0001145549-24-004784.txt : 20240129 0001145549-24-004784.hdr.sgml : 20240129 20240129142401 ACCESSION NUMBER: 0001145549-24-004784 CONFORMED SUBMISSION TYPE: NPORT-P PUBLIC DOCUMENT COUNT: 2 CONFORMED PERIOD OF REPORT: 20231130 FILED AS OF DATE: 20240129 DATE AS OF CHANGE: 20240129 PERIOD START: 20240831 FILER: COMPANY DATA: COMPANY CONFORMED NAME: RBB FUND, INC. CENTRAL INDEX KEY: 0000831114 ORGANIZATION NAME: IRS NUMBER: 510312196 STATE OF INCORPORATION: MD FISCAL YEAR END: 0831 FILING VALUES: FORM TYPE: NPORT-P SEC ACT: 1940 Act SEC FILE NUMBER: 811-05518 FILM NUMBER: 24572758 BUSINESS ADDRESS: STREET 1: 615 E. MICHIGAN ST. CITY: MILWAUKEE STATE: WI ZIP: 53202 BUSINESS PHONE: 609-731-6256 MAIL ADDRESS: STREET 1: 615 E. MICHIGAN ST. CITY: MILWAUKEE STATE: WI ZIP: 53202 FORMER COMPANY: FORMER CONFORMED NAME: RBB FUND INC DATE OF NAME CHANGE: 19920703 FORMER COMPANY: FORMER CONFORMED NAME: FUND INC /DE/ DATE OF NAME CHANGE: 19600201 0000831114 S000074885 Optima Strategic Credit Fund C000233245 Founders Class OPTCX NPORT-P 1 primary_doc.xml NPORT-P false 0000831114 XXXXXXXX S000074885 C000233245 RBB Fund, Inc. 811-05518 0000831114 5493005KKD0GVHSW0D29 615 East Michigan Street Milwaukee 53202 262-378-6278 Optima Strategic Credit Fund S000074885 549300M3EB05DQMEQW41 2024-08-31 2023-11-30 N 35087294.920000000000 2187704.920000000000 32899590.000000000000 0.000000000000 0.000000000000 0.000000000000 0.000000000000 0.000000000000 0.000000000000 0.000000000000 0.000000000000 0.000000000000 0.000000000000 0.000000000000 0.000000000000 0.000000000000 USD N Markit CDX.NA.HY 5Y Long Total Return Index CDXTHL15 First American Treasury Obliga 549300UU586IAH2B8H03 First American Treasury Obligations Fund 31846V328 2500070.190000000000 NS USD 2500070.190000000000 7.5990922379 Long STIV RF US N 1 N N N U.S. Bank Money Market Deposit Account N/A U.S. Bank Money Market Deposit Account 8AMMF0A92 250000.000000000000 NS USD 250000.000000000000 0.7598878892 Long STIV RF US N 1 N N N TREASURY BILL 254900HROIFWPRGM1V77 United States Treasury Bill 912796ZN2 5000000.000000000000 PA USD 4980203.750000000000 15.1375860611 Long DBT UST US N 2 2023-12-28 Fixed .000000000000 N N N N N N TREASURY BILL 254900HROIFWPRGM1V77 United States Treasury Bill 912797FT9 5000000.000000000000 PA USD 4995609.350000000000 15.1844121766 Long DBT UST US N 2 2023-12-07 Fixed .000000000000 N N N N N N TREASURY BILL 254900HROIFWPRGM1V77 United States Treasury Bill 912797FV4 10000000.000000000000 PA USD 9970782.400000000000 30.3067071657 Long DBT UST US N 2 2023-12-21 Fixed .000000000000 N N N N N N TREASURY BILL 254900HROIFWPRGM1V77 United States Treasury Bill 912797GZ4 5000000.000000000000 PA USD 4909322.900000000000 14.9221400631 Long DBT UST US N 2 2024-04-04 Fixed .000000000000 N N N N N N TREASURY BILL 254900HROIFWPRGM1V77 United States Treasury Bill 912797HF7 7000000.000000000000 PA USD 6866533.310000000000 20.8711820117 Long DBT UST US N 2 2024-04-11 Fixed .000000000000 N N N N N N 2024-01-23 RBB Fund, Inc. /s/ James G. Shaw RBB Fund, Inc. CFO COO Secretary XXXX NPORT-EX 2 optima.htm NPORT-EX

OPTIMA STRATEGIC CREDIT FUND
  
PORTFOLIO OF INVESTMENTS
  
NOVEMBER 30, 2023 (Unaudited)
  
   
SHORT-TERM INVESTMENTS — 50.8%
  
COUPON *
  
MATURITY DATE
  
PAR (000'S)
    
VALUE
  
U.S. Treasury Obligations — 50.1%
                    
United States Treasury Bill
    
5.375%
12/28/2023
  
$
5,000
    
$
4,980,204
  
United States Treasury Bill
    
5.469%
4/4/2024
    
5,000
      
4,909,323
  
United States Treasury Bill(a)
    
5.475%
4/11/2024
    
7,000
      
6,866,533
  
TOTAL U.S. TREASURY OBLIGATIONS  (COST $16,750,972)
                      
16,756,060
  
               
NUMBER OF
SHARES (000'S)
          
Money Market Deposit Accounts — 0.7%
                          
U.S. Bank Money Market Deposit Account, 5.20% (a)
              
250
      
250,000
  
TOTAL MONEY MARKET DEPOSIT ACCOUNTS (COST $250,000)
                      
250,000
  
Money Market Funds — 0.0%
                          
First American Treasury Obligations Fund, 5.28% (b)
              
0
      
70
  
TOTAL MONEY MARKET FUNDS (COST $70)
                      
70
  
TOTAL SHORT-TERM INVESTMENTS (COST $17,001,042) — 50.8%
                      
17,006,130
  
 OTHER ASSETS IN EXCESS OF LIABILITIES — 49.2%
                      
16,455,636
  
TOTAL NET ASSETS — 100.0%
                    
$
33,461,766
  
   
Percentages are stated as a percent of net assets.
  

*
Short-term investments’ coupon reflects the annualized yield on the data of purchase for discounted investments.
(a)
As of November 30, 2023 a portion of the security is held as collateral in the amount of $6,866,662.
(b)
The rate shown is as of November 30, 2023.

                   
OPTIMA STRATEGIC CREDIT FUND
SCHEDULE OF CENTRALLY CLEARED CREDIT DEFAULT SWAPS
November 30, 2023 (Unaudited)
                 
 
 
UNREALIZED
 
REFERENCE
PROTECTION
TERMINATION
PAY FIXED
PAYMENT
NOTIONAL
  
PREMIUM
APPRECIATION/
COUNTERPARTY
ENTITY
  
DATE
RATE
FREQUENCY
AMOUNT
VALUE
RECEIVED/(PAID)
(DEPRECIATION)
Wells Fargo
Markit CDX North
American High Yield
Sell
12/20/2028
5.000%
Quarterly
9,900,000
$                381,051
$                   381,051
$                        -
Total
            
$                381,051
$                   381,051
$                        -


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. Equity securities traded in the over-the-counter ("OTC") market are valued at their closing prices. If there were no transactions on that day, securities traded principally on an exchange or on NASDAQ will be valued at the mean of the last bid and ask prices prior to the market close. 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. Foreign securities are valued based on prices from the primary market in which they are traded, and are translated from the local currency into U.S. dollars using current exchange rates. 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). Options for which the primary market is a national securities exchange are valued at the last sale price on the exchange on which they are traded, or, in the absence of any sale, will be valued at the mean of the last bid and ask prices prior to the market close. Options not traded on a national securities exchange are valued at the last quoted bid price for long option positions and the closing ask price for short option positions. 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, Inc.’s Board of Directors (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 Returns the end of the date range, in valuing the Fund’s investments carried at fair value: 
 
OPTIMA STRATEGIC CREDIT FUND
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
TOTAL
 
 
LEVEL 1
 
 
LEVEL 2
 
 
LEVEL 3
 
Short-Term Investments*
 
 
 
 
 
 
 
 
 
 
 
 
U.S. Treasury Obligations
 
$
16,756,000
 
 
$
–
 
 
$
16,756,060
 
 
$
–
 
Money Market Deposit Accounts
    
250,000
      
250,000
        –        –  
Money Market Funds
      70        70        –        –  
Total Short-Term Investments
 
$
17,006,130
 
 
$
250,070
 
 
$
16,756,060
 
 
$
–
 
 
 
 
 
 
 
 
 
 
 
 
  
 
 
 
 
 
Other Financial Instruments**
 
 
 
 
 
 
 
 
 
 
  
 
 
 
 
 
Unrealized Appreciation on Swap Contracts
 
$
–
 
 
$
–
 
 
$
–
 
 
$
–
 
Total Short-Term Investments
 
$
–
 
 
$
–
 
 
$
–
 
 
$
–
 

* Please refer to Portfolio of Investments for further details.
 
 ** Other financial instruments are derivative financial instruments not reflected in the Schedules of Investments, such as futures contracts, swap contracts and forward foreign currency contracts.  These contracts are valued at the unrealized appreciation/(depreciation) on the instruments.
 
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.

For the period ended November 30, 2023, the Fund had no Level 3 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.