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)
Jay Jackson, Esq.
50 South Sixth Street, Suite 2350
Minneapolis, MN 55402
(Name and address of agent for service)
Registrant’s telephone number, including area code: (612)-376-7132
Date of fiscal year end: September 30
Date of reporting period: September 30, 2016
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 Bloomberg Barclays U.S. Securitized Index and the Bloomberg 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 1-800-SEC-0330.
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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 | 10 | |||||||||
Financial Statements | ||||||||||
- Statement of Assets and Liabilities | 30 | |||||||||
- Statement of Operations | 32 | |||||||||
- Statements of Changes in Net Assets | 33 | |||||||||
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 | |||||||||
1 |
LETTER FROM THE CHIEF INVESTMENT OFFICER
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On the impact side, the Fund continued to fulfill its community development mission. Since inception the Fund has supported:
13,596 Low- to moderate-income home buyers
43,609 Affordable rental units
5,466 Nursing home facility beds
27 Rural housing
88 Rural Enterprise
427 SBA loans
74 Community Economic development
15 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 Portfolio 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 fun, 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 Bloomberg 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, 2016 (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% | -1.11% | 1.60% | 1.42% | 3.40% | 4.01% | |||||||||||||||||||||||||||||
- At Net Asset Value | 2.74% | 2.90% | 2.20% | 3.79% | 4.23% | 1.01% | 1.10% | |||||||||||||||||||||||||||
Class I (b) | ||||||||||||||||||||||||||||||||||
- At Net Asset Value | 3.12% | 3.28% | 2.53% | 4.04% | 4.52% | 0.64% | 0.64% | |||||||||||||||||||||||||||
Bloomberg Barclays U.S. Securitized Index (c) | 3.67% | 3.60% | 2.76% | 4.60% | 5.12% | |||||||||||||||||||||||||||||
Bloomberg Barclays U.S. Aggregate Bond Index (c)
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| 5.19%
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| 4.03%
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| 3.08%
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| 4.79%
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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 Bloomberg 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 Bloomberg 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, 2016).
(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
| Investment Objective
Benchmark | |||||||||||
Bloomberg Barclays U.S. Securitized Index
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Bloomberg Barclays U.S. Aggregate Bond Index
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Asset Allocation (as of 9/30/16) (% of fund’s investments) | |||||||||||
Fannie Mae Pool #AK2386, |
1.81% |
Ginnie Mae Series 2012-58, |
1.34% |
Top Ten Holdings (excluding investment companies) (as of 9/30/16) (% of fund’s net assets) | ||||||||
Fannie Mae Pool #AS4737, | 1.56% | Fannie Mae Pool #465537, | 1.28% | |||||||||
Fannie Mae Pool #AS5114, | 1.55% | Ginnie Mae Series 2012-33, | 1.04% | |||||||||
Fannie Mae Pool #AS4908, | 1.51% | Ginnie Mae Series 2015-70, | 0.98% | |||||||||
Ginnie Mae Series 2014-172, | 1.42% | Fannie Mae Pool #466934, | 0.94% | |||||||||
* A listing of all portfolio holdings can be found beginning on page 10.
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7 |
MANAGEMENT DISCUSSION AND ANALYSIS (UNAUDITED)
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Access Capital Community Investment Fund | ||||||
Growth of $1,000,000 Initial Investment Over 10 Years |
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The graph reflects an initial investment of $1,000,000 over a 10 year period and is based on Class I shares. The Fund’s total return includes reinvested dividends and capital gains. The Fund’s total return also includes operating expenses that reduce return, while the total return of the index does not. The graph does not reflect the deduction of taxes that a shareholder would pay on fund distributions or redemption of fund shares. Performance of other classes will vary due to differences in fee structures. | ||||||
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8 |
This Page Intentionally Left Blank
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9 |
SCHEDULE OF PORTFOLIO INVESTMENTS
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Access Capital Community Investment Fund
September 30, 2016
Principal Amount | Value | |||||
Municipal Bonds — 3.55% |
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California — 0.18% |
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$ 55,000 | 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 | $ | 57,613 | |||
975,000 | California Statewide Communities Development Authority Revenue, Series B, 5.25%, 10/20/42, (Credit Support: Ginnie Mae), Callable 10/20/17 @ 102 | 1,006,561 | ||||
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1,064,174 | ||||||
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Delaware — 0.34% |
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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 | 670,442 | ||||
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 | 783,406 | ||||
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 | 572,768 | ||||
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2,026,616 | ||||||
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Illinois — 0.21% |
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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 | 282,467 | ||||
1,000,000 | Illinois State Housing Development Authority Revenue, Series A, 2.63%, 3/1/48, (Credit Support: FHA) | 999,070 | ||||
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1,281,537 | ||||||
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Massachusetts — 0.35% |
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545,000 | Massachusetts Housing Finance Agency Revenue, Series 170, 1.51%, 12/1/17 | 547,431 | ||||
250,000 | Massachusetts Housing Finance Agency Revenue, Series 170, 2.21%, 6/1/18 | 252,780 | ||||
330,000 | Massachusetts Housing Finance Agency Revenue, Series 170, 2.31%, 12/1/18 | 335,016 | ||||
160,000 | Massachusetts Housing Finance Agency Revenue, Series 170, 2.51%, 6/1/19 | 164,499 | ||||
575,000 | Massachusetts Housing Finance Agency Revenue, Series 170, 2.61%, 12/1/19 | 593,314 | ||||
205,000 | Massachusetts Housing Finance Agency Revenue, Series 170, 3.09%, 6/1/20 | 212,314 | ||||
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2,105,354 | ||||||
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Missouri — 0.75% |
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4,361,992 | Missouri Housing Development Commission, Series 1, 3.75%, 3/1/42, (Credit Support: FHA), Callable 3/1/25 @ 100 | 4,512,525 | ||||
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10 |
SCHEDULE OF PORTFOLIO INVESTMENTS
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Access Capital Community Investment Fund (cont.)
September 30, 2016
Principal Amount | Value | |||||
New York — 1.69% |
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$ 750,000 | New York City Housing Development Corp. Revenue, 1.54%, 2/1/17 | $ | 751,913 | |||
500,000 | New York City Housing Development Corp. Revenue, 1.73%, 8/1/17 | 503,515 | ||||
750,000 | New York City Housing Development Corp. Revenue, 1.94%, 2/1/18 | 756,247 | ||||
400,000 | New York City Housing Development Corp. Revenue, Series G-1, 1.93%, 11/1/21 | 398,808 | ||||
170,000 | New York City Housing Development Corp. Revenue, Series G-1, 2.04%, 5/1/22 | 169,487 | ||||
100,000 | New York City Housing Development Corp. Revenue, Series G-1, 2.14%, 11/1/22 | 99,694 | ||||
200,000 | New York City Housing Development Corp. Revenue, Series G-1, 2.37%, 5/1/24 | 199,226 | ||||
40,000 | New York City Housing Development Corp. Revenue, Series G-1, 2.47%, 11/1/24 | 39,842 | ||||
300,000 | New York City Housing Development Corp. Revenue, Series G-1, 2.62%, 5/1/26 | 298,746 | ||||
700,000 | New York State Housing Finance Agency Revenue, 4.50%, 11/15/27, (Credit Support: Fannie Mae), Callable 11/15/16 @ 100 | 701,547 | ||||
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 | 1,001,390 | ||||
1,335,000 | New York State Mortgage Agency Revenue, Series 184, 1.59%, 4/1/18 | 1,339,859 | ||||
1,335,000 | New York State Mortgage Agency Revenue, Series 184, 1.85%, 10/1/18 | 1,352,248 | ||||
1,335,000 | New York State Mortgage Agency Revenue, Series 184, 2.10%, 4/1/19 | 1,365,545 | ||||
1,140,000 | New York State Mortgage Agency Revenue, Series 187, 1.59%, 4/1/18 | 1,146,099 | ||||
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10,124,166 | ||||||
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Vermont — 0.03% |
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165,000 | Vermont Housing Finance Agency Revenue, Series C, 1.95%, 8/15/17 | 166,515 | ||||
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Total Municipal Bonds | 21,280,887 | |||||
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(Cost $20,805,622) | ||||||
Corporate Bonds — 0.08% |
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Health Care — 0.08% |
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500,000 | Montefiore Medical Center, 2.15%, 10/20/26 | 503,264 | ||||
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Total Corporate Bonds | 503,264 | |||||
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(Cost $500,000) | ||||||
U.S. Government Agency Backed Mortgages — 99.37% |
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Fannie Mae — 61.68% |
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1,000,000 | (TBA), 2.25%, 10/1/26(a) | 1,004,825 |
11 |
SCHEDULE OF PORTFOLIO INVESTMENTS
|
Access Capital Community Investment Fund (cont.)
September 30, 2016
Principal Amount | Value | |||||
$171,208 | Pool #257613, 5.50%, 6/1/38 | $ | 190,001 | |||
70,245 | Pool #257631, 6.00%, 7/1/38 | 82,143 | ||||
52,329 | Pool #257632, 5.50%, 7/1/38 | 61,397 | ||||
70,508 | Pool #257656, 6.00%, 8/1/38 | 81,390 | ||||
127,327 | Pool #257663, 5.50%, 8/1/38 | 147,401 | ||||
112,062 | Pool #257857, 6.00%, 12/1/37 | 129,897 | ||||
63,638 | Pool #257869, 5.50%, 12/1/37 | 74,009 | ||||
113,569 | Pool #257890, 5.50%, 2/1/38 | 131,580 | ||||
119,655 | Pool #257892, 5.50%, 2/1/38 | 138,969 | ||||
40,501 | Pool #257897, 5.50%, 2/1/38 | 47,557 | ||||
45,080 | Pool #257898, 6.00%, 2/1/38 | 52,717 | ||||
133,181 | Pool #257903, 5.50%, 2/1/38 | 151,889 | ||||
79,547 | Pool #257913, 5.50%, 1/1/38 | 91,864 | ||||
70,063 | Pool #257926, 5.50%, 3/1/38 | 82,269 | ||||
63,336 | Pool #258022, 5.50%, 5/1/34 | 73,704 | ||||
140,169 | Pool #258070, 5.00%, 6/1/34 | 159,959 | ||||
42,144 | Pool #258121, 5.50%, 6/1/34 | 48,950 | ||||
136,097 | Pool #258152, 5.50%, 8/1/34 | 156,248 | ||||
75,603 | Pool #258157, 5.00%, 8/1/34 | 85,946 | ||||
67,889 | Pool #258163, 5.50%, 8/1/34 | 78,401 | ||||
118,573 | Pool #258166, 5.50%, 9/1/34 | 135,314 | ||||
74,640 | Pool #258171, 5.50%, 10/1/34 | 86,328 | ||||
99,343 | Pool #258224, 5.50%, 12/1/34 | 111,976 | ||||
62,840 | Pool #258238, 5.00%, 1/1/35 | 71,042 | ||||
95,379 | Pool #258251, 5.50%, 1/1/35 | 109,972 | ||||
105,939 | Pool #258258, 5.00%, 1/1/35 | 118,190 | ||||
114,638 | Pool #258305, 5.00%, 3/1/35 | 129,582 | ||||
96,968 | Pool #258336, 5.00%, 4/1/35 | 111,249 | ||||
64,181 | Pool #258340, 5.00%, 3/1/35 | 73,539 | ||||
18,869 | Pool #258393, 5.00%, 5/1/35 | 21,228 | ||||
66,558 | Pool #258394, 5.00%, 5/1/35 | 76,450 | ||||
250,858 | Pool #258395, 5.50%, 6/1/35 | 285,860 | ||||
63,577 | Pool #258403, 5.00%, 6/1/35 | 72,841 | ||||
85,580 | Pool #258404, 5.00%, 6/1/35 | 97,648 | ||||
49,880 | Pool #258410, 5.00%, 4/1/35 | 57,278 | ||||
114,135 | Pool #258448, 5.00%, 8/1/35 | 128,215 | ||||
199,796 | Pool #258450, 5.50%, 8/1/35 | 229,860 | ||||
95,369 | Pool #258456, 5.00%, 8/1/35 | 108,549 | ||||
86,023 | Pool #258552, 5.00%, 11/1/35 | 98,529 | ||||
201,004 | Pool #258571, 5.50%, 11/1/35 | 230,746 | ||||
92,819 | Pool #258600, 6.00%, 1/1/36 | 107,912 | ||||
358,326 | Pool #258627, 5.50%, 2/1/36 | 409,779 | ||||
107,117 | Pool #258634, 5.50%, 2/1/36 | 123,235 | ||||
57,541 | Pool #258658, 5.50%, 3/1/36 | 67,099 | ||||
54,706 | Pool #258737, 5.50%, 12/1/35 | 63,792 | ||||
79,236 | Pool #258763, 6.00%, 5/1/36 | 92,669 | ||||
45,010 | Pool #259004, 8.00%, 2/1/30 | 55,400 | ||||
48,734 | Pool #259030, 8.00%, 4/1/30 | 58,691 |
12 |
SCHEDULE OF PORTFOLIO INVESTMENTS
|
Access Capital Community Investment Fund (cont.)
September 30, 2016
Principal Amount | Value | |||||
$ 47,506 | Pool #259181, 6.50%, 3/1/31 | $ | 55,513 | |||
14,097 | Pool #259187, 6.50%, 4/1/31 | 15,695 | ||||
75,563 | Pool #259190, 6.50%, 4/1/31 | 88,677 | ||||
86,066 | Pool #259316, 6.50%, 11/1/31 | 100,627 | ||||
32,521 | Pool #259378, 6.00%, 12/1/31 | 38,134 | ||||
36,569 | Pool #259393, 6.00%, 1/1/32 | 43,032 | ||||
45,637 | Pool #259590, 5.50%, 11/1/32 | 53,072 | ||||
186,327 | Pool #259611, 5.50%, 11/1/32 | 213,732 | ||||
52,561 | Pool #259634, 5.50%, 12/1/32 | 59,172 | ||||
63,163 | Pool #259655, 5.50%, 2/1/33 | 73,504 | ||||
146,986 | Pool #259659, 5.50%, 2/1/33 | 169,314 | ||||
35,111 | Pool #259671, 5.50%, 2/1/33 | 40,855 | ||||
85,565 | Pool #259686, 5.50%, 3/1/33 | 98,506 | ||||
41,040 | Pool #259722, 5.00%, 5/1/33 | 46,823 | ||||
52,430 | Pool #259724, 5.00%, 5/1/33 | 60,000 | ||||
129,824 | Pool #259725, 5.00%, 5/1/33 | 147,500 | ||||
113,329 | Pool #259729, 5.00%, 6/1/33 | 127,783 | ||||
65,884 | Pool #259761, 5.00%, 6/1/33 | 75,042 | ||||
111,722 | Pool #259764, 5.00%, 7/1/33 | 125,845 | ||||
123,122 | Pool #259777, 5.00%, 7/1/33 | 137,815 | ||||
87,716 | Pool #259781, 5.00%, 7/1/33 | 99,769 | ||||
53,242 | Pool #259789, 5.00%, 7/1/33 | 60,932 | ||||
97,573 | Pool #259807, 5.00%, 8/1/33 | 109,976 | ||||
133,814 | Pool #259816, 5.00%, 8/1/33 | 149,736 | ||||
29,518 | Pool #259819, 5.00%, 8/1/33 | 33,777 | ||||
54,489 | Pool #259830, 5.00%, 8/1/33 | 62,114 | ||||
36,088 | Pool #259848, 5.00%, 9/1/33 | 41,300 | ||||
76,395 | Pool #259867, 5.50%, 10/1/33 | 88,284 | ||||
80,412 | Pool #259869, 5.50%, 10/1/33 | 91,081 | ||||
115,615 | Pool #259875, 5.50%, 10/1/33 | 132,692 | ||||
73,677 | Pool #259876, 5.50%, 10/1/33 | 85,121 | ||||
42,491 | Pool #259879, 5.50%, 10/1/33 | 49,441 | ||||
185,093 | Pool #259930, 5.00%, 11/1/33 | 206,132 | ||||
40,471 | Pool #259998, 5.00%, 3/1/34 | 46,330 | ||||
7,047,037 | Pool #465537, 4.20%, 7/1/20 | 7,660,858 | ||||
689,751 | Pool #465946, 3.61%, 9/1/20 | 738,136 | ||||
5,192,924 | Pool #466934, 4.10%, 1/1/21 | 5,669,903 | ||||
280,014 | Pool #469101, 3.75%, 2/1/27 | 311,167 | ||||
797,841 | Pool #469239, 2.69%, 10/1/18 | 817,035 | ||||
443,546 | Pool #470439, 2.91%, 5/1/22 | 468,587 | ||||
3,171,936 | Pool #470561, 2.94%, 2/1/22 | 3,352,871 | ||||
926,246 | Pool #471478, 2.61%, 8/1/22 | 967,407 | ||||
3,407,233 | Pool #471948, 2.86%, 7/1/22 | 3,596,350 | ||||
194,507 | Pool #557295, 7.00%, 12/1/29 | 228,618 | ||||
35,367 | Pool #576445, 6.00%, 1/1/31 | 40,270 | ||||
77,361 | Pool #579402, 6.50%, 4/1/31 | 90,728 | ||||
144,085 | Pool #583728, 6.50%, 6/1/31 | 168,703 | ||||
72,789 | Pool #585148, 6.50%, 7/1/31 | 85,449 |
13 |
SCHEDULE OF PORTFOLIO INVESTMENTS
|
Access Capital Community Investment Fund (cont.)
September 30, 2016
Principal Amount | Value | |||||
$ 36,900 | Pool #590931, 6.50%, 7/1/31 | $ | 43,281 | |||
61,889 | Pool #590932, 6.50%, 7/1/31 | 71,939 | ||||
81,542 | Pool #601865, 6.50%, 4/1/31 | 91,870 | ||||
126,905 | Pool #601868, 6.00%, 7/1/29 | 146,678 | ||||
53,184 | Pool #607611, 6.50%, 11/1/31 | 62,418 | ||||
104,500 | Pool #634271, 6.50%, 5/1/32 | 122,424 | ||||
10,067 | Pool #640146, 5.00%, 12/1/17 | 10,245 | ||||
45,083 | Pool #644232, 6.50%, 6/1/32 | 52,969 | ||||
27,448 | Pool #644432, 6.50%, 7/1/32 | 32,089 | ||||
44,484 | Pool #644437, 6.50%, 6/1/32 | 52,200 | ||||
2,241,872 | Pool #663159, 5.00%, 7/1/32 | 2,505,850 | ||||
111,006 | Pool #670278, 5.50%, 11/1/32 | 129,009 | ||||
43,122 | Pool #676702, 5.50%, 11/1/32 | 49,646 | ||||
55,050 | Pool #677591, 5.50%, 12/1/32 | 63,406 | ||||
186,956 | Pool #681883, 6.00%, 3/1/33 | 218,610 | ||||
28,684 | Pool #683087, 5.00%, 1/1/18 | 29,279 | ||||
15,707 | Pool #684644, 4.50%, 6/1/18 | 16,085 | ||||
136,067 | Pool #686542, 5.50%, 3/1/33 | 153,182 | ||||
242,194 | Pool #695961, 5.50%, 1/1/33 | 277,438 | ||||
248,863 | Pool #696407, 5.50%, 4/1/33 | 286,921 | ||||
461,262 | Pool #702478, 5.50%, 6/1/33 | 523,421 | ||||
132,295 | Pool #702479, 5.00%, 6/1/33 | 148,029 | ||||
71,710 | Pool #703210, 5.50%, 9/1/32 | 81,089 | ||||
238,283 | Pool #720025, 5.00%, 8/1/33 | 267,060 | ||||
266,293 | Pool #723066, 5.00%, 4/1/33 | 299,127 | ||||
264,509 | Pool #723067, 5.50%, 5/1/33 | 299,517 | ||||
290,736 | Pool #723070, 4.50%, 5/1/33 | 324,508 | ||||
309,781 | Pool #727311, 4.50%, 9/1/33 | 342,505 | ||||
435,763 | Pool #727312, 5.00%, 9/1/33 | 494,935 | ||||
235,751 | Pool #727315, 6.00%, 10/1/33 | 276,633 | ||||
41,763 | Pool #738589, 5.00%, 9/1/33 | 47,803 | ||||
107,889 | Pool #739269, 5.00%, 9/1/33 | 122,396 | ||||
172,756 | Pool #743595, 5.50%, 10/1/33 | 197,232 | ||||
171,785 | Pool #748041, 4.50%, 10/1/33 | 188,153 | ||||
189,836 | Pool #749891, 5.00%, 9/1/33 | 214,060 | ||||
115,787 | Pool #749897, 4.50%, 9/1/33 | 127,382 | ||||
29,084 | Pool #750984, 5.00%, 12/1/18 | 30,192 | ||||
83,734 | Pool #751008, 5.00%, 12/1/18 | 86,813 | ||||
251,678 | Pool #753533, 5.00%, 11/1/33 | 281,933 | ||||
91,820 | Pool #755679, 6.00%, 1/1/34 | 108,090 | ||||
63,454 | Pool #755746, 5.50%, 12/1/33 | 73,706 | ||||
43,445 | Pool #763551, 5.50%, 3/1/34 | 50,607 | ||||
268,459 | Pool #763820, 5.50%, 1/1/34 | 308,044 | ||||
104,106 | Pool #763824, 5.00%, 3/1/34 | 117,428 | ||||
74,319 | Pool #765216, 5.00%, 1/1/19 | 77,151 | ||||
31,267 | Pool #765306, 5.00%, 2/1/19 | 32,498 | ||||
9,063 | Pool #773096, 4.50%, 3/1/19 | 9,384 | ||||
165,456 | Pool #773175, 5.00%, 5/1/34 | 184,962 |
14 |
SCHEDULE OF PORTFOLIO INVESTMENTS
|
Access Capital Community Investment Fund (cont.)
September 30, 2016
Principal Amount | Value | |||||
$ 120,950 | Pool #773476, 5.50%, 7/1/19 | $ | 126,813 | |||
81,084 | Pool #773547, 5.00%, 5/1/34 | 91,640 | ||||
355,365 | Pool #773568, 5.50%, 5/1/34 | 403,404 | ||||
164,878 | Pool #776850, 5.50%, 11/1/34 | 187,601 | ||||
48,317 | Pool #776851, 6.00%, 10/1/34 | 56,830 | ||||
61,839 | Pool #777444, 5.50%, 5/1/34 | 71,907 | ||||
1,450,641 | Pool #777621, 5.00%, 2/1/34 | 1,628,206 | ||||
137,546 | Pool #781437, 6.00%, 8/1/34 | 158,541 | ||||
87,639 | Pool #781741, 6.00%, 9/1/34 | 102,558 | ||||
69,976 | Pool #781907, 5.00%, 2/1/21 | 74,484 | ||||
147,582 | Pool #781954, 5.00%, 6/1/34 | 165,860 | ||||
187,730 | Pool #781959, 5.50%, 6/1/34 | 211,343 | ||||
280,834 | Pool #783893, 5.50%, 12/1/34 | 322,166 | ||||
180,627 | Pool #783929, 5.50%, 10/1/34 | 206,990 | ||||
37,300 | Pool #788329, 6.50%, 8/1/34 | 41,406 | ||||
61,784 | Pool #790282, 6.00%, 7/1/34 | 72,516 | ||||
169,376 | Pool #797623, 5.00%, 7/1/35 | 190,191 | ||||
128,843 | Pool #797627, 5.00%, 7/1/35 | 144,737 | ||||
121,857 | Pool #797674, 5.50%, 9/1/35 | 140,193 | ||||
322,057 | Pool #798725, 5.50%, 11/1/34 | 367,351 | ||||
71,892 | Pool #799547, 5.50%, 9/1/34 | 83,024 | ||||
109,729 | Pool #799548, 6.00%, 9/1/34 | 128,610 | ||||
1,007,879 | Pool #806754, 4.50%, 9/1/34 | 1,108,320 | ||||
346,890 | Pool #806757, 6.00%, 9/1/34 | 400,893 | ||||
800,358 | Pool #806761, 5.50%, 9/1/34 | 912,458 | ||||
121,802 | Pool #808205, 5.00%, 1/1/35 | 137,034 | ||||
45,528 | Pool #813942, 5.00%, 11/1/20 | 48,056 | ||||
287,346 | Pool #815009, 5.00%, 4/1/35 | 323,311 | ||||
351,789 | Pool #817641, 5.00%, 11/1/35 | 401,397 | ||||
128,368 | Pool #820334, 5.00%, 9/1/35 | 144,203 | ||||
339,727 | Pool #820335, 5.00%, 9/1/35 | 381,476 | ||||
189,312 | Pool #820336, 5.00%, 9/1/35 | 216,008 | ||||
414,365 | Pool #822008, 5.00%, 5/1/35 | 466,388 | ||||
292,850 | Pool #829005, 5.00%, 8/1/35 | 330,394 | ||||
191,635 | Pool #829006, 5.50%, 9/1/35 | 218,374 | ||||
175,584 | Pool #829275, 5.00%, 8/1/35 | 197,162 | ||||
166,860 | Pool #829276, 5.00%, 8/1/35 | 187,365 | ||||
123,277 | Pool #829277, 5.00%, 8/1/35 | 138,484 | ||||
459,732 | Pool #829649, 5.50%, 3/1/35 | 522,731 | ||||
409,327 | Pool #844361, 5.50%, 11/1/35 | 466,441 | ||||
161,756 | Pool #845245, 5.50%, 11/1/35 | 188,622 | ||||
61,674 | Pool #866969, 6.00%, 2/1/36 | 72,081 | ||||
165,755 | Pool #867569, 6.00%, 2/1/36 | 190,301 | ||||
172,022 | Pool #867574, 5.50%, 2/1/36 | 198,551 | ||||
124,621 | Pool #870599, 6.00%, 6/1/36 | 144,500 | ||||
138,392 | Pool #870684, 6.00%, 7/1/36 | 158,935 | ||||
348,881 | Pool #871072, 5.50%, 2/1/37 | 397,125 | ||||
184,238 | Pool #884693, 5.50%, 4/1/36 | 212,651 |
15 |
SCHEDULE OF PORTFOLIO INVESTMENTS
|
Access Capital Community Investment Fund (cont.)
September 30, 2016
Principal Amount | Value | |||||
$ 639,755 | Pool #885724, 5.50%, 6/1/36 | $ | 729,021 | |||
81,099 | Pool #908671, 6.00%, 1/1/37 | 95,062 | ||||
332,482 | Pool #911730, 5.50%, 12/1/21 | 358,926 | ||||
78,464 | Pool #919368, 5.50%, 4/1/37 | 91,104 | ||||
299,174 | Pool #922582, 6.00%, 12/1/36 | 343,938 | ||||
846,320 | Pool #934941, 5.00%, 8/1/39 | 946,093 | ||||
312,105 | Pool #934942, 5.00%, 9/1/39 | 350,410 | ||||
279,923 | Pool #941204, 5.50%, 6/1/37 | 321,693 | ||||
64,022 | Pool #943394, 5.50%, 6/1/37 | 74,856 | ||||
316,212 | Pool #944502, 6.00%, 6/1/37 | 367,108 | ||||
357,207 | Pool #948600, 6.00%, 8/1/37 | 409,342 | ||||
158,748 | Pool #948672, 5.50%, 8/1/37 | 180,700 | ||||
319,671 | Pool #952598, 6.00%, 7/1/37 | 372,136 | ||||
129,844 | Pool #952623, 6.00%, 8/1/37 | 150,546 | ||||
114,277 | Pool #952632, 6.00%, 7/1/37 | 133,079 | ||||
132,821 | Pool #952665, 6.00%, 8/1/37 | 153,428 | ||||
285,012 | Pool #952678, 6.50%, 8/1/37 | 334,591 | ||||
101,345 | Pool #952693, 6.50%, 8/1/37 | 118,391 | ||||
2,376,654 | Pool #957324, 5.43%, 5/1/18 | 2,468,065 | ||||
357,670 | Pool #958502, 5.07%, 5/1/19 | 387,904 | ||||
239,227 | Pool #975769, 5.50%, 3/1/38 | 272,831 | ||||
81,448 | Pool #982898, 5.00%, 5/1/38 | 92,793 | ||||
149,418 | Pool #983033, 5.00%, 5/1/38 | 167,593 | ||||
148,614 | Pool #984842, 5.50%, 6/1/38 | 169,350 | ||||
78,282 | Pool #986230, 5.00%, 7/1/38 | 89,113 | ||||
236,517 | Pool #986239, 6.00%, 7/1/38 | 272,586 | ||||
132,319 | Pool #986957, 5.50%, 7/1/38 | 150,782 | ||||
76,744 | Pool #990510, 5.50%, 8/1/38 | 89,418 | ||||
361,102 | Pool #990511, 6.00%, 8/1/38 | 413,602 | ||||
174,778 | Pool #990617, 5.50%, 9/1/38 | 200,148 | ||||
283,200 | Pool #AA0526, 5.00%, 12/1/38 | 317,118 | ||||
383,102 | Pool #AA0527, 5.50%, 12/1/38 | 437,993 | ||||
133,944 | Pool #AA0644, 4.50%, 3/1/39 | 147,474 | ||||
323,100 | Pool #AA0645, 4.50%, 3/1/39 | 357,707 | ||||
154,523 | Pool #AA2243, 4.50%, 5/1/39 | 173,488 | ||||
421,634 | Pool #AA3142, 4.50%, 3/1/39 | 466,730 | ||||
109,464 | Pool #AA3143, 4.00%, 3/1/39 | 120,581 | ||||
518,708 | Pool #AA3206, 4.00%, 4/1/39 | 565,392 | ||||
523,546 | Pool #AA3207, 4.50%, 3/1/39 | 576,432 | ||||
166,352 | Pool #AA4468, 4.00%, 4/1/39 | 181,324 | ||||
516,839 | Pool #AA7042, 4.50%, 6/1/39 | 569,775 | ||||
411,250 | Pool #AA7658, 4.00%, 6/1/39 | 448,263 | ||||
342,046 | Pool #AA7659, 4.50%, 6/1/39 | 378,789 | ||||
163,008 | Pool #AA7741, 4.50%, 6/1/24 | 175,418 | ||||
142,009 | Pool #AA8455, 4.50%, 6/1/39 | 157,264 | ||||
3,723,516 | Pool #AB7798, 3.00%, 1/1/43 | 3,880,020 | ||||
3,472,049 | Pool #AB9203, 3.00%, 4/1/43 | 3,617,984 | ||||
1,626,757 | Pool #AB9204, 3.00%, 4/1/43 | 1,695,132 |
16 |
SCHEDULE OF PORTFOLIO INVESTMENTS
|
Access Capital Community Investment Fund (cont.)
September 30, 2016
Principal Amount | Value | |||||
$ 1,054,246 | Pool #AB9831, 3.00%, 6/1/43 | $ | 1,101,523 | |||
744,600 | Pool #AC1463, 5.00%, 8/1/39 | 835,988 | ||||
112,222 | Pool #AC1464, 5.00%, 8/1/39 | 126,855 | ||||
976,703 | Pool #AC2109, 4.50%, 7/1/39 | 1,075,365 | ||||
167,006 | Pool #AC4394, 5.00%, 9/1/39 | 187,504 | ||||
566,105 | Pool #AC4395, 5.00%, 9/1/39 | 641,246 | ||||
354,708 | Pool #AC5328, 5.00%, 10/1/39 | 398,243 | ||||
377,240 | Pool #AC5329, 5.00%, 10/1/39 | 421,713 | ||||
306,106 | Pool #AC6304, 5.00%, 11/1/39 | 339,706 | ||||
350,844 | Pool #AC6305, 5.00%, 11/1/39 | 393,905 | ||||
487,759 | Pool #AC6307, 5.00%, 12/1/39 | 545,262 | ||||
582,047 | Pool #AC6790, 5.00%, 12/1/39 | 653,484 | ||||
1,856,282 | Pool #AC7199, 5.00%, 12/1/39 | 2,081,501 | ||||
1,219,183 | Pool #AD1470, 5.00%, 2/1/40 | 1,386,916 | ||||
1,996,862 | Pool #AD1471, 4.50%, 2/1/40 | 2,238,513 | ||||
462,573 | Pool #AD1560, 5.00%, 3/1/40 | 517,106 | ||||
1,725,354 | Pool #AD1585, 4.50%, 2/1/40 | 1,934,149 | ||||
381,651 | Pool #AD1586, 5.00%, 1/1/40 | 435,708 | ||||
651,565 | Pool #AD1638, 4.50%, 2/1/40 | 717,384 | ||||
216,474 | Pool #AD1640, 4.50%, 3/1/40 | 238,341 | ||||
1,964,694 | Pool #AD1942, 4.50%, 1/1/40 | 2,203,374 | ||||
372,820 | Pool #AD1943, 5.00%, 1/1/40 | 424,578 | ||||
1,719,920 | Pool #AD1988, 4.50%, 2/1/40 | 1,928,057 | ||||
404,737 | Pool #AD2896, 5.00%, 3/1/40 | 454,412 | ||||
817,295 | Pool #AD4456, 4.50%, 4/1/40 | 903,813 | ||||
150,862 | Pool #AD4457, 4.50%, 4/1/40 | 167,257 | ||||
872,920 | Pool #AD4458, 4.50%, 4/1/40 | 961,098 | ||||
597,108 | Pool #AD4940, 4.50%, 6/1/40 | 661,624 | ||||
397,158 | Pool #AD4946, 4.50%, 6/1/40 | 440,070 | ||||
423,806 | Pool #AD5728, 5.00%, 4/1/40 | 475,822 | ||||
512,794 | Pool #AD7239, 4.50%, 7/1/40 | 568,360 | ||||
280,841 | Pool #AD7242, 4.50%, 7/1/40 | 311,668 | ||||
225,104 | Pool #AD7256, 4.50%, 7/1/40 | 250,270 | ||||
1,175,616 | Pool #AD7271, 4.50%, 7/1/40 | 1,294,004 | ||||
445,306 | Pool #AD7272, 4.50%, 7/1/40 | 493,559 | ||||
711,720 | Pool #AD8960, 5.00%, 6/1/40 | 795,625 | ||||
323,313 | Pool #AD9613, 4.50%, 8/1/40 | 356,327 | ||||
1,398,879 | Pool #AD9614, 4.50%, 8/1/40 | 1,539,751 | ||||
468,697 | Pool #AE2011, 4.00%, 9/1/40 | 508,463 | ||||
1,965,137 | Pool #AE2012, 4.00%, 9/1/40(b) | 2,122,962 | ||||
614,207 | Pool #AE2023, 4.00%, 9/1/40 | 663,536 | ||||
939,850 | Pool #AE5432, 4.00%, 10/1/40 | 1,015,331 | ||||
364,597 | Pool #AE5435, 4.50%, 9/1/40 | 401,313 | ||||
376,395 | Pool #AE5806, 4.50%, 9/1/40 | 417,181 | ||||
923,144 | Pool #AE5861, 4.00%, 10/1/40 | 997,283 | ||||
556,918 | Pool #AE5862, 4.00%, 10/1/40 | 602,429 | ||||
386,861 | Pool #AE5863, 4.00%, 10/1/40 | 417,930 | ||||
495,258 | Pool #AE6850, 4.00%, 10/1/40 | 535,034 |
17 |
SCHEDULE OF PORTFOLIO INVESTMENTS
|
Access Capital Community Investment Fund (cont.)
September 30, 2016
Principal Amount | Value | |||||
$ 411,565 | Pool #AE6851, 4.00%, 10/1/40 | $ | 444,619 | |||
308,040 | Pool #AE7699, 4.00%, 11/1/40 | 332,779 | ||||
546,447 | Pool #AE7703, 4.00%, 10/1/40 | 598,530 | ||||
1,251,823 | Pool #AE7707, 4.00%, 11/1/40 | 1,352,360 | ||||
733,585 | Pool #AH0300, 4.00%, 11/1/40 | 792,272 | ||||
703,825 | Pool #AH0301, 3.50%, 11/1/40 | 744,432 | ||||
66,592 | Pool #AH0302, 4.00%, 11/1/40 | 73,148 | ||||
605,842 | Pool #AH0306, 4.00%, 12/1/40 | 660,557 | ||||
706,719 | Pool #AH0508, 4.00%, 11/1/40 | 763,256 | ||||
1,150,869 | Pool #AH0537, 4.00%, 12/1/40 | 1,246,895 | ||||
987,141 | Pool #AH0914, 4.50%, 11/1/40 | 1,086,241 | ||||
832,811 | Pool #AH0917, 4.00%, 12/1/40 | 899,435 | ||||
889,623 | Pool #AH1077, 4.00%, 1/1/41 | 975,805 | ||||
1,204,682 | Pool #AH2973, 4.00%, 12/1/40 | 1,301,057 | ||||
953,317 | Pool #AH2980, 4.00%, 1/1/41 | 1,029,582 | ||||
1,159,914 | Pool #AH5656, 4.00%, 1/1/41 | 1,256,694 | ||||
689,535 | Pool #AH5657, 4.00%, 2/1/41 | 744,698 | ||||
885,888 | Pool #AH5658, 4.00%, 2/1/41 | 956,759 | ||||
701,635 | Pool #AH5662, 4.00%, 2/1/41 | 765,002 | ||||
858,261 | Pool #AH5882, 4.00%, 2/1/26 | 912,305 | ||||
903,611 | Pool #AH6764, 4.00%, 3/1/41 | 975,900 | ||||
2,046,350 | Pool #AH6768, 4.00%, 3/1/41 | 2,210,058 | ||||
353,300 | Pool #AH7277, 4.00%, 3/1/41 | 384,380 | ||||
1,138,642 | Pool #AH7281, 4.00%, 3/1/41 | 1,230,445 | ||||
520,788 | Pool #AH7526, 4.50%, 3/1/41 | 574,291 | ||||
1,342,640 | Pool #AH7537, 4.00%, 3/1/41 | 1,450,051 | ||||
738,098 | Pool #AH8878, 4.50%, 4/1/41 | 811,734 | ||||
611,392 | Pool #AH8885, 4.50%, 4/1/41 | 672,770 | ||||
702,060 | Pool #AH9050, 3.50%, 2/1/26 | 741,852 | ||||
582,722 | Pool #AI0114, 4.00%, 3/1/41 | 629,704 | ||||
999,307 | Pool #AI1846, 4.50%, 5/1/41 | 1,099,004 | ||||
791,974 | Pool #AI1847, 4.50%, 5/1/41 | 873,584 | ||||
1,630,557 | Pool #AI1848, 4.50%, 5/1/41 | 1,793,230 | ||||
1,054,574 | Pool #AI1849, 4.50%, 5/1/41 | 1,180,876 | ||||
545,319 | Pool #AJ0651, 4.00%, 8/1/41 | 588,774 | ||||
504,586 | Pool #AJ7668, 4.00%, 11/1/41 | 544,795 | ||||
916,109 | Pool #AJ9133, 4.00%, 1/1/42 | 989,112 | ||||
10,262,254 | Pool #AK2386, 3.50%, 2/1/42(b) | 10,860,752 | ||||
3,631,346 | Pool #AK6715, 3.50%, 3/1/42(b) | 3,843,127 | ||||
1,425,979 | Pool #AK6716, 3.50%, 3/1/42 | 1,509,142 | ||||
716,717 | Pool #AK6718, 3.50%, 2/1/42 | 758,517 | ||||
624,320 | Pool #AM0414, 2.87%, 9/1/27 | 655,905 | ||||
466,135 | Pool #AM0635, 2.55%, 10/1/22 | 485,017 | ||||
934,571 | Pool #AM1750, 3.04%, 12/1/30 | 988,032 | ||||
4,932,817 | Pool #AM4392, 3.79%, 10/1/23 | 5,474,635 | ||||
498,851 | Pool #AM4590, 3.18%, 10/1/20 | 527,606 | ||||
2,347,930 | Pool #AM5335, 3.69%, 2/1/24 | 2,598,885 | ||||
1,927,927 | Pool #AM5486, 3.70%, 2/1/24 | 2,134,687 |
18 |
SCHEDULE OF PORTFOLIO INVESTMENTS
|
Access Capital Community Investment Fund (cont.)
September 30, 2016
Principal Amount | Value | |||||
$ 243,451 | Pool #AM6907, 3.68%, 10/1/32 | $ | 274,701 | |||
1,542,664 | Pool #AM7764, 3.05%, 1/1/27 | 1,644,766 | ||||
977,729 | Pool #AM7938, 2.59%, 12/1/25 | 1,016,446 | ||||
295,437 | Pool #AM9239, 3.03%, 6/1/25 | 315,244 | ||||
494,723 | Pool #AM9780, 3.31%, 3/1/31 | 531,313 | ||||
997,415 | Pool #AN2066, 2.75%, 7/1/26 | 1,039,228 | ||||
1,000,000 | Pool #AN2398, 2.52%, 7/1/28 | 1,021,022 | ||||
1,000,000 | Pool #AN2746, 2.30%, 9/1/26 | 1,017,220 | ||||
1,131,298 | Pool #AO2923, 3.50%, 5/1/42 | 1,197,276 | ||||
2,755,504 | Pool #AO8029, 3.50%, 7/1/42(b) | 2,916,205 | ||||
723,727 | Pool #AP7483, 3.50%, 9/1/42 | 765,935 | ||||
995,836 | Pool #AQ6710, 2.50%, 10/1/27 | 1,032,090 | ||||
1,927,551 | Pool #AQ7193, 3.50%, 7/1/43 | 2,039,966 | ||||
2,719,532 | Pool #AR3088, 3.00%, 1/1/43 | 2,841,486 | ||||
863,890 | Pool #AR6712, 3.00%, 1/1/43 | 901,550 | ||||
942,812 | Pool #AR6928, 3.00%, 3/1/43 | 982,440 | ||||
523,638 | Pool #AR6933, 3.00%, 3/1/43 | 545,647 | ||||
938,959 | Pool #AS1916, 4.00%, 3/1/44 | 1,010,555 | ||||
822,615 | Pool #AS1917, 4.00%, 3/1/44 | 885,340 | ||||
211,031 | Pool #AS2129, 4.00%, 3/1/44 | 226,991 | ||||
1,150,987 | Pool #AS2439, 4.00%, 5/1/44 | 1,248,101 | ||||
2,529,285 | Pool #AS2784, 4.00%, 7/1/44 | 2,720,563 | ||||
1,851,431 | Pool #AS3244, 4.00%, 9/1/44 | 1,990,289 | ||||
2,455,396 | Pool #AS3494, 4.00%, 10/1/44(b) | 2,639,551 | ||||
1,641,853 | Pool #AS3726, 4.00%, 11/1/44 | 1,764,992 | ||||
2,218,346 | Pool #AS3728, 4.00%, 11/1/44 | 2,384,722 | ||||
1,020,838 | Pool #AS3926, 3.50%, 12/1/44 | 1,077,822 | ||||
1,055,017 | Pool #AS3929, 4.00%, 12/1/44 | 1,134,143 | ||||
961,990 | Pool #AS3930, 4.00%, 11/1/44 | 1,034,139 | ||||
1,072,974 | Pool #AS4070, 4.00%, 12/1/44 | 1,169,541 | ||||
1,327,451 | Pool #AS4240, 3.50%, 1/1/45 | 1,401,549 | ||||
1,614,336 | Pool #AS4388, 3.50%, 2/1/45 | 1,703,440 | ||||
817,422 | Pool #AS4390, 3.50%, 2/1/45 | 862,539 | ||||
1,063,078 | Pool #AS4732, 3.50%, 4/1/45 | 1,121,754 | ||||
8,889,411 | Pool #AS4737, 3.50%, 4/1/45(b) | 9,380,065 | ||||
1,892,029 | Pool #AS4743, 3.50%, 4/1/45 | 1,996,460 | ||||
1,193,926 | Pool #AS4905, 3.50%, 4/1/45 | 1,261,318 | ||||
8,562,717 | Pool #AS4908, 3.50%, 5/1/45(b) | 9,035,339 | ||||
1,044,638 | Pool #AS4910, 3.50%, 5/1/45 | 1,102,297 | ||||
8,829,497 | Pool #AS5114, 3.50%, 6/1/45 | 9,316,844 | ||||
1,303,868 | Pool #AS5118, 3.50%, 5/1/45 | 1,375,835 | ||||
1,424,925 | Pool #AS5341, 3.50%, 7/1/45 | 1,503,575 | ||||
2,586,612 | Pool #AS5345, 3.50%, 7/1/45(b) | 2,729,381 | ||||
1,802,055 | Pool #AS5576, 4.00%, 8/1/45 | 1,934,393 | ||||
2,448,558 | Pool #AS5749, 3.50%, 9/1/45(b) | 2,583,707 | ||||
2,555,505 | Pool #AS5916, 3.50%, 9/1/45(b) | 2,696,557 | ||||
1,011,706 | Pool #AS5919, 3.50%, 9/1/45 | 1,067,864 | ||||
1,023,744 | Pool #AS5922, 3.50%, 9/1/45 | 1,080,250 |
19 |
SCHEDULE OF PORTFOLIO INVESTMENTS
|
Access Capital Community Investment Fund (cont.)
September 30, 2016
Principal Amount | Value | |||||
$1,995,289 | Pool #AS63C3, 4.00%, 12/1/45 | $ | 2,142,441 | |||
1,581,871 | Pool #AS6469, 4.00%, 11/1/45 | 1,698,039 | ||||
737,229 | Pool #AS6607, 4.00%, 1/1/46 | 791,600 | ||||
1,962,625 | Pool #AS6778, 3.50%, 3/1/46 | 2,072,026 | ||||
1,389,848 | Pool #AS6958, 3.50%, 4/1/46 | 1,467,973 | ||||
1,802,722 | Pool #AS7138, 3.50%, 5/1/46 | 1,904,054 | ||||
1,031,424 | Pool #AS7139, 3.50%, 5/1/46 | 1,089,402 | ||||
1,907,557 | Pool #AS7333, 3.00%, 6/1/46 | 1,984,157 | ||||
1,914,545 | Pool #AS7334, 3.00%, 6/1/46 | 1,991,426 | ||||
1,926,174 | Pool #AS7335, 3.00%, 5/1/46 | 2,003,522 | ||||
1,087,507 | Pool #AS7336, 3.00%, 6/1/46 | 1,134,236 | ||||
2,284,539 | Pool #AS7339, 3.00%, 6/1/46 | 2,376,278 | ||||
3,813,315 | Pool #AS7504, 3.00%, 7/1/46 | 3,966,443 | ||||
1,072,263 | Pool #AS7512, 3.00%, 7/1/46 | 1,115,321 | ||||
1,755,620 | Pool #AS7515, 3.00%, 7/1/46 | 1,826,119 | ||||
1,025,976 | Pool #AS7516, 3.00%, 7/1/46 | 1,067,175 | ||||
1,715,875 | Pool #AS7517, 3.00%, 6/1/46 | 1,784,778 | ||||
1,029,675 | Pool #AS7518, 3.00%, 7/1/46 | 1,071,023 | ||||
2,677,102 | Pool #AS7674, 3.00%, 8/1/46 | 2,784,604 | ||||
4,883,933 | Pool #AS7675, 3.00%, 8/1/46 | 5,080,054 | ||||
1,984,281 | Pool #AS7676, 3.00%, 8/1/46 | 2,063,963 | ||||
4,851,993 | Pool #AS8053, 3.00%, 10/1/46 | 5,046,831 | ||||
1,305,358 | Pool #AS8054, 3.00%, 10/1/46 | 1,357,776 | ||||
1,390,061 | Pool #AT2688, 3.00%, 5/1/43 | 1,448,487 | ||||
1,523,375 | Pool #AT2689, 3.00%, 5/1/43 | 1,587,404 | ||||
868,933 | Pool #AT2690, 3.00%, 4/1/43(b) | 905,455 | ||||
853,350 | Pool #AT2691, 3.00%, 5/1/43 | 889,217 | ||||
886,602 | Pool #AT3963, 2.50%, 3/1/28 | 919,019 | ||||
730,546 | Pool #AT7873, 2.50%, 6/1/28 | 758,284 | ||||
827,285 | Pool #AT8051, 3.00%, 6/1/43 | 862,057 | ||||
1,214,986 | Pool #AU0971, 3.50%, 8/1/43 | 1,285,845 | ||||
1,048,357 | Pool #AU2165, 3.50%, 7/1/43 | 1,109,498 | ||||
885,623 | Pool #AU2188, 3.50%, 8/1/43 | 937,273 | ||||
923,159 | Pool #AU3700, 3.50%, 8/1/43 | 981,902 | ||||
723,513 | Pool #AU4653, 3.50%, 9/1/43 | 775,996 | ||||
620,159 | Pool #AU6054, 4.00%, 9/1/43 | 668,028 | ||||
506,344 | Pool #AU6718, 4.00%, 10/1/43 | 549,225 | ||||
1,436,853 | Pool #AU7003, 4.00%, 11/1/43 | 1,567,741 | ||||
1,046,147 | Pool #AU7005, 4.00%, 11/1/43 | 1,132,455 | ||||
1,092,924 | Pool #AV0679, 4.00%, 12/1/43 | 1,192,483 | ||||
728,940 | Pool #AV9282, 4.00%, 2/1/44 | 784,521 | ||||
1,249,933 | Pool #AW0993, 4.00%, 5/1/44 | 1,363,989 | ||||
627,528 | Pool #AW1565, 4.00%, 4/1/44 | 674,985 | ||||
363,496 | Pool #AW3671, 4.00%, 4/1/44 | 394,166 | ||||
1,190,837 | Pool #AW5046, 4.00%, 7/1/44 | 1,280,894 | ||||
1,185,223 | Pool #AW5047, 4.00%, 7/1/44 | 1,274,855 | ||||
631,526 | Pool #AW7040, 4.00%, 6/1/44 | 684,811 | ||||
1,088,265 | Pool #AW8629, 3.50%, 5/1/44 | 1,150,373 |
20 |
SCHEDULE OF PORTFOLIO INVESTMENTS
|
Access Capital Community Investment Fund (cont.)
September 30, 2016
Principal Amount | Value | |||||
$1,008,222 | Pool #AX2884, 3.50%, 11/1/44 | $ | 1,078,837 | |||
1,935,526 | Pool #AX4860, 3.50%, 12/1/44 | 2,043,567 | ||||
1,082,251 | Pool #AY0075, 3.50%, 11/1/44 | 1,142,662 | ||||
1,860,884 | Pool #AY1389, 3.50%, 4/1/45 | 1,963,596 | ||||
1,337,935 | Pool #AY3435, 3.50%, 5/1/45 | 1,411,783 | ||||
1,637,233 | Pool #AY5571, 3.50%, 6/1/45 | 1,727,601 | ||||
1,815,789 | Pool #BC0802, 3.50%, 4/1/46 | 1,917,856 | ||||
1,680,775 | Pool #BC0804, 3.50%, 4/1/46 | 1,775,253 | ||||
1,311,566 | Pool #BC1135, 3.00%, 6/1/46 | 1,364,234 | ||||
2,751,614 | Pool #BD3807, 3.00%, 7/1/46 | 2,862,108 | ||||
56,890 | Pool #MC0013, 5.50%, 12/1/38 | 66,055 | ||||
93,418 | Pool #MC0014, 5.50%, 12/1/38 | 108,759 | ||||
76,183 | Pool #MC0016, 5.50%, 11/1/38 | 87,837 | ||||
150,318 | Pool #MC0038, 4.50%, 3/1/39 | 171,022 | ||||
51,763 | Pool #MC0059, 4.00%, 4/1/39 | 57,797 | ||||
91,363 | Pool #MC0081, 4.00%, 5/1/39 | 100,185 | ||||
112,711 | Pool #MC0112, 4.50%, 6/1/39 | 128,799 | ||||
205,397 | Pool #MC0127, 4.50%, 7/1/39 | 228,168 | ||||
65,973 | Pool #MC0135, 4.50%, 6/1/39 | 75,060 | ||||
107,667 | Pool #MC0137, 4.50%, 7/1/39 | 119,233 | ||||
927,845 | Pool #MC0154, 4.50%, 8/1/39 | 1,022,587 | ||||
315,035 | Pool #MC0160, 4.50%, 8/1/39 | 348,975 | ||||
224,636 | Pool #MC0171, 4.50%, 9/1/39 | 252,137 | ||||
331,478 | Pool #MC0177, 4.50%, 9/1/39 | 367,190 | ||||
130,139 | Pool #MC0270, 4.50%, 3/1/40 | 144,200 | ||||
587,078 | Pool #MC0325, 4.50%, 7/1/40 | 657,940 | ||||
97,299 | Pool #MC0426, 4.50%, 1/1/41 | 107,067 | ||||
905,080 | Pool #MC0584, 4.00%, 1/1/42 | 977,204 | ||||
479,111 | Pool #MC0585, 4.00%, 1/1/42 | 517,290 | ||||
67,801 | Pool #MC3344, 5.00%, 12/1/38 | 77,436 | ||||
|
| |||||
370,196,746 | ||||||
|
| |||||
Freddie Mac — 7.90% | ||||||
88,288 | Pool #A10124, 5.00%, 6/1/33 | 100,197 | ||||
218,370 | Pool #A10548, 5.00%, 6/1/33 | 244,941 | ||||
239,961 | Pool #A12237, 5.00%, 8/1/33 | 268,662 | ||||
103,578 | Pool #A12969, 4.50%, 8/1/33 | 114,462 | ||||
74,665 | Pool #A12985, 5.00%, 8/1/33 | 85,271 | ||||
61,808 | Pool #A12986, 5.00%, 8/1/33 | 70,621 | ||||
42,181 | Pool #A14028, 4.50%, 9/1/33 | 47,233 | ||||
141,654 | Pool #A14325, 5.00%, 9/1/33 | 158,909 | ||||
85,634 | Pool #A15268, 6.00%, 10/1/33 | 101,272 | ||||
282,921 | Pool #A15579, 5.50%, 11/1/33 | 321,975 | ||||
137,651 | Pool #A17393, 5.50%, 12/1/33 | 159,303 | ||||
177,398 | Pool #A17397, 5.50%, 1/1/34 | 205,801 | ||||
252,644 | Pool #A18617, 5.50%, 1/1/34 | 292,140 | ||||
271,084 | Pool #A19019, 5.50%, 2/1/34 | 315,465 | ||||
247,351 | Pool #A20070, 5.50%, 3/1/34 | 280,711 |
21 |
SCHEDULE OF PORTFOLIO INVESTMENTS
|
Access Capital Community Investment Fund (cont.)
September 30, 2016
Principal Amount | Value | |||||
$328,501 | Pool #A20540, 5.50%, 4/1/34 | $ | 377,650 | |||
125,926 | Pool #A20541, 5.50%, 4/1/34 | 144,751 | ||||
118,324 | Pool #A21679, 5.50%, 4/1/34 | 132,777 | ||||
175,107 | Pool #A23192, 5.00%, 5/1/34 | 196,701 | ||||
630,945 | Pool #A25310, 5.00%, 6/1/34 | 706,635 | ||||
283,785 | Pool #A25311, 5.00%, 6/1/34 | 318,775 | ||||
167,739 | Pool #A26395, 6.00%, 9/1/34 | 197,517 | ||||
85,312 | Pool #A26396, 5.50%, 9/1/34 | 99,811 | ||||
255,366 | Pool #A28241, 5.50%, 10/1/34 | 294,145 | ||||
26,266 | Pool #A30055, 5.00%, 11/1/34 | 29,082 | ||||
191,793 | Pool #A30591, 6.00%, 12/1/34 | 223,844 | ||||
254,782 | Pool #A31135, 5.50%, 12/1/34 | 292,802 | ||||
313,751 | Pool #A33167, 5.00%, 1/1/35 | 355,718 | ||||
321,209 | Pool #A34999, 5.50%, 4/1/35 | 371,020 | ||||
78,142 | Pool #A35628, 5.50%, 6/1/35 | 91,008 | ||||
437,314 | Pool #A37185, 5.00%, 9/1/35 | 491,038 | ||||
345,831 | Pool #A38830, 5.00%, 5/1/35 | 387,969 | ||||
104,724 | Pool #A40538, 5.00%, 12/1/35 | 117,589 | ||||
134,300 | Pool #A42095, 5.50%, 1/1/36 | 155,908 | ||||
237,629 | Pool #A42097, 5.00%, 1/1/36 | 268,010 | ||||
174,135 | Pool #A42098, 5.50%, 1/1/36 | 198,072 | ||||
343,108 | Pool #A42803, 5.50%, 2/1/36 | 396,919 | ||||
39,617 | Pool #A42804, 6.00%, 2/1/36 | 44,825 | ||||
107,937 | Pool #A42805, 6.00%, 2/1/36 | 125,196 | ||||
245,666 | Pool #A44639, 5.50%, 3/1/36 | 282,275 | ||||
283,897 | Pool #A45396, 5.00%, 6/1/35 | 318,774 | ||||
208,692 | Pool #A46321, 5.50%, 7/1/35 | 243,053 | ||||
81,574 | Pool #A46735, 5.00%, 8/1/35 | 92,692 | ||||
214,778 | Pool #A46746, 5.50%, 8/1/35 | 248,396 | ||||
98,760 | Pool #A46748, 5.50%, 8/1/35 | 114,620 | ||||
94,233 | Pool #A46996, 5.50%, 9/1/35 | 109,366 | ||||
333,074 | Pool #A46997, 5.50%, 9/1/35 | 382,606 | ||||
487,530 | Pool #A47552, 5.00%, 11/1/35 | 547,424 | ||||
254,758 | Pool #A47553, 5.00%, 11/1/35 | 287,329 | ||||
185,430 | Pool #A47554, 5.50%, 11/1/35 | 215,265 | ||||
168,080 | Pool #A48789, 6.00%, 5/1/36 | 192,490 | ||||
85,792 | Pool #A49013, 6.00%, 5/1/36 | 100,490 | ||||
163,790 | Pool #A49526, 6.00%, 5/1/36 | 188,039 | ||||
165,636 | Pool #A49843, 6.00%, 6/1/36 | 193,624 | ||||
454,522 | Pool #A49844, 6.00%, 6/1/36 | 521,241 | ||||
21,184 | Pool #A49845, 6.50%, 6/1/36 | 23,299 | ||||
95,609 | Pool #A50128, 6.00%, 6/1/36 | 106,650 | ||||
283,742 | Pool #A59530, 5.50%, 4/1/37 | 322,568 | ||||
204,584 | Pool #A59964, 5.50%, 4/1/37 | 237,182 | ||||
85,304 | Pool #A61754, 5.50%, 5/1/37 | 99,242 | ||||
90,747 | Pool #A61779, 5.50%, 5/1/37 | 105,575 | ||||
99,571 | Pool #A61915, 5.50%, 6/1/37 | 115,436 | ||||
150,239 | Pool #A61916, 6.00%, 6/1/37 | 172,673 |
22 |
SCHEDULE OF PORTFOLIO INVESTMENTS
|
Access Capital Community Investment Fund (cont.)
September 30, 2016
Principal Amount | Value | |||||
$227,494 | Pool #A63456, 5.50%, 6/1/37 | $ | 262,817 | |||
539,390 | Pool #A64012, 5.50%, 7/1/37 | 613,030 | ||||
203,138 | Pool #A64015, 6.00%, 7/1/37 | 236,056 | ||||
494,193 | Pool #A66061, 5.50%, 8/1/37 | 570,928 | ||||
362,471 | Pool #A66122, 6.00%, 8/1/37 | 421,034 | ||||
103,548 | Pool #A66133, 6.00%, 6/1/37 | 121,063 | ||||
160,946 | Pool #A66156, 6.50%, 9/1/37 | 188,157 | ||||
213,634 | Pool #A68766, 6.00%, 10/1/37 | 247,034 | ||||
86,525 | Pool #A70292, 5.50%, 7/1/37 | 99,284 | ||||
117,188 | Pool #A75113, 5.00%, 3/1/38 | 131,877 | ||||
93,823 | Pool #A76187, 5.00%, 4/1/38 | 106,727 | ||||
166,323 | Pool #A78354, 5.50%, 11/1/37 | 189,186 | ||||
771,461 | Pool #A91887, 5.00%, 4/1/40 | 875,638 | ||||
296,616 | Pool #A92388, 4.50%, 5/1/40 | 328,363 | ||||
459,879 | Pool #A93962, 4.50%, 9/1/40 | 509,388 | ||||
570,904 | Pool #A95573, 4.00%, 12/1/40 | 618,182 | ||||
517,640 | Pool #A96339, 4.00%, 12/1/40 | 560,507 | ||||
557,688 | Pool #A97099, 4.00%, 1/1/41 | 607,880 | ||||
571,074 | Pool #A97715, 4.00%, 3/1/41 | 622,470 | ||||
391,341 | Pool #A97716, 4.50%, 3/1/41 | 430,903 | ||||
36,097 | Pool #B31140, 6.50%, 10/1/31 | 40,034 | ||||
24,011 | Pool #B31206, 6.00%, 3/1/32 | 26,397 | ||||
70,145 | Pool #B31493, 5.00%, 2/1/34 | 76,157 | ||||
57,825 | Pool #B31532, 5.00%, 5/1/34 | 62,766 | ||||
87,047 | Pool #B31546, 5.50%, 5/1/34 | 95,573 | ||||
52,946 | Pool #B31547, 5.50%, 5/1/34 | 58,137 | ||||
87,967 | Pool #B31551, 5.50%, 6/1/34 | 96,549 | ||||
61,956 | Pool #B31587, 5.00%, 11/1/34 | 67,320 | ||||
61,837 | Pool #B31588, 5.50%, 11/1/34 | 67,883 | ||||
37,108 | Pool #B50450, 4.50%, 1/1/19 | 38,258 | ||||
20,274 | Pool #B50451, 5.00%, 1/1/19 | 20,770 | ||||
5,130 | Pool #B50470, 4.50%, 4/1/19 | 5,289 | ||||
68,649 | Pool #B50496, 5.50%, 9/1/19 | 71,802 | ||||
44,631 | Pool #B50499, 5.00%, 11/1/19 | 46,336 | ||||
8,471 | Pool #B50500, 5.50%, 10/1/19 | 8,831 | ||||
11,293 | Pool #B50501, 4.50%, 11/1/19 | 11,513 | ||||
29,926 | Pool #B50504, 5.50%, 11/1/19 | 31,367 | ||||
95,462 | Pool #B50506, 5.00%, 11/1/19 | 99,518 | ||||
37,825 | Pool #C37233, 7.50%, 2/1/30 | 44,914 | ||||
185,568 | Pool #C51686, 6.50%, 5/1/31 | 217,173 | ||||
102,965 | Pool #C53210, 6.50%, 6/1/31 | 120,814 | ||||
45,356 | Pool #C60020, 6.50%, 11/1/31 | 53,076 | ||||
52,638 | Pool #C65616, 6.50%, 3/1/32 | 61,110 | ||||
52,683 | Pool #C68324, 6.50%, 6/1/32 | 61,804 | ||||
104,890 | Pool #C73273, 6.00%, 11/1/32 | 122,283 | ||||
170,631 | Pool #C73525, 6.00%, 11/1/32 | 201,846 | ||||
56,294 | Pool #C74672, 5.50%, 11/1/32 | 65,572 | ||||
161,044 | Pool #C77844, 5.50%, 3/1/33 | 184,910 |
23 |
SCHEDULE OF PORTFOLIO INVESTMENTS
|
Access Capital Community Investment Fund (cont.)
September 30, 2016
Principal Amount | Value | |||||
$ 60,359 | Pool #C77845, 5.50%, 3/1/33 | $ | 70,612 | |||
40,660 | Pool #C78252, 5.50%, 3/1/33 | 46,966 | ||||
88,122 | Pool #J00980, 5.00%, 1/1/21 | 93,660 | ||||
23,545 | Pool #J05466, 5.50%, 6/1/22 | 24,622 | ||||
722,203 | Pool #J21142, 2.50%, 11/1/27 | 748,383 | ||||
654,320 | Pool #J23532, 2.50%, 5/1/28 | 678,039 | ||||
319,603 | Pool #Q00462, 4.00%, 3/1/41 | 344,971 | ||||
662,715 | Pool #Q00465, 4.50%, 4/1/41 | 728,986 | ||||
864,431 | Pool #Q05867, 3.50%, 12/1/41 | 915,183 | ||||
965,171 | Pool #Q06239, 3.50%, 1/1/42 | 1,021,837 | ||||
330,148 | Pool #Q06406, 4.00%, 2/1/42 | 356,250 | ||||
1,255,774 | Pool #Q13349, 3.00%, 11/1/42 | 1,309,438 | ||||
1,312,592 | Pool #Q17662, 3.00%, 4/1/43 | 1,367,865 | ||||
1,117,652 | Pool #Q18754, 3.00%, 6/1/43 | 1,164,715 | ||||
1,238,789 | Pool #Q18772, 3.00%, 6/1/43 | 1,290,954 | ||||
2,147,201 | Pool #Q32756, 3.00%, 4/1/45 | 2,234,263 | ||||
1,256,128 | Pool #Q33966, 3.50%, 6/1/45 | 1,325,166 | ||||
1,151,938 | Pool #Q41898, 3.50%, 7/1/46 | 1,219,119 | ||||
1,334,762 | Pool #Q41900, 3.50%, 7/1/46 | 1,412,606 | ||||
1,294,825 | Pool #Q41901, 3.50%, 7/1/46 | 1,370,340 | ||||
2,790,510 | Pool #Q43041, 3.00%, 9/1/46 | 2,901,912 | ||||
1,390,404 | Pool #Q43155, 3.00%, 9/1/46 | 1,445,912 | ||||
1,459,131 | Pool #Q43157, 3.00%, 9/1/46 | 1,517,382 | ||||
|
| |||||
47,392,741 | ||||||
|
| |||||
Ginnie Mae — 29.79% |
| |||||
266,587 | Pool #409117, 5.50%, 6/20/38 | 293,892 | ||||
1,334,943 | Pool #442423, 4.00%, 9/20/41 | 1,451,855 | ||||
227,288 | Pool #487643, 5.00%, 2/15/39 | 256,676 | ||||
409,879 | Pool #588448, 6.25%, 9/15/32 | 411,091 | ||||
459,339 | Pool #616936, 5.50%, 1/15/36 | 524,713 | ||||
381,824 | Pool #617904, 5.75%, 9/15/23 | 382,959 | ||||
1,792,714 | Pool #618363, 4.00%, 9/20/41 | 1,930,669 | ||||
489,290 | Pool #624106, 5.13%, 3/15/34 | 490,422 | ||||
451,340 | Pool #654705, 4.00%, 9/20/41 | 486,072 | ||||
417,154 | Pool #664269, 5.85%, 6/15/38 | 423,932 | ||||
125,341 | Pool #675509, 5.50%, 6/15/38 | 144,294 | ||||
421,543 | Pool #697672, 5.50%, 12/15/38 | 484,099 | ||||
286,242 | Pool #697814, 5.00%, 2/15/39 | 319,987 | ||||
379,962 | Pool #697885, 4.50%, 3/15/39 | 421,165 | ||||
116,521 | Pool #698112, 4.50%, 5/15/39 | 129,502 | ||||
647,127 | Pool #698113, 4.50%, 5/15/39 | 719,221 | ||||
188,391 | Pool #699294, 5.63%, 9/20/38 | 212,537 | ||||
2,008,442 | Pool #713519, 6.00%, 7/15/39 | 2,338,390 | ||||
329,321 | Pool #714561, 4.50%, 6/15/39 | 366,010 | ||||
290,382 | Pool #716822, 4.50%, 4/15/39 | 324,820 | ||||
248,016 | Pool #716823, 4.50%, 4/15/39 | 277,429 |
24 |
SCHEDULE OF PORTFOLIO INVESTMENTS
|
Access Capital Community Investment Fund (cont.)
September 30, 2016
Principal Amount | Value | |||||
$ 124,940 | Pool #717132, 4.50%, 5/15/39 | $ | 139,913 | |||
259,874 | Pool #717133, 4.50%, 5/15/39 | 287,891 | ||||
880,920 | Pool #720080, 4.50%, 6/15/39 | 979,267 | ||||
707,447 | Pool #720521, 5.00%, 8/15/39 | 791,732 | ||||
899,490 | Pool #724629, 5.00%, 7/20/40 | 1,005,567 | ||||
1,306,917 | Pool #726550, 5.00%, 9/15/39 | 1,462,624 | ||||
532,103 | Pool #729018, 4.50%, 2/15/40 | 587,309 | ||||
281,772 | Pool #729019, 5.00%, 2/15/40 | 315,342 | ||||
407,049 | Pool #729346, 4.50%, 7/15/41 | 451,379 | ||||
531,082 | Pool #738844, 3.50%, 10/15/41 | 568,444 | ||||
335,760 | Pool #738845, 3.50%, 10/15/41 | 358,595 | ||||
1,253,338 | Pool #738862, 4.00%, 10/15/41 | 1,355,906 | ||||
364,825 | Pool #747241, 5.00%, 9/20/40 | 406,281 | ||||
816,417 | Pool #748654, 3.50%, 9/15/40 | 871,047 | ||||
159,700 | Pool #748846, 4.50%, 9/20/40 | 182,039 | ||||
771,404 | Pool #757016, 3.50%, 11/15/40 | 823,142 | ||||
592,429 | Pool #757017, 4.00%, 12/15/40 | 642,785 | ||||
771,087 | Pool #759297, 4.00%, 1/20/41 | 845,726 | ||||
577,295 | Pool #759298, 4.00%, 2/20/41 | 622,802 | ||||
532,734 | Pool #762877, 4.00%, 4/15/41 | 576,331 | ||||
388,636 | Pool #763564, 4.50%, 5/15/41 | 430,961 | ||||
484,055 | Pool #770391, 4.50%, 6/15/41 | 536,772 | ||||
904,942 | Pool #770481, 4.00%, 8/15/41 | 978,999 | ||||
236,862 | Pool #770482, 4.50%, 8/15/41 | 262,658 | ||||
728,071 | Pool #770517, 4.00%, 8/15/41 | 791,066 | ||||
556,066 | Pool #770529, 4.00%, 8/15/41 | 601,572 | ||||
958,468 | Pool #770537, 4.00%, 8/15/41 | 1,041,398 | ||||
398,444 | Pool #770738, 4.50%, 6/20/41 | 442,164 | ||||
1,173,222 | Pool #779592, 4.00%, 11/20/41 | 1,263,505 | ||||
498,599 | Pool #779593, 4.00%, 11/20/41 | 536,967 | ||||
733,772 | Pool #AA6312, 3.00%, 4/15/43 | 771,492 | ||||
943,766 | Pool #AA6424, 3.00%, 5/15/43 | 992,282 | ||||
1,633,645 | Pool #AB2733, 3.50%, 8/15/42 | 1,747,350 | ||||
2,303,491 | Pool #AB2745, 3.00%, 8/15/42 | 2,421,905 | ||||
2,312,275 | Pool #AB2841, 3.00%, 9/15/42 | 2,431,141 | ||||
754,437 | Pool #AB2843, 3.00%, 9/15/42 | 793,220 | ||||
739,116 | Pool #AB2852, 3.50%, 9/15/42 | 788,920 | ||||
5,560,972 | Pool #AC9541, 2.12%, 2/15/48 | 5,527,176 | ||||
847,003 | Pool #AE6946, 3.00%, 6/15/43 | 890,544 | ||||
756,949 | Pool #AE8253, 4.00%, 2/20/44 | 813,306 | ||||
657,962 | Pool #AG8915, 4.00%, 2/20/44 | 721,445 | ||||
1,044,469 | Pool #AK6446, 3.00%, 1/15/45 | 1,096,530 | ||||
1,080,998 | Pool #AK7036, 3.00%, 4/15/45 | 1,132,852 | ||||
2,025,505 | Pool #AO3594, 3.50%, 8/20/45 | 2,149,805 | ||||
1,352,800 | Pool #AO8336, 3.50%, 9/20/45 | 1,438,224 | ||||
1,879,284 | Pool #AP3887, 3.50%, 9/20/45 | 1,994,610 | ||||
1,122,966 | Pool #AR4919, 3.50%, 3/20/46 | 1,194,179 | ||||
1,439,876 | Pool #AR4970, 3.50%, 4/20/46 | 1,531,185 |
25 |
SCHEDULE OF PORTFOLIO INVESTMENTS
|
Access Capital Community Investment Fund (cont.)
September 30, 2016
Principal Amount | Value | |||||
$2,004,029 | Pool #AR9008, 3.00%, 5/20/46 | $ | 2,101,312 | |||
2,053,702 | Pool #AS2837, 3.50%, 3/20/46 | 2,183,938 | ||||
1,184,647 | Pool #AS2921, 3.50%, 4/20/46 | 1,259,778 | ||||
1,417,867 | Pool #AS4332, 3.00%, 6/20/46 | 1,486,694 | ||||
1,095,457 | Pool #AS5511, 3.50%, 3/20/46 | 1,164,935 | ||||
700,000 | Series 2012-100, Class B, 2.31%, 11/16/51(c) | 698,085 | ||||
2,390,864 | Series 2012-107, Class A, 1.15%, 1/16/45 | 2,322,765 | ||||
1,600,000 | Series 2012-112, Class B, 2.70%, 1/16/53 | 1,606,326 | ||||
5,490,850 | Series 2012-114, Class A, 2.10%, 1/16/53(c) | 5,449,937 | ||||
2,065,435 | Series 2012-115, Class A, 2.13%, 4/16/45 | 2,056,816 | ||||
3,032,927 | Series 2012-120, Class A, 1.90%, 2/16/53 | 2,978,683 | ||||
1,324,892 | Series 2012-131, Class A, 1.90%, 2/16/53 | 1,294,041 | ||||
658,900 | Series 2012-144 Class AD, 1.77%, 1/16/53 | 644,902 | ||||
6,000,000 | Series 2012-33, Class B, 2.89%, 3/16/46 | 6,215,461 | ||||
3,000,000 | Series 2012-35, Class C, 3.25%, 11/16/52(c) | 3,092,414 | ||||
1,600,000 | Series 2012-45, Class C, 3.45%, 4/16/53(c) | 1,690,549 | ||||
2,126,666 | Series 2012-53, Class AC, 2.38%, 12/16/43 | 2,148,853 | ||||
8,000,000 | Series 2012-58, Class B, 2.20%, 3/16/44 | 8,024,801 | ||||
725,373 | Series 2012-70, Class A, 1.73%, 5/16/42 | 724,257 | ||||
2,359,926 | Series 2012-72, Class A, 1.71%, 5/16/42 | 2,343,258 | ||||
2,403,436 | Series 2012-78, Class A, 1.68%, 3/16/44 | 2,399,965 | ||||
1,175,813 | Series 2013-101, Class AG, 1.76%, 4/16/38 | 1,167,517 | ||||
1,194,451 | Series 2013-105, Class A, 1.71%, 2/16/37 | 1,184,424 | ||||
1,312,709 | Series 2013-107, Class A, 2.00%, 5/16/40 | 1,306,459 | ||||
1,339,224 | Series 2013-126, Class BK, 2.45%, 10/16/47 | 1,349,385 | ||||
661,007 | Series 2013-127, Class A, 2.00%, 3/16/52 | 658,926 | ||||
827,880 | Series 2013-17, Class A, 1.13%, 1/16/49 | 806,787 | ||||
779,608 | Series 2013-29, Class AB, 1.77%, 10/16/45 | 765,137 | ||||
845,410 | Series 2013-33, Class A, 1.06%, 7/16/38 | 822,719 | ||||
2,224,307 | Series 2013-63, Class AB, 1.38%, 3/16/45 | 2,169,798 | ||||
1,432,086 | Series 2013-97, Class AC, 2.00%, 6/16/45 | 1,421,498 | ||||
1,292,848 | Series 2014-148, Class A, 2.65%, 3/1/39 | 1,313,477 | ||||
8,468,318 | Series 2014-172, Class AF, 2.50%, 1/1/55 | 8,532,759 | ||||
310,947 | Series 2014-47, Class AB, 2.25%, 8/16/40 | 311,224 | ||||
873,447 | Series 2014-54, Class AB, 2.62%, 10/16/43 | 879,602 | ||||
884,613 | Series 2014-77, Class AC, 2.35%, 10/16/40 | 887,912 | ||||
906,427 | Series 2014-82, Class AB, 2.40%, 5/16/45 | 913,270 | ||||
884,726 | Series 2015-107, Class AB, 2.20%, 11/16/49 | 894,869 | ||||
3,188,004 | Series 2015-114, Class AD, 2.50%, 11/15/51 | 3,222,462 | ||||
2,065,389 | Series 2015-128, Class AD, 2.50%, 12/16/50 | 2,093,771 | ||||
928,122 | Series 2015-130, Class AH, 2.90%, 8/16/47 | 951,743 | ||||
3,057,419 | Series 2015-135, Class AC, 2.35%, 4/16/49 | 3,087,173 | ||||
1,167,474 | Series 2015-136, Class AC, 2.50%, 3/16/47 | 1,181,612 | ||||
927,114 | Series 2015-15, Class A, 2.00%, 11/1/48 | 924,354 | ||||
1,891,960 | Series 2015-154, Class AD, 2.50%, 5/1/54 | 1,915,418 | ||||
982,816 | Series 2015-171, Class DA, 2.37%, 3/16/46 | 980,161 | ||||
1,900,043 | Series 2015-2, Class A, 2.50%, 12/16/44 | 1,927,523 | ||||
1,730,206 | Series 2015-22, Class A, 2.40%, 8/16/47 | 1,749,563 |
26 |
SCHEDULE OF PORTFOLIO INVESTMENTS
|
Access Capital Community Investment Fund (cont.)
September 30, 2016
Principal Amount | Value | |||||
$5,876,602 | Series 2015-70, Class AB, 2.30%, 11/16/48 | $ | 5,868,365 | |||
692,061 | Series 2015-75, Class A, 3.00%, 2/16/44 | 713,768 | ||||
2,584,239 | Series 2015-98, Class AB, 2.50%, 11/16/43 | 2,599,995 | ||||
739,584 | Series 2016-11, Class AD, 2.25%, 11/16/43 | 742,450 | ||||
978,930 | Series 2016-14, Class AB, 2.15%, 8/16/42 | 983,375 | ||||
971,780 | Series 2016-26, Class A, 2.25%, 12/16/55 | 976,413 | ||||
979,452 | Series 2016-28, Class AB, 2.40%, 11/16/55 | 987,766 | ||||
794,715 | Series 2016-36, Class AB, 2.30%, 6/16/56 | 800,086 | ||||
985,664 | Series 2016-39, Class AH, 2.50%, 9/16/44 | 998,111 | ||||
1,093,387 | Series 2016-50, Class A, 2.30%, 2/1/25 | 1,102,270 | ||||
2,681,136 | Series 2016-64, Class CA, 2.30%, 3/16/45 | 2,700,179 | ||||
1,992,351 | Series 2016-67, Class A, 2.30%, 2/1/25 | 2,001,462 | ||||
997,863 | Series 2016-94, Class AC, 2.20%, 8/1/37 | 994,135 | ||||
995,940 | Series 2016-96, Class BA, 1.95%, 3/16/43 | 993,842 | ||||
|
| |||||
178,755,615 | ||||||
|
| |||||
Total U.S. Government Agency Backed Mortgages | 596,345,102 | |||||
|
| |||||
(Cost $575,033,293) | ||||||
U.S. Government Agency Obligations — 2.75% |
| |||||
Small Business Administration — 2.69% |
| |||||
131,445 | 0.80%, 3/25/29(c) | 129,800 | ||||
186,871 | 0.85%, 3/25/28(c) | 185,035 | ||||
477,451 | 0.88%, 1/26/32(a) | 486,093 | ||||
991,106 | 0.90%, 7/25/41(c) | 988,314 | ||||
988,267 | 0.90%, 9/25/41(c) | 987,809 | ||||
498,519 | 0.90%, 9/25/41(c) | 497,846 | ||||
80,506 | 0.91%, 4/16/20(a) | 80,951 | ||||
7,872,672 | 1.26%, 7/18/30*(a) | 167,452 | ||||
1,073,417 | 3.16%, 11/25/27(c) | 1,145,837 | ||||
1,256,387 | 3.36%, 7/8/24(a) | 1,358,318 | ||||
59,209 | 3.36%, 7/1/21(a) | 62,194 | ||||
240,961 | 3.53%, 12/25/40(c) | 265,622 | ||||
128,336 | 3.58%, 12/18/23(a) | 138,542 | ||||
87,754 | 3.61%, 4/4/20(a) | 90,915 | ||||
1,370,000 | 3.69%, 11/25/28(c) | 1,496,252 | ||||
360,595 | 3.85%, 9/16/34(a) | 397,527 | ||||
11,096 | 4.13%, 7/18/17(a) | 11,175 | ||||
226,364 | 4.26%, 8/25/27(c) | 248,623 | ||||
449,678 | 4.30%, 6/25/28(c) | 499,032 | ||||
950,181 | 4.31%, 3/25/29(c) | 1,062,134 | ||||
1,653,334 | 4.35%, 5/25/29(c) | 1,867,882 | ||||
144,293 | 4.36%, 7/17/29(a) | 163,669 | ||||
490,076 | 4.38%, 1/25/29(c) | 548,189 | ||||
1,974,726 | 4.63%, 9/25/28(c) | 2,232,517 | ||||
222,421 | 4.70%, 11/25/26(c) | 247,986 | ||||
106,845 | 4.88%, 6/24/24(a) | 117,290 | ||||
121,894 | 5.05%, 7/25/28(c) | 138,995 |
27 |
SCHEDULE OF PORTFOLIO INVESTMENTS
|
Access Capital Community Investment Fund (cont.)
September 30, 2016
Principal Amount | Value | |||||
$ 55,093 | 5.13%, 2/28/24(a) | $ | 60,305 | |||
471,184 | 6.03%, 10/31/32(a) | 497,990 | ||||
|
| |||||
16,174,294 | ||||||
|
| |||||
United States Department of Agriculture — 0.06% |
| |||||
206,655 | 5.38%, 10/26/22(a) | 217,257 | ||||
124,555 | 6.08%, 7/1/32(a) | 131,861 | ||||
|
| |||||
349,118 | ||||||
|
| |||||
Total U.S. Government Agency Obligations | 16,523,412 | |||||
|
| |||||
(Cost $17,227,510) | ||||||
Shares | ||||||
Investment Company — 3.07% | ||||||
18,417,297 | U.S. Government Money Market Fund, RBC Institutional Class 1(d) | 18,417,297 | ||||
Total Investment Company | 18,417,297 | |||||
(Cost $18,417,297) | ||||||
Total Investments | $ | 653,069,962 | ||||
(Cost $631,983,722)(e) — 108.82% | ||||||
Liabilities in excess of other assets — (8.82)% | (52,909,764 | ) | ||||
|
| |||||
NET ASSETS — 100.00% | $ | 600,160,198 | ||||
|
|
* | 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) | The Pricing Committee has fair valued this security under procedures established by the Fund’s Board of Trustees. |
(b) | This security is either fully or partially pledged as collateral for reverse repurchase agreements. |
(c) | Floating rate note. Rate shown is as of report date. |
(d) | Affiliated investment. |
(e) | See Notes to Financial Statements for the tax cost of securities and the breakdown of unrealized appreciation (depreciation). |
Abbreviations used are defined below:
FHA - Insured by Federal Housing Administration
TBA - To-be-announced
28 |
SCHEDULE OF PORTFOLIO INVESTMENTS
|
Access Capital Community Investment Fund (cont.)
September 30, 2016
Financial futures contracts as of September 30, 2016:
Number of Contracts | Expiration Date | Unrealized Appreciation (Depreciation) | Notional Value | Clearinghouse | ||||||||||||||||
Short Position: | ||||||||||||||||||||
Five Year | ||||||||||||||||||||
U.S. Treasury Notes | 265 | December, 2016 | $ | (22,774 | ) | $ | 32,178,867 | Barclays Capital | ||||||||||||
Ten Year | ||||||||||||||||||||
U.S. Treasury Notes | 40 | December, 2016 | 657 | 5,245,657 | Barclays Capital | |||||||||||||||
U.S. Treasury Long | ||||||||||||||||||||
Bonds | 28 | December, 2016 | 66,500 | 4,774,875 | Barclays Capital | |||||||||||||||
Ultra Long Term U.S. | ||||||||||||||||||||
Treasury Bonds | 60 | December, 2016 | 4,372 | 8,653,747 | Barclays Capital | |||||||||||||||
Ultra Ten Year U.S. | ||||||||||||||||||||
Treasury Notes | 60 | December, 2016 | 189,844 | 11,222,344 | Barclays Capital | |||||||||||||||
|
| |||||||||||||||||||
Total | $ | 238,599 | ||||||||||||||||||
|
|
See Notes to Financial Statements.
29 |
|
Statement of Assets and Liabilities
September 30, 2016
Assets: | ||||
Investments in securities, at value: | ||||
Unaffiliated investments (cost $613,566,425) | $ | 634,652,665 | ||
Affiliated investments (cost $18,417,297) | 18,417,297 | |||
Interest and dividends receivable | 2,025,516 | |||
Receivable for Fund shares sold | 1,390,900 | |||
Receivable for investments sold | 8,688 | |||
Cash pledged for financial futures contracts | 1,992,458 | |||
Unrealized gain on futures contracts | 261,373 | |||
Prepaid expenses and other assets | 22,466 | |||
|
| |||
Total Assets | 658,771,363 | |||
|
| |||
Liabilities: | ||||
Distributions payable | 643,090 | |||
Unrealized loss on futures contracts | 22,774 | |||
Payable for capital shares redeemed | 130,262 | |||
Payable for investments purchased | 8,650,578 | |||
Reverse repurchase agreements (including interest of $29,319) | 48,814,319 | |||
Accrued expenses and other payables: | ||||
Investment advisory fees | 257,091 | |||
Accounting fees | 4,650 | |||
Trustee fees | 245 | |||
Audit fees | 24,467 | |||
Transfer agent fees | 12,896 | |||
Other | 50,793 | |||
|
| |||
Total Liabilities | 58,611,165 | |||
|
| |||
Net Assets | $ | 600,160,198 | ||
|
| |||
Net Assets Consist Of: | ||||
Capital | $ | 616,687,658 | ||
Distributions in excess of net investment income | (1,322,406 | ) | ||
Accumulated net realized losses from investment transactions, futures contracts and sale commitments | (36,529,893 | ) | ||
Net unrealized appreciation on investments, futures contracts, and sale commitments | 21,324,839 | |||
|
| |||
Net Assets | $ | 600,160,198 | ||
|
|
30 |
FINANCIAL STATEMENTS
|
Statement of Assets and Liabilities (cont.)
Net Assets: | ||||
Class A | $ | 21,268,938 | ||
Class I | 578,891,260 | |||
|
| |||
Total | $ | 600,160,198 | ||
|
| |||
Shares Outstanding (1,000,000,000 shares authorized, 100,000,000 shares registered at $.0000001 par value): | ||||
Class A | 2,297,278 | |||
Class I | 62,567,505 | |||
|
| |||
Total | 64,864,783 | |||
|
| |||
Net Asset Values and Redemption Price Per Share: | ||||
Class A(a) | $ | 9.26 | ||
Class I | $ | 9.25 | ||
Maximum Offering Price Per Share: | ||||
Class A | $ | 9.62 | ||
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.
31 |
FINANCIAL STATEMENTS
|
For the year Ended September 30, 2016
Investment Income: | ||||
Interest income | $ | 18,560,991 | ||
Dividend income- unaffiliated | 8,617 | |||
Dividend income- affiliated | 11,704 | |||
|
| |||
Total Investment Income | 18,581,312 | |||
|
| |||
Expenses: | ||||
Management fees | 2,804,006 | |||
Interest expense | 325,912 | |||
Distribution fees - Class A | 53,974 | |||
Accounting services | 53,040 | |||
Audit fees | 54,431 | |||
Legal fees | 28,584 | |||
Custodian fees | 44,397 | |||
Insurance fees | 4,091 | |||
Trustees’ fees and expenses | 27,845 | |||
Transfer agent fees - Class A | 46,716 | |||
Transfer agent fees - Class I | 60,587 | |||
Shareholder reports | 40,723 | |||
Registration and filing fees | 40,885 | |||
Other fees and expenses | 108,088 | |||
|
| |||
Total expenses before fee waiver/reimbursement | 3,693,279 | |||
Expenses reduced/waived by: | ||||
Advisor | (23,224 | ) | ||
|
| |||
Net Expenses | 3,670,055 | |||
|
| |||
Net Investment Income | 14,911,257 | |||
|
| |||
Realized/Unrealized Gains (Losses) from Investment Transactions and Futures Contracts: | ||||
Net realized gains from investment transactions | 105,872 | |||
Net realized losses from futures contracts | (2,638,096 | ) | ||
|
| |||
(2,532,224 | ) | |||
|
| |||
Net change in unrealized appreciation/depreciation on investments | 3,634,431 | |||
Net change in unrealized appreciation/depreciation on futures contracts | 1,281,099 | |||
|
| |||
4,915,530 | ||||
|
| |||
Net realized/unrealized gains (losses) from investments and futures contracts | 2,383,306 | |||
|
| |||
Change in net assets resulting from operations | $ | 17,294,563 | ||
|
|
See Notes to Financial Statements.
32 |
FINANCIAL STATEMENTS
|
Statements of Changes in Net Assets
For the Year Ended September 30, 2016 | For the Year Ended September 30, 2015 |
From Investment Activities: | ||||||||
Operations: | ||||||||
Net investment income | $ 14,911,257 | $ 14,887,959 | ||||||
Net realized losses from investments and futures contracts | (2,532,224 | ) | (1,049,215 | ) | ||||
Net change in unrealized appreciation/depreciation on investments and futures contracts | 4,915,530 | 1,369,431 | ||||||
|
|
|
| |||||
Change in net assets resulting from operations | 17,294,563 | 15,208,175 | ||||||
|
|
|
| |||||
Distributions to Class A Shareholders: | ||||||||
From net investment income | (560,686 | ) | (600,319 | ) | ||||
Distributions to Class I Shareholders: | ||||||||
From net investment income | (15,997,713 | ) | (15,955,838 | ) | ||||
|
|
|
| |||||
Change in net assets resulting from shareholder distributions | (16,558,399 | ) | (16,556,157 | ) | ||||
|
|
|
| |||||
Capital Transactions: | ||||||||
Proceeds from shares issued | 94,697,851 | 50,926,593 | ||||||
Distributions reinvested | 9,309,602 | 8,697,151 | ||||||
Cost of shares redeemed | (36,824,198 | ) | (24,094,072 | ) | ||||
|
|
|
| |||||
Change in net assets resulting from capital transactions | 67,183,255 | 35,529,672 | ||||||
|
|
|
| |||||
Net increase in net assets | 67,919,419 | 34,181,690 | ||||||
Net Assets: | ||||||||
Beginning of year | 532,240,779 | 498,059,089 | ||||||
|
|
|
| |||||
End of year | $600,160,198 | $532,240,779 | ||||||
|
|
|
| |||||
Distributions in excess of net investment income | $ (1,322,406 | ) | $ (1,322,641 | ) | ||||
|
|
|
| |||||
Share Transactions: | ||||||||
Issued | 10,245,655 | 5,479,719 | ||||||
Reinvested | 1,008,140 | 934,284 | ||||||
Redeemed | (3,985,876 | ) | (2,590,371 | ) | ||||
|
|
|
| |||||
Change in shares resulting from capital transactions | 7,267,919 | 3,823,632 | ||||||
|
|
|
|
See Notes to Financial Statements.
33 |
|
Access Capital Community Investment Fund | ||
(Selected data for a share outstanding throughout the periods 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, 2016 | $ 9.25 | 0.22 | 0.03 | 0.25 | (0.24 | ) | $ 9.26 | |||||||||||||||||
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 | |||||||||||||||||
Class I | ||||||||||||||||||||||||
Year Ended September 30, 2016 | $ 9.24 | 0.25 | 0.03 | 0.28 | (0.27 | ) | $ 9.25 | |||||||||||||||||
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 |
(a) | Per share net investment income has been calculated using the average daily shares method. |
See Notes to Financial Statements.
34 |
FINANCIAL HIGHLIGHTS
|
Access Capital Community Investment Fund (cont.) | ||
(Selected data for a share outstanding throughout the periods 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 Year (000’s) | Portfolio Turnover Rate | ||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||
Year Ended September 30, 2016 | 2.74% | 1.10% | 1.01% | 0.95% | 2.33% | $ 21,269 | 13% | |||||||||||||||||||||
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% | |||||||||||||||||||||
Class I | ||||||||||||||||||||||||||||
Year Ended September 30, 2016 | 3.12% | 0.64% | 0.64% | 0.58% | 2.67% | $ 578,891 | 13% | |||||||||||||||||||||
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% |
(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, 2016
1. Organization:
RBC Funds Trust (the “Trust”) was organized as a Delaware statutory trust on December 16, 2003 and currently consists of 21 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”). 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:
Each Fund is an investment company that follows accounting and reporting guidance under the Financial Accounting Standards Board. Summarized below are the significant accounting policies of the Fund. 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 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. (See “Fair Value Measurements” below for additional information). 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 their internal pricing models. These pricing models generally consider such factors as current market
36 |
NOTES TO FINANCIAL STATEMENTS
|
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 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.
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.
37 |
NOTES TO FINANCIAL STATEMENTS
|
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, 2016 is as follows:
Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | Total | |||||||||||||||||
Assets: | ||||||||||||||||||||
Investments in Securities | ||||||||||||||||||||
Investment Company | $ | 18,417,297 | $ | — | $ | — | $ | 18,417,297 | ||||||||||||
Municipal Bonds | — | 21,280,887 | — | 21,280,887 | ||||||||||||||||
Corporate Bonds | — | 503,264 | — | 503,264 | ||||||||||||||||
U.S. Government Agency Backed Mortgages | — | 596,345,102 | — | 596,345,102 | ||||||||||||||||
U.S. Government Agency Obligations | — | 16,355,960 | 167,452 | 16,523,412 | ||||||||||||||||
Other Financial Instruments(*) | ||||||||||||||||||||
Interest Rate Contracts | 261,373 | — | — | 261,373 | ||||||||||||||||
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Total Assets | $ | 18,678,670 | $ | 634,485,213 | $ | 167,452 | $ | 653,331,335 | ||||||||||||
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Liabilities: | ||||||||||||||||||||
Other Financial Instruments(*) | ||||||||||||||||||||
Interest Rate Contracts | $ | 22,774 | $ | 48,814,319 | $ | — | $ | 48,837,093 | ||||||||||||
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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.
38 |
NOTES TO FINANCIAL STATEMENTS
|
During the year ended September 30, 2016, 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 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:
U.S. Government Agency Obligations (Small Business Administration) | ||||||||
Balance as of 9/30/15 (value) | $168,079 | |||||||
Change in unrealized appreciation (depreciation) | (627)* | |||||||
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| |||||||
Balance as of 9/30/16 (value) | $167,452 | |||||||
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* Net change in unrealized appreciation/(depreciation) in Level 3 securities still held at September 30, 2016.
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, 2016, the average amount borrowed was approximately $52,411,628 and the daily weighted average interest rate was 0.62%.
Details of open reverse repurchase agreements at September 30, 2016 were as follows:
Counterparty | Rate | Trade Date | Maturity Date | Net Closing Amount | Par Value | |||||||||||||||
BNP Paribas | 0.78% | 9/16/16 | 11/16/16 | $10,628,028 | $10,614,000 | |||||||||||||||
Deutsche Bank AG | 0.70% | 8/16/16 | 10/04/16 | 5,538,272 | 5,533,000 | |||||||||||||||
Deutsche Bank AG | 0.70% | 8/26/16 | 10/18/16 | 6,228,412 | 6,222,000 | |||||||||||||||
Deutsche Bank AG | 0.68% | 9/02/16 | 10/26/16 | 15,996,300 | 15,980,000 | |||||||||||||||
Deutsche Bank AG | 0.70% | 9/02/16 | 11/02/16 | 10,448,378 | 10,436,000 |
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
39 |
NOTES TO FINANCIAL STATEMENTS
|
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 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, 2016 :
Counterparty | Reverse Repurchase Agreements | Fair Value of Non-cash Collateral Pledged1 | Cash Collateral Pledged | Net Amount2 | ||||||||||||
BNP Paribas | $ 10,617,910 | $(10,617,910) | $ — | $ — | ||||||||||||
Deutsche Bank AG | 38,196,409 | (38,196,409) | — | — | ||||||||||||
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$ 48,814,319 | $(48,814,319) | $ — | $ — | |||||||||||||
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1 | Collateral with a value of $49,713,101 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.
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, 2016, the Fund had an outstanding TBA commitment which is shown on the Schedule of Portfolio Investments.
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.
Derivatives:
The Fund may use derivative instruments, including futures, forwards, options, indexed securities, swaps and inverse securities as tools in the management of portfolio assets. The Fund may use such derivatives through either the creation of long or short positions to hedge various investments, for investment purposes, for risk management and/or to increase income or gain to the Fund. 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.
40 |
NOTES TO FINANCIAL STATEMENTS
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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, 2016, 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.
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, 2016.
Fair value of derivative instruments as of September 30, 2016 are as follows:
Derivative Instruments Categorized by Risk Exposure | Statement of Assets and Liabilities Location | Amount | ||||
Asset Derivatives | ||||||
Interest Rate Risk | Unrealized Gain on Futures Contracts | $ | 261,373 | |||
Liability Derivatives | ||||||
Interest Rate Risk | Unrealized Loss on Futures Contracts | $ | 22,774 |
The effect of derivative instruments on the Statement of Operations during the year ended September 30, 2016 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 | $(2,638,096) | $1,281,099 |
For the year ended September 30, 2016, the average volume of derivative activities are as follows:
Futures Short Positions (Contracts) | ||||
392 |
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.
41 |
NOTES TO FINANCIAL STATEMENTS
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With exchange-traded futures, 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.
Affiliated Investments:
The Fund invests in other Funds of the Trust (an “Affiliated Fund”). Effective June 24, 2016, the Fund started to invest in U.S. Government Money Market Fund-RBC Institutional Class 1 as a cash sweep vehicle. For the period from April 19, 2016, until June 24, 2016, the Fund invested in Prime Money Market Fund-RBC Institutional Class 1. The income earned by the Fund from the Affiliated Funds for the period is disclosed in the Statement of Operations. The table below details the transactions of the Fund in Affiliated Funds.
Value April 18, 2016 | Purchases | Sales | Value June 24, 2016 | Dividends | ||||||||||||||||
Investments in Prime | $— | $ | 42,175,697 | $ | 42,175,697 | $— | $ | 3,889 | ||||||||||||
Value June 23, 2016 | Purchases | Sales | Value September 30, 2016 | Dividends | ||||||||||||||||
Investments in U.S. Government | $— | $ | 96,413,925 | $ | 77,996,428 | $ | 18,417,497 | $7,815 |
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 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 among each fund in the Trust 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
42 |
NOTES TO FINANCIAL STATEMENTS
|
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.
For the year ended September 30, 2016, permanent difference reclassification amounts were as follows:
Increase Undistributed Net Investment Income | Increase Accumulated Realized Gain/Loss | Decrease Paid-in-Capital | ||||||||
$1,647,377 | $6,550,166 | $(8,197,543) |
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 other expenses (excluding certain fees such as interest expense, management fees and distribution/service (12b-1) 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, 2016, the amount subject to possible recoupment under the expense limitation agreement is $18,915. During the year ended September 30, 2016, no reimbursements were made to the Advisor.
RBC GAM (US) voluntarily agreed to waive its investment advisory fees by the amount of investment advisory fees the Fund pays to RBC GAM (US) indirectly through its investment in an affiliated money market fund. For the year ended September 30, 2016, the amount waived was $4,309 and is included in expenses waived/reimbursed by Advisor in the Statements of Operations.
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 $46,000 ($49,000 effective October 1, 2016). 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 $6,000 ($6,500 effective October 1, 2016) 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.
43 |
NOTES TO FINANCIAL STATEMENTS
|
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. 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 the Plan fee voluntarily, in whole or in part. For the year ended September 30, 2016, 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, 2016 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. | |||||
$116,130,026 | $80,280,016 | $— | $— |
44 |
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, 2016 | For the Year Ended September 30, 2015 | |||||||
CAPITAL TRANSACTIONS: | ||||||||
Class A | ||||||||
Proceeds from shares issued | $ | 6,147,999 | $ | 7,363,847 | ||||
Distributions reinvested | 537,160 | 521,306 | ||||||
Cost of shares redeemed | (6,583,443 | ) | (6,124,647 | ) | ||||
|
|
|
| |||||
Change in Class A | $ | 101,716 | $ | 1,760,506 | ||||
|
|
|
| |||||
Class I | ||||||||
Proceeds from shares issued | $ | 88,549,852 | $ | 43,562,746 | ||||
Distributions reinvested | 8,772,442 | 8,175,845 | ||||||
Cost of shares redeemed | (30,240,755 | ) | (17,969,425 | ) | ||||
|
|
|
| |||||
Change in Class I | $ | 67,081,539 | $ | 33,769,166 | ||||
|
|
|
| |||||
Change in net assets resulting from capital transactions | $ | 67,183,255 | $ | 35,529,672 | ||||
|
|
|
| |||||
SHARE TRANSACTIONS: | ||||||||
Class A | ||||||||
Issued | 665,876 | 791,058 | ||||||
Reinvested | 58,145 | 55,977 | ||||||
Redeemed | (712,322 | ) | (660,470 | ) | ||||
|
|
|
| |||||
Change in Class A | 11,699 | 186,565 | ||||||
|
|
|
| |||||
Class I | ||||||||
Issued | 9,579,779 | 4,688,661 | ||||||
Reinvested | 949,995 | 878,307 | ||||||
Redeemed | (3,273,554 | ) | (1,929,901 | ) | ||||
|
|
|
| |||||
Change in Class I | 7,256,220 | 3,637,067 | ||||||
|
|
|
| |||||
Change in shares resulting from capital transactions | 7,267,919 | 3,823,632 | ||||||
|
|
|
|
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 2013, 2014, 2015 and 2016) 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.
45 |
NOTES TO FINANCIAL STATEMENTS
|
As of September 30, 2016, the tax cost of securities and the breakdown of unrealized appreciation (depreciation) was as follows:
Tax | Unrealized | Unrealized | Net Unrealized | |||||
$ 631,983,722 | $23,093,398 | $(2,007,158) | $21,086,240 |
The tax characters of distributions were as follows:
Distributions Paid From | ||||||||
Ordinary Income | Total Distributions Paid | |||||||
For the year ended September 30, 2016 | $ | 16,405,084 | $ | 16,405,084 | ||||
For the year ended September 30, 2015 | $ | 16,567,503 | $ | 16,567,503 |
As of September 30, 2016 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 | ||||||||||
$ 209,659 | $— | $(1,532,065) | $— | $(36,291,294) | $21,086,240 | $(16,527,460) |
As of September 30, 2016, the Fund had capital loss carryforwards for federal income tax purposes as follows:
Capital Loss | Expires | |
$11,587,282 | 2018 | |
$ 4,011,206 | 2019 |
During the year ended September 30,2016, the Fund did not utilize any capital loss carryforward and had capital loss carryforwards of $8,197,543 expire as of the end of the fiscal year ending September 30, 2016.
As of September 30, 2016, the Fund had a short-term capital loss carryforward of $9,726,500 and a long-term capital loss carryforward of $10,966,306 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, 2017.
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 Trustees of RBC Funds Trust and the Shareholders of Access Capital Community Investment Fund.
In our opinion, the accompanying statement of assets and liabilities, including the schedule of portfolio investments, and the related statements of operations, of changes in net assets, and the financial highlights present fairly, in all material respects, the financial position of the Access Capital Community Investment Fund (the “Fund,” a series of RBC Funds Trust) at September 30, 2016, the results of its operations, the changes in its net assets and the financial highlights for the year then ended, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Fund’s management. Our responsibility is to express an opinion on these financial statements based on our audit. We conducted our audit of these financial statements 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 are free of material misstatement. An audit 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, and evaluating the overall financial statement presentation. We believe that our audit, which included confirmation of securities at September 30, 2016 by correspondence with the custodian, brokers and transfer agent, provide a reasonable basis for our opinion. The statement of changes in net assets and the financial highlights of the Fund for the periods ended September 30, 2015 and prior were audited by another independent registered public accounting firm whose report dated November 22, 2015 expressed an unqualified opinion on those statements and highlights.
PricewaterhouseCoopers LLP
Minneapolis, MN
November 22, 2016
47 |
OTHER FEDERAL INCOME TAX INFORMATION (UNAUDITED)
|
The Fund reports a portion of the income dividends distributed during the fiscal year ended September 30, 2016, 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 (75)
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: 21
Other Director/Trustee Positions Held by Trustee During Past 5 Years: None
Lucy Hancock Bode (65)
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: 21
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. (66)
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: 21
Other Director/Trustee Positions Held by Trustee During Past 5 Years: None
Ronald James (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 Chief Executive Officer, Center for Ethical Business Cultures (2000 to present)
Number of Portfolios in Fund Complex Overseen by Trustee: 21
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 (67)
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: 21
Other Director/Trustee Positions Held by Trustee During Past 5 Years: None
H. David Rybolt (74)
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: 21
Other Director/Trustee Positions Held by Trustee During Past 5 Years: None
49 |
MANAGEMENT (Unaudited)
|
Independent Trustees(1)(2)
James R. Seward (64)
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: 21
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 (71)
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: 21
Other Director/Trustee Positions Held by Trustee During Past 5 Years: National Association of Corporate Directors- Heartland Chapter (2013 to present); 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 (52)(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: 21
Other Director/Trustee Positions Held by Trustee During Past 5 Years: None
Executive Officers(1)(3)(4)
Kathleen A. Gorman (52)
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 (49)
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 Services, RBC Global Asset Management (U.S.) Inc. (2009 to present)
Christina M. Weber (48)
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)
Jay Jackson (38)
Position, Term of Office and Length of Time Served with the Trust: Chief Legal Officer and Secretary since December 2015
Principal Occupation(s) During Past 5 Years: Senior Associate General Counsel, RBC Global Asset Management (U.S.) Inc. (2011- present) ; Associate, K & L Gates (2008-2010)
Ronald A. Homer (69)
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, 2016 through September 30, 2016.
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 4/1/16 | Ending Account Value 9/30/16 | Expenses Paid During Period* 4/1/16-9/30/16 | Annualized Expense Ratio During Period 4/1/16-9/30/16 | |||||||||||
Class A | $1,000.00 | $1,013.30 | $5.09 | 1.00% | ||||||||||
Class I | $1,000.00 | $1,014.10 | $3.21 | 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 4/1/16 | Ending Account Value 9/30/16 | Expenses Paid During Period* 4/1/16-9/30/16 | Annualized Expense Ratio During Period 4/1/16-9/30/16 | |||||||||||
Class A | $1,000.00 | $1,020.22 | $5.11 | 1.00% | ||||||||||
Class I | $1,000.00 | $1,022.09 | $3.22 | 0.63% |
*Expenses are equal to the average account value times the Fund’s annualized expense ratio multiplied by 185/366 (to reflect one half-year period).
53 |
APPROVAL OF INVESTMENT ADVISORY AGREEMENT (UNAUDITED)
|
Information Regarding the Approval of Investment Advisory Agreement
In September 2016, 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 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 Morningstar 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 supporting affordable housing and community development, as well as investments eligible for regulatory credit under the Community Reinvestment Act of 1977 (“CRA”), although only one peer fund shares the Fund’s specific mandate. The Trustees noted favorable shorter term performance versus relevant indices, less favorable comparisons versus the broader peer group and, most importantly, favorable risk adjusted returns versus its primary competitor.
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; the Advisor’s significant expertise with regard to evaluating environmental, social and governance (ESG) factors, 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; collateral requirements, and regulatory matters; and evaluating ESG factors and 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 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 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 year ended September 30, 2016.
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 09-16
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. |
| ||||||||||
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. | ||||||||||||
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. | ||||||||||||
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. | ||||||||||||
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. | ||||||||||||
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 1-800-SEC-0330. | ||||||||||||
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 | 23 | |||||||||||
Financial Statements | ||||||||||||
- Statements of Assets and Liabilities | 51 | |||||||||||
- Statements of Operations | 53 | |||||||||||
- Statements of Changes in Net Assets | 54 | |||||||||||
Financial Highlights | 60 | |||||||||||
Notes to Financial Statements | 72 | |||||||||||
Report of Independent Registered Public Accounting Firm | 85 | |||||||||||
Other Federal Income Tax Information (Unaudited) | 86 | |||||||||||
Management (Unaudited) | 88 | |||||||||||
Share Class Information (Unaudited) | 91 | |||||||||||
Supplemental Information (Unaudited) | 92 | |||||||||||
Approval of Investment Advisory Agreements (Unaudited) | 94 | |||||||||||
1 |
LETTER FROM THE CHIEF INVESTMENT OFFICER
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uncertainty coupled with the ever improving fundamental landscape in the U.S. shown by robust job creation, accelerating wage growth (now at post-recession highs), increasing new home sales and improving manufacturing and corporate America data are the foundation for our optimism. However, we remain keenly aware that there are a litany of concerns, both new and old, that have the potential to significantly impact the course of markets in 2017 and beyond, most notably the upcoming U.S. presidential election and what we believe to be likely additional increases in interest rates. In our opinion, geopolitical risks also continue to represent potential headwinds for equity markets, and while Brexit’s “bark has been far worse than its bite” thus far, we must remember that we are in the early innings of the actual transition. Outside of Brexit, we are struck with the persistence of geopolitical risks from recent years – ISIS, Syria, and China, among others that could represent potential meaningful headwinds for equity markets for years to come. Finally, it’s interesting to note that the extreme volatility from earlier in the year, and in fact over the past few years, gave way to a calm of sorts to close out the fiscal year (e.g. the month of August did not have a single move of 1% in either direction). While this has been a welcome change of pace, one must consider that it is unlikely to persist without some disruption in the not-too-distant future. Despite these challenges, the U.S. economy, and thus equity markets, remain on what appears to us to be quite solid footing as valuations do not appear stretched and by some measures modestly supportive of further equity advancements. All told, we remain optimistic for U.S. equity markets, though we do stress caution that we believe there is a high likelihood of a somewhat bumpy ride. However, for the patient, long-term focused investor, we see significant opportunity for further gains. | ||||||
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 Portfolio 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. | ||||||
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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 3000 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 1000® 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 2000® Index, plus the next smallest eligible securities by market cap. | ||||||
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. | ||||||
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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.
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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.
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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
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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)
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Average Annual Total Returns as of September 30, 2016 (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% | 8.36% | 4.80% | 13.02% | 6.70% | 10.57% | |||||||||||||||||||||||
- At Net Asset Value | 14.99% | 6.88% | 14.37% | 7.33% | 10.82% | 1.10% | 1.46% | |||||||||||||||||||||
Class I | 15.32% | 7.16% | 14.66% | 7.61% | 11.14% | 0.85% | 1.05% | |||||||||||||||||||||
Russell 2500 Growth Index* | 11.02% | 7.43% | 16.20% | 8.82% | 10.11% |
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% | 6.80% | -1.73% | 12.02% | 4.03% | 9.91% | |||||||||||||||||||||||
- At Net Asset Value | 13.31% | 0.24% | 13.35% | 4.64% | 10.11% | 1.33% | 2.00% | |||||||||||||||||||||
Class I (f) | 13.56% | 0.48% | 13.63% | 4.89% | 10.38% | 1.08% | 1.25% | |||||||||||||||||||||
Russell 2000 Index* | 15.47% | 6.71% | 15.82% | 7.07% | 9.24% |
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)
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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% | 12.23% | 3.74% | 14.11% | 6.95% | 10.01% | |||||||||||||||||||||||
- At Net Asset Value | 19.07% | 5.81% | 15.47% | 7.59% | 10.27% | 1.15% | 1.47% | |||||||||||||||||||||
Class I (l) | 19.35% | 6.06% | 15.76% | 7.89% | 10.56% | 0.90% | 1.13% | |||||||||||||||||||||
Russell 2000 Index* | 15.47% | 6.71% | 15.82% | 7.07% | 9.69% |
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% | 7.25% | 4.66% | 15.24% | 5.26% | 8.98% | |||||||||||||||||||||||
- At Net Asset Value | 13.80% | 6.75% | 16.61% | 5.89% | 9.20% | 1.32% | 1.76% | |||||||||||||||||||||
Class I (e) | 14.10% | 7.02% | 16.90% | 6.15% | 9.48% | 1.07% | 1.24% | |||||||||||||||||||||
Russell 2000 Value Index* | 18.81% | 6.77% | 15.45% | 5.78% | 9.88% |
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)
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RBC Mid Cap Value Fund (k)
1 Year | 3 Year | 5 Year | Since Inception(k) | Net Expense Ratio(1)(2) | Gross Expense Ratio(1)(2) | |||||||||||||||||||
Class A | ||||||||||||||||||||||||
- Including Maximum Sales Charge of 5.75% | 2.75 | % | 7.62 | % | 15.83 | % | 12.03 | % | ||||||||||||||||
- At Net Asset Value | 9.06 | % | 9.76 | % | 17.20 | % | 13.01 | % | 0.80 | %(3) | 43.48 | %(3) | ||||||||||||
Class I | ||||||||||||||||||||||||
- At Net Asset Value | 9.37 | % | 9.86 | % | 17.26 | % | 13.06 | % | 0.55 | % | 3.94 | % | ||||||||||||
Russell Midcap Value Index* | 17.26 | % | 10.49 | % | 17.38 | % | 13.96 | % |
RBC Small Cap Value Fund
1 Year | 3 Year | 5 Year | Since Inception(m) | Net Expense Ratio(1)(2) | Gross Expense Ratio(1)(2) | |||||||||||||||||||
Class I | ||||||||||||||||||||||||
- At Net Asset Value | 19.26 | % | N/A | N/A | 8.67 | % | 1.00 | % | 2.71 | % | ||||||||||||||
Russell 2000 Value Index* | 18.81 | % | N/A | N/A | 4.93 | % |
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 ended September 30, 2016 except for Mid Cap Value Fund Class A, which is for the period from October 26, 2015 (commencement of operations) to September 30, 2016.
(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 RBC Mid Cap Value Fund).
(3) 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). |
8 |
PERFORMANCE SUMMARY (UNAUDITED)
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(b) | The since inception date (commencement of operations) of the Fund is December 31, 1990. |
(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 for Class I shares and October 26, 2015 for Class A shares. The performance in the table for the Class A shares prior to October 26, 2015 reflects the performance of the Class I shares since the Fund’s inception. 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.
9 |
10 |
MANAGEMENT DISCUSSION AND ANALYSIS (UNAUDITED)
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RBC SMID Cap Growth Fund
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Long-term capital appreciation. | | Investment Objective | | |||||||||||
Russell 2500 Growth Index
| Benchmark | |||||||||||||
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| Asset Allocation (as of 9/30/16) investments) & Top Five Industries (as of 9/30/16) (% of fund’s net assets) |
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| Top Ten Holdings (excluding investment companies) (% of fund’s net assets) |
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IDEXX Laboratories, Inc. Global Payments, Inc. Ultimate Software Group, Inc. (The) Cantel Medical Corp. MercadoLibre, Inc. |
2.49% 2.42% 2.07% 2.05% 2.05% |
LKQ Corp. Mettler-Toledo International, Inc. Tractor Supply Co. Waters Corp. Synopsys, Inc. |
2.03% 2.00% 1.90% 1.83% 1.83% | |||||||||||
A listing of all portfolio holdings can be found beginning on page 23.
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| Growth of $250,000 Initial Investment Over 10 Years |
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The graph reflects an initial investment of $250,000 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)
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Investment Strategy | Seeks to provide long-term growth of capital compared to the Russell 2000 Index while taking a low risk approach to small company investing. The Advisor 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.
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Performance | For the twelve-month period ended September 30, 2016, the Fund had an annualized total return of 13.56% (Class I). That compares to an annualized total return of 15.47% for the Russell 2000 Index, the Fund’s primary benchmark.
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Factors That Made Positive Contributions |
● The Fund’s overweight position and positive stock selection in the industrials sector relative to the benchmark were major contributors to performance.
● An underweight position and positive stock selection in the health care sector compared to the Fund’s benchmark also boosted relative performance.
● Favorable energy stock selection helped overall Fund performance.
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Factors That Detracted From Relative Returns |
● Adverse information technology stock selection compared to the benchmark was a major negative performance factor.
● Adverse stock selection within the financial sector, especially among insurance companies, also detracted from relative performance.
● A sizable overweight versus the Fund’s benchmark in the relatively poorly performing consumer discretionary sector also hurt relative performance, although it was somewhat offset by positive stock selection in that sector.
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Mutual fund investing involves risk. Principal loss is possible. Investing in small- 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.
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12 |
MANAGEMENT DISCUSSION AND TEST ANALYSIS (UNAUDITED)
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RBC Enterprise Fund
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Long-term growth of capital and income. |
| Investment Objective | ||||||||||||||
Russell 2000 Index
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| Benchmark | ||||||||||||||
Asset Allocation (as of 9/30/16) (% of fund’s investments) & Top Five Industries (as of 9/30/16) (% of fund’s | ||||||||||||||||
Universal Electronics, Inc. | 4.48 | % | Tyler Technologies, Inc. | 2.45 | % | Top Ten Holdings | ||||||||||
Patrick Industries, Inc. | 4.15 | % | Callon Petroleum Co. | 2.30 | % | (excluding | ||||||||||
AZZ, Inc. | 3.86 | % | Columbus McKinnon Corp. | 2.29 | % | investment | ||||||||||
US Physical Therapy, Inc. | 3.75 | % | Unitil Corp. | 2.09 | % | companies) | ||||||||||
Compass Diversified Holdings | 3.68 | % | (as of 9/30/16) | |||||||||||||
Interactive Intelligence Group, Inc. | 2.53 | % | (% of fund’s | |||||||||||||
A listing of all portfolio holdings can be found beginning on page 26.
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| net assets) | ||||||||||||||
Growth of $250,000 Initial Investment Over 10 Years | ||||||||||||||||
The graph reflects an initial investment of $250,000 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)
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Investment Strategy |
Seeks to provide long-term growth of capital compared to the Russell 2000 Index while taking a low risk approach to small company investing. The Advisor 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.
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Performance |
For the twelve-month period ended September 30, 2016, the Fund had an annualized total return of 19.35% (Class I). That compares to an annualized total return of 15.47% for the Russell 2000 Index, the Fund’s primary benchmark.
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Factors That Made Positive Contributions |
● Positive stock selection among consumer discretionary stocks, especially in the household durables and automotive components subsectors, was a major contributor to outperforming the benchmark over the period.
● The Fund’s overweight position and positive stock selection in the industrials sector were also important outperformance factors relative to the benchmark.
● Positive stock selection and an underweight holding in the health care sector, especially among poorly performing biotechnology stocks, compared to the Russell 2000 Index also boosted the Fund’s relative performance.
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Factors That Detracted From Relative Returns |
● Adverse stock selection in the financials sector, especially within the strongly performing real estate investment trust subsector, detracted from the Fund’s relative performance over the period.
● A significant overweight holding compared to the benchmark in the relatively poorly performing consumer discretionary sector also hurt relative Fund performance.
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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.
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14 |
MANAGEMENT DISCUSSION AND ANALYSIS (UNAUDITED)
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RBC Small Cap Core Fund
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Long-term growth of capital and income.
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| Investment Objective
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Russell 2000 Index
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| Benchmark | ||||||||||||||
Asset Allocation (as of 9/30/16) (% of fund’s investments) & Top Five Industries (as of 9/30/16) (% of fund’s net assets)
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Universal Electronics, Inc. |
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4.38 |
% |
Astronics Corp. |
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2.62 |
% |
Top Ten Holdings | ||||||||
Patrick Industries, Inc. | 3.99 | % | Synchronoss Technologies, Inc. | 2.55 | % | (excluding | ||||||||||
Compass Diversified Holdings | 3.43 | % | InterDigital, Inc. | 2.54 | % | investment | ||||||||||
AZZ, Inc. | 2.92 | % | Tyler Technologies, Inc. | 2.42 | % | companies) | ||||||||||
AMERISAFE, Inc. | 2.70 | % | (as of 9/30/16) | |||||||||||||
West Pharmaceutical Services, Inc. | 2.66 | % | (% of fund’s | |||||||||||||
A listing of all portfolio holdings can be found beginning on page 30.
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| net assets) | ||||||||||||||
Growth of $250,000 Initial Investment Over 10 Years | ||||||||||||||||
The graph reflects an initial investment of $250,000 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)
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Investment Strategy |
Seeks long-term growth of capital. 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.
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Performance |
For the twelve-month period ended September 30, 2016, the Fund had an annualized total return of 14.10% (Class I). That compares to an annualized total return of 18.81% for the Russell 2000 Value Index, the Fund’s primary benchmark.
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Factors That Made Positive Contributions |
● Favorable stock selection in the energy sector helped overall Fund performance relative to the Russell 2000 Value Index.
● An overweight position in the industrials sector also boosted Fund performance compared to the Fund’s benchmark.
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Factors That Detracted From Relative Returns |
● Unfavorable stock selection in the information technology sector was a significant detractor to relative performance.
● An overweight position in the relatively poorly performing consumer discretionary sector was also a drag on Fund performance.
● Adverse stock selection in the materials sector also hurt Fund performance relative to the benchmark.
| |||||||||||
Mutual fund investing involves risk. Principal loss is possible. Investing in small- 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.
|
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 9/30/16) (% of fund’s investments) & Top Five Industries (as of 9/30/16) (% of fund’s net assets) | ||||||||||||||||
Lydall, Inc. |
|
1.38 |
% |
Patrick Industries, Inc. |
|
0.92 |
% |
Top Ten Holdings | ||||||||
REX American Resources Corp. | 1.23 | % | Central Garden and Pet Co. | 0.92 | % | (excluding | ||||||||||
Omega Protein Corp. | 1.08 | % | First Defiance Financial Corp. | 0.88 | % | investment | ||||||||||
Superior Uniform Group, Inc. | 1.00 | % | CryoLife, Inc. | 0.87 | % | companies and | ||||||||||
PharMerica Corp. | 0.92 | % | Marcus Corp. (The) | 0.86 | % | exchange traded funds) | ||||||||||
(as of 9/30/16) (% of fund’s | ||||||||||||||||
A listing of all portfolio holdings can be found beginning on page 33.
|
| net assets) | ||||||||||||||
|
| Growth of $250,000 Initial Investment Over 10 Years | ||||||||||||||
The graph reflects an initial investment of $250,000 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 twelve-month period ended September 30, 2016, the Fund had an annualized total return of 9.37% (Class I). That compares to an annualized total return of 17.26% for the Russell Midcap Value Index, the Fund’s primary benchmark.
| |||||||||||
Factors That Made Positive Contributions |
● Strong stock selection in the energy and materials sectors as commodity prices recovered helped boost relative performance.
● Attractive fundamental and valuation characteristics of underlying holdings added to relative returns.
● The Fund is fully invested, which helped relative performance.
| |||||||||||
Factors That Detracted From Relative Returns |
● An underweight position of defensive industries leveraged to low interest rates (utilities and real estate investment trusts (“REITs”)) detracted from relative performance.
● The Fund’s overweight position in industries perceived to be negatively correlated to lower interest rates (primarily financials excluding REITs) and slower economic outlook (consumer cyclicals) had a negative impact on performance.
● An overweight holding in industries perceived to have political/regulatory risk (healthcare) 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.
|
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 9/30/16) (% of fund’s investments) & Top Five Industries (as of 9/30/16) (% of fund’s net assets)
| ||||||||||||||||
AmTrust Financial Services, Inc. |
|
4.68 |
% |
LAM Research Corp. |
|
2.78 |
% |
Top Ten Holdings (excluding investment companies) (as of 9/30/16) (% of fund’s net assets) | ||||||||
National General Holdings Corp. | 4.67 | % | Centene Corp. | 2.47 | % | |||||||||||
Jazz Pharmaceuticals Plc | 3.80 | % | Toll Brothers, Inc. | 2.41 | % | |||||||||||
DTE Energy Co. | 3.54 | % | Parsley Energy, Inc., Class A | 2.23 | % | |||||||||||
Synchrony Financial | 3.34 | % | Interval Leisure Group, Inc. | 2.22 | % | |||||||||||
A listing of all portfolio holdings can be found beginning on page 44.
|
| |||||||||||||||
Growth of $250,000 Initial Investment Since Inception (12/31/09) | ||||||||||||||||
The graph reflects an initial investment of $250,000 over the period from December 31, 2009 (commencement of operations) to September 30, 2016 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. | ||||||||||||||||
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 Advisor, 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 |
For the twelve-month period ended September 30, 2016, the Fund had an annualized total return of 19.26%. That compares to an annualized total return of 18.81% for the Russell 2000 Value Index, the Fund’s primary benchmark.
| |||||||||||
Factors That Made Positive Contributions |
● Favorable energy stock selection was an important positive performance factor over the period.
● Positive stock selection among consumer discretionary stocks was also a significant contributor to performance.
● An overweight position in the materials sector, which was the strongest performing sector within the Russell 2000 Value index, also contributed positively to relative Fund performance.
| |||||||||||
Factors That Detracted From Relative Returns |
● Adverse stock selection among the financials sector detracted from overall relative performance.
● An underweight holding in information technology stocks also had an adverse impact on Fund performance compared to the Russell 2000 Value index.
| |||||||||||
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.
|
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 9/30/16) (% of fund’s investments) & Top Five Industries (as of 9/30/16) (% of fund’s net assets)
| ||||||||||||||||
Compass Diversified Holdings |
|
3.66 |
% |
Chemical Financial Corp. |
|
1.96 |
% | Top Ten Holdings (excluding investment companies) (as of 9/30/16) (% of fund’s net assets) | ||||||||
Reinsurance Group of America, | 2.47 | % | American Financial Group, Inc. | 1.96 | % | |||||||||||
Inc. | Novanta, Inc. | 1.86 | % | |||||||||||||
Spire, Inc. | 2.17 | % | Reliance Steel & Aluminum Co. | 1.86 | % | |||||||||||
Greenbrier Cos., Inc. (The) | 2.02 | % | United Community Banks, Inc. | 1.83 | % | |||||||||||
ACCO Brands Corp. | 1.97 | % | ||||||||||||||
*A listing of all portfolio holdings can be found beginning on page 47.
|
| |||||||||||||||
|
| Growth of $250,000 Initial Investment Since Inception (12/3/14) | ||||||||||||||
The graph reflects an initial investment of $250,000 over the period from December 3, 2014 (commencement of operations) to September 30, 2016 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 |
|
This Page Intentionally Left Blank
22 |
SCHEDULE OF PORTFOLIO INVESTMENTS
|
RBC SMID Cap Growth Fund
September 30, 2016
Shares | Value | |||||
| ||||||
Common Stocks — 97.95% |
| |||||
Consumer Discretionary — 11.13% |
| |||||
38,360 | Core-Mark Holding Co., Inc. | $ | 1,373,288 | |||
21,000 | Dorman Products, Inc.* | 1,341,900 | ||||
32,570 | DSW, Inc., Class A | 667,034 | ||||
19,840 | Gentherm, Inc.* | 623,373 | ||||
20,900 | G-III Apparel Group Ltd.* | 609,235 | ||||
56,150 | LKQ Corp.* | 1,991,079 | ||||
21,700 | Monro Muffler Brake, Inc. | 1,327,389 | ||||
5,800 | Panera Bread Co., Class A* | 1,129,376 | ||||
27,730 | Tractor Supply Co. | 1,867,616 | ||||
|
| |||||
10,930,290 | ||||||
|
| |||||
Consumer Staples — 6.72% |
| |||||
11,950 | Casey’s General Stores, Inc. | 1,435,793 | ||||
33,810 | Church & Dwight Co., Inc. | 1,620,175 | ||||
12,850 | PriceSmart, Inc. | 1,076,316 | ||||
14,990 | TreeHouse Foods, Inc.* | 1,306,978 | ||||
29,000 | United Natural Foods, Inc.* | 1,161,160 | ||||
|
| |||||
6,600,422 | ||||||
|
| |||||
Energy — 0.59% |
| |||||
20,960 | Oceaneering International, Inc. | 576,610 | ||||
|
| |||||
Financials — 11.48% |
| |||||
6,310 | Affiliated Managers Group, Inc.* | 913,057 | ||||
11,050 | CoreSite Realty Corp. REIT | 818,142 | ||||
28,530 | Eagle Bancorp, Inc.* | 1,407,385 | ||||
27,960 | FirstCash, Inc. | 1,316,357 | ||||
28,910 | Healthcare Trust of America, Inc. REIT, Class A | 943,044 | ||||
24,130 | PRA Group, Inc.* | 833,450 | ||||
28,490 | Raymond James Financial, Inc. | 1,658,403 | ||||
20,430 | RLI Corp. | 1,396,595 | ||||
9,510 | Signature Bank* | 1,126,459 | ||||
21,920 | Tanger Factory Outlet Centers, Inc. REIT | 854,003 | ||||
|
| |||||
11,266,895 | ||||||
|
| |||||
Health Care — 25.94% |
| |||||
11,930 | Abiomed, Inc.* | 1,533,959 | ||||
35,960 | Aceto Corp. | 682,880 | ||||
11,410 | Bio-Techne Corp. | 1,249,395 | ||||
25,850 | Cantel Medical Corp. | 2,015,783 | ||||
18,750 | Cepheid, Inc.* | 987,937 | ||||
15,760 | Charles River Laboratories International, Inc.* | 1,313,438 | ||||
21,700 | IDEXX Laboratories, Inc.* | 2,446,241 | ||||
21,810 | Integer Holdings Corp.* | 473,059 | ||||
19,120 | Integra LifeSciences Holdings Corp.* | 1,578,356 |
23 |
SCHEDULE OF PORTFOLIO INVESTMENTS
|
RBC SMID Cap Growth Fund (cont.)
September 30, 2016
Shares | Value | |||||
| ||||||
9,730 | Laboratory Corp. of America Holdings* | $ | 1,337,680 | |||
22,870 | Medidata Solutions, Inc.* | 1,275,231 | ||||
4,670 | Mettler-Toledo International, Inc.* | 1,960,606 | ||||
21,930 | NuVasive, Inc.* | 1,461,854 | ||||
19,630 | PAREXEL International Corp.* | 1,363,303 | ||||
16,130 | STERIS Plc | 1,179,103 | ||||
12,720 | Varian Medical Systems, Inc.* | 1,266,022 | ||||
11,350 | Waters Corp.* | 1,798,861 | ||||
20,680 | West Pharmaceutical Services, Inc. | 1,540,660 | ||||
|
| |||||
25,464,368 | ||||||
|
| |||||
Industrials — 15.03% |
| |||||
26,300 | Advisory Board Co., (The)* | 1,176,662 | ||||
20,720 | Clean Harbors, Inc.* | 994,146 | ||||
31,570 | Copart, Inc.* | 1,690,889 | ||||
15,100 | Flowserve Corp. | 728,424 | ||||
13,610 | Landstar System, Inc. | 926,569 | ||||
10,830 | Middleby Corp. (The)* | 1,338,805 | ||||
13,870 | MSC Industrial Direct Co., Inc., Class A | 1,018,197 | ||||
13,490 | Proto Labs, Inc.* | 808,186 | ||||
11,350 | Stericycle, Inc.* | 909,589 | ||||
11,220 | Teledyne Technologies, Inc.* | 1,210,975 | ||||
14,000 | WageWorks, Inc.* | 852,740 | ||||
19,040 | Waste Connections, Inc. | 1,422,288 | ||||
26,800 | Woodward, Inc. | 1,674,464 | ||||
|
| |||||
14,751,934 | ||||||
|
| |||||
Information Technology — 22.20% |
| |||||
12,510 | ANSYS, Inc.* | 1,158,551 | ||||
25,850 | Bottomline Technologies (DE), Inc.* | 602,563 | ||||
28,990 | Cardtronics Plc* | 1,292,954 | ||||
8,060 | F5 Networks, Inc.* | 1,004,598 | ||||
30,900 | Global Payments, Inc. | 2,371,884 | ||||
16,290 | Guidewire Software, Inc.* | 977,074 | ||||
16,270 | Jack Henry & Associates, Inc. | 1,391,899 | ||||
10,890 | MercadoLibre, Inc. | 2,014,323 | ||||
24,830 | Microchip Technology, Inc. | 1,542,936 | ||||
24,350 | National Instruments Corp. | 691,540 | ||||
16,510 | SPS Commerce, Inc.* | 1,211,999 | ||||
30,200 | Synopsys, Inc.* | 1,792,370 | ||||
7,190 | Tyler Technologies, Inc.* | 1,231,144 | ||||
9,920 | Ultimate Software Group, Inc. (The)* | 2,027,549 | ||||
14,480 | WEX, Inc.* | 1,565,143 |
24 |
SCHEDULE OF PORTFOLIO INVESTMENTS
|
RBC SMID Cap Growth Fund (cont.)
September 30, 2016
Shares | Value | |||||
| ||||||
13,230 | Zebra Technologies Corp., Class A* | $ | 920,940 | |||
|
| |||||
21,797,467 | ||||||
|
| |||||
Materials — 4.86% |
| |||||
17,400 | AptarGroup, Inc. | 1,346,934 | ||||
22,900 | Balchem Corp. | 1,775,437 | ||||
17,980 | HB Fuller Co. | 835,531 | ||||
11,220 | Reliance Steel & Aluminum Co. | 808,177 | ||||
|
| |||||
4,766,079 | ||||||
|
| |||||
Total Common Stocks | 96,154,065 | |||||
|
| |||||
(Cost $72,965,062) | ||||||
Investment Company — 2.11% | ||||||
2,073,995 | U.S. Government Money Market Fund, RBC Institutional Class 1(a) | 2,073,995 | ||||
|
| |||||
Total Investment Company | 2,073,995 | |||||
|
| |||||
(Cost $2,073,995) | ||||||
Total Investments | $ | 98,228,060 | ||||
(Cost $75,039,057)(b) — 100.06% | ||||||
Liabilities in excess of other assets — (0.06)% | (55,630 | ) | ||||
|
| |||||
NET ASSETS — 100.00% | $ | 98,172,430 | ||||
|
|
* | 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.
25 |
SCHEDULE OF PORTFOLIO INVESTMENTS
|
RBC Enterprise Fund
September 30, 2016
Shares | Value | |||||
| ||||||
Common Stocks — 98.74% |
| |||||
Consumer Discretionary — 19.75% |
| |||||
79,538 | Delta Apparel, Inc.* | $ | 1,309,195 | |||
42,200 | Destination Maternity Corp. | 298,776 | ||||
297,870 | Destination XL Group, Inc.* | 1,289,777 | ||||
43,440 | Grand Canyon Education, Inc.* | 1,754,542 | ||||
86,380 | Kona Grill, Inc.* | 1,085,797 | ||||
104,830 | Libbey, Inc. | 1,871,215 | ||||
69,094 | Malibu Boats, Inc., Class A* | 1,029,501 | ||||
33,860 | Papa Murphy’s Holdings, Inc.* | 218,397 | ||||
32,400 | Performance Sports Group Ltd.* | 131,544 | ||||
18,800 | Red Robin Gourmet Burgers, Inc.* | 844,872 | ||||
116,150 | Salem Media Group, Inc. | 682,962 | ||||
66,336 | Smith & Wesson Holding Corp.* | 1,763,874 | ||||
48,080 | Superior Uniform Group, Inc. | 951,503 | ||||
157,390 | Tandy Leather Factory, Inc.* | 1,205,607 | ||||
62,750 | Universal Electronics, Inc.* | 4,672,365 | ||||
185,792 | ZAGG, Inc.* | 1,504,915 | ||||
|
| |||||
20,614,842 | ||||||
|
| |||||
Consumer Staples — 1.32% |
| |||||
26,910 | John B Sanfilippo & Son, Inc. | 1,381,290 | ||||
|
| |||||
Energy — 5.21% |
| |||||
152,600 | Callon Petroleum Co.* | 2,395,820 | ||||
52,140 | Gulfport Energy Corp.* | 1,472,955 | ||||
98,010 | Ring Energy, Inc.* | 1,073,209 | ||||
71,280 | Synergy Resources Corp.* | 493,970 | ||||
|
| |||||
5,435,954 | ||||||
|
| |||||
Financials — 17.01% |
| |||||
75,470 | Atlas Financial Holdings, Inc.* | 1,190,162 | ||||
44,200 | Boston Private Financial Holdings, Inc. | 567,086 | ||||
103,959 | CoBiz Financial, Inc. | 1,383,694 | ||||
50,820 | Community Healthcare Trust, Inc., REIT | 1,113,974 | ||||
221,150 | Compass Diversified Holdings | 3,843,587 | ||||
28,480 | First Bancorp/Southern Pines, NC | 563,619 | ||||
18,770 | German American Bancorp, Inc. | 730,716 | ||||
88,453 | Gramercy Property Trust, REIT | 852,687 | ||||
36,963 | Heritage Financial Corp. | 663,486 | ||||
27,930 | LaSalle Hotel Properties REIT | 666,689 | ||||
30,106 | Mercantile Bank Corp. | 808,346 | ||||
3,200 | National Interstate Corp. | 104,096 | ||||
68,724 | Northrim BanCorp, Inc. | 1,769,643 | ||||
57,820 | Pacific Premier Bancorp, Inc.* | 1,529,917 | ||||
27,840 | Preferred Bank/Los Angeles, CA | 995,280 | ||||
42,710 | State Bank Financial Corp. | 974,642 | ||||
|
| |||||
17,757,624 | ||||||
|
|
26 |
SCHEDULE OF PORTFOLIO INVESTMENTS
|
RBC Enterprise Fund (cont.)
September 30, 2016
Shares | Value | |||||
| ||||||
Health Care — 6.87% |
| |||||
127,899 | BioScrip, Inc.* | $ | 369,628 | |||
51,060 | Exactech, Inc.* | 1,380,152 | ||||
217,308 | Streamline Health Solutions, Inc.* | 399,847 | ||||
36,900 | SurModics, Inc.* | 1,110,321 | ||||
62,460 | US Physical Therapy, Inc. | 3,916,242 | ||||
|
| |||||
7,176,190 | ||||||
|
| |||||
Industrials — 26.85% |
| |||||
17,990 | Air Transport Services Group, Inc.* | 258,157 | ||||
61,660 | AZZ, Inc. | 4,024,548 | ||||
97,698 | Casella Waste Systems, Inc., Class A* | 1,006,289 | ||||
134,015 | Columbus McKinnon Corp. | 2,390,828 | ||||
49,700 | Ducommun, Inc.* | 1,135,148 | ||||
75,830 | Ennis, Inc. | 1,277,735 | ||||
27,180 | GP Strategies Corp.* | 669,172 | ||||
51,300 | Greenbrier Cos., Inc. (The) | 1,810,890 | ||||
293,710 | Hudson Technologies, Inc.* | 1,953,172 | ||||
31,930 | Lydall, Inc.* | 1,632,581 | ||||
21,570 | Marten Transport Ltd. | 452,970 | ||||
85,830 | NN, Inc. | 1,566,397 | ||||
37,113 | NV5 Global, Inc.* | 1,199,121 | ||||
16,835 | Old Dominion Freight Line, Inc.* | 1,155,049 | ||||
69,886 | Patrick Industries, Inc.* | 4,327,341 | ||||
109,720 | PGT, Inc.* | 1,170,712 | ||||
292,770 | Radiant Logistics, Inc.* | 831,467 | ||||
29,110 | Sparton Corp.* | 764,429 | ||||
12,360 | Sun Hydraulics Corp. | 398,857 | ||||
|
| |||||
28,024,863 | ||||||
|
| |||||
Information Technology — 12.94% |
| |||||
8,392 | Aspen Technology, Inc.* | 392,662 | ||||
16,080 | comScore, Inc.* | 493,013 | ||||
310,100 | CYREN Ltd.* | 759,745 | ||||
143,861 | Glu Mobile, Inc.* | 322,249 | ||||
43,880 | Interactive Intelligence Group, Inc.* | 2,638,943 | ||||
10,880 | KEYW Holding Corp. (The)* | 120,115 | ||||
117,470 | Novanta, Inc.* | 2,038,105 | ||||
157,010 | Sapiens International Corp. | 2,005,018 | ||||
50,020 | Tangoe, Inc.* | 412,665 | ||||
66,892 | TESSCO Technologies, Inc. | 830,130 | ||||
14,930 | Tyler Technologies, Inc.* | 2,556,464 | ||||
37,065 | Vishay Precision Group, Inc.* | 594,152 | ||||
143,922 | Xplore Technologies Corp.* | 345,413 | ||||
|
| |||||
13,508,674 | ||||||
|
| |||||
Materials — 6.70% |
| |||||
39,430 | FutureFuel Corp. | 444,770 |
27 |
SCHEDULE OF PORTFOLIO INVESTMENTS
|
RBC Enterprise Fund (cont.)
September 30, 2016
Shares | Value | |||||
| ||||||
22,116 | Intertape Polymer Group, Inc. | $ | 380,838 | |||
48,960 | Koppers Holdings, Inc.* | 1,575,533 | ||||
88,330 | Landec Corp.* | 1,184,505 | ||||
229,920 | OMNOVA Solutions, Inc.* | 1,940,525 | ||||
69,380 | Real Industry, Inc.* | 424,606 | ||||
99,588 | Universal Stainless & Alloy Products, Inc.* | 1,044,678 | ||||
|
| |||||
6,995,455 | ||||||
|
| |||||
Utilities — 2.09% | ||||||
55,800 | Unitil Corp. | 2,179,548 | ||||
|
| |||||
Total Common Stocks | 103,074,440 | |||||
|
| |||||
(Cost $65,311,527) | ||||||
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* | 148,934 | ||||
6,203 | US Concrete, Inc., Class B Warrants, Expire 8/31/17* | 135,846 | ||||
|
| |||||
Total Rights/Warrants | 284,780 | |||||
|
| |||||
(Cost $0) | ||||||
Exchange Traded Funds — 0.41% | ||||||
10,100 | SPDR S&P Regional Banking | 426,927 | ||||
|
| |||||
Total Exchange Traded Funds | 426,927 | |||||
|
| |||||
(Cost $200,669) | ||||||
Investment Company — 0.63% | ||||||
655,591 | U.S. Government Money Market Fund, RBC Institutional Class 1(b) | 655,591 | ||||
|
| |||||
Total Investment Company | 655,591 | |||||
|
| |||||
(Cost $655,591) | ||||||
Total Investments | $ | 104,441,738 | ||||
(Cost $66,167,787)(c) — 100.05% | ||||||
Liabilities in excess of other assets — (0.05)% | (55,690 | ) | ||||
|
| |||||
NET ASSETS — 100.00% | $ | 104,386,048 | ||||
|
|
28 |
SCHEDULE OF PORTFOLIO INVESTMENTS
|
RBC Enterprise Fund (cont.)
September 30, 2016
* | Non-income producing security. |
(a) | The Pricing Committee has fair valued this security under procedures established by the Fund’s Board of Trustees. |
(b) | Affiliated investment. |
(c) | 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.
29 |
SCHEDULE OF PORTFOLIO INVESTMENTS
|
RBC Small Cap Core Fund
September 30, 2016
Shares | Value | |||||
| ||||||
Common Stocks — 98.65% |
| |||||
Consumer Discretionary — 20.59% |
| |||||
85,970 | Carriage Services, Inc. | $ | 2,033,191 | |||
10,660 | Cavco Industries, Inc.* | 1,055,873 | ||||
29,640 | Core-Mark Holding Co., Inc. | 1,061,112 | ||||
586,000 | Destination XL Group, Inc.* | 2,537,380 | ||||
62,650 | Drew Industries, Inc. | 6,140,953 | ||||
190,120 | Fox Factory Holding Corp.* | 4,367,056 | ||||
104,110 | Grand Canyon Education, Inc.* | 4,205,003 | ||||
35,420 | Helen of Troy Ltd.* | 3,052,141 | ||||
100,580 | Kona Grill, Inc.* | 1,264,291 | ||||
227,546 | Libbey, Inc. | 4,061,696 | ||||
141,049 | Malibu Boats, Inc., Class A* | 2,101,630 | ||||
61,460 | Performance Sports Group Ltd.* | 249,528 | ||||
172,232 | Smith & Wesson Holding Corp.* | 4,579,649 | ||||
60,942 | Steven Madden Ltd.* | 2,106,156 | ||||
151,593 | Universal Electronics, Inc.* | 11,287,615 | ||||
365,257 | ZAGG, Inc.* | 2,958,582 | ||||
|
| |||||
53,061,856 | ||||||
|
| |||||
Energy — 3.96% |
| |||||
117,880 | Gulfport Energy Corp.* | 3,330,110 | ||||
307,500 | Ring Energy, Inc.* | 3,367,125 | ||||
64,070 | RSP Permian, Inc.* | 2,484,635 | ||||
145,740 | Synergy Resources Corp.* | 1,009,978 | ||||
|
| |||||
10,191,848 | ||||||
|
| |||||
Financials — 20.83% |
| |||||
118,300 | AMERISAFE, Inc. | 6,953,674 | ||||
144,840 | AmTrust Financial Services, Inc. | 3,886,057 | ||||
10,480 | BancFirst Corp. | 759,905 | ||||
91,310 | Chemical Financial Corp. | 4,029,510 | ||||
35,410 | Community Bank System, Inc. | 1,703,575 | ||||
509,035 | Compass Diversified Holdings | 8,847,028 | ||||
51,170 | CubeSmart, REIT | 1,394,894 | ||||
47,670 | EverBank Financial Corp. | 922,891 | ||||
118,162 | Gramercy Property Trust, REIT | 1,139,082 | ||||
65,969 | Hanmi Financial Corp. | 1,737,623 | ||||
36,280 | LaSalle Hotel Properties REIT | 866,004 | ||||
212,980 | National General Holdings Corp. | 4,736,675 | ||||
88,350 | Pacific Premier Bancorp, Inc.* | 2,337,741 | ||||
117,730 | Physicians Realty Trust, REIT | 2,535,904 | ||||
38,060 | Pinnacle Financial Partners, Inc. | 2,058,285 | ||||
33,640 | ProAssurance Corp. | 1,765,427 | ||||
122,300 | Safeguard Scientifics, Inc.* | 1,585,008 | ||||
65,060 | Texas Capital Bancshares, Inc.* | 3,573,095 | ||||
134,710 | United Community Banks, Inc. | 2,831,604 | ||||
|
| |||||
53,663,982 | ||||||
|
|
30 |
SCHEDULE OF PORTFOLIO INVESTMENTS
|
RBC Small Cap Core Fund (cont.)
September 30, 2016
Shares | Value | |||||
| ||||||
Health Care — 7.91% |
| |||||
104,530 | Air Methods Corp.* | $ | 3,291,650 | |||
250,988 | BioScrip, Inc.* | 725,355 | ||||
35,231 | Emergent BioSolutions, Inc.* | 1,110,833 | ||||
50,000 | Globus Medical, Inc., Class A* | 1,128,500 | ||||
42,990 | Masimo Corp.* | 2,557,475 | ||||
75,450 | US Physical Therapy, Inc. | 4,730,715 | ||||
91,850 | West Pharmaceutical Services, Inc. | 6,842,825 | ||||
|
| |||||
20,387,353 | ||||||
|
| |||||
Industrials — 26.36% |
| |||||
564,420 | ACCO Brands Corp.* | 5,441,009 | ||||
149,714 | Astronics Corp.* | 6,744,616 | ||||
115,282 | AZZ, Inc. | 7,524,456 | ||||
33,410 | Babcock & Wilcox Enterprises, Inc.* | 551,265 | ||||
248,910 | Columbus McKinnon Corp. | 4,440,554 | ||||
120,100 | Ducommun, Inc.* | 2,743,084 | ||||
87,350 | EnerSys, Inc. | 6,043,747 | ||||
121,710 | Greenbrier Cos., Inc. (The) | 4,296,363 | ||||
129,873 | Insteel Industries, Inc. | 4,706,598 | ||||
121,850 | Interface, Inc. | 2,033,677 | ||||
65,620 | Lydall, Inc.* | 3,355,151 | ||||
210,700 | NN, Inc. | 3,845,275 | ||||
40,020 | Old Dominion Freight Line, Inc.* | 2,745,772 | ||||
165,874 | Patrick Industries, Inc.* | 10,270,918 | ||||
24,500 | Spirit Airlines, Inc.* | 1,041,985 | ||||
26,310 | Wabtec Corp. | 2,148,211 | ||||
|
| |||||
67,932,681 | ||||||
|
| |||||
Information Technology — 12.95% |
| |||||
27,617 | Interactive Intelligence Group, Inc.* | 1,660,886 | ||||
82,630 | InterDigital, Inc. | 6,544,296 | ||||
76,418 | MKS Instruments, Inc. | 3,800,267 | ||||
63,030 | Synaptics, Inc.* | 3,692,297 | ||||
159,484 | Synchronoss Technologies, Inc.* | 6,567,551 | ||||
80,790 | Take-Two Interactive Software, Inc.* | 3,642,013 | ||||
97,400 | TESSCO Technologies, Inc. | 1,208,734 | ||||
36,476 | Tyler Technologies, Inc.* | 6,245,785 | ||||
|
| |||||
33,361,829 | ||||||
|
| |||||
Materials — 5.29% |
| |||||
97,550 | Ferro Corp.* | 1,347,165 | ||||
147,631 | FutureFuel Corp. | 1,665,278 | ||||
117,643 | Koppers Holdings, Inc.* | 3,785,752 | ||||
103,570 | Landec Corp.* | 1,388,874 | ||||
328,498 | OMNOVA Solutions, Inc.* | 2,772,523 | ||||
85,920 | PH Glatfelter Co. | 1,862,746 |
31 |
SCHEDULE OF PORTFOLIO INVESTMENTS
|
RBC Small Cap Core Fund (cont.)
September 30, 2016
Shares | Value | |||||
| ||||||
77,091 | Universal Stainless & Alloy Products, Inc.* | $ | 808,685 | |||
|
| |||||
13,631,023 | ||||||
|
| |||||
Utilities — 0.76% | ||||||
30,700 | Spire, Inc. | 1,956,818 | ||||
|
| |||||
Total Common Stocks | 254,187,390 | |||||
|
| |||||
(Cost $184,191,034) | ||||||
Exchange Traded Funds — 0.10% | ||||||
2,140 | iShares Russell 2000 Index Fund | 265,809 | ||||
|
| |||||
Total Exchange Traded Funds | 265,809 | |||||
|
| |||||
(Cost $179,612) | ||||||
Investment Company — 1.31% | ||||||
3,369,639 | U.S. Government Money Market Fund, RBC Institutional Class 1(a) | 3,369,639 | ||||
|
| |||||
Total Investment Company | 3,369,639 | |||||
|
| |||||
(Cost $3,369,639) | ||||||
Total Investments | $ | 257,822,838 | ||||
(Cost $187,740,285)(b) — 100.06% | ||||||
Liabilities in excess of other assets — (0.06)% | (149,960 | ) | ||||
|
| |||||
NET ASSETS — 100.00% | $ | 257,672,878 | ||||
|
|
* | 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.
32 |
SCHEDULE OF PORTFOLIO INVESTMENTS
|
RBC Microcap Value Fund
September 30, 2016
Shares | Value | |||||
| ||||||
Common Stocks — 94.81% |
| |||||
Consumer Discretionary — 20.45% |
| |||||
25,100 | AH Belo Corp., Class A | $ | 184,485 | |||
3,725 | Ambassadors International, Inc.*(a) | 0 | ||||
600 | Ambow Education Holding Ltd. ADR* | 2,670 | ||||
11,800 | AMC Entertainment Holdings, Inc., Class A | 366,862 | ||||
11,900 | America’s Car-Mart, Inc.* | 433,041 | ||||
21,300 | Anemostat Door Products*(a)(b) | 0 | ||||
21,300 | Anemostat, Inc.*(a)(b) | 0 | ||||
6,400 | Arctic Cat, Inc. | 99,136 | ||||
23,000 | Beazer Homes USA, Inc.* | 268,180 | ||||
3 | Biglari Holdings, Inc.* | 1,308 | ||||
13,427 | Bowl America, Inc., Class A | 191,335 | ||||
27,800 | Bridgepoint Education, Inc.* | 190,986 | ||||
36,600 | Build-A-Bear Workshop, Inc.* | 379,176 | ||||
6,700 | Caleres, Inc. | 169,443 | ||||
51,600 | Carriage Services, Inc. | 1,220,340 | ||||
23,600 | Century Communities, Inc.* | 507,636 | ||||
45,000 | Container Store Group, Inc. (The)* | 225,900 | ||||
17,600 | Core-Mark Holding Co., Inc. | 630,080 | ||||
37,400 | CSS Industries, Inc. | 956,692 | ||||
14,130 | Culp, Inc. | 420,650 | ||||
30,200 | Delta Apparel, Inc.* | 497,092 | ||||
24,243 | E.W. Scripps Co. (The), Class A* | 385,464 | ||||
41,800 | Entercom Communications Corp., Class A | 540,892 | ||||
35,000 | Eros International Plc* | 536,200 | ||||
22,400 | Flexsteel Industries, Inc. | 1,158,528 | ||||
18,000 | Fred’s, Inc., Class A | 163,080 | ||||
44,800 | Harte-Hanks, Inc. | 72,576 | ||||
22,940 | Haverty Furniture Cos., Inc. | 459,718 | ||||
5,900 | Helen of Troy Ltd.* | 508,403 | ||||
22,400 | hhgregg, Inc.* | 41,216 | ||||
27,100 | Hooker Furniture Corp. | 663,679 | ||||
10,500 | JAKKS Pacific, Inc.* | 90,720 | ||||
20,500 | Johnson Outdoors, Inc., Class A | 745,585 | ||||
35,900 | K12, Inc.* | 515,165 | ||||
23,500 | Kid Brands, Inc.* | 31 | ||||
47,910 | Lakeland Industries, Inc.* | 476,705 | ||||
95,270 | Lazare Kaplan International, Inc.*(a)(b) | 0 | ||||
7,900 | La-Z-Boy, Inc. | 194,024 | ||||
28,300 | Lifetime Brands, Inc. | 380,918 | ||||
42,500 | Luby’s, Inc.* | 182,325 | ||||
15,600 | M/I Homes, Inc.* | 367,692 | ||||
51,500 | Marcus Corp. (The) | 1,289,560 | ||||
38,690 | MarineMax, Inc.* | 810,555 | ||||
7,500 | McRae Industries, Inc., Class A | 186,750 | ||||
11,600 | Media General, Inc.* | 213,788 | ||||
21,300 | Mestek, Inc.* | 431,325 |
33 |
SCHEDULE OF PORTFOLIO INVESTMENTS
|
RBC Microcap Value Fund (cont.)
September 30, 2016
Shares | Value | |||||
| ||||||
17,400 | Modine Manufacturing Co.* | $ | 206,364 | |||
22,300 | Movado Group, Inc. | 479,004 | ||||
4,700 | NACCO Industries, Inc., Class A | 319,412 | ||||
15,700 | Nautilus, Inc.* | 356,704 | ||||
10,300 | Nobility Homes, Inc.* | 164,800 | ||||
41,000 | Orleans Homebuilders, Inc.*(a)(b) | 0 | ||||
8,450 | Perry Ellis International, Inc.* | 162,916 | ||||
119,400 | Point.360* | 38,327 | ||||
51,900 | Red Lion Hotels Corp.* | 432,846 | ||||
21,750 | REX American Resources Corp.* | 1,843,530 | ||||
35,200 | Rocky Brands, Inc. | 372,064 | ||||
61,500 | Ruby Tuesday, Inc.* | 153,750 | ||||
15,700 | Saga Communications, Inc., Class A | 711,838 | ||||
39,150 | Salem Media Group, Inc. | 230,202 | ||||
39,000 | Shiloh Industries, Inc.* | 275,730 | ||||
35,100 | Stage Stores, Inc. | 196,911 | ||||
21,800 | Standard Motor Products, Inc. | 1,041,168 | ||||
15,900 | Stein Mart, Inc. | 100,965 | ||||
8,300 | Stoneridge, Inc.* | 152,720 | ||||
14,600 | Strattec Security Corp. | 515,380 | ||||
36,500 | Superior Industries International, Inc. | 1,064,340 | ||||
75,800 | Superior Uniform Group, Inc. | 1,500,082 | ||||
16,200 | Systemax, Inc. | 128,304 | ||||
51,000 | Tilly’s, Inc., Class A* | 478,890 | ||||
65,200 | Trans World Entertainment Corp.* | 224,940 | ||||
40,300 | TravelCenters of America LLC* | 288,548 | ||||
32,100 | Unifi, Inc.* | 944,703 | ||||
31,100 | Universal Technical Institute, Inc. | 55,358 | ||||
30,000 | Universal Travel Group*(a)(b) | 0 | ||||
45,600 | VOXX International Corp.* | 136,344 | ||||
1,397 | Walking Co. Holdings, Inc. (The)* | 7,683 | ||||
15,700 | WCI Communities, Inc.* | 372,404 | ||||
11,000 | Weyco Group, Inc. | 295,570 | ||||
19,000 | William Lyon Homes, Class A* | 352,450 | ||||
|
| |||||
30,764,158 | ||||||
|
| |||||
Consumer Staples — 3.86% | ||||||
7,350 | Andersons, Inc. (The) | 265,923 | ||||
53,200 | Central Garden and Pet Co.* | 1,383,200 | ||||
25,800 | Ingles Markets, Inc., Class A | 1,020,132 | ||||
12,200 | Oil-Dri Corp. of America | 459,208 | ||||
69,500 | Omega Protein Corp.* | 1,624,215 | ||||
73,000 | Royal Hawaiian Orchards LP* | 205,130 | ||||
29,640 | SpartanNash Co. | 857,189 | ||||
|
| |||||
5,814,997 | ||||||
|
|
34 |
SCHEDULE OF PORTFOLIO INVESTMENTS
|
RBC Microcap Value Fund (cont.)
September 30, 2016
Shares | Value | |||||
| ||||||
Energy — 2.13% | ||||||
9,200 | Basic Energy Services, Inc.* | $ | 7,630 | |||
48,540 | Callon Petroleum Co.* | 762,078 | ||||
23,800 | Era Group, Inc.* | 191,590 | ||||
7,500 | Global Partners LP | 121,050 | ||||
22,600 | Harvest Natural Resources, Inc.* | 18,170 | ||||
28,200 | Hornbeck Offshore Services, Inc.* | 155,100 | ||||
29,500 | Natural Gas Services Group, Inc.* | 725,405 | ||||
26,800 | Newpark Resources, Inc.* | 197,248 | ||||
53,100 | North American Energy Partners, Inc. | 132,750 | ||||
17,700 | Panhandle Oil and Gas, Inc. | 310,281 | ||||
14,600 | PHI, Inc.* | 266,450 | ||||
11,900 | PHI, Inc., Non voting* | 216,223 | ||||
1,230 | Sanchez Production Partners L.P. | 13,370 | ||||
131 | Swift Energy Co.* | 4,061 | ||||
17,600 | Teekay Tankers Ltd., Class A | 44,528 | ||||
110,300 | Trico Marine Services, Inc.*(a)(b) | 0 | ||||
25,880 | W&T Offshore, Inc.* | 45,549 | ||||
|
| |||||
3,211,483 | ||||||
|
| |||||
Financials — 26.39% |
| |||||
39,150 | Affirmative Insurance Holdings, Inc.* | 78 | ||||
26,320 | AG Mortgage Investment Trust, Inc. REIT | 414,540 | ||||
14,500 | Agree Realty Corp. REIT | 716,880 | ||||
29,990 | Ameris Bancorp | 1,048,151 | ||||
27,479 | Apollo Commercial Real Estate Finance, Inc. REIT | 449,831 | ||||
73,900 | Arbor Realty Trust, Inc. REIT | 548,338 | ||||
35,400 | Ares Commercial Real Estate Corp. REIT | 446,040 | ||||
8,100 | Arlington Asset Investment Corp., Class A | 119,799 | ||||
59,500 | Asta Funding, Inc.* | 624,750 | ||||
17,400 | Baldwin & Lyons, Inc., Class B | 445,962 | ||||
40,700 | Banc of California, Inc. | 710,622 | ||||
12,400 | Banco Latinoamericano de Comercio Exterior SA | 349,432 | ||||
49,900 | Bancorp, Inc. (The)* | 320,358 | ||||
9,738 | Bank of The Ozarks, Inc. | 373,939 | ||||
7,028 | Banner Corp. | 307,405 | ||||
100,000 | Beverly Hills Bancorp, Inc.*(a) | 10 | ||||
33,600 | California First National Bancorp | 469,056 | ||||
4,211 | Capital Bank Financial Corp., Class A | 135,215 | ||||
38,000 | Capitol Bancorp Ltd.*(a)(b) | 0 | ||||
37,100 | Cedar Realty Trust, Inc. REIT | 267,120 | ||||
27,200 | Cherry Hill Mortgage Investment Corp. REIT | 465,392 | ||||
1,506 | CIM Commercial Trust Corp. REIT | 23,132 | ||||
63,650 | Citizens, Inc.* | 595,764 | ||||
101,200 | Consumer Portfolio Services, Inc.* | 464,508 | ||||
15,756 | Cowen Group, Inc., Class A* | 57,194 | ||||
35,777 | Donegal Group, Inc., Class A | 576,367 | ||||
8,444 | Donegal Group, Inc., Class B | 138,059 |
35 |
SCHEDULE OF PORTFOLIO INVESTMENTS
|
RBC Microcap Value Fund (cont.)
September 30, 2016
Shares | Value | |||||
| ||||||
48,540 | Dynex Capital, Inc. REIT | $ | 360,167 | |||
34,050 | EMC Insurance Group, Inc. | 916,967 | ||||
51,000 | Enova International, Inc.* | 493,680 | ||||
29,400 | Federal Agricultural Mortgage Corp., Class C | 1,161,300 | ||||
60,900 | Federated National Holding Co. | 1,138,221 | ||||
29,500 | First Defiance Financial Corp. | 1,316,880 | ||||
9,400 | First Financial Corp. | 382,392 | ||||
41,200 | First Merchants Corp. | 1,102,100 | ||||
38,000 | First Place Financial Corp.*(a)(b) | 0 | ||||
42,000 | First State Bancorporation*(a)(b) | 0 | ||||
660 | Flagstar Bancorp, Inc.* | 18,315 | ||||
16,400 | Forestar Group, Inc.* | 192,044 | ||||
11,600 | Franklin Financial Network, Inc.* | 433,840 | ||||
48,700 | GAIN Capital Holdings, Inc. | 300,966 | ||||
7,100 | GAMCO Investors, Inc., Class A | 202,137 | ||||
11,342 | Getty Realty Corp. REIT | 271,414 | ||||
10,026 | Great Western Bancorp, Inc. | 334,066 | ||||
7,100 | Guaranty Bancorp | 126,735 | ||||
13,200 | HCI Group, Inc. | 400,752 | ||||
20,200 | Heritage Insurance Holdings, Inc. | 291,082 | ||||
5,458 | Hilltop Holdings, Inc.* | 122,587 | ||||
6,040 | HomeTrust Bancshares, Inc.* | 111,740 | ||||
45,700 | Independence Holding Co. | 785,126 | ||||
7,800 | Infinity Property & Casualty Corp. | 644,514 | ||||
7,000 | Investors Title Co. | 696,500 | ||||
41,600 | JMP Group, Inc. | 229,632 | ||||
16,500 | Kansas City Life Insurance Co. | 664,125 | ||||
52,300 | Manning & Napier, Inc. | 370,807 | ||||
30,890 | Marlin Business Services Corp. | 598,648 | ||||
20,200 | MidSouth Bancorp, Inc. | 210,080 | ||||
23,100 | Monmouth Real Estate Investment Corp. REIT | 329,637 | ||||
45,000 | MutualFirst Financial, Inc. | 1,247,850 | ||||
5,300 | National Security Group, Inc. (The) | 94,340 | ||||
3,500 | National Western Life Group, Inc., Class A | 718,795 | ||||
9,900 | Navigators Group, Inc. (The) | 959,508 | ||||
22,067 | Nicholas Financial, Inc.* | 223,318 | ||||
41,700 | OFG Bancorp. | 421,587 | ||||
27,700 | One Liberty Properties, Inc. REIT | 669,232 | ||||
15,700 | Onebeacon Insurance Group Ltd., Class A | 224,196 | ||||
15,900 | Oppenheimer Holdings, Inc., Class A | 227,211 | ||||
14,800 | Pacific Mercantile Bancorp* | 109,076 | ||||
2,468 | Park Sterling Corp. | 20,040 | ||||
30,200 | PennyMac Financial Services, Inc. Class A* | 513,702 | ||||
25,200 | Peoples Bancorp, Inc. | 619,668 | ||||
7,300 | Piper Jaffray Cos.* | 352,590 | ||||
15,900 | Provident Financial Holdings, Inc. | 311,004 | ||||
17,400 | Ramco-Gershenson Properties Trust REIT | 326,076 | ||||
8,100 | RE/MAX Holdings, Inc. Class A | 354,618 |
36 |
SCHEDULE OF PORTFOLIO INVESTMENTS
|
RBC Microcap Value Fund (cont.)
September 30, 2016
Shares | Value | |||||
| ||||||
31,900 | Regional Management Corp.* | $ | 690,635 | |||
39,674 | Reis, Inc. | 811,730 | ||||
5,100 | Resource Capital Corp. REIT | 65,331 | ||||
9,100 | Safety Insurance Group, Inc. | 611,702 | ||||
8,000 | Simmons First National Corp., Class A | 399,200 | ||||
3,793 | South State Corp. | 284,627 | ||||
33,500 | Southwest Bancorp, Inc. | 636,165 | ||||
48,823 | Sterling Bancorp | 854,403 | ||||
10,600 | Stewart Information Services Corp. | 471,170 | ||||
3,140 | Sun Bancorp, Inc. | 72,408 | ||||
11,000 | UMH Properties, Inc. REIT | 131,120 | ||||
52,000 | Unico American Corp.* | 567,320 | ||||
88,216 | United Community Financial Corp. | 627,216 | ||||
19,000 | United Western Bancorp, Inc.*(a)(b) | 0 | ||||
10,800 | Urstadt Biddle Properties, Inc. REIT, Class A | 239,976 | ||||
21,900 | Walker & Dunlop, Inc.* | 553,194 | ||||
14,041 | Western Asset Mortgage Capital Corp. REIT | 146,307 | ||||
40,700 | Whitestone REIT | 564,916 | ||||
16,800 | Winthrop Realty Trust REIT*(a) | 137,928 | ||||
12,100 | �� | ZAIS Financial Corp. REIT | 174,603 | |||
|
| |||||
39,707,158 | ||||||
|
| |||||
Health Care — 3.83% |
| |||||
21,339 | Aceto Corp. | 405,228 | ||||
30,800 | Albany Molecular Research, Inc.* | 508,508 | ||||
11,000 | American Shared Hospital Services* | 34,100 | ||||
17,900 | AngioDynamics, Inc.* | 313,966 | ||||
42,660 | BioScrip, Inc.* | 123,287 | ||||
18,800 | CONMED Corp. | 753,128 | ||||
5,300 | Cross Country Healthcare, Inc.* | 62,434 | ||||
74,850 | CryoLife, Inc. | 1,315,115 | ||||
55,200 | Five Star Quality Care, Inc.* | 105,432 | ||||
4,700 | Invacare Corp. | 52,499 | ||||
6,300 | Kewaunee Scientific Corp. | 150,066 | ||||
9,662 | Kindred Healthcare, Inc. | 98,746 | ||||
15,000 | MedCath Corp.*(a)(b) | 0 | ||||
49,300 | PharMerica Corp.* | 1,383,851 | ||||
21,100 | Triple-S Management Corp., Class B* | 462,723 | ||||
|
| |||||
5,769,083 | ||||||
|
| |||||
Industrials — 21.27% |
| |||||
50,500 | Aegean Marine Petroleum Network, Inc. | 505,000 | ||||
3,000 | Aegion Corp.* | 57,210 | ||||
13,300 | Aerojet Rocketdyne Holdings, Inc.* | 233,814 | ||||
17,300 | Alamo Group, Inc. | 1,139,897 | ||||
52,430 | Allied Motion Technologies, Inc. | 991,451 | ||||
3,800 | Altra Industrial Motion Corp. | 110,086 | ||||
47,700 | Ameresco, Inc., Class A* | 250,902 |
37 |
SCHEDULE OF PORTFOLIO INVESTMENTS
|
RBC Microcap Value Fund (cont.)
September 30, 2016
Shares | Value | |||||
| ||||||
11,400 | Ampco-Pittsburgh Corp. | $ | 126,426 | |||
8,100 | AMREP Corp.* | 64,719 | ||||
27,000 | Ardmore Shipping Corp. | 190,080 | ||||
9,100 | Argan, Inc. | 538,629 | ||||
30,500 | CAI International, Inc.* | 252,235 | ||||
49,800 | CBIZ, Inc.* | 557,262 | ||||
10,900 | CDI Corp. | 61,803 | ||||
8,774 | CECO Environmental Corp. | 98,971 | ||||
44,100 | Celadon Group, Inc. | 385,434 | ||||
10,678 | Cenveo, Inc.* | 75,280 | ||||
2,400 | Chicago Rivet & Machine Co. | 68,400 | ||||
9,360 | Comfort Systems USA, Inc. | 274,342 | ||||
31,878 | Compx International, Inc. | 369,147 | ||||
13,600 | Douglas Dynamics, Inc. | 434,384 | ||||
27,500 | Ducommun, Inc.* | 628,100 | ||||
5,270 | Dycom Industries, Inc.* | 430,981 | ||||
2 | Eagle Bulk Shipping, Inc.* | 14 | ||||
13,100 | Eastern Co. (The) | 262,393 | ||||
8,480 | Ecology and Environment, Inc., Class A | 83,867 | ||||
13,600 | Encore Wire Corp. | 500,072 | ||||
40,500 | Ennis, Inc. | 682,425 | ||||
4,600 | EnPro Industries, Inc. | 261,372 | ||||
20,100 | Espey Manufacturing & Electronics Corp. | 515,565 | ||||
27,000 | Federal Signal Corp. | 358,020 | ||||
19,900 | FLY Leasing Ltd. ADR | 230,641 | ||||
6,790 | G&K Services, Inc., Class A | 648,377 | ||||
414 | Genco Shipping & Trading Ltd.* | 1,896 | ||||
32,900 | Gibraltar Industries, Inc.* | 1,222,235 | ||||
22,100 | Global Power Equipment Group, Inc.* | 91,936 | ||||
5,580 | Golden Ocean Group Ltd.* | 22,599 | ||||
6,260 | GP Strategies Corp.* | 154,121 | ||||
15,350 | Greenbrier Cos., Inc. (The) | 541,855 | ||||
29,000 | Griffon Corp. | 493,290 | ||||
22,250 | Hardinge, Inc. | 247,643 | ||||
7,600 | Hill International, Inc.* | 35,036 | ||||
23,350 | International Shipholding Corp.* | 1,635 | ||||
13,430 | Kadant, Inc. | 699,837 | ||||
5,700 | Key Technology, Inc.* | 61,617 | ||||
18,400 | Kimball International, Inc., Class B | 238,096 | ||||
3,908 | Kratos Defense & Security Solutions, Inc.* | 26,926 | ||||
64,000 | LECG Corp.*(a)(b) | 0 | ||||
33,000 | LS Starrett Co. (The), Class A | 324,060 | ||||
44,250 | LSI Industries, Inc. | 496,927 | ||||
40,700 | Lydall, Inc.* | 2,080,991 | ||||
30,012 | Marten Transport Ltd. | 630,252 | ||||
44,100 | Meritor, Inc.* | 490,833 | ||||
72,000 | Mesa Air Group, Inc.*(a)(b) | 0 | ||||
43,194 | MFC Industrial Ltd.* | 88,548 |
38 |
SCHEDULE OF PORTFOLIO INVESTMENTS
|
RBC Microcap Value Fund (cont.)
September 30, 2016
Shares | Value | |||||
| ||||||
42,500 | Miller Industries, Inc. | $ | 968,575 | |||
18,000 | Mistras Group, Inc.* | 422,460 | ||||
4,900 | National Presto Industries, Inc. | 430,171 | ||||
29,500 | NN, Inc. | 538,375 | ||||
8,800 | Northwest Pipe Co.* | 103,928 | ||||
34,500 | Orion Marine Group, Inc.* | 236,325 | ||||
46,900 | PAM Transportation Services, Inc.* | 938,938 | ||||
137 | Paragon Shipping, Inc., Class A* | 40 | ||||
22,340 | Patrick Industries, Inc.* | 1,383,293 | ||||
25,000 | RCM Technologies, Inc. | 165,250 | ||||
31,000 | Roadrunner Transportation Systems, Inc.* | 247,380 | ||||
20,500 | Rush Enterprises, Inc., Class A* | 501,840 | ||||
39,700 | Safe Bulkers, Inc.* | 55,977 | ||||
27,690 | Sparton Corp.* | 727,139 | ||||
4,700 | Standex International Corp. | 436,489 | ||||
53,820 | Supreme Industries, Inc., Class A | 1,038,726 | ||||
4,269 | SYKES Enterprises, Inc.* | 120,087 | ||||
16,082 | Team, Inc.* | 526,042 | ||||
36,000 | TRC Cos., Inc.* | 312,120 | ||||
22,200 | Tredegar Corp. | 412,698 | ||||
6,800 | Universal Forest Products, Inc. | 669,732 | ||||
13,900 | USA Truck, Inc.* | 142,336 | ||||
19,000 | Viad Corp. | 700,530 | ||||
24,200 | Volt Information Sciences, Inc.* | 153,670 | ||||
33,600 | Willdan Group, Inc.* | 589,680 | ||||
35,200 | Willis Lease Finance Corp.* | 836,704 | ||||
|
| |||||
31,996,137 | ||||||
|
| |||||
Information Technology — 7.63% |
| |||||
60,700 | Acorn Energy, Inc.* | 12,140 | ||||
66,000 | Arc Document Solutions, Inc.* | 246,840 | ||||
10,800 | Black Box Corp. | 150,120 | ||||
15,000 | Blucora, Inc.* | 168,000 | ||||
59,200 | CIBER, Inc.* | 68,080 | ||||
50,000 | Comarco, Inc.* | 3,500 | ||||
18,400 | Communications Systems, Inc. | 87,584 | ||||
34,800 | CTS Corp. | 647,280 | ||||
25,600 | Digi International, Inc.* | 291,840 | ||||
24,700 | Edgewater Technology, Inc.* | 209,950 | ||||
14,400 | Electro Scientific Industries, Inc.* | 81,216 | ||||
12,500 | ePlus, Inc.* | 1,180,125 | ||||
40,800 | Everi Holdings, Inc.* | 100,776 | ||||
8,000 | Exar Corp.* | 74,480 | ||||
8,200 | Fabrinet* | 365,638 | ||||
33,400 | Insight Enterprises, Inc.* | 1,087,170 | ||||
13,000 | JinkoSolar Holding Co. Ltd. ADR* | 205,400 | ||||
4,800 | Kemet Corp.* | 17,136 | ||||
26,100 | Kimball Electronics, Inc.* | 361,746 |
39 |
SCHEDULE OF PORTFOLIO INVESTMENTS
|
RBC Microcap Value Fund (cont.)
September 30, 2016
Shares | Value | |||||
| ||||||
18,300 | Magal Security Systems Ltd.* | $ | 77,592 | |||
2,285 | Mecklermedia Corp.* | 11 | ||||
21,700 | Methode Electronics, Inc. | 758,849 | ||||
21,532 | Novanta, Inc.* | 373,580 | ||||
70,415 | Optical Cable Corp. | 178,854 | ||||
16,800 | Park Electrochemical Corp. | 291,816 | ||||
45,200 | PC Connection, Inc. | 1,194,184 | ||||
58,700 | Perceptron, Inc.* | 394,464 | ||||
31,730 | Photronics, Inc.* | 327,136 | ||||
40,600 | Richardson Electronics Ltd. | 275,268 | ||||
24,600 | Rudolph Technologies, Inc.* | 436,404 | ||||
60,100 | Sigmatron International, Inc.* | 326,944 | ||||
2,433 | STR Holdings, Inc.* | 535 | ||||
25,600 | TESSCO Technologies, Inc. | 317,696 | ||||
13,200 | Vishay Precision Group, Inc.* | 211,596 | ||||
650 | WPCS International, Inc.* | 851 | ||||
47,400 | XO Group, Inc.* | 916,242 | ||||
9,866 | Zedge, Inc., Class B* | 33,742 | ||||
|
| |||||
11,474,785 | ||||||
|
| |||||
Materials — 4.19% |
| |||||
18,400 | A. Schulman, Inc. | 535,808 | ||||
42,090 | American Vanguard Corp. | 675,965 | ||||
37,000 | Blue Earth Refineries, Inc.*(a)(b) | 0 | ||||
15,700 | China Green Agriculture, Inc.* | 22,922 | ||||
15,400 | Friedman Industries, Inc. | 81,928 | ||||
37,790 | FutureFuel Corp. | 426,271 | ||||
4,300 | Hawkins, Inc. | 186,319 | ||||
9,200 | Innospec, Inc. | 559,452 | ||||
15,300 | KMG Chemicals, Inc. | 433,449 | ||||
12,900 | Materion Corp. | 396,159 | ||||
10,840 | Myers Industries, Inc. | 140,812 | ||||
3,400 | Neenah Paper, Inc. | 268,634 | ||||
26 | North American Palladium Ltd.* | 107 | ||||
18,100 | Olympic Steel, Inc. | 400,010 | ||||
85,270 | OMNOVA Solutions, Inc.* | 719,679 | ||||
2,870 | Quaker Chemical Corp. | 304,019 | ||||
10,900 | Real Industry, Inc.* | 66,708 | ||||
4,700 | Stepan Co. | 341,502 | ||||
67,100 | Thompson Creek Metals Co., Inc.* | 35,154 | ||||
33,000 | Trecora Resources* | 376,860 | ||||
16,000 | Universal Stainless & Alloy Products, Inc.* | 167,840 | ||||
3,200 | Vulcan International Corp. | 167,360 | ||||
|
| |||||
6,306,958 | ||||||
|
| |||||
Telecommunication Services — 0.88% |
| |||||
44,050 | DHI Group, Inc.* | 347,555 | ||||
29,600 | IDT Corp., Class B | 510,304 |
40 |
SCHEDULE OF PORTFOLIO INVESTMENTS
|
RBC Microcap Value Fund (cont.)
September 30, 2016
Shares | Value | |||||
| ||||||
25,800 | Spok Holdings, Inc. | $ | 459,756 | |||
|
| |||||
1,317,615 | ||||||
|
| |||||
Utilities — 4.18% |
| |||||
8,800 | American States Water Co. | 352,440 | ||||
5,108 | California Water Service Group | 163,916 | ||||
20,085 | Chesapeake Utilities Corp. | 1,226,390 | ||||
18,700 | Connecticut Water Service, Inc. | 929,951 | ||||
16,100 | Delta Natural Gas Co., Inc. | 383,985 | ||||
16,600 | Empire District Electric Co. (The) | 566,724 | ||||
24,300 | Middlesex Water Co. | 856,332 | ||||
18,600 | SJW Corp. | 812,448 | ||||
25,326 | Unitil Corp. | 989,234 | ||||
|
| |||||
6,281,420 | ||||||
|
| |||||
Total Common Stocks | 142,643,794 | |||||
|
| |||||
(Cost $112,776,406) | ||||||
Preferred Stocks — 0.70% |
| |||||
3,122 | Alere, Inc. | 1,048,805 | ||||
|
| |||||
Total Preferred Stocks | 1,048,805 | |||||
|
| |||||
(Cost $504,723) | ||||||
Exchange Traded Funds — 3.28% |
| |||||
60,350 | iShares Russell Microcap Index Fund | 4,707,904 | ||||
13,400 | PowerShares Zacks Micro Cap Portfolio | 226,326 | ||||
|
| |||||
Total Exchange Traded Funds | 4,934,230 | |||||
|
| |||||
(Cost $4,495,585) | ||||||
Rights/Warrants — 0.11% |
| |||||
724 | Eagle Bulk Shipping, Inc. Warrants, Expire 10/15/21* | 25 | ||||
992 | Genco Shipping & Trading Ltd. Warrants, Expire 7/9/21* | 50 | ||||
2,288 | Magal Security System Ltd. Warrants, Expire 10/03/16* | 659 | ||||
703 | Swift Energy Co. Warrants*(a) | 0 | ||||
703 | Swift Energy Co. Warrants*(a) | 0 | ||||
3,585 | US Concrete, Inc. Warrants, Expire 8/31/17* | 86,076 | ||||
3,585 | US Concrete, Inc., Class B Warrants, Expire 8/31/17* | 78,511 | ||||
|
| |||||
Total Rights/Warrants | 165,321 | |||||
|
| |||||
(Cost $73,487) |
41 |
SCHEDULE OF PORTFOLIO INVESTMENTS
|
RBC Microcap Value Fund (cont.)
September 30, 2016
Principal Amount | Value | |||||
| ||||||
Corporate Bonds — 0.00% |
| |||||
$1,947 | Trenwick America Corp.*(a)(b) | $ | 0 | |||
1,625 | Trenwick America Corp.*(a)(b) | 0 | ||||
|
| |||||
Total Corporate Bonds | 0 | |||||
|
| |||||
(Cost $0) | ||||||
Shares | ||||||
Investment Company — 0.87% |
| |||||
1,306,236 | U.S. Government Money Market Fund, RBC Institutional Class 1(c) | 1,306,236 | ||||
|
| |||||
Total Investment Company | 1,306,236 | |||||
|
| |||||
(Cost $1,306,236) |
Total Investments | $ | 150,098,386 | ||||
(Cost $119,156,437)(d) — 99.77% | ||||||
Other assets in excess of liabilities — 0.23% | 350,383 | |||||
|
| |||||
NET ASSETS — 100.00% | $ | 150,448,769 | ||||
|
|
42 |
SCHEDULE OF PORTFOLIO INVESTMENTS
|
RBC Microcap Value Fund (cont.)
September 30, 2016
* | Non-income producing security. |
(a) | The Pricing Committee has fair valued this security under procedures established by the Fund’s Board of Trustees. |
(b) | Security delisted or issuer in bankruptcy. |
(c) | Affiliated investment. |
(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.
43 |
SCHEDULE OF PORTFOLIO INVESTMENTS
|
RBC Mid Cap Value Fund
September 30, 2016
Shares | Value | |||||
| ||||||
Common Stocks — 99.21% | ||||||
Consumer Discretionary — 15.69% | ||||||
1,580 | Brunswick Corp. | $ | 77,072 | |||
1,092 | Foot Locker, Inc. | 73,950 | ||||
250 | G-III Apparel Group Ltd.* | 7,287 | ||||
1,270 | Interpublic Group of Cos., Inc. (The) | 28,385 | ||||
5,100 | Interval Leisure Group, Inc. | 87,567 | ||||
693 | Lear Corp. | 84,005 | ||||
830 | Lennar Corp. Class A | 35,142 | ||||
413 | Lithia Motors, Inc., Class A | 39,450 | ||||
730 | Macy’s, Inc. | 27,047 | ||||
220 | Mohawk Industries, Inc.* | 44,075 | ||||
561 | Newell Rubbermaid, Inc. | 29,542 | ||||
120 | Signet Jewelers Ltd. | 8,944 | ||||
501 | Tenneco, Inc.* | 29,193 | ||||
284 | Whirlpool Corp. | 46,053 | ||||
|
| |||||
617,712 | ||||||
|
| |||||
Energy — 10.61% |
| |||||
2,448 | Callon Petroleum Co.* | 38,434 | ||||
450 | Concho Resources, Inc.* | 61,807 | ||||
490 | Gulfport Energy Corp.* | 13,843 | ||||
780 | Newfield Exploration Co.* | 33,899 | ||||
2,625 | Parsley Energy, Inc., Class A* | 87,964 | ||||
210 | Pioneer Natural Resources Co. | 38,987 | ||||
1,258 | Range Resources Corp. | 48,743 | ||||
5,725 | Synergy Resources Corp.* | 39,674 | ||||
510 | Tesoro Corp. | 40,576 | ||||
1,590 | Whiting Petroleum Corp.* | 13,896 | ||||
|
| |||||
417,823 | ||||||
|
| |||||
Financials — 30.80% |
| |||||
220 | Alexandria Real Estate Equities, Inc. REIT | 23,929 | ||||
6,865 | AmTrust Financial Services, Inc. | 184,188 | ||||
620 | Apartment Investment & Management Co. REIT, Class A | 28,464 | ||||
280 | Boston Properties, Inc. REIT | 38,161 | ||||
2,817 | Citizens Financial Group, Inc. | 69,608 | ||||
310 | Extra Space Storage, Inc. REIT | 24,617 | ||||
227 | Fifth Third Bancorp | 4,644 | ||||
1,010 | First Industrial Realty Trust, Inc. REIT | 28,502 | ||||
537 | Hartford Financial Services Group, Inc. (The) | 22,994 | ||||
580 | Healthcare Trust of America, Inc. REIT, Class A | 18,920 | ||||
1,770 | Huntington Bancshares, Inc. | 17,452 | ||||
1,280 | Invesco Ltd. | 40,026 | ||||
440 | Jones Lang LaSalle, Inc. | 50,068 | ||||
1,170 | Lincoln National Corp. | 54,967 | ||||
8,274 | National General Holdings Corp. | 184,014 | ||||
560 | Signature Bank* | 66,332 | ||||
610 | SVB Financial Group* | 67,429 |
44 |
SCHEDULE OF PORTFOLIO INVESTMENTS
|
RBC Mid Cap Value Fund (cont.)
September 30, 2016
Shares | Value | |||||
| ||||||
4,690 | Synchrony Financial | $ | 131,320 | |||
3,176 | Toll Brothers, Inc.* | 94,835 | ||||
370 | Weyerhaeuser Co. REIT | 11,818 | ||||
1,490 | XL Group Ltd. | 50,109 | ||||
|
| |||||
1,212,397 | ||||||
|
| |||||
Health Care — 12.04% |
| |||||
1,190 | AmSurg Corp.* | 79,789 | ||||
1,450 | Centene Corp.* | 97,092 | ||||
1,230 | Jazz Pharmaceuticals Plc* | 149,420 | ||||
450 | Laboratory Corp. of America Holdings* | 61,866 | ||||
720 | Mallinckrodt Plc* | 50,242 | ||||
290 | Universal Health Services, Inc., Class B | 35,734 | ||||
|
| |||||
474,143 | ||||||
|
| |||||
Industrials — 5.35% |
| |||||
412 | Alaska Air Group, Inc. | 27,134 | ||||
510 | Carlisle Cos., Inc. | 52,311 | ||||
174 | Oshkosh Corp. | 9,744 | ||||
988 | Ryder System, Inc. | 65,159 | ||||
839 | Spirit Airlines, Inc.* | 35,683 | ||||
252 | Wabtec Corp. | 20,576 | ||||
|
| |||||
210,607 | ||||||
|
| |||||
Information Technology — 14.33% |
| |||||
1,033 | Arrow Electronics, Inc.* | 66,081 | ||||
920 | Cavium, Inc.* | 53,544 | ||||
2,007 | Integrated Device Technology, Inc.* | 46,362 | ||||
1,157 | LAM Research Corp. | 109,579 | ||||
330 | MACOM Technology Solutions Holdings, Inc.* | 13,972 | ||||
710 | Microsemi Corp.* | 29,806 | ||||
863 | Qorvo, Inc.* | 48,104 | ||||
895 | Skyworks Solutions, Inc. | 68,145 | ||||
1,501 | Synchronoss Technologies, Inc.* | 61,811 | ||||
1,140 | Western Digital Corp. | 66,656 | ||||
|
| |||||
564,060 | ||||||
|
| |||||
Materials — 4.86% |
| |||||
1,284 | Crown Holdings, Inc.* | 73,303 | ||||
2,377 | Steel Dynamics, Inc. | 59,401 | ||||
1,209 | WestRock Co. | 58,612 | ||||
|
| |||||
191,316 | ||||||
|
|
45 |
SCHEDULE OF PORTFOLIO INVESTMENTS
|
RBC Mid Cap Value Fund (cont.)
September 30, 2016
Shares | Value | |||||
| ||||||
Utilities — 5.53% |
| |||||
715 | Calpine Corp.* | $ | 9,038 | |||
1,650 | CMS Energy Corp. | 69,317 | ||||
1,489 | DTE Energy Co. | 139,475 | ||||
|
| |||||
217,830 | ||||||
|
| |||||
Total Common Stocks | 3,905,888 | |||||
|
| |||||
(Cost $3,678,834) | ||||||
Investment Company — 1.27% |
| |||||
49,878 | U.S. Government Money Market Fund, RBC Institutional Class 1(a) | 49,878 | ||||
|
| |||||
Total Investment Company | 49,878 | |||||
|
| |||||
(Cost $49,878) | ||||||
Total Investments | $ | 3,955,766 | ||||
(Cost $3,728,712)(b) — 100.48% | ||||||
Liabilities in excess of other assets — (0.48)% | (18,803 | ) | ||||
|
| |||||
NET ASSETS — 100.00% | $ | 3,936,963 | ||||
|
|
* | 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.
46 |
SCHEDULE OF PORTFOLIO INVESTMENTS
|
RBC Small Cap Value Fund
September 30, 2016
Shares | Value | |||||
| ||||||
Common Stocks — 99.15% |
| |||||
Consumer Discretionary — 12.31% |
| |||||
1,450 | Ascena Retail Group, Inc.* | $ | 8,105 | |||
2,950 | Carriage Services, Inc. | 69,767 | ||||
2,580 | Dana Holding Corp. | 40,222 | ||||
3,260 | Destination Maternity Corp. | 23,081 | ||||
4,350 | Gray Television, Inc.* | 45,066 | ||||
300 | Helen of Troy Ltd.* | 25,851 | ||||
5,030 | Libbey, Inc. | 89,786 | ||||
2,260 | Motorcar Parts of America, Inc.* | 65,043 | ||||
3,230 | New Media Investment Group, Inc. | 50,065 | ||||
3,630 | Pier 1 Imports, Inc. | 15,391 | ||||
3,040 | Smith & Wesson Holding Corp.* | 80,834 | ||||
1,320 | Steven Madden Ltd.* | 45,619 | ||||
5,680 | Tandy Leather Factory, Inc.* | 43,509 | ||||
3,590 | Taylor Morrison Home Corp., Class A* | 63,184 | ||||
1,190 | Universal Electronics, Inc.* | 88,607 | ||||
|
| |||||
754,130 | ||||||
|
| |||||
Consumer Staples — 1.38% |
| |||||
2,610 | Dean Foods Co. | 42,804 | ||||
810 | John B Sanfilippo & Son, Inc. | 41,577 | ||||
|
| |||||
84,381 | ||||||
|
| |||||
Energy — 4.65% |
| |||||
5,630 | Callon Petroleum Co.* | 88,391 | ||||
2,760 | Delek US Holdings, Inc. | 47,720 | ||||
1,890 | Gulfport Energy Corp.* | 53,393 | ||||
3,240 | Ring Energy, Inc.* | 35,478 | ||||
770 | RSP Permian, Inc.* | 29,861 | ||||
4,330 | Synergy Resources Corp.* | 30,007 | ||||
|
| |||||
284,850 | ||||||
|
| |||||
Financials — 44.03% |
| |||||
1,600 | American Financial Group, Inc. | 120,000 | ||||
1,640 | AMERISAFE, Inc. | 96,399 | ||||
3,450 | AmTrust Financial Services, Inc. | 92,564 | ||||
2,250 | Capital Bank Financial Corp., Class A | 72,248 | ||||
930 | Chatham Lodging Trust REIT | 17,903 | ||||
2,720 | Chemical Financial Corp. | 120,034 | ||||
4,730 | CoBiz Financial, Inc. | 62,956 | ||||
1,580 | Columbia Property Trust, Inc. REIT | 35,376 | ||||
1,400 | Community Bank System, Inc. | 67,354 | ||||
1,740 | Community Healthcare Trust, Inc., REIT | 38,141 | ||||
12,890 | Compass Diversified Holdings | 224,028 | ||||
1,040 | CubeSmart, REIT | 28,350 | ||||
5,170 | DiamondRock Hospitality Co. REIT | 47,047 | ||||
1,400 | DuPont Fabros Technology, Inc. REIT | 57,750 |
47 |
SCHEDULE OF PORTFOLIO INVESTMENTS
|
RBC Small Cap Value Fund (cont.)
September 30, 2016
Shares | Value | |||||
| ||||||
420 | EastGroup Properties, Inc. REIT | $ | 30,895 | |||
6,560 | Gramercy Property Trust, REIT | 63,238 | ||||
3,659 | Hanmi Financial Corp. | 96,378 | ||||
3,930 | Heritage Financial Corp. | 70,543 | ||||
1,420 | LaSalle Hotel Properties REIT | 33,895 | ||||
1,920 | LegacyTexas Financial Group, Inc. | 60,730 | ||||
3,920 | Mercantile Bank Corp. | 105,252 | ||||
4,740 | National General Holdings Corp. | 105,418 | ||||
1,230 | Northrim BanCorp, Inc. | 31,673 | ||||
2,840 | Pacific Premier Bancorp, Inc.* | 75,146 | ||||
2,590 | Physicians Realty Trust, REIT | 55,789 | ||||
1,400 | ProAssurance Corp. | 73,472 | ||||
3,940 | Ramco-Gershenson Properties Trust REIT | 73,836 | ||||
1,400 | Reinsurance Group of America, Inc. | 151,116 | ||||
1,930 | Rexford Industrial Realty, Inc. REIT | 44,178 | ||||
1,960 | Safeguard Scientifics, Inc.* | 25,402 | ||||
3,220 | STAG Industrial, Inc. REIT | 78,922 | ||||
5,410 | Sterling Bancorp | 94,675 | ||||
2,800 | Synovus Financial Corp. | 91,084 | ||||
1,360 | Terreno Realty Corp. REIT | 37,414 | ||||
1,940 | Texas Capital Bancshares, Inc.* | 106,545 | ||||
5,330 | United Community Banks, Inc. | 112,037 | ||||
|
| |||||
2,697,788 | ||||||
|
| |||||
Health Care — 2.90% |
| |||||
760 | Air Methods Corp.* | 23,932 | ||||
1,340 | Globus Medical, Inc., Class A* | 30,244 | ||||
2,020 | PharMerica Corp.* | 56,701 | ||||
230 | Teleflex, Inc. | 38,651 | ||||
380 | West Pharmaceutical Services, Inc. | 28,310 | ||||
|
| |||||
177,838 | ||||||
|
| |||||
Industrials — 16.69% |
| |||||
12,498 | ACCO Brands Corp.* | 120,481 | ||||
8,740 | Casella Waste Systems, Inc., Class A* | 90,022 | ||||
3,790 | Columbus McKinnon Corp. | 67,614 | ||||
1,290 | EnerSys, Inc. | 89,255 | ||||
3,710 | Ennis, Inc. | 62,513 | ||||
3,500 | Greenbrier Cos., Inc. (The) | 123,550 | ||||
1,070 | Herman Miller, Inc. | 30,602 | ||||
750 | Kirby Corp.* | 46,620 | ||||
1,880 | Lydall, Inc.* | 96,124 | ||||
2,260 | Marten Transport Ltd. | 47,460 | ||||
3,680 | NN, Inc. | 67,160 | ||||
1,490 | Patrick Industries, Inc.* | 92,261 | ||||
2,510 | PGT, Inc.* | 26,782 | ||||
720 | Sparton Corp.* | 18,907 |
48 |
SCHEDULE OF PORTFOLIO INVESTMENTS
|
RBC Small Cap Value Fund (cont.)
September 30, 2016
Shares | Value | |||||
| ||||||
1,010 | Spirit Airlines, Inc.* | $ | 42,955 | |||
|
| |||||
1,022,306 | ||||||
|
| |||||
Information Technology — 5.89% |
| |||||
450 | Coherent, Inc.* | 49,743 | ||||
2,400 | Mitel Networks Corp.* | 17,664 | ||||
6,560 | Novanta, Inc.* | 113,816 | ||||
889 | PC Connection, Inc. | 23,487 | ||||
2,340 | Sapiens International Corp. | 29,882 | ||||
580 | Synaptics, Inc.* | 33,976 | ||||
880 | Synchronoss Technologies, Inc.* | 36,238 | ||||
530 | Take-Two Interactive Software, Inc.* | 23,892 | ||||
2,020 | Vishay Precision Group, Inc.* | 32,381 | ||||
|
| |||||
361,079 | ||||||
|
| |||||
Materials — 5.59% |
| |||||
1,010 | Ferro Corp.* | 13,948 | ||||
310 | Kaiser Aluminum Corp. | 26,812 | ||||
3,350 | Koppers Holdings, Inc.* | 107,803 | ||||
9,500 | OMNOVA Solutions, Inc.* | 80,180 | ||||
1,580 | Reliance Steel & Aluminum Co. | 113,807 | ||||
|
| |||||
342,550 | ||||||
|
| |||||
Utilities — 5.71% |
| |||||
1,940 | NorthWestern Corp. | 111,608 | ||||
2,470 | Portland General Electric Co. | 105,197 | ||||
2,090 | Spire, Inc. | 133,217 | ||||
|
| |||||
350,022 | ||||||
|
| |||||
Total Common Stocks | 6,074,944 | |||||
|
| |||||
(Cost $5,444,590) | ||||||
Investment Company — 1.61% |
| |||||
98,611 | U.S. Government Money Market Fund, RBC Institutional Class 1(a) | 98,611 | ||||
|
| |||||
Total Investment Company | 98,611 | |||||
|
| |||||
(Cost $98,611) | ||||||
Total Investments | $ | 6,173,555 | ||||
(Cost $5,543,201)(b) — 100.76% | ||||||
Liabilities in excess of other assets — (0.76)% | (46,599 | ) | ||||
|
| |||||
NET ASSETS — 100.00% | $ | 6,126,956 | ||||
|
|
49 |
SCHEDULE OF PORTFOLIO INVESTMENTS
|
RBC Small Cap Value Fund (cont.)
September 30, 2016
* | 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.
50 |
|
Statements of Assets and Liabilities
September 30, 2016
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: | ||||||||||||||||||||||||
Investments in securities, at value: | ||||||||||||||||||||||||
Unaffiliated investments (cost $72,965,062, $65,512,196, $184,370,646, $117,850,201, $3,678,834 and $5,444,590, respectively) | $ | 96,154,065 | $ | 103,786,147 | $ | 254,453,199 | $ | 148,792,150 | $ | 3,905,888 | $ | 6,074,944 | ||||||||||||
Affiliated investments (cost $2,073,995, $655,591, $3,369,639, $1,306,236, $49,878 and $98, 611, respectively) | 2,073,995 | 655,591 | 3,369,639 | 1,306,236 | 49,878 | 98,611 | ||||||||||||||||||
Interest and dividends receivable | 22,637 | 25,916 | 103,010 | 153,599 | 2,864 | 7,236 | ||||||||||||||||||
Receivable from advisor | — | — | — | — | 23,494 | 6,851 | ||||||||||||||||||
Receivable for capital shares issued | 2,728 | 100 | 259,816 | 6,538 | — | — | ||||||||||||||||||
Receivable for investments sold | — | 19,912 | 392,808 | 370,358 | 115,555 | 36,977 | ||||||||||||||||||
Prepaid expenses | 16,030 | 17,491 | 14,627 | 14,056 | 18,894 | 5,796 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Assets | 98,269,455 | 104,505,157 | 258,593,099 | 150,642,937 | 4,116,573 | 6,230,415 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Liabilities: | ||||||||||||||||||||||||
Payable for capital shares redeemed | 30,508 | 3,059 | 146,843 | 30,492 | — | — | ||||||||||||||||||
Payable for investments purchased | — | — | 540,844 | — | 155,905 | 81,214 | ||||||||||||||||||
Accrued expenses and other payables: | ||||||||||||||||||||||||
Investment advisory fees | 24,045 | 62,410 | 133,904 | 81,667 | — | — | ||||||||||||||||||
Administration fees | 4,862 | 6,844 | 16,832 | 9,841 | 258 | — | ||||||||||||||||||
Audit fees | 17,700 | 17,700 | 17,700 | 17,700 | 17,700 | 17,700 | ||||||||||||||||||
Trustees’ fees | 30 | 46 | 101 | 63 | 3 | 2 | ||||||||||||||||||
Distribution fees | 1,639 | 162 | — | — | 33 | — | ||||||||||||||||||
Shareholder reports | 3,398 | 5,964 | 10,926 | 10,037 | 263 | 180 | ||||||||||||||||||
Transfer agent fees | 10,698 | 18,003 | 46,064 | 36,151 | — | 630 | ||||||||||||||||||
Other | 4,145 | 4,921 | 7,007 | 8,217 | 5,448 | 3,733 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Liabilities | 97,025 | 119,109 | 920,221 | 194,168 | 179,610 | 103,459 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Assets | $ | 98,172,430 | $ | 104,386,048 | $ | 257,672,878 | $ | 150,448,769 | $ | 3,936,963 | $ | 6,126,956 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Assets Consist Of: | ||||||||||||||||||||||||
Capital | $ | 70,326,786 | $ | 65,452,395 | $ | 193,032,052 | $ | 111,271,319 | $ | 3,735,462 | $ | 5,361,017 | ||||||||||||
Undistributed net investment income (loss) | (176,178 | ) | (39,129 | ) | (409,259 | ) | 199,210 | 12,801 | 6,787 | |||||||||||||||
Accumulated net realized gains (losses) from investment transactions and foreign currency | 4,832,819 | 698,831 | (5,032,468 | ) | 8,036,291 | (38,354 | ) | 128,798 | ||||||||||||||||
Net unrealized appreciation on investments and foreign currency | 23,189,003 | 38,273,951 | 70,082,553 | 30,941,949 | 227,054 | 630,354 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Assets | $ | 98,172,430 | $ | 104,386,048 | $ | 257,672,878 | $ | 150,448,769 | $ | 3,936,963 | $ | 6,126,956 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Assets: | ||||||||||||||||||||||||
Class A | $ | 12,105,632 | $ | 1,303,318 | $ | 12,959,877 | $ | 9,135,619 | $ | 32,039 | $ | N/A | ||||||||||||
Class I | 86,066,798 | 103,082,730 | 244,713,001 | 141,313,150 | 3,904,924 | 6,126,956 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total | $ | 98,172,430 | $ | 104,386,048 | $ | 257,672,878 | $ | 150,448,769 | $ | 3,936,963 | $ | 6,126,956 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
51 |
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 | 869,640 | 60,660 | 386,513 | 314,481 | 2,922 | N/A | ||||||||||||||||||
Class I | 5,648,372 | 4,648,931 | 7,021,259 | 4,855,626 | 357,514 | 540,780 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total | 6,518,012 | 4,709,591 | 7,407,772 | 5,170,107 | 360,436 | 540,780 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Asset Values and Redemption Prices per Share: | ||||||||||||||||||||||||
Class A(a) | $ | 13.92 | $ | 21.49 | $ | 33.53 | $ | 29.05 | $ | 10.96 | $ | N/A | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Class I | $ | 15.24 | $ | 22.17 | $ | 34.85 | $ | 29.10 | $ | 10.92 | $ | 11.33 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Maximum Offering Price Per Share: | ||||||||||||||||||||||||
Class A | $ | 14.77 | $ | 22.80 | $ | 35.58 | $ | 30.82 | $ | 11.63 | $ | N/A | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Maximum Sales Charge - Class A | 5.75 | % | 5.75 | % | 5.75 | % | 5.75 | % | 5.75 | % | 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.
52 |
FINANCIAL STATEMENTS
|
For the Year Ended September 30, 2016
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 | |||||||||||||||||||
Investment Income: | ||||||||||||||||||||||||
Dividend income - unaffiliated | $ | 460,762 | $ | 1,014,785 | $ | 2,131,135 | $ | 2,122,272 | $ | 62,551 | $ | 98,755 | ||||||||||||
Dividend income - affiliated | 1,077 | 468 | 1,390 | 1,913 | 104 | 242 | ||||||||||||||||||
Foreign tax withholding | (2,179 | ) | (8,949 | ) | — | (1,280 | ) | — | (133 | ) | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Investment Income | 459,660 | 1,006,304 | 2,132,525 | 2,122,905 | 62,655 | 98,864 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Expenses: | ||||||||||||||||||||||||
Investment advisory fees | 479,433 | 946,276 | 2,032,555 | 1,295,618 | 40,781 | 44,123 | ||||||||||||||||||
Distribution fees - Class A | 30,776 | 3,275 | 27,350 | 24,559 | 41 | — | ||||||||||||||||||
Accounting fees | 28,425 | 30,089 | 36,956 | 32,198 | 25,291 | 25,276 | ||||||||||||||||||
Administration fees | 51,368 | 76,343 | 179,343 | 107,968 | 4,369 | — | ||||||||||||||||||
Audit fees | 39,059 | 39,059 | 39,059 | 39,059 | 44,059 | 34,717 | ||||||||||||||||||
Custodian fees | 1,589 | 3,065 | 7,240 | 2,780 | 21,267 | 3,434 | ||||||||||||||||||
Insurance fees | 4,091 | 4,091 | 4,091 | 4,091 | 4,091 | 2,599 | ||||||||||||||||||
Legal fees | 2,899 | 4,227 | 10,552 | 6,185 | 35,961 | 570 | ||||||||||||||||||
Registration and filing fees | 35,720 | 35,370 | 37,523 | 37,424 | 34,953 | 18,802 | ||||||||||||||||||
Shareholder reports | 9,840 | 18,246 | 30,787 | 32,196 | 5,056 | 478 | ||||||||||||||||||
Transfer agent fees - Class A | 29,935 | 7,918 | 23,772 | 39,655 | 6,344 | — | ||||||||||||||||||
Transfer agent fees - Class I | 47,161 | 98,831 | 293,087 | 188,996 | 6,323 | 3,740 | ||||||||||||||||||
Trustees’ fees | 3,378 | 5,083 | 11,755 | 7,122 | 295 | 17 | ||||||||||||||||||
Offering Costs | — | — | — | — | — | 8,405 | ||||||||||||||||||
Other fees | 8,181 | 9,388 | 11,487 | 22,883 | 7,055 | 7,089 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total expenses before fee waiver/reimbursement | 771,855 | 1,281,261 | 2,745,557 | 1,840,734 | 235,886 | 149,250 | ||||||||||||||||||
Expenses waived/reimbursed by: | ||||||||||||||||||||||||
Advisor | (158,922 | ) | (178,642 | ) | (566,073 | ) | (275,817 | ) | (203,803 | ) | (94,096 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Expenses | 612,933 | 1,102,619 | 2,179,484 | 1,564,917 | 32,083 | 55,154 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Investment Income (Loss) | (153,273 | ) | (96,315 | ) | (46,959 | ) | 557,988 | 30,572 | 43,710 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Realized/Unrealized Gains (Losses) from Investment Transactions: | ||||||||||||||||||||||||
Net realized gains (losses) from investment transactions | 5,351,638 | 817,844 | (4,150,947 | ) | 8,082,929 | 101,970 | 126,690 | |||||||||||||||||
Net change in unrealized appreciation/depreciation on investments and foreign currency | 4,438,779 | 12,099,665 | 45,588,780 | 10,518,615 | 615,657 | 816,465 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net realized/unrealized gains from investments | 9,790,417 | 12,917,509 | 41,437,833 | 18,601,544 | 717,627 | 943,155 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Change in net assets resulting from operations | $ | 9,637,144 | $ | 12,821,194 | $ | 41,390,874 | $ | 19,159,532 | $ | 748,199 | $ | 986,865 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
See Notes to Financial Statements.
53 |
FINANCIAL STATEMENTS
|
Statements of Changes in Net Assets
RBC SMID Cap Growth Fund | ||||||||
For the Year Ended September 30, 2016 | For the Year Ended September 30, 2015 | |||||||
From Investment Activities: | ||||||||
Operations: | ||||||||
Net investment loss | $ | (153,273 | ) | $ | (252,634 | ) | ||
Net realized gains from investment transactions | 5,351,638 | 6,699,435 | ||||||
Net change in unrealized appreciation/depreciation on investments | 4,438,779 | (4,506,588 | ) | |||||
|
|
|
| |||||
Change in net assets resulting from operations | 9,637,144 | 1,940,213 | ||||||
|
|
|
| |||||
Distributions to Class A Shareholders: | ||||||||
From net realized gains | (1,355,182 | ) | (1,963,533 | ) | ||||
Distributions to Class I Shareholders: | ||||||||
From net realized gains | (5,590,012 | ) | (8,245,280 | ) | ||||
|
|
|
| |||||
Change in net assets resulting from shareholder distributions | (6,945,194 | ) | (10,208,813 | ) | ||||
|
|
|
| |||||
Capital Transactions: | ||||||||
Proceeds from shares issued | 32,011,667 | 4,285,393 | ||||||
Distributions reinvested | 6,849,002 | 10,155,094 | ||||||
Cost of shares redeemed | (10,385,986 | ) | (7,997,868 | ) | ||||
|
|
|
| |||||
Change in net assets resulting from capital transactions | 28,474,683 | 6,442,619 | ||||||
|
|
|
| |||||
Net Increase (decrease) in net assets | 31,166,633 | (1,825,981 | ) | |||||
Net Assets: | ||||||||
Beginning of year | 67,005,797 | 68,831,778 | ||||||
|
|
|
| |||||
End of year | $ | 98,172,430 | $ | 67,005,797 | ||||
|
|
|
| |||||
Distributions in excess of net investment income | $ | (176,178 | ) | $ | (213,748 | ) | ||
|
|
|
| |||||
Share Transactions: | ||||||||
Issued | 2,124,305 | 278,020 | ||||||
Reinvested | 502,417 | 672,204 | ||||||
Redeemed | (739,325 | ) | (503,955 | ) | ||||
|
|
|
| |||||
Change in shares resulting from capital transactions | 1,887,397 | 446,269 | ||||||
|
|
|
|
See Notes to Financial Statements.
54 |
FINANCIAL STATEMENTS
|
Statements of Changes in Net Assets (cont.)
RBC Enterprise Fund | ||||||||
For the Year Ended September 30, 2016 | For the Year Ended September 30, 2015 | |||||||
From Investment Activities: | ||||||||
Operations: | ||||||||
Net investment loss | $ | (96,315 | ) | $ | (119,521 | ) | ||
Net realized gains from investment transactions | 817,844 | 6,831,032 | ||||||
Net change in unrealized appreciation/depreciation on investments | 12,099,665 | (16,136,752 | ) | |||||
|
|
|
| |||||
Change in net assets resulting from operations | 12,821,194 | (9,425,241 | ) | |||||
|
|
|
| |||||
Distributions to Class A Shareholders: | ||||||||
From net realized gains | (80,685 | ) | (331,213 | ) | ||||
Distributions to Class I Shareholders: | ||||||||
From net investment income | (257,698 | ) | — | |||||
From net realized gains | (5,807,743 | ) | (15,298,012 | ) | ||||
|
|
|
| |||||
Change in net assets resulting from shareholder distributions | (6,146,126 | ) | (15,629,225 | ) | ||||
|
|
|
| |||||
Capital Transactions: | ||||||||
Proceeds from shares issued | 526,008 | 888,263 | ||||||
Distributions reinvested | 5,812,298 | 14,771,510 | ||||||
Cost of shares redeemed | (14,275,233 | ) | (11,893,907 | ) | ||||
|
|
|
| |||||
Change in net assets resulting from capital transactions | (7,936,927 | ) | 3,765,866 | |||||
|
|
|
| |||||
Net decrease in net assets | (1,261,859 | ) | (21,288,600 | ) | ||||
Net Assets: | ||||||||
Beginning of year | 105,647,907 | 126,936,507 | ||||||
|
|
|
| |||||
End of year | $ | 104,386,048 | $ | 105,647,907 | ||||
|
|
|
| |||||
Distributions in excess of net investment income | $ | (39,129 | ) | $ | (337,037 | ) | ||
|
|
|
| |||||
Share Transactions: | ||||||||
Issued | 26,485 | 37,073 | ||||||
Reinvested | 299,718 | 623,105 | ||||||
Redeemed | (705,606 | ) | (499,838 | ) | ||||
|
|
|
| |||||
Change in shares resulting from capital transactions | (379,403 | ) | 160,340 | |||||
|
|
|
|
See Notes to Financial Statements.
55 |
FINANCIAL STATEMENTS
|
Statements of Changes in Net Assets (cont.)
RBC Small Cap Core Fund | ||||||||
For the Year Ended September 30, 2016 | For the Year Ended September 30, 2015 | |||||||
From Investment Activities: | ||||||||
Operations: | ||||||||
Net investment income (loss) | $ | (46,959 | ) | $ | 266,118 | |||
Net realized gains (losses) from investment transactions | (4,150,947 | ) | 2,340,320 | |||||
Net change in unrealized appreciation/depreciation on investments | 45,588,780 | (11,397,830 | ) | |||||
|
|
|
| |||||
Change in net assets resulting from operations | 41,390,874 | (8,791,392 | ) | |||||
|
|
|
| |||||
Distributions to Class A Shareholders: | ||||||||
From net realized gains | (154,785 | ) | (322,051 | ) | ||||
Distributions to Class I Shareholders: | ||||||||
From net investment income | (164,209 | ) | — | |||||
From net realized gains | (3,088,120 | ) | (8,220,883 | ) | ||||
|
|
|
| |||||
Change in net assets resulting from shareholder distributions | (3,407,114 | ) | (8,542,934 | ) | ||||
|
|
|
| |||||
Capital Transactions: | ||||||||
Proceeds from shares issued | 39,090,686 | 83,369,369 | ||||||
Distributions reinvested | 3,250,461 | 8,268,614 | ||||||
Cost of shares redeemed | (56,191,638 | ) | (58,838,792 | ) | ||||
|
|
|
| |||||
Change in net assets resulting from capital transactions | (13,850,491 | ) | 32,799,191 | |||||
|
|
|
| |||||
Net increase in net assets | 24,133,269 | 15,464,865 | ||||||
Net Assets: | ||||||||
Beginning of year | 233,539,609 | 218,074,744 | ||||||
|
|
|
| |||||
End of year | $ | 257,672,878 | $ | 233,539,609 | ||||
|
|
|
| |||||
Distributions in excess of net investment income | $ | (409,259 | ) | $ | (256,363 | ) | ||
|
|
|
| |||||
Share Transactions: | ||||||||
Issued | 1,283,885 | 2,525,339 | ||||||
Reinvested | 107,253 | 253,357 | ||||||
Redeemed | (1,879,937 | ) | (1,774,935 | ) | ||||
|
|
|
| |||||
Change in shares resulting from capital transactions | (488,799 | ) | 1,003,761 | |||||
|
|
|
|
See Notes to Financial Statements.
56 |
FINANCIAL STATEMENTS
|
Statements of Changes in Net Assets (cont.)
RBC Microcap Value Fund | ||||||||
For the Year Ended September 30, 2016 | For the Year Ended September 30, 2015 | |||||||
From Investment Activities: | ||||||||
Operations: | ||||||||
Net investment income | $ | 557,988 | $ | 696,121 | ||||
Net realized gains from investment transactions and foreign currency | 8,082,929 | 2,743,790 | ||||||
Net change in unrealized appreciation/depreciation on investments | 10,518,615 | (3,615,849 | ) | |||||
|
|
|
| |||||
Change in net assets resulting from operations | 19,159,532 | (175,938 | ) | |||||
|
|
|
| |||||
Distributions to Class A Shareholders: | ||||||||
From net investment income | (30,869 | ) | (32,359 | ) | ||||
From net realized gains | (112,251 | ) | (227,428 | ) | ||||
Distributions to Class I Shareholders: | ||||||||
From net investment income | (726,945 | ) | (862,426 | ) | ||||
From net realized gains | (1,415,402 | ) | (3,513,670 | ) | ||||
|
|
|
| |||||
Change in net assets resulting from shareholder distributions | (2,285,467 | ) | (4,635,883 | ) | ||||
|
|
|
| |||||
Capital Transactions: | ||||||||
Proceeds from shares issued | 17,491,384 | 22,586,350 | ||||||
Distributions reinvested | 1,959,231 | 4,210,277 | ||||||
Cost of shares redeemed | (26,310,976 | ) | (25,924,177 | ) | ||||
|
|
|
| |||||
Change in net assets resulting from capital transactions | (6,860,361 | ) | 872,450 | |||||
|
|
|
| |||||
Net increase (decrease) in net assets | 10,013,704 | (3,939,371 | ) | |||||
Net Assets: | ||||||||
Beginning of year | 140,435,065 | 144,374,436 | ||||||
|
|
|
| |||||
End of year | $ | 150,448,769 | $ | 140,435,065 | ||||
|
|
|
| |||||
Undistributed net investment income | $ | 199,210 | $ | 420,278 | ||||
|
|
|
| |||||
Share Transactions: | ||||||||
Issued | 663,449 | 795,930 | ||||||
Reinvested | 74,270 | 152,213 | ||||||
Redeemed | (986,502 | ) | (931,900 | ) | ||||
|
|
|
| |||||
Change in shares resulting from capital transactions | (248,783 | ) | 16,243 | |||||
|
|
|
|
See Notes to Financial Statements.
57 |
FINANCIAL STATEMENTS
|
Statements of Changes in Net Assets (cont.)
RBC Mid Cap Value Fund | ||||||||
For the Year Ended September 30, 2016 | For the Year Ended September 30, 2015 | |||||||
From Investment Activities: | ||||||||
Operations: | ||||||||
Net investment income | $ | 30,572 | $ | 30,480 | ||||
Net realized gains from investment transactions | 101,970 | 489,794 | ||||||
Net change in unrealized appreciation/depreciation on investments | 615,657 | (495,004 | ) | |||||
|
|
|
| |||||
Change in net assets resulting from operations | 748,199 | 25,270 | ||||||
|
|
|
| |||||
Distributions to Class A Shareholders: | ||||||||
From net realized gains | (55 | ) | — | |||||
Distributions to Class I Shareholders: | ||||||||
From net investment income | (34,471 | ) | (15,820 | ) | ||||
From net realized gains | (561,287 | ) | (876,067 | ) | ||||
|
|
|
| |||||
Change in net assets resulting from shareholder distributions | (595,813 | ) | (891,887 | ) | ||||
|
|
|
| |||||
Capital Transactions: | ||||||||
Proceeds from shares issued | 3,506,630 | 1,401,090 | ||||||
Distributions reinvested | 591,666 | 843,794 | ||||||
Cost of shares redeemed | (5,362,198 | ) | (932,149 | ) | ||||
|
|
|
| |||||
Change in net assets resulting from capital transactions | (1,263,902 | ) | 1,312,735 | |||||
|
|
|
| |||||
Net increase (decrease) in net assets | (1,111,516 | ) | 446,118 | |||||
Net Assets | ||||||||
Beginning of year | 5,048,479 | 4,602,361 | ||||||
|
|
|
| |||||
End of year | $ | 3,936,963 | $ | 5,048,479 | ||||
|
|
|
| |||||
Undistributed net investment income | $ | 12,801 | $ | 16,222 | ||||
|
|
|
| |||||
Share Transactions: | ||||||||
Issued | 358,613 | 111,075 | ||||||
Reinvested | 56,516 | 70,316 | ||||||
Redeemed | (503,848 | ) | (73,531 | ) | ||||
|
|
|
| |||||
Change in shares resulting from capital transactions | (88,719 | ) | 107,860 | |||||
|
|
|
|
See Notes to Financial Statements.
58 |
FINANCIAL STATEMENTS
|
Statements of Changes in Net Assets (cont.)
RBC Small Cap Value Fund | ||||||||
For the Year Ended September 30, 2016 | For the Period Ended September 30, 2015(a) | |||||||
From Investment Activities: | ||||||||
Operations: | ||||||||
Net investment income | $ | 43,710 | $ | 28,737 | ||||
Net realized gains from investment transactions | 126,690 | 34,794 | ||||||
Net change in unrealized appreciation/depreciation on investments | 816,465 | (186,111 | ) | |||||
|
|
|
| |||||
Change in net assets resulting from operations | 986,865 | (122,580 | ) | |||||
|
|
|
| |||||
Distributions to Class I Shareholders: | ||||||||
From net investment income | (82,471 | ) | (14,660 | ) | ||||
From net realized gains | (40,742 | ) | — | |||||
|
|
|
| |||||
Change in net assets resulting from shareholder distributions | (123,213 | ) | (14,660 | ) | ||||
|
|
|
| |||||
Capital Transactions: | ||||||||
Proceeds from shares issued | 59,136 | 5,207,396 | ||||||
Distributions reinvested | 119,352 | 14,660 | ||||||
|
|
|
| |||||
Change in net assets resulting from capital transactions | 178,488 | 5,222,056 | ||||||
|
|
|
| |||||
Net increase in net assets | 1,042,140 | 5,084,816 | ||||||
Net Assets: | ||||||||
Beginning of period | 5,084,816 | — | ||||||
|
|
|
| |||||
End of period | $ | 6,126,956 | $ | 5,084,816 | ||||
|
|
|
| |||||
Undistributed net investment income | $ | 6,787 | $ | 44,446 | ||||
|
|
|
| |||||
Share Transactions: | ||||||||
Issued | 6,062 | 521,010 | ||||||
Reinvested | 12,254 | 1,454 | ||||||
|
|
|
| |||||
Change in shares resulting from capital transactions | 18,316 | 522,464 | ||||||
|
|
|
|
(a) | For the period from December 3, 2014 (commencement of operations) to September 30, 2015. |
See Notes to Financial Statements.
59 |
|
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, 2016 | $13.57 | (0.06)(a) | 1.95 | (b) | 1.89 | (1.54) | (1.54) | $13.92 | ||||||||||||||||||||||||
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 | ||||||||||||||||||||||||
Class I | ||||||||||||||||||||||||||||||||
Year Ended September 30, 2016 | $14.68 | (0.03)(a) | 2.13 | (b) | 2.10 | (1.54) | (1.54) | $15.24 | ||||||||||||||||||||||||
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 |
(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 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, 2016 | 14.99% | $12,106 | 1.10% | (0.43%) | 1.46% | 14% | ||||||||||||||||||
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% | ||||||||||||||||||
Class I | ||||||||||||||||||||||||
Year Ended September 30, 2016 | 15.32% | $86,067 | 0.85% | (0.18%) | 1.05% | 14% | ||||||||||||||||||
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% |
* | 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.
61 |
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, 2016 | $20.16 | (0.07)(a) | 2.59 | (b) | 2.52 | — | (1.19) | (1.19) | $21.49 | |||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||
Class I | ||||||||||||||||||||||||||||||||||||
Year Ended September 30, 2016 | $20.77 | (0.02)(a) | 2.66 | (b) | 2.64 | (0.05) | (1.19) | (1.24) | $22.17 | |||||||||||||||||||||||||||
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 |
(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.
62 |
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, 2016 | 13.31% | $ 1,303 | 1.33% | (0.35%) | 2.00% | 11% | ||||||||||||||||||
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% | ||||||||||||||||||
Class I | ||||||||||||||||||||||||
Year Ended September 30, 2016 | 13.56% | $103,083 | 1.08% | (0.09%) | 1.25% | 11% | ||||||||||||||||||
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% |
* | 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.
63 |
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, 2016 | $28.55 | (0.07)(a) | 5.46 | (b) | 5.39 | — | (0.41) | (0.41) | $33.53 | |||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||
Class I(c) | ||||||||||||||||||||||||||||||||||||
Year Ended September 30, 2016 | $29.61 | —(a)(b) | 5.67 | (b) | 5.67 | (0.02) | (0.41) | (0.43) | $34.85 | |||||||||||||||||||||||||||
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 |
(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 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, 2016 | 19.07% | $ 12,960 | 1.15% | (0.23%) | 1.47% | 20% | ||||||||||||||||||
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% | ||||||||||||||||||
Class I(b) | ||||||||||||||||||||||||
Year Ended September 30, 2016 | 19.35% | $244,713 | 0.90% | (0.01%) | 1.13% | 20% | ||||||||||||||||||
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% |
* | 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.
65 |
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, 2016 | $25.88 | 0.04(a) | 3.50 | (b) | 3.54 | (0.08) | (0.29) | (0.37) | $29.05 | |||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||
Class I(c) | ||||||||||||||||||||||||||||||||||||
Year Ended September 30, 2016 | $25.92 | 0.11(a) | 3.51 | (b) | 3.62 | (0.15) | (0.29) | (0.44) | $29.10 | |||||||||||||||||||||||||||
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 |
(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.
66 |
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, 2016 | 13.80% | $ 9,136 | 1.32% | 0.15% | 1.76% | 11% | ||||||||||||||||||
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% | ||||||||||||||||||
Class I(b) | ||||||||||||||||||||||||
Year Ended September 30, 2016 | 14.10% | $141,313 | 1.07% | 0.40% | 1.24% | 11% | ||||||||||||||||||
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% |
* | 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.
67 |
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 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 A | ||||||||||||||||||||||||||||||||||||
Period Ended September 30, 2016(a) | $ 10.55 | 0.02(b) | 0.45 | — | 0.47 | — | (0.06) | (0.06) | $ 10.96 | |||||||||||||||||||||||||||
Class I | ||||||||||||||||||||||||||||||||||||
Year Ended September 30, 2016 | $ 11.24 | 0.05(b) | 0.94 | — | 0.99 | (0.07) | (1.24) | (1.31) | $ 10.92 | |||||||||||||||||||||||||||
Year Ended September 30, 2015 | 13.49 | 0.08(b) | 0.20 | — | 0.28 | (0.04) | (2.49) | (2.53) | 11.24 | |||||||||||||||||||||||||||
Year Ended September 30, 2014 | 12.35 | 0.04(b) | 2.31 | — | 2.35 | (0.04) | (1.17) | (1.21) | 13.49 | |||||||||||||||||||||||||||
Year Ended September 30, 2013 | 10.34 | 0.06(b) | 2.59 | — | 2.65 | (0.16) | (0.48) | (0.64) | 12.35 | |||||||||||||||||||||||||||
Year Ended September 30, 2012 | 9.42 | 0.09(b) | 2.69 | — | 2.78 | (0.10) | (1.76) | (1.86) | 10.34 |
(a) | For the period from October 26, 2015 (commencement of operations) to September 30, 2016. |
(b) | Per share net investment income (loss) has been calculated using the average daily shares method. |
See Notes to Financial Statements.
68 |
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 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 A | ||||||||||||||||||||||||
Period Ended September 30, 2016(b) | 9.06%(c) | $32 | 0.80%(d) | 0.19%(d) | 43.48%(d) | 229% | ||||||||||||||||||
Class I | ||||||||||||||||||||||||
Year Ended September 30, 2016 | 9.37% | $3,905 | 0.55% | 0.53% | 3.94% | 229% | ||||||||||||||||||
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% |
* | 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. |
† | 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 period, reinvestment of all dividends and distributions, and a complete redemption of the investment at net asset value at the end of the period. |
(b) | For the period from October 26, 2015 (commencement of operations) to September 30, 2016. |
(c) | Not Annualized. |
(d) | Annualized. |
See Notes to Financial Statements.
69 |
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 | ||||||||||||||||||||||||||||||||||||
Year Ended September 30, 2016 | $9.73 | 0.08(a) | 1.76 | — | 1.84 | (0.16) | (0.08) | (0.24) | $11.33 | |||||||||||||||||||||||||||
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.
70 |
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 | ||||||||||||||||||||||||
Year Ended September 30, 2016 | 19.26% | $6,127 | 1.00% | 0.79% | 2.71% | 47% | ||||||||||||||||||
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 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. |
(a) | 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. |
(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.
71 |
|
September 30, 2016
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 21 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, Microcap Value, and Mid Cap Value Funds offer two share classes: Class A and Class I shares. The Mid Cap Value Fund offers Class A shares effective October 26, 2015. 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 Small Cap Value Fund offers 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).
2. Significant Accounting Policies:
Each Fund is an investment company that follows accounting and reporting guidance under the Financial Accounting Standards Board. 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 regularly scheduled closing time of the exchange and are categorized as Level 1 in the fair value hierarchy (see “Fair Value Measurements” below for additional information). An equity security not listed on an exchange but
72 |
NOTES TO FINANCIAL STATEMENTS
|
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 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.
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.
73 |
NOTES TO FINANCIAL STATEMENTS
|
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 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, 2016 is as follows:
Investments in Securities | Level 1 | Level 2 Significant Inputs | Level 3 Significant | Total | ||||||||||||
SMID Cap Growth Fund | $ | 98,228,060(a | ) | $ | — | $ — | $ | 98,228,060 | ||||||||
Enterprise Fund | 104,441,738(a | ) | — | — | 104,441,738 | |||||||||||
Small Cap Core Fund | 257,822,838(a | ) | — | — | 257,822,838 | |||||||||||
Microcap Value Fund | 149,413,303(a | ) | 547,155(b) | 137,928 | 150,098,386 | |||||||||||
Mid Cap Value Fund | 3,955,766(a | ) | — | — | 3,955,766 | |||||||||||
Small Cap Value Fund | 6,173,555(a | ) | — | — | 6,173,555 |
(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 ($172,514), Industrials ($68,400), Financials ($138,147), Materials ($167,360), and Rights/Warrants ($734) sections of the Schedule of Portfolio Investments.
74 |
NOTES TO FINANCIAL STATEMENTS
|
The Funds did not have any liabilities that were measured at fair value on a recurring basis at September 30, 2016.
During the period ended September 30, 2016, the Funds, except Microcap Value Fund, recognized no transfers to/from Level 1 or Level 2. For Microcap Value Fund, transfers to Level 2 from Level 1 in the amount of $61,113 were due to the absence of an active trading market for the securities on September 30, 2016; securities were transferred from Level 2 to Level 1 in the amount of $1,918,063 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 reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value:
Microcap Value Fund | ||||||||||||||||||||
(Common Stocks- | (Common Stocks- Financials) | |||||||||||||||||||
Balance as of 09/30/15 (value) | $ — | $ — | ||||||||||||||||||
Transfers in | 109,584(a) | 456,648(a) | ||||||||||||||||||
Net sales | — | (204,608) | ||||||||||||||||||
Realized gain (loss) | — | 112,416 | ||||||||||||||||||
Change in unrealized appreciation (depreciation) * | (109,584) | (226,528) | ||||||||||||||||||
Balance as of 9/30/16 (value) | $ — | $ 137,928 |
(a) These securities were transferred to Level 3 due to lack of a current market quotation and were valued at fair market value as determined in good faith by the Board or persons acting at their direction using unobservable inputs.
* Net change in unrealized appreciation (depreciation) in Level 3 securities still held at September 30, 2016.
The Funds’ assets assigned to the Level 3 category, including those which were fair valued at zero, 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.
Financial Instruments:
Repurchase Agreements:
The Funds, except SMID Cap Growth Fund, 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.
75 |
NOTES TO FINANCIAL STATEMENTS
|
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, 2016.
Affiliated Investments:
The Funds may invest in other Funds of the Trust (each an “Affiliated Fund”). Effective June 24, 2016, the Funds utilize U.S. Government Money Market Fund-RBC Institutional Class 1 as a cash sweep vehicle. For the period from October 1, 2015, until June 24, 2016, the Small Cap Value Fund invested in Prime Money Market Fund-RBC Institutional Class 1. The income 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 September 30, 2015 | Purchases | Sales | Value June 24, 2016 | Dividends | ||||||||||||||||
Investments in Prime Money Market Fund — RBC Institutional Class 1 | ||||||||||||||||||||
Small Cap Value Fund | $262,339 | $656,667 | $919,006 | $— | $195 | |||||||||||||||
Value June 23, 2016 | Purchases | Sales | Value September 30, 2016 | Dividends | ||||||||||||||||
Investments in U.S. Government Money Market Fund — RBC Institutional Class 1 | ||||||||||||||||||||
SMID Cap Growth Fund | $— | $31,097,433 | $29,023,438 | $2,073,995 | $1,077 | |||||||||||||||
Enterprise Fund | — | 3,785,421 | 3,129,830 | 655,591 | 468 | |||||||||||||||
Small Cap Core Fund | — | 13,821,886 | 10,452,247 | 3,369,639 | 1,390 | |||||||||||||||
Microcap Value Fund | — | 4,760,315 | 3,454,079 | 1,306,236 | 1,913 | |||||||||||||||
Mid Cap Value Fund | — | 3,343,991 | 3,294,113 | 49,878 | 104 | |||||||||||||||
Small Cap Value Fund | — | 271,140 | 172,529 | 98,611 | 47 |
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 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 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 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
76 |
NOTES TO FINANCIAL STATEMENTS
|
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 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, redesignation of distributions and basis adjustments on investments in 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, 2016, 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 | $(141,473) | $ 190,843 | $ (49,370) | |||||||||
Enterprise Fund | (444,163) | 651,921 | (207,758) | |||||||||
Small Cap Core Fund | (4,923) | 58,272 | (53,349) | |||||||||
Microcap Value Fund | — | (21,242) | 21,242 | |||||||||
Mid Cap Value Fund | — | 478 | (478) | |||||||||
Small Cap Value Fund | — | 1,102 | (1,102) |
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. 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.
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:
77 |
NOTES TO FINANCIAL STATEMENTS
|
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 (excluding certain fees such as interest, taxes and acquired fund fees and expenses) of the Funds to the following levels pursuant to an expense limitation agreement.
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 | 0.80% | 0.55% | ||||||||||
Small Cap Value Fund | N/A | 1.00% |
This expense limitation agreement is in place until January 31, 2017 (October 31, 2017 for Mid Cap Value 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 12 months from the end of the fiscal year, (3 years from the end of the fiscal year for Small Cap Value Fund) in which fee was waived or reimbursement made 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.
FYE 9/30/16 (Expiration Date 9/30/17) | FYE 9/30/15 (Expiration Date 9/30/18) | FYE 9/30/16 (Expiration Date 9/30/19) | Total | |||||||||||||
SMID Cap Growth Fund | $158,435 | $ — | $ — | $158,435 | ||||||||||||
Enterprise Fund | 178,479 | — | — | 178,479 | ||||||||||||
Small Cap Core Fund | 565,575 | — | — | 565,575 | ||||||||||||
Microcap Value Fund | 275,127 | — | — | 275,127 | ||||||||||||
Mid Cap Value Fund | 203,768 | — | — | 203,768 | ||||||||||||
Small Cap Value Fund | — | 106,609 | 93,970 | 200,579 |
There was no recoupment of expense reimbursements/waivers during the period. Amounts from years prior to those shown are no longer subject to recoupment.
RBC GAM (US) voluntarily agreed to waive its investment advisory fees by the amount of investment advisory fees the Funds pay to RBC GAM (US) indirectly through its investment in an affiliated money market fund. For the year ended September 30, 2016, the amount waived was $486, $164, $498, $690,$35 and $126 for the SMID Cap Growth Fund, Enterprise Fund, Small Cap Core Fund, Microcap Value Fund, Mid Cap Value Fund, and Small Cap Value Fund, respectively, 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.
78 |
NOTES TO FINANCIAL STATEMENTS
|
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 agreement, 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 $46,000 ($49,000 effective October 1,2016). 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 $6,000 ($6,500 effective October 1, 2016) 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 Small Cap Value Fund, the Advisor invested seed capital to provide the Fund its initial investment assets. The table below shows, as of September 30, 2016, the Fund’s net assets, the shares of the 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 Net Assets | ||||||||||||||
Small Cap Value Fund | $6,126,956 | 513,596 | 95.0 | % |
4. Fund Distribution:
Each of the Funds that offers Class A shares 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, 2016, there were no fees waived by the Distributor.
For the year ended September 30, 2016, the Distributor received commissions of $8,140 front-end sales charges of Class A shares of the Funds, of which $1,575 was paid to affiliated broker-dealers, and the remainder was either paid to unaffiliated broker-dealers or retained by the Distributor.
79 |
NOTES TO FINANCIAL STATEMENTS
|
The Distributor did not receive any CDSC fees from Class A shares of the Funds during the year ended September 30, 2016.
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, 2016 were as follows:
Purchases | Sales | |||||||||
SMID Cap Growth Fund | $ | 34,539,512 | $ | 9,575,367 | ||||||
Enterprise Fund | 10,644,393 | 23,767,082 | ||||||||
Small Cap Core Fund | 47,931,722 | 61,491,867 | ||||||||
Microcap Value Fund | 15,126,743 | 16,587,582 | ||||||||
Mid Cap Value Fund | 12,850,402 | 14,636,459 | ||||||||
Small Cap Value Fund | 2,847,966 | 2,571,451 |
Within the guidelines established by the Funds to always seek best execution when entering into portfolio transactions, 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.
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, 2016 | For the Year Ended September 30, 2015 | For the Year Ended September 30, 2016 | For the Year Ended September 30, 2015 | |||||||||||||||||||||||||||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||||||||||
Proceeds from shares issued | $ | 407,886 | $ | 304,193 | $ | 115,644 | $ | 115,122 | ||||||||||||||||||||||||||||
Distributions reinvested | 1,353,008 | 1,949,610 | 73,756 | 303,050 | ||||||||||||||||||||||||||||||||
Cost of shares redeemed | (2,084,654 | ) | (1,037,992 | ) | (372,585 | ) | (1,291,739 | ) | ||||||||||||||||||||||||||||
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|
|
| |||||||||||||||||||||||||||||
Change in Class A | $ | (323,760 | ) | $ | 1,215,811 | $ | (183,185 | ) | $ | (873,567 | ) | |||||||||||||||||||||||||
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Class I | ||||||||||||||||||||||||||||||||||||
Proceeds from shares issued | $ | 31,603,781 | $ | 3,981,200 | $ | 410,364 | $ | 773,141 | ||||||||||||||||||||||||||||
Distributions reinvested | 5,495,994 | 8,205,484 | 5,738,542 | 14,468,460 | ||||||||||||||||||||||||||||||||
Cost of shares redeemed | (8,301,332 | ) | (6,959,876 | ) | (13,902,648 | ) | (10,602,168 | ) | ||||||||||||||||||||||||||||
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| |||||||||||||||||||||||||||||
Change in Class I | $ | 28,798,443 | $ | 5,226,808 | $ | (7,753,742 | ) | $ | 4,639,433 | |||||||||||||||||||||||||||
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| |||||||||||||||||||||||||||||
Change in net assets resulting from capital transactions | $ | 28,474,683 | $ | 6,442,619 | $ | (7,936,927 | ) | $ | 3,765,866 | |||||||||||||||||||||||||||
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SHARE TRANSACTIONS: | ||||||||||||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||||||||||
Issued | 30,777 | 20,456 | 5,954 | 4,948 | ||||||||||||||||||||||||||||||||
Reinvested | 106,452 | 137,296 | 3,917 | 13,136 | ||||||||||||||||||||||||||||||||
Redeemed | (156,990 | ) | (69,800 | ) | (19,181 | ) | (55,736 | ) | ||||||||||||||||||||||||||||
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|
|
| |||||||||||||||||||||||||||||
Change in Class A | (19,761 | ) | 87,952 | (9,310 | ) | (37,652 | ) | |||||||||||||||||||||||||||||
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Class I | ||||||||||||||||||||||||||||||||||||
Issued | 2,093,528 | 257,564 | 20,531 | 32,125 | ||||||||||||||||||||||||||||||||
Reinvested | 395,965 | 534,908 | 295,801 | 609,969 | ||||||||||||||||||||||||||||||||
Redeemed | (582,335 | ) | (434,155 | ) | (686,425 | ) | (444,102 | ) | ||||||||||||||||||||||||||||
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|
| |||||||||||||||||||||||||||||
Change in Class I | 1,907,158 | 358,317 | (370,093 | ) | 197,992 | |||||||||||||||||||||||||||||||
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| |||||||||||||||||||||||||||||
Change in shares resulting from capital transactions | 1,887,397 | 446,269 | (379,403 | ) | 160,340 | |||||||||||||||||||||||||||||||
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|
|
80 |
NOTES TO FINANCIAL STATEMENTS
|
Small Cap Core Fund | Microcap Value Fund | |||||||||||||||||||||||||||||||||||
For the Year Ended September 30, 2016 | For the Year Ended September 30, 2015 | For the Year Ended September 30, 2016 | For the Year Ended September 30, 2015 | |||||||||||||||||||||||||||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||||||||||
Proceeds from shares issued | $ | 6,173,540 | $ | 1,859,528 | $ | 1,210,163 | $ | 4,721,749 | ||||||||||||||||||||||||||||
Distributions reinvested | 154,270 | 319,421 | 106,116 | 203,435 | ||||||||||||||||||||||||||||||||
Cost of shares redeemed | (2,278,362 | ) | (3,359,271 | ) | (3,547,551 | ) | (4,150,550 | ) | ||||||||||||||||||||||||||||
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| |||||||||||||||||||||||||||||
Change in Class A | $ | 4,049,448 | $ | (1,180,322 | ) | $ | (2,231,272 | ) | $ | 774,634 | ||||||||||||||||||||||||||
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Class I | ||||||||||||||||||||||||||||||||||||
Proceeds from shares issued | $ | 32,917,146 | $ | 81,509,841 | $ | 16,281,221 | $ | 17,864,601 | ||||||||||||||||||||||||||||
Distributions reinvested | 3,096,191 | 7,949,193 | 1,853,115 | 4,006,842 | ||||||||||||||||||||||||||||||||
Cost of shares redeemed | (53,913,276 | ) | (55,479,521 | ) | (22,763,425 | ) | (21,773,627 | ) | ||||||||||||||||||||||||||||
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| |||||||||||||||||||||||||||||
Change in Class I | $ | (17,899,939 | ) | $ | 33,979,513 | $ | (4,629,089 | ) | $ | 97,816 | ||||||||||||||||||||||||||
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| |||||||||||||||||||||||||||||
Change in net assets resulting from capital transactions | $ | (13,850,491 | ) | $ | 32,799,191 | $ | (6,860,361 | ) | $ | 872,450 | ||||||||||||||||||||||||||
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SHARE TRANSACTIONS: | ||||||||||||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||||||||||
Issued | 203,351 | 57,418 | 45,583 | 166,680 | ||||||||||||||||||||||||||||||||
Reinvested | 5,271 | 10,114 | 4,023 | 7,352 | ||||||||||||||||||||||||||||||||
Redeemed | (77,926 | ) | (104,297 | ) | (133,183 | ) | (151,879 | ) | ||||||||||||||||||||||||||||
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| |||||||||||||||||||||||||||||
Change in Class A | 130,696 | (36,765 | ) | (83,577 | ) | 22,153 | ||||||||||||||||||||||||||||||
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Class I | ||||||||||||||||||||||||||||||||||||
Issued | 1,080,534 | 2,467,921 | 617,866 | 629,250 | ||||||||||||||||||||||||||||||||
Reinvested | 101,982 | 243,243 | 70,247 | 144,861 | ||||||||||||||||||||||||||||||||
Redeemed | (1,802,011 | ) | (1,670,638 | ) | (853,319 | ) | (780,021 | ) | ||||||||||||||||||||||||||||
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| |||||||||||||||||||||||||||||
Change in Class I | (619,495 | ) | 1,040,526 | (165,206 | ) | (5,910 | ) | |||||||||||||||||||||||||||||
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| |||||||||||||||||||||||||||||
Change in shares resulting from capital transactions | (488,799 | ) | 1,003,761 | (248,783 | ) | 16,243 | ||||||||||||||||||||||||||||||
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Mid Cap Value Fund | Small Cap Value Fund | |||||||||||||||||||||||||||||||||||
For the Year Ended September 30, 2016 | For the Year Ended September 30, 2015 | For the Year Ended September 30, 2016 | For the Period Ended September 30, 2015 (a) | |||||||||||||||||||||||||||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||||||||||
Proceeds from shares issued | $ | 40,101 | $ | — | $ | — | $ | — | ||||||||||||||||||||||||||||
Distributions reinvested | 55 | — | — | — | ||||||||||||||||||||||||||||||||
Cost of shares redeemed | (10,381 | ) | — | — | — | |||||||||||||||||||||||||||||||
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Change in Class A | $ | 29,775 | $ | — | $ | — | $ | — | ||||||||||||||||||||||||||||
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Class I | ||||||||||||||||||||||||||||||||||||
Proceeds from shares issued | $ | 3,466,529 | $ | 1,401,090 | $ | 59,136 | $ | 5,207,396 | ||||||||||||||||||||||||||||
Distributions reinvested | 591,611 | 843,794 | 119,352 | 14,660 | ||||||||||||||||||||||||||||||||
Cost of shares redeemed | (5,351,817 | ) | (932,149 | ) | — | — | ||||||||||||||||||||||||||||||
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| |||||||||||||||||||||||||||||
Change in Class I | $ | (1,293,677 | ) | $ | 1,312,735 | $ | 178,488 | $ | 5,222,056 | |||||||||||||||||||||||||||
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| |||||||||||||||||||||||||||||
Change in net assets resulting from capital transactions | $ | (1,263,902 | ) | $ | 1,312,735 | $ | 178,488 | $ | 5,222,056 | |||||||||||||||||||||||||||
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81 |
NOTES TO FINANCIAL STATEMENTS
|
Mid Cap Value Fund | Small Cap Value Fund | |||||||||||||||||||||||||||||||||||
For the Year Ended September 30, 2016 | For the Year Ended September 30, 2015 | For the Year Ended September 30, 2016 | For the Period Ended September 30, 2015 (a) | |||||||||||||||||||||||||||||||||
SHARE TRANSACTIONS: | ||||||||||||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||||||||||
Issued | 3,870 | — | — | — | ||||||||||||||||||||||||||||||||
Reinvested | 5 | — | — | — | ||||||||||||||||||||||||||||||||
Redeemed | (953 | ) | — | — | — | |||||||||||||||||||||||||||||||
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| |||||||||||||||||||||||||||||
Change in Class A | 2,922 | — | — | — | ||||||||||||||||||||||||||||||||
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| |||||||||||||||||||||||||||||
Class I | ||||||||||||||||||||||||||||||||||||
Issued | 354,743 | 111,075 | 6,062 | 521,010 | ||||||||||||||||||||||||||||||||
Reinvested | 56,511 | 70,316 | 12,254 | 1,454 | ||||||||||||||||||||||||||||||||
Redeemed | (502,895 | ) | (73,531 | ) | — | — | ||||||||||||||||||||||||||||||
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| |||||||||||||||||||||||||||||
Change in Class I | (91,641 | ) | 107,860 | 18,316 | 522,464 | |||||||||||||||||||||||||||||||
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| |||||||||||||||||||||||||||||
Change in shares resulting from capital transactions | (88,719 | ) | 107,860 | 18,316 | 522,464 | |||||||||||||||||||||||||||||||
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(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 2013, 2014, 2015 and 2016 for all funds except Small Cap Value Fund, which is for the period ended September 30, 2015 and the tax year ended 2016), 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, 2016, 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.
As of September 30, 2016, 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 | $ | 75,192,215 | $ | 25,220,965 | $ | (2,185,120 | ) | $ | 23,035,845 | |||||||
Enterprise Fund | 66,230,917 | 43,890,532 | (5,679,711 | ) | 38,210,821 | |||||||||||
Small Cap Core Fund | 189,541,623 | 83,268,244 | (14,987,029 | ) | 68,281,215 | |||||||||||
Microcap Value Fund | 119,318,093 | 58,794,489 | (28,014,196 | ) | 30,780,293 | |||||||||||
Mid Cap Value Fund | 3,861,651 | 266,614 | (172,499 | ) | 94,115 | |||||||||||
Small Cap Value Fund | 5,579,335 | 860,406 | (266,186 | ) | 594,220 |
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.
82 |
NOTES TO FINANCIAL STATEMENTS
|
The tax character of distributions during the fiscal year ended September 30, 2016 was as follows:
Distributions Paid From | ||||||||||||||||
Ordinary Income | Net Long Term Capital Gains | Total Taxable Distributions | Total Distributions Paid | |||||||||||||
SMID Cap Growth Fund | $ | — | $ | 6,945,194 | $ | 6,945,194 | $ | 6,945,194 | ||||||||
Enterprise Fund | — | 6,146,126 | 6,146,126 | 6,146,126 | ||||||||||||
Small Cap Core Fund | 164,209 | 3,242,905 | 3,407,114 | 3,407,114 | ||||||||||||
Microcap Value Fund | 790,628 | 1,494,839 | 2,285,467 | 2,285,467 | ||||||||||||
Mid Cap Value Fund | 571,508 | 24,305 | 595,813 | 595,813 | ||||||||||||
Small Cap Value Fund | 123,145 | 68 | 123,213 | 123,213 |
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 |
As of September 30, 2016, 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 | $ | — | $ | 5,129,198 | $ | 5,129,198 | $ | — | $ | (319,399) | $ | 23,035,845 | $ | 27,845,644 | ||||||||||||||
Enterprise Fund | — | 761,961 | 761,961 | — | (39,129) | 38,210,821 | 38,933,653 | |||||||||||||||||||||
Small Cap Core Fund | — | — | (3,640,389) | 68,281,215 | 64,640,826 | |||||||||||||||||||||||
Microcap Value Fund | 332,486 | 8,064,671 | 8,397,157 | — | — | 30,780,293 | 39,177,450 | |||||||||||||||||||||
Mid Cap Value Fund | 107,386 | — | 107,386 | — | — | 94,115 | 201,501 | |||||||||||||||||||||
Small Cap Value Fund | 20,827 | 150,892 | 171,719 | — | — | 594,220 | 765,939 |
As of September 30, 2016, 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 $176,178, $39,129, and $409,259, respectively and the SMID Cap Growth Fund and Small Cap Core Fund had qualified late-year short term capital losses of $143,221 and $2,087,603, respectively and the Small Cap Core Fund had qualified late-year long term capital losses of $1,143,527, which will be treated as arising on the first business day of the fiscal year ending September 30, 2017.
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 certain situations, such
83 |
NOTES TO FINANCIAL STATEMENTS
|
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, 2016, 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 | $ 35 | |||
Enterprise Fund | 426 | |||
Small Cap Core Fund | 42 | |||
Microcap Value Fund | 428 | |||
Mid Cap Value Fund | 1 |
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, 2016, 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.
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 SMID Cap Growth Fund, Small Cap Core Fund and Small Cap Value Fund. The new share class, Class R6, is expected to become effective and commence operations on November 21, 2016.
84 |
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
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To the Trustees of RBC Funds Trust and the Shareholders 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
In our opinion, the accompanying statements of assets and liabilities, including the schedule of portfolio investments, and the related statements of operations of changes in net assets and the financial highlights present fairly, in all material respects, the financial position 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 (the “Funds,” a series of RBC Funds Trust) at September 30, 2016, the results of each of their operations, the changes in each of their net assets and the financial highlights for the year then ended, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audits to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit 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, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at September 30, 2016 by correspondence with the custodian, brokers and transfer agent, provide a reasonable basis for our opinion. The statements of changes in net assets and the financial highlights of the Funds for the periods ended September 30, 2015 and prior were audited by another independent registered public accounting firm whose report dated November 22, 2015 expressed an unqualified opinion on those statements and highlights.
PricewaterhouseCoopers LLP
Minneapolis, MN
November 22, 2016
85 |
OTHER FEDERAL INCOME TAX INFORMATION (UNAUDITED)
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For the fiscal year ended September 30, 2016, 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 2016 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, 2016, the following Funds had a qualified dividend income percentage of:
Qualified Dividend Income | ||||
Small Cap Core Fund | 100.00% | |||
Microcap Value Fund | 100.00% | |||
Mid Cap Value Fund | 12.32% | |||
Small Cap Value Fund | 66.60% |
For corporate shareholders, the following percentage of the total ordinary income distributions paid during the fiscal year ended September 30, 2016 qualify for the corporate dividends received deduction:
Dividends Received Deduction | ||||
Small Cap Core Fund | 100.00% | |||
Microcap Value Fund | 100.00% | |||
Mid Cap Value Fund | 12.06% | |||
Small Cap Value Fund | 66.89% |
The following Funds report a portion of the income dividends distributed during the fiscal year ended September 30, 2016, as qualified interest income as defined in the Internal Revenue Code:
Qualified Interest Income | ||||
Small Cap Core Fund | 6.31% | |||
Microcap Value Fund | 1.68% | |||
Mid Cap Value Fund | 0.21% | |||
Small Cap Value Fund | 0.24% |
86 |
OTHER FEDERAL INCOME TAX INFORMATION (UNAUDITED)
|
The following Funds report a portion of the income dividends distributed during the fiscal year ended September 30, 2016, as qualified short term gains:
Qualified Short-term Gains | ||||
Mid Cap Value Fund | 100.00% | |||
Small Cap Value Fund | 14.81% |
87 |
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Independent Trustees(1)(2)
T. Geron Bell (75)
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: 21
Other Director/Trustee Positions Held by Trustee During Past 5 Years: None
Lucy Hancock Bode (65)
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: 21
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. (66)
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: 21
Other Director/Trustee Positions Held by Trustee During Past 5 Years: None
Ronald James (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 Chief Executive Officer, Center for Ethical Business Cultures (2000 to present)
Number of Portfolios in Fund Complex Overseen by Trustee: 21
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 (67)
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: 21
Other Director/Trustee Positions Held by Trustee During Past 5 Years: None
H. David Rybolt (74)
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: 21
Other Director/Trustee Positions Held by Trustee During Past 5 Years: None
88 |
MANAGEMENT (Unaudited)
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Independent Trustees(1)(2)
James R. Seward (64)
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: 21
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 (71)
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: 21
Other Director/Trustee Positions Held by Trustee During Past 5 Years: National Association of Corporate Directors-Heartland Chapter (2013 to present); 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 (52)(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: 21
Other Director/Trustee Positions Held by Trustee During Past 5 Years: None
Executive Officers(1)(3)(4)
Kathleen A. Gorman (52)
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 (49)
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 Services, RBC Global Asset Management (U.S.) Inc. (2009 to present)
89 |
MANAGEMENT (Unaudited)
|
Executive Officers(1)(3)(4)
Christina M. Weber (48)
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)
Jay Jackson (38)
Position, Term of Office and Length of Time Served with the Trust: Chief Legal Officer and Secretary since December 2015
Principal Occupation(s) During Past 5 Years: Senior Associate General Counsel, RBC Global Asset Management (U.S.) Inc. (2011- present); Associate, K&L Gates. (2008-2010)
(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.
90 |
SHARE CLASS INFORMATION (UNAUDITED)
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The RBC Equity Funds offer two share classes. These two share classes are the A and I classes.
Class A
Class A shares, offered by all Funds except Small Cap Value Fund, 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 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.
91 |
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, 2016 through September 30, 2016.
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 4/1/2016 | Ending Account Value 9/30/2016 | Expenses Paid During Period* 4/1/16-9/30/16 | Annualized Expense Ratio During Period 4/1/16-9/30/16 | ||||||||||||||||||||||
SMID Cap Growth Fund | Class A | $ | 1,000.00 | $ | 1,079.10 | $ | 5.78 | 1.10 | % | ||||||||||||||||
Class I | 1,000.00 | 1,080.10 | 4.47 | 0.85 | % | ||||||||||||||||||||
Enterprise Fund | Class A | 1,000.00 | 1,135.80 | 7.18 | 1.33 | % | |||||||||||||||||||
Class I | 1,000.00 | 1,136.90 | 5.83 | 1.08 | % | ||||||||||||||||||||
Small Cap Core Fund | Class A | 1,000.00 | 1,145.20 | 6.23 | 1.15 | % | |||||||||||||||||||
Class I | 1,000.00 | 1,146.40 | 4.88 | 0.90 | % | ||||||||||||||||||||
Microcap Value Fund | Class A | 1,000.00 | 1,110.90 | 7.04 | 1.32 | % | |||||||||||||||||||
Class I | 1,000.00 | 1,112.40 | 5.71 | 1.07 | % | ||||||||||||||||||||
Mid Cap Value Fund | Class A | 1,000.00 | 1,072.40 | 4.19 | 0.80 | % | |||||||||||||||||||
Class I | 1,000.00 | 1,073.70 | 2.88 | 0.55 | % | ||||||||||||||||||||
Small Cap Value Fund | Class I | 1,000.00 | 1,126.30 | 5.37 | 1.00 | % |
*Expenses are equal to the average account value times the Fund’s annualized expense ratio multiplied by 185/366 (to reflect one-half year period).
92 |
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 4/1/2016 | Ending Account Value 9/30/2016 | Expenses Paid During Period* 4/1/16-9/30/16 | Annualized Expense Ratio During Period 4/1/16-9/30/16 | ||||||||||||||||||||||
SMID Cap Growth Fund | Class A | $ | 1,000.00 | $ | 1,019.71 | $ | 5.61 | 1.10 | % | ||||||||||||||||
Class I | 1,000.00 | 1,020.98 | 4.34 | 0.85 | % | ||||||||||||||||||||
Enterprise Fund | Class A | 1,000.00 | 1,018.55 | 6.79 | 1.33 | % | |||||||||||||||||||
Class I | 1,000.00 | 1,019.81 | 5.51 | 1.08 | % | ||||||||||||||||||||
Small Cap Core Fund | Class A | 1,000.00 | 1,019.46 | 5.87 | 1.15 | % | |||||||||||||||||||
Class I | 1,000.00 | 1,020.72 | 4.60 | 0.90 | % | ||||||||||||||||||||
Microcap Value Fund | Class A | 1,000.00 | 1,018.60 | 6.73 | 1.32 | % | |||||||||||||||||||
Class I | 1,000.00 | 1,019.86 | 5.46 | 1.07 | % | ||||||||||||||||||||
Mid Cap Value Fund | Class A | 1,000.00 | 1,021.23 | 4.09 | 0.80 | % | |||||||||||||||||||
Class I | 1,000.00 | 1,022.49 | 2.81 | 0.55 | % | ||||||||||||||||||||
Small Cap Value Fund | Class I | 1,000.00 | 1,020.22 | 5.11 | 1.00 | % |
*Expenses are equal to the average account value times the Fund’s annualized expense ratio multiplied by 185/366 (to reflect one-half year period).
93 |
APPROVAL OF INVESTMENT ADVISORY AGREEMENT (UNAUDITED)
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Information Regarding the Approval of Investment Advisory Agreements
In September 2016, 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 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 teams 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 mid-and longer-term performance of the RBC Microcap Value Fund was favorable versus benchmarks and peers, but that the RBC Enterprise Fund had underperformed in recent periods where the market did not favor its investment philosophy. The Trustees noted that the comparative mid- and longer-term performance of the RBC Mid Cap Value Fund was acceptable and took into account the fact that the Fund underperformed in the short-term due to avoidance of certain industry sectors consistent with its strategy. The RBC SMID Cap Growth Fund performance was favorable versus indices and peers. The Trustees reviewed the favorable performance of the RBC Small Cap Value Fund, and noted that the short-term comparative performance of the RBC Small Cap Core Fund was less favorable due to sector in stock selection factors, while the mid- and longer-term performance was favorable.
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.
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
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APPROVAL OF INVESTMENT ADVISORY AGREEMENT (UNAUDITED)
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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 year ended September 30, 2016.
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 09-16
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 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 1-800-SEC-0330.
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Table of Contents | ||||||||||
Letter from the Chief Investment Officer | 1 | |||||||||
Money Market Portfolio Manager | 3 | |||||||||
Performance Summary (Unaudited) | 4 | |||||||||
Schedule of Portfolio Investments | 6 | |||||||||
Financial Statements | ||||||||||
- Statement of Assets and Liabilities | 18 | |||||||||
- Statement of Operations | 20 | |||||||||
- Statements of Changes in Net Assets | 21 | |||||||||
Financial Highlights | 22 | |||||||||
Notes to Financial Statements | 24 | |||||||||
Report of Independent Registered Public Accounting Firm | 32 | |||||||||
Other Federal Income Tax Information (Unaudited) | 33 | |||||||||
Management (Unaudited) | 34 | |||||||||
Supplemental Information (Unaudited) | 37 | |||||||||
Approval of Investment Advisory Agreement (Unaudited) | 39 | |||||||||
1 |
LETTER FROM THE CHIEF INVESTMENT OFFICER
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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. | ||||
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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Asset Allocation | ||||||||||||||||
Money Market Maturity Schedule | ||||||||||||||||
As a percentage of value of investments based on effective maturity as of September 30, 2016. | ||||||||||||||||
U.S. Government Money Market Fund | ||||||||||||||||
Less than 8 days | 61.9% | |||||||||||||||
8 to 14 Days | 5.6% | |||||||||||||||
15 to 30 Days | 6.0% | |||||||||||||||
31 to 180 Days | 16.6% | |||||||||||||||
Over 180 Days | 9.9% | |||||||||||||||
5 |
SCHEDULE OF PORTFOLIO INVESTMENTS
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U.S. Government Money Market Fund
September 30, 2016
Principal Amount | Value | |||||
U.S. Government Agency Backed Corporate Bonds — 0.16% | ||||||
Information Technology — 0.16% | ||||||
$15,200,000 | Net Magan Two LLC, 0.60%, 4/1/26, (LOC: Federal Home Loan Bank)(a) | $ | 15,200,000 | |||
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Total U.S. Government Agency Backed Corporate Bonds (Cost $15,200,000) | 15,200,000 | |||||
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U.S. Government Agency Backed Municipal Bonds — 23.66% | ||||||
Arizona — 0.15% | ||||||
14,375,000 | Maricopa County Industrial Development Authority Las Gardenias Apartments Refunding Revenue, Series A, 0.91%, 4/15/33, (Credit Support: Fannie Mae)(a) | 14,375,000 | ||||
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California — 3.12% | ||||||
3,500,000 | Abag Finance Authority for Nonprofit Corps Reardon Heights Apartments Revenue, 0.87%, 5/15/38, (Credit Support: Fannie Mae)(a) | 3,500,000 | ||||
6,835,000 | California Statewide Communities Development Authority Breezewood Apartments Revenue, Series F-1, 0.87%, 4/15/36, (Credit Support: Fannie Mae)(a) | 6,835,000 | ||||
38,800,000 | California Statewide Communities Development Authority Canyon Creek Apartments Revenue, Series C, 0.86%, 6/15/25, (Credit Support: Fannie Mae)(a) | 38,800,000 | ||||
7,605,000 | California Statewide Communities Development Authority Harmony Court Apartments Revenue, Series E, 0.87%, 1/15/37, (Credit Support: Fannie Mae)(a) | 7,605,000 | ||||
4,045,000 | California Statewide Communities Development Authority Kelvin Court Refunding Revenue, 0.92%, 6/15/51, (Credit Support: Fannie Mae)(a) | 4,045,000 | ||||
17,600,000 | California Statewide Communities Development Authority Multi Family Housing Kimberly Woods Revenue, Series B, 0.86%, 6/15/25, (Credit Support: Fannie Mae)(a) | 17,600,000 | ||||
9,100,000 | California Statewide Communities Development Authority Oakmont Senior Living Revenue, Series Y, 0.87%, 8/1/31, (Credit Support: Fannie Mae)(a) | 9,100,000 | ||||
60,000,000 | County of Contra Costa Multi Family Housing Refunding Revenue Park Regency, Series F, 0.82%, 10/15/33, (Credit Support: Fannie Mae)(a) | 60,000,000 | ||||
26,900,000 | Los Angeles Community Redevelopment Agency Met Apartments Revenue, 0.82%, 12/15/24, (Credit Support: Fannie Mae)(a) | 26,900,000 | ||||
8,461,000 | Los Angeles County Housing Authority Malibu Meadows Project Refunding Revenue, Series B, 0.84%, 4/15/28, (Credit Support: Fannie Mae)(a) | 8,461,000 | ||||
10,980,000 | Los Angeles County Housing Authority Malibu Meadows Refunding Revenue, Series II-C, 0.84%, 4/15/28, (Credit Support: Fannie Mae)(a) | 10,980,000 | ||||
9,100,000 | Orange County Apartment Development Park Ridge Villas Revenue, 0.85%, 11/15/28, (Credit Support: Fannie Mae)(a) | 9,100,000 | ||||
14,500,000 | Orange County Apartment Development Villas La Paz Revenue, Series F, 0.83%, 8/15/28, (Credit Support: Fannie Mae)(a) | 14,500,000 |
6 |
SCHEDULE OF PORTFOLIO INVESTMENTS
|
U.S. Government Money Market Fund (cont.)
September 30, 2016
Principal Amount | Value | |||||
$ 4,580,000 | Sacramento Housing Authority Lofts at Natomas Apartments Revenue, Series F, 0.87%, 6/15/36, (Credit Support: Fannie Mae)(a) | $ | 4,580,000 | |||
5,205,000 | Sacramento Housing Authority Shenandoah Apartments Revenue, Series F, 0.87%, 9/15/36, (Credit Support: Fannie Mae)(a) | 5,205,000 | ||||
20,800,000 | San Francisco City & County Housing Authority City Heights Apartments Refunding Revenue, Series A, 0.86%, 6/15/25, (Credit Support: Fannie Mae)(a) | 20,800,000 | ||||
47,650,000 | San Francisco City & County Redevelopment Agency 3rd Mission Revenue, Series C, 0.80%, 6/15/34, (Credit Support: Fannie Mae)(a) | 47,650,000 | ||||
|
| |||||
295,661,000 | ||||||
|
| |||||
Connecticut — 0.11% | ||||||
10,560,000 | Stamford New Public Housing Authority Fairfield Apartments Refunding Revenue, 0.86%, 12/1/28, (Credit Support: Fannie Mae)(a) | 10,560,000 | ||||
|
| |||||
Delaware — 0.30% | ||||||
28,155,000 | County of New Castle, Fairfield English Village Project Revenue, 0.90%, 9/15/38, (Credit Support: Fannie Mae)(a) | 28,155,000 | ||||
|
| |||||
Florida — 0.06% | ||||||
5,710,000 | Florida Housing Finance Corp. Heather Glenn Apartments Revenue, Series H, 0.90%, 6/15/36, (Credit Support: Fannie Mae)(a) | 5,710,000 | ||||
|
| |||||
Georgia — 0.08% | ||||||
7,710,000 | Richmond County Development Authority Stonegate Club Apartments Project Revenue, 0.90%, 11/15/35, (Credit Support: Fannie Mae)(a) | 7,710,000 | ||||
|
| |||||
Kentucky — 0.11% | ||||||
10,000,000 | Kentucky Housing Corp. Overlook Terraces Apartments Revenue, Series A, 0.90%, 11/15/40, (Credit Support: Fannie Mae)(a) | 10,000,000 | ||||
|
| |||||
Nevada — 0.35% | ||||||
16,300,000 | Nevada Housing Division Multi Unit Housing, Sonoma Palms Revenue, 0.90%, 4/15/39, (Credit Support: Fannie Mae)(a) | 16,300,000 | ||||
17,000,000 | Nevada Housing Division Multi Unit Housing, Southwest VLG Project Revenue, 0.86%, 10/15/38, (Credit Support: Fannie Mae)(a) | 17,000,000 | ||||
|
| |||||
33,300,000 | ||||||
|
| |||||
New York — 17.82% | ||||||
13,500,000 | Nassau County Industrial Development Agency Clinton Plaza Senior Housing Project Revenue, 0.83%, 9/1/34, (Credit Support: Fannie Mae)(a) | 13,500,000 | ||||
11,500,000 | New York City Housing Development Corp. Lexington Courts Revenue, Series A, 0.88%, 12/1/39, (Credit Support: Freddie Mac)(a) | 11,500,000 |
7 |
SCHEDULE OF PORTFOLIO INVESTMENTS
|
U.S. Government Money Market Fund (cont.)
September 30, 2016
Principal Amount | Value | |||||
$20,700,000 | New York City Housing Development Corp. Multi Family 201 Pearl Street Revenue, Series A, 0.86%, 10/15/41, (Credit Support: Fannie Mae)(a) | $ | 20,700,000 | |||
14,600,000 | New York City Housing Development Corp. Multi Family 245 East 124th Street Revenue, 0.83%, 11/1/46, (Credit Support: Freddie Mac)(a) | 14,600,000 | ||||
25,500,000 | New York City Housing Development Corp. Multi Family 90 Washington Street Revenue, Series A, 0.83%, 2/15/35, (Credit Support: Fannie Mae)(a) | 25,500,000 | ||||
51,400,000 | New York City Housing Development Corp. Multi Family 90 West Street Revenue, Series A, 0.86%, 3/15/36, (Credit Support: Fannie Mae)(a) | 51,400,000 | ||||
4,435,000 | New York City Housing Development Corp. Multi Family Bathgate Ave. Apartments Revenue, Series A, 0.83%, 5/15/39, (Credit Support: Fannie Mae)(a) | 4,435,000 | ||||
55,400,000 | New York City Housing Development Corp. Multi Family Housing Revenue, Royal Properties Revenue Series A, 0.82%, 4/15/35, (Credit Support: Fannie Mae)(a) | 55,400,000 | ||||
5,000,000 | New York City Housing Development Corp. Multi Family Markham Gardens Apartments Revenue, Series A, 0.83%, 1/1/40, (Credit Support: Freddie Mac)(a) | 5,000,000 | ||||
49,600,000 | New York City Housing Development Corp. Multi Family Nicole Revenue, Series A, 0.83%, 11/15/35, (Credit Support: Fannie Mae)(a) | 49,600,000 | ||||
7,155,000 | New York City Housing Development Corp. Multi Family Rental Housing 2 Gold Street Revenue, Series B, 0.75%, 4/15/36, (Credit Support: Fannie Mae)(a) | 7,155,000 | ||||
3,600,000 | New York City Housing Development Corp. Multi Family Revenue, Series B, 0.75%, 11/15/35, (Credit Support: Fannie Mae)(a) | 3,600,000 | ||||
14,000,000 | New York City Housing Development Corp. Multi Family West 48th Street Development Revenue, Series A, 0.83%, 1/15/34, (Credit Support: Fannie Mae)(a) | 14,000,000 | ||||
60,000,000 | New York City Housing Development Corp. Multi Family Westport Development Revenue, Series A, 0.83%, 6/15/34, (Credit Support: Fannie Mae)(a) | 60,000,000 | ||||
97,860,000 | New York State Dormitory Authority Nursing Home Improvements Revenue, Series A, 0.82%, 11/15/36, (Credit Support: Fannie Mae)(a) | 97,860,000 | ||||
5,050,000 | New York State Dormitory Authority Nursing Home Improvements Revenue, Series B, 0.75%, 11/15/36, (Credit Support: Fannie Mae)(a) | 5,050,000 | ||||
60,145,000 | New York State Housing Finance Agency 10 Barclay Street Revenue, Series A, 0.88%, 11/15/37, (Credit Support: Fannie Mae)(a) | 60,145,000 | ||||
52,850,000 | New York State Housing Finance Agency 101 West End Revenue, 0.81%, 5/15/31, (Credit Support: Fannie Mae)(a) | 52,850,000 | ||||
30,000,000 | New York State Housing Finance Agency 101 West End Revenue, 0.81%, 5/15/31, (Credit Support: Fannie Mae)(a) | 30,000,000 | ||||
73,400,000 | New York State Housing Finance Agency 150 East 44th Street Revenue, Series A, 0.81%, 5/15/32, (Credit Support: Fannie Mae)(a) | 73,400,000 |
8 |
SCHEDULE OF PORTFOLIO INVESTMENTS
|
U.S. Government Money Market Fund (cont.)
September 30, 2016
Principal Amount | Value | |||||
$8,000,000 | New York State Housing Finance Agency 1500 Lex Ave. Revenue, Series A, 0.89%, 5/15/34, (Credit Support: Fannie Mae)(a) | $ | 8,000,000 | |||
110,100,000 | New York State Housing Finance Agency 240 East 39th Street Revenue, 0.83%, 5/15/30, (Credit Support: Fannie Mae)(a) | 110,100,000 | ||||
29,830,000 | New York State Housing Finance Agency 42nd & 10th Street Revenue, 0.74%, 11/1/41, (Credit Support: Freddie Mac)(a) | 29,830,000 | ||||
22,610,000 | New York State Housing Finance Agency 42nd & 10th Street Revenue, 0.74%, 11/1/41, (Credit Support: Freddie Mac)(a) | 22,610,000 | ||||
28,500,000 | New York State Housing Finance Agency 42nd & 10th Street Revenue, Series A, 0.78%, 11/1/41, (Credit Support: Freddie Mac)(a) | 28,500,000 | ||||
76,100,000 | New York State Housing Finance Agency 55 West 25th Street Revenue, Series A, 0.83%, 11/15/38, (Credit Support: Fannie Mae)(a) | 76,100,000 | ||||
82,235,000 | New York State Housing Finance Agency 600 West 42nd Street Revenue, 0.83%, 5/15/41, (Credit Support: Fannie Mae)(a) | 82,235,000 | ||||
55,800,000 | New York State Housing Finance Agency 600 West 42nd Street Revenue, Series A, 0.83%, 5/15/41, (Credit Support: Fannie Mae)(a) | 55,800,000 | ||||
77,755,000 | New York State Housing Finance Agency 600 West 42nd Street Revenue, Series A, 0.84%, 5/15/41, (Credit Support: Fannie Mae)(a) | 77,755,000 | ||||
30,500,000 | New York State Housing Finance Agency 900 8th Avenue Revenue, Series A, 0.83%, 5/15/35, (Credit Support: Fannie Mae)(a) | 30,500,000 | ||||
100,000,000 | New York State Housing Finance Agency Clinton Green North Revenue, Series A, 0.89%, 11/1/38, (Credit Support: Freddie Mac)(a) | 100,000,000 | ||||
52,200,000 | New York State Housing Finance Agency Clinton Park Revenue, Series A, 0.81%, 11/1/44, (Credit Support: Freddie Mac)(a) | 52,200,000 | ||||
10,290,000 | New York State Housing Finance Agency College Arms Revenue, Series A, 0.81%, 5/1/48, (Credit Support: Freddie Mac)(a) | 10,290,000 | ||||
47,050,000 | New York State Housing Finance Agency Helena Revenue, Series A, 0.83%, 5/15/36, (Credit Support: Fannie Mae)(a) | 47,050,000 | ||||
12,900,000 | New York State Housing Finance Agency North End Revenue Series A, 0.86%, 11/15/36, (Credit Support: Fannie Mae)(a) | 12,900,000 | ||||
62,810,000 | New York State Housing Finance Agency Taconic Refunding Revenue, 0.88%, 5/15/39, (Credit Support: Fannie Mae)(a) | 62,810,000 | ||||
46,050,000 | New York State Housing Finance Agency Union Square South Revenue, 0.83%, 11/1/24, (Credit Support: Fannie Mae)(a) | 46,050,000 | ||||
8,100,000 | New York State Housing Finance Agency Victory Revenue, Series 2002-A, 0.89%, 11/1/33, (Credit Support: Freddie Mac)(a) | 8,100,000 | ||||
61,400,000 | New York State Housing Finance Agency West 23rd Street Revenue, Series A, 0.81%, 5/15/33, (Credit Support: Fannie Mae)(a) | 61,400,000 | ||||
26,000,000 | New York State Housing Finance Agency West 23rd Street Revenue, Series A, 0.81%, 5/15/33, (Credit Support: Fannie Mae)(a) | 26,000,000 |
9 |
SCHEDULE OF PORTFOLIO INVESTMENTS
|
U.S. Government Money Market Fund (cont.)
September 30, 2016
Principal Amount | Value | |||||
$ 46,800,000 | New York State Housing Finance Agency West 38th Street Revenue, Series A, 0.81%, 5/15/33, (Credit Support: Fannie Mae)(a) | $ | 46,800,000 | |||
16,000,000 | New York State Housing Finance Agency West 38th Street Revenue, Series A, 0.81%, 5/15/33, (Credit Support: Fannie Mae)(a) | 16,000,000 | ||||
21,300,000 | New York State Housing Finance Agency Worth Street Revenue, Series A, 0.89%, 5/15/33, (Credit Support: Fannie Mae)(a) | 21,300,000 | ||||
|
| |||||
1,688,025,000 | ||||||
|
| |||||
Virginia — 1.31% | ||||||
100,400,000 | Federal Home Loan Mortgage Corp. Multi Family Housing Revenue, Series M017, Class A, 0.87%, 9/15/50, (Credit Support: Freddie Mac)(a)(b) | 100,400,000 | ||||
17,555,000 | Federal Home Loan Mortgage Corp. Multi Family Housing Revenue, Series M027, Class A, 0.87%, 10/15/29, (Credit Support: Freddie Mac)(a) | 17,555,000 | ||||
5,585,000 | Salem Industrial Development Authority Oak Park Apartments Project Revenue, 0.83%, 8/15/43, (Credit Support: Fannie Mae)(a) | 5,585,000 | ||||
|
| |||||
123,540,000 | ||||||
|
| |||||
Washington — 0.25% | ||||||
23,915,000 | Vancouver Housing Authority Multi Family Revenue, 0.83%, 12/1/38, (Credit Support: Freddie Mac)(a) | 23,915,000 | ||||
|
| |||||
Total U.S. Government Agency Backed Municipal Bonds (Cost $2,240,951,000) | 2,240,951,000 | |||||
|
| |||||
U.S. Government Agency Obligations — 42.46% | ||||||
Fannie Mae — 8.16% | ||||||
101,918,000 | 0.37%, 11/1/16(c) | 101,887,623 | ||||
46,567,841 | 0.37%, 10/3/16(c) | 46,567,841 | ||||
51,000,000 | 0.39%, 12/1/16(c) | 50,967,403 | ||||
50,000,000 | 0.53%, 9/8/17(a) | 49,970,686 | ||||
25,000,000 | 0.54%, 8/16/17(a) | 24,997,805 | ||||
50,000,000 | 0.59%, 10/21/16(a) | 49,999,911 | ||||
8,424,000 | 0.65%, 6/1/17(d) | 8,387,868 | ||||
29,338,212 | 0.76%, 12/25/17(a) | 29,338,053 | ||||
63,439,174 | 0.77%, 5/1/18(a) | 63,445,839 | ||||
930,244 | 0.85%, 10/25/17(a) | 930,667 | ||||
21,871,722 | 0.85%, 1/25/18(a) | 21,893,721 | ||||
933,938 | 0.87%, 5/25/18(a) | 934,652 | ||||
1,581,049 | 0.88%, 8/25/18(a) | 1,583,359 | ||||
47,390,000 | 0.88%, 8/28/17 | 47,473,063 | ||||
11,025,000 | 0.88%, 10/26/17 | 11,044,526 | ||||
67,080 | 1.07%, 11/25/16(a) | 67,085 | ||||
654,129 | 1.11%, 2/25/17 | 654,431 | ||||
50,000,000 | 1.13%, 4/27/17 | 50,132,494 | ||||
56,820,000 | 1.38%, 11/15/16 | 56,858,538 |
10 |
SCHEDULE OF PORTFOLIO INVESTMENTS
|
U.S. Government Money Market Fund (cont.)
September 30, 2016
Principal Amount | Value | |||||
$81,618,000 | 5.00%, 2/13/17 | $ | 82,900,863 | |||
31,000,000 | 5.00%, 5/11/17 | 31,811,403 | ||||
39,350,000 | 5.38%, 6/12/17 | 40,608,134 | ||||
|
| |||||
772,455,965 | ||||||
|
| |||||
Federal Farm Credit Bank — 7.43% | ||||||
53,000,000 | 0.39%, 1/30/17(a) | 52,988,180 | ||||
61,511,000 | 0.42%, 5/12/17(a) | 61,463,834 | ||||
25,000,000 | 0.44%, 3/2/17(a) | 24,993,396 | ||||
26,000,000 | 0.47%, 3/27/17(a) | 25,994,283 | ||||
3,240,000 | 0.48%, 10/17/17(a) | 3,236,948 | ||||
25,000,000 | 0.50%, 10/3/16(a) | 25,000,000 | ||||
15,000,000 | 0.53%, 11/22/16(a) | 15,000,452 | ||||
9,000,000 | 0.54%, 10/11/16(a) | 8,999,992 | ||||
15,000,000 | 0.54%, 10/13/17(a) | 14,979,876 | ||||
26,500,000 | 0.54%, 10/3/16(a) | 26,500,000 | ||||
3,000,000 | 0.55%, 1/3/17(a) | 3,000,497 | ||||
9,565,000 | 0.55%, 10/11/16(a) | 9,565,162 | ||||
62,000,000 | 0.55%, 3/13/17(a) | 62,006,920 | ||||
55,400,000 | 0.56%, 8/4/17(a) | 55,421,132 | ||||
1,400,000 | 0.56%, 1/2/18(a) | 1,398,420 | ||||
8,500,000 | 0.57%, 2/2/18(a) | 8,493,194 | ||||
5,150,000 | 0.57%, 3/22/18(a) | 5,140,870 | ||||
7,250,000 | 0.57%, 3/24/17(a) | 7,251,562 | ||||
42,729,000 | 0.58%, 4/17/17(a) | 42,733,922 | ||||
16,340,000 | 0.59%, 11/6/17(a) | 16,335,905 | ||||
50,000,000 | 0.63%, 11/27/17(a) | 49,988,410 | ||||
25,000,000 | 0.66%, 8/1/18(a) | 24,999,939 | ||||
25,000,000 | 0.68%, 9/8/17(c) | 24,839,444 | ||||
19,000,000 | 0.69%, 9/11/17(c) | 18,875,091 | ||||
25,000,000 | 0.70%, 4/4/18(a) | 24,996,218 | ||||
10,000,000 | 0.72%, 7/21/17 | 10,000,988 | ||||
50,000,000 | 0.75%, 6/19/17(a) | 49,998,939 | ||||
5,000,000 | 0.75%, 10/16/17 | 5,001,138 | ||||
21,500,000 | 0.78%, 9/12/17(a) | 21,494,950 | ||||
3,500,000 | 0.82%, 6/13/17(a) | 3,499,857 | ||||
|
| |||||
704,199,519 | ||||||
|
| |||||
Federal Home Loan Bank — 17.41% | ||||||
43,500,000 | 0.33%, 11/9/16(c) | 43,485,202 | ||||
43,000,000 | 0.34%, 11/16/16(c) | 42,981,921 | ||||
40,000,000 | 0.36%, 10/28/16(c) | 39,989,889 | ||||
19,500,000 | 0.38%, 10/12/16(c) | 19,498,152 | ||||
40,000,000 | 0.38%, 10/21/16(c) | 39,992,420 | ||||
1,000,000 | 0.40%, 10/12/16(c) | 999,900 | ||||
27,000,000 | 0.42%, 10/3/16(c) | 27,000,000 | ||||
40,000,000 | 0.43%, 10/7/16(c) | 39,998,089 | ||||
21,100,000 | 0.44%, 10/12/16(c) | 21,097,705 |
11 |
SCHEDULE OF PORTFOLIO INVESTMENTS
|
U.S. Government Money Market Fund (cont.)
September 30, 2016
Principal Amount | Value | |||||
$ 8,100,000 | 0.48%, 10/21/16(a) | $ | 8,098,056 | |||
25,000,000 | 0.48%, 1/17/17(a) | 24,989,823 | ||||
42,500,000 | 0.50%, 11/18/16(a) | 42,500,000 | ||||
19,500,000 | 0.51%, 10/7/16(c) | 19,498,895 | ||||
43,000,000 | 0.51%, 10/11/16(c) | 42,995,127 | ||||
12,000,000 | 0.51%, 11/16/16(a) | 11,999,929 | ||||
25,000,000 | 0.51%, 2/28/17(a) | 25,000,000 | ||||
50,000,000 | 0.51%, 10/14/16(c) | 49,992,208 | ||||
21,000,000 | 0.55%, 4/28/17(a) | 21,000,000 | ||||
45,000,000 | 0.57%, 4/13/17(a) | 45,000,000 | ||||
42,500,000 | 0.60%, 10/13/16(a) | 42,499,878 | ||||
40,000,000 | 0.60%, 7/21/17(a) | 40,006,454 | ||||
35,000,000 | 0.62%, 1/6/17(a) | 35,002,574 | ||||
8,000,000 | 0.62%, 1/30/17(a) | 7,996,047 | ||||
4,000,000 | 0.63%, 8/15/17 | 3,998,878 | ||||
30,000,000 | 0.63%, 11/23/16 | 30,007,910 | ||||
50,000,000 | 0.63%, 1/13/17(a) | 50,000,000 | ||||
21,005,000 | 0.63%, 4/4/17 | 20,999,363 | ||||
25,000,000 | 0.63%, 8/11/17 | 24,990,795 | ||||
25,000,000 | 0.63%, 10/4/17(a) | 24,994,174 | ||||
50,000,000 | 0.63%, 1/8/18(a) | 50,000,000 | ||||
4,000,000 | 0.65%, 2/7/17(a) | 3,994,928 | ||||
25,000,000 | 0.65%, 2/8/18(a) | 25,000,000 | ||||
20,000,000 | 0.67%, 2/10/17(a) | 19,999,053 | ||||
60,000,000 | 0.68%, 11/1/16(a) | 60,000,000 | ||||
63,500,000 | 0.68%, 2/14/17(a) | 63,513,491 | ||||
35,000,000 | 0.68%, 9/21/17 | 34,990,419 | ||||
50,000,000 | 0.68%, 10/30/17(a) | 49,996,668 | ||||
25,000,000 | 0.70%, 11/6/17(a) | 24,998,622 | ||||
10,000,000 | 0.72%, 2/13/17 | 10,004,268 | ||||
33,100,000 | 0.72%, 11/15/17(a) | 33,095,121 | ||||
45,000,000 | 0.73%, 2/7/17(a) | 45,000,000 | ||||
19,250,000 | 0.73%, 3/23/17(a) | 19,257,521 | ||||
126,570,000 | 0.75%, 8/28/17 | 126,631,097 | ||||
10,750,000 | 0.75%, 9/8/17 | 10,757,095 | ||||
50,000,000 | 0.77%, 12/5/17(a) | 50,001,773 | ||||
25,000,000 | 0.78%, 11/25/16(a) | 25,000,000 | ||||
25,000,000 | 0.78%, 8/10/17(a) | 24,998,927 | ||||
13,000,000 | 0.78%, 12/12/17(a) | 13,012,501 | ||||
25,000,000 | 0.82%, 9/11/17(a) | 24,964,291 | ||||
50,000,000 | 0.83%, 12/22/17(a) | 50,000,000 | ||||
7,175,000 | 2.25%, 9/8/17 | 7,279,396 | ||||
1,600,000 | 4.88%, 9/8/17 | 1,662,025 | ||||
14,605,000 | 4.88%, 5/17/17 | 14,985,490 | ||||
13,200,000 | 5.13%, 10/19/16 | 13,226,784 | ||||
|
| |||||
1,648,982,859 | ||||||
|
|
12 |
SCHEDULE OF PORTFOLIO INVESTMENTS
|
U.S. Government Money Market Fund (cont.)
September 30, 2016
Principal Amount | Value | |||||
Freddie Mac — 5.40% | ||||||
$65,055,000 | 0.50%, 1/27/17 | $ | 65,009,825 | |||
15,000,000 | 0.63%, 1/8/18(a) | 15,000,000 | ||||
35,000,000 | 0.64%, 1/12/18(a) | 35,000,000 | ||||
75,000,000 | 0.67%, 7/21/17(a) | 74,993,848 | ||||
18,860,000 | 0.75%, 7/14/17 | 18,868,017 | ||||
3,150,000 | 0.86%, 3/8/18(a) | 3,152,043 | ||||
15,000,000 | 0.88%, 10/14/16 | 15,000,646 | ||||
70,500,000 | 0.88%, 2/22/17 | 70,568,488 | ||||
8,500,000 | 0.90%, 9/15/17 | 8,517,765 | ||||
15,000,000 | 1.00%, 3/8/17 | 15,024,043 | ||||
2,650,000 | 1.00%, 7/25/17 | 2,657,034 | ||||
46,365,000 | 1.00%, 7/28/17 | 46,508,552 | ||||
40,000,000 | 1.00%, 9/29/17 | 40,110,879 | ||||
62,413,481 | 1.43%, 8/25/17 | 62,525,823 | ||||
6,540,262 | 1.66%, 11/25/16 | 6,540,740 | ||||
19,000,000 | 5.00%, 4/18/17 | 19,443,857 | ||||
12,339,000 | 5.50%, 8/23/17 | 12,866,140 | ||||
|
| |||||
511,787,700 | ||||||
|
| |||||
Overseas Private Investment Corp. — 4.06% | ||||||
21,590,000 | 0.56%, 1/12/17(d) | 21,617,269 | ||||
4,614,400 | 0.75%, 10/20/17(a) | 4,614,400 | ||||
16,000,000 | 0.75%, 8/15/19(a) | 16,000,000 | ||||
1,200,000 | 0.75%, 12/16/19(a) | 1,200,000 | ||||
21,600,000 | 0.75%, 11/15/22(a) | 21,600,000 | ||||
3,578,947 | 0.75%, 3/15/24(a) | 3,578,947 | ||||
1,315,789 | 0.75%, 3/15/24(a) | 1,315,790 | ||||
10,753,380 | 0.75%, 10/10/25(a) | 10,753,380 | ||||
13,800,000 | 0.75%, 6/1/33(a) | 13,800,000 | ||||
7,000,000 | 0.75%, 10/15/33(a) | 7,000,000 | ||||
1,500,000 | 0.75%, 10/15/33(a) | 1,500,000 | ||||
13,099,258 | 0.75%, 6/15/34(a) | 13,099,258 | ||||
14,300,000 | 0.75%, 7/7/40(a) | 14,300,000 | ||||
32,140,000 | 0.76%, 3/30/17(d) | 32,242,867 | ||||
80,187,000 | 0.76%, 9/15/20(a) | 80,187,000 | ||||
50,000,000 | 0.76%, 2/15/28(a) | 50,000,000 | ||||
15,000,000 | 0.76%, 11/15/28(a) | 15,000,000 | ||||
4,062,500 | 0.79%, 11/20/19(a) | 4,062,500 | ||||
5,000,000 | 0.79%, 7/20/22(a) | 5,000,000 | ||||
10,000,000 | 0.79%, 9/15/22(a) | 10,000,000 | ||||
28,100,000 | 0.79%, 1/15/30(a) | 28,100,000 | ||||
5,963,238 | 0.80%, 10/10/25(a) | 5,963,238 | ||||
11,596,000 | 0.80%, 5/15/30(a) | 11,596,000 | ||||
784,483 | 0.85%, 3/15/17(a) | 784,483 | ||||
689,644 | 0.85%, 3/15/17(a) | 689,644 | ||||
258,618 | 0.85%, 6/15/17(a) | 258,618 | ||||
258,618 | 0.85%, 6/15/17(a) | 258,618 |
13 |
SCHEDULE OF PORTFOLIO INVESTMENTS
|
U.S. Government Money Market Fund (cont.)
September 30, 2016
Principal Amount | Value | |||||
$ 9,643,905 | 0.85%, 6/15/34(a) | $ | 9,643,905 | |||
|
| |||||
384,165,917 | ||||||
|
| |||||
Total U.S. Government Agency Obligations | 4,021,591,960 | |||||
|
| |||||
(Cost $4,021,591,960) | ||||||
U.S. Treasury Obligations — 7.58% | ||||||
U.S. Treasury Notes — 7.58% | ||||||
25,000,000 | 0.32%, 4/30/17(a) | 24,978,027 | ||||
51,475,000 | 0.42%, 10/31/17(a) | 51,431,200 | ||||
50,000,000 | 0.50%, 11/30/16 | 49,994,018 | ||||
25,000,000 | 0.50%, 1/31/17 | 24,974,316 | ||||
30,065,000 | 0.52%, 1/31/18(a) | 30,073,695 | ||||
50,000,000 | 0.63%, 10/15/16 | 50,002,361 | ||||
50,000,000 | 0.63%, 2/15/17 | 50,001,211 | ||||
25,000,000 | 0.75%, 1/15/17 | 24,996,832 | ||||
50,000,000 | 0.75%, 3/15/17 | 50,017,229 | ||||
50,000,000 | 0.88%, 11/30/16 | 50,015,942 | ||||
25,000,000 | 0.88%, 1/31/17 | 25,005,253 | ||||
25,000,000 | 0.88%, 2/28/17 | 25,022,979 | ||||
50,000,000 | 0.88%, 4/15/17 | 50,061,001 | ||||
50,000,000 | 0.88%, 4/30/17 | 50,072,011 | ||||
85,000,000 | 0.88%, 10/15/17 | 85,151,497 | ||||
25,000,000 | 1.88%, 10/31/17 | 25,321,846 | ||||
50,000,000 | 4.63%, 11/15/16 | 50,245,829 | ||||
|
| |||||
717,365,247 | ||||||
|
| |||||
Total U.S. Treasury Obligations | 717,365,247 | |||||
|
| |||||
(Cost $717,365,247) | ||||||
Repurchase Agreements — 27.29% | ||||||
45,000,000 | BNP Paribas Securities Corp., dated 9/30/16; due 10/3/16 at 0.46% with maturity value of $45,001,725 (fully collateralized by U.S. Treasury securities with maturity dates ranging from 11/15/16 to 5/15/35 at rates ranging from 0.00% to 4.625%, aggregate original par and fair value of $44,953,382 and $45,900,024, respectively) | 45,000,000 | ||||
105,000,000 | BNP Paribas Securities Corp., dated 9/30/16; due 10/3/16 at 0.50% with maturity value of $105,004,375 (fully collateralized by Fannie Mae and Freddie Mac securities with maturity dates ranging from 6/1/27 to 1/1/46 at rates ranging from 3.00% to 4.00%, aggregate original par and fair value of $145,689,768 and $107,100,000, respectively) | 105,000,000 | ||||
| ||||||
Total Value of BNP Paribas Securities Corp., (collateral value of $153,000,024) | 150,000,000 | |||||
|
14 |
SCHEDULE OF PORTFOLIO INVESTMENTS
|
U.S. Government Money Market Fund (cont.)
September 30, 2016
Principal Amount | Value | |||||
$150,000,000 | Citigroup Global, dated 9/27/16; due 10/4/16 at 0.39% with maturity value of $150,011,375 (fully collateralized by U.S. Treasury securities with maturity dates ranging from 9/30/23 to 2/15/40 at rates ranging from 1.375% to 4.625%, aggregate original par and fair value of $131,983,000 and $153,000,002, respectively) | $ | 150,000,000 | |||
100,000,000 | Citigroup Global, dated 9/27/16; due 10/4/16 at 0.40% with maturity value of $100,007,778 (fully collateralized by U.S. Treasury securities with maturity dates ranging from 4/30/18 to 8/15/25 at rates ranging from 0.75% to 2.00%, aggregate original par and fair value of $99,890,900 and $102,000,055, respectively) | 100,000,000 | ||||
100,000,000 | Citigroup Global, dated 9/29/16; due 10/6/16 at 0.45% with maturity value of $100,008,750 (fully collateralized by U.S. Treasury securities with maturity dates ranging from 9/30/21 to 5/15/43 at rates ranging from 1.125% to 2.875%, aggregate original par and fair value of $97,365,200 and $102,000,064, respectively) | 100,000,000 | ||||
150,000,000 | Citigroup Global, dated 9/29/16; due 10/6/16 at 0.46% with maturity value of $150,013,417 (fully collateralized by Fannie Mae and Freddie Mac securities with maturity dates ranging from 8/12/21 to 11/15/30 at rates ranging from 1.125% to 6.625%, aggregate original par and fair value of $132,495,000 and $153,000,618, respectively) | 150,000,000 | ||||
40,000,000 | Citigroup Global, dated 9/30/16; due 10/3/16 at 0.50% with maturity value of $40,001,667 (fully collateralized by a U.S. Treasury security with a maturity date of 8/15/42 at a rate of 2.75%, original par and fair value of $36,871,000 and $40,800,066, respectively) | 40,000,000 | ||||
50,000,000 | Citigroup Global, dated 9/30/16; due 10/3/16 at 0.51% with maturity value of $50,002,125 (fully collateralized by U.S. Treasury securities with maturity dates ranging from 1/31/18 to 8/31/21 at rates ranging from 0.75% to 2.00%, aggregate original par and fair value of $50,215,700 and $51,000,068, respectively) | 50,000,000 | ||||
50,000,000 | Citigroup Global, dated 9/30/16; due 10/3/16 at 0.52% with maturity value of $50,002,167 (fully collateralized by U.S. Treasury securities with maturity dates ranging from 10/31/16 to 9/30/23 at rates ranging from 0.375% to 1.75%, aggregate original par and fair value of $50,166,200 and $51,000,058, respectively) | 50,000,000 | ||||
| ||||||
Total Value of Citigroup Global, (collateral value of $652,800,931) | 640,000,000 | |||||
|
15 |
SCHEDULE OF PORTFOLIO INVESTMENTS
|
U.S. Government Money Market Fund (cont.)
September 30, 2016
Principal Amount | Value | |||||
$ 10,000,000 | Credit Agricole Corporate and Investment Bank, dated 9/30/16; due 10/3/16 at 0.45% with maturity value of $10,000,375 (fully collateralized by a U.S. Treasury security with a maturity date of 12/31/20 at a rate of 1.75%, original par and fair value of $9,876,400 and $10,200,099, respectively) | $ | 10,000,000 | |||
| ||||||
Total Value of Credit Agricole Corporate and Investment Bank, (collateral value of $10,200,099) | 10,000,000 | |||||
| ||||||
140,000,000 | Goldman Sachs & Co., dated 9/30/16; due 10/3/16 at 0.50% with maturity value of $140,005,833 (fully collateralized by Fannie Mae and Freddie Mac securities with maturity dates ranging from 9/1/44 to 8/1/45 at rates ranging from 3.50% to 4.50%, aggregate original par and fair value of $148,689,962 and $142,800,001, respectively) | 140,000,000 | ||||
| ||||||
Total Value of Goldman Sachs & Co., (collateral value of $142,800,001) | 140,000,000 | |||||
| ||||||
65,000,000 | Merrill Lynch, Pierce, Fenner, Smith, dated 9/30/16; due 10/3/16 at 0.49% with maturity value of $65,002,654 (fully collateralized by Freddie Mac securities with maturity dates ranging from 7/15/32 to 5/4/37 at a rate of 0.00%, aggregate original par and fair value of $140,541,000 and $66,300,250, respectively) | 65,000,000 | ||||
30,000,000 | Merrill Lynch, Pierce, Fenner, Smith, dated 9/30/16; due 10/3/16 at 0.50% with maturity value of $30,001,250 (fully collateralized by a Freddie Mac security with a maturity date of 2/1/30 at a rate of 2.50%, original par and fair value of $37,542,026 and $30,600,001, respectively) | 30,000,000 | ||||
| ||||||
Total Value of Merrill Lynch, Pierce, Fenner, Smith, (collateral value of $96,900,251) | 95,000,000 | |||||
| ||||||
60,000,000 | National Australia Bank, dated 9/30/16; due 10/3/16 at 0.35% with maturity value of $60,001,750 (fully collateralized by U.S. Treasury securities with maturity dates ranging from 12/31/20 to 10/31/21 at rates ranging from 1.75% to 2.00%, aggregate original par and fair value of $61,280,313, respectively) | 60,000,000 | ||||
700,000,000 | National Australia Bank, dated 9/30/16; due 10/3/16 at 0.47% with a maturity value of $700,027,417 (fully collateralized by U.S. Treasury securities with maturity dates ranging from 12/31/18 to 8/15/21 at rates ranging from 1.375% to 2.125%, aggregate original par and fair value of $700,000,000 and $713,262,500, respectively) | 700,000,000 | ||||
| ||||||
Total Value of National Australia Bank, (collateral value of $774,542,813) | 760,000,000 | |||||
| ||||||
100,000,000 | TD Securities (USA), dated 9/27/16; due 10/4/16 at 0.40% with maturity value of $100,007,778 (fully collateralized by U.S. Treasury securities with maturity dates ranging from 1/15/18 to 11/15/45 at rates ranging from 0.875% to 4.75%, aggregate original par and fair value of $94,536,000 and $102,000,010, respectively) | 100,000,000 |
16 |
SCHEDULE OF PORTFOLIO INVESTMENTS
|
U.S. Government Money Market Fund (cont.)
September 30, 2016
Principal Amount | Value | |||||
$ 15,000,000 | TD Securities (USA), dated 9/30/16; due 10/3/16 at 0.52% with maturity value of $15,000,650 (fully collateralized by U.S. Treasury securities with maturity dates ranging from 2/23/17 to 2/15/19 at rates ranging from 0.00% to 2.75%, aggregate original par and fair value of $15,130,000 and $15,300,068, respectively) | $ | 15,000,000 | |||
| ||||||
Total Value of TD Securities (USA), (collateral value of $117,300,078) | 115,000,000 | |||||
| ||||||
375,000,000 | Wells Fargo Securities, dated 9/30/16; due 10/3/16 at 0.48% with maturity value of $375,015,000 (fully collateralized by U.S. Treasury securities with maturity dates ranging from 10/15/16 to 2/15/45 at rates ranging from 0.00% to 4.25%, aggregate original par and fair value of $367,464,485 and $382,500,155, respectively) | 375,000,000 | ||||
300,000,000 | Wells Fargo Securities, dated 9/30/16; due 10/3/16 at 0.50% with maturity value of $300,012,500 (fully collateralized by Fannie Mae securities with maturity dates ranging from 9/1/31 to 10/1/46 at rates ranging from 3.50% to 5.00%, aggregate original par and fair value of $284,048,866 and $306,000,001, respectively) | 300,000,000 | ||||
| ||||||
Total Value of Wells Fargo Securities, (collateral value of $688,500,156) | 675,000,000 | |||||
| ||||||
Total Repurchase Agreements | 2,585,000,000 | |||||
|
| |||||
(Cost $2,585,000,000) | ||||||
Total Investments (Cost 9,580,108,207)(e) — 101.15% | $ | 9,580,108,207 | ||||
Liabilities in excess of other assets — (1.15)% | (108,750,326 | ) | ||||
|
| |||||
NET ASSETS — 100.00% | $ | 9,471,357,881 | ||||
|
|
(a) | Variable rate security. The rate reflected in the Schedule of Portfolio Investments is the rate in effect on September 30, 2016. 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. |
(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.
17 |
|
Statement of Assets and Liabilities
September 30, 2016
U.S. Government | ||||
Money | ||||
Market Fund | ||||
Assets: | ||||
Investments, at value (cost $9,580,108,207) | $ | 9,580,108,207* | ||
Cash | 6,293,160 | |||
Interest and dividends receivable | 9,511,815 | |||
Receivable due from Broker | 8,004,926 | |||
Prepaid expenses and other assets | 268,031 | |||
|
| |||
Total Assets | 9,604,186,139 | |||
|
| |||
Liabilities: | ||||
Distributions payable | 261,519 | |||
Payable for investments purchased | 129,133,584 | |||
Accrued expenses and other payables: | ||||
Investment advisory fees | 819,812 | |||
Audit fees | 16,960 | |||
Trustee fees | 3,817 | |||
Distribution fees | 2,333,207 | |||
Shareholder reports | 37,333 | |||
Shareholder servicing fees | 79,538 | |||
Transfer Agent fees | 7,305 | |||
Other | 135,183 | |||
|
| |||
Total Liabilities | 132,828,258 | |||
|
| |||
Net Assets | $ | 9,471,357,881 | ||
|
| |||
Net Assets Consist Of: | ||||
Capital | $ | 9,471,051,335 | ||
Undistributed net investment income | 341,464 | |||
Accumulated net realized losses from investment transactions | (34,918 | ) | ||
|
| |||
Net Assets | $ | 9,471,357,881 | ||
|
| |||
Net Assets: | ||||
RBC Institutional Class 1 | $ | 2,073,607,988 | ||
RBC Institutional Class 2 | 663,198,465 | |||
RBC Investor Class | 728,198,153 | |||
RBC Reserve Class | 3,681,755,225 | |||
RBC Select Class | 2,324,598,050 | |||
|
| |||
Total | $ | 9,471,357,881 | ||
|
|
18 |
FINANCIAL STATEMENTS
|
Statement of Assets and Liabilities (cont.)
U.S. Government | ||||
Money | ||||
Market Fund | ||||
Shares Outstanding (Unlimited number of shares authorized, no par value): | ||||
RBC Institutional Class 1 | 2,073,520,675 | |||
RBC Institutional Class 2 | 663,174,313 | |||
RBC Investor Class | 728,187,161 | |||
RBC Reserve Class | 3,681,663,091 | |||
RBC Select Class | 2,324,541,013 | |||
|
| |||
Total | 9,471,086,253 | |||
|
| |||
Net Asset Values and Redemption Price per Share: | ||||
RBC Institutional Class 1 | $ | 1.00 | ||
|
| |||
RBC Institutional Class 2 | $ | 1.00 | ||
|
| |||
RBC Investor Class | $ | 1.00 | ||
|
| |||
RBC Reserve Class | $ | 1.00 | ||
|
| |||
RBC Select Class | $ | 1.00 | ||
|
|
* | $2,585,000,000 of which are repurchase agreements. See Schedule of Portfolio Investments for details. |
See Notes to Financial Statements.
19 |
FINANCIAL STATEMENTS
|
For the Year Ended September 30, 2016
U.S. Government | ||
Money | ||
Market Fund |
Investment Income: | ||||
Interest income | $ | 33,060,285 | ||
|
| |||
Expenses: | ||||
Investment advisory fees | 8,490,518 | |||
Distribution fees-RBC Institutional Class 2 | 773,003 | |||
Distribution fees-RBC Investor Class | 7,347,559 | |||
Distribution fees-RBC Reserve Class | 32,953,305 | |||
Distribution fees-RBC Select Class | 17,630,546 | |||
Shareholder services administration fees-RBC Institutional Class 1 | 687,565 | |||
Accounting fees | 424,526 | |||
Audit fees | 38,377 | |||
Custodian fees | 133,415 | |||
Insurance fees | 58,843 | |||
Legal fees | 336,474 | |||
Registration and filing fees | 165,634 | |||
Shareholder reports | 174,001 | |||
Transfer agent fees-RBC Institutional Class 1 | 9,254 | |||
Transfer agent fees-RBC Institutional Class 2 | 6,166 | |||
Transfer agent fees-RBC Investor Class | 5,988 | |||
Transfer agent fees-RBC Reserve Class | 5,988 | |||
Transfer agent fees-RBC Select Class | 5,988 | |||
Trustees’ fees | 423,089 | |||
Other fees | 228,784 | |||
|
| |||
Total expenses before fee reductions | 69,899,023 | |||
Expenses reduced by: | ||||
Shareholder Services | ||||
Administrator - Class Specific | �� | (23,708 | ) | |
Distributor - Class Specific | (41,559,311 | ) | ||
|
| |||
Net Expenses | 28,316,004 | |||
|
| |||
Net Investment Income | 4,744,281 | |||
|
| |||
Realized/Unrealized Gains from Investment Transactions: | ||||
Net realized gains from investment transactions | 1,535 | |||
|
| |||
Change in net assets resulting from operations | $ | 4,745,816 | ||
|
|
See Notes to Financial Statements.
20 |
|
Statements of Changes in Net Assets
U.S. Government Money Market Fund | ||||||||
For the Year Ended September 30, 2016 | For the Year Ended September 30, 2015 | |||||||
From Investment Activities: | ||||||||
Operations: | ||||||||
Net investment income | $ | 4,744,281 | $ | 592,420 | ||||
Net realized gains (losses) from investment transactions | 1,535 | (2,967 | ) | |||||
|
|
|
| |||||
Change in net assets resulting from operations | 4,745,816 | 589,453 | ||||||
|
|
|
| |||||
Distributions from Net Investment Income | ||||||||
RBC Institutional Class 1 Shareholders | (3,066,828 | ) | (97,902 | ) | ||||
RBC Institutional Class 2 Shareholders | (707,498 | ) | (45,114 | ) | ||||
RBC Investor Class Shareholders | (73,662 | ) | (69,985 | ) | ||||
RBC Reserve Class Shareholders | (367,308 | ) | (241,680 | ) | ||||
RBC Select Class Shareholders | (221,007 | ) | (154,663 | ) | ||||
|
|
|
| |||||
Change in net assets resulting from Distributions of Net Investment Income | (4,436,303 | ) | (609,344 | ) | ||||
|
|
|
| |||||
Capital Transactions: | ||||||||
Proceeds from shares issued | 15,643,166,479 | 6,210,795,093 | ||||||
Distributions reinvested | 2,927,421 | 598,310 | ||||||
Cost of shares redeemed | (12,501,371,260 | ) | (5,523,006,294 | ) | ||||
|
|
|
| |||||
Change in net assets resulting from capital transactions | 3,144,722,640 | 688,387,109 | ||||||
|
|
|
| |||||
Net increase in net assets | 3,145,032,153 | 688,367,218 | ||||||
Net Assets: | ||||||||
Beginning of year | 6,326,325,728 | 5,637,958,510 | ||||||
|
|
|
| |||||
End of year | $ | 9,471,357,881 | $ | 6,326,325,728 | ||||
|
|
|
| |||||
Undistributed net investment income | $ | 341,464 | $ | — | ||||
|
|
|
| |||||
Share Transactions: | ||||||||
Issued | 15,643,166,479 | 6,210,795,093 | ||||||
Reinvested | 2,927,421 | 598,310 | ||||||
Redeemed | (12,501,371,260 | ) | (5,523,006,294 | ) | ||||
|
|
|
| |||||
Change in shares resulting from capital transactions | 3,144,722,640 | 688,387,109 | ||||||
|
|
|
|
See Notes to Financial Statements.
21 |
|
U.S. Government Money Market Fund | �� | (Selected data for a share outstanding throughout the periods indicated) |
Investment Activities | Distributions | |||||||||||||||||||||||||||
Net Asset Value, Beginning of Year | Net Investment Income | Net Realized/ Unrealized Gain/(Loss) on Investments | Total from Investment Activities | Net Investment Income | Total Distributions | Net Asset Value, End of Year | ||||||||||||||||||||||
RBC Institutional Class 1 | ||||||||||||||||||||||||||||
Year Ended September 30, 2016 | $1.00 | (a)(b) | (b) | (b) | (b) | (b) | $1.00 | |||||||||||||||||||||
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 | |||||||||||||||||||||
RBC Institutional Class 2 | ||||||||||||||||||||||||||||
Year Ended September 30, 2016 | $1.00 | (a)(b) | (b) | (b) | (b) | (b) | $1.00 | |||||||||||||||||||||
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 | |||||||||||||||||||||
RBC Investor Class | ||||||||||||||||||||||||||||
Year Ended September 30, 2016 | $1.00 | (a)(b) | (b) | (b) | (b) | (b) | $1.00 | |||||||||||||||||||||
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 | |||||||||||||||||||||
RBC Reserve Class | ||||||||||||||||||||||||||||
Year Ended September 30, 2016 | $1.00 | (a)(b) | (b) | (b) | (b) | (b) | $1.00 | |||||||||||||||||||||
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 | |||||||||||||||||||||
RBC Select Class | ||||||||||||||||||||||||||||
Year Ended September 30, 2016 | $1.00 | (a)(b) | (b) | (b) | (b) | (b) | $1.00 | |||||||||||||||||||||
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 |
(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.
22 |
FINANCIAL HIGHLIGHTS
|
U.S. Government Money Market Fund (cont.) | (Selected data for a share outstanding throughout the periods indicated) |
Ratios/Supplemental Data | ||||||||||||||||||||
Total Return(c) | Net Assets, End of Year (millions) | Ratio of Net Expenses to Average Net Assets | Ratio of Net Investment Income to Average Net Assets | Ratio of Expenses to Average Net Assets* | ||||||||||||||||
RBC Institutional Class 1 | ||||||||||||||||||||
Year Ended September 30, 2016 | 0.20% | $ 2,074 | 0.17% | 0.23% | 0.18% | |||||||||||||||
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% | |||||||||||||||
RBC Institutional Class 2 | ||||||||||||||||||||
Year Ended September 30, 2016 | 0.12% | $ 663 | 0.26% | 0.14% | 0.28% | |||||||||||||||
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% | |||||||||||||||
RBC Investor Class | ||||||||||||||||||||
Year Ended September 30, 2016 | 0.01% | $ 728 | 0.36% | 0.01% | 1.12% | |||||||||||||||
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% | |||||||||||||||
RBC Reserve Class | ||||||||||||||||||||
Year Ended September 30, 2016 | 0.01% | $ 3,682 | 0.37% | 0.01% | 1.02% | |||||||||||||||
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% | |||||||||||||||
RBC Select Class | ||||||||||||||||||||
Year Ended September 30, 2016 | 0.01% | $ 2,325 | 0.38% | 0.01% | 0.92% | |||||||||||||||
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% |
* | 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 period, reinvestment of all dividends and distributions, and a complete redemption of the investment at net asset value at the end of the period. |
See Notes to Financial Statements.
23 |
|
September 30, 2016
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 21 portfolios. Predecessor funds to the Trust were reorganized as portfolios of the Trust effective April 16, 2004. This report includes the U.S. Government Money Market Fund (“Fund”).
The Fund offers 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 Fund. The officers of the Trust (“Fund Management”) are also employees of RBC GAM (US).
2. Significant Accounting Policies
The Fund is an investment company that follows accounting and reporting guidance under the Financial Accounting Standards Board. Summarized below are the significant accounting policies of the Fund. These policies conform to accounting principles generally accepted in the United Sates 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 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 (see “Fair Value Measurements” below for additional information). 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 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 and other assets. 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
24 |
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 Fund 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 Fund discloses the fair value of 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.
25 |
NOTES TO FINANCIAL STATEMENTS
|
The summary of inputs used to determine the fair value of the Fund’s investments as of September 30, 2016 is as follows:
Level 2 | Level 3 | |||||||||||||||
Significant | Significant | |||||||||||||||
Level 1 | Observable | Unobservable | ||||||||||||||
Fund | Quoted Prices | Inputs | Inputs | Total | ||||||||||||
U.S. Government Money Market | $— | $9,580,108,207(a)(b) | $— | $9,580,108,207 |
(a) The breakdown of the Fund’s investments by security type is disclosed in the Schedule of Portfolio Investments.
(b) The breakdown of the Fund’s investments by state classification or political subdivision is disclosed in the Schedule of Portfolio Investments.
During the year ended September 30, 2016, the Fund 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.
Financial Instruments:
Repurchase Agreements:
The Fund 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 Fund 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 Fund has 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 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. 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, the Fund receives securities as collateral with a market value in excess of the repurchase price to be received by the Fund upon the maturity of the repurchase transaction. Upon a bankruptcy or insolvency of the MRA counterparty, the Fund recognizes a liability with respect to such excess collateral to reflect the Fund’s obligation under bankruptcy law to return the excess to the counterparty. Details of the counterparties and collateral for repurchase agreements are shown on the Schedule of Portfolio Investments.
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 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
26 |
NOTES TO FINANCIAL STATEMENTS
|
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.
Expense, Investment Income and Gain/Loss Allocation:
The 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 the 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 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 on 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 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 the Fund’s capital accounts based on their federal tax basis treatment.
For the year ended September 30, 2016, reclassifications for permanent differences were as follows:
Increase Undistributed Net Investment Income | Increase Accumulated Realized Losses | |||||||
U.S. Government Money Market Fund | $33,486 | $(33,486) |
When-Issued Transactions:
The Fund may engage in when-issued transactions. The Fund records when-issued securities on the trade date and maintains 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, 2016, the Fund held no when-issued securities.
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 Fund’s assets and furnishes related office facilities, equipment, research and personnel. The agreement requires the Fund to pay RBC GAM (US) a monthly fee based upon average daily net assets. Under the terms of the advisory contract, RBC GAM (US) is entitled to receive fees based on a percentage of the average daily net assets as follows:
Annual Rate | ||||
U.S. Government Money Market Fund | 0.10% |
27 |
NOTES TO FINANCIAL STATEMENTS
|
RBC Institutional Class 1 of the 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 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 (excluding certain fees such as interest, taxes and acquired fund fees and expenses) at 0.20% for RBC Institutional Class 1. During the year ended September 30, 2016, there were no fees waived under this agreement.
RBC GAM (US) serves as co-administrator to the Fund. 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 Fund, maintenance of the 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 Fund based on the Fund’s average net assets. BNY Mellon’s fee is included with “Accounting fees” in the Statement of Operations.
Certain Officers and Trustees of the Trust are affiliated with the Advisor. Such Officers and Trustees receive no compensation from the Fund 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 $46,000 ($49,000 effective October 1, 2016). 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 $6,000 ($6,500 effective October 1, 2016) 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, 2016, the Fund 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 $34,445,000 and $0, respectively.
4. Fund Distribution
The Fund has 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 Fund’s distributor. The Plan permits the 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.
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 Fund. RBC Capital Markets, LLC has
28 |
NOTES TO FINANCIAL STATEMENTS
|
agreed to waive fees and/or reimburse expenses in order to maintain the net annual Fund operating expenses for each class listed below to the following amounts:
Share Class | Operating Expense Limit | |||
RBC Institutional Class 2 | 0.30% | |||
RBC Investor Class | 1.00% | |||
RBC Reserve Class | 0.85% | |||
RBC Select Class | 0.77% |
This expense limitation agreement is in place until January 31, 2017. 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 RBC Capital Markets, LLC, 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, 2016, the amount subject to possible recoupment under the expense limitation agreement is $10,644,887.
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 the fund. Any such voluntary program may be modified or discontinued at any time without notice.
For the year ended September 30, 2016, the following distribution fees were waived:
Share Class | Distribution Fees Waived | |||
RBC Institutional Class 2 | $ 79,983 | |||
RBC Investor Class | 5,598,820 | |||
RBC Reserve Class | 23,794,673 | |||
RBC Select Class | 12,085,835 |
For the year ended September 30, 2016, shareholder servicing fees were voluntarily waived for the RBC Institutional Class 1 in the amount of $23,708.
29 |
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:
U.S. Government Money Market Fund | ||||||||||||
For the Year Ended September 30, 2016 | For the Year Ended September 30, 2015 | |||||||||||
CAPITAL TRANSACTIONS: | ||||||||||||
RBC Institutional Class 1 | ||||||||||||
Proceeds from shares issued | $ | 5,665,429,108 | $ | 875,502,559 | ||||||||
Distributions reinvested | 1,558,949 | 86,809 | ||||||||||
Cost of shares redeemed | (4,514,013,138 | ) | (1,128,167,492 | ) | ||||||||
|
|
|
| |||||||||
Change in RBC Institutional Class 1 | $ | 1,152,974,919 | $ | (252,578,124 | ) | |||||||
|
|
|
| |||||||||
RBC Institutional Class 2 | ||||||||||||
Proceeds from shares issued | $ | 3,198,618,167 | $ | 1,332,726,993 | ||||||||
Distributions reinvested | 706,441 | 45,118 | ||||||||||
Cost of shares redeemed | (2,865,535,520 | ) | (1,301,941,708 | ) | ||||||||
|
|
|
| |||||||||
Change in RBC Institutional Class 2 | $ | 333,789,088 | $ | 30,830,403 | ||||||||
|
|
|
| |||||||||
RBC Investor Class | ||||||||||||
Proceeds from shares issued | $ | 863,568,259 | $ | 808,388,041 | ||||||||
Distributions reinvested | 73,633 | 69,993 | ||||||||||
Cost of shares redeemed | (840,426,091 | ) | (775,239,108 | ) | ||||||||
|
|
|
| |||||||||
Change in RBC Investor Class | $ | 23,215,801 | $ | 33,218,926 | ||||||||
|
|
|
| |||||||||
RBC Reserve Class | ||||||||||||
Proceeds from shares issued | $ | 2,830,089,661 | $ | 1,557,564,642 | ||||||||
Distributions reinvested | 367,353 | 241,707 | ||||||||||
Cost of shares redeemed | (1,853,851,082 | ) | (993,099,500 | ) | ||||||||
|
|
|
| |||||||||
Change in RBC Reserve Class | $ | 976,605,932 | $ | 564,706,849 | ||||||||
|
|
|
| |||||||||
RBC Select Class | ||||||||||||
Proceeds from shares issued | $ | 3,085,461,284 | $ | 1,636,612,858 | ||||||||
Distributions reinvested | 221,045 | 154,683 | ||||||||||
Cost of shares redeemed | (2,427,545,429 | ) | (1,324,558,486 | ) | ||||||||
|
|
|
| |||||||||
Change in RBC Select Class | $ | 658,136,900 | $ | 312,209,055 | ||||||||
|
|
|
| |||||||||
Change in net assets resulting from capital transactions | $ | 3,144,722,640 | $ | 688,387,109 | ||||||||
|
|
|
|
6. Federal Income Taxes
It is the policy of the 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 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 (current and prior three tax years) 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.
30 |
NOTES TO FINANCIAL STATEMENTS
|
As of and during the year ended September 30, 2016, 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 period, the Fund did not incur any interest or penalties.
The tax character of distributions during the year ended September 30, 2016 were as follows:
Distributions Paid From | ||||||||||||||||
Ordinary Income | Net Long Term Capital Gains | Total Taxable Distributions | Tax Exempt Distributions | Total Distributions Paid* | ||||||||||||
$4,174,784 | $ | — | $ | 4,174,784 | $ | — | $ | 4,174,784 |
The tax character of distributions during the year ended September 30, 2015 were as follows:
Distributions Paid From | ||||||||||||||||
Ordinary Income | Net Long Term Capital Gains | Total Taxable Distributions | Tax Exempt Distributions | Total Distributions Paid* | ||||||||||||
$610,490 | $ | — | $ | 610,490 | $ | — | $610,490 |
*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, 2016, the components of accumulated earnings/(losses) on a tax basis were as follows:
Undistributed Ordinary Income | Undistributed Long-Term Capital Gains | Distributions Payable | Accumulated Capital Loss Carryforwards | Deferred Qualified Late-Year Losses | Unrealized Depreciation | Total Accumulated Earnings/(Losses) | ||||||||||||||||||
$602,983 | $ | — | $ | (261,519 | ) | $(34,918) | $ | — | $ | — | $306,546 |
As of September 30, 2016, the Fund had a short-term capital loss carryforward of $34,918 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.
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 for the year ending September 30, 2016.
7. Subsequent Events
Fund Management has evaluated the impact of subsequent events on the Fund and has determined that there are no subsequent events that require recognition or disclosure in the financial statements.
31 |
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
|
To the Trustees of RBC Funds Trust and the Shareholders of U.S. Government Money Market Fund
In our opinion, the accompanying statement of assets and liabilities, including the schedule of portfolio investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of the U.S. Government Money Market Fund (the “Fund,” a series of RBC Funds Trust) at September 30, 2016, the results of its operations, the changes in its net assets and the financial highlights for the year then ended, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Fund’s management. Our responsibility is to express an opinion on these financial statements based on our audit. We conducted our audit of these financial statements 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 are free of material misstatement. An audit 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, and evaluating the overall financial statement presentation. We believe that our audit, which included confirmation of securities at September 30, 2016 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion. The statement of changes in net assets and the financial highlights of the Fund for the periods ended September 30, 2015 and prior were audited by another independent registered public accounting firm whose report dated November 22, 2015 expressed an unqualified opinion on those statements and highlights..
PricewaterhouseCoopers LLP
Minneapolis, Minnesota
November 22, 2016
32 |
OTHER FEDERAL INCOME TAX INFORMATION (UNAUDITED)
|
The Fund reports a portion of the income dividends distributed during the fiscal year ended September 30, 2016, as U.S. Government Income as 48.44%.
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. For residents of California, New York and Connecticut the statutory threshold requirements were 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 Fund reports a portion of the income dividends distributed during the fiscal year ended September 30, 2016, as Qualified Interest Income as defined in the Internal Revenue Code as 100%.
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 Fund to report the maximum amount permitted under the Internal Revenue Code and the regulations thereunder.
33 |
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Independent Trustees(1)(2)
T. Geron Bell (75)
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: 21
Other Director/Trustee Positions Held by Trustee During Past 5 Years: None
Lucy Hancock Bode (65)
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: 21
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. (66)
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: 21
Other Director/Trustee Positions Held by Trustee During Past 5 Years: None
Ronald James (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 Chief Executive Officer, Center for Ethical Business Cultures (2000 to present)
Number of Portfolios in Fund Complex Overseen by Trustee: 21
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 (67)
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: 21
Other Director/Trustee Positions Held by Trustee During Past 5 Years: None
H. David Rybolt (74)
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: 21
Other Director/Trustee Positions Held by Trustee During Past 5 Years: None
34 |
MANAGEMENT (Unaudited)
|
Independent Trustees(1)(2)
James R. Seward (64)
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: 21
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 (71)
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: 21
Other Director/Trustee Positions Held by Trustee During Past 5 Years: National Association of Corporate Directors-Heartland Chapter (2013 to present); 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 (52)(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: 21
Other Director/Trustee Positions Held by Trustee During Past 5 Years: None
Executive Officers(1)(3)(4)
Kathleen A. Gorman (52)
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)
35 |
MANAGEMENT (Unaudited)
|
Executive Officers(1)(3)(4)
Kathleen A. Hegna (49)
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 Services, RBC Global Asset Management (U.S.) Inc. (2009 to present)
Christina M. Weber (48)
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)
Jay Jackson (38)
Position, Term of Office and Length of Time Served with the Trust: Chief Legal Officer and Secretary since December 2015
Principal Occupation(s) During Past 5 Years: Senior Associate General Counsel, RBC Global Asset Management (U.S.) Inc. (2011 - present); Associate, K&L Gates (2008 - 2010)
(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 Fund’s 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.
36 |
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, 2016 through September 30, 2016.
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 4/1/16 | Ending Account Value 9/30/16 | Expenses Paid During Period* 4/1/16-9/30/16 | Annualized Expense Ratio During Period 4/1/16-9/30/16 | |||||||||||||
U.S. Government Money Market Fund | ||||||||||||||||
RBC Institutional Class 1 | $1,000.00 | $1,001.40 | $0.91 | 0.18% | ||||||||||||
RBC Institutional Class 2 | 1,000.00 | 1,000.90 | 1.42 | 0.28% | ||||||||||||
RBC Investor Class | 1,000.00 | 1,000.10 | 2.22 | 0.44% | ||||||||||||
RBC Reserve Class | 1,000.00 | 1,000.10 | 2.22 | 0.44% | ||||||||||||
RBC Select Class | 1,000.00 | 1,000.10 | 2.22 | 0.44% |
* | Expenses are equal to the average account value times the Fund’s annualized expense ratio multiplied by 185/366 (to reflect one-half year period). |
37 |
SUPPLEMENTAL INFORMATION (Unaudited)
|
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 4/1/16 | Ending Account Value 9/30/16 | Expenses Paid During Period* 4/1/16-9/30/16 | Annualized Expense Ratio During Period 4/1/16-9/30/16 | |||||||||||||
U.S. Government Money Market Fund | ||||||||||||||||
RBC Institutional Class 1 | $1,000.00 | $1,024.36 | $0.92 | 0.18% | ||||||||||||
RBC Institutional Class 2 | 1,000.00 | 1,023.86 | 1.43 | 0.28% | ||||||||||||
RBC Investor Class | 1,000.00 | 1,023.05 | 2.25 | 0.44% | ||||||||||||
RBC Reserve Class | 1,000.00 | 1,023.05 | 2.25 | 0.44% | ||||||||||||
RBC Select Class | 1,000.00 | 1,023.05 | 2.25 | 0.44% |
* | Expenses are equal to the average account value times the Fund’s annualized expense ratio multiplied by 185/366 (to reflect one-half year period). |
38 |
APPROVAL OF INVESTMENT ADVISORY AGREEMENT (UNAUDITED)
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Information Regarding the Approval of Investment Advisory Agreement
In September 2016, 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 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 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 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.
The Trustees were provided with comparative Morningstar data for U.S. government money market funds. The Trustees noted that, although the low interest rate environment had driven down money market returns, the Fund’s relative performance was good. 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 Fund.
The Trustees highlighted the challenging economic climate for money market funds generally, which has resulted in continued low gross yields and corresponding fee waivers to avoid negative yields. The Trustees reviewed the investment advisory fees payable to the Advisor and reviewed comparative fee and expense information for similarly situated funds. The Trustees noted the Fund’s net expense ratio ranked below many peers 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 Fund, including the Advisor’s role as co-administrator of the Fund and the fees paid by the Fund 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 Fund and its shareholders for the Trustees to approve the continuation of the Agreement as well as the expense limitation arrangements for the 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, 2016.
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 09-16
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 1-800-SEC-0330. |
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Contents | ||||||||||||
Letter from the Chief Investment Officer | 1 | |||||||||||
Portfolio Managers | 4 | |||||||||||
Performance Summary (Unaudited) | 7 | |||||||||||
Management Discussion and Analysis (Unaudited) | ||||||||||||
- RBC BlueBay Emerging Market Select Bond Fund | 10 | |||||||||||
- RBC BlueBay Emerging Market Corporate Bond Fund | 12 | |||||||||||
- RBC BlueBay Global High Yield Bond Fund | 14 | |||||||||||
- RBC BlueBay Global Convertible Bond Fund | 16 | |||||||||||
- RBC BlueBay Absolute Return Fund | 18 | |||||||||||
- RBC BlueBay Emerging Market Unconstrained Fixed Income Fund | 20 | |||||||||||
- RBC BlueBay Diversified Credit Fund | 22 | |||||||||||
Schedule of Portfolio Investments | 24 | |||||||||||
Financial Statements | ||||||||||||
- Statements of Assets and Liabilities | 90 | |||||||||||
- Statements of Operations | 94 | |||||||||||
- Statements of Changes in Net Assets | 96 | |||||||||||
Financial Highlights | 103 | |||||||||||
Notes to Financial Statements | 115 | |||||||||||
Report of Independent Registered Public Accounting Firm | 147 | |||||||||||
Other Federal Income Tax Information (Unaudited) | 148 | |||||||||||
Management (Unaudited) | 149 | |||||||||||
Share Class Information (Unaudited) | 152 | |||||||||||
Supplemental Information (Unaudited) | 153 | |||||||||||
Approval of Investment Advisory and Sub-Advisory Agreements (Unaudited) | 155 | |||||||||||
1 |
LETTER FROM THE CHIEF INVESTMENT OFFICER
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high yield; both asset classes were buoyed by inflows as low rates in developed markets drove investors into higher-yielding alternatives. EM sovereign hard currency assets, as represented by the JP Morgan Emerging Markets Bond Index Global Diversified, gained 16.20% while local currency assets (JP Morgan Government Bond Index-Emerging Markets Global Diversified) were up 17.06% (all performance discussed in this paragraph is for the one-year period ended September 30, 2016). The EM corporate market also performed well with the JP Morgan Corporate Emerging Markets Bond Index Diversified rising 12.53%, despite the uptick in the default rate of the high yield portion of the market to 3.66% (although that was concentrated in a few large credits and remains lower than consensus forecasts). The BAML Global High Yield Constrained Index gained 13.51%; the asset class recovered well from fears of increasing default rates in the U.S. energy sector of the market early in the period thanks to the oil price recovery. Meanwhile loans benefited due to fears of rising rates in the U.S.; the floating rate nature of these instruments insulates them from rate rises. As a result, the JP Morgan U.S. Leveraged Loan Index gained 5.81% while in Europe the JP Morgan European Leveraged Loan Index was up 5.18%. Despite investors flooding into higher yielding asset class, investment grade debt still put in a solid performance with the Bloomberg Barclays Global Aggregate Bond Index gaining 8.83%. Convertible bonds were weaker on a relative basis over the period with the Thomson Reuters Global Convertible Focus Index up 5.17% as the asset class experienced outflows and as equity markets suffered from concerns surrounding global growth. | ||||||
Looking ahead we believe markets will be dominated by politics and policy. Political risks include the upcoming U.S. elections, Italian referendum, Brexit newsflow and likely increasing focus on key European elections scheduled for 2017. With policy we would highlight that investors, and indeed the central banks themselves, are increasingly acknowledging that the costs of QE and negative rates are beginning to outweigh the benefits. The BoJ has already announced its wish to steepen the yield curve, which potentially reverses the trend of policy pushing risk-free yield ever lower. Somewhat steeper yield curves would be beneficial for banks in particular that have seen their profitability eroded by flat yield curves as well as increased regulation. In the coming months the focus will be on a possible rate hike by the Fed and speculation that the ECB may announce ‘tapering’ of its current QE programme even if, as we expect, it is extended beyond its provisional end date of March 2017. Politics and policy, against the backdrop of a rise in headline inflation as the rebound in oil prices from their levels a year ago begin to feed through, will likely lead to further episodes of market volatility. In our opinion markets are too complacent with respect to potential instability emanating from China. | ||||||
Nonetheless, global growth is picking up after the slowdown in the first half of the year, led by a stronger performance from EM economies that we expect to persist into 2017. We believe monetary policy will remain accommodative and, if supported by fiscal easing, the backdrop for credit and especially EM debt going into 2017 appears positive. | ||||||
Through the ups and downs of markets, we will continue to seek positive absolute and risk-adjusted returns with a focus on capital preservation. Thank you for your continued confidence and trust in the RBC BlueBay Funds. | ||||||
2 |
LETTER FROM THE CHIEF INVESTMENT OFFICER
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Sincerely,
Raphael Robelin, Chief Investment Officer 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. | ||||||
The JP Morgan 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’ 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 BAML 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 JP Morgan U.S. Leveraged Loan Index is designed to mirror the investable universe of US dollar institutional leveraged loans, including U.S. and international borrowers. | ||||||
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 Bloomberg Barclays Global Aggregate 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 Thomson Reuters Global Convertible Focus Index measures the performance of the liquid global convertible market. | ||||||
Yield Curve – A line that plots the interest rates, at a set point in time, of bonds having equal credit quality, but differing maturity dates. The most frequently reported yield curve compares the three-month, two-year, five-year and 30-year U.S. Treasury debt. The curve is used to predict changes in economic output and growth. | ||||||
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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 Diversified Credit Fund (effective 9/30/16, the RBC BlueBay Total Return Credit Fund was renamed the RBC BlueBay Diversified 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 Diversified 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 Diversified 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 Diversified 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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Anthony Robertson (a) 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 Diversified 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 Diversified 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. | ||||||
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 Diversified 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. | ||||||
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.
(a) Effective October 5, 2016, Anthony Robertson no longer serves as a portfolio manager of the Diversified Credit Fund, and Justin Jewell and Thomas Kreuzer each assume the role of a portfolio manager of the Fund. | ||||||
5 |
PORTFOLIO MANAGERS
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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.
| ||||||
Justin Jewell (a) Co-Head of Long Only Strategies Senior Portfolio Manager Justin Jewell is responsible for portfolio management of the RBC BlueBay Diversified Credit Fund and the RBC BlueBay Global High Yield Bond Fund. Justin joined BlueBay in April 2009, initially as Head of High Yield Trading, before moving into portfolio management at the beginning of 2012. He has over ten years’ industry experience and spent a large part of his career at UBS where, most recently, he was Director of High Yield and Distressed Trading in Europe. Justin worked as a senior trader at MKM Longboat LLP between June and November 2008, though he returned to UBS after the fund wound down. Justin has a BSc in Economics from the London School of Economics and Political Science.
| ||||||
Tom Kreuzer (a) Co-Head of Long Only Strategies Senior Portfolio Manager Tom Kreuzer is responsible for portfolio management of the RBC BlueBay Diversified Credit Fund and the RBC BlueBay Global High Yield Bond Fund. Tom joined BlueBay in July 2002 and is a Portfolio Manager and Head of North American High Yield Credit based in the Stamford, Connecticut, office. Prior to BlueBay, Tom spent three years at Deutsche Bank within the Leveraged Finance and Financial Sponsor Group, in New York and London, where he was an analyst prior to being promoted to Associate in 2002. Tom holds a BA (cum laude) from Middlebury College, USA.
(a) Effective October 5, 2016, Anthony Robertson no longer serves as a portfolio manager of the Diversified Credit Fund, and Justin Jewell and Thomas Kreuzer each assume the role of a portfolio manager of the Fund.
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6 |
PERFORMANCE SUMMARY (UNAUDITED)
|
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, 2016 | |||||||||||||||||||||||||
RBC BlueBay Emerging Market Select Bond Fund | |||||||||||||||||||||||||
Class A | |||||||||||||||||||||||||
- Including Maximum Sales Charge of 4.25% | 8.32% | N/A | -0.33% | ||||||||||||||||||||||
- At Net Asset Value | 13.08% | N/A | 1.22% | 1.15% | 4.54% | ||||||||||||||||||||
Class I | |||||||||||||||||||||||||
- At Net Asset Value | 13.43% | 1.21% | 2.04% | 0.90% | 1.79% | ||||||||||||||||||||
50% JPMorgan EMBI Global Diversified/50% JPMorgan GBI-EM Broad Diversified Index(b) | 15.39% | 3.69% | 4.04% | ||||||||||||||||||||||
JPMorgan EMBI Global Diversified Index (b) | 16.20% | 8.19% | 7.27% | ||||||||||||||||||||||
JPMorgan GBI-EM Broad Diversified Index (b) | 14.42% | -0.73% | 0.82% | ||||||||||||||||||||||
RBC BlueBay Emerging Market Corporate Bond Fund | |||||||||||||||||||||||||
Class A | |||||||||||||||||||||||||
- Including Maximum Sales Charge of 4.25% | 6.24% | N/A | 2.88% | ||||||||||||||||||||||
- At Net Asset Value | 10.92% | N/A | 4.45% | 0.83% | 35.56% | ||||||||||||||||||||
Class I | |||||||||||||||||||||||||
- At Net Asset Value | 11.27% | 4.97% | 5.27% | 0.58% | 2.04% | ||||||||||||||||||||
JPMorgan CEMBI Diversified(b) | 12.53% | 6.89% | 7.07% | ||||||||||||||||||||||
RBC BlueBay Global High Yield Bond Fund | |||||||||||||||||||||||||
Class A | |||||||||||||||||||||||||
- Including Maximum Sales Charge of 4.25% | 2.27% | N/A | 2.40% | ||||||||||||||||||||||
- At Net Asset Value | 6.86% | N/A | 3.97% | 0.70% | 2.25% | ||||||||||||||||||||
Class I | |||||||||||||||||||||||||
- At Net Asset Value | 7.14% | 4.87% | 6.85% | 0.45% | 1.50% | ||||||||||||||||||||
BofA Merrill Lynch Global High Yield Constrained Index USD hedged(b) | 13.51% | 5.88% | 8.72% | ||||||||||||||||||||||
RBC BlueBay Global Convertible Bond Fund | |||||||||||||||||||||||||
Class I | |||||||||||||||||||||||||
- At Net Asset Value | 3.34% | 3.81% | 7.01% | 0.85% | 1.96% | ||||||||||||||||||||
Thomson Reuters Convertible Global Focus USD Hedged Index(b) | 3.42% | 3.90% | 6.84% |
7 |
PERFORMANCE SUMMARY (UNAUDITED)
|
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, 2016 | |||||||||||||||||||||||||
RBC BlueBay Absolute Return Fund | |||||||||||||||||||||||||
Class A | |||||||||||||||||||||||||
- Including Maximum Sales Charge of 4.25% | -5.04% | N/A | -1.96% | ||||||||||||||||||||||
- At Net Asset Value | -0.87% | N/A | -0.43% | 1.20% | 1.25% | ||||||||||||||||||||
Class C | |||||||||||||||||||||||||
- At Net Asset Value | -1.61% | N/A | -2.79% | 1.95% | 2.46% | ||||||||||||||||||||
Class I | |||||||||||||||||||||||||
- At Net Asset Value | -0.76% | 0.23% | 0.78% | 0.95% | 1.01% | ||||||||||||||||||||
3-Month USD London Interbank Offering Rate (LIBOR) Index(b) | 0.62% | 0.38% | 0.35% | ||||||||||||||||||||||
RBC BlueBay Emerging Market Unconstrained Fixed Income Fund | |||||||||||||||||||||||||
Class I | |||||||||||||||||||||||||
- At Net Asset Value | 11.54% | N/A | 2.33% | 1.25% | 2.59% | ||||||||||||||||||||
3-Month USD LIBOR Index(b) | 0.62% | N/A | 0.47% | ||||||||||||||||||||||
RBC BlueBay Diversified Credit Fund (formerly RBC BlueBay Total Return Credit Fund) | |||||||||||||||||||||||||
Class I | |||||||||||||||||||||||||
- At Net Asset Value | 7.56% | N/A | 2.33% | 1.00% | 1.29% | ||||||||||||||||||||
3-Month USD LIBOR Index(b) | 0.62% | N/A | 0.47% |
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.
(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 RBC BlueBay Emerging Market Corporate Bond Fund and RBC BlueBay Global High Yield Bond Fund).
(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 RBC BlueBay Absolute Return Fund, which is June 24, 2014 for Class C shares and November 30, 2012 for Class I shares, and RBC BlueBay Emerging Market Unconstrained Fixed Income Fund and RBC BlueBay Diversified Credit Fund, which is December 9, 2014 for Class I shares.
(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.
8 |
PERFORMANCE SUMMARY (UNAUDITED)
|
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’ 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 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 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.
9 |
10 |
MANAGEMENT DISCUSSION AND ANALYSIS (UNAUDITED)
|
| |||||||||||||||||||
RBC BlueBay Emerging Market Select Bond Fund
| ||||||||||||||||||||
Current income and capital appreciation.
|
| Investment Objective | ||||||||||||||||||
50% JPMorgan EMBI Global Diversified/50% JPMorgan GBI-EM Broad Diversified Index
|
| Benchmark | ||||||||||||||||||
*Includes U.S. dollar denominated cash equivalent investments representing 5.38% of investments.
|
| Asset Allocation (as of 9/30/16) (% of fund’s investments) & Top Three Industries (as of 9/30/16) (% of fund’s net assets) | ||||||||||||||||||
Mexican Bonos, 10.00%, | 3.39 | % |
Brazil Notas do Tesouro Nacional, Series F, | 1.86 | % | Top Ten Holdings (excluding investment companies) (as of 9/30/16) (% of fund’s net assets) | ||||||||||||||
Malaysia Government Bond, 3.96%, | 2.40 | % | Poland Government Bond, 2.50%, | 1.82 | % | |||||||||||||||
Turkey Government Bond, 8.00%, | 2.10 | % | Malaysia Government Investment Issue, | 1.70 | % | |||||||||||||||
Mexico Government International Bond, 4.35%, | 2.08 | % | South Africa Government Bond, 7.00%, | 1.63 | % | |||||||||||||||
Ecuador Government International Bond, 7.95%, | 1.87 | % | Petrobras Global Finance BV, 8.38%, | 1.54 | % | |||||||||||||||
A listing of all portfolio holdings can be found beginning on page 24.
|
| |||||||||||||||||||
Growth of $1,000,000 Initial Investment Since Inception (11/30/11) | ||||||||||||||||||||
The graph reflects an initial investment of $1,000,000 over the period from November 30, 2011 (commencement of operations) to September 30, 2016 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. | ||||||||||||||||||||
11 |
MANAGEMENT DISCUSSION AND ANALYSIS (UNAUDITED)
| ||||||
| ||||||
Investment Objective | Seeks to achieve a high level of total return consisting of income and capital appreciation by investing predominantly in fixed income securities issued by companies and financial institutions based in emerging markets. The Fund seeks to generate excess returns via superior country, sector and security selection based upon high-quality, proprietary research. The portfolio duration is controlled within a narrow band relative to the benchmark. | |||||
Performance | For the twelve-month period ended September 30, 2016, the Fund had an annualized total return of 11.27% (Class I). That compares to an annualized total return of 12.53% for the JP Morgan Corporate Emerging Market Bond Index (CEMBI) Diversified, the Fund’s primary benchmark. | |||||
Factors That Made Positive Contributions |
● A positive contributor to relative returns was an overweight position in credit beta; the market rallied strongly in what was generally a ‘risk on’ environment for credit, boosted by investors’ ongoing hunt for yield.
● An overweight position in oil & gas credits which performed well on the back of a rebound in the oil price over the period added to relative performance; these included Brazilian quasi-sovereign Petrobras.
● An overweight holding in Brazil aided relative returns; Brazilian credits benefited from improved sentiment following the impeachment of President Rousseff and hopes the new government would implement market-friendly policies. | |||||
Factors That Detracted From Relative Returns |
● An underweight holding, relative to the benchmark, in metals & mining corporates detracted from relative performance; these credits rebounded following the recovery in commodity prices over the period. This included a lack of exposure to copper producer First Quantum in Zambia, which benefited from higher copper prices.
● Detracting from relative returns was an allocation to Ukrainian credits which were impacted by the ongoing conflict with Russia.
● Defensive positioning (including elevated cash balances and U.S. Treasury duration hedges) had a negative impact on performance. | |||||
Mutual fund investing involves risk. Principal loss is possible. Investments in debt securities typically decrease in value when interest rates rise. This risk is usually greater for longer-term debt securities. Investment by the Fund in lower-rated and non-rated securities presents a greater risk of loss to principal and interest than higher-rated securities. The Fund invests in foreign securities which involve greater volatility and political, economic and currency risks and differences in accounting methods. These risks can be greater in emerging markets. The Fund invests in smaller companies, which involve additional risks such as limited liquidity and greater volatility. The funds may invest in derivatives which involve special risks including correlation, counterparty, liquidity, operational, accounting and tax risks. These risks, in certain cases, may be greater than the risks presented by more traditional investments.
Duration is a commonly used measure of the potential volatility of the price of a debt security, or the aggregate market value of a portfolio of debt securities, prior to maturity. Securities with a longer duration generally have more volatile prices than securities of comparable quality with a shorter duration.
Beta measures the sensitivity of rates of return on a fund to general market movements. | ||||||
12 |
MANAGEMENT DISCUSSION AND ANALYSIS (UNAUDITED)
|
| |||||||||||||||||||
RBC BlueBay Emerging Market Corporate Bond Fund
| ||||||||||||||||||||
Current income and capital appreciation.
|
| Investment Objective | ||||||||||||||||||
JPMorgan CEMBI Diversified Index
|
| Benchmark | ||||||||||||||||||
*Includes U.S. dollar denominated cash equivalent investments representing 5.66% of investments.
|
| Asset Allocation (as of 9/30/16) (% of fund’s investments) & Top Five Industries (as of 9/30/16) (% of fund’s net assets) | ||||||||||||||||||
Petrobas Global Finance BV, 4.38%, |
|
2.03 |
% |
Cosan Luxembourg SA, 7.00%, |
|
1.34 |
% | Top Ten Holdings (excluding investment companies) (as of 9/30/16) (% of fund’s net assets) | ||||||||||||
Vnesheconombank Via VEB Finance Plc, 6.90%, | 2.16 | % | YPF SA, 8.88%, | 1.30 | % | |||||||||||||||
Turkiye Garanti Bankasi AS, 6.25%, | 1.56 | % | Industrial & Commercial Bank of China Ltd., | 1.27 | % | |||||||||||||||
BBVA Bancomer SA, 6.75%, | 1.38 | % | China Overseas Finance Caymen VI Ltd., | 1.23 | % | |||||||||||||||
Isreal Electric Corp. Ltd., 5.00%, | 1.35 | % | MMC Norilsk Nickel OJSC Via MMC | 1.12 | % | |||||||||||||||
*A listing of all portfolio holdings can be found beginning on page 35.
|
| |||||||||||||||||||
Growth of $1,000,000 Initial Investment Since Inception (11/30/11) | ||||||||||||||||||||
The graph reflects an initial investment of $1,000,000 over the period from November 30, 2011 (commencement of operations) to September 30, 2016 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 |
MANAGEMENT DISCUSSION AND ANALYSIS (UNAUDITED)
| ||||||
| ||||||
Investment Objective | Seeks to achieve a high level of total return consisting of income and capital appreciation by investing predominantly in fixed income securities issued by sub-investment grade companies globally with at least 50% in U.S.-domiciled entities. The Fund seeks to generate excess returns via superior sector and security selection based upon high-quality, proprietary research. Portfolio duration is controlled with a narrow band relative to the benchmark. | |||||
Performance | For the twelve-month period ended September 30, 2016, the Fund had an annualized total return of 7.14% (Class I). That compares to an annualized total return of 13.51% for the Merrill Lynch Global High Yield Constrained Index, the Fund’s primary benchmark. | |||||
Factors That Made Positive Contributions |
● Relative to the benchmark, the Fund held an overweight position in the media and health care sectors, which positively impacted performance.
● The Fund was relatively overweight in B rating holdings during the early part of the period, which helped relative performance. | |||||
Factors That Detracted From Relative Returns |
● An underweight position in resource sectors – specifically energy and basic industry – during the second half of the period detracted from relative returns.
● The Fund was underweight in duration-sensitive BB rated securities compared to the benchmark, which negatively impacted relative performance.
● Underweight holdings in emerging market domiciled issuers also detracted from relative performance. | |||||
Mutual fund investing involves risk. Principal loss is possible. Investments in debt securities typically decrease in value when interest rates rise. This risk is usually greater for longer-term debt securities. Investment by the Fund in lower-rated and non-rated securities presents a greater risk of loss to principal and interest than higher-rated securities. The Fund invests in foreign securities which involve greater volatility and political, economic and currency risks and differences in accounting methods. These risks can be greater in emerging markets. The funds may invest in derivatives which involve special risks including correlation, counterparty, liquidity, operational, accounting and tax risks. These risks, in certain cases, may be greater than the risks presented by more traditional investments.
Credit Quality: reflects the Standard & Poor’s (S&P) credit rating assigned to the individual holdings of the Fund. If a security is not rated by S&P, then the Moody’s rating is used. Ratings are subject to change and generally expressed as a scale from AAA to D, where higher-rated bonds are in the A’s and lower-rated in the C’s. Any bond rated BBB or higher is considered investment grade debt. The credit quality of the investments in the portfolio does not apply to the stability or safety of the Fund or its shares.
Duration is a commonly used measure of the potential volatility of the price of a debt security, or the aggregate market value of a portfolio of debt securities, prior to maturity. Securities with a longer duration generally have more volatile prices than securities of comparable quality with a shorter duration. | ||||||
14 |
MANAGEMENT DISCUSSION AND ANALYSIS (UNAUDITED)
|
| |||||||||||||||||||
RBC BlueBay Global High Yield Bond Fund
| ||||||||||||||||||||
Current income and capital appreciation.
|
| Investment Objective | ||||||||||||||||||
BofA Merrill Lynch Global High Yield Constrained Index
|
| Benchmark | ||||||||||||||||||
*Includes U.S. dollar denominated cash equivalent investments representing 1.68% of investments.
|
| Asset Allocation (as of 9/30/16) (% of fund’s investments) & Top Five Industries (as of 9/30/16) (% of fund’s net assets) | ||||||||||||||||||
HD Supply, Inc., |
|
1.98 |
% |
Great Canadian Gaming Corp., |
|
1.28 |
% | Top Ten Holdings (excluding investment companies) (as of 9/30/16) (% of fund’s net assets) | ||||||||||||
Serta Simmons Bedding LLC, | 1.60 | % | Albea Beauty Holdings SA, | 1.28 | % | |||||||||||||||
Wind Acquisition Finance SA, | 1.52 | % | SFR Group SA, | 1.25 | % | |||||||||||||||
Zayo Group LLC/Zayo Capital, Inc., | 1.32 | % | Momentive Performance Materials, Inc., | 1.23 | % | |||||||||||||||
Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH, | 1.31 | % | Societe Generale SA, | 1.19 | % | |||||||||||||||
A listing of all portfolio holdings can be found beginning on page 44.
|
| |||||||||||||||||||
Growth of $1,000,000 Initial Investment Since Inception (11/30/11) | ||||||||||||||||||||
The graph reflects an initial investment of $1,000,000 over the period from November 30, 2011 (commencement of operations) to September 30, 2016 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 |
MANAGEMENT DISCUSSION AND ANALYSIS (UNAUDITED)
| ||||||
| ||||||
Investment Objective | Seeks to achieve a high level of total return consisting of income and capital appreciation by investing predominantly in global convertible bonds. The Fund seeks to generate excess returns via superior credit and issue selection based on high-quality, proprietary research. Portfolio equity, credit and duration exposure is controlled within bands relative to the benchmark. | |||||
Performance | For the twelve-month period ended September 30, 2016, the Fund had an annualized total return of 3.34%. That compares to an annualized total return of 3.42% for the Fund’s benchmark, the Thomson Reuters Convertible Global Focus USD Hedged Index. | |||||
Factors That Contributed To Fund Returns |
● Exposure to the biotechnology sector generated strong performance through its positions in names such as TESARO, Inc.
● The Fund reallocated capital to the oil & gas sector in the second quarter of 2016 in names with strong balance sheets and a stable investor base.
● The electronics and semiconductor sector has benefitted from better capital discipline in this cycle; this has resulted in strong returns from names such as Microchip Tech, NXP Semiconductor NV and Intel Corp. | |||||
Factors That Detracted From Relative Returns |
● Although the U.S. equity market performed well, global equity performance has been poor as the result of lower growth expectations and relative currency strength.
● Convertible bonds have lagged in the sharp recovery in high yield but current valuations appear to us attractive.
● Convertibles are generally shorter duration instruments; the best performance in 2016 was generated by longer bonds as global interest rates remained low, with short maturity bonds generating only mediocre returns. | |||||
Mutual fund investing involves risk. Principal loss is possible. Investments in debt securities typically decrease in value when interest rates rise. This risk is usually greater for longer-term debt securities. Investment by the Fund in lower-rated and non-rated securities presents a greater risk of loss to principal and interest than higher-rated securities. The Fund invests in foreign securities which involve greater volatility and political, economic and currency risks and differences in accounting methods. These risks can be greater in emerging markets. The Fund invests in smaller companies, which involve additional risks such as limited liquidity and greater volatility. The funds may invest in derivatives which involve special risks including correlation, counterparty, liquidity, operational, accounting and tax risks. These risks, in certain cases, may be greater than the risks presented by more traditional investments. | ||||||
16 |
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 2.61% of investments.
|
| Asset Allocation (as of 9/30/16) (% of fund’s investments) & Top Five Industries (as of 9/30/16) (% of fund’s net assets) | ||||||||||||||||||
Dish Network Corp., 3.38%, |
|
3.23 |
% |
Shenzhou International Group Holdings Ltd., 0.50%, |
|
2.27 |
% | Top Ten Holdings (excluding investment companies) (as of 9/30/16) (% of fund’s net assets) | ||||||||||||
Salesforce.com, Inc., 0.25%, | 2.71 | % | Citrix Systems, Inc., 0.50%, | 2.20 | % | |||||||||||||||
Kawasaki Kisen Kaisha Ltd., 1.40%, | 2.45 | % | Ctrip.com International Ltd., 1.25%, | 2.13 | % | |||||||||||||||
Cahaya Capital Ltd., 0.26%, | 2.36 | % | Yahoo!, Inc., 0.35%, | 2.07 | % | |||||||||||||||
United Microelectronics Corp., 1.37%, | 2.29 | % | Steinhoff Finance Holding GmbH, 4.00%, | 1.97 | % | |||||||||||||||
A listing of all portfolio holdings can be found beginning on page 52.
|
| |||||||||||||||||||
Growth of $1,000,000 Initial Investment Since Inception (11/30/11) | ||||||||||||||||||||
The graph reflects an initial investment of $1,000,000 over the period from November 30, 2011 (commencement of operations) to September 30, 2016 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 |
MANAGEMENT DISCUSSION AND ANALYSIS (UNAUDITED)
| ||||||
| ||||||
Investment Objective | Seeks to achieve a positive total return by investing predominantly in a portfolio of fixed income securities and/or investments that provide exposure to fixed income securities that are investment grade (medium and high quality), and are considered by the Fund to have the potential to achieve a positive total return. | |||||
Performance | For the twelve-month period ended September 30, 2016, the Fund had an annualized total return of -0.76% (Class I). That compares to an annualized total return of 0.62% for the 3-Month USD LIBOR Index, the Fund’s primary benchmark. | |||||
Factors That Made Positive Contributions |
● The Fund had a long European duration through much of the first half of 2016, which helped boost relative returns.
● A long position in sovereign issuers from peripheral Europe, Central and Eastern Europe and emerging markets attributed to relative Fund performance.
● A short holding in the Sterling currency aided returns. | |||||
Factors That Detracted From Relative Returns |
● A short position in corporate credit beta from the middle of the first quarter in 2016 to the end of the period detracted from relative Fund returns.
● The Fund was long subordinated bank cash bonds, particularly in the first quarter of 2016, which had a negative effect on relative performance.
● Sovereign credit shorts in Korea and Russia detracted from relative performance. | |||||
Mutual fund investing involves risk. Principal loss is possible. Investments in debt securities typically decrease in value when interest rates rise. This risk is usually greater for longer-term debt securities. Investment by the Fund in lower-rated and non-rated securities presents a greater risk of loss to principal and interest than higher-rated securities. Investments in foreign securities involve greater volatility and political, economic and currency risks and differences in accounting methods. These risks are greater for emerging markets. The Fund may use certain types of investment derivatives such as futures, forwards and swaps. Derivatives involve risks different from, and in certain cases, greater than the risk presented by more traditional investments. The Fund is non-diversified and may be more volatile than diversified funds that hold a greater number of securities.
Duration is a commonly used measure of the potential volatility of the price of a debt security, or the aggregate market value of a portfolio of debt securities, prior to maturity. Securities with a longer duration generally have more volatile prices than securities of comparable quality with a shorter duration.
Beta measures the sensitivity of rates of return on a fund to general market movements. | ||||||
18 |
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 16.00% of investments.
|
| Asset Allocation (as of 9/30/16) (% of fund’s investments) & Top Five Industries (as of 9/30/16) (% of fund’s net assets) | ||||||||||||||||||
Cyprus Government International Bond, |
|
7.21 |
% |
Slovenia Government International |
|
3.47 |
% | Top Ten Holdings (excluding investment companies) (as of 9/30/16) (% of fund’s net assets) | ||||||||||||
Lithuania Government International | 3.82 | % | Autonomous Community of Catalonia, | 3.35 | % | |||||||||||||||
Slovenia Government International | 3.81 | % | Portugal Obrigacoes do Tesouro OT, | 3.07 | % | |||||||||||||||
Iceland Government International Bond, | 3.79 | % | Slovenia Government International | 2.33 | % | |||||||||||||||
Cyprus Government International Bond, | 3.56 | % | UBS AG, 4.75%, 5/22/23 | 2.22 | % | |||||||||||||||
A listing of all portfolio holdings can be found beginning on page 59.
|
| |||||||||||||||||||
Growth of $1,000,000 Initial Investment Since Inception (11/30/12) | ||||||||||||||||||||
The graph reflects an initial investment of $1,000,000 over the period from November 30, 2012 (commencement of operations) to September 30, 2016 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 Objective | Seeks to achieve a total return consistent with preservation of capital by investing predominantly in fixed income securities of any rating, loans, unrated debt securities issued by emerging market issuers or non-emerging market issuers with substantial exposure to emerging markets. | |||||
Performance | For the twelve-month period ended September 30, 2016, the Fund had an annualized total return of 11.54% (Class I). That compares to an annualized total return of 0.62% for the 3-Month USD LIBOR Index, the Fund’s primary benchmark. | |||||
Factors That Made Positive Contributions |
● Long positioning in the high-yielding, hard currency sovereign credit space, including Argentina and the Dominican Republic added to relative performance. These countries benefitted from the ongoing search for yield, while the sharp improvement in the political situation in Argentina also significantly boosted asset prices, as the country successfully returned to capital markets after a 15-year hiatus.
● Adding to relative returns was long positions in hard currency quasi-sovereign oil and gas producers such as Petrobras, which benefitted from the more stable oil price as well as the country’s improving political backdrop.
● Holdings of Indonesian local currency sovereign bonds had a positive impact on performance; the Fund favors this country based on the positive reform momentum and attractive real rates against a backdrop of falling inflation levels, allowing the government to cut rates in an effort to boost growth. | |||||
Factors That Detracted From Relative Returns |
● Long positioning in the Mexican peso was a drag on relative performance; the currency has been impacted by concerns surrounding the outcome of the U.S. election amid fears of a Trump victory.
● Additional performance detractors over the period included the Fund’s credit default swap positions in Colombia and Turkey, and the long hard currency sovereign credit positioning in Ukraine. | |||||
Mutual fund investing involves risk. Principal loss is possible. Investments in debt securities typically decrease in value when interest rates rise. This risk is usually greater for longer-term debt securities. Investment by the Fund in lower-rated and non-rated securities presents a greater risk of loss to principal and interest than higher-rated securities. The Fund invests in foreign securities which involve greater volatility and political, economic and currency risks and differences in accounting methods. These risks can be greater in emerging markets. The Fund invests in smaller companies, which involve additional risks such as limited liquidity and greater volatility. The Fund is non-diversified, meaning it may concentrate its assets in fewer individual holdings than a diversified fund. Therefore, the Fund is more exposed to individual stock volatility than a diversified fund. The funds may invest in derivatives which involve special risks including correlation, counterparty, liquidity, operational, accounting and tax risks. These risks, in certain cases, may be greater than the risks presented by more traditional investments. | ||||||
20 |
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 4.52% of investments.
|
| Asset Allocation (as of 9/30/16) (% of fund’s investments) & Top Five Industries (as of 9/30/16) (% of fund’s net assets) | ||||||||||||||||||
Provincia del Chaco Argentina, 9.38%, |
|
5.76 |
% |
Ecuador Government International |
|
4.47 |
% | Top Ten Holdings (excluding investment companies) (as of 9/30/16) (% of fund’s net assets) | ||||||||||||
Turkey Government Bond, 8.00%, | 5.12 | % | Argentine Republic Government | 3.99 | % | |||||||||||||||
Letras del Banco Central de la Republica | 5.09 | % | Peruvian Government International | 3.68 | % | |||||||||||||||
Serbia International Bond, 5.88%, | 4.74 | % | Bulgaria Government International | 3.66 | % | |||||||||||||||
Mexico Government International Bond, | 4.48 | % | Indonesia Government International | 3.62 | % | |||||||||||||||
*A listing of all portfolio holdings can be found beginning on page 70.
|
| |||||||||||||||||||
Growth of $1,000,000 Initial Investment Since Inception (12/9/14) | ||||||||||||||||||||
The graph reflects an initial investment of $1,000,000 over the period from December 9, 2014 (commencement of operations) to September 30, 2016 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 |
MANAGEMENT DISCUSSION AND ANALYSIS (UNAUDITED)
| ||||||
| ||||||
Investment Objective | Seeks to achieve a high level of total return consisting of income and capital appreciation by primarily investing in credit related instruments issued by U.S. and non-U.S. public- or private-sector entities, derivatives and cash equivalents. | |||||
Performance | For the twelve-month period ended September 30, 2016, the Fund had an annualized total return of 7.56%. That compares to an annualized total return of 0.62% for the 3-Month USD LIBOR Index, the Fund’s primary benchmark. | |||||
Factors That Made Positive Contributions |
● Allocation to high yield positively impacted relative performance. On a sector basis exposure to energy, media and telecommunications were the top contributors.
● Allocation to emerging market hard currency with top contributors including Venezuela, Brazil, Argentina and Indonesia also helped boost performance.
● The Fund’s allocation to loans attributed to relative outperformance, with telecommunications and services names being the top contributor to performance. The allocation to loans was reduced to zero in August.
● Allocation to Brazilian and Mexican emerging market local currency through direct investments in bonds denominated in those currencies, as well as Brazilian currency directly, contributed to relative returns. | |||||
Factors That Detracted From Relative Returns |
● Allocation to convertible bonds: the allocation was reduced to zero in April. Over the invested period the allocation detracted from performance as convertible bonds lagged the rally in the equity market during the first quarter of 2016.
● Macro hedge positions detracted slightly over the period. The synthetic credit positions during Q1 detracted as spreads widened. The short Chinese renminbi position was relatively flat over the period. | |||||
Mutual fund investing involves risk. Principal loss is possible. Investments in debt securities typically decrease in value when interest rates rise. This risk is usually greater for longer-term debt securities. Investment by the Fund in lower-rated and non-rated securities presents a greater risk of loss to principal and interest than higher-rated securities. The Fund invests in foreign securities which involve greater volatility and political, economic and currency risks and differences in accounting methods. These risks can be greater in emerging markets. The Fund invests in smaller companies, which involve additional risks such as limited liquidity and greater volatility. The funds may invest in derivatives which involve special risks including correlation, counterparty, liquidity, operational, accounting and tax risks. These risks, in certain cases, may be greater than the risks presented by more traditional investments. | ||||||
22 |
MANAGEMENT DISCUSSION AND ANALYSIS (UNAUDITED)
|
| |||||||||||||||||||
RBC BlueBay Diversified Credit Fund
| ||||||||||||||||||||
Current income and capital appreciation.
|
| Investment Objective | ||||||||||||||||||
3-Month USD LIBOR Index
|
| Benchmark | ||||||||||||||||||
*Includes U.S. dollar denominated cash equivalent investments representing 3.91% of investments.
|
| Asset Allocation (as of 9/30/16) (% of fund’s investments) & Top Five Industries (as of 9/30/16) (% of fund’s net assets) | ||||||||||||||||||
South Africa Government Bond, |
|
2.79 |
% |
Brazil Notas do Tesouro Nacional, |
|
1.74 |
% | Top Ten Holdings (excluding investment companies) (as of 9/30/16) (% of fund’s net assets) | ||||||||||||
Jamaica Government International Bond, | 1.98 | % | Mexican Bonos, | 1.74 | % | |||||||||||||||
Indonesia Treasury Bond, | 1.91 | % | Provincia del Chubut Argentina, | 1.73 | % | |||||||||||||||
Ukraine Government International Bond, | 1.82 | % | Mexico Government International Bond, | 1.42 | % | |||||||||||||||
Armenia International Bond, | 0.79 | % | Romanian Government International | 1.39 | % | |||||||||||||||
*A listing of all portfolio holdings can be found beginning on page 75.
|
| |||||||||||||||||||
Growth of $1,000,000 Initial Investment Since Inception (12/9/14) | ||||||||||||||||||||
The graph reflects an initial investment of $1,000,000 over the period from December 9, 2014 (commencement of operations) to September 30, 2016 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 |
SCHEDULE OF PORTFOLIO INVESTMENTS
|
RBC BlueBay Emerging Market Select Bond Fund
September 30, 2016
Principal Amount | Value | |||||
Corporate Bonds — 7.44% |
| |||||
Argentina — 0.17% |
| |||||
$ 15,000 | YPF SA, 8.75%, 4/4/24 | $ | 16,608 | |||
15,000 | YPF SA, 8.88%, 12/19/18 | 16,613 | ||||
|
| |||||
33,221 | ||||||
|
| |||||
Brazil — 1.79% |
| |||||
270,000 | Petrobras Global Finance BV, 8.38%, 5/23/21 | 294,753 | ||||
44,000 | Petrobras Global Finance BV, 8.75%, 5/23/26 | 48,620 | ||||
|
| |||||
343,373 | ||||||
|
| |||||
Kazakhstan — 1.15% |
| |||||
200,000 | KazMunayGas National Co. JSC, 6.38%, 4/9/21 | 220,199 | ||||
Mexico — 1.13% |
| |||||
60,000 | Petroleos Mexicanos, 4.63%, 9/21/23(a) | 60,294 | ||||
60,000 | Petroleos Mexicanos, 6.75%, 9/21/47(a) | 59,311 | ||||
85,000 | Petroleos Mexicanos, 6.88%, 8/4/26 | 95,833 | ||||
|
| |||||
215,438 | ||||||
|
| |||||
United States — 1.98% |
| |||||
3,017,000,000(b) | JPMorgan Chase Bank NA, 8.38%, 3/17/34(a) | 251,629 | ||||
1,473,000,000(b) | JPMorgan Chase Bank NA, 8.75%, 5/19/31(a) | 128,255 | ||||
|
| |||||
379,884 | ||||||
|
| |||||
Venezuela — 1.22% |
| |||||
317,617 | Petroleos de Venezuela SA, 6.00%, 5/16/24 | 135,750 | ||||
90,506 | Petroleos de Venezuela SA, 6.00%, 11/15/26 | 37,637 | ||||
108,779 | Petroleos de Venezuela SA, 9.00%, 11/17/21 | 60,925 | ||||
|
| |||||
234,312 | ||||||
|
| |||||
Total Corporate Bonds | 1,426,427 | |||||
|
| |||||
(Cost $1,253,086) |
24 |
SCHEDULE OF PORTFOLIO INVESTMENTS
|
RBC BlueBay Emerging Market Select Bond Fund (cont.)
September 30, 2016
Principal Amount | Value | |||||
Foreign Government Bonds — 78.19% |
| |||||
Argentina — 3.73% |
| |||||
$ 708,130 | Argentine Republic Government International Bond, 3.00%, 12/15/35(c) | $ | 74,708 | |||
170,000(d) | Argentine Republic Government International Bond, 3.00%, 12/15/35(c) | 19,785 | ||||
150,000 | Argentine Republic Government International Bond, 6.88%, 4/22/21 | 163,103 | ||||
121,234 | Argentine Republic Government International Bond, 8.75%, 6/2/17(e) | 126,083 | ||||
150,000 | Provincia de Cordoba, 7.13%, 6/10/21 | 157,206 | ||||
170,000 | Provincia del Chubut Argentina, 7.75%, 7/26/26 | 174,250 | ||||
|
| |||||
715,135 | ||||||
|
| |||||
Brazil — 6.13% |
| |||||
209,000(f) | Brazil Notas do Tesouro Nacional, Series F, 10.00%, 1/1/19 | 63,992 | ||||
1,187,000(f) | Brazil Notas do Tesouro Nacional, Series F, 10.00%, 1/1/21 | 357,051 | ||||
696,000(f) | Brazil Notas do Tesouro Nacional, Series F, 10.00%, 1/1/25 | 202,868 | ||||
125,000 | Brazilian Government International Bond, 5.63%, 1/7/41 | 124,078 | ||||
200,000 | Brazilian Government International Bond, 5.63%, 2/21/47 | 197,480 | ||||
30,000 | Brazilian Government International Bond, 8.25%, 1/20/34 | 38,529 | ||||
130,000 | Brazilian Government International Bond, 10.13%, 5/15/27 | 192,125 | ||||
|
| |||||
1,176,123 | ||||||
|
| |||||
Colombia — 1.25% |
| |||||
100,000 | Colombia Government International Bond, 6.13%, 1/18/41 | 121,121 | ||||
333,500,000(f) | Colombian TES, 7.00%, 5/4/22 | 117,484 | ||||
|
| |||||
238,605 | ||||||
|
| |||||
Costa Rica — 1.01% |
| |||||
200,000 | Costa Rica Government International Bond, 4.38%, 4/30/25 | 193,794 | ||||
Cote D’Ivoire (Ivory Coast) — 1.14% |
| |||||
222,750 | Ivory Coast Government International Bond, 5.75%, 12/31/32(g) | 219,101 | ||||
Croatia (Hrvatska) — 2.10% |
| |||||
205,000 | Croatia Government International Bond, 6.00%, 1/26/24 | 235,527 | ||||
150,000 | Croatia Government International Bond, 6.63%, 7/14/20 | 167,870 | ||||
|
| |||||
403,397 | ||||||
|
| |||||
Dominican Republic — 2.76% |
| |||||
145,000 | Dominican Republic International Bond, 5.50%, 1/27/25 | 153,576 | ||||
200,000 | Dominican Republic International Bond, 6.85%, 1/27/45 | 224,280 | ||||
130,000 | Dominican Republic International Bond, 6.88%, 1/29/26 | 150,432 | ||||
|
| |||||
528,288 | ||||||
|
|
25 |
SCHEDULE OF PORTFOLIO INVESTMENTS
|
RBC BlueBay Emerging Market Select Bond Fund (cont.)
September 30, 2016
Principal Amount | Value | |||||
Ecuador — 2.93% |
| |||||
$ 400,000 | Ecuador Government International Bond, 7.95%, 6/20/24 | $ | 358,480 | |||
200,000 | Ecuador Government International Bond, 10.75%, 3/28/22 | 204,181 | ||||
|
| |||||
562,661 | ||||||
|
| |||||
El Salvador — 0.62% |
| |||||
58,000 | El Salvador Government International Bond, 5.88%, 1/30/25 | 57,820 | ||||
39,000 | El Salvador Government International Bond, 6.38%, 1/18/27 | 39,374 | ||||
20,000 | El Salvador Government International Bond, 7.65%, 6/15/35 | 20,888 | ||||
|
| |||||
118,082 | ||||||
|
| |||||
Ghana — 1.07% |
| |||||
200,000 | Ghana Government International Bond, 9.25%, 9/15/22(a) | 204,726 | ||||
Hungary — 1.78% |
| |||||
37,780,000(f) | Hungary Government Bond, 3.00%, 6/26/24 | 141,546 | ||||
19,290,000(f) | Hungary Government Bond, 5.50%, 6/24/25 | 85,868 | ||||
100,000 | Hungary Government International Bond, 5.38%, 2/21/23 | 114,614 | ||||
|
| |||||
342,028 | ||||||
|
| |||||
Indonesia — 10.19% |
| |||||
100,000(d) | Indonesia Government International Bond, 3.75%, 6/14/28 | 123,021 | ||||
200,000 | Indonesia Government International Bond, 4.75%, 1/8/26 | 223,538 | ||||
110,000 | Indonesia Government International Bond, 6.63%, 2/17/37 | 143,768 | ||||
150,000 | Indonesia Government International Bond, 11.63%, 3/4/19 | 183,865 | ||||
529,000,000(f) | Indonesia Treasury Bond, 8.25%, 5/15/36 | 44,097 | ||||
3,013,000,000(f) | Indonesia Treasury Bond, 8.38%, 9/15/26 | 253,036 | ||||
3,173,000,000(f) | Indonesia Treasury Bond, 8.75%, 5/15/31 | 274,951 | ||||
2,212,000,000(f) | Indonesia Treasury Bond, 11.00%, 9/15/25 | 214,403 | ||||
3,345,000,000(f) | Indonesia Treasury Bond Credit Linked Note, 8.38%, 3/19/24(a) | 277,678 | ||||
200,000 | Perusahaan Penerbit SBSN Indonesia III, 4.55%, 3/29/26 | 216,616 | ||||
|
| |||||
1,954,973 | ||||||
|
| |||||
Jamaica — 2.43% |
| |||||
200,000 | Jamaica Government International Bond, 6.75%, 4/28/28 | 228,787 | ||||
200,000 | Jamaica Government International Bond, 8.00%, 3/15/39 | 237,709 | ||||
|
| |||||
466,496 | ||||||
|
| |||||
Kazakhstan — 1.32% |
| |||||
225,000 | Kazakhstan Government International Bond, 5.13%, 7/21/25 | 253,092 | ||||
Kenya — 1.08% |
| |||||
200,000 | Kenya Government International Bond, 5.88%, 6/24/19 | 206,624 | ||||
Lebanon — 0.48% |
| |||||
95,000 | Lebanon Government International Bond, 6.65%, 11/3/28 | 92,728 |
26 |
SCHEDULE OF PORTFOLIO INVESTMENTS
|
RBC BlueBay Emerging Market Select Bond Fund (cont.)
September 30, 2016
Principal Amount | Value | |||||
Malaysia — 4.70% |
| |||||
1,865,000(f) | Malaysia Government Bond, 3.96%, 9/15/25 | $ | 460,113 | |||
192,000(f) | Malaysia Government Bond, 4.50%, 4/15/30 | 48,926 | ||||
1,303,000(f) | Malaysia Government Investment Issue, 4.19%, 7/15/22 | 325,932 | ||||
268,000(f) | Malaysia Government Investment Issue, 4.25%, 9/30/30 | 66,655 | ||||
|
| |||||
901,626 | ||||||
|
| |||||
Mexico — 9.52% | ||||||
390,000(f) | Mexican Bonos, 5.75%, 3/5/26 | 19,674 | ||||
5,200,000(f) | Mexican Bonos, 6.50%, 6/10/21 | 275,545 | ||||
1,890,000(f) | Mexican Bonos, 7.75%, 5/29/31 | 110,075 | ||||
2,050,000(f) | Mexican Bonos, 7.75%, 11/23/34 | 119,979 | ||||
10,000,000(f) | Mexican Bonos, 10.00%, 12/5/24 | 649,349 | ||||
$ 110,000 | Mexico Government International Bond, 4.00%, 10/2/23 | 117,633 | ||||
405,000 | Mexico Government International Bond, 4.35%, 1/15/47 | 398,148 | ||||
90,000 | Mexico Government International Bond, 4.75%, 3/8/44 | 93,388 | ||||
40,000 | Mexico Government International Bond, 4.75%, 3/8/44 | 41,506 | ||||
|
| |||||
1,825,297 | ||||||
|
| |||||
Peru — 1.14% | ||||||
740,000(f) | Peruvian Government International Bond, 6.35%, 8/12/28(a) | 218,415 | ||||
Poland — 2.39% | ||||||
1,384,000(f) | Poland Government Bond, 2.50%, 7/25/26 | 348,941 | ||||
408,000(f) | Poland Government Bond, 3.25%, 7/25/25 | 109,858 | ||||
|
| |||||
458,799 | ||||||
|
| |||||
Romania — 1.10% | ||||||
240,000(f) | Romania Government Bond, 4.75%, 2/24/25 | 69,001 | ||||
240,000(f) | Romania Government Bond, 5.80%, 7/26/27 | 75,247 | ||||
50,000 | Romanian Government International Bond, 6.13%, 1/22/44 | 67,418 | ||||
|
| |||||
211,666 | ||||||
|
| |||||
Russia — 2.82% | ||||||
16,729,000(f) | Russian Federal Bond - OFZ, 7.00%, 8/16/23 | 251,022 | ||||
3,811,000(f) | Russian Federal Bond - OFZ, 7.60%, 4/14/21 | 59,224 | ||||
200,000 | Russian Foreign Bond - Eurobond, 5.63%, 4/4/42 | 230,880 | ||||
|
| |||||
541,126 | ||||||
|
|
27 |
SCHEDULE OF PORTFOLIO INVESTMENTS
|
RBC BlueBay Emerging Market Select Bond Fund (cont.)
September 30, 2016
Principal Amount | Value | |||||
South Africa — 4.16% |
| |||||
1,652,327(f) | South Africa Government Bond, 6.25%, 3/31/36 | $ | 88,217 | |||
1,888,639(f) | South Africa Government Bond, 6.75%, 3/31/21 | 131,003 | ||||
5,134,521(f) | South Africa Government Bond, 7.00%, 2/28/31 | 312,445 | ||||
2,054,555(f) | South Africa Government Bond, 8.25%, 3/31/32 | 138,400 | ||||
1,568,696(f) | South Africa Government Bond, 10.50%, 12/21/26 | 128,356 | ||||
|
| |||||
798,421 | ||||||
|
| |||||
Sri Lanka — 1.07% | ||||||
$ 200,000 | Sri Lanka Government International Bond, 5.75%, 1/18/22 | 204,524 | ||||
Thailand — 0.29% | ||||||
167,000(f) | Thailand Government Bond, 3.85%, 12/12/25 | 5,515 | ||||
1,374,000(f) | Thailand Government Bond, 4.88%, 6/22/29 | 50,579 | ||||
|
| |||||
56,094 | ||||||
|
| |||||
Turkey — 4.60% | ||||||
1,323,715(f) | Turkey Government Bond, 8.00%, 3/12/25 | 402,992 | ||||
200,000 | Turkey Government International Bond, 4.88%, 4/16/43 | 186,345 | ||||
200,000 | Turkey Government International Bond, 6.75%, 5/30/40 | 233,520 | ||||
50,000 | Turkey Government International Bond, 7.38%, 2/5/25 | 59,128 | ||||
|
| |||||
881,985 | ||||||
|
| |||||
Ukraine — 4.05% | ||||||
444,000 | Ukraine Government International Bond, 3.77%, 5/31/40(h) | 141,629 | ||||
200,000 | Ukraine Government International Bond, 7.75%, 9/1/19 | 197,500 | ||||
200,000 | Ukraine Government International Bond, 7.75%, 9/1/20 | 195,523 | ||||
100,000 | Ukraine Government International Bond, 7.75%, 9/1/23 | 95,966 | ||||
150,000 | Ukreximbank Via Biz Finance Plc, 9.63%, 4/27/22 | 146,758 | ||||
|
| |||||
777,376 | ||||||
|
| |||||
Uruguay — 0.34% | ||||||
62,105 | Uruguay Government International Bond, 5.10%, 6/18/50 | 64,212 |
28 |
SCHEDULE OF PORTFOLIO INVESTMENTS
|
RBC BlueBay Emerging Market Select Bond Fund (cont.)
September 30, 2016
Principal Amount | Value | |||||
Venezuela — 0.88% |
| |||||
$ 80,000 | Venezuela Government International Bond, 7.75%, 10/13/19 | $ | 49,390 | |||
139,700 | Venezuela Government International Bond, 9.00%, 5/7/23 | 70,807 | ||||
75,000 | Venezuela Government International Bond, 12.75%, 8/23/22 | 48,469 | ||||
|
| |||||
168,666 | ||||||
|
| |||||
Vietnam — 1.11% | ||||||
200,000 | Vietnam Government International Bond, 4.80%, 11/19/24 | 211,804 | ||||
|
| |||||
Total Foreign Government Bonds | 14,995,864 | |||||
|
| |||||
(Cost $14,802,533) | ||||||
Shares | ||||||
Investment Company — 4.87% | ||||||
933,862 | JPMorgan 100% US Treasury Securities Money Market Fund, Capital Shares | $ | 933,862 | |||
|
| |||||
Total Investment Company | 933,862 | |||||
|
| |||||
(Cost $933,862) | ||||||
Total Investments | $ | 17,356,153 | ||||
(Cost $16,989,481)(i) — 90.50% | ||||||
Other assets in excess of liabilities — 9.50% | 1,822,950 | |||||
|
| |||||
NET ASSETS — 100.00% | $ | 19,179,103 | ||||
|
|
(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) | Principal amount denoted in Indonesian Rupiah. |
(c) | Variable rate security. The rate reflected in the Schedule of Portfolio Investments is the rate in effect on September 30, 2016. |
(d) | Principal amount denoted in Euros. |
(e) | Issuer filed for bankruptcy and/or is in default of interest payments. |
(f) | Investment in non-U.S. Dollars. Principal amount reflects local currency. |
(g) | 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. |
(h) | Zero Coupon Bond. The rate represents the yield at time of purchase. |
(i) | See Notes to Financial Statements for the tax cost of securities and the breakdown of unrealized appreciation (depreciation). |
29 |
SCHEDULE OF PORTFOLIO INVESTMENTS
|
RBC BlueBay Emerging Market Select Bond Fund (cont.)
September 30, 2016
Foreign currency exchange contracts as of September 30, 2016:
Currency Purchased | Currency Sold | Counterparty | Settlement | Unrealized | ||||||||||||||||
BRL | 369,360 | USD | 110,306 | Citibank, N.A. | 10/4/16 | $ 3,124 | ||||||||||||||
BRL | 292,328 | USD | 87,694 | Citibank, N.A. | 10/4/16 | 2,079 | ||||||||||||||
BRL | 83,153 | USD | 25,323 | Citibank, N.A. | 10/4/16 | 213 | ||||||||||||||
BRL | 71,179 | USD | 21,677 | Citibank, N.A. | 10/4/16 | 182 | ||||||||||||||
BRL | 342,300 | USD | 105,000 | Citibank, N.A. | 10/4/16 | 120 | ||||||||||||||
BRL | 437,816 | USD | 135,337 | Citibank, N.A. | 10/4/16 | (885) | ||||||||||||||
USD | 59,565 | BRL | 194,138 | Citibank, N.A. | 10/4/16 | (55) | ||||||||||||||
USD | 429,501 | BRL | 1,401,997 | Citibank, N.A. | 10/4/16 | (1,050) | ||||||||||||||
USD | 134,211 | BRL | 437,816 | Citibank, N.A. | 11/3/16 | 949 | ||||||||||||||
CLP | 53,236,556 | USD | 80,599 | Citibank, N.A. | 11/16/16 | 28 | ||||||||||||||
CNY | 2,468,073 | USD | 368,369 | Citibank, N.A. | 11/16/16 | 492 | ||||||||||||||
COP | 963,922,148 | USD | 329,040 | Citibank, N.A. | 11/16/16 | 2,335 | ||||||||||||||
COP | 157,737,388 | USD | 54,435 | Citibank, N.A. | 11/16/16 | (209) | ||||||||||||||
COP | 149,208,484 | USD | 51,565 | Citibank, N.A. | 11/16/16 | (271) | ||||||||||||||
COP | 278,400,000 | USD | 96,000 | Citibank, N.A. | 11/16/16 | (292) | ||||||||||||||
EUR | 69,782 | HUF | 21,430,912 | Citibank, N.A. | 11/16/16 | 397 | ||||||||||||||
EUR | 69,723 | HUF | 21,430,912 | Citibank, N.A. | 11/16/16 | 331 | ||||||||||||||
EUR | 69,717 | HUF | 21,430,912 | Citibank, N.A. | 11/16/16 | 325 | ||||||||||||||
EUR | 69,717 | HUF | 21,430,912 | Citibank, N.A. | 11/16/16 | 323 | ||||||||||||||
EUR | 78,146 | HUF | 24,091,366 | Citibank, N.A. | 11/16/16 | 111 | ||||||||||||||
EUR | 69,512 | HUF | 21,430,911 | Citibank, N.A. | 11/16/16 | 93 | ||||||||||||||
HUF | 6,843,895 | USD | 24,916 | Citibank, N.A. | 11/16/16 | 45 | ||||||||||||||
HUF | 1,623,332 | USD | 5,912 | Citibank, N.A. | 11/16/16 | 9 | ||||||||||||||
HUF | 6,599,281 | USD | 24,062 | Citibank, N.A. | 11/16/16 | 7 | ||||||||||||||
HUF | 1,396,881 | USD | 5,088 | Citibank, N.A. | 11/16/16 | 7 | ||||||||||||||
HUF | 6,599,280 | USD | 24,127 | Citibank, N.A. | 11/16/16 | (58) | ||||||||||||||
HUF | 6,599,281 | USD | 24,166 | Citibank, N.A. | 11/16/16 | (97) | ||||||||||||||
HUF | 6,599,281 | USD | 24,177 | Citibank, N.A. | 11/16/16 | (108) | ||||||||||||||
INR | 35,474,649 | USD | 528,517 | Citibank, N.A. | 11/16/16 | 593 | ||||||||||||||
MXN | 4,189,461 | USD | 210,040 | Citibank, N.A. | 11/16/16 | 4,840 | ||||||||||||||
MXN | 211,464 | USD | 10,880 | Citibank, N.A. | 11/16/16 | (34) | ||||||||||||||
MXN | 253,768 | USD | 13,057 | Citibank, N.A. | 11/16/16 | (41) | ||||||||||||||
MXN | 232,381 | USD | 11,968 | Citibank, N.A. | 11/16/16 | (49) | ||||||||||||||
MXN | 234,838 | USD | 12,095 | Citibank, N.A. | 11/16/16 | (50) | ||||||||||||||
MXN | 1,829,682 | USD | 94,000 | Citibank, N.A. | 11/16/16 | (155) | ||||||||||||||
PEN | 1,696,609 | USD | 502,327 | Citibank, N.A. | 11/16/16 | (4,216) | ||||||||||||||
PHP | 1,137,556 | USD | 23,421 | Citibank, N.A. | 11/16/16 | 33 | ||||||||||||||
PLN | 270,078 | USD | 70,623 | Citibank, N.A. | 11/16/16 | (70) | ||||||||||||||
PLN | 270,078 | USD | 70,654 | Citibank, N.A. | 11/16/16 | (101) | ||||||||||||||
PLN | 1,232,642 | USD | 322,225 | Citibank, N.A. | 11/16/16 | (217) | ||||||||||||||
RON | 200,907 | USD | 50,706 | Citibank, N.A. | 11/16/16 | 129 | ||||||||||||||
RON | 100,595 | USD | 25,350 | Citibank, N.A. | 11/16/16 | 103 | ||||||||||||||
RON | 24,850 | USD | 6,281 | Citibank, N.A. | 11/16/16 | 7 | ||||||||||||||
RON | 18,664 | USD | 4,719 | Citibank, N.A. | 11/16/16 | 3 | ||||||||||||||
RUB | 10,084,616 | USD | 155,751 | Citibank, N.A. | 11/16/16 | 2,963 | ||||||||||||||
RUB | 1,975,471 | USD | 30,530 | Citibank, N.A. | 11/16/16 | 561 | ||||||||||||||
RUB | 1,975,470 | USD | 30,538 | Citibank, N.A. | 11/16/16 | 553 |
30 |
SCHEDULE OF PORTFOLIO INVESTMENTS
|
RBC BlueBay Emerging Market Select Bond Fund (cont.)
September 30, 2016
Currency Purchased | Currency Sold | Counterparty | Settlement | Unrealized | ||||||||||||||||
RUB | 1,975,471 | USD | 30,566 | Citibank, N.A. | 11/16/16 | $ 524 | ||||||||||||||
RUB | 1,975,471 | USD | 30,601 | Citibank, N.A. | 11/16/16 | 490 | ||||||||||||||
RUB | 1,975,470 | USD | 30,605 | Citibank, N.A. | 11/16/16 | 486 | ||||||||||||||
RUB | 1,975,470 | USD | 30,610 | Citibank, N.A. | 11/16/16 | 480 | ||||||||||||||
THB | 15,296,734 | USD | 441,746 | Citibank, N.A. | 11/16/16 | (591) | ||||||||||||||
TRY | 49,101 | USD | 16,331 | Citibank, N.A. | 11/16/16 | (129) | ||||||||||||||
TRY | 49,100 | USD | 16,354 | Citibank, N.A. | 11/16/16 | (152) | ||||||||||||||
TRY | 99,806 | USD | 33,212 | Citibank, N.A. | 11/16/16 | (280) | ||||||||||||||
TRY | 59,258 | USD | 19,930 | Citibank, N.A. | 11/16/16 | (377) | ||||||||||||||
TRY | 288,000 | USD | 96,000 | Citibank, N.A. | 11/16/16 | (969) | ||||||||||||||
TRY | 266,533 | USD | 89,000 | Citibank, N.A. | 11/16/16 | (1,052) | ||||||||||||||
USD | 131,065 | MYR | 540,001 | Citibank, N.A. | 11/16/16 | 457 | ||||||||||||||
USD | 18,630 | ZAR | 254,323 | Citibank, N.A. | 11/16/16 | 268 | ||||||||||||||
USD | 21,689 | ZAR | 296,732 | Citibank, N.A. | 11/16/16 | 265 | ||||||||||||||
USD | 17,370 | ZAR | 237,386 | Citibank, N.A. | 11/16/16 | 231 | ||||||||||||||
USD | 12,998 | ZAR | 178,039 | Citibank, N.A. | 11/16/16 | 144 | ||||||||||||||
USD | 12,993 | ZAR | 178,040 | Citibank, N.A. | 11/16/16 | 139 | ||||||||||||||
USD | 19,718 | MXN | 383,603 | Citibank, N.A. | 11/16/16 | 43 | ||||||||||||||
USD | 175,940 | HKD | 1,363,703 | Citibank, N.A. | 11/16/16 | 37 | ||||||||||||||
USD | 9,000 | COP | 26,134,200 | Citibank, N.A. | 11/16/16 | 16 | ||||||||||||||
USD | 34,531 | RON | 136,421 | Citibank, N.A. | 11/16/16 | 13 | ||||||||||||||
USD | 12,681 | PLN | 48,550 | Citibank, N.A. | 11/16/16 | (2) | ||||||||||||||
USD | 11,000 | THB | 381,499 | Citibank, N.A. | 11/16/16 | (2) | ||||||||||||||
USD | 13,427 | PLN | 51,407 | Citibank, N.A. | 11/16/16 | (3) | ||||||||||||||
USD | 7,000 | IDR | 91,805,000 | Citibank, N.A. | 11/16/16 | (12) | ||||||||||||||
USD | 32,000 | PLN | 122,646 | Citibank, N.A. | 11/16/16 | (39) | ||||||||||||||
USD | 48,534 | IDR | 636,477,104 | Citibank, N.A. | 11/16/16 | (83) | ||||||||||||||
USD | 45,480 | IDR | 596,829,967 | Citibank, N.A. | 11/16/16 | (109) | ||||||||||||||
USD | 97,000 | MXN | 1,894,992 | Citibank, N.A. | 11/16/16 | (195) | ||||||||||||||
USD | 227,603 | MXN | 4,464,198 | Citibank, N.A. | 11/16/16 | (1,369) | ||||||||||||||
USD | 648,687 | IDR | 8,519,860,586 | Citibank, N.A. | 11/16/16 | (2,097) | ||||||||||||||
USD | 101,000 | MXN | 2,014,092 | Citibank, N.A. | 11/16/16 | (2,304) | ||||||||||||||
ZAR | 138,803 | USD | 10,000 | Citibank, N.A. | 11/16/16 | 21 | ||||||||||||||
EUR | 200,000 | USD | 225,036 | Citibank, N.A. | 12/7/16 | 349 | ||||||||||||||
USD | 266,057 | EUR | 236,000 | Citibank, N.A. | 12/7/16 | 104 | ||||||||||||||
USD | 264,507 | EUR | 236,000 | Citibank, N.A. | 12/7/16 | (1,447) | ||||||||||||||
Total | $ 5,852 |
31 |
SCHEDULE OF PORTFOLIO INVESTMENTS
|
RBC BlueBay Emerging Market Select Bond Fund (cont.)
September 30, 2016
Financial futures contracts as of September 30, 2016:
Short Position | Number of Contracts | Expiration Date | Unrealized Appreciation/ (Depreciation) | Notional Value | Clearinghouse | |||||||||||||||||||
90-Day Euro Dollar | 7 | December 2016 | $ | 1,245 | USD | 1,735,145 | Citigroup Global Markets, Inc. | |||||||||||||||||
Ten Year Euro-Bund | 1 | December 2016 | (1,101 | ) | EUR | 164,720 | Citigroup Global Markets, Inc. | |||||||||||||||||
Ten Year U.S. Treasury Bonds | 3 | December 2016 | 890 | USD | 394,265 | Citigroup Global Markets, Inc. | ||||||||||||||||||
|
| |||||||||||||||||||||||
$ | 1,034 | |||||||||||||||||||||||
|
|
Interest rate swaps as of September 30, 2016:
Fixed Rate | Floating Rate | Counterparty | Expiration Date | Notional Amount (000) | Unrealized Appreciation/ (Depreciation) | |||||||||||||||
3.77% | 3 Month KLIBOR | BNP Paribas SA | 4/8/21 | MYR | 1,751(b) | $(5,770) | ||||||||||||||
12.59% | BRL-CDI | BNP Paribas SA | 1/2/18 | BRL | 3,162(a) | 4,730 | ||||||||||||||
12.73% | BRL-CDI | HSBC Bank Plc | 1/2/18 | BRL | 2,403(a) | 4,716 | ||||||||||||||
12.74% | BRL-CDI | HSBC Bank Plc | 1/2/18 | BRL | 2,308(b) | 4,597 | ||||||||||||||
12.63% | BRL-CDI | HSBC Bank Plc | 1/2/18 | BRL | 2,061(a) | 3,353 | ||||||||||||||
12.00% | BRL-CDI | HSBC Bank Plc | 1/2/19 | BRL | 1,631(b) | 4,964 | ||||||||||||||
12.22% | BRL-CDI | HSBC Bank Plc | 1/2/19 | BRL | 1,268(a) | 5,704 | ||||||||||||||
11.96% | BRL-CDI | Citigroup Global Markets, Inc. | 1/2/19 | BRL | 1,008(a) | 2,797 | ||||||||||||||
12.63% | BRL-CDI | HSBC Bank Plc | 1/2/19 | BRL | 1,001(a) | 7,322 | ||||||||||||||
12.29% | BRL-CDI | HSBC Bank Plc | 1/4/21 | BRL | 392(a) | 4,972 | ||||||||||||||
4.46% | CLP-ICP-CAMARA | JPMorgan Chase Bank, N.A. | 6/30/26 | CLP | 25,000(a) | 1,187 | ||||||||||||||
2.59% | CNY-CNREPOFIX=CFXS-Reuters | JPMorgan Chase Bank, N.A. | 8/5/20 | CNY | 2,000(a) | (1,424) | ||||||||||||||
2.65% | CNY-CNREPOFIX=CFXS-Reuters | JPMorgan Chase Bank, N.A. | 8/7/20 | CNY | 900(a) | (377) | ||||||||||||||
2.65% | CNY-CNREPOFIX=CFXS-Reuters | JPMorgan Chase Bank, N.A. | 9/9/20 | CNY | 3,650(a) | (1,516) | ||||||||||||||
2.55% | CNY-CNREPOFIX=CFXS-Reuters | HSBC Bank Plc | 4/5/21 | CNY | 610(a) | (842) | ||||||||||||||
2.61% | CNY-CNREPOFIX=CFXS-Reuters | JPMorgan Chase Bank, N.A. | 7/14/21 | CNY | 595(a) | (658) | ||||||||||||||
2.58% | CNY-CNREPOFIX=CFXS-Reuters | BNP Paribas SA | 8/15/21 | CNY | 1,742(a) | (2,359) | ||||||||||||||
2.58% | CNY-CNREPOFIX=CFXS-Reuters | HSBC Bank Plc | 8/17/21 | CNY | 1,192(a) | (1,644) | ||||||||||||||
0.69% | HUF-BUBOR-Reuters | Citigroup Global Markets, Inc. | 12/21/17 | HUF | 272,637(b) | 335 | ||||||||||||||
0.66% | HUF-BUBOR-Reuters | Citigroup Global Markets, Inc. | 12/22/17 | HUF | 252,184(b) | 548 | ||||||||||||||
6.57% | INR-MIBOR-OIS-COMPOUND | HSBC Bank Plc | 9/5/17 | INR | 31,780(b) | 294 | ||||||||||||||
6.76% | INR-MIBOR-OIS-COMPOUND | Deutsche Bank AG | 9/9/18 | INR | 125,832(a) | 16,163 | ||||||||||||||
8.41% | INR-MIBOR-OIS-COMPOUND | Deutsche Bank AG | 9/9/18 | INR | 43,810(a) | 25,641 | ||||||||||||||
6.34% | INR-MIBOR-OIS-COMPOUND | HSBC Bank Plc | 9/9/18 | INR | 13,000(a) | 192 | ||||||||||||||
6.54% | INR-MIBOR-OIS-COMPOUND | HSBC Bank Plc | 7/1/21 | INR | 12,630(a) | 1,315 | ||||||||||||||
6.43% | INR-MIBOR-OIS-COMPOUND | JPMorgan Chase Bank, N.A. | 7/18/21 | INR | 4,460(a) | 156 | ||||||||||||||
6.42% | INR-MIBOR-OIS-COMPOUND | BNP Paribas SA | 8/11/21 | INR | 6,605(a) | 186 |
32 |
SCHEDULE OF PORTFOLIO INVESTMENTS
|
RBC BlueBay Emerging Market Select Bond Fund (cont.)
September 30, 2016
Fixed Rate | Floating Rate | Counterparty | Expiration Date | Notional Amount (000) | Unrealized Appreciation/ (Depreciation) | |||||||||||||||
8.64% | USD-BBA-LIBOR | BNP Paribas SA | 10/24/17 | TRY | 3,282(b) | $ | 1,894 | |||||||||||||
8.74% | USD-BBA-LIBOR | JPMorgan Chase Bank, N.A. | 1/10/18 | RUB | 29,568(b) | (2,127) | ||||||||||||||
|
| |||||||||||||||||||
Total | $ | 74,349 | ||||||||||||||||||
|
|
(a) The Counterparty pays the fixed rate on these swaps.
(b) The Fund pays the fixed rate on these swaps.
Credit default swaps buy protection as of September 30, 2016:
Fixed Rate | Issuer | Counterparty | Expiration Date | Notional Amount (000) | Value | |||||||||||||||
1.00% | China Government International Bond | BNP Paribas SA | 12/20/21 | USD | 415 | 1,028 | ||||||||||||||
1.00% | Colombia Government International Bond | BNP Paribas SA | 12/20/21 | USD | 272 | 8,565 | ||||||||||||||
1.00% | Qatar Government International Bond | Barclays Bank Plc | 12/20/21 | USD | 320 | (2,293 | ) | |||||||||||||
1.00% | Russia Government International Bond | BNP Paribas SA | 12/20/21 | USD | 340 | 18,987 | ||||||||||||||
1.00% | South African Government International Bond | BNP Paribas SA | 12/20/21 | USD | 180 | 13,084 | ||||||||||||||
|
| |||||||||||||||||||
Total (Premiums received $(357)/(Premiums paid $47,781) |
| $ | 39,371 | |||||||||||||||||
|
|
33 |
SCHEDULE OF PORTFOLIO INVESTMENTS
|
RBC BlueBay Emerging Market Select Bond Fund (cont.)
September 30, 2016
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
ICP-CAMARA - Indice Camara Premedia Rate for Chilean Pesos
CNY - Chinese Yuan
CNY-CNREPOFIX=CFXS - Chinese Renminbi Repo Rate=Chinese Foreign Exchange Trade System
COP - Colombian Peso
EUR - Euro
HKD - Hong Kong Dollar
HUF - Hungarian Forint
HUF-BUBOR - Budapest Interbank Offered Rate for Hungarian Forint
IDR - Indonesian Rupiah
INR - Indian Rupee
INR-MIBOR-OIS-COMPOUND - Mumbai Interbank Offered Rate - Overnight Index Swap
KLIBOR - Kuala Lumpur Interbank Offered Rate
MXN - Mexican Peso
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
USD - United States Dollar
ZAR - South African Rand
Portfolio Diversification (Unaudited)
Industries | Percentage of Net Assets | |||
Foreign Government Bonds | 78.19 | % | ||
Financials | 3.77 | % | ||
Energy | 3.67 | % | ||
Other* | 14.37 | % | ||
|
| |||
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. |
See Notes to Financial Statements.
34 |
SCHEDULE OF PORTFOLIO INVESTMENTS
|
RBC BlueBay Emerging Market Corporate Bond Fund
September 30, 2016
Principal Amount | Value | |||||
Corporate Bonds — 86.93% |
| |||||
Argentina — 2.90% |
| |||||
$ 96,000 | Empresa Distribuidora Y Comercializadora Norte, 9.75%, 10/25/22 | $ | 100,800 | |||
70,000 | IRSA Propiedades Comerciales SA, 8.75%, 3/23/23 | 78,400 | ||||
140,000 | Petrobras Argentina SA, 7.38%, 7/21/23(a) | 144,025 | ||||
238,000 | YPF SA, 8.88%, 12/19/18 | 263,585 | ||||
|
| |||||
586,810 | ||||||
|
| |||||
Australia — 0.52% | ||||||
90,000 | FMG Resources August 2006 Pty Ltd., 9.75%, 3/1/22 | 104,400 | ||||
Azerbaijan — 0.97% | ||||||
200,000 | International Bank of Azerbaijan OJSC, 5.63%, 6/11/19 | 196,261 | ||||
Barbados — 1.05% | ||||||
200,000 | Columbus International, Inc., 7.38%, 3/30/21 | 212,120 | ||||
Brazil — 14.11% | ||||||
100,000 | Banco do Brasil SA/Cayman, 9.00%, 12/29/49(b) | 86,250 | ||||
200,000 | Braskem Finance Ltd., 5.75%, 4/15/21 | 209,176 | ||||
320,000(c) | BRF SA, 7.75%, 5/22/18 | 90,835 | ||||
200,000 | Centrais Eletricas Brasileiras SA, 5.75%, 10/27/21 | 196,940 | ||||
200,000 | CIMPOR Financial Operations BV, 5.75%, 7/17/24(a) | 168,000 | ||||
260,000 | Cosan Luxembourg SA, 7.00%, 1/20/27(a) | 270,913 | ||||
100,000 | Itau Unibanco Holding SA/Cayman Island, 5.75%, 1/22/21 | 103,825 | ||||
200,000 | Klabin Finance SA, 5.25%, 7/16/24 | 200,000 | ||||
200,000 | Minerva Luxembourg SA, 6.50%, 9/20/26(a) | 195,925 | ||||
100,000(d) | Petrobras Global Finance BV, 4.25%, 10/2/23 | 104,223 | ||||
460,000 | Petrobras Global Finance BV, 4.38%, 5/20/23 | 410,754 | ||||
170,000 | Petrobras Global Finance BV, 5.38%, 1/27/21 | 167,952 | ||||
145,000 | Petrobras Global Finance BV, 8.38%, 5/23/21 | 158,293 | ||||
200,000 | St Marys Cement Inc., 5.75%, 1/28/27(a) | 197,250 | ||||
50,000 | Vale Overseas Ltd., 4.38%, 1/11/22 | 49,517 | ||||
100,000 | Vale Overseas Ltd., 5.88%, 6/10/21 | 104,700 | ||||
111,000 | Vale Overseas Ltd., 6.88%, 11/21/36 | 107,892 | ||||
26,000 | Vale Overseas Ltd., 8.25%, 1/17/34 | 28,020 | ||||
|
| |||||
2,850,465 | ||||||
|
| |||||
Canada — 0.27% | ||||||
60,000 | First Quantum Minerals Ltd., 7.00%, 2/15/21 | 54,300 | ||||
Chile — 2.00% | ||||||
200,000 | AES Gener SA, 8.38%, 12/18/73(b) | 211,359 | ||||
200,000 | Empresa Electrica Guacolda SA, 4.56%, 4/30/25 | 191,750 | ||||
|
| |||||
403,109 | ||||||
|
|
35 |
SCHEDULE OF PORTFOLIO INVESTMENTS
|
RBC BlueBay Emerging Market Corporate Bond Fund (cont.)
September 30, 2016
Principal Amount | Value | |||||
China — 8.19% | ||||||
$ 200,000 | China Overseas Finance Cayman VI Ltd., 6.45%, 6/11/34 | $ | 248,640 | |||
200,000 | CNOOC Finance 2013 Ltd., 3.00%, 5/9/23 | 201,705 | ||||
200,000 | CRCC Yupeng Ltd., 3.95%, 2/28/49(b) | 205,895 | ||||
250,000 | Industrial & Commercial Bank of China Ltd., New York, 2.91%, 11/13/20 | 255,617 | ||||
200,000 | Kaisa Group Holdings Ltd., 6.56% cash or payment-in-kind interest, 12/31/19(e) | 190,016 | ||||
110,000 | Kaisa Group Holdings Ltd., 6.56% cash or payment-in-kind interest, 12/31/21(e) | 105,258 | ||||
20,000 | Nexen Energy ULC, 6.40%, 5/15/37 | 26,200 | ||||
200,000 | Proven Honour Capital Ltd., 4.13%, 5/6/26 | 210,304 | ||||
200,000 | Trillion Chance Ltd., 8.50%, 1/10/19 | 210,326 | ||||
|
| |||||
1,653,961 | ||||||
|
| |||||
Colombia — 4.11% | ||||||
200,000 | Banco de Bogota SA, 6.25%, 5/12/26(a) | 212,051 | ||||
235,000 | Ecopetrol SA, 5.88%, 5/28/45 | 213,556 | ||||
110,000 | Ecopetrol SA, 7.38%, 9/18/43 | 116,600 | ||||
156,000,000(c) | Empresa de Telecomunicaciones de Bogota, 7.00%, 1/17/23 | 39,393 | ||||
200,000 | Gruposura Finance SA, 5.50%, 4/29/26 | 212,696 | ||||
100,000 | Pacific Exploration and Production Corp., 5.13%, 3/28/23(f) | 18,500 | ||||
100,000 | Pacific Exploration and Production Corp., 5.38%, 1/26/19 | 18,036 | ||||
|
| |||||
830,832 | ||||||
|
| |||||
Guernsey — 0.79% | ||||||
154,228 | Doric Nimrod Air Finance Alpha Ltd. 2012-1, Class A Pass Through Trust, 5.13%, 11/30/22 | 160,282 | ||||
Hong Kong — 2.14% | ||||||
200,000 | HKT Capital No. 4 Ltd., 3.00%, 7/14/26 | 198,272 | ||||
200,000 | MCE Finance Ltd., 5.00%, 2/15/21 | 201,145 | ||||
40,000 | Noble Group Ltd., 6.75%, 1/29/20 | 32,309 | ||||
|
| |||||
431,726 | ||||||
|
| |||||
India — 4.68% | ||||||
200,000 | Bharti Airtel International Netherlands BV, 5.13%, 3/11/23 | 216,673 | ||||
200,000 | ICICI Bank Ltd./Dubai, 4.80%, 5/22/19 | 212,524 | ||||
220,000 | ONGC Videsh Vankorneft Pte Ltd., 3.75%, 7/27/26 | 221,245 | ||||
200,000 | Vedanta Resources Plc, 7.13%, 5/31/23 | 188,441 | ||||
100,000 | Vedanta Resources Plc, 9.50%, 7/18/18 | 105,865 | ||||
|
| |||||
944,748 | ||||||
|
|
36 |
SCHEDULE OF PORTFOLIO INVESTMENTS
|
RBC BlueBay Emerging Market Corporate Bond Fund (cont.)
September 30, 2016
Principal Amount | Value | |||||
Indonesia — 2.75% |
| |||||
$200,000 | Pelabuhan Indonesia II PT, 4.25%, 5/5/25 | $ | 203,683 | |||
130,000 | Pertamina Persero PT, 5.63%, 5/20/43 | 136,060 | ||||
200,000 | Perusahaan Gas Negara Persero Tbk PT, 5.13%, 5/16/24 | 216,211 | ||||
|
| |||||
555,954 | ||||||
|
| |||||
Israel — 2.59% | ||||||
130,000 | Delek & Avner Tamar Bond Ltd., 4.44%, 12/30/20(a) | 137,150 | ||||
21,516 | Delek & Avner Tamar Bond Ltd., 5.08%, 12/30/23(a) | 22,968 | ||||
249,000 | Israel Electric Corp. Ltd., 5.00%, 11/12/24(a) | 272,991 | ||||
60,000 | Teva Pharmaceutical Finance Netherlands III BV, 2.80%, 7/21/23 | 60,029 | ||||
30,000 | Teva Pharmaceutical Finance Netherlands III BV, 3.15%, 10/1/26 | 30,149 | ||||
|
| |||||
523,287 | ||||||
|
| |||||
Jamaica — 0.87% | ||||||
200,000 | Digicel Ltd., 6.75%, 3/1/23 | 176,000 | ||||
Luxembourg — 3.11% | ||||||
200,000 | Altice Financing SA, 6.50%, 1/15/22 | 211,000 | ||||
200,000 | Altice Financing SA, 7.50%, 5/15/26(a) | 208,250 | ||||
200,000 | Millicom International Cellular SA, 6.63%, 10/15/21 | 208,388 | ||||
|
| |||||
627,638 | ||||||
|
| |||||
Malaysia — 1.04% | ||||||
200,000 | Axiata SPV2 Berhad, 3.47%, 11/19/20 | 209,520 | ||||
Mexico — 2.64% | ||||||
250,000 | BBVA Bancomer SA, 6.75%, 9/30/22 | 279,375 | ||||
150,000 | Grupo Posadas SAB de CV, 7.88%, 6/30/22 | 156,000 | ||||
110,000 | Petroleos Mexicanos, 5.63%, 1/23/46 | 96,220 | ||||
225,000 | Urbi Desarrollos Urbanos SAB de CV, 9.75%, 2/3/22(f) | 1,125 | ||||
|
| |||||
532,720 | ||||||
|
| |||||
Morocco — 1.00% | ||||||
200,000 | OCP SA, 4.50%, 10/22/25 | 202,482 | ||||
Netherlands — 0.91% | ||||||
200,000 | Zhaikmunai LLP, 6.38%, 2/14/19 | 184,040 | ||||
Peru — 0.54% | ||||||
10,000 | Banco de Credito del Peru/Panama, 6.13%, 4/24/27(b) | 11,078 | ||||
77,000 | Banco de Credito del Peru/Panama, 6.88%, 9/16/26(b) | 87,383 | ||||
10,000 | Southern Copper Corp., 5.88%, 4/23/45 | 9,948 | ||||
|
| |||||
108,409 | ||||||
|
|
37 |
SCHEDULE OF PORTFOLIO INVESTMENTS
|
RBC BlueBay Emerging Market Corporate Bond Fund (cont.)
September 30, 2016
Principal Amount | Value | |||||
Philippines — 1.03% |
| |||||
$200,000 | Royal Capital B.V., 5.50%, 11/5/49(b) | $ | 208,265 | |||
Qatar — 1.03% | ||||||
200,000 | Ooredoo International Finance Ltd., 3.88%, 1/31/28 | 207,547 | ||||
Russia — 10.55% | ||||||
200,000 | Gazprom Neft OAO Via GPN Capital SA, 6.00%, 11/27/23 | 215,628 | ||||
200,000 | Gazprom OAO Via Gaz Capital SA, 4.95%, 2/6/28 | 200,726 | ||||
100,000 | Gazprom OAO Via Gaz Capital SA, 6.51%, 3/7/22 | 111,020 | ||||
200,000 | MMC Norilsk Nickel OJSC Via MMC Finance Ltd., 6.63%, 10/14/22 | 225,901 | ||||
200,000 | Rosneft Oil Co. Via Rosneft International Finance Ltd., 3.15%, 3/6/17 | 200,369 | ||||
200,000 | Sberbank of Russia Via SB Capital SA, 5.50%, 2/26/24(b) | 202,065 | ||||
200,000 | Vimpel Communications Via VIP Finance Ireland Ltd. OJSC, 7.75%, 2/2/21 | 223,366 | ||||
300,000 | Vnesheconombank Via VEB Finance Plc, 6.90%, 7/9/20 | 326,086 | ||||
200,000 | VTB Bank OJSC Via VTB Capital SA, 6.95%, 10/17/22 | 213,500 | ||||
200,000 | VTB Bank PJSC Via VTB Eurasia Ltd., 9.50%, 12/6/22(b) | 213,532 | ||||
|
| |||||
2,132,193 | ||||||
|
| |||||
Singapore — 3.07% | ||||||
200,000 | Global Logistic Properties Ltd., 3.88%, 6/4/25 | 207,168 | ||||
200,000 | Oversea-Chinese Banking Corp. Ltd., 3.15%, 3/11/23(b) | 203,363 | ||||
200,000 | Oversea-Chinese Banking Corp. Ltd., 3.50%, 10/15/24(b) | 209,277 | ||||
|
| |||||
619,808 | ||||||
|
| |||||
South Africa — 0.67% | ||||||
68,000 | AngloGold Ashanti Holdings Plc, 5.13%, 8/1/22 | 70,258 | ||||
65,000 | AngloGold Ashanti Holdings Plc, 6.50%, 4/15/40 | 66,170 | ||||
|
| |||||
136,428 | ||||||
|
| |||||
South Korea — 1.97% | ||||||
200,000 | Kookmin Bank, 1.63%, 8/1/19(a) | 199,884 | ||||
200,000 | NongHyup Bank, 1.88%, 9/12/21(a) | 198,695 | ||||
|
| |||||
398,579 | ||||||
|
| |||||
Thailand — 2.05% | ||||||
200,000 | Krung Thai Bank PCL/Cayman Islands, 5.20%, 12/26/24(b) | 210,827 | ||||
200,000 | PTT Exploration & Production PCL, 4.88%, 12/29/49(b) | 203,625 | ||||
|
| |||||
414,452 | ||||||
|
| |||||
Turkey — 7.53% | ||||||
200,000 | Akbank TAS, 4.00%, 1/24/20 | 197,265 | ||||
200,000 | KOC Holding AS, 5.25%, 3/15/23(a) | 204,868 |
38 |
SCHEDULE OF PORTFOLIO INVESTMENTS
|
RBC BlueBay Emerging Market Corporate Bond Fund (cont.)
September 30, 2016
Principal Amount | Value | |||||
$200,000 | Turk Telekomunikasyon AS, 4.88%, 6/19/24 | $ | 198,409 | |||
200,000 | Turkiye Garanti Bankasi AS, 4.75%, 10/17/19 | 201,465 | ||||
300,000 | Turkiye Garanti Bankasi AS, 6.25%, 4/20/21 | 315,963 | ||||
200,000 | Turkiye Is Bankasi, 5.38%, 10/6/21(a) | 200,840 | ||||
200,000 | Yapi ve Kredi Bankasi AS, 5.25%, 12/3/18 | 203,352 | ||||
|
| |||||
1,522,162 | ||||||
|
| |||||
United Arab Emirates — 1.65% | ||||||
200,000 | DP World Crescent Ltd., 3.91%, 5/31/23(a) | 206,182 | ||||
110,000 | DP World Ltd., 6.85%, 7/2/37 | 127,093 | ||||
|
| |||||
333,275 | ||||||
|
| |||||
Venezuela — 0.20% | ||||||
20,000 | Petroleos de Venezuela SA, 5.25%, 4/12/17 | 17,095 | ||||
26,133 | Petroleos de Venezuela SA, 8.50%, 11/2/17 | 22,369 | ||||
|
| |||||
39,464 | ||||||
|
| |||||
Total Corporate Bonds | 17,561,237 | |||||
|
| |||||
(Cost $17,310,686) | ||||||
Foreign Government Bonds — 5.41% | ||||||
Argentina — 2.60% | ||||||
154,989 | Argentina Bonar Bonds, 7.00%, 4/17/17 | 163,090 | ||||
200,000 | Argentine Republic Government International Bond, 6.25%, 4/22/19(a) | 211,762 | ||||
150,000 | Provincia del Chaco Argentina, 9.38%, 8/18/24(a) | 149,550 | ||||
|
| |||||
524,402 | ||||||
|
| |||||
Korea — 1.02% | ||||||
200,000 | Export-Import Bank of Korea, 2.50%, 5/10/21 | 205,954 | ||||
Ukraine — 1.79% | ||||||
120,000 | Ukraine Government International Bond, 3.04%, 5/31/40(a)(g) | 38,278 | ||||
110,000 | Ukraine Government International Bond, 4.70%, 5/31/40(g) | 35,088 | ||||
100,000 | Ukraine Government International Bond, 7.75%, 9/1/19 | 98,750 | ||||
200,000 | Ukreximbank Via Biz Finance Plc, 9.75%, 1/22/25 | 190,511 | ||||
|
| |||||
362,627 | ||||||
|
| |||||
Total Foreign Government Bonds | 1,092,983 | |||||
|
| |||||
(Cost $1,087,860) |
39 |
SCHEDULE OF PORTFOLIO INVESTMENTS
|
RBC BlueBay Emerging Market Corporate Bond Fund (cont.)
September 30, 2016
Shares | Value | |||||
Investment Company — 5.54% | ||||||
1,120,063 | JPMorgan 100% US Treasury Securities Money Market Fund, Capital Shares | $ | 1,120,063 | |||
|
| |||||
Total Investment Company | 1,120,063 | |||||
|
| |||||
(Cost $1,120,063) | ||||||
Contracts | ||||||
Put Options Purchased — 0.00% | ||||||
3 | Ultra U.S. Treasury Bonds, Strike Price USD 168.00, Expires 11/25/16
|
| 891
|
| ||
Total Put Options Purchased | 891 | |||||
(Cost $2,554) | ||||||
Total Investments | $ | 19,775,174 | ||||
(Cost $19,521,163)(h) — 97.88% | ||||||
Other assets in excess of liabilities — 2.12% | 427,623 | |||||
|
| |||||
NET ASSETS — 100.00% | $ | 20,202,797 | ||||
|
|
(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) | Variable rate security. The rate reflected in the Schedule of Portfolio Investments is the rate in effect on September 30, 2016. |
(c) | Investment in non-U.S. Dollars. Principal amount reflects local currency. |
(d) | Principal amount denoted in Euros. |
(e) | Payment-in-kind (“PIK”) security. Income may be paid in additional securities or cash at the discretion of the issuer. |
(f) | Issuer filed for bankruptcy and/or is in default of interest payments. |
(g) | Zero coupon bond. The rate represents the yield at time of purchase. |
(h) | See Notes to Financial Statements for the tax cost of securities and the breakdown of unrealized appreciation (depreciation). |
40 |
SCHEDULE OF PORTFOLIO INVESTMENTS
|
RBC BlueBay Emerging Market Corporate Bond Fund (cont.)
September 30, 2016
Financial futures contracts as of September 30, 2016:
Long Position | Number of Contracts | Expiration Date | Unrealized Depreciation | Notional Value | Clearinghouse | |||||||||||||||||||
Five Year U.S. Treasury Bonds | 9 | December 2016 | $ | (1,492 | ) | USD | 1,095,133 | Citigroup Global Markets, Inc. | ||||||||||||||||
Ten Year U.S. Treasury Bonds | 3 | December 2016 | (844 | ) | USD | 394,219 | Citigroup Global Markets, Inc. | |||||||||||||||||
|
| |||||||||||||||||||||||
Total | $ | (2,336 | ) | |||||||||||||||||||||
|
|
Foreign currency exchange contracts as of September 30, 2016:
Currency Purchased | Currency Sold | Counterparty | Settlement | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||
BRL | 127,959 | USD | 40,000 | Citibank, N.A. | 10/4/16 | $ (704) | ||||||||||||||||
BRL | 167,041 | USD | 52,168 | Citibank, N.A. | 10/4/16 | (870) | ||||||||||||||||
COP | 58,995,000 | USD | 20,000 | Citibank, N.A. | 10/4/16 | 444 | ||||||||||||||||
COP | 58,478,801 | USD | 19,870 | Citibank, N.A. | 10/4/16 | 395 | ||||||||||||||||
COP | 1,884,387 | USD | 635 | Citibank, N.A. | 10/4/16 | 18 | ||||||||||||||||
TRY | 518,338 | USD | 168,140 | Citibank, N.A. | 10/4/16 | 4,438 | ||||||||||||||||
TRY | 521,744 | USD | 170,445 | Citibank, N.A. | 10/4/16 | 3,267 | ||||||||||||||||
USD | 4,613 | TRY | 13,948 | Citibank, N.A. | 10/4/16 | (31) | ||||||||||||||||
USD | 2,692 | ZAR | 40,233 | Citibank, N.A. | 10/4/16 | (237) | ||||||||||||||||
USD | 40,378 | COP | 119,358,188 | Citibank, N.A. | 10/4/16 | (984) | ||||||||||||||||
USD | 164,234 | TRY | 497,295 | Citibank, N.A. | 10/4/16 | (1,337) | ||||||||||||||||
USD | 89,243 | BRL | 295,000 | Citibank, N.A. | 10/4/16 | (1,351) | ||||||||||||||||
USD | 168,675 | TRY | 528,839 | Citibank, N.A. | 10/4/16 | (7,399) | ||||||||||||||||
ZAR | 40,233 | USD | 2,687 | Citibank, N.A. | 10/4/16 | 242 | ||||||||||||||||
USD | 224,177 | EUR | 200,000 | Citibank, N.A. | 12/7/16 | (1,207) | ||||||||||||||||
Total | $(5,316) |
Credit default swaps buy protection as of September 30, 2016:
Fixed Rate | Issuer | Counterparty | Expiration Date | Notional Amount (000) | Value | |||||||||||||
1.00% | Brazilian Government International Bond | BNP Paribas SA | 12/20/18 | USD | 480 | $ | 1,076 | |||||||||||
1.00% | Brazilian Government International Bond | BNP Paribas SA | 12/20/21 | USD | 205 | 16,233 | ||||||||||||
1.00% | CDX.EM, Series 26 | Citigroup Global Markets, Inc. | 12/20/21 | USD | 100 | 6,414 | ||||||||||||
1.00% | China Government International Bond | Barclays Bank Plc | 12/20/21 | USD | 420 | 1,623 | ||||||||||||
1.00% | Colombia Government International Bond | Citibank, N.A. | 12/20/21 | USD | 460 | 14,486 | ||||||||||||
1.00% | iTraxx Europe Subordinated Financials Index, Series 26 | Citibank, N.A. | 12/20/21 | EUR | 190 | 14,293 |
41 |
SCHEDULE OF PORTFOLIO INVESTMENTS
|
RBC BlueBay Emerging Market Corporate Bond Fund (cont.)
September 30, 2016
Fixed | Issuer | Counterparty | Expiration Date | Notional Amount (000) | Value | |||||||||||||||
1.00% | Mexico Government International Bond | BNP Paribas SA | 12/20/21 | USD | 200 | $ 6,203 | ||||||||||||||
1.00% | Mexico Government International Bond | Citibank, N.A. | 12/20/21 | USD | 200 | 6,203 | ||||||||||||||
1.00% | Mexico Government International Bond | BNP Paribas SA | 12/20/21 | USD | 100 | 3,104 | ||||||||||||||
1.00% | South African Government International Bond | Barclays Bank Plc | 12/20/17 | USD | 920 | (4,948) | ||||||||||||||
1.00% | South African Government International Bond | BNP Paribas SA | 12/20/21 | USD | 200 | 14,548 | ||||||||||||||
1.00% | Turkey Government International Bond | BNP Paribas SA | 12/20/18 | USD | 390 | 1,673 | ||||||||||||||
Total (Premiums received $(3,926)/Premiums paid $99,661) | $80,908 |
Credit default swaps sell protection as of September 30, 2016:
Fixed Rate | Issuer | Counterparty | Expiration Date | Implied Credit Spread* | Notional Amount (000)(a) | Value | ||||||||||||||||||
5.00% | Argentine Government International Bond | Barclays Bank Plc | 12/20/21 | 3.85% | USD | 230 | $ 12,190 | |||||||||||||||||
5.00% | Argentine Government International Bond | BNP Paribas SA | 12/20/21 | 3.85% | USD | 100 | 5,324 | |||||||||||||||||
1.00% | Russia Government International Bond | BNP Paribas SA | 12/20/21 | 2.16% | USD | 200 | (11,491) | |||||||||||||||||
1.00% | Russia Government International Bond | Barclays Bank Plc | 12/20/21 | 2.16% | USD | 200 | (11,498) | |||||||||||||||||
|
|
| ||||||||||||||||||||||
Total (Premiums received $(22,392)/(Premiums paid $13,291) |
| $ (5,475) |
* | Implied credit spread, represented in absolute terms, utilized in determining the value of the credit default swap agreements as of period end will serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default or other credit event for the credit derivative. The implied credit spread of a referenced entity reflects the cost of buying/ selling protection and may include upfront payments required to be made to enter into the agreement. Generally, wider credit spreads represent a perceived deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the swap agreement. |
(a) | The maximum potential amount the Fund may pay should a negative credit event take place as defined under the terms of the agreement. |
42 |
SCHEDULE OF PORTFOLIO INVESTMENTS
|
RBC BlueBay Emerging Market Corporate Bond Fund (cont.)
September 30, 2016
Abbreviations used are defined below:
BRL - Brazilian Real
COP - Colombian Peso
EUR - Euro
TRY - Turkish Lira
USD - United States Dollar
ZAR - South African Rand
Portfolio Diversification (Unaudited)
Industries | Percentage of Net Assets | |||
Financials | 29.25 | % | ||
Energy | 19.96 | % | ||
Materials | 9.72 | % | ||
Telecom Services | 9.35 | % | ||
Utilities | 5.89 | % | ||
Foreign Government Bonds | 5.41 | % | ||
Consumer Discretionary | 5.38 | % | ||
Industrials | 5.06 | % | ||
Consumer Staples | 1.85 | % | ||
Health Care | 0.45 | % | ||
Other* | 7.68 | % | ||
|
| |||
100.00 | % | |||
|
|
* | Includes cash, Investment Company, put options purchased, credit default swaps, financial futures contracts, interest and dividend receivable, pending trades and Fund share transactions, foreign currency exchange contracts and accrued expenses payable. |
See Notes to Financial Statements.
43 |
SCHEDULE OF PORTFOLIO INVESTMENTS
|
RBC BlueBay Global High Yield Bond Fund
September 30, 2016
Principal Amount | Value | |||||
Bank Loans — 4.87% | ||||||
Australia — 0.47% | ||||||
$ 153,854 | Fortescue Metals Group, Ltd. Term Loan B, 3.75%, 6/30/19(a) | $ | 153,644 | |||
United States — 4.40% | ||||||
87,604 | Belk, Inc. Term Loan B, 5.75%, 11/18/22(a) | 79,250 | ||||
149,250 | Charter Communications Operating LLC, Term Loan, 3.50%, 1/20/23(a) | 150,141 | ||||
98,000 | Chesapeake Energy Corp. Term Loan, 8.50%, 8/16/21(a) | 102,808 | ||||
11,861 | Hilton Worldwide Holdings, Inc. Term Loan, 3.50%, 10/25/20(a) | 11,921 | ||||
121,256 | Hilton Worldwide Holdings, Inc. Term Loan B2, 2.50%, 10/26/20(a) | 122,184 | ||||
252,000 | Level 3 Financing, Inc. Term Loan B2, 3.50%, 5/31/22(a) | 253,260 | ||||
342,567 | SBA Communications Corp. Term Loan B1A, 3.25%, 3/31/21(a) | 343,167 | ||||
238,837 | Toys R Us, Inc. Term Loan, 6.00%, 8/21/19(a) | 224,805 | ||||
99,570 | Verso Corp. Term Loan, 12.00%, 6/6/21(a) | 94,591 | ||||
17,932 | Vertellus Specialties, Inc. Term Loan, 9.00%, 5/31/46(a) | 17,954 | ||||
57,300 | Vertellus Specialties, Inc. Term Loan, 10.50%, 10/10/19(a) | 37,675 | ||||
|
| |||||
1,437,756 | ||||||
|
| |||||
Total Bank Loans | 1,591,400 | |||||
|
| |||||
(Cost $1,578,125) | ||||||
Corporate Bonds — 91.43% | ||||||
Australia — 0.94% | ||||||
300,000 | TFS Corp Ltd., 8.75%, 8/1/23(b) | 306,750 | ||||
Belgium — 0.92% | ||||||
300,000 | LBC Tank Terminals Holding Netherlands BV, 6.88%, 5/15/23(b) | 299,250 | ||||
Brazil — 1.77% | ||||||
120,000 | Petrobras Global Finance BV, 5.38%, 1/27/21 | 118,554 | ||||
110,000 | Petrobras Global Finance BV, 5.63%, 5/20/43 | 84,667 | ||||
56,000 | Petrobras Global Finance BV, 8.38%, 5/23/21 | 61,134 | ||||
165,000 | Petrobras Global Finance BV, 8.75%, 5/23/26 | 182,325 | ||||
60,000 | Vale Overseas Ltd, 6.25%, 8/10/26 | 62,682 | ||||
80,000 | Vale SA, 5.63%, 9/11/42 | 67,200 | ||||
|
| |||||
576,562 | ||||||
|
| |||||
Canada — 5.00% | ||||||
292,000 | 1011778 BC ULC/New Red Finance, Inc., 6.00%, 4/1/22(b) | 306,600 | ||||
78,000 | 1011778 BC ULC/New Red Finance, Inc., 6.00%, 4/1/22(b) | 81,900 | ||||
148,000 | Cogeco Communications Inc., 4.88%, 5/1/20(b) | 152,440 | ||||
525,000(c) | Great Canadian Gaming Corp., 6.63%, 7/25/22(b) | 419,176 | ||||
100,000 | MEG Energy Corp., 6.50%, 3/15/21(b) | 81,625 | ||||
110,000 | MEG Energy Corp., 7.00%, 3/31/24(b) | 86,900 |
44 |
SCHEDULE OF PORTFOLIO INVESTMENTS
|
RBC BlueBay Global High Yield Bond Fund (cont.)
September 30, 2016
Principal Amount | Value | |||||
$ 100,000 | Paramount Resources Ltd., 6.88%, 6/30/23(b) | $ | 103,750 | |||
210,000 | Seven Generations Energy Ltd., 6.75%, 5/1/23(b) | 218,018 | ||||
90,000 | Teck Resources Ltd., 4.75%, 1/15/22 | 88,200 | ||||
100,000 | Teck Resources Ltd., 6.25%, 7/15/41 | 94,849 | ||||
|
| |||||
1,633,458 | ||||||
|
| |||||
France — 4.72% | ||||||
400,000 | Albea Beauty Holdings SA, 8.38%, 11/1/19(b) | 418,560 | ||||
280,000(d) | SFR Group SA, 5.63%, 5/15/24 | 323,958 | ||||
400,000 | SFR Group SA, 6.00%, 5/15/22(b) | 407,726 | ||||
400,000 | Societe Generale SA, 7.38%, 9/13/49(a)(b) | 390,000 | ||||
|
| |||||
1,540,244 | ||||||
|
| |||||
Germany — 3.73% | ||||||
150,000(d) | Hypo Real Estate International Trust I, 5.86%, 6/29/49 | 164,888 | ||||
100,000(d) | IHO Verwaltungs GmbH, 2.75% cash or 3.50% payment-in-kind interest, 9/15/21(b)(e) | 112,173 | ||||
137,000(d) | IHO Verwaltungs GmbH, 3.25% cash or 4.00% payment-in-kind interest, 9/15/23(b)(e) | 154,293 | ||||
179,000(d) | IHO Verwaltungs GmbH, 3.75% cash or 4.50% payment-in-kind interest, 9/15/26(b)(e) | 199,989 | ||||
370,000(d) | Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH, 4.00%, 1/15/25 | 426,455 | ||||
150,000 | ZF North America Capital, Inc., 4.50%, 4/29/22(b) | 159,057 | ||||
|
| |||||
1,216,855 | ||||||
|
| |||||
Ireland — 0.35% | ||||||
100,000(d) | Ardagh Packaging Finance Plc/Ardagh Holdings USA Inc., 4.13%, 5/15/23(b) | 115,068 | ||||
Italy — 2.16% | ||||||
490,000 | Wind Acquisition Finance SA, 4.75%, 7/15/20(b) | 494,900 | ||||
200,000 | Wind Acquisition Finance SA, 7.38%, 4/23/21(b) | 209,250 | ||||
|
| |||||
704,150 | ||||||
|
| |||||
Luxembourg — 3.09% | ||||||
320,000 | Altice Financing SA, 6.63%, 2/15/23(b) | 328,400 | ||||
200,000 | ARD Finance SA, 7.13% cash or 7.88% payment-in-kind interest, 9/15/23(b)(e) | 199,000 | ||||
20,000 | Camelot Finance SA, 7.88%, 10/15/24(b) | 20,600 | ||||
204,000(d) | DEA Finance SA, 7.50%, 10/15/22(b) | 229,165 | ||||
100,000(d) | Hanesbrands Finance Luxembourg SCA, 3.50%, 6/15/24(b) | 116,104 | ||||
100,000(d) | Swissport Investments SA, 6.75%, 12/15/21(b) | 115,771 | ||||
|
| |||||
1,009,040 | ||||||
|
| |||||
Mexico — 0.00% | ||||||
280,000 | Urbi Desarrollos Urbanos SAB de CV, 9.75%, 2/3/22(f) | 1,400 |
45 |
SCHEDULE OF PORTFOLIO INVESTMENTS
|
RBC BlueBay Global High Yield Bond Fund (cont.)
September 30, 2016
Principal Amount | Value | |||||
Netherlands — 3.49% |
| |||||
100,000(d) | LGE HoldCo VI BV, 7.13%, 5/15/24 | $ | 124,921 | |||
140,000(d) | Lincoln Finance Ltd, 6.88%, 4/15/21(b) | 168,965 | ||||
$ 200,000 | NXP BV/NXP Funding LLC, 4.13%, 6/1/21(b) | 213,900 | ||||
290,000(g) | UPC Holding BV, 6.75%, 3/15/23 | 320,617 | ||||
100,000(d) | UPCB Finance IV Ltd., 4.00%, 1/15/27 | 111,416 | ||||
200,000 | UPCB Finance IV Ltd., 5.38%, 1/15/25(b) | 201,150 | ||||
|
| |||||
1,140,969 | ||||||
|
| |||||
New Zealand — 0.20% | ||||||
60,000 | Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer Lu, 7.00%, 7/15/24(b) | 64,350 | ||||
Switzerland — 0.63% | ||||||
200,000 | UBS AG, 5.13%, 5/15/24 | 206,250 | ||||
United Kingdom — 5.96% | ||||||
120,000(h) | AA Bond Co. Ltd, 5.50%, 7/31/22 | 153,279 | ||||
135,000 | CEVA Group Plc, 7.00%, 3/1/21(b) | 109,350 | ||||
160,000(h) | CYBG Plc, 5.00%, 2/9/26(a) | 198,860 | ||||
100,000(d) | Ephios Bondco Plc, 5.00%, 7/1/22(b) | 113,515 | ||||
210,000(d) | Ephios Bondco Plc, 6.25%, 7/1/22(b) | 249,444 | ||||
130,000(d) | Royal Bank of Scotland Group Plc, 5.25%, 6/29/49 | 138,111 | ||||
290,000 | Tullow Oil Plc, 6.00%, 11/1/20 | 261,435 | ||||
140,000(d) | Virgin Media Secured Finance Plc, 4.50%, 1/15/25 | 156,533 | ||||
200,000 | Virgin Media Secured Finance Plc, 5.50%, 1/15/25(b) | 204,800 | ||||
270,000(h) | Virgin Media Secured Finance Plc, 6.00%, 4/15/21 | 362,279 | ||||
|
| |||||
1,947,606 | ||||||
|
| |||||
United States — 58.47% | ||||||
288,000 | Acadia Healthcare Co., Inc., 5.63%, 2/15/23 | 292,320 | ||||
31,000 | Acadia Healthcare Co., Inc., 6.50%, 3/1/24 | 32,473 | ||||
269,000 | Adient Global Holdings Ltd, 4.88%, 8/15/26(b) | 269,673 | ||||
147,000 | ADT Corp. (The), 3.50%, 7/15/22 | 141,487 | ||||
47,000 | ADT Corp. (The), 4.13%, 6/15/23 | 46,295 | ||||
40,000 | Albertsons Cos. LLC/Safeway, Inc/New Albertson’s, Inc./Albertson’s LLC, 5.75%, 3/15/25(b) | 39,900 | ||||
95,000 | Albertsons Cos. LLC/Safeway, Inc/New Albertson’s, Inc./Albertson’s LLC, 6.63%, 6/15/24(b) | 98,800 | ||||
60,000 | Allegion Plc, 5.88%, 9/15/23 | 64,500 | ||||
87,000 | Allegion US Holding Co., Inc., 5.75%, 10/1/21 | 90,806 | ||||
338,321 | Alliance Data Systems Corp., 5.38%, 8/1/22(b) | 329,863 | ||||
70,000 | Allison Transmission, Inc., 5.00%, 10/1/24(b) | 71,750 | ||||
106,000 | Alta Mesa Holdings L.P./Alta Mesa Finance Services Corp., 9.63%, 10/15/18 | 99,905 | ||||
240,000 | Altice US Finance I Corp., 5.38%, 7/15/23(b) | 248,100 |
46 |
SCHEDULE OF PORTFOLIO INVESTMENTS
|
RBC BlueBay Global High Yield Bond Fund (cont.)
September 30, 2016
Principal Amount | Value | |||||
$206,000 | AMC Entertainment, Inc., 5.88%, 2/15/22 | $ | 213,210 | |||
215,000 | Amsurg Corp., 5.63%, 7/15/22 | 219,838 | ||||
70,000 | Antero Midstream Partners L.P./Antero Midstream Finance Corp., 5.38%, 9/15/24(b) | 70,875 | ||||
209,000 | Apex Tool Group LLC, 7.00%, 2/1/21(b) | 199,856 | ||||
159,000 | Aramark Services, Inc., 5.13%, 1/15/24 | 165,360 | ||||
89,000 | Argos Merger Sub, Inc., 7.13%, 3/15/23(b) | 93,227 | ||||
210,000 | Berry Plastics Corp., 5.50%, 5/15/22 | 217,350 | ||||
235,000 | Berry Plastics Corp., 6.00%, 10/15/22 | 247,925 | ||||
370,000 | Blackboard, Inc., 7.75%, 11/15/19(b) | 364,450 | ||||
240,000 | BMC East LLC, 5.50%, 10/1/24(b) | 240,000 | ||||
149,000 | CCO Holdings LLC/CCO Holdings Capital Corp., 5.88%, 4/1/24(b) | 158,968 | ||||
168,000 | CenturyLink, Inc., 5.63%, 4/1/20 | 177,660 | ||||
110,000 | CenturyLink, Inc., 6.45%, 6/15/21 | 117,837 | ||||
340,000 | Cequel Communications Holdings I LLC/Cequel Capital Corp., 5.13%, 12/15/21(b) | 340,000 | ||||
48,000 | Cequel Communications Holdings I LLC/Cequel Capital Corp., 6.38%, 9/15/20(b) | 49,440 | ||||
248,000 | Cheniere Corpus Christi Holdings LLC, 7.00%, 6/30/24(b) | 267,840 | ||||
159,000 | CHS/Community Health Systems, Inc., 5.13%, 8/15/18 | 160,590 | ||||
200,000 | Cinemark USA, Inc., 4.88%, 6/1/23 | 201,000 | ||||
203,000 | Continental Resources Inc., 4.50%, 4/15/23 | 194,880 | ||||
200,000 | CSC Holdings LLC, 10.13%, 1/15/23(b) | 230,500 | ||||
233,000 | DaVita HealthCare Partners, Inc., 5.00%, 5/1/25 | 233,874 | ||||
50,000 | DCP Midstream LLC, 4.75%, 9/30/21(b) | 50,500 | ||||
124,000 | Denbury Resources, Inc, 4.63%, 7/15/23 | 82,460 | ||||
250,000 | Dish DBS Corp., 5.13%, 5/1/20 | 259,375 | ||||
98,000 | Energy Transfer Equity L.P., 5.88%, 1/15/24 | 101,675 | ||||
284,000 | Envision Healthcare Corp., 5.13%, 7/1/22(b) | 282,580 | ||||
62,000 | Equinix, Inc., 4.88%, 4/1/20 | 64,247 | ||||
380,000 | ESH Hospitality, Inc., 5.25%, 5/1/25(b) | 379,525 | ||||
100,000 | Extraction Oil & Gas Holdings LLC/Extraction Finance Corp., 7.88%, 7/15/21(b) | 104,000 | ||||
244,000 | First Data Corp., 5.00%, 1/15/24(b) | 247,660 | ||||
60,000 | Frontier Communications Corp., 7.13%, 3/15/19 | 64,350 | ||||
70,000 | HCA, Inc., 5.00%, 3/15/24 | 73,850 | ||||
311,000 | HCA, Inc., 5.88%, 5/1/23 | 331,215 | ||||
122,000 | HD Supply, Inc., 5.75%, 4/15/24(b) | 128,100 | ||||
621,000 | HD Supply, Inc., 7.50%, 7/15/20 | 644,971 | ||||
130,000 | Hilton Domestic Operating Co., Inc., 4.25%, 9/1/24(b) | 132,600 | ||||
377,000 | Hilton Worldwide Finance LLC/Hilton Worldwide Finance Corp., 5.63%, 10/15/21 | 388,310 | ||||
160,000 | Landry’s, Inc., 6.75%, 10/15/24(b) | 162,800 | ||||
80,000 | Laredo Petroleum, Inc., 5.63%, 1/15/22 | 77,600 | ||||
318,000 | Level 3 Communications, Inc., 5.75%, 12/1/22 | 332,310 | ||||
70,000 | Level 3 Financing, Inc., 5.38%, 1/15/24 | 72,931 | ||||
158,000 | Lifepoint Health, Inc., 5.38%, 5/1/24(b) | 158,000 |
47 |
SCHEDULE OF PORTFOLIO INVESTMENTS
|
RBC BlueBay Global High Yield Bond Fund (cont.)
September 30, 2016
Principal Amount | Value | |||||
$ 284,683 | Live Nation Entertainment, Inc., 5.38%, 6/15/22(b) | $ | 293,935 | |||
110,000 | Live Nation Entertainment, Inc., 7.00%, 9/1/20(b) | 114,125 | ||||
225,000 | LTF Merger Sub, Inc., 8.50%, 6/15/23(b) | 231,750 | ||||
216,000 | MGM Growth Properties Operating Partnership L.P./MGP Escrow Co-Issuer, Inc., 5.63%, 5/1/24(b) | 234,295 | ||||
173,000 | MGM Resorts International, 5.25%, 3/31/20 | 184,245 | ||||
105,000 | MGM Resorts International, 6.00%, 3/15/23 | 113,925 | ||||
136,000 | Micron Technology, Inc., 5.25%, 8/1/23(b) | 134,300 | ||||
483,000 | Momentive Performance Materials, Inc., 3.88%, 10/24/21 | 402,701 | ||||
508,000 | Momentive Performance Materials, Inc., Escrow Bond, 8.88%, 10/15/20(f)(i) | 0 | ||||
80,000 | Nexstar Escrow Corp., 5.63%, 8/1/24(b) | 80,200 | ||||
315,000 | Nielsen Finance LLC/Nielsen Finance Co., 5.00%, 4/15/22(b) | 325,238 | ||||
60,000 | Novelis Corp., 5.88%, 9/30/26(b) | 61,425 | ||||
90,000 | Novelis Corp., 6.25%, 8/15/24(b) | 95,513 | ||||
97,000 | Oasis Petroleum, Inc., 6.50%, 11/1/21 | 92,635 | ||||
81,000 | Oasis Petroleum, Inc., 6.88%, 3/15/22 | 77,557 | ||||
88,000 | ONEOK, Inc., 7.50%, 9/1/23 | 98,560 | ||||
213,000 | OPE KAG Finance Sub, Inc., 7.88%, 7/31/23(b) | 201,818 | ||||
80,000 | PDC Energy, Inc., 6.13%, 9/15/24(b) | 82,800 | ||||
82,000 | Quintiles IMS, Inc., 6.00%, 11/1/20(b) | 83,230 | ||||
80,000 | Range Resources Corp., 5.00%, 3/15/23(b) | 78,200 | ||||
161,000 | Realogy Group LLC/Realogy Co-Issuer Corp., 4.88%, 6/1/23(b) | 163,616 | ||||
175,000 | RegionalCare Hospital Partners Holdings, Inc., 8.25%, 5/1/23(b) | 180,687 | ||||
285,000 | Rite Aid Corp., 6.13%, 4/1/23(b) | 307,563 | ||||
70,000 | Sabine Pass Liquefaction LLC, 5.63%, 3/1/25 | 75,250 | ||||
100,000 | Sabine Pass Liquefaction LLC, 5.88%, 6/30/26(b) | 108,687 | ||||
310,000 | Sabre GLBL, Inc., 5.25%, 11/15/23(b) | 315,425 | ||||
110,000 | SBA Communications Corp., 4.88%, 9/1/24(b) | 110,825 | ||||
80,000 | Scientific Games International, Inc., 7.00%, 1/1/22(b) | 84,600 | ||||
100,000 | Scientific Games International, Inc., 10.00%, 12/1/22 | 92,250 | ||||
100,000(d) | Sealed Air Corp., 4.50%, 9/15/23(b) | 123,634 | ||||
501,000 | Serta Simmons Bedding LLC, 8.13%, 10/1/20(b) | 523,545 | ||||
80,000 | Sirius XM Radio, Inc., 4.25%, 5/15/20(b) | 81,600 | ||||
138,000 | Sirius XM Radio, Inc., 5.88%, 10/1/20(b) | 142,054 | ||||
90,000 | Sprint Communications, Inc., 9.00%, 11/15/18(b) | 99,337 | ||||
92,000 | Sprint Corp., 7.25%, 9/15/21 | 92,345 | ||||
210,000 | Sunoco L.P./Sunoco Finance Corp., 5.50%, 8/1/20(b) | 213,413 | ||||
70,000 | Sunoco L.P./Sunoco Finance Corp., 6.38%, 4/1/23(b) | 71,925 | ||||
34,000 | Targa Resources Partners L.P./Targa Resources Partners Finance Corp., 4.13%, 11/15/19 | 34,476 | ||||
140,000 | Targa Resources Partners L.P./Targa Resources Partners Finance Corp., 5.13%, 2/1/25(b) | 140,175 | ||||
130,000 | Taylor Morrison Communities, Inc./Monarch Communities, Inc., 5.25%, 4/15/21(b) | 134,225 | ||||
300,000 | Tenet Healthcare Corp., 5.00%, 3/1/19 | 293,250 | ||||
200,000 | Tenet Healthcare Corp., 8.00%, 8/1/20 | 202,000 |
48 |
SCHEDULE OF PORTFOLIO INVESTMENTS
|
RBC BlueBay Global High Yield Bond Fund (cont.)
September 30, 2016
Principal Amount | Value | |||||
$ 20,000 | Tesoro Logistics L.P./Tesoro Logistics Finance Corp., 6.13%, 10/15/21 | $ | 20,900 | |||
140,000 | T-Mobile USA, Inc., 6.50%, 1/15/26 | 154,875 | ||||
170,000 | T-Mobile USA, Inc., 6.63%, 4/28/21 | 178,925 | ||||
300,000 | TransDigm, Inc., 5.50%, 10/15/20 | 309,000 | ||||
174,000 | Univision Communications, Inc., 5.13%, 5/15/23(b) | 176,175 | ||||
105,000 | Univision Communications, Inc., 6.75%, 9/15/22(b) | 111,431 | ||||
320,000(d) | VRX Escrow Corp., 4.50%, 5/15/23 | 284,010 | ||||
167,390 | VRX Escrow Corp., 5.88%, 5/15/23(b) | 144,697 | ||||
257,000(d) | VWR Funding, Inc., 4.63%, 4/15/22 | 294,323 | ||||
90,000 | WESCO Distribution, Inc., 5.38%, 6/15/24(b) | 90,225 | ||||
165,000 | Whiting Petroleum Corp., 5.00%, 3/15/19 | 159,637 | ||||
30,000 | WMG Acquisition Corp., 5.00%, 8/1/23(b) | 30,450 | ||||
410,000 | Zayo Group LLC/Zayo Capital, Inc., 6.00%, 4/1/23 | 430,500 | ||||
|
| |||||
19,092,093 | ||||||
|
| |||||
Total Corporate Bonds | 29,854,045 | |||||
|
| |||||
(Cost $29,511,781) | ||||||
Shares | ||||||
Common Stocks — 0.21% |
| |||||
Germany — 0.01% |
| |||||
1,929 | Telegate AG* | 2,182 | ||||
Italy — 0.06% | ||||||
8,645 | Italiaonline* | 19,695 | ||||
United States — 0.14% | ||||||
13 | CEVA Holdings LLC* | 5,228 | ||||
6,152 | Verso Corp., Class A* | 39,680 | ||||
44,908 | ||||||
Total Common Stocks | 66,785 | |||||
(Cost $115,264) | ||||||
Warrants/Rights — 0.02% | ||||||
Australia — 0.02% | ||||||
48,100 | TFS Corp. Ltd. Warrants, Expire 7/15/18* | 7,731 | ||||
Total Warrants/Rights | 7,731 | |||||
(Cost $0) |
49 |
SCHEDULE OF PORTFOLIO INVESTMENTS
|
RBC BlueBay Global High Yield Bond Fund (cont.)
September 30, 2016
Shares | Value | |||||
Investment Company — 1.65% | ||||||
538,976 | JPMorgan 100% US Treasury Securities Money Market Fund, Capital Shares | |||||
$538,976 | ||||||
Total Investment Company | 538,976 | |||||
(Cost $538,976) | ||||||
Preferred Stocks — 0.15% | ||||||
United States — 0.15% | ||||||
121 | CEVA Holdings LLC, Series A-2* | 48,551 | ||||
Total Preferred Stocks | 48,551 | |||||
(Cost $103,184) | ||||||
Total Investments | $32,107,488 | |||||
(Cost $31,847,330)(j) — 98.33% | ||||||
Other assets in excess of liabilities — 1.67% | 546,805 | |||||
NET ASSETS — 100.00% | $32,654,293 |
* | Non-income producing security. |
(a) | Variable rate security. The rate reflected in the Schedule of Portfolio Investments is the rate in effect on September 30, 2016. |
(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. |
(c) | Principal amount denoted in Canadian Dollars. |
(d) | Principal amount denoted in Euros. |
(e) | Payment-in-kind (“PIK”) security. Income may be paid in additional securities or cash at the discretion of the issuer. |
(f) | Issuer filed for bankruptcy and/or is in default of interest payments. |
(g) | Principal amount denoted in Swiss Francs. |
(h) | Principal amount denoted in British Pounds. |
(i) | The Pricing Committee has fair valued this security under procedures established by the Fund’s Board of Trustees. |
(j) | 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, 2016:
Currency Purchased | Currency Sold | Counterparty | Settlement | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||||
EUR | 337,000 | USD | 376,992 | Citibank, N.A. | 12/7/16 | $ 2,781 | ||||||||||||||||||||
USD | 10,663 | AUD | 14,000 | Citibank, N.A. | 12/7/16 | (35) | ||||||||||||||||||||
USD | 424,290 | CAD | 547,000 | Citibank, N.A. | 12/7/16 | 7,143 | ||||||||||||||||||||
USD | 324,490 | CHF | 316,000 | Citibank, N.A. | 12/7/16 | (2,143) |
50 |
SCHEDULE OF PORTFOLIO INVESTMENTS
|
RBC BlueBay Global High Yield Bond Fund (cont.)
September 30, 2016
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||||
USD | 112,541 | EUR | 100,000 | Citibank, N.A. | 12/7/16 | $ (151) | ||||||||||||||||||||
USD | 4,147,009 | EUR | 3,700,000 | Citibank, N.A. | 12/7/16 | (22,605) | ||||||||||||||||||||
USD | 801,510 | GBP | 600,000 | Citibank, N.A. | 12/7/16 | 22,755 | ||||||||||||||||||||
Total | $ 7,745 |
Credit default swaps buy protection as of September 30, 2016:
Fixed Rate | Issuer | Counterparty | Expiration Date | Notional Amount (000) | Value | |||||||||||||
5.00% | INEOS Group Holdings SA | JP Morgan Chase Bank, N.A. | 6/20/21 | EUR 87 | (6,828 | ) | ||||||||||||
|
| |||||||||||||||||
Total (Premiums received $(5,053)) | $ | (6,828 | ) | |||||||||||||||
|
|
Abbreviations used are defined below:
AUD - Australian Dollar
CAD - Canadian Dollar
CHF - Swiss Franc
EUR - Euro
GBP - British Pound
USD - United States Dollar
Portfolio Diversification (Unaudited)
Industries | Percentage of Net Assets | |||
Telecom Services | 24.67 | % | ||
Consumer Discretionary | 21.86 | % | ||
Energy | 11.43 | % | ||
Health Care | 9.96 | % | ||
Industrials | 7.63 | % | ||
Financials | 6.85 | % | ||
Consumer Staples | 4.62 | % | ||
Information Technology | 4.23 | % | ||
Materials | 4.18 | % | ||
Utilities | 1.23 | % | ||
Other* | 3.34 | % | ||
|
| |||
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.
51 |
SCHEDULE OF PORTFOLIO INVESTMENTS
|
RBC BlueBay Global Convertible Bond Fund
September 30, 2016
Principal Amount | Value | |||||
Convertible Bonds — 92.91% | ||||||
Austria — 0.96% | ||||||
31,944(a) | IMMOFINANZ AG, 4.25%, 3/18/18 | $ | 159,327 | |||
China — 7.97% | ||||||
$ 352,000 | Ctrip.Com International Ltd., 1.25%, 9/15/22(b) | 354,640 | ||||
88,000 | Ctrip.com International Ltd., 1.99%, 7/1/25 | 99,440 | ||||
250,000 | ENN Energy Holdings Ltd., 4.22%, 2/26/18(c) | 261,368 | ||||
200,000 | Semiconductor Manufacturing International Corp., 2.79%, 11/7/18(c) | 232,270 | ||||
2,000,000(d) | Shenzhou International Group Holdings Ltd., 0.50%, 6/18/19 | 376,705 | ||||
|
| |||||
1,324,423 | ||||||
|
| |||||
Cyprus — 0.76% | ||||||
100,000(a) | Primecity Investment Plc, 4.00%, 11/13/19 | 126,237 | ||||
Germany — 1.46% | ||||||
100,000(a) | Air Berlin Finance BV, 6.00%, 3/6/19 | 91,955 | ||||
100,000(a) | Aroundtown Property Holdings Plc, 3.00%, 5/5/20 | 150,951 | ||||
|
| |||||
242,906 | ||||||
|
| |||||
Hong Kong — 2.91% | ||||||
250,000 | Asia View Ltd., 1.50%, 8/8/19 | 264,063 | ||||
220,000 | PB Issuer No. 3 Ltd., 1.88%, 10/22/18 | 218,900 | ||||
|
| |||||
482,963 | ||||||
|
| |||||
Japan — 16.76% | ||||||
10,000,000(e) | Asics Corp., 6.78%, 3/1/19(c) | 105,672 | ||||
10,000,000(e) | Chugoku Electric Power Co., Inc. (The), 0.80%, 3/25/20(c) | 99,601 | ||||
3,000,000(e) | Ebara Corp., 1.00%, 3/19/18(c) | 38,519 | ||||
100,000 | Gunma Bank Ltd. (The), 0.49%, 10/11/19(c) | 99,100 | ||||
40,000,000(e) | Kawasaki Kisen Kaisha Ltd., 1.40%, 9/26/18(c) | 407,549 | ||||
10,000,000(e) | K’s Holdings Corp., 4.75%, 12/20/19(c) | 108,430 | ||||
100,000 | Mitsui OSK Lines Ltd., 3.30%, 4/24/20(c) | 89,500 | ||||
10,000,000(e) | Resorttrust, Inc., 0.49%, 12/1/21(c) | 100,802 | ||||
10,000,000(e) | SBI Holdings, Inc., 0.49%, 11/2/17(c) | 102,066 | ||||
20,000,000(e) | Sony Corp., 1.13%, 9/30/22(c) | 209,691 | ||||
30,000,000(e) | Takashimaya Co. Ltd., 1.32%, 12/11/20(c) | 304,197 | ||||
20,000,000(e) | Terumo Corp., 0.35%, 12/6/21(c) | 234,209 | ||||
30,000,000(e) | Toppan Printing Co. Ltd., 1.02%, 12/19/19(c) | 311,543 | ||||
20,000,000(e) | Toray Industries, Inc., 0.47%, 8/31/21(c) | 255,288 | ||||
10,000,000(e) | Yamada Denki Co. Ltd., 2.94%, 6/28/19(c) | 107,867 | ||||
200,000 | Yamaguchi Financial Group, Inc., 0.14%, 3/26/20(f) | 210,200 | ||||
|
| |||||
2,784,234 | ||||||
|
|
52 |
SCHEDULE OF PORTFOLIO INVESTMENTS
|
RBC BlueBay Global Convertible Bond Fund (cont.)
September 30, 2016
Principal Amount | Value | |||||
Jersey Channel Island — 0.80% |
| |||||
100,000(e) | British Land Jersey Ltd., 1.50%, 9/10/17 | $ | 133,665 | |||
Malaysia — 3.85% | ||||||
$ 400,000 | Cahaya Capital Ltd., 0.26%, 9/18/21(c) | 392,833 | ||||
300,000(g) | Indah Capital Ltd., 0.31%, 10/24/18(c) | 246,993 | ||||
|
| |||||
639,826 | ||||||
|
| |||||
Mexico — 1.08% | ||||||
161,000 | Cemex SAB de CV, 3.75%, 3/15/18 | 179,950 | ||||
Netherlands — 2.25% | ||||||
220,000 | NXP Semiconductor NV, 1.00%, 12/1/19 | 259,820 | ||||
100,000(a) | Vastned Retail NV, 1.88%, 4/10/19 | 114,359 | ||||
|
| |||||
374,179 | ||||||
|
| |||||
Norway — 2.53% | ||||||
200,000 | Golden Ocean Group Ltd., 3.07%, 1/30/19 | 140,500 | ||||
100,000(a) | Marine Harvest ASA, 0.88%, 5/6/19 | 180,695 | ||||
99,000 | Ship Finance International Ltd., 5.75%, 10/15/21 | 99,000 | ||||
|
| |||||
420,195 | ||||||
|
| |||||
Philippines — 1.29% | ||||||
200,000 | AYC Finance Ltd., 0.50%, 5/2/19 | 214,750 | ||||
Singapore — 1.08% | ||||||
250,000(e) | Capitaland Ltd., 2.80%, 6/8/25 | 180,043 | ||||
South Africa — 1.97% | ||||||
200,000(a) | Steinhoff Finance Holding GmbH, 4.00%, 1/30/21 | 326,784 | ||||
Taiwan — 5.99% | ||||||
200,000 | Advanced Semiconductor Engineering, Inc., 0.00%, 9/5/18(c) | 249,000 | ||||
250,000 | Siliconware Precision Industries Co. Ltd., 1.00%, 10/31/19(c) | 265,857 | ||||
400,000 | United Microelectronics Corp., 1.37%, 5/18/20(c) | 379,786 | ||||
100,000 | Zhen Ding Technology Holding Ltd., 0.07%, 6/26/19(c) | 100,600 | ||||
|
| |||||
995,243 | ||||||
|
| |||||
United Arab Emirates — 1.07% | ||||||
200,000(a) | Aabar Investments PJSC, 0.50%, 3/27/20 | 178,436 | ||||
United Kingdom — 1.49% | ||||||
100,000(e) | Helical Bar Jersey Ltd., 4.00%, 6/17/19 | 122,269 | ||||
100,000(e) | St. Modwen Properties Securities Jersey Ltd., 2.88%, 3/6/19 | 124,778 | ||||
|
| |||||
247,047 | ||||||
|
|
53 |
SCHEDULE OF PORTFOLIO INVESTMENTS
|
RBC BlueBay Global Convertible Bond Fund (cont.)
September 30, 2016
Principal Amount | Value | |||||
United States — 38.69% |
| |||||
$160,000 | Akamai Technologies, Inc., 0.25%, 2/15/19(c) | $ | 156,300 | |||
150,000 | Ares Capital Corp., 4.38%, 1/15/19 | 156,000 | ||||
77,000 | BioMarin Pharmaceutical, Inc., 1.50%, 10/15/20 | 96,009 | ||||
80,000 | Blackhawk Network Holdings, Inc., 1.50%, 1/15/22(b) | 76,200 | ||||
100,000 | Brocade Communications Systems, Inc., 1.38%, 1/1/20 | 98,687 | ||||
138,000 | Cardtronics, Inc., 1.00%, 12/1/20 | 145,245 | ||||
323,000 | Citrix Systems, Inc., 0.50%, 4/15/19 | 365,192 | ||||
490,000 | Dish Network Corp., 3.38%, 8/15/26(b) | 536,550 | ||||
105,000 | Extra Space Storage L.P., 3.13%, 10/1/35(b) | 113,334 | ||||
250,000 | FireEye Inc., 1.63%, 6/1/35 | 227,813 | ||||
200,000 | Herbalife Ltd., 2.00%, 8/15/19 | 197,598 | ||||
50,000 | Hologic, Inc., 2.00%, 3/1/42 | 68,125 | ||||
127,000 | Huron Consulting Group, Inc., 1.25%, 10/1/19 | 127,953 | ||||
99,000 | Intel Corp., 3.25%, 8/1/39 | 181,046 | ||||
70,000 | Intercept Pharmaceuticals, Inc., 3.25%, 7/1/23 | 78,269 | ||||
140,000 | JDS Uniphase Corp., 0.63%, 8/15/33 | 139,300 | ||||
33,000 | LAM Research Corp., 1.25%, 5/15/18 | 52,532 | ||||
130,000 | Liberty Interactive LLC, 1.75%, 9/30/46(b) | 137,313 | ||||
180,000 | Liberty Media Corp., 1.38%, 10/15/23 | 187,650 | ||||
32,000 | Medidata Solutions, Inc., 1.00%, 8/1/18 | 37,380 | ||||
256,000 | Microchip Technology, Inc., 1.63%, 2/15/25 | 326,400 | ||||
170,000 | Micron Technology, Inc., Series G, 3.00%, 11/15/43 | 151,087 | ||||
136,000 | Nuance Communications, Inc., 1.00%, 12/15/35(b) | 118,320 | ||||
116,000 | NuVasive, Inc., 2.25%, 3/15/21(b) | 146,740 | ||||
113,000 | ON Semiconductor Corp., 1.00%, 12/1/20 | 114,554 | ||||
63,000 | Pattern Energy Group, Inc., 4.00%, 7/15/20 | 63,394 | ||||
130,000 | Priceline Group, Inc. (The), 1.00%, 3/15/18 | 205,725 | ||||
18,000 | Proofpoint, Inc., 1.25%, 12/15/18 | 34,740 | ||||
200,000 | QIAGEN NV, 0.38%, 3/19/19 | 224,000 | ||||
376,000 | Salesforce.com, Inc., 0.25%, 4/1/18 | 449,555 | ||||
250,000 | ServiceNow, Inc., 1.92%, 11/1/18(c) | 304,375 | ||||
160,000 | Starwood Property Trust, Inc., 4.55%, 3/1/18 | 175,400 | ||||
96,000 | Synchronoss Technologies, Inc., 0.75%, 8/15/19 | 101,340 | ||||
32,000 | TESARO, Inc., 3.00%, 10/1/21 | 93,980 | ||||
380,000 | Tesla Motors, Inc., 1.25%, 3/1/21 | 324,900 | ||||
55,000 | Wright Medical Group NV, 2.25%, 11/15/21(b) | 71,534 | ||||
$336,000 | Yahoo!, Inc., 0.35%, 12/1/18(c) | 343,980 | ||||
|
| |||||
6,428,520 | ||||||
|
| |||||
Total Convertible Bonds | 15,438,728 | |||||
|
| |||||
(Cost $14,602,494) |
54 |
SCHEDULE OF PORTFOLIO INVESTMENTS
|
RBC BlueBay Global Convertible Bond Fund (cont.)
September 30, 2016
Shares | Value | |||||
Common Stocks — 0.97% |
| |||||
France — 0.41% |
| |||||
524 | Technip SA | $ | 32,181 | |||
131 | Unibail-Rodamco SE | 35,318 | ||||
|
| |||||
67,499 | ||||||
|
| |||||
Germany — 0.29% | ||||||
1,442 | Evonik Industries AG | 48,750 | ||||
United States — 0.27% | ||||||
250 | Illumina, Inc.* | 45,415 | ||||
|
| |||||
Total Common Stocks | 161,664 | |||||
|
| |||||
(Cost $158,242) | ||||||
Convertible Preferred Stocks — 0.57% | ||||||
United States — 0.57% | ||||||
867 | American Tower Corp., 5.50%, 2/15/18 | 95,045 | ||||
|
| |||||
Total Convertible Preferred Stocks | 95,045 | |||||
|
| |||||
(Cost $87,181) | ||||||
Contracts | ||||||
Call Options Purchased — 0.02% | ||||||
10 | Airbus Group SE, Strike Price EUR 76.00, Expires 12/15/17 | 809 | ||||
70 | Euro STOXX 50, Strike Price EUR 4,000.00, Expires 12/16/16 | 79 | ||||
19 | Vodafone Group Plc, Strike Price GBP 240.00, Expires 12/15/17 | 2,647 | ||||
|
| |||||
Total Call Options Purchased | 3,535 | |||||
|
| |||||
(Cost $66,531) | ||||||
Put Options Purchased — 0.26% | ||||||
18 | S&P 500 Index, Strike Price USD 2,100.00, Expires 11/18/16 | 42,480 | ||||
|
| |||||
Total Put Options Purchased | 42,480 | |||||
|
| |||||
(Cost $64,841) |
55 |
SCHEDULE OF PORTFOLIO INVESTMENTS
|
RBC BlueBay Global Convertible Bond Fund (cont.)
September 30, 2016
Shares | Value | |||||
Investment Company — 2.54% | ||||||
421,927 | JPMorgan 100% US Treasury Securities Money Market Fund, Capital Shares | |||||
$ | 421,927 | |||||
|
| |||||
Total Investment Company | 421,927 | |||||
|
| |||||
(Cost $421,927) | ||||||
Total Investments | $ | 16,163,379 | ||||
(Cost $15,401,216)(h) — 97.27% | ||||||
Other assets in excess of liabilities — 2.73% | 452,816 | |||||
|
| |||||
NET ASSETS — 100.00% | $ | 16,616,195 | ||||
|
|
* | Non-income producing security. |
(a) | Principal amount denoted in Euros. |
(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. |
(c) | Zero coupon bond. The rate represents the yield at time of purchase. |
(d) | Principal amount denoted in Hong Kong Dollars. |
(e) | Investment in non-U.S. Dollars. Principal amount reflects local currency. |
(f) | Variable rate security. The rate reflected in the Schedule of Portfolio Investments is the rate in effect on September 30, 2016. |
(g) | Principal amount denoted in Singapore Dollars. |
(h) | See Notes to Financial Statements for the tax cost of securities and the breakdown of unrealized appreciation (depreciation). |
56 |
SCHEDULE OF PORTFOLIO INVESTMENTS
|
RBC BlueBay Global Convertible Bond Fund (cont.)
September 30, 2016
Foreign currency exchange contracts as of September 30, 2016:
Currency Purchased | Currency Sold | Counterparty | Settlement | Unrealized | ||||||||||||||||
HKD | 1,908,000 | USD | 246,097 | Citibank, N.A. | 12/7/16 | $ 68 | ||||||||||||||
SGD | 250,000 | USD | 183,076 | Citibank, N.A. | 12/7/16 | 305 | ||||||||||||||
USD | 1,624,219 | EUR | 1,450,000 | Citibank, N.A. | 12/7/16 | (9,818) | ||||||||||||||
USD | 407,993 | GBP | 305,000 | Citibank, N.A. | 12/7/16 | 12,126 | ||||||||||||||
USD | 612,153 | HKD | 4,743,000 | Citibank, N.A. | 12/7/16 | 224 | ||||||||||||||
USD | 2,354,992 | JPY | 242,623,000 | Citibank, N.A. | 12/7/16 | (44,738) | ||||||||||||||
USD | 623,248 | SGD | 845,000 | Citibank, N.A. | 12/7/16 | 3,420 | ||||||||||||||
Total | $(38,413) |
Options written as of September 30, 2016:
Contracts | Put Options | Value | ||||||||
(18) | S&P 500 Index, Strike Price USD 2,000.00, Expires 11/18/16 | $ | (15,660) | |||||||
|
| |||||||||
Total (Premiums received $(34,879)) | $ | (15,660) | ||||||||
|
|
Financial futures contracts as of September 30, 2016:
Short Position | Number of Contracts | Expiration Date | Unrealized Appreciation | Notional Value | Clearinghouse | |||||||||||||
S & P 500 | 5 | December 2016 | $2,588 | USD | 542,688 | Citigroup Global | ||||||||||||
E-MINI Index | Markets, Inc. |
Abbreviations used are defined below:
EUR - Euro
GBP - British Pound
HKD - Hong Kong Dollar
JPY - Japanese Yen
SGD - Singapore Dollar
USD - United States Dollar
57 |
SCHEDULE OF PORTFOLIO INVESTMENTS
|
RBC BlueBay Global Convertible Bond Fund (cont.)
September 30, 2016
Portfolio Diversification (Unaudited) | ||||
Industries | Percentage of Net Assets | |||
Information Technology | 27.39 | % | ||
Financials | 20.28 | % | ||
Consumer Discretionary | 20.18 | % | ||
Industrials | 7.13 | % | ||
Telecom Services | 5.89 | % | ||
Consumer Staples | 5.87 | % | ||
Health Care | 4.68 | % | ||
Utilities | 2.17 | % | ||
Energy | 0.57 | % | ||
Materials | 0.29 | % | ||
Other* | 5.55 | % | ||
|
| |||
100.00 | % | |||
|
|
* | Includes cash, options, Investment Company, financial futures contracts, interest and dividend receivable, pending trades and Fund share transactions, foreign currency exchange contracts and accrued expenses payable. |
See Notes to Financial Statements.
58 |
SCHEDULE OF PORTFOLIO INVESTMENTS
|
RBC BlueBay Absolute Return Fund
September 30, 2016
Principal Amount | Value | |||||
Corporate Bonds — 26.44% |
| |||||
Canada — 1.58% | ||||||
$ 1,410,000 | Fortis, Inc., 3.06%, 10/4/26(a) | $ | 1,404,015 | |||
950,000 | Transcanada Trust, 5.80%, 8/15/76(b) | 1,005,100 | ||||
|
| |||||
2,409,115 | ||||||
|
| |||||
France — 1.77% | ||||||
700,000(c) | Groupama SA, 6.38%, 5/29/49(b) | 724,277 | ||||
2,020,000 | Societe Generale SA, 7.38%, 12/29/49(a)(b) | 1,969,500 | ||||
|
| |||||
2,693,777 | ||||||
|
| |||||
Germany — 0.31% | ||||||
414,000(c) | Bayer AG, 3.00%, 7/1/75(b) | 468,799 | ||||
Ireland — 0.90% | ||||||
1,200,000(c) | LCH Clearnet SA Via Freshwater Finance Plc, 6.58%, 5/29/49(b) | 1,362,366 | ||||
Italy — 0.30% | ||||||
493,000 | Intesa Sanpaolo SpA, 5.02%, 6/26/24(a) | 451,030 | ||||
Netherlands — 1.09% | ||||||
1,400,000(c) | Cooperatieve Rabobank UA, 6.63%, 12/29/49(b) | 1,653,663 | ||||
Switzerland — 6.13% | ||||||
290,000(c) | Credit Suisse AG, 5.75%, 9/18/25(b) | 353,504 | ||||
1,930,000 | Credit Suisse Group Funding Guernsey Ltd., 3.80%, 6/9/23(a) | 1,948,863 | ||||
3,317,000 | UBS AG, 4.75%, 5/22/23(b) | 3,378,068 | ||||
2,546,000 | UBS AG, 5.13%, 5/15/24 | 2,625,563 | ||||
982,000 | UBS AG/Jersey, 7.25%, 2/22/22(b) | 996,194 | ||||
|
| |||||
9,302,192 | ||||||
|
| |||||
United Kingdom — 6.30% | ||||||
1,200,000(d) | AA Bond Co. Ltd., 3.78%, 7/31/19 | 1,631,181 | ||||
200,000(d) | AA Bond Co. Ltd., 4.25%, 7/31/20 | 279,879 | ||||
1,450,000(d) | Barclays Plc, 3.25%, 2/12/27 | 1,882,653 | ||||
1,600,000(d) | HSBC Holdings Plc, 2.63%, 8/16/28 | 2,067,905 | ||||
1,180,000 | Royal Bank of Scotland Group Plc, 3.88%, 9/12/23 | 1,166,233 | ||||
910,000 | Royal Bank of Scotland Group Plc, 8.63%, 8/15/50(b) | 896,350 | ||||
1,050,000 | Royal Bank of Scotland Plc (The), 9.50%, 3/16/22(b) | 1,082,900 | ||||
450,000(d) | Vodafone Group Plc, 3.00%, 8/12/56 | 556,329 | ||||
|
| |||||
9,563,430 | ||||||
|
| |||||
United States — 8.06% | ||||||
1,813,000 | E*TRADE Financial Corp., 5.88%, 12/29/49(b) | 1,871,923 | ||||
950,000 | Express Scripts Holding Co., 3.00%, 7/15/23 | 964,907 |
59 |
SCHEDULE OF PORTFOLIO INVESTMENTS
|
RBC BlueBay Absolute Return Fund (cont.)
September 30, 2016
Principal Amount | Value | |||||
$ 850,000 | Express Scripts Holding Co., 4.80%, 7/15/46 | $ | 882,955 | |||
650,000 | Fidelity National Information Services, Inc., 4.50%, 8/15/46 | 650,150 | ||||
880,000 | Goldman Sachs Group, Inc. (The), 2.35%, 11/15/21 | 877,958 | ||||
390,000 | MPT Operating Partnership LP/MPT Finance Corp., 5.25%, 8/1/26 | 404,625 | ||||
1,900,000 | Mylan NV, 2.50%, 6/7/19(a) | 1,918,475 | ||||
1,795,000 | Mylan NV, 3.15%, 6/15/21(a) | 1,828,373 | ||||
1,240,000 | Mylan NV, 3.95%, 6/15/26(a) | 1,250,452 | ||||
900,000 | Shire Acquisitions Investments Ireland Designated Activity Co., 2.88%, 9/23/23 | 904,207 | ||||
680,000 | Shire Acquisitions Investments Ireland Designated Activity Co., 3.20%, 9/23/26 | 683,666 | ||||
|
| |||||
12,237,691 | ||||||
|
| |||||
Total Corporate Bonds | 40,142,063 | |||||
|
| |||||
(Cost $40,502,599) | ||||||
Foreign Government Bonds — 53.86% | ||||||
Belgium — 0.93% | ||||||
1,000,000(c) | Belgium Government Bond, 2.15%, 6/22/66(a) | 1,418,023 | ||||
Bulgaria — 3.93% | ||||||
1,500,000(c) | Bulgaria Government International Bond, 2.63%, 3/26/27 | 1,807,169 | ||||
2,250,000(c) | Bulgaria Government International Bond, 2.95%, 9/3/24 | 2,815,052 | ||||
1,150,000(c) | Bulgaria Government International Bond, 3.13%, 3/26/35 | 1,341,682 | ||||
|
| |||||
5,963,903 | ||||||
|
| |||||
Cyprus — 10.77% | ||||||
4,630,000(c) | Cyprus Government International Bond, 3.88%, 5/6/22 | 5,411,812 | ||||
9,041,000(c) | Cyprus Government International Bond, 4.63%, 2/3/20(a) | 10,943,667 | ||||
|
| |||||
16,355,479 | ||||||
|
| |||||
Iceland — 5.35% | ||||||
1,333,000(c) | Iceland Government International Bond, 2.50%, 7/15/20 | 1,615,549 | ||||
4,892,000 | Iceland Government International Bond, 5.88%, 5/11/22 | 5,747,415 | ||||
650,000 | Iceland Government International Bond, 5.88%, 5/11/22(a) | 763,524 | ||||
|
| |||||
8,126,488 | ||||||
|
| |||||
Indonesia — 3.13% | ||||||
1,993,000(c) | Indonesia Government International Bond, 2.63%, 6/14/23(a) | 2,349,640 | ||||
2,003,000(c) | Indonesia Government International Bond, 2.88%, 7/8/21 | 2,403,353 | ||||
|
| |||||
4,752,993 | ||||||
|
| |||||
Israel — 1.28% | ||||||
1,483,000(c) | Israel Government International Bond, 2.88%, 1/29/24 | 1,946,023 |
60 |
SCHEDULE OF PORTFOLIO INVESTMENTS
|
RBC BlueBay Absolute Return Fund (cont.)
September 30, 2016
Principal Amount | Value | |||||
Lithuania — 3.82% |
| |||||
4,339,000(c) | Lithuania Government International Bond, 2.13%, 10/22/35 | $ | 5,798,829 | |||
Macedonia — 2.45% | ||||||
1,652,000(c) | Macedonia Government International Bond, 3.98%, 7/24/21 | 1,904,591 | ||||
1,500,000(c) | Macedonia Government International Bond, 5.63%, 7/26/23(a) | 1,815,624 | ||||
|
| |||||
3,720,215 | ||||||
|
| |||||
Mexico — 1.13% | ||||||
1,605,000(c) | Mexico Government International Bond, 4.00%, 3/15/99 | 1,707,678 | ||||
Portugal — 3.98% | ||||||
726,637(c) | Portugal Obrigacoes do Tesouro OT, 2.88%, 10/15/25(a) | 800,698 | ||||
4,310,485(c) | Portugal Obrigacoes do Tesouro OT, 2.88%, 7/21/26(a) | 4,664,014 | ||||
454,348(c) | Portugal Obrigacoes do Tesouro OT, 4.95%, 10/25/23(a) | 578,501 | ||||
|
| |||||
6,043,213 | ||||||
|
| |||||
Romania — 2.52% | ||||||
580,000(c) | Romanian Government International Bond, 2.88%, 5/26/28(a) | 704,358 | ||||
2,432,000(c) | Romanian Government International Bond, 3.88%, 10/29/35(a) | 3,127,260 | ||||
|
| |||||
3,831,618 | ||||||
|
| |||||
Slovak Republic — 1.61% | ||||||
1,594,670(c) | Slovakia Government Bond, 3.63%, 1/16/29 | 2,436,327 | ||||
Slovenia — 9.61% | ||||||
$ 5,000,000 | Slovenia Government International Bond, 4.13%, 2/18/19 | 5,271,239 | ||||
4,950,000 | Slovenia Government International Bond, 5.50%, 10/26/22 | 5,781,766 | ||||
2,950,000 | Slovenia Government International Bond, 5.85%, 5/10/23 | 3,534,052 | ||||
|
| |||||
14,587,057 | ||||||
|
| |||||
Spain — 3.35% | ||||||
4,289,000(c) | Autonomous Community of Catalonia, 4.95%, 2/11/20 | 5,082,811 | ||||
Total Foreign Government Bonds | 81,770,657 | |||||
|
| |||||
(Cost $78,758,681) |
61 |
SCHEDULE OF PORTFOLIO INVESTMENTS
|
RBC BlueBay Absolute Return Fund (cont.)
September 30, 2016
Shares | Value | |||||
Investment Company — 15.30% |
| |||||
23,223,800 | JPMorgan 100% US Treasury Securities Money Market Fund, Capital Shares | $ | 23,223,800 | |||
|
| |||||
Total Investment Company | 23,223,800 | |||||
|
| |||||
(Cost $23,223,800) | ||||||
Contracts | ||||||
Call Swaptions Purchased — 0.01% | ||||||
38,000,000 | iTraxx Main, Series 25, Strike Price EUR 60.00, Expires 10/19/16(e) | 7,970 | ||||
36,000,000 | iTraxx Main, Series 25, Strike Price EUR 60.00, Expires 10/19/16(e) | 7,550 | ||||
36,000,000 | iTraxx Main, Series 25, Strike Price EUR 60.00, Expires 10/19/16(e) | 7,550 | ||||
|
| |||||
Total Call Swaptions Purchased | 23,070 | |||||
|
| |||||
(Cost $64,372) | ||||||
Total Investments | $ | 145,159,590 | ||||
(Cost 142,549,452)(f) — 95.61% | ||||||
Other assets in excess of liabilities — 4.39% | 6,669,441 | |||||
|
| |||||
NET ASSETS — 100.00% | $ | 151,829,031 | ||||
|
|
(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) | Variable rate security. The rate reflected in the Schedule of Portfolio Investments is the rate in effect on September 30, 2016. |
(c) | Principal amount denoted in Euros. |
(d) | Investment in non-U.S. Dollars. Principal amount reflects local currency. |
(e) | Purchased swaption contracts at September 30, 2016: |
Description | Counterparty | Fixed Rate | Expiration Date | Notional Amount (000) | Market Value | |||||||||||||||||
Call - iTraxx Main, Series 25 Credit Default Swap | Citibank, N.A. | 1.00%* | 10/19/16 | 38,000 | EUR | $ | 7,970 | |||||||||||||||
Call - iTraxx Main, Series 25 Credit Default Swap | Citibank, N.A. | 1.00%* | 10/19/16 | 36,000 | EUR | 7,550 | ||||||||||||||||
Call - iTraxx Main, Series 25 Credit Default Swap | BNP Paribas S.A. | 1.00%* | 10/19/16 | 36,000 | �� | EUR | 7,550 | |||||||||||||||
|
| |||||||||||||||||||||
$ | 23,070 | |||||||||||||||||||||
|
|
* The counterparty pays the fixed rate on these contracts.
Total premiums paid $64,372
62 |
SCHEDULE OF PORTFOLIO INVESTMENTS
|
RBC BlueBay Absolute Return Fund (cont.)
September 30, 2016
(f) | 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, 2016:
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||
CAD | 300,000 | USD | 227,728 | Citibank, N.A. | 10/21/16 | $ 976 | ||||||||||||||||
CAD | 1,162,737 | USD | 900,000 | Citibank, N.A. | 10/21/16 | (13,589) | ||||||||||||||||
EUR | 1,200,000 | SEK | 11,399,160 | Citibank, N.A. | 10/21/16 | 19,180 | ||||||||||||||||
EUR | 1,068,298 | SEK | 10,200,000 | Citibank, N.A. | 10/21/16 | 11,017 | ||||||||||||||||
EUR | 331,154 | SEK | 3,140,000 | Citibank, N.A. | 10/21/16 | 5,962 | ||||||||||||||||
GBP | 650,000 | USD | 863,701 | Citibank, N.A. | 10/21/16 | (20,829) | ||||||||||||||||
GBP | 1,126,011 | USD | 1,500,000 | Citibank, N.A. | 10/21/16 | (39,872) | ||||||||||||||||
MXN | 15,046,160 | USD | 800,000 | Barclays Bank Plc | 10/21/16 | (25,976) | ||||||||||||||||
MXN | 42,520,430 | USD | 2,283,626 | Barclays Bank Plc | 10/21/16 | (96,236) | ||||||||||||||||
MXN | 71,538,029 | USD | 3,800,000 | Barclays Bank Plc | 10/21/16 | (119,850) | ||||||||||||||||
SEK | 69,415,518 | EUR | 7,307,127 | Citibank, N.A. | 10/21/16 | (116,454) | ||||||||||||||||
TRY | 3,500,000 | USD | 1,184,273 | Barclays Bank Plc | 10/21/16 | (23,082) | ||||||||||||||||
USD | 2,300,000 | MXN | 42,352,430 | Barclays Bank Plc | 10/21/16 | 121,253 | ||||||||||||||||
USD | 5,573,960 | GBP | 4,250,000 | Citibank, N.A. | 10/21/16 | 62,876 | ||||||||||||||||
USD | 2,760,540 | GBP | 2,100,000 | Citibank, N.A. | 10/21/16 | 37,416 | ||||||||||||||||
USD | 800,000 | MXN | 14,866,400 | Barclays Bank Plc | 10/21/16 | 35,224 | ||||||||||||||||
USD | 4,350,000 | CAD | 5,671,160 | Citibank, N.A. | 10/21/16 | 26,601 | ||||||||||||||||
USD | 616,568 | MXN | 12,100,000 | Barclays Bank Plc | 10/21/16 | (5,895) | ||||||||||||||||
USD | 2,350,000 | TRY | 7,204,630 | Barclays Bank Plc | 10/21/16 | (40,272) | ||||||||||||||||
TRY | 3,704,630 | USD | 1,253,767 | Barclays Bank Plc | 11/16/16 | (24,686) | ||||||||||||||||
CAD | 3,000 | USD | 2,332 | Citibank, N.A. | 12/7/16 | (44) | ||||||||||||||||
EUR | 304,000 | USD | 342,648 | Citibank, N.A. | 12/7/16 | (63) | ||||||||||||||||
EUR | 15,013,000 | USD | 17,029,201 | Citibank, N.A. | 12/7/16 | (110,712) | ||||||||||||||||
JPY | 1,957,000 | USD | 19,004 | Citibank, N.A. | 12/7/16 | 353 | ||||||||||||||||
JPY | 2,746,000 | USD | 27,129 | Citibank, N.A. | 12/7/16 | 31 | ||||||||||||||||
USD | 3,101,474 | GBP | 2,320,000 | Citibank, N.A. | 12/7/16 | 90,288 | ||||||||||||||||
USD | 659,947 | GBP | 499,000 | Citibank, N.A. | 12/7/16 | 12,282 | ||||||||||||||||
USD | 2,605,094 | GBP | 2,000,000 | Citibank, N.A. | 12/7/16 | 9,244 | ||||||||||||||||
USD | 1,947,715 | GBP | 1,500,000 | Citibank, N.A. | 12/7/16 | 827 | ||||||||||||||||
USD | 2,323 | CAD | 3,000 | Citibank, N.A. | 12/7/16 | 35 | ||||||||||||||||
USD | 39,485 | JPY | 4,000,000 | Citibank, N.A. | 12/7/16 | (78) | ||||||||||||||||
USD | 34,105 | JPY | 3,500,000 | Citibank, N.A. | 12/7/16 | (513) | ||||||||||||||||
USD | 883,894 | AUD | 1,163,000 | Citibank, N.A. | 12/7/16 | (4,811) | ||||||||||||||||
USD | 2,235,702 | EUR | 2,000,000 | Citibank, N.A. | 12/7/16 | (18,143) | ||||||||||||||||
USD | 83,058,301 | EUR | 74,180,000 | Citibank, N.A. | 12/7/16 | (536,816) | ||||||||||||||||
JPY | 311,285,570 | USD | 3,100,000 | Citibank, N.A. | 12/20/16 | (18,700) | ||||||||||||||||
JPY | 304,786,500 | USD | 3,050,000 | Citibank, N.A. | 12/20/16 | (33,032) | ||||||||||||||||
CNY | 6,721,600 | USD | 1,000,000 | Barclays Bank Plc | 1/6/17 | 638 | ||||||||||||||||
CNY | 21,903,538 | USD | 3,250,000 | Barclays Bank Plc | 1/18/17 | 7,984 | ||||||||||||||||
CNY | 3,332,400 | USD | 500,000 | Barclays Bank Plc | 1/18/17 | (4,331) | ||||||||||||||||
CNY | 2,640,963 | USD | 400,000 | Barclays Bank Plc | 1/18/17 | (7,177) |
63 |
SCHEDULE OF PORTFOLIO INVESTMENTS
|
RBC BlueBay Absolute Return Fund (cont.)
September 30, 2016
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||
CNY | 13,321,350 | USD | 2,000,000 | Citibank, N.A. | 1/18/17 | $ (18,551) | ||||||||||||||||
CNY | 13,321,350 | USD | 2,003,120 | Barclays Bank Plc | 1/18/17 | (21,671) | ||||||||||||||||
CNY | 109,137,899 | USD | 16,432,471 | Barclays Bank Plc | 1/18/17 | (199,041) | ||||||||||||||||
SAR | 9,880,000 | USD | 2,600,000 | Barclays Bank Plc | 1/18/17 | 26,395 | ||||||||||||||||
SAR | 9,070,831 | USD | 2,396,394 | Barclays Bank Plc | 1/18/17 | 14,900 | ||||||||||||||||
SAR | 9,070,831 | USD | 2,400,000 | Citibank, N.A. | 1/18/17 | 11,294 | ||||||||||||||||
SAR | 6,250,000 | USD | 1,656,638 | Barclays Bank Plc | 1/18/17 | 4,796 | ||||||||||||||||
SAR | 8,250,000 | USD | 2,189,142 | Barclays Bank Plc | 1/18/17 | 3,951 | ||||||||||||||||
SAR | 1,893,150 | USD | 500,000 | Barclays Bank Plc | 1/18/17 | 3,255 | ||||||||||||||||
SAR | 1,884,500 | USD | 500,000 | Barclays Bank Plc | 1/18/17 | 956 | ||||||||||||||||
SAR | 2,600,000 | USD | 690,435 | Barclays Bank Plc | 1/18/17 | 721 | ||||||||||||||||
SAR | 9,389,000 | USD | 2,500,000 | Barclays Bank Plc | 1/18/17 | (4,127) | ||||||||||||||||
USD | 2,003,120 | CNY | 13,321,350 | Citibank, N.A. | 1/18/17 | 21,671 | ||||||||||||||||
USD | 2,396,394 | SAR | 9,070,831 | Citibank, N.A. | 1/18/17 | (14,900) | ||||||||||||||||
USD | 10,800,000 | CNY | 74,190,600 | Barclays Bank Plc | 1/18/17 | (235,286) | ||||||||||||||||
USD | 11,050,000 | CNY | 76,145,550 | Barclays Bank Plc | 1/18/17 | (276,070) | ||||||||||||||||
USD | 22,100,000 | SAR | 85,073,950 | Barclays Bank Plc | 1/18/17 | (515,164) | ||||||||||||||||
CNY | 4,500,000 | USD | 666,272 | Barclays Bank Plc | 6/1/17 | (2,439) | ||||||||||||||||
CNY | 14,400,000 | USD | 2,138,148 | Barclays Bank Plc | 6/1/17 | (13,882) | ||||||||||||||||
CNY | 47,350,000 | USD | 7,000,089 | Barclays Bank Plc | 6/1/17 | (15,088) | ||||||||||||||||
CNY | 10,900,000 | USD | 1,623,401 | Barclays Bank Plc | 6/1/17 | (15,449) | ||||||||||||||||
USD | 16,294,346 | CNY | 109,137,899 | Barclays Bank Plc | 6/1/17 | 194,487 | ||||||||||||||||
Total | $(1,868,216) |
64 |
SCHEDULE OF PORTFOLIO INVESTMENTS
|
RBC BlueBay Absolute Return Fund (cont.)
September 30, 2016
Financial futures contracts as of September 30, 2016:
Long Position | Number of | Expiration Date | Unrealized Appreciation | Notional Value | Clearinghouse | |||||||||||||
Five Year Euro-Bobl | 32 | December 2016 | $3,933 | EUR | 4,223,380 | Credit Suisse Securities (USA) LLC | ||||||||||||
Thirty Year Euro-Bonds | 1 | December 2016 | 3,888 | EUR | 188,720 | Credit Suisse Securities (USA) LLC | ||||||||||||
Total | $7,821 | |||||||||||||||||
Short Position | Number of | Expiration Date | Unrealized | Notional Value | Clearinghouse | |||||||||||||
Ten Year British Bonds | 34 | December 2016 | 26,283 | GBP | 4,448,733 | Credit Suisse Securities (USA) LLC | ||||||||||||
Thirty Year U.S. Treasury Bonds | 7 | December 2016 | (656) | USD | 1,286,469 | Credit Suisse Securities (USA) LLC | ||||||||||||
Five Year U.S. Treasury Bonds | 7 | December 2016 | (1,148) | USD | 849,461 | Credit Suisse Securities (USA) LLC | ||||||||||||
Ten Year U.S. Treasury Bonds | 5 | December 2016 | 2,031 | USD | 657,656 | Credit Suisse Securities (USA) LLC | ||||||||||||
Total | $26,510 |
Total Return Swaps as of September 30, 2016:
Fixed Rate | Reference Entity | Counterparty | Expiration Date | Notional Amount (000) | Value | |||||||||||||||||
0.23% | iBoxx Euro Corporates | BNP Paribas SA | 12/20/16 | EUR | 1,650(a) | $ | (46,724) | |||||||||||||||
0.84% | iBoxx Euro Corporates | BNP Paribas SA | 3/20/17 | EUR | 5,600(a) | 25,532 | ||||||||||||||||
0.17% | JPMorgan Index | BNP Paribas SA | 12/20/16 | EUR | 7,700(a) | (451,823) | ||||||||||||||||
|
| |||||||||||||||||||||
Total | $ | (473,015) | ||||||||||||||||||||
|
|
(a) The Counterparty pays the fixed rate on these swaps.
65 |
SCHEDULE OF PORTFOLIO INVESTMENTS
|
RBC BlueBay Absolute Return Fund (cont.)
September 30, 2016
Interest rate swaps as of September 30, 2016:
Fixed Rate | Floating Rate | Counterparty | Expiration Date | Notional Amount (000) | Unrealized Appreciation/ (Depreciation) | |||||||||||||||
(0.15)% | EUR-EURIBOR Reuters | Credit Suisse Securities (USA) LLC | 12/12/21 | EUR | 10,200(b) | $(73,142) | ||||||||||||||
0.31% | EUR-EURIBOR Reuters | Credit Suisse Securities (USA) LLC | 11/9/26 | EUR | 7,300(a) | 9,513 | ||||||||||||||
0.31% | EUR-EURIBOR Reuters | Credit Suisse Securities (USA) LLC | 11/28/26 | EUR | 5,220(b) | (2,158) | ||||||||||||||
0.73% | EUR-EURIBOR Reuters | Credit Suisse Securities (USA) LLC | 7/4/42 | EUR | 4,460(b) | 65,665 | ||||||||||||||
0.96% | GBP-BBA-LIBOR | Credit Suisse Securities (USA) LLC | 11/7/56 | GBP | 320(b) | 2,230 | ||||||||||||||
0.79% | GBP-BBA-LIBOR | Credit Suisse Securities (USA) LLC | 9/28/66 | GBP | 2,210(b) | 189,738 | ||||||||||||||
0.56% | JPY-BBA-LIBOR | Credit Suisse Securities (USA) LLC | 12/8/46 | JPY | 135,900(b) | (42,046) | ||||||||||||||
0.99% | USD-BBA-LIBOR | Credit Suisse Securities (USA) LLC | 6/30/18 | USD | 4,080(b) | (63) | ||||||||||||||
1.08% | USD-BBA-LIBOR | Credit Suisse Securities (USA) LLC | 9/20/18 | USD | 46,100(b) | (52,777) | ||||||||||||||
1.23% | USD-BBA-LIBOR | Credit Suisse Securities (USA) LLC | 12/2/21 | USD | 6,330(b) | (14,513) | ||||||||||||||
1.29% | USD-BBA-LIBOR | Credit Suisse Securities (USA) LLC | 8/15/23 | USD | 17,450(b) | 7,810 | ||||||||||||||
1.76% | USD-BBA-LIBOR | Credit Suisse Securities (USA) LLC | 9/29/36 | USD | 4,600(a) | 37,053 | ||||||||||||||
Total | $127,310 |
(a) The Counterparty pays the fixed rate on these swaps.
(b) The Fund pays the fixed rate on these swaps.
Credit default swaps buy protection as of September 30, 2016:
Fixed Rate | Issuer | Counterparty | Expiration Date | Notional Amount (000) | Value | |||||||||||||||
5.00% | Anglo American Capital Plc | BNP Paribas SA | 12/20/21 | EUR | 1,782 | $(156,522) | ||||||||||||||
1.00% | Arrow Electronics, Inc. | Barclays Bank Plc | 12/20/21 | USD | 1,790 | (26,043) | ||||||||||||||
1.00% | Atlantia SpA | BNP Paribas SA | 6/20/21 | EUR | 1,621 | (49,149) | ||||||||||||||
1.00% | Avnet, Inc. | Barclays Bank Plc | 12/20/21 | USD | 1,230 | (4,758) | ||||||||||||||
1.00% | Baker Hughes, Inc. | Deutsche Bank AG | 9/20/19 | USD | 2,577 | (62,356) | ||||||||||||||
1.00% | Boston Scientific Corp. | Barclays Bank Plc | 6/20/21 | USD | 3,800 | (120,961) | ||||||||||||||
1.00% | Carlsberg A/S | BNP Paribas SA | 12/20/20 | EUR | 1,143 | (28,932) | ||||||||||||||
1.00% | Carlsberg A/S | BNP Paribas SA | 12/20/20 | EUR | 432 | (10,935) | ||||||||||||||
1.00% | Carlsberg A/S | Barclays Bank Plc | 12/20/20 | EUR | 15 | (380) | ||||||||||||||
1.00% | ENI SpA | Citibank, N.A. | 6/20/21 | EUR | 1,000 | (11,504) | ||||||||||||||
1.00% | ENI SpA | BNP Paribas SA | 6/20/21 | EUR | 235 | (2,704) | ||||||||||||||
1.00% | Fortum OYJ | BNP Paribas SA | 6/20/22 | EUR | 1,533 | (25,681) | ||||||||||||||
5.00% | HeidelbergCement AG | Morgan Stanley & Co. | 12/20/20 | EUR | 435 | (86,103) | ||||||||||||||
5.00% | HeidelbergCement AG | Morgan Stanley & Co. | 12/20/20 | EUR | 303 | (59,975) | ||||||||||||||
1.00% | iTraxx Asia, Ex Japan, Series 25 | Citibank, N.A. | 6/20/21 | USD | 6,400 | 8,642 | ||||||||||||||
1.00% | iTraxx Asia, Ex Japan, Series 25 | Citibank, N.A. | 6/20/21 | USD | 1,450 | 1,958 | ||||||||||||||
1.00% | iTraxx Main, Series 25 | Credit Suisse Securities (USA) LLC | 6/20/21 | EUR | 11,240 | (205,868) | ||||||||||||||
1.00% | iTraxx Main, Series 25 | Credit Suisse Securities (USA) LLC | 6/20/21 | EUR | 5,860 | (107,329) | ||||||||||||||
1.00% | iTraxx Main, Series 25 | Credit Suisse Securities (USA) LLC | 6/20/21 | EUR | 2,171 | (39,763) | ||||||||||||||
1.00% | iTraxx Main, Series 25 | Credit Suisse Securities (USA) LLC | 6/20/21 | EUR | 1,036 | (18,975) |
66 |
SCHEDULE OF PORTFOLIO INVESTMENTS
|
RBC BlueBay Absolute Return Fund (cont.)
September 30, 2016
Fixed Rate | Issuer | Counterparty | Expiration Date | Notional Amount (000) | Value | |||||||||||||||
1.00% | iTraxx Main, Series 25 | Credit Suisse Securities (USA) LLC | 6/20/21 | EUR | 400 | $ (7,326) | ||||||||||||||
1.00% | iTraxx Main, Series 26 | Credit Suisse Securities (USA) LLC | 12/20/21 | EUR | 7,000 | (106,758) | ||||||||||||||
5.00% | Jaguar Land Rover, Inc. | Citibank, N.A. | 12/20/21 | EUR | 950 | (149,280) | ||||||||||||||
1.00% | Korea Government International Bond | BNP Paribas SA | 12/20/20 | USD | 5,519 | (164,809) | ||||||||||||||
1.00% | Korea Government International Bond | BNP Paribas SA | 12/20/20 | USD | 5,221 | (153,318) | ||||||||||||||
1.00% | Korea Government International Bond | BNP Paribas SA | 12/20/20 | USD | 3,427 | (100,650) | ||||||||||||||
1.00% | Korea Government International Bond | BNP Paribas SA | 12/20/20 | USD | 3,394 | (99,681) | ||||||||||||||
1.00% | Korea Government International Bond | BNP Paribas SA | 12/20/20 | USD | 3,273 | (96,127) | ||||||||||||||
1.00% | Korea Government International Bond | BNP Paribas SA | 12/20/20 | USD | 3,039 | (89,254) | ||||||||||||||
1.00% | Korea Government International Bond | BNP Paribas SA | 12/20/20 | USD | 2,338 | (68,666) | ||||||||||||||
1.00% | Korea Government International Bond | BNP Paribas SA | 12/20/20 | USD | 1,403 | (41,206) | ||||||||||||||
1.00% | Korea Government International Bond | BNP Paribas SA | 12/20/20 | USD | 11 | (323) | ||||||||||||||
1.00% | LVMH | BNP Paribas SA | 6/20/21 | EUR | 459 | (17,055) | ||||||||||||||
1.00% | Mattel, Inc. | Citibank, N.A. | 12/20/20 | USD | 2,472 | 9,610 | ||||||||||||||
1.00% | MetLife, Inc. | Citibank, N.A. | 12/20/20 | USD | 301 | (1,920) | ||||||||||||||
1.00% | Newell Rubbermaid, Inc. | Citibank, N.A. | 12/20/20 | USD | 1,353 | (23,943) | ||||||||||||||
1.00% | Packaging Corp. of America | Morgan Stanley & Co. | 12/20/20 | USD | 391 | (9,368) | ||||||||||||||
1.00% | Standard Chartered Plc | BNP Paribas SA | 6/20/21 | EUR | 909 | 4,319 | ||||||||||||||
1.00% | Standard Chartered Plc | Citibank, N.A. | 6/20/21 | EUR | 300 | 1,425 | ||||||||||||||
1.00% | Stanley Black & Decker, Inc. | Morgan Stanley & Co. | 12/20/20 | USD | 1,159 | (22,707) | ||||||||||||||
1.00% | Statoil ASA | BNP Paribas SA | 12/20/21 | EUR | 2,188 | (65,725) | ||||||||||||||
1.00% | Vodafone Group Plc | Morgan Stanley & Co. | 12/20/20 | EUR | 488 | (8,095) | ||||||||||||||
1.00% | Vodafone Group Plc | Morgan Stanley & Co. | 12/20/20 | EUR | 183 | (3,036) | ||||||||||||||
Total (Premiums received $(1,336,545)/(Premiums paid $234,061) | $(2,221,231) |
Credit default swaps sell protection as of September 30, 2016:
Fixed Rate | Issuer | Counterparty | Expiration Date | Implied Credit Spread* | Notional Amount (000)(a) | Value | ||||||||||||||
1.00% | Anheuser-Busch InBev Finance, Inc. | BNP Paribas SA | 12/20/20 | 0.45% | EUR | 1,143 | $28,068 | |||||||||||||
1.00% | Anheuser-Busch InBev Finance, Inc. | JPMorgan Chase Bank, N.A. | 12/20/20 | 0.45% | EUR | 719 | 17,656 | |||||||||||||
1.00% | Anheuser-Busch InBev Finance, Inc. | Barclays Bank Plc | 12/20/20 | 0.45% | EUR | 483 | 11,861 |
67 |
SCHEDULE OF PORTFOLIO INVESTMENTS
|
RBC BlueBay Absolute Return Fund (cont.)
September 30, 2016
Fixed Rate | Issuer | Counterparty | Expiration Date | Implied Credit Spread* | Notional Amount (000)(a) | Value | ||||||||||||||||
1.00% | Anheuser-Busch InBev Finance, Inc. | BNP Paribas SA | 12/20/20 | 0.45% | EUR | 482 | $ 11,836 | |||||||||||||||
1.00% | Anheuser-Busch InBev Finance, Inc. | BNP Paribas SA | 12/20/20 | 0.45% | EUR | 263 | 6,458 | |||||||||||||||
1.00% | Itraxx Senior Finance, Series 26 | Credit Suisse Securities (USA) LLC | 12/20/21 | 1.01% | EUR | 7,000 | (24,168) | |||||||||||||||
1.00% | Unicredit SpA | HSBC Bank Plc | 6/20/21 | 4.13% | EUR | 900 | (141,919) | |||||||||||||||
1.00% | Volkswagen Group | Citibank, N.A. | 12/20/20 | 0.94% | EUR | 791 | 306 | |||||||||||||||
1.00% | Volkswagen Group | JPMorgan Chase Bank, N.A. | 12/20/20 | EUR | 294 | 114 | ||||||||||||||||
1.00% | Volkswagen Group | Citibank, N.A. | 12/20/20 | 0.94% | EUR | 273 | 105 | |||||||||||||||
1.00% | Volkswagen Group | BNP Paribas SA | 12/20/20 | 0.94% | EUR | 243 | 94 | |||||||||||||||
1.00% | Volkswagen Group | JPMorgan Chase Bank, N.A. | 12/20/20 | 0.94% | EUR | 216 | 83 | |||||||||||||||
1.00% | Volkswagen Group | Barclays Bank Plc | 12/20/20 | 0.94% | EUR | 210 | 81 | |||||||||||||||
1.00% | Volkswagen Group | BNP Paribas SA | 12/20/20 | 0.94% | EUR | 149 | 57 | |||||||||||||||
1.00% | Volkswagen Group | BNP Paribas SA | 12/20/20 | 0.94% | EUR | 122 | 47 | |||||||||||||||
1.00% | Volkswagen Group | Barclays Bank Plc | 12/20/20 | 0.94% | EUR | 108 | 42 | |||||||||||||||
1.00% | Volkswagen Group | JPMorgan Chase Bank, N.A. | 12/20/20 | 0.94% | EUR | 108 | 42 | |||||||||||||||
1.00% | Volkswagen Group | Citibank, N.A. | 12/20/20 | 0.94% | EUR | 80 | 31 | |||||||||||||||
Total (Premiums received $(309,750)/(Premiums paid $26,229) |
| $ (89,206) |
* | Implied credit spread, represented in absolute terms, utilized in determining the value of the credit default swap agreements as of period end will serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default or other credit event for the credit derivative. The implied credit spread of a referenced entity reflects the cost of buying/ selling protection and may include upfront payments required to be made to enter into the agreement. Generally, wider credit spreads represent a perceived deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the swap agreement. |
(a) | The maximum potential amount the Fund may pay should a negative credit event take place as defined under the terms of the agreement. |
68 |
SCHEDULE OF PORTFOLIO INVESTMENTS
|
RBC BlueBay Absolute Return Fund (cont.)
September 30, 2016
Abbreviations used are defined below:
AUD - Australian Dollar
BBA LIBOR - British Bankers Association London Interbank Offered Rate
Bobl - German Bundresobligationen
CAD - Canadian Dollar
CNY - Chinese Yuan
EUR - Euro
EURIBOR - Euro Interbank Offered Rate
GBP - British Pound
JPY - Japanese Yen
MXN - Mexican Peso
SAR - Saudi Arabian Riyal
SEK - Swedish Krona
TRY - Turkish Lira
USD - United States Dollar
Portfolio Diversification (Unaudited)
Industries | Percentage of Net Assets | |||
Foreign Government Bonds | 53.86 | % | ||
Financials | 17.36 | % | ||
Health Care | 5.86 | % | ||
Consumer Staples | 1.26 | % | ||
Utilities | 0.93 | % | ||
Energy | 0.66 | % | ||
Telecommunication Services | 0.37 | % | ||
Other* | 19.70 | % | ||
|
| |||
100.00 | % | |||
|
|
* | Includes cash, financial futures contracts, Investment Company, interest and dividend receivable, pending trades and Fund share transactions, credit default swaps, interest rate swaps, total return swaps, options, foreign currency exchange contracts and accrued expenses payable. |
See Notes to Financial Statements.
69 |
SCHEDULE OF PORTFOLIO INVESTMENTS
|
RBC BlueBay Emerging Market Unconstrained Fixed Income Fund
September 30, 2016
Principal Amount | Value | |||||
Corporate Bonds — 13.33% | ||||||
Argentina — 5.09% | ||||||
12,850,000(a) | Letras del Banco Central de la Republica Argentina, 33.59%, 12/21/16(b) | $ | 796,291 | |||
Brazil — 5.80% | ||||||
$ 435,000 | Petrobras Global Finance BV, 8.38%, 5/23/21 | 474,880 | ||||
450,000 | Vale Overseas Ltd., 6.88%, 11/10/39 | 432,450 | ||||
|
| |||||
907,330 | ||||||
|
| |||||
Mexico — 2.44% | ||||||
440,000 | Petroleos Mexicanos, 5.50%, 6/27/44 | 381,436 | ||||
|
| |||||
Total Corporate Bonds | 2,085,057 | |||||
|
| |||||
(Cost $2,081,507) | ||||||
Foreign Government Bonds — 81.49% | ||||||
Argentina — 15.00% | ||||||
600,000 | Argentine Republic Government International Bond, 8.75%, 6/2/17(c) | 624,000 | ||||
670,000(d) | Argentine Republic Government International Bond, 12.49%, 12/15/35(b) | 77,974 | ||||
2,913,334 | Argentine Republic Government International Bond, 12.55%, 12/15/35(b) | 307,357 | ||||
415,000 | Provincia de Cordoba, 7.13%, 6/10/21 | 434,936 | ||||
900,000 | Provincia del Chaco Argentina, 9.38%, 8/18/24 | 901,125 | ||||
|
| |||||
2,345,392 | ||||||
|
| |||||
Armenia — 3.32% | ||||||
500,000 | Republic of Armenia International Bond, 6.00%, 9/30/20 | 520,030 | ||||
Bulgaria — 3.66% | ||||||
490,000(d) | Bulgaria Government International Bond, 3.13%, 3/26/35 | 571,673 | ||||
Chile — 3.47% | ||||||
500,000 | Chile Government International Bond, 3.88%, 8/5/20 | 543,125 | ||||
Colombia — 3.54% | ||||||
435,000(d) | Colombia Government International Bond, 3.88%, 3/22/26 | 553,595 | ||||
Ecuador — 4.47% | ||||||
685,000 | Ecuador Government International Bond, 10.75%, 3/28/22 | 699,319 | ||||
Egypt — 2.68% | ||||||
435,000 | Egypt Government International Bond, 6.88%, 4/30/40 | 418,786 |
70 |
SCHEDULE OF PORTFOLIO INVESTMENTS
|
RBC BlueBay Emerging Market Unconstrained Fixed Income Fund (cont.)
September 30, 2016
Principal Amount | Value | |||||
Ghana — 2.38% | ||||||
$ 400,000 | Ghana Government International Bond, 8.13%, 1/18/26 | $ | 371,953 | |||
Indonesia — 6.73% | ||||||
460,000(d) | Indonesia Government International Bond, 3.75%, 6/14/28 | 565,894 | ||||
6,000,000,000(a) | Indonesia Treasury Bond, 8.25%, 7/15/21 | 485,861 | ||||
|
| |||||
1,051,755 | ||||||
|
| |||||
Kenya — 2.66% | ||||||
425,000 | Kenya Government International Bond Series Regs, 6.88%, 6/24/24 | 416,367 | ||||
Lebanon — 2.75% | ||||||
440,000 | Lebanon Government International Bond, 6.65%, 11/3/28 | 429,478 | ||||
Mexico — 4.48% | ||||||
660,000 | Mexico Government International Bond, 3.50%, 1/21/21 | 701,222 | ||||
Morocco — 3.40% | ||||||
500,000 | Morocco Government International Bond, 4.25%, 12/11/22 | 531,590 | ||||
Panama — 3.55% | ||||||
500,000 | Panama Government International Bond, 5.20%, 1/30/20 | 554,975 | ||||
Peru — 3.68% | ||||||
435,000 | Peruvian Government International Bond, 5.63%, 11/18/50 | 575,976 | ||||
Philippines — 2.89% | ||||||
410,000 | Philippine Government International Bond, 3.70%, 3/1/41 | 452,031 | ||||
Serbia — 4.74% | ||||||
700,000 | Serbia International Bond, 5.88%, 12/3/18 | 740,915 | ||||
Turkey — 6.42% | ||||||
2,630,000(a) | Turkey Government Bond, 8.00%, 3/12/25 | 800,678 | ||||
200,000 | Turkey Government International Bond, 4.88%, 10/9/26 | 203,500 | ||||
|
| |||||
1,004,178 | ||||||
|
| |||||
Ukraine — 1.67% | ||||||
818,000 | Ukraine Government International Bond, 3.77%, 5/31/40(b) | 260,928 | ||||
|
| |||||
Total Foreign Government Bonds | 12,743,288 | |||||
|
| |||||
(Cost $12,872,568) |
71 |
SCHEDULE OF PORTFOLIO INVESTMENTS
|
RBC BlueBay Emerging Market Unconstrained Fixed Income Fund (cont.)
September 30, 2016
Shares | Value | |||||
Investment Company — 4.49% | ||||||
702,466 | JPMorgan 100% US Treasury Securities Money Market Fund, Capital Shares | $ | 702,466 | |||
|
| |||||
Total Investment Company | 702,466 | |||||
|
| |||||
(Cost $702,466) | ||||||
Total Investments | $ | 15,530,811 | ||||
(Cost $15,656,541)(e) — 99.31% | ||||||
Other assets in excess of liabilities — 0.69% | 107,531 | |||||
|
| |||||
NET ASSETS — 100.00% | $ | 15,638,342 | ||||
|
|
(a) | Investment in non-U.S. Dollars. Principal amount reflects local currency. |
(b) | Zero coupon bond. The rate represents the yield at time of purchase. |
(c) | Issuer filed for bankruptcy and/or is in default of interest payments. |
(d) | Principal amount denoted in Euros. |
(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, 2016:
Currency Purchased | Currency Sold | Counterparty | Settlement | Unrealized | ||||||||||||||||
BRL | 1,441,836 | USD | 440,000 | Citibank, N.A. | 10/4/16 | $ 2,785 | ||||||||||||||
BRL | 1,453,950 | USD | 445,146 | Citibank, N.A. | 10/4/16 | 1,359 | ||||||||||||||
USD | 898,085 | BRL | 2,895,786 | Citibank, N.A. | 10/4/16 | 8,794 | ||||||||||||||
NGN | 37,375,000 | USD | 109,284 | JP Morgan Chase Bank, N.A. | 10/24/16 | 8,625 | ||||||||||||||
USD | 115,000 | NGN | 37,375,000 | JP Morgan Chase Bank, N.A. | 10/24/16 | (2,908) | ||||||||||||||
BRL | 2,895,786 | USD | 890,866 | Citibank, N.A. | 11/3/16 | (9,450) | ||||||||||||||
MXN | 8,613,924 | USD | 437,705 | Citibank, N.A. | 11/16/16 | 4,108 | ||||||||||||||
USD | 930,817 | INR | 62,542,500 | Citibank, N.A. | 11/16/16 | (2,014) | ||||||||||||||
USD | 794,032 | TRY | 2,368,257 | Citibank, N.A. | 11/16/16 | 12,580 | ||||||||||||||
USD | 468,401 | TRY | 1,410,134 | Citibank, N.A. | 11/16/16 | 3,100 | ||||||||||||||
USD | 627,068 | TWD | 19,710,000 | Citibank, N.A. | 11/16/16 | (2,554) | ||||||||||||||
EUR | 500,000 | USD | 559,962 | Citibank, N.A. | 12/7/16 | 3,499 | ||||||||||||||
USD | 470,189 | EUR | 418,000 | Citibank, N.A. | 12/7/16 | (865) | ||||||||||||||
USD | 1,196,677 | EUR | 1,063,000 | Citibank, N.A. | 12/7/16 | (1,242) | ||||||||||||||
USD | 1,233,991 | EUR | 1,101,000 | Citibank, N.A. | 12/7/16 | (6,751) | ||||||||||||||
Total | $19,066 |
72 |
SCHEDULE OF PORTFOLIO INVESTMENTS
|
RBC BlueBay Emerging Market Unconstrained Fixed Income Fund (cont.)
September 30, 2016
Financial futures contracts as of September 30, 2016:
Short Position | Number of | Expiration Date | Unrealized Depreciation | Notional Value | Clearinghouse | |||||||||||||||
Ten Year U.S. Treasury Bonds | 24 | December 2016 | $ (1,751) | USD | 3,145,249 | Credit Suisse Securities (USA) LLC | ||||||||||||||
Thirty Year Euro Bonds | 2 | December 2016 | (17,801) | EUR | 368,520 | Credit Suisse Securities (USA) LLC | ||||||||||||||
Ten Year Euro Bonds | 3 | December 2016 | (3,304) | EUR | 494,160 | Credit Suisse Securities (USA) LLC | ||||||||||||||
Total | $ (22,856) |
Interest rate swaps as of September 30, 2016:
Fixed | Floating Rate | Counterparty | Expiration Date | Notional Amount (000) | Unrealized Appreciation/ (Depreciation) | |||||||||||||||
12.20% | BRL-CDI | Merrill Lynch International | 1/2/19 | BRL | 6,416(a) | $ 28,385 | ||||||||||||||
11.64% | BRL-CDI | BNP Paribas SA | 1/4/21 | BRL | 3,233(a) | 11,984 | ||||||||||||||
0.65% | HUF-BUBOR-Reuters | Citigroup Global Markets, Inc. | 12/22/17 | HUF | 1,200,000(b) | 3,003 | ||||||||||||||
Total | $ 43,372 |
(a) The Counterparty pays the fixed rate on these swaps.
(b) The Fund pays the fixed rate on these swaps.
Credit default swaps buy protection as of September 30, 2016:
Fixed Rate | Issuer | Counterparty | Expiration Date | Notional Amount (000) | Value | |||||||||||||
5.00% | iTraxx Europe Cross-Over, Series 26 | Citigroup Global Markets, Inc. | 12/20/21 | EUR | 1,085 | (98,584 | ) | |||||||||||
1.00% | Petroleos Mexicanos | BNP Paribas SA | 12/20/21 | USD | 1,155 | 112,242 | ||||||||||||
1.00% | Turkey Government International Bond | Barclays Bank Plc | 12/20/21 | USD | 1,075 | 85,293 | ||||||||||||
Total (Premiums received $(89,760)/(Premiums paid $204,433) | $ 98,951 |
73 |
SCHEDULE OF PORTFOLIO INVESTMENTS
|
RBC BlueBay Emerging Market Unconstrained Fixed Income Fund (cont.)
September 30, 2016
Abbreviations used are defined below:
BRL - Brazilian Real
BRL-CDI - Brazil Cetip Interbank Deposit Rate
EUR - Euro
HUF - Hungarian Forint
HUF-BUBOR-Reuters - Budapest Interbank Offered Rate for Hungarian Forint
INR - Indian Rupee
MXN - Mexican Peso
NGN - Nigerian Naira
TRY - Turkish Lira
TWD - Taiwan Dollar
USD - United States Dollar
Portfolio Diversification (Unaudited)
Industries | Percentage of Net Assets | |||
Foreign Government Bonds | 81.49 | % | ||
Financials | 8.13 | % | ||
Materials | 2.76 | % | ||
Energy | 2.44 | % | ||
Other* | 5.18 | % | ||
|
| |||
100.00 | % | |||
|
|
* | Includes cash, Investment Company, credit default swaps, interest rate swaps, financial futures contracts, interest and dividend receivable, pending trades and Fund share transactions, foreign currency exchange contracts and accrued expenses payable. |
See Notes to Financial Statements.
74 |
SCHEDULE OF PORTFOLIO INVESTMENTS
|
RBC BlueBay Diversified Credit Fund
September 30, 2016
Principal Amount | Value | |||||
| ||||||
Corporate Bonds — 33.06% |
| |||||
Australia — 0.29% |
| |||||
$ 190,000 | TFS Corp Ltd., 8.75%, 8/1/23(a) | $ | 194,275 | |||
Brazil — 1.80% |
| |||||
80,000 | Petrobras Global Finance BV, 5.38%, 1/27/21 | 79,036 | ||||
78,000 | Petrobras Global Finance BV, 5.63%, 5/20/43 | 60,037 | ||||
616,000 | Petrobras Global Finance BV, 8.38%, 5/23/21 | 672,473 | ||||
307,000 | Petrobras Global Finance BV, 8.75%, 5/23/26 | 339,235 | ||||
40,000 | Vale Overseas Ltd, 6.25%, 8/10/26 | 41,788 | ||||
50,000 | Vale SA, 5.63%, 9/11/42 | 42,000 | ||||
|
| |||||
1,234,569 | ||||||
|
| |||||
Canada — 1.51% |
| |||||
225,000 | 1011778 BC ULC/New Red Finance, Inc., 6.00%, 4/1/22(a) | 236,250 | ||||
198,000 | Cogeco Communications, Inc., 4.88%, 5/1/20(a) | 203,940 | ||||
286,000(b) | Great Canadian Gaming Corp., 6.63%, 7/25/22(a) | 228,351 | ||||
80,000 | MEG Energy Corp., 6.50%, 3/15/21(a) | 65,300 | ||||
51,000 | MEG Energy Corp., 7.00%, 3/31/24(a) | 40,290 | ||||
130,000 | Seven Generations Energy Ltd., 6.75%, 5/1/23(a) | 134,964 | ||||
70,000 | Teck Resources Ltd, 6.25%, 7/15/41 | 66,394 | ||||
60,000 | Teck Resources Ltd., 4.75%, 1/15/22 | 58,800 | ||||
|
| |||||
1,034,289 | ||||||
|
| |||||
France — 1.48% |
| |||||
310,000 | Albea Beauty Holdings SA, 8.38%, 11/1/19(a) | 324,384 | ||||
190,000(c) | SFR Group SA, 5.63%, 5/15/24 | 219,828 | ||||
230,000 | SFR Group SA, 7.38%, 5/1/26(a) | 235,175 | ||||
240,000 | Societe Generale SA, 7.38%, 12/29/49(a)(d) | 234,000 | ||||
|
| |||||
1,013,387 | ||||||
|
| |||||
Germany — 1.30% |
| |||||
102,000(c) | IHO Verwaltungs GmbH, 3.25% cash or 4.00% payment-in-kind interest, 9/15/23(a)(e) | 114,875 | ||||
114,000(c) | IHO Verwaltungs GmbH, 3.75% cash or 4.50% payment-in-kind interest, 9/15/26(a)(e) | 127,367 | ||||
200,000 | Unitymedia GmbH, 6.13%, 1/15/25(a) | 209,750 | ||||
380,000(c) | Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH, 4.00%, 1/15/25 | 437,981 | ||||
|
| |||||
889,973 | ||||||
|
| |||||
Ireland — 0.17% |
| |||||
100,000(c) | Ardagh Packaging Finance Plc/Ardagh Holdings USA, Inc., 4.13%, 5/15/23(a) | 115,068 | ||||
Italy — 1.57% |
| |||||
539,000(c) | Wind Acquisition Finance SA, 4.00%, 7/15/20 | 612,602 |
75 |
SCHEDULE OF PORTFOLIO INVESTMENTS
|
RBC BlueBay Diversified Credit Fund (cont.)
September 30, 2016
Principal Amount | Value | |||||
| ||||||
$ 200,000 | Wind Acquisition Finance SA, 4.75%, 7/15/20(a) | $ | 202,000 | |||
250,000 | Wind Acquisition Finance SA, 7.38%, 4/23/21(a) | 261,563 | ||||
|
| |||||
1,076,165 | ||||||
|
| |||||
Luxembourg — 1.26% | ||||||
230,000 | Altice Financing SA, 6.63%, 2/15/23(a) | 236,037 | ||||
200,000 | ARD Finance SA, 7.13% cash or 7.88% payment-in-kind interest, 9/15/23(a)(e) | 199,000 | ||||
10,000 | Camelot Finance SA, 7.88%, 10/15/24(a) | 10,300 | ||||
136,000(c) | DEA Finance SA, 7.50%, 10/15/22(a) | 152,776 | ||||
130,000(c) | Hanesbrands Finance Luxembourg SCA, 3.50%, 6/15/24(a) | 150,935 | ||||
100,000(c) | Swissport Investments SA, 6.75%, 12/15/21(a) | 115,771 | ||||
|
| |||||
864,819 | ||||||
|
| |||||
Mexico — 1.14% | ||||||
465,000 | Petroleos Mexicanos, 6.75%, 9/21/47(a) | 459,658 | ||||
285,000 | Petroleos Mexicanos, 6.88%, 8/4/26 | 321,323 | ||||
|
| |||||
780,981 | ||||||
|
| |||||
Netherlands — 0.61% | ||||||
180,000(c) | Lincoln Finance Ltd, 6.88%, 4/15/21(a) | 217,241 | ||||
200,000 | UPCB Finance IV Ltd., 5.38%, 1/15/25(a) | 201,150 | ||||
|
| |||||
418,391 | ||||||
|
| |||||
New Zealand — 0.06% | ||||||
40,000 | Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer Lu, 7.00%, 7/15/24(a) | 42,900 | ||||
Russia — 0.65% | ||||||
380,000 | Gazprom OAO Via Gaz Capital SA, 7.29%, 8/16/37 | 447,060 | ||||
Switzerland — 0.71% | ||||||
260,000(b) | Sunrise Communications Holdings SA, 2.13%, 3/31/22 | 268,135 | ||||
210,000 | UBS AG, 5.13%, 5/15/24 | 216,563 | ||||
|
| |||||
484,698 | ||||||
|
| |||||
United Kingdom — 2.42% | ||||||
160,000(b) | AA Bond Co. Ltd., 5.50%, 7/31/22 | 204,372 | ||||
200,000(f) | CYBG Plc, 5.00%, 2/9/26(d) | 248,575 | ||||
100,000(b) | Odeon & UCI Finco Plc, 9.00%, 8/1/18 | 132,930 | ||||
200,000 | Royal Bank of Scotland Group Plc, 8.63%, 8/15/50(d) | 197,000 | ||||
100,000(c) | Synlab Bondco Plc, 6.25%, 7/1/22(a) | 118,783 | ||||
100,000(c) | Virgin Media Finance Plc, 4.50%, 1/15/25 | 111,809 | ||||
477,000(b) | Virgin Media Secured Finance Plc, 6.00%, 4/15/21 | 640,026 | ||||
|
| |||||
1,653,495 | ||||||
|
|
76 |
SCHEDULE OF PORTFOLIO INVESTMENTS
|
RBC BlueBay Diversified Credit Fund (cont.)
September 30, 2016
Principal Amount | Value | |||||
| ||||||
United States — 17.23% |
| |||||
$ 196,000 | Acadia Healthcare Co., Inc, 5.63%, 2/15/23 | $ | 198,940 | |||
90,000 | Acadia Healthcare Co., Inc, 6.50%, 3/1/24 | 94,275 | ||||
200,000 | Adient Global Holdings Ltd, 4.88%, 8/15/26(a) | 200,500 | ||||
30,000 | ADT Corp. (The), 3.50%, 7/15/22 | 28,875 | ||||
47,000 | ADT Corp. (The), 4.13%, 6/15/23 | 46,295 | ||||
20,000 | Albertsons Cos. LLC/Safeway, Inc/New Albertson’s, Inc/Albertson’s LLC, 5.75%, 3/15/25(a) | 19,950 | ||||
57,000 | Albertsons Cos. LLC/Safeway, Inc/New Albertson’s, Inc/Albertson’s LLC, 6.63%, 6/15/24(a) | 59,280 | ||||
120,000(c) | Alliance Data Systems Corp., 5.25%, 11/15/23 | 133,692 | ||||
80,000 | Alliance Data Systems Corp., 5.38%, 8/1/22(a) | 78,000 | ||||
40,000 | Allison Transmission, Inc., 5.00%, 10/1/24(a) | 41,000 | ||||
63,000 | Alta Mesa Holdings L.P./Alta Mesa Finance Services Corp., 9.63%, 10/15/18 | 59,377 | ||||
310,000 | Altice US Finance I Corp., 5.38%, 7/15/23(a) | 320,463 | ||||
105,000 | AMC Entertainment, Inc., 5.88%, 2/15/22 | 108,675 | ||||
137,000 | Amsurg Corp., 5.63%, 7/15/22 | 140,083 | ||||
40,000 | Antero Midstream Partners L.P./Antero Midstream Finance Corp., 5.38%, 9/15/24(a) | 40,500 | ||||
90,000 | Apex Tool Group LLC, 7.00%, 2/1/21(a) | 86,063 | ||||
106,000 | Argos Merger Sub, Inc., 7.13%, 3/15/23(a) | 111,035 | ||||
270,000 | Berry Plastics Corp., 5.50%, 5/15/22 | 279,450 | ||||
200,000 | Blackboard, Inc., 7.75%, 11/15/19(a) | 197,000 | ||||
150,000 | BMC East LLC, 5.50%, 10/1/24(a) | 150,000 | ||||
93,000 | CCO Holdings LLC/CCO Holdings Capital Corp., 5.88%, 4/1/24(a) | 99,222 | ||||
120,000 | CenturyLink, Inc., 5.63%, 4/1/20 | 126,900 | ||||
98,000 | CenturyLink, Inc., 6.45%, 6/15/21 | 104,983 | ||||
180,000 | Cequel Communications Holdings I LLC/Cequel Capital Corp., 5.13%, 12/15/21(a) | 180,000 | ||||
150,000 | Cequel Communications Holdings I LLC/Cequel Capital Corp., 6.38%, 9/15/20(a) | 154,500 | ||||
161,000 | Cheniere Corpus Christi Holdings LLC, 7.00%, 6/30/24(a) | 173,880 | ||||
150,000 | Cinemark USA, Inc., 4.88%, 6/1/23 | 150,750 | ||||
50,000 | Continental Resources, Inc., 4.50%, 4/15/23 | 48,000 | ||||
161,000 | Davita Healthcare Partners, Inc., 5.00%, 5/1/25 | 161,604 | ||||
40,000 | DCP Midstream LLC, 4.75%, 9/30/21(a) | 40,400 | ||||
86,000 | Denbury Resources, Inc., 4.63%, 7/15/23 | 57,190 | ||||
210,000 | Dish DBS Corp, 5.13%, 5/1/20 | 217,875 | ||||
40,000 | Energy Transfer Equity L.P., 5.88%, 1/15/24 | 41,500 | ||||
204,000 | Envision Healthcare Corp., 5.13%, 7/1/22(a) | 202,980 | ||||
281,000 | ESH Hospitality, Inc., 5.25%, 5/1/25(a) | 280,649 | ||||
70,000 | Extraction Oil & Gas Holdings LLC/Extraction Finance Corp., 7.88%, 7/15/21(a) | 72,800 | ||||
190,000 | First Data Corp, 5.00%, 1/15/24(a) | 192,850 | ||||
50,000 | Frontier Communications Corp., 7.13%, 3/15/19 | 53,625 | ||||
185,000 | HCA, Inc., 5.88%, 5/1/23 | 197,025 | ||||
55,000 | HD Supply, Inc., 5.75%, 4/15/24(a) | 57,750 |
77 |
SCHEDULE OF PORTFOLIO INVESTMENTS
|
RBC BlueBay Diversified Credit Fund (cont.)
September 30, 2016
Principal Amount | Value | |||||
| ||||||
$ 391,000 | HD Supply, Inc., 7.50%, 7/15/20 | $ | 406,093 | |||
90,000 | Hilton Domestic Operating Co., Inc., 4.25%, 9/1/24(a) | 91,800 | ||||
100,000 | Landry’s, Inc., 6.75%, 10/15/24(a) | 101,750 | ||||
60,000 | Laredo Petroleum, Inc., 5.63%, 1/15/22 | 58,200 | ||||
190,000 | Level 3 Communications, Inc., 5.75%, 12/1/22 | 198,550 | ||||
70,000 | Level 3 Financing, Inc, 5.38%, 1/15/24 | 72,931 | ||||
60,000 | LifePoint Health, Inc., 5.38%, 5/1/24(a) | 60,000 | ||||
248,293 | Live Nation Entertainment, Inc., 5.38%, 6/15/22(a) | 256,362 | ||||
123,000 | LTF Merger Sub, Inc., 8.50%, 6/15/23(a) | 126,690 | ||||
167,000 | MGM Growth Properties Operating Partnership L.P./MGP Escrow Co-Issuer, Inc., 5.63%, 5/1/24(a) | 181,145 | ||||
90,000 | MGM Resorts International, 5.25%, 3/31/20 | 95,850 | ||||
110,000 | MGM Resorts International, 6.00%, 3/15/23 | 119,350 | ||||
88,000 | Micron Technology, Inc., 5.25%, 8/1/23(a) | 86,900 | ||||
310,000 | Momentive Performance Materials, Inc., 3.88%, 10/24/21 | 258,463 | ||||
303,000 | Momentive Performance Materials, Inc., Escrow Bond, 8.88%, 10/15/20(g)(h) | 0 | ||||
60,000 | Nexstar Escrow Corp., 5.63%, 8/1/24(a) | 60,150 | ||||
185,000 | Nielsen Finance LLC/Nielsen Finance Co., 5.00%, 4/15/22(a) | 191,013 | ||||
40,000 | Novelis Corp., 5.88%, 9/30/26(a) | 40,950 | ||||
70,000 | Novelis Corp., 6.25%, 8/15/24(a) | 74,287 | ||||
55,000 | Oasis Petroleum, Inc., 6.50%, 11/1/21 | 52,525 | ||||
56,000 | Oasis Petroleum, Inc., 6.88%, 3/15/22 | 53,620 | ||||
40,000 | ONEOK, Inc., 7.50%, 9/1/23 | 44,800 | ||||
50,000 | PDC Energy Inc., 6.13%, 9/15/24(a) | 51,750 | ||||
60,000 | Range Resources Corp., 5.00%, 3/15/23(a) | 58,650 | ||||
95,000 | RegionalCare Hospital Partners Holdings, Inc., 8.25%, 5/1/23(a) | 98,087 | ||||
270,000 | Rite Aid Corp., 6.13%, 4/1/23(a) | 291,376 | ||||
67,000 | Sabine Pass Liquefaction LLC, 5.88%, 6/30/26(a) | 72,821 | ||||
130,000 | Sabre GLBL, Inc., 5.25%, 11/15/23(a) | 132,275 | ||||
70,000 | SBA Communications Corp., 4.88%, 9/1/24(a) | 70,525 | ||||
55,000 | Scientific Games International, Inc, 7.00%, 1/1/22(a) | 58,162 | ||||
70,000 | Scientific Games International, Inc, 10.00%, 12/1/22 | 64,575 | ||||
100,000(c) | Sealed Air Corp., 4.50%, 9/15/23(a) | 123,634 | ||||
228,000 | Serta Simmons Bedding LLC, 8.13%, 10/1/20(a) | 238,260 | ||||
130,000 | Sirius XM Radio, Inc., 4.25%, 5/15/20(a) | 132,600 | ||||
60,000 | Sprint Communications, Inc., 9.00%, 11/15/18(a) | 66,225 | ||||
59,000 | Sprint Corp, 7.25%, 9/15/21 | 59,221 | ||||
155,000 | Sunoco L.P./Sunoco Finance Corp., 5.50%, 8/1/20(a) | 157,519 | ||||
35,000 | Sunoco L.P./Sunoco Finance Corp., 6.38%, 4/1/23(a) | 35,963 | ||||
27,000 | Targa Resources Partners L.P./Targa Resources Partners Finance Corp., 4.13%, 11/15/19 | 27,378 | ||||
90,000 | Targa Resources Partners L.P./Targa Resources Partners Finance Corp., 5.13%, 2/1/25(a) | 90,113 | ||||
200,000 | Taylor Morrison Communities, Inc./Monarch Communities, Inc., 5.25%, 4/15/21(a) | 206,500 | ||||
240,000 | Tenet Healthcare Corp., 5.00%, 3/1/19 | 234,600 | ||||
60,000 | Tenet Healthcare Corp., 5.50%, 3/1/19 | 58,950 |
78 |
SCHEDULE OF PORTFOLIO INVESTMENTS
|
RBC BlueBay Diversified Credit Fund (cont.)
September 30, 2016
Principal Amount | Value | |||||
| ||||||
$ 16,000 | Tesoro Logistics L.P./Tesoro Logistics Finance Corp., 6.13%, 10/15/21 | $ | 16,720 | |||
110,000 | T-Mobile USA, Inc, 6.25%, 4/1/21 | 115,431 | ||||
120,000 | T-Mobile USA, Inc, 6.50%, 1/15/26 | 132,750 | ||||
123,000 | T-Mobile USA, Inc, 6.63%, 4/28/21 | 129,457 | ||||
190,000 | TransDigm, Inc., 5.50%, 10/15/20 | 195,700 | ||||
132,000 | Univision Communications, Inc., 5.13%, 5/15/23(a) | 133,650 | ||||
77,000 | Univision Communications, Inc., 6.75%, 9/15/22(a) | 81,716 | ||||
113,890 | Valeant Pharmaceuticals International Inc., 5.88%, 5/15/23(a) | 98,450 | ||||
290,000(c) | Valeant Pharmaceuticals International, Inc., 4.50%, 5/15/23 | 257,384 | ||||
193,000(c) | VWR Funding, Inc., 4.63%, 4/15/22 | 221,029 | ||||
50,000 | WESCO Distribution, Inc., 5.38%, 6/15/24(a) | 50,125 | ||||
102,000 | Whiting Petroleum Corp., 5.00%, 3/15/19 | 98,685 | ||||
40,000 | WMG Acquisition Corp., 5.00%, 8/1/23(a) | 40,600 | ||||
245,000 | Zayo Group LLC/Zayo Capital, Inc., 6.00%, 4/1/23 | 257,250 | ||||
|
| |||||
11,797,496 | ||||||
|
| |||||
Venezuela — 0.86% | ||||||
95,500 | Petroleos de Venezuela SA, 5.25%, 4/12/17 | 81,629 | ||||
545,576 | Petroleos de Venezuela SA, 6.00%, 5/16/24 | 233,179 | ||||
105,452 | Petroleos de Venezuela SA, 6.00%, 11/15/26 | 43,853 | ||||
71,133 | Petroleos de Venezuela SA, 8.50%, 11/2/17 | 60,888 | ||||
297,729 | Petroleos de Venezuela SA, 9.00%, 11/17/21 | 166,752 | ||||
|
| |||||
586,301 | ||||||
|
| |||||
Total Corporate Bonds | 22,633,867 | |||||
|
| |||||
(Cost $21,931,757) | ||||||
Foreign Government Bonds — 59.31% | ||||||
Argentina — 4.53% | ||||||
600,000 | Argentine Republic Government International Bond, 7.13%, 7/6/36 | 634,848 | ||||
670,000(c) | Argentine Republic Government International Bond, 12.55%, 12/15/35(i) | 77,974 | ||||
2,365,745 | Argentine Republic Government International Bond, 12.61%, 12/15/35(i) | 249,586 | ||||
470,000 | Provincia de Buenos Aires Argentina, 5.75%, 6/15/19 | 485,851 | ||||
450,000 | Provincia de Cordoba, 7.13%, 6/10/21 | 471,617 | ||||
1,155,000 | Provincia del Chubut Argentina, 7.75%, 7/26/26 | 1,183,875 | ||||
|
| |||||
3,103,751 | ||||||
|
| |||||
Armenia — 1.79% | ||||||
1,150,000 | Armenia International Bond, 7.15%, 3/26/25 | 1,221,688 | ||||
Brazil — 5.22% | ||||||
3,872,000(b) | Brazil Notas do Tesouro Nacional, Series F, 10.00%, 1/1/18 | 1,191,679 |
79 |
SCHEDULE OF PORTFOLIO INVESTMENTS
|
RBC BlueBay Diversified Credit Fund (cont.)
September 30, 2016
Principal Amount | Value | |||||
| ||||||
1,656,000(b) | Brazil Notas do Tesouro Nacional, Series F, 10.00%, 1/1/21 | $ | 498,127 | |||
$ 800,000 | Brazilian Government International Bond, 5.00%, 1/27/45 | 726,135 | ||||
445,000 | Brazilian Government International Bond, 6.00%, 4/7/26 | 494,430 | ||||
120,000 | Brazilian Government International Bond, 8.25%, 1/20/34 | 154,115 | ||||
345,000 | Brazilian Government International Bond, 10.13%, 5/15/27 | 509,870 | ||||
|
| |||||
3,574,356 | ||||||
|
| |||||
Bulgaria — 1.01% | ||||||
565,000(c) | Bulgaria Government International Bond, 3.00%, 3/21/28 | 694,407 | ||||
Colombia — 1.08% | ||||||
1,792,100,000(b) | Colombian TES, 10.00%, 7/24/24 | 738,211 | ||||
Cote D’Ivoire (Ivory Coast) — 0.92% | ||||||
605,000 | Ivory Coast Government International Bond, 6.38%, 3/3/28 | 632,789 | ||||
Croatia (Hrvatska) — 1.37% | ||||||
525,000 | Croatia Government International Bond, 6.00%, 1/26/24 | 603,180 | ||||
300,000 | Croatia Government International Bond, 6.75%, 11/5/19 | 332,049 | ||||
|
| |||||
935,229 | ||||||
|
| |||||
Dominican Republic — 2.12% | ||||||
425,000 | Dominican Republic International Bond, 5.50%, 1/27/25 | 450,137 | ||||
100,000 | Dominican Republic International Bond, 5.88%, 4/18/24 | 107,855 | ||||
525,000 | Dominican Republic International Bond, 6.85%, 1/27/45 | 588,735 | ||||
166,000 | Dominican Republic International Bond, 6.88%, 1/29/26 | 192,090 | ||||
100,000 | Dominican Republic International Bond, 7.50%, 5/6/21 | 111,925 | ||||
|
| |||||
1,450,742 | ||||||
|
| |||||
Ecuador — 1.99% | ||||||
845,000 | Ecuador Government International Bond, 7.95%, 6/20/24 | 757,289 | ||||
590,000 | Ecuador Government International Bond, 10.75%, 3/28/22 | 602,333 | ||||
|
| |||||
1,359,622 | ||||||
|
| |||||
Egypt — 0.46% | ||||||
325,000 | Egypt Government International Bond, 6.88%, 4/30/40 | 312,886 | ||||
El Salvador — 0.36% | ||||||
189,000 | El Salvador Government International Bond, 5.88%, 1/30/25 | 188,414 | ||||
60,000 | El Salvador Government International Bond, 6.38%, 1/18/27 | 60,576 | ||||
|
| |||||
248,990 | ||||||
|
| |||||
Ghana — 1.36% | ||||||
250,000 | Ghana Government International Bond, 7.88%, 8/7/23 | 233,202 |
80 |
SCHEDULE OF PORTFOLIO INVESTMENTS
|
RBC BlueBay Diversified Credit Fund (cont.)
September 30, 2016
Principal Amount | Value | |||||
| ||||||
$ 530,000 | Ghana Government International Bond, 8.13%, 1/18/26 | $ | 492,837 | |||
200,000 | Ghana Government International Bond, 9.25%, 9/15/22(a) | 204,726 | ||||
|
| |||||
930,765 | ||||||
|
| |||||
Honduras — 1.37% | ||||||
425,000 | Honduras Government International Bond, 7.50%, 3/15/24 | 478,125 | ||||
400,000 | Honduras Government International Bond, 8.75%, 12/16/20 | 459,000 | ||||
|
| |||||
937,125 | ||||||
|
| |||||
Hungary — 0.58% | ||||||
89,580,000(b) | Hungary Government Bond, 5.50%, 6/24/25 | 398,761 | ||||
Indonesia — 5.53% | ||||||
385,000(c) | Indonesia Government International Bond, 2.63%, 6/14/23 | 453,894 | ||||
415,000(c) | Indonesia Government International Bond, 3.75%, 6/14/28 | 510,535 | ||||
450,000 | Indonesia Government International Bond, 4.75%, 1/8/26 | 502,960 | ||||
200,000 | Indonesia Government International Bond, 5.95%, 1/8/46 | 253,207 | ||||
15,593,000,000(b) | Indonesia Treasury Bond, 8.38%, 9/15/26 | 1,309,524 | ||||
700,000 | Perusahaan Penerbit SBSN Indonesia III, 4.55%, 3/29/26 | 758,156 | ||||
|
| |||||
3,788,276 | ||||||
|
| |||||
Jamaica — 1.98% | ||||||
1,185,000 | Jamaica Government International Bond, 6.75%, 4/28/28 | 1,355,563 | ||||
Kazakhstan — 1.62% | ||||||
600,000 | Kazakhstan Government International Bond, 5.13%, 7/21/25 | 674,912 | ||||
350,000 | Kazakhstan Government International Bond, 6.50%, 7/21/45 | 436,174 | ||||
|
| |||||
1,111,086 | ||||||
|
| |||||
Kenya — 0.64% | ||||||
445,000 | Kenya Government International Bond, 6.88%, 6/24/24 | 435,961 | ||||
Lebanon — 0.46% | ||||||
325,000 | Lebanon Government International Bond, 6.65%, 11/3/28 | 317,228 | ||||
Malaysia — 1.37% | ||||||
3,793,000(b) | Malaysia Government Bond, 3.80%, 8/17/23 | 936,853 | ||||
Mexico — 3.27% | ||||||
1,440,000(b) | Mexican Bonos, 5.75%, 3/5/26 | 72,643 | ||||
18,340,000(b) | Mexican Bonos, 10.00%, 12/5/24 | 1,190,907 | ||||
990,000 | Mexico Government International Bond, 4.35%, 1/15/47 | 973,250 | ||||
|
| |||||
2,236,800 | ||||||
|
| |||||
Peru — 0.19% | ||||||
109,000(b) | Peruvian Government International Bond, 6.35%, 8/12/28(a) | 32,172 |
81 |
SCHEDULE OF PORTFOLIO INVESTMENTS
|
RBC BlueBay Diversified Credit Fund (cont.)
September 30, 2016
Principal Amount | Value | |||||
| ||||||
312,000(b) | Peruvian Government International Bond, 6.95%, 8/12/31 | $ | 100,277 | |||
|
| |||||
132,449 | ||||||
|
| |||||
Poland — 1.33% | ||||||
1,657,000(b) | Poland Government Bond, 1.75%, 7/25/21 | 421,476 | ||||
1,514,000(b) | Poland Government Bond, 2.50%, 7/25/26 | 381,717 | ||||
401,000(b) | Poland Government Bond, 3.25%, 7/25/25 | 107,973 | ||||
|
| |||||
911,166 | ||||||
|
| |||||
Romania — 1.63% | ||||||
530,000(b) | Romanian Government Bond, 5.80%, 7/26/27 | 166,170 | ||||
$ 860,000 | Romanian Government International Bond, 4.38%, 8/22/23 | 950,873 | ||||
|
| |||||
1,117,043 | ||||||
|
| |||||
Russia — 1.58% | ||||||
11,983,000(b) | Russian Federal Bond - OFZ, 7.00%, 8/16/23 | 179,807 | ||||
4,031,000(b) | Russian Federal Bond - OFZ, 7.75%, 9/16/26 | 62,937 | ||||
23,539,000(b) | Russian Federal Bond - OFZ, 8.15%, 2/3/27 | 378,436 | ||||
400,000 | Russian Foreign Bond - Eurobond, 5.63%, 4/4/42 | 461,760 | ||||
|
| |||||
1,082,940 | ||||||
|
| |||||
Serbia — 1.90% | ||||||
800,000 | Serbia International Bond, 4.88%, 2/25/20 | 835,627 | ||||
400,000 | Serbia International Bond, 7.25%, 9/28/21 | 465,515 | ||||
|
| |||||
1,301,142 | ||||||
|
| |||||
South Africa — 2.79% | ||||||
23,329,480(b) | South Africa Government Bond, 10.50%, 12/21/26 | 1,908,895 | ||||
Sri Lanka — 1.33% | ||||||
850,000 | Sri Lanka Government International Bond, 6.83%, 7/18/26 | 912,611 | ||||
Thailand — 1.02% | ||||||
872,000(b) | Thailand Government Bond, 2.13%, 12/17/26 | 25,096 | ||||
20,435,000(b) | Thailand Government Bond, 3.85%, 12/12/25 | 674,872 | ||||
|
| |||||
699,968 | ||||||
|
| |||||
Turkey — 4.31% | ||||||
2,164,360(b) | Turkey Government Bond, 8.00%, 3/12/25 | 658,918 | ||||
589,000(b) | Turkey Government Bond, 10.60%, 2/11/26 | 209,327 | ||||
346,000(b) | Turkey Government Bond, 10.70%, 2/17/21 | 121,943 | ||||
300,000 | Turkey Government International Bond, 4.25%, 4/14/26 | 293,150 | ||||
650,000 | Turkey Government International Bond, 4.88%, 4/16/43 | 605,620 | ||||
300,000 | Turkey Government International Bond, 5.13%, 3/25/22 | 311,775 | ||||
530,000 | Turkey Government International Bond, 6.63%, 2/17/45 | 618,446 |
82 |
SCHEDULE OF PORTFOLIO INVESTMENTS
|
RBC BlueBay Diversified Credit Fund (cont.)
September 30, 2016
Principal Amount | Value | |||||
| ||||||
$ 110,000 | Turkey Government International Bond, 7.38%, 2/5/25 | $ | 130,082 | |||
|
| |||||
2,949,261 | ||||||
|
| |||||
Ukraine — 2.48% | ||||||
1,418,000 | Ukraine Government International Bond, 4.72%, 5/31/40(i) | 452,318 | ||||
1,260,000 | Ukraine Government International Bond, 7.75%, 9/1/19 | 1,244,250 | ||||
|
| |||||
1,696,568 | ||||||
|
| |||||
Venezuela — 0.79% | ||||||
300,000 | Venezuela Government International Bond, 7.75%, 10/13/19 | 185,212 | ||||
550,000 | Venezuela Government International Bond, 12.75%, 8/23/22 | 355,437 | ||||
|
| |||||
540,649 | ||||||
|
| |||||
Vietnam — 0.93% | ||||||
600,000 | Vietnam Government International Bond, 4.80%, 11/19/24 | 635,412 | ||||
Total Foreign Government Bonds | 40,609,193 | |||||
|
| |||||
(Cost $40,150,932) | ||||||
Shares | ||||||
Investment Company — 3.75% | ||||||
2,572,038 | JPMorgan 100% US Treasury Securities Money Market Fund, Capital Shares | $ | 2,572,038 | |||
|
| |||||
Total Investment Company | 2,572,038 | |||||
|
| |||||
(Cost $2,572,038) | ||||||
Total Investments | $ | 65,815,098 | ||||
(Cost $64,654,727)(j) — 96.12% | ||||||
Other assets in excess of liabilities — 3.88% | 2,654,487 | |||||
|
| |||||
NET ASSETS — 100.00% | $ | 68,469,585 | ||||
|
|
(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) | Investment in non-U.S. Dollars. Principal amount reflects local currency. |
(c) | Principal amount denoted in Euros. |
(d) | Variable rate security. The rate reflected in the Schedule of Portfolio Investments is the rate in effect on September 30, 2016. |
(e) | Payment-in-kind (“PIK”) security. Income may be paid in additional securities or cash at the discretion of the issuer. |
(f) | Principal amount denoted in British Pounds. |
(g) | The Pricing Committee has fair valued this security under procedures established by the Fund’s Board of Trustees. |
(h) | Issuer filed for bankruptcy and/or is in default of interest payments. |
83 |
SCHEDULE OF PORTFOLIO INVESTMENTS
|
RBC BlueBay Diversified Credit Fund (cont.)
September 30, 2016
(i) | Zero coupon bond. The rate represents the yield at time of purchase. |
(j) | 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, 2016:
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||||||||||
BRL | 582,925 | USD | 175,000 | Citibank, N.A. | 10/4/16 | $ 4,015 | ||||||||||||||||||||||||||
BRL | 579,333 | USD | 174,000 | Citibank, N.A. | 10/4/16 | 3,912 | ||||||||||||||||||||||||||
BRL | 570,987 | USD | 173,000 | Citibank, N.A. | 10/4/16 | 2,349 | ||||||||||||||||||||||||||
BRL | 599,956 | USD | 185,286 | Citibank, N.A. | 10/4/16 | (1,041) | ||||||||||||||||||||||||||
USD | 351,852 | BRL | 1,141,055 | Citibank, N.A. | 10/4/16 | 1,436 | ||||||||||||||||||||||||||
USD | 141,000 | BRL | 456,840 | Citibank, N.A. | 10/4/16 | 705 | ||||||||||||||||||||||||||
USD | 46,574 | BRL | 152,031 | Citibank, N.A. | 10/4/16 | (114) | ||||||||||||||||||||||||||
USD | 175,000 | BRL | 583,275 | Citibank, N.A. | 10/4/16 | (4,123) | ||||||||||||||||||||||||||
TRY | 346,324 | USD | 112,486 | Citibank, N.A. | 11/1/16 | 2,151 | ||||||||||||||||||||||||||
BRL | 1,141,055 | USD | 348,946 | Citibank, N.A. | 11/3/16 | (1,633) | ||||||||||||||||||||||||||
CLP | 6,769,402 | USD | 10,249 | Citibank, N.A. | 11/16/16 | 4 | ||||||||||||||||||||||||||
COP | 267,820,324 | USD | 90,664 | Citibank, N.A. | 11/16/16 | 1,407 | ||||||||||||||||||||||||||
COP | 449,311,593 | USD | 153,375 | Citibank, N.A. | 11/16/16 | 1,088 | ||||||||||||||||||||||||||
EUR | 371,000 | USD | 415,759 | Citibank, N.A. | 11/16/16 | 1,913 | ||||||||||||||||||||||||||
EUR | 348,000 | USD | 390,741 | Citibank, N.A. | 11/16/16 | 1,038 | ||||||||||||||||||||||||||
HUF | 18,360,851 | USD | 66,845 | Citibank, N.A. | 11/16/16 | 121 | ||||||||||||||||||||||||||
HUF | 5,755,524 | USD | 20,961 | Citibank, N.A. | 11/16/16 | 31 | ||||||||||||||||||||||||||
HUF | 4,952,504 | USD | 18,039 | Citibank, N.A. | 11/16/16 | 24 | ||||||||||||||||||||||||||
HUF | 17,704,597 | USD | 64,554 | Citibank, N.A. | 11/16/16 | 18 | ||||||||||||||||||||||||||
HUF | 17,704,596 | USD | 64,729 | Citibank, N.A. | 11/16/16 | (157) | ||||||||||||||||||||||||||
HUF | 17,704,597 | USD | 64,834 | Citibank, N.A. | 11/16/16 | (261) | ||||||||||||||||||||||||||
HUF | 17,704,596 | USD | 64,862 | Citibank, N.A. | 11/16/16 | (289) | ||||||||||||||||||||||||||
IDR | 50,937,915 | USD | 3,882 | Citibank, N.A. | 11/16/16 | 9 | ||||||||||||||||||||||||||
MXN | 16,103,377 | USD | 810,635 | Citibank, N.A. | 11/16/16 | 15,317 | ||||||||||||||||||||||||||
MXN | 3,181,206 | USD | 163,000 | Citibank, N.A. | 11/16/16 | 166 | ||||||||||||||||||||||||||
MXN | 286,371 | USD | 14,734 | Citibank, N.A. | 11/16/16 | (46) | ||||||||||||||||||||||||||
MXN | 343,637 | USD | 17,681 | Citibank, N.A. | 11/16/16 | (56) | ||||||||||||||||||||||||||
MXN | 314,690 | USD | 16,207 | Citibank, N.A. | 11/16/16 | (66) | ||||||||||||||||||||||||||
MXN | 317,998 | USD | 16,378 | Citibank, N.A. | 11/16/16 | (68) | ||||||||||||||||||||||||||
MYR | 1,734,492 | USD | 421,812 | Citibank, N.A. | 11/16/16 | (2,295) | ||||||||||||||||||||||||||
PEN | 491,986 | USD | 145,666 | Citibank, N.A. | 11/16/16 | (1,222) | ||||||||||||||||||||||||||
PHP | 10,670,161 | USD | 219,686 | Citibank, N.A. | 11/16/16 | 314 | ||||||||||||||||||||||||||
PLN | 294,968 | USD | 77,132 | Citibank, N.A. | 11/16/16 | (76) | ||||||||||||||||||||||||||
PLN | 294,968 | USD | 77,165 | Citibank, N.A. | 11/16/16 | (110) | ||||||||||||||||||||||||||
PLN | 1,346,239 | USD | 351,920 | Citibank, N.A. | 11/16/16 | (237) | ||||||||||||||||||||||||||
RON | 892,822 | USD | 225,823 | Citibank, N.A. | 11/16/16 | 83 | ||||||||||||||||||||||||||
RON | 38,405 | USD | 9,707 | Citibank, N.A. | 11/16/16 | 10 | ||||||||||||||||||||||||||
RON | 28,845 | USD | 7,293 | Citibank, N.A. | 11/16/16 | 5 | ||||||||||||||||||||||||||
RUB | 8,268,322 | USD | 127,699 | Citibank, N.A. | 11/16/16 | 2,429 | ||||||||||||||||||||||||||
RUB | 1,619,677 | USD | 25,031 | Citibank, N.A. | 11/16/16 | 460 | ||||||||||||||||||||||||||
RUB | 1,619,678 | USD | 25,038 | Citibank, N.A. | 11/16/16 | 453 | ||||||||||||||||||||||||||
RUB | 1,619,678 | USD | 25,061 | Citibank, N.A. | 11/16/16 | 430 | ||||||||||||||||||||||||||
RUB | 1,619,677 | USD | 25,089 | Citibank, N.A. | 11/16/16 | 401 |
84 |
SCHEDULE OF PORTFOLIO INVESTMENTS
|
RBC BlueBay Diversified Credit Fund (cont.)
September 30, 2016
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||||||||||
RUB | 1,619,678 | USD | 25,093 | Citibank, N.A. | 11/16/16 | $ 398 | ||||||||||||||||||||||||||
RUB | 1,619,678 | USD | 25,097 | Citibank, N.A. | 11/16/16 | 394 | ||||||||||||||||||||||||||
THB | 12,148,098 | USD | 350,553 | Citibank, N.A. | 11/16/16 | (204) | ||||||||||||||||||||||||||
TRY | 131,505 | USD | 43,738 | Citibank, N.A. | 11/16/16 | (346) | ||||||||||||||||||||||||||
TRY | 131,505 | USD | 43,800 | Citibank, N.A. | 11/16/16 | (407) | ||||||||||||||||||||||||||
TRY | 86,574 | USD | 29,117 | Citibank, N.A. | 11/16/16 | (550) | ||||||||||||||||||||||||||
TRY | 267,309 | USD | 88,951 | Citibank, N.A. | 11/16/16 | (747) | ||||||||||||||||||||||||||
TRY | 399,027 | USD | 133,000 | Citibank, N.A. | 11/16/16 | (1,334) | ||||||||||||||||||||||||||
TRY | 471,791 | USD | 158,533 | Citibank, N.A. | 11/16/16 | (2,856) | ||||||||||||||||||||||||||
USD | 358,863 | CNY | 2,405,228 | Citibank, N.A. | 11/16/16 | (605) | ||||||||||||||||||||||||||
USD | 16,000 | COP | 46,460,800 | Citibank, N.A. | 11/16/16 | 28 | ||||||||||||||||||||||||||
USD | 392,013 | EUR | 348,000 | Citibank, N.A. | 11/16/16 | 234 | ||||||||||||||||||||||||||
USD | 2,248 | EUR | 2,000 | Citibank, N.A. | 11/16/16 | (4) | ||||||||||||||||||||||||||
USD | 22,421 | EUR | 20,073 | Citibank, N.A. | 11/16/16 | (177) | ||||||||||||||||||||||||||
USD | 391,687 | EUR | 350,927 | Citibank, N.A. | 11/16/16 | (3,387) | ||||||||||||||||||||||||||
USD | 23,000 | IDR | 301,645,000 | Citibank, N.A. | 11/16/16 | (41) | ||||||||||||||||||||||||||
USD | 72,805 | MXN | 1,416,379 | Citibank, N.A. | 11/16/16 | 158 | ||||||||||||||||||||||||||
USD | 107,000 | MXN | 2,084,253 | Citibank, N.A. | 11/16/16 | 97 | ||||||||||||||||||||||||||
USD | 31,922 | PEN | 108,838 | Citibank, N.A. | 11/16/16 | (32) | ||||||||||||||||||||||||||
USD | 2,000 | PLN | 7,665 | Citibank, N.A. | 11/16/16 | (3) | ||||||||||||||||||||||||||
USD | 28,194 | PLN | 107,941 | Citibank, N.A. | 11/16/16 | (4) | ||||||||||||||||||||||||||
USD | 29,851 | PLN | 114,294 | Citibank, N.A. | 11/16/16 | (6) | ||||||||||||||||||||||||||
USD | 20,000 | THB | 693,634 | Citibank, N.A. | 11/16/16 | (4) | ||||||||||||||||||||||||||
USD | 136,038 | ZAR | 1,857,051 | Citibank, N.A. | 11/16/16 | 1,960 | ||||||||||||||||||||||||||
USD | 158,374 | ZAR | 2,166,724 | Citibank, N.A. | 11/16/16 | 1,938 | ||||||||||||||||||||||||||
USD | 126,834 | ZAR | 1,733,379 | Citibank, N.A. | 11/16/16 | 1,686 | ||||||||||||||||||||||||||
USD | 94,911 | ZAR | 1,300,034 | Citibank, N.A. | 11/16/16 | 1,050 | ||||||||||||||||||||||||||
USD | 94,877 | ZAR | 1,300,034 | Citibank, N.A. | 11/16/16 | 1,016 | ||||||||||||||||||||||||||
ZAR | 97,168 | USD | 7,000 | Citibank, N.A. | 11/16/16 | 15 | ||||||||||||||||||||||||||
ZAR | 1,813,994 | USD | 133,000 | Citibank, N.A. | 11/16/16 | (2,031) | ||||||||||||||||||||||||||
ZAR | 2,499,217 | USD | 184,000 | Citibank, N.A. | 11/16/16 | (3,558) | ||||||||||||||||||||||||||
USD | 227,270 | CAD | 293,000 | Citibank, N.A. | 12/7/16 | 3,826 | ||||||||||||||||||||||||||
USD | 265,959 | CHF | 259,000 | Citibank, N.A. | 12/7/16 | (1,757) | ||||||||||||||||||||||||||
USD | 90,204 | EUR | 80,000 | Citibank, N.A. | 12/7/16 | 51 | ||||||||||||||||||||||||||
USD | 134,240 | EUR | 120,000 | Citibank, N.A. | 12/7/16 | (991) | ||||||||||||||||||||||||||
USD | 1,737,025 | EUR | 1,550,000 | Citibank, N.A. | 12/7/16 | (9,706) | ||||||||||||||||||||||||||
USD | 3,026,196 | EUR | 2,700,000 | Citibank, N.A. | 12/7/16 | (16,495) | ||||||||||||||||||||||||||
USD | 1,068,680 | GBP | 800,000 | Citibank, N.A. | 12/7/16 | 30,340 | ||||||||||||||||||||||||||
USD | 260,189 | GBP | 200,000 | Citibank, N.A. | 12/7/16 | 604 | ||||||||||||||||||||||||||
CNY | 21,980,800 | USD | 3,272,413 | Citibank, N.A. | 1/18/17 | (2,937) | ||||||||||||||||||||||||||
USD | 3,200,000 | CNY | 21,980,800 | Citibank, N.A. | 1/18/17 | (69,476) | ||||||||||||||||||||||||||
USD | 3,240,094 | CNY | 21,980,800 | Citibank, N.A. | 6/19/17 | 1,056 | ||||||||||||||||||||||||||
Total | $(44,312) |
85 |
SCHEDULE OF PORTFOLIO INVESTMENTS
|
RBC BlueBay Diversified Credit Fund (cont.)
September 30, 2016
Financial futures contracts as of September 30, 2016:
Short Position | Number of Contracts | Expiration Date | Unrealized Depreciation | Notional Value | Clearinghouse | |||||||||||||||||
Ten Year Euro-Bonds | 8 | December, 2016 | $ | (14,744) | EUR | 1,312,480 | Credit Suisse Securities (USA) LLC |
Interest rate swaps as of September 30, 2016:
Fixed | Floating Rate | Counterparty | Expiration Date | Notional Amount (000) | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||
11.61% | BRL-CDI | HSBC Bank Plc | 1/4/21 | BRL | 1,703(a) | 5,747 | ||||||||||||||||
11.80% | BRL-CDI | BNP Paribas SA | 1/4/21 | BRL | 1,310(a) | 7,646 | ||||||||||||||||
12.31% | BRL-CDI | HSBC Bank Plc | 1/4/21 | BRL | 1,145(a) | 14,971 | ||||||||||||||||
11.75% | BRL-CDI | HSBC Bank Plc | 1/4/21 | BRL | 855(b) | (4,411) | ||||||||||||||||
2.63% | CNY-CNREPOFIX =CFXS-Reuters | Merrill Lynch | 8/11/21 | CNY | 1,600(a) | (1,612) | ||||||||||||||||
2.58% | CNY-CNREPOFIX =CFXS-Reuters | HSBC Bank Plc | 8/17/21 | CNY | 500(a) | (690) | ||||||||||||||||
6.62% | COP-IBR-OVERNIGHT | JPMorgan Chase Bank, N.A. | 5/12/18 | COP | 1,472,000(a) | 1,453 | ||||||||||||||||
7.26% | COP-IBR-OVERNIGHT | JPMorgan Chase Bank, N.A. | 5/12/18 | COP | 372,658(a) | (8,309) | ||||||||||||||||
0.65% | HUF-BUBOR-Reuters | Citigroup Global Markets, Inc. | 12/22/17 | HUF | 381,203(b) | 954 | ||||||||||||||||
6.40% | INR-MIBOR-OIS-COMPOUND | HSBC Bank Plc | 8/11/21 | INR | 17,643(a) | 332 | ||||||||||||||||
6.41% | INR-MIBOR-OIS-COMPOUND | HSBC Bank Plc | 8/16/21 | INR | 13,325(a) | 331 | ||||||||||||||||
6.39% | INR-MIBOR-OIS-COMPOUND | JPMorgan Chase Bank, N.A. | 8/18/21 | INR | 8,910(a) | 118 | ||||||||||||||||
8.52% | JIBAR 3 MONTH | Citigroup Global Markets, Inc. | 6/28/26 | ZAR | 3,198(b) | (7,217) | ||||||||||||||||
6.36% | MXN-TIIE-Banxico | HSBC Bank Plc | 9/21/26 | MXN | 3,443(a) | — | ||||||||||||||||
8.74% | USD-BBA LIBOR | JPMorgan Chase Bank, N.A. | 1/10/18 | USD | 414(b) | (1,878) | ||||||||||||||||
Total | $ 7,435 |
(a) The Counterparty pays the fixed rate on these swaps.
(b) The Fund pays the fixed rate on these swaps.
Credit default swaps buy protection as of September 30, 2016:
Fixed Rate | Issuer | Counterparty | Expiration Date | Notional Amount (000) | Value | |||||||||||
5.00% | INEOS Group Holdings SA | JP Morgan Chase Bank, N.A. | 6/20/21 | EUR 95 | (7,456) | |||||||||||
|
| |||||||||||||||
Total (Premiums received $(5,528)) | $ | (7,456) | ||||||||||||||
|
|
86 |
SCHEDULE OF PORTFOLIO INVESTMENTS
|
RBC BlueBay Diversified Credit Fund (cont.)
September 30, 2016
Credit default swaps sell protection as of September 30, 2016:
Fixed | Issuer | Counterparty | Expiration Date | Implied Credit Spread* | Notional Amount (000)(a) | Value | ||||||||||||||
5.00% | CDX.NA.HY, Series 26 | Citigroup Global Markets, Inc. | 6/20/21 | 3.75% | USD 385 | $ | 20,443 | |||||||||||||
5.00% | CDX.NA.HY, Series 26 | Citigroup Global Markets, Inc. | 6/20/21 | 3.75% | USD 335 | 17,785 | ||||||||||||||
5.00% | CDX.NA.HY, Series 26 | Citigroup Global Markets, Inc. | 6/20/21 | 3.75% | USD 330 | 17,495 | ||||||||||||||
|
| |||||||||||||||||||
Total (Premiums paid $45,285) | $ | 55,723 | ||||||||||||||||||
|
|
* | Implied credit spread, represented in absolute terms, utilized in determining the value of the credit default swap agreements as of period end will serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default or other credit event for the credit derivative. The implied credit spread of a referenced entity reflects the cost of buying/ selling protection and may include upfront payments required to be made to enter into the agreement. Generally, wider credit spreads represent a perceived deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the swap agreement. |
(a) | The maximum potential amount the Fund may pay should a negative credit event take place as defined under the terms of the agreement. |
87 |
SCHEDULE OF PORTFOLIO INVESTMENTS
|
RBC BlueBay Diversified Credit Fund (cont.)
September 30, 2016
Abbreviations used are defined below:
BBA-LIBOR - British Bankers Association London Interbank Offered Rate
BRL - Brazilian Real
BRL-CDI - Brazil Cetip Interbank Deposit Rate
CAD - Canadian Dollar
CHF - Swiss Franc
CLP - Chilean Peso
CNY - Chinese Yuan
CNREPOFIX=CFXS - Chinese Renminbi Repo Rate=Chinese Foreign Exchange Trade System
COP - Colombian Peso
COP-IBR-OVERNIGHT - Colombia Overnight Interbank Rate
EUR - Euro
GBP - British Pound
HUF - Hungarian Forint
HUF-BUBOR - Budapest Interbank Offered Rate for Hungarian Forint
IDR - Indonesian Rupiah
INR - Indian Rupee
INR-MIBOR-OIS-COMPOUND - Mumbai Interbank Offered Rate - Overnight Index Swap
JIBAR - Johannesburg Interbank Agreed Rate
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 - Romania Leu
RUB - Russian Ruble
THB - Thai Baht
TRY - Turkish Lira
USD - United States Dollar
ZAR - South African Rand
88 |
SCHEDULE OF PORTFOLIO INVESTMENTS
|
RBC BlueBay Diversified Credit Fund (cont.)
September 30, 2016
Portfolio Diversification (Unaudited)
Industries | Percentage of Net Assets | |||
Foreign Government Bonds | 59.31 | % | ||
Telecom Services | 10.04 | % | ||
Consumer Discretionary | 5.31 | % | ||
Energy | 5.31 | % | ||
Financials | 4.43 | % | ||
Health Care | 2.81 | % | ||
Industrials | 2.80 | % | ||
Materials | 0.97 | % | ||
Consumer Staples | 0.96 | % | ||
Information Technology | 0.43 | % | ||
Other* | 7.63 | % | ||
|
| |||
100.00 | % | |||
|
|
* | Includes cash, Investment Company, credit default swaps, financial futures contracts, interest rate swaps, interest and dividend receivable, pending trades and Fund share transactions, foreign currency exchange contracts and accrued expenses payable. |
See Notes to Financial Statements.
89 |
|
Statements of Assets and Liabilities
September 30, 2016
RBC BlueBay Bond Fund | RBC BlueBay Bond Fund | RBC BlueBay Global High Yield Bond Fund | RBC BlueBay Global Convertible Bond Fund | |||||||||||||||||||||
Assets: | ||||||||||||||||||||||||
Investments, at value (cost $16,989,481, $19,521,163, $31,847,330 and $15,401,216, respectively) | $ | 17,356,153 | $ | 19,775,174 | $ 32,107,488 | $ 16,163,379 | ||||||||||||||||||
Cash | 95,713 | 198,192 | 9,382 | — | ||||||||||||||||||||
Cash at broker for financial futures contracts | 78,767 | 75,260 | 32 | 78,698 | ||||||||||||||||||||
Segregated cash and foreign currency for options contracts and swap contracts | 19,988 | 19,256 | 15,467 | 145,844 | ||||||||||||||||||||
Foreign currency, at value (cost $1,600,612, $89,720, $356,027 and $104,688, respectively) | 1,600,261 | 90,077 | 355,478 | 104,971 | ||||||||||||||||||||
Credit default swaps at value (premiums paid $47,781, $112,952, $0 and $0, respectively) | 41,664 | 103,370 | — | — | ||||||||||||||||||||
Interest and dividends receivable | 253,820 | 283,705 | 519,283 | 41,932 | ||||||||||||||||||||
Receivable from advisor | — | 7,255 | 10,703 | 20,432 | ||||||||||||||||||||
Receivable for capital shares issued | — | 41,000 | — | — | ||||||||||||||||||||
Receivable for investments sold | 426,183 | 926,164 | 260,720 | 346,680 | ||||||||||||||||||||
Unrealized appreciation on futures contracts | 2,135 | — | — | 2,588 | ||||||||||||||||||||
Unrealized appreciation on interest rate swaps contracts | 91,066 | — | — | — | ||||||||||||||||||||
Unrealized appreciation on forward foreign currency exchange contracts | 25,022 | 8,804 | 32,679 | 16,143 | ||||||||||||||||||||
Prepaid expenses and other assets | 7,570 | 7,445 | 7,476 | 5,520 | ||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||
Total Assets | 19,998,342 | 21,535,702 | 33,318,708 | 16,926,187 | ||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||
Liabilities: | ||||||||||||||||||||||||
Cash overdraft | — | — | — | 19 | ||||||||||||||||||||
Payable for capital shares redeemed | — | — | — | 10,758 | ||||||||||||||||||||
Payable for investments purchased | 683,731 | 1,254,223 | 589,705 | 190,111 | ||||||||||||||||||||
Payable to broker | 40,000 | — | — | — | ||||||||||||||||||||
Written options, at value (premiums received $0, $0, $0 and $34,879, respectively) | — | — | — | 15,660 | ||||||||||||||||||||
Credit default swaps at value (premiums received $357, $26,318, $5,053 and $0, respectively) | 2,293 | 27,937 | 6,828 | — | ||||||||||||||||||||
Unrealized depreciation on forward foreign currency exchange contracts | 19,170 | 14,120 | 24,934 | 54,556 | ||||||||||||||||||||
Unrealized depreciation on interest rate swaps contracts | 16,717 | — | — | — | ||||||||||||||||||||
Unrealized depreciation on futures contracts | 1,101 | 2,336 | — | — | ||||||||||||||||||||
Foreign witholding tax payable | 2,572 | — | — | — | ||||||||||||||||||||
Accrued expenses and other payables: | ||||||||||||||||||||||||
Investment advisory fees | 15,659 | — | — | — | ||||||||||||||||||||
Accounting fees | 3,608 | 3,613 | 3,669 | 3,600 | ||||||||||||||||||||
Audit fees | 21,484 | 21,484 | 22,882 | 24,236 | ||||||||||||||||||||
Trustee fees | 8 | 8 | 13 | 9 | ||||||||||||||||||||
Distribution fees | — | 75 | 155 | — | ||||||||||||||||||||
Shareholder reports | 1,562 | 1,040 | 1,721 | 1,556 | ||||||||||||||||||||
Transfer agent fees | — | — | 29 | 2,263 | ||||||||||||||||||||
Other | 11,334 | 8,069 | 14,479 | 7,224 | ||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||
Total Liabilities | 819,239 | 1,332,905 | 664,415 | 309,992 | ||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||
Net Assets | $ | 19,179,103 | $ | 20,202,797 | $ 32,654,293 | $ 16,616,195 | ||||||||||||||||||
|
|
|
|
|
|
|
|
90 |
FINANCIAL STATEMENTS
|
Statements of Assets and Liabilities (cont.)
September 30, 2016
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 | $ | 24,961,980 | $ | 20,323,888 | $ | 33,221,064 | $ | 17,610,514 | ||||||||||||||||||||
Undistributed net investment income and distributions in excess of net investment income | (555,327 | ) | 250,822 | 274,876 | (126,638 | ) | ||||||||||||||||||||||
Accumulated net realized losses from investment transactions, futures contracts, swap contracts, written options and foreign currency | (5,670,024 | ) | (607,468 | ) | (1,106,849 | ) | (1,612,598 | ) | ||||||||||||||||||||
Net unrealized appreciation on investments, futures contracts, swap contracts, written options and foreign currency | 442,474 | 235,555 | 265,202 | 744,917 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Net Assets | $ | 19,179,103 | $ | 20,202,797 | $ | 32,654,293 | $ | 16,616,195 | ||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Net Assets: | ||||||||||||||||||||||||||||
Class A | $ | 111,880 | $ | 52,274 | $ | 830,690 | N/A | |||||||||||||||||||||
Class I | 19,067,223 | 20,150,523 | 31,823,603 | $ | 16,616,195 | |||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Total | $ | 19,179,103 | $ | 20,202,797 | $ | 32,654,293 | $ | 16,616,195 | ||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Shares Outstanding (Unlimited number of shares authorized, no par value): | ||||||||||||||||||||||||||||
Class A | 11,443 | 5,243 | 83,246 | N/A | ||||||||||||||||||||||||
Class I | 1,944,047 | 2,019,308 | 3,188,165 | 1,706,642 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Total | 1,955,490 | 2,024,551 | 3,271,411 | 1,706,642 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Net Asset Values and Redemption Prices Per Share: | ||||||||||||||||||||||||||||
Class A | $ | 9.78 | $ | 9.97 | $ | 9.98 | N/A | |||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Class I | $ | 9.81 | $ | 9.98 | $ | 9.98 | $ | 9.74 | ||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Maximum Offering Prices Per Share: | ||||||||||||||||||||||||||||
Class A | $ | 10.21 | $ | 10.41 | $ | 10.42 | N/A | |||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Maximum Sales Charge - Class A | 4.25 | % | 4.25 | % | 4.25 | % | N/A | |||||||||||||||||||||
|
|
|
|
|
|
|
|
91 |
FINANCIAL STATEMENTS
|
Statements of Assets and Liabilities (cont.)
September 30, 2016
RBC BlueBay Absolute Return Fund | RBC BlueBay Emerging Market Unconstrained Fixed Income Fund | RBC BlueBay Diversified Credit Fund | ||||||||||||||
Assets: | ||||||||||||||||
Investments, at value (cost $142,549,452, $15,656,541 and $64,654,727, respectively) | $ | 145,159,590 | $ | 15,530,811 | $ | 65,815,098 | ||||||||||
Cash | 1,692,195 | 318,819 | 897,295 | |||||||||||||
Cash at broker for financial futures contracts | 373,877 | 148,044 | 58,611 | |||||||||||||
Segregated cash and foreign currency for options contracts and swap contracts | 6,868,382 | 165,765 | 34,030 | |||||||||||||
Foreign currency, at value (cost $2,293,434, $681,135 and $187,447, respectively) | 2,295,951 | 676,600 | 189,203 | |||||||||||||
Credit default swaps at value (premiums paid $260,290, $204,433 and $45,285, respectively) | 102,835 | 197,535 | 55,723 | |||||||||||||
Interest and dividends receivable | 1,821,113 | 207,612 | 904,600 | |||||||||||||
Receivable from advisor | — | 11,078 | — | |||||||||||||
Receivable for capital shares issued | 10,261 | — | — | |||||||||||||
Receivable for investments sold | 2,319,197 | 5,964,051 | 2,566,839 | |||||||||||||
Unrealized appreciation on futures contracts | 36,135 | — | — | |||||||||||||
Unrealized appreciation on interest rate swaps contracts | 312,009 | 43,372 | 31,552 | |||||||||||||
Unrealized appreciation on total return swaps contracts | 25,532 | — | — | |||||||||||||
Unrealized appreciation on forward foreign currency exchange contracts | 724,613 | 44,850 | 85,140 | |||||||||||||
Prepaid expenses and other assets | 13,393 | 5,527 | 6,158 | |||||||||||||
|
|
|
|
|
| |||||||||||
Total Assets | 161,755,083 | 23,314,064 | 70,644,249 | |||||||||||||
|
|
|
|
|
| |||||||||||
Liabilities: | ||||||||||||||||
Payable for capital shares redeemed | 396,694 | — | — | |||||||||||||
Payable for investments purchased | 3,553,150 | 7,456,611 | 1,913,545 | |||||||||||||
Payable to broker | 10,000 | 30,000 | — | |||||||||||||
Credit default swaps at value (premiums received $1,646,295, $89,760 and $5,528, respectively) | 2,413,272 | 98,584 | 7,456 | |||||||||||||
Unrealized depreciation on forward foreign currency exchange contracts | 2,592,829 | 25,784 | 129,452 | |||||||||||||
Unrealized depreciation on interest rate swaps contracts | 184,699 | — | 24,117 | |||||||||||||
Unrealized depreciation on total return swaps contracts | 498,547 | — | — | |||||||||||||
Unrealized depreciation on futures contracts | 1,804 | 22,856 | 14,744 | |||||||||||||
Foreign witholding tax payable | — | 819 | 2,971 | |||||||||||||
Accrued expenses and other payables: | ||||||||||||||||
Investment advisory fees | 151,858 | — | 27,289 | |||||||||||||
Accounting fees | 4,252 | 3,593 | 3,824 | |||||||||||||
Audit fees | 24,326 | 23,739 | 23,739 | |||||||||||||
Trustee fees | 178 | 6 | 30 | |||||||||||||
Shareholder reports | 24,722 | 802 | 3,666 | |||||||||||||
Transfer agent fees | 51,431 | 592 | 848 | |||||||||||||
Other | 18,290 | 12,336 | 22,983 | |||||||||||||
|
|
|
|
|
| |||||||||||
Total Liabilities | $ | 9,926,052 | $ | 7,675,722 | $ | 2,174,664 | ||||||||||
|
|
|
|
|
| |||||||||||
Net Assets | $ | 151,829,031 | $ | 15,638,342 | $ | 68,469,585 | ||||||||||
|
|
|
|
|
|
92 |
FINANCIAL STATEMENTS
|
Statements of Assets and Liabilities (cont.)
September 30, 2016
RBC BlueBay Absolute Return Fund | RBC BlueBay Emerging Market Unconstrained Fixed Income Fund | RBC BlueBay Diversified Credit Fund | ||||||||||||||
Net Assets Consist Of: | ||||||||||||||||
Capital | $ | 182,963,606 | $ | 15,329,552 | $ | 67,805,387 | ||||||||||
Undistributed net investment income and distributions in excess of net investment income | (5,488,310 | ) | 463,587 | 869,367 | ||||||||||||
Accumulated net realized gains/(losses) from investment transactions, futures contracts, swap contracts, written options and foreign currency | (25,160,011 | ) | (50,341 | ) | (1,324,112 | ) | ||||||||||
Net unrealized appreciation/(depreciation) on investments, futures contracts, swap contracts, written options and foreign currency | (486,254 | ) | (104,456 | ) | 1,118,943 | |||||||||||
|
|
|
|
|
| |||||||||||
Net Assets | $ | 151,829,031 | $ | 15,638,342 | $ | 68,469,585 | ||||||||||
|
|
|
|
|
| |||||||||||
Net Assets: | ||||||||||||||||
Class A | $ | 3,036,346 | N/A | N/A | ||||||||||||
Class C | 237,393 | N/A | N/A | |||||||||||||
Class I | 148,555,292 | $ | 15,638,342 | $ | 68,469,585 | |||||||||||
|
|
|
|
|
| |||||||||||
Total | $ | 151,829,031 | $ | 15,638,342 | $ | 68,469,585 | ||||||||||
|
|
|
|
|
| |||||||||||
Shares Outstanding (Unlimited number of shares authorized, no par value): | ||||||||||||||||
Class A | 322,122 | N/A | N/A | |||||||||||||
Class C | 25,545 | N/A | N/A | |||||||||||||
Class I | 15,700,138 | 1,539,287 | 6,827,433 | |||||||||||||
|
|
|
|
|
| |||||||||||
Total | 16,047,805 | 1,539,287 | 6,827,433 | |||||||||||||
|
|
|
|
|
| |||||||||||
Net Asset Values and Redemption Prices Per Share: | ||||||||||||||||
Class A | $ | 9.43 | N/A | N/A | ||||||||||||
|
|
|
|
|
| |||||||||||
Class C | $ | 9.29 | N/A | N/A | ||||||||||||
|
|
|
|
|
| |||||||||||
Class I | $ | 9.46 | $ | 10.16 | $ | 10.03 | ||||||||||
|
|
|
|
|
| |||||||||||
Maximum Offering Prices Per Share: | ||||||||||||||||
Class A | $ | 9.85 | N/A | N/A | ||||||||||||
|
|
|
|
|
| |||||||||||
Maximum Sales Charge - Class A | 4.25 | % | N/A | N/A | ||||||||||||
|
|
|
|
|
|
See Notes to Financial Statements.
93 |
FINANCIAL STATEMENTS
|
For the Year Ended September 30, 2016
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) | $ | 1,350,101 | $ | 1,034,057 | $ | 1,757,904 | $ | (94,397 | ) | |||||||||||||||
Dividend income | — | 840 | — | 16,986 | ||||||||||||||||||||
Foreign tax withholding | (19,797 | ) | — | — | (727 | ) | ||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||
Total Investment Income/(loss) | 1,330,304 | 1,034,897 | 1,757,904 | (78,138 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||
Expenses: | ||||||||||||||||||||||||
Investment advisory fees | 157,317 | 160,560 | 220,730 | 146,663 | ||||||||||||||||||||
Distribution fees - Class A | 374 | 27 | 1,976 | — | ||||||||||||||||||||
Accounting fees | 44,049 | 43,944 | 44,577 | 43,978 | ||||||||||||||||||||
Audit fees | 47,432 | 47,432 | 50,609 | 67,340 | ||||||||||||||||||||
Custodian fees | 71,926 | 64,284 | 68,401 | 55,745 | ||||||||||||||||||||
Insurance fees | 4,091 | 4,091 | 4,091 | 4,091 | ||||||||||||||||||||
Legal fees | — | 10,374 | 16,752 | 6,477 | ||||||||||||||||||||
Registration and filing fees | 35,596 | 35,423 | 35,896 | 24,092 | ||||||||||||||||||||
Shareholder reports | — | 3,477 | 6,404 | 5,228 | ||||||||||||||||||||
Transfer agent fees - Class A | 3,749 | 3,551 | 3,973 | — | ||||||||||||||||||||
Transfer agent fees - Class I | 6,944 | 3,852 | 6,582 | 13,886 | ||||||||||||||||||||
Trustees’ fees | 936 | 937 | 1,568 | 975 | ||||||||||||||||||||
Other fees | 6,695 | 10,366 | 18,710 | 14,133 | ||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||
Total expenses before fee waiver/reimbursement | 379,109 | 388,318 | 480,269 | 382,608 | ||||||||||||||||||||
Expenses waived/reimbursed by: | ||||||||||||||||||||||||
Advisor | (189,953 | ) | (279,676 | ) | (336,394 | ) | (216,390 | ) | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||
Net Expenses | 189,156 | 108,642 | 143,875 | 166,218 | ||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||
Net Investment Income/(Loss) | 1,141,148 | 926,255 | 1,614,029 | (244,356 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||
Realized/Unrealized Gains/(Losses): | ||||||||||||||||||||||||
Net realized gains/(losses) on: | ||||||||||||||||||||||||
Investment transactions | 252,783 | 94,577 | (1,218,552 | ) | (495,162 | ) | ||||||||||||||||||
Foreign currency transactions | (1,024,871 | ) | 18,710 | 71,738 | (88,738 | ) | ||||||||||||||||||
Written options | — | — | 14,168 | 63,358 | ||||||||||||||||||||
Futures contracts | 74,323 | 26,060 | 43,449 | (121,293 | ) | |||||||||||||||||||
Swap agreements | 14,294 | (37,349 | ) | (39,323 | ) | — | ||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||
Net realized gains/(losses) | (683,471 | ) | 101,998 | (1,128,520 | ) | (641,835 | ) | |||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||
Net change in unrealized appreciation/(depreciation) on: | ||||||||||||||||||||||||
Investments | 1,748,015 | 1,073,343 | 1,896,346 | 1,570,668 | ||||||||||||||||||||
Foreign currency | 105,298 | (55,939 | ) | (59,247 | ) | (82,677 | ) | |||||||||||||||||
Written options | — | — | — | 19,219 | ||||||||||||||||||||
Futures contracts | (1,456 | ) | (19,966 | ) | — | 2,588 | ||||||||||||||||||
Swap contracts | (11,722 | ) | (11,290 | ) | (9,952 | ) | — | |||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||
Net unrealized gains | 1,840,135 | 986,148 | 1,827,147 | 1,509,798 | ||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||
Change in net assets resulting from operations | $ | 2,297,812 | $ | 2,014,401 | $ | 2,312,656 | $ | 623,607 | ||||||||||||||||
|
|
|
|
|
|
|
|
94 |
FINANCIAL STATEMENTS
|
Statements of Operations (cont.)
For the Year Ended September 30, 2016
RBC BlueBay Absolute Return Fund | RBC BlueBay Emerging Market | RBC BlueBay Diversified Credit Fund | ||||||||||||||
Investment Income: | ||||||||||||||||
Interest income | $ | 8,769,551 | $ | 1,195,921 | $ | 3,395,450 | ||||||||||
Dividend income | 18,553 | 73 | 9,453 | |||||||||||||
Foreign tax withholding | 8,598 | (4,409 | ) | (10,332 | ) | |||||||||||
|
|
|
|
|
| |||||||||||
Total Investment Income | 8,796,702 | 1,191,585 | 3,394,571 | |||||||||||||
|
|
|
|
|
| |||||||||||
Expenses: | ||||||||||||||||
Investment advisory fees | 2,675,490 | 169,565 | 564,697 | |||||||||||||
Distribution fees - Class A | 8,636 | — | — | |||||||||||||
Distribution fees - Class C | 6,277 | — | — | |||||||||||||
Accounting fees | 60,837 | 43,737 | 46,322 | |||||||||||||
Audit fees | 53,813 | 48,252 | 48,252 | |||||||||||||
Custodian fees | 105,724 | 76,088 | 114,933 | |||||||||||||
Insurance fees | 5,688 | 2,629 | 2,629 | |||||||||||||
Legal fees | 38,261 | 3,407 | 3,982 | |||||||||||||
Registration and filing fees | 53,831 | 18,265 | 19,605 | |||||||||||||
Shareholder reports | 72,074 | 2,006 | 10,087 | |||||||||||||
Transfer agent fees - Class A | 4,452 | — | — | |||||||||||||
Transfer agent fees - Class C | 3,941 | — | — | |||||||||||||
Transfer agent fees - Class I | 487,124 | 3,546 | 4,487 | |||||||||||||
Tax expense | — | 245 | 1,498 | |||||||||||||
Offering costs | — | 8,492 | 8,492 | |||||||||||||
Trustees’ fees | 19,318 | 725 | 3,323 | |||||||||||||
Other fees | 19,270 | 4,486 | 25,393 | |||||||||||||
|
|
|
|
|
| |||||||||||
Total expenses before fee waiver/reimbursement | 3,614,736 | 381,443 | 853,700 | |||||||||||||
Expenses (waived/reimbursed)/Recouped by: | ||||||||||||||||
Advisor | (210,858 | ) | (196,887 | ) | (187,847 | ) | ||||||||||
|
|
|
|
|
| |||||||||||
Net Expenses | 3,403,878 | 184,556 | 665,853 | |||||||||||||
|
|
|
|
|
| |||||||||||
Net Investment Income | 5,392,824 | 1,007,029 | 2,728,718 | |||||||||||||
|
|
|
|
|
| |||||||||||
Realized/Unrealized Gains/(Losses): | ||||||||||||||||
Net realized gains/(losses) on: | ||||||||||||||||
Investment transactions | (12,693,434 | ) | 1,215,034 | (599,885 | ) | |||||||||||
Foreign currency transactions | (929,797 | ) | (578,245 | ) | (1,311,782 | ) | ||||||||||
Foreign tax | — | — | (6,097 | ) | ||||||||||||
Written options | 139,320 | — | 37,167 | |||||||||||||
Futures contracts | (2,090,130 | ) | (130,719 | ) | 23,930 | |||||||||||
Swap agreements | (12,214,352 | ) | (304,370 | ) | (222 | ) | ||||||||||
|
|
|
|
|
| |||||||||||
Net realized gains/(losses) | (27,788,393 | ) | 201,700 | (1,856,889 | ) | |||||||||||
|
|
|
|
|
| |||||||||||
Net change in unrealized appreciation/(depreciation) on: | ||||||||||||||||
Investments | 21,207,901 | 224,783 | 4,245,904 | |||||||||||||
Foreign currency | (5,787,979 | ) | 84,950 | (224,313 | ) | |||||||||||
Futures contracts | 1,511,162 | (21,997 | ) | (5,140 | ) | |||||||||||
Swap contracts | 77,970 | 111,653 | (14,602 | ) | ||||||||||||
|
|
|
|
|
| |||||||||||
Net unrealized gains | 17,009,054 | 399,389 | 4,001,849 | |||||||||||||
|
|
|
|
|
| |||||||||||
Change in net assets resulting from operations | $ | (5,386,515 | ) | $ | 1,608,118 | $ | 4,873,678 | |||||||||
|
|
|
|
|
|
See Notes to the Financial Statements.
95 |
FINANCIAL STATEMENTS
|
Statements of Changes in Net Assets
RBC BlueBay Emerging Market Select Bond Fund | ||||||||||||||||||||
For the Year Ended 2016 | For the Year Ended September 30, 2015 | |||||||||||||||||||
From Investment Activities: | ||||||||||||||||||||
Operations: | ||||||||||||||||||||
Net investment income | $ | 1,141,148 | $ | 4,780,720 | ||||||||||||||||
Net realized losses from investments, foreign currency, futures contracts and swap contracts transactions | (683,471 | ) | (22,559,400 | ) | ||||||||||||||||
Net change in unrealized appreciation/(depreciation) on investments, foreign currency, futures contracts and swap contracts | 1,840,135 | 7,918,828 | ||||||||||||||||||
|
|
|
| |||||||||||||||||
Change in net assets resulting from operations | 2,297,812 | (9,859,852 | ) | |||||||||||||||||
|
|
|
| |||||||||||||||||
Distributions to Class A Shareholders: | ||||||||||||||||||||
From net investment income | — | (223 | ) | |||||||||||||||||
Distributions to Class I Shareholders: | ||||||||||||||||||||
From net investment income | — | (1,720,316 | ) | |||||||||||||||||
|
|
|
| |||||||||||||||||
Change in net assets resulting from shareholder distributions | — | (1,720,539 | ) | |||||||||||||||||
|
|
|
| |||||||||||||||||
Capital Transactions: | ||||||||||||||||||||
Proceeds from shares issued | 2,440,526 | 27,516,199 | ||||||||||||||||||
Distributions reinvested | — | 1,413,820 | ||||||||||||||||||
Cost of shares redeemed | (12,389,011 | ) | (206,543,735 | ) | ||||||||||||||||
|
|
|
| |||||||||||||||||
Change in net assets resulting from capital transactions | (9,948,485 | ) | (177,613,716 | ) | ||||||||||||||||
|
|
|
| |||||||||||||||||
Net decrease in net assets | (7,650,673 | ) | (189,194,107 | ) | ||||||||||||||||
Net Assets: | ||||||||||||||||||||
Beginning of year | 26,829,776 | 216,023,883 | ||||||||||||||||||
|
|
|
| |||||||||||||||||
End of year | $ | 19,179,103 | $ | 26,829,776 | ||||||||||||||||
|
|
|
| |||||||||||||||||
Distributions in excess of net investment income | $ | (555,327 | ) | $ | (17,567,311 | ) | ||||||||||||||
|
|
|
| |||||||||||||||||
Share Transactions: | ||||||||||||||||||||
Issued | 271,372 | 3,029,711 | ||||||||||||||||||
Reinvested | — | 145,908 | ||||||||||||||||||
Redeemed | (1,419,503 | ) | (22,238,227 | ) | ||||||||||||||||
|
|
|
| |||||||||||||||||
Change in shares resulting from capital transactions | (1,148,131 | ) | (19,062,608 | ) | ||||||||||||||||
|
|
|
|
See Notes to Financial Statements.
96 |
FINANCIAL STATEMENTS
|
Statements of Changes in Net Assets (cont.)
RBC BlueBay Emerging Market Corporate Bond Fund | ||||||||||||||||||||
For the Year Ended 2016 | For the Year Ended September 30, 2015 | |||||||||||||||||||
From Investment Activities: | ||||||||||||||||||||
Operations: | ||||||||||||||||||||
Net investment income | $ | 926,255 | $ | 914,850 | ||||||||||||||||
Net realized gains/(losses) from investments, foreign currency, futures contracts, written options and swap contracts transactions | 101,998 | (930,280 | ) | |||||||||||||||||
Net change in unrealized appreciation/(depreciation) on investments, foreign currency, futures contracts, written options and swap contracts | 986,148 | (757,939 | ) | |||||||||||||||||
|
|
|
| |||||||||||||||||
Change in net assets resulting from operations | 2,014,401 | (773,369 | ) | |||||||||||||||||
|
|
|
| |||||||||||||||||
Distributions to Class A Shareholders: | ||||||||||||||||||||
From net investment income | (367 | ) | (277 | ) | ||||||||||||||||
From net realized gains | — | (80 | ) | |||||||||||||||||
Distributions to Class I Shareholders: | ||||||||||||||||||||
From net investment income | (692,504 | ) | (599,359 | ) | ||||||||||||||||
From net realized gains | — | (165,327 | ) | |||||||||||||||||
|
|
|
| |||||||||||||||||
Change in net assets resulting from shareholder distributions | (692,871 | ) | (765,043 | ) | ||||||||||||||||
|
|
|
| |||||||||||||||||
Capital Transactions: | ||||||||||||||||||||
Proceeds from shares issued | 710,075 | 773,219 | ||||||||||||||||||
Distributions reinvested | 684,630 | 731,016 | ||||||||||||||||||
Cost of shares redeemed | (1,847,677 | ) | (3,281,516 | ) | ||||||||||||||||
|
|
|
| |||||||||||||||||
Change in net assets resulting from capital transactions | (452,972 | ) | (1,777,281 | ) | ||||||||||||||||
|
|
|
| |||||||||||||||||
Net increase/(decrease) in net assets | 868,558 | (3,315,693 | ) | |||||||||||||||||
Net Assets: | ||||||||||||||||||||
Beginning of year | 19,334,239 | 22,649,932 | ||||||||||||||||||
|
|
|
| |||||||||||||||||
End of year | $ | 20,202,797 | $ | 19,334,239 | ||||||||||||||||
|
|
|
| |||||||||||||||||
Undistributed net investment income | $ | 250,822 | $ | 51,917 | ||||||||||||||||
|
|
|
| |||||||||||||||||
Share Transactions: | ||||||||||||||||||||
Issued | 73,772 | 78,259 | ||||||||||||||||||
Reinvested | 73,165 | 74,610 | ||||||||||||||||||
Redeemed | (198,149 | ) | (334,083 | ) | ||||||||||||||||
|
|
|
| |||||||||||||||||
Change in shares resulting from capital transactions | (51,212 | ) | (181,214 | ) | ||||||||||||||||
|
|
|
|
See Notes to Financial Statements.
97 |
FINANCIAL STATEMENTS
|
Statements of Changes in Net Assets (cont.)
RBC BlueBay Global High Yield Bond Fund | ||||||||||||||||||||
For the Year Ended September 30, 2016 | For the Year Ended September 30, 2015 | |||||||||||||||||||
From Investment Activities: | ||||||||||||||||||||
Operations: | ||||||||||||||||||||
Net investment income | $ | 1,614,029 | $ | 1,551,958 | ||||||||||||||||
Net realized losses from investments, foreign currency, futures contracts, written options and swap contracts transactions | (1,128,520 | ) | (236,467 | ) | ||||||||||||||||
Net change in unrealized appreciation/(depreciation) on investments, foreign currency, futures contracts, written options and swap contracts | 1,827,147 | (1,146,928 | ) | |||||||||||||||||
|
|
|
| |||||||||||||||||
Change in net assets resulting from operations | 2,312,656 | 168,563 | ||||||||||||||||||
|
|
|
| |||||||||||||||||
Distributions to Class A Shareholders: | ||||||||||||||||||||
From net investment income | (31,641 | ) | (8,939 | ) | ||||||||||||||||
From net realized gains | (3,856 | ) | (18,004 | ) | ||||||||||||||||
Distributions to Class I Shareholders: | ||||||||||||||||||||
From net investment income | (1,356,237 | ) | (885,391 | ) | ||||||||||||||||
From net realized gains | (223,989 | ) | (1,210,890 | ) | ||||||||||||||||
|
|
|
| |||||||||||||||||
Change in net assets resulting from shareholder distributions | (1,615,723 | ) | (2,123,224 | ) | ||||||||||||||||
|
|
|
| |||||||||||||||||
Capital Transactions: | ||||||||||||||||||||
Proceeds from shares issued | 8,368,097 | 2,654,912 | ||||||||||||||||||
Distributions reinvested | 1,615,285 | 2,071,727 | ||||||||||||||||||
Cost of shares redeemed | (8,192,664 | ) | (7,265,510 | ) | ||||||||||||||||
|
|
|
| |||||||||||||||||
Change in net assets resulting from capital transactions | 1,790,718 | (2,538,871 | ) | |||||||||||||||||
|
|
|
| |||||||||||||||||
Net increase/(decrease) in net assets | 2,487,651 | (4,493,532 | ) | |||||||||||||||||
Net Assets: | ||||||||||||||||||||
Beginning of year | 30,166,642 | 34,660,174 | ||||||||||||||||||
|
|
|
| |||||||||||||||||
End of year | $ | 32,654,293 | $ | 30,166,642 | ||||||||||||||||
|
|
|
| |||||||||||||||||
Undistributed net investment income | $ | 274,876 | $ | 147,841 | ||||||||||||||||
|
|
|
| |||||||||||||||||
Share Transactions: | ||||||||||||||||||||
Issued | 877,267 | 259,863 | ||||||||||||||||||
Reinvested | 166,841 | 206,952 | ||||||||||||||||||
Redeemed | (843,695 | ) | (723,191 | ) | ||||||||||||||||
|
|
|
| |||||||||||||||||
Change in shares resulting from capital transactions | 200,413 | (256,376 | ) | |||||||||||||||||
|
|
|
|
See Notes to Financial Statements.
98 |
FINANCIAL STATEMENTS
|
Statements of Changes in Net Assets (cont.)
RBC BlueBay Global Convertible Bond Fund | ||||||||||||||||||
For the Year Ended September 30, 2016 | For the Year Ended September 30, 2015 | |||||||||||||||||
From Investment Activities: | ||||||||||||||||||
Operations: | ||||||||||||||||||
Net investment loss | $ | (244,356 | ) | $ | (175,402 | ) | ||||||||||||
Net realized gains/(losses) from investments, futures contracts, written options and foreign currency transactions | (641,835 | ) | 1,254,784 | |||||||||||||||
Net change in unrealized appreciation/(depreciation) on investments, foreign currency and written options | 1,509,798 | (709,524 | ) | |||||||||||||||
|
|
|
| |||||||||||||||
Change in net assets resulting from operations | 623,607 | 369,858 | ||||||||||||||||
|
|
|
| |||||||||||||||
Distributions to Class I Shareholders: | ||||||||||||||||||
From net investment income | (515,662 | ) | (259,328 | ) | ||||||||||||||
From net realized gains | (1,087,713 | ) | (1,996,048 | ) | ||||||||||||||
|
|
|
| |||||||||||||||
Change in net assets resulting from shareholder distributions | (1,603,375 | ) | (2,255,376 | ) | ||||||||||||||
|
|
|
| |||||||||||||||
Capital Transactions: | ||||||||||||||||||
Proceeds from shares issued | 877,197 | 5,627,705 | ||||||||||||||||
Distributions reinvested | 1,593,473 | 2,176,604 | ||||||||||||||||
Cost of shares redeemed | (5,853,844 | ) | (6,132,816 | ) | ||||||||||||||
|
|
|
| |||||||||||||||
Change in net assets resulting from capital transactions | (3,383,174 | ) | 1,671,493 | |||||||||||||||
|
|
|
| |||||||||||||||
Net decrease in net assets | (4,362,942 | ) | (214,025 | ) | ||||||||||||||
Net Assets | ||||||||||||||||||
Beginning of year | 20,979,137 | 21,193,162 | ||||||||||||||||
|
|
|
| |||||||||||||||
End of year | $ | 16,616,195 | $ | 20,979,137 | ||||||||||||||
|
|
|
| |||||||||||||||
Distributions in excess of net investment income | $ | (126,638 | ) | $ | (236,063 | ) | ||||||||||||
|
|
|
| |||||||||||||||
Share Transactions: | ||||||||||||||||||
Issued | 89,356 | 534,077 | ||||||||||||||||
Reinvested | 164,373 | 213,483 | ||||||||||||||||
Redeemed | (606,661 | ) | (592,562 | ) | ||||||||||||||
|
|
|
| |||||||||||||||
Change in shares resulting from capital transactions | (352,932 | ) | 154,998 | |||||||||||||||
|
|
|
|
See Notes to Financial Statements.
99 |
FINANCIAL STATEMENTS
|
Statements of Changes in Net Assets (cont.)
RBC BlueBay Absolute Return Fund | ||||||||||||||||||
For the Year Ended September 30, 2016 | For the Year Ended September 30, 2015 | |||||||||||||||||
From Investment Activities: | ||||||||||||||||||
Operations: | ||||||||||||||||||
Net investment income | $ | 5,392,824 | $ | 8,054,898 | ||||||||||||||
Net realized gains/(losses) from investments, foreign currency, futures contracts, written options and swap contracts transactions | (27,788,393 | ) | 454,754 | |||||||||||||||
Net change in unrealized appreciation/(depreciation) on investments, foreign currency, futures contracts and swap contracts | 17,009,054 | (25,388,730 | ) | |||||||||||||||
|
|
|
| |||||||||||||||
Change in net assets resulting from operations | (5,386,515 | ) | (16,879,078 | ) | ||||||||||||||
|
|
|
| |||||||||||||||
Distributions to Class A Shareholders: | ||||||||||||||||||
From net investment income | — | (16,365 | ) | |||||||||||||||
From net realized gains | (116,486 | ) | (236,919 | ) | ||||||||||||||
Distributions to Class C Shareholders: | ||||||||||||||||||
From net investment income | — | (2,573 | ) | |||||||||||||||
From net realized gains | (17,172 | ) | (198,715 | ) | ||||||||||||||
Distributions to Class I Shareholders: | ||||||||||||||||||
From net investment income | — | (1,625,724 | ) | |||||||||||||||
From net realized gains | (13,342,422 | ) | (16,161,209 | ) | ||||||||||||||
|
|
|
| |||||||||||||||
Change in net assets resulting from shareholder distributions | (13,476,080 | ) | (18,241,505 | ) | ||||||||||||||
|
|
|
| |||||||||||||||
Capital Transactions: | ||||||||||||||||||
Proceeds from shares issued | 18,111,424 | 313,108,149 | ||||||||||||||||
Distributions reinvested | 4,279,247 | 4,588,969 | ||||||||||||||||
Cost of shares redeemed | (377,112,209 | ) | (320,296,044 | ) | ||||||||||||||
|
|
|
| |||||||||||||||
Change in net assets resulting from capital transactions | (354,721,538 | ) | (2,598,926 | ) | ||||||||||||||
|
|
|
| |||||||||||||||
Net decrease in net assets | (373,584,133 | ) | (37,719,509 | ) | ||||||||||||||
Net Assets: | ||||||||||||||||||
Beginning of year | 525,413,164 | 563,132,673 | ||||||||||||||||
|
|
|
| |||||||||||||||
End of year | $ | 151,829,031 | $ | 525,413,164 | ||||||||||||||
|
|
|
| |||||||||||||||
Distributions in excess of net investment income | $ | (5,488,310 | ) | $ | (13,297,091 | ) | ||||||||||||
|
|
|
| |||||||||||||||
Share Transactions: | ||||||||||||||||||
Issued | 1,893,775 | 30,863,627 | ||||||||||||||||
Reinvested | 446,263 | 457,249 | ||||||||||||||||
Redeemed | (39,891,594 | ) | (31,868,183 | ) | ||||||||||||||
|
|
|
| |||||||||||||||
Change in shares resulting from capital transactions | (37,551,556 | ) | (547,307 | ) | ||||||||||||||
|
|
|
|
See Notes to Financial Statements.
100 |
FINANCIAL STATEMENTS
|
Statements of Changes in Net Assets (cont.)
RBC BlueBay Emerging Market Unconstrained Fixed Income Fund | ||||||||||||||||||||||||
For the Year Ended 2016 | For the Period Ended September 30, 2015(a) | |||||||||||||||||||||||
From Investment Activities: | ||||||||||||||||||||||||
Operations: | ||||||||||||||||||||||||
Net investment income | $ | 1,007,029 | $ | 433,936 | ||||||||||||||||||||
Net realized gains/(losses) from investments, foreign currency, futures contracts and swap contracts transactions | 201,700 | (899,867 | ) | |||||||||||||||||||||
Net change in unrealized appreciation/(depreciation) on investments, foreign currency, futures contracts and swap contracts | 399,389 | (503,845 | ) | |||||||||||||||||||||
|
|
|
| |||||||||||||||||||||
Change in net assets resulting from operations | 1,608,118 | (969,776 | ) | |||||||||||||||||||||
|
|
|
| |||||||||||||||||||||
Distributions to Class I Shareholders: | ||||||||||||||||||||||||
From net investment income | (351,225 | ) | (27,000 | ) | ||||||||||||||||||||
|
|
|
| |||||||||||||||||||||
Change in net assets resulting from shareholder distributions | (351,225 | ) | (27,000 | ) | ||||||||||||||||||||
|
|
|
| |||||||||||||||||||||
Capital Transactions: | ||||||||||||||||||||||||
Proceeds from shares issued | — | 15,000,000 | ||||||||||||||||||||||
Distributions reinvested | 351,225 | 27,000 | ||||||||||||||||||||||
Cost of shares redeemed | — | — | ||||||||||||||||||||||
|
|
|
| |||||||||||||||||||||
Change in net assets resulting from capital transactions | 351,225 | 15,027,000 | ||||||||||||||||||||||
|
|
|
| |||||||||||||||||||||
Net increase in net assets | 1,608,118 | 14,030,224 | ||||||||||||||||||||||
Net Assets: | ||||||||||||||||||||||||
Beginning of period | 14,030,224 | — | ||||||||||||||||||||||
|
|
|
| |||||||||||||||||||||
End of period | $ | 15,638,342 | $ | 14,030,224 | ||||||||||||||||||||
|
|
|
| |||||||||||||||||||||
Undistributed (distributions in excess of) net investment income | $ | 463,587 | $ | (233,378 | ) | |||||||||||||||||||
|
|
|
| |||||||||||||||||||||
Share Transactions: | ||||||||||||||||||||||||
Issued | — | 1,500,000 | ||||||||||||||||||||||
Reinvested | 36,543 | 2,744 | ||||||||||||||||||||||
Redeemed | — | — | ||||||||||||||||||||||
|
|
|
| |||||||||||||||||||||
Change in shares resulting from capital transactions | 36,543 | 1,502,744 | ||||||||||||||||||||||
|
|
|
|
(a) For the period from December 9, 2014 (commencement of operations) to September 30, 2015.
See Notes to Financial Statements.
101 |
FINANCIAL STATEMENTS
|
Statements of Changes in Net Assets (cont.)
RBC BlueBay Diversified Credit Fund | ||||||||||||||||||||
For the Year Ended | For the Period Ended September 30, 2015(a) | |||||||||||||||||||
From Investment Activities: | ||||||||||||||||||||
Operations: | ||||||||||||||||||||
Net investment income | $ | 2,728,718 | $ | 1,279,220 | ||||||||||||||||
Net realized losses from investments, foreign currency, futures contracts and swap contracts transactions | (1,856,889 | ) | (348,763 | ) | ||||||||||||||||
Net change in unrealized appreciation/(depreciation) on investments, foreign currency, futures contracts and swap contracts | 4,001,849 | (2,882,906 | ) | |||||||||||||||||
|
|
|
| |||||||||||||||||
Change in net assets resulting from operations | 4,873,678 | (1,952,449 | ) | |||||||||||||||||
|
|
|
| |||||||||||||||||
Distributions to Class I Shareholders: | ||||||||||||||||||||
From net investment income | (937,553 | ) | (643,179 | ) | ||||||||||||||||
From net realized gains | (725,331 | ) | — | |||||||||||||||||
|
|
|
| |||||||||||||||||
Change in net assets resulting from shareholder distributions | (1,662,884 | ) | (643,179 | ) | ||||||||||||||||
|
|
|
| |||||||||||||||||
Capital Transactions: | ||||||||||||||||||||
Proceeds from shares issued | 1,792,700 | 70,294,750 | ||||||||||||||||||
Distributions reinvested | 1,655,799 | 641,270 | ||||||||||||||||||
Cost of shares redeemed | (1,529,600 | ) | (5,000,500 | ) | ||||||||||||||||
|
|
|
| |||||||||||||||||
Change in net assets resulting from capital transactions | 1,918,899 | 65,935,520 | ||||||||||||||||||
|
|
|
| |||||||||||||||||
Net increase in net assets | 5,129,693 | 63,339,982 | ||||||||||||||||||
Net Assets: | ||||||||||||||||||||
Beginning of period | 63,339,892 | — | ||||||||||||||||||
|
|
|
| |||||||||||||||||
End of period | $ | 68,469,585 | $ | 63,339,892 | ||||||||||||||||
|
|
|
| |||||||||||||||||
Undistributed net investment income | $ | 869,367 | $ | 4,750 | ||||||||||||||||
|
|
|
| |||||||||||||||||
Share Transactions: | ||||||||||||||||||||
Issued | 191,552 | 7,065,394 | ||||||||||||||||||
Reinvested | 173,465 | 63,870 | ||||||||||||||||||
Redeemed | (153,451 | ) | (513,397 | ) | ||||||||||||||||
|
|
|
| |||||||||||||||||
Change in shares resulting from capital transactions | 211,566 | 6,615,867 | ||||||||||||||||||
|
|
|
|
(a) For the period from December 9, 2014 (commencement of operations) to September 30, 2015.
See Notes to Financial Statements.
102 |
|
RBC BlueBay Emerging Market Select Bond Fund
(Selected data for a share outstanding throughout the periods indicated)
For the Year Ended September 30, 2016 | 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 | $8.64 | $ 9.75 | $ 9.83 | |||||||||
Net investment income(b) | 0.45 | 0.40 | 0.33 | |||||||||
Realized and unrealized gains/(losses) | 0.69 | (1.44 | ) | (0.08 | ) | |||||||
Total from investment activities | 1.14 | (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 | $9.78 | $ 8.64 | $ 9.75 | |||||||||
Total Return:*(c) | 13.08% | (10.72)% | 2.51%(d) | |||||||||
Ratios to Average Net Assets: | ||||||||||||
Ratio of Net Expenses to Average Net Assets | 1.15% | 1.15% | 1.25%(e) | |||||||||
Ratio of Net Investment Income to Average Net Assets | 4.96% | 4.32% | 3.91%(e) | |||||||||
Ratio of Expenses to Average Net Assets** | 4.54% | 3.84% | 53.32%(e) | |||||||||
Net assets, end of period (in thousands) | $ 112 | $ 241 | $ 10 | |||||||||
Portfolio turnover*** | 279 | % | 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 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.
103 |
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, 2016 | 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 | $ 8.64 | $ 9.75 | $ 9.92 | $ 10.88 | $ 10.00 | |||||||||||||||
Net investment income(b) | 0.50 | 0.36 | 0.40 | 0.30 | 0.24 | |||||||||||||||
Realized and unrealized gains/(losses) | 0.67 | (1.39 | ) | (0.17 | ) | (0.78 | ) | 0.91 | ||||||||||||
Total from investment activities | 1.17 | (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 | $ 9.81 | $ 8.64 | $ 9.75 | $ 9.92 | $ 10.88 | |||||||||||||||
Total Return:(c) | 13.43% | (10.67)% | 2.32% | (4.70)% | 11.60%(d) | |||||||||||||||
Ratios to Average Net Assets: | ||||||||||||||||||||
Ratio of Net Expenses to Average Net Assets | 0.90% | 0.90% | 1.00% | 1.00% | 1.00%(e) | |||||||||||||||
Ratio of Net Investment Income to Average Net Assets | 5.44% | 3.81% | 4.04% | 2.79% | 2.76%(e) | |||||||||||||||
Ratio of Expenses to Average Net Assets* | 1.79% | 1.14% | 1.05% | 1.10% | 1.59%(e) | |||||||||||||||
Net assets, end of period (in thousands) | $19,067 | $26,588 | $216,014 | $185,882 | $122,097 | |||||||||||||||
Portfolio turnover** | 279 | % | 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.
104 |
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, 2016 | 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 | $ 9.31 | $10.03 | $ 9.75 | |||||||||
Net investment income(b) | 0.44 | 0.40 | 0.32 | |||||||||
Realized and unrealized gains/(losses) | 0.55 | (0.78 | ) | 0.29 | ||||||||
Total from investment activities | 0.99 | (0.38 | ) | 0.61 | ||||||||
Distributions: | ||||||||||||
Net investment income | (0.33 | ) | (0.26 | ) | (0.33 | ) | ||||||
Realized gains | — | (0.08 | ) | — | ||||||||
Total distributions | (0.33 | ) | (0.34 | ) | (0.33 | ) | ||||||
Net asset value, end of period | $ 9.97 | $ 9.31 | $10.03 | |||||||||
Total Return:*(c) | 10.92% | (3.99)% | 6.27%(d) | |||||||||
Ratios to Average Net Assets: | ||||||||||||
Ratio of Net Expenses to Average Net Assets | 0.83% | 1.19%(e) | 1.40%(f) | |||||||||
Ratio of Net Investment Income to Average Net Assets | 4.75% | 4.10% | 3.86%(f) | |||||||||
Ratio of Expenses to Average Net Assets** | 35.56% | 35.45% | 53.53%(f) | |||||||||
Net assets, end of period (in thousands) | $ 52 | $ 10 | $ 11 | |||||||||
Portfolio turnover*** | 220 | % | 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 0.825% 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.
105 |
FINANCIAL HIGHLIGHTS
|
RBC BlueBay Emerging Market Corporate Bond Fund
(Selected data for a share outstanding throughout the periods indicated)
For the Year Ended 2016 | For the Year Ended 2015 | For the 2014 | For the Year Ended | For the Period Ended | ||||||||||||||||||||||||||
Class I | ||||||||||||||||||||||||||||||
Per Share Operating Performance: | ||||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 9.31 | $ | 10.04 | $ | 9.68 | $ | 10.91 | $ | 10.00 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||
Net investment income(b) | 0.47 | 0.43 | 0.41 | 0.43 | 0.37 | |||||||||||||||||||||||||
Realized and unrealized gains/(losses) | 0.55 | (0.80 | ) | 0.37 | (0.60 | ) | 0.91 | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||
Total from investment activities | 1.02 | (0.37 | ) | 0.78 | (0.17 | ) | 1.28 | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||
Distributions: | ||||||||||||||||||||||||||||||
Net investment income | (0.35 | ) | (0.28 | ) | (0.41 | ) | (0.44 | ) | (0.37 | ) | ||||||||||||||||||||
Realized gains | — | (0.08 | ) | (0.01 | ) | (0.62 | ) | — | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||
Total distributions | (0.35 | ) | (0.36 | ) | (0.42 | ) | (1.06 | ) | (0.37 | ) | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||
Net asset value, end of period | $ | 9.98 | $ | 9.31 | $ | 10.04 | $ | 9.68 | $ | 10.91 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||
Total Return:(c) | 11.27% | (3.77)% | 8.02% | (1.98)% | 13.06%(d) | |||||||||||||||||||||||||
Ratios to Average Net Assets: | ||||||||||||||||||||||||||||||
Ratio of Net Expenses to Average Net Assets | 0.58% | 0.94%(e) | 1.15% | 1.15% | 1.15%(f) | |||||||||||||||||||||||||
Ratio of Net Investment Income to Average Net Assets | 4.90% | 4.35% | 4.12% | 4.18% | 4.24%(f) | |||||||||||||||||||||||||
Ratio of Expenses to Average Net Assets* | 2.04% | 1.74% | 1.78% | 1.96% | 3.10%(f) | |||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 20,151 | $ | 19,324 | $ | 22,639 | $ | 18,927 | $ | 17,623 | ||||||||||||||||||||
Portfolio turnover** | 220 | % | 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 0.575% 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.
106 |
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, 2016 | 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 | $ 9.82 | $10.41 | $10.41 | |||||||||||||||||||||
Net investment income(b) | 0.48 | 0.46 | 0.41 | |||||||||||||||||||||
Realized and unrealized gains/(losses) | 0.16 | (0.44 | ) | 0.04 | ||||||||||||||||||||
Total from investment activities | 0.64 | 0.02 | 0.45 | |||||||||||||||||||||
Distributions: | ||||||||||||||||||||||||
Net investment income | (0.41 | ) | (0.26 | ) | (0.45 | ) | ||||||||||||||||||
Realized gains | (0.07 | ) | (0.35 | ) | — | |||||||||||||||||||
Total distributions | (0.48 | ) | (0.61 | ) | (0.45 | ) | ||||||||||||||||||
Net asset value, end of period | $ 9.98 | $ 9.82 | $ 10.41 | |||||||||||||||||||||
Total Return:*(c) | 6.86% | 0.15% | 4.38%(d) | |||||||||||||||||||||
Ratios to Average Net Assets: | ||||||||||||||||||||||||
Ratio of Net Expenses to Average Net Assets | 0.70% | 0.98%(e) | 1.20%(f) | |||||||||||||||||||||
Ratio of Net Investment Income to Average Net Assets | 4.86% | 4.53% | 4.62%(f) | |||||||||||||||||||||
Ratio of Expenses to Average Net Assets** | 2.25% | 2.38% | 25.84%(f) | |||||||||||||||||||||
Net assets, end of period (in thousands) | $ 831 | $ 505 | $ 29 | |||||||||||||||||||||
Portfolio turnover*** | 84 | % | 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.
107 |
FINANCIAL HIGHLIGHTS
|
RBC BlueBay Global High Yield Bond Fund
(Selected data for a share outstanding throughout the periods indicated)
For the Year Ended 2016 | For the Year Ended 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 | $ | 9.82 | $ | 10.42 | $ | 10.35 | $ | 10.76 | $ | 10.00 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||
Net investment income(b) | 0.50 | 0.48 | 0.53 | 0.60 | 0.53 | |||||||||||||||||||||||||
Realized and unrealized gains/(losses) | 0.17 | (0.45 | ) | 0.21 | (0.02 | ) | 0.76 | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||
Total from investment activities | 0.67 | 0.03 | 0.74 | 0.58 | 1.29 | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||
Distributions: | ||||||||||||||||||||||||||||||
Net investment income | (0.44 | ) | (0.28 | ) | (0.56 | ) | (0.60 | ) | (0.53 | ) | ||||||||||||||||||||
Realized gains | (0.07 | ) | (0.35 | ) | (0.11 | ) | (0.39 | ) | — | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||
Total distributions | (0.51 | ) | (0.63 | ) | (0.67 | ) | (0.99 | ) | (0.53 | ) | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||
Net asset value, end of period | $ | 9.98 | $ | 9.82 | $ | 10.42 | $ | 10.35 | $ | 10.76 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||
Total Return:(c) | 7.14% | 0.28% | 7.36% | 5.54% | 13.16%(d) | |||||||||||||||||||||||||
Ratios to Average Net Assets: | ||||||||||||||||||||||||||||||
Ratio of Net Expenses to Average Net Assets | 0.45% | 0.75%(e) | 0.95% | 0.95% | 0.95%(f) | |||||||||||||||||||||||||
Ratio of Net Investment Income to Average Net Assets | 5.13% | 4.76% | 5.05% | 5.64% | 6.15%(f) | |||||||||||||||||||||||||
Ratio of Expenses to Average Net Assets* | 1.50% | 1.33% | 1.30% | 1.52% | 2.40%(f) | |||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 31,824 | $ | 29,662 | $ | 34,631 | $ | 29,519 | $ | 22,624 | ||||||||||||||||||||
Portfolio turnover** | 84 | % | 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.
108 |
FINANCIAL HIGHLIGHTS
|
RBC BlueBay Global Convertible Bond Fund
(Selected data for a share outstanding throughout the periods indicated)
For the Year Ended September 30, 2016 | 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 | $ | 10.19 | $ | 11.13 | $ | 11.64 | $ | 10.63 | $ | 10.00 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||
Net investment income/(loss)(b) | (0.12 | ) | (0.09 | ) | 0.05 | 0.24 | 0.22 | |||||||||||||||||||||||
Realized and unrealized gains/(losses) | 0.45 | 0.31 | 0.59 | 1.23 | 0.64 | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||
Total from investment activities | 0.33 | 0.22 | 0.64 | 1.47 | 0.86 | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||
Distributions: | ||||||||||||||||||||||||||||||
Net investment income | (0.25 | ) | (0.13 | ) | (0.45 | ) | (0.24 | ) | (0.23 | ) | ||||||||||||||||||||
Realized gains | (0.53 | ) | (1.03 | ) | (0.70 | ) | (0.22 | ) | — | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||
Total distributions | (0.78 | ) | (1.16 | ) | (1.15 | ) | (0.46 | ) | (0.23 | ) | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||
Net asset value, end of period | $ | 9.74 | $ | 10.19 | $ | 11.13 | $ | 11.64 | $ | 10.63 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||
Total Return:(c) | 3.34% | 2.37% | 5.75% | 14.20% | 8.65%(d) | |||||||||||||||||||||||||
Ratios to Average Net Assets: | ||||||||||||||||||||||||||||||
Ratio of Net Expenses to Average Net Assets | 0.85% | 0.85% | 1.00% | 1.00% | 1.00%(e) | |||||||||||||||||||||||||
Ratio of Net Investment Income (Loss) to Average Net Assets | (1.25)% | (0.80)% | 0.41% | 2.18% | 2.56%(e) | |||||||||||||||||||||||||
Ratio of Expenses to Average Net Assets* | 1.96% | 1.56% | 1.60% | 1.77% | 2.89%(e) | |||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 16,616 | $ | 20,979 | $ | 21,193 | $ | 18,663 | $ | 16,778 | ||||||||||||||||||||
Portfolio turnover** | 54 | % | 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.
109 |
FINANCIAL HIGHLIGHTS
|
RBC BlueBay Absolute Return Fund
(Selected data for a share outstanding throughout the periods indicated)
For the Year Ended September 30, 2016 | 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 | $ | 9.79 | $ | 10.41 | $ | 10.26 | ||||||||||||
|
|
|
|
|
| |||||||||||||
Net investment income(b) | 0.13 | 0.11 | 0.10 | |||||||||||||||
Realized and unrealized gains/(losses) | (0.21 | ) | (0.42 | ) | 0.18 | |||||||||||||
|
|
|
|
|
| |||||||||||||
Total from investment activities | (0.08 | ) | (0.31 | ) | 0.28 | |||||||||||||
|
|
|
|
|
| |||||||||||||
Distributions: | ||||||||||||||||||
Net investment income | — | (0.02 | ) | (0.13 | ) | |||||||||||||
Realized gains | (0.28 | ) | (0.29 | ) | — | |||||||||||||
|
|
|
|
|
| |||||||||||||
Total distributions | (0.28 | ) | (0.31 | ) | (0.13 | ) | ||||||||||||
|
|
|
|
|
| |||||||||||||
Net asset value, end of period | $ | 9.43 | $ | 9.79 | $ | 10.41 | ||||||||||||
|
|
|
|
|
| |||||||||||||
Total Return:*(c) | (0.87)% | (2.90)% | 2.61%(d) | |||||||||||||||
Ratios to Average Net Assets: | ||||||||||||||||||
Ratio of Net Expenses to Average Net Assets | 1.20% | 1.20% | 1.20%(e) | |||||||||||||||
Ratio of Net Investment Income to Average Net Assets | 1.32% | 1.05% | 1.16%(e) | |||||||||||||||
Ratio of Expenses to Average Net Assets** | 1.25% | 1.17% | 1.35%(e) | |||||||||||||||
Net assets, end of period (in thousands) | $ | 3,036 | $ | 4,299 | $ | 6,365 | ||||||||||||
Portfolio turnover*** | 136 | % | 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.
110 |
FINANCIAL HIGHLIGHTS
|
RBC BlueBay Absolute Return Fund
(Selected data for a share outstanding throughout the periods indicated)
For the Year Ended September 30, 2016 | 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 | $ | 9.73 | $ | 10.40 | $ | 10.52 | ||||||||||||
|
|
|
|
|
| |||||||||||||
Net investment income(b) | 0.06 | 0.03 | 0.02 | |||||||||||||||
Realized and unrealized losses | (0.22 | ) | (0.41 | ) | (0.13 | ) | ||||||||||||
|
|
|
|
|
| |||||||||||||
Total from investment activities | (0.16 | ) | (0.38 | ) | (0.11 | ) | ||||||||||||
|
|
|
|
|
| |||||||||||||
Distributions: | ||||||||||||||||||
Net investment income | — | — | (c) | (0.01 | ) | |||||||||||||
Realized gains | (0.28 | ) | (0.29 | ) | — | |||||||||||||
|
|
|
|
|
| |||||||||||||
Total distributions | (0.28 | ) | (0.29 | ) | (0.01 | ) | ||||||||||||
|
|
|
|
|
| |||||||||||||
Net asset value, end of period | $ | 9.29 | $ | 9.73 | $ | 10.40 | ||||||||||||
|
|
|
|
|
| |||||||||||||
Total Return:*(d) | (1.61)% | (3.58)% | (1.16)%(e) | |||||||||||||||
Ratios to Average Net Assets: | ||||||||||||||||||
Ratio of Net Expenses to Average Net Assets | 1.95% | 1.92% | 1.95%(f) | |||||||||||||||
Ratio of Net Investment Income to Average Net Assets | 0.64% | 0.33% | 0.37%(f) | |||||||||||||||
Ratio of Expenses to Average Net Assets** | 2.46% | 1.90% | 1.96%(f) | |||||||||||||||
Net assets, end of period (in thousands) | $ | 237 | $ | 4,657 | $ | 6,952 | ||||||||||||
Portfolio turnover*** | 136 | % | 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.
111 |
FINANCIAL HIGHLIGHTS
|
RBC BlueBay Absolute Return Fund
(Selected data for a share outstanding throughout the periods indicated)
For the Year Ended September 30, 2016 | 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 | $ | 9.80 | $ | 10.40 | $ | 10.15 | $ | 10.00 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||
Net investment income(b) | 0.15 | 0.13 | 0.19 | 0.11 | ||||||||||||||||||||
Realized and unrealized gains/(losses) | (0.21 | ) | (0.41 | ) | 0.24 | 0.12 | ||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||
Total from investment activities | (0.06 | ) | (0.28 | ) | 0.43 | 0.23 | ||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||
Distributions: | ||||||||||||||||||||||||
Net investment income | — | (0.03 | ) | (0.18 | ) | (0.02 | ) | |||||||||||||||||
Realized gains | (0.28 | ) | (0.29 | ) | — | — | (c) | |||||||||||||||||
Return of capital | — | — | — | (0.06 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||
Total distributions | (0.28 | ) | (0.32 | ) | (0.18 | ) | (0.08 | ) | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||
Net asset value, end of period | $ | 9.46 | $ | 9.80 | $ | 10.40 | $ | 10.15 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||
Total Return:(d) | (0.76)% | (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% | 0.95%(f) | ||||||||||||||||||||
Ratio of Net Investment Income to Average Net Assets | 1.52% | 1.31% | 1.83% | 1.27%(f) | ||||||||||||||||||||
Ratio of Expenses to Average Net Assets* | 1.01% | 0.96% | 0.98% | 0.97%(f) | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 148,555 | $ | 516,457 | $ | 549,816 | $ | 508,871 | ||||||||||||||||
Portfolio turnover** | 136 | % | 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.
112 |
FINANCIAL HIGHLIGHTS
|
RBC BlueBay Emerging Market Unconstrained Fixed Income Fund
(Selected data for a share outstanding throughout the periods indicated)
For the Year Ended September 30, 2016 | For the Period Ended September 30, 2015(a) | |||||||||||||||||||
Class I | ||||||||||||||||||||
Per Share Operating Performance: | ||||||||||||||||||||
Net asset value, beginning of period | $ | 9.34 | $ | 10.00 | ||||||||||||||||
|
|
|
| |||||||||||||||||
Net investment income(b) | 0.66 | 0.29 | ||||||||||||||||||
Realized and unrealized gains/(losses) | 0.39 | (0.93 | ) | |||||||||||||||||
|
|
|
| |||||||||||||||||
Total from investment activities | 1.05 | (0.64 | ) | |||||||||||||||||
|
|
|
| |||||||||||||||||
Distributions: | ||||||||||||||||||||
Net investment income | (0.23 | ) | (0.02 | ) | ||||||||||||||||
|
|
|
| |||||||||||||||||
Total distributions | (0.23 | ) | (0.02 | ) | ||||||||||||||||
|
|
|
| |||||||||||||||||
Net asset value, end of period | $ | 10.16 | $ | 9.34 | ||||||||||||||||
|
|
|
| |||||||||||||||||
Total Return:(c) | 11.54% | (6.53)%(d) | ||||||||||||||||||
Ratios to Average Net Assets: | ||||||||||||||||||||
Ratio of Net Expenses to Average Net Assets | 1.25% | 1.25%(e) | ||||||||||||||||||
Ratio of Net Investment Income to Average Net Assets | 6.83% | 3.64%(e) | ||||||||||||||||||
Ratio of Expenses to Average Net Assets* | 2.59% | 2.49%(e) | ||||||||||||||||||
Net assets, end of period (in thousands) | $ | 15,638 | $ | 14,030 | ||||||||||||||||
Portfolio turnover** | 1,227 | % | 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.
113 |
FINANCIAL HIGHLIGHTS
|
RBC BlueBay Diversified Credit Fund
(Selected data for a share outstanding throughout the periods indicated)
For the Year Ended September 30, 2016 | For the Period Ended September 30, 2015(a) | |||||||||||||||||||
Class I | ||||||||||||||||||||
Per Share Operating Performance: | ||||||||||||||||||||
Net asset value, beginning of period | $ | 9.57 | $ | 10.00 | ||||||||||||||||
|
|
|
| |||||||||||||||||
Net investment income(b) | 0.40 | 0.24 | ||||||||||||||||||
Realized and unrealized losses | 0.31 | (0.54 | ) | |||||||||||||||||
|
|
|
| |||||||||||||||||
Total from investment activities | 0.71 | (0.30 | ) | |||||||||||||||||
|
|
|
| |||||||||||||||||
Distributions: | ||||||||||||||||||||
Net investment income | (0.14 | ) | (0.13 | ) | ||||||||||||||||
Realized gains | (0.11 | ) | — | |||||||||||||||||
|
|
|
| |||||||||||||||||
Total distributions | (0.25 | ) | (0.13 | ) | ||||||||||||||||
|
|
|
| |||||||||||||||||
Net asset value, end of period | $ | 10.03 | $ | 9.57 | ||||||||||||||||
|
|
|
| |||||||||||||||||
Total Return:(c) | 7.56% | (3.08)%(d) | ||||||||||||||||||
Ratios to Average Net Assets: | ||||||||||||||||||||
Ratio of Net Expenses to Average Net Assets | 1.00% | 1.00%(e) | ||||||||||||||||||
Ratio of Net Investment Income to Average Net Assets | 4.11% | 2.99%(e) | ||||||||||||||||||
Ratio of Expenses to Average Net Assets* | 1.29% | 1.34%(e) | ||||||||||||||||||
Net assets, end of period (in thousands) | $ | 68,470 | $ | 63,340 | ||||||||||||||||
Portfolio turnover** | 246 | % | 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.
114 |
|
September 30, 2016
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 21 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 Diversified Credit Fund (“Diversified Credit Fund”) (formerly known as RBC Bluebay Total Return Credit Fund) |
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 Diversified 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 Diversified Credit Fund. The officers of the Trust (“Fund Management”) are also employees of RBC GAM (US).
2. Significant Accounting Policies:
Each Fund is an investment company that follows accounting and reporting guidelines under the Financial Accounting Standards Board. 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 regularly scheduled closing time
115 |
NOTES TO FINANCIAL STATEMENTS
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of the exchange and are categorized as Level 1 in the fair value hierarchy (see “Fair Value Measurements” below for additional information). 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 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.
Bank loans are valued using recently executed transactions, market price quotations, credit/market events, and cross-asset pricing. Inputs are generally observable market inputs obtained from independent sources. Bank Loans are generally categorized as Level 2 of the fair value hierarchy, unless key inputs are unobservable which would then be as Level 3.
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
116 |
NOTES TO FINANCIAL STATEMENTS
|
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 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.
117 |
NOTES TO FINANCIAL STATEMENTS
|
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 2 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 2 category due to a lack of market activity or transparency. Internal valuation models may also be used as a pricing source for Level 2 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 the Funds’ investments as of September 30, 2016 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 | $ | — | $ | 1,426,427 | $ | — | $ | 1,426,427 | ||||||||
Foreign Government Bonds | — | 14,995,864 | — | 14,995,864 | ||||||||||||
Investment Company | 933,862 | — | — | 933,862 | ||||||||||||
Other Financial Instruments* | ||||||||||||||||
Interest rate contracts: | ||||||||||||||||
Financial futures contracts | 2,135 | — | — | 2,135 | ||||||||||||
Interest rate swaps | — | 91,066 | — | 91,066 | ||||||||||||
Foreign currency exchange contracts - forward contracts | — | 25,022 | — | 25,022 | ||||||||||||
Credit contracts: | ||||||||||||||||
Credit default swaps | — | 41,664 | — | 41,664 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Assets | $ | 935,997 | $ | 16,580,043 | $ | — | $ | 17,516,040 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liabilities: | ||||||||||||||||
Other Financial Instruments* | ||||||||||||||||
Interest rate contracts: | ||||||||||||||||
Financial futures contracts | $ | (1,101 | ) | $ | — | $ | — | $ | (1,101 | ) | ||||||
Interest rate swaps | — | (16,717 | ) | — | (16,717 | ) | ||||||||||
Foreign currency exchange contracts - forward contracts | — | (19,170 | ) | — | (19,170 | ) | ||||||||||
Credit contracts: | ||||||||||||||||
Credit default swaps | — | (2,293 | ) | — | (2,293 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Liabilities | $ | (1,101 | ) | $ | (38,180 | ) | $ | — | $ | (39,281 | ) | |||||
|
|
|
|
|
|
|
| |||||||||
Emerging Market Corporate Bond Fund | ||||||||||||||||
Assets: | ||||||||||||||||
Investments in Securities(a) | ||||||||||||||||
Corporate Bonds | $ | — | $ | 17,561,237 | $ | — | $ | 17,561,237 | ||||||||
Foreign Government Bonds | — | 1,092,983 | — | 1,092,983 | ||||||||||||
Investment Company | 1,120,063 | — | — | 1,120,063 | ||||||||||||
Other Financial Instruments* | ||||||||||||||||
Foreign currency exchange contracts - forward contracts | — | 8,804 | — | 8,804 | ||||||||||||
Credit contracts: | ||||||||||||||||
Credit default swaps | — | 103,370 | — | 103,370 | ||||||||||||
Interest rate contracts: | ||||||||||||||||
Purchased options | 891 | — | — | 891 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Assets | $ | 1,120,954 | $ | 18,766,394 | $ | — | $ | 19,887,348 | ||||||||
|
|
|
|
|
|
|
|
118 |
NOTES TO FINANCIAL STATEMENTS
|
Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | Total | |||||||||||||
Emerging Market Corporate Bond Fund | ||||||||||||||||
Liabilities: | ||||||||||||||||
Other Financial Instruments* | ||||||||||||||||
Foreign currency exchange contracts - forward contracts | $ | — | $ | (14,120) | $ | — | $ | (14,120) | ||||||||
Interest rate contracts: | ||||||||||||||||
Financial futures contracts | (2,336) | — | — | (2,336) | ||||||||||||
Credit contracts: | ||||||||||||||||
Credit default swaps | — | (27,937) | — | (27,937) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Liabilities | $ | (2,336) | $ | (42,057) | $ | — | $ | (44,393) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Global High Yield Bond Fund | ||||||||||||||||
Assets: | ||||||||||||||||
Investments in Securities(a) | ||||||||||||||||
Bank Loans | $ | — | $ | 1,591,400 | $ | — | $ | 1,591,400 | ||||||||
Corporate Bonds | — | 29,854,045 | — | (b) | 29,854,045 | |||||||||||
Common Stocks | 61,557 | 5,228 | — | 66,785 | ||||||||||||
Investment Company | 538,976 | — | — | 538,976 | ||||||||||||
Preferred Stock | — | 48,551 | — | 48,551 | ||||||||||||
Warrants/Rights | — | 7,731 | — | 7,731 | ||||||||||||
Other Financial Instruments* | ||||||||||||||||
Foreign currency exchange contracts - forward contracts | — | 32,679 | — | 32,679 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Assets | $ | 600,533 | $ | 31,539,634 | $ | — | $ | 32,140,167 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liabilities: | ||||||||||||||||
Other Financial Instruments* | ||||||||||||||||
Credit contracts: | ||||||||||||||||
Credit default swaps | $ | — | $ | (6,828) | $ | — | $ | (6,828) | ||||||||
Foreign currency exchange contracts - forward contracts | — | (24,934) | — | (24,934) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Liabilities | $ | — | $ | (31,762) | $ | — | $ | (31,762) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Global Convertible Bond Fund | ||||||||||||||||
Assets: | ||||||||||||||||
Investments in Securities(a) | ||||||||||||||||
Convertible Bonds | $ | — | $ | 15,438,728 | $ | — | $ | 15,438,728 | ||||||||
Convertible Preferred Stocks | — | 95,045 | — | 95,045 | ||||||||||||
Investment Company | 421,927 | — | — | 421,927 | ||||||||||||
Common Stock | 161,664 | — | — | 161,664 | ||||||||||||
Other Financial Instruments* | ||||||||||||||||
Equity contracts: | ||||||||||||||||
Financial futures contracts | 2,588 | 2,588 | ||||||||||||||
Purchased options | 46,015 | — | — | 46,015 | ||||||||||||
Foreign currency exchange contracts - forward contracts | — | 16,143 | — | 16,143 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Assets | $ | 632,194 | $ | 15,549,916 | $ | — | $ | 16,182,110 | ||||||||
|
|
|
|
|
|
|
|
119 |
NOTES TO FINANCIAL STATEMENTS
|
Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | Total | |||||||||||||
Global Convertible Bond Fund | ||||||||||||||||
Liabilities: | ||||||||||||||||
Other Financial Instruments* | ||||||||||||||||
Foreign currency exchange contracts - forward contracts | $ | — | $ | (54,556) | $ | — | $ | (54,556) | ||||||||
Equity contracts: | ||||||||||||||||
Written options | (15,660) | — | — | (15,660) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Liabilities | $ | (15,660) | $ | (54,556) | $ | — | $ | (70,216) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Absolute Return Fund | ||||||||||||||||
Assets: | ||||||||||||||||
Investments in Securities(a) | ||||||||||||||||
Corporate Bonds | $ | — | $ | 40,142,063 | $ | — | $ | 40,142,063 | ||||||||
Foreign Government Bonds | — | 81,770,657 | — | 81,770,657 | ||||||||||||
Investment Company | 23,223,800 | — | — | 23,223,800 | ||||||||||||
Other Financial Instruments* | ||||||||||||||||
Interest rate contracts: | ||||||||||||||||
Financial futures contracts | 36,135 | — | — | 36,135 | ||||||||||||
Interest rate swaps | — | 312,009 | — | 312,009 | ||||||||||||
Total return swaps | — | 25,532 | — | 25,532 | ||||||||||||
Credit contracts: | ||||||||||||||||
Credit default swaps | — | 102,836 | — | 102,836 | ||||||||||||
Purchased swaptions | — | 23,070 | — | 23,070 | ||||||||||||
Foreign currency exchange contracts - forward contracts | — | 724,613 | — | 724,613 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Assets | $ | 23,259,935 | $ | 123,100,780 | $ | — | $ | 146,360,715 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liabilities: | ||||||||||||||||
Other Financial Instruments* | ||||||||||||||||
Interest rate contracts: | ||||||||||||||||
Financial futures contracts | $ | (1,804) | $ | — | $ | — | $ | (1,804) | ||||||||
Interest rate swaps | — | (184,699) | — | (184,699) | ||||||||||||
Total return swaps | — | (498,547) | — | (498,547) | ||||||||||||
Credit contracts: | ||||||||||||||||
Credit default swaps | — | (2,413,273) | — | (2,413,273) | ||||||||||||
Foreign currency exchange contracts - forward contracts | — | (2,592,829) | — | (2,592,829) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Liabilities | $ | (1,804) | $ | (5,689,348) | $ | — | $ | (5,691,152) | ||||||||
|
|
|
|
|
|
|
|
120 |
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 | ||||||||||||||||
Assets: | ||||||||||||||||
Investments in Securities(a) | ||||||||||||||||
Corporate Bonds | $ | — | $ | 2,085,057 | $ | — | $ | 2,085,057 | ||||||||
Foreign Government Bonds | — | 12,743,288 | — | 12,743,288 | ||||||||||||
Investment Company | 702,466 | — | — | 702,466 | ||||||||||||
Other Financial Instruments* | ||||||||||||||||
Interest rate contracts: | ||||||||||||||||
Interest rate swaps | — | 43,372 | — | 43,372 | ||||||||||||
Credit contracts: | ||||||||||||||||
Credit default swaps | — | 197,535 | — | 197,535 | ||||||||||||
Foreign currency exchange contracts - forward contracts | — | 44,850 | — | 44,850 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Assets | $ | 702,466 | $ | 15,114,102 | $ | — | $ | 15,816,568 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liabilities: | ||||||||||||||||
Other Financial Instruments* | ||||||||||||||||
Interest rate contracts: | ||||||||||||||||
Financial futures contracts | $ | (22,856) | $ | — | $ | — | $ | (22,856) | ||||||||
Credit contracts: | ||||||||||||||||
Credit default swaps | — | (98,584) | — | (98,584) | ||||||||||||
Foreign currency exchange contracts - forward contracts | — | (25,784) | — | (25,784) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Liabilities | $ | (22,856) | $ | (124,368) | $ | — | $ | (147,224) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Diversified Credit Fund | ||||||||||||||||
Assets: | ||||||||||||||||
Investments in Securities(a) | ||||||||||||||||
Corporate Bonds | $ | — | $ | 22,633,867 | $ | —(b) | $ | 22,633,867 | ||||||||
Foreign Government Bonds | — | 40,609,193 | — | 40,609,193 | ||||||||||||
Investment Company | 2,572,038 | — | — | 2,572,038 | ||||||||||||
Other Financial Instruments* | ||||||||||||||||
Interest rate contracts: | ||||||||||||||||
Interest rate swaps | — | 31,552 | — | 31,552 | ||||||||||||
Credit contracts: | ||||||||||||||||
Credit default swaps | — | 55,723 | — | 55,723 | ||||||||||||
Foreign currency exchange contracts - forward contracts | — | 85,140 | — | 85,140 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Assets | $ | 2,572,038 | $ | 63,415,475 | $ | — | $ | 65,987,513 | ||||||||
|
|
|
|
|
|
|
|
121 |
NOTES TO FINANCIAL STATEMENTS
|
Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 2 Significant Observable Inputs | Total | |||||||||||||
Diversified Credit Fund | ||||||||||||||||
Liabilities: | ||||||||||||||||
Other Financial Instruments* | ||||||||||||||||
Interest rate contracts: | ||||||||||||||||
Financial futures contracts | $ | (14,744) | $ | — | $ | — | $ | (14,744) | ||||||||
Interest rate swaps | — | (24,117) | — | (24,117) | ||||||||||||
Credit contracts: | ||||||||||||||||
Credit default swaps | — | (7,456) | — | (7,456) | ||||||||||||
Foreign currency exchange contracts - forward contracts | — | (129,452) | — | (129,452) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Liabilities | $ | (14,744) | $ | (161,025) | $ | — | $ | (175,769) | ||||||||
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|
|
(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 ended September 30, 2016, 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.
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, for tax purposes, 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 U.S. 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.
122 |
NOTES TO FINANCIAL STATEMENTS
|
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. 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, 2016, the Funds 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, 2016, the total in-kind payments received by the Emerging Market Corporate Bond Fund, Global High Yield Bond Fund and Diversified Credit 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 as tools in the management of portfolio assets. The Fund may use such derivatives through either the creation of long or short positions to hedge various investments, for investment purposes, for risk management and/or to increase income or gain to the Fund. 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
123 |
NOTES TO FINANCIAL STATEMENTS
|
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.
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 financial futures contracts shown on the Statements of Assets and Liabilities at September 30, 2016.
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.
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
124 |
NOTES TO FINANCIAL STATEMENTS
|
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).
A summary of the Emerging Market Select Bond Fund written option transactions for the year is as follows:
Number of Options Contracts | Premiums Received | |||||||||||
Contracts outstanding at September 30, 2015 | — | $ | — | |||||||||
Options written | 5 | 4,425 | ||||||||||
Options terminated in closing purchase transactions | — | — | ||||||||||
Options exercised | — | — | ||||||||||
Options expired | (5) | (4,425) | ||||||||||
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|
|
| |||||||||
Contracts outstanding at September 30, 2016 | — | $ | — | |||||||||
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|
| |||||||||
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, 2015 | — | $ | — | |||||||||
Options written | 41 | 90,406 | ||||||||||
Options terminated in closing purchase transactions | (16) | (24,384) | ||||||||||
Options exercised | — | — | ||||||||||
Options expired | (25) | (66,022) | ||||||||||
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|
| |||||||||
Contracts outstanding at September 30, 2016 | — | $ | — | |||||||||
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|
| |||||||||
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, 2015 | — | $ | — | |||||||||
Options written | 97 | 152,354 | ||||||||||
Options terminated in closing purchase transactions | (68) | (90,000) | ||||||||||
Options exercised | — | — | ||||||||||
Options expired | (11) | (27,475) | ||||||||||
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|
|
| |||||||||
Contracts outstanding at September 30, 2016 | 18 | $ | 34,879 | |||||||||
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|
125 |
NOTES TO FINANCIAL STATEMENTS
|
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, 2015 | — | $ | — | |||||
Options written | 72,908,478 | 2,361,124 | ||||||
Options terminated in closing purchase transactions | (980) | (167,609) | ||||||
Options exercised | — | — | ||||||
Options expired | (72,907,498) | (2,193,515) | ||||||
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|
|
| |||||
Contracts outstanding at September 30, 2016 | — | $ | — | |||||
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|
|
| |||||
A summary of the Diversified Credit Fund written option transactions for the year is as follows:
|
| |||||||
Number of Options Contracts | Premiums Received | |||||||
Contracts outstanding at September 30, 2015 | — | $ | — | |||||
Options written | 79 | 142,620 | ||||||
Options terminated in closing purchase transactions | (50) | (61,025) | ||||||
Options exercised | — | — | ||||||
Options expired | (29) | (81,595) | ||||||
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|
|
| |||||
Contracts outstanding at September 30, 2016 | — | $ | — | |||||
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|
|
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, credit default and other swap agreements for the year ended September 30, 2016.
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.
126 |
NOTES TO FINANCIAL STATEMENTS
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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 captions “Interest rate swaps,” “Credit default swaps” and “Total return swaps”.
127 |
NOTES TO FINANCIAL STATEMENTS
|
Fair Values of derivative instruments as of September 30, 2016 are as follows(1):
Fair Values of Derivative Financial Instruments as of September 30, 2016 | ||||||||||||||||||||||||||||
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 | Diversified Credit Fund | ||||||||||||||||||||||
Credit risk: | ||||||||||||||||||||||||||||
Credit default swaps, at value | $ | 41,664 | $ | 103,370 | $ | — | $ | — | $ | 102,836 | $ | 197,535 | $ | 55,723 | ||||||||||||||
Investments, at value (call swaptions purchased) | — | — | — | — | 23,070 | — | — | |||||||||||||||||||||
Equity risk: | ||||||||||||||||||||||||||||
Investments, at value (call options purchased) | — | — | — | 3,535 | — | — | — | |||||||||||||||||||||
Investments, at value (put options purchased) | — | — | — | 42,480 | — | — | — | |||||||||||||||||||||
Unrealized appreciation on futures contracts | — | — | — | 2,588 | — | — | — | |||||||||||||||||||||
Foreign currency exchange risk: | ||||||||||||||||||||||||||||
Unrealized appreciation on forward foreign currency exchange contracts | 25,022 | 8,804 | 32,679 | 16,143 | 724,613 | 44,850 | 85,140 | |||||||||||||||||||||
Interest rate risk: | ||||||||||||||||||||||||||||
Unrealized appreciation on futures contracts | 2,135 | — | — | — | 36,135 | — | — | |||||||||||||||||||||
Investments, at value (put options purchased) | — | 891 | — | — | — | — | — | |||||||||||||||||||||
Unrealized appreciation on interest rate swaps contracts | 91,066 | — | — | — | 312,009 | 43,372 | 31,552 | |||||||||||||||||||||
Unrealized appreciation on total return swaps contracts | — | — | — | — | 25,532 | — | — | |||||||||||||||||||||
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| |||||||||||||||
Total | $ | 159,887 | $ | 113,065 | $ | 32,679 | $ | 64,746 | $ | 1,224,195 | $ | 285,757 | $ | 172,415 | ||||||||||||||
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128 |
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 | Diversified Credit Fund | ||||||||||||||||||||||
Credit risk: | ||||||||||||||||||||||||||||
Credit default swaps, at value | $ | 2,293 | $ | 27,937 | $ | 6,828 | $ | — | $ | 2,413,273 | $ | 98,584 | $ | 7,456 | ||||||||||||||
Equity risk: | ||||||||||||||||||||||||||||
Written options, at value | — | — | — | 15,660 | — | — | — | |||||||||||||||||||||
Foreign currency exchange risk: | ||||||||||||||||||||||||||||
Unrealized depreciation on forward foreign currency exchange contracts | 19,170 | 14,120 | 24,934 | 54,556 | 2,592,829 | 25,784 | 129,452 | |||||||||||||||||||||
Interest rate risk: | ||||||||||||||||||||||||||||
Unrealized depreciation on futures contracts | 1,101 | 2,336 | — | — | 1,804 | 22,856 | 14,744 | |||||||||||||||||||||
Unrealized depreciation on interest rate swaps contracts | 16,717 | — | — | — | 184,699 | — | 24,117 | |||||||||||||||||||||
Unrealized depreciation on total return swap contracts | — | — | — | — | 498,547 | — | — | |||||||||||||||||||||
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| |||||||||||||||
Total | $ | 39,281 | $ | 44,393 | $ | 31,762 | $ | 70,216 | $ | 5,691,152 | $ | 147,224 | $ | 175,769 | ||||||||||||||
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129 |
NOTES TO FINANCIAL STATEMENTS
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The effect of derivative instruments on the Statement of Operations during the year ended September 30, 2016 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 | Diversified Credit Fund | |||||||||||||||||||||||||
Net realized Gain/(Loss) From: | ||||||||||||||||||||||||||||||||
Credit Risk: | ||||||||||||||||||||||||||||||||
Credit default swaps | $ | (56,951) | $ | (35,412) | $ | (39,323) | $ | — | $ | (5,466,615) | $ | (329,071) | $ | (23,767) | ||||||||||||||||||
Equity Risk: | ||||||||||||||||||||||||||||||||
Written options | — | — | 14,168 | 63,358 | 55,364 | — | 57,184 | |||||||||||||||||||||||||
Purchased options(2) | (4,319) | — | 65,189 | (91,045) | (822,424) | — | (176,028) | |||||||||||||||||||||||||
Financial futures contracts | — | — | — | (121,293) | — | — | 7,831 | |||||||||||||||||||||||||
Interest Rate Risk: | ||||||||||||||||||||||||||||||||
Financial futures contracts | 74,323 | 26,060 | 43,449 | — | (2,090,130) | (130,719) | 16,099 | |||||||||||||||||||||||||
Interest rate swaps | 71,245 | (1,937) | — | — | (5,570,507) | 24,701 | 23,545 | |||||||||||||||||||||||||
Total Return swaps | — | — | — | — | (1,177,230) | — | — | |||||||||||||||||||||||||
Written options | — | — | — | — | 83,956 | — | — | |||||||||||||||||||||||||
Purchased options(2) | — | (2,953) | — | — | (570,515) | — | — | |||||||||||||||||||||||||
Foreign currency exchange risk: | ||||||||||||||||||||||||||||||||
Purchased options(2) | (1,802) | — | — | — | (753,496) | (53,999) | — | |||||||||||||||||||||||||
Written options | — | — | — | — | — | — | (20,017) | |||||||||||||||||||||||||
Forward foreign currency exchange contracts(3) | (493,013) | 31,889 | 153,235 | (265,411) | 9,470,316 | (552,637) | (74,764) | |||||||||||||||||||||||||
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Total | $ | (410,517) | $ | 17,647 | $ | 236,718 | $ | (414,391) | $ | (6,841,281) | $ | (1,041,725) | $ | (189,917) | ||||||||||||||||||
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130 |
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 | Diversified Credit Fund | |||||||||||||||||||||||||||||
Net Change in Unrealized Appreciation/(Depreciation) From: | ||||||||||||||||||||||||||||||||||||
Credit Risk: | ||||||||||||||||||||||||||||||||||||
Credit default swaps | $ | (7,426) | $ | (11,290) | $ | (9,952) | $ | — | $ | (603,070) | $ | (14,227) | $ | (22,037) | ||||||||||||||||||||||
Call swaptions purchased(4) | — | — | — | — | (41,302) | — | — | |||||||||||||||||||||||||||||
Equity Risk: | ||||||||||||||||||||||||||||||||||||
Call options purchased(4) | — | (141) | — | (27,582) | 252,000 | — | 21,390 | |||||||||||||||||||||||||||||
Put options purchased(4) | — | (1,663) | — | (22,361) | — | — | — | |||||||||||||||||||||||||||||
Written options | — | — | — | 19,219 | — | — | — | |||||||||||||||||||||||||||||
Interest Rate Risk: | ||||||||||||||||||||||||||||||||||||
Financial futures contracts | (1,456) | (19,966) | — | 2,588 | 1,511,162 | (21,997) | (5,140) | |||||||||||||||||||||||||||||
Interest rate swaps | (4,296) | — | — | — | 1,154,055 | 125,880 | 7,435 | |||||||||||||||||||||||||||||
Total return swaps | — | — | — | — | (473,015) | — | — | |||||||||||||||||||||||||||||
Foreign currency exchange risk: | ||||||||||||||||||||||||||||||||||||
Forward foreign currency exchange contracts(5) | 81,406 | (59,842) | (65,404) | (83,026) | (5,957,596) | 85,547 | (238,330) | |||||||||||||||||||||||||||||
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Total | $ | 68,228 | $ | (92,902) | $ | (75,356) | $ | (111,162) | $ | (4,157,766) | $ | 175,203 | $ | (236,682) | ||||||||||||||||||||||
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(1) For open derivative instruments as of September 30, 2016, see the preceding tables on the Schedule of Portfolio Investments for credit contracts, foreign currency exchange contracts, interest rate contracts and written options.
(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.
131 |
NOTES TO FINANCIAL STATEMENTS
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For the year ended September 30, 2016, the average volume of derivative activities based on ending quarterly outstanding amounts 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 | Diversified Credit Fund | ||||||||||||||||||||||
Futures short position (contracts) | 28 | — | — | 8 | 1,804 | 22 | 8 | |||||||||||||||||||||
Futures long position (contracts) | 6 | 14 | — | — | 170 | — | 1 | |||||||||||||||||||||
Forward foreign currency exchange contracts purchased (U.S. dollar amounts) | $5,977,168 | $ | 717,758 | $6,138,962 | $6,391,450 | $252,141,202 | $10,239,023 | $17,909,215 | ||||||||||||||||||||
Forward foreign currency exchange contracts sold (U.S. dollar amounts) | 7,312,589 | 314,834 | 94,248 | 357,946 | 77,978,896 | 6,316,894 | 7,019,692 | |||||||||||||||||||||
Purchased options (Cost $) | 2,637 | 639 | 33,020 | 173,384 | 216,880 | 10,658 | 133,799 | |||||||||||||||||||||
Swaptions Purchased (Cost $) | — | — | — | — | 67,160 | — | — | |||||||||||||||||||||
Written Options (Premium received $) | 1,106 | — | 18,615 | 23,631 | — | — | 31,859 | |||||||||||||||||||||
Swaptions Written (Premium received $) | — | — | — | — | 8,278 | — | — | |||||||||||||||||||||
Interest rate swaps (Notional Amount in U.S. Dollars) | 9,336,354 | — | — | — | 109,385,177 | 4,127,518 | 1,714,916 | |||||||||||||||||||||
Credit default swaps (Notional Amount in U.S. Dollars) | 1,230,500 | 2,224,609 | 593,243 | — | 206,581,094 | 7,717,210 | 2,228,103 | |||||||||||||||||||||
Total return swaps (Notional Amount in U.S. Dollars) | — | — | — | — | 22,748,343 | — | — |
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, 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
132 |
NOTES TO FINANCIAL STATEMENTS
|
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 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 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 Portfolio 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 Statements of Assets and Liabilities.
133 |
NOTES TO FINANCIAL STATEMENTS
|
The following tables present the Funds’ gross and net amount of assets and liabilities available for offset under netting arrangements as well as any related collateral received or pledged by the Funds as of September 30, 2016:
Emerging Market Select Bond Fund | Barclays Bank Plc | BNP Paribas SA | Citibank N.A. | Citigoup Global Markets, Inc. | Deutsche Bank AG | HSBC Bank Plc | JPMorgan Chase Bank, N.A. | Total | ||||||||||||||||||||||||
Assets: | ||||||||||||||||||||||||||||||||
Forward Currency Exchange Contracts | $ | — | $ | — | $ | 25,022 | $ | — | $ | — | $ | — | $ | — | $ | 25,022 | ||||||||||||||||
Financial Futures Contracts | — | — | — | 2,135 | — | — | — | 2,135 | ||||||||||||||||||||||||
Swaps | — | 48,474 | — | 3,680 | 41,804 | 37,429 | 1,343 | 132,730 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Total Assets | — | 48,474 | 25,022 | 5,815 | 41,804 | 37,429 | 1,343 | 159,887 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Liabilities: | ||||||||||||||||||||||||||||||||
Forward Currency Exchange Contracts | — | — | 19,170 | — | — | — | — | 19,170 | ||||||||||||||||||||||||
Financial Futures Contracts | — | — | — | 1,101 | — | — | — | 1,101 | ||||||||||||||||||||||||
Swaps | 2,293 | 8,129 | — | — | — | 2,486 | 6,102 | 19,010 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Total Liabilities | 2,293 | 8,129 | 19,170 | 1,101 | — | 2,486 | 6,102 | 39,281 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Total Financial and Derivative Net Assets1: | (2,293) | 40,345 | 5,852 | 4,714 | 41,804 | 34,943 | (4,759) | 120,606 | ||||||||||||||||||||||||
Total Collateral Received (Pledged)2 | — | — | — | — | 40,000 | — | — | 40,000 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Net Amount3 | $ | (2,293) | $ | 40,345 | $ | 5,852 | $ | 4,714 | $ | 1,804 | $ | 34,943 | $ | (4,759) | $ | 80,606 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Emerging Market Corporate Bond Fund | Barclays Bank Plc | BNP Paribas SA | Citibank N.A. | Citigoup Global Markets, Inc. | Total | |||||||||||||||
Assets: | ||||||||||||||||||||
Forward Currency Exchange Contracts | $ | — | $ | — | $ | 8,804 | $ | — | $ | 8,804 | ||||||||||
Financial Futures Contracts | — | — | — | — | — | |||||||||||||||
Swaps | 13,813 | 48,161 | 34,982 | 6,414 | 103,370 | |||||||||||||||
Put Options Purchased | — | — | — | 891 | 891 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Assets | 13,813 | 48,161 | 43,786 | 7,305 | 113,065 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Liabilities: | ||||||||||||||||||||
Forward Currency Exchange Contracts | — | — | 14,120 | — | 14,120 | |||||||||||||||
Financial Futures Contracts | — | — | — | 2,336 | 2,336 | |||||||||||||||
Swaps | 16,446 | 11,491 | — | — | 27,937 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Liabilities | 16,446 | 11,491 | 14,120 | 2,336 | 44,393 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Financial and Derivative Net Assets1: | (2,633) | 36,670 | 29,666 | 4,969 | 68,672 | |||||||||||||||
Total Collateral Received (Pledged)2 | — | — | — | — | — | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net Amount3 | $ | (2,633) | $ | 36,670 | $ | 29,666 | $ | 4,969 | $ | 68,672 | ||||||||||
|
|
|
|
|
|
|
|
|
|
134 |
NOTES TO FINANCIAL STATEMENTS
|
JPMorgan | ||||||||||||
Chase | ||||||||||||
Global High Yield | Citibank | Bank, | ||||||||||
Bond Fund | N.A. | N.A. | Total | |||||||||
Assets: | ||||||||||||
Forward Currency Exchange Contracts | $ | 32,679 | $ | — | $ | 32,679 | ||||||
|
|
|
|
|
| |||||||
Total Assets | 32,679 | — | 32,679 | |||||||||
|
|
|
|
|
| |||||||
Liabilities: | ||||||||||||
Forward Currency Exchange Contracts | 24,934 | — | 24,934 | |||||||||
Swaps | — | 6,828 | 6,828 | |||||||||
|
|
|
|
|
| |||||||
Total Liabilities | 24,934 | 6,828 | 31,762 | |||||||||
|
|
|
|
|
| |||||||
Total Financial and Derivative Net Assets1: | 7,745 | (6,828) | 917 | |||||||||
Total Collateral Received (Pledged)2 | — | — | — | |||||||||
|
|
|
|
|
| |||||||
Net Amount3 | $ | 7,745 | $ | (6,828) | $ | 917 | ||||||
|
|
|
|
|
|
Global Convertible Bond Fund | Citibank N.A. | Citigoup Global Markets, Inc. | Credit Suisse Securities, (USA) LLC | Total | ||||||||||||
Assets: | ||||||||||||||||
Forward Currency Exchange Contracts | $ | 16,143 | $ | — | $ | — | $ | 16,143 | ||||||||
Financial Futures Contracts | — | 2,588 | — | 2,588 | ||||||||||||
Call Options Purchased | — | — | 3,535 | 3,535 | ||||||||||||
Put Options Purchased | — | — | 42,480 | 42,480 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Assets | 16,143 | 2,588 | 46,015 | 64,746 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Liabilities: | ||||||||||||||||
Forward Currency Exchange Contracts | 54,556 | — | — | 54,556 | ||||||||||||
Put Options Written | — | — | 15,660 | 15,660 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Liabilities | 54,556 | — | 15,660 | 70,216 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Financial and Derivative Net Assets1: | (38,413) | 2,588 | 30,355 | (5,470) | ||||||||||||
Total Collateral Received (Pledged)2 | (10,000) | — | — | (10,000) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Amount3 | $ | (28,413) | $ | 2,588 | $ | 30,355 | $ | 4,530 | ||||||||
|
|
|
|
|
|
|
|
135 |
NOTES TO FINANCIAL STATEMENTS
|
Absolute Return Bond Fund | Barclays Bank Plc | BNP Paribas SA | Citibank N.A. | Credit Suisse Securities, (USA) LLC | Deutsche Bank AG | HSBC Bank Plc | JPMorgan Chase Bank, N.A. | Morgan Stanley & Co. | Total | |||||||||||||||||||||||||||
Assets: | ||||||||||||||||||||||||||||||||||||
Forward Currency Exchange Contracts | $ | 414,560 | $ | — | $ | 310,053 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 724,613 | ||||||||||||||||||
Financial Futures Contracts | — | — | — | 36,135 | — | — | — | — | 36,135 | |||||||||||||||||||||||||||
Swaps | 11,984 | 76,412 | 22,077 | 312,009 | — | — | 17,895 | — | 440,377 | |||||||||||||||||||||||||||
Call Swaptions Purchased | — | 7,550 | 15,520 | — | — | — | — | — | 23,070 | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total Assets | 426,544 | 83,962 | 347,650 | 348,144 | — | — | 17,895 | — | 1,224,195 | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Liabilities: | ||||||||||||||||||||||||||||||||||||
Forward Currency Exchange Contracts | 1,645,722 | — | 947,107 | — | — | — | — | — | 2,592,829 | |||||||||||||||||||||||||||
Financial Futures Contracts | — | — | — | 1,804 | — | — | — | — | 1,804 | |||||||||||||||||||||||||||
Swaps | 152,142 | 1,669,284 | 186,648 | 694,886 | 62,356 | 141,919 | — | 189,284 | 3,096,519 | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total Liabilities | 1,797,864 | 1,669,284 | 1,133,755 | 696,690 | 62,356 | 141,919 | — | 189,284 | 5,691,152 | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total Financial and Derivative Net Assets1: | (1,371,320) | (1,585,322) | (786,105) | (348,546) | (62,356) | (141,919) | 17,895 | (189,284) | (4,466,957) | |||||||||||||||||||||||||||
Total Collateral Received(Pledged)2 | (1,371,320) | (1,585,322) | (600,000) | (299,360) | (62,356) | — | 10,000 | (189,284) | (4,097,642) | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Net Amount3 | $ | — | $ | — | $ | (186,105) | $ | (49,186) | $ | — | $ | (141,919) | $ | 7,895 | $ | — | $ | (369,315) | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Emerging Market Unconstrained Fixed Income Fund | Barclays Bank Plc | BNP Paribas SA | Citibank N.A. | Citigoup Global Markets, Inc. | Credit Suisse Securities (USA) LLC | JPMorgan Chase Bank, N.A. | Merrill Lynch International | Total | ||||||||||||||||||||||||
Assets: | ||||||||||||||||||||||||||||||||
Forward Currency Exchange Contracts | $ | — | $ | — | $ | 36,225 | $ | — | $ | — | $ | 8,625 | $ | — | $ | 44,850 | ||||||||||||||||
Swaps | 85,293 | 124,226 | — | 3,003 | — | — | 28,385 | 240,907 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Swaps | 85,293 | 124,226 | 36,225 | 3,003 | — | 8,625 | 28,385 | 285,757 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Liabilities: | ||||||||||||||||||||||||||||||||
Forward Currency Exchange Contracts | — | — | 22,876 | — | — | 2,908 | — | 25,784 | ||||||||||||||||||||||||
Financial Futures Contracts | — | — | — | — | 22,856 | — | — | 22,856 | ||||||||||||||||||||||||
Swaps | — | — | — | 98,584 | — | — | — | 98,584 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Total Liabilities | — | — | 22,876 | 98,584 | 22,856 | 2,908 | — | 147,224 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Total Financial and Derivative Net Assets1: | 85,293 | 124,226 | 13,349 | (95,581) | (22,856) | 5,717 | 28,385 | 138,533 | ||||||||||||||||||||||||
Total Collateral Received(Pledged)2 | — | 30,000 | — | (68,239) | (22,856) | — | — | (61,095) | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Net Amount3 | $ | 85,293 | $ | 94,226 | $ | 13,349 | $ | (27,342) | $ | — | $ | 5,717 | $ | 28,385 | $ | 199,628 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
136 |
NOTES TO FINANCIAL STATEMENTS
|
Diversified Credit Fund | BNP Paribas SA | Citibank N.A. | Citigoup Global Markets, Inc. | Credit Suisse Securities (USA) LLC | HSBC Bank Plc | JPMorgan Chase Bank, N.A. | Merrill Lynch International | Total | ||||||||||||||||||||||||
Assets: | ||||||||||||||||||||||||||||||||
Forward Currency Exchange Contracts | $ | — | $ | 85,140 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 85,140 | ||||||||||||||||
Swaps | 7,646 | — | 56,677 | — | 21,381 | 1,571 | — | 87,275 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Total Assets | 7,646 | 85,140 | 56,677 | — | 21,381 | 1,571 | — | 172,415 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Liabilities: | ||||||||||||||||||||||||||||||||
Forward Currency Exchange Contracts | — | 129,452 | — | — | — | — | — | 129,452 | ||||||||||||||||||||||||
Financial Futures Contracts | — | — | — | 14,744 | — | — | — | 14,744 | ||||||||||||||||||||||||
Swaps | — | — | 7,217 | — | 5,101 | 17,643 | 1,612 | 31,573 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Total Liabilities | — | 129,452 | 7,217 | 14,744 | 5,101 | 17,643 | 1,612 | 175,769 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Total Financial and Derivative Net Assets1: | 7,646 | (44,312) | 49,460 | (14,744) | 16,280 | (16,072) | (1,612) | (3,354) | ||||||||||||||||||||||||
Total Collateral Received (Pledged)2 | — | — | — | (14,744) | — | — | — | (14,744) | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Net Amount3 | $ | 7,646 | $ | (44,312) | $ | 49,460 | $ | — | $ | 16,280 | $ | (16,072) | $ | (1,612) | $ | 11,390 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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 (pledged) from/to the individual counterparty may not be shown for financial reporting purposes. |
3 | Net amount represents the net amount receivable (payable) from/to the individual 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.
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 trade date. Dividend income net of non-reclaimable withholding taxes 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 in the Trust 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.
137 |
NOTES TO FINANCIAL STATEMENTS
|
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 and paid monthly. 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. Permanent differences include reclassification of foreign currency from capital to ordinary, capital treatment for certain forward exchange contracts under IRC Section 988a1B, net operating loss write-offs to paid in capital , currency treatment for the accrual of certain foreign denominated swaps and early termination on such swaps (including prior period true-ups), reclassification of foreign currency options from capital to currency, redesignation of dividends paid, treatment of contingent payment debt holdings.
Increase/(Decrease) | Increase/(Decrease) | |||||||||||
Increase/(Decrease) | Accumulated | Accumulated | ||||||||||
Paid in Capital | Net Investment Income | Realized Gain/(Loss) | ||||||||||
Emerging Market Select Bond Fund | $(16,156,396) | $15,870,836 | $ 285,560 | |||||||||
Emerging Market Corporate Bond Fund | — | (34,479) | 34,479 | |||||||||
Global High Yield Bond Fund | — | (99,116) | 99,116 | |||||||||
Global Convertible Bond Fund | (455,897) | 869,443 | (413,546) | |||||||||
Absolute Return Fund | (7,846,946) | 2,415,957 | 5,430,989 | |||||||||
Emerging Market Unconstrained Fixed Income Fund | (8,737) | 41,161 | (32,424) | |||||||||
Diversified Credit Fund | (9,096) | (926,548) | 935,644 |
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:
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% | |
Diversified Credit Fund | 0.85% |
RBC GAM (US) has contractually agreed to waive fees and/or make payments in order to keep total operating expenses (excluding certain fees such as interest, taxes and acquired fund fees and expenses) of the Funds to the following levels pursuant to an expense limitation agreement.
Class A | Class C | Class I | ||||||||||||
Annual Rate | Annual Rate | Annual Rate | ||||||||||||
Emerging Market Select Bond Fund | 1.15% | N/A | 0.90% | |||||||||||
Emerging Market Corporate Bond Fund | 0.825% | N/A | 0.575% |
138 |
NOTES TO FINANCIAL STATEMENTS
|
Class A | Class C | Class I | ||||||||||
Annual Rate | Annual Rate | Annual Rate | ||||||||||
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% | |||||||||
Diversified Credit Fund | N/A | N/A | 1.00% |
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.
The amounts subject to possible recoupment under the expense limitation agreement were:
FYE 9/30/14 | FYE 9/30/15 | FYE 9/30/16 | ||||||||||||||
(Expiration Date | (Expiration Date | (Expiration Date | ||||||||||||||
9/30/17) | 9/30/18) | 9/30/19) | Total | |||||||||||||
Emerging Market Select Bond Fund | $ 97,769 | $307,733 | $189,953 | $595,455 | ||||||||||||
Emerging Market Corporate Bond Fund | 135,255 | 173,735 | 279,676 | 588,666 | ||||||||||||
Global High Yield Bond Fund | 118,413 | 195,091 | 336,394 | 649,898 | ||||||||||||
Global Convertible Bond Fund | 120,547 | 156,359 | 216,390 | 493,296 | ||||||||||||
Absolute Return Fund | 145,557 | 35,217 | 210,858 | 391,632 | ||||||||||||
Emerging Market Unconstrained Fixed Income Fund | — | 156,314 | 196,887 | 353,201 | ||||||||||||
Diversified Credit Fund | — | 153,788 | 187,847 | 341,635 |
Each of the Funds are sub-advised by BlueBay, and the Global High Yield Bond Fund, Absolute Return Fund and Diversified 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.
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 $46,000 ($49,000 effective October 1, 2016). 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,
139 |
NOTES TO FINANCIAL STATEMENTS |
Independent Trustees receive a quarterly meeting fee of $6,000 ($6,500 effective October 1, 2016) 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, 2016, 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.
Shares held | % of Fund | |||||||||||
Net Assets | by Advisor | Net Assets | ||||||||||
Emerging Market Corporate Bond Fund | $ | 20,202,797 | 1,927,661 | 95.2% | ||||||||
Global High Yield Bond Fund | $ | 32,654,293 | 2,761,401 | 84.4% | ||||||||
Global Convertible Bond Fund | $ | 16,616,195 | 1,607,316 | 94.2% | ||||||||
Emerging Market Unconstrained Fixed Income Fund | $ | 15,638,342 | 1,539,287 | 100.0% | ||||||||
Diversified Credit Fund | $ | 68,469,585 | 4,670,053 | 68.4% |
4. Fund Distribution:
Each of the Funds, except Global Convertible Bond Fund, Emerging Market Unconstrained Fixed Income Fund and Diversified 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, 2016, there were no fees waived by the Distributor.
For the year ended September 30, 2016, the Distributor received commissions of $2,840 front-end sales charges of Class A shares, of the Funds, of which $416 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, 2016.
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, 2016 were as follows:
Purchases | Sales | |||||||
Emerging Market Select Bond Fund | $ | 49,110,062 | $ | 55,467,169 | ||||
Emerging Market Corporate Bond Fund | 38,957,703 | 37,486,547 | ||||||
Global High Yield Bond Fund | 28,839,496 | 24,226,725 | ||||||
Global Convertible Bond Fund | 9,436,819 | 13,136,016 | ||||||
Absolute Return Fund | 351,449,764 | 640,530,601 | ||||||
Emerging Market Unconstrained Fixed Income Fund | 151,555,735 | 146,986,637 | ||||||
Diversified Credit Fund | 147,940,689 | 144,826,670 |
140 |
NOTES TO FINANCIAL STATEMENTS
|
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, 2016 | For the Year Ended | For the Year Ended | For the Year Ended | |||||||||||||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||||||||
Class A | ||||||||||||||||||||||
Proceeds from shares issued | $ | — | $ | 269,090 | $ | 41,001 | $ | — | ||||||||||||||
Distributions reinvested | — | 223 | 367 | 358 | ||||||||||||||||||
Cost of shares redeemed | (144,552 | ) | (15,655 | ) | — | — | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
Change in Class A | $ | (144,552 | ) | $ | 253,658 | $ | 41,368 | $ | 358 | |||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
Class I | ||||||||||||||||||||||
Proceeds from shares issued | $ | 2,440,526 | $ | 27,247,109 | $ | 669,074 | $ | 773,219 | ||||||||||||||
Distributions reinvested | — | 1,413,597 | 684,263 | 730,658 | ||||||||||||||||||
Cost of shares redeemed | (12,244,459 | ) | (206,528,080 | ) | (1,847,677 | ) | (3,281,516 | ) | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
Change in Class I | $ | (9,803,933 | ) | $ | (177,867,374 | ) | $ | (494,340 | ) | $ | (1,777,639 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
Change in net assets resulting from capital transactions | $ | (9,948,485 | ) | $ | (177,613,716 | ) | $ | (452,972 | ) | $ | (1,777,281 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
SHARE TRANSACTIONS: | ||||||||||||||||||||||
Class A | ||||||||||||||||||||||
Issued | — | 28,585 | 4,108 | — | ||||||||||||||||||
Reinvested | — | 23 | 39 | 36 | ||||||||||||||||||
Redeemed | (16,521 | ) | (1,695 | ) | — | — | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
Change in Class A | (16,521 | ) | 26,913 | 4,147 | 36 | |||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
Class I | ||||||||||||||||||||||
Issued | 271,372 | 3,001,126 | 69,664 | 78,259 | ||||||||||||||||||
Reinvested | — | 145,885 | 73,126 | 74,574 | ||||||||||||||||||
Redeemed | (1,402,982 | ) | (22,236,532 | ) | (198,149 | ) | (334,083 | ) | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
Change in Class I | (1,131,610 | ) | (19,089,521 | ) | (55,359 | ) | (181,250 | ) | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
Change in shares resulting from capital transactions | (1,148,131 | ) | (19,062,608 | ) | (51,212 | ) | (181,214 | ) | ||||||||||||||
|
|
|
|
|
|
|
|
141 |
NOTES TO FINANCIAL STATEMENTS
|
Global High Yield Bond Fund | Global Convertible Bond Fund | |||||||||||||||||||||||||||||||
For the Year Ended September 30, 2016 | For the Year Ended September 30, 2015 | For the Year Ended September 30, 2016 | For the Year Ended September 30, 2015 | |||||||||||||||||||||||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||||||
Proceeds from shares issued | $ | 805,747 | $ | 502,039 | ||||||||||||||||||||||||||||
Distributions reinvested | 35,060 | 26,943 | ||||||||||||||||||||||||||||||
Cost of shares redeemed | (556,218 | ) | (27,853 | ) | ||||||||||||||||||||||||||||
|
|
|
| |||||||||||||||||||||||||||||
Change in Class A | $ | 284,589 | $ | 501,129 | ||||||||||||||||||||||||||||
|
|
|
| |||||||||||||||||||||||||||||
Class I | ||||||||||||||||||||||||||||||||
Proceeds from shares issued | $ | 7,562,350 | $ | 2,152,873 | $ | 877,197 | $ | 5,627,705 | ||||||||||||||||||||||||
Distributions reinvested | 1,580,225 | 2,044,784 | 1,593,473 | 2,176,604 | ||||||||||||||||||||||||||||
Cost of shares redeemed | (7,636,446 | ) | (7,237,657 | ) | (5,853,844 | ) | (6,132,816 | ) | ||||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||||||
Change in Class I | $ | 1,506,129 | $ | (3,040,000 | ) | $ | (3,383,174 | ) | $ | 1,671,493 | ||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||||||
Change in net assets resulting from capital transactions | $ | 1,790,718 | $ | (2,538,871 | ) | $ | (3,383,174 | ) | $ | 1,671,493 | ||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||||||
SHARE TRANSACTIONS: | ||||||||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||||||
Issued | 85,357 | 48,645 | ||||||||||||||||||||||||||||||
Reinvested | 3,619 | 2,709 | ||||||||||||||||||||||||||||||
Redeemed | (57,166 | ) | (2,734 | ) | ||||||||||||||||||||||||||||
|
|
|
| |||||||||||||||||||||||||||||
Change in Class A | 31,810 | 48,620 | ||||||||||||||||||||||||||||||
|
|
|
| |||||||||||||||||||||||||||||
Class I | ||||||||||||||||||||||||||||||||
Issued | 791,910 | 211,218 | 89,356 | 534,077 | ||||||||||||||||||||||||||||
Reinvested | 163,222 | 204,243 | 164,373 | 213,483 | ||||||||||||||||||||||||||||
Redeemed | (786,529 | ) | (720,457 | ) | (606,661 | ) | (592,562 | ) | ||||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||||||
Change in Class I | 168,603 | (304,996 | ) | (352,932 | ) | 154,998 | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||||||
Change in shares resulting from capital transactions | 200,413 | (256,376 | ) | (352,932 | ) | 154,998 | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||||||
Absolute Return Fund | Emerging Market Unconstrained Fixed Income Fund | |||||||||||||||||||||||||||||||
For the Year Ended September 30, 2016 | For the Year Ended September 30, 2015 | For the Year Ended September 30, 2016 | For the Period Ended September 30, 2015(a) | |||||||||||||||||||||||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||||||
Proceeds from shares issued | $ | 233,742 | $ | 2,353,720 | ||||||||||||||||||||||||||||
Distributions reinvested | 116,486 | 250,430 | ||||||||||||||||||||||||||||||
Cost of shares redeemed | (1,452,105 | ) | (4,311,932 | ) | ||||||||||||||||||||||||||||
|
|
|
| |||||||||||||||||||||||||||||
Change in Class A | $ | (1,101,877 | ) | $ | (1,707,782 | ) | ||||||||||||||||||||||||||
|
|
|
| |||||||||||||||||||||||||||||
Class C | ||||||||||||||||||||||||||||||||
Proceeds from shares issued | $ | — | $ | 105,000 | ||||||||||||||||||||||||||||
Distributions reinvested | 17,172 | 201,288 | ||||||||||||||||||||||||||||||
Cost of shares redeemed | (4,436,735 | ) | (2,190,045 | ) | ||||||||||||||||||||||||||||
|
|
|
| |||||||||||||||||||||||||||||
Change in Class C | $ | (4,419,563 | ) | $ | (1,883,757 | ) | ||||||||||||||||||||||||||
|
|
|
| |||||||||||||||||||||||||||||
Class I | ||||||||||||||||||||||||||||||||
Proceeds from shares issued | $ | 17,877,682 | $ | 310,649,429 | $ | — | $ | 15,000,000 | ||||||||||||||||||||||||
Distributions reinvested | 4,145,589 | 4,137,251 | 351,225 | 27,000 | ||||||||||||||||||||||||||||
Cost of shares redeemed | (371,223,369 | ) | (313,794,067 | ) | — | — | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||||||
Change in Class I | $ | (349,200,098 | ) | $ | 992,613 | $ | 351,225 | $ | 15,027,000 | |||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||||||
Change in net assets resulting from capital transactions | $ | (354,721,538 | ) | $ | (2,598,926 | ) | $ | 351,225 | $ | 15,027,000 | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
142 |
NOTES TO FINANCIAL STATEMENTS
|
Absolute Return Fund | Emerging Market Unconstrained Fixed Income Fund | |||||||||||||||||||||||||||||||
For the Year Ended September 30, 2016 | For the Year Ended September 30, 2015 | For the Year Ended September 30, 2016 | For the Period Ended September 30, 2015(a) | |||||||||||||||||||||||||||||
SHARE TRANSACTIONS: | ||||||||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||||||
Issued | 24,077 | 227,800 | ||||||||||||||||||||||||||||||
Reinvested | 12,172 | 24,939 | ||||||||||||||||||||||||||||||
Redeemed | (153,204 | ) | (425,366 | ) | ||||||||||||||||||||||||||||
|
|
|
| |||||||||||||||||||||||||||||
Change in Class A | (116,955 | ) | (172,627 | ) | ||||||||||||||||||||||||||||
|
|
|
| |||||||||||||||||||||||||||||
Class C | ||||||||||||||||||||||||||||||||
Issued | — | 10,180 | ||||||||||||||||||||||||||||||
Reinvested | 1,809 | 20,084 | ||||||||||||||||||||||||||||||
Redeemed | (455,010 | ) | (220,217 | ) | ||||||||||||||||||||||||||||
|
|
|
| |||||||||||||||||||||||||||||
Change in Class C | (453,201 | ) | (189,953 | ) | ||||||||||||||||||||||||||||
|
|
|
| |||||||||||||||||||||||||||||
Class I | ||||||||||||||||||||||||||||||||
Issued | 1,869,698 | 30,625,647 | — | 1,500,000 | ||||||||||||||||||||||||||||
Reinvested | 432,282 | 412,226 | 36,543 | 2,744 | ||||||||||||||||||||||||||||
Redeemed | (39,283,380 | ) | (31,222,600 | ) | — | — | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||||||
Change in Class I | (36,981,400 | ) | (184,727 | ) | 36,543 | 1,502,744 | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||||||
Change in shares resulting from capital transactions | (37,551,556 | ) | (547,307 | ) | 36,543 | 1,502,744 | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||||||
Diversified Credit Fund | ||||||||||||||||||||||||||||||||
For the Year Ended September 30, 2016 | For the Period Ended September 30, 2015(a) | |||||||||||||||||||||||||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||||||||||||||||||
Class I | ||||||||||||||||||||||||||||||||
Proceeds from shares issued | $ | 1,792,700 | $ | 70,294,750 | ||||||||||||||||||||||||||||
Distributions reinvested | 1,655,799 | 641,270 | ||||||||||||||||||||||||||||||
Cost of shares redeemed | (1,529,600 | ) | (5,000,500 | ) | ||||||||||||||||||||||||||||
|
|
|
| |||||||||||||||||||||||||||||
Change in Class I | $ | 1,918,899 | $ | 65,935,520 | ||||||||||||||||||||||||||||
|
|
|
| |||||||||||||||||||||||||||||
Change in net assets resulting from capital transactions | $ | 1,918,899 | $ | 65,935,520 | ||||||||||||||||||||||||||||
|
|
|
| |||||||||||||||||||||||||||||
SHARE TRANSACTIONS: | ||||||||||||||||||||||||||||||||
Class I | ||||||||||||||||||||||||||||||||
Issued | 191,552 | 7,065,394 | ||||||||||||||||||||||||||||||
Reinvested | 173,465 | 63,870 | ||||||||||||||||||||||||||||||
Redeemed | (153,451 | ) | (513,397 | ) | ||||||||||||||||||||||||||||
|
|
|
| |||||||||||||||||||||||||||||
Change in Class I | 211,566 | 6,615,867 | ||||||||||||||||||||||||||||||
|
|
|
| |||||||||||||||||||||||||||||
Change in shares resulting from capital transactions | 211,566 | 6,615,867 | ||||||||||||||||||||||||||||||
|
|
|
|
(a) 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.
143 |
NOTES TO FINANCIAL STATEMENTS |
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 2013, 2014, 2015 and 2016 for all Funds, except Emerging Market Unconstrained Fixed Income Fund and Diversified Credit Fund which is the tax year ended September 30 of the years 2015 and 2016, 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, 2016, 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 ended September 30, 2016, the Funds did not incur any interest or penalties.
As of September 30, 2016, 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 | $ | 17,081,689 | $ | 1,103,772 | $ | (756,044) | $ | 347,728 | ||||||||
Emerging Market Corporate Bond Fund | 19,528,332 | 630,870 | (399,606) | 231,264 | ||||||||||||
Global High Yield Bond Fund | 31,862,884 | 808,774 | (558,573) | 250,201 | ||||||||||||
Global Convertible Bond Fund | 15,987,913 | 950,891 | (908,258) | 42,633 | ||||||||||||
Absolute Return Fund | 145,528,569 | 5,652,318 | (9,118,872) | (3,466,554) | ||||||||||||
Emerging Market Unconstrained Fixed Income Fund | 15,740,276 | 183,880 | (393,345) | (209,465) | ||||||||||||
Diversified Credit Fund | 64,834,253 | 1,884,550 | (1,003,046) | 881,504 |
The tax character of distributions during the fiscal year ended September 30, 2016 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 | $ | — | $ | — | $ | — | $— | $ | — | |||||||||||
Emerging Market Corporate Bond Fund | 692,871 | — | 692,871 | — | 692,871 | |||||||||||||||
Global High Yield Bond Fund | 1,392,981 | 222,742 | 1,615,723 | — | 1,615,723 | |||||||||||||||
Global Convertible Bond Fund | 727,758 | 592,692 | 1,320,450 | — | 1,320,450 | |||||||||||||||
Absolute Return Fund | 2,923,245 | 10,543,835 | 13,467,080 | — | 13,467,080 | |||||||||||||||
Emerging Market Unconstrained Fixed Income Fund | 351,225 | — | 351,225 | — | 351,225 | |||||||||||||||
Diversified Credit Fund | 1,242,949 | 419,935 | 1,662,884 | — | 1,662,884 |
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 | |||||||||||||||
Diversified Credit Fund | 643,179 | — | 643,179 | — | 643,179 |
*Total distributions paid may differ from the Statements of Changes in Net Assets because distributions are recognized when actually paid for tax purposes.
144 |
NOTES TO FINANCIAL STATEMENTS |
As of September 30, 2016, 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 | Diversified Credit Fund | ||||||||||||||||||||||
Undistributed ordinary income | $ | — | $ | 250,822 | $ | 274,876 | $ | 104,925 | $ | — | $ | 534,873 | $ | 1,069,424 | ||||||||||||||
Undistributed long term gain | — | — | — | — | — | — | — | |||||||||||||||||||||
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Accumulated earnings | — | 250,822 | 274,876 | 104,925 | — | 534,873 | 1,069,424 | |||||||||||||||||||||
Accumulated capital loss carryforwards | (5,617,326) | (607,279) | (1,083,726) | (1,421,136) | (1,587,062) | (47,772) | (1,284,142) | |||||||||||||||||||||
Deferred qualified late-year losses | (504,911) | — | — | — | (27,518,530) | — | — | |||||||||||||||||||||
Unrealized appreciation/(depreciation) | 338,086 | 235,366 | 241,903 | 321,892 | (2,065,077) | (178,311) | 878,916 | |||||||||||||||||||||
Other temporary differences | 1,274 | — | 176 | — | 36,094 | — | — | |||||||||||||||||||||
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Total accumulated earnings/(losses) | $ | (5,782,877) | $ | (121,091) | $ | (566,771) | $ | (994,319) | $ | (31,134,575) | $ | 308,790 | $ | 664,198 | ||||||||||||||
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As of September 30, 2016, the Emerging Market Select Bond Fund, Emerging Market Corporate Bond Fund, Global High Yield Fund, Global Convertible Bond Fund, Absolute Return Fund, Emerging Market Unconstrained Fixed Income Fund and Diversified Credit Fund had a short-term capital loss carryforward of $5,487,923, $486,237, $351,306, $581,104, $1,587,062, $0 and $566,147, respectively and a long-term capital loss carryforward of $129,403, $121,042, $732,420, 840,032, $0, $47,772 and $717,995, 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, 2016, the Emerging Market Corporate Bond Fund and the Emerging Market Unconstrained Fixed Income Fund utilized capital loss carryforwards in the amount of $126,845 and $375,219, respectively.
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, and Absolute Return Fund deferred qualified late-year ordinary losses of $504,911 and $3,217,793, respectively, and Absolute Return Fund had qualified late-year short-term capital losses of $16,097,320 and qualified late-year long-term capital losses of $8,203,417, which will be treated as arising on the first business day of the year ending September 30, 2017.
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.
145 |
NOTES TO FINANCIAL STATEMENTS
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During the year ended September 30, 2016, redemption fees were collected by the Global High Yield Bond Fund, Global Convertible Bond Fund and the Absolute Return Fund in the amount of $507, $10 and $2,162, 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.
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”). 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, 2016, Global High Yield Bond Fund had no outstanding 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 Diversified 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 28, 2017. 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 0.175% per annum of the available line of credit is charged, of which each participating Fund shall pay its pro rata share based on the ratio of its individual net assets to the aggregate net assets of the participating Funds 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. Since each of the participating Funds 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, 2016. During the year ended September 30, 2016, 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 except the following:
As disclosed in a supplement to the Funds’ registration statement dated and filed with the Securities and Exchange Commission on October 7, 2016, effective October 5, 2016, Anthony Robertson no longer serves as a portfolio manager of the Diversified Credit Fund, and Justin Jewell and Thomas Kreuzer each assume the role of a portfolio manager of the Fund.
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 Emerging Market Select Bond Fund and Diversified Credit Fund. The new share class, Class R6, is expected to become effective and commence operations on December 27, 2016.
146 |
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
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To the Trustees of RBC Funds Trust and the Shareholders 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 Emerging Market Unconstrained Fixed Income Fund, and RBC BlueBay Diversified Credit Fund
In our opinion, the accompanying statements of assets and liabilities, including the schedule of portfolio investments, and the related statements of operations of changes in net assets and the financial highlights present fairly, in all material respects, the financial position 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 Emerging Market Unconstrained Fixed Income Fund, and RBC Diversified Credit Fund (formerly known as RBC BlueBay Total Return Credit Fund) (the “Funds,” a series of RBC Funds Trust) at September 30, 2016, the results of each of their operations, the changes in each of their net assets and the financial highlights for the year then ended, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audits to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit 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, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at September 30, 2016 by correspondence with the custodian, brokers and transfer agent, and the application of alternative auditing procedures where such confirmations had not been received, provide a reasonable basis for our opinion. The statements of changes in net assets and the financial highlights of the Funds for the periods ended September 30, 2015 and prior were audited by another independent registered public accounting firm whose report dated November 22, 2015 expressed an unqualified opinion on those statements and highlights.
PricewaterhouseCoopers LLP
Minneapolis, Minnesota
November 22, 2016
147 |
OTHER FEDERAL INCOME TAX INFORMATION (UNAUDITED)
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The following Funds report a portion of the income dividends distributed during the fiscal year ended September 30, 2016, as qualified interest income as defined in the Internal Revenue Code:
Qualified Interest Income | ||||
Emerging Market Corporate Bond Fund | 0.77% | |||
Global High Yield Bond Fund | 72.48% | |||
Absolute Return Fund | 21.52% | |||
Emerging Markets Unconstrained Fixed Income Fund | 0.01% | |||
Diversified Credit Fund | 49.17% |
The following Funds report a portion of the income dividends distributed during the fiscal year ended September 30, 2016, as qualified dividend income:
Qualified Dividend Income | ||||
Global Convertible Bond Fund | 1.15% | |||
Diversified Credit Fund | 0.24% |
The following Funds report a portion of the income dividends distributed during the fiscal year ended September 30, 2016, as dividends received deduction:
Dividends Received Deduction | ||||
Global Convertible Bond Fund | 0.27% | |||
Diversified Credit Fund | 0.08% |
The following Funds report a portion of the income dividends distributed during the fiscal year ended September 30, 2016, as qualified short term gains:
Qualified Short-term Gains | ||||
Global Convertible Bond Fund | 100.00% | |||
Diversified Credit 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. It is the intention of the Funds to report the maximum amount permitted under the Internal Revenue Code and the regulations thereunder.
148 |
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Independent Trustees(1)(2)
T. Geron Bell (75)
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: 21
Other Director/Trustee Positions Held by Trustee During Past 5 Years: None
Lucy Hancock Bode (65)
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: 21
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. (66)
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: 21
Other Director/Trustee Positions Held by Trustee During Past 5 Years: None
Ronald James (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 Chief Executive Officer, Center for Ethical Business Cultures (2000 to present)
Number of Portfolios in Fund Complex Overseen by Trustee: 21
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 (67)
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: 21
Other Director/Trustee Positions Held by Trustee During Past 5 Years: None
H. David Rybolt (74)
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: 21
Other Director/Trustee Positions Held by Trustee During Past 5 Years: None
149 |
MANAGEMENT (Unaudited)
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Independent Trustees(1)(2)
James R. Seward (64)
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: 21
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 (71)
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: 21
Other Director/Trustee Positions Held by Trustee During Past 5 Years: National Association of Corporate Directors - Heartland Chapter (2013 to present); 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 (52)(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: 21
Other Director/Trustee Positions Held by Trustee During Past 5 Years: None
Executive Officers(1)(3)(4)
Kathleen A. Gorman (52)
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 (49)
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 Services, RBC Global Asset Management (U.S.) Inc. (2009 to present).
150 |
MANAGEMENT (Unaudited)
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Executive Officers(1)(3)(4)
Christina M. Weber (48)
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)
Jay Jackson (38)
Position, Term of Office and Length of Time Served with the Trust: Chief Legal Officer and Secretary since December 2015
Principal Occupation(s) During Past 5 Years: Senior Associate General Counsel, RBC Global Asset Management (U.S.) Inc. (2011-present); Associate, K&L Gates (2008-2010)
(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.
151 |
SHARE CLASS INFORMATION (UNAUDITED)
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The Funds offer Class A and Class I shares, except for Global Convertible Bond Fund, Emerging Market Unconstrained Fixed Income Fund and Diversified 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.
152 |
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, 2016 through September 30, 2016.
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 | |||||||||||||||||||
4/1/16 | 9/30/16 | 4/1/16-9/30/16 | 4/1/16-9/30/16 | |||||||||||||||||||
Emerging Market Select Bond Fund | Class A | $1,000.00 | $1,076.00 | $6.03 | 1.15% | |||||||||||||||||
Class I | 1,000.00 | 1,076.90 | 4.72 | 0.90% | ||||||||||||||||||
Emerging Market Corporate Bond Fund | Class A | 1,000.00 | 1,077.10 | 4.33 | 0.83% | |||||||||||||||||
Class I | 1,000.00 | 1,078.00 | 3.02 | 0.58% | ||||||||||||||||||
Global High Yield Bond Fund | Class A | 1,000.00 | 1,059.00 | 3.64 | 0.70% | |||||||||||||||||
Class I | 1,000.00 | 1,060.20 | 2.34 | 0.45% | ||||||||||||||||||
Global Convertible Bond Fund | Class I | 1,000.00 | 1,042.80 | 4.39 | 0.85% | |||||||||||||||||
Absolute Return Fund | Class A | 1,000.00 | 1,018.40 | 6.12 | 1.20% | |||||||||||||||||
Class C | 1,000.00 | 1,015.30 | 9.93 | 1.95% | ||||||||||||||||||
Class I | 1,000.00 | 1,018.30 | 4.85 | 0.95% | ||||||||||||||||||
Emerging Market Unconstrained Fixed Income Fund | Class I | 1,000.00 | 1,099.70 | 6.63 | 1.25% | |||||||||||||||||
Diversified Credit Fund | Class I | 1,000.00 | 1,056.00 | 5.20 | 1.00% |
* | Expenses are equal to the average account value times the Fund’s annualized expense ratio multiplied by 185/366 (to reflect one half year period). |
153 |
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 | |||||||||||||||||||
4/1/16 | 9/30/16 | 4/1/16-9/30/16 | 4/1/16-9/30/16 | |||||||||||||||||||
Emerging Market Select Bond Fund | Class A | $1,000.00 | $1,019.46 | $5.87 | 1.15% | |||||||||||||||||
Class I | 1,000.00 | 1,020.72 | 4.60 | 0.90% | ||||||||||||||||||
Emerging Market Corporate Bond Fund | Class A | 1,000.00 | 1,021.10 | 4.21 | 0.83% | |||||||||||||||||
Class I | 1,000.00 | 1,022.37 | 2.94 | 0.58% | ||||||||||||||||||
Global High Yield Bond Fund | Class A | 1,000.00 | 1,021.73 | 3.58 | 0.70% | |||||||||||||||||
Class I | 1,000.00 | 1,023.00 | 2.30 | 0.45% | ||||||||||||||||||
Global Convertible Bond Fund | Class I | 1,000.00 | 1,020.98 | 4.34 | 0.85% | |||||||||||||||||
Absolute Return Fund | Class A | 1,000.00 | 1,019.21 | 6.12 | 1.20% | |||||||||||||||||
Class C | 1,000.00 | 1,015.42 | 9.93 | 1.95% | ||||||||||||||||||
Class I | 1,000.00 | 1,020.47 | 4.85 | 0.95% | ||||||||||||||||||
Emerging Market Unconstrained Fixed Income Fund | Class I | 1,000.00 | 1,018.95 | 6.38 | 1.25% | |||||||||||||||||
Diversified Credit Fund | Class I | 1,000.00 | 1,020.22 | 5.11 | 1.00% |
*Expenses are equal to the average account value times the Fund’s annualized expense ratio multiplied by 185/366 (to reflect one half year period).
154 |
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 2016, 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 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 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. The RBC BlueBay Global Convertible Bond Fund’s comparative shorter-and longer-term performance declined during the year, and the Trustees noted that the underperformance was consistent with the underperformance of the global convertible bond market versus the US convertible bond market. The Trustees noted that the RBC BlueBay Emerging Market Select Bond Fund and the newer RBC BlueBay Emerging Market Unconstrained Fixed Income Fund experienced underperformance due to the impact of the strong U.S. dollar versus local currency denominated emerging market sovereign and quasi-sovereign debt. Comparative performance of the RBC BlueBay Emerging Market Corporate Bond Fund and the RBC BlueBay Emerging Market Unconstrained Fixed Income Fund also suffered from currency variations. The RBC BlueBay Global High Yield Bond Fund’s one year performance slightly trailed the benchmark, while performance for all periods was positive versus peers. The Trustees focused significantly on the unfavorable shorter-term performance of the RBC BlueBay Absolute Return Fund and its causes, but remain confident in the investment team and capability. The Trustees reviewed significant short-term underperformance by the RBC BlueBay Total Return Credit Fund, noting that the underperformance was due to a strategic allocation to higher-yielding bonds. Finally, 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
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APPROVAL OF INVESTMENT ADVISORY AND SUB-ADVISORY AGREEMENTS (UNAUDITED)
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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 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, 2016.
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 09-16
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. |
(b) | 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 $546,600 for 2016 and $776,000 for 2015. |
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 2016 and $0 for 2015. |
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 $66,870 for 2016 and $73,900 for 2015. |
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 2016 and $0 for 2015. |
(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 $44,370 for 2016 and $261,000 for 2015. |
(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 11/29/2016
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By (Signature and Title)* /s/ Kathleen A. Gorman
Kathleen A. Gorman, President and Chief Executive Officer
(principal executive officer)
Date 11/29/2016
By (Signature and Title)* /s/ Kathleen A. Hegna
Kathleen A. Hegna, Treasurer and Chief Financial Officer
(principal financial officer)
Date 11/29/2016
* | Print the name and title of each signing officer under his or her signature. |