0001145549-23-043834.txt : 20230726 0001145549-23-043834.hdr.sgml : 20230726 20230726095625 ACCESSION NUMBER: 0001145549-23-043834 CONFORMED SUBMISSION TYPE: NPORT-P PUBLIC DOCUMENT COUNT: 2 CONFORMED PERIOD OF REPORT: 20230531 FILED AS OF DATE: 20230726 DATE AS OF CHANGE: 20230726 PERIOD START: 20230831 FILER: COMPANY DATA: COMPANY CONFORMED NAME: RBB Fund Trust CENTRAL INDEX KEY: 0001618627 IRS NUMBER: 000000000 STATE OF INCORPORATION: DE FISCAL YEAR END: 0831 FILING VALUES: FORM TYPE: NPORT-P SEC ACT: 1940 Act SEC FILE NUMBER: 811-23011 FILM NUMBER: 231110399 BUSINESS ADDRESS: STREET 1: 615 EAST MICHIGAN STREET CITY: MILWAUKEE STATE: WI ZIP: 53202 BUSINESS PHONE: 609-731-6256 MAIL ADDRESS: STREET 1: 615 EAST MICHIGAN STREET CITY: MILWAUKEE STATE: WI ZIP: 53202 FORMER COMPANY: FORMER CONFORMED NAME: PENN Capital Funds Trust DATE OF NAME CHANGE: 20140904 0001618627 S000079345 The Energy & Minerals Group EV, Solar & Battery Materials (Lithium, Nickel, Copper, Cobalt) Futures Strategy ETF C000240353 The Energy & Minerals Group EV, Solar & Battery Materials (Lithium, Nickel, Copper, Cobalt) Futures Strategy ETF CHRG NPORT-P 1 primary_doc.xml NPORT-P false 0001618627 XXXXXXXX S000079345 C000240353 RBB Fund Trust 811-23011 0001618627 549300LEC95RYURPL757 615 East Michigan Street N/A Milwaukee 53202 262-378-6278 The Energy & Minerals Group EV, Solar & Battery Materials (Lithium, Nickel, Copper, Cobalt) Futures Strategy ETF S000079345 549300FEBY3THUPEXF79 2023-08-31 2023-05-31 N 2556433.700000000000 2082.970000000000 2554350.730000000000 0.000000000000 347134.920000000000 0.000000000000 0.000000000000 0.000000000000 0.000000000000 0.000000000000 0.000000000000 0.000000000000 0.000000000000 0.000000000000 0.000000000000 0.000000000000 81449.000000000000 N Bloomberg Industrial Metals Subindex BCOMIN U.S. Bank Money Market Deposit Account N/A U.S. Bank Money Market Deposit Account 8AMMF0A92 215931.550000000000 NS USD 215931.550000000000 8.4534808577 Long STIV RF US N 1 N N N TREASURY BILL 254900HROIFWPRGM1V77 United States Treasury Bill 912796ZR3 2000000.000000000000 PA USD 1992156.120000000000 77.9907041192 Long DBT UST US N 2 2023-06-29 Fixed .000000000000 N N N N N N N/A N/A Cobalt Fastmarket May23 N/A 1 NC USD -10879.800000000000 -0.4259321115 N/A DCO US N 1 Commodity Exchange, Inc. N/A Long Cobalt Cobalt 2023-05-31 42670.417000000000 USD -10879.800000000000 N N N N/A N/A COPPER FUTURE Sep23 N/A 21 NC USD -201847.960000000000 -7.9021239186 N/A DCO US N 1 Commodity Exchange, Inc. N/A Long Copper Copper 2023-09-27 2119935.457500000000 USD -201847.960000000000 N N N N/A N/A Lithium LiOH COME Jul23 N/A 3 NC USD -46207.860000000000 -1.8089865052 N/A DCO US N 1 Commodity Exchange, Inc. N/A Long Lithium Hydroxide Monohydrate Lithium Hydroxide Monohydrate 2023-07-31 210007.860000000000 USD -46207.860000000000 N N N N/A N/A Lithium LiOH COME Aug23 N/A 3 NC USD -38257.860000000000 -1.4977528164 N/A DCO US N 1 Commodity Exchange, Inc. N/A Long Lithium Hydroxide Monohydrate Lithium Hydroxide Monohydrate 2023-08-31 203257.860000000000 USD -38257.860000000000 N N N N/A N/A LME NICKEL FUTURE Sep23 N/A 2 NC USD -42819.080000000000 -1.6763195241 N/A DCO GB N 1 London Metal Exchange 213800NB8G5VRT1DXC91 Long London Metals - Nickel London Metals - Nickel 2023-09-18 290463.080000000000 USD -42819.080000000000 N N N 2023-07-19 RBB Fund Trust /s/ James G. Shaw RBB Fund Trust CFO COO Secretary XXXX NPORT-EX 2 emg.htm NPORT-EX

THE ENERGY & MINERALS GROUP EV, SOLAR & BATTERY MATERIALS (LITHIUM, NICKEL, COPPER,
COBALT) FUTURES STRATEGY ETF
CONSOLIDATED PORTFOLIO OF INVESTMENTS
MAY 31, 2023 (UNAUDITED)
                   
   
COUPON*
  
MATURITY
DATE
  
PAR
(000’s)
    
VALUE
SHORT-TERM INVESTMENTS — 86.5%
                  
U.S. TREASURY OBLIGATIONS — 78.0%
                  
United States Treasury Bill
    
4.773%

06/29/23
  
$
2,000
    
$
1,992,156
TOTAL U.S. TREASURY OBLIGATIONS
                        
(Cost $1,992,891)
                      
1,992,156
                         
               
NUMBER OF
SHARES
(000’s)
        
MONEY MARKET DEPOSIT ACCOUNT — 8.5%
                        
U.S. Bank Money Market Deposit Account, 5.00%(a)
              
216
      
215,932
TOTAL MONEY MARKET DEPOSIT ACCOUNT
                        
(Cost $215,932)
                      
215,932
                         
TOTAL SHORT-TERM INVESTMENTS
                        
(Cost $2,208,823)
                      
2,208,088
TOTAL INVESTMENTS — 86.5%
                        
(Cost $2,208,823)
                      
2,208,088
                         
OTHER ASSETS IN EXCESS OF LIABILITIES — 13.5%
                      
346,280
NET ASSETS — 100.0%
                    
$
2,554,368

 
                
*
Short-term investments’ coupon reflects the annualized yield on the date of purchase for discounted investments.
        
(a)
 The rate shown is as of May 31, 2023.
              
                 
The accompanying notes are an integral part of the consolidated portfolio of investments.

 
THE ENERGY & MINERALS GROUP EV, SOLAR & BATTERY MATERIALS (LITHIUM, NICKEL, COPPER,
COBALT) FUTURES STRATEGY ETF
          
CONSOLIDATED PORTFOLIO OF INVESTMENTS IN FUTURES CONTRACTS
          
MAY 31, 2023 (UNAUDITED)
          
                           
Futures contracts outstanding as of May 31, 2023 were as follows:
          
                           
                       
VALUE AND
  
                       
UNREALIZED
  
     
EXPIRATION
    
NUMBER OF
    
NOTIONAL
    
APPRECIATION/
  
LONG CONTRACTS
    
DATE
    
CONTRACTS
    
AMOUNT
    
(DEPRECIATION)
  
Copper
    
 Sep-23
      
21
    
$
1,918,087
    
$
(201,847
)
Lithium Hydroxide Monohydrate
    
 Jul-23
      
3
      
163,800
      
(46,208
)
Lithium Hydroxide Monohydrate
    
 Aug-23
      
3
      
165,000
      
(38,258
)
London Metals Exchange Nickel
    
 Sep-23
      
2
      
247,644
      
(42,819
)
Total Futures Contracts
                          
$
(329,132
)
 
                                
The accompanying notes are an integral part of the consolidated portfolio of investments.
          


EMG ETF
NOTES TO CONSOLIDATED PORTFOLIO OF INVESTMENTS
MAY 31, 2023 (UNAUDITED)
                               
CONSOLIDATION OF SUBSIDIARY —The Adviser’s EMG ETF Program will be achieved by the Fund investing up to 25% of its total assets in the EMG ETF Cayman Fund Limited (the “Subsidiary”), a wholly-owned and controlled subsidiary for the Fund organized under the laws of the Cayman Islands. The consolidated financial statements of the Fund include the financial statements of the Subsidiary. The Fund consolidates the results of subsidiaries in which the Fund holds a controlling financial interest. All inter-company accounts and transactions have been eliminated. As of the end of the reporting period, the net assets of the Subsidiary were $347,135, which represented 13.59% of the Fund’s net assets.
                               
PORTFOLIO VALUATION — The Fund’s net asset value (“NAV”) is calculated once daily at the close of regular trading hours on the New York Stock Exchange (“NYSE”) (generally 4:00 p.m. Eastern time) on each day the NYSE is open. Securities held by the Fund are valued using the closing price or the last sales price on a national securities exchange or the National Association of Securities Dealers Automatic Quotation System (“NASDAQ”) market system where they are primarily traded. Fixed income securities are valued using an independent pricing service, which considers such factors as security prices, yields, maturities and ratings, and are deemed representative of market values at the close of the market. Investments in other open-end investment companies are valued based on the NAV of those investment companies (which may use fair value pricing as discussed in their prospectuses). Forward currency exchange contracts are valued by interpolating between spot and forward currency rates as quoted by an independent pricing service. Futures contracts are generally valued using the settlement price determined by the relevant exchange. If market quotations are unavailable or deemed unreliable, securities will be valued in accordance with procedures adopted by the RBB Fund, Trust’s Board of Trustees (the “Board”). Relying on prices supplied by pricing services or dealers or using fair valuation may result in values that are higher or lower than the values used by other investment companies and investors to price the same investments.
                               
FAIR VALUE MEASUREMENTS — The inputs and valuation techniques used to measure the fair value of the Fund’s investments are summarized into three levels as described in the hierarchy below:
                               
• Level 1 – Prices are determined using quoted prices in active markets for identical securities.
              
                               
• Level 2 – Prices are determined using other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
    
                               
• Level 3 – Prices are determined using significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments).
    
                               
The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
        
                               
The following is a summary of the inputs used, as of  May 31, 2023 in valuing the Fund’s investments carried at fair value:
          

   
  
  
TOTAL
    
LEVEL 1
    
LEVEL 2
    
LEVEL 3
              
   
Short-Term Investments
  
$
2,208,088
    
$
2,208,088
    
$
-
    
$
-
      
     
 
   
Total Assets
  
$
2,208,088
    
$
2,208,088
    
$
-
    
$
-
                  
                                                     
   
  
  
TOTAL
    
LEVEL 1
    
LEVEL 2
    
LEVEL 3
                  
   
Commodity Futures Contracts
  
$
(329,132
)
  
$
(329,132
)
  
$
-
    
$
-
                  
   
Total Liabilities
  
$
(329,132
)
  
$
(329,132
)
  
$
-
    
$
-
                  

At the end of each quarter, management evaluates the classification of Levels 1, 2 and 3 assets and liabilities. Various factors are considered, such as changes in liquidity from the prior reporting period; whether or not a broker is willing to execute at the quoted price; the depth and consistency of prices from third party pricing services; and the existence of contemporaneous, observable trades in the market. Additionally, management evaluates the classification of Levels 1, 2 and 3 assets and liabilities on a quarterly basis for changes in listings or delistings on national exchanges.
                               
Due to the inherent uncertainty of determining the fair value of investments that do not have a readily available market value, the fair value of the Fund’s investments may fluctuate from period to period. Additionally, the fair value of investments may differ significantly from the values that would have been used had a ready market existed for such investments and may differ materially from the values the Fund may ultimately realize. Further, such investments may be subject to legal and other restrictions on resale or otherwise less liquid than publicly traded securities.
                               
For fair valuations using significant unobservable inputs, U.S. generally accepted accounting principles (“U.S. GAAP”) requires the Fund to present a reconciliation of the beginning to ending balances for reported market values that presents changes attributable to total realized and unrealized gains or losses, purchase and sales, and transfers in and out of Level 3 during the period. Transfers in and out between levels are based on values at the end of the period. A reconciliation of Level 3 investments is presented only when the Fund had an amount of Level 3 investments at the end of the reporting period that was meaningful in relation to its net assets. The amounts and reasons for Level 3 transfers are disclosed if the Fund had an amount of total transfers during the reporting period that was meaningful in relation to its net assets as of the end of the reporting period.
                               
During the current fiscal period, the Fund had no Level 3 purchases, sales, or transfers.
                
                               
For more information with regard to significant accounting policies, see the most recent annual report or prospectus filed with the Securities and Exchange Commission.