SCHEDULE OF PORTFOLIO INVESTMENTS
RBC BlueBay Core Plus Bond Fund
December 31, 2023 (Unaudited)
Principal Amount | Value | |
Corporate Bonds — 53.42% | ||
Australia — 1.12% | ||
$370,000 | Macquarie Group Ltd., 6.26%, 12/7/34(a),(b) | $386,669 |
160,000 | Santos Finance Ltd., 3.65%, 4/29/31(c) | 138,966 |
525,635 | ||
Belgium — 0.59% | ||
260,000 | KBC Group NV, 6.32%, 9/21/34(a),(b) | 274,645 |
Bermuda — 0.95% | ||
458,000 | Triton Container International Ltd., 1.15%, 6/7/24(a) | 447,827 |
Canada — 1.34% | ||
190,000 | Bank of Nova Scotia (The), 4.59%, 5/4/37(b) | 170,159 |
230,000 | Canadian Imperial Bank of Commerce, 6.09%, 10/3/33 | 245,375 |
200,000 | Enbridge, Inc., 8.50%, 1/15/84(b) | 212,750 |
628,284 | ||
Chile — 0.43% | ||
200,000 | Corp. Nacional del Cobre de Chile, 6.30%, 9/8/53(a) | 203,463 |
France — 2.87% | ||
100,000(d) | Atos SE, 1.00%, 11/12/29(c) | 58,994 |
200,000(d) | Electricite de France SA, 3.00%, (b),(c),(e) | 200,869 |
200,000(d) | Electricite de France SA, 3.38%, (b),(c),(e) | 193,156 |
100,000(f) | Electricite de France SA, EMTN, 5.88%, (b),(c),(e) | 116,114 |
100,000(f) | Electricite de France SA, EMTN, 6.00%, (b),(c),(e) | 123,678 |
200,000 | Electricite de France SA, 6.90%, 5/23/53(a) | 226,139 |
200,000 | Electricite de France SA, 9.13%, (a),(b),(e) | 222,914 |
200,000 | Societe Generale SA, 9.38%, (a),(b),(e) | 208,817 |
1,350,681 | ||
Germany — 1.70% | ||
200,000(d) | Commerzbank AG, 6.13%, (b),(c),(e) | 213,026 |
200,000(d) | Deutsche Bank AG, EMTN, 1.75%, 11/19/30(b),(c) | 191,732 |
200,000 | Deutsche Bank AG, 4.88%, 12/1/32(b) | 186,709 |
200,000(d) | Deutsche Bank AG, 6.75%, (b),(c),(e) | 204,974 |
796,441 | ||
Ireland — 1.22% | ||
220,000 | AerCap Ireland Capital DAC / AerCap Global Aviation Trust, 4.63%, 10/15/27 | 215,950 |
200,000 | AIB Group Plc, 6.61%, 9/13/29(a),(b) | 210,717 |
160,000 | Avolon Holdings Funding Ltd., 3.25%, 2/15/27(a) | 148,124 |
574,791 | ||
Italy — 1.87% | ||
250,000(d) | Intesa Sanpaolo SpA, EMTN, 5.50%, (b),(c),(e) | 255,344 |
1
SCHEDULE OF PORTFOLIO INVESTMENTS
RBC BlueBay Core Plus Bond Fund (cont.)
December 31, 2023 (Unaudited)
Principal Amount | Value | |
$230,000 | Intesa Sanpaolo SpA, 6.63%, 6/20/33(a) | $235,796 |
204,000 | Intesa Sanpaolo SpA, 8.25%, 11/21/33(a),(b) | 221,519 |
200,000 | UniCredit SpA, 3.13%, 6/3/32(a),(b) | 168,347 |
881,006 | ||
Japan — 2.76% | ||
380,000 | Mizuho Financial Group, Inc., 2.65%, 5/22/26(b) | 365,814 |
230,000 | Nissan Motor Co. Ltd., 4.35%, 9/17/27(a) | 220,038 |
267,000 | Nomura Holdings, Inc., 2.61%, 7/14/31 | 221,961 |
200,000 | Nomura Holdings, Inc., 5.61%, 7/6/29 | 204,080 |
80,000 | Nomura Holdings, Inc., 6.18%, 1/18/33 | 85,526 |
210,000 | Renesas Electronics Corp., 1.54%, 11/26/24(a) | 202,187 |
1,299,606 | ||
Norway — 0.72% | ||
300,000 | Var Energi ASA, 8.00%, 11/15/32(a) | 340,032 |
Spain — 3.26% | ||
300,000(d) | Abertis Infraestructuras Finance BV, 2.63%, (b),(c),(e) | 301,365 |
200,000(d) | Abertis Infraestructuras Finance BV, 3.25%, (b),(c),(e) | 211,526 |
200,000(d) | Banco Bilbao Vizcaya Argentaria SA, 6.00%, (b),(c),(e) | 219,932 |
200,000 | Banco Santander SA, 6.94%, 11/7/33 | 221,916 |
200,000(d) | CaixaBank SA, (5 Year EUR Swap + 6.498%), 6.75%, (b),(c),(e) | 220,252 |
200,000 | CaixaBank SA, 6.84%, 9/13/34(a),(b) | 211,255 |
160,000 | Telefonica Emisiones SA, 5.21%, 3/8/47 | 148,815 |
1,535,061 | ||
Sweden — 0.47% | ||
282,000(d) | Heimstaden Bostad Treasury BV, EMTN, 1.38%, 7/24/28(c) | 222,369 |
Switzerland — 1.46% | ||
300,000(d) | UBS Group AG, 7.75%, 3/1/29(b),(c) | 381,361 |
250,000 | UBS Group AG, 9.02%, 11/15/33(a),(b) | 306,406 |
687,767 | ||
United Kingdom — 1.47% | ||
240,000 | Barclays Plc, 6.50%, 9/13/27(b) | 246,669 |
200,000(f) | Barclays Plc, 7.13%, (b),(e) | 247,601 |
200,000 | HSBC Holdings Plc, 4.76%, 6/9/28(b) | 196,967 |
691,237 | ||
United States — 31.19% | ||
153,000 | Aircastle Ltd., 2.85%, 1/26/28(a) | 136,522 |
190,000 | Ally Financial, Inc., 6.99%, 6/13/29(b) | 196,533 |
200,000(d) | American Tower Corp., REIT, 4.63%, 5/16/31 | 232,581 |
180,000 | Amgen, Inc., 5.75%, 3/2/63 | 189,322 |
220,000 | AT&T, Inc., 3.65%, 9/15/59 | 158,009 |
260,000 | Bank of America Corp., 2.48%, 9/21/36(b) | 206,293 |
2
SCHEDULE OF PORTFOLIO INVESTMENTS
RBC BlueBay Core Plus Bond Fund (cont.)
December 31, 2023 (Unaudited)
Principal Amount | Value | |
$230,000 | Bank of America Corp., 4.57%, 4/27/33(b) | $219,388 |
220,000 | Bank of America Corp., 5.29%, 4/25/34(b) | 220,619 |
175,000 | Bank of America Corp., Series U, (Term SOFR 3M + 3.397%), 8.77%, (e),(g) | 175,037 |
200,000 | Bayer US Finance LLC, 6.13%, 11/21/26(a) | 203,156 |
210,000 | Bayer US Finance LLC, 6.38%, 11/21/30(a) | 215,714 |
160,000 | Booz Allen Hamilton, Inc., 5.95%, 8/4/33 | 169,003 |
321,000 | Broadcom, Inc., 4.93%, 5/15/37(a) | 310,516 |
170,000 | Capital One Financial Corp., 7.62%, 10/30/31(b) | 186,513 |
223,000 | Charter Communications Operating LLC / Charter Communications Operating Capital, 3.85%, 4/1/61 | 140,233 |
220,000 | Citigroup, Inc., 3.06%, 1/25/33(b) | 187,756 |
250,000 | Citizens Bank NA, 4.58%, 8/9/28(b) | 237,499 |
180,000 | Citizens Financial Group, Inc., 2.50%, 2/6/30 | 151,143 |
160,000 | Columbia Pipelines Holding Co. LLC, 6.04%, 8/15/28(a) | 165,283 |
167,000 | Columbia Pipelines Operating Co. LLC, 6.04%, 11/15/33(a) | 175,072 |
203,000 | Comerica, Inc., 4.00%, 2/1/29 | 191,874 |
240,000 | Constellation Energy Generation LLC, 6.13%, 1/15/34 | 257,234 |
140,000 | Constellation Energy Generation LLC, 6.50%, 10/1/53 | 158,199 |
185,000 | Continental Resources, Inc., 4.90%, 6/1/44 | 149,370 |
200,000 | Discover Financial Services, 7.96%, 11/2/34(b) | 222,486 |
69,000 | Energy Transfer LP, 6.25%, 4/15/49 | 71,569 |
220,000 | Energy Transfer LP, 6.55%, 12/1/33 | 238,949 |
150,000 | Essential Utilities, Inc., 5.30%, 5/1/52 | 143,894 |
180,000 | Fifth Third Bancorp, 6.36%, 10/27/28(b) | 186,832 |
170,000 | Flex Intermediate Holdco LLC, 4.32%, 12/30/39(a) | 125,033 |
200,000 | Ford Motor Credit Co. LLC, 7.12%, 11/7/33 | 215,455 |
400,000 | Foundry JV Holdco LLC, 5.88%, 1/25/34(a) | 411,463 |
220,000 | Fox Corp., 6.50%, 10/13/33 | 238,215 |
133,000 | General Motors Co., 5.40%, 4/1/48 | 121,916 |
140,000 | Global Payments, Inc., 5.95%, 8/15/52 | 143,226 |
276,000 | Goldman Sachs Group, Inc. (The), 2.38%, 7/21/32(b) | 226,935 |
172,000 | Goldman Sachs Group, Inc. (The), 2.65%, 10/21/32(b) | 143,327 |
139,000 | Intel Corp., 5.70%, 2/10/53 | 150,421 |
162,000 | J M Smucker Co. (The), 6.20%, 11/15/33 | 176,711 |
145,000 | Jones Lang LaSalle, Inc., 6.88%, 12/1/28 | 153,429 |
250,000 | KeyBank NA, 4.39%, 12/14/27 | 234,798 |
250,000 | KeyBank NA, 5.85%, 11/15/27 | 249,943 |
180,000 | Kimco Realty OP LLC, REIT, 6.40%, 3/1/34 | 197,625 |
200,000 | Kyndryl Holdings, Inc., 4.10%, 10/15/41 | 150,964 |
140,000 | LKQ Corp., 5.75%, 6/15/28 | 143,790 |
131,000 | LKQ Corp., 6.25%, 6/15/33 | 136,899 |
145,000 | LPL Holdings, Inc., 6.75%, 11/17/28 | 154,414 |
164,000 | M&T Bank Corp., 5.05%, 1/27/34(b) | 155,370 |
130,000 | M&T Bank Corp., 7.41%, 10/30/29(b) | 140,011 |
190,000 | Marvell Technology, Inc., 5.95%, 9/15/33 | 201,681 |
165,000 | Meta Platforms, Inc., 4.45%, 8/15/52 | 151,831 |
191,000 | Micron Technology, Inc., 5.88%, 9/15/33 | 198,733 |
3
SCHEDULE OF PORTFOLIO INVESTMENTS
RBC BlueBay Core Plus Bond Fund (cont.)
December 31, 2023 (Unaudited)
Principal Amount | Value | |
$260,000 | Morgan Stanley, 2.48%, 9/16/36(b) | $206,381 |
280,000 | Morgan Stanley, GMTN, 4.89%, 7/20/33(b) | 273,076 |
210,000 | Morgan Stanley, GMTN, 5.25%, 4/21/34(b) | 209,783 |
136,000 | Morgan Stanley, 5.30%, 4/20/37(b) | 132,227 |
152,000 | MPLX LP, 5.00%, 3/1/33 | 149,064 |
230,000 | New York State Electric & Gas Corp., 5.85%, 8/15/33(a) | 241,006 |
68,000 | NextEra Energy Capital Holdings, Inc., 5.25%, 2/28/53 | 66,664 |
180,000 | Oracle Corp., 4.10%, 3/25/61 | 137,543 |
166,000 | Ovintiv, Inc., 6.25%, 7/15/33 | 171,758 |
289,000 | Paramount Global, 6.38%, 3/30/62(b) | 259,925 |
170,000 | Pfizer Investment Enterprises Pte Ltd., 5.34%, 5/19/63 | 171,892 |
150,000 | Pilgrim’s Pride Corp., 6.25%, 7/1/33 | 154,338 |
200,000 | Royalty Pharma Plc, 3.55%, 9/2/50 | 142,399 |
230,000 | Tapestry, Inc., 7.00%, 11/27/26 | 238,612 |
147,000 | Tapestry, Inc., 7.70%, 11/27/30 | 155,001 |
140,000 | Tapestry, Inc., 7.85%, 11/27/33 | 149,494 |
260,000 | U.S. Cellular Corp., 6.70%, 12/15/33 | 265,017 |
140,000(d) | Upjohn Finance BV, 1.91%, 6/23/32(c) | 129,466 |
200,000 | Utah Acquisition Sub, Inc., 5.25%, 6/15/46 | 166,789 |
196,000 | Viatris, Inc., 4.00%, 6/22/50 | 137,941 |
170,000 | VICI Properties LP, REIT, 4.95%, 2/15/30 | 164,978 |
188,000 | Warnermedia Holdings, Inc., 5.05%, 3/15/42 | 165,756 |
410,000 | Warnermedia Holdings, Inc., 5.14%, 3/15/52 | 352,780 |
200,000 | Warnermedia Holdings, Inc., 6.41%, 3/15/26 | 200,155 |
300,000 | Wells Fargo & Co., 5.39%, 4/24/34(b) | 301,070 |
210,000 | Wells Fargo & Co., GMTN, 5.56%, 7/25/34(b) | 214,002 |
14,675,906 | ||
Total Corporate Bonds | 25,134,751 | |
(Cost $24,938,715) | ||
U.S. Government Agency Backed Mortgages — 26.04% | ||
United States — 26.04% | ||
875,000 | Fannie Mae, (TBA), 3.50%, 1/1/54 | 802,055 |
1,675,000 | Fannie Mae, (TBA), 4.00%, 1/1/54 | 1,584,146 |
725,000 | Fannie Mae, (TBA), 3.00%, 1/1/54 | 640,667 |
3,000,000 | Fannie Mae, (TBA), 2.50%, 1/1/54 | 2,552,121 |
3,800,000 | Fannie Mae, (TBA), 2.00%, 1/1/54 | 3,105,333 |
875,433 | Fannie Mae, Pool #BT8271, 4.00%, 7/1/52 | 827,490 |
191,542 | Fannie Mae, Pool #CB4766, 5.00%, 9/1/52 | 190,862 |
562,209 | Fannie Mae, Pool #CB4768, 5.00%, 9/1/52 | 562,883 |
221,859 | Fannie Mae, Pool #BT7932, 5.50%, 10/1/52 | 225,965 |
433,331 | Fannie Mae, Pool #CB5344, 6.50%, 12/1/52 | 451,065 |
98,457 | Fannie Mae, Pool #CB4969, 5.50%, 10/1/52 | 100,258 |
586,809 | Fannie Mae, Pool #CB7160, 6.50%, 9/1/53 | 605,780 |
4
SCHEDULE OF PORTFOLIO INVESTMENTS
RBC BlueBay Core Plus Bond Fund (cont.)
December 31, 2023 (Unaudited)
Principal Amount | Value | |
$437,567 | Freddie Mac, Pool #RA7718, 4.50%, 7/1/52 | $424,398 |
172,507 | Freddie Mac, Pool #QF4133, 6.00%, 11/1/52 | 178,337 |
12,251,360 | ||
Total U.S. Government Agency Backed Mortgages | 12,251,360 | |
(Cost $12,116,608) |
Shares | ||
Collateralized Mortgage Obligations — 13.30% | ||
United States — 13.30% | ||
312,772 | BX Commercial Mortgage Trust, Series 2021-XL2, Class D, (Term SOFR 1M + 1.511%), 6.87%, 10/15/38(a),(h) | 303,732 |
210,000 | BX Commercial Mortgage Trust, Series 2021-21M, Class D, (Term SOFR 1M + 1.540%), 6.90%, 10/15/36(a),(h) | 200,487 |
300,000 | BX Commercial Mortgage Trust, Series 2022-CSMO, Class C, (Term SOFR 1M + 3.889%), 9.25%, 6/15/27(a),(h) | 300,282 |
208,721 | BX Trust, Series 2022-IND, Class D, (Term SOFR 1M + 2.839%), 8.20%, 4/15/37(a),(h) | 205,465 |
207,000 | Connecticut Avenue Securities Trust, Series 2022-R01, Class 1M2, (SOFR30A + 1.900%), 7.24%, 12/25/41(a),(h) | 205,834 |
165,000 | Connecticut Avenue Securities Trust, Series 2023-R08, Class 1M2, (SOFR30A + 2.500%), 7.84%, 10/25/43(a),(h) | 168,564 |
100,000 | Connecticut Avenue Securities Trust, Series 2023-R06, Class 1M2, (SOFR30A + 2.700%), 8.04%, 7/25/43(a),(h) | 101,230 |
88,000 | Connecticut Avenue Securities Trust, Series 2022-R04, Class 1M2, (SOFR30A + 3.100%), 8.44%, 3/25/42(a),(h) | 89,712 |
277,000 | Connecticut Avenue Securities Trust, Series 2023-R05, Class 1M2, (SOFR30A + 3.100%), 8.44%, 6/25/43(a),(h) | 285,751 |
366,000 | Connecticut Avenue Securities Trust, Series 2023-R04, Class 1M2, (SOFR30A + 3.550%), 8.89%, 5/25/43(a),(h) | 388,863 |
618,259 | Credit Suisse Mortgage Capital Certificates, Series 2020-SPT1, Class A2, 2.23%, 4/25/65(a),(i) | 598,761 |
352,003 | Freddie Mac STACR REMIC Trust, Series 2023-HQA1, Class M1A, (SOFR30A + 2.000%), 7.34%, 5/25/43(a),(h) | 351,999 |
109,103 | Freddie Mac STACR REMIC Trust, (SOFR30A + 2.100%), 7.44%, 3/25/43(a),(h) | 110,067 |
460,000 | Freddie Mac STACR REMIC Trust, Series 2022-DNA2, Class M1B, (SOFR30A + 2.400%), 7.74%, 2/25/42(a),(h) | 461,259 |
550,000 | Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2023-HQA2, Class M1B, (SOFR30A + 3.350%), 8.69%, 6/25/43(a),(h) | 566,701 |
250,000 | HONO Mortgage Trust, Series 2021-LULU, Class A, (Term SOFR 1M + 1.264%), 6.63%, 10/15/36(a),(h) | 239,790 |
254,341 | MFA Trust, Series 2020-NQM3, Class A3, 1.63%, 1/26/65(a),(i) | 230,143 |
400,000 | SMRT, Series 2022-MINI, Class D, (Term SOFR 1M + 1.950%), 7.31%, 1/15/39(a),(h) | 380,527 |
400,000 | Verus Securitization Trust, Series 2019-INV3, Class M1, 3.28%, 11/25/59(a),(i) | 361,467 |
5
SCHEDULE OF PORTFOLIO INVESTMENTS
RBC BlueBay Core Plus Bond Fund (cont.)
December 31, 2023 (Unaudited)
Shares | Value | |
$400,000 | Verus Securitization Trust, Series 2020-4, Class M1, 3.29%, 5/25/65(a),(i) | $348,086 |
400,000 | Vista Point Securitization Trust, Series 2020-2, Class M1, 3.40%, 4/25/65(a),(i) | 356,993 |
6,255,713 | ||
Total Collateralized Mortgage Obligations | 6,255,713 | |
(Cost $6,439,307) |
Principal Amount | ||
Bank Loans — 6.60% | ||
Ireland — 1.07% | ||
500,000 | Setanta Aircraft Leasing DAC, 1st Lein Term Loan B, (Term SOFR 3M + 2.00%), 7.65%, 11/6/28(h) | 501,250 |
United States — 5.53% | ||
391,940 | Avolon US LLC, 1st Lien Term Loan B5, (Term SOFR 1M + 2.25%), 7.71%, 12/1/27(h) | 392,061 |
440,000 | Belron Finance US LLC, (SOFR 1M + 0.21%), 2.50%, 4/28/28(h) | 441,100 |
440,000 | Charter Communications Operating LLC, (SOFR 1M + 0.20%), 7.36%, 12/9/30(h) | 438,165 |
139,658 | Citadel Securities LP, (SOFR 1M + 0.26%), 7.96%, 7/29/30(h) | 139,833 |
350,157 | Entegris, Inc., (Term SOFR 1M + 2.75%), 7.89%, 7/6/29(h) | 350,595 |
400,000 | Hilton Domestic Operating Co, Inc, (SOFR 1M + 0.21%), 7.44%, 11/8/30(h) | 401,216 |
440,000 | Summit Materials LLC, (SOFR 1M + 0.25%), 2.50%, 11/30/28(h) | 441,377 |
2,604,347 | ||
Total Bank Loans | 3,105,597 | |
(Cost $3,099,461) |
Shares | ||
Asset Backed Securities — 4.11% | ||
United States — 4.11% | ||
500,000 | Dell Equipment Finance Trust, Series 2023-2, Class D, 6.74%, 7/23/29(a) | 503,815 |
450,000 | Exeter Automobile Receivables Trust, Series 2021-4A, Class D, 1.96%, 1/17/28 | 424,504 |
450,000 | Exeter Automobile Receivables Trust, Series 2023-2A, Class D, 6.32%, 8/15/29 | 449,554 |
185,000 | Exeter Automobile Receivables Trust, Series 2023-3A, Class D, 6.68%, 4/16/29 | 186,418 |
188,864 | MVW LLC, Series 2021-2A, Class B, 1.83%, 5/20/39(a) | 169,567 |
200,000 | Santander Drive Auto Receivables Trust, Series 2023-3, Class C, 5.77%, 11/15/30 | 200,400 |
1,934,258 | ||
Total Asset Backed Securities | 1,934,258 | |
(Cost $1,973,635) |
6
SCHEDULE OF PORTFOLIO INVESTMENTS
RBC BlueBay Core Plus Bond Fund (cont.)
December 31, 2023 (Unaudited)
Principal Amount | Value | |
U.S. Treasury Obligations — 2.93% | ||
United States — 2.93% | ||
$1,400,000 | U.S. Treasury Bill- When Issued, 5.30%, 4/16/24(j) | $1,378,782 |
Total U.S. Treasury Obligations | 1,378,782 | |
(Cost $1,378,715) | ||
Foreign Government Bonds — 1.90% | ||
Mexico — 1.45% | ||
9,930,000(k) | Mexican Bonos, Series M, 8.50%, 3/1/29 | 569,129 |
130,000(d) | Mexico Government International Bond, 4.00%, 3/15/2115 | 110,699 |
679,828 | ||
Romania — 0.45% | ||
190,000 | Romanian Government International Bond, 7.63%, 1/17/53(a) | 212,691 |
Total Foreign Government Bonds | 892,519 | |
(Cost $872,595) |
Shares | ||
Investment Company — 7.43% | ||
3,497,099 | RBC BlueBay U.S. Goverment Money Market Fund, Institutional Class 1 (l) | 3,497,099 |
Total Investment Company | 3,497,099 | |
(Cost $3,497,099) | ||
Total Investments | $54,450,079 | |
(Cost $54,316,135) — 115.73% | ||
Liabilities in excess of other assets — (15.73)% | (7,399,809) | |
NET ASSETS — 100.00% | $47,050,270 |
7
SCHEDULE OF PORTFOLIO INVESTMENTS
RBC BlueBay Core Plus Bond Fund (cont.)
December 31, 2023 (Unaudited)
(a) | 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. |
(b) | Security is a fix-to-float security, which carries a fixed coupon until a certain date, upon which it switches to a floating rate. Reference rate and spread are provided if the rate is currently floating. |
(c) | This security may be resold to qualified foreign investors and foreign institutional buyers under Regulation S of the Securities Act of 1933. |
(d) | Principal amount denoted in Euros. |
(e) | Perpetual security with no stated maturity date. |
(f) | Principal amount denoted in British Pounds. |
(g) | Variable rate security. The rate reflected in the Schedule of Portfolio Investments is the rate in effect on December 31, 2023. |
(h) | Floating rate note. Rate shown is as of report date. |
(i) | Variable or floating rate security, which interest rate adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. Rate shown is the rate in effect as of period end. |
(j) | Zero Coupon Bond. The rate represents the yield at time of purchase. |
(k) | Principal amount denoted in Mexican peso. |
(l) | Affiliated investment. |
8
SCHEDULE OF PORTFOLIO INVESTMENTS
RBC BlueBay Core Plus Bond Fund (cont.)
December 31, 2023 (Unaudited)
Foreign currency exchange contracts as of December 31, 2023:
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Value/Unrealized Appreciation (Depreciation) | ||||||
CAD | 605,276 | USD | 440,000 | Citibank N.A. | 1/18/24 | $16,924 | ||||
CAD | 149,193 | USD | 110,000 | Citibank N.A. | 1/18/24 | 2,626 | ||||
CHF | 103,704 | EUR | 110,000 | Citibank N.A. | 1/18/24 | 2,032 | ||||
EUR | 406,726 | USD | 440,000 | Citibank N.A. | 1/18/24 | 9,379 | ||||
GBP | 357,896 | EUR | 410,000 | Citibank N.A. | 1/18/24 | 3,249 | ||||
JPY | 99,561,470 | USD | 680,633 | Citibank N.A. | 1/18/24 | 27,694 | ||||
JPY | 14,737,600 | USD | 100,000 | Citibank N.A. | 1/18/24 | 4,850 | ||||
MXN | 9,225,000 | USD | 531,622 | Citibank N.A. | 1/18/24 | 9,734 | ||||
$76,488 | ||||||||||
EUR | 310,000 | CHF | 294,840 | Citibank N.A. | 1/18/24 | $(8,805) | ||||
EUR | 3,064 | CHF | 2,923 | Citibank N.A. | 1/18/24 | (98) | ||||
EUR | 812,787 | GBP | 705,472 | Citibank N.A. | 1/18/24 | (1,310) | ||||
GBP | 189,358 | EUR | 220,000 | Citibank N.A. | 1/18/24 | (1,678) | ||||
USD | 100,000 | CAD | 135,746 | Citibank N.A. | 1/18/24 | (2,475) | ||||
USD | 650,068 | EUR | 614,858 | Citibank N.A. | 1/18/24 | (29,271) | ||||
USD | 2,131,609 | EUR | 2,013,996 | Citibank N.A. | 1/18/24 | (93,596) | ||||
USD | 1,299,480 | EUR | 1,228,500 | Citibank N.A. | 1/18/24 | (57,854) | ||||
USD | 864,354 | GBP | 709,643 | Citibank N.A. | 1/18/24 | (40,297) | ||||
USD | 185,000 | JPY | 26,583,353 | Citibank N.A. | 1/18/24 | (4,127) | ||||
USD | 400,000 | JPY | 59,349,600 | Citibank N.A. | 1/18/24 | (22,241) | ||||
USD | 3,159 | MXN | 58,000 | Citibank N.A. | 1/18/24 | (244) | ||||
USD | 1,093,556 | MXN | 20,394,639 | Citibank N.A. | 1/18/24 | (103,273) | ||||
USD | 4,598 | MXN | 84,000 | Citibank N.A. | 1/18/24 | (331) | ||||
$(365,600) | ||||||||||
Total | $(289,112) |
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SCHEDULE OF PORTFOLIO INVESTMENTS
RBC BlueBay Core Plus Bond Fund (cont.)
December 31, 2023 (Unaudited)
Financial futures contracts as of December 31, 2023:
Long Position | Number of Contracts | Expiration Date | Value/Unrealized Appreciation | Notional Value | Clearinghouse | ||||||
10 Year U.S. Treasury Note | 29 | March 2024 | $80,214 | USD | $3,273,828 | Morgan Stanley & Co. LLC | |||||
2 Year U.S. Treasury Note | 19 | March 2024 | 43,517 | USD | 3,912,367 | Morgan Stanley & Co. LLC | |||||
30 Year U.S. Treasury Bond | 1 | March 2024 | 10,045 | USD | 124,938 | Morgan Stanley & Co. LLC | |||||
30 Year U.S. Ultra Treasury Bond | 27 | March 2024 | 277,932 | USD | 3,607,031 | Morgan Stanley & Co. LLC | |||||
5 Year U.S. Treasury Note | 31 | March 2024 | 45,667 | USD | 3,371,977 | Morgan Stanley & Co. LLC | |||||
Total | $457,375 |
Short Position | Number of Contracts | Expiration Date | Value/Unrealized Depreciation | Notional Value | Clearinghouse | ||||||
10 Year Euro-Bund | 2 | March 2024 | $(9,519) | EUR | $302,968 | Morgan Stanley & Co. LLC | |||||
10 Year U.S. Ultra Treasury Bond | 69 | March 2024 | (298,711) | USD | 8,143,078 | Morgan Stanley & Co. LLC | |||||
30 Year Euro-Buxl | 1 | March 2024 | (12,111) | EUR | 156,452 | Morgan Stanley & Co. LLC | |||||
5 Year Euro-Bobl | 12 | March 2024 | (30,216) | EUR | 1,580,150 | Morgan Stanley & Co. LLC | |||||
EURO-BTP FUTURE | 1 | March 2024 | (4,583) | EUR | 131,536 | Morgan Stanley & Co. LLC | |||||
EURO-SCHATZ FUT | 3 | March 2024 | (2,172) | EUR | 352,861 | Morgan Stanley & Co. LLC | |||||
JPN 10Y BOND(OSE) | 2 | March 2024 | (19,231) | JPY | 2,080,993 | Morgan Stanley & Co. LLC | |||||
Long Gilt Future | 12 | March 2024 | (91,726) | GBP | 1,570,114 | Morgan Stanley & Co. LLC | |||||
Total | $(468,269) |
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SCHEDULE OF PORTFOLIO INVESTMENTS
RBC BlueBay Core Plus Bond Fund (cont.)
December 31, 2023 (Unaudited)
Interest rate swaps as of December 31, 2023:
Fixed Rate | Floating Rate | Payment Frequency | Counterparty | Expiration Date | Notional Amount (000) | Value/Unrealized Appreciation (Depreciation) | |||||||
4.72% | CAD-CBNALDN | Daily | Morgan Stanley & Co. LLC | 10/19/25 | CAD | 3,300 | $30,367 | ||||||
3.83% | CAD-CBNALDN | Semi-Annually | Morgan Stanley & Co. LLC | 10/19/33 | CAD | 700 | (32,587) | ||||||
3.09% | EUR-CITILDN | Daily | Morgan Stanley & Co. LLC | 12/8/25 | EUR | 1,900 | (8,103) | ||||||
3.07% | EUR-RBSLDN | Daily | Morgan Stanley & Co. LLC | 12/8/25 | EUR | 960 | (3,727) | ||||||
3.06% | EUR-BCAPLDN | Daily | Morgan Stanley & Co. LLC | 12/8/25 | EUR | 940 | (3,538) | ||||||
1.12% | JPY-BNPLDN | Yearly | Morgan Stanley & Co. LLC | 10/30/33 | JPY | 260,000 | (51,171) | ||||||
$(99,126) | |||||||||||||
Total | $(68,759) |
Credit default swaps buy protection as of December 31, 2023:
Fixed Rate | Issuer | Payment Frequency | Counterparty | Expiration Date | Notional Amount (000) | Premium Paid/ (Received) | Unrealized Depreciation | Value | |||||||||
1.00% | Markit CDX IG Index Series 41 | Quarterly | Morgan Stanley & Co. LLC | 12/20/28 | USD | 8,923 | $(120,876) | $(55,427) | $(176,303) | ||||||||
1.00% | Markit CDX IG Index Series 41 | Quarterly | Morgan Stanley & Co. LLC | 12/20/28 | USD | 7,805 | (106,108) | (48,105) | (154,213) | ||||||||
1.00% | Markit CDX IG Index Series 41 | Quarterly | Morgan Stanley & Co. LLC | 12/20/28 | USD | 3,465 | (60,274) | (8,189) | (68,463) | ||||||||
Total | $(287,258) | $(111,721) | $(398,979) |
11
SCHEDULE OF PORTFOLIO INVESTMENTS
RBC BlueBay Core Plus Bond Fund (cont.)
December 31, 2023 (Unaudited)
Abbreviations used are defined below: |
Bobl - German Bundesobligationen |
BTP - Italian Buoni del Tesoro Poliannuali |
CAD - Canadian Dollar |
CHF - Swiss Franc |
EMTN - Euro Medium Term Note |
EUR - Euro |
GBP - United Kingdom Pound Sterling |
GMTN - Global Medium Term Note |
JPY - Japanese Yen |
MXN - Mexican Peso |
REIT - Real Estate Investment Trust |
SOFR - Secured Overnight Financing Rate |
SOFR30A - Secured Overnight Financing Rate 30 Day Average |
TBA - To-be-announced |
USD - United States Dollar |
Portfolio Diversification (Unaudited)
Industries | Percentage of Net Assets | |
Financial | 29.40% | |
U.S. Government Agency Backed Mortgages | 26.04% | |
Collateralized Mortgage Obligations | 13.30% | |
Consumer, Non-cyclical | 5.78% | |
Consumer, Cyclical | 5.31% | |
Technology | 4.97% | |
Utilities | 4.15% | |
Energy | 4.12% | |
Asset Backed Securities | 4.11% | |
Communications | 3.83% | |
U.S. Treasury Obligations | 2.93% | |
Industrial | 2.03% | |
Foreign Government Bonds | 1.90% | |
Basic Materials | 0.43% | |
Other* | (8.30)% | |
100.00% | ||
* Includes cash, Investment Company, interest and dividend receivable, pending trades and Fund share transactions, interest rate swaps, credit default swaps, financial futures contracts, foreign currency exchange contracts and accrued expenses payable. |
12