0001145549-24-046987.txt : 20240730 0001145549-24-046987.hdr.sgml : 20240730 20240730164454 ACCESSION NUMBER: 0001145549-24-046987 CONFORMED SUBMISSION TYPE: NPORT-P PUBLIC DOCUMENT COUNT: 2 CONFORMED PERIOD OF REPORT: 20240531 FILED AS OF DATE: 20240730 DATE AS OF CHANGE: 20240730 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: 241158222 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 S000077174 US Treasury 2 Year Note ETF C000237344 US Treasury 2 Year Note ETF UTWO NPORT-P 1 primary_doc.xml NPORT-P false 0000831114 XXXXXXXX S000077174 C000237344 RBB Fund, Inc. 811-05518 0000831114 5493005KKD0GVHSW0D29 615 East Michigan Street Milwaukee 53202 262-378-6278 US Treasury 2 Year Note ETF S000077174 549300KBNTAMGFURJA42 2024-08-31 2024-05-31 N 365661374.370000000000 45364.810000000000 365616009.560000000000 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 TREASURY BILL 254900HROIFWPRGM1V77 United States Treasury Bill 912797JZ1 1482000.000000000000 PA USD 1481784.040000000000 0.4052842330 Long DBT UST US N 2 2024-06-04 Fixed .000000000000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 United States Treasury Note/Bond 91282CKS9 364072000.000000000000 PA USD 364128886.250000000000 99.5932554179 Long DBT UST US N 2 2026-05-31 Fixed 4.875000000000 N N N N N N 2024-07-23 RBB Fund, Inc. /s/ James G. Shaw RBB Fund, Inc. CFO COO Secretary XXXX NPORT-EX 2 twoyeartreasury.htm NPORT-EX

US Treasury 2 Year Note ETF
  
Schedule of Investments
  
as of May 31, 2024 (Unaudited)
  
   
U.S. TREASURY OBLIGATIONS - 99.6%
  
Par
    
Value
  
United States Treasury Note/Bond, 4.88%, 05/31/2026
    
364,072,000
    
$
364,128,886
  
TOTAL U.S. TREASURY OBLIGATIONS (Cost $363,716,302)
      
364,128,886
  
                 
SHORT-TERM INVESTMENTS - 0.4%
                
U.S. Treasury Bills - 0.4%
  
Par
          
5.23%, 06/04/2024(a)
    
1,477,000
      
1,476,785
  
TOTAL SHORT-TERM INVESTMENTS (Cost $1,476,356)
      
1,476,785
  
                 
TOTAL INVESTMENTS - 100.0% (Cost $365,192,658)
    
$
365,605,671
  
Money Market Deposit Account - 0.0%(b)(c)
      
4,742
  
Other Assets in Excess of Liabilities - 0.0%(c)
      
5,595
  
TOTAL NET ASSETS - 100.0%
          
$
365,616,008
  
               
Percentages are stated as a percent of net assets.
          

(a)
The rate shown is the effective yield as of May 31, 2024.
(b)
The U.S. Bank Money Market Deposit Account (the “MMDA”) is a short-term vehicle in which the Fund holds cash balances. The MMDA will bear interest at a variable rate that is determined based on market conditions and is subject to change daily. The rate as of May 31, 2024 was 5.17%.
(c)
Represents less than 0.05% of 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. 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: 

   
Level 1
    
Level 2
    
Level 3
    
Total
  
Investments:
                        
  U.S. Treasury Obligations
    
–
      
364,128,886
      
–
      
364,128,886
  
  U.S. Treasury Bills
    
–
      
1,476,785
      
–
      
1,476,785
  
Total Investments
    
–
      
365,605,671
      
–
      
365,605,671
  
   
Refer to the Schedule of Investments for additional information.
  

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 May 31, 2024, 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.