) | 57,291 |
57 |
SCHEDULE OF PORTFOLIO INVESTMENTS
|
RBC BlueBay Global Convertible Bond Fund (cont.)
September 30, 2015
Principal Amount | Value | |||||
$337,000 | Priceline Group, Inc. (The), 0.90%, 9/15/21(c) | $ | 331,313 | |||
130,000 | Priceline Group, Inc. (The), 1.00%, 3/15/18 | 182,731 | ||||
40,000 | Proofpoint Inc., 1.25%, 12/15/18 | 65,375 | ||||
200,000 | QIAGEN NV, 0.38%, 3/19/19 | 216,250 | ||||
165,000 | Restoration Hardware Holdings, Inc., 0.30%, 6/15/19(c)(d) | 163,556 | ||||
326,000 | Salesforce.com, Inc., 0.25%, 4/1/18 | 399,350 | ||||
365,000 | SanDisk Corp., 0.50%, 10/15/20 | 353,366 | ||||
145,000 | SanDisk Corp., 1.50%, 8/15/17 | 179,981 | ||||
350,000 | ServiceNow, Inc., 1.92%, 11/1/18(d) | 393,969 | ||||
103,000 | SolarCity Corp., 1.63%, 11/1/19(c) | 80,276 | ||||
110,000 | Starwood Property Trust, Inc., 4.55%, 3/1/18 | 111,925 | ||||
184,000 | SunEdison, Inc., 0.25%, 1/15/20(c) | 104,765 | ||||
288,000 | SunEdison, Inc., 2.38%, 4/15/22(c) | 163,980 | ||||
71,000 | Synchronoss Technologies Inc, 0.75%, 8/15/19 | 71,621 | ||||
42,000 | TESARO, Inc., 3.00%, 10/1/21 | 58,301 | ||||
130,000 | Tesla Motors, Inc., 0.25%, 3/1/19 | 125,450 | ||||
350,000 | Tesla Motors, Inc., 1.25%, 3/1/21 | 329,437 | ||||
346,000 | Whiting Petroleum Corp., 1.25%, 4/1/20(c) | 281,774 | ||||
336,000 | Yahoo!, Inc., 0.35%, 12/1/18(d) | 325,081 | ||||
|
| |||||
8,435,998 | ||||||
|
| |||||
Total Convertible Bonds | 17,972,164 | |||||
|
| |||||
(Cost $18,724,859) | ||||||
Shares | ||||||
Common Stocks — 0.64% |
| |||||
France — 0.34% |
| |||||
584 | Eurazeo SA | 38,828 | ||||
126 | Unibail-Rodamco SE | 32,565 | ||||
|
| |||||
71,393 | ||||||
|
| |||||
Germany — 0.30% |
| |||||
1,859 | Evonik Industries AG | 62,141 | ||||
|
| |||||
Total Common Stocks | 133,534 | |||||
|
| |||||
(Cost $145,806) | ||||||
Convertible Preferred Stocks — 0.78% |
| |||||
United States — 0.78% |
| |||||
84 | Allergan Plc, 5.50%, 3/1/18 | 79,013 | ||||
867 | American Tower Corp., 5.50%, 2/15/18 | 84,858 | ||||
|
| |||||
Total Convertible Preferred Stocks | 163,871 | |||||
|
| |||||
(Cost $171,995) |
58 |
SCHEDULE OF PORTFOLIO INVESTMENTS
|
RBC BlueBay Global Convertible Bond Fund (cont.)
September 30, 2015
Contracts | Value | |||||
Call Options Purchased — 0.23% |
| |||||
8 | Adidas AG, Strike Price EUR 68.00, Expires 12/16/16 | $ | 8,448 | |||
10 | Airbus Group SE, Strike Price EUR 76.00, Expires 12/15/17 | 2,335 | ||||
1,011 | Koninklijke KPN NV, Strike Price EUR 4.00, Expires 12/15/17 | 35,021 | ||||
32 | Siemens AG, Strike Price EUR 100.00, Expires 6/17/16 | 2,324 | ||||
|
| |||||
Total Call Options Purchased | 48,128 | |||||
|
| |||||
(Cost $83,542) | ||||||
Shares | ||||||
Investment Company — 11.24% | ||||||
2,358,883 | JPMorgan 100% US Treasury Securities Money Fund, Capital Shares | 2,358,883 | ||||
|
| |||||
Total Investment Company | 2,358,883 | |||||
|
| |||||
(Cost $2,358,883) | ||||||
Total Investments | $ | 20,676,580 | ||||
(Cost $21,485,085)(i) — 98.56% | ||||||
Other assets in excess of liabilities — 1.44% | 302,557 | |||||
|
| |||||
NET ASSETS — 100.00% | $ | 20,979,137 | ||||
|
|
(a) | Principal amount denoted in Euros. |
(b) | Principal amount denoted in Chinese Yuans. |
(c) | Security exempt from registration under Rule 144A or Section 4(2) of the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. Security has been deemed to be liquid based on procedures approved by the Board of Trustees. |
(d) | Zero coupon bond. The rate represents the yield at time of purchase. |
(e) | Principal amount denoted in Hong Kong Dollars. |
(f) | Investment in non-U.S. Dollars. Principal amount reflects local currency. |
(g) | Principal amount denoted in Singapore Dollars. |
(h) | Principal amount denoted in British Pounds. |
(i) | See Notes to Financial Statements for the tax cost of securities and the breakdown of unrealized appreciation (depreciation). |
59 |
SCHEDULE OF PORTFOLIO INVESTMENTS
|
RBC BlueBay Global Convertible Bond Fund (cont.)
September 30, 2015
Foreign currency exchange contracts as of September 30, 2015:
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||
USD | 233,226 | CHF | 226,000 | Citibank, N.A. | 10/29/15 | $ | 1,102 | |||||||||||||||||
USD | 2,063,388 | EUR | 1,825,000 | Citibank, N.A. | 10/29/15 | 23,230 | ||||||||||||||||||
USD | 56,271 | EUR | 50,000 | Citibank, N.A. | 10/29/15 | 376 | ||||||||||||||||||
USD | 495,022 | GBP | 321,500 | Citibank, N.A. | 10/29/15 | 8,742 | ||||||||||||||||||
USD | 552,628 | HKD | 4,283,000 | Citibank, N.A. | 10/29/15 | (2 | ) | |||||||||||||||||
USD | 1,808,520 | JPY | 216,542,100 | Citibank, N.A. | 10/29/15 | 2,831 | ||||||||||||||||||
USD | 590,281 | SGD | 829,000 | Citibank, N.A. | 10/29/15 | 8,334 | ||||||||||||||||||
|
|
| ||||||||||||||||||||||
Total | $44,613 | |||||||||||||||||||||||
|
|
|
Abbreviations used are defined below:
CHF - Swiss Franc
EUR - Euro
GBP - British Pound
HKD - Hong Kong Dollar
JPY - Japanese Yen
SGD - Singapore Dollar
USD - United States Dollar
Portfolio Diversification (Unaudited)
Industries | Percentage of Net Assets | |||
Information Technology | 21.56 | % | ||
Financials | 14.15 | % | ||
Consumer Discretionary | 12.35 | % | ||
Telecom Services | 10.95 | % | ||
Industrials | 9.07 | % | ||
Consumer Staples | 7.32 | % | ||
Energy | 3.44 | % | ||
Utilities | 3.27 | % | ||
Materials | 1.62 | % | ||
Health Care | 3.32 | % | ||
Other* | 12.95 | % | ||
|
| |||
100.00 | % | |||
|
|
* | Includes cash, options, interest and dividend receivable, pending trades and Fund share transactions, foreign currency exchange contracts and accrued expenses payable. |
See Notes to Financial Statements.
60 |
SCHEDULE OF PORTFOLIO INVESTMENTS
|
RBC BlueBay Absolute Return Fund
September 30, 2015
Principal Amount | Value | |||||
Corporate Bonds — 42.35% |
| |||||
Austria — 0.30% |
| |||||
1,400,000(a) | Uniqa Insurance Group AG, 6.00%, 7/27/46(b) | $ | 1,554,669 | |||
Canada — 0.35% |
| |||||
$ 2,810,000 | Teck Resources Ltd., 4.75%, 1/15/22 | 1,805,425 | ||||
Denmark — 3.46% |
| |||||
35,587,500(c) | BRFkredit A/S, 2.00%, 10/1/15 | 5,329,584 | ||||
64,800,000(c) | Nykredit Realkredit A/S, 2.00%, 10/1/15 | 9,704,449 | ||||
1,650,000(a) | TDC A/S, 1.75%, 2/27/27 | 1,612,339 | ||||
1,520,000(a) | TDC A/S, 3.50%, 2/26/21(b) | 1,528,611 | ||||
|
| |||||
18,174,983 | ||||||
|
| |||||
Finland — 0.33% |
| |||||
988,000 | Nokia OYJ, 5.38%, 5/15/19 | 1,040,364 | ||||
631,000 | Nokia OYJ, 6.63%, 5/15/39 | 678,641 | ||||
|
| |||||
1,719,005 | ||||||
|
| |||||
France — 3.18% |
| |||||
1,900,000(a) | Credit Agricole Assurances SA, 4.25%, 1/29/49(b) | 1,953,225 | ||||
1,100,000(a) | Electricite de France SA, 4.13%, 1/29/49(b) | 1,199,487 | ||||
3,500,000(a) | Electricite de France SA, 5.00%, 1/22/26(b) | 3,883,544 | ||||
3,400,000(a) | Groupama SA, 6.38%, 5/28/24(b) | 3,619,251 | ||||
1,504,000(a) | Orange SA, 4.00%, 10/29/49(b) | 1,640,849 | ||||
2,356,000(a) | Orange SA, 5.00%, 10/29/49(b) | 2,579,956 | ||||
700,000(a) | Sogecap SA, 4.13%, 12/29/49(b) | 716,715 | ||||
1,087,000(a) | Total SA, 2.25%, 12/29/49(b) | 1,116,691 | ||||
|
| |||||
16,709,718 | ||||||
|
| |||||
Germany — 1.45% |
| |||||
3,990,000(a) | Bayer AG, 2.38%, 4/2/75(b) | 4,036,992 | ||||
900,000(a) | Bertelsmann SE & Co. KGaA, 3.00%, 4/23/75(b) | 900,070 | ||||
400,000(a) | Bertelsmann SE & Co. KGaA, 3.50%, 4/23/75(b) | 377,683 | ||||
2,300,000(a) | ZF North America Capital, Inc., 2.75%, 4/27/23 | 2,322,668 | ||||
|
| |||||
7,637,413 | ||||||
|
| |||||
Ireland — 1.77% |
| |||||
3,381,000(a) | Baggot Securities Ltd., 10.24%, 12/29/49 | 3,820,451 | ||||
3,739,000(a) | Bank of Ireland, 7.38%, 12/29/49(b) | 4,204,093 | ||||
1,100,000(a) | LCH Clearnet SA Via Freshwater Finance Plc, 6.58%, 5/29/49(b) | 1,269,094 | ||||
|
| |||||
9,293,638 | ||||||
|
| |||||
Italy — 2.40% |
| |||||
4,084,000(a) | Enel SpA, 5.00%, 1/15/75(b) | 4,669,358 |
61 |
SCHEDULE OF PORTFOLIO INVESTMENTS
|
RBC BlueBay Absolute Return Fund (cont.)
September 30, 2015
Principal Amount | Value | |||||
1,301,000(a) | Enel SpA, 6.50%, 1/10/74(b) | $ | 1,544,023 | |||
1,602,000(a) | Generali Finance BV, 4.60%, 11/30/49(b) | 1,651,353 | ||||
$ 2,300,000 | Intesa Sanpaolo SpA, 7.70%, 12/29/49(b)(d) | 2,231,000 | ||||
2,491,000(a) | Unipol Gruppo Finanziario SpA, 3.00%, 3/18/25 | 2,529,050 | ||||
|
| |||||
12,624,784 | ||||||
|
| |||||
Netherlands — 0.94% |
| |||||
4,421,000(a) | Cooperatieve Centrale Raiffeisen-Boerenleenbank BA, 5.50%, 1/22/49(b) | 4,915,351 | ||||
Portugal — 0.66% |
| |||||
3,110,000(a) | EDP Finance BV, 2.63%, 1/18/22 | 3,484,274 | ||||
Spain — 2.60% |
| |||||
5,000,000(a) | Banco Bilbao Vizcaya Argentaria SA, 6.75%, 12/29/49(b) | 5,363,548 | ||||
1,000,000(a) | Cellnex Telecom SAU, 3.13%, 7/27/22 | 1,051,758 | ||||
2,200,000(a) | Telefonica Europe BV, 4.20%, 12/29/49(b) | 2,396,835 | ||||
900,000(a) | Telefonica Europe BV, 5.00%, 3/31/20(b) | 998,123 | ||||
2,500,000(a) | Telefonica Europe BV, 5.88%, 3/31/24(b) | 2,786,531 | ||||
900,000(a) | Telefonica Europe BV, 6.50%, 9/29/49(b) | 1,055,949 | ||||
|
| |||||
13,652,744 | ||||||
|
| |||||
Switzerland — 4.21% |
| |||||
4,650,000(a) | Credit Suisse AG/London, 0.28%, 7/22/16(b) | 5,200,717 | ||||
4,809,000 | UBS AG, 4.75%, 5/22/23(b) | 4,814,771 | ||||
3,656,000(a) | UBS AG, 4.75%, 2/12/26(b) | 4,289,497 | ||||
4,296,000 | UBS AG, 5.13%, 5/15/24 | 4,231,560 | ||||
3,526,000 | UBS Group AG, 7.00%, 12/29/49(b) | 3,596,520 | ||||
|
| |||||
22,133,065 | ||||||
|
| |||||
United Kingdom — 7.94% |
| |||||
1,600,000(e) | AA Bond Co. Ltd., 3.78%, 7/31/19 | 2,475,347 | ||||
500,000(e) | AA Bond Co. Ltd., 4.25%, 7/31/20 | 784,207 | ||||
1,500,000(e) | AA Bond Co. Ltd., 4.72%, 7/31/18 | 2,382,188 | ||||
2,071,000(e) | AA Bond Co. Ltd., 5.50%, 7/31/22 | 2,960,586 | ||||
1,500,000(e) | AA Bond Co. Ltd., 6.27%, 7/31/25 | 2,702,480 | ||||
3,023,000(a) | Barclays Plc, 8.00%, 12/15/49(b) | 3,572,148 | ||||
650,000(e) | CPUK Finance Ltd., 7.00%, 8/28/20(d) | 983,284 | ||||
900,000(e) | CPUK Finance Ltd., 7.24%, 2/28/24 | 1,716,202 | ||||
3,008,000(e) | LBG Capital No. 2 Plc, 15.00%, 12/21/19 | 6,393,223 | ||||
2,095,000(a) | LBG Capital No. 2 Plc, 15.00%, 12/21/19 | 3,441,219 | ||||
2,450,000 | Royal Bank of Scotland Group Plc, 7.50%, 12/29/49(b) | 2,446,325 | ||||
2,920,000 | Royal Bank of Scotland Group Plc, 8.00%, 12/29/49(b) | 2,941,900 | ||||
1,800,000(a) | Sky Plc, 1.50%, 9/15/21 | 1,974,598 | ||||
1,100,000(a) | Sky Plc, 1.88%, 11/24/23 | 1,191,397 | ||||
2,805,000(a) | Sky Plc, 2.50%, 9/15/26 | 3,087,640 |
62 |
SCHEDULE OF PORTFOLIO INVESTMENTS
|
RBC BlueBay Absolute Return Fund (cont.)
September 30, 2015
Principal Amount | Value | |||||
1,780,000(e) | Whitbread Group Plc, 3.38%, 10/16/25 | $ | 2,684,005 | |||
|
| |||||
41,736,749 | ||||||
|
| |||||
United States — 12.76% |
| |||||
$ 2,786,000 | Atwood Oceanics, Inc., 6.50%, 2/1/20 | 2,235,765 | ||||
2,040,000 | Biogen Inc., 3.63%, 9/15/22 | 2,056,075 | ||||
2,120,000 | Biogen Inc., 4.05%, 9/15/25 | 2,141,588 | ||||
691,000 | Biogen Inc., 5.20%, 9/15/45 | 697,252 | ||||
3,090,000 | CCO Safari II LLC, 4.46%, 7/23/22(d) | 3,091,632 | ||||
2,460,000 | CCO Safari II LLC, 4.91%, 7/23/25(d) | 2,448,199 | ||||
730,000 | CCO Safari II LLC, 6.38%, 10/23/35(d) | 738,575 | ||||
1,680,000 | CCO Safari II LLC, 6.48%, 10/23/45(d) | 1,694,868 | ||||
870,000 | CCO Safari II LLC, 6.83%, 10/23/55(d) | 867,439 | ||||
7,000,000 | Citigroup Inc., 1.18%, 7/30/18(b) | 6,995,947 | ||||
454,000 | Continental Resources, Inc., 3.80%, 6/1/24 | 368,236 | ||||
2,610,000 | Continental Resources, Inc., 4.50%, 4/15/23 | 2,266,461 | ||||
2,843,000 | DIRECTV Holdings LLC/DIRECTV Financing Co., Inc., 6.00%, 8/15/40 | 2,923,949 | ||||
1,835,000 | Energy Transfer Equity L.P., 5.50%, 6/1/27 | 1,523,050 | ||||
4,550,000 | General Motors Co., 6.25%, 10/2/43 | 4,839,730 | ||||
2,081,000 | Gilead Sciences, Inc., 3.65%, 3/1/26 | 2,090,687 | ||||
350,000 | Gilead Sciences, Inc., 4.60%, 9/1/35 | 350,301 | ||||
1,750,000 | Gilead Sciences, Inc., 4.75%, 3/1/46 | 1,758,071 | ||||
880,000(a) | International Game Technology Plc, 4.13%, 2/15/20 | 958,243 | ||||
1,343,000(a) | International Game Technology Plc, 4.75%, 2/15/23 | 1,388,125 | ||||
1,490,000(a) | Kinder Morgan, Inc., 1.50%, 3/16/22 | 1,441,517 | ||||
900,000(a) | Kinder Morgan, Inc., 2.25%, 3/16/27 | 794,677 | ||||
719,000 | Kinder Morgan, Inc., 5.30%, 12/1/34 | 612,527 | ||||
6,411,000 | KLA-Tencor Corp., 4.65%, 11/1/24 | 6,406,397 | ||||
1,280,000(a) | MPT Operating Partnership L.P./MPT Finance Corp. REIT, 4.00%, 8/19/22 | 1,444,582 | ||||
2,237,000 | Noble Holding International Ltd., 4.63%, 3/1/21 | 1,700,120 | ||||
1,860,000 | ONEOK, Inc., 7.50%, 9/1/23 | 1,791,403 | ||||
1,931,000(a) | Priceline Group, Inc. (The), 1.80%, 3/3/27 | 1,865,276 | ||||
1,397,000 | Seagate HDD Cayman, 4.75%, 1/1/25 | 1,343,603 | ||||
3,500,000 | Seagate HDD Cayman, 4.88%, 6/1/27(d) | 3,296,890 | ||||
513,000 | Select Income REIT, 4.50%, 2/1/25 | 493,395 |
63 |
SCHEDULE OF PORTFOLIO INVESTMENTS
|
RBC BlueBay Absolute Return Fund (cont.)
September 30, 2015
Principal Amount | Value | |||||
838,000(a) | Walgreens Boots Alliance, Inc., 2.13%, 11/20/26 | $ | 889,584 | |||
$ 2,090,000 | WPX Energy Inc., 7.50%, 8/1/20 | 1,912,350 | ||||
1,800,000 | WPX Energy Inc., 8.25%, 8/1/23 | 1,633,500 | ||||
|
| |||||
67,060,014 | ||||||
|
| |||||
Total Corporate Bonds | 222,501,832 | |||||
|
| |||||
(Cost $236,696,388) | ||||||
Foreign Government Bonds — 33.97% |
| |||||
Bulgaria — 2.22% |
| |||||
2,300,000(a) | Bulgaria Government International Bond, 2.00%, 3/26/22 | 2,531,483 | ||||
1,900,000(a) | Bulgaria Government International Bond, 2.63%, 3/26/27 | 2,006,302 | ||||
5,050,000(a) | Bulgaria Government International Bond, 2.95%, 9/3/24 | 5,678,309 | ||||
1,450,000(a) | Bulgaria Government International Bond, 3.13%, 3/26/35 | 1,421,759 | ||||
|
| |||||
11,637,853 | ||||||
|
| |||||
Chile — 0.89% |
| |||||
769,000(a) | Chile Government International Bond, 1.63%, 1/30/25 | 830,111 | ||||
3,686,000(a) | Chile Government International Bond, 1.88%, 5/27/30 | 3,819,875 | ||||
|
| |||||
4,649,986 | ||||||
|
| |||||
Croatia (Hrvatska) — 1.08% |
| |||||
2,400,000(a) | Croatia Government International Bond, 3.00%, 3/11/25 | 2,427,005 | ||||
2,900,000(a) | Croatia Government International Bond, 3.88%, 5/30/22 | 3,250,082 | ||||
|
| |||||
5,677,087 | ||||||
|
| |||||
Cyprus — 3.24% |
| |||||
11,441,000(a) | Cyprus Government International Bond, 4.63%, 2/3/20(d) | 13,489,130 | ||||
3,010,000(a) | Cyprus Government International Bond, 4.75%, 6/25/19 | 3,558,290 | ||||
|
| |||||
17,047,420 | ||||||
|
| |||||
Germany — 2.48% |
| |||||
7,085,000(a) | Bundesrepublik Deutschland, 0.50%, 2/15/25 | 7,892,041 | ||||
1,747,912(a) | Bundesrepublik Deutschland, 2.50%, 7/4/44 | 2,521,233 | ||||
1,800,000(a) | Bundesrepublik Deutschland, 2.50%, 8/15/46 | 2,605,297 | ||||
|
| |||||
13,018,571 | ||||||
|
| |||||
Iceland — 4.04% |
| |||||
3,333,000(a) | Iceland Government International Bond, 2.50%, 7/15/20 | 3,872,750 | ||||
7,842,000 | Iceland Government International Bond, 5.88%, 5/11/22 | 8,930,830 | ||||
650,000 | Iceland Government International Bond, 5.88%, 5/11/22(d) | 739,375 | ||||
426,576,555(c) | Iceland Rikisbref, 6.50%, 1/24/31 | 3,608,826 | ||||
443,776,111(c) | Iceland Rikisbref, 8.00%, 6/12/25 | 4,063,892 | ||||
|
| |||||
21,215,673 | ||||||
|
|
64 |
SCHEDULE OF PORTFOLIO INVESTMENTS
|
RBC BlueBay Absolute Return Fund (cont.)
September 30, 2015
Principal Amount | Value | |||||
Indonesia — 0.71% |
| |||||
3,509,000(a) | Indonesia Government International Bond, 2.88%, 7/8/21 | $ | 3,754,336 | |||
Israel — 0.71% |
| |||||
3,053,000(a) | Israel Government International Bond, 2.88%, 1/29/24 | 3,752,584 | ||||
Latvia — 2.12% |
| |||||
$ 4,746,000 | Republic of Latvia, 2.75%, 1/12/20 | 4,805,325 | ||||
5,600,000 | Republic of Latvia, 5.25%, 6/16/21 | 6,349,280 | ||||
|
| |||||
11,154,605 | ||||||
|
| |||||
Mexico — 2.57% |
| |||||
3,760,000(a) | Mexico Government International Bond, 1.63%, 3/6/24 | 3,907,345 | ||||
8,180,000(a) | Mexico Government International Bond, 3.00%, 3/6/45 | 7,516,820 | ||||
2,276,000(a) | Mexico Government International Bond, 4.00%, 3/15/2115 | 2,098,471 | ||||
|
| |||||
13,522,636 | ||||||
|
| |||||
Morocco — 0.26% |
| |||||
1,204,000(a) | Morocco Government International Bond, 3.50%, 6/19/24 | 1,353,078 | ||||
Slovenia — 6.71% |
| |||||
16,300,000 | Slovenia Government International Bond, 4.13%, 2/18/19 | 17,196,500 | ||||
3,221,000 | Slovenia Government International Bond, 4.75%, 5/10/18 | 3,430,365 | ||||
9,250,000 | Slovenia Government International Bond, 5.50%, 10/26/22 | 10,387,787 | ||||
3,700,000 | Slovenia Government International Bond, 5.85%, 5/10/23 | 4,227,250 | ||||
|
| |||||
35,241,902 | ||||||
|
| |||||
Spain — 6.94% |
| |||||
938,000(a) | Autonomous Community of Catalonia, 0.06%, 7/13/16(b) | 1,024,229 | ||||
5,439,000(a) | Autonomous Community of Catalonia, 4.95%, 2/11/20 | 6,517,294 | ||||
6,602,000(a) | Spain Government Bond, 1.60%, 4/30/25(d) | 7,235,325 | ||||
12,214,000(a) | Spain Government Bond, 2.15%, 10/31/25(d) | 13,970,360 | ||||
5,530,000(a) | Spain Government Bond, 4.65%, 7/30/25(d) | 7,712,636 | ||||
|
| |||||
36,459,844 | ||||||
|
| |||||
Total Foreign Government Bonds | 178,485,575 | |||||
|
| |||||
(Cost $182,984,661) | ||||||
U.S. Treasury Obligations — 2.34% |
| |||||
U.S. Treasury Notes — 2.34% |
| |||||
7,270,000 | 2.88%, 8/15/45 | 7,266,401 | ||||
3,820,000 | 4.50%, 2/15/36 | 5,008,876 | ||||
|
| |||||
Total U.S. Treasury Obligations | 12,275,277 | |||||
|
| |||||
(Cost $11,927,398) |
65 |
SCHEDULE OF PORTFOLIO INVESTMENTS
|
RBC BlueBay Absolute Return Fund (cont.)
September 30, 2015
Shares | Value | |||
Investment Company — 5.11% | ||||
26,877,740 JPMorgan 100% US Treasury Securities Money Fund, Capital Shares | $26,877,740 | |||
|
| |||
Total Investment Company | 26,877,740 | |||
|
| |||
(Cost $26,877,740) | ||||
Contracts | ||||
Call Options Purchased — 0.00% | ||||
2,068 Euro STOXX 50 Index, Strike Price EUR 3,500.00, Expires 10/16/15 | 9,243 | |||
|
| |||
Total Call Options Purchased | 9,243 | |||
|
| |||
(Cost $261,243) | ||||
Total Investments | $ | 440,149,667 | ||
(Cost 458,747,430)(f) — 83.77% | ||||
Other assets in excess of liabilities — 16.23% | 85,263,497 | |||
|
| |||
NET ASSETS — 100.00% | $ | 525,413,164 | ||
|
|
(a) | Principal amount denoted in Euros. |
(b) | Variable rate security. The rate reflected in the Schedule of Portfolio Investments is the rate in effect on September 30, 2015. |
(c) | Investment in non-U.S. Dollars. Principal amount reflects local currency. |
(d) | Security exempt from registration under Rule 144A or Section 4(2) of the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. Security has been deemed to be liquid based on procedures approved by the Board of Trustees. |
(e) | Principal amount denoted in British Pounds. |
(f) | See Notes to Financial Statements for the tax cost of securities and the breakdown of unrealized appreciation (depreciation). |
66 |
SCHEDULE OF PORTFOLIO INVESTMENTS
|
RBC BlueBay Absolute Return Fund (cont.)
September 30, 2015
Foreign currency exchange contracts as of September 30, 2015:
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) | ||||||||||||||||||||||||||
EUR | 8,982,987 | DKK | 66,406,729 | Citibank N.A. | 10/1/15 | $ | 92,490 | |||||||||||||||||||||||
EUR | 4,911,242 | DKK | 36,387,389 | Citibank N.A. | 10/1/15 | 38,430 | ||||||||||||||||||||||||
MYR | 1,288,691 | USD | 297,276 | Citibank N.A. | 10/13/15 | (4,084 | ) | |||||||||||||||||||||||
MYR | 2,577,392 | USD | 594,554 | Citibank N.A. | 10/13/15 | (8,168 | ) | |||||||||||||||||||||||
USD | 830,137 | MYR | 3,616,454 | Citibank N.A. | 10/13/15 | 7,352 | ||||||||||||||||||||||||
USD | 56,967 | MYR | 249,629 | Citibank N.A. | 10/13/15 | 174 | ||||||||||||||||||||||||
MYR | 3,880,352 | USD | 891,830 | Citibank N.A. | 10/15/15 | (9,098 | ) | |||||||||||||||||||||||
MYR | 7,876,075 | USD | 1,825,278 | Citibank N.A. | 10/15/15 | (33,568 | ) | |||||||||||||||||||||||
MYR | 12,913,691 | USD | 2,972,765 | Citibank N.A. | 10/15/15 | (35,060 | ) | |||||||||||||||||||||||
USD | 5,629,876 | MYR | 24,670,118 | Citibank N.A. | 10/15/15 | 17,730 | ||||||||||||||||||||||||
EUR | 34,780,000 | USD | 39,003,143 | Citibank N.A. | 10/29/15 | (122,760 | ) | |||||||||||||||||||||||
USD | 317,231,601 | EUR | 280,000,000 | Citibank N.A. | 10/29/15 | 4,221,038 | ||||||||||||||||||||||||
USD | 32,923,346 | GBP | 21,330,000 | Citibank N.A. | 10/29/15 | 661,000 | ||||||||||||||||||||||||
CNY | 22,610,000 | USD | 3,553,400 | Citibank N.A. | 10/30/15 | (12,011 | ) | |||||||||||||||||||||||
EUR | 5,307,688 | HUF | 1,671,789,070 | Barclays Bank Plc | 10/30/15 | (23,150 | ) | |||||||||||||||||||||||
HUF | 1,671,789,070 | EUR | 5,300,000 | Barclays Bank Plc | 10/30/15 | 31,744 | ||||||||||||||||||||||||
JPY | 2,144,348,400 | USD | 17,967,929 | Barclays Bank Plc | 10/30/15 | (86,535 | ) | |||||||||||||||||||||||
USD | 17,900,000 | JPY | 2,144,348,400 | Barclays Bank Plc | 10/30/15 | 18,606 | ||||||||||||||||||||||||
USD | 5,520,548 | CNY | 35,654,459 | Citibank N.A. | 10/30/15 | (63,986 | ) | |||||||||||||||||||||||
USD | 12,739,726 | CNY | 82,273,151 | Citibank N.A. | 10/30/15 | (146,663 | ) | |||||||||||||||||||||||
USD | 12,739,726 | CNY | 82,285,890 | Citibank N.A. | 10/30/15 | (148,658 | ) | |||||||||||||||||||||||
MYR | 25,427,200 | USD | 5,800,000 | Citibank N.A. | 11/13/15 | (22,622 | ) | |||||||||||||||||||||||
MYR | 12,750,685 | USD | 2,981,222 | Citibank N.A. | 11/13/15 | (84,107 | ) | |||||||||||||||||||||||
MYR | 12,750,684 | USD | 2,984,711 | Citibank N.A. | 11/13/15 | (87,596 | ) | |||||||||||||||||||||||
USD | 2,852,011 | MYR | 12,794,122 | Citibank N.A. | 11/13/15 | (54,973 | ) | |||||||||||||||||||||||
USD | 8,608,478 | MYR | 38,134,447 | Citibank N.A. | 11/13/15 | (56,145 | ) | |||||||||||||||||||||||
|
| |||||||||||||||||||||||||||||
Total | $ | 4,089,380 | ||||||||||||||||||||||||||||
|
|
67 |
SCHEDULE OF PORTFOLIO INVESTMENTS
|
RBC BlueBay Absolute Return Fund (cont.)
September 30, 2015
Financial futures contracts as of September 30, 2015:
Long Position | Number of Contracts | Expiration Date | Unrealized Appreciation | Notional Value | Clearinghouse | |||||||||||||||
Five Year U.S. Treasury Bonds | 62 | December, 2015 | $ | 34,148 | USD | 7,437,820 | Credit Suisse Securities (USA) LLC | |||||||||||||
Five Year Euro-Bobl | 38 | December, 2015 | 9,700 | EUR | 4,894,070 | Credit Suisse Securities (USA) LLC | ||||||||||||||
Ten Year Euro-Bonds | 25 | December, 2015 | 257 | EUR | 3,904,520 | Credit Suisse Securities (USA) LLC | ||||||||||||||
|
| |||||||||||||||||||
Total | $ | 44,105 | ||||||||||||||||||
|
| |||||||||||||||||||
Short Position | Number of Contracts | Expiration Date | Unrealized Depreciation | Notional Value | Clearinghouse | |||||||||||||||
90-Day Euro Dollar | 589 | December, 2016 | $ | (834,987 | ) | EUR | 145,023,500 | Credit Suisse Securities (USA) LLC | ||||||||||||
Ten Year U.S. Treasury Bonds | 6 | December, 2015 | (7,875 | ) | USD | 764,531 | Credit Suisse Securities (USA) LLC | |||||||||||||
Ten Year British Bonds | 53 | December, 2015 | (76,306 | ) | GBP | 6,259,805 | Credit Suisse Securities (USA) LLC | |||||||||||||
Ten Year Euro-BTP | 103 | December, 2015 | (377,687 | ) | EUR | 13,699,515 | Credit Suisse Securities (USA) LLC | |||||||||||||
Thirty Year Euro-Bonds | 18 | December, 2015 | (93,831 | ) | EUR | 2,719,260 | Credit Suisse Securities (USA) LLC | |||||||||||||
Thirty Year U.S. Treasury Bonds | 56 | December, 2015 | (85,426 | ) | USD | 8,897,325 | Credit Suisse Securities (USA) LLC | |||||||||||||
Twenty Year U.S. Treasury Bonds | 28 | December, 2015 | (42,449 | ) | USD | 4,363,176 | Credit Suisse Securities (USA) LLC | |||||||||||||
Two Year U.S. Treasury Bonds | 19 | December, 2015 | (2,375 | ) | USD | 4,159,219 | Credit Suisse Securities (USA) LLC | |||||||||||||
|
| |||||||||||||||||||
Total | $ | (1,520,936 | ) | |||||||||||||||||
|
|
Interest rate swaps as of September 30, 2015:
Fixed Rate | Floating Rate | Counterparty | Expiration Date | Notional Amount (000) | Unrealized Appreciation (Depreciation) | |||||||||||||||
0.43% | EUR-EURIBOR Reuters | JPMorgan Chase Bank, N.A. | 12/10/20 | EUR | 31,750(a) | $ | (91,581) | |||||||||||||
0.99% | EUR-EURIBOR Reuters | JPMorgan Chase Bank, N.A. | 11/25/25 | EUR | 8,380(a) | (8,682) | ||||||||||||||
1.12% | EUR-EURIBOR Reuters | JPMorgan Chase Bank, N.A. | 12/7/25 | EUR | 5,890(a) | (83,701) | ||||||||||||||
1.05% | EUR-EURIBOR Reuters | JPMorgan Chase Bank, N.A. | 12/10/25 | EUR | 33,350(a) | (214,909) | ||||||||||||||
1.72% | EUR-EURIBOR Reuters | JPMorgan Chase Bank, N.A. | 7/13/65 | EUR | 2,110(a) | (155,794) | ||||||||||||||
1.67% | USD-BBA LIBOR | JPMorgan Chase Bank, N.A. | 11/27/20 | USD | 26,540(a) | (296,757) | ||||||||||||||
1.80% | USD-BBA LIBOR | JPMorgan Chase Bank, N.A. | 8/31/22 | USD | 51,000(a) | (243,545) | ||||||||||||||
2.21% | USD-BBA LIBOR | JPMorgan Chase Bank, N.A. | 11/30/25 | USD | 17,090(a) | (292,123) | ||||||||||||||
2.09% | USD-BBA LIBOR | JPMorgan Chase Bank, N.A. | 1/4/26 | USD | 64,945(b) | 240,225 | ||||||||||||||
2.09% | USD-BBA LIBOR | JPMorgan Chase Bank, N.A. | 1/4/26 | USD | 32,475(b) | 120,122 | ||||||||||||||
|
| |||||||||||||||||||
Total | $ | (1,026,745) | ||||||||||||||||||
|
|
(a) | The Fund pays the fixed rate on these swaps. |
(b) | The Counterparty pays the fixed rate on these swaps. |
68 |
SCHEDULE OF PORTFOLIO INVESTMENTS
|
RBC BlueBay Absolute Return Fund (cont.)
September 30, 2015
Credit default swaps as of September 30, 2015:
Fixed | Issuer | Counterparty | Expiration Date | Buy/Sell | Notional Amount (000) | Value | ||||||||||||||||
1.00% | Anadarko Petroleum Corp. | BNP Paribas SA | 9/20/20 | Buy | USD | 1,906 | $ | 79,601 | ||||||||||||||
1.00% | Anadarko Petroleum Corp. | BNP Paribas SA | 9/20/20 | Buy | USD | 1,244 | 51,950 | |||||||||||||||
1.00% | Anadarko Petroleum Corp. | BNP Paribas SA | 12/20/20 | Buy | USD | 632 | 30,324 | |||||||||||||||
1.00% | Anglo American Capital Plc | BNP Paribas SA | 12/20/20 | Buy | EUR | 1,344 | 256,390 | |||||||||||||||
1.00% | Baker Hughes, Inc. | Deutsche Bank AG | 9/20/19 | Buy | USD | 3,227 | (97,102 | ) | ||||||||||||||
1.00% | Barclays Bank Plc | JPMorgan Chase Bank, N.A. | 6/20/20 | Sell | EUR | 676 (a | ) | (21,951 | ) | |||||||||||||
5.00% | Best Buy Co., Inc. | Morgan Stanley & Co. | 6/20/19 | Sell | USD | 1,123(a | ) | 149,066 | ||||||||||||||
5.00% | Best Buy Co., Inc. | JPMorgan Chase Bank, N.A. | 6/20/19 | Buy | USD | 1,113 | (155,681 | ) | ||||||||||||||
5.00% | Best Buy Co., Inc. | BNP Paribas SA | 6/20/19 | Buy | USD | 10 | (1,397 | ) | ||||||||||||||
5.00% | Best Buy Co., Inc. | Morgan Stanley & Co. | 3/20/20 | Sell | USD | 427 (a | ) | 59,777 | ||||||||||||||
5.00% | Best Buy Co., Inc. | JPMorgan Chase Bank, N.A. | 3/20/20 | Buy | USD | 427 | (62,924 | ) | ||||||||||||||
1.00% | BorgWarner, Inc. | Morgan Stanley & Co. | 9/20/20 | Buy | USD | 4,766 | 70,641 | |||||||||||||||
1.00% | Boston Scientific Corp. | JPMorgan Chase Bank, N.A. | 12/20/20 | Buy | USD | 4,500 | (71,987 | ) | ||||||||||||||
1.00% | Cardinal Health, Inc. | JPMorgan Chase Bank, N.A. | 12/20/20 | Buy | USD | 3,720 | (142,878 | ) | ||||||||||||||
1.00% | Casino Guichard Perrachon SA | BNP Paribas SA | 9/20/20 | Sell | EUR | 923 (a | ) | (82,863 | ) | |||||||||||||
1.00% | Casino Guichard Perrachon SA | BNP Paribas SA | 12/20/20 | Sell | EUR | 1,577 (a | ) | (153,263 | ) | |||||||||||||
5.00% | CDX.NA.HY, Series 24 | JPMorgan Chase Bank, N.A. | 6/20/20 | Sell | USD | 2,275 (a | ) | 70,362 | ||||||||||||||
1.00% | CDX.NA.IG.Series 25 | Citibank, N.A. | 12/20/20 | Sell | USD | 580 (a | ) | 2,144 | ||||||||||||||
1.00% | Dell Corp. | Barclays Bank Plc | 9/20/20 | Sell | USD | 1,003 (a | ) | (104,956 | ) | |||||||||||||
1.00% | Dell Corp. | Barclays Bank Plc | 9/20/20 | Sell | USD | 576 (a | ) | (60,272 | ) | |||||||||||||
1.00% | Dell Corp. | BNP Paribas SA | 9/20/20 | Sell | USD | 562 (a | ) | (58,809 | ) | |||||||||||||
1.00% | Dell Corp. | BNP Paribas SA | 9/20/20 | Sell | USD | 329 (a | ) | (34,427 | ) | |||||||||||||
1.00% | Diageo Plc | Citibank, N.A. | 12/20/20 | Buy | EUR | 2,653 | (66,833 | ) | ||||||||||||||
1.00% | Diamond Offshore Drilling, Inc. | Citibank, N.A. | 9/20/20 | Sell | USD | 1,100 (a | ) | (206,685 | ) | |||||||||||||
1.00% | Diamond Offshore Drilling, Inc. | Morgan Stanley & Co. | 9/20/20 | Sell | USD | 952 (a | ) | (178,876 | ) | |||||||||||||
1.00% | Dover Corp. | JPMorgan Chase Bank, N.A. | 12/20/20 | Buy | USD | 1,200 | (21,933 | ) | ||||||||||||||
5.00% | EDP - Energias de Portugal SA | BNP Paribas SA | 12/20/20 | Sell | EUR | 1,774 (a | ) | 368,888 | ||||||||||||||
1.00% | Hess Corp. | Morgan Stanley & Co. | 6/20/20 | Buy | USD | 1,604 | 81,425 | |||||||||||||||
1.00% | Hess Corp. | JPMorgan Chase Bank, N.A. | 6/20/20 | Buy | USD | 1,506 | 76,450 | |||||||||||||||
1.00% | Ingersoll-Rand Co. | JPMorgan Chase Bank, N.A. | 12/20/20 | Buy | USD | 3,813 | (122,562 | ) | ||||||||||||||
5.00% | International Lease Finance Corp. | Deutsche Bank AG | 6/20/19 | Sell | USD | 181 (a | ) | 19,594 | ||||||||||||||
5.00% | International Lease Finance Corp. | JPMorgan Chase Bank, N.A. | 6/20/19 | Sell | USD | 177 (a | ) | 19,185 | ||||||||||||||
1.00% | iTraxx Asia Ex Japan, Series 24 | Citibank, N.A. | 12/20/20 | Buy | USD | 18,000 | 503,447 | |||||||||||||||
5.00% | iTraxx Crossover, Series 24 | JPMorgan Chase Bank, N.A. | 12/20/20 | Buy | EUR | 19,800 | (1,311,488 | ) | ||||||||||||||
5.00% | iTraxx Crossover, Series 24 | JPMorgan Chase Bank, N.A. | 12/20/20 | Buy | EUR | 10,140 | (671,641 | ) |
69 |
SCHEDULE OF PORTFOLIO INVESTMENTS
|
RBC BlueBay Absolute Return Fund (cont.)
September 30, 2015
Fixed | Issuer | Counterparty | Expiration Date | Buy/Sell | Notional Amount (000) | Value | ||||||||||||||||
1.00% | Mattel, Inc. | Citibank, N.A. | 12/20/20 | Buy | USD | 3,018 | $ | 126,152 | ||||||||||||||
1.00% | Newell Rubbermaid, Inc. | Citibank, N.A. | 12/20/20 | Buy | USD | 3,252 | (90,498 | ) | ||||||||||||||
1.00% | Newell Rubbermaid, Inc. | JPMorgan Chase Bank, N.A. | 12/20/20 | Buy | USD | 493 | (13,719 | ) | ||||||||||||||
1.00% | Nordstrom, Inc. | JPMorgan Chase Bank, N.A. | 12/20/20 | Buy | USD | 4,766 | (116,076 | ) | ||||||||||||||
1.00% | Packaging Corp. of America | Morgan Stanley & Co. | 12/20/20 | Buy | USD | 3,437 | 11,530 | |||||||||||||||
1.00% | Quest Diagnostics, Inc. | Morgan Stanley & Co. | 12/20/20 | Buy | USD | 4,035 | (20,082 | ) | ||||||||||||||
1.00% | Quest Diagnostics, Inc. | JPMorgan Chase Bank, N.A. | 12/20/20 | Buy | USD | 940 | (4,678 | ) | ||||||||||||||
1.00% | Repsol SA | Citibank, N.A. | 12/20/20 | Buy | EUR | 2,185 | 130,835 | |||||||||||||||
1.00% | Repsol SA | BNP Paribas SA | 12/20/20 | Buy | EUR | 99 | 5,928 | |||||||||||||||
1.00% | Royal Bank of Scotland Plc (The) | Citibank, N.A. | 6/20/20 | Sell | EUR | 4,700 (a | ) | (210,658 | ) | |||||||||||||
1.00% | Stanley Black & Decker, Inc. | Morgan Stanley & Co. | 12/20/20 | Buy | USD | 4,730 | (65,290 | ) | ||||||||||||||
1.00% | Statoil ASA | Citibank, N.A. | 12/20/20 | Buy | EUR | 2,775 | (58,296 | ) | ||||||||||||||
1.00% | Tesco Plc | Barclays Bank Plc | 9/20/20 | Sell | EUR | 1,814 (a | ) | (160,272 | ) | |||||||||||||
1.00% | Tesco Plc | Barclays Bank Plc | 9/20/20 | Sell | EUR | 743 (a | ) | (65,646 | ) | |||||||||||||
1.00% | Tesco Plc | Barclays Bank Plc | 9/20/20 | Sell | EUR | 727 (a | ) | (69,963 | ) | |||||||||||||
1.00% | Tesco Plc | Morgan Stanley & Co. | 9/20/20 | Sell | EUR | 693 (a | ) | (61,228 | ) | |||||||||||||
1.00% | Tesco Plc | Barclays Bank Plc | 9/20/20 | Sell | EUR | 242 (a | ) | (21,381 | ) | |||||||||||||
1.00% | Tesco Plc | Barclays Bank Plc | 9/20/20 | Sell | EUR | 230 (a | ) | (20,321 | ) | |||||||||||||
1.00% | Tesco Plc | Barclays Bank Plc | 9/20/20 | Sell | EUR | 230 (a | ) | (20,321 | ) | |||||||||||||
1.00% | Tesco Plc | Barclays Bank Plc | 12/20/20 | Sell | EUR | 230 (a | ) | (22,148 | ) | |||||||||||||
1.00% | Tyco International Finance SA | JPMorgan Chase Bank, N.A. | 12/20/20 | Buy | USD | 1,700 | (41,751 | ) | ||||||||||||||
1.00% | Vale Overseas Ltd. | BNP Paribas SA | 3/20/20 | Buy | USD | 1,000 | 176,593 | |||||||||||||||
1.00% | Viacom, Inc. | Morgan Stanley & Co. | 9/20/20 | Sell | USD | 144 (a | ) | (5,019 | ) | |||||||||||||
1.00% | Volkswagen Group | Citibank, N.A. | 12/20/20 | Sell | EUR | 791 (a | ) | (72,323 | ) | |||||||||||||
1.00% | Volkswagen Group | Barclays Bank Plc | 12/20/20 | Sell | EUR | 710 (a | ) | (64,918 | ) | |||||||||||||
1.00% | Volkswagen Group | JPMorgan Chase Bank, N.A. | 12/20/20 | Sell | EUR | 294 (a | ) | (26,881 | ) | |||||||||||||
1.00% | Volkswagen Group | Citibank, N.A. | 12/20/20 | Sell | EUR | 273 (a | ) | (24,961 | ) | |||||||||||||
1.00% | Volkswagen Group | BNP Paribas SA | 12/20/20 | Sell | EUR | 149 (a | ) | (13,624 | ) | |||||||||||||
1.00% | Volkswagen Group | Barclays Bank Plc | 12/20/20 | Sell | EUR | 138 (a | ) | (12,618 | ) | |||||||||||||
1.00% | Volkswagen Group | BNP Paribas SA | 12/20/20 | Sell | EUR | 122 (a | ) | (11,162 | ) | |||||||||||||
1.00% | Waste Management, Inc. | JPMorgan Chase Bank, N.A. | 12/20/20 | Buy | USD | 2,357 | (46,122 | ) | ||||||||||||||
1.00% | Xerox Corp. | Morgan Stanley & Co. | 12/20/20 | Buy | USD | 1,028 | 25,937 | |||||||||||||||
|
| |||||||||||||||||||||
Total (Premiums received $(2,330,903)) | $ | (2,652,265 | ) | |||||||||||||||||||
|
|
(a) | The maximum potential amount the Fund may pay should a negative credit event take place as defined under the terms of the agreement. |
70 |
SCHEDULE OF PORTFOLIO INVESTMENTS
|
RBC BlueBay Absolute Return Fund (cont.)
September 30, 2015
Abbreviations used are defined below:
BBA LIBOR - British Bankers Association London Interbank Offered Rate
Bobl - German Bundesobligationen
BTP - Italian Buoni del Tesoro Poliannuali
CNY - Chinese Yuan
DKK - Danish Krone
EUR - Euro
EURIBOR - Euro Interbank Offered Rate
GBP - British Pound
HUF - Hungarian Forint
JPY - Japanese Yen
MYR - Malaysian Ringgit
REIT - Real Estate Investment Trust
USD - United States Dollar
Portfolio Diversification
Industries | Percentage of Net Assets | |||
Foreign Government Bonds | 33.97 | % | ||
Financials | 18.98 | % | ||
Telecom Services | 5.45 | % | ||
Consumer Staples | 4.21 | % | ||
Consumer Discretionary | 4.17 | % | ||
Energy | 3.31 | % | ||
Utilities | 2.81 | % | ||
U.S. Treasury Obligations | 2.34 | % | ||
Information Technology | 2.10 | % | ||
Health Care | 0.77 | % | ||
Materials | 0.35 | % | ||
Industrials | 0.20 | % | ||
Other* | 21.34 | % | ||
|
| |||
100.00 | % | |||
|
|
* | Includes cash, futures, Investment Company, interest and dividend receivable, pending trades and Fund share transactions, credit default swaps, interest rate swaps, options, foreign currency exchange contracts and accrued expenses payable. |
See Notes to Financial Statements.
71 |
SCHEDULE OF PORTFOLIO INVESTMENTS
|
RBC BlueBay Emerging Market Unconstrained Fixed Income Fund
September 30, 2015
Principal Amount | Value | |||||
| ||||||
Corporate Bonds — 16.11% |
| |||||
Brazil — 3.82% |
| |||||
$ 750,000 | Petrobras Global Finance BV, 5.38%, 1/27/21 | $ | 536,250 | |||
Ecuador — 3.56% |
| |||||
656,842 | EP PetroEcuador via Noble Sovereign Funding I Ltd., 5.96%, 9/24/19(a) | 499,200 | ||||
Kazakhstan — 2.05% |
| |||||
400,000 | KazMunayGas National Co. JSC, 5.75%, 4/30/43 | 287,000 | ||||
Mexico — 5.15% |
| |||||
8,750,000(b) | Comision Federal de Electricidad, 7.35%, 11/25/25 | 502,682 | ||||
250,000(c) | Petroleos Mexicanos, 2.75%, 4/21/27 | 219,291 | ||||
|
| |||||
721,973 | ||||||
|
| |||||
Venezuela — 1.53% |
| |||||
665,000 | Petroleos de Venezuela SA, 6.00%, 5/16/24 | 215,127 | ||||
|
| |||||
Total Corporate Bonds (Cost $2,557,613) | 2,259,550 | |||||
|
| |||||
Foreign Government Bonds — 43.72% |
| |||||
Argentina — 2.75% |
| |||||
213,732 | Argentina Bonar Bonds, 7.00%, 4/17/17 | 214,159 | ||||
72,511 | Argentine Republic Government International Bond, 8.28%, 12/31/33(d) | 74,142 | ||||
97,210 | Argentine Republic Government International Bond, 8.75%, 6/2/17(d) | 97,210 | ||||
|
| |||||
385,511 | ||||||
|
| |||||
Colombia — 10.65% | ||||||
765,000 | Colombia Government International Bond, 4.50%, 1/28/26 | 747,787 | ||||
800,000 | Colombia Government International Bond, 5.63%, 2/26/44 | 746,000 | ||||
|
| |||||
1,493,787 | ||||||
|
| |||||
Ecuador — 2.15% | ||||||
400,000 | Ecuador Government International Bond, 10.50%, 3/24/20 | 302,000 | ||||
El Salvador — 1.52% | ||||||
250,000 | El Salvador Government International Bond, 5.88%, 1/30/25 | 213,750 | ||||
Greece — 0.30% | ||||||
9,941,200(c) | Hellenic Republic Government Bond, 7.97%, 10/15/42(a) | 42,212 |
72 |
SCHEDULE OF PORTFOLIO INVESTMENTS
|
RBC BlueBay Emerging Market Unconstrained Fixed Income Fund (cont.)
September 30, 2015
Principal Amount | Value | |||||
| ||||||
Indonesia — 4.29% |
| |||||
$ 575,000 | Indonesia Government International Bond, 6.63%, 2/17/37 | $ | 602,313 | |||
Mexico — 5.03% |
| |||||
700,000 | Mexico Government International Bond, 3.63%, 3/15/22 | 706,300 | ||||
Ukraine — 9.78% |
| |||||
1,132,000 | Ukraine Government International Bond, 6.58%, 11/21/16 | 897,110 | ||||
250,000 | Ukraine Government International Bond, 6.75%, 11/14/17 | 197,500 | ||||
325,000 | Ukreximbank via Biz Finance Plc, 9.75%, 1/22/25 | 277,875 | ||||
|
| |||||
1,372,485 | ||||||
|
| |||||
Venezuela — 2.97% |
| |||||
800,000 | Venezuela Government International Bond, 7.75%, 10/13/19 | 276,400 | ||||
355,000 | Venezuela Government International Bond, 11.75%, 10/21/26 | 139,870 | ||||
|
| |||||
416,270 | ||||||
|
| |||||
Zambia — 4.28% |
| |||||
750,000 | Zambia Government International Bond, 8.97%, 7/30/27 | 600,000 | ||||
|
| |||||
Total Foreign Government Bonds | 6,134,628 | |||||
|
| |||||
(Cost $6,187,078) | ||||||
Shares | ||||||
Investment Company — 37.58% | ||||||
5,272,854 | JPMorgan 100% US Treasury Securities Money Market Fund, Capital Shares | 5,272,854 | ||||
|
| |||||
Total Investment Company | 5,272,854 | |||||
|
| |||||
(Cost $5,272,854) | ||||||
Total Investments | $ | 13,667,032 | ||||
(Cost $14,017,545)(e) — 97.41% | ||||||
Other assets in excess of liabilities — 2.59% | 363,192 | |||||
|
| |||||
NET ASSETS — 100.00% | $ | 14,030,224 | ||||
|
|
(a) | Variable rate security. The rate reflected in the Schedule of Portfolio Investments is the rate in effect on September 30, 2015. |
(b) | Investment in non-U.S. Dollars. Principal amount reflects local currency. |
(c) | Principal amount denoted in Euros. |
(d) | Issuer filed for bankruptcy and/or is in default of interest payments. |
(e) | See Notes to Financial Statements for the tax cost of securities and the breakdown of unrealized appreciation (depreciation). |
73 |
SCHEDULE OF PORTFOLIO INVESTMENTS
|
RBC BlueBay Emerging Market Unconstrained Fixed Income Fund (cont.)
September 30, 2015
Foreign currency exchange contracts as of September 30, 2015:
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||||
EUR | 495,000 | USD | 547,650 | Citibank, N.A. | 10/7/15 | $ | 5,524 | |||||||||||||||||||
USD | 546,490 | EUR | 495,000 | Citibank, N.A. | 10/7/15 | (6,685) | ||||||||||||||||||||
CLP | 830,666,250 | USD | 1,175,000 | Citibank, N.A. | 10/15/15 | 16,722 | ||||||||||||||||||||
COP | 1,287,400,000 | USD | 400,000 | Citibank, N.A. | 10/15/15 | 16,189 | ||||||||||||||||||||
COP | 2,442,063,200 | USD | 800,000 | Citibank, N.A. | 10/15/15 | (10,533) | ||||||||||||||||||||
EUR | 795,390 | PLN | 3,346,045 | Citibank, N.A. | 10/15/15 | 8,894 | ||||||||||||||||||||
EUR | 1,170,525 | PLN | 4,970,473 | Citibank, N.A. | 10/15/15 | 909 | ||||||||||||||||||||
HUF | 137,570,320 | USD | 492,456 | Citibank, N.A. | 10/15/15 | (2,194) | ||||||||||||||||||||
JPY | 198,385,600 | USD | 1,600,000 | Citibank, N.A. | 10/15/15 | 54,001 | ||||||||||||||||||||
JPY | 97,606,824 | USD | 800,000 | Citibank, N.A. | 10/15/15 | 13,778 | ||||||||||||||||||||
MXN | 8,624,181 | USD | 503,456 | Citibank, N.A. | 10/15/15 | 6,035 | ||||||||||||||||||||
MXN | 8,554,301 | USD | 504,312 | Citibank, N.A. | 10/15/15 | 1,051 | ||||||||||||||||||||
MXN | 13,387,340 | USD | 790,000 | Citibank, N.A. | 10/15/15 | 884 | ||||||||||||||||||||
MXN | 8,495,526 | USD | 502,320 | Citibank, N.A. | 10/15/15 | (430) | ||||||||||||||||||||
MXN | 13,271,600 | USD | 800,000 | Citibank, N.A. | 10/15/15 | (15,953) | ||||||||||||||||||||
MXN | 19,376,338 | USD | 1,175,000 | Citibank, N.A. | 10/15/15 | (30,303) | ||||||||||||||||||||
MYR | 1,655,000 | USD | 400,000 | Citibank, N.A. | 10/15/15 | (23,508) | ||||||||||||||||||||
MYR | 3,263,912 | USD | 775,000 | Citibank, N.A. | 10/15/15 | (32,500) | ||||||||||||||||||||
PHP | 37,332,000 | USD | 794,974 | Citibank, N.A. | 10/15/15 | 1,970 | ||||||||||||||||||||
PLN | 1,272,959 | EUR | 300,000 | Citibank, N.A. | 10/15/15 | (482) | ||||||||||||||||||||
PLN | 1,272,704 | EUR | 300,000 | Citibank, N.A. | 10/15/15 | (549) | ||||||||||||||||||||
PLN | 1,586,512 | EUR | 375,000 | Citibank, N.A. | 10/15/15 | (1,836) | ||||||||||||||||||||
PLN | 3,346,045 | EUR | 790,000 | Citibank, N.A. | 10/15/15 | (2,870) | ||||||||||||||||||||
PLN | 3,383,960 | EUR | 800,000 | Citibank, N.A. | 10/15/15 | (4,074) | ||||||||||||||||||||
RUB | 40,345,380 | USD | 590,000 | Citibank, N.A. | 10/15/15 | 24,564 | ||||||||||||||||||||
RUB | 40,936,390 | USD | 620,107 | Citibank, N.A. | 10/15/15 | 3,460 | ||||||||||||||||||||
THB | 9,724,281 | USD | 267,857 | Citibank, N.A. | 10/15/15 | (86) | ||||||||||||||||||||
THB | 8,425,398 | USD | 232,143 | Citibank, N.A. | 10/15/15 | (138) | ||||||||||||||||||||
THB | 43,018,500 | USD | 1,190,000 | Citibank, N.A. | 10/15/15 | (5,427) | ||||||||||||||||||||
TRY | 2,466,000 | USD | 803,807 | Citibank, N.A. | 10/15/15 | 7,232 | ||||||||||||||||||||
TRY | 2,433,990 | USD | 797,219 | Citibank, N.A. | 10/15/15 | 3,292 | ||||||||||||||||||||
TRY | 2,079,443 | USD | 694,318 | Citibank, N.A. | 10/15/15 | (10,414) | ||||||||||||||||||||
TRY | 2,376,240 | USD | 802,412 | Citibank, N.A. | 10/15/15 | (20,895) | ||||||||||||||||||||
TWD | 18,294,430 | USD | 550,000 | Citibank, N.A. | 10/15/15 | 5,618 | ||||||||||||||||||||
TWD | 18,315,270 | USD | 553,833 | Citibank, N.A. | 10/15/15 | 2,418 | ||||||||||||||||||||
USD | 1,200,385 | CLP | 830,666,250 | Citibank, N.A. | 10/15/15 | 8,662 | ||||||||||||||||||||
USD | 799,450 | COP | 2,480,293,200 | Citibank, N.A. | 10/15/15 | (2,376) | ||||||||||||||||||||
USD | 390,000 | COP | 1,249,170,000 | Citibank, N.A. | 10/15/15 | (13,830) | ||||||||||||||||||||
USD | 490,617 | HUF | 137,570,320 | Citibank, N.A. | 10/15/15 | 355 | ||||||||||||||||||||
USD | 1,200,000 | JPY | 141,697,800 | Citibank, N.A. | 10/15/15 | 18,622 | ||||||||||||||||||||
USD | 1,290,483 | JPY | 154,294,624 | Citibank, N.A. | 10/15/15 | 4,081 | ||||||||||||||||||||
USD | 800,000 | MXN | 13,338,640 | Citibank, N.A. | 10/15/15 | 11,993 | ||||||||||||||||||||
USD | 791,540 | MXN | 13,271,600 | Citibank, N.A. | 10/15/15 | 7,494 | ||||||||||||||||||||
USD | 514,456 | MXN | 8,624,181 | Citibank, N.A. | 10/15/15 | 4,964 | ||||||||||||||||||||
USD | 500,000 | MXN | 8,495,526 | Citibank, N.A. | 10/15/15 | (1,891) |
74 |
SCHEDULE OF PORTFOLIO INVESTMENTS
|
RBC BlueBay Emerging Market Unconstrained Fixed Income Fund (cont.)
September 30, 2015
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||||
USD | 328,215 | MXN | 5,682,478 | Citibank, N.A. | 10/15/15 | $ (7,489) | ||||||||||||||||||||
USD | 493,728 | MXN | 8,554,301 | Citibank, N.A. | 10/15/15 | (11,635) | ||||||||||||||||||||
USD | 800,000 | MXN | 13,742,560 | Citibank, N.A. | 10/15/15 | (11,870) | ||||||||||||||||||||
USD | 762,240 | MYR | 3,263,913 | Citibank, N.A. | 10/15/15 | 19,741 | ||||||||||||||||||||
USD | 394,885 | MYR | 1,655,000 | Citibank, N.A. | 10/15/15 | 18,393 | ||||||||||||||||||||
USD | 400,000 | PEN | 1,323,640 | Citibank, N.A. | 10/15/15 | (6,672) | ||||||||||||||||||||
USD | 753,384 | PEN | 2,494,454 | Citibank, N.A. | 10/15/15 | (13,005) | ||||||||||||||||||||
USD | 800,000 | PHP | 37,332,000 | Citibank, N.A. | 10/15/15 | 3,056 | ||||||||||||||||||||
USD | 390,000 | RUB | 26,797,770 | Citibank, N.A. | 10/15/15 | (18,199) | ||||||||||||||||||||
USD | 800,000 | RUB | 54,484,000 | Citibank, N.A. | 10/15/15 | (29,932) | ||||||||||||||||||||
USD | 437,500 | SGD | 622,888 | Citibank, N.A. | 10/15/15 | 22 | ||||||||||||||||||||
USD | 437,500 | SGD | 622,964 | Citibank, N.A. | 10/15/15 | (32) | ||||||||||||||||||||
USD | 1,190,824 | THB | 43,018,500 | Citibank, N.A. | 10/15/15 | 6,251 | ||||||||||||||||||||
USD | 550,000 | THB | 19,969,400 | Citibank, N.A. | 10/15/15 | 116 | ||||||||||||||||||||
USD | 550,000 | THB | 20,046,290 | Citibank, N.A. | 10/15/15 | (2,002) | ||||||||||||||||||||
USD | 702,446 | TRY | 2,079,443 | Citibank, N.A. | 10/15/15 | 18,541 | ||||||||||||||||||||
USD | 800,000 | TRY | 2,376,240 | Citibank, N.A. | 10/15/15 | 18,482 | ||||||||||||||||||||
USD | 790,000 | TRY | 2,433,990 | Citibank, N.A. | 10/15/15 | (10,511) | ||||||||||||||||||||
USD | 800,000 | TRY | 2,466,000 | Citibank, N.A. | 10/15/15 | (11,039) | ||||||||||||||||||||
USD | 715,463 | TWD | 23,388,500 | Citibank, N.A. | 10/15/15 | 5,134 | ||||||||||||||||||||
USD | 400,000 | TWD | 13,221,200 | Citibank, N.A. | 10/15/15 | (1,540) | ||||||||||||||||||||
USD | 1,192,364 | ZAR | 15,832,800 | Citibank, N.A. | 10/15/15 | 52,932 | ||||||||||||||||||||
USD | 975,000 | ZAR | 13,162,208 | Citibank, N.A. | 10/15/15 | 27,762 | ||||||||||||||||||||
USD | 796,906 | ZAR | 10,961,280 | Citibank, N.A. | 10/15/15 | 8,061 | ||||||||||||||||||||
USD | 907,774 | ZAR | 12,598,290 | Citibank, N.A. | 10/15/15 | 1,119 | ||||||||||||||||||||
USD | 600,000 | ZAR | 8,415,996 | Citibank, N.A. | 10/15/15 | (5,670) | ||||||||||||||||||||
ZAR | 11,228,160 | USD | 800,000 | Citibank, N.A. | 10/15/15 | 8,052 | ||||||||||||||||||||
ZAR | 5,543,956 | USD | 400,000 | Citibank, N.A. | 10/15/15 | (1,021) | ||||||||||||||||||||
ZAR | 10,961,280 | USD | 800,000 | Citibank, N.A. | 10/15/15 | (11,155) | ||||||||||||||||||||
ZAR | 10,203,262 | USD | 775,000 | Citibank, N.A. | 10/15/15 | (40,707) | ||||||||||||||||||||
ZAR | 15,557,235 | USD | 1,175,000 | Citibank, N.A. | 10/15/15 | (55,400) | ||||||||||||||||||||
ZAR | 15,832,800 | USD | 1,200,000 | Citibank, N.A. | 10/15/15 | (60,568) | ||||||||||||||||||||
EUR | 30,102 | USD | 34,082 | Citibank, N.A. | 10/29/15 | (431) | ||||||||||||||||||||
EUR | 312,000 | USD | 351,020 | Citibank, N.A. | 10/29/15 | (2,237) | ||||||||||||||||||||
USD | 426,680 | EUR | 377,000 | Citibank, N.A. | 10/29/15 | 5,234 | ||||||||||||||||||||
|
| |||||||||||||||||||||||||
Total | $(66,481) | |||||||||||||||||||||||||
|
|
75 |
SCHEDULE OF PORTFOLIO INVESTMENTS
|
RBC BlueBay Emerging Market Unconstrained Fixed Income Fund (cont.)
September 30, 2015
Financial futures contracts as of September 30, 2015:
Short Position | Number of | Expiration Date | Unrealized Appreciation (Depreciation) | Notional Value | Clearinghouse | |||||||||||||
Ten Year U.S. Treasury Bonds | 5 | December, 2015 | $ | 235 | USD | 643,906 | Credit Suisse Securities (USA) LLC | |||||||||||
Thirty Year U.S. Treasury Bonds | 1 | December, 2015 | (1,094 | ) | USD | 159,313 | Credit Suisse Securities (USA) LLC | |||||||||||
|
| |||||||||||||||||
Total | $ | (859 | ) | |||||||||||||||
|
|
Interest rate swaps as of September 30, 2015:
Fixed Rate | Floating Rate | Counterparty | Expiration | Notional Amount (000) | Unrealized Appreciation (Depreciation) | |||||||||||||||||
13.07% | BRL-CDI | Barclays Bank Plc | 1/2/18 | BRL | 3,129(a) | $(57,295 | ) | |||||||||||||||
3.05% | PLN-WIBOR-WIBO | Citigroup Global Markets, Inc. | 8/14/25 | PLN | 7,100(a) | 928 | ||||||||||||||||
3.04% | USD-BBA-LIBOR | Citigroup Global Markets, Inc. | 7/28/25 | USD | 1,475(b) | (26,141 | ) | |||||||||||||||
|
| |||||||||||||||||||||
Total | $(82,508 | ) | ||||||||||||||||||||
|
|
(a) | The Counterparty pays the fixed rate on these swaps. |
(b) | The Fund pays the fixed rate on these swaps. |
Credit default swaps as of September 30, 2015:
Fixed Rate | Issuer | Counterparty | Expiration | Buy/Sell | Notional Amount (000) | Value | ||||||||||||||||||
1.00% | Brazilian Government International Bond | Citibank, N.A. | 12/20/20 | Sell | BRL | 1,750(a) | $(296,849 | ) | ||||||||||||||||
1.00% | Malaysia Government International Bond | BNP Paribas Capital SA | 12/20/20 | Buy | MYR | 750 | 43,985 | |||||||||||||||||
1.00% | South Korea Government International Bond | BNP Paribas Capital SA | 12/20/20 | Buy | KRW | 1,175 | (15,087 | ) | ||||||||||||||||
1.00% | Turkey Government International Bond | BNP Paribas Capital SA | 12/20/20 | Buy | TRY | 400 | 38,826 | |||||||||||||||||
1.00% | Turkey Government International Bond | BNP Paribas Capital SA | 12/20/20 | Buy | TRY | 400 | 38,826 | |||||||||||||||||
|
| |||||||||||||||||||||||
Total (Premiums paid $188,804) | $(190,299 | ) | ||||||||||||||||||||||
|
|
(a) | The maximum potential amount the Fund may pay should a negative credit event take place as defined under the terms of the agreement. |
76 |
SCHEDULE OF PORTFOLIO INVESTMENTS
|
RBC BlueBay Emerging Market Unconstrained Fixed Income Fund (cont.)
September 30, 2015
Abbreviations used are defined below:
BBA LIBOR - British Bankers Association
London Interbank Offered Rate
BRL - Brazilian Real
BRL-CDI - Brazil Cetip Interbank Deposit Rate
CLP - Chilean Peso
COP - Columbian Peso
EUR - Euro
HUF - Hungarian Forint
JPY - Japanese Yen
KRW - South Korean Won
MXN - Mexican Peso
MYR - Malaysian Ringgit
PEN - Peruvian Nuevo Sol
PHP - Philippine Peso
PLN - Polish Zloty
PLN-WIBOR-WIBO - Warsaw Interbank Offered Rate for Polish Zloty
RUB - Russian Ruble
SGD - Singapore Dollar
THB - Thai Baht
TRY - Turkish Lira
TWD - Taiwan Dollar
USD - United States Dollar
ZAR - South African Rand
Portfolio Diversification (Unaudited)
Industries | Percentage of Net Assets | |||
Foreign Government Bonds | 43.72 | % | ||
Energy | 16.11 | % | ||
Other* | 40.17 | % | ||
|
| |||
100.00 | % | |||
|
|
* | Includes cash, Investment Company, credit default swaps, interest rate swaps, futures, interest and dividend receivable, pending trades and Fund share transactions, foreign currency exchange contracts and accrued expenses payable. |
See Notes to Financial Statements.
77 |
SCHEDULE OF PORTFOLIO INVESTMENTS
|
RBC BlueBay Total Return Credit Fund
September 30, 2015
Principal Amount | Value | |||||
| ||||||
Convertible Bonds — 18.18% | ||||||
Austria — 0.15% | ||||||
19,667(a) | IMMOFINANZ AG, 4.25%, 3/8/18 | $ | 95,728 | |||
China — 1.33% | ||||||
1,000,000(b) | China Singyes Solar Technologies Holdings Ltd., 5.00%, 8/8/19 | 133,709 | ||||
$ 53,000 | Ctrip.com International Ltd., 1.00%, 7/1/20(c) | 47,806 | ||||
70,000 | Ctrip.com International Ltd., 1.25%, 10/15/18 | 75,600 | ||||
175,000 | Ctrip.com International Ltd., 1.99%, 7/1/25(c) | 154,263 | ||||
250,000 | ENN Energy Holdings Ltd., 5.69%, 2/26/18(d) | 263,125 | ||||
200,000 | Qihoo 360 Technology Co., Ltd., 1.75%, 8/15/21 | 168,000 | ||||
|
| |||||
842,503 | ||||||
|
| |||||
France — 0.43% | ||||||
2,650(a) | Air France-KLM, 2.03%, 2/15/23 | 30,177 | ||||
22,917(a) | Alcatel-Lucent, 4.25%, 7/1/18 | 103,890 | ||||
1,550(a) | Faurecia, 3.25%, 1/1/18 | 49,950 | ||||
507(a) | Misarte, 3.25%, 1/1/16 | 89,556 | ||||
|
| |||||
273,573 | ||||||
|
| |||||
Germany — 0.14% | ||||||
100,000(a) | Air Berlin Finance BV, 6.00%, 3/6/19 | 89,113 | ||||
Hong Kong — 1.33% | ||||||
250,000 | Asia View Ltd., 1.50%, 8/8/19 | 255,625 | ||||
1,000,000(e) | China Daye Non-Ferrous Metals Mining Ltd., 0.50%, 5/30/18 | 150,619 | ||||
200,000 | PB Issuer No. 3 Ltd., 1.88%, 10/22/18 | 189,500 | ||||
2,000,000(b) | Shine Power International Ltd., 0.28%, 7/28/19(d) | 246,127 | ||||
|
| |||||
841,871 | ||||||
|
| |||||
Japan — 1.93% | ||||||
100,000 | Gunma Bank Ltd. (The), 1.15%, 10/11/19(d) | 109,150 | ||||
20,000,000(b) | Kawasaki Kisen Kaisha Ltd., 3.12%, 9/26/18(d) | 176,385 | ||||
20,000,000(b) | SBI Holdings, Inc., 3.05%, 11/2/17(d) | 178,302 | ||||
10,000,000(b) | Takashimaya Co. Ltd., 0.97%, 12/11/20(d) | 88,317 | ||||
10,000,000(b) | Terumo Corp., 0.63%, 12/6/21(d) | 95,486 | ||||
20,000,000(b) | Toppan Printing Co. Ltd., 0.49%, 12/19/16(d) | 171,883 | ||||
20,000,000(b) | Toray Industries, Inc., 3.70%, 8/31/21(d) | 219,981 | ||||
20,000,000(b) | Yamada Denki Co. Ltd., 2.94%, 6/28/19(d) | 180,803 | ||||
|
| |||||
1,220,307 | ||||||
|
| |||||
Malaysia — 0.58% | ||||||
200,000 | Cahaya Capital Ltd., 0.47%, 9/18/21(d) | 182,000 |
78 |
SCHEDULE OF PORTFOLIO INVESTMENTS
|
RBC BlueBay Total Return Credit Fund (cont.)
September 30, 2015
Principal Amount | Value | |||||
| ||||||
250,000(f) | Indah Capital Ltd., 1.57%, 10/24/18(d) | $ | 187,977 | |||
|
| |||||
369,977 | ||||||
|
| |||||
Mexico — 0.48% | ||||||
$ 300,000 | Cemex SAB de CV, 3.75%, 3/15/18 | 306,000 | ||||
Netherlands — 0.73% | ||||||
200,000 | NXP Semiconductor NV, 1.00%, 12/1/19(c) | 216,250 | ||||
100,000(a) | OCI NV, 3.88%, 9/25/18 | 126,546 | ||||
100,000(a) | Vastned Retail NV, 1.88%, 4/10/19 | 117,607 | ||||
|
| |||||
460,403 | ||||||
|
| |||||
Norway — 0.46% | ||||||
100,000(a) | Marine Harvest ASA, 0.88%, 5/6/19 | 134,787 | ||||
150,000 | Ship Finance International Ltd., 3.25%, 2/1/18 | 156,563 | ||||
|
| |||||
291,350 | ||||||
|
| |||||
Singapore — 0.16% | ||||||
100,000 | Olam International Ltd., 6.00%, 10/15/16 | 100,950 | ||||
South Africa — 0.26% | ||||||
100,000(a) | Steinhoff Finance Holdings GmbH, 4.00%, 1/30/21 | 164,678 | ||||
Switzerland — 0.14% | ||||||
25,000(b) | BKW AG, 0.13%, 9/30/20 | 26,806 | ||||
55,000(b) | Schindler Holding AG, 0.38%, 6/5/17 | 58,832 | ||||
|
| |||||
85,638 | ||||||
|
| |||||
Taiwan — 0.56% | ||||||
100,000 | Epistar Corp., 2.55%, 8/7/18(d) | 97,800 | ||||
250,000 | Siliconware Precision Industries Co. Ltd., 1.32%, 10/31/19(d) | 257,813 | ||||
|
| |||||
355,613 | ||||||
|
| |||||
United Arab Emirates — 0.32% | ||||||
200,000 | National Bank of Abu Dhabi PJSC, 1.00%, 3/12/18 | 201,000 | ||||
United Kingdom — 0.24% | ||||||
100,000(g) | St. Modwen Properties Securities Jersey Ltd., 2.88%, 3/6/19 | 154,603 | ||||
United States — 8.94% | ||||||
155,000 | Akamai Technologies, Inc., 1.00%, 2/15/19(d) | 162,363 | ||||
120,000 | Ares Capital Corp., 4.38%, 1/15/19 | 123,000 | ||||
85,000 | BioMarin Pharmaceutical, Inc., 1.50%, 10/15/20 | 114,219 | ||||
203,000 | Cardtronics, Inc., 1.00%, 12/1/20 | 188,029 | ||||
145,000 | Cepheid, Inc., 1.25%, 2/1/21 | 147,175 | ||||
278,000 | Citrix Systems, Inc., 0.50%, 4/15/19 | 293,116 |
79 |
SCHEDULE OF PORTFOLIO INVESTMENTS
|
RBC BlueBay Total Return Credit Fund (cont.)
September 30, 2015
Principal Amount | Value | |||||
| ||||||
$ 70,000 | Cobalt International Energy, Inc., 3.13%, 5/15/24 | $ | 44,100 | |||
105,000 | Euronet Worldwide, Inc., 1.50%, 10/1/44(c) | 128,428 | ||||
47,000 | FireEye, Inc., 1.00%, 6/1/35(c) | 42,388 | ||||
148,000 | FireEye, Inc., 1.63%, 6/1/35(c) | 130,887 | ||||
100,000 | Hologic, Inc., 2.00%, 12/15/37(h) | 170,687 | ||||
100,000 | Huron Consulting Group, Inc., 1.25%, 10/1/19 | 104,187 | ||||
15,000 | Illumina, Inc., 0.25%, 3/15/16 | 31,453 | ||||
105,000 | Intel Corp., 3.25%, 8/1/39 | 158,419 | ||||
50,000 | Jarden Corp., 1.13%, 3/15/34 | 57,187 | ||||
100,000 | Jarden Corp., 1.50%, 6/15/19 | 134,187 | ||||
60,000 | JDS Uniphase Corp., 0.63%, 8/15/33 | 55,987 | ||||
125,000 | LAM Research Corp., 0.50%, 5/15/16 | 141,328 | ||||
60,000 | Liberty Interactive LLC, 3.50%, 1/15/31 | 30,975 | ||||
170,000 | Liberty Media Corp., 1.38%, 10/15/23 | 160,756 | ||||
200,000 | LinkedIn Corp., 0.50%, 11/1/19(c) | 196,875 | ||||
110,000 | Medidata Solutions, Inc., 1.00%, 8/1/18 | 115,981 | ||||
236,000 | Microchip Technology, Inc., 1.63%, 2/15/25(c) | 225,823 | ||||
240,000 | NVIDIA Corp., 1.00%, 12/1/18 | 315,750 | ||||
33,000 | ON Semiconductor Corp., 1.00%, 12/1/20(c) | 30,711 | ||||
26,000 | Pattern Energy Group, Inc., 4.00%, 7/15/20(c) | 23,644 | ||||
135,000 | Priceline Group, Inc. (The), 1.00%, 3/15/18 | 189,759 | ||||
30,000 | Proofpoint, Inc., 1.25%, 12/15/18 | 49,031 | ||||
200,000 | QIAGEN NV, 0.38%, 3/19/19 | 216,250 | ||||
143,000 | Restoration Hardware Holdings, Inc., 0.32%, 6/15/19(c)(d) | 141,749 | ||||
207,000 | Salesforce.com, Inc., 0.25%, 4/1/18 | 253,575 | ||||
255,000 | SanDisk Corp., 0.50%, 10/15/20 | 246,872 | ||||
80,000 | SanDisk Corp., 1.50%, 8/15/17 | 99,300 | ||||
125,000 | ServiceNow, Inc., 2.08%, 11/1/18(d) | 140,703 | ||||
40,000 | SolarCity Corp., 1.63%, 11/1/19(c) | 31,175 | ||||
40,000 | Starwood Property Trust, Inc., 4.55%, 3/1/18 | 40,700 | ||||
63,000 | SunEdison, Inc., 0.25%, 1/15/20(c) | 35,871 | ||||
248,000 | SunEdison, Inc., 2.38%, 4/15/22(c) | 141,205 | ||||
46,000 | Synchronoss Technologies, Inc., 0.75%, 8/15/19 | 46,403 | ||||
15,000 | TESARO, Inc., 3.00%, 10/1/21 | 20,822 | ||||
345,000 | Tesla Motors, Inc., 1.25%, 3/1/21 | 324,731 | ||||
233,000 | Whiting Petroleum Corp., 1.25%, 4/1/20(c) | 189,749 | ||||
172,000 | Yahoo!, Inc., 2.71%, 12/1/18(d) | 166,410 | ||||
|
| |||||
5,661,960 | ||||||
|
| |||||
Total Convertible Bonds | 11,515,267 | |||||
|
| |||||
(Cost $12,126,260) |
80 |
SCHEDULE OF PORTFOLIO INVESTMENTS
|
RBC BlueBay Total Return Credit Fund (cont.)
September 30, 2015
Principal Amount | Value | |||||
| ||||||
Corporate Bonds — 41.95% | ||||||
Azerbaijan — 0.27% | ||||||
$ 200,000 | State Oil Co. of the Azerbaijan Republic, 4.75%, 3/13/23 | $ | 173,760 | |||
Barbados — 0.41% | ||||||
250,000 | Columbus International, Inc., 7.38%, 3/30/21 | 258,750 | ||||
Brazil — 0.17% | ||||||
151,000 | Petrobras Global Finance BV, 5.38%, 1/27/21 | 107,965 | ||||
Canada — 1.22% | ||||||
210,000 | 1011778 BC ULC/New Red Finance Inc, 6.00%, 4/1/22(c) | 212,688 | ||||
470,000(b) | Great Canadian Gaming Corp., 6.63%, 7/25/22(c) | 360,997 | ||||
230,000 | Seven Generations Energy Ltd., 6.75%, 5/1/23(c) | 202,081 | ||||
|
| |||||
775,766 | ||||||
|
| |||||
Chile — 0.29% | ||||||
200,000 | Corp Nacional del Cobre de Chile, 3.00%, 7/17/22 | 183,500 | ||||
China — 0.47% | ||||||
300,000 | Export-Import Bank of China/The Via Avi Funding Co., Ltd., 3.80%, 9/16/25(c) | 295,428 | ||||
Colombia — 0.01% | ||||||
11,000 | Ecopetrol SA, 5.38%, 6/26/26 | 9,570 | ||||
France — 2.14% | ||||||
400,000 | Albea Beauty Holdings SA, 8.38%, 11/1/19(c) | 419,000 | ||||
200,000(a) | Ephios Bondco Plc, 6.25%, 7/1/22(c) | 221,246 | ||||
300,000(a) | Numericable-SFR SAS, 5.63%, 5/15/24 | 331,870 | ||||
400,000 | Numericable-SFR SAS, 6.00%, 5/15/22(c) | 384,000 | ||||
|
| |||||
1,356,116 | ||||||
|
| |||||
Germany — 0.93% | ||||||
200,000 | Unitymedia Gmbh, 6.13%, 1/15/25(c) | 196,000 | ||||
370,000(a) | Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH, 4.00%, 1/15/25 | 391,238 | ||||
|
| |||||
587,238 | ||||||
|
| |||||
Indonesia — 0.25% | ||||||
200,000 | Pertamina Persero PT, 5.63%, 5/20/43 | 155,500 | ||||
Ireland — 0.66% | ||||||
370,000(a) | Baggot Securities Ltd., 10.24%, 12/29/49 | 418,091 | ||||
Italy — 1.06% | ||||||
610,000(a) | Wind Acquisition Finance SA, 4.00%, 7/15/20 | 672,245 |
81 |
SCHEDULE OF PORTFOLIO INVESTMENTS
|
RBC BlueBay Total Return Credit Fund (cont.)
September 30, 2015
Principal Amount | Value | |||||
| ||||||
Jamaica — 0.75% | ||||||
$ 250,000 | Digicel Ltd, 6.75%, 3/1/23(c) | $ | 226,250 | |||
270,000 | Digicel Ltd., 6.00%, 4/15/21(c) | 246,375 | ||||
|
| |||||
472,625 | ||||||
|
| |||||
Kazakhstan — 0.46% | ||||||
230,000 | KazMunayGas National Co. JSC, 4.88%, 5/7/25 | 191,763 | ||||
100,000 | KazMunayGas National Co. JSC, 7.00%, 5/5/20 | 100,650 | ||||
|
| |||||
292,413 | ||||||
|
| |||||
Luxembourg — 1.77% | ||||||
460,000 | Aguila 3 SA, 7.88%, 1/31/18(c) | 464,025 | ||||
240,000 | Altice Financing SA, 6.63%, 2/15/23(c) | 231,000 | ||||
281,400 | Intelsat Jackson Holdings SA, 6.63%, 12/15/22 | 219,492 | ||||
230,000 | Intelsat Jackson Holdings SA, 7.25%, 10/15/20 | 209,875 | ||||
|
| |||||
1,124,392 | ||||||
|
| |||||
Mexico — 0.35% | ||||||
130,000 | Petroleos Mexicanos, 4.88%, 1/18/24 | 125,580 | ||||
119,000 | Petroleos Mexicanos, 5.63%, 1/23/46 | 96,390 | ||||
|
| |||||
221,970 | ||||||
|
| |||||
Netherlands — 1.36% | ||||||
220,000 | Neptune Finco Corp., 6.63%, 10/15/25(c) | 221,100 | ||||
250,000 | Neptune Finco Corp., 10.13%, 1/15/23(c) | 252,813 | ||||
200,000 | Neptune Finco Corp., 10.88%, 10/15/25(c) | 202,000 | ||||
200,000 | UPCB Finance IV Ltd., 5.38%, 1/15/25(c) | 184,500 | ||||
|
| |||||
860,413 | ||||||
|
| |||||
South Africa — 0.30% | ||||||
200,000 | Eskom Holdings SOC Ltd., 7.13%, 2/11/25 | 187,500 | ||||
Switzerland — 0.97% | ||||||
320,000 | Credit Suisse Group AG, 6.25%, 12/29/49(i) | 301,120 | ||||
360,000(b) | Sunrise Communications Holdings SA, 2.13%, 3/31/22 | 313,532 | ||||
|
| |||||
614,652 | ||||||
|
| |||||
Trinidad & Tobago — 0.09% | ||||||
58,333 | Petroleum Co. of Trinidad & Tobago Ltd., 6.00%, 5/8/22 | 55,708 | ||||
United Kingdom — 4.33% | ||||||
190,000(g) | Brakes Capital, 7.13%, 12/15/18 | 297,481 | ||||
200,000 | EnQuest Plc, 7.00%, 4/15/22(c) | 124,979 | ||||
400,000 | Lloyds Banking Group Plc, 7.50%, 4/30/49(i) | 407,084 | ||||
100,000 | Odeon & UCI Finco Plc, 9.00%, 8/1/18 | 155,813 |
82 |
SCHEDULE OF PORTFOLIO INVESTMENTS
|
RBC BlueBay Total Return Credit Fund (cont.)
September 30, 2015
Principal Amount | Value | |||||
| ||||||
374,056(g) | Priory Group No. 3 Plc, 7.00%, 2/15/18 | $ | 578,583 | |||
165,000(a) | Rexam Plc, 6.75%, 6/29/67(i) | 183,681 | ||||
$ 200,000 | Royal Bank of Scotland Group Plc, 8.00%, 12/29/49(i) | 201,500 | ||||
100,000(a) | Virgin Media Finance Plc, 4.50%, 1/15/25 | 101,684 | ||||
260,000(g) | Virgin Media Secured Finance Plc, 4.88%, 1/15/27 | 348,083 | ||||
225,000(g) | Virgin Media Secured Finance Plc, 6.00%, 4/15/21 | 342,920 | ||||
|
| |||||
2,741,808 | ||||||
|
| |||||
United States — 23.27% | ||||||
110,000 | Acadia Healthcare Co., Inc, 5.63%, 2/15/23(c) | 110,550 | ||||
460,000 | ADT Corp. (The), 4.13%, 6/15/23 | 414,000 | ||||
60,000 | Allegion Plc, 5.88%, 9/15/23 | 61,350 | ||||
430,000 | Alliance Data Systems Corp., 5.38%, 8/1/22(c) | 419,250 | ||||
400,000 | Altice US Finance I Corp., 5.38%, 7/15/23(c) | 384,000 | ||||
238,000 | AMC Entertainment, Inc., 5.88%, 2/15/22 | 239,190 | ||||
220,000 | Amsurg Corp., 5.63%, 7/15/22 | 219,725 | ||||
300,000 | Audatex North America, Inc., 6.13%, 11/1/23(c) | 301,500 | ||||
420,000 | Berry Plastics Corp., 5.50%, 5/15/22 | 408,450 | ||||
390,000 | Blackboard, Inc., 7.75%, 11/15/19(c) | 327,600 | ||||
260,000 | Cablevision Systems Corp., 8.63%, 9/15/17 | 271,050 | ||||
280,000 | Cequel Communications Holdings I LLC/Cequel Capital Corp., 5.13%, 12/15/21(c) | 246,575 | ||||
210,000 | Cequel Communications Holdings I LLC/Cequel Capital Corp., 6.38%, 9/15/20(c) | 197,663 | ||||
220,000 | CHS Community Health Systems, Inc., 5.13%, 8/15/18 | 224,950 | ||||
140,000 | CHS Community Health Systems, Inc., 7.13%, 7/15/20 | 145,600 | ||||
70,000 | Cinemark USA, Inc., 4.88%, 6/1/23 | 66,850 | ||||
40,000 | CommScope, Inc., 4.38%, 6/15/20(c) | 39,700 | ||||
150,000 | Davita Healthcare Partners, Inc., 5.00%, 5/1/25 | 144,000 | ||||
200,000 | Endo Finance LLC/Endo Ltd./Endo Finco, Inc., 6.00%, 7/15/23(c) | 197,500 | ||||
340,000 | Envision Healthcare Corp., 5.13%, 7/1/22(c) | 339,150 | ||||
94,000 | EP Energy LLC/Everest Acquisition Finance, Inc., 9.38%, 5/1/20 | 80,840 | ||||
130,000 | Equinix, Inc., 5.75%, 1/1/25 | 129,025 | ||||
230,000 | ESH Hospitality, Inc., 5.25%, 5/1/25(c) | 225,975 | ||||
270,000 | Halcon Resources Corp., 8.63%, 2/1/20(c) | 224,437 | ||||
280,000 | HCA, Inc., 5.88%, 5/1/23 | 290,500 | ||||
830,000 | HD Supply, Inc., 7.50%, 7/15/20 | 863,200 | ||||
150,000 | Hilton Worldwide Finance LLC/Hilton Worldwide Finance Corp., 5.63%, 10/15/21 | 154,875 | ||||
240,000 | International Game Technology Plc, 6.25%, 2/15/22(c) | 222,000 | ||||
430,000 | Level 3 Communications, Inc., 5.75%, 12/1/22 | 421,937 | ||||
288,293 | Live Nation Entertainment, Inc., 5.38%, 6/15/22(c) | 282,527 | ||||
310,000 | LTF Merger Sub, Inc., 8.50%, 6/15/23(c) | 292,950 | ||||
70,000 | Mallinckrodt International Finance SA/Mallinckrodt CB LLC, 5.63%, 10/15/23(c) | 63,700 | ||||
180,000 | Memorial Resource Development Corp, 5.88%, 7/1/22 | 163,800 | ||||
100,000 | MGM Resorts International, 5.25%, 3/31/20 | 98,500 | ||||
120,000 | MGM Resorts International, 6.00%, 3/15/23 | 116,550 |
83 |
SCHEDULE OF PORTFOLIO INVESTMENTS
|
RBC BlueBay Total Return Credit Fund (cont.)
September 30, 2015
Principal Amount | Value | |||||
| ||||||
$ 200,000 | Momentive Performance Materials Inc., 4.69%, 4/24/22 | $ | 140,000 | |||
410,000 | Momentive Performance Materials, Inc., 3.88%, 10/24/21 | 315,700 | ||||
410,000 | Momentive Performance Materials, Inc., Escrow Bond, 8.88%, 10/15/20(j)(k) | 0 | ||||
127,000 | Mood Media Corp., 9.25%, 10/15/20(c) | 91,440 | ||||
490,000 | Nielsen Finance LLC/Nielsen Finance Co., 5.00%, 4/15/22(c) | 474,687 | ||||
300,000 | OPE KAG Finance Sub, Inc., 7.88%, 7/31/23(c) | 304,500 | ||||
220,000 | Overseas Shipholding Group, Inc., 8.13%, 3/30/18 | 224,400 | ||||
220,000 | Overseas Shipholding Group, Inc., Series N-II, 7.50%, 2/15/21 | 221,100 | ||||
509,000 | Pinnacle Entertainment, Inc., 7.75%, 4/1/22 | 557,355 | ||||
560,000 | Rite Aid Corp, 6.13%, 4/1/23(c) | 555,800 | ||||
100,000(a) | Sealed Air Corp., 4.50%, 9/15/23(c) | 113,137 | ||||
230,000 | Sirius XM Radio Inc., 4.25%, 5/15/20(c) | 224,825 | ||||
140,000 | Spectrum Brands, Inc., 5.75%, 7/15/25(c) | 142,800 | ||||
300,000 | Sunoco L.P./Sunoco Finance Corp., 5.50%, 8/1/20(c) | 295,500 | ||||
210,000 | Sunoco L.P./Sunoco Finance Corp., 6.38%, 4/1/23(c) | 204,750 | ||||
140,000 | Taylor Morrison Communities, Inc./Monarch Communities, Inc., 5.63%, 3/1/24(c) | 134,400 | ||||
310,000 | Tenet Healthcare Corp., 5.00%, 3/1/19 | 299,925 | ||||
70,000 | Tenet Healthcare Corp., 6.75%, 6/15/23 | 69,475 | ||||
270,000 | Tenet Healthcare Corp., 8.00%, 8/1/20 | 278,775 | ||||
250,000 | TransDigm, Inc., 5.50%, 10/15/20 | 238,281 | ||||
430,000(a) | VRX Escrow Corp., 4.50%, 5/15/23 | 418,022 | ||||
263,000(a) | VWR Funding, Inc., 4.63%, 4/15/22 | 279,184 | ||||
170,000 | York Risk Services Holding Corp., 8.50%, 10/1/22(c) | 144,500 | ||||
640,000 | Zayo Group LLC/Zayo Capital, Inc., 6.00%, 4/1/23(c) | 620,800 | ||||
|
| |||||
14,738,825 | ||||||
|
| |||||
Venezuela — 0.42% | ||||||
140,000 | Petroleos de Venezuela SA, 6.00%, 5/16/24 | 45,290 | ||||
673,674 | Petroleos de Venezuela SA, 6.00%, 11/15/26 | 215,576 | ||||
16,720 | Petroleos de Venezuela SA, 9.00%, 11/17/21 | 5,994 | ||||
|
| |||||
266,860 | ||||||
|
| |||||
Total Corporate Bonds | 26,571,095 | |||||
|
| |||||
(Cost $27,740,090) | ||||||
Foreign Government Bonds — 31.35% | ||||||
Argentina — 0.70% | ||||||
292,914 | Argentina Bonar Bonds, 7.00%, 4/17/17 | 293,500 |
84 |
SCHEDULE OF PORTFOLIO INVESTMENTS
|
RBC BlueBay Total Return Credit Fund (cont.)
September 30, 2015
Principal Amount | Value | |||||
| ||||||
$ 77,346 | Argentine Republic Government International Bond, 8.28%, 12/31/33(k) | $ | 79,087 | |||
72,908 | Argentine Republic Government International Bond, 8.75%, 6/2/17(k) | 72,908 | ||||
|
| |||||
445,495 | ||||||
|
| |||||
Azerbaijan — 0.36% | ||||||
244,000 | Republic of Azerbaijan International Bond, 4.75%, 3/18/24 | 226,920 | ||||
Brazil — 2.56% | ||||||
3,789,000(b) | Brazil Notas do Tesouro Nacional, Series F, 10.00%, 1/1/18 | 856,950 | ||||
1,000,000(b) | Brazil Notas do Tesouro Nacional, Series F, 10.00%, 1/1/21 | 204,109 | ||||
400,000 | Brazilian Government International Bond, 2.63%, 1/5/23 | 324,000 | ||||
300,000 | Brazilian Government International Bond, 5.63%, 1/7/41 | 239,250 | ||||
|
| |||||
1,624,309 | ||||||
|
| |||||
Colombia — 2.08% | ||||||
200,000 | Colombia Government International Bond, 4.50%, 1/28/26 | 195,500 | ||||
200,000 | Colombia Government International Bond, 5.00%, 6/15/45 | 171,500 | ||||
125,000 | Colombia Government International Bond, 6.13%, 1/18/41 | 123,750 | ||||
464,600,000(b) | Colombian TES, 6.00%, 4/28/28 | 120,132 | ||||
581,500,000(b) | Colombian TES, 7.00%, 9/11/19 | 188,299 | ||||
1,439,500,000(b) | Colombian TES, 10.00%, 7/24/24 | 520,211 | ||||
|
| |||||
1,319,392 | ||||||
|
| |||||
Costa Rica — 0.27% | ||||||
200,000 | Costa Rica Government International Bond, 7.16%, 3/12/45 | 173,500 | ||||
Cote D’Ivoire (Ivory Coast) — 0.63% | ||||||
460,000 | Ivory Coast Government International Bond, 5.75%, 12/31/32(h) | 397,900 | ||||
Croatia (Hrvatska) — 1.14% | ||||||
200,000 | Croatia Government International Bond, 6.00%, 1/26/24 | 210,750 | ||||
200,000 | Croatia Government International Bond, 6.38%, 3/24/21 | 214,876 | ||||
275,000 | Croatia Government International Bond, 6.75%, 11/5/19 | 298,548 | ||||
|
| |||||
724,174 | ||||||
|
| |||||
Dominican Republic — 0.78% | ||||||
315,000 | Dominican Republic International Bond, 5.50%, 1/27/25 | 300,037 | ||||
105,000 | Dominican Republic International Bond, 5.88%, 4/18/24 | 102,900 | ||||
100,000 | Dominican Republic International Bond, 6.85%, 1/27/45 | 94,000 | ||||
|
| |||||
496,937 | ||||||
|
|
85 |
SCHEDULE OF PORTFOLIO INVESTMENTS
|
RBC BlueBay Total Return Credit Fund (cont.)
September 30, 2015
Principal Amount | Value | |||||
| ||||||
Ecuador — 0.24% | ||||||
$ 200,000 | Ecuador Government International Bond, 10.50%, 3/24/20 | $ | 151,000 | |||
El Salvador — 0.38% | ||||||
190,000 | El Salvador Government International Bond, 5.88%, 1/30/25 | 162,450 | ||||
40,000 | El Salvador Government International Bond, 6.38%, 1/18/27 | 34,400 | ||||
47,000 | El Salvador Government International Bond, 7.65%, 6/15/35 | 41,889 | ||||
|
| |||||
238,739 | ||||||
|
| |||||
Georgia — 0.32% | ||||||
200,000 | Georgia Government International Bond, 6.88%, 4/12/21 | 205,500 | ||||
Guatemala — 0.33% | ||||||
200,000 | Guatemala Government Bond, 5.75%, 6/6/22 | 209,000 | ||||
Hungary — 0.80% | ||||||
10,000 | Hungary Government International Bond, 4.13%, 2/19/18 | 10,387 | ||||
80,000 | Hungary Government International Bond, 5.38%, 3/25/24 | 86,900 | ||||
370,000 | Hungary Government International Bond, 5.75%, 11/22/23 | 411,625 | ||||
|
| |||||
508,912 | ||||||
|
| |||||
Indonesia — 1.87% | ||||||
260,000 | Indonesia Government International Bond, 5.38%, 10/17/23 | 267,800 | ||||
8,708,000,000(b) | Indonesia Treasury Bond, 8.38%, 3/15/24 | 546,681 | ||||
2,878,000,000(b) | Indonesia Treasury Bond, 9.00%, 3/15/29 | 183,416 | ||||
200,000 | Perusahaan Penerbit SBSN Indonesia III, 4.33%, 5/28/25 | 185,100 | ||||
|
| |||||
1,182,997 | ||||||
|
| |||||
Jamaica — 0.32% | ||||||
200,000 | Jamaica Government International Bond, 6.75%, 4/28/28 | 199,500 | ||||
Kazakhstan — 0.60% | ||||||
200,000 | Kazakhstan Government International Bond, 5.13%, 7/21/25 | 192,500 | ||||
200,000 | Kazakhstan Government International Bond, 6.50%, 7/21/45 | 187,500 | ||||
|
| |||||
380,000 | ||||||
|
| |||||
Kenya — 0.28% | ||||||
200,000 | Kenya Government International Bond, 6.88%, 6/24/24 | 179,500 | ||||
Lithuania — 0.76% | ||||||
400,000 | Lithuania Government International Bond, 6.63%, 2/1/22 | 483,520 | ||||
Malaysia — 1.00% | ||||||
915,000(b) | Malaysia Government Bond, 3.81%, 2/15/17 | 209,459 | ||||
428,000(b) | Malaysia Government Bond, 3.89%, 3/15/27 | 91,391 | ||||
163,000(b) | Malaysia Government Bond, 3.96%, 9/15/25 | 35,456 |
86 |
SCHEDULE OF PORTFOLIO INVESTMENTS
|
RBC BlueBay Total Return Credit Fund (cont.)
September 30, 2015
Principal Amount | Value | |||||
| ||||||
501,000(b) | Malaysia Government Bond, 4.18%, 7/15/24 | $ | 111,226 | |||
795,000(b) | Malaysia Government Bond, 4.38%, 11/29/19 | 182,649 | ||||
|
| |||||
630,181 | ||||||
|
| |||||
Mexico — 2.10% | ||||||
2,070,000(b) | Mexican Bonos, 7.50%, 6/3/27 | 133,676 | ||||
4,440,000(b) | Mexican Bonos, 8.00%, 12/7/23 | 296,252 | ||||
5,300,000(b) | Mexican Bonos, 10.00%, 12/5/24 | 399,333 | ||||
$ 200,000 | Mexico Government International Bond, 3.60%, 1/30/25 | 196,000 | ||||
90,000 | Mexico Government International Bond, 4.00%, 10/2/23 | 91,530 | ||||
205,000 | Mexico Government International Bond, 5.55%, 1/21/45 | 210,125 | ||||
|
| |||||
1,326,916 | ||||||
|
| |||||
Morocco — 0.32% | ||||||
200,000 | Morocco Government International Bond, 4.25%, 12/11/22 | 201,500 | ||||
Pakistan — 0.32% | ||||||
200,000 | Pakistan Government International Bond, 8.25%, 9/30/25(c) | 204,500 | ||||
Panama — 0.31% | ||||||
200,000 | Panama Government International Bond, 3.75%, 3/16/25 | 194,500 | ||||
Paraguay — 0.31% | ||||||
200,000 | Republic of Paraguay, 4.63%, 1/25/23 | 199,000 | ||||
Peru — 0.44% | ||||||
180,000(b) | Peruvian Government International Bond, 4.13%, 8/25/27 | 177,300 | ||||
357,000(b) | Peruvian Government International Bond, 5.70%, 8/12/24(c) | 98,738 | ||||
|
| |||||
276,038 | ||||||
|
| |||||
Philippines — 0.58% | ||||||
200,000 | Philippine Government International Bond, 5.50%, 3/30/26 | 237,797 | ||||
100,000 | Philippine Government International Bond, 6.38%, 10/23/34 | 131,009 | ||||
|
| |||||
368,806 | ||||||
|
| |||||
Poland — 1.97% | ||||||
1,297,000(b) | Poland Government Bond, 3.25%, 7/25/19 | 354,304 | ||||
843,000(b) | Poland Government Bond, 3.25%, 7/25/25 | 229,195 | ||||
500,000(b) | Poland Government Bond, 4.00%, 10/25/23 | 143,039 | ||||
230,000 | Poland Government International Bond, 4.00%, 1/22/24 | 243,821 | ||||
245,000 | Poland Government International Bond, 5.00%, 3/23/22 | 274,281 | ||||
|
| |||||
1,244,640 | ||||||
|
| |||||
Romania — 0.90% | ||||||
180,000(b) | Romania Government Bond, 5.85%, 4/26/23 | 52,546 |
87 |
SCHEDULE OF PORTFOLIO INVESTMENTS
|
RBC BlueBay Total Return Credit Fund (cont.)
September 30, 2015
Principal Amount | Value | |||||
| ||||||
$ 260,000 | Romanian Government International Bond, 4.38%, 8/22/23 | $ | 270,725 | |||
132,000 | Romanian Government International Bond, 6.13%, 1/22/44 | 153,450 | ||||
80,000 | Romanian Government International Bond, 6.75%, 2/7/22 | 94,400 | ||||
|
| |||||
571,121 | ||||||
|
| |||||
Russia — 0.93% | ||||||
9,750,000(b) | Russian Federal Bond - OFZ, 7.00%, 8/16/23 | 118,838 | ||||
12,296,000(b) | Russian Federal Bond - OFZ, 8.15%, 2/3/27 | 156,735 | ||||
300,000 | Russian Foreign Bond - Eurobond, 5.00%, 4/29/20 | 310,200 | ||||
|
| |||||
585,773 | ||||||
|
| |||||
Serbia — 0.33% | ||||||
200,000 | Republic of Serbia, 5.88%, 12/3/18 | 209,500 | ||||
Slovenia — 0.36% | ||||||
200,000 | Slovenia Government International Bond, 5.85%, 5/10/23 | 228,500 | ||||
South Africa — 2.07% | ||||||
1,501,333(b) | South Africa Government Bond, 6.25%, 3/31/36 | 80,219 | ||||
4,932,954(b) | South Africa Government Bond, 6.75%, 3/31/21 | 335,043 | ||||
1,787,302(b) | South Africa Government Bond, 7.00%, 2/28/31 | 108,408 | ||||
142,984(b) | South Africa Government Bond, 8.75%, 2/28/48 | 9,922 | ||||
4,403,382(b) | South Africa Government Bond, 10.50%, 12/21/26 | 363,496 | ||||
160,000 | South Africa Government International Bond, 5.88%, 5/30/22 | 172,555 | ||||
225,000 | South Africa Government International Bond, 5.88%, 9/16/25 | 239,317 | ||||
|
| |||||
1,308,960 | ||||||
|
| |||||
Sri Lanka — 0.41% | ||||||
270,000 | Sri Lanka Government International Bond, 5.88%, 7/25/22 | 260,550 | ||||
Thailand — 0.88% | ||||||
7,100,000(b) | Thailand Government Bond, 1.20%, 7/14/21(l) | 206,284 | ||||
2,706,000(b) | Thailand Government Bond, 3.63%, 6/16/23 | 79,168 | ||||
9,045,000(b) | Thailand Government Bond, 3.85%, 12/12/25 | 271,790 | ||||
|
| |||||
557,242 | ||||||
|
| |||||
Turkey — 2.10% | ||||||
2,423,426(b) | Turkey Government Bond, 8.00%, 3/12/25 | 671,695 | ||||
1,000,889(b) | Turkey Government Bond, 8.50%, 7/10/19 | 305,071 | ||||
310,000 | Turkey Government International Bond, 7.38%, 2/5/25 | 354,175 | ||||
|
| |||||
1,330,941 | ||||||
|
|
88 |
SCHEDULE OF PORTFOLIO INVESTMENTS
|
RBC BlueBay Total Return Credit Fund (cont.)
September 30, 2015
Principal Amount | Value | |||||
| ||||||
Ukraine — 0.84% | ||||||
$507,000 | Ukraine Government International Bond, 6.58%, 11/21/16 | $ | 401,797 | |||
150,000 | Ukreximbank Via Biz Finance Plc, 9.63%, 4/27/22 | 132,000 | ||||
|
| |||||
533,797 | ||||||
|
| |||||
Uruguay — 0.17% | ||||||
120,000 | Uruguay Government International Bond, 5.10%, 6/18/50 | 104,400 | ||||
Venezuela — 0.15% | ||||||
50,000 | Venezuela Government International Bond, 7.75%, 10/13/19 | 17,000 | ||||
20,000 | Venezuela Government International Bond, 9.25%, 5/7/28 | 6,930 | ||||
90,000 | Venezuela Government International Bond, 11.75%, 10/21/26 | 35,460 | ||||
83,600 | Venezuela Government International Bond, 11.95%, 8/5/31 | 33,106 | ||||
|
| |||||
92,496 | ||||||
|
| |||||
Vietnam — 0.17% | ||||||
100,000 | Vietnam Government International Bond, 6.75%, 1/29/20 | 109,450 | ||||
Zambia — 0.27% | ||||||
215,000 | Zambia Government International Bond, 8.50%, 4/14/24 | 172,000 | ||||
Total Foreign Government Bonds | 19,858,106 | |||||
|
| |||||
(Cost $21,122,812) | ||||||
Shares | ||||||
Convertible Preferred Stocks — 0.27% | ||||||
United States — 0.27% | ||||||
98 | Allergan Plc, 5.50%, 3/1/18 | 92,181 | ||||
789 | American Tower Corp., 5.50%, 2/15/18 | 77,223 | ||||
|
| |||||
Total Convertible Preferred Stocks | 169,404 | |||||
|
| |||||
(Cost $182,923) | ||||||
Common Stocks — 0.14% | ||||||
France — 0.08% | ||||||
348 | Eurazeo SA | 23,137 | ||||
118 | Unibail-Rodamco SE | 30,498 | ||||
|
| |||||
Germany — 0.06% | ||||||
1,041 | Evonik Industries AG | 34,798 | ||||
Total Common Stocks | 88,433 | |||||
|
| |||||
(Cost $94,363) |
89 |
SCHEDULE OF PORTFOLIO INVESTMENTS
|
RBC BlueBay Total Return Credit Fund (cont.)
September 30, 2015
Contracts | Value | |||||
| ||||||
Call Options Purchased — 0.04% | ||||||
4 | Adidas AG, Strike Price EUR 68.00, Expires 12/16/16 | $ 4,224 | ||||
5 | Airbus Group SE, Strike Price EUR 76.00, Expires 12/15/17 | 1,168 | ||||
535 | Koninklijke KPN NV, Strike Price EUR 4.00, Expires 12/15/17 | 18,532 | ||||
28 | Siemens AG, Strike Price EUR 100.00, Expires 6/17/16 | 2,034 | ||||
|
| |||||
Total Call Options Purchased | 25,958 | |||||
|
| |||||
(Cost $47,348) | ||||||
Shares | ||||||
Investment Company — 4.27% | ||||||
2,703,965 | JPMorgan 100% US Treasury Securities Money Market Fund, Capital Shares | 2,703,965 | ||||
|
| |||||
Total Investment Company | 2,703,965 | |||||
|
| |||||
(Cost $2,703,965) | ||||||
Total Investments | $ | 60,932,228 | ||||
(Cost $64,017,761)(m) — 96.20% | ||||||
Other assets in excess of liabilities — 3.80% | 2,407,664 | |||||
|
| |||||
NET ASSETS — 100.00% | $ | 63,339,892 | ||||
|
|
(a) | Principal amount denoted in Euros. |
(b) | Investment in non-U.S. Dollars. Principal amount reflects local currency. |
(c) | Security exempt from registration under Rule 144A or Section 4(2) of the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. Security has been deemed to be liquid based on procedures approved by the Board of Trustees. |
(d) | Zero coupon bond. The rate represents the yield at time of purchase. |
(e) | Principal amount denoted in Chinese Yuans. |
(f) | Principal amount denoted in Singapore Dollars. |
(g) | Principal amount denoted in British Pounds. |
(h) | Represents a step-up bond that pays an initial coupon rate for the first period and then a higher coupon rate for the following periods. Rate shown is as of report date. |
(i) | Variable rate security. The rate reflected in the Schedule of Portfolio Investments is the rate in effect on September 30, 2015. |
(j) | The Pricing Committee has fair valued this security under procedures established by the Fund’s Board of Trustees. |
(k) | Issuer filed for bankruptcy and/or is in default of interest payments. |
(l) | Inflation protected security. Principal amount reflects original security face amount. |
(m) | See Notes to Financial Statements for the tax cost of securities and the breakdown of unrealized appreciation (depreciation). |
Foreign currency exchange contracts as of September 30, 2015:
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) | ||||||||||||||||
BRL | 596,675 | USD | 145,000 | Citibank N.A. | 10/2/15 | $5,318 |
90 |
SCHEDULE OF PORTFOLIO INVESTMENTS
|
RBC BlueBay Total Return Credit Fund (cont.)
September 30, 2015
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) | ||||||||||||||||
BRL | 606,225 | USD | 150,000 | Citibank N.A. | 10/2/15 | $ 2,724 | ||||||||||||||
BRL | 325,985 | USD | 81,947 | Citibank N.A. | 10/2/15 | 177 | ||||||||||||||
BRL | 232,846 | USD | 58,829 | Citibank N.A. | 10/2/15 | (169) | ||||||||||||||
BRL | 182,707 | USD | 46,337 | Citibank N.A. | 10/2/15 | (308) | ||||||||||||||
BRL | 325,985 | USD | 82,969 | Citibank N.A. | 10/2/15 | (845) | ||||||||||||||
BRL | 522,450 | USD | 135,000 | Citibank N.A. | 10/2/15 | (3,381) | ||||||||||||||
BRL | 385,920 | USD | 100,928 | Citibank N.A. | 10/2/15 | (3,705) | ||||||||||||||
BRL | 175,444 | USD | 49,000 | Citibank N.A. | 10/2/15 | (4,801) | ||||||||||||||
BRL | 1,622,028 | USD | 415,000 | Citibank N.A. | 10/2/15 | (6,368) | ||||||||||||||
BRL | 461,300 | USD | 125,000 | Citibank N.A. | 10/2/15 | (8,786) | ||||||||||||||
BRL | 1,064,511 | USD | 277,000 | Citibank N.A. | 10/2/15 | (8,821) | ||||||||||||||
BRL | 410,780 | USD | 115,000 | Citibank N.A. | 10/2/15 | (11,514) | ||||||||||||||
USD | 249,421 | BRL | 891,107 | Citibank N.A. | 10/2/15 | 24,927 | ||||||||||||||
USD | 125,000 | BRL | 452,138 | Citibank N.A. | 10/2/15 | 11,094 | ||||||||||||||
USD | 106,948 | BRL | 388,030 | Citibank N.A. | 10/2/15 | 9,193 | ||||||||||||||
USD | 337,959 | BRL | 1,321,690 | Citibank N.A. | 10/2/15 | 4,990 | ||||||||||||||
USD | 165,000 | BRL | 644,160 | Citibank N.A. | 10/2/15 | 2,719 | ||||||||||||||
USD | 52,000 | BRL | 196,638 | Citibank N.A. | 10/2/15 | 2,462 | ||||||||||||||
USD | 150,000 | BRL | 586,500 | Citibank N.A. | 10/2/15 | 2,245 | ||||||||||||||
USD | 145,000 | BRL | 568,110 | Citibank N.A. | 10/2/15 | 1,878 | ||||||||||||||
USD | 140,000 | BRL | 548,660 | Citibank N.A. | 10/2/15 | 1,778 | ||||||||||||||
USD | 85,000 | BRL | 330,820 | Citibank N.A. | 10/2/15 | 1,658 | ||||||||||||||
USD | 8,073 | BRL | 29,330 | Citibank N.A. | 10/2/15 | 684 | ||||||||||||||
USD | 8,071 | BRL | 29,331 | Citibank N.A. | 10/2/15 | 682 | ||||||||||||||
USD | 7,962 | BRL | 29,331 | Citibank N.A. | 10/2/15 | 573 | ||||||||||||||
USD | 6,810 | BRL | 24,931 | Citibank N.A. | 10/2/15 | 530 | ||||||||||||||
CLP | 56,088,000 | USD | 80,000 | Citibank N.A. | 10/15/15 | 467 | ||||||||||||||
CLP | 1,382,484 | USD | 2,000 | Citibank N.A. | 10/15/15 | (17) | ||||||||||||||
COP | 702,358,938 | USD | 222,000 | Citibank N.A. | 10/15/15 | 5,058 | ||||||||||||||
COP | 68,704,222 | USD | 21,284 | Citibank N.A. | 10/15/15 | 927 | ||||||||||||||
COP | 95,490,000 | USD | 30,000 | Citibank N.A. | 10/15/15 | 870 | ||||||||||||||
COP | 264,798,800 | USD | 85,000 | Citibank N.A. | 10/15/15 | 604 | ||||||||||||||
COP | 90,150,116 | USD | 28,619 | Citibank N.A. | 10/15/15 | 525 | ||||||||||||||
COP | 401,031,217 | USD | 131,000 | Citibank N.A. | 10/15/15 | (1,355) | ||||||||||||||
COP | 183,000,000 | USD | 61,745 | Citibank N.A. | 10/15/15 | (2,585) | ||||||||||||||
EUR | 115,000 | USD | 127,702 | Citibank N.A. | 10/15/15 | 829 | ||||||||||||||
EUR | 115,000 | USD | 127,943 | Citibank N.A. | 10/15/15 | 587 | ||||||||||||||
EUR | 166,000 | USD | 185,306 | Citibank N.A. | 10/15/15 | 226 | ||||||||||||||
EUR | 163,000 | USD | 182,130 | Citibank N.A. | 10/15/15 | 49 | ||||||||||||||
EUR | 9,784 | USD | 11,000 | Citibank N.A. | 10/15/15 | (65) | ||||||||||||||
EUR | 164,000 | USD | 183,720 | Citibank N.A. | 10/15/15 | (424) | ||||||||||||||
EUR | 140,000 | USD | 157,143 | Citibank N.A. | 10/15/15 | (671) | ||||||||||||||
EUR | 107,000 | USD | 120,573 | Citibank N.A. | 10/15/15 | (983) | ||||||||||||||
EUR | 121,303 | USD | 137,000 | Citibank N.A. | 10/15/15 | (1,424) | ||||||||||||||
EUR | 162,000 | USD | 184,217 | Citibank N.A. | 10/15/15 | (3,156) | ||||||||||||||
EUR | 120,000 | USD | 139,183 | Citibank N.A. | 10/15/15 | (5,064) | ||||||||||||||
HUF | 6,443,864 | USD | 23,000 | Citibank N.A. | 10/15/15 | (36) |
91 |
SCHEDULE OF PORTFOLIO INVESTMENTS
|
RBC BlueBay Total Return Credit Fund (cont.)
September 30, 2015
Currency Purchased | Currency Sold | Counterparty | Settlement | Unrealized Appreciation (Depreciation) | ||||||||||||||||
HUF | 823,854 | USD | 3,000 | Citibank N.A. | 10/15/15 | $ (64) | ||||||||||||||
HUF | 4,176,802 | USD | 15,000 | Citibank N.A. | 10/15/15 | (115) | ||||||||||||||
HUF | 11,481,894 | USD | 41,186 | Citibank N.A. | 10/15/15 | (267) | ||||||||||||||
IDR | 808,043,500 | USD | 55,000 | Citibank N.A. | 10/15/15 | (190) | ||||||||||||||
IDR | 218,160,000 | USD | 15,000 | Citibank N.A. | 10/15/15 | (202) | ||||||||||||||
IDR | 691,032,888 | USD | 47,850 | Citibank N.A. | 10/15/15 | (977) | ||||||||||||||
IDR | 615,922,596 | USD | 43,000 | Citibank N.A. | 10/15/15 | (1,222) | ||||||||||||||
IDR | 637,155,000 | USD | 45,000 | Citibank N.A. | 10/15/15 | (1,782) | ||||||||||||||
IDR | 3,386,375,400 | USD | 233,000 | Citibank N.A. | 10/15/15 | (3,301) | ||||||||||||||
IDR | 2,316,800,500 | USD | 163,000 | Citibank N.A. | 10/15/15 | (5,851) | ||||||||||||||
ILS | 197,498 | USD | 50,000 | Citibank N.A. | 10/15/15 | 351 | ||||||||||||||
ILS | 35,356 | USD | 9,000 | Citibank N.A. | 10/15/15 | 14 | ||||||||||||||
INR | 8,462,500 | USD | 125,000 | Citibank N.A. | 10/15/15 | 3,609 | ||||||||||||||
INR | 7,958,400 | USD | 120,000 | Citibank N.A. | 10/15/15 | 948 | ||||||||||||||
JPY | 15,730,650 | USD | 130,000 | Citibank N.A. | 10/15/15 | 1,151 | ||||||||||||||
JPY | 19,848,263 | USD | 165,000 | Citibank N.A. | 10/15/15 | 481 | ||||||||||||||
JPY | 40,236,113 | USD | 335,000 | Citibank N.A. | 10/15/15 | 461 | ||||||||||||||
JPY | 959,505 | USD | 8,000 | Citibank N.A. | 10/15/15 | — | ||||||||||||||
KRW | 126,857,907 | USD | 105,182 | Citibank N.A. | 10/15/15 | 1,700 | ||||||||||||||
KRW | 27,276,548 | USD | 23,000 | Citibank N.A. | 10/15/15 | (19) | ||||||||||||||
KRW | 133,411,500 | USD | 115,000 | Citibank N.A. | 10/15/15 | (2,597) | ||||||||||||||
KRW | 150,852,390 | USD | 130,000 | Citibank N.A. | 10/15/15 | (2,902) | ||||||||||||||
KRW | 132,600,750 | USD | 115,000 | Citibank N.A. | 10/15/15 | (3,280) | ||||||||||||||
MXN | 1,551,285 | USD | 90,000 | Citibank N.A. | 10/15/15 | 1,645 | ||||||||||||||
MXN | 1,819,289 | USD | 106,018 | Citibank N.A. | 10/15/15 | 1,460 | ||||||||||||||
MXN | 2,732,624 | USD | 160,000 | Citibank N.A. | 10/15/15 | 1,435 | ||||||||||||||
MXN | 3,125,242 | USD | 183,852 | Citibank N.A. | 10/15/15 | 778 | ||||||||||||||
MXN | 970,112 | USD | 57,000 | Citibank N.A. | 10/15/15 | 311 | ||||||||||||||
MXN | 647,520 | �� | USD | 38,100 | Citibank N.A. | 10/15/15 | 153 | |||||||||||||
MXN | 2,532,825 | USD | 150,000 | Citibank N.A. | 10/15/15 | (368) | ||||||||||||||
MXN | 1,909,267 | USD | 113,636 | Citibank N.A. | 10/15/15 | (842) | ||||||||||||||
MXN | 6,343,974 | USD | 376,000 | Citibank N.A. | 10/15/15 | (1,217) | ||||||||||||||
MXN | 4,085,762 | USD | 243,000 | Citibank N.A. | 10/15/15 | (1,625) | ||||||||||||||
MYR | 43,922 | USD | 10,000 | Citibank N.A. | 10/15/15 | (8) | ||||||||||||||
MYR | 656,850 | USD | 150,000 | Citibank N.A. | 10/15/15 | (575) | ||||||||||||||
MYR | 150,919 | USD | 36,000 | Citibank N.A. | 10/15/15 | (1,668) | ||||||||||||||
MYR | 515,067 | USD | 119,644 | Citibank N.A. | 10/15/15 | (2,473) | ||||||||||||||
MYR | 296,288 | USD | 69,988 | Citibank N.A. | 10/15/15 | (2,586) | ||||||||||||||
MYR | 1,129,406 | USD | 260,000 | Citibank N.A. | 10/15/15 | (3,074) | ||||||||||||||
MYR | 291,692 | USD | 70,278 | Citibank N.A. | 10/15/15 | (3,922) | ||||||||||||||
MYR | 701,944 | USD | 170,000 | Citibank N.A. | 10/15/15 | (10,317) | ||||||||||||||
PEN | 109,293 | USD | 33,000 | Citibank N.A. | 10/15/15 | 579 | ||||||||||||||
PEN | 97,299 | USD | 29,395 | Citibank N.A. | 10/15/15 | 498 | ||||||||||||||
PEN | 23,258 | USD | 7,000 | Citibank N.A. | 10/15/15 | 146 | ||||||||||||||
PEN | 163,010 | USD | 50,000 | Citibank N.A. | 10/15/15 | 83 | ||||||||||||||
PHP | 565,980 | USD | 12,000 | Citibank N.A. | 10/15/15 | 82 | ||||||||||||||
PHP | 1,050,904 | USD | 22,374 | Citibank N.A. | 10/15/15 | 60 |
92 |
SCHEDULE OF PORTFOLIO INVESTMENTS
|
RBC BlueBay Total Return Credit Fund (cont.)
September 30, 2015
Currency Purchased | Currency Sold | Counterparty | Settlement | Unrealized Appreciation (Depreciation) | ||||||||||||||||
PHP | 374,736 | USD | 8,000 | Citibank N.A. | 10/15/15 | $ — | ||||||||||||||
PLN | 102,214 | USD | 27,051 | Citibank N.A. | 10/15/15 | (166) | ||||||||||||||
PLN | 147,850 | USD | 40,000 | Citibank N.A. | 10/15/15 | (1,112) | ||||||||||||||
PLN | 170,351 | USD | 46,101 | Citibank N.A. | 10/15/15 | (1,295) | ||||||||||||||
PLN | 1,054,705 | USD | 279,000 | Citibank N.A. | 10/15/15 | (1,590) | ||||||||||||||
PLN | 689,473 | USD | 184,000 | Citibank N.A. | 10/15/15 | (2,654) | ||||||||||||||
PLN | 616,763 | USD | 165,270 | Citibank N.A. | 10/15/15 | (3,049) | ||||||||||||||
RON | 308,733 | USD | 78,000 | Citibank N.A. | 10/15/15 | 63 | ||||||||||||||
RON | 38,184 | USD | 9,663 | Citibank N.A. | 10/15/15 | (8) | ||||||||||||||
RON | 193,721 | USD | 49,000 | Citibank N.A. | 10/15/15 | (18) | ||||||||||||||
RON | 42,673 | USD | 11,000 | Citibank N.A. | 10/15/15 | (210) | ||||||||||||||
RON | 406,018 | USD | 104,915 | Citibank N.A. | 10/15/15 | (2,253) | ||||||||||||||
RUB | 8,293,123 | USD | 119,022 | Citibank N.A. | 10/15/15 | 7,304 | ||||||||||||||
RUB | 8,178,792 | USD | 119,000 | Citibank N.A. | 10/15/15 | 5,584 | ||||||||||||||
RUB | 5,332,439 | USD | 78,000 | Citibank N.A. | 10/15/15 | 3,227 | ||||||||||||||
RUB | 1,122,325 | USD | 16,000 | Citibank N.A. | 10/15/15 | 1,096 | ||||||||||||||
RUB | 604,928 | USD | 8,888 | Citibank N.A. | 10/15/15 | 326 | ||||||||||||||
SGD | 31,220 | USD | 22,000 | Citibank N.A. | 10/15/15 | (73) | ||||||||||||||
SGD | 134,748 | USD | 95,000 | Citibank N.A. | 10/15/15 | (361) | ||||||||||||||
SGD | 202,108 | USD | 142,500 | Citibank N.A. | 10/15/15 | (552) | ||||||||||||||
SGD | 201,794 | USD | 142,500 | Citibank N.A. | 10/15/15 | (772) | ||||||||||||||
THB | 510,397 | USD | 13,987 | Citibank N.A. | 10/15/15 | 68 | ||||||||||||||
THB | 187,692 | USD | 5,162 | Citibank N.A. | 10/15/15 | 6 | ||||||||||||||
THB | 902,752 | USD | 25,000 | Citibank N.A. | 10/15/15 | (141) | ||||||||||||||
THB | 986,185 | USD | 27,394 | Citibank N.A. | 10/15/15 | (238) | ||||||||||||||
THB | 1,112,522 | USD | 31,000 | Citibank N.A. | 10/15/15 | (365) | ||||||||||||||
THB | 8,582,391 | USD | 237,000 | Citibank N.A. | 10/15/15 | (672) | ||||||||||||||
THB | 3,479,998 | USD | 96,914 | Citibank N.A. | 10/15/15 | (1,087) | ||||||||||||||
THB | 5,254,540 | USD | 146,000 | Citibank N.A. | 10/15/15 | (1,309) | ||||||||||||||
TRY | 492,352 | USD | 160,000 | Citibank N.A. | 10/15/15 | 1,929 | ||||||||||||||
TRY | 804,786 | USD | 264,000 | Citibank N.A. | 10/15/15 | 685 | ||||||||||||||
TRY | 267,339 | USD | 87,500 | Citibank N.A. | 10/15/15 | 425 | ||||||||||||||
TRY | 96,937 | USD | 31,614 | Citibank N.A. | 10/15/15 | 268 | ||||||||||||||
TRY | 266,656 | USD | 87,500 | Citibank N.A. | 10/15/15 | 200 | ||||||||||||||
TRY | 496,172 | USD | 163,000 | Citibank N.A. | 10/15/15 | 185 | ||||||||||||||
TRY | 440,749 | USD | 145,000 | Citibank N.A. | 10/15/15 | (43) �� | ||||||||||||||
TRY | 29,521 | USD | 10,000 | Citibank N.A. | 10/15/15 | (291) | ||||||||||||||
TRY | 109,801 | USD | 37,000 | Citibank N.A. | 10/15/15 | (888) | ||||||||||||||
TRY | 301,030 | USD | 100,000 | Citibank N.A. | 10/15/15 | (995) | ||||||||||||||
TRY | 182,865 | USD | 61,416 | Citibank N.A. | 10/15/15 | (1,274) | ||||||||||||||
TRY | 511,270 | USD | 173,000 | Citibank N.A. | 10/15/15 | (4,849) | ||||||||||||||
TWD | 325,120 | USD | 10,000 | Citibank N.A. | 10/15/15 | (126) | ||||||||||||||
TWD | 2,859,626 | USD | 88,192 | Citibank N.A. | 10/15/15 | (1,343) | ||||||||||||||
USD | 19,000 | CLP | 13,266,750 | Citibank N.A. | 10/15/15 | (33) | ||||||||||||||
USD | 4,000 | CLP | 2,819,148 | Citibank N.A. | 10/15/15 | (45) | ||||||||||||||
USD | 52,126 | CLP | 36,415,075 | Citibank N.A. | 10/15/15 | (117) | ||||||||||||||
USD | 130,000 | COP | 385,450,000 | Citibank N.A. | 10/15/15 | 5,392 |
93 |
SCHEDULE OF PORTFOLIO INVESTMENTS
|
RBC BlueBay Total Return Credit Fund (cont.)
September 30, 2015
Currency Purchased | Currency Sold | Counterparty | Settlement | Unrealized Appreciation (Depreciation) | ||||||||||||||||
USD | 85,000 | COP | 255,680,000 | Citibank N.A. | 10/15/15 | $ 2,344 | ||||||||||||||
USD | 115,437 | COP | 352,832,921 | Citibank N.A. | 10/15/15 | 1,373 | ||||||||||||||
USD | 297,544 | COP | 918,755,824 | Citibank N.A. | 10/15/15 | 530 | ||||||||||||||
USD | 50,000 | COP | 155,926,500 | Citibank N.A. | 10/15/15 | (408) | ||||||||||||||
USD | 22,814 | COP | 72,868,958 | Citibank N.A. | 10/15/15 | (743) | ||||||||||||||
USD | 38,000 | COP | 120,176,140 | Citibank N.A. | 10/15/15 | (850) | ||||||||||||||
USD | 92,557 | COP | 289,519,569 | Citibank N.A. | 10/15/15 | (1,038) | ||||||||||||||
USD | 68,324 | COP | 214,938,293 | Citibank N.A. | 10/15/15 | (1,161) | ||||||||||||||
USD | 207,102 | EUR | 179,384 | Citibank N.A. | 10/15/15 | 6,612 | ||||||||||||||
USD | 140,270 | EUR | 120,000 | Citibank N.A. | 10/15/15 | 6,151 | ||||||||||||||
USD | 186,105 | EUR | 163,000 | Citibank N.A. | 10/15/15 | 3,927 | ||||||||||||||
USD | 203,393 | EUR | 180,000 | Citibank N.A. | 10/15/15 | 2,214 | ||||||||||||||
USD | 130,567 | EUR | 115,000 | Citibank N.A. | 10/15/15 | 2,036 | ||||||||||||||
USD | 180,272 | EUR | 160,000 | Citibank N.A. | 10/15/15 | 1,446 | ||||||||||||||
USD | 186,521 | EUR | 166,000 | Citibank N.A. | 10/15/15 | 990 | ||||||||||||||
USD | 31,000 | EUR | 27,103 | Citibank N.A. | 10/15/15 | 708 | ||||||||||||||
USD | 124,736 | EUR | 111,000 | Citibank N.A. | 10/15/15 | 676 | ||||||||||||||
USD | 179,456 | EUR | 160,000 | Citibank N.A. | 10/15/15 | 631 | ||||||||||||||
USD | 110,000 | EUR | 98,157 | Citibank N.A. | 10/15/15 | 293 | ||||||||||||||
USD | 96,687 | EUR | 86,343 | Citibank N.A. | 10/15/15 | 185 | ||||||||||||||
USD | 4,000 | EUR | 3,574 | Citibank N.A. | 10/15/15 | 5 | ||||||||||||||
USD | 179,821 | EUR | 161,000 | Citibank N.A. | 10/15/15 | (122) | ||||||||||||||
USD | 4,000 | HUF | 1,118,703 | Citibank N.A. | 10/15/15 | 13 | ||||||||||||||
USD | 222,551 | IDR | 3,230,813,643 | Citibank N.A. | 10/15/15 | 3,403 | ||||||||||||||
USD | 151,300 | IDR | 2,187,041,572 | Citibank N.A. | 10/15/15 | 2,952 | ||||||||||||||
USD | 85,231 | IDR | 1,214,279,156 | Citibank N.A. | 10/15/15 | 2,865 | ||||||||||||||
USD | 47,000 | IDR | 676,964,500 | Citibank N.A. | 10/15/15 | 1,081 | ||||||||||||||
USD | 31,738 | IDR | 454,694,372 | Citibank N.A. | 10/15/15 | 896 | ||||||||||||||
USD | 58,666 | IDR | 854,380,800 | Citibank N.A. | 10/15/15 | 713 | ||||||||||||||
USD | 95,127 | ILS | 369,108 | Citibank N.A. | 10/15/15 | 1,025 | ||||||||||||||
USD | 35,000 | ILS | 135,522 | Citibank N.A. | 10/15/15 | 449 | ||||||||||||||
USD | 89,000 | ILS | 347,483 | Citibank N.A. | 10/15/15 | 411 | ||||||||||||||
USD | 7,000 | ILS | 26,986 | Citibank N.A. | 10/15/15 | 120 | ||||||||||||||
USD | 80,000 | ILS | 315,216 | Citibank N.A. | 10/15/15 | (363) | ||||||||||||||
USD | 2,000 | INR | 134,222 | Citibank N.A. | 10/15/15 | (40) | ||||||||||||||
USD | 36,000 | INR | 2,382,588 | Citibank N.A. | 10/15/15 | (209) | ||||||||||||||
USD | 95,730 | INR | 6,330,656 | Citibank N.A. | 10/15/15 | (479) | ||||||||||||||
USD | 330,000 | JPY | 39,544,230 | Citibank N.A. | 10/15/15 | 308 | ||||||||||||||
USD | 120,000 | JPY | 14,357,400 | Citibank N.A. | 10/15/15 | 298 | ||||||||||||||
USD | 50,000 | JPY | 5,982,397 | Citibank N.A. | 10/15/15 | 123 | ||||||||||||||
USD | 14,000 | JPY | 1,677,252 | Citibank N.A. | 10/15/15 | 16 | ||||||||||||||
USD | 120,000 | JPY | 14,395,800 | Citibank N.A. | 10/15/15 | (22) | ||||||||||||||
USD | 165,000 | JPY | 19,918,041 | Citibank N.A. | 10/15/15 | (1,063) | ||||||||||||||
USD | 375,000 | KRW | 423,975,000 | Citibank N.A. | 10/15/15 | 17,789 | ||||||||||||||
USD | 155,000 | KRW | 180,133,250 | Citibank N.A. | 10/15/15 | 3,232 | ||||||||||||||
USD | 105,000 | KRW | 124,393,500 | Citibank N.A. | 10/15/15 | 195 | ||||||||||||||
USD | 12,000 | KRW | 14,215,440 | Citibank N.A. | 10/15/15 | 23 |
94 |
SCHEDULE OF PORTFOLIO INVESTMENTS
|
RBC BlueBay Total Return Credit Fund (cont.)
September 30, 2015
Currency Purchased | Currency Sold | Counterparty | Settlement | Unrealized Appreciation (Depreciation) | ||||||||||||||||
USD | 58,000 | KRW | 68,942,860 | Citibank N.A. | 10/15/15 | $ (86) | ||||||||||||||
USD | 91,000 | KRW | 109,275,734 | Citibank N.A. | 10/15/15 | (1,068) | ||||||||||||||
USD | 145,000 | MXN | 2,393,037 | Citibank N.A. | 10/15/15 | 3,626 | ||||||||||||||
USD | 146,242 | MXN | 2,454,441 | Citibank N.A. | 10/15/15 | 1,240 | ||||||||||||||
USD | 140,376 | MXN | 2,355,866 | Citibank N.A. | 10/15/15 | 1,199 | ||||||||||||||
USD | 34,062 | MXN | 563,567 | Citibank N.A. | 10/15/15 | 768 | ||||||||||||||
USD | 102,302 | MXN | 1,720,592 | Citibank N.A. | 10/15/15 | 654 | ||||||||||||||
USD | 41,009 | MXN | 688,434 | Citibank N.A. | 10/15/15 | 339 | ||||||||||||||
USD | 40,882 | MXN | 686,347 | Citibank N.A. | 10/15/15 | 335 | ||||||||||||||
USD | 21,646 | MXN | 362,534 | Citibank N.A. | 10/15/15 | 229 | ||||||||||||||
USD | 25,421 | MXN | 427,457 | Citibank N.A. | 10/15/15 | 168 | ||||||||||||||
USD | 32,349 | MXN | 545,223 | Citibank N.A. | 10/15/15 | 139 | ||||||||||||||
USD | 20,000 | MXN | 339,220 | Citibank N.A. | 10/15/15 | (40) | ||||||||||||||
USD | 125,000 | MXN | 2,117,188 | Citibank N.A. | 10/15/15 | (77) | ||||||||||||||
USD | 65,000 | MXN | 1,106,547 | Citibank N.A. | 10/15/15 | (372) | ||||||||||||||
USD | 34,868 | MXN | 597,501 | Citibank N.A. | 10/15/15 | (430) | ||||||||||||||
USD | 107,679 | MYR | 451,206 | Citibank N.A. | 10/15/15 | 5,035 | ||||||||||||||
USD | 214,000 | MYR | 925,338 | Citibank N.A. | 10/15/15 | 3,498 | ||||||||||||||
USD | 45,000 | MYR | 190,256 | Citibank N.A. | 10/15/15 | 1,719 | ||||||||||||||
USD | 23,605 | MYR | 98,670 | Citibank N.A. | 10/15/15 | 1,159 | ||||||||||||||
USD | 22,827 | MYR | 95,724 | Citibank N.A. | 10/15/15 | 1,051 | ||||||||||||||
USD | 23,033 | MYR | 97,800 | Citibank N.A. | 10/15/15 | 785 | ||||||||||||||
USD | 11,821 | MYR | 49,533 | Citibank N.A. | 10/15/15 | 553 | ||||||||||||||
USD | 34,782 | MYR | 150,538 | Citibank N.A. | 10/15/15 | 536 | ||||||||||||||
USD | 28,645 | MYR | 124,037 | Citibank N.A. | 10/15/15 | 428 | ||||||||||||||
USD | 11,343 | MYR | 49,057 | Citibank N.A. | 10/15/15 | 183 | ||||||||||||||
USD | 29,444 | PEN | 96,414 | Citibank N.A. | 10/15/15 | (178) | ||||||||||||||
USD | 14,060 | PEN | 46,706 | Citibank N.A. | 10/15/15 | (290) | ||||||||||||||
USD | 9,000 | PEN | 30,254 | Citibank N.A. | 10/15/15 | (295) | ||||||||||||||
USD | 2,000 | PHP | 93,920 | Citibank N.A. | 10/15/15 | (5) | ||||||||||||||
USD | 171,570 | PLN | 642,574 | Citibank N.A. | 10/15/15 | 2,559 | ||||||||||||||
USD | 156,136 | PLN | 590,883 | Citibank N.A. | 10/15/15 | 722 | ||||||||||||||
USD | 24,946 | PLN | 92,325 | Citibank N.A. | 10/15/15 | 663 | ||||||||||||||
USD | 68,826 | PLN | 260,127 | Citibank N.A. | 10/15/15 | 407 | ||||||||||||||
USD | 48,000 | PLN | 181,316 | Citibank N.A. | 10/15/15 | 310 | ||||||||||||||
USD | 44,271 | PLN | 167,486 | Citibank N.A. | 10/15/15 | 219 | ||||||||||||||
USD | 20,000 | PLN | 75,464 | Citibank N.A. | 10/15/15 | 151 | ||||||||||||||
USD | 13,542 | PLN | 51,125 | Citibank N.A. | 10/15/15 | 95 | ||||||||||||||
USD | 35,000 | PLN | 133,220 | Citibank N.A. | 10/15/15 | (40) | ||||||||||||||
USD | 14,692 | RON | 58,077 | Citibank N.A. | 10/15/15 | 7 | ||||||||||||||
USD | 13,000 | RON | 51,415 | Citibank N.A. | 10/15/15 | — | ||||||||||||||
USD | 17,631 | RON | 69,766 | Citibank N.A. | 10/15/15 | (9) | ||||||||||||||
USD | 21,000 | RUB | 1,442,402 | Citibank N.A. | 10/15/15 | (972) | ||||||||||||||
USD | 33,325 | RUB | 2,278,752 | Citibank N.A. | 10/15/15 | (1,386) | ||||||||||||||
USD | 56,875 | RUB | 3,856,996 | Citibank N.A. | 10/15/15 | (1,877) | ||||||||||||||
USD | 43,261 | RUB | 2,993,871 | Citibank N.A. | 10/15/15 | (2,343) | ||||||||||||||
USD | 55,503 | RUB | 3,820,520 | Citibank N.A. | 10/15/15 | (2,694) |
95 |
SCHEDULE OF PORTFOLIO INVESTMENTS
|
RBC BlueBay Total Return Credit Fund (cont.)
September 30, 2015
Currency Purchased | Currency Sold | Counterparty | Settlement | Unrealized Appreciation (Depreciation) | ||||||||||||||||
USD | 219,023 | SGD | 307,743 | Citibank N.A. | 10/15/15 | $ 2,883 | ||||||||||||||
USD | 80,000 | SGD | 112,493 | Citibank N.A. | 10/15/15 | 992 | ||||||||||||||
USD | 17,000 | SGD | 23,847 | Citibank N.A. | 10/15/15 | 251 | ||||||||||||||
USD | 84,000 | SGD | 119,373 | Citibank N.A. | 10/15/15 | 160 | ||||||||||||||
USD | 40,000 | THB | 1,436,580 | Citibank N.A. | 10/15/15 | 442 | ||||||||||||||
USD | 54,087 | THB | 1,953,368 | Citibank N.A. | 10/15/15 | 299 | ||||||||||||||
USD | 39,223 | THB | 1,414,395 | Citibank N.A. | 10/15/15 | 276 | ||||||||||||||
USD | 81,219 | THB | 2,942,563 | Citibank N.A. | 10/15/15 | 191 | ||||||||||||||
USD | 23,701 | THB | 854,648 | Citibank N.A. | 10/15/15 | 167 | ||||||||||||||
USD | 19,467 | THB | 701,962 | Citibank N.A. | 10/15/15 | 137 | ||||||||||||||
USD | 57,359 | THB | 2,078,133 | Citibank N.A. | 10/15/15 | 135 | ||||||||||||||
USD | 29,797 | THB | 1,077,760 | Citibank N.A. | 10/15/15 | 119 | ||||||||||||||
USD | 154,068 | TRY | 454,653 | Citibank N.A. | 10/15/15 | 4,537 | ||||||||||||||
USD | 99,789 | TRY | 294,726 | Citibank N.A. | 10/15/15 | 2,857 | ||||||||||||||
USD | 64,271 | TRY | 189,868 | Citibank N.A. | 10/15/15 | 1,825 | ||||||||||||||
USD | 73,882 | TRY | 219,285 | Citibank N.A. | 10/15/15 | 1,762 | ||||||||||||||
USD | 44,543 | TRY | 132,136 | Citibank N.A. | 10/15/15 | 1,085 | ||||||||||||||
USD | 47,000 | TRY | 140,612 | Citibank N.A. | 10/15/15 | 754 | ||||||||||||||
USD | 30,000 | TRY | 89,659 | Citibank N.A. | 10/15/15 | 512 | ||||||||||||||
USD | 90,000 | TRY | 273,060 | Citibank N.A. | 10/15/15 | 194 | ||||||||||||||
USD | 90,000 | TRY | 273,303 | Citibank N.A. | 10/15/15 | 114 | ||||||||||||||
USD | 90,000 | TRY | 273,429 | Citibank N.A. | 10/15/15 | 72 | ||||||||||||||
USD | 20,000 | TRY | 60,763 | Citibank N.A. | 10/15/15 | 16 | ||||||||||||||
USD | 20,000 | TRY | 60,852 | Citibank N.A. | 10/15/15 | (14) | ||||||||||||||
USD | 93,126 | TRY | 284,037 | Citibank N.A. | 10/15/15 | (291) | ||||||||||||||
USD | 212,990 | TRY | 650,045 | Citibank N.A. | 10/15/15 | (802) | ||||||||||||||
USD | 136,338 | TWD | 4,466,444 | Citibank N.A. | 10/15/15 | 688 | ||||||||||||||
USD | 58,000 | TWD | 1,893,306 | Citibank N.A. | 10/15/15 | 499 | ||||||||||||||
USD | 8,000 | TWD | 259,944 | Citibank N.A. | 10/15/15 | 105 | ||||||||||||||
USD | 192,469 | ZAR | 2,503,119 | Citibank N.A. | 10/15/15 | 12,328 | ||||||||||||||
USD | 120,707 | ZAR | 1,569,216 | Citibank N.A. | 10/15/15 | 7,775 | ||||||||||||||
USD | 85,000 | ZAR | 1,127,457 | Citibank N.A. | 10/15/15 | 3,861 | ||||||||||||||
USD | 40,415 | ZAR | 530,242 | Citibank N.A. | 10/15/15 | 2,255 | ||||||||||||||
USD | 65,000 | ZAR | 872,138 | Citibank N.A. | 10/15/15 | 2,235 | ||||||||||||||
USD | 130,000 | ZAR | 1,776,320 | Citibank N.A. | 10/15/15 | 2,164 | ||||||||||||||
USD | 135,000 | ZAR | 1,849,311 | Citibank N.A. | 10/15/15 | 1,912 | ||||||||||||||
USD | 62,000 | ZAR | 842,753 | Citibank N.A. | 10/15/15 | 1,350 | ||||||||||||||
USD | 20,000 | ZAR | 265,949 | Citibank N.A. | 10/15/15 | 861 | ||||||||||||||
USD | 58,000 | ZAR | 799,971 | Citibank N.A. | 10/15/15 | 429 | ||||||||||||||
USD | 111,674 | ZAR | 1,547,193 | Citibank N.A. | 10/15/15 | 328 | ||||||||||||||
USD | 103,700 | ZAR | 1,436,712 | Citibank N.A. | 10/15/15 | 305 | ||||||||||||||
USD | 58,000 | ZAR | 801,844 | Citibank N.A. | 10/15/15 | 294 | ||||||||||||||
USD | 29,000 | ZAR | 399,650 | Citibank N.A. | 10/15/15 | 239 | ||||||||||||||
USD | 35,685 | ZAR | 494,461 | Citibank N.A. | 10/15/15 | 101 | ||||||||||||||
USD | 25,197 | ZAR | 349,093 | Citibank N.A. | 10/15/15 | 74 | ||||||||||||||
ZAR | 2,168,744 | USD | 155,000 | Citibank N.A. | 10/15/15 | 1,077 | ||||||||||||||
ZAR | 2,267,102 | USD | 163,000 | Citibank N.A. | 10/15/15 | 155 |
96 |
SCHEDULE OF PORTFOLIO INVESTMENTS
|
RBC BlueBay Total Return Credit Fund (cont.)
September 30, 2015
Currency Purchased | Currency Sold | Counterparty | Settlement | Unrealized Appreciation (Depreciation) | ||||||||||||||||
ZAR | 4,774,128 | USD | 344,000 | Citibank N.A. | 10/15/15 | $ (423) | ||||||||||||||
ZAR | 702,583 | USD | 51,710 | Citibank N.A. | 10/15/15 | (1,147) | ||||||||||||||
ZAR | 2,063,130 | USD | 150,000 | Citibank N.A. | 10/15/15 | (1,524) | ||||||||||||||
ZAR | 406,490 | USD | 31,110 | Citibank N.A. | 10/15/15 | (1,856) | ||||||||||||||
ZAR | 510,682 | USD | 39,000 | Citibank N.A. | 10/15/15 | (2,248) | ||||||||||||||
ZAR | 1,355,150 | USD | 100,000 | Citibank N.A. | 10/15/15 | (2,475) | ||||||||||||||
ZAR | 1,391,828 | USD | 105,000 | Citibank N.A. | 10/15/15 | (4,835) | ||||||||||||||
ZAR | 1,158,737 | USD | 88,656 | Citibank N.A. | 10/15/15 | (5,266) | ||||||||||||||
ZAR | 2,358,094 | USD | 181,000 | Citibank N.A. | 10/15/15 | (11,296) | ||||||||||||||
CAD | 51,000 | USD | 38,167 | Citibank N.A. | 10/29/15 | 44 | ||||||||||||||
GBP | 4,000 | USD | 6,064 | Citibank N.A. | 10/29/15 | (14) | ||||||||||||||
USD | 408,150 | CAD | 541,000 | Citibank N.A. | 10/29/15 | 2,816 | ||||||||||||||
USD | 361,116 | CHF | 350,000 | Citibank N.A. | 10/29/15 | 1,632 | ||||||||||||||
USD | 83,590 | CHF | 81,000 | Citibank N.A. | 10/29/15 | 395 | ||||||||||||||
USD | 3,427,743 | EUR | 3,031,000 | Citibank N.A. | 10/29/15 | 39,403 | ||||||||||||||
USD | 1,223,335 | EUR | 1,082,000 | Citibank N.A. | 10/29/15 | 13,772 | ||||||||||||||
USD | 2,246,216 | GBP | 1,460,000 | Citibank N.A. | 10/29/15 | 37,916 | ||||||||||||||
USD | 166,290 | GBP | 108,000 | Citibank N.A. | 10/29/15 | 2,937 | ||||||||||||||
USD | 245,799 | HKD | 1,905,000 | Citibank N.A. | 10/29/15 | (1) | ||||||||||||||
USD | 1,103,609 | JPY | 132,140,000 | Citibank N.A. | 10/29/15 | 1,728 | ||||||||||||||
USD | 180,502 | SGD | 253,500 | Citibank N.A. | 10/29/15 | 2,549 | ||||||||||||||
BRL | 872,080 | USD | 213,494 | Citibank N.A. | 11/4/15 | 3,621 | ||||||||||||||
BRL | 342,975 | USD | 85,000 | Citibank N.A. | 11/4/15 | 388 | ||||||||||||||
USD | 82,071 | BRL | 325,985 | Citibank N.A. | 11/4/15 | 913 | ||||||||||||||
USD | 45,844 | BRL | 182,707 | Citibank N.A. | 11/4/15 | 357 | ||||||||||||||
USD | 58,198 | BRL | 232,846 | Citibank N.A. | 11/4/15 | 229 | ||||||||||||||
USD | 81,077 | BRL | 325,985 | Citibank N.A. | 11/4/15 | (81) | ||||||||||||||
|
| |||||||||||||||||||
Total | $194,018 | |||||||||||||||||||
|
|
Financial futures contracts as of September 30, 2015:
Short Position | Number of Contracts | Expiration Date | Unrealized Depreciation | Notional Value | Clearinghouse | |||||||||||||
Ten Year U.S. Treasury Bonds | 13 | December, 2015 | $ | (12,994 | ) | USD | 1,660,552 | Credit Suisse Securities (USA) LLC | ||||||||||
Five Year U.S. Treasury Bonds | 2 | December, 2015 | (1,063 | ) | USD | 239,969 | Credit Suisse Securities (USA) LLC | |||||||||||
|
| |||||||||||||||||
Total | $ | (14,057 | ) | |||||||||||||||
|
| |||||||||||||||||
Long Position | Number of Contracts | Expiration Date | Unrealized Appreciation | Notional Value | Clearinghouse | |||||||||||||
Thirty Year U.S. Treasury Bonds | 4 | December, 2015 | $ | 4,453 | USD | 637,172 | Credit Suisse Securities (USA) LLC |
97 |
SCHEDULE OF PORTFOLIO INVESTMENTS
|
RBC BlueBay Total Return Credit Fund (cont.)
September 30, 2015
Credit default swaps as of September 30, 2015:
Fixed Rate | Issuer | Counterparty | Expiration Date | Buy/Sell | Notional Amount (000) | Value | ||||||||||||||||
5.00% | CNH Industrial Finance Europe SA | Barclays Bank Plc | 6/20/20 | Buy | EUR | 17 | $ | (1,250) | ||||||||||||||
5.00% | CNH Industrial Finance Europe SA | Citibank N.A. | 6/20/20 | Sell | EUR | 15 (a) | 904 | |||||||||||||||
5.00% | CNH Industrial Finance Europe SA | Citibank N.A. | 6/20/20 | Sell | EUR | 15 (a) | 904 | |||||||||||||||
5.00% | CNH Industrial Finance Europe SA | JP Morgan Chase Bank, N.A. | 6/20/20 | Buy | EUR | 13 | (956) | |||||||||||||||
5.00% | INEOS Group Holdings SA | Morgan Stanley & Co. | 12/20/20 | Buy | EUR | 26 | 1,212 | |||||||||||||||
5.00% | INEOS Group Holdings SA | Morgan Stanley & Co. | 12/20/20 | Buy | EUR | 26 | 1,212 | |||||||||||||||
5.00% | INEOS Group Holdings SA | Morgan Stanley & Co. | 12/20/20 | Buy | EUR | 16 | 746 | |||||||||||||||
5.00% | INEOS Group Holdings SA | Morgan Stanley & Co. | 12/20/20 | Buy | EUR | 11 | 513 | |||||||||||||||
5.00% | INEOS Group Holdings SA | Morgan Stanley & Co. | 12/20/20 | Buy | EUR | 11 | 513 | |||||||||||||||
5.00% | INEOS Group Holdings SA | Morgan Stanley & Co. | 12/20/20 | Buy | EUR | 5 | 233 | |||||||||||||||
5.00% | CDX.NA.HY, Series 25 | Citigroup Global Markets, Inc. | 12/20/20 | Sell | USD | 2,200 (a) | 4,069 | |||||||||||||||
5.00% | iTraxx Europe Crossover Series 24 | Citigroup Global Markets, Inc. | 12/20/20 | Sell | EUR | 2,000 (a) | 130,073 | |||||||||||||||
|
| |||||||||||||||||||||
Total (Premiums paid $107,626) | $ | 138,173 | ||||||||||||||||||||
|
|
(a) | The maximum potential amount the Fund may pay should a negative credit event take place as defined under the terms of the agreement. |
98 |
SCHEDULE OF PORTFOLIO INVESTMENTS
|
RBC BlueBay Total Return Credit Fund (cont.)
September 30, 2015
Abbreviations used are defined below:
BRL - Brazilian Real
CAD - Canadian Dollar
CHF - Swiss Franc
CLP - Chilean Peso
COP - Colombian Peso
EUR - Euro
GBP - British Pound
HKD - Hong Kong Dollar
HUF - Hungarian Forint
IDR - Indonesian Rupiah
ILS - Isreali New Shekel
INR - Indian Rupee
JPY - Japanese Yen
KRW - South Korean Won
MXN - Mexican Peso
MYR - Malaysian Ringgit
PEN - Peruvian Nuevo Sol
PHP - Philippine Peso
PLN - Polish Zloty
RON - Romania Leu
RUB - Russian Ruble
SGD - Singapore Dollar
THB - Thai Baht
TRY - Turkish Lira
TWD - Taiwan Dollar
USD - United States Dollar
ZAR - South African Rand
99 |
SCHEDULE OF PORTFOLIO INVESTMENTS
|
RBC BlueBay Total Return Credit Fund (cont.)
September 30, 2015
Portfolio Diversification (Unaudited) | ||||
Industries | Percentage of Net Assets | |||
Foreign Government Bonds | 31.35 | % | ||
Telecom Services | 16.10 | % | ||
Consumer Discretionary | 8.50 | % | ||
Health Care | 6.86 | % | ||
Industrials | 6.48 | % | ||
Financials | 6.36 | % | ||
Information Technology | 5.49 | % | ||
Energy | 4.81 | % | ||
Consumer Staples | 3.30 | % | ||
Materials | 1.50 | % | ||
Utilities | 1.14 | % | ||
Other* | 8.11 | % | ||
|
| |||
100.00 | % | |||
|
|
* | Includes cash, Investment Company, credit default swaps, futures, interest |
and dividend receivable, pending trades and Fund share transactions, options, |
foreign currency exchange contracts and accrued expenses payable. |
See Notes to Financial Statements.
100 |
|
Statements of Assets and Liabilities
September 30, 2015
RBC BlueBay Emerging Market Select Bond Fund | RBC BlueBay Emerging Market Corporate Bond Fund | RBC BlueBay Global High Yield Bond Fund | RBC BlueBay Global Convertible Bond Fund | |||||||||||||||||||||
Assets: | ||||||||||||||||||||||||
Investments, at value (cost $28,035,957, $19,315,554, $31,237,137 and $21,485,085, respectively) | $ 26,654,614 | $ 18,496,222 | $ 29,600,949 | $ 20,676,580 | ||||||||||||||||||||
Cash | 180,681 | — | 5,107 | — | ||||||||||||||||||||
Cash due to broker for options contracts | — | 144,542 | — | — | ||||||||||||||||||||
Cash at broker for financial futures contracts | 153,191 | 87,831 | 21,457 | 6,450 | ||||||||||||||||||||
Segregated cash and foreign currency for options contracts and swap contracts | — | 1,225 | 237,742 | 8,524 | ||||||||||||||||||||
Foreign currency, at value (cost $137,192, $558,758, $484,049 and $249,086, respectively) | 137,335 | 556,847 | 477,147 | 244,779 | ||||||||||||||||||||
Credit default swaps at value (premiums paid $9,612, $0, $5,012 and $0, respectively) | 8,985 | — | 7,068 | — | ||||||||||||||||||||
Interest and dividends receivable | 338,407 | 247,116 | 494,169 | 53,449 | ||||||||||||||||||||
Receivable from advisor | — | 11,990 | 11,123 | 7,439 | ||||||||||||||||||||
Receivable for capital shares issued | — | — | — | 901 | ||||||||||||||||||||
Receivable for investments sold | 364,946 | 121,760 | 506,614 | — | ||||||||||||||||||||
Unrealized appreciation on futures contracts | 11,938 | 17,630 | — | — | ||||||||||||||||||||
Unrealized appreciation on interest rate swaps contracts | 79,153 | — | — | — | ||||||||||||||||||||
Unrealized appreciation on forward foreign exchange contracts | 691,285 | 104,442 | 73,490 | 44,615 | ||||||||||||||||||||
Prepaid expenses and other assets | 8,642 | 8,216 | 8,353 | 6,766 | ||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||
Total Assets | 28,629,177 | 19,797,821 | 31,443,219 | 21,049,503 | ||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||
Liabilities: | ||||||||||||||||||||||||
Payable for investments purchased | 585,784 | 320,105 | 1,203,871 | — | ||||||||||||||||||||
Payable to broker | 290,000 | — | — | — | ||||||||||||||||||||
Credit default swaps at value (premiums received $0, $31,283, $9,798 and $0, respectively) | — | 31,194 | 3,677 | — | ||||||||||||||||||||
Unrealized depreciation on forward foreign currency exchange contracts | 766,839 | 49,916 | 341 | 2 | ||||||||||||||||||||
Unrealized depreciation on interest rate swaps contracts | 508 | — | — | — | ||||||||||||||||||||
Unrealized depreciation on futures contracts | 9,448 | — | — | — | ||||||||||||||||||||
Foreign withholding tax payable | 10,448 | 1,677 | — | — | ||||||||||||||||||||
Accrued expenses and other payables: | ||||||||||||||||||||||||
Investment advisory fees | 37,146 | — | — | — | ||||||||||||||||||||
Accounting fees | 7,122 | 7,112 | 7,201 | 7,134 | ||||||||||||||||||||
Audit fees | 42,595 | 42,595 | 45,758 | 51,789 | ||||||||||||||||||||
Trustee fees | 104 | 11 | 16 | 10 | ||||||||||||||||||||
Distribution fees | 129 | 48 | 252 | — | ||||||||||||||||||||
Shareholder reports | 5,634 | — | — | 669 | ||||||||||||||||||||
Transfer agent fees | 4,397 | 1,239 | 4,384 | 975 | ||||||||||||||||||||
Other | 39,247 | 9,685 | 11,077 | 9,787 | ||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||
Total Liabilities | 1,799,401 | 463,582 | 1,276,577 | 70,366 | ||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||
Net Assets | $ 26,829,776 | $ 19,334,239 | $ 30,166,642 | $ 20,979,137 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
101 |
FINANCIAL STATEMENTS
|
Statements of Assets and Liabilities (cont.)
September 30, 2015
RBC BlueBay Emerging Market Select Bond Fund | RBC BlueBay Emerging Market Corporate Bond Fund | RBC BlueBay Global High Yield Bond Fund | RBC BlueBay Global Convertible Bond Fund | |||||||||||||||||||||
Net Assets Consist Of: | ||||||||||||||||||||||||
Capital | $ | 51,066,861 | $ | 20,776,860 | $ | 31,430,346 | $ | 21,449,585 | ||||||||||||||||
Undistributed net investment income and distributions in excess of net investment income | (17,567,311 | ) | 51,917 | 147,841 | (236,063 | ) | ||||||||||||||||||
Accumulated net realized gains (losses) from investment transactions, futures contracts, swap contracts, written options and foreign currency | (5,272,113 | ) | (743,945 | ) | 150,400 | 530,496 | ||||||||||||||||||
Net unrealized appreciation (depreciation) on investments, futures contracts, swap contracts, written options and foreign currency | (1,397,661 | ) | (750,593 | ) | (1,561,945 | ) | (764,881 | ) | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||
Net Assets | $ | 26,829,776 | $ | 19,334,239 | $ | 30,166,642 | $ | 20,979,137 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||
Net Assets: | ||||||||||||||||||||||||
Class A | $ | 241,497 | $ | 10,202 | $ | 505,046 | N/A | |||||||||||||||||
Class I | 26,588,279 | 19,324,037 | 29,661,596 | $ | 20,979,137 | |||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||
Total | $ | 26,829,776 | $ | 19,334,239 | $ | 30,166,642 | $ | 20,979,137 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||
Shares Outstanding (Unlimited number of shares authorized, no par value): | ||||||||||||||||||||||||
Class A | 27,964 | 1,096 | 51,436 | N/A | ||||||||||||||||||||
Class I | 3,075,657 | 2,074,667 | 3,019,562 | 2,059,574 | ||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||
Total | 3,103,621 | 2,075,763 | 3,070,998 | 2,059,574 | ||||||||||||||||||||
|
|
|
|
|
| �� |
|
| ||||||||||||||||
Net Asset Values and Redemption Prices Per Share: | ||||||||||||||||||||||||
Class A | $ | 8.64 | $ | 9.31 | $ | 9.82 | N/A | |||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||
Class I | $ | 8.64 | $ | 9.31 | $ | 9.82 | $ | 10.19 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||
Maximum Offering Prices Per Share: | ||||||||||||||||||||||||
Class A | $ | 9.02 | $ | 9.72 | $ | 10.26 | N/A | |||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||
Maximum Sales Charge - Class A | 4.25 | % | 4.25 | % | 4.25 | % | N/A | |||||||||||||||||
|
|
|
|
|
|
|
|
102 |
FINANCIAL STATEMENTS
|
Statements of Assets and Liabilities (cont.)
September 30, 2015
RBC BlueBay Absolute Return Fund | RBC BlueBay Emerging Market Unconstrained Fixed Income Fund | RBC BlueBay Total Return Credit Fund | ||||||||||||||
Assets: | ||||||||||||||||
Investments, at value (cost $458,747,430, $14,017,545 and $64,017,761, respectively) | $ | 440,149,667 | $ 13,667,032 | $ | 60,932,228 | |||||||||||
Cash | 8,572 | 677,535 | 507,689 | |||||||||||||
Cash at broker for financial futures contracts | 3,668,271 | 305,859 | 436,903 | |||||||||||||
Segregated cash and foreign currency for options contracts and swap contracts | 15,098,262 | 284,373 | 678,815 | |||||||||||||
Foreign currency, at value (cost $10,131,599, $0 and $698,597, respectively) | 10,072,353 | — | 689,879 | |||||||||||||
Credit default swaps at value (premiums paid $1,547,966, $122,555 and $119,367, respectively) | 2,316,219 | 121,637 | 140,379 | |||||||||||||
Interest and dividends receivable | 6,385,012 | 152,096 | 837,422 | |||||||||||||
Receivable for capital shares issued | 543,022 | — | — | |||||||||||||
Receivable for investments sold | 57,520,201 | 2,232,570 | 768,345 | |||||||||||||
Unrealized appreciation on futures contracts | 44,105 | 235 | 4,453 | |||||||||||||
Unrealized appreciation on interest rate swaps contracts | 360,347 | 928 | — | |||||||||||||
Unrealized appreciation on forward foreign exchange contracts | 5,088,564 | 421,608 | 388,802 | |||||||||||||
Prepaid expenses and other assets | 17,159 | 10,761 | 10,761 | |||||||||||||
|
|
|
|
|
| |||||||||||
Total Assets | 541,271,754 | 17,874,634 | 65,395,676 | |||||||||||||
|
|
|
|
|
| |||||||||||
Liabilities: | ||||||||||||||||
Payable for capital shares redeemed | 963,442 | — | — | |||||||||||||
Payable for investments purchased | 1,393,059 | 2,864,877 | 1,702,300 | |||||||||||||
Payable to broker | 4,045,000 | — | — | |||||||||||||
Credit default swaps at value (premiums received $3,878,869, $311,359 and $11,741, respectively) | 4,968,484 | 311,936 | 2,206 | |||||||||||||
Unrealized depreciation on forward foreign currency exchange contracts | 999,184 | 488,089 | 194,784 | |||||||||||||
Unrealized depreciation on interest rate swaps contracts | 1,387,092 | 83,436 | — | |||||||||||||
Unrealized depreciation on futures contracts | 1,520,936 | 1,094 | 14,057 | |||||||||||||
Foreign withholding tax payable | 11,106 | — | 2,181 | |||||||||||||
Accrued expenses and other payables: | ||||||||||||||||
Investment advisory fees | 295,756 | 827 | 26,176 | |||||||||||||
Accounting fees | 11,966 | 7,066 | 7,449 | |||||||||||||
Distribution fees | 11,711 | — | — | |||||||||||||
Audit fees | 49,098 | 41,650 | 41,650 | |||||||||||||
Trustee fees | 255 | 10 | 16 | |||||||||||||
Shareholder reports | 20,242 | 508 | 1,732 | |||||||||||||
Transfer agent fees | 132,472 | 590 | 620 | |||||||||||||
Offering costs | — | 36,908 | 36,908 | |||||||||||||
Other | 48,787 | 7,419 | 25,705 | |||||||||||||
|
|
|
|
|
| |||||||||||
Total Liabilities | 15,858,590 | 3,844,410 | 2,055,784 | |||||||||||||
|
|
|
|
|
| |||||||||||
Net Assets | $ | 525,413,164 | $ 14,030,224 | $ | 63,339,892 | |||||||||||
|
|
|
|
|
|
103 |
FINANCIAL STATEMENTS
|
Statements of Assets and Liabilities (cont.)
September 30, 2015
RBC BlueBay Absolute Return Fund | RBC BlueBay Emerging Market Unconstrained Fixed Income Fund | RBC BlueBay Total Return Credit Fund | ||||||||||||||
Net Assets Consist Of: | ||||||||||||||||
Capital | $ | 545,532,090 | $ | 14,987,064 | $ | 65,895,584 | ||||||||||
Undistributed net investment income | (13,297,091 | ) | (233,378 | ) | 4,750 | |||||||||||
Accumulated net realized losses from investment transactions, futures contracts, swap contracts, written options and foreign currency | 10,673,473 | (219,617 | ) | 322,464 | ||||||||||||
Net unrealized appreciation (depreciation) on investments, futures contracts, swap contracts, written options and foreign currency | (17,495,308 | ) | (503,845 | ) | (2,882,906 | ) | ||||||||||
|
|
|
|
|
| |||||||||||
Net Assets | $ | 525,413,164 | $ | 14,030,224 | $ | 63,339,892 | ||||||||||
|
|
|
|
|
| |||||||||||
Net Assets: | ||||||||||||||||
Class A | $ | 4,298,572 | N/A | N/A | ||||||||||||
Class C | 4,657,351 | N/A | N/A | |||||||||||||
Class I | 516,457,241 | $ | 14,030,224 | $ | 63,339,892 | |||||||||||
|
|
|
|
|
| |||||||||||
Total | $ | 525,413,164 | $ | 14,030,224 | $ | 63,339,892 | ||||||||||
|
|
|
|
|
| |||||||||||
Shares Outstanding (Unlimited number of shares authorized, no par value): | ||||||||||||||||
Class A | 439,077 | N/A | N/A | |||||||||||||
Class C | 478,746 | N/A | N/A | |||||||||||||
Class I | 52,681,538 | 1,502,744 | 6,615,867 | |||||||||||||
|
|
|
|
|
| |||||||||||
Total | 53,599,361 | 1,502,744 | 6,615,867 | |||||||||||||
|
|
|
|
|
| |||||||||||
Net Asset Values and Redemption Prices Per Share: | ||||||||||||||||
Class A | $ | 9.79 | N/A | N/A | ||||||||||||
|
|
|
|
|
| |||||||||||
Class C | $ | 9.73 | N/A | N/A | ||||||||||||
|
|
|
|
|
| |||||||||||
Class I | $ | 9.80 | $ | 9.34 | $ | 9.57 | ||||||||||
|
|
|
|
|
| |||||||||||
Maximum Offering Prices Per Share: | ||||||||||||||||
Class A | $ | 10.22 | N/A | N/A | ||||||||||||
|
|
|
|
|
| |||||||||||
Maximum Sales Charge - Class A | 4.25 | % | N/A | N/A | ||||||||||||
|
|
|
|
|
|
See Notes to Financial Statements.
104 |
FINANCIAL STATEMENTS
|
For the Year Ended September 30, 2015
RBC BlueBay Emerging Market Select Bond Fund | RBC BlueBay Emerging Market Corporate Bond Fund | RBC BlueBay Global High Yield Bond Fund | RBC BlueBay Global Convertible Bond Fund | |||||||||||||||||
Investment Income: | ||||||||||||||||||||
Interest income (loss) | $ | 5,945,294 | $ | 1,113,746 | $ | 1,796,547 | $ | (9,445 | ) | |||||||||||
Dividend income | — | — | — | 23,361 | ||||||||||||||||
Foreign tax withholding | (35,092 | ) | (1,978 | ) | — | (2,221 | ) | |||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total Investment Income | 5,910,202 | 1,111,768 | 1,796,547 | 11,695 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Expenses: | ||||||||||||||||||||
Investment advisory fees | 940,826 | 178,873 | 228,268 | 165,086 | ||||||||||||||||
Distribution fees - Class A | 491 | 26 | 1,086 | — | ||||||||||||||||
Accounting fees | 49,272 | 44,052 | 44,631 | 44,101 | ||||||||||||||||
Audit fees | 43,422 | 43,329 | 46,498 | 53,152 | ||||||||||||||||
Custodian fees | 167,435 | 35,080 | 24,469 | 26,842 | ||||||||||||||||
Insurance fees | 6,200 | 6,200 | 6,200 | 6,200 | ||||||||||||||||
Legal fees | 35,907 | 5,003 | 7,216 | 4,158 | ||||||||||||||||
Registration and filing fees | 39,685 | 38,142 | 38,543 | 21,192 | ||||||||||||||||
Shareholder reports | 15,957 | 2,189 | 3,388 | 1,977 | ||||||||||||||||
Transfer agent fees - Class A | 3,796 | 3,541 | 3,618 | — | ||||||||||||||||
Transfer agent fees - Class I | 113,138 | 4,008 | 17,713 | 4,469 | ||||||||||||||||
Trustees’ fees | 4,629 | 729 | 1,116 | 766 | ||||||||||||||||
Other fees | 16,457 | 9,481 | 16,934 | 15,513 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total expenses before fee waiver/reimbursement | 1,437,215 | 370,653 | 439,680 | 343,456 | ||||||||||||||||
Expenses waived/reimbursed by: | ||||||||||||||||||||
Advisor | (307,733 | ) | (173,735 | ) | (195,091 | ) | (156,359 | ) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net Expenses | 1,129,482 | 196,918 | 244,589 | 187,097 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net Investment Income | 4,780,720 | 914,850 | 1,551,958 | (175,402 | ) | |||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Realized/Unrealized Gains (Losses): | ||||||||||||||||||||
Net realized gains/(losses) on: | ||||||||||||||||||||
Investment transactions | (5,601,057 | ) | (830,196 | ) | (135,644 | ) | 1,322,801 | |||||||||||||
Foreign currency transactions | (17,389,062 | ) | (127,044 | ) | 36,507 | 151,894 | ||||||||||||||
Written options | — | 2,250 | (51,731 | ) | (180,984 | ) | ||||||||||||||
Futures contracts | (13,366 | ) | 9,607 | (27,593 | ) | (38,927 | ) | |||||||||||||
Swap agreements | 444,085 | 15,103 | (58,006 | ) | — | |||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net realized gains (losses) | (22,559,400 | ) | (930,280 | ) | (236,467 | ) | 1,254,784 | |||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net change in unrealized appreciation/(depreciation) on: | ||||||||||||||||||||
Investments | 7,499,867 | (794,144 | ) | (1,141,012 | ) | (581,729 | ) | |||||||||||||
Foreign currency | (833,388 | ) | 11,989 | (14,825 | ) | (117,555 | ) | |||||||||||||
Written options | — | — | — | (10,240 | ) | |||||||||||||||
Futures contracts | 2,490 | 7,160 | (151 | ) | — | |||||||||||||||
Swap contracts | 1,249,859 | 17,056 | 9,060 | — | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net unrealized gains (losses) | 7,918,828 | (757,939 | ) | (1,146,928 | ) | (709,524 | ) | |||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Change in net assets resulting from operations | $ | (9,859,852 | ) | $ | (773,369 | ) | $ | 168,563 | $ | 369,858 | ||||||||||
|
|
|
|
|
|
|
|
105 |
FINANCIAL STATEMENTS
|
Statements of Operations (cont.)
For the Year Ended September 30, 2015
RBC BlueBay Absolute Return Fund | RBC BlueBay Emerging Market Unconstrained Fixed Income Fund(a) | RBC BlueBay Total Return Credit Fund(a) | ||||||||||||
Investment Income: | ||||||||||||||
Interest income | $ | 14,038,554 | $ | 583,176 | $ | 1,715,265 | ||||||||
Dividend income | — | — | 9,841 | |||||||||||
Foreign tax withholding | (17,110 | ) | (81 | ) | (17,703 | ) | ||||||||
|
|
|
|
|
| |||||||||
Total Investment Income | 14,021,444 | 583,095 | 1,707,403 | |||||||||||
|
|
|
|
|
| |||||||||
Expenses: | ||||||||||||||
Investment advisory fees | 4,646,743 | 137,226 | 363,954 | |||||||||||
Distribution fees - Class A | 15,672 | — | — | |||||||||||
Distribution fees - Class C | 66,616 | — | — | |||||||||||
Accounting fees | 73,978 | 35,350 | 36,894 | |||||||||||
Audit fees | 50,048 | 41,650 | 41,650 | |||||||||||
Custodian fees | 107,435 | 30,542 | 53,198 | |||||||||||
Insurance fees | 6,738 | 2,536 | 2,536 | |||||||||||
Legal fees | 102,373 | 3,071 | 13,134 | |||||||||||
Registration and filing fees | 64,759 | 4,374 | 4,399 | |||||||||||
Shareholder reports | 81,584 | 1,304 | 3,984 | |||||||||||
Transfer agent fees - Class A | 5,567 | — | — | |||||||||||
Transfer agent fees - Class C | 4,527 | — | — | |||||||||||
Transfer agent fees - Class I | 736,120 | 4,455 | 4,553 | |||||||||||
Offering costs | — | 39,936 | 39,936 | |||||||||||
Trustees’ fees | 21,119 | 397 | 1,341 | |||||||||||
Other fees | 15,287 | 4,632 | 16,392 | |||||||||||
|
|
|
|
|
| |||||||||
Total expenses before fee waiver/reimbursement | 5,998,566 | 305,473 | 581,971 | |||||||||||
Expenses (waived/reimbursed)/Recouped by: | ||||||||||||||
Advisor | (32,020 | ) | (156,314 | ) | (153,788 | ) | ||||||||
|
|
|
|
|
| |||||||||
Net Expenses | 5,966,546 | 149,159 | 428,183 | |||||||||||
|
|
|
|
|
| |||||||||
Net Investment Income | 8,054,898 | 433,936 | 1,279,220 | |||||||||||
|
|
|
|
|
| |||||||||
Realized/Unrealized Gains (Losses): | ||||||||||||||
Net realized gains/(losses) on: | ||||||||||||||
Investment transactions | 6,342,322 | (798,399 | ) | 465,135 | ||||||||||
Foreign currency transactions | 6,361,017 | (292,204 | ) | (396,222 | ) | |||||||||
Written options | 3,930,924 | — | (44,508 | ) | ||||||||||
Futures contracts | (15,636,041 | ) | (76,676 | ) | (320,329 | ) | ||||||||
Swap agreements | (543,468 | ) | 267,412 | (52,839 | ) | |||||||||
|
|
|
|
|
| |||||||||
Net realized gains (losses) | 454,754 | (899,867 | ) | (348,763 | ) | |||||||||
|
|
|
|
|
| |||||||||
Net change in unrealized appreciation/(depreciation) on: | ||||||||||||||
Investments | (18,301,670 | ) | (350,513 | ) | (3,085,533 | ) | ||||||||
Foreign currency | (4,583,577 | ) | (68,470 | ) | 181,684 | |||||||||
Futures contracts | (1,847,584 | ) | (859 | ) | (9,604 | ) | ||||||||
Swap contracts | (655,899 | ) | (84,003 | ) | 30,547 | |||||||||
|
|
|
|
|
| |||||||||
Net unrealized losses | (25,388,730 | ) | (503,845 | ) | (2,882,906 | ) | ||||||||
|
|
|
|
|
| |||||||||
Change in net assets resulting from operations | $ | (16,879,078 | ) | $ | (969,776 | ) | $ | (1,952,449 | ) | |||||
|
|
|
|
|
|
(a) For the period from December 9, 2014 (commencement of operations) to September 30, 2015.
See Notes to the Financial Statements.
106 |
FINANCIAL STATEMENTS
|
Statements of Changes in Net Assets
RBC BlueBay Emerging Market Select Bond Fund | ||||||||||||
For the Year Ended September 30, 2015 | For the Year Ended September 30, 2014 | |||||||||||
From Investment Activities: | ||||||||||||
Operations: | ||||||||||||
Net investment income | $ | 4,780,720 | $ | 8,275,240 | ||||||||
Net realized losses from investments, foreign currency, futures contracts and swap contracts transactions | (22,559,400 | ) | (1,982,773 | ) | ||||||||
Net change in unrealized appreciation/(depreciation) on investments, foreign currency, futures contracts and swap contracts | 7,918,828 | (2,034,718 | ) | |||||||||
|
|
|
| |||||||||
Change in net assets resulting from operations | (9,859,852 | ) | 4,257,749 | |||||||||
|
|
|
| |||||||||
Distributions to Class A Shareholders: | ||||||||||||
From net investment income | (223 | ) | (185 | ) | ||||||||
Return of capital | — | (154 | ) | |||||||||
Distributions to Class I Shareholders: | ||||||||||||
From net investment income | (1,720,316 | ) | (4,940,029 | ) | ||||||||
Return of capital | — | (3,355,683 | ) | |||||||||
|
|
|
| |||||||||
Change in net assets resulting from shareholder distributions | (1,720,539 | ) | (8,296,051 | ) | ||||||||
|
|
|
| |||||||||
Capital Transactions: | ||||||||||||
Proceeds from shares issued | 27,516,199 | 59,340,955 | ||||||||||
Distributions reinvested | 1,413,820 | 6,954,853 | ||||||||||
Cost of shares redeemed | (206,543,735 | ) | (32,115,324 | ) | ||||||||
|
|
|
| |||||||||
Change in net assets resulting from capital transactions | (177,613,716 | ) | 34,180,484 | |||||||||
|
|
|
| |||||||||
Net increase (decrease) in net assets | (189,194,107 | ) | 30,142,182 | |||||||||
Net Assets: | ||||||||||||
Beginning of year | 216,023,883 | 185,881,701 | ||||||||||
�� |
|
|
| |||||||||
End of year | $ | 26,829,776 | $ | 216,023,883 | ||||||||
|
|
|
| |||||||||
Undistributed (distributions in excess of) net investment income | $ | (17,567,311 | ) | $ | 350,316 | |||||||
|
|
|
| |||||||||
Share Transactions: | ||||||||||||
Issued | 3,029,711 | 5,948,052 | ||||||||||
Reinvested | 145,908 | 698,218 | ||||||||||
Redeemed | (22,238,227 | ) | (3,221,660 | ) | ||||||||
|
|
|
| |||||||||
Change in shares resulting from capital transactions | (19,062,608 | ) | 3,424,610 | |||||||||
|
|
|
|
See Notes to Financial Statements.
107 |
FINANCIAL STATEMENTS
|
Statements of Changes in Net Assets (cont.)
RBC BlueBay Emerging Market Corporate Bond Fund | ||||||||||||||||
For the Year Ended September 30, 2015 | For the Year Ended September 30, 2014 | |||||||||||||||
From Investment Activities: | ||||||||||||||||
Operations: | ||||||||||||||||
Net investment income | $ | 914,850 | $ | 853,824 | ||||||||||||
Net realized gains (losses) from investments, foreign currency, futures contracts, written options and swap contracts transactions | (930,280 | ) | 219,939 | |||||||||||||
Net change in unrealized appreciation/(depreciation) on investments, foreign currency, futures contracts, written options and swap contracts | (757,939 | ) | 506,807 | |||||||||||||
|
|
|
| |||||||||||||
Change in net assets resulting from operations | (773,369 | ) | 1,580,570 | |||||||||||||
|
|
|
| |||||||||||||
Distributions to Class A Shareholders: | ||||||||||||||||
From net investment income | (277 | ) | (339 | ) | ||||||||||||
From net realized gains | (80 | ) | — | |||||||||||||
Distributions to Class I Shareholders: | ||||||||||||||||
From net investment income | (599,359 | ) | (851,519 | ) | ||||||||||||
From net realized gains | (165,327 | ) | (14,865 | ) | ||||||||||||
|
|
|
| |||||||||||||
Change in net assets resulting from shareholder distributions | (765,043 | ) | (866,723 | ) | ||||||||||||
|
|
|
| |||||||||||||
Capital Transactions: | ||||||||||||||||
Proceeds from shares issued | 773,219 | 2,665,426 | ||||||||||||||
Distributions reinvested | 731,016 | 806,816 | ||||||||||||||
Cost of shares redeemed | (3,281,516 | ) | (462,871 | ) | ||||||||||||
|
|
|
| |||||||||||||
Change in net assets resulting from capital transactions | (1,777,281 | ) | 3,009,371 | |||||||||||||
|
|
|
| |||||||||||||
Net increase (decrease) in net assets | (3,315,693 | ) | 3,723,218 | |||||||||||||
Net Assets: | ||||||||||||||||
Beginning of year | 22,649,932 | 18,926,714 | ||||||||||||||
|
|
|
| |||||||||||||
End of year | $ | 19,334,239 | $ | 22,649,932 | ||||||||||||
|
|
|
| |||||||||||||
Undistributed net investment income | $ | 51,917 | $ | 1,802 | ||||||||||||
|
|
|
| |||||||||||||
Share Transactions: | ||||||||||||||||
Issued | 78,259 | 267,421 | ||||||||||||||
Reinvested | 74,610 | 80,832 | ||||||||||||||
Redeemed | (334,083 | ) | (46,845 | ) | ||||||||||||
|
|
|
| |||||||||||||
Change in shares resulting from capital transactions | (181,214 | ) | 301,408 | |||||||||||||
|
|
|
|
See Notes to Financial Statements.
108 |
FINANCIAL STATEMENTS
|
Statements of Changes in Net Assets (cont.)
RBC BlueBay Global High Yield Bond Fund | ||||||||||||||||
For the Year Ended September 30, 2015 | For the Year Ended September 30, 2014 | |||||||||||||||
From Investment Activities: | ||||||||||||||||
Operations: | ||||||||||||||||
Net investment income | $ | 1,551,958 | $ | 1,644,444 | ||||||||||||
Net realized gains (losses) from investments, foreign currency, futures contracts, written options and swap contracts transactions | (236,467 | ) | 918,398 | |||||||||||||
Net change in unrealized appreciation/(depreciation) on investments, foreign currency, futures contracts, written options and swap contracts | (1,146,928 | ) | (371,142 | ) | ||||||||||||
|
|
|
| |||||||||||||
Change in net assets resulting from operations | 168,563 | 2,191,700 | ||||||||||||||
|
|
|
| |||||||||||||
Distributions to Class A Shareholders: | ||||||||||||||||
From net investment income | (8,939 | ) | (880 | ) | ||||||||||||
From net realized gains | (18,004 | ) | — | |||||||||||||
Distributions to Class I Shareholders: | ||||||||||||||||
From net investment income | (885,391 | ) | (1,728,882 | ) | ||||||||||||
From net realized gains | (1,210,890 | ) | (327,407 | ) | ||||||||||||
|
|
|
| |||||||||||||
Change in net assets resulting from shareholder distributions | (2,123,224 | ) | (2,057,169 | ) | ||||||||||||
|
|
|
| |||||||||||||
Capital Transactions: | ||||||||||||||||
Proceeds from shares issued | 2,654,912 | 3,967,349 | ||||||||||||||
Distributions reinvested | 2,071,727 | 2,024,604 | ||||||||||||||
Cost of shares redeemed | (7,265,510 | ) | (984,810 | ) | ||||||||||||
|
|
|
| |||||||||||||
Change in net assets resulting from capital transactions | (2,538,871 | ) | 5,007,143 | |||||||||||||
|
|
|
| |||||||||||||
Net increase (decrease) in net assets | (4,493,532 | ) | 5,141,674 | |||||||||||||
Net Assets: | ||||||||||||||||
Beginning of year | 34,660,174 | 29,518,500 | ||||||||||||||
|
|
|
| |||||||||||||
End of year | $ | 30,166,642 | $ | 34,660,174 | ||||||||||||
|
|
|
| |||||||||||||
Undistributed (distributions in excess of) net investment income | $ | 147,841 | $ | (4,043 | ) | |||||||||||
|
|
|
| |||||||||||||
Share Transactions: | ||||||||||||||||
Issued | 259,863 | 376,691 | ||||||||||||||
Reinvested | 206,952 | 193,016 | ||||||||||||||
Redeemed | (723,191 | ) | (93,333 | ) | ||||||||||||
|
|
|
| |||||||||||||
Change in shares resulting from capital transactions | (256,376 | ) | 476,374 | |||||||||||||
|
|
|
|
See Notes to Financial Statements.
109 |
FINANCIAL STATEMENTS
|
Statements of Changes in Net Assets (cont.)
RBC BlueBay Global Convertible Bond Fund | ||||||||||||||||
For the Year Ended September 30, 2015 | For the Year Ended September 30, 2014 | |||||||||||||||
From Investment Activities: | ||||||||||||||||
Operations: | ||||||||||||||||
Net investment income | $ | (175,402 | ) | $ | 81,320 | |||||||||||
Net realized gains from investments, futures contracts, written options and foreign currency transactions | 1,254,784 | 2,191,346 | ||||||||||||||
Net change in unrealized appreciation/(depreciation) on investments, foreign currency and written options | (709,524 | ) | (1,224,479 | ) | ||||||||||||
|
|
|
| |||||||||||||
Change in net assets resulting from operations | 369,858 | 1,048,187 | ||||||||||||||
|
|
|
| |||||||||||||
Distributions to Class I Shareholders: | ||||||||||||||||
From net investment income | (259,328 | ) | (741,593 | ) | ||||||||||||
From net realized gains | (1,996,048 | ) | (1,121,705 | ) | ||||||||||||
|
|
|
| |||||||||||||
Change in net assets resulting from shareholder distributions | (2,255,376 | ) | (1,863,298 | ) | ||||||||||||
|
|
|
| |||||||||||||
Capital Transactions: | ||||||||||||||||
Proceeds from shares issued | 5,627,705 | 1,486,805 | ||||||||||||||
Distributions reinvested | 2,176,604 | 1,859,797 | ||||||||||||||
Cost of shares redeemed | (6,132,816 | ) | (1,458 | ) | ||||||||||||
|
|
|
| |||||||||||||
Change in net assets resulting from capital transactions | 1,671,493 | 3,345,144 | ||||||||||||||
|
|
|
| |||||||||||||
Net increase (decrease) in net assets | (214,025 | ) | 2,530,033 | |||||||||||||
Net Assets | ||||||||||||||||
Beginning of year | 21,193,162 | 18,663,129 | ||||||||||||||
|
|
|
| |||||||||||||
End of year | $ | 20,979,137 | $ | 21,193,162 | ||||||||||||
|
|
|
| |||||||||||||
Distributions in excess of net investment income | $ | (236,063 | ) | $ | (138,332 | ) | ||||||||||
|
|
|
| |||||||||||||
Share Transactions: | ||||||||||||||||
Issued | 534,077 | 132,096 | ||||||||||||||
Reinvested | 213,483 | 169,004 | ||||||||||||||
Redeemed | (592,562 | ) | (130 | ) | ||||||||||||
|
|
|
| |||||||||||||
Change in shares resulting from capital transactions | 154,998 | 300,970 | ||||||||||||||
|
|
|
|
See Notes to Financial Statements.
110 |
FINANCIAL STATEMENTS
|
Statements of Changes in Net Assets (cont.)
RBC BlueBay Absolute Return Fund | ||||||||||||
For the Year Ended September 30, 2015 | For the Year Ended September 30, 2014 | |||||||||||
From Investment Activities: | ||||||||||||
Operations: | ||||||||||||
Net investment income | $ | 8,054,898 | $ | 8,872,816 | ||||||||
Net realized gains from investments, foreign currency, futures contracts, written options and swap contracts transactions | 454,754 | 4,384,510 | ||||||||||
Net change in unrealized appreciation/(depreciation) on investments, foreign currency, futures contracts and swap contracts | (25,388,730 | ) | 5,935,075 | |||||||||
|
|
|
| |||||||||
Change in net assets resulting from operations | (16,879,078 | ) | 19,192,401 | |||||||||
|
|
|
| |||||||||
Distributions to Class A Shareholders: | ||||||||||||
From net investment income | (16,365 | ) | (22,095 | ) | ||||||||
From net realized gains | (236,919 | ) | — | |||||||||
Distributions to Class C Shareholders: | ||||||||||||
From net investment income | (2,573 | ) | (5,208 | ) | ||||||||
From net realized gains | (198,715 | ) | — | |||||||||
Distributions to Class I Shareholders: | ||||||||||||
From net investment income | (1,625,724 | ) | (8,105,671 | ) | ||||||||
From net realized gains | (16,161,209 | ) | — | |||||||||
|
|
|
|
|
| |||||||
Change in net assets resulting from shareholder distributions | (18,241,505 | ) | (8,132,974 | ) | ||||||||
|
|
|
| |||||||||
Capital Transactions: | ||||||||||||
Proceeds from shares issued | 313,108,149 | 267,410,143 | ||||||||||
Distributions reinvested | 4,588,969 | 617,172 | ||||||||||
Cost of shares redeemed | (320,296,044 | ) | (224,824,785 | ) | ||||||||
|
|
|
| |||||||||
Change in net assets resulting from capital transactions | (2,598,926 | ) | 43,202,530 | |||||||||
|
|
|
| |||||||||
Net increase (decrease) in net assets | (37,719,509 | ) | 54,261,957 | |||||||||
Net Assets: | ||||||||||||
Beginning of year | 563,132,673 | 508,870,716 | ||||||||||
|
|
|
| |||||||||
End of year | $ | 525,413,164 | $ | 563,132,673 | ||||||||
|
|
|
| |||||||||
Distributions in excess of net investment income | $ | (13,297,091 | ) | $ | (465,432 | ) | ||||||
|
|
|
| |||||||||
Share Transactions: | ||||||||||||
Issued | 30,863,627 | 25,581,882 | ||||||||||
Reinvested | 457,249 | 59,198 | ||||||||||
Redeemed | (31,868,183 | ) | (21,651,858 | ) | ||||||||
|
|
|
| |||||||||
Change in shares resulting from capital transactions | (547,307 | ) | 3,989,222 | |||||||||
|
|
|
|
See Notes to Financial Statements.
111 |
FINANCIAL STATEMENTS
|
Statements of Changes in Net Assets (cont.)
RBC BlueBay Emerging Market Unconstrained Fixed Income Fund | ||||||||
For the Period Ended September 30, 2015(a) | ||||||||
From Investment Activities: | ||||||||
Operations: | ||||||||
Net investment income | $ | 433,936 | ||||||
Net realized losses from investments, foreign currency, futures contracts and swap contracts transactions | (899,867 | ) | ||||||
Net change in unrealized appreciation/(depreciation) on investments, foreign currency, futures contracts and swap contracts | (503,845 | ) | ||||||
|
| |||||||
Change in net assets resulting from operations | (969,776 | ) | ||||||
|
| |||||||
Distributions to Class I Shareholders: | ||||||||
From net investment income | (27,000 | ) | ||||||
|
| |||||||
Change in net assets resulting from shareholder distributions | (27,000 | ) | ||||||
|
| |||||||
Capital Transactions: | ||||||||
Proceeds from shares issued | 15,000,000 | |||||||
Distributions reinvested | 27,000 | |||||||
Cost of shares redeemed | — | |||||||
|
| |||||||
Change in net assets resulting from capital transactions | 15,027,000 | |||||||
|
| |||||||
Net increase in net assets | 14,030,224 | |||||||
Net Assets: | ||||||||
Beginning of period | — | |||||||
|
| |||||||
End of period | $ | 14,030,224 | ||||||
|
| |||||||
Distributions in excess of net investment income | $ | (233,378 | ) | |||||
|
| |||||||
Share Transactions: | ||||||||
Issued | 1,500,000 | |||||||
Reinvested | 2,744 | |||||||
Redeemed | — | |||||||
|
| |||||||
Change in shares resulting from capital transactions | 1,502,744 | |||||||
|
|
(a) For the period from December 9, 2014 (commencement of operations) to September 30, 2015.
See Notes to Financial Statements.
112 |
FINANCIAL STATEMENTS
|
Statements of Changes in Net Assets (cont.)
RBC BlueBay Total Return Credit Fund | ||||||||
For the Period Ended September 30, 2015(a) | ||||||||
From Investment Activities: | ||||||||
Operations: | ||||||||
Net investment income | $ | 1,279,220 | ||||||
Net realized losses from investments, foreign currency, futures contracts and swap contracts transactions | (348,763 | ) | ||||||
Net change in unrealized appreciation/(depreciation) on investments, foreign currency, futures contracts and swap contracts | (2,882,906 | ) | ||||||
|
| |||||||
Change in net assets resulting from operations | (1,952,449 | ) | ||||||
|
| |||||||
Distributions to Class I Shareholders: | ||||||||
From net investment income | (643,179 | ) | ||||||
|
| |||||||
Change in net assets resulting from shareholder distributions | (643,179 | ) | ||||||
|
| |||||||
Capital Transactions: | ||||||||
Proceeds from shares issued | 70,294,750 | |||||||
Distributions reinvested | 641,270 | |||||||
Cost of shares redeemed | (5,000,500 | ) | ||||||
|
| |||||||
Change in net assets resulting from capital transactions | 65,935,520 | |||||||
|
| |||||||
Net increase in net assets | 63,339,892 | |||||||
Net Assets: | ||||||||
Beginning of period | — | |||||||
|
| |||||||
End of period | $ | 63,339,892 | ||||||
|
| |||||||
Undistributed net investment income | $ | 4,750 | ||||||
|
| |||||||
Share Transactions: | ||||||||
Issued | 7,065,394 | |||||||
Reinvested | 63,870 | |||||||
Redeemed | (513,397 | ) | ||||||
|
| |||||||
Change in shares resulting from capital transactions | 6,615,867 | |||||||
|
|
(a) For the period from December 9, 2014 (commencement of operations) to September 30, 2015.
See Notes to Financial Statements.
113 |
|
RBC BlueBay Emerging Market Select Bond Fund
(Selected data for a share outstanding throughout the periods indicated)
For the Year Ended September 30, 2015 | For the Period Ended September 30, 2014(a) | |||||||||||||||
Class A | ||||||||||||||||
Per Share Operating Performance: | ||||||||||||||||
Net asset value, beginning of period | $ | 9.75 | $ | 9.83 | ||||||||||||
|
|
|
| |||||||||||||
Net investment income(b) | 0.40 | 0.33 | ||||||||||||||
Realized and unrealized gains (losses) | (1.44 | ) | (0.08 | ) | ||||||||||||
|
|
|
| |||||||||||||
Total from investment activities | (1.04 | ) | 0.25 | |||||||||||||
|
|
|
| |||||||||||||
Distributions: | ||||||||||||||||
Net investment income | (0.07 | ) | (0.18 | ) | ||||||||||||
Return of capital | — | (0.15 | ) | |||||||||||||
|
|
|
| |||||||||||||
Total distributions | (0.07 | ) | (0.33 | ) | ||||||||||||
|
|
|
| |||||||||||||
Net asset value, end of period | $ | 8.64 | $ | 9.75 | ||||||||||||
|
|
|
| |||||||||||||
Total Return:*(c) | (10.72)% | 2.51%(d) | ||||||||||||||
Ratios to Average Net Assets: | ||||||||||||||||
Ratio of Net Expenses to Average Net Assets | 1.15% | 1.25%(e) | ||||||||||||||
Ratio of Net Investment Income to Average Net Assets | 4.32% | 3.91%(e) | ||||||||||||||
Ratio of Expenses to Average Net Assets** | 3.84% | 53.32%(e) | ||||||||||||||
Net assets, end of period (in thousands) | $ | 241 | $ | 10 | ||||||||||||
Portfolio turnover*** | 282 | % | 233 | % |
* | Excludes sales charge. |
** | During the period, certain fees were contractually or voluntarily reduced and/or reimbursed. If such contractual/voluntary fee reductions and reimbursements had not occurred, the ratio would have been as indicated. |
*** | Portfolio turnover rate is calculated on the basis of the Fund as a whole without distinguishing between the classes of shares issued. |
(a) | For the period from November 27, 2013 (commencement of operations) to September 30, 2014. |
(b) | Per share net investment income (loss) has been calculated using the average daily shares method. |
(c) | Assumes investment at net asset value at the beginning of the year, reinvestment of all dividends and distributions, and a complete redemption of the investment at net asset value at the end of the year. |
(d) | Not Annualized. |
(e) | Annualized. |
See Notes to Financial Statements.
114 |
FINANCIAL HIGHLIGHTS
|
RBC BlueBay Emerging Market Select Bond Fund
(Selected data for a share outstanding throughout the periods indicated)
For the Year Ended September 30, 2015 | For the Year Ended September 30, 2014 | For the Year Ended September 30, 2013 | For the Period Ended September 30, 2012(a) | |||||||||||||||||||||||||||||
Class I | ||||||||||||||||||||||||||||||||
Per Share Operating Performance: | ||||||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 9.75 | $ | 9.92 | $ | 10.88 | $ | 10.00 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||||||
Net investment income(b) | 0.36 | 0.40 | 0.30 | 0.24 | ||||||||||||||||||||||||||||
Realized and unrealized gains (losses) | (1.39 | ) | (0.17 | ) | (0.78 | ) | 0.91 | |||||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||||||
Total from investment activities | (1.03 | ) | 0.23 | (0.48 | ) | 1.15 | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||||||
Distributions: | ||||||||||||||||||||||||||||||||
Net investment income | (0.08 | ) | (0.24 | ) | (0.11 | ) | (0.27 | ) | ||||||||||||||||||||||||
Realized gains | — | — | (0.18 | ) | — | |||||||||||||||||||||||||||
Return of capital | — | (0.16 | ) | (0.19 | ) | — | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||||||
Total distributions | (0.08 | ) | (0.40 | ) | (0.48 | ) | (0.27 | ) | ||||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||||||
Net asset value, end of period | $ | 8.64 | $ | 9.75 | $ | 9.92 | $ | 10.88 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||||||
Total Return:(c) | (10.67)% | 2.32% | (4.70)% | 11.60%(d) | ||||||||||||||||||||||||||||
Ratios to Average Net Assets: | ||||||||||||||||||||||||||||||||
Ratio of Net Expenses to Average Net Assets | 0.90% | 1.00% | 1.00% | 1.00%(e) | ||||||||||||||||||||||||||||
Ratio of Net Investment Income to Average Net Assets | 3.81% | 4.04% | 2.79% | 2.76%(e) | ||||||||||||||||||||||||||||
Ratio of Expenses to Average Net Assets* | 1.14% | 1.05% | 1.10% | 1.59%(e) | ||||||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 26,588 | $ | 216,014 | $ | 185,882 | $ | 122,097 | ||||||||||||||||||||||||
Portfolio turnover** | 282 | % | 233 | % | 203 | % | 110 | % |
* | During the period, certain fees were contractually or voluntarily reduced and/or reimbursed. If such contractual/voluntary fee reductions and reimbursements had not occurred, the ratio would have been as indicated. |
** | Portfolio turnover rate is calculated on the basis of the Fund as a whole without distinguishing between the classes of shares issued. |
(a) | For the period from November 30, 2011 (commencement of operations) to September 30, 2012. |
(b) | Per share net investment income (loss) has been calculated using the average daily shares method. |
(c) | Assumes investment at net asset value at the beginning of the period, reinvestment of all dividends and distributions, and a complete redemption of the investment at net asset value at the end of the period. |
(d) | Not Annualized. |
(e) | Annualized. |
See Notes to Financial Statements.
115 |
FINANCIAL HIGHLIGHTS
|
RBC BlueBay Emerging Market Corporate Bond Fund
(Selected data for a share outstanding throughout the periods indicated)
For the Year Ended September 30, 2015 | For the Period Ended September 30, 2014(a) | |||||||||||||||
Class A | ||||||||||||||||
Per Share Operating Performance: | ||||||||||||||||
Net asset value, beginning of period | $ | 10.03 | $ | 9.75 | ||||||||||||
|
|
|
| |||||||||||||
Net investment income(b) | 0.40 | 0.32 | ||||||||||||||
Realized and unrealized gains (losses) | (0.78 | ) | 0.29 | |||||||||||||
|
|
|
| |||||||||||||
Total from investment activities | (0.38 | ) | 0.61 | |||||||||||||
|
|
|
| |||||||||||||
Distributions: | ||||||||||||||||
Net investment income | (0.26 | ) | (0.33 | ) | ||||||||||||
Realized gains | (0.08 | ) | — | |||||||||||||
|
|
|
| |||||||||||||
Total distributions | (0.34 | ) | (0.33 | ) | ||||||||||||
|
|
|
| |||||||||||||
Net asset value, end of period | $ | 9.31 | $ | 10.03 | ||||||||||||
|
|
|
| |||||||||||||
Total Return:*(c) | (3.99)% | 6.27%(d) | ||||||||||||||
Ratios to Average Net Assets: | ||||||||||||||||
Ratio of Net Expenses to Average Net Assets | 1.19%(e) | 1.40%(f) | ||||||||||||||
Ratio of Net Investment Income to Average Net Assets | 4.10% | 3.86%(f) | ||||||||||||||
Ratio of Expenses to Average Net Assets** | 35.45% | 53.53%(f) | ||||||||||||||
Net assets, end of period (in thousands) | $ | 10 | $ | 11 | ||||||||||||
Portfolio turnover*** | 172 | % | 180 | % |
* | Excludes sales charge. |
** | During the period, certain fees were contractually or voluntarily reduced and/or reimbursed. If such contractual/voluntary fee reductions and reimbursements had not occurred, the ratio would have been as indicated. |
*** | Portfolio turnover rate is calculated on the basis of the Fund as a whole without distinguishing between the classes of shares issued. |
(a) | For the period from November 27, 2013 (commencement of operations) to September 30, 2014. |
(b) | Per share net investment income (loss) has been calculated using the average daily shares method. |
(c) | Assumes investment at net asset value at the beginning of the period, reinvestment of all dividends and distributions, and a complete redemption of the investment at net asset value at the end of the period. |
(d) | Not Annualized. |
(e) | Beginning August 3, 2015, the net operating expenses were contractually limited to 0.83% of average daily net assets of Class A. The ratio of net expenses to average net assets represents a blended percentage for the year ended September 30, 2015. |
(f) | Annualized. |
See Notes to Financial Statements.
116 |
FINANCIAL HIGHLIGHTS
|
RBC BlueBay Emerging Market Corporate Bond Fund
(Selected data for a share outstanding throughout the periods indicated)
For the Year Ended September 30, 2015 | For the Year Ended September 30, 2014 | For the Year Ended September 30, 2013 | For the Period Ended September 30, 2012(a) | |||||||||||||||||||||||||||||
Class I | ||||||||||||||||||||||||||||||||
Per Share Operating Performance: | ||||||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 10.04 | $ | 9.68 | $ | 10.91 | $ | 10.00 | ||||||||||||||||||||||||
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Net investment income(b) | 0.43 | 0.41 | 0.43 | 0.37 | ||||||||||||||||||||||||||||
Realized and unrealized gains (losses) | (0.80 | ) | 0.37 | (0.60 | ) | 0.91 | ||||||||||||||||||||||||||
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Total from investment activities | (0.37 | ) | 0.78 | (0.17 | ) | 1.28 | ||||||||||||||||||||||||||
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Distributions: | ||||||||||||||||||||||||||||||||
Net investment income | (0.28 | ) | (0.41 | ) | (0.44 | ) | (0.37 | ) | ||||||||||||||||||||||||
Realized gains | (0.08 | ) | (0.01 | ) | (0.62 | ) | — | |||||||||||||||||||||||||
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Total distributions | (0.36 | ) | (0.42 | ) | (1.06 | ) | (0.37 | ) | ||||||||||||||||||||||||
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Net asset value, end of period | $ | 9.31 | $ | 10.04 | $ | 9.68 | $ | 10.91 | ||||||||||||||||||||||||
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Total Return:(c) | (3.77)% | 8.02% | (1.98)% | 13.06%(d) | ||||||||||||||||||||||||||||
Ratios to Average Net Assets: | ||||||||||||||||||||||||||||||||
Ratio of Net Expenses to Average Net Assets | 0.94%(e) | 1.15% | 1.15% | 1.15%(f) | ||||||||||||||||||||||||||||
Ratio of Net Investment Income to Average Net Assets | 4.35% | 4.12% | 4.18% | 4.24%(f) | ||||||||||||||||||||||||||||
Ratio of Expenses to Average Net Assets* | 1.74% | 1.78% | 1.96% | 3.10%(f) | ||||||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 19,324 | $ | 22,639 | $ | 18,927 | $ | 17,623 | ||||||||||||||||||||||||
Portfolio turnover** | 172 | % | 180 | % | 182 | % | 151 | % |
* | During the period, certain fees were contractually or voluntarily reduced and/or reimbursed. If such contractual/voluntary fee reductions and reimbursements had not occurred, the ratio would have been as indicated. |
** | Portfolio turnover rate is calculated on the basis of the Fund as a whole without distinguishing between the classes of shares issued. |
(a) | For the period from November 30, 2011 (commencement of operations) to September 30, 2012. |
(b) | Per share net investment income (loss) has been calculated using the average daily shares method. |
(c) | Assumes investment at net asset value at the beginning of the period, reinvestment of all dividends and distributions, and a complete redemption of the investment at net asset value at the end of the period. |
(d) | Not Annualized. |
(e) | Beginning August 3, 2015, the net operating expenses were contractually limited to 0.58% of average daily net assets of Class I. The ratio of net expenses to average net assets represents a blended percentage for the year ended September 30, 2015. |
(f) | Annualized. |
See Notes to Financial Statements.
117 |
FINANCIAL HIGHLIGHTS
|
RBC BlueBay Global High Yield Bond Fund
(Selected data for a share outstanding throughout the periods indicated)
For the year Ended September 30, 2015 | For the Period Ended September 30, 2014(a) | |||||||||||||
Class A | ||||||||||||||
Per Share Operating Performance: | ||||||||||||||
Net asset value, beginning of period | $ | 10.41 | $ | 10.41 | ||||||||||
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Net investment income(b) | 0.46 | 0.41 | ||||||||||||
Realized and unrealized gains/(losses) | (0.44 | ) | 0.04 | |||||||||||
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Total from investment activities | 0.02 | 0.45 | ||||||||||||
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Distributions: | ||||||||||||||
Net investment income | (0.26 | ) | (0.45 | ) | ||||||||||
Realized gains | (0.35 | ) | — | |||||||||||
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Total distributions | (0.61 | ) | (0.45 | ) | ||||||||||
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Net asset value, end of period | $ | 9.82 | $ | 10.41 | ||||||||||
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Total Return:*(c) | 0.15% | 4.38%(d) | ||||||||||||
Ratios to Average Net Assets: | ||||||||||||||
Ratio of Net Expenses to Average Net Assets | 0.98%(e) | 1.20%(f) | ||||||||||||
Ratio of Net Investment Income to Average Net Assets | 4.53% | 4.62%(f) | ||||||||||||
Ratio of Expenses to Average Net Assets** | 2.38% | 25.84%(f) | ||||||||||||
Net assets, end of period (in thousands) | $ | 505 | $ | 29 | ||||||||||
Portfolio turnover*** | 128 | % | 116 | % |
* | Excludes sales charge. |
** | During the period, certain fees were contractually or voluntarily reduced and/or reimbursed. If such contractual/voluntary fee reductions and reimbursements had not occurred, the ratio would have been as indicated. |
*** | Portfolio turnover rate is calculated on the basis of the Fund as a whole without distinguishing between the classes of shares issued. |
(a) | For the period from November 27, 2013 (commencement of operations) to September 30, 2014. |
(b) | Per share net investment income (loss) has been calculated using the average daily shares method. |
(c) | Assumes investment at net asset value at the beginning of the period, reinvestment of all dividends and distributions, and a complete redemption of the investment at net asset value at the end of the period. |
(d) | Not Annualized. |
(e) | Beginning August 3, 2015, the net operating expenses were contractually limited to 0.70% of average daily net assets of Class A. The ratio of net expenses to average net assets represents a blended percentage for the year ended September 30, 2015. |
(f) | Annualized. |
See Notes to Financial Statements.
118 |
FINANCIAL HIGHLIGHTS
|
RBC BlueBay Global High Yield Bond Fund
(Selected data for a share outstanding throughout the periods indicated)
For the Year Ended September 30, 2015 | For the Year Ended September 30, 2014 | For the Year Ended September 30, 2013 | For the Period Ended September 30, 2012(a) | |||||||||||||||||||||||||||
Class I | ||||||||||||||||||||||||||||||
Per Share Operating Performance: | ||||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 10.42 | $ | 10.35 | $ | 10.76 | $ | 10.00 | ||||||||||||||||||||||
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Net investment income(b) | 0.48 | 0.53 | 0.60 | 0.53 | ||||||||||||||||||||||||||
Realized and unrealized gains (losses) | (0.45 | ) | 0.21 | (0.02 | ) | 0.76 | ||||||||||||||||||||||||
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Total from investment activities | 0.03 | 0.74 | 0.58 | 1.29 | ||||||||||||||||||||||||||
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Distributions: | ||||||||||||||||||||||||||||||
Net investment income | (0.28 | ) | (0.56 | ) | (0.60 | ) | (0.53 | ) | ||||||||||||||||||||||
Realized gains | (0.35 | ) | (0.11 | ) | (0.39 | ) | — | |||||||||||||||||||||||
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Total distributions | (0.63 | ) | (0.67 | ) | (0.99 | ) | (0.53 | ) | ||||||||||||||||||||||
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Net asset value, end of period | $ | 9.82 | $ | 10.42 | $ | 10.35 | $ | 10.76 | ||||||||||||||||||||||
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Total Return:(c) | 0.28% | 7.36% | 5.54% | 13.16%(d) | ||||||||||||||||||||||||||
Ratios to Average Net Assets: | ||||||||||||||||||||||||||||||
Ratio of Net Expenses to Average Net Assets | 0.75%(e) | 0.95% | 0.95% | 0.95%(f) | ||||||||||||||||||||||||||
Ratio of Net Investment Income to Average Net Assets | 4.76% | 5.05% | 5.64% | 6.15%(f) | ||||||||||||||||||||||||||
Ratio of Expenses to Average Net Assets* | 1.33% | 1.30% | 1.52% | 2.40%(f) | ||||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 29,662 | $ | 34,631 | $ | 29,519 | $ | 22,624 | ||||||||||||||||||||||
Portfolio turnover** | 128 | % | 116 | % | 117 | % | 87 | % |
* | During the period, certain fees were contractually or voluntarily reduced and/or reimbursed. If such contractual/voluntary fee reductions and reimbursements had not occurred, the ratio would have been as indicated. |
** | Portfolio turnover rate is calculated on the basis of the Fund as a whole without distinguishing between the classes of shares issued. |
(a) | For the period from November 30, 2011 (commencement of operations) to September 30, 2012. |
(b) | Per share net investment income (loss) has been calculated using the average daily shares method. |
(c) | Assumes investment at net asset value at the beginning of the period, reinvestment of all dividends and distributions, and a complete redemption of the investment at net asset value at the end of the period. |
(d) | Not Annualized. |
(e) | Beginning August 3, 2015, the net operating expenses were contractually limited to 0.45% of average daily net assets of Class I. The ratio of net expenses to average net assets represents a blended percentage for the year ended September 30, 2015. |
(f) | Annualized. |
See Notes to Financial Statements.
119 |
FINANCIAL HIGHLIGHTS
|
RBC BlueBay Global Convertible Bond Fund
(Selected data for a share outstanding throughout the periods indicated)
For the Year Ended September 30, 2015 | For the Year Ended September 30, 2014 | For the Year Ended September 30, 2013 | For the Period Ended September 30, 2012(a) | |||||||||||||||||||||||||||||
Class I | ||||||||||||||||||||||||||||||||
Per Share Operating Performance: | ||||||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 11.13 | $ | 11.64 | $ | 10.63 | $ | 10.00 | ||||||||||||||||||||||||
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Net investment income/loss(b) | (0.09 | ) | 0.05 | 0.24 | 0.22 | |||||||||||||||||||||||||||
Realized and unrealized gains/losses | 0.31 | 0.59 | 1.23 | 0.64 | ||||||||||||||||||||||||||||
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Total from investment activities | 0.22 | 0.64 | 1.47 | 0.86 | ||||||||||||||||||||||||||||
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Distributions: | ||||||||||||||||||||||||||||||||
Net investment income | (0.13 | ) | (0.45 | ) | (0.24 | ) | (0.23 | ) | ||||||||||||||||||||||||
Realized gains | (1.03 | ) | (0.70 | ) | (0.22 | ) | — | |||||||||||||||||||||||||
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Total distributions | (1.16 | ) | (1.15 | ) | (0.46 | ) | (0.23 | ) | ||||||||||||||||||||||||
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Net asset value, end of period | $ | 10.19 | $ | 11.13 | $ | 11.64 | $ | 10.63 | ||||||||||||||||||||||||
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Total Return:(c) | 2.37% | 5.75% | 14.20% | 8.65%(d) | ||||||||||||||||||||||||||||
Ratios to Average Net Assets: | ||||||||||||||||||||||||||||||||
Ratio of Net Expenses to Average Net Assets | 0.85% | 1.00% | 1.00% | 1.00%(e) | ||||||||||||||||||||||||||||
Ratio of Net Investment Income to Average Net Assets | 0.61% | 0.41% | 2.18% | 2.56%(e) | ||||||||||||||||||||||||||||
Ratio of Expenses to Average Net Assets* | (0.80)% | 1.60% | 1.77% | 2.89%(e) | ||||||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 20,979 | $ | 21,193 | $ | 18,663 | $ | 16,778 | ||||||||||||||||||||||||
Portfolio turnover** | 82 | % | 139 | % | 91 | % | 25 | % |
* | During the period, certain fees were contractually or voluntarily reduced and/or reimbursed. If such contractual/voluntary fee reductions and reimbursements had not occurred, the ratio would have been as indicated. |
** | Portfolio turnover rate is calculated on the basis of the Fund as a whole without distinguishing between the classes of shares issued. |
(a) | For the period from November 30, 2011 (commencement of operations) to September 30, 2012. |
(b) | Per share net investment income (loss) has been calculated using the average daily shares method. |
(c) | Assumes investment at net asset value at the beginning of the period, reinvestment of all dividends and distributions, and a complete redemption of the investment at net asset value at the end of the period. |
(d) | Not Annualized. |
(e) | Annualized. |
See Notes to Financial Statements.
120 |
FINANCIAL HIGHLIGHTS
|
RBC BlueBay Absolute Return Fund
(Selected data for a share outstanding throughout the periods indicated)
For the Year Ended September 30, 2015 | For the Period Ended September 30, 2014(a) | |||||||||||||||
Class A | ||||||||||||||||
Per Share Operating Performance: | ||||||||||||||||
Net asset value, beginning of period | $ | 10.41 | $ | 10.26 | ||||||||||||
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Net investment income(b) | 0.11 | 0.10 | ||||||||||||||
Realized and unrealized gains/(losses) | (0.42 | ) | 0.18 | |||||||||||||
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Total from investment activities | (0.31 | ) | 0.28 | |||||||||||||
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Distributions: | ||||||||||||||||
Net investment income | (0.02 | ) | (0.13 | ) | ||||||||||||
Realized gains | (0.29 | ) | — | |||||||||||||
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Total distributions | (0.31 | ) | (0.13 | ) | ||||||||||||
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Net asset value, end of period | $ | 9.79 | $ | 10.41 | ||||||||||||
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Total Return:*(c) | (2.90)% | 2.61%(d) | ||||||||||||||
Ratios to Average Net Assets: | ||||||||||||||||
Ratio of Net Expenses to Average Net Assets | 1.20% | 1.20%(e) | ||||||||||||||
Ratio of Net Investment Income to Average Net Assets | 1.05% | 1.16%(e) | ||||||||||||||
Ratio of Expenses to Average Net Assets** | 1.17% | 1.35%(e) | ||||||||||||||
Net assets, end of period (in thousands) | $ | 4,299 | $ | 6,365 | ||||||||||||
Portfolio turnover*** | 210 | % | 218 | % |
* | Excludes sales charge. |
** | During the period, certain fees were contractually or voluntarily reduced and/or reimbursed. If such contractual/voluntary fee reductions and reimbursements had not occurred, the ratio would have been as indicated. |
*** | Portfolio turnover rate is calculated on the basis of the Fund as a whole without distinguishing between the classes of shares issued. |
(a) | For the period from November 27, 2013 (commencement of operations) to September 30, 2014. |
(b) | Per share net investment income (loss) has been calculated using the average daily shares method. |
(c) | Assumes investment at net asset value at the beginning of the period, reinvestment of all dividends and distributions, and a complete redemption of the investment at net asset value at the end of the period. |
(d) | Not Annualized. |
(e) | Annualized. |
See Notes to Financial Statements.
121 |
FINANCIAL HIGHLIGHTS
|
RBC BlueBay Absolute Return Fund
(Selected data for a share outstanding throughout the periods indicated)
For the Year Ended September 30, 2015 | For the Period Ended September 30, 2014(a) | |||||||||||||||
Class C | ||||||||||||||||
Per Share Operating Performance: | ||||||||||||||||
Net asset value, beginning of period | $ | 10.40 | $ | 10.52 | ||||||||||||
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Net investment income(b) | 0.03 | 0.02 | ||||||||||||||
Realized and unrealized gains (losses) | (0.41 | ) | (0.13 | ) | ||||||||||||
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Total from investment activities | (0.38 | ) | (0.11 | ) | ||||||||||||
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Distributions: | ||||||||||||||||
Net investment income | — | (c) | (0.01) | |||||||||||||
Realized gains | (0.29 | ) | — | |||||||||||||
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Total distributions | (0.29 | ) | (0.01 | ) | ||||||||||||
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Net asset value, end of period | $ | 9.73 | $ | 10.40 | ||||||||||||
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Total Return:*(d) | (3.58)% | (1.16)%(e) | ||||||||||||||
Ratios to Average Net Assets: | ||||||||||||||||
Ratio of Net Expenses to Average Net Assets | 1.92% | 1.95%(f) | ||||||||||||||
Ratio of Net Investment Income to Average Net Assets | 0.33% | 0.37%(f) | ||||||||||||||
Ratio of Expenses to Average Net Assets** | 1.90% | 1.96%(f) | ||||||||||||||
Net assets, end of period (in thousands) | $ | 4,657 | $ | 6,952 | ||||||||||||
Portfolio turnover*** | 210 | % | 218 | % |
* | Excludes sales charge. |
** | During the period, certain fees were contractually or voluntarily reduced and/or reimbursed. If such contractual/voluntary fee reductions and reimbursements had not occurred, the ratio would have been as indicated. |
*** | Portfolio turnover rate is calculated on the basis of the Fund as a whole without distinguishing between the classes of shares issued. |
(a) | For the period from June 24, 2014 (commencement of operations) to September 30, 2014. |
(b) | Per share net investment income (loss) has been calculated using the average daily shares method. |
(c) | Less than $0.01 or $(0.01) per share. |
(d) | Assumes investment at net asset value at the beginning of the period, reinvestment of all dividends and distributions, and a complete redemption of the investment at net asset value at the end of the period. |
(e) | Not Annualized. |
(f) | Annualized. |
See Notes to Financial Statements.
122 |
FINANCIAL HIGHLIGHTS
|
RBC BlueBay Absolute Return Fund
(Selected data for a share outstanding throughout the periods indicated)
For the Year Ended September 30, 2015 | For the Year Ended September 30, 2014 | For the Period Ended September 30, 2013(a) | ||||||||||||||||||||||
Class I | ||||||||||||||||||||||||
Per Share Operating Performance: | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 10.40 | $ | 10.15 | $ | 10.00 | ||||||||||||||||||
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Net investment income(b) | 0.13 | 0.19 | 0.11 | |||||||||||||||||||||
Realized and unrealized gains/(losses) | (0.41 | ) | 0.24 | 0.12 | ||||||||||||||||||||
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Total from investment activities | (0.28 | ) | 0.43 | 0.23 | ||||||||||||||||||||
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Distributions: | ||||||||||||||||||||||||
Net investment income | (0.03 | ) | (0.18 | ) | (0.02 | ) | ||||||||||||||||||
Realized gains | (0.29 | ) | — | — | (c) | |||||||||||||||||||
Return of capital | — | — | (0.06) | |||||||||||||||||||||
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Total distributions | (0.32 | ) | (0.18 | ) | (0.08 | ) | ||||||||||||||||||
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Net asset value, end of period | $ | 9.80 | $ | 10.40 | $ | 10.15 | ||||||||||||||||||
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Total Return:(d) | (2.54)% | 4.12% | 2.31%(e) | |||||||||||||||||||||
Ratios to Average Net Assets: | ||||||||||||||||||||||||
Ratio of Net Expenses to Average Net Assets | 0.95% | 0.95% | 0.95%(f) | |||||||||||||||||||||
Ratio of Net Investment Income to Average Net Assets | 1.31% | 1.83% | 1.27%(f) | |||||||||||||||||||||
Ratio of Expenses to Average Net Assets* | 0.96% | 0.98% | 0.97%(f) | |||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 516,457 | $ | 549,816 | $ | 508,871 | ||||||||||||||||||
Portfolio turnover** | 210 | % | 218 | % | 338 | % |
* | During the period, certain fees were contractually or voluntarily reduced and/or reimbursed. If such contractual/voluntary fee reductions and reimbursements had not occurred, the ratio would have been as indicated. |
** | Portfolio turnover rate is calculated on the basis of the Fund as a whole without distinguishing between the classes of shares issued. |
(a) | For the period from November 30, 2012 (commencement of operations) to September 30, 2013. |
(b) | Per share net investment income (loss) has been calculated using the average daily shares method. |
(c) | Less than $0.01 or $(0.01) per share. |
(d) | Assumes investment at net asset value at the beginning of the period, reinvestment of all dividends and distributions, and a complete redemption of the investment at net asset value at the end of the period. |
(e) | Not Annualized. |
(f) | Annualized. |
See Notes to Financial Statements.
123 |
FINANCIAL HIGHLIGHTS
|
RBC BlueBay Emerging Market Unconstrained Fixed Income Fund
(Selected data for a share outstanding throughout the period indicated)
For the Period Ended September 30, 2015(a) | ||||||
Class I | ||||||
Per Share Operating Performance: | ||||||
Net asset value, beginning of period | $ | 10.00 | ||||
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Net investment income(b) | 0.29 | |||||
Realized and unrealized gains/(losses) | (0.93 | ) | ||||
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Total from investment activities | (0.64 | ) | ||||
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Distributions: | ||||||
Net investment income | (0.02 | ) | ||||
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Total distributions | (0.02 | ) | ||||
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Net asset value, end of period | $ | 9.34 | ||||
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Total Return:(c) | (6.53)%(d) | |||||
Ratios to Average Net Assets: | ||||||
Ratio of Net Expenses to Average Net Assets | 1.25%(e) | |||||
Ratio of Net Investment Income to Average Net Assets | 3.64%(e) | |||||
Ratio of Expenses to Average Net Assets* | 2.49%(e) | |||||
Net assets, end of period (in thousands) | $14,030 | |||||
Portfolio turnover** | 693 | % |
* | During the period, certain fees were contractually or voluntarily reduced and/or reimbursed. If such contractual/voluntary fee reductions and reimbursements had not occurred, the ratio would have been as indicated. |
** | Portfolio turnover rate is calculated on the basis of the Fund as a whole without distinguishing between the classes of shares issued. |
(a) | For the period from December 9, 2014 (commencement of operations) to September 30, 2015. |
(b) | Per share net investment income (loss) has been calculated using the average daily shares method. |
(c) | Assumes investment at net asset value at the beginning of the period, reinvestment of all dividends and distributions, and a complete redemption of the investment at net asset value at the end of the period. |
(d) | Not Annualized. |
(e) | Annualized. |
See Notes to Financial Statements.
124 |
FINANCIAL HIGHLIGHTS
|
RBC BlueBay Total Return Credit Fund
(Selected data for a share outstanding throughout the period indicated)
For the Period Ended September 30, 2015(a) | ||||||||
Class I | ||||||||
Per Share Operating Performance: | ||||||||
Net asset value, beginning of period | $ | 10.00 | ||||||
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| |||||||
Net investment income(b) | 0.24 | |||||||
Realized and unrealized gains/(losses) | (0.54 | ) | ||||||
|
| |||||||
Total from investment activities | (0.30 | ) | ||||||
|
| |||||||
Distributions: | ||||||||
Net investment income | (0.13 | ) | ||||||
|
| |||||||
Total distributions | (0.13 | ) | ||||||
|
| |||||||
Net asset value, end of period | $ | 9.57 | ||||||
|
| |||||||
Total Return:(c) | (3.08)%(d) | |||||||
Ratios to Average Net Assets: | ||||||||
Ratio of Net Expenses to Average Net Assets | 1.00%(e) | |||||||
Ratio of Net Investment Income to Average Net Assets | 2.99%(e) | |||||||
Ratio of Expenses to Average Net Assets* | 1.34%(e) | |||||||
Net assets, end of period (in thousands) | $ | 63,340 | ||||||
Portfolio turnover** | 193 | % |
* | During the period, certain fees were contractually or voluntarily reduced and/or reimbursed. If such contractual/voluntary fee reductions and reimbursements had not occurred, the ratio would have been as indicated. |
** | Portfolio turnover rate is calculated on the basis of the Fund as a whole without distinguishing between the classes of shares issued. |
(a) | For the period from December 9, 2014 (commencement of operations) to September 30, 2015. |
(b) | Per share net investment income (loss) has been calculated using the average daily shares method. |
(c) | Assumes investment at net asset value at the beginning of the period, reinvestment of all dividends and distributions, and a complete redemption of the investment at net asset value at the end of the period. |
(d) | Not Annualized. |
(e) | Annualized. |
See Notes to Financial Statements.
125 |
|
September 30, 2015
1. Organization:
RBC Funds Trust (the “Trust”) is registered under the Investment Company Act of 1940 (as amended) as an open-end management investment company. The Trust was organized as a Delaware statutory trust on December 16, 2003 and currently consists of 23 portfolios. This report includes the following seven investment portfolios (each a “Fund” and collectively, the “Funds”):
- | RBC BlueBay Emerging Market Select Bond Fund (“Emerging Market Select Bond Fund”) |
- | RBC BlueBay Emerging Market Corporate Bond Fund (“Emerging Market Corporate Bond Fund”) |
- | RBC BlueBay Global High Yield Bond Fund (“Global High Yield Bond Fund”) |
- | RBC BlueBay Global Convertible Bond Fund (“Global Convertible Bond Fund”) |
- | RBC BlueBay Absolute Return Fund (“Absolute Return Fund”) |
- | RBC BlueBay Emerging Market Unconstrained Fixed Income Fund (“Emerging Market Unconstrained Fixed Income Fund”) |
- | RBC BlueBay Total Return Credit Fund (“Total Return Credit Fund”) |
The Funds offer three share classes: Class I shares are offered by each fund; Class A shares are offered by each fund except Global Convertible Bond Fund, Emerging Market Unconstrained Fixed Income Fund and Total Return Credit Fund and Class C shares are only offered by Absolute Return Fund. Class A shares are offered with a 4.25% maximum front-end sales charge and a 1.00% contingent deferred sales charge (“CDSC”) for redemption within 12 months of a $1 million or greater purchase on which no front-end sales charge was paid. Class C shares are offered with a 1.00% CDSC for redemption within 12 months of purchase. Class I shares (intended for investors meeting certain investment minimum thresholds) are not subject to either a front-end sales charge or a CDSC.
RBC Global Asset Management (U.S.) Inc. (“RBC GAM (US)” or “Advisor” or “Co-Administrator”) acts as the investment advisor for the Funds and BlueBay Asset Management LLP (“BlueBay” or “Sub-Advisor”) acts as a sub-advisor for each of the Funds. BlueBay Asset Management USA LLC (“BlueBay US”) also acts as a sub-advisor for the Global High Yield Bond Fund, the Absolute Return Fund, and the Total Return Credit Fund. The officers of the Trust (“Fund Management”) are also employees of RBC GAM (US) or its affiliates.
2. Significant Accounting Policies:
Summarized below are the significant accounting policies of the Funds. These policies conform to accounting principles generally accepted in the United States of America (“US GAAP”). Fund Management follows these policies when preparing financial statements. Fund Management may also be required to make estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the financial statements and the reported amounts of income and expenses for the period. Actual results could differ from those estimates. The financial statements are as of the close of regular trading on the New York Stock Exchange (“NYSE”).
Security Valuation:
The Trust’s Board of Trustees (the “Board”) has adopted pricing and valuation procedures for determining the fair value of the Funds’ investments. Fair value of a security is considered to be the price that a fund might reasonably expect to receive upon its current sale in an orderly transaction between market participants.
Equity securities are generally valued on the basis of prices furnished by third-party pricing services approved by the Board. Equity securities listed on one or more exchanges shall be valued at the last available quoted sale price on the primary trading exchange as of the close of regular trading on the exchange and are categorized as Level 1 in the fair value hierarchy. An equity security not listed on an exchange but listed on NASDAQ shall be valued at the NASDAQ official closing price and is also
126 |
NOTES TO FINANCIAL STATEMENTS
|
categorized as Level 1. If there was no sale on the primary exchange on the day the net asset value is calculated or a NASDAQ official closing price is not available, the most recent bid quotation generally will be used and such securities will generally be categorized as Level 2. Investments in open-end investment companies (mutual funds) are valued at net asset value and are categorized as Level 1 in the fair value hierarchy.
Fixed income securities, including to-be-announced (“TBA”) commitments and municipal bonds, are generally valued based on evaluated prices received from third-party pricing services or from broker-dealers who make markets in the securities and are generally categorized as Level 2 in the fair value hierarchy. The pricing services utilize both dealer-supplied valuations and electronic data processing techniques that take into account multiple appropriate factors such as institutional-size trading in similar groups of securities, market spreads, interest rates, and fundamental security analytical data including yield, quality, coupon rate, maturity and type of issue.
Exchange-traded options, futures and options on futures are valued at the last sale price at the close of the market on the principal exchange on which they are traded. In the absence of any transactions on that day, the closing bid price shall be used for purchased options, futures and options on futures, and the closing ask price shall be used for written options. Such instruments are categorized as Level 1 of the fair value hierarchy. Option contracts traded in the over-the-counter market shall be valued at the evaluated price provided by an independent pricing service or broker-dealer using a mathematical model which incorporates a number of market data factors, such as trades and prices of the underlying instruments. These contracts are categorized as Level 2 of the fair value hierarchy. Forward foreign currency exchange contracts are marked to market daily based upon foreign currency exchange rates provided by an independent pricing service as of the close of the NYSE, generally 4:00 p.m. EST, and are generally classified as Level 2 within the fair value hierarchy.
Swaps, including credit default swaps, interest rate swaps and total return swaps, are generally valued by an independent pricing service using a discounted cash flow methodology. This technique is used to value both the fixed and variable components of the swap contracts and takes into account market data and inputs sourced from various institutions and market-makers and includes daily intra-day and closing spreads, credit index quotes, yield curves, and recovery rate assumptions. The Fund’s net benefit or obligation under the derivative contract, as measured by the fair market value of the contract, is included in the Fund’s net assets. These swap contracts are categorized as Level 2 in the fair valuation hierarchy.
Foreign securities valued in non-U.S. dollars are valued in the foreign currency and then converted into the U.S. dollar equivalent using the foreign exchange rate in effect at the close of the NYSE on the day the security’s value is determined. The value of securities traded in markets outside the United States may be affected on a day that the NYSE is closed and an investor is not able to purchase, exchange or redeem shares of the Funds.
The Board has delegated to the Funds’ Pricing Committee (“Pricing Committee”) the responsibility for implementing the pricing and valuation procedures, including responsibility for determining the fair value of the Funds’ securities or other assets and liabilities. The Pricing Committee includes representatives of the Funds’ Advisor, Co-Administrator and Sub-Advisor, including personnel from accounting and operations, investment management, trading, risk management, compliance, and legal. The Pricing Committee meets at least quarterly to review and approve Fund valuation matters, including a review of the Funds’ pricing activity and operations, fair value measurements, pricing vendors, policies and procedures, and related controls. At least a quorum of the Pricing Committee shall meet more frequently, as needed, to consider and approve time-sensitive fair valuation matters. The Pricing Committee reports to the Valuation, Portfolio Management and Performance Committee (“Valuation Committee”) of the Board. Members of the Pricing Committee meet with the Valuation Committee and the Board at each of their regularly scheduled meetings to discuss valuation matters and actions taken during the period.
The Board has adopted procedures to determine the fair value of a security when a price is not available from a pricing service or broker-dealer or Fund Management determines that a price provided
127 |
NOTES TO FINANCIAL STATEMENTS
|
by a pricing service or broker-dealer does not approximate fair value. Fair valuation may also be used when a significant valuation event affecting the value of a security or market sector is determined to have occurred between the time when a security’s market closes and the time the Fund’s net asset value is calculated. The fair value of the security will be determined in good faith by the Pricing Committee in accordance with procedures and methodologies adopted by the Board. General factors used in determining the fair value of securities include, but are not limited to, fundamental analytical data relating to the security, the issuer and the market, such as duration, prepayment and default rates; general level of interest rates and changes in interest rates; information from broker-dealers; trading in similar securities; any restrictions on disposition of the security; and an evaluation of the forces that influence the market in which the investments are traded. These securities are either categorized as Level 2 or 3 in the fair value hierarchy, depending on the relevant inputs used.
When the Funds utilize fair valuation methods that use significant unobservable inputs to determine a security’s value, such securities will be categorized as Level 3 of the fair value hierarchy. These methods may require subjective determinations about the value of a security. While the Funds’ policy is intended to result in a calculation of a Fund’s net asset value that fairly reflects security values as of the time of pricing, the Funds cannot guarantee that values determined by the Board or persons acting at their direction would accurately reflect the price that the Funds could obtain for a security if they were to dispose of it as of the time of pricing (for instance, in a forced or distressed sale). The prices used by the Funds may differ from the value that would be realized if the securities were sold.
The Pricing Committee employs various methods for calibrating the valuation approach related to securities categorized within Level 2 and Level 3 of the fair value hierarchy. These methods may include regular due diligence of the Funds’ pricing vendors, a regular review of key inputs and assumptions, transaction back-testing or disposition analysis to compare unrealized gains and losses to realized gains and losses, reviews of missing and stale prices and large movements in market value, and reviews of any market related activities. Additionally, the pricing of all fair value holdings is subsequently reported to the Valuation Committee and Board.
Fair Value Measurements:
The Funds disclose the fair value of its investments in a hierarchy that categorizes investments based on the inputs to valuation techniques used to measure fair value. The three levels of the fair value hierarchy are as follows:
● Level 1 - Inputs that reflect unadjusted quoted prices in active markets for identical assets or liabilities that the Funds have the ability to access at the measurement date.
● Level 2 - Significant inputs other than quoted prices that are observable for the asset or liability either directly or indirectly, including inputs in markets that are not considered to be active. Observable inputs may include quoted prices for similar securities, interest rates, spreads, prepayment speeds, etc.
● Level 3 - Significant unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Fund’s own assumptions in determining the fair value of investments).
The inputs or methodology used for valuing investments are not necessarily an indication of the risk associated with investing in those securities.
Inputs used in determining fair value of an investment may include, but are not limited to, price information, volatility statistics, credit and market data, and other factors, all of which may be either observable or unobservable. Inputs can vary among investments and will be impacted by the investment type and volume of activity for the particular security or similar securities in the market. Investments in the Level 3 category are generally supported by transactions and quoted prices from dealers participating in the market for those investments. Investments may be included in the Level 3 category due to a lack of market activity or transparency. Internal valuation models may also be used as a pricing source for Level 3 investments. Internal valuation models may rely on one or more unobservable inputs, such as estimated cash flows, financial statement analysis and discount rates.
128 |
NOTES TO FINANCIAL STATEMENTS
|
The summary of inputs used to determine the fair value of the Funds’ investments as of September 30, 2015 is as follows:
Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | Total | |||||||||||||||||||||
Emerging Market Select Bond Fund | ||||||||||||||||||||||||
Assets: | ||||||||||||||||||||||||
Investments in Securities(a) | ||||||||||||||||||||||||
Corporate Bonds | $ | — | $ | 1,064,235 | $ | — | $ | 1,064,235 | ||||||||||||||||
Foreign Government Bonds | — | 20,164,281 | — | 20,164,281 | ||||||||||||||||||||
Investment Company | 5,426,098 | — | — | 5,426,098 | ||||||||||||||||||||
Other Financial Instruments* | ||||||||||||||||||||||||
Interest rate contracts: | ||||||||||||||||||||||||
Financial futures contracts | 11,938 | — | — | 11,938 | ||||||||||||||||||||
Interest rate swaps | — | 79,153 | — | 79,153 | ||||||||||||||||||||
Foreign currency exchange contracts - forward contracts | — | 691,285 | — | 691,285 | ||||||||||||||||||||
Credit contracts: | ||||||||||||||||||||||||
Credit default swaps | — | 8,985 | — | 8,985 | ||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||
Total Assets | $ | 5,438,036 | $ | 22,007,939 | $ | — | $ | 27,445,975 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||
Liabilities: | ||||||||||||||||||||||||
Other Financial Instruments* | ||||||||||||||||||||||||
Interest rate contracts: | ||||||||||||||||||||||||
Financial futures contracts | $ | (9,448) | $ | — | $ | — | $ | (9,448) | ||||||||||||||||
Interest rate swaps | — | (508) | — | (508) | ||||||||||||||||||||
Foreign currency exchange contracts - forward contracts | — | (766,839) | — | (766,839) | ||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||
Total Liabilities | $ | (9,448) | $ | (767,347) | $ | — | $ | (776,795) | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||
Emerging Market Corporate Bond Fund | ||||||||||||||||||||||||
Assets: | ||||||||||||||||||||||||
Investments in Securities(a) | ||||||||||||||||||||||||
Corporate Bonds | $ | — | $ | 15,720,335 | $ | — | $ | 15,720,335 | ||||||||||||||||
Foreign Government Bonds | — | 256,814 | — | 256,814 | ||||||||||||||||||||
Investment Company | 2,515,979 | — | — | 2,515,979 | ||||||||||||||||||||
Other Financial Instruments* | ||||||||||||||||||||||||
Interest rate contracts: | ||||||||||||||||||||||||
Financial futures contracts | 17,630 | — | — | 17,630 | ||||||||||||||||||||
Foreign currency exchange contracts - forward contracts | — | 104,442 | — | 104,442 | ||||||||||||||||||||
Equity contracts: | ||||||||||||||||||||||||
Purchased options | 3,094 | — | — | 3,094 | ||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||
Total Assets | $ | 2,536,703 | $ | 16,081,591 | $ | — | $ | 18,618,294 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||
Liabilities: | ||||||||||||||||||||||||
Other Financial Instruments* | ||||||||||||||||||||||||
Foreign currency exchange contracts - forward contracts | $ | — | $ | (49,916) | $ | — | $ | (49,916) | ||||||||||||||||
Credit contracts: | ||||||||||||||||||||||||
Credit default swaps | — | (31,194) | — | (31,194) | ||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||
Total Liabilities | $ | — | $ | (81,110) | $ | — | $ | (81,110) | ||||||||||||||||
|
|
|
|
|
|
|
|
129 |
NOTES TO FINANCIAL STATEMENTS
|
Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | Total | |||||||||||||||||||||
Global High Yield Bond Fund | ||||||||||||||||||||||||
Assets: | ||||||||||||||||||||||||
Investments in Securities(a) | ||||||||||||||||||||||||
Bank Loans | $ | — | $ | 2,615,152 | $ | — | $ | 2,615,152 | ||||||||||||||||
Corporate Bonds | — | 23,601,283 | —(b) | 23,601,283 | ||||||||||||||||||||
Common Stocks | 42,016 | 8,332 | — | 50,348 | ||||||||||||||||||||
Investment Company | 3,248,516 | — | — | 3,248,516 | ||||||||||||||||||||
Preferred Stock | — | 77,378 | — | 77,378 | ||||||||||||||||||||
Warrants/Rights | — | 8,272 | — | 8,272 | ||||||||||||||||||||
Other Financial Instruments* | ||||||||||||||||||||||||
Credit contracts: | ||||||||||||||||||||||||
Credit default swaps | — | 7,068 | — | 7,068 | ||||||||||||||||||||
Foreign currency exchange contracts - forward contracts | — | 73,490 | — | 73,490 | ||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||
Total Assets | $ | 3,290,532 | $ | 26,390,975 | $ | — | $ | 29,681,507 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||
Liabilities: | ||||||||||||||||||||||||
Other Financial Instruments* | ||||||||||||||||||||||||
Credit contracts: | ||||||||||||||||||||||||
Credit default swaps | $ | — | $ | (3,677) | $ | — | $ | (3,677) | ||||||||||||||||
Foreign currency exchange contracts - forward contracts | — | (341) | — | (341) | ||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||
Total Liabilities | $ | — | $ | (4,018) | $ | — | $ | (4,018) | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||
Global Convertible Bond Fund | ||||||||||||||||||||||||
Assets: | ||||||||||||||||||||||||
Investments in Securities(a) | ||||||||||||||||||||||||
Convertible Bonds | $ | — | $ | 17,972,164 | $ | — | $ | 17,972,164 | ||||||||||||||||
Convertible Preferred Stocks | 79,013 | 84,858 | — | 163,871 | ||||||||||||||||||||
Investment Company | 2,358,883 | — | — | 2,358,883 | ||||||||||||||||||||
Common Stock | 133,534 | — | — | 133,534 | ||||||||||||||||||||
Other Financial Instruments* | ||||||||||||||||||||||||
Equity contracts: | ||||||||||||||||||||||||
Purchased options | 48,128 | — | — | 48,128 | ||||||||||||||||||||
Foreign currency exchange contracts - forward contracts | — | 44,615 | — | 44,615 | ||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||
Total Assets | $ | 2,619,558 | $ | 18,101,637 | $ | — | $ | 20,721,195 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||
Liabilities: | ||||||||||||||||||||||||
Other Financial Instruments* | ||||||||||||||||||||||||
Foreign currency exchange contracts - forward contracts | $ | — | $ | (2) | $ | — | $ | (2) | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||
Total Liabilities | $ | — | $ | (2) | $ | — | $ | (2) | ||||||||||||||||
|
|
|
|
|
|
|
|
130 |
NOTES TO FINANCIAL STATEMENTS
|
Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | Total | |||||||||||||||||||||
Absolute Return Fund | ||||||||||||||||||||||||
Assets: | ||||||||||||||||||||||||
Investments in Securities(a) | ||||||||||||||||||||||||
Corporate Bonds | $ | — | $ | 222,501,832 | $ | — | $ | 222,501,832 | ||||||||||||||||
Foreign Government Bonds | — | 178,485,575 | — | 178,485,575 | ||||||||||||||||||||
U.S. Treasury Obligations | — | 12,275,277 | — | 12,275,277 | ||||||||||||||||||||
Investment Company | 26,877,740 | — | — | 26,877,740 | ||||||||||||||||||||
Other Financial Instruments* | ||||||||||||||||||||||||
Interest rate contracts: | ||||||||||||||||||||||||
Financial futures contracts | 44,105 | — | — | 44,105 | ||||||||||||||||||||
Interest rate swaps | — | 360,347 | — | 360,347 | ||||||||||||||||||||
Credit contracts: | ||||||||||||||||||||||||
Credit default swaps | — | 2,316,219 | — | 2,316,219 | ||||||||||||||||||||
Equity contracts: | ||||||||||||||||||||||||
Purchased options | 9,243 | — | — | 9,243 | ||||||||||||||||||||
Foreign currency exchange contracts - forward contracts | — | 5,088,564 | — | 5,088,564 | ||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||
Total Assets | $ | 26,931,088 | $ | 421,027,814 | $ | — | $ | 447,958,902 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||
Liabilities: | ||||||||||||||||||||||||
Other Financial Instruments* | ||||||||||||||||||||||||
Interest rate contracts: | ||||||||||||||||||||||||
Financial futures contracts | $ | (1,520,936) | $ | — | $ | — | $ | (1,520,936) | ||||||||||||||||
Interest rate swaps | — | (1,387,092) | — | (1,387,092) | ||||||||||||||||||||
Credit contracts: | ||||||||||||||||||||||||
Credit default swaps | — | (4,968,484) | — | (4,968,484) | ||||||||||||||||||||
Foreign currency exchange contracts - forward contracts | — | (999,184) | — | (999,184) | ||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||
Total Liabilities | $ | (1,520,936) | $ | (7,354,760) | $ | — | $ | (8,875,696) | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||
Emerging Market Unconstrained Fixed Income Fund | ||||||||||||||||||||||||
Assets: | ||||||||||||||||||||||||
Investments in Securities(a) | ||||||||||||||||||||||||
Corporate Bonds | $ | — | $ | 2,259,550 | $ | — | $ | 2,259,550 | ||||||||||||||||
Foreign Government Bonds | — | 6,134,628 | — | 6,134,628 | ||||||||||||||||||||
Investment Company | 5,272,854 | — | — | 5,272,854 | ||||||||||||||||||||
Other Financial Instruments* | ||||||||||||||||||||||||
Interest rate contracts: | ||||||||||||||||||||||||
Financial futures contracts | 235 | — | — | 235 | ||||||||||||||||||||
Interest rate swaps | — | 928 | — | 928 | ||||||||||||||||||||
Credit contracts: | ||||||||||||||||||||||||
Credit default swaps | — | 121,637 | — | 121,637 | ||||||||||||||||||||
Foreign currency exchange contracts - forward contracts | — | 421,608 | — | 421,608 | ||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||
Total Assets | $ | 5,273,089 | $ | 8,938,351 | $ | — | $ | 14,211,440 | ||||||||||||||||
|
|
|
|
|
|
|
|
131 |
NOTES TO FINANCIAL STATEMENTS
|
Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | Total | |||||||||||||||||||||
Emerging Market Unconstrained Fixed Income Fund | ||||||||||||||||||||||||
Liabilities: | ||||||||||||||||||||||||
Other Financial Instruments* | ||||||||||||||||||||||||
Interest rate contracts: | ||||||||||||||||||||||||
Financial futures contracts | $ | (1,094) | $ | — | $ | — | $ | (1,094) | ||||||||||||||||
Interest rate swaps | — | (83,436) | — | (83,436) | ||||||||||||||||||||
Credit contracts: | ||||||||||||||||||||||||
Credit default swaps | — | (311,936) | — | (311,936) | ||||||||||||||||||||
Foreign currency exchange contracts - forward contracts | — | (488,089) | — | (488,089) | ||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||
Total Liabilities | $ | (1,094) | $ | (883,461) | $ | — | $ | (884,555) | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||
Total Return Credit Fund | ||||||||||||||||||||||||
Assets: | ||||||||||||||||||||||||
Investments in Securities(a) | ||||||||||||||||||||||||
Convertible Bonds | $ | — | $ | 11,515,267 | $ | — | $ | 11,515,267 | ||||||||||||||||
Corporate Bonds | — | 26,571,095 | —(b) | 26,571,095 | ||||||||||||||||||||
Foreign Government Bonds | — | 19,858,106 | — | 19,858,106 | ||||||||||||||||||||
Investment Company | 2,703,965 | — | — | 2,703,965 | ||||||||||||||||||||
Convertible Preferred Stock | 92,181 | 77,223 | — | 169,404 | ||||||||||||||||||||
Common Stock | 88,433 | — | — | 88,433 | ||||||||||||||||||||
Other Financial Instruments* | ||||||||||||||||||||||||
Interest rate contracts: | ||||||||||||||||||||||||
Financial futures contracts | 4,453 | — | — | 4,453 | ||||||||||||||||||||
Credit contracts: | ||||||||||||||||||||||||
Credit default swaps | — | 140,379 | — | 140,379 | ||||||||||||||||||||
Foreign currency exchange contracts - forward contracts | — | 388,802 | — | 388,802 | ||||||||||||||||||||
Equity contracts: | ||||||||||||||||||||||||
Purchased options | 25,958 | — | — | 25,958 | ||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||
Total Assets | $ | 2,914,990 | $ | 58,550,872 | $ | — | $ | 61,465,862 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||
Liabilities: | ||||||||||||||||||||||||
Other Financial Instruments* | ||||||||||||||||||||||||
Interest rate contracts: | ||||||||||||||||||||||||
Financial futures contracts | $ | (14,057) | $ | — | $ | — | $ | (14,057) | ||||||||||||||||
Credit contracts: | ||||||||||||||||||||||||
Credit default swaps | — | (2,206) | — | (2,206) | ||||||||||||||||||||
Foreign currency exchange contracts - forward contracts | — | (194,784) | — | (194,784) | ||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||
Total Liabilities | $ | (14,057) | $ | (196,990) | $ | — | $ | (211,047) | ||||||||||||||||
|
|
|
|
|
|
|
|
(a) The breakdown of the Fund’s investments by country is disclosed in the Schedules of Portfolio Investments.
(b) A Corporate Bond (Momentive Performance Materials, Inc.) in the United States section of the Schedule of Portfolio Investments has no value and is considered Level 3.
*Other financial instruments are instruments shown on the Schedule of Portfolio Investments, such as futures contracts, options, swaps and foreign currency exchange contracts which are valued at fair value.
During the year or period ended September 30, 2015, the Funds recognized no transfers to/from Level 1 or Level 2. The Fund’s policy is to recognize transfers to/from Level 1, Level 2 and Level 3 at the end of the year utilizing fair value at the beginning of the year.
132 |
NOTES TO FINANCIAL STATEMENTS
|
Foreign Currency Transactions:
The values of foreign securities, foreign currencies and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars using current exchange rates each business day. Fluctuations in the value of foreign currency holdings and other assets and liabilities resulting from movements in currency exchange rates are recorded as unrealized foreign currency gains or losses. The effects of changes in foreign currency exchange rates on investments in securities are not segregated from the effects of changes in market prices of those securities on the Statements of Operations. Such fluctuations are included with the net change in unrealized appreciation/depreciation on investment transactions. However, the effects of fluctuations in foreign currency exchange rates when determining the realized gain or loss upon the sale or maturity of foreign currency denominated debt obligations are segregated pursuant to US Federal income tax regulations; such amounts are categorized as foreign exchange gain or loss for both financial reporting and income tax reporting purposes.
Financial Instruments:
Bank Loans:
A Fund may invest in fixed and floating rate loans from one or more financial institutions (“lender(s)”) to a borrower (“borrower”) by way of: (i) assignment/transfer of; or (ii) participation in the whole or part of the loan amount outstanding. In both instances, assignments or participations of such loans must be capable of being freely traded and transferred between investors in the loans. Participations typically will result in a Fund having a contractual relationship only with a lender as grantor of the participation but not with the borrower. A Fund acquires a participation interest only if the lender(s) positioned between the Fund and the borrower is determined by the Sub-Advisor to be creditworthy. When purchasing loan participations, a Fund assumes the economic risk associated with the corporate borrower and the credit risk associated with an interposed bank or other financial intermediary. Loan assignments typically involve a transfer of debt from a lender to a third party. When purchasing loan assignments, a Fund assumes the credit risk associated with the corporate borrower only.
Such loans may be secured or unsecured. Loans that are fully secured offer a Fund more protection than an unsecured loan in the event of non-payment of scheduled interest or principal. However, there is no assurance that the liquidation of collateral from a secured loan would satisfy the corporate borrower’s obligation. In addition, investments in loans through a direct assignment include the risk that if a loan is terminated, a Fund could become part owner of any collateral, and would bear the costs and liabilities associated with owning and disposing of the collateral.
Loan participations typically represent direct participation in a loan to a corporate borrower, and generally are offered by banks or other financial institutions or lending syndicates.
A loan is often administered by an agent bank acting as agent for all holders. Unless, under the terms of the loan or other indebtedness, a Fund has direct recourse against the corporate borrower, the Fund may have to rely on the agent bank or other financial intermediary to apply appropriate credit remedies against a corporate borrower.
When the Funds purchase a floating rate loan interest, it may receive a facility fee and when it sells a floating rate loan interest, it may pay a facility fee. On an ongoing basis, the Funds may receive a commitment fee based on the undrawn portion of the underlying line of credit amount of a floating rate loan interest. Facility and commitment fees are typically amortized to income over the term of the loan or term of the commitment, respectively. Consent and amendment fees are recorded to income as earned. Prepayment penalty fees, which may be received by the Funds upon the prepayment of a floating rate loan interest by a borrower, are recorded as realized gains. The Funds may invest in multiple series or tranches of a loan. A different series or tranche may have varying terms and carry different associated risks.
In connection with floating rate loan interests, the Funds may also enter into unfunded floating rate loan interests (“commitments”). In connection with these commitments, the Funds earn a commitment fee, typically set as a percentage of the commitment amount. Such fee income, which is included in interest income in the Statements of Operations, is recognized ratably over the commitment period.
133 |
NOTES TO FINANCIAL STATEMENTS
|
Unfunded floating rate loan interests are marked-to-market daily, and any unrealized appreciation or depreciation is included in the Statements of Assets and Liabilities and Statements of Operations.
As of September 30,2015, Global High Yield Bond Fund did not have any unfunded floating rate loan interests.
Payment-In-Kind Securities:
The Funds may invest in payment-in-kind securities (“PIKs”). PIKs give the issuer the option at each interest payment date of making interest payments in either cash or additional debt securities. Those additional debt securities usually have the same terms, including maturity dates and interest rates, and associated risks as the original bonds. The daily market quotations of the original bonds may include the accrued interest (referred to as a dirty price) and require a pro-rata adjustment from the unrealized appreciation or depreciation on investments to interest receivable on the Statement of Assets and Liabilities.
For the year ended September 30, 2015, the total in-kind payments received by the Global High Yield Bond Fund with respect to PIKs constituted less than 5% of the Fund’s total income and, therefore, such payments were not disclosed as a separate line item on the Statement of Operations.
Derivatives:
The Funds may use derivative instruments, including futures, forwards, options, indexed securities, swaps and inverse securities for hedging purposes only. Derivatives allow a Fund to increase or decrease its risk exposure more quickly and efficiently than other types of instruments. Derivatives may be riskier than other types of investments and could result in losses that significantly exceed a Fund’s original investment. Derivatives are subject to the risk that changes in the value of a derivative may not correlate perfectly with the underlying asset, rate or index. The use of derivatives may not be successful, resulting in losses to a Fund, and the cost of such strategies may reduce the Fund’s returns.
Hedging also involves the risk that changes in the value of the derivative will not match those of the holdings being hedged as expected by the Funds, in which case any losses on the holdings being hedged may not be reduced and may be increased. There can be no assurance that a Fund’s hedging strategy will reduce risk or that hedging transactions will be available or cost effective. The Funds are subject to interest rate risk and foreign currency exchange risk in the normal course of pursuing its investment objectives by investing in various derivative financial instruments, as described below.
In addition to the risks associated with derivatives in general, the Funds will also be subject to risks related to swap agreements. Because swap agreements are not exchange-traded, but are private contracts into which a Fund and a swap counterparty enter as principals, a Fund may experience a loss or delay in recovering assets if the counterparty defaults on its obligations. Each Fund will segregate or earmark liquid assets in an amount sufficient to cover its obligations under swap agreements.
Financial Futures Contracts:
The Funds may enter into futures contracts in an effort to manage the duration of the portfolio and hedge against certain market risk. A futures contract on a securities index is an agreement obligating one party to pay, and entitling the other party to receive, during the term of the contract, cash payments based on the level of a specified securities index. Futures transactions involve brokerage costs and require a Fund to segregate assets to cover contracts that would require it to purchase securities or currencies. A Fund may lose the expected benefit of futures transactions if interest rates, exchange rates or securities prices change in an unanticipated manner. Such unanticipated changes may also result in lower overall performance than if a Fund had not entered into any futures transactions.
Upon entering into a futures contract, a Fund is required to pledge to the broker an amount of cash, U.S. government securities, or other assets equal to a certain percentage of the contract amount. Subsequent payments are made or received by the Funds each day, depending on the daily fluctuations in the fair value of the underlying instrument. A Fund would record an unrealized gain or loss each day equal to these daily payments.
134 |
NOTES TO FINANCIAL STATEMENTS
|
Open futures contracts are shown on the Schedules of Portfolio Investments. Collateral pledged for open futures contracts is included in the cash at broker for futures contracts shown on the Statements of Assets and Liabilities at September 30, 2015.
Options:
The Funds may write (or sell) put and call options on the securities that the Funds are authorized to buy or already hold in their portfolio. The Funds may also purchase put and call options. The Emerging Market Corporate Bond Fund, Global Convertible Bond Fund, Absolute Return Fund and Total Return Credit Fund had outstanding options as of September 30, 2015.
A call option gives the purchaser of the option the right (but not the obligation) to buy, and obligates the seller to sell (when the option is exercised), the underlying instrument at the exercise price at any time or at a specified time during the option period. A put option gives the holder the right to sell and obligates the writer to buy the underlying instrument at the exercise price at any time or at a specified time during the option period. When a Fund purchases (writes) an option, an amount equal to the premium paid (received) by a Fund is reflected as an asset (liability). The amount of the asset (liability) is subsequently marked-to-market to reflect the current market value of the option purchased (written). When an instrument is purchased or sold through an exercise of an option, the related premium paid (or received) is added to (or deducted from) the basis of the instrument acquired or deducted from (or added to) the proceeds of the instrument sold. When an option expires (or a Fund enters into a closing transaction), a Fund realizes a gain or loss on the option to the extent of the premiums received or paid (or gain or loss to the extent the cost of the closing transaction exceeds the premium received or paid). When a Fund writes a call option, such option is “covered,” meaning that a Fund holds the underlying instrument subject to being called by the option counterparty, or cash in an amount sufficient to cover the obligation. When a Fund writes a put option, such option is covered by cash in an amount sufficient to cover the obligation.
In purchasing and writing options, a Fund bears the market risk of an unfavorable change in the price of the underlying instrument or the risk that a Fund may not be able to enter into a closing transaction due to an illiquid market. Exercise of a written option could result in a Fund purchasing or selling a security at a price different from the current market value.
A Fund may execute transactions in both listed (exchange-traded) and over-the-counter (“OTC”) options. Listed options involve minimal counterparty risk since listed options are guaranteed against default by the exchange on which they trade. Transactions in certain OTC options may expose a Fund to the risk of default by the counterparty to the transaction. In the event of default by the counterparty to the OTC option transaction, a Fund’s maximum amount of loss is the premium paid (as purchaser) or the unrealized gain on the contract (as writer).
135 |
NOTES TO FINANCIAL STATEMENTS
|
A summary of the Emerging Market Corporate Bond Fund written option transactions for the year is as follows:
Number of Options Contracts | Premiums Received | |||||||
Contracts outstanding at September 30, 2014 | — | $ | — | |||||
Options written | 25 | 7,344 | ||||||
Options terminated in closing purchase transactions | (9) | (5,344) | ||||||
Options exercised | — | — | ||||||
Options expired | (16) | (2,000) | ||||||
|
|
|
| |||||
Contracts outstanding at September 30, 2015 | — | $ | — | |||||
|
|
|
|
A summary of the Global High Yield Bond Fund written option transactions for the year is as follows:
Number of Options Contracts | Premiums Received | |||||||
Contracts outstanding at September 30, 2014 | — | $ | — | |||||
Options written | 707 | 110,698 | ||||||
Options terminated in closing purchase transactions | (244) | (46,792) | ||||||
Options exercised | — | — | ||||||
Options expired | (463) | (63,906) | ||||||
|
|
|
| |||||
Contracts outstanding at September 30, 2015 | — | $ | — | |||||
|
|
|
|
A summary of the Global Convertible Bond Fund written option transactions for the year is as follows:
Number of Options Contracts | Premiums Received | |||||||
Contracts outstanding at September 30, 2014 | 32 | $ | 16,000 | |||||
Options written | 1,611 | 387,817 | ||||||
Options terminated in closing purchase transactions | (1,122) | (311,643) | ||||||
Options exercised | — | — | ||||||
Options expired | (521) | (92,174) | ||||||
|
|
|
| |||||
Contracts outstanding at September 30, 2015 | — | $ | — | |||||
|
|
|
|
A summary of the Absolute Return Fund written option transactions for the year is as follows:
Number of Options Contracts | Premiums Received | |||||||
Contracts outstanding at September 30, 2014 | — | $ | — | |||||
Options written | 24,271 | 6,243,514 | ||||||
Options terminated in closing purchase transactions | (20,308) | (5,557,577) | ||||||
Options exercised | — | — | ||||||
Options expired | (3,963) | (685,937) | ||||||
|
|
|
| |||||
Contracts outstanding at September 30, 2015 | — | $ | — | |||||
|
|
|
|
136 |
NOTES TO FINANCIAL STATEMENTS
|
A summary of the Emerging Market Unconstrained Fixed Income Fund written option transactions for the period is as follows:
Number of Options Contracts | Premiums Received | |||||||
Contracts outstanding at December 9, 2014* | — | $ | — | |||||
Options written | 5 | 78 | ||||||
Options terminated in closing purchase transactions | — | — | ||||||
Options exercised | — | — | ||||||
Options expired | (5) | (78) | ||||||
|
|
|
| |||||
Contracts outstanding at September 30, 2015 | — | $ | — | |||||
|
|
|
|
* Commencement of Operations
A summary of the Total Return Credit Fund written option transactions for the period is as follows:
Number of Options Contracts | Premiums Received | |||||||
Contracts outstanding at December 9, 2014* | — | $ | — | |||||
Options written | 665 | 167,857 | ||||||
Options terminated in closing purchase transactions | (461) | (121,357) | ||||||
Options exercised | — | — | ||||||
Options expired | (204) | (46,500) | ||||||
|
|
|
| |||||
Contracts outstanding at September 30, 2015 | — | $ | — | |||||
|
|
|
|
* Commencement of Operations
Forward Foreign Currency Exchange Contracts:
The Funds entered into forward foreign currency contracts (“Forward”) to hedge their exposure to changes in foreign currency exchange rates on foreign portfolio holdings (foreign currency exchange risk). In addition, certain Funds may use a Forward to provide exposure to the foreign currency market. A Forward is an agreement between two parties to purchase or sell a foreign currency at a future date at a negotiated forward rate. A Forward is marked-to-market daily and the change in market value is recorded by the Funds as unrealized appreciation or depreciation until the contract settlement date. The market value of the Forward is determined using the forward rate for the remainder of the outstanding period of the contract, through the delivery date. When a Forward is closed or settled, the Funds record a realized gain or loss equal to the fluctuation in rates during the period a Forward was open.
In the event of default by the counterparty to the transaction, the Fund’s maximum amount of loss, as either the buyer or seller, is the unrealized gain of the contract.
Details of Forward contracts at period end are included in the Schedules of Portfolio Investments under the caption “Foreign currency exchange contracts.”
Swap Agreements:
The Funds may enter into swap agreements, which are agreements involving two parties to exchange the return generated by a security, currency, commodity, interest rate, index, or other measures for the return generated by another instrument, for example, the agreement to pay interest in exchange for a market-linked return based on a notional amount. The Funds entered into total return, interest rate and other swap agreements as of September 30, 2015.
137 |
NOTES TO FINANCIAL STATEMENTS
|
Interest rate swap agreements generally involve the agreement by the Funds to pay a counterparty a fixed or floating rate on a fixed notional amount and to receive a fixed or floating rate on a fixed notional amount, but may also involve the agreement to pay or receive payments derived from changes in interest rates. Periodic payments are generally made during the life of the swap agreement according to the terms and conditions of the agreement and at termination or maturity.
The Funds enter into cross-currency swaps to gain or reduce exposure to foreign currencies or as an economic hedge against either specific transactions or portfolio instruments (foreign currency exchange rate and/or interest rate risk). Cross-currency swaps are interest rate swaps in which one party pays a stream of interest payments, either fixed or floating, in exchange for another party’s stream of interest payments, either fixed or floating, based on the notional amounts of two different currencies. The notional amounts are typically determined based on the spot exchange rates at the inception of the trade. Cross-currency swaps may also involve an exchange of notional amounts at the start, during and/or at expiration of the contract, either at the current spot rate or another specified rate.
The Funds enter into credit default swaps to manage their exposure to the market or certain sectors of the market, to reduce their risk exposure to defaults of corporate and/or sovereign issuers or to create exposure to corporate and/or sovereign issuers to which they are not otherwise exposed (credit risk). The Funds enter into credit default swap agreements to provide a measure of protection against the default of an issuer (as buyer of protection) and/or gain credit exposure to an issuer to which it is not otherwise exposed (as seller of protection). The Funds may either buy or sell (write) credit default swaps on single-name issuers (corporate or sovereign), a combination or basket of single-name issuers or traded indexes. Credit default swaps on single-name issuers are agreements in which the buyer pays fixed periodic payments to the seller in consideration for a guarantee from the seller to make a specific payment should a negative credit event take place with respect to the referenced entity (e.g., bankruptcy, failure to pay, obligation accelerators, repudiation, moratorium or restructuring). Credit default swaps on traded indexes are agreements in which the buyer pays fixed periodic payments to the seller in consideration for a guarantee from the seller to make a specific payment should a writedown, principal or interest shortfall or default of all or individual underlying securities included in the index occurs. As a buyer, if an underlying credit event occurs, the Funds will either receive from the seller an amount equal to the notional amount of the swap and deliver the referenced security or underlying securities comprising the index or receive a net settlement of cash equal to the notional amount of the swap less the recovery value of the security or underlying securities comprising the index. As a seller (writer), if an underlying credit event occurs, the Funds will either pay the buyer an amount equal to the notional amount of the swap and take delivery of the referenced security or underlying securities comprising the index or pay a net settlement of cash equal to the notional amount of the swap less the recovery value of the security or underlying securities comprising the index.
Total return swap agreements involve the commitments to pay or receive an amount generally determined by reference to a security, index or other measure in exchange for a specific market linked return, based on notional amounts. To the extent that the total return of the security, index or other measure underlying the transaction exceeds or falls short of the offsetting interest rate-based obligation, the Funds receive or make a payment to the counterparty. Interim payments and payments received or made by a Fund at the expiration or other termination of the swap agreements are recorded in the Statements of Operations as realized gains or losses, respectively. Swap agreements are marked-to-market daily based on dealer-supplied valuations, and changes in value, including the periodic amounts of interest to be paid or received on swaps, are recorded as unrealized appreciation/(depreciation). Risks may exceed amounts recognized on the Statements of Assets and Liabilities. These risks include changes in the returns of the underlying instruments, failure of the counterparties to perform under the contracts’ terms and the possible lack of liquidity with respect to the swap agreements. Details of swap agreements open at period end are included in the Schedules of Portfolio Investments under the caption “Interest rate swaps, “Cross currency swaps”, “Credit default swaps” and “Total return swaps”.
138 |
NOTES TO FINANCIAL STATEMENTS
|
Fair Values of derivative instruments as of September 30, 2015 are as follows(1):
Fair Values of Derivative Financial Instruments as of September 30, 2015 | ||||||||||||||||||||||||||||
Statement of Assets and Liabilities Location | ||||||||||||||||||||||||||||
Asset Derivatives | ||||||||||||||||||||||||||||
Emerging Market Select Bond Fund | Emerging Market Corporate Bond Fund | Global High Yield Bond Fund | Global Convertible Bond Fund | Absolute Return Fund | Emerging Market Unconstrained Fixed Income Fund | Total Return Credit Fund | ||||||||||||||||||||||
Credit risk: | ||||||||||||||||||||||||||||
Credit default swaps, at value | $ | 8,985 | $ | — | $ | 7,068 | $ | — | $ | 2,316,219 | $ | 121,637 | $ | 140,379 | ||||||||||||||
Equity risk: | ||||||||||||||||||||||||||||
Investments, at value (call options purchased) | — | 3,094 | — | 48,128 | 9,243 | — | 25,958 | |||||||||||||||||||||
Foreign currency exchange risk: | ||||||||||||||||||||||||||||
Unrealized appreciation on forward foreign currency exchange contracts | 691,285 | 104,442 | 73,490 | 44,615 | 5,088,564 | 421,608 | 388,802 | |||||||||||||||||||||
Interest rate risk: | ||||||||||||||||||||||||||||
Unrealized appreciation on futures contracts | 11,938 | 17,630 | — | — | 44,105 | 235 | 4,453 | |||||||||||||||||||||
Unrealized appreciation on interest rate swaps contracts | 79,153 | — | — | — | 360,347 | 928 | — | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Total | $ | 791,361 | $ | 125,166 | $ | 80,558 | $ | 92,743 | $ | 7,818,478 | $ | 544,408 | $ | 559,592 | ||||||||||||||
|
|
|
|
|
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|
|
|
|
|
|
|
139 |
NOTES TO FINANCIAL STATEMENTS
|
Liability Derivatives | ||||||||||||||||||||||||||||
Emerging Market Select Bond Fund | Emerging Market Corporate Bond Fund | Global High Yield Bond Fund | Global Convertible Bond Fund | Absolute Return Fund | Emerging Market Unconstrained Fixed Income Fund | Total Return Credit Fund | ||||||||||||||||||||||
Credit risk: | ||||||||||||||||||||||||||||
Credit default swaps, at value | $ | — | $ | 31,194 | $ | 3,677 | $ | — | $ | 4,968,484 | $ | 311,936 | $ | 2,206 | ||||||||||||||
Foreign currency exchange risk: | ||||||||||||||||||||||||||||
Unrealized depreciation on forward foreign currency exchange contracts | 766,839 | 49,916 | 341 | 2 | 999,184 | 488,089 | 194,784 | |||||||||||||||||||||
Interest rate risk: | ||||||||||||||||||||||||||||
Unrealized depreciation on futures contracts | 9,448 | — | — | — | 1,520,936 | 1,094 | 14,057 | |||||||||||||||||||||
Unrealized depreciation on interest rate swaps contracts | 508 | — | — | — | 1,387,092 | 83,436 | — | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Total | $ | 776,795 | $ | 81,110 | $ | 4,018 | $ | 2 | $ | 8,875,696 | $ | 884,555 | $ | 211,047 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
140 |
NOTES TO FINANCIAL STATEMENTS
|
The effect of derivative instruments on the Statement of Operations during the year or period ended September 30, 2015 is as follows:
Derivative Instruments Categorized by Risk Exposure | Emerging Market Select Bond Fund | Emerging Market Corporate Bond Fund | Global High Yield Bond Fund | Global Convertible Bond Fund | Absolute Return Fund | Emerging Market Unconstrained Fixed Income Fund | Total Return Credit Fund | |||||||||||||||||||||||||
Net realized Gain | ||||||||||||||||||||||||||||||||
(Loss) From: | ||||||||||||||||||||||||||||||||
Credit Risk: | ||||||||||||||||||||||||||||||||
Credit default swaps | $ | (1,351) | $ | 28,982 | $ | (58,006) | $ | — | $ | (1,218,620) | $ | 178,183 | $ | (52,839) | ||||||||||||||||||
Equity Risk: | ||||||||||||||||||||||||||||||||
Written options | — | 2,250 | (51,731) | (180,984) | 3,930,924 | — | (44,508) | |||||||||||||||||||||||||
Purchased options(2) | — | (11,275) | 48,186 | 374,288 | (5,733,321) | (625) | 243,986 | |||||||||||||||||||||||||
Interest Rate Risk: | ||||||||||||||||||||||||||||||||
Financial futures contracts | (13,366) | 9,607 | (27,593) | (38,927) | (15,636,041) | (76,676) | (320,329) | |||||||||||||||||||||||||
Interest rate swaps | 359,256 | (13,879) | — | — | 675,152 | (74,498) | — | |||||||||||||||||||||||||
Total Return swaps | 86,180 | — | — | — | — | — | — | |||||||||||||||||||||||||
Foreign currency exchange risk: | ||||||||||||||||||||||||||||||||
Forward foreign currency exchange contracts(3) | 5,252,390 | 142,618 | 602,701 | 861,440 | 36,336,891 | 287,987 | 696,885 | |||||||||||||||||||||||||
Cross currency swaps | — | — | — | — | — | 163,727 | — | |||||||||||||||||||||||||
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|
|
|
|
|
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|
|
|
|
|
|
| |||||||||||||||||||
Total | $ | 5,683,109 | $ | 158,303 | $ | 513,557 | $ | 1,015,817 | $ | 18,354,985 | $ | 478,098 | $ | 523,195 | ||||||||||||||||||
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141 |
NOTES TO FINANCIAL STATEMENTS
|
Derivative Instruments Categorized by Risk Exposure | Emerging Market Select Bond Fund | Emerging Market Corporate Bond Fund | Global High Yield Bond Fund | Global Convertible Bond Fund | Absolute Return Fund | Emerging Market Unconstrained Fixed Income Fund | Total Return Credit Fund | |||||||||||||||||||||||||||||
Net Change in Unrealized | ||||||||||||||||||||||||||||||||||||
Credit Risk: | ||||||||||||||||||||||||||||||||||||
Credit default swaps | $ | (627) | $ | 1,975 | $ | 9,060 | $ | — | $ | (280,917) | $ | (1,495) | $ | 30,547 | ||||||||||||||||||||||
Equity Risk: | ||||||||||||||||||||||||||||||||||||
Call options purchased(4) | — | 141 | — | (27,071) | (252,000) | — | (21,390) | |||||||||||||||||||||||||||||
Put options purchased(4) | — | — | — | 25,760 | — | — | — | |||||||||||||||||||||||||||||
Written options | — | — | — | (10,240) | — | — | — | |||||||||||||||||||||||||||||
Interest Rate Risk: | ||||||||||||||||||||||||||||||||||||
Call options purchased(4) | — | — | — | — | — | — | — | |||||||||||||||||||||||||||||
Financial futures contracts | 2,490 | 7,160 | (151) | — | (1,847,584) | (859) | (9,604) | |||||||||||||||||||||||||||||
Interest rate swaps | 804,960 | 15,081 | — | — | (374,982) | (82,508) | — | |||||||||||||||||||||||||||||
Total return swaps | 445,526 | — | — | — | — | — | — | |||||||||||||||||||||||||||||
Foreign currency exchange risk: | ||||||||||||||||||||||||||||||||||||
Put options purchased(4) | — | — | — | — | — | — | — | |||||||||||||||||||||||||||||
Forward foreign currency exchange contracts(5) | (933,632) | 18,317 | (26,782) | (120,410) | (4,596,935) | (66,481) | 194,018 | |||||||||||||||||||||||||||||
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|
| |||||||||||||||||||||||
Total | $ | 318,717 | $ | 42,674 | $ | (17,873) | $ | (131,961) | $ | (7,352,418) | $ | (151,343) | $ | 193,571 | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(1) For open derivative instruments as of September 30, 2015, see the preceding tables on the Schedule of Portfolio Investments for credit contracts, foreign currency exchange contracts and interest rate contracts.
(2) Included in net realized gains/(losses) on investment transactions on Statement of Operations.
(3) Included in net realized gains/(losses) on foreign currency transactions on Statement of Operations.
(4) Included in net change in unrealized appreciation/(depreciation) on investments on Statement of Operations.
(5) Included in net change in unrealized appreciation/(depreciation) on foreign currency on Statement of Operations.
142 |
NOTES TO FINANCIAL STATEMENTS
|
For the year or period ended September 30, 2015, the average volume of derivative activities are as follows:
Emerging Market Select Bond Fund | Emerging Market Corporate Bond Fund | Global High Yield Bond Fund | Global Convertible Bond Fund | Absolute Return Fund | Emerging Market Unconstrained Fixed Income Fund | Total Return Credit Fund | ||||||||||||||||||||||
Futures short position (contracts) | 16 | — | 5 | 2 | 1,727 | 14 | 192 | |||||||||||||||||||||
Futures long position (contracts) | 3 | 18 | — | — | 186 | — | 1 | |||||||||||||||||||||
Forward foreign currency exchange contracts purchased (U.S. dollar amounts) | $ | 54,179,028 | $ | 2,185,837 | $ | 6,614,435 | $ | 7,217,388 | $ | 371,438,803 | $ | 12,801,720 | $ | 13,714,372 | ||||||||||||||
Forward foreign currency exchange contracts sold (U.S. dollar amounts) | 51,175,178 | 1,054,105 | 195,544 | 598,226 | 29,248,898 | 9,741,770 | 4,684,045 | |||||||||||||||||||||
Purchased options (Cost $) | — | 2,578 | 19,618 | 93,646 | 567,700 | — | 39,994 | |||||||||||||||||||||
Written Options (Premium received $) | — | — | 6,649 | 14,044 | 217,868 | — | 7,190 | |||||||||||||||||||||
Interest rate swaps (Notional Amount in U.S. Dollars) | 31,253,628 | 316,684 | — | — | 212,148,748 | 9,081,265 | — | |||||||||||||||||||||
Credit default swaps (Notional Amount in U.S. Dollars) | 193,750 | 763,092 | 320,464 | — | 139,207,381 | 3,506,865 | 1,912,815 | |||||||||||||||||||||
Total return swaps (Notional Amount in U.S. Dollars) | 868,632 | — | — | — | — | — | — |
Counterparty Credit Risk:
Derivatives may also expose a Fund to counterparty risk (the risk that the derivative counterparty will not fulfill its contractual obligations). To the extent amounts due to the Funds from their counterparties are not fully collateralized contractually or otherwise, the Funds bear the risk of loss from counterparty non-performance. A Fund’s maximum risk of loss from counterparty credit risk on OTC derivatives is generally the aggregate unrealized gain in excess of any collateral pledged by the counterparty to the Funds.
For foreign currency exchange contracts, risks may arise upon entering into these contracts from the potential inability of the counterparties to meet the terms of their contracts, or if the foreign currency rates change unfavorably.
The Funds’ risk of loss from counterparty credit risk on OTC derivatives is generally limited to the aggregate unrealized gain netted against any collateral held by the Funds. For OTC purchased options, the Funds bear the risk of loss in the amount of the premiums paid and change in market value of the options should the counterparty not perform under the contracts. Written options by the Funds do not give rise to counterparty credit risk, as written options obligate the Funds to perform and not the counterparty. Counterparty risk related to exchange traded financial futures contracts and options is minimal because of the protection against defaults provided by the exchange on which they trade.
With exchange-traded purchased options and futures and centrally cleared swaps, there is less counterparty credit risk to the Funds since the exchange or clearinghouse, as counterparty to such instruments, guarantees against a possible default. The clearinghouse stands between the buyer and the seller of the contract; therefore, credit risk is limited to failure of the clearinghouse. While offset rights may exist under applicable law, the Fund does not have a contractual right of offset against a clearing broker or clearinghouse in the event of a default (including the bankruptcy or insolvency) of the clearing broker or clearinghouse. Additionally, credit risk exists in exchange-traded futures and centrally cleared swaps with respect to initial and variation margin that is held in a clearing broker’s customer accounts. While clearing brokers are required to segregate customer margin from their own
143 |
NOTES TO FINANCIAL STATEMENTS
|
assets, in the event that a clearing broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the clearing broker for all its clients, typically the shortfall would be allocated on a pro rata basis across all the clearing broker’s customers, potentially resulting in losses to the Funds.
In order to better define its contractual rights and to secure rights that will help the Funds mitigate its counterparty risk, the Funds may enter into an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”) or similar agreement with its derivative contract counterparties. An ISDA Master Agreement is a bilateral agreement between a Fund and a counterparty that governs certain OTC derivatives and typically contains, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. Under an ISDA Master Agreement, a Fund may, under certain circumstances, offset with the counterparty certain derivative financial instruments’ payables and/or receivables with collateral held and/or posted and create one single net payment. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of default including the bankruptcy or insolvency of the counterparty. However, bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against the right of offset in bankruptcy, insolvency or other events. In addition, certain ISDA Master Agreements allow counterparties to OTC derivatives to terminate derivative contracts prior to maturity in the event a Fund’s net assets decline by a stated percentage or the Fund fails to meet the terms of its ISDA Master Agreements, which would cause the Fund to accelerate payment of any net liability owed to the counterparty.
Collateral Requirements:
For derivatives traded under an ISDA Master Agreement, the collateral requirements are typically calculated by netting the mark to market amount for each transaction under such agreement and comparing that amount to the value of any collateral currently pledged by the Fund and the counterparty.
Cash collateral that has been pledged to cover obligations of a Fund and cash collateral received from the counterparty, if any, is reported separately on the Statement of Assets and Liabilities as cash pledged as cash due to broker for options contracts, cash at broker for financial futures contracts and segregated cash and foreign currency for options contracts and swap contracts and cash received as payable to broker, respectively. Non-cash collateral pledged by the Fund, if any, is noted in the Schedule of Investments. Generally, the amount of collateral due from or to a party has to exceed a minimum transfer amount threshold (e.g. $500,000) before a transfer is required, which is determined at the close of business of a Fund and any additional required collateral is delivered to/pledged by a Fund on the next business day. Typically, a Fund and its counterparties are not permitted to sell, re-pledge or use the collateral they receive. To the extent amounts due to a Fund from its counterparties are not fully collateralized, contractually or otherwise, a Fund bears the risk of loss from counterparty non-performance. The Funds attempt to mitigate counterparty risk by entering into agreements only with counterparties that it believes have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties.
For financial reporting purposes, the Funds do not offset derivative assets and derivative liabilities that are subject to netting arrangements in the Statement of Assets and Liabilities.
144 |
NOTES TO FINANCIAL STATEMENTS |
At September 30, 2015, the Funds’ derivative assets and liabilities (by type) on a gross basis are as follows:
Emerging Market Select Bond Fund | Assets | Liabilities | ||||||||
Derivative Financial Instruments: | ||||||||||
Swaps | $ | 88,138 | $ | 508 | ||||||
Financial Futures Contracts | 11,938 | 9,448 | ||||||||
Foreign Currency Exchange Contracts | 691,285 | 766,839 | ||||||||
|
|
|
| |||||||
Total derivative assets and liabilities in the Statement of Assets and Liabilities | 791,361 | 776,795 | ||||||||
|
|
|
| |||||||
Derivatives not subject to a master netting agreement or similar agreement (“MNA”) | — | — | ||||||||
|
|
|
| |||||||
Total derivative assets and liabilities subject to a MNA | $ | 791,361 | $ | 776,795 | ||||||
|
|
|
| |||||||
Emerging Market Corporate Bond Fund | Assets | Liabilities | ||||||||
Derivative Financial Instruments: | ||||||||||
Swaps | $ | — | $ | 31,194 | ||||||
Financial Futures Contracts | 17,630 | — | ||||||||
Call Options Purchased | 3,094 | — | ||||||||
Foreign Currency Exchange Contracts | 104,442 | 49,916 | ||||||||
|
|
|
| |||||||
Total derivative assets and liabilities in the Statement of Assets and Liabilities | 125,166 | 81,110 | ||||||||
|
|
|
| |||||||
Derivatives not subject to a MNA or similar agreement | — | — | ||||||||
|
|
|
| |||||||
Total derivative assets and liabilities subject to a MNA | $ | 125,166 | $ | 81,110 | ||||||
|
|
|
| |||||||
Global High Yield Bond Fund | Assets | Liabilities | ||||||||
Derivative Financial Instruments: | ||||||||||
Swaps | $ | 7,068 | $ | 3,677 | ||||||
Foreign Currency Exchange Contracts | 73,490 | 341 | ||||||||
|
|
|
| |||||||
Total derivative assets and liabilities in the Statement of Assets and Liabilities | 80,558 | 4,018 | ||||||||
|
|
|
| |||||||
Derivatives not subject to a MNA or similar agreement | — | — | ||||||||
|
|
|
| |||||||
Total derivative assets and liabilities subject to a MNA | $ | 80,558 | $ | 4,018 | ||||||
|
|
|
| |||||||
Global Convertible Bond Fund | Assets | Liabilities | ||||||||
Derivative Financial Instruments: | ||||||||||
Call Options Purchased | $ | 48,128 | $ | — | ||||||
Foreign Currency Exchange Contracts | 44,615 | 2 | ||||||||
|
|
|
| |||||||
Total derivative assets and liabilities in the Statement of Assets and Liabilities | 92,743 | 2 | ||||||||
|
|
|
| |||||||
Derivatives not subject to a MNA or similar agreement | — | — | ||||||||
|
|
|
| |||||||
Total derivative assets and liabilities subject to a MNA | $ | 92,743 | $ | 2 | ||||||
|
|
|
|
145 |
NOTES TO FINANCIAL STATEMENTS
|
Absolute Return Fund | Assets | Liabilities | ||||||||
Derivative Financial Instruments: | ||||||||||
Swaps | $ | 2,676,566 | $ | 6,355,576 | ||||||
Financial Futures Contracts | 44,105 | 1,520,936 | ||||||||
Call Options Purchased | 9,243 | — | ||||||||
Foreign Currency Exchange Contracts | 5,088,564 | 999,184 | ||||||||
|
|
|
| |||||||
Total derivative assets and liabilities in the Statement of Assets and Liabilities | 7,818,478 | 8,875,696 | ||||||||
|
|
|
| |||||||
Derivatives not subject to a MNA or similar agreement | — | — | ||||||||
|
|
|
| |||||||
Total derivative assets and liabilities subject to a MNA | $ | 7,818,478 | $ | 8,875,696 | ||||||
|
|
|
| |||||||
Emerging Market Unconstrained Fixed Income Fund | Assets | Liabilities | ||||||||
Derivative Financial Instruments: | ||||||||||
Swaps | $ | 122,565 | $ | 395,372 | ||||||
Financial Futures Contracts | 235 | 1,094 | ||||||||
Foreign Currency Exchange Contracts | 421,608 | 488,089 | ||||||||
|
|
|
| |||||||
Total derivative assets and liabilities in the Statement of Assets and Liabilities | 544,408 | 884,555 | ||||||||
|
|
|
| |||||||
Derivatives not subject to a MNA or similar agreement | — | — | ||||||||
|
|
|
| |||||||
Total derivative assets and liabilities subject to a MNA | $ | 544,408 | $ | 884,555 | ||||||
|
|
|
| |||||||
Total Return Credit Fund | Assets | Liabilities | ||||||||
Derivative Financial Instruments: | ||||||||||
Swaps | $ | 140,379 | $ | 2,206 | ||||||
Financial Futures Contracts | 4,453 | 14,057 | ||||||||
Call Options Purchased | 25,958 | — | ||||||||
Foreign Currency Exchange Contracts | 388,802 | 194,784 | ||||||||
|
|
|
| |||||||
Total derivative assets and liabilities in the Statement of Assets and Liabilities | 559,592 | 211,047 | ||||||||
|
|
|
| |||||||
Derivatives not subject to a MNA or similar agreement | — | — | ||||||||
|
|
|
| |||||||
Total derivative assets and liabilities subject to a MNA | $ | 559,592 | $ | 211,047 | ||||||
|
|
|
|
146 |
NOTES TO FINANCIAL STATEMENTS |
The following tables present the Funds’ derivative assets by counterparty net of amounts available for offset under a MNA and net of the related collateral received by the Funds as of September 30, 2015:
Amount of Assets | Derivatives | Non-cash | Cash | Net Amount | ||||||||||||||||||||||||||||
Subject to a MNA | Available for | Collateral | Collateral | of Derivative | ||||||||||||||||||||||||||||
Emerging Market Select Bond Fund | by Counterparty | Offset1 | Received2 | Received2 | Assets3 | |||||||||||||||||||||||||||
Counterparty | ||||||||||||||||||||||||||||||||
BNP Paribas SA | $ | 10,288 | $ | — | $ | — | $ | — | $ | 10,288 | ||||||||||||||||||||||
Citigroup Global Markets, Inc. | 11,938 | (9,448 | ) | — | — | 2,490 | ||||||||||||||||||||||||||
Citibank, N.A. | 691,285 | (691,285 | ) | — | — | — | ||||||||||||||||||||||||||
Deutsche Bank AG | 71,013 | (508 | ) | — | (70,505 | ) | — | |||||||||||||||||||||||||
JPMorgan Chase Bank, N.A. | 6,837 | — | — | — | 6,837 | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||
Total | $ | 791,361 | $ | (701,241 | ) | $ | — | $ | (70,505 | ) | $ | 19,615 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||
Amount of Assets | Derivatives | Non-cash | Cash | Net Amount | ||||||||||||||||||||||||||||
Emerging Market Corporate | Subject to a MNA | Available for | Collateral | Collateral | of Derivative | |||||||||||||||||||||||||||
Bond Fund | by Counterparty | Offset1 | Received2 | Received2 |
| Assets3 | ||||||||||||||||||||||||||
Counterparty | ||||||||||||||||||||||||||||||||
Citibank, N.A. | $ | 104,442 | $ | (49,916 | ) | $ | — | $ | — | $ | 54,526 | |||||||||||||||||||||
Citigroup Global Markets, Inc. | 20,724 | — | — | — | 20,724 | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||
Total | $ | 125,166 | $ | (49,916 | ) | $ | — | $ | — | $ | 75,250 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||
Amount of Assets | Derivatives | Non-cash | Cash | Net Amount | ||||||||||||||||||||||||||||
Subject to a MNA | Available for | Collateral | Collateral | of Derivative | ||||||||||||||||||||||||||||
Global High Yield Bond Fund | by Counterparty | Offset1 | Received2 | Received2 | Assets3 | |||||||||||||||||||||||||||
Counterparty | ||||||||||||||||||||||||||||||||
Citibank, N.A. | $ | 76,502 | $ | (341 | ) | $ | — | $ | — | $ | 76,161 | |||||||||||||||||||||
Morgan Stanley & Co. | 4,056 | — | — | — | 4,056 | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||
Total | $ | 80,558 | $ | (341 | ) | $ | — | $ | — | $ | 80,217 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||
Amount of Assets | Derivatives | Non-cash | Cash | Net Amount | ||||||||||||||||||||||||||||
Subject to a MNA | Available for | Collateral | Collateral | of Derivative | ||||||||||||||||||||||||||||
Global Convertible Bond Fund | by Counterparty | Offset1 | Received2 | Received2 | Assets3 | |||||||||||||||||||||||||||
Counterparty | ||||||||||||||||||||||||||||||||
Citibank, N.A. | $ | 44,615 | $ | (2 | ) | $ | — | $ | — | $ | 44,613 | |||||||||||||||||||||
Credit Suisse Group AG | 48,128 | — | — | — | 48,128 | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||
Total | $ | 92,743 | $ | (2 | ) | $ | — | $ | — | $ | 92,741 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||
Amount of Assets | Derivatives | Non-cash | Cash | Net Amount | ||||||||||||||||||||||||||||
Subject to a MNA | Available for | Collateral | Collateral | of Derivative | ||||||||||||||||||||||||||||
Absolute Return Fund | by Counterparty | Offset1 | Received2 | Received2 | Assets3 | |||||||||||||||||||||||||||
Counterparty | ||||||||||||||||||||||||||||||||
Barclays Bank Plc | $ | 50,350 | $ | (50,350 | ) | $ | — | $ | — | $ | — | |||||||||||||||||||||
BNP Paribas SA | 969,674 | (355,545 | ) | — | (614,129 | ) | — | |||||||||||||||||||||||||
Citibank, N.A. | 5,800,792 | (1,619,753 | ) | — | (2,710,000 | ) | 1,471,039 | |||||||||||||||||||||||||
Credit Suisse Securities (USA) LLC | 53,348 | (53,348 | ) | — | — | — | ||||||||||||||||||||||||||
Deutsche Bank AG | 19,594 | (19,594 | ) | — | — | — | ||||||||||||||||||||||||||
JPMorgan Chase Bank, N.A. | 526,344 | (526,344 | ) | — | — | — | ||||||||||||||||||||||||||
Morgan Stanley & Co. | 398,376 | (330,495 | ) | — | (15,000 | ) | 52,881 | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||
Total | $ | 7,818,478 | $ | (2,955,429 | ) | $ | — | $ | (3,339,129 | ) | $ | 1,523,920 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
147 |
NOTES TO FINANCIAL STATEMENTS
|
Emerging Market Unconstrained Fixed Income Fund | Amount of Assets Subject to a MNA by Counterparty | Derivatives Available for Offset1 | Non-cash Collateral Received2 | Cash Collateral Received2 | Net Amount of Derivative Assets3 | |||||||||||||||||||||||||||
Counterparty | ||||||||||||||||||||||||||||||||
BNP Paribas SA | $ | 121,637 | $ | (15,087 | ) | $ | — | $ | — | $ | 106,550 | |||||||||||||||||||||
Citigroup Global Markets Inc. | 928 | (928 | ) | — | — | — | ||||||||||||||||||||||||||
Citibank N.A. | 421,608 | (421,608 | ) | — | — | — | ||||||||||||||||||||||||||
Credit Suisse Securities (USA) LLC | 235 | (235 | ) | — | — | — | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||
Total | $ | 544,408 | $ | (437,858 | ) | $ | — | $ | — | $ | 106,550 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||
Total Return Credit Fund | Amount of Assets Subject to a MNA by Counterparty | Derivatives Available for Offset1 | Non-cash Collateral Received2 | Cash Collateral Received2 | Net Amount of Derivative Assets3 | |||||||||||||||||||||||||||
Counterparty | ||||||||||||||||||||||||||||||||
Citibank N.A. | $ | 390,610 | $ | (194,784 | ) | $ | — | $ | — | $ | 195,826 | |||||||||||||||||||||
Citigroup Global Markets Inc. | 134,142 | — | — | — | 134,142 | |||||||||||||||||||||||||||
Credit Suisse Securities (USA) LLC | 30,411 | (14,057 | ) | — | — | 16,354 | ||||||||||||||||||||||||||
Morgan Stanley & Co. | 4,429 | — | — | — | 4,429 | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||
Total | $ | 559,592 | $ | (208,841 | ) | $ | — | $ | — | $ | 350,751 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
1 The amount of derivatives for offset is limited to the amount of assets and/or liabilities that are subject to a MNA.
2 Excess of collateral received from the individual counterparty may not be shown for financial reporting purposes.
3 Net amount represents the net amount receivable from the counterparty in the event of default.
The following tables present the Funds’ derivative liabilities by counterparty net of amounts available for offset under a MNA and net of the related collateral pledged by the Funds as of September 30, 2015:
Emerging Market Select Bond Fund | Amount of Liabilities Subject to a MNA by Counterparty | Derivatives Available for Offset1 | Non-cash Collateral Pledged2 | Cash Collateral Pledged2 | Net Amount of Derivative Liabilities3 | |||||||||||||||||||||||||||
Counterparty | ||||||||||||||||||||||||||||||||
Citigroup Global Markets, Inc. | $ | 9,448 | $ | (9,448 | ) | $ | — | $ | — | $ | — | |||||||||||||||||||||
Citibank, N.A. | 766,839 | (691,285 | ) | — | — | 75,554 | ||||||||||||||||||||||||||
Deutsche Bank AG | 508 | (508 | ) | — | — | — | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||
Total | $ | 776,795 | $ | (701,241 | ) | $ | — | $ | — | $ | 75,554 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||
Emerging Market Corporate Bond Fund | Amount of Liabilities Subject to a MNA by Counterparty | Derivatives Available for Offset1 | Non-cash Collateral Pledged2 | Cash Collateral Pledged2 | Net Amount of Derivative Liabilities3 | |||||||||||||||||||||||||||
Counterparty | ||||||||||||||||||||||||||||||||
BNP Paribas SA | $ | 31,194 | $ | — | $ | — | $ | — | $ | 31,194 | ||||||||||||||||||||||
Citibank, N.A. | 49,916 | (49,916 | ) | — | — | — | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||
Total | $ | 81,110 | $ | (49,916 | ) | $ | — | $ | — | $ | 31,194 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||
Global High Yield Bond Fund | Amount of Liabilities Subject to a MNA by Counterparty | Derivatives Available for Offset1 | Non-cash Collateral Pledged2 | Cash Collateral Pledged2 | Net Amount of Derivative Liabilities3 | |||||||||||||||||||||||||||
Counterparty | ||||||||||||||||||||||||||||||||
Barclays Bank Plc | $ | 2,059 | $ | — | $ | — | $ | — | $ | 2,059 | ||||||||||||||||||||||
Citibank, N.A. | 341 | (341 | ) | — | — | — | ||||||||||||||||||||||||||
JPMorgan Chase Bank N.A. | 1,618 | — | — | — | 1,618 | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||
Total | $ | 4,018 | $ | (341 | ) | $ | — | $ | — | $ | 3,677 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
148 |
NOTES TO FINANCIAL STATEMENTS
|
Global Convertible Bond Fund | Amount of Liabilities Subject to a MNA by Counterparty | Derivatives Available for Offset1 | Non-cash Collateral Pledged2 | Cash Collateral Pledged2 | Net Amount of Derivative Liabilities3 | |||||||||||||||||||||||||||
Counterparty | ||||||||||||||||||||||||||||||||
Citibank, N.A. | $ | 2 | $ | (2 | ) | $ | — | $ | — | $ | — | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||
Total | $ | 2 | $ | (2 | ) | $ | — | $ | — | $ | — | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||
Absolute Return Fund | Amount of Liabilities Subject to a MNA by Counterparty | Derivatives Available for Offset1 | Non-cash Collateral Pledged2 | Cash Collateral Pledged2 | Net Amount of Derivative Liabilities3 | |||||||||||||||||||||||||||
Counterparty | ||||||||||||||||||||||||||||||||
Barclays Bank Plc | $ | 732,501 | $ | (50,350 | ) | $ | — | $ | — | $ | 682,151 | |||||||||||||||||||||
BNP Paribas SA | 355,545 | (355,545 | ) | — | — | — | ||||||||||||||||||||||||||
Citibank, N.A. | 1,619,753 | (1,619,753 | ) | — | — | — | ||||||||||||||||||||||||||
Credit Suisse Securities (USA) LLC | 1,520,936 | (53,348 | ) | — | (1,467,588 | ) | — | |||||||||||||||||||||||||
Deutsche Bank AG | 97,102 | (19,594 | ) | — | (68,000 | ) | 9,508 | |||||||||||||||||||||||||
JPMorgan Chase Bank, N.A. | 4,219,364 | (526,344 | ) | — | (800,000 | ) | 2,893,020 | |||||||||||||||||||||||||
Morgan Stanley & Co. | 330,495 | (330,495 | ) | — | — | — | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||
Total | $ | 8,875,696 | $ | (2,955,429 | ) | $ | — | $ | (2,335,588 | ) | $ | 3,584,679 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||
Emerging Market Unconstrained Fixed Income Fund | Amount of Liabilities Subject to a MNA by Counterparty | Derivatives Available for Offset1 | Non-cash Collateral Pledged2 | Cash Collateral Pledged2 | Net Amount of Derivative Liabilities3 | |||||||||||||||||||||||||||
Counterparty | ||||||||||||||||||||||||||||||||
Barclays Bank Plc | $ | 57,295 | $ | — | $ | — | $ | — | $ | 57,295 | ||||||||||||||||||||||
BNP Paribas SA | 15,087 | (15,087 | ) | — | — | — | ||||||||||||||||||||||||||
Citigroup Global Markets Inc. | 26,141 | (928 | ) | — | — | 25,213 | ||||||||||||||||||||||||||
Citibank N.A. | 784,938 | (421,608 | ) | — | — | 363,330 | ||||||||||||||||||||||||||
Credit Suisse Securities (USA) LLC | 1,094 | (235 | ) | — | (859 | ) | — | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||
Total | $ | 884,555 | $ | (437,858 | ) | $ | — | $ | (859 | ) | $ | 445,838 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||
Total Return Credit Fund | Amount of Liabilities Subject to a MNA by Counterparty | Derivatives Available for Offset1 | Non-cash Collateral Pledged2 | Cash Collateral Pledged2 | Net Amount of Derivative Liabilities3 | |||||||||||||||||||||||||||
Counterparty | ||||||||||||||||||||||||||||||||
Barclays Bank Plc | $ | 1,250 | $ | — | $ | — | $ | — | $ | 1,250 | ||||||||||||||||||||||
Citibank N.A. | 194,784 | (194,784 | ) | — | — | — | ||||||||||||||||||||||||||
Credit Suisse Securities (USA) LLC | 14,057 | (14,057 | ) | — | — | — | ||||||||||||||||||||||||||
JPMorgan Chase Bank N.A. | 956 | — | — | — | 956 | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||
Total | $ | 211,047 | $ | (208,841 | ) | $ | — | $ | — | $ | 2,206 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
1 The amount of derivatives for offset is limited to the amount of assets and/or liabilities that are subject to a MNA.
2 Excess of collateral pledged to the individual counterparty may not be shown for financial reporting purposes.
3 Net amount represents the net amount payable to the counterparty in the event of default.
Credit Enhancement:
Certain obligations held by the Funds have credit enhancement or liquidity features that may, under certain circumstances, provide for repayment of principal and interest on the obligation upon demand date, interest rate reset date or final maturity. These enhancements may include: letters of credit; liquidity guarantees; security purchase agreements; tender option purchase agreements and third party insurance.
149 |
NOTES TO FINANCIAL STATEMENTS
|
Offering Costs:
Upon commencement of operations, offering costs associated with the establishment of the Funds were incurred by the Funds. Offering costs are amortized and included in expenses over a 12-month period beginning with the commencement of operations and are included in the Statements of Operations.
Investment Transactions and Income:
Investment transactions are recorded on one business day after trade date, except on the last day of each fiscal quarter, when they are recorded on trade date. Dividend income is recorded on the ex-dividend date. Realized gains and losses from investment transactions are calculated based on the cost of the specific security (also known as identified cost basis). Interest income is recognized on the accrual basis and includes, where applicable, the amortization or accretion of premium or discount using the effective yield method.
Expense, Investment Income and Gain/Loss Allocation:
Each Fund pays the expenses that are directly related to its operations, such as custodian fees or advisory fees. Expenses incurred by the Trust, such as trustee or legal fees, are allocated among each of the Funds either proportionately based upon each Fund’s relative net assets or using another reasonable basis such as equally across all Funds, depending on the nature of the expense. Individual share classes within a Fund are charged expenses specific to that class, such as distribution fees and transfer agent fees. Within a Fund, expenses other than class specific expenses are allocated daily to each class based upon the proportion of relative net assets. Investment income and realized and unrealized gains or losses are allocated to each class of shares based on relative net assets.
Distributions to Shareholders:
Each Fund pays out any income that it receives, less expenses, in the form of dividends and capital gains to its shareholders. Income dividends are declared daily and paid monthly. Dividends will also be paid at any time during the month upon total redemption of shares in an account. Capital gain distributions are declared and paid at least annually. Distributions to shareholders are recorded on the ex-dividend date. The amount of dividends and distributions are calculated based on federal income tax regulations, which may differ from US GAAP. These “book/tax” differences may be either temporary or permanent in nature. To the extent these differences are determined, as of the end of the tax year, to be permanent, they are reclassified within a Fund’s capital accounts based on their federal tax basis treatment.
Increase/(Decrease) Paid in Capital | Increase/(Decrease) Accumulated Net Investment Income | Increase/(Decrease) Accumulated Realized Gain/(Loss) | ||||||||||||||||||
Emerging Market Select Bond Fund | $ — | $(20,977,808) | $20,977,808 | |||||||||||||||||
Emerging Market Corporate Bond Fund | — | (265,099) | 265,099 | |||||||||||||||||
Global High Yield Bond Fund | — | (505,744) | 505,744 | |||||||||||||||||
Global Convertible Bond Fund | 455,895 | 336,999 | (792,894) | |||||||||||||||||
Absolute Return Fund | — | (19,241,895) | 19,241,895 | |||||||||||||||||
Emerging Market Unconstrained Fixed Income Fund | (39,936) | (640,314) | 680,250 | |||||||||||||||||
Total Return Credit Fund | (39,936) | (631,291) | 671,227 |
3. Agreements and Other Transactions with Affiliates:
The Trust has entered into an investment advisory agreement with RBC GAM (US) under which RBC GAM (US) manages each Fund’s assets and furnishes related office facilities, equipment, research and personnel. The agreement requires each Fund to pay RBC GAM (US) a monthly fee based upon average daily net assets. Under the terms of the agreement, RBC GAM (US) is entitled to receive fees based on a percentage of the average daily net assets of each of the Funds as follows:
150 |
NOTES TO FINANCIAL STATEMENTS
|
Annual Rate | |||||
Emerging Market Select Bond Fund | 0.75% | ||||
Emerging Market Corporate Bond Fund | 0.85% | ||||
Global High Yield Bond Fund | 0.70% | ||||
Global Convertible Bond Fund | 0.75% | ||||
Absolute Return Fund | 0.75% | ||||
Emerging Market Unconstrained Fixed Income Fund | 1.15% | ||||
Total Return Credit Fund | 0.85% |
RBC GAM (US) has contractually agreed to waive fees and/or make payments in order to keep total operating expenses of the Funds to the following levels pursuant to an expense limitation agreement.
Class A Annual Rate |
| Class C Annual Rate |
| Class I | ||||||||||
Emerging Market Select Bond Fund | 1.15% | N/A | 0.90% | |||||||||||
Emerging Market Corporate Bond Fund | 0.83%* | N/A | 0.58%* | |||||||||||
Global High Yield Bond Fund | 0.70%* | N/A | 0.45%* | |||||||||||
Global Convertible Bond Fund | N/A | N/A | 0.85% | |||||||||||
Absolute Return Fund | 1.20% | 1.95% | 0.95% | |||||||||||
Emerging Market Unconstrained Fixed Income Fund | N/A | N/A | 1.25% | |||||||||||
Total Return Credit Fund | N/A | N/A | 1.00% |
* | Prior to August 3, 2015, the annual rate for Emerging Markets Corporate Bond Fund and Global High Yield Fund, under the expense limitation agreement was 1.00% and 0.80% for Class I and 1.25% and 1.05% for Class A. |
This expense limitation agreement is in place until January 31, 2017 (October 31, 2017 for Emerging Market Corporate Bond Fund and Global High Yield Bond Fund) and shall continue for additional one-year terms unless terminated by either party at any time. Each Fund will carry forward, for a period not to exceed 3 years from the end of the fiscal year in which a waiver or reimbursement is made by RBC GAM (US), any expenses in excess of the expense limitation and repay RBC GAM (US) such amounts, provided the Fund is able to effect such repayment and remain in compliance with the expense limitation. At September 30, 2015, the amounts subject to possible recoupment under the expense limitation agreement were $574,932, $455,979, $475,806, $414,518, $243,945, $156,314 and $153,788 for the Emerging Market Select Bond Fund, Emerging Market Corporate Bond Fund, Global High Yield Bond Fund, Global Convertible Bond Fund, Absolute Return Fund, Emerging Market Unconstrained Fixed Income Fund and Total Return Credit Fund, respectively. For the year ended September 30, 2015, the only recoupment of previously waived expenses was $3,198 for the Absolute Return Fund.
Each of the Funds are sub-advised by BlueBay, and the Global High Yield Bond Fund, Absolute Return Fund and Total Return Credit Fund are also sub-advised by BlueBay US, which are wholly-owned subsidiaries of Royal Bank of Canada, which is also the parent company of the Advisor. The Sub-Advisors are paid by the Advisor out of the advisory fee paid by the Funds to the Advisor.
RBC GAM (US) serves as co-administrator to the Funds. BNY Mellon serves as co-administrator and fund accounting agent. Services provided under the administrative services agreement include providing day-to-day administration of matters related to the Funds, maintenance of their records and the preparation of reports. Under the terms of the administrative services agreement, RBC GAM (US) does not receive a fee for its role as co-administrator. BNY Mellon receives a fee for its services payable by the Funds based on the Funds’ average net assets. BNY Mellon’s fee is included with “Accounting fees” in the Statements of Operations.
Certain Officers and Trustees of the Trust are affiliated with the Advisor. Such Officers and Trustees receive no compensation from the Funds for serving in their respective roles.
151 |
NOTES TO FINANCIAL STATEMENTS
|
The Trust currently pays each of the independent Trustees (Trustees of the Trust who are not directors, officers or employees of the Advisor, either Co-Administrator or Distributor) an annual retainer of $41,500 ($46,000 effective October 1, 2015). The Board Chairperson and Audit Committee Chairperson each receive an additional retainer of $2,500 annually, and all other trustees serving as Chair of a Board committee each receive an additional retainer of $1,000 annually. In addition, Independent Trustees receive a quarterly meeting fee of $5,500 ($6,000 effective October 1, 2015) for each in-person Board meeting attended, a meeting fee of $1,500 for each telephonic or Special Board meeting attended, a $1,500 fee for each Board committee meeting attended, and are reimbursed for all out-of-pocket expenses relating to attendance at such meetings.
In conjunction with the launch of each of the Funds, the Advisor invested seed capital in each Fund to provide each Fund with its initial investment assets. The table below shows, as of September 30, 2015, each Fund’s net assets, the shares (if any) of each Fund held by the Advisor, and the percent of total net assets represented by the Advisor’s investment.
Net Assets | Shares held by Advisor | % of Fund | ||||||||||||||
Emerging Market Select Bond Fund | $ | 26,829,776 | 566,893 | 18.3% | ||||||||||||
Emerging Market Corporate Bond Fund | $ | 19,334,239 | 1,857,120 | 89.5% | ||||||||||||
Global High Yield Bond Fund | $ | 30,166,642 | 2,619,452 | 85.3% | ||||||||||||
Global Convertible Bond Fund | $ | 20,979,137 | 1,485,252 | 72.1% | ||||||||||||
Emerging Market Unconstrained Fixed Income Fund | $ | 14,030,224 | 1,502,744 | 100.0% | ||||||||||||
Total Return Credit Fund | $ | 63,339,892 | 4,550,521 | 68.8% |
4. Fund Distribution:
Each of the Funds, except Global Convertible Bond Fund, Emerging Market Unconstrained Fixed Income Fund and Total Return Credit Fund, has adopted a Master Distribution 12b-1 Plan (the “Plan”) in which Quasar Distributors LLC (the “Distributor”) acts as the Funds’ distributor. The Plan permits each Fund to make payments for or to reimburse the Distributor for distribution-related costs and expenses of marketing shares of Class A covered under the Plan, and/or for providing shareholder services. The Plan does not apply to Class I. The following chart shows the current Plan fee rate for Class A and C.
Class A | Class C | |||||||||
12b-1 Plan Fee | 0.25%* | 1.00% |
* Under the 12b-1 plan, the maximum fee rate for Class A shares is 0.50% . Currently the Board has approved an annual limit of 0.25%.
Plan fees are based on average daily net assets of Class A and C. Up to 0.25% of each Plan fee may be designated as a service fee, as defined by the applicable rules of the Financial Industry Regulatory Authority. The Distributor, subject to applicable legal requirements, may waive a Plan fee voluntarily, in whole or in part. For the year ended September 30, 2015, there were no fees waived by the Distributor.
For the year or period ended September 30, 2015, the Distributor received commissions of $68,150 and $1,050 from front-end sales charges of Class A shares and Class C shares, respectively, of the Funds, of which $8,035 was paid to affiliated broker-dealers, and the remainder was either paid to unaffiliated broker-dealers or retained by the Distributor.
The Distributor did not receive any CDSC fees from Class A shares or Class C shares of the Funds during the year ended September 30, 2015.
152 |
NOTES TO FINANCIAL STATEMENTS
|
5. Securities Transactions:
The cost of securities purchased and proceeds from securities sold (excluding securities maturing less than one year from acquisition) for the year or period ended September 30, 2015 were as follows:
Purchases | Sales | |||||||||
Emerging Market Select Bond Fund | $ | 314,410,041 | $ | 452,063,958 | ||||||
Emerging Market Corporate Bond Fund | 32,495,557 | 34,664,385 | ||||||||
Global High Yield Bond Fund | 38,270,054 | 39,210,554 | ||||||||
Global Convertible Bond Fund | 16,404,315 | 17,310,020 | ||||||||
Absolute Return Fund | 985,250,823 | 855,364,347 | ||||||||
Emerging Market Unconstrained Fixed Income Fund | 110,535,833 | 100,599,937 | ||||||||
Total Return Credit Fund | 155,481,894 | 93,143,632 |
6. Capital Share Transactions:
The Trust is authorized to issue an unlimited number of shares of beneficial interest (“shares outstanding”) without par value. Transactions in capital stock of the Funds are summarized below:
Emerging Market Select Bond Fund | Emerging Market Corporate Bond Fund | |||||||||||||||||||||||||
For the Year Ended September 30, 2015 | For the Year Ended September 30, 2014(a) | For the Year Ended September 30, 2015 | For the Year Ended September 30, 2014(a) | |||||||||||||||||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||
Proceeds from shares issued | $ | 269,090 | $ | 10,000 | $ | — | $ | 10,000 | ||||||||||||||||||
Distributions reinvested | 223 | 339 | 358 | 339 | ||||||||||||||||||||||
Cost of shares redeemed | (15,655 | ) | — | — | — | |||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||
Change in Class A | $ | 253,658 | $ | 10,339 | $ | 358 | $ | 10,339 | ||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||
Class I | ||||||||||||||||||||||||||
Proceeds from shares issued | $ | 27,247,109 | $ | 59,330,955 | $ | 773,219 | $ | 2,655,426 | ||||||||||||||||||
Distributions reinvested | 1,413,597 | 6,954,514 | 730,658 | 806,477 | ||||||||||||||||||||||
Cost of shares redeemed | (206,528,080 | ) | (32,115,324 | ) | (3,281,516 | ) | (462,871 | ) | ||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||
Change in Class I | $ | (177,867,374 | ) | $ | 34,170,145 | $ | (1,777,639 | ) | $ | 2,999,032 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||
Change in net assets resulting from capital transactions | $ | (177,613,716 | ) | $ | 34,180,484 | $ | (1,777,281 | ) | $ | 3,009,371 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||
SHARE TRANSACTIONS: | ||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||
Issued | 28,585 | 1,017 | — | 1,026 | ||||||||||||||||||||||
Reinvested | 23 | 34 | 36 | 34 | ||||||||||||||||||||||
Redeemed | (1,695 | ) | — | — | — | |||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||
Change in Class A | 26,913 | 1,051 | 36 | 1,060 | ||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||
Class I | ||||||||||||||||||||||||||
Issued | 3,001,126 | 5,947,035 | 78,259 | 266,395 | ||||||||||||||||||||||
Reinvested | 145,885 | 698,184 | 74,574 | 80,798 | ||||||||||||||||||||||
Redeemed | (22,236,532 | ) | (3,221,660 | ) | (334,083 | ) | (46,845 | ) | ||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||
Change in Class I | (19,089,521 | ) | 3,423,559 | (181,250 | ) | 300,348 | ||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||
Change in shares resulting from capital transactions | (19,062,608 | ) | 3,424,610 | (181,214 | ) | 301,408 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
153 |
NOTES TO FINANCIAL STATEMENTS
|
Global High Yield Bond Fund | Global Convertible Bond Fund | |||||||||||||||||||||||||||||||
For the Year Ended September 30, 2015 | For the Year Ended September 30, 2014(a) | For the Year Ended September 30, 2015 | For the Year Ended September 30, 2014(a) | |||||||||||||||||||||||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||||||
Proceeds from shares issued | $ | 502,039 | $ | 29,148 | ||||||||||||||||||||||||||||
Distributions reinvested | 26,943 | 879 | ||||||||||||||||||||||||||||||
Cost of shares redeemed | (27,853 | ) | (438 | ) | ||||||||||||||||||||||||||||
|
|
|
| |||||||||||||||||||||||||||||
Change in Class A | $ | 501,129 | $ | 29,589 | ||||||||||||||||||||||||||||
|
|
|
| |||||||||||||||||||||||||||||
Class I | ||||||||||||||||||||||||||||||||
Proceeds from shares issued | $ | 2,152,873 | $ | 3,938,201 | $ | 5,627,705 | $ | 1,486,805 | ||||||||||||||||||||||||
Distributions reinvested | 2,044,784 | 2,023,725 | 2,176,604 | 1,859,797 | ||||||||||||||||||||||||||||
Cost of shares redeemed | (7,237,657 | ) | (984,372 | ) | (6,132,816 | ) | (1,458 | ) | ||||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||||||
Change in Class I | $ | (3,040,000 | ) | $ | 4,977,554 | $ | 1,671,493 | $ | 3,345,144 | |||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||||||
Change in net assets resulting from capital transactions | $ | (2,538,871 | ) | $ | 5,007,143 | $ | 1,671,493 | $ | 3,345,144 | |||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||||||
SHARE TRANSACTIONS: | ||||||||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||||||
Issued | 48,645 | 2,774 | ||||||||||||||||||||||||||||||
Reinvested | 2,709 | 83 | ||||||||||||||||||||||||||||||
Redeemed | (2,734 | ) | (41 | ) | ||||||||||||||||||||||||||||
|
|
|
| |||||||||||||||||||||||||||||
Change in Class A | 48,620 | 2,816 | ||||||||||||||||||||||||||||||
|
|
|
| |||||||||||||||||||||||||||||
Class I | ||||||||||||||||||||||||||||||||
Issued | 211,218 | 373,917 | 534,077 | 132,096 | ||||||||||||||||||||||||||||
Reinvested | 204,243 | 192,933 | 213,483 | 169,004 | ||||||||||||||||||||||||||||
Redeemed | (720,457 | ) | (93,292 | ) | (592,562 | ) | (130 | ) | ||||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||||||
Change in Class I | (304,996 | ) | 473,558 | 154,998 | 300,970 | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||||||
Change in shares resulting from capital transactions | (256,376 | ) | 476,374 | 154,998 | 300,970 | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||||||
Absolute Return Fund | Emerging Market Unconstrained Fixed Income Fund | Total Return Credit Fund | ||||||||||||||||||||||||||||||
For the Year Ended September 30, 2015 | For the Year Ended September 30, 2014(a) | For the Period Ended September 30, 2015(b) | For the Period Ended September 30, 2015(b) | |||||||||||||||||||||||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||||||
Proceeds from shares issued | $ | 2,353,720 | $ | 6,554,520 | ||||||||||||||||||||||||||||
Distributions reinvested | 250,430 | 21,435 | ||||||||||||||||||||||||||||||
Cost of shares redeemed | (4,311,932 | ) | (144,631 | ) | ||||||||||||||||||||||||||||
|
|
|
| |||||||||||||||||||||||||||||
Change in Class A | $ | (1,707,782 | ) | $ | 6,431,324 | |||||||||||||||||||||||||||
|
|
|
| |||||||||||||||||||||||||||||
Class C | ||||||||||||||||||||||||||||||||
Proceeds from shares issued | $ | 105,000 | $ | 7,027,500 | ||||||||||||||||||||||||||||
Distributions reinvested | 201,288 | 5,208 | ||||||||||||||||||||||||||||||
Cost of shares redeemed | (2,190,045 | ) | (9,874 | ) | ||||||||||||||||||||||||||||
|
|
|
| |||||||||||||||||||||||||||||
Change in Class C | $ | (1,883,757 | ) | $ | 7,022,834 | |||||||||||||||||||||||||||
|
|
|
| |||||||||||||||||||||||||||||
Class I | ||||||||||||||||||||||||||||||||
Proceeds from shares issued | $ | 310,649,429 | $ | 253,828,123 | $ | 15,000,000 | $ | 70,294,750 | ||||||||||||||||||||||||
Distributions reinvested | 4,137,251 | 590,529 | 27,000 | 641,270 | ||||||||||||||||||||||||||||
Cost of shares redeemed | (313,794,067 | ) | (224,670,280 | ) | — | (5,000,500 | ) | |||||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||||||
Change in Class I | $ | 992,613 | $ | 29,748,372 | $ | 15,027,000 | $ | 65,935,520 | ||||||||||||||||||||||||
|
|
|
| |||||||||||||||||||||||||||||
|
|
|
| |||||||||||||||||||||||||||||
Change in net assets resulting from capital transactions | $ | (2,598,926 | ) | $ | 43,202,530 | $ | 15,027,000 | $ | 65,935,520 | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
154 |
NOTES TO FINANCIAL STATEMENTS
|
Absolute Return Fund | Emerging Market Unconstrained Fixed Income Fund | Total Return Credit Fund | ||||||||||||||||||||||||||||||
For the Year Ended September 30, 2015 | For the Year Ended September 30, 2014(a) | For the Period Ended September 30, 2015(b) | For the Period Ended September 30, 2015(b) | |||||||||||||||||||||||||||||
SHARE TRANSACTIONS: | ||||||||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||||||
Issued | 227,800 | 623,490 | ||||||||||||||||||||||||||||||
Reinvested | 24,939 | 2,051 | ||||||||||||||||||||||||||||||
Redeemed | (425,366 | ) | (13,837 | ) | ||||||||||||||||||||||||||||
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Change in Class A | (172,627 | ) | 611,704 | |||||||||||||||||||||||||||||
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Class C | ||||||||||||||||||||||||||||||||
Issued | 10,180 | 669,151 | ||||||||||||||||||||||||||||||
Reinvested | 20,084 | 500 | ||||||||||||||||||||||||||||||
Redeemed | (220,217 | ) | (952 | ) | ||||||||||||||||||||||||||||
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Change in Class C | (189,953 | ) | 668,699 | |||||||||||||||||||||||||||||
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Class I | ||||||||||||||||||||||||||||||||
Issued | 30,625,647 | 24,289,241 | 1,500,000 | 7,065,394 | ||||||||||||||||||||||||||||
Reinvested | 412,226 | 56,647 | 2,744 | 63,870 | ||||||||||||||||||||||||||||
Redeemed | (31,222,600 | ) | (21,637,069 | ) | — | (513,397 | ) | |||||||||||||||||||||||||
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Change in Class I | (184,727 | ) | 2,708,819 | 1,502,744 | 6,615,867 | |||||||||||||||||||||||||||
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Change in shares resulting from capital transactions | (547,307 | ) | 3,989,222 | 1,502,744 | 6,615,867 | |||||||||||||||||||||||||||
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(a) For the period from November 27, 2013 (commencement of operations) to September 30, 2014 for Class A shares, for the period from June 24, 2014 (commencement of operations) to September 30, 2014 for Class C shares and for the year ended September 30, 2014 for Class I shares.
(b) For the period from December 9, 2014 (commencement of operations) to September 30, 2015.
7. Federal Income Taxes:
It is the policy of each Fund to continue to qualify as a regulated investment company by complying with the provisions available to certain investment companies, as defined under Subchapter M of the Internal Revenue Code, and to distribute substantially all of its net investment income and net realized capital gains. Therefore, no federal tax liability is recorded in the financial statements of each Fund.
Fund Management has analyzed the Funds’ tax positions taken or expected to be taken on federal income tax returns for all open tax years (the tax years ended September 30 of the years 2012, 2013, 2014 and 2015 for all Funds, except Absolute Return Fund, which is the tax years ended September 30 of the years 2013, 2014 and 2015, and Emerging Market Unconstrained Fixed Income Fund and Total Return Credit Fund which is the tax year ended September 30, 2015), and has concluded that no provision for federal income tax is required in the Funds’ financial statements. The Funds’ federal and state income and federal excise tax returns for tax years for which the applicable statutes of limitations have not expired are subject to examination by the Internal Revenue Service and state departments of revenue.
As of and during the year or period ended September 30, 2015, the Funds did not have a liability for any unrecognized tax benefits. The Funds recognize interest and penalties, if any, related to unrecognized tax benefits as income tax expense in the Statement of Operations. During the year or period ended September 30, 2015, the Funds did not incur any interest or penalties.
155 |
NOTES TO FINANCIAL STATEMENTS
|
As of September 30, 2015, the tax cost of securities and the breakdown of unrealized appreciation (depreciation) for each Fund were as follows:
Net Unrealized | ||||||||||||||||
Tax Cost of | Unrealized | Unrealized | Appreciation | |||||||||||||
Securities | Appreciation | Depreciation | (Depreciation) | |||||||||||||
Emerging Market Select Bond Fund | $ 28,247,390 | $ 68,439 | $ (1,661,215) | $ (1,592,776) | ||||||||||||
Emerging Market Corporate Bond Fund | 19,349,188 | 116,461 | (969,427) | (852,966) | ||||||||||||
Global High Yield Bond Fund | 31,241,612 | 116,459 | (1,757,122) | (1,640,663) | ||||||||||||
Global Convertible Bond Fund | 21,811,354 | 572,267 | (1,707,041) | (1,134,774) | ||||||||||||
Absolute Return Fund | 458,849,733 | 2,225,400 | (20,925,466) | (18,700,066) | ||||||||||||
Emerging Market Unconstrained Fixed Income Fund | 14,017,615 | 240,994 | (591,577) | (350,583) | ||||||||||||
Total Return Credit Fund | 64,261,544 | 270,283 | (3,599,599) | (3,329,316) |
The tax character of distributions during the fiscal year ended September 30, 2015 were as follows:
Distributions Paid From | ||||||||||||||||||||
Ordinary Income | Net Long Term Capital Gains | Total Taxable Distributions | Return of Capital | Total Distributions Paid* | ||||||||||||||||
Emerging Market Select Bond Fund | $ 1,814,935 | $ — | $ 1,814,935 | $— | $ 1,814,935 | |||||||||||||||
Emerging Market Corporate Bond Fund | 772,515 | — | 772,515 | — | 772,515 | |||||||||||||||
Global High Yield Bond Fund | 1,491,267 | 636,000 | 2,127,267 | — | 2,127,267 | |||||||||||||||
Global Convertible Bond Fund | 847,131 | 1,581,850 | 2,428,981 | — | 2,428,981 | |||||||||||||||
Absolute Return Fund | 14,118,395 | 4,588,542 | 18,706,937 | — | 18,706,937 | |||||||||||||||
Emerging Market Unconstrained Fixed Income Fund | 27,000 | — | 27,000 | — | 27,000 | |||||||||||||||
Total Return Credit Return Fund | 643,179 | — | 643,179 | — | 643,179 |
The tax character of distributions during the fiscal year ended September 30, 2014 were as follows:
Distributions Paid From | ||||||||||||||||||||
Ordinary Income | Net Long Term Capital Gains | Total Taxable Distributions | Return of Capital | Total Distributions Paid* | ||||||||||||||||
Emerging Market Select Bond Fund | $4,946,732 | $ — | $4,946,732 | $3,355,837 | $8,302,569 | |||||||||||||||
Emerging Market Corporate Bond Fund | 846,146 | 14,865 | 861,011 | — | 861,011 | |||||||||||||||
Global High Yield Bond Fund | 1,744,756 | 309,106 | 2,053,862 | — | 2,053,862 | |||||||||||||||
Global Convertible Bond Fund | 1,052,091 | 810,576 | 1,862,667 | — | 1,862,667 | |||||||||||||||
Absolute Return Fund | 8,056,394 | — | 8,056,394 | — | 8,056,394 |
*Total distributions paid may differ from the Statements of Changes in Net Assets because distributions are recognized when actually paid for tax purposes.
156 |
NOTES TO FINANCIAL STATEMENTS
|
As of September 30, 2015, the components of accumulated earnings/(losses) on a tax basis were as follows:
Emerging Market Select Bond Fund | Emerging Market Corporate Bond Fund | Global High Yield Bond Fund | Global Convertible Bond Fund | Absolute Return Fund | Emerging Market Unconstrained Fixed Income Fund | Total Return Credit Fund | ||||||||||||||||||||||
Undistributed ordinary income | $ | — | $ | 51,917 | $ | 147,841 | $ | 344,292 | $ | 2,432,366 | $ | — | $ | 351,426 | ||||||||||||||
Undistributed long term gain | — | — | 227,833 | 457,974 | 11,043,642 | — | 419,935 | |||||||||||||||||||||
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Accumulated earnings | — | 51,917 | 375,674 | 802,266 | 13,476,008 | — | 771,361 | |||||||||||||||||||||
Accumulated capital loss carryforwards | (5,061,965) | (650,529) | — | — | — | (248,342) | — | |||||||||||||||||||||
Deferred qualified late-year losses | (17,566,777) | — | — | — | (13,297,091) | (233,378) | — | |||||||||||||||||||||
Unrealized appreciation/ | ||||||||||||||||||||||||||||
(depreciation) | (1,608,538) | (843,752) | (1,639,569) | (1,272,714) | (20,328,325) | (475,618) | (3,321,033) | |||||||||||||||||||||
Other temporary differences | 195 | (257) | 191 | — | 30,482 | 498 | (6,020) | |||||||||||||||||||||
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Total accumulated earnings/(losses) | $ | (24,237,085) | $ | (1,442,621) | $ | (1,263,704) | $ | (470,448) | $ | (20,118,926) | $ | (956,840) | $ | (2,555,692) | ||||||||||||||
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As of September 30, 2015, the Emerging Market Corporate Bond Fund had a short-term capital loss carryforward of $632,849 and a long-term capital loss carryforward of $17,680, the Emerging Market Select Bond Fund and Emerging Market Unconstrained Fixed Income Fund had short-term capital loss carryforwards of $5,061,965 and $248,342, respectively, available to offset future realized capital gains in accordance with the Regulated Investment Company Modernization Act of 2010. These capital loss carryforwards are not subject to expiration and must first be utilized to offset future realized gains of the same character.
During the year ended September 30, 2015, the Emerging Market Select Bond Fund utilized capital loss carryforwards in the amount of $182,218.
Under current tax law, capital losses realized after October 31 of a Fund’s fiscal year may be deferred and treated as occurring on the first business day of the following fiscal year for tax purposes. The Emerging Market Select Bond Fund, Absolute Return Fund and Emerging Market Unconstrained Fixed Income Fund deferred qualified late-year ordinary losses of $17,566,777, $13,297,091 and $233,378, respectively, which will be treated as arising on the first business day of the year ending September 30, 2016.
8. Market Timing:
The Trust strongly discourages attempts at market timing by Fund shareholders. Each Fund charges a redemption fee of 2% of the value of the shares redeemed or exchanged within 30 days of purchase, in addition to limiting the number of exchanges that may be made between Funds to five (5) per calendar year. When assessed, the redemption fee is deducted from the redemption proceeds and retained by the Fund, not by the Advisor. This redemption fee is not charged in cases where, for example, the redemption results from an automatic reinvestment or asset re-allocation not specifically directed by the shareholder. The Trust also reserves the right to reject any Fund purchase order made by persons deemed to be market timers. The Funds’ prospectus contains a full description of the Trust’s policies on market timing and/or excessive trading. The redemption fee is recorded as a credit to capital and is included in the capital transactions on the Statements of Changes in Net Assets.
During the year ended September 30, 2015, redemption fees were collected by the Global Convertible Bond Fund and the Absolute Return Fund in the amount of $50 and $11,624, respectively. There were no redemption fees collected by the other Funds. Redemption fees collected by the Funds are included in the cost of shares redeemed on the Statements of Changes in Net Assets.
157 |
NOTES TO FINANCIAL STATEMENTS
|
9. Commitments:
Global High Yield Bond Fund may invest in floating rate loan interests. In connection with these investments, Global High Yield Bond Fund may also enter into bridge loan commitments (“commitments”). Bridge loan commitments may obligate Global High Yield Bond Fund to furnish temporary financing to a borrower until permanent financing can be arranged. As of September 30, 2015, Global High Yield Bond Fund had no outstanding bridge loan commitments. In connection with these commitments, Global High Yield Bond Fund earns a commitment fee, typically set as a percentage of the commitment amount. Such fee income, which is included in interest income in the Statements of Operations, is recognized ratably over the commitment period.
10. Line of Credit:
Each Fund, except Absolute Return Fund, Emerging Market Unconstrained Fixed Income Fund and Total Return Credit Fund, is a participant in a single committed, unsecured $4,000,000 line of credit with Bank of New York Mellon, the Funds’ custodian, to be used only to fund shareholder redemption requests and for other short-term temporary or emergency general business purposes. The line of credit has a scheduled termination date of March 29, 2016. Interest is charged on borrowings made under this line of credit at the higher of (a) the Federal Funds Effective Rate plus 1.25% per annum, and (b) the Overnight LIBOR Rate plus 1.25% per annum. A commitment fee of 0.12% per annum of the available line of credit is charged, of which each Fund, except Absolute Return Fund, Emerging Market Unconstrained Fixed Income Fund and Total Return Credit Fund, shall pay its pro rata share based on the ratio of its individual net assets to the aggregate net assets of the Funds, except Absolute Return Fund, Emerging Market Unconstrained Fixed Income Fund and Total Return Credit Fund, at the time the fee is due and payable. Accrued and unpaid commitment fees shall be payable on the last business day of each calendar quarter. An upfront fee equal to 0.02% of the commitment amount was paid by the Funds, except Absolute Return Fund, Emerging Market Unconstrained Fixed Income Fund and Total Return Credit Fund, upon the effectiveness and upon each annual renewal of the line of credit. Since each of the Funds, except Absolute Return Fund, Emerging Market Unconstrained Fixed Income Fund and Total Return Credit Fund, participates in the line of credit, there is no assurance that an individual fund will have access to all or any part of the $4,000,000 at any particular time. There were no loans outstanding pursuant to this line of credit at September 30, 2015. During the year ended September 30, 2015, the Funds did not utilize this line of credit.
11. | Subsequent Events: |
Fund Management has evaluated the impact of subsequent events of the Funds and has determined that there are no subsequent events that require recognition or disclosure in the financial statements.
158 |
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
|
To the Shareholders and Board of Trustees of RBC Funds Trust
We have audited the accompanying statements of assets and liabilities, including the schedules of portfolio investments, of RBC BlueBay Emerging Market Select Bond Fund, RBC BlueBay Emerging Market Corporate Bond Fund, RBC BlueBay Global High Yield Bond Fund, RBC BlueBay Global Convertible Bond Fund, RBC BlueBay Absolute Return Fund, RBC BlueBay Total Return Credit Fund and RBC BlueBay Emerging Market Unconstrained Fixed Income Fund (the “Funds”), seven of the portfolios constituting the RBC Funds Trust (the “Trust”), as of September 30, 2015, and the related statements of operations, the statements of changes in net assets, and financial highlights for each of the periods presented. These financial statements and financial highlights are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.
We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. The Funds are not required to have, nor were we engaged to perform, an audit of their internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Funds’ internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of September 30, 2015, by correspondence with the custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of each of the portfolios constituting the RBC Funds Trust as of September 30, 2015, the results of their operations, the changes in their net assets and the financial highlights for each of the periods presented, in conformity with accounting principles generally accepted in the United States of America.
DELOITTE & TOUCHE LLP
Chicago, Illinois
November 25, 2015
159 |
OTHER FEDERAL INCOME TAX INFORMATION (UNAUDITED)
|
The following Funds report a portion of the income dividends distributed during the fiscal year ended September 30, 2015, as qualified interest income as defined in the Internal Revenue Code:
Qualified Interest Income | |||||
Emerging Market Corporate Bond Fund | 1.39 | % | |||
Global High Yield Bond Fund | 84.99 | % | |||
Global Convertible Bond Fund | 12.87 | % | |||
Absolute Return Fund | 48.54 | % | |||
Total Return Credit Fund | 38.69 | % |
The following Fund reports a portion of the income dividends distributed during the fiscal year ended September 30, 2015, as U.S. Government Income:
U.S. Government Income | |||||
Absolute Return Fund | 0.32 | % |
The following Funds report a portion of the income dividends distributed during the fiscal year ended September 30, 2015, as qualified short term gains:
Qualified Short-term Gains | |||||
Emerging Market Corporate Bond Fund | 100.00 | % | |||
Global High Yield Bond Fund | 100.00 | % | |||
Global Convertible Bond Fund | 100.00 | % | |||
Absolute Return Fund | 100.00 | % |
The following Funds report a portion of the income dividends distributed during the fiscal year ended September 30, 2015, as qualified dividend income:
Qualified Dividend Income | |||||
Global High Yield Bond Fund | 0.07 | % | |||
Global Convertible Bond Fund | 1.28 | % | |||
Total Return Credit Fund | 0.34 | % |
The following Funds report a portion of the income dividends distributed during the fiscal year ended September 30, 2015, as dividends received deduction:
Dividends Received Deduction | |||||
Global High Yield Bond Fund | 0.07 | % | |||
Global Convertible Bond Fund | 0.02 | % |
All reportings are based on financial information available as of the date of this annual report and, accordingly, are subject to change. It is the intention of the Funds to report the maximum amount permitted under the Internal Revenue Code and the regulations thereunder.
160 |
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Independent Trustees(1)(2)
T. Geron Bell (74)
Position, Term of Office and Length of Time Served with the Trust: Trustee since January 2004
Principal Occupation(s) During Past 5 Years: Chairman of the Executive Board of the Minnesota Twins (2011 to present); President of Twins Sports, Inc. (parent company of the Minnesota Twins) (2002 to 2011); President of the Minnesota Twins Baseball Club Incorporated (1987 to 2002)
Number of Portfolios in Fund Complex Overseen by Trustee: 23
Other Director/Trustee Positions Held by Trustee During Past 5 Years: None
Lucy Hancock Bode (64)
Position, Term of Office and Length of Time Served with the Trust: Trustee since January 2004
Principal Occupation(s) During Past 5 Years: Healthcare consultant (self-employed) (1986 to present)
Number of Portfolios in Fund Complex Overseen by Trustee: 23
Other Director/Trustee Positions Held by Trustee During Past 5 Years: Franklin Street Partners (2014 to present); BioSignia (2006 to 2010).
Leslie H. Garner Jr. (65)
Position, Term of Office and Length of Time Served with the Trust: Trustee since January 2004
Principal Occupation(s) During Past 5 Years: President and CEO, The Greater Cedar Rapids Community Foundation (2010 to present);
President, Cornell College (1994 to 2010)
Number of Portfolios in Fund Complex Overseen by Trustee: 23
Other Director/Trustee Positions Held by Trustee During Past 5 Years: None
Ronald James (64)
Position, Term of Office and Length of Time Served with the Trust: Trustee since January 2004
Principal Occupation(s) During Past 5 Years: President and Chief Executive Officer, Center for Ethical Business Cultures (2000 to present)
Number of Portfolios in Fund Complex Overseen by Trustee: 23
Other Director/Trustee Positions Held by Trustee During Past 5 Years: Bremer Financial Corporation (2004 to present); Best Buy Co. Inc. (2004 to 2013).
John A. MacDonald (66)
Position, Term of Office and Length of Time Served with the Trust: Trustee since January 2004
Principal Occupation(s) During Past 5 Years: Vice President and Treasurer, Hall Family Foundation (1988 to present)
Number of Portfolios in Fund Complex Overseen by Trustee: 23
Other Director/Trustee Positions Held by Trustee During Past 5 Years: None
H. David Rybolt (73)
Position, Term of Office and Length of Time Served with the Trust: Trustee since January 2004
Principal Occupation(s) During Past 5 Years: Principal, HDR Associates (consulting-executive search) (1985 to present)
Number of Portfolios in Fund Complex Overseen by Trustee: 23
Other Director/Trustee Positions Held by Trustee During Past 5 Years: None
161 |
MANAGEMENT (Unaudited)
|
Independent Trustees(1)(2)
James R. Seward (63)
Position, Term of Office and Length of Time Served with the Trust: Chairman of the Board and Trustee since January 2004
Principal Occupation(s) During Past 5 Years: Private investor (2000 to present); CFA (1987 to present)
Number of Portfolios in Fund Complex Overseen by Trustee: 23
Other Director/Trustee Positions Held by Trustee During Past 5 Years: Sooner Holdings (formerly Syntroleum Corporation) (1988 to 2014); Brookdale Senior Living Inc. (2008 to present)
William B. Taylor (70)
Position, Term of Office and Length of Time Served with the Trust: Trustee since September 2005
Principal Occupation(s) During Past 5 Years: Consultant (2003 to present); Partner, Ernst & Young LLP (1982 to 2003)
Number of Portfolios in Fund Complex Overseen by Trustee: 23
Other Director/Trustee Positions Held by Trustee During Past 5 Years: William Henry Insurance, LLC (2005 to 2014); Balance Innovations LLC (2014 to present); Kansas City Symphony (1995 to present)
Interested Trustees(1)(2)(3)
Kathleen A. Gorman (51)(5)
Position, Term of Office and Length of Time Served with the Trust: Trustee since September 2012
Principal Occupation(s) During Past 5 Years: President and Chief Executive Officer, RBC Funds (2012 to present); Chief Compliance Officer, RBC Funds (2006 to 2012); Director of Regulatory Administration, RBC Global Asset Management (U.S.) Inc. (2007 to 2012); Chief Compliance Officer, RBC Global Asset Management (U.S.) Inc. (2006 to 2009)
Number of Portfolios in Fund Complex Overseen by Trustee: 23
Other Director/Trustee Positions Held by Trustee During Past 5 Years: None
Executive Officers(1)(3)(4)
Kathleen A. Gorman (51)
Position, Term of Office and Length of Time Served with the Trust: President and Chief Executive Officer since September 2012
Principal Occupation(s) During Past 5 Years: President and Chief Executive Officer, RBC Funds (2012 to present); Chief Compliance Officer, RBC Funds (2006 to 2012); Director of Regulatory Administration, RBC Global Asset Management (U.S.) Inc. (2007 to 2012); Chief Compliance Officer, RBC Global Asset Management (U.S.) Inc. (2006 to 2009)
Kathleen A. Hegna (48)
Position, Term of Office and Length of Time Served with the Trust: Chief Financial Officer and Principal Accounting Officer since May 2009 and Treasurer since March 2014
Principal Occupation(s) During Past 5 Years: Associate Vice President and Director, Mutual Fund Accounting and Administration, RBC Global Asset Management (U.S.) Inc. (2009 to present).
162 |
MANAGEMENT (Unaudited)
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Executive Officers(1)(3)(4)
Christina M. Weber (47)
Position, Term of Office and Length of Time Served with the Trust: Chief Compliance Officer since December 2012 and Assistant Secretary since March 2013
Principal Occupation(s) During Past 5 Years: Chief Compliance Officer, RBC Funds (2012 to present); Senior Compliance Officer, RBC Funds (March 2012 to December 2012); Compliance Manager, Minnesota Life Insurance Company (2006 to 2012)
Lee Thoresen (44)
Position, Term of Office and Length of Time Served with the Trust: Chief Legal Officer and Secretary since March 2008
Principal Occupation(s) During Past 5 Years: Senior Associate General Counsel, RBC Capital Markets, LLC (2006 to present)
(1) | Except as otherwise noted, the address of each Trustee/Officer is RBC Funds Trust, 50 South Sixth Street, Suite 2350, Minneapolis, Minnesota 55402. |
(2) | All Trustees must retire on or before December 31 of the year in which they reach age 75. The Board may temporarily waive this requirement when necessary to avoid depriving the Board of a Trustee with critical skills. |
(3) | On December 31, 2009, Voyageur Asset Management Inc. changed its name to RBC Global Asset Management (U.S.) Inc. Any references to RBC Global Asset Management (U.S.) Inc. for prior periods are deemed to be references to the prior entity. |
(4) | Each officer serves in such capacity for an indefinite period of time until his or her removal, resignation or retirement. |
(5) | Kathleen A. Gorman has been determined to be an interested Trustee by virtue of her position with the Advisor. |
The Funds’ Statement of Additional Information includes information about the Funds’ Trustees. To receive your free copy of the Statement of Additional Information, call toll free: 1-800-422-2766.
163 |
SHARE CLASS INFORMATION (UNAUDITED)
|
The Funds offer Class A and Class I shares, except for Global Convertible Bond Fund, Emerging Market Unconstrained Fixed Income Fund and Total Return Credit Fund, which only offer Class I shares. The Absolute Return Fund also offers Class C shares.
Class A
This share class is available for purchase primarily through investment advisors, broker-dealers, banks and other financial services intermediaries. Class A shares of the Funds are currently subject to a maximum up-front sales charge of 4.25% and a 1.00% CDSC for redemption within 12 months of a $1 million or greater purchase. Class A shares currently include a 0.25% (25 bps) annual 12b-1 service and distribution fee.
Class C
This share class is available for purchase primarily through investment advisors, broker-dealers, banks and other financial services intermediaries. Class C shares of the Funds are currently subject to a 1.00% CDSC for redemption within 12 months of purchase. Class C shares currently include a 1.00% (100 bps) annual 12b-1 service and distribution fee.
Class I
This share class is intended for investors meeting certain minimum investment thresholds. This share class does not have an up-front sales charge (load) or a 12b-1 service and distribution fee.
164 |
SUPPLEMENTAL INFORMATION (UNAUDITED)
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Shareholder Expense Examples
As a shareholder of the RBC Funds, you incur two types of costs: (1) transaction costs and (2) ongoing costs, including management fees; and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the RBC Funds and to compare these costs with the ongoing costs of investing in other mutual funds.
The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period from April 1, 2015 through September 30, 2015.
Actual Expenses
The table below provides information about actual account values and actual expenses. You may use the information below, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the table under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Annualized | ||||||||||||||||||||||
Beginning | Ending | Expenses Paid | Expense Ratio | |||||||||||||||||||
Account Value | Account Value | During Period* | During Period | |||||||||||||||||||
4/1/15 | 9/30/15 | 4/1/15-9/30/15 | 4/1/15-9/30/15 | |||||||||||||||||||
Emerging Market Select Bond Fund | Class A | $1,000.00 | $930.00 | $5.56 | 1.15% | |||||||||||||||||
Class I | 1,000.00 | 930.00 | 4.35 | 0.90% | ||||||||||||||||||
Emerging Market Corporate Bond Fund | Class A | 1,000.00 | 958.90 | 5.55 | 1.13% | |||||||||||||||||
Class I | 1,000.00 | 959.40 | 4.27 | 0.87% | ||||||||||||||||||
Global High Yield Bond Fund | Class A | 1,000.00 | 980.00 | 4.67 | 0.94% | |||||||||||||||||
Class I | 1,000.00 | 980.60 | 3.43 | 0.69% | ||||||||||||||||||
Global Convertible Bond Fund | Class I | 1,000.00 | 956.80 | 4.17 | 0.85% | |||||||||||||||||
Absolute Return Fund | Class A | 1,000.00 | 961.70 | 5.90 | 1.20% | |||||||||||||||||
Class C | 1,000.00 | 958.60 | 9.38 | 1.91% | ||||||||||||||||||
Class I | 1,000.00 | 963.70 | 4.68 | 0.95% | ||||||||||||||||||
Emerging Market Unconstrained Fixed Income Fund | Class I | 1,000.00 | 943.40 | 6.09 | 1.25% | |||||||||||||||||
Total Return Credit Fund | Class I | 1,000.00 | 948.00 | 4.88 | 1.00% |
* | Expenses are equal to the average account value times the Fund’s annualized expense ratio multiplied by 183/365 (to reflect one half year period). |
165 |
SUPPLEMENTAL INFORMATION (UNAUDITED)
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Hypothetical Example for Comparison Purposes
The table below provides information about hypothetical account values and hypothetical expenses based on each RBC Funds’ actual expense ratio 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 for the period. You may use this information to compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads), redemption fees, or exchange fees. Therefore, the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Annualized | ||||||||||||||||||||||
Beginning | Ending | Expenses Paid | Expense Ratio | |||||||||||||||||||
Account Value | Account Value | During Period* | During Period | |||||||||||||||||||
4/1/15 | 9/30/15 | 4/1/15-9/30/15 | 4/1/15-9/30/15 | |||||||||||||||||||
Emerging Market Select Bond Fund | Class A | $1,000.00 | $1,019.30 | $5.82 | 1.15% | |||||||||||||||||
Class I | 1,000.00 | 1,020.56 | 4.56 | 0.90% | ||||||||||||||||||
Emerging Market Corporate Bond Fund | Class A | 1,000.00 | 1,019.40 | 5.72 | 1.13% | |||||||||||||||||
Class I | 1,000.00 | 1,020.71 | 4.41 | 0.87% | ||||||||||||||||||
Global High Yield Bond Fund | Class A | 1,000.00 | 1,020.36 | 4.76 | 0.94% | |||||||||||||||||
Class I | 1,000.00 | 1,021.61 | 3.50 | 0.69% | ||||||||||||||||||
Global Convertible Bond Fund | Class I | 1,000.00 | 1,020.81 | 4.31 | 0.85% | |||||||||||||||||
Absolute Return Fund | Class A | 1,000.00 | 1,019.05 | 6.07 | 1.20% | |||||||||||||||||
Class C | 1,000.00 | 1,015.49 | 9.65 | 1.91% | ||||||||||||||||||
Class I | 1,000.00 | 1,020.31 | 4.81 | 0.95% | ||||||||||||||||||
Emerging Market Unconstrained Fixed Income Fund | Class I | 1,000.00 | 1,018.80 | 6.33 | 1.25% | |||||||||||||||||
Total Return Credit Fund | Class I | 1,000.00 | 1,020.05 | 5.06 | 1.00% |
*Expenses are equal to the average account value times the Fund’s annualized expense ratio multiplied by 183/365 (to reflect one half year period).
166 |
APPROVAL OF INVESTMENT ADVISORY AND SUB-ADVISORY AGREEMENTS (UNAUDITED)
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Information Regarding the Approval of Investment Advisory and Sub-Advisory Agreements
In September 2015, after evaluating the services provided by RBC Global Asset Management (U.S.) Inc. (the “Advisor”), BlueBay Asset Management USA LLC, and BlueBay Asset Management LLP (together, the “Sub-Advisors”) and reviewing the performance, fees, and expenses of the Funds, the RBC Funds Board of Trustees determined to approve the continuation of the investment advisory agreements with the Advisor and sub-advisory agreements with the Sub-Advisors (the investment advisory and sub-advisory agreements, collectively, being the “Agreements”) for each Fund for an additional year.
As part of their review of the Agreements, the Trustees requested and considered information regarding the advisory services performed by the Advisor and Sub-Advisors; the staffing and qualifications of the personnel responsible for operating and managing the Funds; and the Funds’ performance, fees, and expenses. The Trustees considered information provided at regular quarterly Board and Committee meetings throughout the year as well as information presented at both a special meeting held to review requested material related to the proposed renewals and a meeting held specifically to consider the proposed renewals. In connection with their deliberations, the independent Trustees were advised by their own independent legal counsel with regard to the materials and their responsibilities under relevant laws and regulations.
The Trustees met with representatives from the Advisor’s senior management team, as well as senior investment professionals from the Advisor and Sub-Advisors, to discuss the information and the ongoing management of the Funds. The Trustees reviewed the nature, quality, and extent of the services provided to the Funds by the Advisor and Sub-Advisors, including information as to each Fund’s performance relative to appropriate index benchmarks as well as fund peer group comparative information requested by the Board. With regard to the RBC BlueBay Global Convertible Bond Fund, the Trustees noted that, although the one-year returns as of June 30, 2015 were in line with the benchmark, the returns for the three-year period lagged the benchmark on an annualized basis due in part to the Fund’s significant investments in European convertibles and its tendency to focus on more bond-like holdings; however, with these lower returns came lower levels of volatility and better risk scores as compared to both the benchmark and the peer group. The Trustees noted that, in general, the RBC BlueBay Emerging Market Corporate Bond Fund and RBC BlueBay Global High Yield Bond Fund slightly outperformed their relevant benchmarks. The shorter term performance of the other RBC BlueBay Funds (excluding RBC BlueBay Total Return Credit Fund and RBC BlueBay Emerging Market Unconstrained Fixed Income Fund, which do not yet have performance information) was generally below relevant benchmarks. The Trustees indicated that they continue to have confidence in the portfolio management teams of the Advisor and Sub-Advisors and continue to be satisfied with the nature, extent, and quality of the advisory and other services provided to the Funds.
In considering the nature and quality of services provided to the Funds, the Trustees discussed the strong research, credit, and fundamental analysis capabilities and specialized expertise in the area of emerging market debt instruments and absolute return strategies. The Trustees also considered the extensive portfolio management experience of the Sub-Advisors’ staff as well as its operational and compliance structure and systems, and the Advisor’s expertise in coordinating the investment management and related operations of the Funds.
The Trustees reviewed the investment advisory fees payable to the Advisor and subadvisory fees payable to the Sub-Advisors and reviewed comparative fee and expense information for similarly situated funds. The Trustees evaluated profitability data for the Advisor and Sub-Advisors and considered information regarding other benefits the Advisor and its affiliates derived from their relationships with the Funds, including soft dollars and other fall-out benefits as well as the Advisor’s role as co-administrator of the Funds and the fees paid by the Funds for such services. The Trustees discussed the pricing strategy for the Funds and noted that the Sub-Advisors are premium providers of investment management services and the management fees are based on the high quality of services provided to the Funds. The Trustees also considered the Advisor’s contractual agreement to subsidize Fund expenses at competitive levels through expense limitation agreements and viewed such
167 |
APPROVAL OF INVESTMENT ADVISORY AND SUB-ADVISORY AGREEMENTS (UNAUDITED)
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commitments favorably. The Trustees also took note of the RBC BlueBay Emerging Market Corporate Bond Fund’s and RBC BlueBay Global High Yield Bond Fund’s inclusion in the RBC Cornerstone Investor Program, launched in August 2015, which increased the contractual fee waiver for the Funds while also offering enhanced client service for investors. Based upon their review, the Trustees determined that the advisory fees proposed to be payable to the Advisor and Sub-Advisors were fair and reasonable in light of the level and quality of the services provided under all the circumstances and were within the range of what might have been negotiated at arms’ length.
Based upon their review, the Trustees determined that the nature and quality of the services provided by both the Advisor and Sub-Advisors were of a high quality and it is in the interests of the Funds and their shareholders for the Trustees to approve the Agreements and expense limitation arrangements for each Fund. In arriving at their collective decision to approve the renewal of the Agreements, the Trustees did not assign relative weights to the factors discussed above or deem any one or group of them to be controlling in and of itself.
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RBC Funds
P.O. Box 701
Milwaukee, WI 53201-0701
800-422-2766
www.rbcgam.us
Performance data represents past performance and does not guarantee future results. The principal value of an investment and investment return will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost.
This report and the financial statements contained herein are provided for the information of RBC Funds shareholders. This report is not authorized for distribution to prospective investors unless preceded or accompanied by a current prospectus, which contains information concerning investment objectives, risks, charges and expenses of the funds. Please read the prospectus carefully before investing.
This report and the financial statements contained herein are not intended to be a forecast of future events, a guarantee of future results, or investment advice. There is no assurance that certain securities will remain in or out of each fund’s portfolio. The views expressed in this report reflect those of the portfolio managers through the year ended September 30, 2015.
NOT FDIC INSURED • NO BANK GUARANTEE • MAY LOSE VALUE
RBC Global Asset Management (U.S.) Inc. serves as investment advisor for the RBC Funds.
RBC Funds are distributed by Quasar Distributors LLC.
The RBC Funds are pleased to offer shareholder reports printed entirely on Forest Stewardship Council® certified paper. FSC® certification ensures that the paper used in this report contains fiber from well-managed and responsibly harvested forests that meet strict environmental and socioeconomic standards.
RBCF-BB AR 09-15
Item 2. Code of Ethics.
(a) | The registrant, as of the end of the period covered by this report, has adopted a code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party. |
(c) | There have been no amendments, during the period covered by this report, to a provision of the code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party, and that relates to any element of the code of ethics description. |
(d) | The registrant has not granted any waivers, including an implicit waiver, from a provision of the code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party, that relates to one or more of the items set forth in paragraph (b) of this item’s instructions. |
Item 3. Audit Committee Financial Expert.
As of the end of the period covered by the report, the registrant’s board of directors has determined that William B. Taylor is qualified to serve as an audit committee financial expert serving on its audit committee and that he is “independent,” as defined by Item 3 of Form N-CSR.
Item 4. Principal Accountant Fees and Services.
Audit Fees
(a) | The aggregate fees billed for each of the last two fiscal years for professional services rendered by the principal accountant for the audit of the registrant’s annual financial statements or services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements for those fiscal years are $776,000 for 2015 and $669,200 for 2014. |
Audit-Related Fees
(b) | The aggregate fees billed in each of the last two fiscal years for assurance and related services by the principal accountant that are reasonably related to the performance of the audit of the registrant’s financial statements and are not reported under paragraph (a) of this Item are $0 for 2015 and $0 for 2014. |
Tax Fees
(c) | The aggregate fees billed in each of the last two fiscal years for professional services rendered by the principal accountant for tax compliance, tax advice, and tax planning are $73,900 for 2015 and $52,500 for 2014. |
Tax fees for both years relate to the review of the registrant’s tax returns. Amount requiring approval of the registrant’s audit committee is $0 and $0, respectively.
All Other Fees
(d) | The aggregate fees billed in each of the last two fiscal years for products and services provided by the principal accountant, other than the services reported in paragraphs (a) through (c) of this Item are $0 for 2015 and $0 for 2014. |
(e)(1) | Disclose the audit committee’s pre-approval policies and procedures described in paragraph (c)(7) of Rule 2-01 of Regulation S-X. |
The Audit Committee (“Committee”) will review and approve in advance any proposal (except as set forth in (1) through (3) below) that the Trust employ the Funds’ auditor to render “permissible non-audit services” to the Funds. A “permissible non-audit service” is defined as a non-audit service that is not prohibited by Rule 2-01(c)(4) of Regulation S-X or other applicable law or regulation. The Committee will also review and approve in advance any proposal (except as set forth in (1) through (3) below) that the Adviser, and any entity controlling, controlled by, or under common control with the Adviser that provides ongoing services to the Funds (an “Adviser-affiliated service provider”), employ the Funds’ auditor to render non-audit services, if such engagement would relate directly to the operations and financial reporting of the Funds. As a part of its review, the Committee shall consider whether the provision of such services is consistent with the auditor’s independence. (See also “Delegation” below.)
Pre-approval by the Committee of non-audit services is not required so long as:
(1) (A) with respect to the Funds, the aggregate amount of all such permissible non-audit services provided to the Funds constitutes no more than 5% of the total amount of revenues paid to the auditor by the Funds during the fiscal year in which the services are provided; or
(B) with respect to the Adviser and any Adviser-affiliated service provider, the aggregate amount of all such non-audit services provided constitutes no more than 5% of the total amount of revenues (of the type that would have to be pre-approved by the Committee) paid to the auditor by the Funds, the Adviser and any Adviser-affiliated service provider during the fiscal year in which the services are provided;
(2) such services were not recognized by the Funds at the time of the engagement to be non-audit services; and
(3) such services are promptly brought to the attention of the Committee and approved by the Committee or its delegate or delegates, as defined below, prior to the completion of the audit.
(c) Delegation
The Committee may delegate to one or more of its members and/or to officers of the Trust the authority to pre-approve the auditor’s provision of audit services or permissible non-audit services to the Funds up to a predetermined amount. Any pre-approval determination made by a delegate will be presented to the full Committee at its next meeting. The Committee will communicate any pre-approval made by a delegate to the Trust’s fund accounting agent, which will ensure that the appropriate disclosure is made in the Funds’ periodic reports and other documents as required under the Federal securities laws.
(e)(2) | The percentage of services described in each of paragraphs (b) through (d) of this Item that were approved by the audit committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X are as follows: |
(b) | N/A |
(c) | 100% |
(d) | N/A |
(f) | Not applicable. |
(g) | The aggregate non-audit fees billed by the registrant’s accountant for services rendered to the registrant, and rendered to the registrant’s investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant for each of the last two fiscal years of the registrant was $261,000 for 2015 and $300,900 for 2014. |
(h) | The registrant’s audit committee of the board of directors has considered whether the provision of non-audit services that were rendered to the registrant’s investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the registrant that were not pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with maintaining the principal accountant’s independence. |
Item 5. Audit Committee of Listed Registrants.
Not applicable.
Item 6. Investments.
(a) | Schedule of Investments in securities of unaffiliated issuers as of the close of the reporting period is included as part of the report to shareholders filed under Item 1 of this form. |
(b) | Not applicable. |
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 Company and Affiliated Purchasers. |
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders.
There have been no material changes to the procedures by which the shareholders may recommend nominees to the registrant’s board of directors, where those changes were implemented after the registrant last provided disclosure in response to the requirements of Item 407(c)(2)(iv) of Regulation S-K (17 CFR 229.407) (as required by Item 22(b)(15) of Schedule 14A (17 CFR 240.14a-101)), or this Item.
Item 11. 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, as amended (the “1940 Act”) (17 CFR 270.30a-3(c))) are effective, as of a date within 90 days of the filing date of the report that includes the disclosure required by this paragraph, based on their evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended (17 CFR 240.13a-15(b) or 240.15d-15(b)). |
(b) | There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR 270.30a-3(d)) that occurred during the registrant’s second fiscal quarter of the period covered by this 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) | Code of ethics, or any amendment thereto, that is the subject of disclosure required by Item 2 is attached hereto. |
(a)(2) | Certifications pursuant to Rule 30a-2(a) under the 1940 Act and Section 302 of the Sarbanes-Oxley Act of 2002 are attached hereto. |
(a)(3) | Not applicable. |
(b) | Certifications pursuant to Rule 30a-2(b) under the 1940 Act and Section 906 of the Sarbanes-Oxley Act of 2002 are attached hereto. |
(12.other) Not applicable.
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) RBC Funds Trust |
By (Signature and Title)* | /s/ Kathleen A. Gorman | |||||
Kathleen A. Gorman, President and Chief Executive Officer (principal executive officer) |
Date | November 24, 2015 |
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/ Kathleen A. Gorman | |||||
Kathleen A. Gorman, President and Chief Executive Officer (principal executive officer) |
Date | November 24, 2015 |
By (Signature and Title)* | /s/ Kathleen A. Hegna | |||||
Kathleen A. Hegna, Treasurer and Chief Financial Officer (principal financial officer) |
Date | November 24, 2015 |
* Print the name and title of each signing officer under his or her signature.