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: 811-21829
BBH TRUST
On behalf of the following series:
BBH Select Series - Large Cap Fund
BBH Global Core Select
BBH Partner Fund - International Equity
BBH Limited Duration Fund
BBH Intermediate Municipal Bond Fund
BBH Income Fund
BBH U.S. Government Money Market Fund
(Exact name of registrant as specified in charter)
140 Broadway, New York, NY 10005
(Address of principal executive offices) (Zip Code)
Corporation Services Company
2711 Centerville Road, Suite 400, Wilmington, DE 19808
(Name and address of agent for service)
Registrant's telephone number, including area code: (800) 575-1265
Date of fiscal year end: October 31
Date of reporting period: April 30, 2020
Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.
Item 1. Report to Stockholders.
BBH SELECT SERIES – LARGE CAP FUND
PORTFOLIO ALLOCATION
April 30, 2020 (unaudited)
U.S. $ Value | Percent of Net Assets | |||||||||
Common Stock: | ||||||||||
Basic Materials | $ | 25,134,046 | 6.2 | % | ||||||
Communications | 52,463,419 | 12.9 | ||||||||
Consumer Cyclical | 52,167,632 | 12.9 | ||||||||
Consumer Non-Cyclical | 148,282,681 | 36.6 | ||||||||
Financials | 58,532,159 | 14.4 | ||||||||
Industrials | 35,320,587 | 8.8 | ||||||||
Technology | 29,688,842 | 7.3 | ||||||||
Cash and Other Assets in Excess of Liabilities | 3,737,493 | 0.9 | ||||||||
NET ASSETS | $ | 405,326,859 | 100.0 | % |
The accompanying notes are an integral part of these financial statements.
BBH SELECT SERIES – LARGE CAP FUND
PORTFOLIO OF INVESTMENTS
April 30, 2020 (unaudited)
Shares | Value | |||||||||
COMMON STOCK (99.1%) | ||||||||||
BASIC MATERIALS (6.2%) | ||||||||||
124,670 | Celanese Corp. (Series A) | $ | 10,356,337 | |||||||
80,318 | Linde, Plc. (Ireland) | 14,777,709 | ||||||||
Total Basic Materials | 25,134,046 | |||||||||
COMMUNICATIONS (12.9%) | ||||||||||
23,849 | Alphabet, Inc. (Class C)1 | 32,164,192 | ||||||||
6,318 | Booking Holdings, Inc.1 | 9,354,241 | ||||||||
290,858 | Comcast Corp. (Class A) | 10,944,986 | ||||||||
Total Communications | 52,463,419 | |||||||||
CONSUMER CYCLICAL (12.9%) | ||||||||||
251,592 | Copart, Inc.1 | 20,155,035 | ||||||||
26,000 | Costco Wholesale Corp. | 7,878,000 | ||||||||
82,950 | Dollar General Corp. | 14,541,135 | ||||||||
110,042 | NIKE, Inc. (Class B) | 9,593,462 | ||||||||
Total Consumer Cyclical | 52,167,632 | |||||||||
CONSUMER NON-CYCLICAL (36.6%) | ||||||||||
290,992 | Alcon, Inc. (Switzerland)1 | 15,367,287 | ||||||||
120,192 | Baxter International, Inc. | 10,670,646 | ||||||||
233,439 | Brown-Forman Corp. (Class B) | 14,519,906 | ||||||||
154,885 | Colgate-Palmolive Co. | 10,883,769 | ||||||||
105,547 | Diageo, Plc. ADR (United Kingdom) | 14,634,092 | ||||||||
65,864 | FleetCor Technologies, Inc.1 | 15,889,690 | ||||||||
201,825 | Henry Schein, Inc.1 | 11,011,572 | ||||||||
81,913 | Nestle S.A. ADR (Switzerland) | 8,609,056 | ||||||||
153,397 | Novartis AG ADR (Switzerland) | 12,997,328 | ||||||||
137,518 | Perrigo Co., Plc. (Ireland) | 7,329,709 | ||||||||
151,521 | Unilever NV (NY Shares) (Netherlands) | 7,488,168 | ||||||||
146,017 | Zoetis, Inc. (Class A) | 18,881,458 | ||||||||
Total Consumer Non-Cyclical | 148,282,681 | |||||||||
FINANCIALS (14.4%) | ||||||||||
186,334 | Arthur J Gallagher & Co. | 14,627,219 | ||||||||
87 | Berkshire Hathaway, Inc. (Class A)1 | 24,507,900 | ||||||||
6,119 | Berkshire Hathaway, Inc. (Class B)1 | 1,146,456 | ||||||||
66,373 | Mastercard, Inc. (Class A) | 18,250,584 | ||||||||
Total Financials | 58,532,159 |
The accompanying notes are an integral part of these financial statements.
financial statements april 30, 2020 | 3 |
BBH SELECT SERIES – LARGE CAP FUND
PORTFOLIO OF INVESTMENTS (continued)
April 30, 2020 (unaudited)
Shares | Value | |||||||||
COMMON STOCK (continued) | ||||||||||
INDUSTRIALS (8.8%) | ||||||||||
132,827 | Allegion, Plc. (Ireland) | $ | 13,354,427 | |||||||
311,541 | AO Smith Corp. | 13,203,108 | ||||||||
87,613 | Waste Management, Inc. | 8,763,052 | ||||||||
Total Industrials | 35,320,587 | |||||||||
TECHNOLOGY (7.3%) | ||||||||||
46,682 | KLA Corp. | 7,660,049 | ||||||||
415,873 | Oracle Corp. | 22,028,793 | ||||||||
Total Technology | 29,688,842 | |||||||||
Total Common Stock (Cost $419,074,423) | 401,589,366 |
TOTAL INVESTMENTS (Cost $419,074,423)2 | 99.1 | % | $ | 401,589,366 | ||||||
CASH AND OTHER ASSETS IN EXCESS OF LIABILITIES | 0.9 | % | 3,737,493 | |||||||
NET ASSETS | 100.00 | % | $ | 405,326,859 |
1 | Non-income producing security. |
2 | The aggregate cost for federal income tax purposes is $419,074,423, the aggregate gross unrealized appreciation is $8,705,376 and the aggregate gross unrealized depreciation is $26,190,433, resulting in net unrealized depreciation of $17,485,057. |
The accompanying notes are an integral part of these financial statements.
BBH SELECT SERIES – LARGE CAP FUND
PORTFOLIO OF INVESTMENTS (continued)
April 30, 2020 (unaudited)
— | Level 1 – unadjusted quoted prices in active markets for identical assets and liabilities. |
— | Level 2 – significant other observable inputs (including quoted prices for similar assets and liabilities, interest rates, prepayment speeds, credit risk, etc.). |
— | Level 3 – significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of assets and liabilities). |
The accompanying notes are an integral part of these financial statements.
financial statements april 30, 2020 | 5 |
BBH SELECT SERIES – LARGE CAP FUND
PORTFOLIO OF INVESTMENTS (continued)
April 30, 2020 (unaudited)
Investments, at value | Unadjusted Quoted Prices in Active Markets for Identical Investments (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Balance as of April 30, 2020 | ||||||||||||||
Common Stock: | ||||||||||||||||||
Basic Materials | $ | 25,134,046 | $ | — | $ | — | $ | 25,134,046 | ||||||||||
Communications | 52,463,419 | — | — | 52,463,419 | ||||||||||||||
Consumer Cyclical | 52,167,632 | — | — | 52,167,632 | ||||||||||||||
Consumer Non-Cyclical | 148,282,681 | — | — | 148,282,681 | ||||||||||||||
Financials | 58,532,159 | — | — | 58,532,159 | ||||||||||||||
Industrials | 35,320,587 | — | — | 35,320,587 | ||||||||||||||
Technology | 29,688,842 | — | — | 29,688,842 | ||||||||||||||
Investments, at value | $ | 401,589,366 | $ | — | $ | — | $ | 401,589,366 |
The accompanying notes are an integral part of these financial statements.
BBH SELECT SERIES – LARGE CAP FUND
STATEMENT OF ASSETS AND LIABILITIES
April 30, 2020 (unaudited)
ASSETS: | ||||||
Investments in securities, at value (Cost $419,074,423) | 401,589,366 | |||||
Cash | 7,897,349 | |||||
Receivables for: | ||||||
Dividends | 577,258 | |||||
Shares sold | 344,251 | |||||
Investment advisory and administrative fee waiver reimbursement | 10,047 | |||||
Prepaid assets | 43,310 | |||||
Total Assets | 410,461,581 | |||||
LIABILITIES: | ||||||
Payables for: | ||||||
Investments purchased | 2,677,265 | |||||
Shares redeemed | 2,182,943 | |||||
Investment advisory and administrative fees | 213,130 | |||||
Professional fees | 34,142 | |||||
Custody and fund accounting fees | 10,942 | |||||
Transfer agent fees | 6,000 | |||||
Board of Trustees’ fees | 3,418 | |||||
Distribution fees | 361 | |||||
Accrued expenses and other liabilities | 6,521 | |||||
Total Liabilities | 5,134,722 | |||||
NET ASSETS | 405,326,859 | |||||
Net Assets Consist of: | ||||||
Paid-in capital | 435,574,456 | |||||
Accumulated deficit | (30,247,597 | ) | ||||
Net Assets | 405,326,859 | |||||
NET ASSET VALUE AND OFFERING PRICE PER SHARE | ||||||
CLASS I SHARES | ||||||
($403,466,060 ÷ 44,278,301 shares outstanding) | $9.11 | |||||
RETAIL CLASS SHARES | ||||||
($1,860,799 ÷ 205,125 shares outstanding) | $9.07 |
The accompanying notes are an integral part of these financial statements.
financial statements april 30, 2020 | 7 |
BBH SELECT SERIES – LARGE CAP FUND
STATEMENT OF OPERATIONS
For the six months ended April 30, 2020
NET INVESTMENT INCOME: | ||||||
Income: | ||||||
Dividends (net of foreign withholding taxes of $115,964) | $ | 2,515,955 | ||||
Interest income | 1,663 | |||||
Total Income | 2,517,618 | |||||
Expenses: | ||||||
Investment advisory and administrative fees | 1,298,623 | |||||
Registration fees | 54,822 | |||||
Board of Trustees’ fees | 30,650 | |||||
Professional fees | 29,470 | |||||
Transfer agent fees | 19,190 | |||||
Custody and fund accounting fees | 13,501 | |||||
Distribution fees | 2,239 | |||||
Miscellaneous expenses | 29,732 | |||||
Total Expenses | 1,478,227 | |||||
Investment advisory and administrative fee waiver | (22,059 | ) | ||||
Net Expenses | 1,456,168 | |||||
Net Investment Income | 1,061,450 | |||||
NET REALIZED AND UNREALIZED LOSS: | ||||||
Net realized loss on investments in securities | (13,823,704 | ) | ||||
Net change in unrealized appreciation/(depreciation) on investments in securities | (23,405,174 | ) | ||||
Net Realized and Unrealized Loss | (37,228,878 | ) | ||||
Net Decrease in Net Assets Resulting from Operations | $ | (36,167,428 | ) |
The accompanying notes are an integral part of these financial statements.
BBH SELECT SERIES – LARGE CAP FUND
STATEMENTS OF CHANGES IN NET ASSETS
For the six months ended April 30, 2020 (unaudited) | For the period from September 9, 2019 (commencement of operations) to October 31, 2019 | |||||||||
INCREASE IN NET ASSETS: | ||||||||||
Operations: | ||||||||||
Net investment income | $ | 1,061,450 | $ | 169,815 | ||||||
Net realized loss on investments in securities | (13,823,704 | ) | — | |||||||
Net change in unrealized appreciation/(depreciation) on investments in securities | (23,405,174 | ) | 5,920,117 | |||||||
Net increase (decrease) in net assets resulting from operations | (36,167,428 | ) | 6,089,932 | |||||||
Dividends and distributions declared: | ||||||||||
Class I | (170,101 | ) | — | |||||||
Total dividends and distributions declared | (170,101 | ) | — | |||||||
Share transactions: | ||||||||||
Proceeds from sales of shares | 89,189,725 | 395,151,093 | ||||||||
Net asset value of shares issued to shareholders for reinvestment of dividends and distributions | 30,580 | — | ||||||||
Proceeds from short-term redemption fees | 1,985 | 42 | ||||||||
Cost of shares redeemed | (46,320,260 | ) | (2,478,709 | ) | ||||||
Net increase in net assets resulting from share transactions | 42,902,030 | 392,672,426 | ||||||||
Total increase in net assets | 6,564,501 | 398,762,358 | ||||||||
NET ASSETS: | ||||||||||
Beginning of period | 398,762,358 | — | ||||||||
End of period | $ | 405,326,859 | $ | 398,762,358 |
The accompanying notes are an integral part of these financial statements.
financial statements april 30, 2020 | 9 |
BBH SELECT SERIES – LARGE CAP FUND
FINANCIAL HIGHLIGHTS
Selected per share data and ratios for a Class I share outstanding throughout each period.
For the six months ended April 30, 2020 (unaudited) | For the period from September 9, 2019 (commencement of operations) to October 31, 2019 | |||||||||
Net asset value, beginning of period | $ | 10.12 | $ | 10.00 | ||||||
Income from investment operations: | ||||||||||
Net investment income1 | 0.03 | 0.01 | ||||||||
Net realized and unrealized gain | (1.04 | ) | 0.11 | |||||||
Total income from investment operations | (1.01 | ) | 0.12 | |||||||
Short-term redemption fees1 | 0.002 | — | ||||||||
Less dividends and distributions: | ||||||||||
From net investment income | 0.002 | — | ||||||||
Total dividends and distributions | 0.002 | — | ||||||||
Net asset value, end of period | $ | 9.11 | $ | 10.12 | ||||||
Total return | (9.94 | )%3 | 1.20 | %3 | ||||||
Ratios/Supplemental data: | ||||||||||
Net assets, end of period (in millions) | $ | 403 | $ | 397 | ||||||
Ratio of expenses to average net assets before reductions | 0.73 | %4 | 0.75 | %5 | ||||||
Fee waiver | – | %6 | 0.01 | %5,6 | ||||||
Ratio of expenses to average net assets after reductions | 0.73 | %4 | 0.74 | %5 | ||||||
Ratio of net investment income to average net assets | 0.53 | %4 | 0.52 | %5 | ||||||
Portfolio turnover rate | 11 | %3 | 0 | %3 |
1 | Calculated using average shares outstanding for the period. |
2 | Less than $0.01. |
3 | Not annualized. |
4 | Annualized. |
5 | Annualized with the exception of audit fees, legal fees and registration fees. |
6 | The ratio of expenses to average net assets for the six months ended April 30, 2020 and the period ended October 31, 2019 reflect fees reduced as result of a contractual operating expense limitation of the share class of 0.80%. The Agreement is effective through March 1, 2021 and may only be terminated during its term with approval of the Fund’s Board of Trustees. For the six months ended April 30, 2020 and the period from September 9, 2019 to October 31, 2019 the waived fees were $0 and $27,976, respectively. |
The accompanying notes are an integral part of these financial statements.
BBH SELECT SERIES – LARGE CAP FUND
FINANCIAL HIGHLIGHTS (continued)
Selected per share data and ratios for a Retail Class share outstanding throughout each period.
For the six months ended April 30, 2020 (unaudited) | For the period from September 9, 2019 (commencement of operations) to October 31, 2019 | |||||||||
Net asset value, beginning of period | $ | 10.09 | $ | 10.00 | ||||||
Income from investment operations: | ||||||||||
Net investment income1 | 0.01 | 0.01 | ||||||||
Net realized and unrealized gain | (1.03 | ) | 0.08 | |||||||
Total income from investment operations | (1.02 | ) | 0.09 | |||||||
Short-term redemption fees1 | — | 0.002 | ||||||||
Net asset value, end of period | $ | 9.07 | $ | 10.09 | ||||||
Total return | (10.11 | )%3 | 0.90 | %3 | ||||||
Ratios/Supplemental data: | ||||||||||
Net assets, end of period (in millions) | $2 | $2 | ||||||||
Ratio of expenses to average net assets before reductions | 3.51 | %4 | 5.79 | %5 | ||||||
Fee waiver | 2.46 | %4,6 | 4.74 | %5,6 | ||||||
Ratio of expenses to average net assets after reductions | 1.05 | %4 | 1.05 | %5 | ||||||
Ratio of net investment income to average net assets | 0.24 | %4 | 0.46 | %5 | ||||||
Portfolio turnover rate | 11 | %3 | 0.00 | %3 |
1 | Calculated using average shares outstanding for the period. |
2 | Less than $0.01. |
3 | Not annualized. |
4 | Annualized. |
5 | Annualized with the exception of audit fees, legal fees and registration fees. |
6 | The ratio of expenses to average net assets for the six months ended April 30, 2020 and the period ended October 31, 2019 reflect fees reduced as result of a contractual operating expense limitation of the share class of 1.05%. The Agreement is effective through March 1, 2021 and may only be terminated during its term with approval of the Fund’s Board of Trustees. For the six months ended April 30, 2020 and the period from September 9, 2019 to October 31, 2019 the waived fees were $22,059 and $8,357, respectively. |
The accompanying notes are an integral part of these financial statements.
financial statements april 30, 2020 | 11 |
BBH SELECT SERIES – LARGE CAP FUND
NOTES TO FINANCIAL STATEMENTS
April 30, 2020 (unaudited)
1. | Organization. The Fund is a separate, non-diversified series of BBH Trust (the “Trust”), which is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. The Trust was originally organized under the laws of the State of Maryland on July 16, 1990 as BBH Fund, Inc. and re-organized as a Delaware statutory trust on June 12, 2007. The Fund commenced operations on September 9, 2019. The Fund offers Class I and Retail Class shares. Class I and Retail Class shares have different operating expenses. With the exception of class specific expenses, all expenses are allocated between classes based on net assets. Neither Class I shares nor Retail Class shares automatically convert to any other share class of the Fund. The investment objective of the Fund is to provide investors with long-term growth of capital. As of April 30, 2020, there were seven series of the Trust. |
2. | Significant Accounting Policies. The Fund’s financial statements are prepared in accordance with Generally Accepted Accounting Principles in the United States of America (“GAAP”). The Fund is an investment company and accordingly follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standard Codification Topic 946 Financial Services — Investment Companies. The following summarizes significant accounting policies of the Fund: |
A. | Valuation of Investments. (1) The value of investments listed on a securities exchange is based on the last sale price on that exchange prior to the time when assets are valued, or in the absence of recorded sales, at the average of readily available closing bid and asked prices on such exchange; (2) securities not traded on an exchange are valued at the average of the quoted bid and asked prices in the over-the-counter market; (3) securities or other assets for which market quotations are not readily available are valued at fair value in accordance with procedures established by and under the general supervision and responsibility of the Board of Trustees (the “Board”); (4) short-term investments, which mature in 60 days or less are valued at amortized cost if their original maturity was 60 days or less, or by amortizing their value on the 61st day prior to maturity, if their original maturity when acquired by the Fund was more than 60 days, unless the use of amortized cost is determined not to represent “fair value” by the Board. |
B. | Accounting for Investments and Income. Investment transactions are accounted for on the trade date. Realized gains and losses on investment transactions are determined based on the identified cost method. Dividend income and other distributions received from portfolio securities are recorded on the ex-dividend date. Non-cash dividends included in dividend income, if any, are recorded at the fair market value of securities received at ex-date. Distributions received on securities that represent a return of capital are recorded as a reduction of cost of investments. |
BBH SELECT SERIES – LARGE CAP FUND
NOTES TO FINANCIAL STATEMENTS (continued)
April 30, 2020 (unaudited)
Distributions received on securities that represent a capital gain are recorded as a realized gain. Interest income is accrued daily. Investment income is recorded net of any foreign taxes withheld where recovery of such tax is uncertain. |
C. | Fund Expenses. Most expenses of the Trust can be directly attributed to a specific fund. Expenses which cannot be directly attributed to a fund are generally apportioned among each fund in the Trust on a net assets basis or other suitable method. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known. |
D. | Federal Income Taxes. It is the Trust’s policy to comply with the requirements of the Internal Revenue Code (the “Code”) applicable to regulated investment companies and to distribute substantially all of its taxable income to its shareholders. Accordingly, no federal income tax provision is required. The Fund files a tax return annually using tax accounting methods required under provisions of the Code, which may differ from GAAP, which is the basis on which these financial statements are prepared. Accordingly, the amount of net investment income and net realized gain reported in these financial statements may differ from that reported on the Fund’s tax return, due to certain book-to-tax timing differences such as losses deferred due to “wash sale” transactions and utilization of capital loss carryforwards. These differences may result in temporary over-distributions for financial statement purposes and are classified as distributions in excess of accumulated net realized gains or net investment income. These distributions do not constitute a return of capital. Permanent differences are reclassified between paid-in capital and retained earnings/(accumulated deficit) within the Statement of Assets and Liabilities based upon their tax classification. As such, the character of distributions to shareholders reported in the Financial Highlights table may differ from that reported to shareholders on Form 1099-DIV. |
financial statements april 30, 2020 | 13 |
BBH SELECT SERIES – LARGE CAP FUND
NOTES TO FINANCIAL STATEMENTS (continued)
April 30, 2020 (unaudited)
E. | Dividends and Distributions to Shareholders. Dividends and distributions from net investment income to shareholders, if any, are paid annually and are recorded on the ex-dividend date. Distributions from net capital gains, if any, are generally declared and paid annually and are recorded on the ex-dividend date. The Fund declared dividends and distributions in the amount of $170,101 and $0 to Class I shares and Retail Class shareholders, respectively, during the six months ended April 30, 2020. |
Components of retained earnings/(accumulated deficit): | ||||||||||||||||||||||||||||
Undistributed ordinary income | Undistributed long-term capital gain | Accumulated capital and other losses | Other book/tax temporary differences | Unrealized appreciation/ (depreciation) | Total retained earnings/ (accumulated deficit) | |||||||||||||||||||||||
2019: | $ | 169,815 | $ | — | $ | — | $ | — | $ | 5,920,117 | $ | 6,089,932 |
F. | Use of Estimates. The preparation of the financial statements in accordance with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities in the financial statements, disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increase and decrease in net assets from operations during the reporting period. Actual results could differ from these estimates. |
BBH SELECT SERIES – LARGE CAP FUND
NOTES TO FINANCIAL STATEMENTS (continued)
April 30, 2020 (unaudited)
3. | Fees and Other Transactions with Affiliates. |
A. | Investment Advisory and Administrative Fees. Under a combined Investment Advisory and Administrative Services Agreement (“Agreement”) with the Trust, Brown Brothers Harriman & Co. (“BBH”) through a separately identifiable department (“SID” or “Investment Adviser”) provides investment advisory, portfolio management and administrative services to the Fund. The Fund pays a combined fee for investment advisory and administrative services calculated daily and paid monthly at an annual rate equivalent to 0.65% per annum on the first $3 billion of the Fund’s average daily net assets and 0.60% per annum on the Fund’s average daily net assets over $3 billion. For the six months ended April 30, 2020, the Fund incurred $1,298,623 under the Agreement. |
B. | Investment Advisory and Administrative Fee Waivers. Effective September 9, 2019 (commencement of operations), the Investment Adviser contractually agreed to limit the annual fund operating expenses (excluding interest, taxes, brokerage commissions, other expenditures that are capitalized in accordance with GAAP, other extraordinary expenses not incurred in the ordinary course of the Fund’s business and for Retail Class, amounts payable pursuant to any plan adopted in accordance with Rule 12b-1) of Class I and Retail Class to 0.80%. The agreement will terminate on March 1, 2021, unless it is renewed by all parties to the agreement. The agreement may only be terminated during its term with approval of the Fund’s Board of Trustees. For the six months ended April 30, 2020, the Investment Adviser waived fees in the amount of $0 and $22,059 for Class I and Retail Class, respectively. |
C. | Distribution (12b-1) Fees. The Fund has adopted a distribution plan pursuant to Rule 12b-1 for Retail Class shares that allows the Fund to pay distribution and other fees for the sale of its shares and for distribution-related services provided to shareholders. Because these fees are paid out of the Fund’s assets continuously, over time these fees will increase the cost of investment in Retail Class shares and may cost the Retail Class shareholder more than paying other types of sales charges. The maximum annual distribution fee for Retail Class shares is 0.25% of the average daily net assets of the Retail Class shares of the Fund. With this agreement along with the investment advisory and waiver agreements above, it is anticipated that total operating expenses for Retail Class shares will be no greater than 1.05% of the average daily net assets. For the six months ended April 30, 2020, Retail Class shares of the Fund incurred $2,239 for Distribution (12b-1) Fees. This amount is presented under line item “Distribution fees” in the Statement of Operations. |
D. | Custody and Fund Accounting Fees. BBH acts as a custodian and fund accountant and receives custody and fund accounting fees from the Fund calculated daily and incurred monthly. BBH holds all of the Fund’s cash and investments and calculates the Fund’s daily net asset value. The custody fee is an asset and transaction-based fee. The fund accounting fee is an asset-based fee calculated |
financial statements april 30, 2020 | 15 |
BBH SELECT SERIES – LARGE CAP FUND
NOTES TO FINANCIAL STATEMENTS (continued)
April 30, 2020 (unaudited)
at 0.004% of the Fund’s net asset value. For the six months ended April 30, 2020, the Fund incurred $13,501 in custody and fund accounting fees. As per agreement with the Fund’s custodian, the Fund receives interest income on cash balances held by the custodian at the BBH Base Rate. The BBH Base Rate is defined as BBH’s effective trading rate in local money markets on each day. In the event that the Fund is overdrawn, under the custody agreement with BBH, BBH will make overnight loans to the Fund to cover overdrafts. Pursuant to their agreement, the Fund will pay the Federal Funds overnight investment rate on the day of the overdraft. The total interest incurred by the Fund for the six months ended April 30, 2020, was $0. This amount is included under line item “Custody and fund accounting fees” in the Statement of Operations. |
E. | Board of Trustees’ Fees. Each Trustee who is not an “interested person” as defined under the 1940 Act receives an annual fee as well as reimbursement for reasonable out-of-pocket expenses from the Fund. For the six months ended April 30, 2020, the Fund incurred $30,650 in independent Trustee compensation and expense reimbursements. |
F. | Officers of the Trust. Officers of the Trust are also employees of BBH. Officers are paid no fees by the Trust for their services to the Trust. |
4. | Investment Transactions. For the six months ended April 30, 2020, the cost of purchases and the proceeds of sales of investment securities, other than short-term investments, were $98,132,338 and $43,447,064, respectively. |
BBH SELECT SERIES – LARGE CAP FUND
NOTES TO FINANCIAL STATEMENTS (continued)
April 30, 2020 (unaudited)
5. | Shares of Beneficial Interest. The Trust is permitted to issue an unlimited number of Class I and Retail Class shares of beneficial interest at no par value. Transactions in Class I and Retail Class shares were as follows: |
For the six months ended April 30, 2020 (unaudited) | For the period ended October 31, 2019* | ||||||||||||||||||
Shares | Dollars | Shares | Dollars | ||||||||||||||||
Class I | |||||||||||||||||||
Shares sold | 9,857,991 | $ | 88,797,227 | 39,489,027 | $ | 393,470,565 | |||||||||||||
Shares issued in connection with reinvestments of dividends | 2,943 | 30,580 | — | — | |||||||||||||||
Proceeds from short-term redemption fees | N/A | 1,985 | N/A | — | |||||||||||||||
Shares redeemed | (4,823,208 | ) | (46,276,648 | ) | (248,452 | ) | (2,476,612 | ) | |||||||||||
Net increase | 5,037,726 | $ | 42,553,144 | 39,240,575 | $ | 390,993,953 | |||||||||||||
Retail Class | |||||||||||||||||||
Shares sold | 40,148 | $ | 392,498 | 169,825 | $ | 1,680,528 | |||||||||||||
Proceeds from short-term redemption fees | N/A | N/A | N/A | 42 | |||||||||||||||
Shares redeemed | (4,635 | ) | (43,612 | ) | (213 | ) | (2,097 | ) | |||||||||||
Net increase | 35,513 | $ | 348,886 | 169,612 | $ | 1,678,473 |
* | The period represented is from September 9, 2019 (commencement of operations) to October 31, 2019. |
financial statements april 30, 2020 | 17 |
BBH SELECT SERIES – LARGE CAP FUND
NOTES TO FINANCIAL STATEMENTS (continued)
April 30, 2020 (unaudited)
6. | Principal Risk Factors and Indemnifications. |
A. | Principal Risk Factors. Investing in the Fund may involve certain risks, as discussed in the Fund’s prospectus, including but not limited to, those described below: |
B. | Indemnifications. Under the Trust’s organizational documents, its officers and Trustees may be indemnified against certain liabilities and expenses arising out of the performance of their duties to the Fund, and shareholders are indemnified against personal liability for the obligations of the Trust. Additionally, in the normal course of business, the Fund enters into agreements with service providers that may contain indemnification clauses. The Fund’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Fund that have not yet occurred. The risk of material loss from such claims is considered remote. |
BBH SELECT SERIES – LARGE CAP FUND
NOTES TO FINANCIAL STATEMENTS (continued)
April 30, 2020 (unaudited)
7. | Significant Events. In the beginning of 2020, there was an outbreak of the novel corona virus (COVID 19) which has impacted the financial markets and the global economy as a whole. The outbreak of COVID 19 is still ongoing and the magnitude and impact on the financial markets is highly uncertain and cannot be predicted. The effect of this impact may adversely impact the future carrying value of investments and results of operations of the Fund. |
8. | Subsequent Events. Management has evaluated events and transactions that have occurred since April 30, 2020 through the date the financial statements were issued and determined that there were none that would require recognition or additional disclosure in the financial statements. |
financial statements april 30, 2020 | 19 |
BBH SELECT SERIES – LARGE CAP FUND
DISCLOSURE OF FUND EXPENSES
April 30, 2020 (unaudited)
BBH SELECT SERIES – LARGE CAP FUND
DISCLOSURE OF FUND EXPENSES (continued)
April 30, 2020 (unaudited)
Beginning Account Value November 1, 2019 | Ending Account Value April 30, 2020 | Expenses Paid During Period November 1, 2019 to April 30, 20201 | ||||||||||||
Class I | ||||||||||||||
Actual | $ | 1,000 | $ | 901 | $ | 3.45 | ||||||||
Hypothetical2 | $ | 1,000 | $ | 1,021 | $ | 3.67 |
Beginning Account Value November 1, 2019 | Ending Account Value April 30, 2020 | Expenses Paid During Period November 1, 2019 to April 30, 20201 | ||||||||||||
Retail Class | ||||||||||||||
Actual | $ | 1,000 | $ | 899 | $ | 4.96 | ||||||||
Hypothetical2 | $ | 1,000 | $ | 1,020 | $ | 5.27 |
1 | Expenses are equal to the Fund’s annualized expense ratio of 0.73% and 1.05% for Class I and Retail Class shares, respectively, multiplied by the average account value over the period, multiplied by 182/366 (to reflect the one-half year period). |
2 | Assumes a return of 5% before expenses. For the purposes of the calculation, the applicable annualized expense ratio for each class of shares is subtracted from the assumed return before expenses. |
financial statements april 30, 2020 | 21 |
BBH SELECT SERIES – LARGE CAP FUND
DISCLOSURE OF ADVISOR SELECTION
April 30, 2020 (unaudited)
BBH SELECT SERIES – LARGE CAP FUND
DISCLOSURE OF ADVISOR SELECTION (continued)
April 30, 2020 (unaudited)
financial statements april 30, 2020 | 23 |
BBH SELECT SERIES – LARGE CAP FUND
DISCLOSURE OF ADVISOR SELECTION (continued)
April 30, 2020 (unaudited)
BBH SELECT SERIES – LARGE CAP FUND
CONFLICTS OF INTEREST
April 30, 2020 (unaudited)
financial statements april 30, 2020 | 25 |
BBH SELECT SERIES – LARGE CAP FUND
CONFLICTS OF INTEREST (continued)
April 30, 2020 (unaudited)
investment methods and strategies, of Other Clients. Accordingly, such Other Clients’ accounts may produce results that are materially different from those experienced by the Funds. Certain other conflicts of interest may arise in connection with a portfolio manager’s management of the Funds’ investments, on the one hand, and the investments of other funds or accounts for which the portfolio manager is responsible, on the other. For example, it is possible that the various funds or accounts managed by the Investment Adviser or Sub-Adviser could have different investment strategies that, at times, might conflict with one another to the possible detriment of the Funds. From time to time, the Investment Adviser and Sub-Adviser, sponsor and with other investment pools and accounts which engage in the same or similar businesses as the Funds using the same or similar investment strategies. To the extent that the same investment opportunities might be desirable for more than one account or fund, possible conflicts could arise in determining how to allocate them because the Investment Adviser or Sub-Adviser may have an incentive to allocate investment opportunities to certain accounts or funds. However, BBH and the Sub-Adviser have implemented policies and procedures designed to ensure that information relevant to investment decisions is disseminated promptly within its portfolio management teams and investment opportunities are allocated equitably among different clients. The policies and procedures require, among other things, objective allocation for limited investment opportunities, and documentation and review of justifications for any decisions to make investments only for select accounts or in a manner disproportionate to the size of the account. Nevertheless, access to investment opportunities may be allocated differently among accounts due to the particular characteristics of an account, such as size of the account, cash position, tax status, risk tolerance and investment restrictions or for other reasons.
BBH SELECT SERIES – LARGE CAP FUND
CONFLICTS OF INTEREST (continued)
April 30, 2020 (unaudited)
financial statements april 30, 2020 | 27 |
BBH SELECT SERIES – LARGE CAP FUND
CONFLICTS OF INTEREST (continued)
April 30, 2020 (unaudited)
BBH SELECT SERIES – LARGE CAP FUND
CONFLICTS OF INTEREST (continued)
April 30, 2020 (unaudited)
securities may not, in retrospect, be the price at which those assets could have been sold during the period in which the particular fair values were used in determining the Funds’ net asset value. As a result, the Funds’ sale or redemption of its shares at net asset value, at a time when a holding or holdings are valued by BBH (pursuant to Board-adopted procedures) at fair value, may have the effect of diluting or increasing the economic interest of existing shareholders.
financial statements april 30, 2020 | 29 |
BBH SELECT SERIES – LARGE CAP FUND
STATEMENT REGARDING LIQUIDITY RISK MANAGEMENT PROGRAM
April 30, 2020 (unaudited)
BBH SELECT SERIES – LARGE CAP FUND
STATEMENT REGARDING LIQUIDITY RISK MANAGEMENT PROGRAM (continued)
April 30, 2020 (unaudited)
The Program Administrator also took into consideration other factors such as shareholder ownership concentration, applicable distribution channels and the degree of certainty associated with a Fund’s short-term and long-term cash flow projections.
financial statements april 30, 2020 | 31 |
Administrator Brown Brothers Harriman & Co. 140 Broadway New York, NY 10005 | Investment Adviser Brown Brothers Harriman Mutual Fund Advisory Department 140 Broadway | ||
Distributor ALPS Distributors, Inc. 1290 Broadway, Suite 1100 Denver, Co 80203
| New York, NY 10005 | ||
Shareholder Servicing Agent Brown Brothers Harriman & Co. 140 Broadway New York, NY 10005 1-800-575-1265 |
By telephone: | Call 1-800-575-1265 | |||||
By E-mail send your request to: | bbhfunds@bbh.com | |||||
On the internet: | www.bbhfunds.com |
BBH GLOBAL CORE SELECT
PORTFOLIO ALLOCATION
April 30, 2020 (unaudited)
COUNTRY DIVERSIFICATION
U.S. $ Value | Percent of | ||||||
Common Stock: | |||||||
Belgium | $ 927,371 | 1.9% | |||||
Canada | 2,841,026 | 6.0 | |||||
Finland | 510,646 | 1.1 | |||||
France | 1,450,597 | 3.0 | |||||
Germany | 4,049,013 | 8.5 | |||||
Ireland | 2,784,153 | 5.9 | |||||
Italy | 1,126,253 | 2.4 | |||||
Netherlands | 1,155,732 | 2.4 | |||||
Sweden | 539,430 | 1.1 | |||||
Switzerland | 4,667,841 | 9.8 | |||||
United Kingdom | 6,011,762 | 12.6 | |||||
United States | 20,092,157 | 42.1 | |||||
Cash and Other Assets in Excess of Liabilities | 1,524,322 | 3.2 | |||||
NET ASSETS | $47,680,303 | 100.0% | |||||
All data as of April 30, 2020. The BBH Global Core Select’s (the ″Fund″) country diversification is expressed as a percentage of net assets and may vary over time. The Fund’s country diversification is based on the respective security’s country of incorporation.
SECTOR DIVERSIFICATION
U.S. $ Value | Percent of Net Assets | ||||||
Common Stock: | |||||||
Basic Materials | $ 4,080,892 | 8.6% | |||||
Communications | 4,425,902 | 9.3 | |||||
Consumer Cyclical | 7,385,576 | 15.5 | |||||
Consumer Non-Cyclical | 19,631,680 | 41.1 | |||||
Financials | 6,859,832 | 14.4 | |||||
Industrials | 1,050,076 | 2.2 | |||||
Technology | 2,722,023 | 5.7 | |||||
Cash and Other Assets in Excess of Liabilities | 1,524,322 | 3.2 | |||||
NET ASSETS | $47,680,303 | 100.0% |
All data as of April 30, 2020. The Fund's sector diversification is expressed as a percentage of net assets and may vary over time.
The accompanying notes are an integral part of these financial statements.
2
BBH GLOBAL CORE SELECT
PORTFOLIO OF INVESTMENTS
April 30, 2020 (unaudited)
Shares | Value | |||||||
COMMON STOCK (96.8%) | ||||||||
BELGIUM (1.9%) | ||||||||
FINANCIALS | ||||||||
17,190 | KBC Group NV | $ | 927,371 | |||||
Total Belgium | 927,371 | |||||||
CANADA (6.0%) | ||||||||
CONSUMER CYCLICAL | ||||||||
62,479 | Alimentation Couche-Tard, Inc. (Class B) | 1,743,684 | ||||||
FINANCIALS | ||||||||
1,349 | Fairfax Financial Holdings, Ltd. | 365,840 | ||||||
7,685 | Intact Financial Corp. | 731,502 | ||||||
1,097,342 | ||||||||
Total Canada | 2,841,026 | |||||||
FINLAND (1.1%) | ||||||||
INDUSTRIALS | ||||||||
8,435 | Kone Oyj (Class B) | 510,646 | ||||||
Total Finland | 510,646 | |||||||
FRANCE (3.0%) | ||||||||
CONSUMER NON-CYCLICAL | ||||||||
69,962 | Bureau Veritas S.A. | 1,450,597 | ||||||
Total France | 1,450,597 | |||||||
GERMANY (8.5%) | ||||||||
BASIC MATERIALS | ||||||||
36,187 | Fuchs Petrolub SE | 1,211,881 | ||||||
FINANCIALS | ||||||||
10,362 | Deutsche Boerse AG | 1,608,333 | ||||||
TECHNOLOGY | ||||||||
10,325 | SAP SE | 1,228,799 | ||||||
Total Germany | 4,049,013 | |||||||
IRELAND (5.9%) | ||||||||
BASIC MATERIALS | ||||||||
9,723 | Linde, Plc. | 1,788,935 | ||||||
CONSUMER NON-CYCLICAL | ||||||||
18,672 | Perrigo Co., Plc. | 995,218 | ||||||
Total Ireland | 2,784,153 |
The accompanying notes are an integral part of these financial statements.
3
BBH GLOBAL CORE SELECT
PORTFOLIO OF INVESTMENTS (continued)
April 30, 2020 (unaudited)
Shares | Value | |||||||
COMMON STOCK (continued) | ||||||||
ITALY (2.4%) | ||||||||
CONSUMER NON-CYCLICAL | ||||||||
145,421 | Davide Campari-Milano SpA | $ | 1,126,253 | |||||
Total Italy | 1,126,253 | |||||||
NETHERLANDS (2.4%) | ||||||||
CONSUMER NON-CYCLICAL | ||||||||
14,851 | Heineken Holding NV | 1,155,732 | ||||||
Total Netherlands | 1,155,732 | |||||||
SWEDEN (1.1%) | ||||||||
INDUSTRIALS | ||||||||
30,026 | Assa Abloy AB (Class B) 1 | 539,430 | ||||||
Total Sweden | 539,430 | |||||||
SWITZERLAND (9.8%) | ||||||||
CONSUMER NON-CYCLICAL | ||||||||
36,537 | Alcon, Inc.1 | 1,926,642 | ||||||
12,367 | Nestle S.A. | 1,303,902 | ||||||
16,881 | Novartis AG | 1,437,297 | ||||||
Total Switzerland | 4,667,841 | |||||||
UNITED KINGDOM (12.6%) | ||||||||
CONSUMER CYCLICAL | ||||||||
18,160 | InterContinental Hotels Group, Plc. | 828,194 | ||||||
CONSUMER NON-CYCLICAL | ||||||||
64,502 | Diageo, Plc. | 2,236,723 | ||||||
22,470 | Reckitt Benckiser Group, Plc. | 1,878,299 | ||||||
4,115,022 | ||||||||
FINANCIALS | ||||||||
2,626,175 | Lloyds Banking Group, Plc. | 1,068,546 | ||||||
Total United Kingdom | 6,011,762 | |||||||
UNITED STATES (42.1%) | ||||||||
BASIC MATERIALS | ||||||||
13,002 | Celanese Corp. (Series A) | 1,080,076 |
The accompanying notes are an integral part of these financial statements.
4
BBH GLOBAL CORE SELECT
PORTFOLIO OF INVESTMENTS (continued)
April 30, 2020 (unaudited)
Shares | Value | |||||||||
COMMON STOCK (continued) | ||||||||||
UNITED STATES (continued) | ||||||||||
COMMUNICATIONS | ||||||||||
2,432 | Alphabet, Inc. (Class C)1 | $ | 3,279,941 | |||||||
774 | Booking Holdings, Inc.1 | 1,145,961 | ||||||||
4,425,902 | ||||||||||
CONSUMER CYCLICAL | ||||||||||
32,297 | Copart, Inc.1 | 2,587,313 | ||||||||
3,610 | Costco Wholesale Corp. | 1,093,830 | ||||||||
12,991 | NIKE, Inc. (Class B) | 1,132,555 | ||||||||
4,813,698 | ||||||||||
CONSUMER NON-CYCLICAL | ||||||||||
19,083 | Colgate-Palmolive Co. | 1,340,962 | ||||||||
5,861 | FleetCor Technologies, Inc.1 | 1,413,966 | ||||||||
22,869 | Henry Schein, Inc.1 | 1,247,733 | ||||||||
16,382 | Zoetis, Inc. (Class A) | 2,118,356 | ||||||||
6,121,017 | ||||||||||
FINANCIALS | ||||||||||
7,849 | Mastercard, Inc. (Class A) | 2,158,240 | ||||||||
TECHNOLOGY | ||||||||||
28,190 | Oracle Corp. | 1,493,224 | ||||||||
Total United States | 20,092,157 | |||||||||
Total Common Stock (Cost $38,351,150) | 46,155,981 | |||||||||
TOTAL INVESTMENTS (Cost $38,351,150)2 | 96.8% | $ | 46,155,981 | |||||||
CASH AND OTHER ASSETS IN EXCESS OF LIABILITIES | 3.2% | 1,524,322 | ||||||||
NET ASSETS | 100.00% | $ | 47,680,303 | |||||||
1 | Non-income producing security. |
2 | The aggregate cost for federal income tax purposes is $38,351,150, the aggregate gross unrealized appreciation is $11,775,570 and the aggregate gross unrealized depreciation is $3,970,739, resulting in net unrealized appreciation of $7,804,831. |
The Fund's country diversification is based on the respective security's country of incorporation.
The accompanying notes are an integral part of these financial statements.
5
BBH GLOBAL CORE SELECT
PORTFOLIO OF INVESTMENTS (continued)
April 30, 2020 (unaudited)
Fair Value Measurements
The Fund is required to disclose information regarding the fair value measurements of the Fund’s assets and liabilities. Fair value is the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. The disclosure requirement established a three-tier hierarchy to maximize the use of observable market data and minimize the use of unobservable inputs and to establish classification of fair value measurements for disclosure purposes. Inputs refer broadly to the assumptions that market participants would use in pricing the asset or liability, including for example, the risk inherent in a particular valuation technique used to measure fair value including such a pricing model and/or the risk inherent in the inputs to the valuation technique. Inputs may be observable or unobservable. Observable inputs are inputs that reflect the assumptions market participants would use in pricing the asset or liability developed based on market data obtained from sources independent of the reporting entity. Unobservable inputs are inputs that reflect the Fund’s own considerations about the assumptions market participants would use in pricing the asset or liability developed based on the best information available in the circumstances.
Authoritative guidance establishes three levels of the fair value hierarchy as follows:
— | Level 1 – unadjusted quoted prices in active markets for identical assets and liabilities. |
— | Level 2 – significant other observable inputs (including quoted prices for similar assets and liabilities, interest rates, prepayment speeds, credit risk, etc.). |
— | Level 3 – significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of assets and liabilities). |
Inputs are used in applying the various valuation techniques and broadly refer to the assumptions that market participants use to make valuation decisions, including assumptions about risk. Inputs may include price information, specific and broad credit data, liquidity statistics, and other factors. A financial instrument’s level within the fair value hierarchy is based on the lowest level of any input that is significant to the fair value measurement. However, the determination of what constitutes “observable” requires judgment by the investment adviser. The investment adviser considers observable data to be that market data which is readily available, regularly distributed or updated, reliable and verifiable, not proprietary, and provided by independent sources that are actively involved in the relevant market. The categorization of a financial instrument within the hierarchy is based upon the pricing transparency of the instrument and does not necessarily correspond to the investment adviser’s perceived risk of that instrument.
The accompanying notes are an integral part of these financial statements.
6
BBH GLOBAL CORE SELECT
PORTFOLIO OF INVESTMENTS (continued)
April 30, 2020 (unaudited)
Financial assets within Level 1 are based on quoted market prices in active markets. The Fund does not adjust the quoted price for these instruments.
Financial instruments that trade in markets that are not considered to be active but are valued based on quoted market prices, dealer quotations or alternative pricing sources supported by observable inputs are classified within Level 2. These include investment-grade corporate bonds, U.S. Treasury notes and bonds, and certain non-U.S. sovereign obligations, listed equities and over-the-counter derivatives and foreign equity securities whose values could be impacted by events occurring before the Fund’s pricing time, but after the close of the securities’ primary markets and are, therefore, fair valued according to procedures adopted by the Board of Trustees. As Level 2 financial assets include positions that are not traded in active markets and/or are subject to transfer restrictions, valuations may be adjusted to reflect illiquidity and/or non-transferability, which are generally based on available market information.
Financial assets classified within Level 3 have significant unobservable inputs, as they trade infrequently. Level 3 financial assets include private equity and certain corporate debt securities.
Because of the inherent uncertainties of valuation, the values reflected in the financial statements may materially differ from the value received upon the actual sale of those investments.
The following table summarizes the valuation of the Fund’s investments by the above fair value hierarchy levels as of April 30, 2020.
Investments, at value | Unadjusted Quoted Prices in Active Markets for Identical Investments (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Balance as of April 30, 2020 | |||||||||||||
Common Stock: | |||||||||||||||||
Basic Materials | $ | 2,869,011 | $ | 1,211,881 | $ | — | $ | 4,080,892 | |||||||||
Communications | 4,425,902 | — | — | 4,425,902 | |||||||||||||
Consumer Cyclical | 6,557,382 | 828,194 | — | 7,385,576 | |||||||||||||
Consumer Non-Cyclical | 7,116,236 | 12,515,444 | — | 19,631,680 | |||||||||||||
Financials | 3,255,581 | 3,604,251 | — | 6,859,832 | |||||||||||||
Industrials | — | 1,050,076 | — | 1,050,076 | |||||||||||||
Technology | 1,493,224 | 1,228,799 | — | 2,722,023 | |||||||||||||
Investments, at value | $ | 25,717,336 | $ | 20,438,645 | $ | — | $ | 46,155,981 |
The accompanying notes are an integral part of these financial statements.
7
BBH GLOBAL CORE SELECT
STATEMENT OF ASSETS AND LIABILITIES
April 30, 2020 (unaudited)
ASSETS: | ||
Investments in securities, at value (Cost $38,351,150) | $46,155,981 | |
Cash | 1,496,665 | |
Foreign currency at value (Cost $26) | 26 | |
Receivables for: | ||
Investment advisory and administrative fee waiver reimbursement | 73,618 | |
Dividends | 55,318 | |
Shares sold | 5,000 | |
Interest | 955 | |
Prepaid assets | 118 | |
Total Assets | 47,787,681 | |
LIABILITIES: | ||
Payables for: | ||
Professional fees | 40,417 | |
Investment advisory and administrative fees | 35,445 | |
Custody and fund accounting fees | 8,316 | |
Shareholder servicing fees | 7,462 | |
Transfer agent fees | 7,045 | |
Board of Trustees' fees | 513 | |
Distribution fees | 193 | |
Accrued expenses and other liabilities | 7,987 | |
Total Liabilities | 107,378 | |
NET ASSETS | $47,680,303 | |
Net Assets Consist of: | ||
Paid-in capital | $38,890,248 | |
Retained earnings | 8,790,055 | |
Net Assets | $47,680,303 | |
NET ASSET VALUE AND OFFERING PRICE PER SHARE | ||
CLASS N SHARES | ||
($46,677,112 ÷ 4,630,542 shares outstanding) | $10.08 | |
RETAIL CLASS SHARES | ||
($1,003,191 ÷ 100,040 shares outstanding) | $10.03 | |
The accompanying notes are an integral part of these financial statements.
8
BBH GLOBAL CORE SELECT
STATEMENT OF OPERATIONS
For the six months ended April 30, 2020 (unaudited)
NET INVESTMENT INCOME: | ||
Income: | ||
Dividends (net of foreign withholding taxes of $129,073) | $ 236,017 | |
Interest income | 7,240 | |
Total Income | 243,257 | |
Expenses: | ||
Investment advisory and administrative fees | 249,507 | |
Shareholder servicing fees | 52,528 | |
Professional fees | 33,399 | |
Board of Trustees' fees | 30,402 | |
Registration fees | 29,262 | |
Transfer agent fees | 20,508 | |
Custody and fund accounting fees | 13,222 | |
Distribution fees | 1,397 | |
Miscellaneous expenses | 19,196 | |
Total Expenses | 449,421 | |
Investment advisory and administrative fee waiver | (119,725) | |
Net Expenses | 329,696 | |
Net Investment Loss | (86,439) | |
NET REALIZED AND UNREALIZED LOSS: | ||
Net realized gain on investments in securities | 1,219,784 | |
Net realized gain on foreign exchange transactions | 13,003 | |
Net realized gain on investments in securities and foreign exchange transactions and translations | 1,232,787 | |
Net change in unrealized appreciation/(depreciation) on investments in securities | (6,797,103) | |
Net change in unrealized appreciation/(depreciation) on foreign currency translations | 1,113 | |
Net change in unrealized appreciation/(depreciation) on investments in securities and foreign currency translations | (6,795,990) | |
Net Realized and Unrealized Loss | (5,563,203) | |
Net Decrease in Net Assets Resulting from Operations | $(5,649,642) |
The accompanying notes are an integral part of these financial statements.
9
BBH GLOBAL CORE SELECT
STATEMENTS OF CHANGES IN NET ASSETS
For the six months ended April 30, 2020 (unaudited) | For the year ended October 31, 2019 | |||||||
INCREASE (DECREASE) IN NET ASSETS: | ||||||||
Operations: | ||||||||
Net investment income (loss) | $ | (86,439 | ) | $ | 203,837 | |||
Net realized gain on investments in securities and foreign exchange transactions and translations | 1,232,787 | 7,014,367 | ||||||
Net change in unrealized appreciation/(depreciation) on investments in securities and foreign currency translations | (6,795,990 | ) | (1,466,836 | ) | ||||
Net increase (decrease) in net assets resulting from operations | (5,649,642 | ) | 5,751,368 | |||||
Dividends and distributions declared: | ||||||||
Class N | (5,890,570 | ) | (8,731,749 | ) | ||||
Retail Class | (128,001 | ) | (191,903 | ) | ||||
Total dividends and distributions declared | (6,018,571 | ) | (8,923,652 | ) | ||||
Share transactions: | ||||||||
Proceeds from sales of shares | 2,513,666 | 2,956,006 | ||||||
Net asset value of shares issued to shareholders for reinvestment of dividends and distributions | 4,610,016 | 6,665,681 | ||||||
Proceeds from short-term redemption fees | — | 119 | ||||||
Cost of shares redeemed | (4,080,621 | ) | (38,176,915 | ) | ||||
Net increase/(decrease) in net assets resulting from share transactions | 3,043,061 | (28,555,109 | ) | |||||
Total decrease in net assets | (8,625,152 | ) | (31,727,393 | ) | ||||
NET ASSETS: | ||||||||
Beginning of period | 56,305,455 | 88,032,848 | ||||||
End of period | $ | 47,680,303 | $ | 56,305,455 | ||||
The accompanying notes are an integral part of these financial statements.
10
BBH GLOBAL CORE SELECT
FINANCIAL HIGHLIGHTS
Selected per share data and ratios for a Class N share outstanding throughout each period.
For the six | For the years ended October 31, | |||||||||||||||||
(unaudited) | 2019 | 2018 | 2017 | 2016 | 2015 | |||||||||||||
Net asset value, beginning of period | $12.69 | $12.88 | $13.32 | $11.11 | $11.37 | $11.27 | ||||||||||||
Income from investment operations: | ||||||||||||||||||
Net investment income (loss)1 | (0.02 | ) | 0.04 | 0.07 | 0.05 | 0.06 | 0.06 | |||||||||||
Net realized and unrealized gain (loss) | (1.23 | ) | 1.35 | (0.21 | ) | 2.22 | (0.18 | ) | 0.30 | |||||||||
Total income (loss) from investment operations | (1.25 | ) | 1.39 | (0.14 | ) | 2.27 | (0.12 | ) | 0.36 | |||||||||
Less dividends and distributions: | ||||||||||||||||||
From net investment income (loss) | (0.04 | ) | (0.08 | ) | (0.05 | ) | (0.06 | ) | (0.07 | ) | (0.13 | ) | ||||||
From net realized gains | (1.32 | ) | (1.50 | ) | (0.25 | ) | — | (0.07 | ) | (0.13 | ) | |||||||
Total dividends and distributions | (1.36 | ) | (1.58 | ) | (0.30 | ) | (0.06 | ) | (0.14 | ) | (0.26 | ) | ||||||
Short-term redemption fees1 | — | 0.002 | — | — | 0.002 | — | ||||||||||||
Net asset value, end of period | $10.08 | $12.69 | $12.88 | $13.32 | $11.11 | $11.37 | ||||||||||||
Total return | (11.44 | )%3 | 13.10 | % | (1.11 | )% | 20.54 | % | (1.06 | )% | 3.27 | % | ||||||
Ratios/Supplemental data: | ||||||||||||||||||
Net assets, end of period (in millions) | $47 | $55 | $86 | $130 | $108 | $132 | ||||||||||||
Ratio of expenses to average net assets before reductions | 1.63 | %4 | 1.52 | % | 1.33 | % | 1.36 | % | 1.38 | % | 1.31 | % | ||||||
Fee waiver | 0.38 | %4,5 | 0.25 | %5 | 0.05 | %5 | 0.10 | %5 | 0.13 | %5 | 0.05 | %5 | ||||||
Expense offset arrangement | — | % | 0.02 | % | 0.03 | % | 0.01 | % | 0.01 | % | 0.01 | % | ||||||
Ratio of expenses to average net assets after reductions | 1.25 | %4 | 1.25 | % | 1.25 | % | 1.25 | % | 1.24 | % | 1.25 | % | ||||||
Ratio of net investment income to average net assets | (0.32) | %4 | 0.34 | % | 0.52 | % | 0.44 | % | 0.58 | % | 0.55 | % | ||||||
Portfolio turnover rate | 16 | %3 | 24 | % | 19 | % | 23 | % | 19 | % | 31 | % | ||||||
1 | Calculated using average shares outstanding for the period. |
2 | Less than $0.01. |
3 | Not annualized. |
4 | Annualized. |
5 | The ratio of expenses to average net assets for the six months ended April 30, 2020, the years ended October 31, 2019, 2018, 2017, 2016 and 2015 reflect fees reduced as result of a contractual operating expense limitation of the share class of 1.25%. The agreement is effective for all periods presented and is effective through March 1, 2021. For the six months ended April 30, 2020 and the years ended October 31, 2019, 2018, 2017, 2016 and 2015, the waived fees were $97,179, $148,510, $70,117, $110,626, $146,074 and $74,640, respectively. |
The accompanying notes are an integral part of these financial statements.
11
BBH GLOBAL CORE SELECT
FINANCIAL HIGHLIGHTS (continued)
Selected per share data and ratios for a Retail Class share outstanding throughout each period.
For the six | For the years ended October 31, | |||||||||||||||||
(unaudited) | 2019 | 2018 | 2017 | 2016 | 2015 | |||||||||||||
Net asset value, beginning of period | $12.61 | $12.81 | $13.24 | $11.05 | $11.31 | $11.24 | ||||||||||||
Income from investment operations: | ||||||||||||||||||
Net investment income (loss)1 | (0.03 | ) | 0.01 | 0.02 | 0.02 | 0.04 | 0.03 | |||||||||||
Net realized and unrealized gain (loss) | (1.22 | ) | 1.34 | (0.18 | ) | 2.20 | (0.18 | ) | 0.29 | |||||||||
Total income (loss) from investment operations | (1.25 | ) | 1.35 | (0.16 | ) | 2.22 | (0.14 | ) | 0.32 | |||||||||
Less dividends and distributions: | ||||||||||||||||||
From net investment income (loss) | (0.01 | ) | (0.05 | ) | (0.02 | ) | (0.03 | ) | (0.05 | ) | (0.12 | ) | ||||||
From net realized gains | (1.32 | ) | (1.50 | ) | (0.25 | ) | — | (0.07 | ) | (0.13 | ) | |||||||
Total dividends and distributions | (1.33 | ) | (1.55 | ) | (0.27 | ) | (0.03 | ) | (0.12 | ) | (0.25 | ) | ||||||
Short-term redemption fees1 | — | — | — | — | — | — | ||||||||||||
Net asset value, end of period | $10.03 | $12.61 | $12.81 | $13.24 | $11.05 | $11.31 | ||||||||||||
Total return | (11.54 | )%2 | 12.78 | % | (1.26 | )% | 20.18 | % | (1.25 | )% | 2.98 | % | ||||||
Ratios/Supplemental data: | ||||||||||||||||||
Net assets, end of period (in millions) | $1 | $1 | $2 | $4 | $4 | $4 | ||||||||||||
Ratio of expenses to average net assets before reductions | 5.53 | %3 | 4.05 | % | 2.94 | % | 2.44 | % | 2.65 | % | 2.93 | % | ||||||
Fee waiver | 4.03 | %3,4 | 2.53 | %2 | 1.45 | %2 | 0.93 | %2 | 1.14 | %2 | 1.43 | %2 | ||||||
Expense offset arrangement | — | % | 0.02 | % | 0.02 | % | 0.01 | % | 0.01 | % | 0.00 | %3 | ||||||
Ratio of expenses to average net assets after reductions | 1.50 | %3 | 1.50 | % | 1.47 | % | 1.50 | % | 1.50 | % | 1.50 | % | ||||||
Ratio of net investment income to average net assets | (0.58 | )%3 | 0.11 | % | 0.13 | % | 0.20 | % | 0.32 | % | 0.29 | % | ||||||
Portfolio turnover rate | 16 | %2 | 24 | % | 19 | % | 23 | % | 19 | % | 31 | % |
1 | Calculated using average shares outstanding for the period. |
2 | Not annualized. |
3 | Annualized. |
4 | The ratio of expenses to average net assets for the six months ended April 30, 2020, the years ended October 31, 2019, 2018, 2017, 2016 and 2015 reflect fees reduced as result of a contractual operating expense limitation of the share class of 1.50%. The agreement is effective for all periods presented and is effective through March 1, 2021. For the six months ended April 30, 2020 and the years ended October 31, 2019, 2018, 2017, 2016 and 2015, the waived fees were $22,546, $34,567, $32,231, $35,288, $40,663 and $41,058, respectively. |
5 | Less than 0.01%. |
The accompanying notes are an integral part of these financial statements.
12
BBH GLOBAL CORE SELECT
NOTES TO FINANCIAL STATEMENTS
April 30, 2020 (unaudited)
1. Organization. The Fund is a separate, non-diversified series of BBH Trust (the “Trust”), which is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. The investment objective of the Fund is to provide investors with long-term growth of capital. The Trust was originally organized under the laws of the State of Maryland on July 16, 1990 as BBH Fund, Inc. and re-organized as a Delaware statutory trust on June 12, 2007. The Fund is the successor to the BBH private investment fund, BBH Global Funds, LLC — Global Core Select, which launched on April 2, 2012. The Fund commenced operations on March 28, 2013. The Fund offers Class N shares and Retail Class shares. Class N and Retail Class shares have different operating expenses. With the exception of class specific expenses, all expenses are allocated between classes based on net assets. Neither Class N shares nor Retail Class shares automatically convert to any other class of shares of the Fund. As of April 30, 2020, there were seven series of the Trust.
2. Significant Accounting Policies. The Fund’s financial statements are prepared in accordance with Generally Accepted Accounting Principles in the United States of America (“GAAP”). The Fund is an investment company and accordingly follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standard Codification Topic 946 Financial Services — Investment Companies. The following summarizes significant accounting policies of the Fund:
A. Valuation of Investments. (1) The value of investments listed on a securities exchange is based on the last sale price on that exchange prior to the time when assets are valued, or in the absence of recorded sales, at the average of readily available closing bid and asked prices on such exchange; (2) securities not traded on an exchange are valued at the average of the quoted bid and asked prices in the over-the counter market; (3) securities or other assets for which market quotations are not readily available are valued at fair value in accordance with procedures established by and under the general supervision and responsibility of the Board of Trustees (the “Board”); (4) for securities traded on international exchanges, if events which may affect the value of the Fund’s securities occur after the close of the primary exchange on which such securities trade and before the Fund’s net asset value is next determined, then those securities will be fair valued as determined in good faith under supervision of the Board. The Fund currently uses a systematic fair value model provided by an independent third party to adjust the observed values of international securities on a daily basis; (5) short-term investments, which mature in 60 days or less are valued at amortized cost if their original maturity was 60 days or less, or by amortizing their value on the 61st day prior to maturity, if their original maturity when acquired by the Fund was more than 60 days, unless the use of amortized cost is determined not to represent “fair value” by the Board.
13
BBH GLOBAL CORE SELECT
NOTES TO FINANCIAL STATEMENTS (continued)
April 30, 2020 (unaudited)
B. Accounting for Investments and Income. Investment transactions are accounted for on the trade date. Realized gains and losses on investment transactions are determined based on the identified cost method. Dividend income and other distributions received from portfolio securities are recorded on the ex-dividend date. Non-cash dividends included in dividend income, if any, are recorded at the fair market value of securities received at ex-date. Distributions received on securities that represent a return of capital are recorded as a reduction of cost of investments. Distributions received on securities that represent a capital gain are recorded as a realized gain. Interest income is accrued daily. Investment income is recorded net of any foreign taxes withheld where recovery of such tax is uncertain.
C. Fund Expenses. Most expenses of the Trust can be directly attributed to a specific fund. Expenses which cannot be directly attributed to a fund are generally apportioned among each fund in the Trust on a net assets basis or other suitable method. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.
D. Repurchase Agreements. The Fund may enter into repurchase agreements. Repurchase agreements are transactions in which the Fund buys a security from a dealer or bank and agrees to sell the security back at a mutually agreed upon time and price. The repurchase price normally is in excess of the purchase price, reflecting an agreed upon interest rate. The rate is effective for the period of time that assets of the Fund are invested in the agreement and is not related to the coupon rate on the underlying security. The Fund will enter into repurchase agreements only with banks and other recognized financial institutions, such as securities dealers, deemed creditworthy by the investment adviser. The Fund’s custodian or sub-custodian will take possession of the securities subject to repurchase agreements. The investment adviser, custodian or sub-custodian will monitor the value of the underlying collateral each day to ensure that the value of the security always equals or exceeds the repurchase price.
Repurchase agreements 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. 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 the MRA counterparty’s bankruptcy or insolvency. Lastly, the MRA does not preclude the Fund from selling, transferring, pledging or hypothecating the underlying collateral but no such transaction shall relieve the Fund of its obligation to transfer the collateral to the counterparty upon the latter’s repurchase of the securities.
14
BBH GLOBAL CORE SELECT
NOTES TO FINANCIAL STATEMENTS (continued)
April 30, 2020 (unaudited)
The Fund’s repurchase agreements as of April 30, 2020, if any, are shown on a gross basis and the required disclosures under Accounting Standards Update (“ASU”) 2013-01 are shown in the Portfolio of Investments. Repurchase agreements are subject to credit risks.
E. Foreign Currency Translations. The accounting records of the Fund are maintained in U.S. dollars. Foreign currency amounts are translated into U.S. dollars at the current rate of exchange of such currency against the U.S. dollar to determine the value of investments, assets and liabilities. Purchases and sales of securities, and income and expenses are translated at the prevailing rate of exchange on the respective dates of such transactions. Upon the purchase or sale of a security denominated in foreign currency, the Fund may enter into forward foreign currency exchange contracts for the purchase or sale, for a fixed amount of U.S. dollars, of the amount of foreign currency involved in the underlying security transaction. Reported net realized gains and losses arise from the sales of portfolio securities, sales of foreign currencies, currency gains or losses realized between the trade and settlement dates on securities transactions, and the difference between the amounts of dividends, interest and foreign withholding taxes recorded on the Fund’s books and the U.S. dollar equivalent of the amounts actually received or paid. The effect of changes in foreign exchange rates on foreign denominated securities is reflected in the net realized and unrealized gain or loss on investments in securities and foreign exchange transactions and translations and net change in unrealized appreciation or depreciation on investments in securities and foreign currency translations within the Statement of Operations. Net unrealized appreciation or depreciation on foreign currency translations arise from changes in the value of the assets and liabilities, excluding investments in securities, at period end, resulting from changes in the exchange rate.
F. Federal Income Taxes. The Fund may be subject to foreign taxes on income, gains on investments or currency repatriation, a portion of which may be recoverable. The Fund will accrue such taxes and recoveries, as applicable, based upon its current interpretation of tax rules and regulations that exist in the markets in which it invests.
Realized gains in certain countries may be subject to foreign taxes at the Fund level, based on statutory rates. The Fund accrues for such foreign taxes on net realized and unrealized gains at the appropriate rate for each jurisdiction, as applicable. The amount, if any, is disclosed as a liability in the Statement of Assets and Liabilities and as an expense in the Statement of Operations.
It is the Trust’s policy to comply with the requirements of the Internal Revenue Code (the “Code”) applicable to regulated investment companies and to distribute substantially all of its taxable income to its shareholders. Accordingly, no federal income tax provision is required. The Fund files a tax return annually using tax accounting methods required under provisions of the Code, which
15
BBH GLOBAL CORE SELECT
NOTES TO FINANCIAL STATEMENTS (continued)
April 30, 2020 (unaudited)
may differ from GAAP, which is the basis on which these financial statements are prepared. Accordingly, the amount of net investment income and net realized gain reported in these financial statements may differ from that reported on the Fund’s tax return, due to certain book-to-tax timing differences such as losses deferred due to “wash sale” transactions and utilization of capital loss carryforwards. These differences may result in temporary over-distributions for financial statement purposes and are classified as distributions in excess of accumulated net realized gains or net investment income. These distributions do not constitute a return of capital. Permanent differences are reclassified between paid-in capital and retained earnings/(accumulated deficit) within the Statement of Assets and Liabilities based upon their tax classification. As such, the character of distributions to shareholders reported in the Financial Highlights table may differ from that reported to shareholders on Form 1099-DIV.
The Fund is subject to the provisions of Accounting Standards Codification 740 Income Taxes (“ASC 740”). ASC 740 sets forth a minimum threshold for financial statement recognition of the benefit of a tax position taken or expected to be taken in a tax return. The Fund did not have any unrecognized tax benefits as of October 31, 2019, nor were there any increases or decreases in unrecognized tax benefits for the year then ended. The Fund recognizes interest and penalties, if any, related to unrecognized tax benefits as an income tax expense in the Statement of Operations. During the six months ended April 30, 2020, the Fund did not incur any such interest or penalties. The Fund is subject to examination by U.S. federal and state tax authorities for returns filed for the prior three years. The Fund is not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months.
G. Dividends and Distributions to Shareholders. Dividends and distributions from net investment income to shareholders, if any, are paid annually and are recorded on the ex-dividend date. Distributions from net capital gains, if any, are generally declared and paid annually and are recorded on the ex-dividend date. The Fund declared dividends and distributions in the amount of $5,890,570 and $128,001 to Class N and Retail Class shareholders, respectively, during the six months ended April 30, 2020. In addition, the Fund designated a portion of the payment made to redeeming shareholders as a distribution for income tax purposes.
16
BBH GLOBAL CORE SELECT
NOTES TO FINANCIAL STATEMENTS (continued)
April 30, 2020 (unaudited)
The tax character of distributions paid during the years ended October 31, 2019 and 2018 was as follows:
Distributions paid from:
Ordinary income | Net long-term | Total taxable distributions | Tax return of capital | Total distributions paid | ||||||||||||
2019: | $423,530 | $8,500,122 | $8,923,652 | $ — | $8,923,652 | |||||||||||
2018: | 1,398,238 | 1,636,791 | 3,035,029 | — | 3,035,029 |
As of October 31, 2019 and 2018, respectively, the components of retained earnings/(accumulated deficit) on a tax basis were as follows:
Components of retained earnings/(accumulated deficit):
Undistributed ordinary income | Undistributed long-term capital gain | Accumulated capital and other losses | Other book/tax temporary differences | Unrealized appreciation/ (depreciation) | Total retained earnings/ (accumulated deficit) | ||||||||||||||
2019: | $193,099 | $5,825,288 | $ — | $(159,446 | ) | $14,599,327 | $20,458,268 | ||||||||||||
2018: | 407,144 | 8,499,653 | — | (352,669 | ) | 16,066,163 | 24,620,291 |
The Fund did not have a net capital loss carryforward at October 31, 2019.
The Fund is permitted to carryforward capital losses for an unlimited period and they will retain their character as either short-term or long-term capital losses rather than being considered all short-term capital losses.
Total distributions paid may differ from amounts reported in the Statements of Changes in Net Assets because, for tax purposes, dividends are recognized when actually paid.
The differences between book-basis and tax-basis unrealized appreciation/(depreciation) is attributable primarily to the tax deferral of losses on wash sales.
To the extent future capital gains are offset by capital loss carryforwards, if any, such gains will not be distributed.
17
BBH GLOBAL CORE SELECT
NOTES TO FINANCIAL STATEMENTS (continued)
April 30, 2020 (unaudited)
H. Use of Estimates. The preparation of the financial statements in accordance with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities in the financial statements, disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increase and decrease in net assets from operations during the reporting period. Actual results could differ from these estimates.
3. Fees and Other Transactions with Affiliates.
A. Investment Advisory and Administrative Fees. Under a combined Investment Advisory and Administrative Services Agreement (“Agreement”) with the Trust, Brown Brothers Harriman & Co. (“BBH”) through a separately identifiable department (“SID” or “Investment Adviser”) provides investment advisory, portfolio management and administrative services to the Fund. The Fund pays a combined fee for investment advisory and administrative services calculated daily and paid monthly at an annual rate equivalent to 0.95% on the first $3 billion of the Fund’s average daily net assets and 0.90% per annum on the Fund’s average daily net assets over $3 billion. For the six months ended April 30, 2020, the Fund incurred $249,507 under the Agreement.
B. Investment Advisory and Administrative Fee Waivers. Effective March 28, 2013, the Investment Adviser contractually agreed to limit the annual Fund operating expenses (excluding interest, taxes, brokerage commissions, other expenditures that are capitalized in accordance with GAAP, other extraordinary expenses not incurred in the ordinary course of the Fund’s business and for Retail Class, amounts payable pursuant to any plan adopted in accordance with Rule 12b-1) of Class N and Retail Class to 1.25%. The agreement will terminate on March 1, 2021, unless it is renewed by all parties to the agreement. The agreement may only be terminated during its term with approval of the Fund’s Board of Trustees. For the six months ended April 30, 2020, the Investment Adviser waived fees in the amount of $97,179 and $22,546 for Class N and Retail Class, respectively.
C. Shareholder Servicing Fees. Trust has a shareholder servicing agreement with BBH. BBH receives a fee from the Fund calculated daily and paid monthly at an annual rate of 0.20% of Class N and Retail Class shares’ average daily net assets. For the six months ended April 30, 2020, the Fund incurred shareholder servicing fees in the amount of $51,410 and $1,118 for Class N and Retail Class, respectively.
D. Distribution (12b-1) Fees. The Fund has adopted a distribution plan pursuant to Rule 12b-1 for Retail Class shares that allows the Fund to pay distribution and other fees for the sale of its shares and for distribution-related services provided to shareholders. Because these fees are paid out of the Fund’s assets continuously, over time these fees will increase the cost of investment in Retail Class shares and may cost the shareholder more than paying other types of sales charges.
18
BBH GLOBAL CORE SELECT
NOTES TO FINANCIAL STATEMENTS (continued)
April 30, 2020 (unaudited)
The maximum annual distribution fee for Retail Class shares is 0.25% of the average daily net assets of the Retail Class shares of the Fund. With this agreement along with the investment advisory and waiver agreements above, it is anticipated that total operating expenses for Retail Class shares will be no greater than 1.50% of the average daily net assets. For the six months ended April 30, 2020, Retail Class shares of the Fund incurred $1,397 for Distribution (12b-1) Fees. This amount is presented under line item “Distribution fees” in the Statement of Operations.
E. Custody and Fund Accounting Fees. BBH acts as a custodian and fund accountant and receives custody and fund accounting fees from the Fund calculated daily and incurred monthly. BBH holds all of the Fund’s cash and investments and calculates the Fund’s daily net asset value. The custody fee is an asset and transaction-based fee. The fund accounting fee is an asset-based fee calculated at 0.004% of the Fund’s net asset value. For the six months ended April 30, 2020, the Fund incurred $13,222 in custody and fund accounting fees. As per agreement with the Fund’s custodian, the Fund received interest income on cash balances held by the custodian at the BBH Base Rate. The BBH Base Rate is defined as BBH’s effective trading rate in local money markets on each day. The total interest earned by the Fund for the six months ended April 30, 2020 was $7,240. This amount is included in “Interest income” in the Statement of Operations. In the event that the Fund is overdrawn, under the custody agreement with BBH, BBH will make overnight loans to the Fund to cover overdrafts. Pursuant to their agreement, the Fund will pay the Federal Funds overnight investment rate on the day of the overdraft. The total interest incurred by the Fund for the six months ended April 30, 2020, was $0. This amount is included under line item “Custody and fund accounting fees” in the Statement of Operations.
F. Board of Trustees’ Fees. Each Trustee who is not an “interested person” as defined under the 1940 Act receives an annual fee as well as reimbursement for reasonable out-of-pocket expenses from the Fund. For the six months ended April 30, 2020, the Fund incurred $30,402 in independent Trustee compensation and expense reimbursements.
G. Officers of the Trust. Officers of the Trust are also employees of BBH. Officers are paid no fees by the Trust for their services to the Trust.
4. Investment Transactions. For the six months ended April 30, 2020, the cost of purchases and the proceeds of sales of investment securities, other than short-term investments, were $8,031,019 and $11,107,815, respectively.
19
BBH GLOBAL CORE SELECT
NOTES TO FINANCIAL STATEMENTS (continued)
April 30, 2020 (unaudited)
5. Shares of Beneficial Interest. The Trust is permitted to issue an unlimited number of Class N and Retail Class shares of beneficial interest, at no par value. Transactions in Class N and Retail Class shares were as follows:
For the six months ended | For the year ended | |||||||||||||||
Shares | Dollars | Shares | Dollars | |||||||||||||
Class N | ||||||||||||||||
Shares sold | 259,417 | $ | 2,452,696 | 253,310 | $ | 2,830,782 | ||||||||||
Shares issued in connection with reinvestments of dividends | 379,008 | 4,510,200 | 609,286 | 6,507,179 | ||||||||||||
Proceeds from short-term redemption fees | N/A | N/A | N/A | 119 | ||||||||||||
Shares redeemed | (350,095 | ) | (3,969,838 | ) | (3,216,458 | ) | (37,352,261 | ) | ||||||||
Net increase (decrease) | 288,330 | $ | 2,993,058 | (2,353,862 | ) | $ | (28,014,181 | ) | ||||||||
Retail Class | ||||||||||||||||
Shares sold | 5,622 | $ | 60,970 | 10,541 | $ | 125,224 | ||||||||||
Shares issued in connection with reinvestments of dividends | 8,431 | 99,816 | 14,897 | 158,502 | ||||||||||||
Shares redeemed | (9,263 | ) | (110,783 | ) | (67,645 | ) | (824,654 | ) | ||||||||
Net increase (decrease) | 4,790 | $ | 50,003 | (42,207 | ) | $ | (540,928 | ) | ||||||||
6. Principal Risk Factors and Indemnifications.
A. Principal Risk Factors. Investing in the Fund may involve certain risks, as discussed in the Fund’s prospectus, including but not limited to, those described below:
A shareholder may lose money by investing in the Fund (investment risk). The Fund is actively managed and the decisions by the Investment Adviser may cause the Fund to incur losses or miss profit opportunities (management risk). Price movements may occur due to factors affecting individual companies, such as the issuance of an unfavorable earnings report, or other events affecting particular industries or the equity market as a whole (equity securities risk). The value of securities held by the Fund may fall due to changing economic, political, regulatory or market conditions, or due to a company’s or issuer’s individual situation. Natural disasters, the spread of infectious illness and other public health emergencies, recession, terrorism and other unforeseeable events may lead to increased market volatility and may have adverse effects on world economies and markets generally (market risk). Stocks of medium-sized companies tend to be more volatile and less liquid than stocks of large companies (medium-sized company risk). In the normal course
20
BBH GLOBAL CORE SELECT
NOTES TO FINANCIAL STATEMENTS (continued)
April 30, 2020 (unaudited)
of business, the Fund invests in securities and enters into transactions where risks exist due to assumption of large positions in securities of a small number of issuers (non-diversification risk). There are certain risks associated with investing in foreign securities not present in domestic investments, including, but not limited to, recovery of tax withheld by foreign jurisdictions (foreign investment risk), capital controls imposed by foreign governments in response to economic or political events that may impact the ability of the Fund to buy, sell or otherwise transfer securities or currency (capital controls risk), and risks from investing in securities of issuers based in developing countries (emerging markets risk). Non-U.S. currencies invested in by the Fund may depreciate against the U.S. dollar (currency exchange rate risk). The Fund’s shareholders may be adversely impacted by asset allocation decisions made by an investment adviser whose discretionary clients make up a large percentage of the Fund’s shareholders (shareholder concentration risk). The extent of the Fund’s exposure to these risks in respect to these financial assets is included in their value as recorded in the Fund’s Statement of Assets and Liabilities.
Please refer to the Fund’s prospectus for a complete description of the principal risks of investing in the Fund.
B. Indemnifications. Under the Trust’s organizational documents, its officers and Trustees may be indemnified against certain liabilities and expenses arising out of the performance of their duties to the Fund, and shareholders are indemnified against personal liability for the obligations of the Trust. Additionally, in the normal course of business, the Fund enters into agreements with service providers that may contain indemnification clauses. The Fund’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Fund that have not yet occurred. The risk of material loss from such claims is considered remote.
7. Significant Events. In the beginning of 2020, there was an outbreak of the novel corona virus (COVID 19) which has impacted the financial markets and the global economy as a whole. The outbreak of COVID 19 is still ongoing and the magnitude and impact on the financial markets is highly uncertain and cannot be predicted. The effect of this impact may adversely impact the future carrying value of investments and results of operations of the Fund.
There are no other significant events to report as they relate to the Fund.
8. Subsequent Events. Management has evaluated events and transactions that have occurred since April 30, 2020 through the date the financial statements were issued and determined that there were none that would require recognition or additional disclosure in the financial statements.
21
BBH GLOBAL CORE SELECT
DISCLOSURE OF FUND EXPENSES
April 30, 2020 (unaudited)
EXAMPLE
As a shareholder of the Fund, you may incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments, reinvested distributions, or other distributions; redemption fees; and exchange fees; and (2) ongoing costs, including management fees; distribution 12b-1 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 (November 1, 2019 to April 30, 2020).
ACTUAL EXPENSES
The first line of the table below provides information about actual account values and actual expenses. You may use information in this line, 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 first line under the heading entitled “Expenses Paid During the Period” to estimate the expenses you paid on your account during the period.
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
The second line of 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 during the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% Hypothetical Example with the 5% hypothetical examples that appear in the shareholder reports of other funds.
22
BBH GLOBAL CORE SELECT
DISCLOSURE OF FUND EXPENSES (continued)
April 30, 2020 (unaudited)
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 redemption fees or exchange fees. Therefore, the second line of 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 November 1, 2019 | Ending Account Value April 30, 2020 | Expenses Paid During Period November 1, 2019 to April 30, 20201 | |||||||
Class N | |||||||||
Actual | $1,000 | $886 | $5.86 | ||||||
Hypothetical2 | $1,000 | $1,019 | $6.27 |
Beginning Account Value November 1, 2019 | Ending Account Value April 30, 2020 | Expenses Paid During Period November 1, 2019 to April 30, 20201 | |||||||
Retail Class | |||||||||
Actual | $1,000 | $885 | $7.03 | ||||||
Hypothetical2 | $1,000 | $1,017 | $7.52 |
1 | Expenses are equal to the Fund’s annualized expense ratio of 1.25% and 1.50% for Class N and Retail Class shares, respectively, multiplied by the average account value over the period, multiplied by 182/366 (to reflect the one-half year period). |
2 | Assumes a return of 5% before expenses. For the purposes of the calculation, the applicable annualized expenses ratio for each class of shares is subtracted from the assumed return before expenses. |
23
BBH GLOBAL CORE SELECT
DISCLOSURE OF ADVISOR SELECTION
April 30, 2020 (unaudited)
Investment Advisory and Administrative Services Agreement Approval
The 1940 Act requires that a fund’s investment advisory agreements be approved annually by the fund’s board of trustees, including by a majority of the trustees who are not parties to the investment advisory agreements or “interested persons” of any party (“Independent Trustees”). Additionally, the approval must occur at an in-person meeting called for the purpose of voting on such approval.
The Board, a majority of which is comprised of Independent Trustees, held a telephonic meeting on November 20, 2019 and an in-person meeting on December 10, 2019, to consider whether to renew the combined Amended and Restated Investment Advisory and Administrative Services Agreement (the “Agreement”) between the Trust and the Investment Adviser with respect to the existing funds in the Trust, including the Fund. At the December 10, 2019 meeting, the Board voted to approve the renewal of the Agreement with respect to the Fund for an additional one-year term. In doing so, the Board determined that the terms of the Agreement were fair and reasonable in the best interest of the Fund and its shareholders, and that it had received sufficient information to make an informed business decision with respect to the continuation of the Agreement.
Both in the meetings specifically held to address the continuance of the Agreement and at other meetings over the course of the year, the Board requested, received and assessed a variety of materials provided by the Investment Adviser and BBH, including, among other things, information about the nature, extent and quality of the services provided to the Fund by the Investment Adviser and BBH, including investment management, administrative and shareholder services, the oversight of Fund service providers, marketing, risk oversight, compliance, and the ability to meet applicable legal and regulatory requirements. The Board also received third-party comparative performance and fee and expense information for the Fund prepared by Broadridge Financial Solutions, Inc. (“Broadridge”) using data from Lipper Inc., an independent provider of investment company data (“Lipper Report”). Additionally, the Board received a separate comparative performance and fee and expense report for the Fund based on criteria selected by BBH, rather than Broadridge. The Board reviewed these reports with Broadridge, counsel to the Trust (“Fund Counsel”) and BBH. The Board received from, and discussed with Fund Counsel a memorandum regarding the responsibilities of trustees for the approval of investment advisory agreements under the 1940 Act, as well as the guidance provided in Gartenburg v. Merrill Lynch Asset Management, Inc., which was affirmed in Jones v. Harris Associates, L.P. In addition, the Board met in executive session outside the presence of Fund management.
In approving the continuation of the Agreement, the Board considered: (a) the nature, extent and quality of services provided by the Investment Adviser; (b) the investment performance of the Fund; (c) the advisory fee and the cost of the services and profits to be realized by the Investment Adviser from its relationship with the Fund; (d) the Fund’s costs to investors compared to the costs of comparative funds and performance compared to the relevant performance of comparative funds; (e) the sharing of potential
24
BBH GLOBAL CORE SELECT
DISCLOSURE OF ADVISOR SELECTION (continued)
April 30, 2020 (unaudited)
economies of scale; (f) fall-out benefits to the Investment Adviser as a result of its relationship with the Fund; and (g) other factors deemed relevant by the Board. The following is a summary of the factors the Board considered in making its determination to approve the continuance of the Agreement. No single factor reviewed by the Board was identified as the principal factor in determining whether to approve the Agreement, and individual Trustees may have given different weight to various factors. The Board reviewed these factors with Fund Counsel. The Board concluded that the fees paid by the Fund to the Investment Adviser were reasonable based on the comparative performance, expense information, the cost of the services provided, and the profits realized by the Investment Adviser.
Nature, Extent and Quality of Services
The Board noted that, under the Agreement and with respect to the Fund, the Investment Adviser, subject to the supervision of the Board, is responsible for providing a continuous investment program and making purchases and sales of portfolio securities consistent with the Fund’s investment objective and policies. The Board further noted that, as a combined investment advisory and administration agreement, the Agreement also contemplates the provision of administrative services by the Investment Adviser to the Fund within the same fee structure. The Board received and considered information, during the November 20, 2019 and December 10, 2019 meetings, and over the course of the previous year, regarding the nature, extent and quality of services provided to the Fund by the Investment Adviser including: portfolio management, the supervision of operations and compliance, preparation of regulatory filings, disclosures to Fund shareholders, general oversight of service providers, organizing Board meetings and preparing the materials for such Board meetings, assistance to the Board (including the Independent Trustees, in their capacity as Trustees), legal and Chief Compliance Officer services for the Trust, and other services necessary for the operation of the Fund. The Board considered the resources of the Investment Adviser and BBH, as a whole, dedicated to the Fund noting that, pursuant to separate agreements, BBH also provides custody, shareholder servicing, and fund accounting services to the Fund. The Board considered the depth and range of services provided pursuant to the Agreement, noting that the Investment Adviser also coordinates the provision of services to the Fund by affiliated and nonaffiliated service providers.
The Board considered the scope and quality of services provided by the Investment Adviser under the Agreement. The Board also considered brokerage policies and practices, the standards applied in seeking best execution and policies and practices regarding soft dollars. The Board reviewed the qualifications of the key investment personnel primarily responsible for the day-to-day portfolio management of the Fund. The Board also considered the policies and practices followed by BBH and the Investment Adviser. The Board noted that, during the course of its regular meetings it received reports on each of the foregoing topics. The Board concluded that, overall, they were satisfied with the nature, extent and quality of investment advisory and administrative services provided, and expected to be provided, to the Fund pursuant to the Agreement.
25
BBH GLOBAL CORE SELECT
DISCLOSURE OF ADVISOR SELECTION (continued)
April 30, 2020 (unaudited)
Fund Performance
At the November 20, 2019 and December 10, 2019 meeting, and throughout the year, the Board received and reviewed performance information for the Fund provided by BBH. The Board considered the Fund’s performance relative to a peer category of other mutual funds in a report compiled by Broadridge. As part of this review, the Trustees considered the composition of the peer category, selection criteria and reputation of Broadridge who prepared the peer category analysis. The Board reviewed and discussed with both BBH and Broadridge, the report’s findings and discussed the positioning of the Fund relative to its selected peer category. The Board considered short-term and long-term investment performance for the Fund over various periods of time as compared to a selection of peer funds, noting the Fund’s outperformance as compared to its peer category for the 1- and 2-year periods and had average performance when compared to its peer group in the 3-, 4- and 5-year periods ended September 30, 2019. They further noted the Fund’s historical track record of positive absolute returns was consistent with the investment approach communicated to investors. In evaluating the performance of the Fund, the Board considered the risk expectations for the Fund as well as the level of Fund performance in the context of Fund expenses and the Investment Adviser’s profitability.
Costs of Services Provided and Profitability
The Board considered the fee rates paid by the Fund to the Investment Adviser in light of the nature, extent and quality of the services provided to the Fund. The Board also considered and reviewed the fee waiver arrangement and breakpoints to the Fund’s fee schedule that were in place for the Fund and considered the actual fee rates, after taking into account the waiver and breakpoints. The Board considered the depth and range of services provided pursuant to the Agreement, noting that the Investment Adviser also coordinates the provision of services to the Fund by affiliated and nonaffiliated service providers. The Board received and considered information comparing the Fund’s combined investment advisory and administration fee and the Fund’s net operating expenses with those of other comparable mutual funds, such peer category and comparisons having been selected and calculated by Broadridge. The Board recognized that it is difficult to make comparisons of the fee rate, or of combined advisory and administration fees, because there are variations in the services that are included in the fees paid by other funds. The Board concluded that the advisory and administration fee appeared to be both reasonable in light of the services rendered and the result of arm’s length negotiations.
With regard to profitability, the Trustees considered the compensation and benefits flowing to the Investment Adviser and BBH, directly or indirectly. The Board reviewed the Investment Adviser and BBH’s profitability data for the Fund for the nine-months ended September 30, 2019, and the previous six years. The data also included the effect of revenue generated by the shareholder servicing, custody and fund accounting fees paid by the Fund to BBH. With respect to shareholder servicing fees, the Board noted that the fee rate was standardized at 0.20% for all of the Trust’s funds, including the Fund. The Board conducted a detailed review of the allocation methods used in preparing the profitability data. The Board
26
BBH GLOBAL CORE SELECT
DISCLOSURE OF ADVISOR SELECTION (continued)
April 30, 2020 (unaudited)
focused on profitability of the Investment Adviser’s and BBH’s relationships with the Fund before taxes and distribution expenses. The Board concluded that the Investment Adviser’s and BBH’s profitability was not excessive in light of the nature, extent and quality of services provided to the Fund.
The Board also considered the effect of fall-out benefits on the expenses of the Investment Adviser and BBH such as the increased visibility of BBH’s investment management business due to the distribution of the Funds through various broker dealer platforms as well as the research services acquired by BBH through soft dollars. The Board considered other benefits received by BBH and the Investment Adviser as a result of their relationships with the Fund. These other benefits include fees received for being the Fund’s administrator, custodian, fund accounting and shareholder servicing agent. In light of the costs of providing services pursuant to the Agreement as well as the Investment Adviser and BBH’s commitment to the Fund, the ancillary benefits that the Investment Adviser and BBH received were considered reasonable.
Economies of Scale
The Board also considered the existence of economies of scale and whether those economies are passed along to the Fund’s shareholders through a graduated investment advisory fee schedule or other means, including any fee waivers by the Investment Adviser and BBH. The Board considered the fee schedule for the Fund, noting the existence of a graduated investment advisory fee. Based on information it had been provided over many years, the Board observed that in the mutual fund industry as a whole, as well as among funds similar to the Fund, there appeared to be no uniformity or pattern in the fees and asset levels at which breakpoints apply. In light of the Fund’s current size and expense structure, the Board concluded that the current breakpoints for the Fund were reasonable. The Board concluded that the fees paid by the Fund to the Investment Adviser were reasonable based on the comparative performance, expense information, the cost of the services provided and the profits to be realized by the Investment Adviser.
27
BBH GLOBAL CORE SELECT
CONFLICTS OF INTEREST
April 30, 2020 (unaudited)
Conflicts of Interest
BBH, including the Investment Adviser, provides discretionary and non-discretionary investment management services and products to corporations, institutions and individual investors throughout the world. As a result, in the ordinary course of its businesses, BBH, including the Investment Adviser, may engage in activities in which its interests or the interests of its clients may conflict with or be adverse to the interests of the Funds. In addition, certain of such clients (including the Funds) utilize the services of BBH for which they will pay to BBH customary fees and expenses that will not be shared with the Funds.
The Investment Adviser and the Sub-Adviser have adopted and implemented policies and procedures that seek to manage conflicts of interest. Pursuant to such policies and procedures, the Investment Adviser and the Sub-Adviser monitor a variety of areas, including compliance with fund investment guidelines, the investment in only those securities that have been approved for purchase, and compliance with their respective Code of Ethics.
The Trust also manages these conflicts of interest. For example, the Trust has designated a chief compliance officer and has adopted and implemented policies and procedures designed to manage the conflicts identified below and other conflicts that may arise in the course of the Funds’ operations in such a way as to safeguard the Funds from being negatively affected as a result of any such potential conflicts. From time to time, the Trustees receive reports from the Investment Adviser, the Sub-Adviser and the Trust’s chief compliance officer on areas of potential conflict.
Investors should carefully review the following, which describes potential and actual conflicts of interest that BBH, the Investment Adviser and Sub-Adviser can face in the operation of their respective investment management services. This section is not, and is not intended to be, a complete enumeration or explanation of all of the potential conflicts of interest that may arise. The Investment Adviser, the Sub- Adviser and the Funds have adopted policies and procedures reasonably designed to appropriately prevent, limit or mitigate the conflicts of interest described below. Additional information about potential conflicts of interest regarding the Investment Adviser is set forth in the Investment Adviser’s Form ADV. A copy of Part 1 and Part 2A of the Investment Adviser’s Form ADV is available on the SEC’s website (www.adviserinfo.sec.gov). In addition, many of the activities that create these conflicts of interest are limited and/or prohibited by law, unless an exception is available.
Other Clients and Allocation of Investment Opportunities. BBH, the Investment Adviser, and the Sub-Adviser manage funds and accounts of clients other than the Funds (“Other Clients”). In general, BBH, the Investment Adviser, and the Sub-Adviser face conflicts of interest when they render investment advisory services to different clients and, from time to time, provide dissimilar investment advice to different clients. Investment decisions will not necessarily be made in parallel among the Funds and Other Clients. Investments made by the Funds do not, and are not intended to, replicate the investments, or the
28
BBH GLOBAL CORE SELECT
CONFLICTS OF INTEREST (continued)
April 30, 2020 (unaudited)
investment methods and strategies, of Other Clients. Accordingly, such Other Clients’ accounts may produce results that are materially different from those experienced by the Funds. Certain other conflicts of interest may arise in connection with a portfolio manager’s management of the Funds’ investments, on the one hand, and the investments of other funds or accounts for which the portfolio manager is responsible, on the other. For example, it is possible that the various funds or accounts managed by the Investment Adviser or Sub-Adviser could have different investment strategies that, at times, might conflict with one another to the possible detriment of the Funds. From time to time, the Investment Adviser and Sub-Adviser, sponsor and with other investment pools and accounts which engage in the same or similar businesses as the Funds using the same or similar investment strategies. To the extent that the same investment opportunities might be desirable for more than one account or fund, possible conflicts could arise in determining how to allocate them because the Investment Adviser or Sub-Adviser may have an incentive to allocate investment opportunities to certain accounts or funds. However, BBH and the Sub-Adviser have implemented policies and procedures designed to ensure that information relevant to investment decisions is disseminated promptly within its portfolio management teams and investment opportunities are allocated equitably among different clients. The policies and procedures require, among other things, objective allocation for limited investment opportunities, and documentation and review of justifications for any decisions to make investments only for select accounts or in a manner disproportionate to the size of the account. Nevertheless, access to investment opportunities may be allocated differently among accounts due to the particular characteristics of an account, such as size of the account, cash position, tax status, risk tolerance and investment restrictions or for other reasons.
Actual or potential conflicts of interest may also arise when a portfolio manager has management responsibilities to multiple accounts or funds, resulting in unequal commitment of time and attention to the portfolio management of the funds or accounts.
Affiliated Service Providers. Other potential conflicts might include conflicts between the Funds and its affiliated and unaffiliated service providers (e.g. conflicting duties of loyalty). In addition to providing investment management services through the SID, BBH provides administrative, custody, shareholder servicing and fund accounting services to the Funds. BBH may have conflicting duties of loyalty while servicing the Funds and/or opportunities to further its own interest to the detriment of the Funds. For example, in negotiating fee arrangements with affiliated service providers, BBH may have an incentive to agree to higher fees than it would in the case of unaffiliated providers. BBH acting in its capacity as the Funds’ administrator is the primary valuation agent of the Funds. BBH values securities and assets in the Funds according to the Funds’ valuation policies. Because the Investment Adviser’s advisory and administrative fees are calculated by reference to the Funds’ net assets, BBH and its affiliates may have an incentive to seek to overvalue certain assets.
29
BBH GLOBAL CORE SELECT
CONFLICTS OF INTEREST (continued)
April 30, 2020 (unaudited)
Aggregation. Potential conflicts of interest also arise with the aggregation of trade orders. Purchases and sales of securities for the Funds may be aggregated with orders for other client accounts managed by the Sub-Adviser. The Sub-Adviser, however, is not required to aggregate orders if portfolio management decisions for different accounts are made separately, or if it is determined that aggregating is not practicable, or in cases involving client direction. Prevailing trading activity frequently may make impossible the receipt of the same price or execution on the entire volume of securities purchased or sold. When this occurs, the various prices may be averaged, and the Funds will be charged or credited with the average price. Thus, the effect of the aggregation may operate on some occasions to the disadvantage of the Funds. In addition, under certain circumstances, the Funds will not be charged the same commission or commission equivalent rates in connection with an aggregated order.
Cross Trades. Under certain circumstances, the Investment Adviser and/or the Sub-Adviser, on behalf of the Funds, may seek to buy from or sell securities to another fund or account advised by BBH, the Investment Adviser or the Sub-Adviser. Subject to applicable law and regulation, BBH, the Investment Adviser or the Sub-Adviser may (but is not required to) effect purchases and sales between BBH, the Investment Adviser or the Sub-Adviser’s clients (“cross trades”), including the Funds, if BBH, the Investment Adviser or the Sub-Adviser believe such transactions are appropriate based on each party’s investment objectives and guidelines. There may be potential conflicts of interest or regulatory issues relating to these transactions which could limit the Investment Adviser or the Sub-Adviser’s decision to engage in these transactions for the Funds. BBH, the Investment Adviser and/or the Sub-Adviser may have a potentially conflicting division of loyalties and responsibilities to the parties in such transactions.
Soft Dollars. The Investment Adviser may direct brokerage transactions and/or payment of a portion of client commissions (“soft dollars”) to specific brokers or dealers or other providers to pay for research or other appropriate services which provide, in the Investment Adviser’s view, appropriate assistance in the investment decision-making process (including with respect to futures, fixed price offerings and over-the- counter transactions). The use of a broker that provides research and securities transaction services may result in a higher commission than that offered by a broker who does not provide such services. The Investment Adviser will determine in good faith whether the amount of commission is reasonable in relation to the value of research and services provided and whether the services provide lawful and appropriate assistance in its investment decision-making responsibilities.
Research or other services obtained in this manner may be used in servicing any or all of the Funds and other accounts managed by the Investment Adviser, including in connection with accounts that do not pay commissions to the broker related to the research or other service arrangements. Such products and services may disproportionately benefit other client accounts relative to the Funds based on the amount of brokerage commissions paid by the Funds and such other accounts. To the extent that the Sub-Adviser uses soft dollars, it will not have to pay for those products and services itself.
30
BBH GLOBAL CORE SELECT
CONFLICTS OF INTEREST (continued)
April 30, 2020 (unaudited)
BBH may receive research that is bundled with the trade execution, clearing, and/or settlement services provided by a particular broker-dealer. To the extent that the Sub-Adviser receives research on this basis, many of the same conflicts related to traditional soft dollars may exist. For example, the research effectively will be paid by client commissions that also will be used to pay for the execution, clearing, and settlement services provided by the broker-dealer and will not be paid by the Sub-Adviser.
Arrangements regarding compensation and delegation of responsibility may create conflicts relating to selection of brokers or dealers to execute Fund portfolio trades and/or specific uses of commissions from Fund portfolio trades, administration of investment advice and valuation of securities.
Investments in BBH Funds. From time to time BBH may invest a portion of the assets of its discretionary investment advisory clients in the Funds. That investment by BBH on behalf of its discretionary investment advisory clients in the Funds may be significant at times.
Increasing a Fund’s assets may enhance investment flexibility and diversification and may contribute to economies of scale that tend to reduce the Funds’ expense ratio. In selecting the Funds for its discretionary investment advisory clients, BBH may limit its selection to funds managed by BBH or the Investment Adviser. BBH may not consider or canvass the universe of unaffiliated investment companies available, even though there may be unaffiliated investment companies that may be more appropriate or that have superior performance. BBH, the Investment Adviser and their affiliates providing services to the Funds benefit from additional fees when the Funds is included as an investment by a discretionary investment advisory client.
BBH reserves the right to redeem at any time some or all of the shares of the Funds acquired for its discretionary investment advisory clients’ accounts. A large redemption of shares of the Funds by BBH on behalf of its discretionary investment advisory clients could significantly reduce the asset size of the Funds, which might have an adverse effect on the Funds’ investment flexibility, portfolio diversification and expense ratio.
Valuation. When market quotations are not readily available, or are believed by BBH to be unreliable, the Funds’ investments will be valued at fair value by BBH pursuant to procedures adopted by the Funds’ Board of Trustees. When determining an asset’s “fair value”, BBH seeks to determine the price that a Fund might reasonably expect to receive from the current sale of that asset in an arm’s-length transaction. The price generally may not be determined based on what the Funds might reasonably expect to receive for selling an asset at a later time or if it holds the asset to maturity. While fair value determinations will be based upon all available factors that BBH deems relevant at the time of the determination and may be based on analytical values determined by BBH using proprietary or third-party valuation models, fair value represents only a good faith approximation of the value of a security. The fair value of one or more
31
BBH GLOBAL CORE SELECT
CONFLICTS OF INTEREST (continued)
April 30, 2020 (unaudited)
securities may not, in retrospect, be the price at which those assets could have been sold during the period in which the particular fair values were used in determining the Funds’ net asset value. As a result, the Funds’ sale or redemption of its shares at net asset value, at a time when a holding or holdings are valued by BBH (pursuant to Board-adopted procedures) at fair value, may have the effect of diluting or increasing the economic interest of existing shareholders.
Referral Arrangements. BBH may enter into advisory and/or referral arrangements with third parties. Such arrangements may include compensation paid by BBH to the third party. BBH may pay a solicitation fee for referrals and/or advisory or incentive fees. BBH may benefit from increased amounts of assets under management.
Personal Trading. BBH, including the Investment Adviser, and any of their respective partners, principals, directors, officers, employees, affiliates or agents, face conflicts of interest when transacting in securities for their own accounts because they could benefit by trading in the same securities as the Funds, which could have an adverse effect on the Funds. However, the Investment Adviser has implemented policies and procedures concerning personal trading by BBH Partners and employees. The policy and procedures are intended to prevent BBH Partners and employees from trading in the same securities as the Funds. However, BBH, including the Investment Adviser, has implemented policies and procedures concerning personal trading by BBH Partners and employees. The policies and procedures are intended to prevent BBH Partners and employees with access to Fund material non-public information from trading in the same securities as the Funds.
Gifts and Entertainment. From time to time, employees of BBH, including the Investment Adviser, and any of their respective partners, principals, directors, officers, employees, affiliates or agents, may receive gifts and/or entertainment from clients, intermediaries, or service providers to the Funds or BBH, including the Investment Adviser, which could have the appearance of affecting or may potentially affect the judgment of the employees, or the manner in which they conduct business. The Investment Adviser has implemented policies and procedures concerning gifts and entertainment to mitigate any impact on the judgment of BBH Partners and employees. BBH, including the Investment Adviser, has implemented policies and procedures concerning gifts and entertainment to mitigate any impact on the judgment of BBH Partners and employees.
32
BBH GLOBAL CORE SELECT
STATEMENT REGARDING LIQUIDITY RISK MANGEMENT PROGRAM
April 30, 2020 (unaudited)
The Securities and Exchange Commission adopted Rule 22e-4 under the Investment Company Act of 1940, as amended (the “Liquidity Rule”) to promote effective liquidity risk management throughout the open-end investment company industry in order to reduce the risk that funds will be unable to meet their redemption obligations and mitigate dilution of the interests of fund shareholders.
The Board of Trustees (the “Board”) of BBH Trust met on March 11, 2020 to review the liquidity risk management program (the “Program”) applicable to the funds of BBH Trust (the “Funds”) pursuant to the Liquidity Rule. The Board has appointed three members of the Brown Brothers Harriman & Co. Mutual Fund Advisory Department, the Investment Adviser to the Funds, as the Program Administrator for each Fund’s Program. The Program Administrator provided the Board with a report (the “Report”) that addressed the operations of the Program and assessed its adequacy and effectiveness of the Program. The Report covered the period from June 1, 2019 through January 31, 2020.
The Report noted that the Program complied with the key factors for consideration under the Liquidity Rule for assessing, managing and periodically reviewing a Fund’s liquidity risk, including the following points.
Liquidity classification. The Report described the Program’s liquidity classification methodology for categorizing the Funds’ investments into one of four liquidity buckets.
Highly Liquid Investment Minimum. The Report noted that one aspect of the Liquidity Rule is a requirement that funds that are expected to have less than 50% of assets classified as other than “highly liquid” should establish a minimum percentage of highly liquid assets that the fund is expected to hold on an on-going basis. The Program Administrator monitors the percentages of assets in each category on an ongoing basis and, given that no Fund has approached the 50% threshold, has made the determination that it is not necessary to assign a Highly Liquid Investment Minimum as provided for in the Liquidity Rule to any of the Funds.
The Fund’s investment strategy and liquidity of portfolio investments during normal and reasonably foreseeable stressed market conditions. During the Program reporting period, the Program Administrator reviewed whether each Fund’s investment strategy is appropriate for an open-end fund structure with a focus on Funds with more significant and consistent holdings of less liquid and illiquid assets and factored a Fund’s concentration in an issuer into the liquidity classification methodology by taking issuer position sizes into account.
Short-term and long-term cash flow projections during normal and reasonably foreseeable stressed market conditions. During the Program reporting period, the Program Administrator reviewed historical redemption activity and used this information as a component to establish each Fund’s reasonably anticipated trading size.
33
BBH GLOBAL CORE SELECT
STATEMENT REGARDING LIQUIDITY RISK MANGEMENT PROGRAM (continued)
April 30, 2020 (unaudited)
The Program Administrator also took into consideration other factors such as shareholder ownership concentration, applicable distribution channels and the degree of certainty associated with a Fund’s short-term and long-term cash flow projections.
Holdings of cash and cash equivalents. The Program Administrator considered the degree to which each Fund held cash and cash equivalents as a component of each Fund’s ability to meet redemption requests.
There were no material changes to the Program during the reporting period. The report provided to the Board stated that the Program Administrator concluded that based on the operation of the Program during the reporting period, the Program is operating as intended and is effective in implementing the requirements of the Liquidity Rule.
34
Administrator Brown Brothers Harriman & Co. 140 Broadway New York, NY 10005 | Investment Adviser Brown Brothers Harriman Mutual Fund Advisory Department 140 Broadway | ||
Distributor ALPS Distributors, Inc. 1290 Broadway, Suite 1100 Denver, Co 80203
| New York, NY 10005 | ||
Shareholder Servicing Agent Brown Brothers Harriman & Co. 140 Broadway New York, NY 10005 1-800-575-1265 |
To obtain information or make shareholder inquiries: |
By telephone: By e-mail send your request to: On the internet: | Call 1-800-575-1265 bbhfunds@bbh.com www.bbhfunds.com |
This report is submitted for the general information of shareholders and is not authorized for distribution to prospective investors unless preceded or accompanied by an effective prospectus. Nothing herein contained is to be considered an offer of sale or a solicitation of an offer to buy shares of the Fund.
For more complete information, visit www.bbhfunds.com for a prospectus. You should consider the Fund's investment objectives, risks, charges and expenses carefully before you invest. Information about these and other important subjects is in the Fund's prospectus, which you should read carefully before investing.
Holdings and allocations are subject to change. Fund holdings should not be relied on in making investment decisions and should not be construed as research or investment advice regarding particular securities. Current and future holdings are subject to risk.
The Fund files a complete schedule of portfolio holdings with the Securities and Exchange Commission (SEC) for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT. The Fund’s Forms N-PORT are available electronically on the SEC’s website (sec.gov). For a complete list of a fund's portfolio holdings, view the most recent holdings listing, semi-annual report, or annual report on the Fund’s web site at http://www.bbhfunds.com.
A summary of the Fund’s Proxy Voting Policy that the Fund uses to determine how to vote proxies, if any, relating to securities held in the Fund’s portfolio, as well as a record of how the Fund voted any such proxies during the most recent 12-month period ended June 30, is available, without charge, upon request by calling the toll-free number listed above. This information is also available on the SEC’s website at www.sec.gov.
NOT FDIC INSURED NO BANK GUARANTEE MAY LOSE VALUE
BBH PARTNER FUND – INTERNATIONAL EQUITY
PORTFOLIO ALLOCATION
April 30, 2020 (unaudited)
U.S. $ Value | Percent of Net Assets | |||||||||
Common Stock: | ||||||||||
Australia | $ | 32,848,623 | 1.9 | % | ||||||
Bermuda | 40,220,701 | 2.4 | ||||||||
Canada | 97,914,342 | 5.7 | ||||||||
Cayman Islands | 163,888,490 | 9.5 | ||||||||
France | 204,640,567 | 12.0 | ||||||||
Germany | 206,537,100 | 12.0 | ||||||||
Hong Kong | 53,656,874 | 3.1 | ||||||||
Ireland | 66,526,526 | 3.9 | ||||||||
Japan | 129,297,949 | 7.5 | ||||||||
Luxembourg | 23,665,079 | 1.4 | ||||||||
Netherlands | 162,211,506 | 9.4 | ||||||||
South Korea | 20,789,454 | 1.2 | ||||||||
Spain | 53,653,180 | 3.1 | ||||||||
Sweden | 12,084,929 | 0.7 | ||||||||
Switzerland | 170,420,961 | 10.0 | ||||||||
Taiwan | 24,902,881 | 1.5 | ||||||||
United Kingdom | 60,272,768 | 3.5 | ||||||||
United States | 78,495,819 | 4.6 | ||||||||
Registered Investment Companies: | ||||||||||
United States | 75,350,000 | 4.4 | ||||||||
Cash and Other Assets in Excess of Liabilities | 36,914,085 | 2.2 | ||||||||
NET ASSETS | $ | 1,714,291,834 | 100.0 | % |
The accompanying notes are an integral part of these financial statements.
BBH PARTNER FUND – INTERNATIONAL EQUITY
PORTFOLIO ALLOCATION (continued)
April 30, 2020 (unaudited)
U.S. $ Value | Percent of Net Assets | |||||||||
Common Stock: | ||||||||||
Communications | $ | 187,553,569 | 10.9 | % | ||||||
Consumer Cyclical | 149,144,816 | 8.7 | ||||||||
Consumer Non-Cyclical | 543,008,986 | 31.7 | ||||||||
Financials | 151,743,933 | 8.8 | ||||||||
Industrials | 166,460,005 | 9.7 | ||||||||
Technology | 404,116,440 | 23.6 | ||||||||
Registered Investment Companies | 75,350,000 | 4.4 | ||||||||
Cash and Other Assets in Excess of Liabilities | 36,914,085 | 2.2 | ||||||||
NET ASSETS | $ | 1,714,291,834 | 100.0 | % |
The accompanying notes are an integral part of these financial statements.
BBH PARTNER FUND – INTERNATIONAL EQUITY
PORTFOLIO OF INVESTMENTS
April 30, 2020 (unaudited)
Shares/ Units | Value | |||||||||
COMMON STOCK (93.4%) | ||||||||||
AUSTRALIA (1.9%) | ||||||||||
CONSUMER NON-CYCLICAL | ||||||||||
165,658 | CSL, Ltd. | $ | 32,848,623 | |||||||
Total Australia | 32,848,623 | |||||||||
BERMUDA (2.4%) | ||||||||||
CONSUMER NON-CYCLICAL | ||||||||||
597,633 | IHS Markit, Ltd. | 40,220,701 | ||||||||
Total Bermuda | 40,220,701 | |||||||||
CANADA (5.7%) | ||||||||||
CONSUMER CYCLICAL | ||||||||||
1,678,496 | Alimentation Couche-Tard, Inc. (Class B) | 46,843,993 | ||||||||
TECHNOLOGY | ||||||||||
53,099 | Constellation Software, Inc. | 51,070,349 | ||||||||
Total Canada | 97,914,342 | |||||||||
CAYMAN ISLANDS (9.5%) | ||||||||||
COMMUNICATIONS | ||||||||||
272,166 | Alibaba Group Holding, Ltd. ADR1 | 55,159,883 | ||||||||
2,049,205 | Tencent Holdings, Ltd. | 108,728,607 | ||||||||
Total Cayman Islands | 163,888,490 | |||||||||
FRANCE (12.0%) | ||||||||||
CONSUMER CYCLICAL | ||||||||||
52,203 | LVMH Moet Hennessy Louis Vuitton SE | 20,148,280 | ||||||||
CONSUMER NON-CYCLICAL | ||||||||||
193,567 | EssilorLuxottica S.A. | 23,872,279 | ||||||||
130,322 | L’Oreal S.A. | 37,845,660 | ||||||||
223,274 | Pernod Ricard S.A. | 33,995,004 | ||||||||
95,712,943 | ||||||||||
INDUSTRIALS | ||||||||||
428,837 | Safran S.A. | 39,556,747 |
The accompanying notes are an integral part of these financial statements.
BBH PARTNER FUND – INTERNATIONAL EQUITY
PORTFOLIO OF INVESTMENTS (continued)
April 30, 2020 (unaudited)
Shares/ Units | Value | |||||||||
COMMON STOCK (continued) | ||||||||||
FRANCE (continued) | ||||||||||
TECHNOLOGY | ||||||||||
320,706 | Capgemini SE | $ | 30,098,972 | |||||||
130,813 | Dassault Systemes SE | 19,123,625 | ||||||||
49,222,597 | ||||||||||
Total France | 204,640,567 | |||||||||
GERMANY (12.0%) | ||||||||||
CONSUMER CYCLICAL | ||||||||||
153,026 | Adidas AG | 34,952,278 | ||||||||
CONSUMER NON-CYCLICAL | ||||||||||
563,657 | Merck KGaA1 | 65,556,554 | ||||||||
TECHNOLOGY | ||||||||||
890,904 | SAP SE | 106,028,268 | ||||||||
Total Germany | 206,537,100 | |||||||||
HONG KONG (3.1%) | ||||||||||
FINANCIALS | ||||||||||
5,894,125 | AIA Group, Ltd. | 53,656,874 | ||||||||
Total Hong Kong | 53,656,874 | |||||||||
IRELAND (3.9%) | ||||||||||
INDUSTRIALS | ||||||||||
1,349,515 | CRH, Plc. | 40,711,410 | ||||||||
TECHNOLOGY | ||||||||||
139,398 | Accenture, Plc. (Class A) | 25,815,116 | ||||||||
Total Ireland | 66,526,526 | |||||||||
JAPAN (7.5%) | ||||||||||
CONSUMER NON-CYCLICAL | ||||||||||
892,965 | Shiseido Co., Ltd. | 52,862,959 | ||||||||
INDUSTRIALS | ||||||||||
101,695 | Hoya Corp. | 9,326,648 | ||||||||
94,293 | Keyence Corp. | 33,996,481 | ||||||||
43,323,129 |
The accompanying notes are an integral part of these financial statements.
BBH PARTNER FUND – INTERNATIONAL EQUITY
PORTFOLIO OF INVESTMENTS (continued)
April 30, 2020 (unaudited)
Shares/ Units | Value | |||||||||
COMMON STOCK (continued) | ||||||||||
JAPAN (continued) | ||||||||||
TECHNOLOGY | ||||||||||
220,330 | Obic Co., Ltd. | $ | 33,111,861 | |||||||
Total Japan | 129,297,949 | |||||||||
LUXEMBOURG (1.4%) | ||||||||||
COMMUNICATIONS | ||||||||||
156,133 | Spotify Technology S.A.1 | 23,665,079 | ||||||||
Total Luxembourg | 23,665,079 | |||||||||
NETHERLANDS (9.4%) | ||||||||||
CONSUMER NON-CYCLICAL | ||||||||||
58,391 | Adyen NV1,2 | 57,316,326 | ||||||||
620,437 | Koninklijke Philips NV | 26,983,922 | ||||||||
84,300,248 | ||||||||||
TECHNOLOGY | ||||||||||
262,848 | ASML Holding NV | 77,911,258 | ||||||||
Total Netherlands | 162,211,506 | |||||||||
SOUTH KOREA (1.2%) | ||||||||||
CONSUMER NON-CYCLICAL | ||||||||||
18,292 | LG Household & Health Care, Ltd. | 20,789,454 | ||||||||
Total South Korea | 20,789,454 | |||||||||
SPAIN (3.1%) | ||||||||||
CONSUMER NON-CYCLICAL | ||||||||||
1,115,863 | Amadeus IT Group S.A. | 53,653,180 | ||||||||
Total Spain | 53,653,180 | |||||||||
SWEDEN (0.7%) | ||||||||||
INDUSTRIALS | ||||||||||
243,259 | Hexagon AB (Class B) | 12,084,929 | ||||||||
Total Sweden | 12,084,929 |
The accompanying notes are an integral part of these financial statements.
BBH PARTNER FUND – INTERNATIONAL EQUITY
PORTFOLIO OF INVESTMENTS (continued)
April 30, 2020 (unaudited)
Shares/ Units | Value | |||||||||
COMMON STOCK (continued) | ||||||||||
SWITZERLAND (10.0%) | ||||||||||
CONSUMER CYCLICAL | ||||||||||
431,181 | Cie Financiere Richemont S.A. | $ | 24,477,713 | |||||||
CONSUMER NON-CYCLICAL | ||||||||||
1,067,231 | Alcon, Inc.1 | 56,276,424 | ||||||||
189,558 | Nestle S.A. | 19,985,857 | ||||||||
76,262,281 | ||||||||||
FINANCIALS | ||||||||||
74,500 | Partners Group Holding AG | 58,616,334 | ||||||||
INDUSTRIALS | ||||||||||
66,930 | Sika AG | 11,064,633 | ||||||||
Total Switzerland | 170,420,961 | |||||||||
TAIWAN (1.5%) | ||||||||||
TECHNOLOGY | ||||||||||
468,716 | Taiwan Semiconductor Manufacturing Co., Ltd. ADR | 24,902,881 | ||||||||
Total Taiwan | 24,902,881 | |||||||||
UNITED KINGDOM (3.5%) | ||||||||||
CONSUMER NON-CYCLICAL | ||||||||||
918,169 | RELX, Plc. | 20,802,043 | ||||||||
FINANCIALS | ||||||||||
31,343,923 | Melrose Industries, Plc. | 39,470,725 | ||||||||
Total United Kingdom | 60,272,768 | |||||||||
UNITED STATES (4.6%) | ||||||||||
CONSUMER CYCLICAL | ||||||||||
101,676 | Lululemon Athletica, Inc.1 | 22,722,552 | ||||||||
INDUSTRIALS | ||||||||||
27,390 | Mettler-Toledo International, Inc.1 | 19,719,157 | ||||||||
TECHNOLOGY | ||||||||||
273,365 | Fidelity National Information Services, Inc. | 36,054,110 | ||||||||
Total United States | 78,495,819 | |||||||||
Total Common Stock (Cost $1,479,555,558) | 1,602,027,749 |
The accompanying notes are an integral part of these financial statements.
BBH PARTNER FUND – INTERNATIONAL EQUITY
PORTFOLIO OF INVESTMENTS (continued)
April 30, 2020 (unaudited)
Shares/ Units | Value | |||||||||
REGISTERED INVESTMENT COMPANIES (4.4%) | ||||||||||
75,350,000 | Morgan Stanley Institutional Liquidity Funds — Treasury Securities Portfolio, Institutional Share Class | $ | 75,350,000 | |||||||
Total Registered Investment Companies (Cost $75,350,000) | 75,350,000 |
TOTAL INVESTMENTS (Cost $1,554,905,558)3 | 97.8 | % | $ | 1,677,377,749 | ||||||
CASH AND OTHER ASSETS IN EXCESS OF LIABILITIES | 2.2 | % | 36,914,085 | |||||||
NET ASSETS | 100.00 | % | $ | 1,714,291,834 |
1 | Non-income producing security. |
2 | Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. Total market value of Rule 144A securities owned at April 30, 2020 was $ 57,316,326 or 3.3% of net assets. |
3 | The aggregate cost for federal income tax purposes is $1,554,905,558, the aggregate gross unrealized appreciation is $224,715,610 and the aggregate gross unrealized depreciation is $102,243,419, resulting in net unrealized appreciation of $122,472,191. |
The accompanying notes are an integral part of these financial statements.
BBH PARTNER FUND – INTERNATIONAL EQUITY
PORTFOLIO OF INVESTMENTS (continued)
April 30, 2020 (unaudited)
— | Level 1 – unadjusted quoted prices in active markets for identical assets and liabilities. |
— | Level 2 – significant other observable inputs (including quoted prices for similar assets and liabilities, interest rates, prepayment speeds, credit risk, etc.). |
— | Level 3 – significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of assets and liabilities). |
The accompanying notes are an integral part of these financial statements.
BBH PARTNER FUND – INTERNATIONAL EQUITY
PORTFOLIO OF INVESTMENTS (continued)
April 30, 2020 (unaudited)
The accompanying notes are an integral part of these financial statements.
BBH PARTNER FUND – INTERNATIONAL EQUITY
PORTFOLIO OF INVESTMENTS (continued)
April 30, 2020 (unaudited)
Investments, at value | Unadjusted Quoted Prices in Active Markets for Identical Investments (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Balance as of April 30, 2020 | ||||||||||||||
Common Stock: | ||||||||||||||||||
Australia | $ | — | $ | 32,848,623 | $ | — | $ | 32,848,623 | ||||||||||
Bermuda | 40,220,701 | — | — | 40,220,701 | ||||||||||||||
Canada | 97,914,342 | — | — | 97,914,342 | ||||||||||||||
Cayman Islands | 55,159,883 | 108,728,607 | — | 163,888,490 | ||||||||||||||
France | — | 204,640,567 | — | 204,640,567 | ||||||||||||||
Germany | — | 206,537,100 | — | 206,537,100 | ||||||||||||||
Hong Kong | — | 53,656,874 | — | 53,656,874 | ||||||||||||||
Ireland | 25,815,116 | 40,711,410 | — | 66,526,526 | ||||||||||||||
Japan | — | 129,297,949 | — | 129,297,949 | ||||||||||||||
Luxembourg | 23,665,079 | — | — | 23,665,079 | ||||||||||||||
Netherlands | — | 162,211,506 | — | 162,211,506 | ||||||||||||||
South Korea | — | 20,789,454 | — | 20,789,454 | ||||||||||||||
Spain | — | 53,653,180 | — | 53,653,180 | ||||||||||||||
Sweden | — | 12,084,929 | — | 12,084,929 | ||||||||||||||
Switzerland | — | 170,420,961 | — | 170,420,961 | ||||||||||||||
Taiwan | 24,902,881 | — | �� | 24,902,881 | ||||||||||||||
United Kingdom | — | 60,272,768 | — | 60,272,768 | ||||||||||||||
United States | 78,495,819 | — | — | 78,495,819 | ||||||||||||||
Registered Investment Companies: | ||||||||||||||||||
United States | 75,350,000 | — | — | 75,350,000 | ||||||||||||||
Investments, at value | $ | 421,523,821 | $ | 1,255,853,928 | $ | — | $ | 1,677,377,749 |
The accompanying notes are an integral part of these financial statements.
BBH PARTNER FUND – INTERNATIONAL EQUITY
STATEMENT OF ASSETS AND LIABILITIES
April 30, 2020 (unaudited)
ASSETS: | ||||||
Investments in securities, at value (Cost $1,554,905,558) | $ | 1,677,377,749 | ||||
Cash | 34,323,267 | |||||
Foreign currency at value (Cost $488,027) | 490,712 | |||||
Receivables for: | ||||||
Investments sold | 6,616,249 | |||||
Dividends | 4,326,666 | |||||
Shares sold | 1,191,432 | |||||
Interest | 30,810 | |||||
Prepaid assets | 7,982 | |||||
Total Assets | 1,724,364,867 | |||||
LIABILITIES: | ||||||
Payables for: | ||||||
Investments purchased | 8,648,481 | |||||
Investment advisory and administrative fees | 878,105 | |||||
Shares redeemed | 283,500 | |||||
Custody and fund accounting fees | 192,201 | |||||
Professional fees | 52,487 | |||||
Transfer agent fees | 8,871 | |||||
Board of Trustees’ fees | 527 | |||||
Accrued expenses and other liabilities | 8,861 | |||||
Total Liabilities | 10,073,033 | |||||
NET ASSETS | $ | 1,714,291,834 | ||||
Net Assets Consist of: | ||||||
Paid-in capital | $ | 1,650,775,799 | ||||
Retained earnings | 63,516,035 | |||||
Net Assets | $ | 1,714,291,834 | ||||
NET ASSET VALUE AND OFFERING PRICE PER SHARE | ||||||
CLASS I SHARES | ||||||
($1,714,291,834 ÷ 115,556,611 shares outstanding) | $ | $14.84 |
The accompanying notes are an integral part of these financial statements.
BBH PARTNER FUND – INTERNATIONAL EQUITY
STATEMENT OF OPERATIONS
For the six months ended April 30, 2020 (unaudited)
NET INVESTMENT INCOME: | ||||||
Income: | ||||||
Dividends (net of foreign withholding taxes of $536,634) | $ | 7,389,957 | ||||
Interest income | 236,143 | |||||
Total Income | 7,626,100 | |||||
Expenses: | ||||||
Investment advisory and administrative fees | 5,864,550 | |||||
Custody and fund accounting fees | 286,153 | |||||
Professional fees | 42,973 | |||||
Board of Trustees’ fees | 30,416 | |||||
Transfer agent fees | 17,250 | |||||
Miscellaneous expenses | 54,826 | |||||
Total Expenses | 6,296,168 | |||||
Net Investment Income | 1,329,932 | |||||
NET REALIZED AND UNREALIZED LOSS: | ||||||
Net realized loss on investments in securities | (55,140,077 | ) | ||||
Net realized gain on foreign exchange transactions and translations | 468,265 | |||||
Net realized loss on investments in securities and foreign exchange transactions and translations | (54,671,812 | ) | ||||
Net change in unrealized appreciation/(depreciation) on investments in securities | (75,254,209 | ) | ||||
Net change in unrealized appreciation/(depreciation) on foreign currency translations | 54,265 | |||||
Net change in unrealized appreciation/(depreciation) on investments in securities and foreign currency translations | (75,199,944 | ) | ||||
Net Realized and Unrealized Loss | (129,871,756 | ) | ||||
Net Decrease in Net Assets Resulting from Operations | $ | (128,541,824 | ) |
The accompanying notes are an integral part of these financial statements.
BBH PARTNER FUND – INTERNATIONAL EQUITY
STATEMENTS OF CHANGES IN NET ASSETS
For the six months ended April 30, 2020 (unaudited) | For the year ended October 31, 2019 | |||||||||
INCREASE IN NET ASSETS: | ||||||||||
Operations: | ||||||||||
Net investment income | $ | 1,329,932 | $ | 10,510,311 | ||||||
Net realized gain (loss) on investments in securities and foreign exchange transactions and translations | (54,671,812 | ) | 16,497,449 | |||||||
Net change in unrealized appreciation/(depreciation) on investments in securities and foreign currency translations | (75,199,944 | ) | 215,694,369 | |||||||
Net increase (decrease) in net assets resulting from operations | (128,541,824 | ) | 242,702,129 | |||||||
Dividends and distributions declared: | ||||||||||
Class I | (30,519,179 | ) | (105,213,063 | ) | ||||||
Share transactions: | ||||||||||
Proceeds from sales of shares | 224,920,375 | 302,686,930 | ||||||||
Net asset value of shares issued to shareholders for reinvestment of dividends and distributions | 1,103,761 | 4,408,555 | ||||||||
Cost of shares redeemed | (142,865,612 | ) | (160,123,583 | ) | ||||||
Net increase in net assets resulting from share transactions | 83,158,524 | 146,971,902 | ||||||||
Total increase/(decrease) in net assets | (75,902,479 | ) | 284,460,968 | |||||||
NET ASSETS: | ||||||||||
Beginning of period | 1,790,194,313 | 1,505,733,345 | ||||||||
End of period | $ | 1,714,291,834 | $ | 1,790,194,313 |
The accompanying notes are an integral part of these financial statements.
BBH PARTNER FUND – INTERNATIONAL EQUITY
FINANCIAL HIGHLIGHTS
Selected per share data and ratios for a Class I share outstanding throughout each period.
For the six months ended April 30, 2020 (unaudited) | For the years ended October 31, | ||||||||||||||||||||||||||
2019 | 2018 | 2017* | 2016 | 2015 | |||||||||||||||||||||||
Net asset value, beginning of period | $ | 16.15 | $ | 14.90 | $ | 16.75 | $ | 14.46 | $ | 14.54 | $ | 15.16 | |||||||||||||||
Income from investment operations: | |||||||||||||||||||||||||||
Net investment income1 | 0.01 | 0.10 | 0.18 | 0.14 | 0.34 | 0.26 | |||||||||||||||||||||
Net realized and unrealized gain (loss) | (1.05 | ) | 2.19 | (0.83 | ) | 2.47 | (0.14 | ) | (0.49 | ) | |||||||||||||||||
Total income (loss) from investment operations | (1.04 | ) | 2.29 | (0.65 | ) | 2.61 | 0.20 | (0.23 | ) | ||||||||||||||||||
Less dividends and distributions: | |||||||||||||||||||||||||||
From net investment income | (0.09 | ) | (0.16 | ) | (0.10 | ) | (0.32 | ) | (0.28 | ) | (0.39 | ) | |||||||||||||||
From net realized gains | (0.18 | ) | (0.88 | ) | (1.10 | ) | – | – | – | ||||||||||||||||||
Total dividends and distributions | (0.27 | ) | (1.04 | ) | (1.20 | ) | (0.32 | ) | (0.28 | ) | (0.39 | ) | |||||||||||||||
Short-term redemption fees1 | – | – | – | 0.00 | 2 | 0.00 | 2 | 0.00 | 2 | ||||||||||||||||||
Net asset value, end of period | $ | 14.84 | $ | 16.15 | $ | 14.90 | $ | 16.75 | $ | 14.46 | $ | 14.54 | |||||||||||||||
Total return | (6.60 | )%3 | 16.92 | % | (4.12 | )% | 18.51 | % | 1.51 | % | (1.42 | )% | |||||||||||||||
Ratios/Supplemental data: | |||||||||||||||||||||||||||
Net assets, end of period (in millions) | $ | 1,714 | $ | 1,790 | $ | 1,506 | $ | 1,426 | $ | 914 | $ | 68 | |||||||||||||||
Ratio of expenses to average net assets before reductions | 0.70 | %4 | 0.71 | % | 0.68 | % | 0.74 | % | 0.85 | % | 0.89 | % | |||||||||||||||
Expense offset arrangement | 0.00 | %4 | 0.01 | % | 0.03 | % | 0.01 | % | 0.00 | %5 | 0.00 | %5 | |||||||||||||||
Ratio of expenses to average net assets after reductions | 0.70 | %4 | 0.70 | % | 0.65 | % | 0.73 | % | 0.85 | % | 0.89 | % | |||||||||||||||
Ratio of net investment income to average net assets | 0.15 | %4 | 0.66 | % | 1.15 | % | 0.91 | % | 2.41 | % | 1.77 | % | |||||||||||||||
Portfolio turnover rate | 47 | %3 | 135 | % | 124 | % | 130 | % | 12 | % | 18 | % |
* | Effective February 24, 2017 Class N shares were converted into Class I shares. |
1 | Calculated using average shares outstanding for the period. |
2 | Less than $0.01. |
3 | Not annualized. |
4 | Annualized. |
5 | Less than 0.01% |
The accompanying notes are an integral part of these financial statements.
BBH PARTNER FUND – INTERNATIONAL EQUITY
NOTES TO FINANCIAL STATEMENTS
April 30, 2020 (unaudited)
1. | Organization. The Fund is a separate, diversified series of BBH Trust (the “Trust”), which is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. The Trust was originally organized under the laws of the State of Maryland on July 16, 1990 as BBH Fund, Inc. and re-organized as a Delaware statutory trust on June 12, 2007. The Fund commenced operations on June 6, 1997. The Fund currently offers one class of shares designated as Class I shares. The investment objective of the Fund is long-term maximization of total return, primarily through capital appreciation. As of April 30, 2020, there were seven series of the Trust. |
2. | Significant Accounting Policies. The Fund’s financial statements are prepared in accordance with Generally Accepted Accounting Principles in the United States of America (“GAAP”). The Fund is an investment company and accordingly follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standard Codification Topic 946 Financial Services — Investment Companies. The following summarizes significant accounting policies of the Fund: |
A. | Valuation of Investments. (1) The value of investments listed on a securities exchange is based on the last sale price on that exchange prior to the time when assets are valued, or in the absence of recorded sales, at the average of readily available closing bid and asked prices on such exchange; (2) securities not traded on an exchange are valued at the average of the quoted bid and asked prices in the over-the-counter market; (3) securities or other assets for which market quotations are not readily available are valued at fair value in accordance with procedures established by and under the general supervision and responsibility of the Board of Trustees (the “Board”); (4) for securities traded on international exchanges, if events which may affect the value of the Fund’s securities occur after the close of the primary exchange on which such securities trade and before the Fund’s net asset value is next determined, then those securities will be fair valued as determined in good faith under supervision of the Board. The Fund currently uses a systematic fair value model provided by an independent third party to adjust the observed values of international securities on a daily basis; (5) short-term investments, which mature in 60 days or less are valued at amortized cost if their original maturity was 60 days or less, or by amortizing their value on the 61st day prior to maturity, if their original maturity when acquired by the Fund was more than 60 days, unless the use of amortized cost is determined not to represent “fair value” by the Board. |
B. | Accounting for Investments and Income. Investment transactions are accounted for on the trade date. Realized gains and losses on investment transactions are determined based on the identified cost method. Dividend income and other distributions received from portfolio securities are recorded on the ex-dividend date. Non-cash dividends included in dividend income, if any, are recorded at the fair market value of securities received at ex-date. Distributions received on |
BBH PARTNER FUND – INTERNATIONAL EQUITY
NOTES TO FINANCIAL STATEMENTS (continued)
April 30, 2020 (unaudited)
securities that represent a return of capital are recorded as a reduction of cost of investments. Distributions received on securities that represent a capital gain are recorded as a realized gain. Interest income is accrued daily. Investment income is recorded net of any foreign taxes withheld where recovery of such tax is uncertain. | ||
C. | Fund Expenses. Most expenses of the Trust can be directly attributed to a specific fund. Expenses which cannot be directly attributed to a fund are generally apportioned among each fund in the Trust on a net assets basis. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known. |
D. | Forward Foreign Currency Exchange Contracts. The Fund may enter into forward foreign currency exchange contracts (“Contracts”) in connection with planned purchases or sales of securities to economically hedge the U.S. dollar value of securities denominated in a particular currency, or to increase or shift its exposure to a currency other than U.S. dollars. The Fund has no specific limitation on the percentage of assets which may be committed to these types of Contracts. The Fund could be exposed to risks if the counterparties to the Contracts are unable to meet the terms of their Contracts or if the value of the foreign currency changes unfavorably. The U.S. dollar values of foreign currency underlying all contractual commitments held by the Fund are determined using forward foreign currency exchange rates supplied by a quotation service. During the six months ended April 30, 2020, the Fund had no open contracts. |
E. | Foreign Currency Translations. The accounting records of the Fund are maintained in U.S. dollars. Foreign currency amounts are translated into U.S. dollars at the current rate of exchange of such currency against the U.S. dollar to determine the value of investments, assets and liabilities. Purchases and sales of securities, and income and expenses are translated at the prevailing rate of exchange on the respective dates of such transactions. Upon the purchase or sale of a security denominated in foreign currency, the Fund may enter into forward foreign currency exchange contracts for the purchase or sale, for a fixed amount of U.S. dollars, of the amount of foreign currency involved in the underlying security transaction. Reported net realized gains and losses arise from the sales of portfolio securities, sales of foreign currencies, currency gains or losses realized between the trade and settlement dates on securities transactions, and the difference between the amounts of dividends, interest and foreign withholding taxes recorded on the Fund’s books and the U.S. dollar equivalent of the amounts actually received or paid. The effect of changes in foreign exchange rates on foreign denominated securities is reflected in the net realized and unrealized gain or loss on investments in securities and foreign exchange transactions and translations and net change in unrealized appreciation or depreciation on investments in securities and foreign currency translations within the Statement of Operations. Net unrealized appreciation or |
BBH PARTNER FUND – INTERNATIONAL EQUITY
NOTES TO FINANCIAL STATEMENTS (continued)
April 30, 2020 (unaudited)
depreciation on foreign currency translations arise from changes in the value of the assets and liabilities, excluding investments in securities, at period end, resulting from changes in the exchange rate. | ||
F. | Federal Income Taxes. The Fund may be subject to foreign taxes on income, gains on investments or currency repatriation, a portion of which may be recoverable. The Fund will accrue such taxes and recoveries, as applicable, based upon its current interpretation of tax rules and regulations that exist in the markets in which it invests. |
BBH PARTNER FUND – INTERNATIONAL EQUITY
NOTES TO FINANCIAL STATEMENTS (continued)
April 30, 2020 (unaudited)
prior three years. The Fund is not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months.
G. | Dividends and Distributions to Shareholders. Dividends and distributions from net investment income to shareholders, if any, are paid annually and are recorded on the ex-dividend date. Distributions from net capital gains, if any, are generally declared and paid annually and are recorded on the ex-dividend date. The Fund declared dividends and distributions in the amount of $30,519,179 to Class I shares during the six months ended April 30, 2020. In addition, the Fund designated a portion of the payment made to redeeming shareholders as a distribution for income tax purposes. |
Distributions paid from: | ||||||||||||||||||||||||
Ordinary income | Net long-term capital gain | Total taxable distributions | Tax return of capital | Total distributions paid | ||||||||||||||||||||
2019: | $ | 52,364,709 | $ | 52,848,354 | $ | 105,213,063 | $ | — | $ | 105,213,063 | ||||||||||||||
2018: | 17,240,637 | 85,674,766 | 102,915,403 | — | 102,915,403 |
Components of retained earnings/(accumulated deficit): | ||||||||||||||||||||||||||||
Undistributed ordinary income | Undistributed long-term capital gain | Accumulated capital and other losses | Other book/tax temporary differences | Unrealized appreciation/ (depreciation) | Total retained earnings/ (accumulated deficit) | |||||||||||||||||||||||
2019: | $ | 9,893,173 | $ | 20,608,301 | $ | — | $ | (5,630,070 | ) | $ | 197,705,634 | $ | 222,577,038 | |||||||||||||||
2018: | 52,353,382 | 52,846,121 | — | (1,602,445 | ) | (17,988,735 | ) | 85,608,323 |
BBH PARTNER FUND – INTERNATIONAL EQUITY
NOTES TO FINANCIAL STATEMENTS (continued)
April 30, 2020 (unaudited)
H. | Use of Estimates. The preparation of the financial statements in accordance with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities in the financial statements, disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increase and decrease in net assets from operations during the reporting period. Actual results could differ from these estimates. |
A. | Investment Advisory and Administrative Fees. Under a combined Investment Advisory and Administrative Services Agreement (“Agreement”) with the Trust, Brown Brothers Harriman & Co. (“BBH”) through a separately identifiable department (“SID” or “Investment Adviser”) provides investment advisory, portfolio management and administrative services to the Fund. BBH employs a “manager-of-managers” investment approach, whereby it allocates the Fund’s assets to the Fund’s sub-adviser, currently Select Equity Group, L.P. (“Select Equity Group” or the “Sub-adviser”). The Sub-adviser is responsible for investing the assets of the Fund and the Investment Adviser oversees the Sub-adviser and evaluates its performance results. The Fund’s investment advisory and administrative services fee is calculated daily and paid monthly at an annual rate equivalent to 0.65% per annum on the first $3 billion of average daily net assets and 0.60% per annum on all average daily net assets over $3 billion. The Investment Adviser pays its Sub-adviser a percentage from its investment advisory and administrative fees. For the six months ended April 30, 2020, the Fund incurred $5,864,550 for services under the Agreement. |
B. | Custody and Fund Accounting Fees. BBH acts as a custodian and fund accountant and receives custody and fund accounting fees from the Fund calculated daily and incurred monthly. BBH holds all of the Fund’s cash and investments and calculates the Fund’s daily net asset value. The custody fee is an asset and transaction-based fee. The fund accounting fee is an asset-based fee calculated at 0.004% of the Fund’s net asset value. For the six months ended April 30, 2020, the Fund incurred $286,153 in custody and fund accounting fees. As per agreement with the Fund’s custodian, the Fund receives interest income on cash balances held by the custodian at the BBH Base Rate. The |
BBH PARTNER FUND – INTERNATIONAL EQUITY
NOTES TO FINANCIAL STATEMENTS (continued)
April 30, 2020 (unaudited)
BBH Base Rate is defined as BBH’s effective trading rate in local money markets on each day. The total interest earned by the Fund for the six months ended April 30, 2020 was $236,143. This amount is included in “Interest income” in the Statement of Operations. In the event that the Fund is overdrawn, under the custody agreement with BBH, BBH will make overnight loans to the Fund to cover overdrafts. Pursuant to their agreement, the Fund will pay the Federal Funds overnight investment rate on the day of the overdraft. The total interest incurred by the Fund for the six months ended April 30, 2020, was $0. This amount is included under line item “Custody and fund accounting fees” in the Statement of Operations. | ||
C. | Board of Trustees’ Fees. Each Trustee who is not an “interested person” as defined under the 1940 Act receives an annual fee as well as reimbursement for reasonable out-of-pocket expenses from the Fund. For the six months ended April 30, 2020, the Fund incurred $30,416 in independent Trustee compensation and expense reimbursements. |
D. | Officers of the Trust. Officers of the Trust are also employees of BBH. Officers are paid no fees by the Trust for their services to the Trust. |
4. | Investment Transactions. For the six months ended April 30, 2020, the cost of purchases and the proceeds of sales of investment securities, other than short-term investments, were $960,239,535 and $709,541,741, respectively. |
5. | Shares of Beneficial Interest. The Trust is permitted to issue an unlimited number of Class I shares of beneficial interest, at no par value. Transactions in Class I shares were as follows: |
For the six months ended April 30, 2020 (unaudited) | For the year ended October 31, 2019 | ||||||||||||||||||
Shares | Dollars | Shares | Dollars | ||||||||||||||||
Class I | |||||||||||||||||||
Shares sold | 14,235,423 | $ | 224,920,375 | 20,226,132 | $ | 302,686,930 | |||||||||||||
Shares issued in connection with reinvestments of dividends | 66,491 | 1,103,761 | 332,220 | 4,408,555 | |||||||||||||||
Shares redeemed | (9,614,414 | ) | (142,865,612 | ) | (10,766,674 | ) | (160,123,583 | ) | |||||||||||
Net increase | 4,687,500 | $ | 83,158,524 | 9,791,678 | $ | 146,971,902 |
BBH PARTNER FUND – INTERNATIONAL EQUITY
NOTES TO FINANCIAL STATEMENTS (continued)
April 30, 2020 (unaudited)
A. | Principal Risk Factors. Investing in the Fund may involve certain risks, as discussed in the Fund’s prospectus, including, but not limited to, those described below: |
BBH PARTNER FUND – INTERNATIONAL EQUITY
NOTES TO FINANCIAL STATEMENTS (continued)
April 30, 2020 (unaudited)
B. | Indemnifications. Under the Trust’s organizational documents, its officers and Trustees may be indemnified against certain liabilities and expenses arising out of the performance of their duties to the Fund, and shareholders are indemnified against personal liability for the obligations of the Trust. Additionally, in the normal course of business, the Fund enters into agreements with service providers that may contain indemnification clauses. The Fund’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Fund that have not yet occurred. The risk of material loss from such claims is considered remote. |
7. | Significant Events. In the beginning of 2020, there was an outbreak of the novel corona virus (COVID 19) which has impacted the financial markets and the global economy as a whole. The outbreak of COVID 19 is still ongoing and the magnitude and impact on the financial markets is highly uncertain and cannot be predicted. The effect of this impact may adversely impact the future carrying value of investments and results of operations of the Fund. |
8. | Subsequent Events. Management has evaluated events and transactions that have occurred since April 30, 2020 through the date the financial statements were issued and determined that there were none that would require recognition or additional disclosure in the financial statements. |
BBH PARTNER FUND – INTERNATIONAL EQUITY
DISCLOSURE OF FUND EXPENSES
April 30, 2020 (unaudited)
BBH PARTNER FUND – INTERNATIONAL EQUITY
DISCLOSURE OF FUND EXPENSES (continued)
April 30, 2020 (unaudited)
Beginning Account Value November 1, 2019 | Ending Account Value April 30, 2020 | Expenses Paid During Period November 1, 2019 to April 30, 20201 | ||||||||||||
Class I | ||||||||||||||
Actual | $ | 1,000 | $ | 934 | $ | 3.37 | ||||||||
Hypothetical2 | $ | 1,000 | $ | 1,021 | $ | 3.52 |
1 | Expenses are equal to the Fund’s annualized expense ratio of 0.70% for I shares, multiplied by the average account value over the period, multiplied by 182/366 (to reflect the one-half year period). |
2 | Assumes a return of 5% before expenses. For the purposes of the calculation, the applicable annualized expenses ratio for each class of shares is subtracted from the assumed return before expenses. |
BBH PARTNER FUND – INTERNATIONAL EQUITY
DISCLOSURE OF ADVISOR SELECTION
April 30, 2020 (unaudited)
BBH PARTNER FUND – INTERNATIONAL EQUITY
DISCLOSURE OF ADVISOR SELECTION (continued)
April 30, 2020 (unaudited)
funds and performance compared to the relevant performance of comparative funds; (e) the sharing of potential economies of scale; (f) fall-out benefits to the Investment Adviser as a result of its relationship with the Fund; and (g) other factors deemed relevant by the Board. The following is a summary of the factors the Board considered in making its determination to approve the continuance of the Agreements. No single factor reviewed by the Board was identified as the principal factor in determining whether to approve the Advisory Agreement, and individual Trustees may have given different weight to various factors. The Board reviewed these factors with Fund Counsel. The Board concluded that the fees paid by the Fund to the Investment Adviser and Select Equity Group were reasonable based on the comparative performance, expense information, the cost of the services provided, and the profits realized by the Investment Adviser.
BBH PARTNER FUND – INTERNATIONAL EQUITY
DISCLOSURE OF ADVISOR SELECTION (continued)
April 30, 2020 (unaudited)
BBH PARTNER FUND – INTERNATIONAL EQUITY
DISCLOSURE OF ADVISOR SELECTION (continued)
April 30, 2020 (unaudited)
BBH PARTNER FUND – INTERNATIONAL EQUITY
CONFLICTS OF INTEREST
April 30, 2020 (unaudited)
BBH PARTNER FUND – INTERNATIONAL EQUITY
CONFLICTS OF INTEREST (continued)
April 30, 2020 (unaudited)
investment methods and strategies, of Other Clients. Accordingly, such Other Clients’ accounts may produce results that are materially different from those experienced by the Funds. Certain other conflicts of interest may arise in connection with a portfolio manager’s management of the Funds’ investments, on the one hand, and the investments of other funds or accounts for which the portfolio manager is responsible, on the other. For example, it is possible that the various funds or accounts managed by the Investment Adviser or Sub-Adviser could have different investment strategies that, at times, might conflict with one another to the possible detriment of the Funds. From time to time, the Investment Adviser and Sub-Adviser, sponsor and with other investment pools and accounts which engage in the same or similar businesses as the Funds using the same or similar investment strategies. To the extent that the same investment opportunities might be desirable for more than one account or fund, possible conflicts could arise in determining how to allocate them because the Investment Adviser or Sub-Adviser may have an incentive to allocate investment opportunities to certain accounts or funds. However, BBH and the Sub-Adviser have implemented policies and procedures designed to ensure that information relevant to investment decisions is disseminated promptly within its portfolio management teams and investment opportunities are allocated equitably among different clients. The policies and procedures require, among other things, objective allocation for limited investment opportunities, and documentation and review of justifications for any decisions to make investments only for select accounts or in a manner disproportionate to the size of the account. Nevertheless, access to investment opportunities may be allocated differently among accounts due to the particular characteristics of an account, such as size of the account, cash position, tax status, risk tolerance and investment restrictions or for other reasons.
BBH PARTNER FUND – INTERNATIONAL EQUITY
CONFLICTS OF INTEREST (continued)
April 30, 2020 (unaudited)
BBH PARTNER FUND – INTERNATIONAL EQUITY
CONFLICTS OF INTEREST (continued)
April 30, 2020 (unaudited)
BBH PARTNER FUND – INTERNATIONAL EQUITY
CONFLICTS OF INTEREST (continued)
April 30, 2020 (unaudited)
securities may not, in retrospect, be the price at which those assets could have been sold during the period in which the particular fair values were used in determining the Funds’ net asset value. As a result, the Funds’ sale or redemption of its shares at net asset value, at a time when a holding or holdings are valued by BBH (pursuant to Board-adopted procedures) at fair value, may have the effect of diluting or increasing the economic interest of existing shareholders.
BBH PARTNER FUND – INTERNATIONAL EQUITY
STATEMENT REGARDING LIQUIDITY RISK MANAGEMENT PROGRAM
April 30, 2020 (unaudited)
BBH PARTNER FUND – INTERNATIONAL EQUITY
STATEMENT REGARDING LIQUIDITY RISK MANAGEMENT PROGRAM (continued)
April 30, 2020 (unaudited)
The Program Administrator also took into consideration other factors such as shareholder ownership concentration, applicable distribution channels and the degree of certainty associated with a Fund’s short-term and long-term cash flow projections.
Administrator Brown Brothers Harriman & Co. 140 Broadway New York, NY 10005 Distributor ALPS Distributors, Inc. 1290 Broadway, Suite 1100 Denver, CO 80203 Shareholder Servicing Agent Brown Brothers Harriman & Co. 140 Broadway New York, NY 10005 1-800-575-1265 | Investment Adviser Brown Brothers Harriman Mutual Fund Advisory Department 140 Broadway New York, NY 10005 |
By telephone: | Call 1-800-575-1265 | |||||
By E-mail send your request to: | bbhfunds@bbh.com | |||||
On the internet: | www.bbhfunds.com |
BBH LIMITED DURATION FUND
PORTFOLIO ALLOCATION
April 30, 2020 (unaudited)
U.S. $ Value | Percent of Net Assets | |||||||||
Asset Backed Securities | $ | 2,313,659,091 | 34.6 | % | ||||||
Commercial Mortgage Backed Securities | 355,639,648 | 5.3 | ||||||||
Corporate Bonds | 2,333,089,426 | 34.8 | ||||||||
Loan Participations and Assignments | 607,691,633 | 9.1 | ||||||||
Municipal Bonds | 103,829,856 | 1.5 | ||||||||
Residential Mortgage Backed Securities | 113,525,624 | 1.7 | ||||||||
U.S. Government Agency Obligations | 45,381,719 | 0.7 | ||||||||
U.S. Treasury Bills | 882,464,859 | 13.2 | ||||||||
Liabilities in Excess of Other Assets | (59,438,334 | ) | (0.9 | ) | ||||||
NET ASSETS | $ | 6,695,843,522 | 100.0 | % |
The accompanying notes are an integral part of these financial statements.
BBH LIMITED DURATION FUND
PORTFOLIO OF INVESTMENTS
April 30, 2020 (unaudited)
Principal Amount | Maturity Date | Interest Rate | Value | |||||||||||||||
ASSET BACKED SECURITIES (34.6%) | ||||||||||||||||||
$ 14,797,880 | AIM Aviation Finance, Ltd. 2015-1A1 | 02/15/40 | 4.213 | % | $ | 11,069,584 | ||||||||||||
10,504,800 | Amur Equipment Finance Receivables V LLC 2018-1A1 | 12/20/23 | 3.240 | 10,546,609 | ||||||||||||||
14,929,274 | Amur Equipment Finance Receivables VI LLC 2018-2A1 | 07/20/22 | 3.890 | 15,151,022 | ||||||||||||||
17,190,000 | Amur Equipment Finance Receivables VII LLC 2019-1A1 | 06/20/24 | 2.630 | 17,299,488 | ||||||||||||||
630,738 | ARI Fleet Lease Trust 2017-A1 | 04/15/26 | 1.910 | 630,529 | ||||||||||||||
29,570,000 | BCC Funding Corp. XVI LLC 2019-1A1 | 08/20/24 | 2.460 | 28,953,702 | ||||||||||||||
15,702,931 | Business Jet Securities LLC 2018-11 | 02/15/33 | 4.335 | 13,563,059 | ||||||||||||||
35,846,417 | Business Jet Securities LLC 2018-21 | 06/15/33 | 4.447 | 30,352,993 | ||||||||||||||
23,575,863 | Capital Automotive LLC 2017-1A1 | 04/15/47 | 3.870 | 23,561,121 | ||||||||||||||
20,690,000 | CARS-DB4 LP 2020-1A1 | 02/15/50 | 3.190 | 19,889,181 | ||||||||||||||
24,274,563 | Cazenovia Creek Funding II LLC 2018-1A1 | 07/15/30 | 3.561 | 23,941,826 | ||||||||||||||
1,573,509 | CCG Receivables Trust 2017-11 | 11/14/23 | 1.840 | 1,573,209 | ||||||||||||||
3,060,041 | CCG Receivables Trust 2018-11 | 06/16/25 | 2.500 | 3,066,277 | ||||||||||||||
6,528,871 | Chesapeake Funding II LLC 2017-2A1 | 05/15/29 | 1.990 | 6,503,559 | ||||||||||||||
9,366,827 | Chesapeake Funding II LLC 2017-4A1 | 11/15/29 | 2.120 | 9,274,981 | ||||||||||||||
16,590,715 | Chesapeake Funding II LLC 2018-1A1 | 04/15/30 | 3.040 | 16,549,809 | ||||||||||||||
28,215,843 | Chesapeake Funding II LLC 2019-1A1 | 04/15/31 | 2.940 | 28,270,864 | ||||||||||||||
17,147,040 | Chesterfield Financial Holdings LLC 2014-1A1 | 12/15/34 | 4.500 | 16,764,181 | ||||||||||||||
11,943,506 | CIG Auto Receivables Trust 2019-1A1 | 08/15/24 | 3.330 | 11,916,743 | ||||||||||||||
7,124,927 | Credit Acceptance Auto Loan Trust 2017-2A1 | 02/17/26 | 2.550 | 7,127,654 | ||||||||||||||
10,950,201 | Credit Acceptance Auto Loan Trust 2017-3A1 | 06/15/26 | 2.650 | 10,955,948 | ||||||||||||||
18,960,000 | Credit Acceptance Auto Loan Trust 2019-3A1 | 11/15/28 | 2.380 | 18,809,300 | ||||||||||||||
9,405,429 | Daimler Trucks Retail Trust 2018-11 | 07/15/21 | 2.850 | 9,414,427 | ||||||||||||||
57,920,000 | Delamare Cards MTN Issuer, Plc. 2018-1A (1-Month USD-LIBOR + 0.700%)1,2 | 11/19/25 | 1.418 | 56,786,031 | ||||||||||||||
7,712,105 | Drive Auto Receivables Trust 2019-3 (1-Month USD-LIBOR + 0.380%)2 | 09/15/22 | 1.194 | 7,701,543 |
The accompanying notes are an integral part of these financial statements.
financial statements april 30, 2020 | 3 |
BBH LIMITED DURATION FUND
PORTFOLIO OF INVESTMENTS (continued)
April 30, 2020 (unaudited)
Principal Amount | Maturity Date | Interest Rate | Value | |||||||||||||||
ASSET BACKED SECURITIES (continued) | ||||||||||||||||||
$ 11,656,271 | Drive Auto Receivables Trust 2019-4 | 06/15/22 | 2.320 | % | $ | 11,679,814 | ||||||||||||
9,523,027 | ECAF I, Ltd. 2015-1A1 | 06/15/40 | 3.473 | 8,293,412 | ||||||||||||||
4,622,336 | Elm Trust 2016-1A1 | 06/20/25 | 4.163 | 4,633,871 | ||||||||||||||
23,340,000 | Elm Trust 2018-2A1 | 10/20/27 | 4.605 | 22,477,120 | ||||||||||||||
853,568 | Enterprise Fleet Financing LLC 2017-21 | 01/20/23 | 1.970 | 853,778 | ||||||||||||||
5,204,970 | Enterprise Fleet Financing LLC 2017-31 | 05/22/23 | 2.130 | 5,200,512 | ||||||||||||||
9,853,897 | Enterprise Fleet Financing LLC 2018-11 | 10/20/23 | 2.870 | 9,894,682 | ||||||||||||||
21,178,854 | Enterprise Fleet Financing LLC 2019-11 | 10/20/24 | 2.980 | 21,216,347 | ||||||||||||||
9,987,565 | Exeter Automobile Receivables Trust 2019-3A1 | 09/15/22 | 2.590 | 10,002,724 | ||||||||||||||
18,439,505 | Exeter Automobile Receivables Trust 2019-4A1 | 01/17/23 | 2.180 | 18,429,293 | ||||||||||||||
20,622,064 | Exeter Automobile Receivables Trust 2020-1A1 | 06/15/23 | 2.050 | 20,594,859 | ||||||||||||||
34,105,000 | FNA LLC 2019-1 | 12/10/31 | 3.000 | 32,399,750 | ||||||||||||||
44,320,000 | Ford Credit Floorplan Master Owner Trust A 2017-2 | 09/15/22 | 2.160 | 44,000,954 | ||||||||||||||
854,434 | Foursight Capital Automobile Receivables Trust 2017-11 | 04/15/22 | 2.370 | 853,868 | ||||||||||||||
2,197,366 | Foursight Capital Automobile Receivables Trust 2018-21 | 04/15/22 | 3.320 | 2,200,888 | ||||||||||||||
11,528,050 | Foursight Capital Automobile Receivables Trust 2019-11 | 03/15/23 | 2.580 | 11,577,744 | ||||||||||||||
18,000,000 | Foursight Capital Automobile Receivables Trust 2020-11 | 09/15/23 | 1.970 | 17,938,784 | ||||||||||||||
3,660,431 | FREED ABS Trust 2018-11 | 07/18/24 | 3.610 | 3,630,348 | ||||||||||||||
2,437,920 | FREED ABS Trust 2018-21 | 10/20/25 | 3.990 | 2,414,677 | ||||||||||||||
19,696,070 | FREED ABS Trust 2019-21 | 11/18/26 | 2.620 | 19,293,196 | ||||||||||||||
21,749,020 | FREED ABS Trust 2020-FP11 | 03/18/27 | 2.520 | 20,891,430 | ||||||||||||||
1,781,328 | GM Financial Consumer Automobile 2017-1A1 | 10/18/21 | 1.780 | 1,784,043 | ||||||||||||||
32,520,000 | GMF Floorplan Owner Revolving Trust 2017-21 | 07/15/22 | 2.130 | 32,534,627 | ||||||||||||||
24,690,000 | Hercules Capital Funding Trust 2018-1A1 | 11/22/27 | 4.605 | 24,777,025 | ||||||||||||||
6,175,738 | Hertz Fleet Lease Funding LP 2017-11 | 04/10/31 | 2.130 | 6,052,505 |
The accompanying notes are an integral part of these financial statements.
BBH LIMITED DURATION FUND
PORTFOLIO OF INVESTMENTS (continued)
April 30, 2020 (unaudited)
Principal Amount | Maturity Date | Interest Rate | Value | |||||||||||||||
ASSET BACKED SECURITIES (continued) | ||||||||||||||||||
$ 19,930,000 | Hertz Vehicle Financing LLC 2018-2A1 | 06/27/22 | 3.650 | % | $ | 18,536,706 | ||||||||||||
14,220,000 | Lendmark Funding Trust 2018-1A1 | 12/21/26 | 3.810 | 13,447,306 | ||||||||||||||
28,190,000 | Lendmark Funding Trust 2019-1A1 | 12/20/27 | 3.000 | 25,333,764 | ||||||||||||||
21,710,000 | Lendmark Funding Trust 2019-2A1 | 04/20/28 | 2.780 | 19,323,880 | ||||||||||||||
29,605,000 | Mariner Finance Issuance Trust 2018-AA1 | 11/20/30 | 4.200 | 28,259,148 | ||||||||||||||
12,620,000 | Mariner Finance Issuance Trust 2019-AA1 | 07/20/32 | 2.960 | 10,944,522 | ||||||||||||||
7,174,223 | MCA Fund II Holding LLC 2017-1 (3-Month USD-LIBOR + 1.650%)1,2 | 08/15/28 | 3.560 | 7,155,249 | ||||||||||||||
20,450,000 | MelTel Land Funding LLC 2019-1A1 | 04/15/49 | 3.768 | 20,495,149 | ||||||||||||||
2,891,250 | Motor Plc. 2017-1A (1-Month USD-LIBOR + 0.530%)1,2 | 09/25/24 | 1.017 | 2,889,368 | ||||||||||||||
2,448,662 | Nationstar HECM Loan Trust 2018-2A1,2,3 | 07/25/28 | 3.188 | 2,447,088 | ||||||||||||||
19,815,000 | Nationstar HECM Loan Trust 2018-3A1,2,3 | 11/25/28 | 3.903 | 19,453,172 | ||||||||||||||
18,583,228 | Nationstar HECM Loan Trust 2019-2A1,2,3 | 11/25/29 | 2.272 | 18,481,447 | ||||||||||||||
12,630,000 | Navistar Financial Dealer Note Master Owner Trust II 2019-1 (1-Month USD-LIBOR + 0.640%)1,2 | 05/25/24 | 1.127 | 12,370,715 | ||||||||||||||
19,000,000 | Neuberger Berman Loan Advisers Clo 36 Ltd. 2020-36A (3-Month USD-LIBOR + 1.700%)1,2 | 04/20/33 | 2.875 | 18,211,853 | ||||||||||||||
6,056,808 | New Mexico Educational Assistance Foundation 2013-1 (1-Month USD-LIBOR + 0.700%)2 | 01/02/25 | 1.685 | 5,997,209 | ||||||||||||||
7,418,407 | Newtek Small Business Loan Trust 2016-1A (1-Month USD-LIBOR + 3.000%)1,2 | 02/25/42 | 3.487 | 7,366,461 | ||||||||||||||
16,020,000 | NextGear Floorplan Master Owner Trust 2017-2A1 | 10/17/22 | 2.560 | 15,944,603 | ||||||||||||||
21,040,000 | NextGear Floorplan Master Owner Trust 2018-2A1 | 10/15/23 | 3.690 | 20,794,945 |
The accompanying notes are an integral part of these financial statements.
financial statements april 30, 2020 | 5 |
BBH LIMITED DURATION FUND
PORTFOLIO OF INVESTMENTS (continued)
April 30, 2020 (unaudited)
Principal Amount | Maturity Date | Interest Rate | Value | |||||||||||||||
ASSET BACKED SECURITIES (continued) | ||||||||||||||||||
$ 21,800,000 | NextGear Floorplan Master Owner Trust 2019-1A1 | 02/15/24 | 3.210 | % | $ | 20,936,330 | ||||||||||||
17,140,000 | NextGear Floorplan Master Owner Trust 2019-2A1 | 10/15/24 | 2.070 | 16,532,392 | ||||||||||||||
30,640,000 | NextGear Floorplan Master Owner Trust 2020-1A1 | 02/18/25 | 1.550 | 28,703,592 | ||||||||||||||
15,778,894 | NMEF Funding LLC 2019-A1 | 08/17/26 | 2.730 | 15,747,147 | ||||||||||||||
32,330,000 | NRZ Advance Receivables Trust 2019-T11 | 07/15/52 | 2.590 | 31,259,567 | ||||||||||||||
38,465,000 | OnDeck Asset Securitization Trust LLC 2018-1A1 | 04/18/22 | 3.500 | 38,465,581 | ||||||||||||||
25,020,000 | OneMain Financial Issuance Trust 2019-1A1 | 02/14/31 | 3.480 | 25,213,907 | ||||||||||||||
24,865,000 | Oportun Funding X LLC 2018-C1 | 10/08/24 | 4.100 | 23,003,862 | ||||||||||||||
44,890,000 | Oportun Funding XII LLC 2018-D1 | 12/09/24 | 4.150 | 42,205,722 | ||||||||||||||
26,430,000 | Oportun Funding XIII LLC 2019-A1 | 08/08/25 | 3.080 | 23,688,839 | ||||||||||||||
1,497,949 | OSCAR US Funding Trust IX LLC 2018-2A1 | 08/10/21 | 3.150 | 1,499,067 | ||||||||||||||
18,920,000 | OSCAR US Funding Trust IX LLC 2018-2A1 | 09/12/22 | 3.390 | 19,199,506 | ||||||||||||||
24,756,275 | OSCAR US Funding Trust X LLC 2019-1A1 | 04/11/22 | 3.100 | 24,926,542 | ||||||||||||||
13,441,896 | OSCAR US Funding Trust XI LLC 2019-2A1 | 08/10/22 | 2.490 | 13,512,895 | ||||||||||||||
2,833,404 | Oxford Finance Funding LLC 2016-1A1 | 06/17/24 | 3.968 | 2,835,097 | ||||||||||||||
20,000,000 | Palmer Square Loan Funding, Ltd. 2019-3A (3-Month USD-LIBOR + 1.600%)1,2 | 08/20/27 | 3.295 | 19,283,850 | ||||||||||||||
15,000,000 | Palmer Square Loan Funding, Ltd. 2019-4A (3-Month USD-LIBOR + 1.600%)1,2 | 10/24/27 | 2.620 | 14,331,355 | ||||||||||||||
45,380,000 | Pawnee Equipment Receivables Series LLC 2019-11 | 10/15/24 | 2.290 | 45,239,209 | ||||||||||||||
26,450,000 | PFS Financing Corp. 2017-BA1 | 07/15/22 | 2.220 | 26,442,454 | ||||||||||||||
34,310,000 | PFS Financing Corp. 2017-D1 | 10/17/22 | 2.400 | 33,991,785 |
The accompanying notes are an integral part of these financial statements.
BBH LIMITED DURATION FUND
PORTFOLIO OF INVESTMENTS (continued)
April 30, 2020 (unaudited)
Principal Amount | Maturity Date | Interest Rate | Value | |||||||||||||||
ASSET BACKED SECURITIES (continued) | ||||||||||||||||||
$ 21,680,000 | PFS Financing Corp. 2018-B1 | 02/15/23 | 2.890 | % | $ | 21,673,849 | ||||||||||||
18,200,000 | PFS Financing Corp. 2019-A1 | 04/15/24 | 2.860 | 17,736,721 | ||||||||||||||
27,650,000 | PFS Financing Corp. 2019-C1 | 10/15/24 | 2.230 | 26,935,250 | ||||||||||||||
17,940,000 | Regional Management Issuance Trust 2018-11 | 07/15/27 | 3.830 | 17,424,266 | ||||||||||||||
41,500,000 | Regional Management Issuance Trust 2018-21 | 01/18/28 | 4.560 | 39,149,278 | ||||||||||||||
27,400,000 | Republic Finance Issuance Trust 2019-A1 | 11/22/27 | 3.430 | 24,484,388 | ||||||||||||||
7,342,191 | RMF Buyout Issuance Trust 2018-11,2,3 | 11/25/28 | 3.436 | 7,338,832 | ||||||||||||||
10,736,935 | RMF Buyout Issuance Trust 2019-11,2,3 | 07/25/29 | 2.475 | 10,719,283 | ||||||||||||||
34,490,000 | Santander Revolving Auto Loan Trust 2019-A1 | 01/26/32 | 2.510 | 33,314,212 | ||||||||||||||
13,979,894 | SCF Equipment Leasing LLC 2019-1A1 | 03/20/23 | 3.040 | 13,961,801 | ||||||||||||||
23,350,789 | SCF Equipment Leasing LLC 2019-2A1 | 06/20/24 | 2.220 | 23,319,308 | ||||||||||||||
12,488,005 | Shenton Aircraft Investment I, Ltd. 2015-1A1 | 10/15/42 | 4.750 | 10,259,931 | ||||||||||||||
31,090,000 | SPS Servicer Advance Receivables Trust Advance Receivables Backed Notes 2019-T11 | 10/15/51 | 2.240 | 30,680,812 | ||||||||||||||
51,215,433 | Stack Infrastructure Issuer LLC 2019-1A1 | 02/25/44 | 4.540 | 51,454,399 | ||||||||||||||
30,805,000 | SWC Funding LLC 2018-1A1,4 | 08/15/33 | 4.750 | 32,678,850 | ||||||||||||||
10,862,500 | TAL Advantage V LLC 2014-3A1 | 11/21/39 | 3.270 | 10,469,752 | ||||||||||||||
2,010,667 | Tax Ease Funding LLC 2016-1A1 | 06/15/28 | 3.131 | 2,010,760 | ||||||||||||||
20,205,633 | Textainer Marine Containers V, Ltd. 2017-1A1 | 05/20/42 | 3.720 | 19,228,308 | ||||||||||||||
28,195,283 | Textainer Marine Containers V, Ltd. 2017-2A1 | 06/20/42 | 3.520 | 26,877,427 | ||||||||||||||
4,473,555 | THL Credit Wind River CLO, Ltd. 2012-1A (3-Month USD-LIBOR + 0.880%)1,2 | 01/15/26 | 2.099 | 4,418,880 | ||||||||||||||
32,040,000 | THL Credit Wind River CLO, Ltd. 2017-1A (3-Month USD-LIBOR + 1.140%)1,2 | 04/18/29 | 2.275 | 30,859,313 | ||||||||||||||
2,460,497 | TLF National Tax Lien Trust 2017-1A1 | 12/15/29 | 3.090 | 2,467,863 |
The accompanying notes are an integral part of these financial statements.
financial statements april 30, 2020 | 7 |
BBH LIMITED DURATION FUND
PORTFOLIO OF INVESTMENTS (continued)
April 30, 2020 (unaudited)
Principal Amount | Maturity Date | Interest Rate | Value | |||||||||||||||
ASSET BACKED SECURITIES (continued) | ||||||||||||||||||
$ 61,740,000 | Trafigura Securitisation Finance, Plc. 2017-1A1 | 12/15/20 | 2.470 | % | $ | 61,436,795 | ||||||||||||
27,390,000 | Trafigura Securitisation Finance, Plc. 2018-1A1 | 03/15/22 | 3.730 | 27,966,779 | ||||||||||||||
41,825,140 | Triton Container Finance IV LLC 2017-2A1 | 08/20/42 | 3.620 | 39,767,017 | ||||||||||||||
983,875 | Utah State Board of Regents 2011-1 (3-Month USD-LIBOR + 0.850%)2 | 05/01/29 | 2.613 | 982,143 | ||||||||||||||
1,049,013 | Veros Automobile Receivables Trust 2018-11 | 05/15/23 | 3.630 | 1,049,035 | ||||||||||||||
24,958,748 | Veros Automobile Receivables Trust 2020-11 | 09/15/23 | 1.670 | 24,739,113 | ||||||||||||||
13,425,888 | Westlake Automobile Receivables Trust 2019-1A1 | 05/16/22 | 3.060 | 13,471,366 | ||||||||||||||
31,885,092 | Westlake Automobile Receivables Trust 2019-2A (1-Month USD-LIBOR + 0.470%)1,2 | 02/15/23 | 1.284 | 31,699,008 | ||||||||||||||
27,290,000 | Westlake Automobile Receivables Trust 2019-3A1 | 02/15/23 | 2.150 | 27,383,184 | ||||||||||||||
64,480,000 | World Financial Network Credit Card Master Trust 2017-A | 03/15/24 | 2.120 | 64,478,601 | ||||||||||||||
50,885,000 | World Financial Network Credit Card Master Trust 2018-A | 12/16/24 | 3.070 | 51,228,062 | ||||||||||||||
1,152,823 | World Omni Select Auto Trust 2018-1A1 | 04/15/22 | 3.240 | 1,153,340 | ||||||||||||||
23,355,833 | WRG Debt Funding II LLC 2017-11 | 03/15/26 | 4.458 | 23,069,990 | ||||||||||||||
Total Asset Backed Securities (Cost $2,373,224,488) | 2,313,659,091 | |||||||||||||||||
COMMERCIAL MORTGAGE BACKED SECURITIES (5.3%) | ||||||||||||||||||
26,807,000 | BB-UBS Trust 2012-TFT1,2,3 | 06/05/30 | 3.468 | 26,738,749 | ||||||||||||||
24,314,692 | BX Commercial Mortgage Trust 2018-IND (1-Month USD-LIBOR + 0.750%)1,2 | 11/15/35 | 1.564 | 23,503,469 |
The accompanying notes are an integral part of these financial statements.
BBH LIMITED DURATION FUND
PORTFOLIO OF INVESTMENTS (continued)
April 30, 2020 (unaudited)
Principal Amount | Maturity Date | Interest Rate | Value | |||||||||||||||
COMMERCIAL MORTGAGE BACKED SECURITIES (continued) | ||||||||||||||||||
$ 14,818,262 | BX Commercial Mortgage Trust 2019-XL (1-Month USD-LIBOR + 0.920%)1,2 | 10/15/36 | 1.734 | % | $ | 14,445,672 | ||||||||||||
30,200,000 | BX Trust 2019-RP (1-Month USD-LIBOR + 1.045%)1,2 | 06/15/34 | 1.859 | 27,620,162 | ||||||||||||||
14,449,698 | BXMT, Ltd. 2017-FL1 (1-Month USD-LIBOR + 0.870%)1,2 | 06/15/35 | 1.630 | 14,060,957 | ||||||||||||||
39,480,000 | BXMT, Ltd. 2020-FL2 (1-Month USD-LIBOR + 0.900%)1,2 | 02/16/37 | 1.651 | 37,110,805 | ||||||||||||||
31,329,000 | CG-CCRE Commercial Mortgage Trust 2014-FL2 (1-Month USD-LIBOR + 2.900%)1,2 | 11/15/31 | 3.391 | 31,319,601 | ||||||||||||||
1,699,599 | Commercial Mortgage Pass Through Certificates 2013-GAM1 | 02/10/28 | 1.705 | 1,686,811 | ||||||||||||||
9,690,000 | Commercial Mortgage Pass Through Certificates 2013-GAM1,2,3 | 02/10/28 | 3.417 | 9,464,423 | ||||||||||||||
19,481,723 | HPLY Trust 2019-HIT (1-Month USD-LIBOR + 1.000%)1,2 | 11/15/36 | 1.814 | 17,780,622 | ||||||||||||||
34,640,000 | KKR Industrial Portfolio Trust 2020-AIP (1-Month USD-LIBOR + 1.037%)1,2 | 03/15/37 | 1.851 | 33,497,843 | ||||||||||||||
10,100,000 | KREF, Ltd. 2018-FL1A (1-Month USD-LIBOR + 1.100%)1,2 | 06/15/36 | 1.851 | 9,739,395 | ||||||||||||||
32,615,000 | Morgan Stanley Capital I Trust 2017-CLS (1-Month USD-LIBOR + 0.700%)1,2 | 11/15/34 | 1.514 | 31,513,611 | ||||||||||||||
3,344,441 | RETL 2019-RVP (1-Month USD-LIBOR + 1.150%)1,2 | 03/15/36 | 1.964 | 3,071,877 | ||||||||||||||
24,260,000 | STWD, Ltd. 2019-FL1 (1-Month USD-LIBOR + 1.080%)1,2 | 07/15/38 | 1.894 | 23,067,708 | ||||||||||||||
53,364,000 | TPG Real Estate Finance Issuer, Ltd. 2018-FL2 (1-Month USD-LIBOR + 1.130%)1,2 | 11/15/37 | 1.881 | 51,017,943 | ||||||||||||||
Total Commercial Mortgage Backed Securities (Cost $369,358,181) | 355,639,648 |
The accompanying notes are an integral part of these financial statements.
financial statements april 30, 2020 | 9 |
BBH LIMITED DURATION FUND
PORTFOLIO OF INVESTMENTS (continued)
April 30, 2020 (unaudited)
Principal Amount | Maturity Date | Interest Rate | Value | |||||||||||||||
CORPORATE BONDS (34.8%) | ||||||||||||||||||
AGRICULTURE (1.0%) | ||||||||||||||||||
$ 23,089,000 | Bunge, Ltd. Finance Corp. | 11/24/20 | 3.500 | % | $ | 23,212,387 | ||||||||||||
44,350,000 | Bunge, Ltd. Finance Corp. | 03/15/24 | 4.350 | 46,228,195 | ||||||||||||||
69,440,582 | ||||||||||||||||||
AUTO MANUFACTURERS (0.8%) | ||||||||||||||||||
54,780,000 | General Motors Financial Co., Inc. | 11/06/20 | 2.450 | 54,210,739 | ||||||||||||||
BANKS (13.1%) | ||||||||||||||||||
14,895,000 | ANZ New Zealand Int’l, Ltd., London Branch1 | 03/19/24 | 3.400 | 15,784,376 | ||||||||||||||
19,435,000 | ASB Bank, Ltd.1 | 06/14/23 | 3.750 | 20,500,527 | ||||||||||||||
38,090,000 | Australia & New Zealand Banking Group, Ltd. | 11/16/20 | 2.700 | 38,457,704 | ||||||||||||||
25,185,000 | Australia & New Zealand Banking Group, Ltd. | 05/19/22 | 2.625 | 25,828,388 | ||||||||||||||
54,710,000 | Bank of New Zealand1 | 02/20/24 | 3.500 | 57,389,544 | ||||||||||||||
16,372,000 | Barclays Bank, Plc. | 10/14/20 | 5.140 | 16,570,760 | ||||||||||||||
14,660,000 | BNZ International Funding, Ltd., London Branch1 | 03/01/23 | 3.375 | 15,262,883 | ||||||||||||||
19,610,000 | Canadian Imperial Bank of Commerce (SOFR + 0.800%)2 | 03/17/23 | 0.821 | �� | 18,905,805 | |||||||||||||
17,189,000 | Citigroup, Inc. | 10/26/20 | 2.650 | 17,309,247 | ||||||||||||||
9,198,000 | Citigroup, Inc. | 08/02/21 | 2.350 | 9,283,114 | ||||||||||||||
17,940,000 | Commonwealth Bank of Australia1 | 09/06/21 | 2.000 | 18,129,624 | ||||||||||||||
23,400,000 | DNB Bank ASA1 | 12/02/22 | 2.150 | 23,901,540 | ||||||||||||||
10,635,000 | Fifth Third Bancorp | 01/25/24 | 3.650 | 11,237,725 | ||||||||||||||
45,888,000 | Goldman Sachs Group, Inc. | 07/27/21 | 5.250 | 47,882,631 | ||||||||||||||
33,270,000 | JPMorgan Chase & Co. (SOFR + 1.585%)2 | 03/13/26 | 2.005 | 33,592,924 | ||||||||||||||
40,945,000 | Lloyds Bank, Plc. | 08/17/20 | 2.700 | 41,136,487 | ||||||||||||||
33,923,000 | Lloyds Banking Group, Plc. | 03/12/24 | 3.900 | 35,683,646 | ||||||||||||||
40,735,000 | Morgan Stanley | 01/25/21 | 5.750 | 42,065,103 | ||||||||||||||
13,760,000 | National Australia Bank, Ltd. | 09/20/21 | 3.375 | 14,142,305 | ||||||||||||||
16,070,000 | Santander Holdings USA, Inc. | 06/07/24 | 3.500 | 16,256,460 |
The accompanying notes are an integral part of these financial statements.
BBH LIMITED DURATION FUND
PORTFOLIO OF INVESTMENTS (continued)
April 30, 2020 (unaudited)
Principal Amount | Maturity Date | Interest Rate | Value | |||||||||||||||
CORPORATE BONDS (continued) | ||||||||||||||||||
BANKS (continued) | ||||||||||||||||||
$ 39,890,000 | Skandinaviska Enskilda Banken AB1 | 11/17/20 | 2.625 | % | $ | 40,243,915 | ||||||||||||
12,345,000 | Skandinaviska Enskilda Banken AB | 03/15/21 | 2.625 | 12,527,470 | ||||||||||||||
6,979,000 | Svenska Handelsbanken AB | 10/01/20 | 2.400 | 7,032,223 | ||||||||||||||
30,395,000 | Svenska Handelsbanken AB | 11/20/23 | 3.900 | 32,658,597 | ||||||||||||||
25,085,000 | Toronto-Dominion Bank | 04/07/21 | 2.125 | 25,384,533 | ||||||||||||||
45,355,000 | Toronto-Dominion Bank | 06/11/21 | 3.250 | 46,501,517 | ||||||||||||||
61,285,000 | Truist Bank | 03/09/23 | 1.250 | 61,158,224 | ||||||||||||||
21,430,000 | Truist Financial Corp. | 12/06/23 | 3.750 | 22,955,040 | ||||||||||||||
30,005,000 | US Bank NA | 11/16/21 | 3.450 | 31,104,375 | ||||||||||||||
13,500,000 | US Bank NA | 05/23/22 | 2.650 | 13,899,329 | ||||||||||||||
19,370,000 | Wells Fargo & Co. (SOFR + 2.000%)2 | 04/30/26 | 2.188 | 19,494,899 | ||||||||||||||
7,395,000 | Wells Fargo Bank NA (3-Month USD-LIBOR + 0.490%)2 | 07/23/21 | 3.325 | 7,417,817 | ||||||||||||||
22,155,000 | Wells Fargo Bank NA (3-Month USD-LIBOR + 0.650%)2 | 09/09/22 | 2.082 | 22,344,911 | ||||||||||||||
12,500,000 | Westpac Banking Corp. | 05/13/21 | 2.100 | 12,616,936 | ||||||||||||||
874,660,579 | ||||||||||||||||||
BEVERAGES (0.2%) | ||||||||||||||||||
13,050,000 | Anheuser-Busch InBev Worldwide, Inc. | 01/23/25 | 4.150 | 14,529,842 | ||||||||||||||
BUILDING MATERIALS (0.0%) | ||||||||||||||||||
3,000,000 | CRH America, Inc. | 01/15/21 | 5.750 | 3,064,031 | ||||||||||||||
CHEMICALS (0.2%) | ||||||||||||||||||
12,880,000 | DuPont de Nemours, Inc. | 11/15/20 | 3.766 | 13,009,967 | ||||||||||||||
COMPUTERS (0.4%) | ||||||||||||||||||
6,790,000 | Dell International LLC / EMC Corp.1 | 06/15/21 | 4.420 | 6,900,264 | ||||||||||||||
17,250,000 | Dell International LLC / EMC Corp.1 | 06/15/23 | 5.450 | 18,257,092 | ||||||||||||||
25,157,356 |
The accompanying notes are an integral part of these financial statements.
financial statements april 30, 2020 | 11 |
BBH LIMITED DURATION FUND
PORTFOLIO OF INVESTMENTS (continued)
April 30, 2020 (unaudited)
Principal Amount | Maturity Date | Interest Rate | Value | |||||||||||||||
CORPORATE BONDS (continued) | ||||||||||||||||||
DIVERSIFIED FINANCIAL SERVICES (3.0%) | ||||||||||||||||||
$ 28,486,000 | AerCap Ireland Capital DAC / AerCap Global Aviation Trust | 10/30/20 | 4.625 | % | $ | 28,123,540 | ||||||||||||
18,058,000 | Air Lease Corp. | 03/01/21 | 2.500 | 17,145,958 | ||||||||||||||
37,385,000 | Alliance Data Systems Corp.1 | 12/15/24 | 4.750 | 27,664,900 | ||||||||||||||
52,899,000 | American Express Co. | 05/17/21 | 3.375 | 53,875,252 | ||||||||||||||
8,552,000 | American Express Co. | 11/05/21 | 3.700 | 8,826,482 | ||||||||||||||
14,430,000 | Credit Acceptance Corp.1 | 12/31/24 | 5.125 | 12,662,325 | ||||||||||||||
2,785,000 | Credit Acceptance Corp. | 03/15/26 | 6.625 | 2,506,500 | ||||||||||||||
49,455,000 | Drawbridge Special Opportunities Fund1 | 08/01/21 | 5.000 | 47,867,266 | ||||||||||||||
198,672,223 | ||||||||||||||||||
ELECTRIC (1.8%) | ||||||||||||||||||
33,445,000 | Dominion Energy, Inc. | 03/15/25 | 3.300 | 35,548,337 | ||||||||||||||
17,000,000 | Electricite de France SA1 | 10/13/20 | 2.350 | 17,039,286 | ||||||||||||||
21,306,000 | NV Energy, Inc. | 11/15/20 | 6.250 | 21,876,987 | ||||||||||||||
43,500,000 | Southern Co. | 07/01/21 | 2.350 | 44,016,724 | ||||||||||||||
118,481,334 | ||||||||||||||||||
FOOD (0.5%) | ||||||||||||||||||
17,576,000 | Kraft Heinz Foods Co. | 06/06/22 | 3.500 | 18,062,489 | ||||||||||||||
16,460,000 | Kraft Heinz Foods Co. | 07/15/22 | 3.500 | 16,822,495 | ||||||||||||||
34,884,984 | ||||||||||||||||||
HEALTHCARE-PRODUCTS (0.2%) | ||||||||||||||||||
15,916,000 | Fresenius US Finance II, Inc.1 | 02/01/21 | 4.250 | 16,062,839 | ||||||||||||||
HEALTHCARE-SERVICES (0.4%) | ||||||||||||||||||
6,895,000 | Centene Corp.1 | 01/15/25 | 4.750 | 7,108,400 | ||||||||||||||
20,087,000 | MEDNAX, Inc.1 | 12/01/23 | 5.250 | 18,982,215 | ||||||||||||||
�� | 26,090,615 |
The accompanying notes are an integral part of these financial statements.
BBH LIMITED DURATION FUND
PORTFOLIO OF INVESTMENTS (continued)
April 30, 2020 (unaudited)
Principal Amount | Maturity Date | Interest Rate | Value | |||||||||||||||
CORPORATE BONDS (continued) | ||||||||||||||||||
INSURANCE (2.0%) | ||||||||||||||||||
$ 18,891,000 | American International Group, Inc. | 03/01/21 | 3.300 | % | $ | 19,165,822 | ||||||||||||
24,310,000 | Athene Global Funding1 | 01/25/22 | 4.000 | 25,024,558 | ||||||||||||||
12,290,000 | Enstar Group, Ltd. | 03/10/22 | 4.500 | 12,460,027 | ||||||||||||||
31,810,000 | Sirius International Group, Ltd.1 | 11/01/26 | 4.600 | 30,044,545 | ||||||||||||||
31,750,000 | United Insurance Holdings Corp. | 12/15/27 | 6.250 | 29,804,125 | ||||||||||||||
16,740,000 | Vitality Re VIII, Ltd. (Underlying Investment Yield + 1.750%)1,2 | 01/08/22 | 1.844 | 14,229,000 | ||||||||||||||
130,728,077 | ||||||||||||||||||
INTERNET (0.9%) | ||||||||||||||||||
62,622,000 | Expedia Group, Inc. | 08/15/20 | 5.950 | 63,085,552 | ||||||||||||||
INVESTMENT COMPANIES (3.7%) | ||||||||||||||||||
1,845,000 | Ares Capital Corp. | 01/19/22 | 3.625 | 1,816,259 | ||||||||||||||
30,685,000 | BlackRock TCP Capital Corp. | 08/23/24 | 3.900 | 28,275,966 | ||||||||||||||
35,855,000 | Business Development Corp. of America1 | 12/30/22 | 4.750 | 31,919,003 | ||||||||||||||
18,375,000 | Business Development Corp. of America1 | 12/15/24 | 4.850 | 16,165,871 | ||||||||||||||
31,955,000 | FS KKR Capital Corp. | 07/15/24 | 4.625 | 27,248,088 | ||||||||||||||
24,150,000 | FS KKR Capital Corp. | 02/01/25 | 4.125 | 19,911,889 | ||||||||||||||
38,135,000 | FS KKR Capital Corp. II1 | 02/14/25 | 4.250 | 31,199,278 | ||||||||||||||
27,455,000 | Main Street Capital Corp. | 05/01/24 | 5.200 | 26,361,687 | ||||||||||||||
31,201,000 | Owl Rock Capital Corp. | 04/15/24 | 5.250 | 29,620,400 | ||||||||||||||
10,000,000 | Owl Rock Capital Corp. | 03/30/25 | 4.000 | 9,117,911 | ||||||||||||||
27,070,000 | Owl Rock Capital Corp. II1 | 11/26/24 | 4.625 | 24,265,331 | ||||||||||||||
245,901,683 | ||||||||||||||||||
MACHINERY-CONSTRUCTION & MINING (0.5%) | ||||||||||||||||||
35,330,000 | Caterpillar Financial Services Corp. | 03/15/21 | 2.900 | 35,921,323 | ||||||||||||||
MACHINERY-DIVERSIFIED (0.3%) | ||||||||||||||||||
17,865,000 | John Deere Capital Corp. | 01/10/22 | 3.200 | 18,509,812 |
The accompanying notes are an integral part of these financial statements.
financial statements april 30, 2020 | 13 |
BBH LIMITED DURATION FUND
PORTFOLIO OF INVESTMENTS (continued)
April 30, 2020 (unaudited)
Principal Amount | Maturity Date | Interest Rate | Value | |||||||||||||||
CORPORATE BONDS (continued) | ||||||||||||||||||
MEDIA (0.5%) | ||||||||||||||||||
$ 25,085,000 | Charter Communications Operating LLC / Charter Communications Operating Capital | 07/23/20 | 3.579 | % | $ | 25,119,366 | ||||||||||||
8,287,000 | Charter Communications Operating LLC / Charter Communications Operating Capital | 07/23/22 | 4.464 | 8,730,034 | ||||||||||||||
33,849,400 | ||||||||||||||||||
OIL & GAS (0.2%) | ||||||||||||||||||
14,304,000 | Pioneer Natural Resources Co. | 01/15/21 | 3.450 | 14,347,710 | ||||||||||||||
PHARMACEUTICALS (2.0%) | ||||||||||||||||||
17,238,000 | AbbVie, Inc. | 05/14/20 | 2.500 | 17,244,378 | ||||||||||||||
26,260,000 | AbbVie, Inc.1 | 11/21/22 | 2.300 | 26,913,288 | ||||||||||||||
15,895,000 | Allergan Funding SCS | 03/15/22 | 3.450 | 16,290,892 | ||||||||||||||
30,540,000 | Allergan Sales LLC1 | 12/15/21 | 5.000 | 31,991,746 | ||||||||||||||
38,680,000 | Bristol-Myers Squibb Co.1 | 05/14/21 | 2.550 | 39,306,188 | ||||||||||||||
131,746,492 | ||||||||||||||||||
PIPELINES (0.3%) | ||||||||||||||||||
18,085,000 | MPLX LP (3-Month USD-LIBOR + 0.900%)2 | 09/09/21 | 1.899 | 17,014,237 | ||||||||||||||
2,458,000 | NOVA Gas Transmission, Ltd. | 04/01/23 | 7.875 | 2,794,035 | ||||||||||||||
19,808,272 | ||||||||||||||||||
REAL ESTATE INVESTMENT TRUSTS (1.1%) | ||||||||||||||||||
61,891,000 | American Tower Corp. | 02/15/21 | 3.300 | 62,607,736 | ||||||||||||||
11,769,000 | Crown Castle International Corp. | 02/15/21 | 3.400 | 11,877,633 | ||||||||||||||
74,485,369 | ||||||||||||||||||
SOFTWARE (0.4%) | ||||||||||||||||||
29,512,000 | VMware, Inc. | 08/21/20 | 2.300 | 29,538,525 |
The accompanying notes are an integral part of these financial statements.
BBH LIMITED DURATION FUND
PORTFOLIO OF INVESTMENTS (continued)
April 30, 2020 (unaudited)
Principal Amount | Maturity Date | Interest Rate | Value | |||||||||||||||
CORPORATE BONDS (continued) | ||||||||||||||||||
TELECOMMUNICATIONS (1.3%) | ||||||||||||||||||
$ 12,261,375 | Sprint Spectrum Co. LLC / Sprint Spectrum Co. II LLC / Sprint Spectrum Co. III LLC1 | 03/20/23 | 3.360 | % | $ | 12,292,028 | ||||||||||||
72,440,000 | Telefonica Emisiones S.A. | 02/16/21 | 5.462 | 74,610,092 | ||||||||||||||
86,902,120 | ||||||||||||||||||
Total Corporate Bonds (Cost $2,354,940,248) | 2,333,089,426 | |||||||||||||||||
LOAN PARTICIPATIONS AND ASSIGNMENTS (9.1%) | ||||||||||||||||||
16,765,000 | Allen Media LLC (3-Month USD-LIBOR + 5.500%)2 | 02/10/27 | 7.231 | 15,088,500 | ||||||||||||||
12,099,704 | Aria Energy Operating LLC (1-Month USD-LIBOR + 4.500%)2 | 05/27/22 | 5.500 | 10,708,238 | ||||||||||||||
28,000,000 | AT&T, Inc. Term A (3-Month USD-LIBOR + 1.500%)2 | 12/31/20 | 2.056 | 27,895,000 | ||||||||||||||
6,605,495 | Avolon TLB Borrower 1 (US) LLC Term B3 (1-Month USD-LIBOR + 1.750%)2 | 01/15/25 | 2.500 | 6,199,720 | ||||||||||||||
4,985,449 | Axalta Coating Systems Dutch Holding B BV (Axalta Coating Systems U.S. Holdings, Inc.) Term B3 (3-Month USD-LIBOR + 1.750%)2 | 06/01/24 | 3.200 | 4,835,885 | ||||||||||||||
8,127,527 | BCP Renaissance Parent LLC (3-Month USD-LIBOR + 3.500%)2 | 10/31/24 | 4.950 | 6,217,558 | ||||||||||||||
30,225,000 | Broadcom, Inc. Term A3 (1-Month USD-LIBOR + 1.125%)2 | 11/04/22 | 2.110 | 28,260,375 | ||||||||||||||
27,753,375 | Broadcom, Inc. Term A5 (1-Month USD-LIBOR + 1.250%)2 | 11/04/24 | 2.235 | 25,671,872 | ||||||||||||||
22,265,000 | Buckeye Partners LP (1-Month USD-LIBOR + 2.750%)2 | 11/01/26 | 3.766 | 20,803,971 | ||||||||||||||
46,427,250 | CenturyLink, Inc. Term A (1-Month USD-LIBOR + 2.000%)2 | 01/31/25 | 2.404 | 44,802,296 |
The accompanying notes are an integral part of these financial statements.
financial statements april 30, 2020 | 15 |
BBH LIMITED DURATION FUND
PORTFOLIO OF INVESTMENTS (continued)
April 30, 2020 (unaudited)
Principal Amount | Maturity Date | Interest Rate | Value | |||||||||||||||
LOAN PARTICIPATIONS AND ASSIGNMENTS (continued) | ||||||||||||||||||
$ 21,142,881 | Charter Communications Operating LLC (CCo Safari LLC) Term A2 (1-Month USD-LIBOR + 1.500%)2 | 03/31/23 | 1.910 | % | $ | 20,508,595 | ||||||||||||
29,469,697 | Clean Harbors, Inc. (1-Month USD-LIBOR + 1.750%)2 | 06/28/24 | 2.154 | 28,677,846 | ||||||||||||||
26,662,500 | DaVita, Inc. Term A (1-Month USD-LIBOR + 1.500%)2 | 08/12/24 | 1.904 | 25,596,000 | ||||||||||||||
24,863,357 | Dell International LLC Term B1 (1-Month USD-LIBOR + 2.000%)2 | 09/19/25 | 2.750 | 24,192,046 | ||||||||||||||
25,891,030 | Delos Finance S.a r.l. (3-Month USD-LIBOR + 1.750%)2 | 10/06/23 | 3.200 | 24,454,078 | ||||||||||||||
40,139,568 | Eastern Power LLC (TPF II LC LLC) (2-Month USD-LIBOR + 3.750%)2 | 10/02/25 | 4.750 | 37,669,780 | ||||||||||||||
29,845,000 | Elanco Animal Health, Inc. (3-Month USD-LIBOR + 1.750%)2 | 02/04/27 | 2.306 | 28,763,119 | ||||||||||||||
14,519,231 | EnLink Midstream Partners, LP (1-Month USD-LIBOR + 1.500%)2,4 | 12/10/21 | 2.329 | 10,889,423 | ||||||||||||||
33,893,683 | Frontera Generation Holdings LLC (3-Month USD-LIBOR + 4.250%)2 | 05/02/25 | 5.385 | 21,918,028 | ||||||||||||||
2,789,634 | HCA, Inc. Term B12 (1-Month USD-LIBOR + 1.750%)2 | 03/13/25 | 2.154 | 2,721,065 | ||||||||||||||
12,846,822 | HCA, Inc. Term B13 (1-Month USD-LIBOR + 1.750%)2 | 03/18/26 | 2.154 | 12,507,538 | ||||||||||||||
4,950,402 | Kestrel Acquisition LLC Term B (3-Month USD-LIBOR + 4.250%)2 | 06/02/25 | 5.250 | 3,997,449 | ||||||||||||||
20,000,000 | Marvell Technology Group, Ltd. Term A (1-Month USD-LIBOR + 1.375%)2,4 | 06/04/21 | 2.365 | 19,850,000 | ||||||||||||||
39,405,825 | NorthRiver Midstream Finance LP Term B (3-Month USD-LIBOR + 3.250%)2 | 10/01/25 | 4.683 | 31,608,989 | ||||||||||||||
28,832,095 | Panther BF Aggregator 2 L P (1-Month USD-LIBOR + 3.500%)2 | 04/30/26 | 3.904 | 26,035,382 | ||||||||||||||
6,493,725 | RPI 2019 Intermediate Finance Trust Term B (1-Month USD-LIBOR + 1.750%)2 | 02/11/27 | 2.154 | 6,293,523 |
The accompanying notes are an integral part of these financial statements.
BBH LIMITED DURATION FUND
PORTFOLIO OF INVESTMENTS (continued)
April 30, 2020 (unaudited)
Principal Amount | Maturity Date | Interest Rate | Value | |||||||||||||||
LOAN PARTICIPATIONS AND ASSIGNMENTS (continued) | ||||||||||||||||||
$ 3,461,188 | RPI Intermediate Finance Trust Term B1 (1-Month USD-LIBOR + 1.750%)2 | 02/11/27 | 2.154 | % | $ | 3,358,425 | ||||||||||||
5,411,607 | SS&C Technologies Holdings, Inc. Term B3 (1-Month USD-LIBOR + 1.750%)2 | 04/16/25 | 2.154 | 5,195,738 | ||||||||||||||
2,862,359 | SS&C Technologies Holdings, Inc. Term B4 (1-Month USD-LIBOR + 1.750%)2 | 04/16/25 | 2.154 | 2,748,179 | ||||||||||||||
8,413,087 | SS&C Technologies Holdings, Inc. Term B5 (1-Month USD-LIBOR + 1.750%)2 | 04/16/25 | 2.154 | 8,073,703 | ||||||||||||||
17,850,113 | UGI Energy Services, LLC (1-Month USD-LIBOR + 3.750%)2 | 08/13/26 | 4.154 | 15,946,041 | ||||||||||||||
4,823,025 | Vistra Operations Co. LLC (Tex Operations Co. LLC) (1-Month USD-LIBOR + 1.750%)2 | 12/31/25 | 2.221 | 4,663,769 | ||||||||||||||
22,804,155 | Western Digital Corp. Term B4 (1-Month USD-LIBOR + 1.750%)2 | 04/29/23 | 2.766 | 21,806,473 | ||||||||||||||
32,512,880 | Wyndham Hotels & Resorts, Inc. Term B (1-Month USD-LIBOR + 1.750%)2 | 05/30/25 | 2.154 | 29,733,029 | ||||||||||||||
Total Loan Participations and Assignments (Cost $661,230,425) | 607,691,633 | |||||||||||||||||
MUNICIPAL BONDS (1.5%) | ||||||||||||||||||
7,670,000 | Indiana Health & Educational Facilities Financing Authority, Revenue Bonds2,3 | 11/15/31 | 1.750 | 7,703,901 | ||||||||||||||
14,525,000 | New Jersey Economic Development Authority, Revenue Bonds | 06/15/21 | 5.000 | 14,747,668 | ||||||||||||||
10,100,000 | New Jersey Turnpike Authority, Revenue Bonds (1-Month USD-LIBOR + 0.700%)2 | 01/01/24 | 1.389 | 9,760,236 | ||||||||||||||
4,661,000 | Pennsylvania Industrial Development Authority, Revenue Bonds1 | 07/01/21 | 2.967 | 4,717,958 |
The accompanying notes are an integral part of these financial statements.
financial statements april 30, 2020 | 17 |
BBH LIMITED DURATION FUND
PORTFOLIO OF INVESTMENTS (continued)
April 30, 2020 (unaudited)
Principal Amount | Maturity Date | Interest Rate | Value | |||||||||||||||
MUNICIPAL BONDS (continued) | ||||||||||||||||||
$ 16,530,000 | Texas Municipal Gas Acquisition & Supply Corp. I, Revenue Bonds | 12/15/26 | 6.250 | % | $ | 18,588,646 | ||||||||||||
51,945,000 | Texas Municipal Gas Acquisition & Supply Corp. II, Revenue Bonds (3-Month USD-LIBOR + 0.690%)2 | 09/15/27 | 1.179 | 48,311,447 | ||||||||||||||
Total Municipal Bonds (Cost $107,054,348) | 103,829,856 | |||||||||||||||||
RESIDENTIAL MORTGAGE BACKED SECURITIES (1.7%) | ||||||||||||||||||
32,434,175 | Cascade Funding Mortgage Trust 2019-RM31,2,3 | 06/25/69 | 2.800 | 32,408,935 | ||||||||||||||
18,531,021 | Pepper Residential Securities Trust No. 23A (1-Month USD-LIBOR + 0.950%)1,2 | 08/18/60 | 1.668 | 18,248,773 | ||||||||||||||
11,256,445 | Pepper Residential Securities Trust No. 24A (1-Month USD-LIBOR + 0.900%)1,2 | 11/18/60 | 1.618 | 11,097,799 | ||||||||||||||
30,602,056 | RESIMAC Premier 2019-2A (1-Month USD-LIBOR + 0.950%)1,2 | 02/10/51 | 1.779 | 30,450,107 | ||||||||||||||
22,005,356 | RMF Proprietary Issuance Trust 2019-11,2,3 | 10/25/63 | 2.750 | 21,320,010 | ||||||||||||||
Total Residential Mortgage Backed Securities (Cost $114,652,941) | 113,525,624 | |||||||||||||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS (0.7%) | ||||||||||||||||||
12,000,000 | Federal Home Loan Bank Discount Notes5 | 05/21/20 | 0.000 | 11,999,400 | ||||||||||||||
20,000,000 | Federal Home Loan Bank Discount Notes5 | 05/29/20 | 0.000 | 19,998,476 | ||||||||||||||
71,102 | Federal Home Loan Mortgage Corp. (FHLMC) Non Gold Guaranteed (1-Year USD-LIBOR + 1.754%)2 | 04/01/36 | 4.245 | 74,098 |
The accompanying notes are an integral part of these financial statements.
BBH LIMITED DURATION FUND
PORTFOLIO OF INVESTMENTS (continued)
April 30, 2020 (unaudited)
Principal Amount | Maturity Date | Interest Rate | Value | |||||||||||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS (continued) | ||||||||||||||||||
$ 14,695 | Federal Home Loan Mortgage Corp. (FHLMC) Non Gold Guaranteed (6-Month USD-LIBOR + 1.740%)2 | 12/01/36 | 3.740 | % | $ | 14,809 | ||||||||||||
18,398 | Federal Home Loan Mortgage Corp. (FHLMC) Non Gold Guaranteed (1-Year USD-LIBOR + 1.745%)2 | 01/01/37 | 3.745 | 18,545 | ||||||||||||||
18,531 | Federal Home Loan Mortgage Corp. (FHLMC) Non Gold Guaranteed (1-Year USD-LIBOR + 1.978%)2 | 02/01/37 | 3.977 | 18,657 | ||||||||||||||
5,438,587 | Federal National Mortgage Association (FNMA) | 07/01/35 | 5.000 | 6,208,444 | ||||||||||||||
359,932 | Federal National Mortgage Association (FNMA) | 11/01/35 | 5.500 | 413,054 | ||||||||||||||
37,302 | Federal National Mortgage Association (FNMA) (1-Year USD-LIBOR + 1.976%)2 | 07/01/36 | 4.614 | 39,126 | ||||||||||||||
86,758 | Federal National Mortgage Association (FNMA) (1-Year USD-LIBOR + 1.712%)2 | 09/01/36 | 4.241 | 90,031 | ||||||||||||||
29,311 | Federal National Mortgage Association (FNMA) (1-Year USD-LIBOR + 1.754%)2 | 01/01/37 | 3.795 | 29,856 | ||||||||||||||
312,046 | Federal National Mortgage Association (FNMA) | 08/01/37 | 5.500 | 356,669 | ||||||||||||||
3,698,539 | Federal National Mortgage Association (FNMA) | 08/01/37 | 5.500 | 4,227,062 | ||||||||||||||
1,614,641 | Federal National Mortgage Association (FNMA) | 06/01/40 | 6.500 | 1,883,349 | ||||||||||||||
9,830 | Government National Mortgage Association (GNMA) (1-Year CMT Index + 1.500%)2 | 08/20/29 | 3.250 | 10,143 | ||||||||||||||
Total U.S. Government Agency Obligations (Cost $44,366,887) | 45,381,719 |
The accompanying notes are an integral part of these financial statements.
financial statements april 30, 2020 | 19 |
BBH LIMITED DURATION FUND
PORTFOLIO OF INVESTMENTS (continued)
April 30, 2020 (unaudited)
Principal Amount | Maturity Date | Interest Rate | Value | |||||||||||||||
U.S. TREASURY BILLS (13.2%) | ||||||||||||||||||
$ 42,000,000 | U.S. Treasury Bill5 | 05/14/20 | 0.000 | % | $ | 41,976,659 | ||||||||||||
127,000,000 | U.S. Treasury Bill5 | 05/21/20 | 0.000 | 126,891,178 | ||||||||||||||
35,000,000 | U.S. Treasury Bill5 | 05/26/20 | 0.000 | 34,999,028 | ||||||||||||||
90,000,000 | U.S. Treasury Bill5 | 05/28/20 | 0.000 | 89,931,540 | ||||||||||||||
47,000,000 | U.S. Treasury Bill5 | 06/02/20 | 0.000 | 46,995,451 | ||||||||||||||
150,000,000 | U.S. Treasury Bill5 | 06/11/20 | 0.000 | 149,739,920 | ||||||||||||||
210,000,000 | U.S. Treasury Bill5 | 07/02/20 | 0.000 | 209,967,450 | ||||||||||||||
97,000,000 | U.S. Treasury Bill5,6 | 07/16/20 | 0.000 | 96,980,291 | ||||||||||||||
85,000,000 | U.S. Treasury Bill5 | 07/23/20 | 0.000 | 84,983,342 | ||||||||||||||
Total U.S. Treasury Bills (Cost $881,729,420) | 882,464,859 | |||||||||||||||||
TOTAL INVESTMENTS (Cost $6,906,556,938)7 | 100.9 | % | $ | 6,755,281,856 | ||||||||||||||
LIABILITIES IN EXCESS OF OTHER ASSETS | (0.9 | )% | (59,438,334 | ) | ||||||||||||||
NET ASSETS | 100.0 | % | $ | 6,695,843,522 |
1 | Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. Total market value of Rule 144A securities owned at April 30, 2020 was $3,216,182,077 or 48.0% of net assets. |
2 | Variable rate instrument. Interest rates change on specific dates (such as coupon or interest payment date). The yield shown represents the April 30, 2020 coupon or interest rate. |
3 | This variable rate security is based on a predetermined schedule and the rate at period end also represents the reference rate at period end. |
4 | Security that used significant unobservable inputs to determine fair value. |
5 | Security issued with zero coupon. Income is recognized through accretion of discount. |
6 | All or a portion of this security is held at the broker as collateral for open futures contracts. |
7 | The aggregate cost for federal income tax purposes is $6,906,556,938, the aggregate gross unrealized appreciation is $38,253,562 and the aggregate gross unrealized depreciation is $202,575,646, resulting in net unrealized depreciation of $164,322,084. |
The accompanying notes are an integral part of these financial statements.
BBH LIMITED DURATION FUND
PORTFOLIO OF INVESTMENTS (continued)
April 30, 2020 (unaudited)
Description | Number of Contracts | Expiration Date | Notional Amount | Market Value | Unrealized Gain / (Loss) | |||||||||||||||||
Contracts to Sell: | ||||||||||||||||||||||
U.S. Treasury 2-Year Notes | 1,850 | June 2020 | $ | 406,346,821 | $ | 407,794,923 | $ | (1,448,102 | ) | |||||||||||||
U.S. Treasury 5-Year Notes | 3,530 | June 2020 | 432,588,600 | 442,959,844 | (10,371,244 | ) | ||||||||||||||||
U.S. Treasury 10-Year Notes | 194 | June 2020 | 25,750,469 | 26,978,125 | (1,227,656 | ) | ||||||||||||||||
$ | (13,047,002 | ) |
— | Level 2 – significant other observable inputs (including quoted prices for similar assets and liabilities, interest rates, prepayment speeds, credit risk, etc.). |
— | Level 3 – significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of assets and liabilities). |
The accompanying notes are an integral part of these financial statements.
financial statements april 30, 2020 | 21 |
BBH LIMITED DURATION FUND
PORTFOLIO OF INVESTMENTS (continued)
April 30, 2020 (unaudited)
The accompanying notes are an integral part of these financial statements.
BBH LIMITED DURATION FUND
PORTFOLIO OF INVESTMENTS (continued)
April 30, 2020 (unaudited)
Investments, at value | Unadjusted Quoted Prices in Active Markets for Identical Investments (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Balance as of April 30, 2020 | ||||||||||||||
Asset Backed Securities | $ | — | $ | 2,280,980,241 | $ | 32,678,850 | $ | 2,313,659,091 | ||||||||||
Commercial Mortgage Backed Securities | — | 355,639,648 | — | 355,639,648 | ||||||||||||||
Corporate Bonds | — | 2,333,089,426 | — | 2,333,089,426 | ||||||||||||||
Loan Participations and Assignments | — | 576,952,210 | 30,739,423 | 607,691,633 | ||||||||||||||
Municipal Bonds | — | 103,829,856 | — | 103,829,856 | ||||||||||||||
Residential Mortgage Backed Securities | — | 113,525,624 | — | 113,525,624 | ||||||||||||||
U.S. Government Agency Obligations | — | 45,381,719 | — | 45,381,719 | ||||||||||||||
U.S. Treasury Bills | — | 882,464,859 | — | 882,464,859 | ||||||||||||||
Total Investment, at value | $ | — | $ | 6,691,863,583 | $ | 63,418,273 | $ | 6,755,281,856 | ||||||||||
Other Financial Instruments, at value | ||||||||||||||||||
Financial Futures Contracts | $ | (13,047,002 | ) | $ | — | $ | — | $ | (13,047,002 | ) | ||||||||
Other Financial Instruments, at value | $ | (13,047,002 | ) | $ | — | $ | — | $ | (13,047,002 | ) |
The accompanying notes are an integral part of these financial statements.
financial statements april 30, 2020 | 23 |
BBH LIMITED DURATION FUND
PORTFOLIO OF INVESTMENTS (continued)
April 30, 2020 (unaudited)
Asset Backed Securities | Loan Participations and Assignments | Total | ||||||||||||
Balance as of October 31, 2019 | $ | 61,293,512 | $ | — | $ | 61,293,512 | ||||||||
Purchases | — | 14,410,337 | 14,410,337 | |||||||||||
Sales / Paydowns | (5,865,081 | ) | — | (5,865,081 | ) | |||||||||
Realized gains (losses) | — | �� | — | — | ||||||||||
Change in unrealized appreciation (depreciation) | 282,479 | (3,543,862 | ) | (3,261,383 | ) | |||||||||
Amortization | 37,930 | 22,948 | 60,878 | |||||||||||
Transfers from Level 3 | (23,069,990 | ) | — | (23,069,990 | ) | |||||||||
Transfers to Level 3 | — | 19,850,000 | 19,850,000 | |||||||||||
Balance as of April 30, 2020 | $ | 32,678,850 | $ | 30,739,423 | $ | 63,418,273 |
The accompanying notes are an integral part of these financial statements.
BBH LIMITED DURATION FUND
STATEMENT OF ASSETS AND LIABILITIES
April 30, 2020 (unaudited)
ASSETS: | �� | ||||||
Investments in securities, at value (Cost $6,906,556,938) | $ | 6,755,281,856 | |||||
Cash | 2,807,648 | ||||||
Receivables for: | |||||||
Interest | 30,058,457 | ||||||
Shares sold | 4,317,759 | ||||||
Investment advisory and administrative fee waiver reimbursement | 93,664 | ||||||
Investments sold | 3,322 | ||||||
Other | 2,421,217 | ||||||
Prepaid assets | 14,911 | ||||||
Total Assets | 6,794,998,834 | ||||||
LIABILITIES: | |||||||
Payables for: | |||||||
Investments purchased | 85,503,083 | ||||||
Shares redeemed | 11,148,339 | ||||||
Investment advisory and administrative fees | 1,437,632 | ||||||
Dividends declared | 325,999 | ||||||
Futures variation margin on open contracts | 309,760 | ||||||
Custody and fund accounting fees | 233,402 | ||||||
Shareholder servicing fees | 69,535 | ||||||
Professional fees | 62,488 | ||||||
Transfer agent fees | 9,603 | ||||||
Board of Trustees’ fees | 601 | ||||||
Accrued expenses and other liabilities | 54,870 | ||||||
Total Liabilities | 99,155,312 | ||||||
NET ASSETS | $ | 6,695,843,522 | |||||
Net Assets Consist of: | |||||||
Paid-in capital | $ | 6,914,958,599 | |||||
Accumulated deficit | (219,115,077 | ) | |||||
Net Assets | $ | 6,695,843,522 | |||||
NET ASSET VALUE AND OFFERING PRICE PER SHARE | |||||||
CLASS N SHARES | |||||||
($416,787,066 ÷ 41,737,297 shares outstanding) | $9.99 | ||||||
CLASS I SHARES | |||||||
($6,279,056,456 ÷ 629,102,952 shares outstanding) | $9.98 |
The accompanying notes are an integral part of these financial statements.
financial statements april 30, 2020 | 25 |
BBH LIMITED DURATION FUND
STATEMENT OF OPERATIONS
For the six months ended April 30, 2020 (unaudited)
NET INVESTMENT INCOME: | ||||||
Income: | ||||||
Interest income | $ | 105,632,158 | ||||
Other income | 1,070,394 | |||||
Total Income | 106,702,552 | |||||
Expenses: | ||||||
Investment advisory and administrative fees | 9,420,407 | |||||
Shareholder servicing fees | 398,029 | |||||
Custody and fund accounting fees | 356,157 | |||||
Professional fees | 56,290 | |||||
Transfer agent fees | 31,489 | |||||
Board of Trustees’ fees | 30,490 | |||||
Miscellaneous expenses | 226,906 | |||||
Total Expenses | 10,519,768 | |||||
Investment advisory and administrative fee waiver | (291,118 | ) | ||||
Net Expenses | 10,228,650 | |||||
Net Investment Income | 96,473,902 | |||||
NET REALIZED AND UNREALIZED LOSS: | ||||||
Net realized gain on investments in securities | 10,834,606 | |||||
Net realized gain on futures contracts | 96,062 | |||||
Net realized gain on investments in securities and futures contracts | 10,930,668 | |||||
Net change in unrealized appreciation/(depreciation) on investments in securities | (212,958,827 | ) | ||||
Net change in unrealized appreciation/(depreciation) on futures contracts | (15,221,499 | ) | ||||
Net change in unrealized appreciation/(depreciation) on investments in securities and futures contracts | (228,180,326 | ) | ||||
Net Realized and Unrealized Loss | (217,249,658 | ) | ||||
Net Decrease in Net Assets Resulting from Operations | $ | (120,775,756 | ) |
The accompanying notes are an integral part of these financial statements.
BBH LIMITED DURATION FUND
STATEMENTS OF CHANGES IN NET ASSETS
For the six months ended April 30, 2020 (unaudited) | For the year ended October 31, 2019 | |||||||||
INCREASE (DECREASE) IN NET ASSETS: | ||||||||||
Operations: | ||||||||||
Net investment income | $ | 96,473,902 | $ | 193,945,072 | ||||||
Net realized gain (loss) on investments in securities and futures contracts | 10,930,668 | (22,899,028 | ) | |||||||
Net change in unrealized appreciation/(depreciation) on investments in securities and futures contracts | (228,180,326 | ) | 89,071,170 | |||||||
Net increase (decrease) in net assets resulting from operations | (120,775,756 | ) | 260,117,214 | |||||||
Dividends and distributions declared: | ||||||||||
Class N | (5,073,090 | ) | (10,061,064 | ) | ||||||
Class I | (91,034,767 | ) | (184,257,128 | ) | ||||||
Total dividends and distributions declared | (96,107,857 | ) | (194,318,192 | ) | ||||||
Share transactions: | ||||||||||
Proceeds from sales of shares1 | 2,017,090,199 | �� | 3,382,156,185 | |||||||
Net asset value of shares issued to shareholders for reinvestment of dividends and distributions | 19,498,877 | 44,010,458 | ||||||||
Proceeds from short-term redemption fees | — | 501 | ||||||||
Cost of shares redeemed1 | (2,264,429,916 | ) | (2,626,931,509 | ) | ||||||
Net increase/(decrease) in net assets resulting from share transactions | (227,840,840 | ) | 799,235,635 | |||||||
Total increase/(decrease) in net assets | (444,724,453 | ) | 865,034,657 | |||||||
NET ASSETS: | ||||||||||
Beginning of period | 7,140,567,975 | 6,275,533,318 | ||||||||
End of period | $ | 6,695,843,522 | $ | 7,140,567,975 |
1 | Includes share exchanges. See Note 5 in Notes to Financial Statements. |
The accompanying notes are an integral part of these financial statements.
financial statements april 30, 2020 | 27 |
BBH LIMITED DURATION FUND
FINANCIAL HIGHLIGHTS
Selected per share data and ratios for a Class N share outstanding throughout each period.
For the six months ended | For the years ended October 31, | |||||||||||||||||||||||||||
April 30, 2020 (unaudited) | 2019 | 2018 | 2017 | 2016 | 2015 | |||||||||||||||||||||||
Net asset value, beginning of period | $ | 10.26 | $ | 10.15 | $ | 10.19 | $ | 10.13 | $ | 10.14 | $ | 10.31 | ||||||||||||||||
Income from investment operations: | ||||||||||||||||||||||||||||
Net investment income1 | 0.13 | 0.30 | 0.26 | 0.21 | 0.19 | 0.18 | ||||||||||||||||||||||
Net realized and unrealized gain (loss) | (0.27 | ) | 0.11 | (0.06 | ) | 0.05 | (0.00 | )2 | (0.17 | ) | ||||||||||||||||||
Total income (loss) from investment operations | (0.14 | ) | 0.41 | 0.20 | 0.26 | 0.19 | 0.01 | |||||||||||||||||||||
Less dividends and distributions: | ||||||||||||||||||||||||||||
From net investment income | (0.13 | ) | (0.30 | ) | (0.24 | ) | (0.20 | ) | (0.20 | ) | (0.18 | ) | ||||||||||||||||
Total dividends and distributions | (0.13 | ) | (0.30 | ) | (0.24 | ) | (0.20 | ) | (0.20 | ) | (0.18 | ) | ||||||||||||||||
Net asset value, end of period | $ | 9.99 | $ | 10.26 | $ | 10.15 | $ | 10.19 | $ | 10.13 | $ | 10.14 | ||||||||||||||||
Total return | (1.39 | )%3 | 4.14 | % | 2.03 | % | 2.64 | % | 1.90 | % | 0.10 | % | ||||||||||||||||
Ratios/Supplemental data: | ||||||||||||||||||||||||||||
Net assets, end of period (in millions) | $ | 417 | $ | 371 | $ | 275 | $ | 72 | $ | 42 | $ | 2,557 | ||||||||||||||||
Ratio of expenses to average net assets before reductions | 0.50 | %4 | 0.51 | % | 0.50 | % | 0.67 | % | 0.49 | % | 0.48 | % | ||||||||||||||||
Fee waiver | 0.15 | %4,5 | 0.16 | %5 | 0.15 | %5 | 0.27 | %5 | 0.01 | %5 | –% | |||||||||||||||||
Expense offset arrangement | –% | 0.00 | %6 | 0.00 | %6 | 0.00 | %6 | 0.00 | %6 | 0.00 | %6 | |||||||||||||||||
Ratio of expenses to average net assets after reductions | 0.35 | %4 | 0.35 | % | 0.35 | % | 0.40 | % | 0.48 | % | 0.48 | % | ||||||||||||||||
Ratio of net investment income to average net assets | 2.56 | %4 | 2.98 | % | 2.52 | % | 2.05 | % | 1.91 | % | 1.75 | % | ||||||||||||||||
Portfolio turnover rate | 27 | %3 | 53 | % | 48 | % | 52 | % | 53 | % | 46 | % |
1 | Calculated using average shares outstanding for the period. |
2 | Less than $0.01. |
3 | Not annualized. |
4 | Annualized. |
5 | The ratio of expenses to average net assets for the six months ended April 30, 2020, the years ended October 31, 2019, 2018, 2017 and 2016, reflect fees reduced as result of contractual operating expense limitation of the share class. Prior to March 24, 2017, the expense limitation of the share class was 0.48%. Following March 24, 2017, the expense limitation was changed to 0.35%. The agreement is effective for the periods beginning on December 29, 2015 and can be changed at any time at the sole discretion of the Investment Advisor. For the six months ended April 30, 2020 and the years ended October 31, 2019, 2018, 2017 and 2016, the waived fees were $219,118, $538,703, $242,627, $132,560 and $45,079, respectively. |
6 | Less than 0.01%. |
The accompanying notes are an integral part of these financial statements.
BBH LIMITED DURATION FUND
FINANCIAL HIGHLIGHTS (continued)
Selected per share data and ratios for a Class I share outstanding throughout each period.
| |||||||||||||||||||||||||||
For the six months ended | For the years ended October 31, | ||||||||||||||||||||||||||
April 30, 2020 (unaudited) | 2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||||||||
Net asset value, beginning of period | $ | 10.25 | $ | 10.15 | $ | 10.19 | $ | 10.13 | $ | 10.14 | $ | 10.31 | |||||||||||||||
Income from investment operations: | |||||||||||||||||||||||||||
Net investment income1 | 0.13 | 0.31 | 0.25 | 0.22 | 0.22 | 0.20 | |||||||||||||||||||||
Net realized and unrealized gain (loss) | (0.27 | ) | 0.10 | (0.04 | ) | 0.06 | (0.01 | ) | (0.17 | ) | |||||||||||||||||
Total income from investment operations | (0.14 | ) | 0.41 | 0.21 | 0.28 | 0.21 | 0.03 | ||||||||||||||||||||
Less dividends and distributions: | |||||||||||||||||||||||||||
From net investment income | (0.13 | ) | (0.31 | ) | (0.25 | ) | (0.22 | ) | (0.22 | ) | (0.20 | ) | |||||||||||||||
Total dividends and distributions | (0.13 | ) | (0.31 | ) | (0.25 | ) | (0.22 | ) | (0.22 | ) | (0.20 | ) | |||||||||||||||
Net asset value, end of period | $ | 9.98 | $ | 10.25 | $ | 10.15 | $ | 10.19 | $ | 10.13 | $ | 10.14 | |||||||||||||||
Total return | (1.35 | )%2 | 4.12 | % | 2.11 | % | 2.77 | % | 2.13 | % | 0.30 | % | |||||||||||||||
Ratios/Supplemental data: | |||||||||||||||||||||||||||
Net assets, end of period (in millions) | $ | 6,279 | $ | 6,769 | $ | 6,000 | $ | 6,346 | $ | 4,737 | $ | 2,153 | |||||||||||||||
Ratio of expenses to average net assets before reductions | 0.27 | %3 | 0.28 | % | 0.27 | % | 0.28 | % | 0.27 | % | 0.28 | % | |||||||||||||||
Expense offset arrangement | –% | 0.00 | %4 | 0.00 | %4 | 0.00 | %4 | 0.00 | %4 | 0.00 | %4 | ||||||||||||||||
Ratio of expenses to average net assets after reductions | 0.27 | %3 | 0.28 | % | 0.27 | % | 0.28 | % | 0.27 | % | 0.28 | % | |||||||||||||||
Ratio of net investment income to average net assets | 2.63 | %3 | 3.04 | % | 2.47 | % | 2.17 | % | 2.21 | % | 1.94 | % | |||||||||||||||
Portfolio turnover rate | 27 | %2 | 53 | % | 48 | % | 52 | % | 53 | % | 46 | % |
1 | Calculated using average shares outstanding for the period. |
2 | Not annualized. |
3 | Annualized. |
4 | Less than 0.01%. |
The accompanying notes are an integral part of these financial statements.
financial statements april 30, 2020 | 29 |
BBH LIMITED DURATION FUND
NOTES TO FINANCIAL STATEMENTS
April 30, 2020 (unaudited)
1. | Organization. The Fund is a separate, diversified series of BBH Trust (the “Trust”), which is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. The Trust was originally organized under the laws of the State of Maryland on July 16, 1990 as BBH Fund, Inc. and re-organized as a Delaware statutory trust on June 12, 2007. The Fund commenced operations on December 22, 2000. The Fund offers Class N and Class I shares. Class N and Class I shares have different operating expenses. With the exception of class specific expenses, all expenses are allocated between classes based on net assets. Neither Class N shares nor Class I shares automatically convert to any other share class of the Fund. The investment objective of the Fund is to provide maximum total return, consistent with preservation of capital and prudent investment management. As of April 30, 2020, there were seven series of the Trust. |
2. | Significant Accounting Policies. The Fund’s financial statements are prepared in accordance with Generally Accepted Accounting Principles in the United States of America (“GAAP”). The Fund is an investment company and accordingly follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standard Codification Topic 946 Financial Services — Investment Companies. The following summarizes significant accounting policies of the Fund: |
A. | Valuation of Investments. Bonds and other fixed income securities, including restricted securities (other than short-term obligations but including listed issues) are valued at their most recent bid prices (sales price if the principal market is an exchange) in the principal market in which such securities are normally traded, on the basis of valuations furnished by a pricing service, use of which has been approved by the Board of Trustees (the “Board”). In making such valuations, the pricing service utilizes both dealer supplied valuations and electronic data processing techniques, which take into account appropriate factors such as institutional-size trading in similar groups of securities, yield, quality, coupon rate, maturity, type of issue, trading characteristics and other market data, without exclusive reliance upon quoted prices, or exchange or over-the-counter prices, since such valuations are believed to reflect more accurately the fair value of such securities. Futures contracts held by the Fund are valued daily at the official settlement price of the exchange on which it is traded. |
BBH LIMITED DURATION FUND
NOTES TO FINANCIAL STATEMENTS (continued)
April 30, 2020 (unaudited)
B. | Accounting for Investments and Income. Investment transactions are accounted for on the trade date. Realized gains and losses on investment transactions are determined based on the identified cost method. Interest income is accrued daily and consists of interest accrued, discount earned (including, if any, both original issue and market discount) and premium amortization on the investments of the Fund. Investment income is recorded net of any foreign taxes withheld where recovery of such tax is uncertain. Debt obligations may be placed on non-accrual status and related interest income may be reduced by ceasing current accruals and writing off interest receivable when the collection of all or a portion of the interest has become doubtful based on consistently applied procedures. A debt obligation is removed from non-accrual status when the issuer resumes interest payments or when collectability of interest is reasonably assured. |
C. | Fund Expenses. Most expenses of the Trust can be directly attributed to a specific fund. Expenses which cannot be directly attributed to a fund are generally apportioned among each fund in the Trust on a net assets basis or other suitable method. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known. |
D. | Financial Futures Contracts. The Fund may enter into open futures contracts in order to economically hedge against anticipated future changes in interest rates which otherwise might either adversely affect the value of securities held for the Fund or adversely affect the prices of securities that are intended to be purchased at a later date for the Fund. The contractual amount of the futures contracts represents the investment the Fund has in a particular contract and does not necessarily represent the amounts potentially subject to risk of loss. Trading in futures contracts involves, to varying degrees, risk of loss in excess of any futures variation margin reflected in the Statement of Assets and Liabilities. The measurement of risk associated with futures contracts is meaningful only when all related and offsetting transactions are considered. Gains and losses are realized upon the expiration or closing of the futures contracts. |
financial statements april 30, 2020 | 31 |
BBH LIMITED DURATION FUND
NOTES TO FINANCIAL STATEMENTS (continued)
April 30, 2020 (unaudited)
Asset Derivatives | Liability Derivatives | ||||||||||||||||||
Risk | Statement of Assets and Liabilities Location | Fair Value | Statement of Assets and Liabilities Location | Fair Value | |||||||||||||||
Interest Rate Risk | Net unrealized appreciation/(depreciation) on investments in securities and futures contracts | $ | – | Net unrealized appreciation/(depreciation) on investments in securities and futures contracts | $ | (13,047,002 | )* | ||||||||||||
Total | $ | – | $ | (13,047,002 | ) |
* | Includes cumulative appreciation/(depreciation) of futures contracts as reported in the Statement of Assets and Liabilities and Notes to Financial Statements. Only the current day’s variation margin is reported within the Statement of Assets and Liabilities. |
Net Realized Gain/(Loss) on Derivatives | ||||||
Futures Contracts | $ | 96,062 | ||||
Net Change in Unrealized Appreciation/(Depreciation) on Derivatives | ||||||
Futures Contracts | $ | (15,221,499 | ) |
E. | Rule 144A Securities. The Fund may purchase securities that are not registered under the Securities Act of 1933, as amended (“1933 Act”) but that can be sold to “qualified institutional buyers” in accordance with the requirements stated in Rule 144A under the 1933 Act (“Rule 144A Securities”). A Rule 144A Security may be considered illiquid and therefore, under SEC Regulations for open-end investment companies, subject to the 15% limitation on the purchase of illiquid securities, unless it is determined on an ongoing basis that an adequate trading market exists for the security, which is the case for the Fund. Guidelines have been adopted and the daily function of determining and monitoring liquidity of Rule 144A Securities has been delegated to the investment adviser. All relevant factors will be considered in determining the liquidity of Rule 144A Securities and all investments in Rule 144A Securities will be carefully monitored. Information regarding Rule 144A Securities is included at the end of the Portfolio of Investments. |
BBH LIMITED DURATION FUND
NOTES TO FINANCIAL STATEMENTS (continued)
April 30, 2020 (unaudited)
F. | Loan Participations and Assignments. The Fund may invest in loan participations and assignments, which include institutionally traded floating and fixed-rate debt securities generally acquired as an assignment from another holder of, or participation interest in, loans originated by a bank or financial institution (the “Lender”) that acts as agent for all holders. Some loan participations and assignments may be purchased on a “when-issued” basis. The agent administers the terms of the loan, as specified in the loan agreement. When investing in a loan assignment, the Fund acquires the loan in whole or in part and becomes a lender under the loan agreement. The Fund generally has the right to enforce compliance with the terms of the loan agreement with the borrower. |
G. | Federal Income Taxes. It is the Trust’s policy to comply with the requirements of the Internal Revenue Code (the “Code”) applicable to regulated investment companies and to distribute substantially all of its taxable income to its shareholders. Accordingly, no federal income tax provision is required. The Fund files a tax return annually using tax accounting methods required under provisions of the Code, which may differ from GAAP, which is the basis on which these financial statements are prepared. Accordingly, the amount of net investment income and net realized gain reported in these financial statements may differ from that reported on the Fund’s tax return, due to certain book-to-tax timing differences such as losses deferred due to “wash sale” transactions and utilization of capital loss carryforwards. These differences may result in temporary over-distributions for financial statement purposes and are classified as distributions in excess of accumulated net realized gains or net investment income. These distributions do not constitute a return of capital. Permanent differences are reclassified between paid-in capital and retained earnings/(accumulated deficit) within the Statement of Assets and Liabilities based upon their tax classification. As such, the character of distributions to shareholders reported in the Financial Highlights table may differ from that reported to shareholders on Form 1099-DIV. |
financial statements april 30, 2020 | 33 |
BBH LIMITED DURATION FUND
NOTES TO FINANCIAL STATEMENTS (continued)
April 30, 2020 (unaudited)
H. | Dividends and Distributions to Shareholders. Dividends and distributions from net investment income to shareholders are declared daily and paid monthly to shareholders. Distributions from net capital gains, if any, are generally declared and paid annually and are recorded on the ex-dividend date. The Fund declared dividends and distributions in the amount of $5,073,090 and $91,034,767 to Class N and Class I shareholders, respectively, during the six months ended April 30, 2020. |
Distributions paid from: | ||||||||||||||||||||||||
Ordinary income | Net long-term capital gain | Total taxable distributions | Tax return of capital | Total distributions paid | ||||||||||||||||||||
2019: | $ | 194,318,192 | $ | – | $ | 194,318,192 | $ | – | $ | 194,318,192 | ||||||||||||||
2018: | 161,002,161 | – | 161,002,161 | – | 161,002,161 |
Components of retained earnings/(accumulated deficit): | ||||||||||||||||||||||||||||
Undistributed ordinary income | Undistributed long-term capital gain | Accumulated capital and other losses | Other book/tax temporary differences | Unrealized appreciation/ (depreciation) | Total retained earnings/ (accumulated deficit) | |||||||||||||||||||||||
2019: | $ | 1,958,944 | $ | – | $ | (65,872,821 | ) | $ | (2,175,829 | ) | $ | 63,858,242 | $ | (2,231,464 | ) | |||||||||||||
2018: | 2,429,200 | – | (41,743,663 | ) | (3,503,095 | ) | (25,212,928 | ) | (68,030,486 | ) |
BBH LIMITED DURATION FUND
NOTES TO FINANCIAL STATEMENTS (continued)
April 30, 2020 (unaudited)
I. | Use of Estimates. The preparation of the financial statements in accordance with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities in the financial statements, disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increase and decrease in net assets from operations during the reporting period. Actual results could differ from these estimates. |
3. | Fees and Other Transactions with Affiliates. |
A. | Investment Advisory and Administrative Fees. Under a combined Investment Advisory and Administrative Services Agreement (“Agreement”) with the Trust, Brown Brothers Harriman & Co. (“BBH”) through a separately identifiable department (“SID” or “Investment Adviser”) provides investment advisory, portfolio management and administrative services to the Fund. The Fund pays a combined fee for investment advisory and administrative services calculated daily and paid monthly at an annual rate equivalent to 0.30% per annum on the first $1 billion of the Fund’s average daily net assets and 0.25% per annum on the Fund’s average daily net assets over $1 billion. For the six months ended April 30, 2020, the Fund incurred $9,420,407 for services under the Agreement. |
B. | Investment Advisory and Administrative Fee Waivers. Effective March 24, 2017 the Investment Adviser has contractually agreed to waive fees and/or reimburse expenses for the Fund’s Class N shares in order to limit total annual fund operating expenses (excluding interest, taxes, brokerage |
financial statements april 30, 2020 | 35 |
BBH LIMITED DURATION FUND
NOTES TO FINANCIAL STATEMENTS (continued)
April 30, 2020 (unaudited)
commissions, other expenditures that are capitalized in accordance with GAAP, other extraordinary expenses not incurred in the ordinary course of the Fund’s business) of Class N to 0.35%. For the six months ended April 30, 2020, the Investment Adviser waived fees in the amount of $291,118 for Class N. |
C. | Shareholder Servicing Fees. The Trust has a shareholder servicing agreement with BBH. BBH receives a fee from the Fund calculated daily and paid monthly at an annual rate of 0.20% of Class N shares’ average daily net assets. For the six months ended April 30, 2020, Class N shares of the Fund incurred $398,029 in shareholder servicing fees. |
D. | Custody and Fund Accounting Fees. BBH acts as a custodian and fund accountant and receives custody and fund accounting fees from the Fund calculated daily and incurred monthly. BBH holds all of the Fund’s cash and investments and calculates the Fund’s daily net asset value. The custody fee is an asset and transaction-based fee. The fund accounting fee is an asset-based fee calculated at 0.004% of the Fund’s net asset value. For the six months ended April 30, 2020, the Fund incurred $356,157 in custody and fund accounting fees. As per agreement with the Fund’s custodian, the Fund receives interest income on cash balances held by the custodian at the BBH Base Rate. The BBH Base Rate is defined as BBH’s effective trading rate in local money markets on each day. The total interest earned by the Fund for the six months ended April 30, 2020 was $65,714. This amount is included in “Interest income” in the Statement of Operations. In the event that the Fund is overdrawn, under the custody agreement with BBH, BBH will make overnight loans to the Fund to cover overdrafts. Pursuant to their agreement, the Fund will pay the Federal Funds overnight investment rate on the day of the overdraft. The total interest incurred by the Fund for the six months ended April 30, 2020, was $1,638. This amount is included under line item “Custody and fund accounting fees” in the Statement of Operations. |
E. | Board of Trustees’ Fees. Each Trustee who is not an “interested person” as defined under the 1940 Act receives an annual fee as well as reimbursement for reasonable out-of-pocket expenses from the Fund. For the six months ended April 30, 2020, the Fund incurred $30,490 in independent Trustee compensation and expense reimbursements. |
F. | Officers of the Trust. Officers of the Trust are also employees of BBH. Officers are paid no fees by the Trust for their services to the Trust. |
4. | Investment Transactions. For the six months ended April 30, 2020, the cost of purchases and the proceeds of sales of investment securities, other than short-term investments, were $1,458,641,083 and $1,478,089,790, respectively. |
BBH LIMITED DURATION FUND
NOTES TO FINANCIAL STATEMENTS (continued)
April 30, 2020 (unaudited)
5. | Shares of Beneficial Interest. The Trust is permitted to issue an unlimited number of Class N shares and Class I shares of beneficial interest, at no par value. Transactions in Class N and Class I shares were as follows: |
For the six months ended April 30, 2020 (unaudited) | For the year ended October 31, 2019 | ||||||||||||||||||
Shares | Dollars | Shares | Dollars | ||||||||||||||||
Class N | |||||||||||||||||||
Shares sold | 26,453,413 | $ | 270,151,628 | 24,313,000 | $ | 247,981,386 | |||||||||||||
Shares issued in connection with reinvestments of dividends | 482,308 | 4,888,149 | 938,363 | 9,579,579 | |||||||||||||||
Proceeds from short-term redemption fees | N/A | N/A | N/A | 501 | |||||||||||||||
Shares redeemed | (21,381,936 | ) | (216,625,978 | ) | (16,202,982 | ) | (165,389,532 | ) | |||||||||||
Net increase | 5,553,785 | $ | 58,413,799 | 9,048,381 | $ | 92,171,934 | |||||||||||||
Class I | |||||||||||||||||||
Shares sold | 171,018,932 | $ | 1,746,938,571 | 306,868,172 | $ | 3,134,174,799 | |||||||||||||
Shares issued in connection with reinvestments of dividends | 1,440,845 | 14,610,728 | 3,375,545 | 34,430,879 | |||||||||||||||
Shares redeemed | (203,542,986 | ) | (2,047,803,938 | ) | (241,370,268 | ) | (2,461,541,977 | ) | |||||||||||
Net increase (decrease) | (31,083,209 | ) | $ | (286,254,639 | ) | 68,873,449 | $ | 707,063,701 |
financial statements april 30, 2020 | 37 |
BBH LIMITED DURATION FUND
NOTES TO FINANCIAL STATEMENTS (continued)
April 30, 2020 (unaudited)
6. | Principal Risk Factors and Indemnifications. |
A. | Principal Risk Factors. Investing in the Fund may involve certain risks, as discussed in the Fund’s prospectus, including but not limited to, those described below: |
BBH LIMITED DURATION FUND
NOTES TO FINANCIAL STATEMENTS (continued)
April 30, 2020 (unaudited)
guaranteed by the U.S. Treasury (U.S. Government Agency Securities Risk). LIBOR is scheduled to be phased out by the end of 2021. The unavailability and/or discontinuation of LIBOR may affect the value, liquidity or return on certain fund investments that mature later than 2021 and may result in costs incurred in connection with closing out positions and entering into new positions. Any pricing adjustments to the fund’s investments resulting from a substitute reference rate may also adversely affect the fund’s performance and/or net asset value. The extent of the Fund’s exposure to these risks in respect to these financial assets is included in their value as recorded in the Fund’s Statement of Assets and Liabilities.
B. | Indemnifications. Under the Trust’s organizational documents, its officers and Trustees may be indemnified against certain liabilities and expenses arising out of the performance of their duties to the Fund, and shareholders are indemnified against personal liability for the obligations of the Trust. Additionally, in the normal course of business, the Fund enters into agreements with service providers that may contain indemnification clauses. The Fund’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Fund that have not yet occurred. The risk of material loss from such claims is considered remote. |
7. | Recent Pronouncements. |
A. | ASU 2017-08. In March 2017, the Financial Accounting Standards Board issued an Accounting Standards Update, ASU 2017-08, Receivables — Nonrefundable Fees and Other Costs (Subtopic 310-20), Premium Amortization on Purchased Callable Debt Securities (the “ASU 2017-08”) which amends the amortization period for certain purchased callable debt securities held at a premium, shortening such period to the earliest call date. The ASU 2017-08 does not require any accounting change for debt securities held at a discount; the discount continues to be amortized to maturity. The ASU 2017-08 is effective for years, and interim periods within those years, beginning after December 15, 2018. The application of ASU 2017-08 did not have a significant impact on the Fund’s financial statements. |
8. | Significant Events. In the beginning of 2020, there was an outbreak of the novel corona virus (COVID 19) which has impacted the financial markets and the global economy as a whole. The outbreak of COVID 19 is still ongoing and the magnitude and impact on the financial markets is highly uncertain and cannot be predicted. The effect of this impact may adversely impact the future carrying value of investments and results of operations of the Fund. |
9. | Subsequent Events. Management has evaluated events and transactions that have occurred since April 30, 2020 through the date the financial statements were issued and determined that there were none that would require recognition or additional disclosure in the financial statements. |
financial statements april 30, 2020 | 39 |
BBH LIMITED DURATION FUND
DISCLOSURE OF FUND EXPENSES
April 30, 2020 (unaudited)
BBH LIMITED DURATION FUND
DISCLOSURE OF FUND EXPENSES (continued)
April 30, 2020 (unaudited)
Beginning Account Value November 1, 2019 | Ending Account Value April 30, 2020 | Expenses Paid During Period November 1, 2019 to April 30, 20201 | ||||||||||||
Class N | ||||||||||||||
Actual | $ | 1,000 | $ | 986 | $ | 1.73 | ||||||||
Hypothetical2 | $ | 1,000 | $ | 1,023 | $ | 1.76 |
Beginning Account Value November 1, 2019 | Ending Account Value April 30, 2020 | Expenses Paid During Period November 1, 2019 to April 30, 20201 | ||||||||||||
Class I | ||||||||||||||
Actual | $ | 1,000 | $ | 986 | $ | 1.33 | ||||||||
Hypothetical2 | $ | 1,000 | $ | 1,024 | $ | 1.36 |
1 | Expenses are equal to the Fund’s annualized expense ratio of 0.35% and 0.27% for Class N and I shares, respectively, multiplied by the average account value over the period, multiplied by 182/366 (to reflect the one-half year period). |
2 | Assumes a return of 5% before expenses. For the purposes of the calculation, the applicable annualized expenses ratio for each class of shares is subtracted from the assumed return before expenses. |
financial statements april 30, 2020 | 41 |
BBH LIMITED DURATION FUND
DISCLOSURE OF ADVISOR SELECTION
April 30, 2020 (unaudited)
BBH LIMITED DURATION FUND
DISCLOSURE OF ADVISOR SELECTION (continued)
April 30, 2020 (unaudited)
the Board considered in making its determination to approve the continuance of the Agreement. No single factor reviewed by the Board was identified as the principal factor in determining whether to approve the Agreement, and individual Trustees may have given different weight to various factors. The Board reviewed these factors with Fund Counsel. The Board concluded that the fees paid by the Fund to the Investment Adviser were reasonable based on the comparative performance, expense information, the cost of the services provided, and the profits realized by the Investment Adviser.
financial statements april 30, 2020 | 43 |
BBH LIMITED DURATION FUND
DISCLOSURE OF ADVISOR SELECTION (continued)
April 30, 2020 (unaudited)
As part of this review, the Trustees considered the composition of the peer category, selection criteria and reputation of Broadridge who prepared the peer category analysis. The Board reviewed and discussed with both BBH and Broadridge the report’s findings and discussed the positioning of the Fund relative to its selected peer category. The Board considered short-term and long-term investment performance for the Fund over various periods of time as compared to a selection of peer category, noting the Fund’s underperformance in the 1-year period and outperformance for the 2-, 3-, 4-, 5- and 10-year periods ended September 30, 2019. In evaluating the performance of the Fund, the Board considered the risk expectations for the Fund as well as the relevant market conditions for the Fund’s investments and investment strategy. Based on this information, and in light of the Fund’s historic investment style, the Board concluded that it was satisfied with the Fund’s investment results.
BBH LIMITED DURATION FUND
DISCLOSURE OF ADVISOR SELECTION (continued)
April 30, 2020 (unaudited)
custodian, fund accounting and shareholder servicing agent. In light of the costs of providing services pursuant to the Agreement as well as the Investment Adviser and BBH’s commitment to the Fund, the ancillary benefits that the Investment Adviser and BBH received were considered reasonable.
financial statements april 30, 2020 | 45 |
BBH LIMITED DURATION FUND
CONFLICTS OF INTEREST
April 30, 2020 (unaudited)
BBH LIMITED DURATION FUND
CONFLICTS OF INTEREST (continued)
April 30, 2020 (unaudited)
investment methods and strategies, of Other Clients. Accordingly, such Other Clients’ accounts may produce results that are materially different from those experienced by the Funds. Certain other conflicts of interest may arise in connection with a portfolio manager’s management of the Funds’ investments, on the one hand, and the investments of other funds or accounts for which the portfolio manager is responsible, on the other. For example, it is possible that the various funds or accounts managed by the Investment Adviser or Sub-Adviser could have different investment strategies that, at times, might conflict with one another to the possible detriment of the Funds. From time to time, the Investment Adviser and Sub-Adviser, sponsor and with other investment pools and accounts which engage in the same or similar businesses as the Funds using the same or similar investment strategies. To the extent that the same investment opportunities might be desirable for more than one account or fund, possible conflicts could arise in determining how to allocate them because the Investment Adviser or Sub-Adviser may have an incentive to allocate investment opportunities to certain accounts or funds. However, BBH and the Sub-Adviser have implemented policies and procedures designed to ensure that information relevant to investment decisions is disseminated promptly within its portfolio management teams and investment opportunities are allocated equitably among different clients. The policies and procedures require, among other things, objective allocation for limited investment opportunities, and documentation and review of justifications for any decisions to make investments only for select accounts or in a manner disproportionate to the size of the account. Nevertheless, access to investment opportunities may be allocated differently among accounts due to the particular characteristics of an account, such as size of the account, cash position, tax status, risk tolerance and investment restrictions or for other reasons.
financial statements april 30, 2020 | 47 |
BBH LIMITED DURATION FUND
CONFLICTS OF INTEREST (continued)
April 30, 2020 (unaudited)
BBH LIMITED DURATION FUND
CONFLICTS OF INTEREST (continued)
April 30, 2020 (unaudited)
financial statements april 30, 2020 | 49 |
BBH LIMITED DURATION FUND
CONFLICTS OF INTEREST (continued)
April 30, 2020 (unaudited)
securities may not, in retrospect, be the price at which those assets could have been sold during the period in which the particular fair values were used in determining the Funds’ net asset value. As a result, the Funds’ sale or redemption of its shares at net asset value, at a time when a holding or holdings are valued by BBH (pursuant to Board-adopted procedures) at fair value, may have the effect of diluting or increasing the economic interest of existing shareholders.
BBH LIMITED DURATION FUND
STATEMENT REGARDING LIQUIDITY RISK MANAGEMENT PROGRAM
April 30, 2020 (unaudited)
financial statements april 30, 2020 | 51 |
BBH LIMITED DURATION FUND
STATEMENT REGARDING LIQUIDITY RISK MANAGEMENT PROGRAM (continued)
April 30, 2020 (unaudited)
The Program Administrator also took into consideration other factors such as shareholder ownership concentration, applicable distribution channels and the degree of certainty associated with a Fund’s short-term and long-term cash flow projections.
Administrator Brown Brothers Harriman & Co. 140 Broadway New York, NY 10005 Distributor ALPS Distributors, Inc. 1290 Broadway, Suite 1100 Denver, CO 80203 Shareholder Servicing Agent Brown Brothers Harriman & Co. 140 Broadway New York, NY 10005 1-800-575-1265 | Investment Adviser Brown Brothers Harriman Mutual Fund Advisory Department 140 Broadway New York, NY 10005 |
By telephone: | Call 1-800-575-1265 | |||||
By E-mail send your request to: | bbhfunds@bbh.com | |||||
On the internet: | www.bbhfunds.com |
BBH INTERMEDIATE MUNICIPAL BOND FUND
PORTFOLIO ALLOCATION
April 30, 2020 (unaudited)
BREAKDOWN BY SECURITY TYPE
U.S. $ Value | Percent of Net Assets | ||||||
Municipal Bonds | $558,200,201 | 101.4% | |||||
Liabilities in Excess of Other Assets | (7,508,730) | (1.4) | |||||
NET ASSETS | $550,691,471 | 100.0% |
All data as of April 30, 2020.BBH Intermediate Municipal Bond Fund’s (the “Fund”) security type diversification is expressed as a percentage of net assets and may vary over time.
CREDIT QUALITY
U.S. $ Value | Percent of Total Investments | ||||||
AAA | $150,142,077 | 26.8% | |||||
AA | 219,832,460 | 39.4 | |||||
A | 153,298,834 | 27.5 | |||||
BBB | 30,019,980 | 5.4 | |||||
SP-1 | 4,906,850 | 0.9 | |||||
TOTAL INVESTMENTS | $558,200,201 | 100.0% | |||||
All data as of April 30, 2020. The Fund’s credit quality is expressed as a percentage of total investments and may vary over time. Ratings are provided by Standard and Poor’s (S&P). Where S&P ratings are not available, they are substituted with Moody’s. S&P and Moody’s are independent third parties.
The accompanying notes are an integral part of these financial statements.
2
BBH INTERMEDIATE MUNICIPAL BOND FUND
PORTFOLIO OF INVESTMENTS
April 30, 2020 (unaudited)
Principal | Maturity Date | Interest | Value | |||||||||||
MUNICIPAL BONDS (101.4%) | ||||||||||||||
Alabama (0.0%) | ||||||||||||||
$ | 150,000 | Alabama 21st Century Authority, Revenue Bonds | 06/01/21 | 5.000% | $ | 153,531 | ||||||||
Total Alabama | 153,531 | |||||||||||||
Arizona (0.0%) | ||||||||||||||
205,000 | Salt Verde Financial Corp., Revenue Bonds | 12/01/22 | 5.250 | 221,484 | ||||||||||
Total Arizona | 221,484 | |||||||||||||
Arkansas (0.6%) | ||||||||||||||
3,200,000 | Little Rock Metrocentere Improvement District No 1, Revenue Bonds1 | 05/01/20 | 0.180 | 3,200,000 | ||||||||||
Total Arkansas | 3,200,000 | |||||||||||||
California (12.3%) | ||||||||||||||
510,000 | Anaheim City School District, General Obligation Bonds, NPFG2 | 08/01/24 | 0.000 | 479,874 | ||||||||||
1,000,000 | Anaheim City School District, General Obligation Bonds, NPFG2 | 08/01/26 | 0.000 | 899,120 | ||||||||||
725,000 | Anaheim City School District, General Obligation Bonds, AGM, NPFG2 | 08/01/28 | 0.000 | 621,223 | ||||||||||
2,140,000 | Anaheim City School District, General Obligation Bonds, AGM, NPFG2 | 08/01/29 | 0.000 | 1,777,313 | ||||||||||
660,000 | Anaheim Public Financing Authority, Revenue Bonds, AGM2 | 09/01/30 | 0.000 | 528,238 | ||||||||||
3,000,000 | Bay Area Toll Authority, Revenue Bonds | 04/01/54 | 5.000 | 3,461,310 | ||||||||||
3,375,000 | Burbank Unified School District, General Obligation Bonds, NPFG2 | 08/01/23 | 0.000 | 3,212,291 | ||||||||||
6,550,000 | Burbank Unified School District, General Obligation Bonds, NPFG2 | 08/01/24 | 0.000 | 6,121,761 | ||||||||||
6,000,000 | California Infrastructure & Economic Development Bank, Revenue Bonds (1-Month USD-LIBOR + 0.330%)3 | 10/01/47 | 1.019 | 5,891,880 | ||||||||||
The accompanying notes are an integral part of these financial statements.
FINANCIAL STATEMENTS APRIL 30, 2020 | 3 |
BBH INTERMEDIATE MUNICIPAL BOND FUND
PORTFOLIO OF INVESTMENTS (continued)
April 30, 2020 (unaudited)
Principal | Maturity Date | Interest | Value | |||||||||||
MUNICIPAL BONDS (continued) | ||||||||||||||
California (continued) | ||||||||||||||
$ | 1,185,000 | California Pollution Control Financing Authority, Revenue Bonds3,4 | 11/01/40 | 3.125% | $ | 1,203,284 | ||||||||
200,000 | California Statewide Communities Development Authority, Revenue Bonds1 | 05/01/20 | 0.100 | 200,000 | ||||||||||
1,040,000 | Chaffey Joint Union High School District, General Obligation Bonds2 | 08/01/33 | 0.000 | 736,778 | ||||||||||
2,025,000 | Chula Vista Elementary School District, Revenue Bonds2 | 08/01/23 | 0.000 | 1,966,275 | ||||||||||
1,015,000 | Downey Unified School District, General Obligation Bonds2 | 08/01/33 | 0.000 | 689,682 | ||||||||||
1,000,000 | Downey Unified School District, General Obligation Bonds2 | 08/01/35 | 0.000 | 619,750 | ||||||||||
1,000,000 | Golden State Tobacco Securitization Corp., Revenue Bonds | 06/01/21 | 5.000 | 1,036,010 | ||||||||||
1,000,000 | Golden State Tobacco Securitization Corp., Revenue Bonds, AGM2 | 06/01/25 | 0.000 | 916,280 | ||||||||||
5,500,000 | Golden State Tobacco Securitization Corp., Revenue Bonds, AMBAC2 | 06/01/27 | 0.000 | 4,717,130 | ||||||||||
1,000,000 | Grossmont Healthcare District, General Obligation Bonds, AMBAC2 | 07/15/30 | 0.000 | 799,320 | ||||||||||
600,000 | Irvine Ranch Water District, Special Assessment Bonds1 | 05/01/20 | 0.100 | 600,000 | ||||||||||
1,100,000 | La Mesa-Spring Valley School District, General Obligation Bonds, NPFG2 | 08/01/26 | 0.000 | 983,543 | ||||||||||
1,440,000 | Lake Tahoe Unified School District, General Obligation Bonds, NPFG2 | 08/01/27 | 0.000 | 1,265,544 | ||||||||||
1,110,000 | Lake Tahoe Unified School District, General Obligation Bonds, NPFG2 | 08/01/30 | 0.000 | 888,777 | ||||||||||
725,000 | Long Beach Bond Finance Authority, Revenue Bonds | 11/15/22 | 5.250 | 779,600 | ||||||||||
360,000 | Long Beach Bond Finance Authority, Revenue Bonds (3-Month USD-LIBOR + 1.450%)3 | 11/15/27 | 2.583 | 336,136 | ||||||||||
The accompanying notes are an integral part of these financial statements.
4
BBH INTERMEDIATE MUNICIPAL BOND FUND
PORTFOLIO OF INVESTMENTS (continued)
April 30, 2020 (unaudited)
Principal | Maturity Date | Interest | Value | |||||||||||
MUNICIPAL BONDS (continued) | ||||||||||||||
California (continued) | ||||||||||||||
$ | 4,000,000 | Newark Unified School District, General Obligation Bonds, AGM2 | 08/01/25 | 0.000% | $ | 3,660,200 | ||||||||
7,035,000 | Northern California Gas Authority No 1, Revenue Bonds (3-Month USD-LIBOR + 0.720%)3 | 07/01/27 | 1.680 | 6,553,595 | ||||||||||
1,115,000 | Oak Grove School District, General Obligation Bonds2 | 08/01/31 | 0.000 | 917,656 | ||||||||||
1,030,000 | Oak Grove School District, General Obligation Bonds2 | 08/01/32 | 0.000 | 837,895 | ||||||||||
1,050,000 | Oak Park Unified School District, General Obligation Bonds, AGM2 | 08/01/28 | 0.000 | 901,173 | ||||||||||
975,000 | Placer Union High School District, General Obligation Bonds, AGM2 | 08/01/30 | 0.000 | 786,240 | ||||||||||
775,000 | Roseville Joint Union High School District, General Obligation Bonds, AGM2 | 08/01/30 | 0.000 | 615,536 | ||||||||||
1,035,000 | Roseville Joint Union High School District, General Obligation Bonds2 | 08/01/33 | 0.000 | 674,033 | ||||||||||
3,000,000 | San Diego Unified School District, General Obligation Bonds2 | 07/01/37 | 0.000 | 1,625,940 | ||||||||||
1,000,000 | Santa Ana Unified School District, General Obligation Bonds, NPFG2 | 08/01/24 | 0.000 | 929,910 | ||||||||||
1,400,000 | Southern California Public Power Authority, Revenue Bonds1 | 05/01/20 | 0.100 | 1,400,000 | ||||||||||
4,000,000 | State of California, General Obligation Bonds (1-Month USD-LIBOR + 0.760%)3 | 12/01/31 | 1.455 | 3,968,600 | ||||||||||
2,415,000 | State of California, General Obligation Bonds | 12/01/32 | 2.850 | 2,514,909 | ||||||||||
1,000,000 | Ukiah Unified School District, General Obligation Bonds, NPFG2 | 08/01/24 | 0.000 | 936,980 | ||||||||||
1,040,000 | Windsor Unified School District, General Obligation Bonds2 | 08/01/33 | 0.000 | 714,813 | ||||||||||
Total California | 67,768,599 | |||||||||||||
The accompanying notes are an integral part of these financial statements.
FINANCIAL STATEMENTS APRIL 30, 2020 | 5 |
BBH INTERMEDIATE MUNICIPAL BOND FUND
PORTFOLIO OF INVESTMENTS (continued)
April 30, 2020 (unaudited)
Principal | Maturity Date | Interest | Value | |||||||||||
MUNICIPAL BONDS (continued) | ||||||||||||||
Colorado (0.9%) | ||||||||||||||
$ | 1,978,996 | Colorado Housing & Finance Authority, Revenue Bonds, GNMA | 11/01/48 | 4.200% | $ | 2,082,398 | ||||||||
1,900,000 | E-470 Public Highway Authority, Revenue Bonds, NPFG2 | 09/01/25 | 0.000 | 1,641,125 | ||||||||||
1,750,000 | E-470 Public Highway Authority, Revenue Bonds, NPFG2 | 09/01/27 | 0.000 | 1,411,130 | ||||||||||
Total Colorado | 5,134,653 | |||||||||||||
Connecticut (3.8%) | ||||||||||||||
1,135,000 | Connecticut Housing Finance Authority, Revenue Bonds, FHLMC, FNMA, GNMA | 11/15/22 | 2.100 | 1,152,559 | ||||||||||
530,000 | Connecticut Housing Finance Authority, Revenue Bonds | 05/15/23 | 2.800 | 547,670 | ||||||||||
2,845,000 | Connecticut State Health & Educational Facilities Authority, Revenue Bonds3,4 | 07/01/42 | 2.000 | 2,910,321 | ||||||||||
3,455,000 | Connecticut State Health & Educational Facilities Authority, Revenue Bonds3,4 | 07/01/49 | 1.800 | 3,487,373 | ||||||||||
245,000 | State of Connecticut, General Obligation Bonds (SIFMA Municipal Swap Index Yield + 0.900%)3 | 03/01/23 | 1.120 | 241,707 | ||||||||||
1,000,000 | State of Connecticut, General Obligation Bonds (SIFMA Municipal Swap Index Yield + 0.990%)3 | 03/01/25 | 1.210 | 976,330 | ||||||||||
1,845,000 | State of Connecticut, General Obligation Bonds | 03/01/26 | 5.000 | 2,041,474 | ||||||||||
2,050,000 | State of Connecticut Special Tax Revenue, Revenue Bonds | 08/01/25 | 5.000 | 2,359,960 | ||||||||||
2,945,000 | State of Connecticut Special Tax Revenue, Revenue Bonds | 09/01/26 | 5.000 | 3,445,444 | ||||||||||
The accompanying notes are an integral part of these financial statements.
6
BBH INTERMEDIATE MUNICIPAL BOND FUND
PORTFOLIO OF INVESTMENTS (continued)
April 30, 2020 (unaudited)
Principal | Maturity Date | Interest | Value | |||||||||||
MUNICIPAL BONDS (continued) | ||||||||||||||
Connecticut (continued) | ||||||||||||||
$ | 1,065,000 | State of Connecticut Special Tax Revenue, Revenue Bonds | 08/01/27 | 5.000% | $ | 1,220,873 | ||||||||
2,125,000 | State of Connecticut Special Tax Revenue, Revenue Bonds | 01/01/29 | 5.000 | 2,499,978 | ||||||||||
Total Connecticut | 20,883,689 | |||||||||||||
District of Columbia (1.4%) | ||||||||||||||
1,000,000 | District of Columbia, Revenue Bonds | 03/01/27 | 5.000 | 1,239,450 | ||||||||||
5,000,000 | District of Columbia, Revenue Bonds | 10/01/28 | 5.000 | 6,406,200 | ||||||||||
Total District of Columbia | 7,645,650 | |||||||||||||
Florida (3.6%) | ||||||||||||||
1,020,000 | County of Broward Airport System, Revenue Bonds | 10/01/25 | 5.000 | 1,096,724 | ||||||||||
1,750,000 | County of Broward Airport System, Revenue Bonds | 10/01/31 | 5.000 | 2,059,540 | ||||||||||
1,015,000 | County of Hillsborough Solid Waste & Resource Recovery, Revenue Bonds | 09/01/24 | 5.000 | 1,161,586 | ||||||||||
1,185,000 | Florida Housing Finance Corp., Revenue Bonds, FHLMC, FNMA, GNMA | 07/01/49 | 4.000 | 1,259,086 | ||||||||||
4,490,000 | Florida Housing Finance Corp., Revenue Bonds, FHLMC, FNMA, GNMA | 01/01/50 | 4.250 | 4,807,129 | ||||||||||
1,750,000 | State of Florida, General Obligation Bonds | 06/01/26 | 5.000 | 2,138,168 | ||||||||||
2,125,000 | State of Florida Lottery Revenue, Revenue Bonds | 07/01/25 | 5.000 | 2,534,105 | ||||||||||
3,675,000 | State of Florida Lottery Revenue, Revenue Bonds | 07/01/27 | 5.000 | 4,492,577 | ||||||||||
Total Florida | 19,548,915 | |||||||||||||
The accompanying notes are an integral part of these financial statements.
FINANCIAL STATEMENTS APRIL 30, 2020 | 7 |
BBH INTERMEDIATE MUNICIPAL BOND FUND
PORTFOLIO OF INVESTMENTS (continued)
April 30, 2020 (unaudited)
Principal | Maturity Date | Interest | Value | |||||||||||
MUNICIPAL BONDS (continued) | ||||||||||||||
Georgia (4.3%) | ||||||||||||||
$ | 4,850,000 | Development Authority of Burke County, Revenue Bonds3,4 | 10/01/32 | 2.250% | $ | 4,775,262 | ||||||||
1,200,000 | Development Authority of Burke County, Revenue Bonds3,4 | 11/01/45 | 3.000 | 1,207,428 | ||||||||||
2,290,000 | Development Authority of Burke County, Revenue Bonds3,4 | 11/01/45 | 3.250 | 2,324,167 | ||||||||||
65,000 | Georgia Municipal Electric Authority, Revenue Bonds, NPFG3,4 | 01/01/21 | 3.537 | 65,518 | ||||||||||
345,000 | Georgia Municipal Electric Authority, Revenue Bonds | 01/01/25 | 5.000 | 373,914 | ||||||||||
1,265,000 | Georgia Municipal Electric Authority, Revenue Bonds | 01/01/26 | 5.000 | 1,386,921 | ||||||||||
800,000 | Georgia Municipal Electric Authority, Revenue Bonds | 01/01/27 | 5.000 | 887,160 | ||||||||||
990,000 | Georgia Municipal Electric Authority, Revenue Bonds | 01/01/29 | 5.000 | 1,109,651 | ||||||||||
2,700,000 | Georgia Municipal Electric Authority, Revenue Bonds | 01/01/29 | 5.000 | 3,033,990 | ||||||||||
1,140,000 | Georgia Municipal Electric Authority, Revenue Bonds | 01/01/31 | 5.000 | 1,262,573 | ||||||||||
1,000,000 | Georgia Municipal Electric Authority, Revenue Bonds | 01/01/33 | 5.000 | 1,093,550 | ||||||||||
500,000 | Georgia Municipal Electric Authority, Revenue Bonds | 01/01/34 | 5.000 | 544,685 | ||||||||||
1,750,000 | Monroe County Development Authority, Revenue Bonds | 07/01/25 | 2.250 | 1,788,343 | ||||||||||
1,200,000 | State of Georgia, General Obligation Bonds | 02/01/25 | 5.000 | 1,415,016 | ||||||||||
1,710,000 | State of Georgia, General Obligation Bonds | 12/01/26 | 5.000 | 2,117,527 | ||||||||||
Total Georgia | 23,385,705 | |||||||||||||
The accompanying notes are an integral part of these financial statements.
8
BBH INTERMEDIATE MUNICIPAL BOND FUND
PORTFOLIO OF INVESTMENTS (continued)
April 30, 2020 (unaudited)
Principal | Maturity Date | Interest | Value | |||||||||||
MUNICIPAL BONDS (continued) | ||||||||||||||
Hawaii (0.2%) | ||||||||||||||
$ | 310,000 | State of Hawaii Airports System Revenue, Certificates of Participation | 08/01/25 | 5.250% | $ | 339,007 | ||||||||
650,000 | State of Hawaii Airports System Revenue, Certificates of Participation | 08/01/26 | 5.250 | 710,612 | ||||||||||
Total Hawaii | 1,049,619 | |||||||||||||
Idaho (0.5%) | ||||||||||||||
2,950,000 | Idaho Health Facilities Authority, Revenue Bonds1 | 05/01/20 | 0.150 | 2,950,000 | ||||||||||
Total Idaho | 2,950,000 | |||||||||||||
Illinois (4.9%) | ||||||||||||||
1,000,000 | Chicago Transit Authority, Revenue Bonds | 06/01/20 | 5.000 | 1,002,850 | ||||||||||
755,000 | Chicago Transit Authority, Revenue Bonds | 06/01/21 | 5.000 | 784,551 | ||||||||||
2,000,000 | Chicago Transit Authority, Revenue Bonds | 06/01/21 | 5.000 | 2,078,720 | ||||||||||
300,000 | Illinois Finance Authority, Revenue Bonds1 | 05/01/20 | 0.150 | 300,000 | ||||||||||
2,000,000 | Illinois Finance Authority, Revenue Bonds | 08/15/27 | 5.000 | 2,372,780 | ||||||||||
2,000,000 | Illinois Finance Authority, Revenue Bonds | 08/15/28 | 5.000 | 2,407,220 | ||||||||||
1,705,000 | Illinois Finance Authority, Revenue Bonds | 08/15/29 | 5.000 | 2,075,991 | ||||||||||
2,740,000 | Illinois Finance Authority, Revenue Bonds | 07/15/32 | 3.000 | 2,800,116 | ||||||||||
2,470,000 | Illinois Finance Authority, Revenue Bonds | 08/15/36 | 4.000 | 2,628,500 | ||||||||||
95,000 | Illinois Finance Authority, Revenue Bonds3,4 | 07/15/57 | 5.000 | 102,873 |
The accompanying notes are an integral part of these financial statements.
FINANCIAL STATEMENTS APRIL 30, 2020 | 9 |
BBH INTERMEDIATE MUNICIPAL BOND FUND
PORTFOLIO OF INVESTMENTS (continued)
April 30, 2020 (unaudited)
Principal | Maturity Date | Interest | Value | |||||||||||
MUNICIPAL BONDS (continued) | ||||||||||||||
Illinois (continued) | ||||||||||||||
$ | 205,000 | Railsplitter Tobacco Settlement Authority, Revenue Bonds | 06/01/21 | 5.250% | $ | 213,442 | ||||||||
3,965,000 | Railsplitter Tobacco Settlement Authority, Revenue Bonds | 06/01/24 | 5.000 | 4,492,940 | ||||||||||
355,000 | Railsplitter Tobacco Settlement Authority, Revenue Bonds | 06/01/26 | 5.000 | 421,601 | ||||||||||
3,945,000 | Railsplitter Tobacco Settlement Authority, Revenue Bonds | 06/01/27 | 5.000 | 4,672,774 | ||||||||||
270,000 | Railsplitter Tobacco Settlement Authority, Revenue Bonds | 06/01/28 | 5.000 | 318,832 | ||||||||||
Total Illinois | 26,673,190 | |||||||||||||
Indiana (1.7%) | ||||||||||||||
2,700,000 | City of Rockport, Revenue Bonds | 06/01/25 | 3.050 | 2,854,872 | ||||||||||
165,000 | Indiana Bond Bank, Revenue Bonds (3-Month USD-LIBOR + 0.970%)3 | 10/15/22 | 1.787 | 159,238 | ||||||||||
2,000,000 | Indiana Finance Authority, Revenue Bonds3,4 | 12/01/58 | 2.250 | 2,016,680 | ||||||||||
3,770,000 | Indiana Housing & Community Development Authority, Revenue Bonds | 01/01/49 | 3.750 | 4,013,919 | ||||||||||
Total Indiana | 9,044,709 | |||||||||||||
Iowa (1.0%) | ||||||||||||||
700,000 | Iowa Finance Authority, Revenue Bonds, FHLMC, FNMA, GNMA | 07/01/46 | 4.000 | 732,116 | ||||||||||
4,205,000 | Iowa Finance Authority, Revenue Bonds, FHLMC, FNMA, GNMA | 01/01/50 | 3.750 | 4,479,250 | ||||||||||
Total Iowa | 5,211,366 | |||||||||||||
Kansas (0.0%) | ||||||||||||||
250,000 | University of Kansas Hospital Authority, Revenue Bonds1 | 05/01/20 | 0.170 | 250,000 | ||||||||||
Total Kansas | 250,000 |
The accompanying notes are an integral part of these financial statements.
10
BBH INTERMEDIATE MUNICIPAL BOND FUND
PORTFOLIO OF INVESTMENTS (continued)
April 30, 2020 (unaudited)
Principal | Maturity Date | Interest | Value | |||||||||||
MUNICIPAL BONDS (continued) | ||||||||||||||
Kentucky (1.0%) | ||||||||||||||
$ | 4,965,000 | Kentucky Public Energy Authority, Revenue Bonds3,4 | 12/01/49 | 4.000% | $ | 5,260,616 | ||||||||
Total Kentucky | 5,260,616 | |||||||||||||
Louisiana (0.0%) | ||||||||||||||
25,000 | Tobacco Settlement Financing Corp., Revenue Bonds | 05/15/22 | 5.000 | 26,063 | ||||||||||
Total Louisiana | 26,063 | |||||||||||||
�� | ||||||||||||||
Maryland (2.4%) | ||||||||||||||
1,125,000 | County of Baltimore, General Obligation Bonds | 02/01/26 | 5.000 | 1,359,214 | ||||||||||
135,000 | State of Maryland, General Obligation Bonds | 08/01/24 | 5.000 | 156,939 | ||||||||||
10,000,000 | State of Maryland, General Obligation Bonds | 03/15/25 | 5.000 | 11,827,700 | ||||||||||
Total Maryland | 13,343,853 | |||||||||||||
Massachusetts (3.7%) | ||||||||||||||
1,555,000 | Commonwealth of Massachusetts, Revenue Bonds, AGM3,4 | 06/01/22 | 3.260 | 1,626,266 | ||||||||||
4,305,000 | Commonwealth of Massachusetts, General Obligation Bonds (3-Month USD-LIBOR + 0.550%)3 | 11/01/25 | 1.731 | 4,278,653 | ||||||||||
4,625,000 | Commonwealth of Massachusetts, General Obligation Bonds | 07/01/26 | 5.000 | 5,632,464 | ||||||||||
1,200,000 | Commonwealth of Massachusetts, General Obligation Bonds | 09/01/26 | 5.000 | 1,467,516 | ||||||||||
5,000,000 | Massachusetts Clean Water Trust, Revenue Bonds3,4 | 08/01/23 | 2.000 | 5,226,250 | ||||||||||
200,000 | Massachusetts Health & Educational Facilities Authority, Revenue Bonds1 | 05/01/20 | 0.170 | 200,000 | ||||||||||
The accompanying notes are an integral part of these financial statements.
FINANCIAL STATEMENTS APRIL 30, 2020 | 11 |
BBH INTERMEDIATE MUNICIPAL BOND FUND
PORTFOLIO OF INVESTMENTS (continued)
April 30, 2020 (unaudited)
Principal | Maturity Date | Interest | Value | |||||||||||
MUNICIPAL BONDS (continued) | ||||||||||||||
Massachusetts (continued) | ||||||||||||||
$ | 1,000,000 | Massachusetts Housing Finance Agency, Revenue Bonds | 12/01/21 | 2.500% | $ | 1,017,460 | ||||||||
370,000 | Massachusetts Housing Finance Agency, Revenue Bonds | 06/01/34 | 3.300 | 379,790 | ||||||||||
485,000 | Massachusetts Housing Finance Agency, Revenue Bonds | 12/01/36 | 3.450 | 497,925 | ||||||||||
Total Massachusetts | 20,326,324 | |||||||||||||
Michigan (3.2%) | ||||||||||||||
135,000 | Detroit City School District, General Obligation Bonds, BHAC, FGIC | 05/01/25 | 5.250 | 147,786 | ||||||||||
110,000 | Detroit City School District, General Obligation Bonds, AGM | 05/01/27 | 5.250 | 134,039 | ||||||||||
5,350,000 | Detroit City School District, General Obligation Bonds, AGM | 05/01/29 | 6.000 | 6,603,719 | ||||||||||
1,550,000 | Detroit City School District, General Obligation Bonds, AGM | 05/01/30 | 5.250 | 1,955,682 | ||||||||||
3,675,000 | Detroit City School District, General Obligation Bonds, AGM | 05/01/32 | 5.250 | 4,665,817 | ||||||||||
1,195,000 | Michigan Finance Authority, Revenue Bonds | 05/01/28 | 5.000 | 1,409,144 | ||||||||||
1,250,000 | State of Michigan Trunk Line Revenue, Revenue Bonds | 11/15/23 | 5.000 | 1,406,425 | ||||||||||
1,000,000 | State of Michigan Trunk Line Revenue, Revenue Bonds | 11/15/24 | 5.000 | 1,156,650 | ||||||||||
355,000 | University of Michigan, Revenue Bonds1 | 05/01/20 | 0.130 | 355,000 | ||||||||||
Total Michigan | 17,834,262 | |||||||||||||
Minnesota (3.8%) | ||||||||||||||
100,000 | City of Minneapolis, Revenue Bonds1 | 05/01/20 | 0.140 | 100,000 | ||||||||||
The accompanying notes are an integral part of these financial statements.
12
BBH INTERMEDIATE MUNICIPAL BOND FUND
PORTFOLIO OF INVESTMENTS (continued)
April 30, 2020 (unaudited)
Principal | Maturity Date | Interest | Value | |||||||||||
MUNICIPAL BONDS (continued) | ||||||||||||||
Minnesota (continued) | ||||||||||||||
$ | 535,000 | Minnesota Housing Finance Agency, Revenue Bonds, FHLMC, FNMA, GNMA | 01/01/27 | 3.350% | $ | 580,459 | ||||||||
715,000 | Minnesota Housing Finance Agency, Revenue Bonds, FHLMC, FNMA, GNMA | 07/01/27 | 3.400 | 781,102 | ||||||||||
1,396,656 | Minnesota Housing Finance Agency, Revenue Bonds, FHLMC, FNMA, GNMA | 03/01/47 | 2.930 | 1,421,516 | ||||||||||
1,752,213 | Minnesota Housing Finance Agency, Revenue Bonds, FHA, FHLMC, FNMA, GNMA | 01/01/49 | 3.600 | 1,802,467 | ||||||||||
4,405,889 | Minnesota Housing Finance Agency, Revenue Bonds, FHLMC, FNMA, GNMA | 03/01/49 | 3.450 | 4,515,463 | ||||||||||
1,565,104 | Minnesota Housing Finance Agency, Revenue Bonds, FHLMC, FNMA, GNMA | 06/01/49 | 3.150 | 1,604,780 | ||||||||||
7,685,502 | Minnesota Housing Finance Agency, Revenue Bonds, FHLMC, FNMA, GNMA | 01/01/50 | 2.470 | 7,665,059 | ||||||||||
2,250,000 | St Paul Independent School District No 625, Certificates of Participation | 02/01/32 | 2.000 | 2,181,240 | ||||||||||
Total Minnesota | 20,652,086 | |||||||||||||
Mississippi (0.2%) | ||||||||||||||
1,000,000 | Mississippi Business Finance Corp., Revenue Bonds3,4 | 03/01/27 | 2.200 | 978,140 | ||||||||||
Total Mississippi | 978,140 | |||||||||||||
Missouri (0.2%) | ||||||||||||||
500,000 | Health & Educational Facilities Authority of the State of Missouri, Revenue Bonds1 | 05/01/20 | 0.140 | 500,000 | ||||||||||
The accompanying notes are an integral part of these financial statements.
FINANCIAL STATEMENTS APRIL 30, 2020 | 13 |
BBH INTERMEDIATE MUNICIPAL BOND FUND
PORTFOLIO OF INVESTMENTS (continued)
April 30, 2020 (unaudited)
Principal | Maturity Date | Interest | Value | |||||||||||
MUNICIPAL BONDS (continued) | ||||||||||||||
Missouri (continued) | ||||||||||||||
$ | 600,000 | Health & Educational Facilities Authority of the State of Missouri, Revenue Bonds1 | 05/01/20 | 0.150% | $ | 600,000 | ||||||||
Total Missouri | 1,100,000 | |||||||||||||
Montana (0.3%) | ||||||||||||||
1,380,000 | Montana Board of Housing, Revenue Bonds | 12/01/43 | 4.000 | 1,463,324 | ||||||||||
Total Montana | 1,463,324 | |||||||||||||
Nebraska (1.9%) | ||||||||||||||
2,515,000 | Central Plains Energy Project, Revenue Bonds | 09/01/27 | 5.000 | 2,667,208 | ||||||||||
3,675,000 | Central Plains Energy Project, Revenue Bonds3,4 | 03/01/50 | 5.000 | 3,964,039 | ||||||||||
485,000 | Hospital Authority No 1 of Lancaster County, Revenue Bonds1 | 05/01/20 | 0.150 | 485,000 | ||||||||||
3,295,000 | Nebraska Investment Finance Authority, Revenue Bonds, FHLMC, FNMA, GNMA | 09/01/49 | 4.000 | 3,493,029 | ||||||||||
Total Nebraska | 10,609,276 | |||||||||||||
New Hampshire (0.2%) | ||||||||||||||
1,000,000 | New Hampshire Business Finance Authority, Revenue Bonds | 08/01/24 | 3.125 | 1,014,090 | ||||||||||
Total New Hampshire | 1,014,090 | |||||||||||||
New Jersey (6.0%) | ||||||||||||||
1,420,000 | Holmdel Township School District, General Obligation Bonds | 02/01/27 | 3.250 | 1,580,162 | ||||||||||
2,055,000 | Mount Laurel Township Board of Education, General Obligation Bonds | 09/01/22 | 2.500 | 2,100,498 | ||||||||||
The accompanying notes are an integral part of these financial statements.
14
BBH INTERMEDIATE MUNICIPAL BOND FUND
PORTFOLIO OF INVESTMENTS (continued)
April 30, 2020 (unaudited)
Principal | Maturity Date | Interest | Value | |||||||||||
MUNICIPAL BONDS (continued) | ||||||||||||||
New Jersey (continued) | ||||||||||||||
$ | 2,075,000 | Mount Laurel Township Board of Education, General Obligation Bonds | 09/01/23 | 2.500% | $ | 2,133,494 | ||||||||
1,630,000 | Mount Laurel Township Board of Education, General Obligation Bonds | 09/01/24 | 2.500 | 1,686,512 | ||||||||||
3,830,000 | New Jersey Economic Development Authority, Revenue Bonds (SIFMA Municipal Swap Index Yield + 1.550%)3 | 09/01/27 | 1.770 | 3,767,648 | ||||||||||
4,700,000 | New Jersey Economic Development Authority, Revenue Bonds (SIFMA Municipal Swap Index Yield + 1.600%)3 | 03/01/28 | 1.820 | 4,611,405 | ||||||||||
3,235,000 | New Jersey Transportation Trust Fund Authority, Revenue Bonds2 | 12/15/26 | 0.000 | 2,570,110 | ||||||||||
1,295,000 | New Jersey Transportation Trust Fund Authority, Revenue Bonds2 | 12/15/28 | 0.000 | 943,200 | ||||||||||
3,530,000 | New Jersey Transportation Trust Fund Authority, Revenue Bonds2 | 12/15/30 | 0.000 | 2,335,201 | ||||||||||
6,000,000 | New Jersey Transportation Trust Fund Authority, Revenue Bonds2 | 12/15/31 | 0.000 | 3,772,680 | ||||||||||
2,760,000 | New Jersey Turnpike Authority, Revenue Bonds (1-Month USD-LIBOR + 0.750%)3 | 01/01/30 | 1.439 | 2,705,435 | ||||||||||
1,375,000 | Rumson Boro School District, General Obligation Bonds | 07/15/33 | 2.000 | 1,280,991 | ||||||||||
1,750,000 | Township of Ewing, General Obligation Bonds | 08/01/27 | 3.000 | 1,904,595 | ||||||||||
1,750,000 | Township of Ewing, General Obligation Bonds | 08/01/29 | 2.000 | 1,755,145 | ||||||||||
Total New Jersey | 33,147,076 | |||||||||||||
The accompanying notes are an integral part of these financial statements.
FINANCIAL STATEMENTS APRIL 30, 2020 | 15 |
BBH INTERMEDIATE MUNICIPAL BOND FUND
PORTFOLIO OF INVESTMENTS (continued)
April 30, 2020 (unaudited)
Principal | Maturity Date | Interest | Value | |||||||||||
MUNICIPAL BONDS (continued) | ||||||||||||||
New Mexico (0.9%) | ||||||||||||||
$ | 1,900,000 | New Mexico Mortgage Finance Authority, Revenue Bonds, FHLMC, FNMA, GNMA | 01/01/49 | 4.000% | $ | 2,025,115 | ||||||||
3,000,000 | New Mexico Mortgage Finance Authority, Revenue Bonds, FHLMC, FNMA, GNMA | 01/01/51 | 3.500 | 3,161,910 | ||||||||||
Total New Mexico | 5,187,025 | |||||||||||||
New York (4.2%) | ||||||||||||||
5,000,000 | Metropolitan Transportation Authority, Revenue Bonds | 02/01/22 | 4.000 | 4,906,850 | ||||||||||
1,425,000 | Metropolitan Transportation Authority, Revenue Bonds3,4 | 11/15/48 | 5.000 | 1,465,641 | ||||||||||
4,415,000 | Metropolitan Transportation Authority, Revenue Bonds (1-Month USD-LIBOR + 0.820%)3 | 11/01/26 | 1.480 | 4,146,877 | ||||||||||
1,100,000 | New York City Transitional Finance Authority Future Tax Secured Revenue, Revenue Bonds1 | 05/01/20 | 0.160 | 1,100,000 | ||||||||||
700,000 | New York City Transitional Finance Authority Future Tax Secured Revenue, Revenue Bonds1 | 05/01/20 | 0.180 | 700,000 | ||||||||||
2,955,000 | New York City Water & Sewer System, Revenue Bonds1 | 05/01/20 | 0.150 | 2,955,000 | ||||||||||
200,000 | New York City Water & Sewer System, Revenue Bonds1 | 05/01/20 | 0.160 | 200,000 | ||||||||||
200,000 | New York City Water & Sewer System, Revenue Bonds1 | 05/01/20 | 0.160 | 200,000 | ||||||||||
750,000 | New York City Water & Sewer System, Revenue Bonds1 | 05/01/20 | 0.160 | 750,000 | ||||||||||
675,000 | New York State Dormitory Authority, Revenue Bonds | 02/15/24 | 5.000 | 763,877 | ||||||||||
The accompanying notes are an integral part of these financial statements.
16
BBH INTERMEDIATE MUNICIPAL BOND FUND
PORTFOLIO OF INVESTMENTS (continued)
April 30, 2020 (unaudited)
Principal | Maturity Date | Interest | Value | |||||||||||
MUNICIPAL BONDS (continued) | ||||||||||||||
New York (continued) | ||||||||||||||
$ | 5,050,000 | New York State Energy Research & Development Authority, Revenue Bonds3,4 | 07/01/26 | 2.375% | $ | 5,050,000 | ||||||||
830,000 | Triborough Bridge & Tunnel Authority, Revenue Bonds (1-Month USD-LIBOR + 0.500%)3 | 11/15/27 | 1.160 | 822,530 | ||||||||||
Total New York | 23,060,775 | |||||||||||||
North Carolina (2.3%) | ||||||||||||||
400,000 | Charlotte-Mecklenburg Hospital Authority, Revenue Bonds1 | 05/01/20 | 0.160 | 400,000 | ||||||||||
1,815,000 | County of New Hanover, Revenue Bonds | 10/01/26 | 5.000 | 2,120,827 | ||||||||||
1,725,000 | County of Wake, General Obligation Bonds | 03/01/24 | 5.000 | 1,979,386 | ||||||||||
940,000 | North Carolina Housing Finance Agency, Revenue Bonds, FHLMC, FNMA, GNMA | 01/01/23 | 2.750 | 962,682 | ||||||||||
950,000 | North Carolina Housing Finance Agency, Revenue Bonds, FHLMC, FNMA, GNMA | 07/01/23 | 2.800 | 975,926 | ||||||||||
1,570,000 | State of North Carolina, General Obligation Bonds | 06/01/24 | 5.000 | 1,815,328 | ||||||||||
2,000,000 | State of North Carolina, General Obligation Bonds | 06/01/27 | 5.000 | 2,507,520 | ||||||||||
2,225,000 | State of North Carolina, General Obligation Bonds | 06/01/32 | 2.000 | 2,122,784 | ||||||||||
Total North Carolina | 12,884,453 | |||||||||||||
North Dakota (0.4%) | ||||||||||||||
2,200,000 | North Dakota Housing Finance Agency, Revenue Bonds | 07/01/32 | 2.800 | 2,260,060 | ||||||||||
Total North Dakota | 2,260,060 | |||||||||||||
The accompanying notes are an integral part of these financial statements.
FINANCIAL STATEMENTS APRIL 30, 2020 | 17 |
BBH INTERMEDIATE MUNICIPAL BOND FUND
PORTFOLIO OF INVESTMENTS (continued)
April 30, 2020 (unaudited)
Principal | Maturity Date | Interest | Value | |||||||||||
MUNICIPAL BONDS (continued) | ||||||||||||||
Ohio (1.3%) | ||||||||||||||
$ | 320,000 | County of Montgomery, Revenue Bonds1 | 05/01/20 | 0.180% | $ | 320,000 | ||||||||
1,500,000 | Ohio Higher Educational Facility Commission, Revenue Bonds1 | 05/01/20 | 0.150 | 1,500,000 | ||||||||||
200,000 | Ohio Higher Educational Facility Commission, Revenue Bonds1 | 05/01/20 | 0.170 | 200,000 | ||||||||||
200,000 | Ohio Higher Educational Facility Commission, Revenue Bonds1 | 05/01/20 | 0.180 | 200,000 | ||||||||||
1,400,000 | State of Ohio, Revenue Bonds1 | 05/01/20 | 0.120 | 1,400,000 | ||||||||||
850,000 | State of Ohio, Revenue Bonds1 | 05/01/20 | 0.150 | 850,000 | ||||||||||
200,000 | State of Ohio, Revenue Bonds1 | 05/01/20 | 0.180 | 200,000 | ||||||||||
2,195,000 | State of Ohio, General Obligation Bonds | 08/01/25 | 5.000 | 2,618,613 | ||||||||||
Total Ohio | 7,288,613 | |||||||||||||
Oklahoma (1.3%) | ||||||||||||||
1,000,000 | Oklahoma State University, Revenue Bonds5 | 09/01/27 | 5.000 | 1,226,710 | ||||||||||
1,500,000 | Oklahoma State University, Revenue Bonds5 | 09/01/28 | 5.000 | 1,875,030 | ||||||||||
1,500,000 | Oklahoma State University, Revenue Bonds5 | 09/01/29 | 5.000 | 1,908,180 | ||||||||||
2,000,000 | Oklahoma Turnpike Authority, Revenue Bonds | 01/01/33 | 3.750 | 2,148,300 | ||||||||||
Total Oklahoma | 7,158,220 | |||||||||||||
Oregon (4.2%) | ||||||||||||||
4,250,000 | Clackamas & Washington Counties School District No 3, General Obligation Bonds2 | 06/15/35 | 0.000 | 2,744,905 | ||||||||||
1,020,000 | Clackamas County School District No 115, General Obligation Bonds2 | 06/15/27 | 0.000 | 901,445 | ||||||||||
The accompanying notes are an integral part of these financial statements.
18
BBH INTERMEDIATE MUNICIPAL BOND FUND
PORTFOLIO OF INVESTMENTS (continued)
April 30, 2020 (unaudited)
Principal | Maturity Date | Interest | Value | |||||||||||
MUNICIPAL BONDS (continued) | ||||||||||||||
Oregon (continued) | ||||||||||||||
$ | 1,670,000 | Lane County School District No 1 Pleasant Hill, General Obligation Bonds2 | 06/15/27 | 0.000% | $ | 1,481,106 | ||||||||
1,445,000 | Multnomah & Clackamas Counties School District No 10JT Gresham-Barlow, General Obligation Bonds2 | 06/15/32 | 0.000 | 1,050,255 | ||||||||||
100,000 | Oregon State Facilities Authority, Revenue Bonds1 | 05/01/20 | 0.150 | 100,000 | ||||||||||
3,905,000 | Salem-Keizer School District No 24J, General Obligation Bonds2 | 06/15/25 | 0.000 | 3,617,162 | ||||||||||
4,275,000 | Salem-Keizer School District No 24J, General Obligation Bonds2 | 06/15/26 | 0.000 | 3,860,582 | ||||||||||
1,500,000 | Salem-Keizer School District No 24J, General Obligation Bonds2 | 06/15/28 | 0.000 | 1,287,375 | ||||||||||
1,335,000 | State of Oregon, General Obligation Bonds | 12/01/34 | 2.600 | 1,314,268 | ||||||||||
5,000,000 | Umatilla County School District No 8R Hermiston, General Obligation Bonds2 | 06/15/32 | 0.000 | 3,585,500 | ||||||||||
2,225,000 | Washington & Multnomah Counties School District No 48J Beaverton, General Obligation Bonds2 | 06/15/33 | 0.000 | 1,472,794 | ||||||||||
1,500,000 | Washington Clackamas & Yamhill Counties School District No 88J, General Obligation Bonds2 | 06/15/31 | 0.000 | 1,125,045 | ||||||||||
1,055,000 | Washington Clackamas & Yamhill Counties School District No 88J, General Obligation Bonds2 | 06/15/33 | 0.000 | 718,898 | ||||||||||
Total Oregon | 23,259,335 |
The accompanying notes are an integral part of these financial statements.
FINANCIAL STATEMENTS APRIL 30, 2020 | 19 |
BBH INTERMEDIATE MUNICIPAL BOND FUND
PORTFOLIO OF INVESTMENTS (continued)
April 30, 2020 (unaudited)
Principal | Maturity Date | Interest | Value | |||||||||||
MUNICIPAL BONDS (continued) | ||||||||||||||
Other Territory (0.5%) | ||||||||||||||
$ | 2,465,000 | FHLMC Multifamily VRD Certificates, Revenue Bonds6 | 05/15/27 | 2.304% | $ | 2,548,687 | ||||||||
Total Other Territory | 2,548,687 | |||||||||||||
Pennsylvania (5.0%) | ||||||||||||||
150,000 | Allegheny County Airport Authority, Revenue Bonds, FGIC | 01/01/22 | 5.000 | 159,739 | ||||||||||
85,000 | Allegheny County Airport Authority, Revenue Bonds, FGIC | 01/01/23 | 5.000 | 93,543 | ||||||||||
6,680,000 | Geisinger Authority, Revenue Bonds (1-Month USD-LIBOR + 1.070%)3 | 06/01/28 | 1.291 | 6,690,688 | ||||||||||
400,000 | Hospitals & Higher Education Facilities Authority of Philadelphia, Revenue Bonds1 | 05/01/20 | 0.160 | 400,000 | ||||||||||
600,000 | Hospitals & Higher Education Facilities Authority of Philadelphia, Revenue Bonds1 | 05/01/20 | 0.160 | 600,000 | ||||||||||
1,000,000 | New Kensington-Arnold School District, General Obligation Bonds, BAM | 05/15/28 | 2.500 | 1,042,270 | ||||||||||
1,225,000 | North Penn Water Authority, Revenue Bonds (SIFMA Municipal Swap Index Yield + 0.560%)3 | 11/01/24 | 0.780 | 1,204,837 | ||||||||||
2,000,000 | School District of Philadelphia, General Obligation Bonds5 | 09/01/23 | 5.000 | 2,236,280 | ||||||||||
450,000 | School District of Philadelphia, General Obligation Bonds, AGM, FGIC | 06/01/24 | 5.000 | 502,920 | ||||||||||
1,225,000 | School District of Philadelphia, General Obligation Bonds | 09/01/26 | 5.000 | 1,466,827 | ||||||||||
1,600,000 | School District of Philadelphia, General Obligation Bonds | 09/01/28 | 5.000 | 1,978,816 | ||||||||||
1,000,000 | State Public School Building Authority, Revenue Bonds | 04/01/25 | 5.000 | 1,079,580 | ||||||||||
The accompanying notes are an integral part of these financial statements.
20
BBH INTERMEDIATE MUNICIPAL BOND FUND
PORTFOLIO OF INVESTMENTS (continued)
April 30, 2020 (unaudited)
Principal | Maturity Date | Interest | Value | |||||||||||
MUNICIPAL BONDS (continued) | ||||||||||||||
Pennsylvania (continued) | ||||||||||||||
$ | 2,210,000 | State Public School Building Authority, Revenue Bonds, AGM | 06/01/32 | 5.000% | $ | 2,606,518 | ||||||||
6,255,000 | State Public School Building Authority, Revenue Bonds, AGM | 06/01/33 | 5.000 | 7,326,919 | ||||||||||
Total Pennsylvania | 27,388,937 | |||||||||||||
South Carolina (0.2%) | ||||||||||||||
1,000,000 | South Carolina State Housing Finance & Development Authority, Revenue Bonds | 07/01/34 | 2.650 | 1,002,020 | ||||||||||
Total South Carolina | 1,002,020 | |||||||||||||
South Dakota (3.2%) | ||||||||||||||
1,410,000 | Educational Enhancement Funding Corp., Revenue Bonds | 06/01/25 | 5.000 | 1,546,586 | ||||||||||
3,725,000 | Educational Enhancement Funding Corp., Revenue Bonds | 06/01/26 | 5.000 | 4,076,156 | ||||||||||
1,500,000 | South Dakota Housing Development Authority, Revenue Bonds, FHLMC, FNMA, GNMA | 11/01/32 | 3.400 | 1,570,530 | ||||||||||
725,000 | South Dakota Housing Development Authority, Revenue Bonds | 11/01/44 | 4.000 | 754,399 | ||||||||||
3,000,000 | South Dakota Housing Development Authority, Revenue Bonds | 11/01/48 | 4.500 | 3,247,230 | ||||||||||
3,205,000 | South Dakota Housing Development Authority, Revenue Bonds | 11/01/49 | 4.000 | 3,438,324 | ||||||||||
3,000,000 | South Dakota Housing Development Authority, Revenue Bonds | 11/01/50 | 3.750 | 3,195,240 | ||||||||||
Total South Dakota | 17,828,465 | |||||||||||||
Tennessee (2.1%) | ||||||||||||||
2,485,000 | Clarksville Natural Gas Acquisition Corp., Revenue Bonds | 12/15/21 | 5.000 | 2,597,570 | ||||||||||
The accompanying notes are an integral part of these financial statements.
FINANCIAL STATEMENTS APRIL 30, 2020 | 21 |
BBH INTERMEDIATE MUNICIPAL BOND FUND
PORTFOLIO OF INVESTMENTS (continued)
April 30, 2020 (unaudited)
Principal | Maturity Date | Interest | Value | |||||||||||
MUNICIPAL BONDS (continued) | ||||||||||||||
Tennessee (continued) | ||||||||||||||
$ | 3,615,000 | Tennessee Housing Development Agency, Revenue Bonds | 01/01/47 | 3.500% | $ | 3,755,624 | ||||||||
5,000,000 | Tennessee Housing Development Agency, Revenue Bonds | 07/01/50 | 3.500 | 5,291,850 | ||||||||||
Total Tennessee | 11,645,044 | |||||||||||||
Texas (10.0%) | ||||||||||||||
1,520,000 | Boerne School District, General Obligation Bonds | 02/01/28 | 5.000 | 1,897,522 | ||||||||||
910,000 | City of Houston Airport System Revenue, Revenue Bonds | 07/01/24 | 5.000 | 1,002,865 | ||||||||||
1,170,000 | City of Houston Airport System Revenue, Revenue Bonds | 07/01/25 | 5.000 | 1,310,365 | ||||||||||
500,000 | City of San Antonio Electric & Gas Systems Revenue, Revenue Bonds3,4 | 02/01/48 | 2.750 | 516,130 | ||||||||||
2,000,000 | Fort Bend Independent School District, General Obligation Bonds5 | 08/15/28 | 5.000 | 2,506,580 | ||||||||||
1,000,000 | Hays Consolidated Independent School District, General Obligation Bonds | 02/15/27 | 5.000 | 1,229,350 | ||||||||||
3,455,000 | Leander Independent School District, General Obligation Bonds2 | 08/15/29 | 0.000 | 2,524,845 | ||||||||||
1,025,000 | Love Field Airport Modernization Corp., Revenue Bonds | 11/01/25 | 5.000 | 1,115,795 | ||||||||||
2,000,000 | Round Rock Independent School District, General Obligation Bonds | 08/01/34 | 2.750 | 2,026,300 | ||||||||||
1,000,000 | State of Texas, General Obligation Bonds | 08/01/26 | 5.000 | 1,195,870 | ||||||||||
2,515,000 | Texas Department of Housing & Community Affairs, Revenue Bonds, GNMA | 09/01/33 | 3.350 | 2,660,493 | ||||||||||
2,910,000 | Texas Department of Housing & Community Affairs, Revenue Bonds, GNMA | 09/01/34 | 2.700 | 2,961,332 | ||||||||||
The accompanying notes are an integral part of these financial statements.
22
BBH INTERMEDIATE MUNICIPAL BOND FUND
PORTFOLIO OF INVESTMENTS (continued)
April 30, 2020 (unaudited)
Principal | Maturity Date | Interest | Value | |||||||||||
MUNICIPAL BONDS (continued) | ||||||||||||||
Texas (continued) | ||||||||||||||
$ | 3,696,782 | Texas Department of Housing & Community Affairs, Revenue Bonds, FNMA | 03/01/35 | 3.400% | $ | 3,854,228 | ||||||||
7,153,097 | Texas Department of Housing & Community Affairs, Revenue Bonds, FHLMC, FNMA, GNMA | 09/01/47 | 2.835 | 7,287,218 | ||||||||||
1,000,000 | Texas Department of Housing & Community Affairs, Revenue Bonds, GNMA | 03/01/50 | 4.000 | 1,081,940 | ||||||||||
10,000 | Texas Municipal Gas Acquisition & Supply Corp. I, Revenue Bonds | 12/15/20 | 5.250 | 10,192 | ||||||||||
510,000 | Texas Municipal Gas Acquisition & Supply Corp. I, Revenue Bonds | 12/15/21 | 5.250 | 534,531 | ||||||||||
7,600,000 | Texas Municipal Gas Acquisition & Supply Corp. I, Revenue Bonds (3-Month USD-LIBOR + 0.700%)3 | 12/15/26 | 1.196 | 7,089,660 | ||||||||||
4,570,000 | Texas Municipal Gas Acquisition & Supply Corp. I, Revenue Bonds | 12/15/26 | 6.250 | 5,139,148 | ||||||||||
4,570,000 | Texas Municipal Gas Acquisition & Supply Corp. II, Revenue Bonds (SIFMA Municipal Swap Index Yield + 0.550%)3 | 09/15/27 | 0.770 | 4,358,135 | ||||||||||
4,560,000 | Texas Municipal Gas Acquisition & Supply Corp. II, Revenue Bonds (3-Month USD-LIBOR + 0.690%)3 | 09/15/27 | 1.179 | 4,241,028 | ||||||||||
720,000 | Texas Municipal Gas Acquisition & Supply Corp. II, Revenue Bonds (3-Month USD-LIBOR + 0.870%)3 | 09/15/27 | 1.366 | 670,385 | ||||||||||
Total Texas | 55,213,912 | |||||||||||||
Virginia (4.6%) | ||||||||||||||
1,755,000 | City of Virginia Beach, General Obligation Bonds | 04/01/25 | 5.000 | 2,077,464 | ||||||||||
The accompanying notes are an integral part of these financial statements.
FINANCIAL STATEMENTS APRIL 30, 2020 | 23 |
BBH INTERMEDIATE MUNICIPAL BOND FUND
PORTFOLIO OF INVESTMENTS (continued)
April 30, 2020 (unaudited)
Principal | Maturity Date | Interest | Value | |||||||||||
MUNICIPAL BONDS (continued) | ||||||||||||||
Virginia (continued) | ||||||||||||||
$ | 2,005,000 | County of Arlington, General Obligation Bonds | 08/15/25 | 5.000% | $ | 2,398,962 | ||||||||
1,215,000 | County of Arlington, General Obligation Bonds | 08/15/30 | 2.500 | 1,266,370 | ||||||||||
6,040,000 | Virginia College Building Authority, Revenue Bonds | 09/01/27 | 5.000 | 7,517,324 | ||||||||||
1,835,000 | Virginia College Building Authority, Revenue Bonds | 02/01/28 | 5.000 | 2,301,402 | ||||||||||
5,000,000 | Virginia Commonwealth Transportation Board, Revenue Bonds | 05/15/24 | 5.000 | 5,752,150 | ||||||||||
2,300,000 | Virginia Housing Development Authority, Revenue Bonds | 01/01/23 | 2.740 | 2,373,508 | ||||||||||
1,205,000 | Virginia Public School Authority, Revenue Bonds | 08/01/26 | 5.000 | 1,458,496 | ||||||||||
Total Virginia | 25,145,676 | |||||||||||||
Washington (1.7%) | ||||||||||||||
300,000 | County of King, General Obligation Bonds1 | 05/01/20 | 0.160 | 300,000 | ||||||||||
425,000 | Port of Seattle, Revenue Bonds | 06/01/27 | 3.750 | 441,877 | ||||||||||
1,050,000 | State of Washington, General Obligation Bonds | 08/01/26 | 5.000 | 1,280,696 | ||||||||||
1,330,000 | State of Washington, General Obligation Bonds, NPFG2 | 06/01/30 | 0.000 | 1,069,107 | ||||||||||
255,000 | Washington State Housing Finance Commission, Revenue Bonds | 06/01/44 | 3.500 | 261,444 | ||||||||||
2,120,000 | Washington State Housing Finance Commission, Revenue Bonds, FHLMC, FNMA, GNMA | 12/01/47 | 4.000 | 2,208,849 | ||||||||||
4,000,000 | Washington State Housing Finance Commission, Revenue Bonds (SIFMA Municipal Swap Index Yield + 0.550%)3 | 12/01/48 | 0.770 | 3,961,000 | ||||||||||
Total Washington | 9,522,973 | |||||||||||||
The accompanying notes are an integral part of these financial statements.
24
BBH INTERMEDIATE MUNICIPAL BOND FUND
PORTFOLIO OF INVESTMENTS (continued)
April 30, 2020 (unaudited)
Principal | Maturity Date | Interest | Value | |||||||||||
MUNICIPAL BONDS (continued) | ||||||||||||||
Wisconsin (0.8%) | ||||||||||||||
$ | 300,000 | County of Milwaukee Airport, Revenue Bonds | 12/01/28 | 5.250% | $ | 331,611 | ||||||||
1,800,000 | Public Finance Authority, Revenue Bonds3,4 | 07/01/29 | 2.000 | 1,787,670 | ||||||||||
2,300,000 | Wisconsin Health & Educational Facilities Authority, Revenue Bonds1 | 05/01/20 | 0.180 | 2,300,000 | ||||||||||
Total Wisconsin | 4,419,281 | |||||||||||||
Wyoming (0.6%) | ||||||||||||||
3,305,000 | Wyoming Community Development Authority, Revenue Bonds5 | 12/01/48 | 4.000 | 3,510,505 | ||||||||||
Total Wyoming | 3,510,505 | |||||||||||||
Total Municipal Bonds (Cost $549,063,085) | 558,200,201 | |||||||||||||
TOTAL INVESTMENTS (Cost $549,063,085)7 | 101.4% | $ | 558,200,201 | |||||||
LIABILITIES IN EXCESS OF OTHER ASSETS | (1.4)% | (7,508,730 | ) | |||||||
NET ASSETS | 100.0% | $ | 550,691,471 | |||||||
1 | Variable rate demand note. The maturity date reflects the demand repayment dates. Interest rates change on specific dates (such as coupon or interest payment date). The yield shown represents the coupon or interest rate as of April 30, 2020. |
2 | Security issued with zero coupon. Income is recognized through accretion of discount. |
3 | Variable rate instrument. Interest rates change on specific dates (such as coupon or interest payment date). The yield shown represents the April 30, 2020 coupon or interest rate. |
4 | This variable rate security is based on a predetermined schedule and the rate at period end also represents the reference rate at period end. |
5 | Represent a security purchased on a when-issued basis. |
6 | Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. Total market value of Rule 144A securities owned at April 30, 2020 was $2,548,687 or 0.5% of net assets. |
7 | The aggregate cost for federal income tax purposes is $549,063,085, the aggregate gross unrealized appreciation is $13,634,837 and the aggregate gross unrealized depreciation is $4,497,721, resulting in net unrealized appreciation of $9,137,116. |
The accompanying notes are an integral part of these financial statements.
FINANCIAL STATEMENTS APRIL 30, 2020 | 25 |
BBH INTERMEDIATE MUNICIPAL BOND FUND
PORTFOLIO OF INVESTMENTS (continued)
April 30, 2020 (unaudited)
Abbreviations:
AGM − Assured Guaranty Municipal Corporation.
AMBAC − AMBAC Financial Group, Inc.
BAM − Build America Mutual.
BHAC − Berkshire Hathaway Assurance Corporation.
FGIC − Financial Guaranty Insurance Company.
FHA − Federal Housing Administration.
FHLMC − Federal Home Loan Mortgage Corporation.
FNMA − Federal National Mortgage Association.
GNMA − Government National Mortgage Association.
LIBOR − London Interbank Offered Rate.
NPFG − National Public Finance Guarantee Corporation.
SIFMA − Securities Industry and Financial Markets Association.
The accompanying notes are an integral part of these financial statements.
26
BBH INTERMEDIATE MUNICIPAL BOND FUND
PORTFOLIO OF INVESTMENTS (continued)
April 30, 2020 (unaudited)
Fair Value Measurements
The Fund is required to disclose information regarding the fair value measurements of the Fund’s assets and liabilities. Fair value is the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. The disclosure requirement established a three-tier hierarchy to maximize the use of observable market data and minimize the use of unobservable inputs and to establish classification of fair value measurements for disclosure purposes. Inputs refer broadly to the assumptions that market participants would use in pricing the asset or liability, including, for example, the risk inherent in a particular valuation technique used to measure fair value, including the model and/or the risk inherent in the inputs to the valuation technique. Inputs may be observable or unobservable. Observable inputs are inputs that reflect the assumptions market participants would use in pricing the asset or liability developed based on market data obtained from sources independent of the reporting entity. Unobservable inputs are inputs that reflect the Fund’s own considerations about the assumptions market participants would use in pricing the asset or liability developed based on the best information available in the circumstances.
Authoritative guidance establishes three levels of the fair value hierarchy as follows:
— | Level 1 – unadjusted quoted prices in active markets for identical assets and liabilities. |
— | Level 2 – significant other observable inputs (including quoted prices for similar assets and liabilities, interest rates, prepayment speeds, credit risk, etc.). |
— | Level 3 – significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of assets and liabilities). |
Inputs are used in applying the various valuation techniques and broadly refer to the assumptions that market participants use to make valuation decisions, including assumptions about risk. Inputs may include price information, specific and broad credit data, liquidity statistics, and other factors. A financial instrument’s level within the fair value hierarchy is based on the lowest level of any input that is significant to the fair value measurement. However, the determination of what constitutes “observable” requires judgment by the investment adviser. The investment adviser considers observable data to be that market data which is readily available, regularly distributed or updated, reliable and verifiable, not proprietary, and provided by independent sources that are actively involved in the relevant market. The categorization of a financial instrument within the hierarchy is based upon the pricing transparency of the instrument and does not necessarily correspond to the investment adviser’s perceived risk of that instrument.
The accompanying notes are an integral part of these financial statements.
FINANCIAL STATEMENTS APRIL 30, 2020 | 27 |
BBH INTERMEDIATE MUNICIPAL BOND FUND
PORTFOLIO OF INVESTMENTS (continued)
April 30, 2020 (unaudited)
Financial assets within Level 1 are based on quoted market prices in active markets. The Fund does not adjust the quoted price for these instruments.
Financial instruments that trade in markets that are not considered to be active but are valued based on quoted market prices, dealer quotations or alternative pricing sources supported by observable inputs are classified within Level 2. These include municipal bonds, investment-grade corporate bonds, U.S. Treasury notes and bonds, and certain non-U.S. sovereign obligations and over-the-counter derivatives. As Level 2 financial assets include positions that are not traded in active markets and/or are subject to transfer restrictions, valuations may be adjusted to reflect illiquidity and/or non-transferability, which are generally based on available market information.
Financial assets classified within Level 3 have significant unobservable inputs, as they trade infrequently. Level 3 financial assets include private equity and certain corporate debt securities.
Because of the inherent uncertainties of valuation, the values reflected in the financial statements may materially differ from the value received upon the actual sale of those investments.
The following table summarizes the valuation of the Fund’s investments by the above fair value hierarchy levels as of April 30, 2020.
Investments, at value | Unadjusted Quoted Prices in Active Markets for Identical Investments (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Balance as of April 30, 2020 | ||||||||||||||||
Municipal Bonds* | $ | — | $ | 558,200,201 | $ | — | $ | 558,200,201 | ||||||||||||
Total Investment, at value | $ | — | $ | 558,200,201 | $ | — | $ | 558,200,201 |
* For geographical breakdown of municipal bond investments, refer to the Portfolio Investments.
The accompanying notes are an integral part of these financial statements.
28
BBH INTERMEDIATE MUNICIPAL BOND FUND
STATEMENT OF ASSETS AND LIABILITIES
April 30, 2020 (unaudited)
ASSETS: | ||
Investments in securities, at value (Cost $549,063,085) | $558,200,201 | |
Cash | 200,455 | |
Receivables for: | ||
Interest | 4,028,416 | |
Shares sold | 1,231,847 | |
Prepaid assets | 557 | |
Total Assets | 563,661,476 | |
LIABILITIES: | ||
Payables for: | ||
Investments purchased | 10,104,687 | |
Shares redeemed | 2,504,254 | |
Investment advisory and administrative fees | 222,716 | |
Professional fees | 45,841 | |
Custody and fund accounting fees | 27,484 | |
Dividends declared | 24,442 | |
Shareholder servicing fees | 10,279 | |
Transfer agent fees | 7,495 | |
Board of Trustees’ fees | 1,256 | |
Accrued expenses and other liabilities | 21,551 | |
Total Liabilities | 12,970,005 | |
NET ASSETS | $550,691,471 | |
Net Assets Consist of: | ||
Paid-in capital | $541,177,426 | |
Retained earnings | 9,514,045 | |
Net Assets | $550,691,471 | |
NET ASSET VALUE AND OFFERING PRICE PER SHARE | ||
CLASS N SHARES | ||
($64,275,852 ÷ 6,091,045 shares outstanding) | $10.55 | |
CLASS I SHARES | ||
($486,415,619 ÷ 46,132,832 shares outstanding) | $10.54 | |
The accompanying notes are an integral part of these financial statements.
FINANCIAL STATEMENTS APRIL 30, 2020 | 29 |
BBH INTERMEDIATE MUNICIPAL BOND FUND
STATEMENT OF OPERATIONS
For the six months ended April 30, 2020 (unaudited)
NET INVESTMENT INCOME: | |||
Income: | |||
Interest income | $5,279,508 | ||
Total Income | 5,279,508 | ||
Expenses: | |||
Investment advisory and administrative fees | 861,980 | ||
Shareholder servicing fees | 55,492 | ||
Custody and fund accounting fees | 44,297 | ||
Professional fees | 39,813 | ||
Registration fees | 36,565 | ||
Board of Trustees’ fees | 31,351 | ||
Transfer agent fees | 18,498 | ||
Miscellaneous expenses | 26,750 | ||
Total Expenses | 1,114,746 | ||
Investment advisory and administrative fee waiver | (28,362 | ) | |
Net Expenses | 1,086,384 | ||
Net Investment Income | 4,193,124 | ||
NET REALIZED AND UNREALIZED LOSS: | |||
Net realized gain on investments in securities | 360,781 | ||
Net change in unrealized appreciation/(depreciation) on investments in securities | (6,105,029 | ) | |
Net Realized and Unrealized Loss | (5,744,248 | ) | |
Net Decrease in Net Assets Resulting from Operations | $(1,551,124 | ) | |
The accompanying notes are an integral part of these financial statements.
30
BBH INTERMEDIATE MUNICIPAL BOND FUND
STATEMENTS OF CHANGES IN NET ASSETS
For the six months ended April 30, 2020 (unaudited) | For the year ended October 31, 2019 | |||||||
INCREASE IN NET ASSETS: | ||||||||
Operations: | ||||||||
Net investment income | $ | 4,193,124 | $ | 6,962,982 | ||||
Net realized gain on investments in securities | 360,781 | 1,944,789 | ||||||
Net change in unrealized appreciation/(depreciation) on investments in securities | (6,105,029 | ) | 16,257,303 | |||||
Net increase (decrease) in net assets resulting from operations | (1,551,124 | ) | 25,165,074 | |||||
Dividends and distributions declared: | ||||||||
Class N | (741,714 | ) | (926,059 | ) | ||||
Class I | (5,306,308 | ) | (6,267,068 | ) | ||||
Total dividends and distributions declared | (6,048,022 | ) | (7,193,127 | ) | ||||
Share transactions: | ||||||||
Proceeds from sales of shares* | 202,195,915 | 235,768,201 | ||||||
Net asset value of shares issued to shareholders for reinvestment of dividends and distributions | 1,879,912 | 2,145,264 | ||||||
Proceeds from short-term redemption fees | 420 | 660 | ||||||
Cost of shares redeemed* | (34,233,610 | ) | (30,569,515 | ) | ||||
Net increase in net assets resulting from share transactions | 169,842,637 | 207,344,610 | ||||||
Total increase in net assets | 162,243,491 | 225,316,557 | ||||||
NET ASSETS: | ||||||||
Beginning of period | 388,447,980 | 163,131,423 | ||||||
End of period | $ | 550,691,471 | $ | 388,447,980 |
* Includes share exchanges. See Note 5 in Notes to Financial Statements.
The accompanying notes are an integral part of these financial statements.
FINANCIAL STATEMENTS APRIL 30, 2020 | 31 |
BBH INTERMEDIATE MUNICIPAL BOND FUND
FINANCIAL HIGHLIGHTS
Selected per share data and ratios for a Class N share outstanding throughout each period.
For the six months ended April 30, 2020 | For the years ended October 31, | |||||||||||||||||
(unaudited) | 2019 | 2018 | 2017 | 2016 | 2015 | |||||||||||||
Net asset value, beginning of period | $10.76 | $10.15 | $10.48 | $10.56 | $10.29 | $10.30 | ||||||||||||
Income from investment operations: | ||||||||||||||||||
Net investment income1 | 0.10 | 0.21 | 0.21 | 0.22 | 0.18 | 0.15 | ||||||||||||
Net realized and unrealized gain (loss) | (0.16 | ) | 0.62 | (0.23 | ) | 0.11 | 0.29 | 0.08 | ||||||||||
Total income (loss) from investment operations | (0.06 | ) | 0.83 | (0.02 | ) | 0.33 | 0.47 | 0.23 | ||||||||||
Less dividends and distributions: | ||||||||||||||||||
From net investment income | (0.10 | ) | (0.21 | ) | (0.21 | ) | (0.26 | ) | (0.18 | ) | (0.16 | ) | ||||||
From net realized gains | (0.05 | ) | (0.01 | ) | (0.10 | ) | (0.15 | ) | (0.02 | ) | (0.08 | ) | ||||||
Total dividends and distributions | (0.15 | ) | (0.22 | ) | (0.31 | ) | (0.41 | ) | (0.20 | ) | (0.24 | ) | ||||||
Short-term redemption fees1 | 0.00 | 2 | 0.00 | 2 | 0.00 | 2 | 0.00 | 2 | 0.00 | 2 | 0.00 | 2 | ||||||
Net asset value, end of period | $10.55 | $10.76 | $10.15 | $10.48 | $10.56 | $10.29 | ||||||||||||
Total return | (0.61 | )%3 | 8.21 | % | (0.26 | )% | 3.20 | % | 4.64 | % | 2.29 | % | ||||||
Ratios/Supplemental data: | ||||||||||||||||||
Net assets, end of period (in millions) | $64 | $54 | $34 | $16 | $23 | $26 | ||||||||||||
Ratio of expenses to average net assets before reductions | 0.75 | %4 | 0.77 | % | 0.91 | % | 1.05 | % | 1.03 | % | 1.10 | % | ||||||
Fee waiver | 0.10 | %4,5 | 0.12 | %5 | 0.26 | %5 | 0.40 | %5 | 0.38 | %5 | 0.45 | %5 | ||||||
Expense offset arrangement | — | % | 0.00 | %6 | 0.00 | %6 | 0.00 | %6 | 0.00 | %6 | 0.00 | %6 | ||||||
Ratio of expenses to average net assets after reductions | 0.65 | %4 | 0.65 | % | 0.65 | % | 0.65 | % | 0.65 | % | 0.65 | % | ||||||
Ratio of net investment income to average net assets | 1.80 | %4 | 2.01 | % | 2.07 | % | 2.16 | % | 1.73 | % | 1.43 | % | ||||||
Portfolio turnover rate | 41 | %3 | 104 | % | 146 | % | 125 | % | 77 | % | 142 | % | ||||||
Portfolio turnover rate7 | 9 | %3 | 32 | % | 52 | % | 64 | % | 40 | % | 83 | % |
1 | Calculated using average shares outstanding for the period. |
2 | Less than $0.01. |
3 | Not annualized. |
4 | Annualized. |
5 | The ratio of expenses to average net assets for the six months ended April 30, 2020, the years ended October 31, 2019, 2018, 2017, 2016 and 2015, reflect fees reduced as result of a contractual operating expense limitation of the share class to 0.65%. The agreement is effective for period beginning on April 1, 2014 and will terminate on March 1, 2021, unless it is renewed by all parties to the agreement. For the six months ended April 30, 2020 the years ended October 31, 2019, 2018, 2017, 2016 and 2015, the waived fees were $28,362, $55,422, $63,024, $78,871, $92,199 and $71,871, respectively. |
6 | Less than 0.01%. |
7 | The portfolio turnover rate excludes variable rate demand notes. |
The accompanying notes are an integral part of these financial statements.
32
BBH INTERMEDIATE MUNICIPAL BOND FUND
FINANCIAL HIGHLIGHTS (continued)
Selected per share data and ratios for a Class I share outstanding throughout each period.
For the six months ended April 30, 2020 | For the years ended October 31, | |||||||||||||||||
(unaudited) | 2019 | 2018 | 2017 | 2016 | 2015 | |||||||||||||
Net asset value, beginning of period | $10.75 | $10.14 | $10.47 | $10.55 | $10.28 | $10.30 | ||||||||||||
Income from investment operations: | ||||||||||||||||||
Net investment income1 | 0.10 | 0.23 | 0.23 | 0.25 | 0.20 | 0.18 | ||||||||||||
Net realized and unrealized gain (loss) | (0.16 | ) | 0.61 | (0.24 | ) | 0.09 | 0.29 | 0.06 | ||||||||||
Total income (loss) from investment operations | (0.06 | ) | 0.84 | (0.01 | ) | 0.34 | 0.49 | 0.24 | ||||||||||
Less dividends and distributions: | ||||||||||||||||||
From net investment income | (0.10 | ) | (0.22 | ) | (0.22 | ) | (0.27 | ) | (0.20 | ) | (0.18 | ) | ||||||
From net realized gains | (0.05 | ) | (0.01 | ) | (0.10 | ) | (0.15 | ) | (0.02 | ) | (0.08 | ) | ||||||
Total dividends and distributions | (0.15 | ) | (0.23 | ) | (0.32 | ) | (0.42 | ) | (0.22 | ) | (0.26 | ) | ||||||
Short-term redemption fees1 | 0.00 | 2 | 0.00 | 2 | — | 0.00 | 2 | 0.00 | 2 | 0.00 | 2 | |||||||
Net asset value, end of period | $10.54 | $10.75 | $10.14 | $10.47 | $10.55 | $10.28 | ||||||||||||
Total return | (0.53 | )%3 | 8.38 | % | (0.12 | )% | 3.36 | % | 4.80 | % | 2.33 | % | ||||||
Ratios/Supplemental data: | ||||||||||||||||||
Net assets, end of period (in millions) | $486 | $334 | $129 | $71 | $66 | $66 | ||||||||||||
Ratio of expenses to average net assets before reductions | 0.48 | %4 | 0.50 | % | 0.62 | % | 0.69 | % | 0.68 | % | 0.78 | % | ||||||
Fee waiver | — | %5 | 0.00 | %5 | 0.12 | %5 | 0.19 | %5 | 0.18 | %5 | 0.28 | %5 | ||||||
Expense offset arrangement | — | % | 0.00 | %6 | 0.00 | %6 | 0.00 | %6 | 0.00 | %6 | 0.00 | %6 | ||||||
Ratio of expenses to average net assets after reductions | 0.48 | %4 | 0.50 | % | 0.50 | % | 0.50 | % | 0.50 | % | 0.50 | % | ||||||
Ratio of net investment income to average net assets | 1.97 | %4 | 2.17 | % | 2.23 | % | 2.46 | % | 1.88 | % | 1.72 | % | ||||||
Portfolio turnover rate | 41 | %3 | 104 | % | 146 | % | 125 | % | 77 | % | 142 | % | ||||||
Portfolio turnover rate7 | 9 | %3 | 32 | % | 52 | % | 64 | % | 40 | % | 83 | % |
1 | Calculated using average shares outstanding for the period. |
2 | Less than $0.01. |
3 | Not annualized. |
4 | Annualized. |
5 | The ratio of expenses to average net assets for the six months ended April 30, 2020, the years ended October 31, 2019, 2018, 2017, 2016 and 2015, reflect fees reduced as result of a contractual operating expense limitation of the share class to 0.50%. The agreement is effective for period beginning on April 1, 2014 and will terminate on March 1, 2021, unless it is renewed by all parties to the agreement. For the six months ended April 30, 2020 the years ended October 31, 2019, 2018, 2017, 2016 and 2015, the waived fees were $—, $6,608, $111,441, $123,485, $121,168 and $163,323, respectively. |
6 | Less than 0.01%. |
7 | The portfolio turnover rate excludes variable rate demand notes. |
The accompanying notes are an integral part of these financial statements.
FINANCIAL STATEMENTS APRIL 30, 2020 | 33 |
BBH INTERMEDIATE MUNICIPAL BOND FUND
NOTES TO FINANCIAL STATEMENTS
April 30, 2020 (unaudited)
1. Organization. The Fund is a separate, diversified series of BBH Trust (the “Trust”), which is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. The Trust was originally organized under the laws of the State of Maryland on July 16, 1990 as BBH Fund, Inc. and re-organized as a Delaware statutory trust on June 12, 2007. The Fund commenced operations on April 1, 2014. The Fund offers Class N shares and Class I shares. Class N and Class I shares have different operating expenses. With the exception of class specific expenses, all expenses are allocated between classes based on net assets. Neither Class N shares nor Class I shares automatically convert to any other share class of the Fund. The investment objective of the Fund is to protect investor’s capital and generate attractive risk-adjusted returns. As of April 30, 2020, there were seven series of the Trust.
2. Significant Accounting Policies. The Fund’s financial statements are prepared in accordance with Generally Accepted Accounting Principles in the United States of America (“GAAP”). The Fund is an investment company and accordingly follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standard Codification Topic 946 Financial Services – Investment Companies. The following summarizes significant accounting policies of the Fund:
A. Valuation of Investments. Prices of municipal bonds are provided by an external pricing service approved by the Fund’s Board of Trustees (the “Board”). These securities are generally classified as Level 2. The evaluated vendor pricing is based on methods that may include consideration of the following: yields or prices of municipal securities of comparable quality, type of issue, coupon, maturity and rating, market quotes or indications of value from security dealers, evaluations of anticipated cash flows or collateral, general market conditions and other information and analysis, including the obligor’s credit characteristics considered relevant.
Securities or other assets for which market quotations are not readily available are valued at fair value in accordance with procedures established by and under the general supervision and responsibility of the Board. Short-term investments, which mature in 60 days or less are valued at amortized cost if their original maturity was 60 days or less, or by amortizing their value on the 61st day prior to maturity, if their original maturity when acquired by the Fund was more than 60 days, unless the use of amortized cost is determined not to represent “fair value” by the Board.
B. Accounting for Investments and Income. Investment transactions are accounted for on the trade date. Realized gains and losses on investment transactions are determined based on the identified cost method. Interest income is accrued daily and consists of interest accrued, discount earned (including, if any, both original issue and market discount) and premium amortization on the investments of the Fund. Debt obligations may be placed on non-accrual status and related interest income may be reduced by ceasing current accruals and writing off interest receivable when the collection of all or a portion of the interest has become doubtful based on
34
BBH INTERMEDIATE MUNICIPAL BOND FUND
NOTES TO FINANCIAL STATEMENTS (continued)
April 30, 2020 (unaudited)
consistently applied procedures. A debt obligation is removed from non-accrual status when the issuer resumes interest payments or when collectability of interest is reasonably assured.
C. Fund Expenses. Most expenses of the Trust can be directly attributed to a specific fund. Expenses which cannot be directly attributed to a fund are generally apportioned among each fund in the Trust on a net assets basis or other suitable method. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.
D. Federal Income Taxes. It is the Trust’s policy to comply with the requirements of the Internal Revenue Code (the “Code”) applicable to regulated investment companies and to distribute substantially all of its taxable income to its shareholders. Accordingly, no federal income tax provision is required. The Fund files a tax return annually using tax accounting methods required under provisions of the Code, which may differ from GAAP, which is the basis on which these financial statements are prepared. Accordingly, the amount of net investment income and net realized gain reported in these financial statements may differ from that reported on the Fund’s tax return, due to certain book-to-tax timing differences such as losses deferred due to “wash sale” transactions and utilization of capital loss carryforwards. These differences may result in temporary over-distributions for financial statement purposes and are classified as distributions in excess of accumulated net realized gains or net investment income. These distributions do not constitute a return of capital. Permanent differences are reclassified between paid-in capital and retained earnings/(accumulated deficit) within the Statement of Assets and Liabilities based upon their tax classification. As such, the character of distributions to shareholders reported in the Financial Highlights table may differ from that reported to shareholders on Form 1099-DIV.
The Fund is subject to the provisions of Accounting Standards Codification 740 Income Taxes (“ASC 740”). ASC 740 sets forth a minimum threshold for financial statement recognition of the benefit of a tax position taken or expected to be taken in a tax return. The Fund did not have any unrecognized tax benefits as of October 31, 2019, nor were there any increases or decreases in unrecognized tax benefits for the year then ended. The Fund recognizes interest and penalties, if any, related to unrecognized tax benefits as an income tax expense in the Statement of Operations. During the six months ended April 30, 2020, the Fund did not incur any such interest or penalties. The Fund is subject to examination by U.S. federal and state tax authorities for returns filed for the prior three years. The Fund is not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months.
E. Dividends and Distributions to Shareholders. Dividends and distributions from net investment income to shareholders are declared daily and paid monthly to shareholders. Distributions from net capital gains, if any, are generally declared and paid annually and are recorded on the ex-dividend date. The Fund declared dividends and distributions in the amount of $741,714 and $5,306,308 to
FINANCIAL STATEMENTS APRIL 30, 2020 | 35 |
BBH INTERMEDIATE MUNICIPAL BOND FUND
NOTES TO FINANCIAL STATEMENTS (continued)
April 30, 2020 (unaudited)
Class N and Class I shareholders, respectively, during the six months ended April 30, 2020. In addition, the Fund designated a portion of the payment made to redeeming shareholders as a distribution for income tax purpose.
The tax character of distributions paid during the years ended October 31, 2019 and 2018, respectively, were as follows:
Distributions paid from: | ||||||||||||||||||
Ordinary income | Net long-term capital gain | Total taxable distributions | Tax exempt income | Tax return of capital | Total distributions paid | |||||||||||||
2019: | $26,771 | $252,349 | $279,120 | $6,914,007 | $ — | $7,193,127 | ||||||||||||
2018: | 137,628 | 698,195 | 835,823 | 2,624,690 | — | 3,460,513 |
As of October 31, 2019 and 2018, respectively, the components of retained earnings/(accumulated deficit) on a tax basis were as follows:
Components of retained earnings/(accumulated deficit): | |||||||||||||||||||||
Undistributed ordinary income | Undistributed long-term capital gain | Undistributed tax-exempt income | Accumulated capital and other losses | Other book/tax temporary differences | Unrealized appreciation/ (depreciation) | Total retained earnings/ (accumulated deficit) | |||||||||||||||
2019: | $1,734,251 | $117,366 | $22,204 | $ — | $(2,775 | ) | $15,242,145 | $17,113,191 | |||||||||||||
2018: | — | 251,888 | — | — | (2,775 | ) | (1,015,158 | ) | (766,045 | ) |
The Fund did not have a net capital loss carryforward at October 31, 2019.
The Fund is permitted to carryforward capital losses for an unlimited period and they will retain their character as either short-term or long-term capital losses rather than being considered all short-term capital losses.
Total distributions paid may differ from amounts reported in the Statements of Changes in Net Assets because, for tax purposes, dividends are recognized when actually paid.
To the extent future capital gains are offset by capital loss carryforwards, if any, such gains will not be distributed.
F. Use of Estimates. The preparation of financial statements in accordance with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities in the financial statements, disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from these estimates.
36
BBH INTERMEDIATE MUNICIPAL BOND FUND
NOTES TO FINANCIAL STATEMENTS (continued)
April 30, 2020 (unaudited)
3. Fees and Other Transactions with Affiliates.
A. Investment Advisory and Administrative Fees. Effective April 1, 2014 (commencement of operations), under a combined Investment Advisory and Administrative Services Agreement (“Agreement”) with the Trust, Brown Brothers Harriman & Co. (“BBH”) through a separately identifiable department (“SID” or “Investment Adviser”) provides investment advisory, portfolio management and administrative services to the Fund. The Fund’s investment advisory and administrative services fee is calculated daily and paid monthly at an annual rate equivalent to 0.40% of the Fund’s average daily net assets. For the six months ended April 30, 2020, the Fund incurred $861,980 under the Agreement.
B. Investment Advisory and Administrative Fee Waiver. Effective April 1, 2014 (commencement of operations), the Investment Adviser contractually agreed to limit the annual fund operating expenses (excluding interest, taxes, brokerage commissions, other expenditures that are capitalized in accordance with GAAP and other extraordinary expenses not incurred in the ordinary course of the Fund’s business) of Class N and Class I to 0.65% and 0.50%, respectively. The agreement will terminate on March 1, 2021, unless it is renewed by all parties to the agreement. The agreement may only be terminated during its term with approval of the Fund’s Board of Trustees. For the six months ended April 30, 2020, the Investment Adviser waived fees in the amount of $28,362 and $0 for Class N and Class I, respectively.
C. Shareholder Servicing Fees. The Trust has a shareholder servicing agreement with BBH. BBH receives a fee from the Fund calculated daily and paid monthly at an annual rate of 0.20% of Class N shares’ average daily net assets. For the six months ended April 30, 2020, Class N shares of the Fund incurred $55,492 in shareholder servicing fees.
D. Custody and Fund Accounting Fees. BBH acts as a custodian and fund accountant and receives custody and fund accounting fees from the Fund calculated daily and incurred monthly. BBH holds all of the Fund’s cash and investments and calculates the Fund’s daily net asset value. The custody fee is an asset and transaction-based fee. The fund accounting fee is an asset-based fee calculated at 0.004% of the Fund’s net asset value. For the six months ended April 30, 2020, the Fund incurred $44,297 in custody and fund accounting fees. As per agreement with the Fund’s custodian, the Fund receives interest income on cash balances held by the custodian at the BBH Base Rate. The BBH Base Rate is defined as BBH’s effective trading rate in local money markets on each day. The total interest earned by the Fund for the six months ended April 30, 2020 was $2,113. This amount is included in “Interest income” in the Statement of Operations. In the event that the Fund is overdrawn, under the custody agreement with BBH, BBH will make overnight loans to the Fund to cover overdrafts. Pursuant to their agreement, the Fund will pay the Federal Funds overnight
FINANCIAL STATEMENTS APRIL 30, 2020 | 37 |
BBH INTERMEDIATE MUNICIPAL BOND FUND
NOTES TO FINANCIAL STATEMENTS (continued)
April 30, 2020 (unaudited)
investment rate on the day of the overdraft. The total interest incurred by the Fund for the six months ended April 30, 2020 was $957. This amount is included under line item “Custody and fund accounting fees” in the Statement of Operations.
E. Board of Trustees’ Fees. Each Trustee who is not an “interested person” as defined under the 1940 Act receives an annual fee as well as reimbursement for reasonable out-of-pocket expenses from the Fund. For the six months ended April 30, 2020, the Fund incurred $31,351 in independent Trustee compensation and expense reimbursements.
F. Officers of the Trust. Officers of the Trust are also employees of BBH. Officers are paid no fees by the Trust for their services to the Trust.
4. Investment Transactions. For the six months ended April 30, 2020, the cost of purchases and the proceeds of sales of investment securities, other than short-term investments, was $356,082,130 and $184,997,296, respectively.
5. Shares of Beneficial Interest. The Trust is permitted to issue an unlimited number of Class N shares and Class I shares of beneficial interest, at no par value. Transactions in Class N and Class I shares were as follows:
For the six months ended | For the year ended | |||||||||||||||
Shares | Dollars | Shares | Dollars | |||||||||||||
Class N | ||||||||||||||||
Shares sold | 1,885,257 | $ | 20,269,299 | 2,613,287 | $ | 27,515,420 | ||||||||||
Shares issued in connection with reinvestments of dividends | 69,060 | 742,052 | 87,252 | 923,281 | ||||||||||||
Proceeds from short-term redemption fees | N/A | 199 | N/A | 306 | ||||||||||||
Shares redeemed | (926,949 | ) | (9,906,023 | ) | (1,016,178 | ) | (10,657,541 | ) | ||||||||
Net increase | 1,027,368 | $ | 11,105,527 | 1,684,361 | $ | 17,781,466 | ||||||||||
Class I | ||||||||||||||||
Shares sold | 17,268,665 | $ | 181,926,616 | 20,123,983 | $ | 208,252,781 | ||||||||||
Shares issued in connection with reinvestments of dividends | 106,022 | 1,137,860 | 115,417 | 1,221,983 | ||||||||||||
Proceeds from short-term redemption fees | N/A | 221 | N/A | 354 | ||||||||||||
Shares redeemed | (2,297,702 | ) | (24,327,587 | ) | (1,892,297 | ) | (19,911,974 | ) | ||||||||
Net increase | 15,076,985 | $ | 158,737,110 | 18,347,103 | $ | 189,563,144 | ||||||||||
38
BBH INTERMEDIATE MUNICIPAL BOND FUND
NOTES TO FINANCIAL STATEMENTS (continued)
April 30, 2020 (unaudited)
Included in Shares Sold and Shares Redeemed are shareholder exchanges during the six months ended April 30, 2020 and the year ended October 31, 2019. Specifically:
During the six months ended April 30, 2020, 342,522 shares of Class N were exchanged for 342,842 shares of Class I valued at $3,674,042.
During the year ended 2019, 19,044 shares of Class N were exchanged for 19,062 shares of Class I valued at $196,818.
6. Principal Risk Factors and Indemnifications.
A. Principal Risk Factors. Investing in the Fund may involve certain risks, as discussed in the Fund’s prospectus, including but not limited to, those described below:
A shareholder may lose money by investing in the Fund (investment risk). The Fund is actively managed and the decisions by the Investment Adviser may cause the Fund to incur losses or miss profit opportunities (management risk). In the normal course of business, the Fund may invest in auction rate securities, the liquidity and price of which are subject to the risk of insufficient demand at auction or on a secondary market (auction rate securities risk). Additionally, in the normal course of business, the Fund invests in securities and enters into transactions where risks exist due to redemption of securities by the issuer before maturity (call risk), failure of a counterparty to a transaction to perform (credit risk), changes in interest rates (interest rate risk), higher volatility for securities with longer maturities (maturity risk), difficulty in being able to purchase or sell a security (liquidity risk) and a significant position in municipal securities in a particular state (state-specific risk). Political, legislative and economic events may affect a municipal security’s value, interest payments, repayments of principal and the Fund’s ability to sell it (municipal issuer risk). Additionally, as the Fund’s exposure to similar municipal revenue sectors increases, the Fund will become more sensitive to adverse economic, business or political developments relevant to these sectors (municipal revenue sector risk). The Fund’s use of derivatives creates risks that are different from, or possibly greater than, the risks associated with investing directly in securities as the Fund could lose more than the principal amount invested (derivatives risk). The value of securities held by the Fund may decline in response to certain events, including: those directly involving the companies or issuers whose securities are held by the Fund; conditions affecting the general economy; overall market changes; and political and regulatory events. Natural disasters, the spread of infectious illness and other public health emergencies, recession, terrorism and other unforeseeable events may lead to increased market volatility and may have adverse effects on world economies and markets generally (market risk). While the Fund endeavors to purchase only bona fide tax exempt bonds, there is a risk that a bond
FINANCIAL STATEMENTS APRIL 30, 2020 | 39 |
BBH INTERMEDIATE MUNICIPAL BOND FUND
NOTES TO FINANCIAL STATEMENTS (continued)
April 30, 2020 (unaudited)
may be reclassified by the IRS as a taxable bond creating taxable income for the Fund and its shareholders (taxation risk). The Fund’s shareholders may be adversely impacted by asset allocation decisions made by an investment adviser whose discretionary clients may make up a large percentage of the Fund’s shareholders (shareholder concentration risk). LIBOR is scheduled to be phased out by the end of 2021. The unavailability and/or discontinuation of LIBOR may affect the value, liquidity or return on certain fund investments that mature later than 2021 and may result in costs incurred in connection with closing out positions and entering into new positions. Any pricing adjustments to the fund’s investments resulting from a substitute reference rate may also adversely affect the fund’s performance and/or net asset value. The extent of the Fund’s exposure to these risks in respect to these financial assets is included in their value as recorded in the Fund’s Statement of Assets and Liabilities.
Please refer to the Fund’s prospectus for a complete description of the principal risks of investing in the Fund.
B. Indemnifications. Under the Trust’s organizational documents, its officers and Trustees may be indemnified against certain liabilities and expenses arising out of the performance of their duties to the Fund, and shareholders are indemnified against personal liability for the obligations of the Trust. Additionally, in the normal course of business, the Fund enters into agreements with service providers that may contain indemnification clauses. The Fund’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Fund that have not yet occurred. The risk of material loss from such claims is considered remote.
7. Recent pronouncements.
A. ASU 2017-08. In March 2017, the Financial Accounting Standards Board issued an Accounting Standards Update, ASU 2017-08, Receivables – Nonrefundable Fees and Other Costs (Subtopic 310-20), Premium Amortization on Purchased Callable Debt Securities (the “ASU 2017-08”) which amends the amortization period for certain purchased callable debt securities held at a premium, shortening such period to the earliest call date. The ASU 2017-08 does not require any accounting change for debt securities held at a discount; the discount continues to be amortized to maturity. The ASU 2017-08 is effective for years, and interim periods within those years, beginning after December 15, 2018. The application of ASU 2017-08 did not have a significant impact on the Fund’s financial statements.
40
BBH INTERMEDIATE MUNICIPAL BOND FUND
NOTES TO FINANCIAL STATEMENTS (continued)
April 30, 2020 (unaudited)
8. Significant Events. In the beginning of 2020, there was an outbreak of the novel corona virus (COVID 19) which has impacted the financial markets and the global economy as a whole. The outbreak of COVID 19 is still ongoing and the magnitude and impact on the financial markets is highly uncertain and cannot be predicted. The effect of this impact may adversely impact the future carrying value of investments and results of operations of the Fund.
There are no other significant events to report as they relate to the Fund.
9. Subsequent Events. Management has evaluated events and transactions that have occurred since April 30, 2020 through the date the financial statements were issued and determined that there were none that would require recognition or additional disclosure in the financial statements.
FINANCIAL STATEMENTS APRIL 30, 2020 | 41 |
BBH INTERMEDIATE MUNICIPAL BOND FUND
DISCLOSURE OF FUND EXPENSES
April 30, 2020 (unaudited)
EXAMPLE
As a shareholder of the Fund, you may incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments, reinvested distributions, or other distributions; redemption fees; and exchange fees; 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 (November 1, 2019 to April 30, 2020).
ACTUAL EXPENSES
The first line of the table provides information about actual account values and actual expenses. You may use information in this line, 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 first line under the heading entitled “Expenses Paid During the Period” to estimate the expenses you paid on your account during the period.
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
The second line of the table 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 during the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% Hypothetical Example with the 5% hypothetical examples that appear in the shareholder reports of other funds.
42
BBH INTERMEDIATE MUNICIPAL BOND FUND
DISCLOSURE OF FUND EXPENSES (continued)
April 30, 2020 (unaudited)
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 redemption fees or exchange fees. Therefore, the second line of 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 November 1, 2019 | Ending Account Value April 30, 2020 | Expenses Paid During Period November 1, 2019 to April 30, 20201 | |||||||
Class N | |||||||||
Actual | $1,000 | $ 994 | $3.22 | ||||||
Hypothetical2 | $1,000 | $1,022 | $3.27 |
Beginning Account Value November 1, 2019 | Ending Account Value April 30, 2020 | Expenses Paid During Period November 1, 2019 to April 30, 20201 | |||||||
Class I | |||||||||
Actual | $1,000 | $ 995 | $2.38 | ||||||
Hypothetical2 | $1,000 | $1,022 | $2.41 |
1 | Expenses are equal to the Fund’s annualized expense ratio of 0.65% and 0.48% for Class N and I shares, respectively, multiplied by the average account value over the period, multiplied by 182/366 (to reflect the one-half year period). |
2 | Assumes a return of 5% before expenses. For the purposes of the calculation, the applicable annualized expenses ratio for each class of shares is subtracted from the assumed return before expenses. |
FINANCIAL STATEMENTS APRIL 30, 2020 | 43 |
BBH INTERMEDIATE MUNICIPAL BOND FUND
DISCLOSURE OF ADVISOR SELECTION
April 30, 2020 (unaudited)
Investment Advisory and Administrative Services Agreement Approval
The 1940 Act requires that a fund’s investment advisory agreements be approved annually by the fund’s board of trustees, including by a majority of the trustees who are not parties to the investment advisory agreements or “interested persons” of any party (“Independent Trustees”). Additionally, the approval must occur at an in-person meeting called for the purpose of voting on such approval.
The Board, a majority of which is comprised of Independent Trustees, held a telephonic meeting on November 20, 2019 and an in-person meeting on December 10, 2019, to consider whether to renew the combined Amended and Restated Investment Advisory and Administrative Services Agreement (the “Agreement”) between the Trust and the Investment Adviser with respect to the existing funds in the Trust, including the Fund. At the December 10, 2019 meeting, the Board voted to approve the renewal of the Agreement with respect to the Fund for an additional one-year term. In doing so, the Board determined that the terms of the Agreement were fair and reasonable and in the best interest of the Fund and its shareholders, and that it had received sufficient information to make an informed business decision with respect to the continuation of the Agreement.
Both in the meetings specifically held to address the continuance of the Agreement and at other meetings over the course of the year, the Board requested, received and assessed a variety of materials provided by the Investment Adviser and BBH, including, among other things, information about the nature, extent and quality of the services provided to the Fund by the Investment Adviser and BBH, including investment management, administrative and shareholder services, the oversight of Fund service providers, marketing, risk oversight, compliance, and the ability to meet applicable legal and regulatory requirements. The Board also received comparative performance and fee and expense information for the Fund prepared by Broadridge Financial Solutions, Inc. (“Broadridge”) using data from Lipper Inc., an independent provider of investment company data (“Lipper Report”). The Board reviewed this report with Broadridge, counsel to the Trust (“Fund Counsel”) and BBH. The Board received from, and discussed with Fund Counsel a memorandum regarding the responsibilities of trustees for the approval of investment advisory agreements under the 1940 Act, as well as the guidance provided in Gartenburg v. Merrill Lynch Asset Management, Inc., which was affirmed in Jones v. Harris Associates, L.P. In addition, the Board met in executive session outside the presence of Fund management.
In approving the continuation of the Agreement, the Board considered: (a) the nature, extent and quality of services provided by the Investment Adviser; (b) the investment performance of the Fund; (c) the advisory fee and the cost of the services and profits to be realized by the Investment Adviser from its relationship with the Fund; (d) the Fund’s costs to investors compared to the costs of comparative funds and performance compared to the relevant performance of comparative funds; (e) the sharing of potential economies of scale; (f) fall-out benefits to the Investment Adviser as a result of its relationship with the Fund; and (g) other factors deemed relevant by the Board. The following is a summary of the factors the
44
BBH INTERMEDIATE MUNICIPAL BOND FUND
DISCLOSURE OF ADVISOR SELECTION (continued)
April 30, 2020 (unaudited)
Board considered in making its determination to approve the continuance of the Agreement. No single factor reviewed by the Board was identified as the principal factor in determining whether to approve the Agreement, and individual Trustees may have given different weight to various factors. The Board reviewed these factors with Fund Counsel. The Board concluded that the fees paid by the Fund to the Investment Adviser were reasonable based on the comparative performance, expense information, the cost of the services provided, and the profits realized by the Investment Adviser.
Nature, Extent and Quality of Services
The Board noted that, under the Agreement and with respect to the Fund, the Investment Adviser, subject to the supervision of the Board, is responsible for providing a continuous investment program and making purchases and sales of portfolio securities consistent with the Fund’s investment objective and policies. The Board further noted that, as a combined investment advisory and administration agreement, the Agreement also contemplates the provision of administrative services by the Investment Adviser to the Fund within the same fee structure. The Board received and considered information, during the December 10, 2019 meeting, and over the course of the previous year, regarding the nature, extent and quality of services provided to the Fund by the Investment Adviser including: portfolio management, supervision of operations and compliance, preparation of regulatory filings, disclosures to Fund shareholders, general oversight of service providers, organizing Board meetings and preparing the materials for such Board meetings, assistance to the Board (including the Independent Trustees in their capacity as Trustees), legal and Chief Compliance Officer services for the Trust, and other services necessary for the operation of the Fund. The Board considered the resources of the Investment Adviser and BBH, as a whole, dedicated to the Fund noting that, pursuant to separate agreements, BBH also provides custody, shareholder servicing, and fund accounting services to the Fund. The Board considered the depth and range of services provided pursuant to the Agreement, noting that the Investment Adviser also coordinates the provision of services to the Fund by affiliated and nonaffiliated service providers.
The Board considered the scope and quality of services provided by the Investment Adviser under the Agreement. The Board reviewed the qualifications of the key investment personnel primarily responsible for the day-to-day portfolio management of the Fund. The Board also considered the policies and practices followed by BBH and the Investment Adviser. The Board noted that during the course of its regular meetings, it received reports on each of the foregoing topics. The Board concluded that, overall, they were satisfied with the nature, extent and quality of the investment advisory and administrative services provided, and expected to be provided, to the Fund pursuant to the Agreement.
Fund Performance
At the November 20, 2019 and December 10, 2019 meetings, and throughout the year, the Board received and considered performance information for the Fund provided by BBH. The Board also considered the Fund’s performance relative to a peer category of other mutual funds in a report compiled by Broadridge.
FINANCIAL STATEMENTS APRIL 30, 2020 | 45 |
BBH INTERMEDIATE MUNICIPAL BOND FUND
DISCLOSURE OF ADVISOR SELECTION (continued)
April 30, 2020 (unaudited)
As part of this review, the Trustees considered the composition of the peer category, selection criteria and reputation of Broadridge who prepared the peer category analysis. The Board reviewed and discussed with both BBH and Broadridge the report’s findings and discussed the positioning of the Fund relative to its selected peer category. The Board considered short-term and long-term investment performance for the Fund over various periods of time noting the Fund had overperformed as compared to its peer category for the 1-, 2-, 3-, 4- and 5-year periods ended September 30, 2019. In evaluating the performance of the Fund, the Board considered the risk expectations for the Fund as well as the level of Fund performance in the context of Fund expenses and the Investment Adviser’s profitability. Based on this information, the Board concluded that it was satisfied with the Fund’s investment results.
Costs of Services Provided and Profitability
The Board considered the fee rates paid by the Fund to the Investment Adviser in light of the nature, extent and quality of the services provided to the Fund. The Board also considered and reviewed the fee waiver arrangement that was in place for the Fund and considered the actual fee rates, after taking into account the waiver. The Board received and considered information comparing the Fund’s combined investment advisory and administration fee and the Fund’s net operating expenses with those of other comparable mutual funds, such peer category and comparisons having been selected and calculated by Broadridge, noting that the Fund was very well placed, as compared to its selected peer category. The Board recognized that it is difficult to make comparisons of the fee rate, or of combined advisory and administration fees, because there are variations in the services that are included in the fees paid by other funds. The Board concluded that the advisory and administration fee appeared to be both reasonable in light of the services rendered and the result of arm’s length negotiations.
With regard to profitability, the Trustees considered the compensation and benefits flowing to the Investment Adviser and BBH, directly or indirectly. The Board reviewed the Investment Adviser and BBH’s profitability data for the Fund for the nine-months ended September 30, 2019, and for the prior five years. The data also included the effect of revenue generated by the shareholder servicing, custody and fund accounting fees paid by the Fund to BBH. The Board conducted a detailed review of the allocation methods used in preparing the profitability data. The Board focused on profitability of the Investment Adviser and BBH’s relationships with the Fund before taxes and distribution expenses. The Board concluded that the Investment Adviser’s and BBH’s profitability was not excessive in light of the nature, extent and quality of services provided to the Fund.
The Board also considered the effect of fall-out benefits to the Investment Adviser and BBH such as the increased visibility of BBH’s investment management business due to the distribution of the Trust’s funds. The Board considered other benefits received by BBH and the Investment Adviser as a result of their relationships with the Fund. These other benefits include fees received for being the Fund’s administrator, custodian, fund accounting and shareholder servicing agent. In light of the costs of providing services
46
BBH INTERMEDIATE MUNICIPAL BOND FUND
DISCLOSURE OF ADVISOR SELECTION (continued)
April 30, 2020 (unaudited)
pursuant to the Agreement as well as the Investment Adviser and BBH’s commitment to the Fund, the ancillary benefits that the Investment Adviser and BBH received were considered reasonable.
Economies of Scale
The Board also considered the existence of economies of scale and whether those economies are passed along to the Fund’s shareholders through a graduated investment advisory fee schedule or other means, including any fee waivers by the Investment Adviser. The Board noted that the fee schedule for the Fund does not contain breakpoints. Based on information it had been provided over many years, the Board observed that in the mutual fund industry as a whole, as well as among funds similar to the Fund, there appeared to be no uniformity or pattern in the fees and asset levels at which breakpoints apply. In light of the Fund’s current size and expense structure, the Board concluded that it was unnecessary at this time to consider breakpoints with respect to the Fund. The Board concluded that the fees paid by the Fund to the Investment Adviser were reasonable based on the comparative performance, expense information, the cost of the services provided and the profits to be realized by the Investment Adviser.
FINANCIAL STATEMENTS APRIL 30, 2020 | 47 |
BBH INTERMEDIATE MUNICIPAL BOND FUND
CONFLICTS OF INTEREST
April 30, 2020 (unaudited)
Conflicts of Interest
BBH, including the Investment Adviser, provides discretionary and non-discretionary investment management services and products to corporations, institutions and individual investors throughout the world. As a result, in the ordinary course of its businesses, BBH, including the Investment Adviser, may engage in activities in which its interests or the interests of its clients may conflict with or be adverse to the interests of the Funds. In addition, certain of such clients (including the Funds) utilize the services of BBH for which they will pay to BBH customary fees and expenses that will not be shared with the Funds.
The Investment Adviser and the Sub-Adviser have adopted and implemented policies and procedures that seek to manage conflicts of interest. Pursuant to such policies and procedures, the Investment Adviser and the Sub-Adviser monitor a variety of areas, including compliance with fund investment guidelines, the investment in only those securities that have been approved for purchase, and compliance with their respective Code of Ethics.
The Trust also manages these conflicts of interest. For example, the Trust has designated a chief compliance officer and has adopted and implemented policies and procedures designed to manage the conflicts identified below and other conflicts that may arise in the course of the Funds’ operations in such a way as to safeguard the Funds from being negatively affected as a result of any such potential conflicts. From time to time, the Trustees receive reports from the Investment Adviser, the Sub-Adviser and the Trust’s chief compliance officer on areas of potential conflict.
Investors should carefully review the following, which describes potential and actual conflicts of interest that BBH, the Investment Adviser and Sub-Adviser can face in the operation of their respective investment management services. This section is not, and is not intended to be, a complete enumeration or explanation of all of the potential conflicts of interest that may arise. The Investment Adviser, the Sub-Adviser and the Funds have adopted policies and procedures reasonably designed to appropriately prevent, limit or mitigate the conflicts of interest described below. Additional information about potential conflicts of interest regarding the Investment Adviser is set forth in the Investment Adviser’s Form ADV. A copy of Part 1 and Part 2A of the Investment Adviser’s Form ADV is available on the SEC’s website (www.adviserinfo.sec.gov). In addition, many of the activities that create these conflicts of interest are limited and/or prohibited by law, unless an exception is available.
Other Clients and Allocation of Investment Opportunities. BBH, the Investment Adviser, and the Sub-Adviser manage funds and accounts of clients other than the Funds (“Other Clients”). In general, BBH, the Investment Adviser, and the Sub-Adviser face conflicts of interest when they render investment advisory services to different clients and, from time to time, provide dissimilar investment advice to different clients. Investment decisions will not necessarily be made in parallel among the Funds and Other Clients. Investments made by the Funds do not, and are not intended to, replicate the investments, or the
48
BBH INTERMEDIATE MUNICIPAL BOND FUND
CONFLICTS OF INTEREST (continued)
April 30, 2020 (unaudited)
investment methods and strategies, of Other Clients. Accordingly, such Other Clients’ accounts may produce results that are materially different from those experienced by the Funds. Certain other conflicts of interest may arise in connection with a portfolio manager’s management of the Funds’ investments, on the one hand, and the investments of other funds or accounts for which the portfolio manager is responsible, on the other. For example, it is possible that the various funds or accounts managed by the Investment Adviser or Sub-Adviser could have different investment strategies that, at times, might conflict with one another to the possible detriment of the Funds. From time to time, the Investment Adviser and Sub-Adviser, sponsor and with other investment pools and accounts which engage in the same or similar businesses as the Funds using the same or similar investment strategies. To the extent that the same investment opportunities might be desirable for more than one account or fund, possible conflicts could arise in determining how to allocate them because the Investment Adviser or Sub-Adviser may have an incentive to allocate investment opportunities to certain accounts or funds. However, BBH and the Sub-Adviser have implemented policies and procedures designed to ensure that information relevant to investment decisions is disseminated promptly within its portfolio management teams and investment opportunities are allocated equitably among different clients. The policies and procedures require, among other things, objective allocation for limited investment opportunities, and documentation and review of justifications for any decisions to make investments only for select accounts or in a manner disproportionate to the size of the account. Nevertheless, access to investment opportunities may be allocated differently among accounts due to the particular characteristics of an account, such as size of the account, cash position, tax status, risk tolerance and investment restrictions or for other reasons.
Actual or potential conflicts of interest may also arise when a portfolio manager has management responsibilities to multiple accounts or funds, resulting in unequal commitment of time and attention to the portfolio management of the funds or accounts.
Affiliated Service Providers. Other potential conflicts might include conflicts between the Funds and its affiliated and unaffiliated service providers (e.g. conflicting duties of loyalty). In addition to providing investment management services through the SID, BBH provides administrative, custody, shareholder servicing and fund accounting services to the Funds. BBH may have conflicting duties of loyalty while servicing the Funds and/or opportunities to further its own interest to the detriment of the Funds. For example, in negotiating fee arrangements with affiliated service providers, BBH may have an incentive to agree to higher fees than it would in the case of unaffiliated providers. BBH acting in its capacity as the Funds’ administrator is the primary valuation agent of the Funds. BBH values securities and assets in the Funds according to the Funds’ valuation policies. Because the Investment Adviser’s advisory and administrative fees are calculated by reference to the Funds’ net assets, BBH and its affiliates may have an incentive to seek to overvalue certain assets.
FINANCIAL STATEMENTS APRIL 30, 2020 | 49 |
BBH INTERMEDIATE MUNICIPAL BOND FUND
CONFLICTS OF INTEREST (continued)
April 30, 2020 (unaudited)
Aggregation. Potential conflicts of interest also arise with the aggregation of trade orders. Purchases and sales of securities for the Funds may be aggregated with orders for other client accounts managed by the Sub-Adviser. The Sub-Adviser, however, is not required to aggregate orders if portfolio management decisions for different accounts are made separately, or if it is determined that aggregating is not practicable, or in cases involving client direction. Prevailing trading activity frequently may make impossible the receipt of the same price or execution on the entire volume of securities purchased or sold. When this occurs, the various prices may be averaged, and the Funds will be charged or credited with the average price. Thus, the effect of the aggregation may operate on some occasions to the disadvantage of the Funds. In addition, under certain circumstances, the Funds will not be charged the same commission or commission equivalent rates in connection with an aggregated order.
Cross Trades. Under certain circumstances, the Investment Adviser and/or the Sub-Adviser, on behalf of the Funds, may seek to buy from or sell securities to another fund or account advised by BBH, the Investment Adviser or the Sub-Adviser. Subject to applicable law and regulation, BBH, the Investment Adviser or the Sub-Adviser may (but is not required to) effect purchases and sales between BBH, the Investment Adviser or the Sub-Adviser’s clients (“cross trades”), including the Funds, if BBH, the Investment Adviser or the Sub-Adviser believe such transactions are appropriate based on each party’s investment objectives and guidelines. There may be potential conflicts of interest or regulatory issues relating to these transactions which could limit the Investment Adviser or the Sub-Adviser’s decision to engage in these transactions for the Funds. BBH, the Investment Adviser and/or the Sub-Adviser may have a potentially conflicting division of loyalties and responsibilities to the parties in such transactions.
Soft Dollars. The Investment Adviser may direct brokerage transactions and/or payment of a portion of client commissions (“soft dollars”) to specific brokers or dealers or other providers to pay for research or other appropriate services which provide, in the Investment Adviser’s view, appropriate assistance in the investment decision-making process (including with respect to futures, fixed price offerings and over-the-counter transactions). The use of a broker that provides research and securities transaction services may result in a higher commission than that offered by a broker who does not provide such services. The Investment Adviser will determine in good faith whether the amount of commission is reasonable in relation to the value of research and services provided and whether the services provide lawful and appropriate assistance in its investment decision-making responsibilities.
Research or other services obtained in this manner may be used in servicing any or all of the Funds and other accounts managed by the Investment Adviser, including in connection with accounts that do not pay commissions to the broker related to the research or other service arrangements. Such products and services may disproportionately benefit other client accounts relative to the Funds based on the amount of brokerage commissions paid by the Funds and such other accounts. To the extent that the Sub-Adviser uses soft dollars, it will not have to pay for those products and services itself.
50
BBH INTERMEDIATE MUNICIPAL BOND FUND
CONFLICTS OF INTEREST (continued)
April 30, 2020 (unaudited)
BBH may receive research that is bundled with the trade execution, clearing, and/or settlement services provided by a particular broker-dealer. To the extent that the Sub-Adviser receives research on this basis, many of the same conflicts related to traditional soft dollars may exist. For example, the research effectively will be paid by client commissions that also will be used to pay for the execution, clearing, and settlement services provided by the broker-dealer and will not be paid by the Sub-Adviser.
Arrangements regarding compensation and delegation of responsibility may create conflicts relating to selection of brokers or dealers to execute Fund portfolio trades and/or specific uses of commissions from Fund portfolio trades, administration of investment advice and valuation of securities.
Investments in BBH Funds. From time to time BBH may invest a portion of the assets of its discretionary investment advisory clients in the Funds. That investment by BBH on behalf of its discretionary investment advisory clients in the Funds may be significant at times.
Increasing a Fund’s assets may enhance investment flexibility and diversification and may contribute to economies of scale that tend to reduce the Funds’ expense ratio. In selecting the Funds for its discretionary investment advisory clients, BBH may limit its selection to funds managed by BBH or the Investment Adviser. BBH may not consider or canvass the universe of unaffiliated investment companies available, even though there may be unaffiliated investment companies that may be more appropriate or that have superior performance. BBH, the Investment Adviser and their affiliates providing services to the Funds benefit from additional fees when the Funds is included as an investment by a discretionary investment advisory client.
BBH reserves the right to redeem at any time some or all of the shares of the Funds acquired for its discretionary investment advisory clients’ accounts. A large redemption of shares of the Funds by BBH on behalf of its discretionary investment advisory clients could significantly reduce the asset size of the Funds, which might have an adverse effect on the Funds’ investment flexibility, portfolio diversification and expense ratio.
Valuation. When market quotations are not readily available, or are believed by BBH to be unreliable, the Funds’ investments will be valued at fair value by BBH pursuant to procedures adopted by the Funds’ Board of Trustees. When determining an asset’s “fair value”, BBH seeks to determine the price that a Fund might reasonably expect to receive from the current sale of that asset in an arm’s-length transaction. The price generally may not be determined based on what the Funds might reasonably expect to receive for selling an asset at a later time or if it holds the asset to maturity. While fair value determinations will be based upon all available factors that BBH deems relevant at the time of the determination and may be based on analytical values determined by BBH using proprietary or third-party valuation models, fair value represents only a good faith approximation of the value of a security. The fair value of one or more
FINANCIAL STATEMENTS APRIL 30, 2020 | 51 |
BBH INTERMEDIATE MUNICIPAL BOND FUND
CONFLICTS OF INTEREST (continued)
April 30, 2020 (unaudited)
securities may not, in retrospect, be the price at which those assets could have been sold during the period in which the particular fair values were used in determining the Funds’ net asset value. As a result, the Funds’ sale or redemption of its shares at net asset value, at a time when a holding or holdings are valued by BBH (pursuant to Board-adopted procedures) at fair value, may have the effect of diluting or increasing the economic interest of existing shareholders.
Referral Arrangements. BBH may enter into advisory and/or referral arrangements with third parties. Such arrangements may include compensation paid by BBH to the third party. BBH may pay a solicitation fee for referrals and/or advisory or incentive fees. BBH may benefit from increased amounts of assets under management.
Personal Trading. BBH, including the Investment Adviser, and any of their respective partners, principals, directors, officers, employees, affiliates or agents, face conflicts of interest when transacting in securities for their own accounts because they could benefit by trading in the same securities as the Funds, which could have an adverse effect on the Funds. However, the Investment Adviser has implemented policies and procedures concerning personal trading by BBH Partners and employees. The policy and procedures are intended to prevent BBH Partners and employees from trading in the same securities as the Funds. However, BBH, including the Investment Adviser, has implemented policies and procedures concerning personal trading by BBH Partners and employees. The policies and procedures are intended to prevent BBH Partners and employees with access to Fund material non-public information from trading in the same securities as the Funds.
Gifts and Entertainment. From time to time, employees of BBH, including the Investment Adviser, and any of their respective partners, principals, directors, officers, employees, affiliates or agents, may receive gifts and/or entertainment from clients, intermediaries, or service providers to the Funds or BBH, including the Investment Adviser, which could have the appearance of affecting or may potentially affect the judgment of the employees, or the manner in which they conduct business. The Investment Adviser has implemented policies and procedures concerning gifts and entertainment to mitigate any impact on the judgment of BBH Partners and employees. BBH, including the Investment Adviser, has implemented policies and procedures concerning gifts and entertainment to mitigate any impact on the judgment of BBH Partners and employees.
52
BBH INTERMEDIATE MUNICIPAL BOND FUND
STATEMENT REGARDING LIQUIDITY RISK MANAGEMENT PROGRAM
April 30, 2020 (unaudited)
The Securities and Exchange Commission adopted Rule 22e-4 under the Investment Company Act of 1940, as amended (the “Liquidity Rule”) to promote effective liquidity risk management throughout the openend investment company industry in order to reduce the risk that funds will be unable to meet their redemption obligations and mitigate dilution of the interests of fund shareholders.
The Board of Trustees (the “Board”) of BBH Trust met on March 11, 2020 to review the liquidity risk management program (the “Program”) applicable to the funds of BBH Trust (the “Funds”) pursuant to the Liquidity Rule. The Board has appointed three members of the Brown Brothers Harriman & Co. Mutual Fund Advisory Department, the Investment Adviser to the Funds, as the Program Administrator for each Fund’s Program. The Program Administrator provided the Board with a report (the “Report”) that addressed the operations of the Program and assessed its adequacy and effectiveness of the Program. The Report covered the period from June 1, 2019 through January 31, 2020.
The Report noted that the Program complied with the key factors for consideration under the Liquidity Rule for assessing, managing and periodically reviewing a Fund’s liquidity risk, including the following points.
Liquidity classification. The Report described the Program’s liquidity classification methodology for categorizing the Funds’ investments into one of four liquidity buckets.
Highly Liquid Investment Minimum. The Report noted that one aspect of the Liquidity Rule is a requirement that funds that are expected to have less than 50% of assets classified as other than “highly liquid” should establish a minimum percentage of highly liquid assets that the fund is expected to hold on an on-going basis. The Program Administrator monitors the percentages of assets in each category on an ongoing basis and, given that no Fund has approached the 50% threshold, has made the determination that it is not necessary to assign a Highly Liquid Investment Minimum as provided for in the Liquidity Rule
to any of the Funds.
The Fund’s investment strategy and liquidity of portfolio investments during normal and reasonably foreseeable stressed market conditions. During the Program reporting period, the Program Administrator reviewed whether each Fund’s investment strategy is appropriate for an open-end fund structure with a focus on Funds with more significant and consistent holdings of less liquid and illiquid assets and factored a Fund’s concentration in an issuer into the liquidity classification methodology by taking issuer position sizes into account.
Short-term and long-term cash flow projections during normal and reasonably foreseeable stressed market conditions. During the Program reporting period, the Program Administrator reviewed historical redemption activity and used this information as a component to establish each Fund’s reasonably anticipated trading size.
FINANCIAL STATEMENTS APRIL 30, 2020 | 53 |
BBH INTERMEDIATE MUNICIPAL BOND FUND
STATEMENT REGARDING LIQUIDITY RISK MANAGEMENT PROGRAM (continued)
April 30, 2020 (unaudited)
The Program Administrator also took into consideration other factors such as shareholder ownership concentration, applicable distribution channels and the degree of certainty associated with a Fund’s short-term and long-term cash flow projections.
Holdings of cash and cash equivalents. The Program Administrator considered the degree to which each Fund held cash and cash equivalents as a component of each Fund’s ability to meet redemption requests.
There were no material changes to the Program during the reporting period. The report provided to the Board stated that the Program Administrator concluded that based on the operation of the Program during the reporting period, the Program is operating as intended and is effective in implementing the requirements of the Liquidity Rule.
54
Administrator Brown Brothers Harriman & Co. 140 Broadway New York, NY 10005 | Investment Adviser Brown Brothers Harriman Mutual Fund Advisory Department 140 Broadway |
Distributor ALPS Distributors, Inc. 1290 Broadway, Suite 1100 Denver, Co 80203
| New York, NY 10005 |
Shareholder Servicing Agent Brown Brothers Harriman & Co. 140 Broadway New York, NY 10005 1-800-575-1265 |
To obtain information or make shareholder inquiries:
By telephone: | Call 1-800-575-1265 |
By E-mail send your request to: | bbhfunds@bbh.com |
On the internet: | www.bbhfunds.com |
This report is submitted for the general information of shareholders and is not authorized for distribution to prospective investors unless preceded or accompanied by an effective prospectus. Nothing herein contained is to be considered an offer of sale or a solicitation of an offer to buy shares of the Fund. |
For more complete information, visit www.bbhfunds.com for a prospectus. You should consider the Fund’s investment objectives, risks, charges and expenses carefully before you invest. Information about these and other important subjects is in the Fund’s prospectus, which you should read carefully before investing.
Holdings and allocations are subject to change. Fund holdings should not be relied on in making investment decisions and should not be construed as research or investment advice regarding particular securities. Current and future holdings are subject to risk.
The Fund files a complete schedule of portfolio holdings with the Securities and Exchange Commission (SEC) for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT. The Fund’s Forms N-PORT are available electronically on the SEC’s website (sec.gov). For a complete list of a fund’s portfolio holdings, view the most recent holdings listing, semi-annual report, or annual report on the Fund’s web site at http://www.bbhfunds.com.
A summary of the Fund’s Proxy Voting Policy that the Fund uses to determine how to vote proxies, if any, relating to securities held in the Fund’s portfolio, as well as a record of how the Fund voted any such proxies during the most recent 12-month period ended June 30, is available, without charge, upon request by calling the toll-free number listed above. This information is also available on the SEC’s website at www.sec.gov.
NOT FDIC INSURED NO BANK GUARANTEE MAY LOSE VALUE |
BBH INCOME FUND
PORTFOLIO ALLOCATION
April 30, 2020 (unaudited)
U.S. $ Value | Percent of Net Assets | |||||||||
Asset Backed Securities | $ | 94,897,495 | 21.5 | % | ||||||
Commercial Mortgage Backed Securities | 19,821,210 | 4.5 | ||||||||
Corporate Bonds | 200,000,182 | 45.3 | ||||||||
Loan Participations and Assignments | 71,114,054 | 16.1 | ||||||||
Preferred Stock | 2,964,000 | 0.7 | ||||||||
Residential Mortgage Backed Securities | 3,781,278 | 0.9 | ||||||||
U.S. Inflation Linked Debt | 9,596,673 | 2.2 | ||||||||
U.S. Treasury Bonds and Notes | 38,085,706 | 8.6 | ||||||||
U.S. Treasury Bills | 9,299,697 | 2.1 | ||||||||
Liabilities in Excess of Other Assets | (8,263,750 | ) | (1.9 | ) | ||||||
NET ASSETS | $ | 441,296,545 | 100.0 | % |
The accompanying notes are an integral part of these financial statements.
BBH INCOME FUND
PORTFOLIO OF INVESTMENTS
April 30, 2020 (unaudited)
Principal Amount | Maturity Date | Interest Rate | Value | |||||||||||||
ASSET BACKED SECURITIES (21.5%) | ||||||||||||||||
$ 1,138,173 | ACC Trust 2019-11 | 05/20/22 | 3.750 | % | $ | 1,137,811 | ||||||||||
1,354,689 | ACC Trust 2019-21 | 02/21/23 | 2.820 | 1,357,159 | ||||||||||||
3,320,000 | ACC Trust 2020-A1 | 03/20/23 | 6.000 | 3,298,284 | ||||||||||||
1,345,859 | Adams Outdoor Advertising LP 2018-11 | 11/15/48 | 4.810 | 1,264,938 | ||||||||||||
979,326 | Amur Equipment Finance Receivables VI LLC 2018-2A1 | 07/20/22 | 3.890 | 993,872 | ||||||||||||
967,235 | ARI Fleet Lease Trust 2018-B1 | 08/16/27 | 3.220 | 974,353 | ||||||||||||
1,520,000 | BCC Funding Corp. XVI LLC 2019-1A1 | 08/20/24 | 2.460 | 1,488,320 | ||||||||||||
1,430,000 | CARS-DB4 LP 2020-1A1 | 02/15/50 | 4.170 | 1,282,724 | ||||||||||||
543,288 | Cazenovia Creek Funding II LLC 2018-1A1 | 07/15/30 | 3.561 | 535,841 | ||||||||||||
369,158 | CCG Receivables Trust 2018-21 | 12/15/25 | 3.090 | 369,954 | ||||||||||||
2,000,000 | Delamare Cards MTN Issuer, Plc. 2018-1A (1-Month USD-LIBOR + 0.700%)1,2 | 11/19/25 | 1.418 | 1,960,844 | ||||||||||||
132,291 | Drive Auto Receivables Trust 2018-5 | 10/15/22 | 3.340 | 132,412 | ||||||||||||
1,974,254 | Drug Royalty III LP 1 2018-1A (3-Month USD-LIBOR + 1.600%)1,2 | 10/15/31 | 2.819 | 1,916,851 | ||||||||||||
1,200,000 | Elm Trust 2018-2A1 | 10/20/27 | 4.605 | 1,155,636 | ||||||||||||
190,000 | Elm Trust 2018-2A1 | 10/20/27 | 5.584 | 162,535 | ||||||||||||
600,000 | Enterprise Fleet Financing LLC 2017-21 | 01/20/23 | 2.220 | 600,355 | ||||||||||||
958,354 | Enterprise Fleet Financing LLC 2018-31 | 05/20/24 | 3.380 | 964,250 | ||||||||||||
596,977 | FCI Funding LLC 2019-1A1 | 02/18/31 | 3.630 | 598,791 | ||||||||||||
1,950,000 | FNA LLC 2019-1 | 12/10/31 | 3.000 | 1,852,500 | ||||||||||||
2,100,000 | Ford Credit Floorplan Master Owner Trust A 2018-3 | 10/15/23 | 3.520 | 2,109,917 | ||||||||||||
187,352 | Foursight Capital Automobile Receivables Trust 2018-21 | 04/15/22 | 3.320 | 187,652 | ||||||||||||
2,700,000 | FREED ABS TRUST 2018-21 | 10/20/25 | 4.610 | 2,550,989 | ||||||||||||
1,009,137 | FREED ABS TRUST 2019-21 | 11/18/26 | 2.620 | 988,496 | ||||||||||||
1,000,000 | GM Financial Consumer Automobile Receivables Trust 2017-2A1 | 11/16/22 | 2.070 | 1,004,825 | ||||||||||||
1,390,000 | Hercules Capital Funding Trust 2018-1A1 | 11/22/27 | 4.605 | 1,394,899 |
The accompanying notes are an integral part of these financial statements.
BBH INCOME FUND
PORTFOLIO OF INVESTMENTS (continued)
April 30, 2020 (unaudited)
Principal Amount | Maturity Date | Interest Rate | Value | ||||||||||||||
ASSET BACKED SECURITIES (continued) | |||||||||||||||||
$ 2,340,000 | Hercules Capital Funding Trust 2019-1A1 | 02/20/28 | 4.703 | % | $ | 2,349,343 | |||||||||||
1,070,000 | Hertz Vehicle Financing II LP 2019-1A1 | 03/25/23 | 4.100 | 988,174 | |||||||||||||
1,430,000 | Lendmark Funding Trust 2019-1A1 | 12/20/27 | 3.000 | 1,285,111 | |||||||||||||
1,120,000 | Lendmark Funding Trust 2019-2A1 | 04/20/28 | 2.780 | 996,902 | |||||||||||||
563,423 | LIAS Administration Fee Issuer LLC 2018-1A3 | 07/25/48 | 5.956 | 568,415 | |||||||||||||
2,000,000 | Mariner Finance Issuance Trust 2018-AA1 | 11/20/30 | 4.200 | 1,909,079 | |||||||||||||
690,000 | Mariner Finance Issuance Trust 2019-AA1 | 07/20/32 | 2.960 | 598,393 | |||||||||||||
1,098,167 | NADG NNN Operating LP 2019-11 | 12/28/49 | 3.368 | 1,045,583 | |||||||||||||
300,000 | Nationstar HECM Loan Trust 2018-2A1,2,4 | 07/25/28 | 3.552 | 298,481 | |||||||||||||
2,500,000 | Nationstar HECM Loan Trust 2018-3A1,2,4 | 11/25/28 | 3.903 | 2,454,349 | |||||||||||||
594,152 | Newtek Small Business Loan Trust 2018-1 (1-Month USD-LIBOR + 1.700%)1,2 | 02/25/44 | 2.187 | 577,940 | |||||||||||||
281,841 | Newtek Small Business Loan Trust 2018-1 (1-Month USD-LIBOR + 3.000%)1,2 | 02/25/44 | 3.487 | 282,123 | |||||||||||||
1,370,000 | NextGear Floorplan Master Owner Trust 2018-2A1 | 10/15/23 | 3.690 | 1,354,043 | |||||||||||||
898,244 | NMEF Funding LLC 2019-A1 | 08/17/26 | 2.730 | 896,437 | |||||||||||||
1,640,000 | NRZ Advance Receivables Trust 2019-T11 | 07/15/52 | 2.590 | 1,585,700 | |||||||||||||
1,980,000 | OnDeck Asset Securitization Trust II LLC 2019-1A1 | 11/18/24 | 2.650 | 1,982,498 | |||||||||||||
1,080,000 | OneMain Financial Issuance Trust 2019-1A1 | 02/14/31 | 3.480 | 1,088,370 | |||||||||||||
1,540,000 | OneMain Financial Issuance Trust 2020-1A1 | 05/14/32 | 3.840 | 1,542,566 | |||||||||||||
300,000 | Oportun Funding IX LLC 2018-B1 | 07/08/24 | 3.910 | 278,807 |
The accompanying notes are an integral part of these financial statements.
BBH INCOME FUND
PORTFOLIO OF INVESTMENTS (continued)
April 30, 2020 (unaudited)
Principal Amount | Maturity Date | Interest Rate | Value | ||||||||||||||
ASSET BACKED SECURITIES (continued) | |||||||||||||||||
$ 2,660,000 | Oportun Funding X LLC 2018-C1 | 10/08/24 | 4.590 | % | $ | 1,900,323 | |||||||||||
2,070,000 | Oportun Funding XII LLC 2018-D1 | 12/09/24 | 4.830 | 1,469,306 | |||||||||||||
550,000 | OSCAR US Funding Trust IX LLC 2018-2A1 | 09/12/22 | 3.390 | 558,125 | |||||||||||||
1,580,000 | Oscar US Funding XI LLC 2019-2A1 | 09/11/23 | 2.590 | 1,616,074 | |||||||||||||
1,280,000 | Oxford Finance Funding LLC 2019-1A1 | 02/15/27 | 4.459 | 1,304,749 | |||||||||||||
3,450,000 | Oxford Finance Funding LLC 2020-1A1 | 02/15/28 | 3.101 | 3,400,750 | |||||||||||||
1,520,000 | Palmer Square Loan Funding, Ltd. 2019-2A (3-Month USD-LIBOR + 2.250%)1,2 | 04/20/27 | 3.385 | 1,375,981 | |||||||||||||
1,940,000 | Palmer Square Loan Funding, Ltd. 2019-3A (3-Month USD-LIBOR + 2.100%)1,2 | 08/20/27 | 3.795 | 1,806,324 | |||||||||||||
1,500,000 | PFS Financing Corp. 2018-F1 | 10/15/23 | 3.520 | 1,504,371 | |||||||||||||
1,313,686 | ReadyCap Lending Small Business Loan Trust 2019-2 (U.S. Prime Rate – 0.500%)1,2 | 12/27/44 | 2.750 | 1,203,426 | |||||||||||||
2,940,000 | Regional Management Issuance Trust 2018-21 | 01/18/28 | 4.940 | 2,674,724 | |||||||||||||
1,390,000 | Republic Finance Issuance Trust 2019-A1 | 11/22/27 | 3.430 | 1,242,091 | |||||||||||||
2,500,000 | RMF Buyout Issuance Trust 2018-11,2,4 | 11/25/28 | 3.912 | 2,490,685 | |||||||||||||
2,130,000 | Sabey Data Center Issuer LLC 2020-11 | 04/20/45 | 3.812 | 2,119,744 | |||||||||||||
1,500,000 | Santander Drive Auto Receivables Trust 2020-1 | 12/15/25 | 4.110 | 1,506,619 | |||||||||||||
1,940,000 | Santander Revolving Auto Loan Trust 2019-A1 | 01/26/32 | 2.510 | 1,873,864 | |||||||||||||
2,870,000 | SPS Servicer Advance Receivables Trust Advance Receivables Backed Notes 2019-T21 | 10/15/52 | 2.320 | 2,806,381 | |||||||||||||
2,203,983 | Stack Infrastructure Issuer LLC Series 2019-1A1 | 02/25/44 | 4.540 | 2,214,267 | |||||||||||||
600,000 | SWC Funding LLC 2018-1A1,3 | 08/15/33 | 4.750 | 636,498 |
The accompanying notes are an integral part of these financial statements.
BBH INCOME FUND
PORTFOLIO OF INVESTMENTS (continued)
April 30, 2020 (unaudited)
Principal Amount | Maturity Date | Interest Rate | Value | ||||||||||||||
ASSET BACKED SECURITIES (continued) | |||||||||||||||||
$ 1,400,000 | Synchrony Card Issuance Trust 2018-A1 | 09/15/24 | 3.380 | % | $ | 1,436,203 | |||||||||||
223,678 | THL Credit Wind River CLO, Ltd. 2012-1A (3-Month USD-LIBOR + 0.880%)1,2 | 01/15/26 | 2.099 | 220,944 | |||||||||||||
1,650,000 | THL Credit Wind River CLO, Ltd. 2017-1A (3-Month USD-LIBOR + 1.140%)1,2 | 04/18/29 | 2.275 | 1,589,197 | |||||||||||||
1,400,000 | Trafigura Securitisation Finance, Plc. 2018-1A1 | 03/15/22 | 3.730 | 1,429,481 | |||||||||||||
90,124 | Veros Automobile Receivables Trust 2018-11 | 05/15/23 | 3.630 | 90,126 | |||||||||||||
1,400,000 | World Financial Network Credit Card Master Trust 2018-B | 07/15/25 | 3.460 | 1,403,178 | |||||||||||||
2,500,000 | World Financial Network Credit Card Master Trust 2019-A | 12/15/25 | 3.140 | 2,563,660 | |||||||||||||
93,840 | World Omni Select Auto Trust 2018-1A1 | 04/15/22 | 3.240 | 93,882 | |||||||||||||
Total Asset Backed Securities (Cost $98,384,026) | 94,897,495 | ||||||||||||||||
COMMERCIAL MORTGAGE BACKED SECURITIES (4.5%) | |||||||||||||||||
2,190,000 | BXMT, Ltd. 2020-FL2 (1-Month USD-LIBOR + 0.900%)1,2 | 02/16/37 | 1.651 | 2,058,578 | |||||||||||||
146,085 | CG-CCRE Commercial Mortgage Trust 2014-FL2 (1-Month USD-LIBOR + 4.000%)1,2,3 | 11/15/31 | 4.814 | 98,914 | |||||||||||||
786,000 | CG-CCRE Commercial Mortgage Trust 2014-FL2 (1-Month USD-LIBOR + 4.000%)1,2 | 11/15/31 | 2.993 | 786,079 | |||||||||||||
1,375,473 | CG-CCRE Commercial Mortgage Trust 2014-FL2 (1-Month USD-LIBOR + 4.750%)1,2,3 | 11/15/31 | 1.213 | 811,529 | |||||||||||||
600,000 | CGMS Commercial Mortgage Trust 2017-MDRB (1-Month USD-LIBOR + 1.750%)1,2 | 07/15/30 | 2.564 | 560,883 |
The accompanying notes are an integral part of these financial statements.
BBH INCOME FUND
PORTFOLIO OF INVESTMENTS (continued)
April 30, 2020 (unaudited)
Principal Amount | Maturity Date | Interest Rate | Value | ||||||||||||||
COMMERCIAL MORTGAGE BACKED SECURITIES (continued) | |||||||||||||||||
$ 890,000 | Citigroup Commercial Mortgage Trust 2019-SMRT1 | 01/10/36 | 4.149 | % | $ | 921,001 | |||||||||||
3,540,000 | CSMC 2018-SITE1,2,4 | 04/15/36 | 4.782 | 3,356,028 | |||||||||||||
1,000,000 | Hudsons Bay Simon JV Trust 2015-HB101,2,4 | 08/05/34 | 5.447 | 921,222 | |||||||||||||
240,000 | JPMBB Commercial Mortgage Securities Trust 2014-C241,2,4 | 11/15/47 | 3.908 | 172,478 | |||||||||||||
1,960,000 | KREF, Ltd. 2018-FL1 (1-Month USD-LIBOR + 1.100%)1,2 | 06/15/36 | 1.851 | 1,890,021 | |||||||||||||
3,070,000 | Morgan Stanley Capital I Trust 2019-BPR (1-Month USD-LIBOR + 1.400%)1,2 | 05/15/36 | 2.214 | 2,685,206 | |||||||||||||
150,034 | RETL 2019-RVP (1-Month USD-LIBOR + 1.150%)1,2 | 03/15/36 | 1.964 | 137,806 | |||||||||||||
890,000 | STWD, Ltd. 2019-FL1 (1-Month USD-LIBOR + 1.600%)1,2 | 07/15/38 | 2.414 | 740,042 | |||||||||||||
2,000,000 | TPG Real Estate Finance Issuer, Ltd. 2018-FL2 (1-Month USD-LIBOR + 1.130%)1,2 | 11/15/37 | 1.881 | 1,912,073 | |||||||||||||
300,000 | UBS-BAMLL Trust 2012-WRM1 | 06/10/30 | 3.663 | 303,822 | |||||||||||||
2,915,000 | Wells Fargo Commercial Mortgage Trust 2020-SDAL (1-Month USD-LIBOR + 1.340%)1,2 | 02/15/37 | 2.154 | 2,465,528 | |||||||||||||
Total Commercial Mortgage Backed Securities (Cost $21,950,380) | 19,821,210 | ||||||||||||||||
CORPORATE BONDS (45.3%) | |||||||||||||||||
AEROSPACE/DEFENSE (1.3%) | |||||||||||||||||
2,220,000 | BAE Systems , Plc.1 | 04/15/30 | 3.400 | 2,403,003 | |||||||||||||
3,250,000 | Boeing Co. | 05/01/23 | 4.508 | 3,250,000 | |||||||||||||
5,653,003 | |||||||||||||||||
AGRICULTURE (0.7%) | |||||||||||||||||
3,025,000 | Bunge, Ltd. Finance Corp. | 03/15/24 | 4.350 | 3,153,107 |
The accompanying notes are an integral part of these financial statements.
BBH INCOME FUND
PORTFOLIO OF INVESTMENTS (continued)
April 30, 2020 (unaudited)
Principal Amount | Maturity Date | Interest Rate | Value | |||||||||||||
CORPORATE BONDS (continued) | ||||||||||||||||
AUTO MANUFACTURERS (0.9%) | ||||||||||||||||
$ 1,110,000 | Daimler Finance North America LLC1 | 02/12/21 | 2.300 | % | $ | 1,099,310 | ||||||||||
3,140,000 | General Motors Financial Co., Inc. | 11/06/20 | 2.450 | 3,107,370 | ||||||||||||
4,206,680 | ||||||||||||||||
BANKS (8.3%) | ||||||||||||||||
2,300,000 | ANZ New Zealand Int’l, Ltd., London Branch1 | 01/25/22 | 2.875 | 2,349,777 | ||||||||||||
1,155,000 | ANZ New Zealand Int’l, Ltd., London Branch1 | 03/19/24 | 3.400 | 1,223,965 | ||||||||||||
2,100,000 | ASB Bank, Ltd.1 | 06/14/23 | 3.750 | 2,215,133 | ||||||||||||
320,000 | Australia & New Zealand Banking Group, Ltd. | 05/19/22 | 2.625 | 328,175 | ||||||||||||
1,365,000 | Bank of New Zealand1 | 02/20/24 | 3.500 | 1,431,854 | ||||||||||||
2,941,000 | BNZ International Funding, Ltd., London Branch1 | 03/01/23 | 3.375 | 3,061,947 | ||||||||||||
1,090,000 | Canadian Imperial Bank of Commerce (SOFR + 0.800%)2 | 03/17/23 | 0.821 | 1,050,858 | ||||||||||||
535,000 | Capital One NA | 08/08/22 | 2.650 | 540,840 | ||||||||||||
1,410,000 | DNB Bank ASA1 | 06/02/21 | 2.375 | 1,426,967 | ||||||||||||
1,370,000 | DNB Bank ASA1 | 12/02/22 | 2.150 | 1,399,364 | ||||||||||||
460,000 | Fifth Third Bancorp | 01/25/24 | 3.650 | 486,070 | ||||||||||||
1,735,000 | HSBC Holdings , Plc. | 03/31/30 | 4.950 | 2,051,616 | ||||||||||||
2,020,000 | JPMorgan Chase & Co. (SOFR + 1.585%)2 | 03/13/26 | 2.005 | 2,039,606 | ||||||||||||
2,340,000 | Lloyds Banking Group, Plc. | 05/08/25 | 4.450 | 2,546,422 | ||||||||||||
1,410,000 | Morgan Stanley (SOFR + 1.990%)2 | 04/28/26 | 2.188 | 1,427,238 | ||||||||||||
505,000 | Santander Holdings USA, Inc. | 12/03/21 | 4.450 | 519,796 | ||||||||||||
810,000 | Santander Holdings USA, Inc. | 03/28/22 | 3.700 | 820,335 | ||||||||||||
1,300,000 | Skandinaviska Enskilda Banken AB | 03/15/21 | 2.625 | 1,319,215 | ||||||||||||
1,940,000 | Skandinaviska Enskilda Banken AB1 | 12/12/22 | 2.200 | 1,976,867 | ||||||||||||
1,750,000 | Svenska Handelsbanken AB | 05/24/21 | 3.350 | 1,795,242 | ||||||||||||
255,000 | Svenska Handelsbanken AB | 11/20/23 | 3.900 | 273,990 | ||||||||||||
2,330,000 | Truist Bank | 03/10/25 | 1.500 | 2,320,170 | ||||||||||||
890,000 | Truist Financial Corp. | 12/06/23 | 3.750 | 953,336 | ||||||||||||
1,245,000 | Wells Fargo & Co. (SOFR + 2.000%)2 | 04/30/26 | 2.188 | 1,253,028 |
The accompanying notes are an integral part of these financial statements.
BBH INCOME FUND
PORTFOLIO OF INVESTMENTS (continued)
April 30, 2020 (unaudited)
Principal Amount | Maturity Date | Interest Rate | Value | |||||||||||||||
CORPORATE BONDS (continued) | ||||||||||||||||||
BANKS (continued) | ||||||||||||||||||
$ 1,240,000 | Wells Fargo Bank NA (3-Month USD-LIBOR + 0.610%)2 | 05/27/22 | 2.897 | % | $ | 1,257,656 | ||||||||||||
650,000 | Wells Fargo Bank NA (3-Month USD-LIBOR + 0.650%)2 | 09/09/22 | 2.082 | 655,572 | ||||||||||||||
36,725,039 | ||||||||||||||||||
BEVERAGES (0.4%) | ||||||||||||||||||
1,310,000 | Anheuser-Busch InBev Worldwide, Inc. | 01/23/39 | 5.450 | 1,578,321 | ||||||||||||||
BIOTECHNOLOGY (1.1%) | ||||||||||||||||||
2,740,000 | Amgen, Inc. | 05/11/22 | 2.650 | 2,817,534 | ||||||||||||||
2,170,000 | Biogen, Inc. | 05/01/50 | 3.150 | 2,127,759 | ||||||||||||||
4,945,293 | ||||||||||||||||||
CHEMICALS (0.4%) | ||||||||||||||||||
1,955,000 | Olin Corp. | 08/01/29 | 5.625 | 1,766,831 | ||||||||||||||
COMPUTERS (0.4%) | ||||||||||||||||||
195,000 | Apple, Inc. | 09/11/26 | 2.050 | 205,602 | ||||||||||||||
655,000 | Dell International LLC / EMC Corp.1 | 07/15/25 | 5.850 | 712,464 | ||||||||||||||
835,000 | Dell International LLC / EMC Corp.1 | 06/15/26 | 6.020 | 906,781 | ||||||||||||||
1,824,847 | ||||||||||||||||||
DIVERSIFIED FINANCIAL SERVICES (3.0%) | ||||||||||||||||||
2,720,000 | AerCap Ireland Capital DAC / AerCap Global Aviation Trust | 05/15/21 | 4.500 | 2,639,938 | ||||||||||||||
2,285,000 | Air Lease Corp. | 03/01/21 | 2.500 | 2,169,593 | ||||||||||||||
3,055,000 | Alliance Data Systems Corp.1 | 12/15/24 | 4.750 | 2,260,700 | ||||||||||||||
1,720,000 | American Express Co. | 11/05/21 | 3.700 | 1,775,205 | ||||||||||||||
750,000 | Brightsphere Investment Group, Inc. | 07/27/26 | 4.800 | 683,659 | ||||||||||||||
840,000 | Credit Acceptance Corp.1 | 12/31/24 | 5.125 | 737,100 | ||||||||||||||
1,400,000 | Credit Acceptance Corp. | 03/15/26 | 6.625 | 1,260,000 | ||||||||||||||
1,650,000 | Drawbridge Special Opportunities Fund LP1 | 08/01/21 | 5.000 | 1,597,027 | ||||||||||||||
13,123,222 |
The accompanying notes are an integral part of these financial statements.
BBH INCOME FUND
PORTFOLIO OF INVESTMENTS (continued)
April 30, 2020 (unaudited)
Principal Amount | Maturity Date | Interest Rate | Value | |||||||||||||||
CORPORATE BONDS (continued) | ||||||||||||||||||
ELECTRIC (4.5%) | ||||||||||||||||||
$ 2,340,000 | AEP Transmission Co. LLC | 04/01/50 | 3.650 | % | $ | 2,803,181 | ||||||||||||
655,000 | American Electric Power Co., Inc. | 12/01/21 | 3.650 | 676,763 | ||||||||||||||
1,400,000 | Consolidated Edison Co. of New York, Inc. | 04/01/50 | 3.950 | 1,673,202 | ||||||||||||||
1,960,000 | Dominion Energy, Inc. | 03/15/25 | 3.300 | 2,083,263 | ||||||||||||||
2,800,000 | Electricite de France S.A.1 | 09/21/28 | 4.500 | 3,217,404 | ||||||||||||||
1,705,000 | Exelon Generation Co. LLC | 10/01/39 | 6.250 | 1,909,394 | ||||||||||||||
2,095,000 | Narragansett Electric Co.1 | 04/09/30 | 3.395 | 2,330,155 | ||||||||||||||
1,060,000 | PacifiCorp | 04/01/24 | 3.600 | 1,145,712 | ||||||||||||||
830,000 | PSEG Power LLC | 06/15/21 | 3.000 | 841,895 | ||||||||||||||
1,975,000 | Vistra Operations Co. LLC1 | 01/30/27 | 3.700 | 1,943,204 | ||||||||||||||
1,355,000 | Wisconsin Public Service Corp. | 11/21/21 | 3.350 | 1,398,566 | ||||||||||||||
20,022,739 | ||||||||||||||||||
FOOD (0.5%) | ||||||||||||||||||
2,160,000 | Kraft Heinz Foods Co.1 | 10/01/39 | 4.625 | 2,128,167 | ||||||||||||||
HEALTHCARE-PRODUCTS (0.3%) | ||||||||||||||||||
1,195,000 | Zimmer Biomet Holdings, Inc. | 01/15/26 | 3.050 | 1,207,440 | ||||||||||||||
HEALTHCARE-SERVICES (3.2%) | ||||||||||||||||||
1,280,000 | Advocate Health & Hospitals Corp. | 06/15/50 | 3.008 | 1,291,413 | ||||||||||||||
1,930,000 | Ascension Health | 11/15/29 | 2.532 | 2,004,571 | ||||||||||||||
825,000 | Centene Corp.1 | 12/15/27 | 4.250 | 863,156 | ||||||||||||||
6,675,000 | MEDNAX, Inc.1 | 01/15/27 | 6.250 | 6,043,812 | ||||||||||||||
1,130,000 | Mercy Health | 07/01/28 | 4.302 | 1,306,153 | ||||||||||||||
2,750,000 | Roche Holdings, Inc.1 | 01/28/22 | 1.750 | 2,801,692 | ||||||||||||||
14,310,797 | ||||||||||||||||||
INSURANCE (6.2%) | ||||||||||||||||||
4,175,000 | Aegon NV (6-Month USD-LIBOR + 3.540%)2 | 04/11/48 | 5.500 | 4,297,787 | ||||||||||||||
1,360,000 | Aflac, Inc. | 04/01/30 | 3.600 | 1,529,782 | ||||||||||||||
3,002,000 | Athene Global Funding1 | 01/25/22 | 4.000 | 3,090,239 |
The accompanying notes are an integral part of these financial statements.
BBH INCOME FUND
PORTFOLIO OF INVESTMENTS (continued)
April 30, 2020 (unaudited)
Principal Amount | Maturity Date | Interest Rate | Value | |||||||||||||||
CORPORATE BONDS (continued) | ||||||||||||||||||
INSURANCE (continued) | ||||||||||||||||||
$ 4,295,000 | AXIS Specialty Finance LLC (5-Year CMT Index + 3.186%)2 | 01/15/40 | 4.900 | % | $ | 3,758,125 | ||||||||||||
3,145,000 | Enstar Group, Ltd. | 06/01/29 | 4.950 | 3,173,590 | ||||||||||||||
2,195,000 | Fairfax Financial Holdings, Ltd.1 | 04/29/30 | 4.625 | 2,168,144 | ||||||||||||||
540,000 | New York Life Global Funding1 | 08/06/21 | 3.250 | 555,657 | ||||||||||||||
1,180,000 | New York Life Insurance Co.1 | 05/15/50 | 3.750 | 1,338,670 | ||||||||||||||
2,995,000 | Sirius International Group, Ltd.1 | 11/01/26 | 4.600 | 2,828,777 | ||||||||||||||
1,840,000 | Swiss Re Finance Luxembourg S.A. (5-Year CMT Index + 3.582%)1,2 | 04/02/49 | 5.000 | 2,005,828 | ||||||||||||||
2,660,000 | United Insurance Holdings Corp. | 12/15/27 | 6.250 | 2,496,976 | ||||||||||||||
27,243,575 | ||||||||||||||||||
INTERNET (0.6%) | ||||||||||||||||||
2,485,000 | Expedia Group, Inc.1 | 05/01/25 | 6.250 | 2,534,207 | ||||||||||||||
INVESTMENT COMPANIES (3.4%) | ||||||||||||||||||
1,680,000 | BlackRock TCP Capital Corp. | 08/23/24 | 3.900 | 1,548,106 | ||||||||||||||
200,000 | Business Development Corp. of America1 | 12/30/22 | 4.750 | 178,045 | ||||||||||||||
2,930,000 | Business Development Corp. of America1 | 12/15/24 | 4.850 | 2,577,742 | ||||||||||||||
1,655,000 | FS KKR Capital Corp. | 07/15/24 | 4.625 | 1,411,222 | ||||||||||||||
1,370,000 | FS KKR Capital Corp. | 02/01/25 | 4.125 | 1,129,577 | ||||||||||||||
2,220,000 | FS KKR Capital Corp. II1 | 02/14/25 | 4.250 | 1,816,242 | ||||||||||||||
1,805,000 | Main Street Capital Corp. | 05/01/24 | 5.200 | 1,733,121 | ||||||||||||||
1,565,000 | Owl Rock Capital Corp. | 04/15/24 | 5.250 | 1,485,719 | ||||||||||||||
1,875,000 | Owl Rock Capital Corp. | 03/30/25 | 4.000 | 1,709,608 | ||||||||||||||
1,445,000 | Owl Rock Capital Corp. II1 | 11/26/24 | 4.625 | 1,295,286 | ||||||||||||||
14,884,668 | ||||||||||||||||||
MACHINERY-CONSTRUCTION & MINING (0.8%) | ||||||||||||||||||
2,180,000 | Caterpillar Financial Services Corp. | 12/07/23 | 3.650 | 2,365,496 | ||||||||||||||
1,085,000 | Caterpillar, Inc. | 04/09/50 | 3.250 | 1,189,208 | ||||||||||||||
3,554,704 |
The accompanying notes are an integral part of these financial statements.
BBH INCOME FUND
PORTFOLIO OF INVESTMENTS (continued)
April 30, 2020 (unaudited)
Principal Amount | Maturity Date | Interest Rate | Value | |||||||||||||
CORPORATE BONDS (continued) | ||||||||||||||||
MACHINERY-DIVERSIFIED (0.6%) | ||||||||||||||||
$ 1,265,000 | John Deere Capital Corp. | 01/10/24 | 3.450 | % | $ | 1,361,061 | ||||||||||
1,245,000 | John Deere Capital Corp. | 03/09/27 | 1.750 | 1,248,453 | ||||||||||||
2,609,514 | ||||||||||||||||
MEDIA (0.5%) | ||||||||||||||||
410,000 | Charter Communications Operating LLC / Charter Communications Operating Capital | 07/23/20 | 3.579 | 410,562 | ||||||||||||
2,040,000 | TEGNA, Inc.1 | 09/15/29 | 5.000 | 1,811,153 | ||||||||||||
2,221,715 | ||||||||||||||||
OIL&GAS (1.2%) | ||||||||||||||||
2,280,000 | Equinor ASA | 04/06/25 | 2.875 | 2,388,728 | ||||||||||||
2,610,000 | Exxon Mobil Corp. | 03/19/30 | 3.482 | 2,909,385 | ||||||||||||
5,298,113 | ||||||||||||||||
PHARMACEUTICALS (1.9%) | ||||||||||||||||
1,695,000 | AbbVie, Inc. | 05/14/25 | 3.600 | 1,842,660 | ||||||||||||
455,000 | AbbVie, Inc. | 05/14/35 | 4.500 | 530,300 | ||||||||||||
450,000 | AbbVie, Inc. | 05/14/36 | 4.300 | 506,403 | ||||||||||||
1,445,000 | Allergan Sales LLC1 | 12/15/21 | 5.000 | 1,513,689 | ||||||||||||
1,600,000 | Bristol-Myers Squibb Co.1 | 02/20/23 | 3.250 | 1,705,887 | ||||||||||||
2,175,000 | CVS Health Corp. | 04/01/27 | 3.625 | 2,373,072 | ||||||||||||
8,472,011 | ||||||||||||||||
PIPELINES (2.0%) | ||||||||||||||||
1,730,000 | Enable Midstream Partners LP | 09/15/29 | 4.150 | 1,295,589 | ||||||||||||
1,545,000 | Energy Transfer Operating LP (3-Month USD-LIBOR + 4.028%)2,5 | 6.250 | 1,081,500 | |||||||||||||
1,335,000 | NOVA Gas Transmission, Ltd. | 04/01/23 | 7.875 | 1,517,509 | ||||||||||||
2,230,000 | Sunoco Logistics Partners Operations LP | 04/01/21 | 4.400 | 2,223,974 | ||||||||||||
2,320,000 | TransCanada PipeLines, Ltd. | 04/15/30 | 4.100 | 2,512,499 | ||||||||||||
8,631,071 |
The accompanying notes are an integral part of these financial statements.
BBH INCOME FUND
PORTFOLIO OF INVESTMENTS (continued)
April 30, 2020 (unaudited)
Principal Amount | Maturity Date | Interest Rate | Value | |||||||||||||||
CORPORATE BONDS (continued) | ||||||||||||||||||
PRIVATE EQUITY (0.3%) | ||||||||||||||||||
$ 1,655,000 | Apollo Management Holdings LP (5-Year CMT Index + 3.266%)1,2 | 01/14/50 | 4.950 | % | $ | 1,487,883 | ||||||||||||
REAL ESTATE INVESTMENT TRUSTS (1.5%) | ||||||||||||||||||
1,275,000 | HAT Holdings I LLC / HAT Holdings II LLC1 | 07/15/24 | 5.250 | 1,265,310 | ||||||||||||||
1,380,000 | Scentre Group Trust 1 / Scentre Group Trust 21 | 02/12/25 | 3.500 | 1,379,289 | ||||||||||||||
1,720,000 | WEA Finance LLC1 | 01/15/27 | 2.875 | 1,590,380 | ||||||||||||||
2,585,000 | WEA Finance LLC / Westfield UK & Europe Finance, Plc.1 | 10/05/20 | 3.250 | 2,584,056 | ||||||||||||||
6,819,035 | ||||||||||||||||||
RETAIL (0.6%) | ||||||||||||||||||
3,450,000 | Nordstrom, Inc. | 04/01/30 | 4.375 | 2,656,459 | ||||||||||||||
SEMICONDUCTORS (0.6%) | ||||||||||||||||||
2,240,000 | Broadcom, Inc.1 | 04/15/25 | 4.700 | 2,469,939 | ||||||||||||||
TELECOMMUNICATIONS (0.1%) | �� | |||||||||||||||||
470,625 | Sprint Spectrum Co. LLC / Sprint Spectrum Co. II LLC / Sprint Spectrum Co. III LLC1 | 03/20/23 | 3.360 | 471,802 | ||||||||||||||
Total Corporate Bonds (Cost $199,176,721) | 200,000,182 | |||||||||||||||||
LOAN PARTICIPATIONS AND ASSIGNMENTS (16.1%) | ||||||||||||||||||
3,105,000 | Allen Media LLC (3-Month USD-LIBOR + 5.500%)2 | 02/10/27 | 7.231 | 2,794,500 | ||||||||||||||
1,676,370 | Aria Energy Operating LLC (1-Month USD-LIBOR + 4.500%)2 | 05/27/22 | 5.500 | 1,483,587 | ||||||||||||||
350,745 | Avolon TLB Borrower 1 (US) LLC Term B 3 (1-Month USD-LIBOR + 1.750%)2 | 01/15/25 | 2.500 | 329,199 |
The accompanying notes are an integral part of these financial statements.
BBH INCOME FUND
PORTFOLIO OF INVESTMENTS (continued)
April 30, 2020 (unaudited)
Principal Amount | Maturity Date | Interest Rate | Value | |||||||||||||||
LOAN PARTICIPATIONS AND ASSIGNMENTS (continued) | ||||||||||||||||||
$ 1,994,180 | Axalta Coating Systems Dutch Holding B BV Term B 3 (3-Month USD-LIBOR + 1.750%)2 | 06/01/24 | 3.200 | % | $ | 1,934,354 | ||||||||||||
1,965,000 | BCP Renaissance Parent LLC (3-Month USD-LIBOR + 3.500%)2 | 10/31/24 | 4.950 | 1,503,225 | ||||||||||||||
3,446,625 | Broadcom, Inc. Term A 5 (1-Month USD-LIBOR + 1.250%)2 | 11/04/24 | 2.235 | 3,188,128 | ||||||||||||||
1,415,000 | Buckeye Partners LP (1-Month USD-LIBOR + 2.750%)2 | 11/01/26 | 3.766 | 1,322,148 | ||||||||||||||
3,288,375 | CenturyLink, Inc. Term A (1-Month USD-LIBOR + 2.000%)2 | 01/31/25 | 2.404 | 3,173,282 | ||||||||||||||
2,962,500 | DaVita, Inc. Term A (1-Month USD-LIBOR + 1.500%)2 | 08/12/24 | 1.904 | 2,844,000 | ||||||||||||||
2,859,584 | Dell International LLC Term B1 (1-Month USD-LIBOR + 2.000%)2 | 09/19/25 | 2.750 | 2,782,375 | ||||||||||||||
2,500,000 | Delos Finance S.a r.l. (3-Month USD-LIBOR + 1.750%)2 | 10/06/23 | 3.200 | 2,361,250 | ||||||||||||||
4,237,926 | Eastern Power LLC (TPF II LC LLC) (2-Month USD-LIBOR + 3.750%)2 | 10/02/25 | 4.750 | 3,977,166 | ||||||||||||||
2,285,000 | Elanco Animal Health, Inc. Term B (3-Month USD-LIBOR + 1.750%)2 | 02/04/27 | 2.306 | 2,202,169 | ||||||||||||||
1,969,604 | Frontera Generation Holdings LLC (3-Month USD-LIBOR + 4.250%)2 | 05/02/25 | 5.385 | 1,273,684 | ||||||||||||||
1,982,247 | Greatbatch, Ltd. Term B (1-Month USD-LIBOR + 2.500%)2 | 10/27/22 | 3.500 | 1,922,165 | ||||||||||||||
691,237 | HCA, Inc. Term B12 (1-Month USD-LIBOR + 1.750%)2 | 03/13/25 | 2.154 | 674,246 | ||||||||||||||
3,995,696 | Helix Gen Funding LLC (1-Month USD-LIBOR + 3.750%)2 | 06/03/24 | 4.750 | 3,752,198 | ||||||||||||||
2,942,750 | ICH US Intermediate Holdings II, Inc. (3-Month USD-LIBOR + 5.750%)2 | 12/24/26 | 6.750 | 2,753,914 | ||||||||||||||
1,688,333 | Kestrel Acquisition LLC Term B (3-Month USD-LIBOR + 4.250%)2 | 06/02/25 | 5.250 | 1,363,329 |
The accompanying notes are an integral part of these financial statements.
BBH INCOME FUND
PORTFOLIO OF INVESTMENTS (continued)
April 30, 2020 (unaudited)
Principal Amount | Maturity Date | Interest Rate | Value | |||||||||||||||
LOAN PARTICIPATIONS AND ASSIGNMENTS (continued) | ||||||||||||||||||
$ 2,743,548 | NorthRiver Midstream Finance LP Term B (3-Month USD-LIBOR + 3.250%)2 | 10/01/25 | 4.683 | % | $ | 2,200,709 | ||||||||||||
2,255,845 | Panther BF Aggregator 2 L P (1-Month USD-LIBOR + 3.500%)2 | 04/30/26 | 3.904 | 2,037,028 | ||||||||||||||
2,872,800 | RPI 2019 Intermediate Finance Trust Term B (1-Month USD-LIBOR + 1.750%)2 | 02/11/27 | 2.154 | 2,784,231 | ||||||||||||||
1,530,625 | RPI Intermediate Finance Trust Term B 1 (1-Month USD-LIBOR + 1.750%)2 | 02/11/27 | 2.154 | 1,485,181 | ||||||||||||||
607,334 | SS&C Technologies Holdings, Inc. Term B 3 (1-Month USD-LIBOR + 1.750%)2 | 04/16/25 | 2.154 | 583,108 | ||||||||||||||
433,375 | SS&C Technologies Holdings, Inc. Term B 4 (1-Month USD-LIBOR + 1.750%)2 | 04/16/25 | 2.154 | 416,088 | ||||||||||||||
728,784 | SS&C Technologies Holdings, Inc. Term B 5 (1-Month USD-LIBOR + 1.750%)2 | 04/16/25 | 2.154 | 699,385 | ||||||||||||||
4,400,000 | Stericycle, Inc. (3-Month USD-LIBOR + 1.750%)2 | 11/17/22 | 2.306 | 4,048,000 | ||||||||||||||
3,100,000 | Tivity Health, Inc. Term B (1-Month USD-LIBOR + 5.250%)2 | 03/06/26 | 5.654 | 2,656,700 | ||||||||||||||
2,350,000 | T-Mobile USA, Inc. (3-Month USD-LIBOR + 3.000%)2 | 04/01/27 | 3.556 | 2,334,466 | ||||||||||||||
2,786,000 | U.S. Renal Care, Inc. (1-Month USD-LIBOR + 5.000%)2 | 06/26/26 | 5.438 | 2,626,669 | ||||||||||||||
1,394,463 | UGI Energy Services LLC (1-Month USD-LIBOR + 3.750%)2 | 08/13/26 | 4.154 | 1,245,715 | ||||||||||||||
1,970,000 | United Rentals, Inc. (1-Month USD-LIBOR + 1.750%)2 | 10/31/25 | 2.154 | 1,870,673 | ||||||||||||||
1,849,919 | Vistra Operations Co. LLC (Tex Operations Company LLC) (1-Month USD-LIBOR + 1.750%)2 | 12/31/25 | 2.221 | 1,788,835 | ||||||||||||||
2,955,000 | Wyndham Hotels & Resorts, Inc. Term B (1-Month USD-LIBOR + 1.750%)2 | 05/30/25 | 2.154 | 2,702,347 | ||||||||||||||
Total Loan Participations and Assignments (Cost $76,554,868) | 71,114,054 |
The accompanying notes are an integral part of these financial statements.
BBH INCOME FUND
PORTFOLIO OF INVESTMENTS (continued)
April 30, 2020 (unaudited)
Principal Amount | Maturity Date | Interest Rate | Value | |||||||||||||||
PREFERRED STOCK (0.7%) | ||||||||||||||||||
$ 114,000 | Trinity Capital, Inc.1,6 | 01/16/25 | 7.000 | % | $ | 2,964,000 | ||||||||||||
Total Preferred Stock (Cost $2,850,000) | 2,964,000 | |||||||||||||||||
RESIDENTIAL MORTGAGE BACKED SECURITIES (0.9%) | ||||||||||||||||||
1,008,270 | Cascade Funding Mortgage Trust 2018-RM21,2,4 | 10/25/68 | 4.000 | 1,028,489 | ||||||||||||||
1,669,342 | Cascade Funding Mortgage Trust 2019-RM31,2,4 | 06/25/69 | 2.800 | 1,668,043 | ||||||||||||||
1,119,616 | RMF Proprietary Issuance Trust 2019-11,2,4 | 10/25/63 | 2.750 | 1,084,746 | ||||||||||||||
Total Residential Mortgage Backed Securities (Cost $3,784,281) | 3,781,278 | |||||||||||||||||
U.S. INFLATION LINKED DEBT (2.2%) | ||||||||||||||||||
8,620,831 | U.S. Treasury Inflation Indexed Note | 01/15/29 | 0.875 | 9,596,673 | ||||||||||||||
Total U.S. Inflation Linked Debt (Cost $8,860,224) | 9,596,673 | |||||||||||||||||
U.S. TREASURY BONDS AND NOTES (8.6%) | ||||||||||||||||||
2,640,000 | U.S. Treasury Bond | 08/15/40 | 3.875 | 3,982,378 | ||||||||||||||
2,415,000 | U.S. Treasury Bond | 08/15/46 | 2.250 | 2,938,753 | ||||||||||||||
3,780,000 | U.S. Treasury Bond | 02/15/50 | 2.000 | 4,458,776 | ||||||||||||||
12,350,000 | U.S. Treasury Note | 02/28/22 | 1.125 | 12,558,889 | ||||||||||||||
700,000 | U.S. Treasury Note7 | 02/15/23 | 2.000 | 734,316 | ||||||||||||||
12,000,000 | U.S. Treasury Note7 | 10/31/23 | 1.625 | 12,562,031 | ||||||||||||||
800,000 | U.S. Treasury Note7 | 08/15/26 | 1.500 | 850,563 | ||||||||||||||
Total U.S. Treasury Bonds and Notes (Cost $35,654,842) | 38,085,706 |
The accompanying notes are an integral part of these financial statements.
BBH INCOME FUND
PORTFOLIO OF INVESTMENTS (continued)
April 30, 2020 (unaudited)
Principal Amount | Maturity Date | Interest Rate | Value | |||||||||||||||
U.S. TREASURY BILLS (2.1%) | ||||||||||||||||||
$ 1,100,000 | U.S. Treasury Bill8 | 05/05/20 | 0.000 | % | $ | 1,099,991 | ||||||||||||
8,000,000 | U.S. Treasury Bill8 | 05/26/20 | 0.000 | 7,999,747 | ||||||||||||||
200,000 | U.S. Treasury Bill7,8 | 07/16/20 | 0.000 | 199,959 | ||||||||||||||
Total U.S. Treasury Bills (Cost $9,299,574) | 9,299,697 | |||||||||||||||||
TOTAL INVESTMENTS (Cost $456,514,916)9 | 101.9 | % | $ | 449,560,295 | ||||||||||||||
LIABILITIES IN EXCESS OF OTHER ASSETS | (1.9 | )% | (8,263,750 | ) | ||||||||||||||
NET ASSETS | 100.0 | % | $ | 441,296,545 |
1 | Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. Total market value of Rule 144A securities owned at April 30, 2020 was $190,689,153 or 43.2% of net assets. |
2 | Variable rate instrument. Interest rates change on specific dates (such as coupon or interest payment date). The yield shown represents the April 30, 2020 coupon or interest rate. |
3 | Security that used significant unobservable inputs to determine fair value. |
4 | This variable rate security is based on a predetermined schedule and the rate at period end also represents the reference rate at period end. |
5 | Security is perpetual in nature and has no stated maturity date. |
6 | Non-income producing security. |
7 | All or a portion of this security is held at the broker as collateral for open futures contracts. |
8 | Security issued with zero coupon. Income is recognized through accretion of discount. |
9 | The aggregate cost for federal income tax purposes is $456,514,916, the aggregate gross unrealized appreciation is $15,860,996 and the aggregate gross unrealized depreciation is $18,204,126, resulting in net unrealized depreciation of $2,343,130. |
LIBOR – London Interbank Offered Rate.
MTN – Medium Term Note.
SOFR – Secured Overnight Financing Rate.
The accompanying notes are an integral part of these financial statements.
BBH INCOME FUND
PORTFOLIO OF INVESTMENTS (continued)
April 30, 2020 (unaudited)
Description | Number of Contracts | Expiration Date | Notional Amount | Market Value | Unrealized Gain/(Loss) | |||||||||||||||||
Contracts to Buy: | ||||||||||||||||||||||
U.S. Long Bond | 131 | June 2020 | $ | 21,756,220 | $ | 23,715,094 | $ | 1,958,874 | ||||||||||||||
U.S. Treasury 2-Year Notes | 43 | June 2020 | 9,314,384 | 9,478,477 | 164,093 | |||||||||||||||||
U.S. Treasury 10-Year Notes | 57 | June 2020 | 7,563,188 | 7,926,563 | 363,375 | |||||||||||||||||
U.S. Ultra Bond | 105 | June 2020 | 21,455,023 | 23,602,031 | 2,147,008 | |||||||||||||||||
$ | 4,633,350 | |||||||||||||||||||||
Contracts to Sell: | �� | |||||||||||||||||||||
U.S. Treasury 5-Year Notes | 80 | June 2020 | $ | 10,023,828 | $ | 10,038,750 | $ | (14,922 | ) | |||||||||||||
U.S. Ultra 10-Year Notes | 12 | June 2020 | 1,877,438 | 1,884,375 | (6,937 | ) | ||||||||||||||||
$ | (21,859 | ) | ||||||||||||||||||||
Net Unrealized Gain on Open Futures Contracts | $ | 4,611,491 |
The accompanying notes are an integral part of these financial statements.
BBH INCOME FUND
PORTFOLIO OF INVESTMENTS (continued)
April 30, 2020 (unaudited)
— | Level 1 – unadjusted quoted prices in active markets for identical assets and liabilities. |
— | Level 2 – significant other observable inputs (including quoted prices for similar assets and liabilities, interest rates, prepayment speeds, credit risk, etc.). |
— | Level 3 – significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of assets and liabilities). |
The accompanying notes are an integral part of these financial statements.
BBH INCOME FUND
PORTFOLIO OF INVESTMENTS (continued)
April 30, 2020 (unaudited)
Investments, at value | Unadjusted Quoted Prices in Active Markets for Identical Investments (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Balance as of April 30, 2020 | ||||||||||||||
Asset Backed Securities | $ | — | $ | 93,692,582 | $ | 1,204,913 | $ | 94,897,495 | ||||||||||
Commercial Mortgage Backed Securities | — | 18,910,767 | 910,443 | 19,821,210 | ||||||||||||||
Corporate Bonds | — | 200,000,182 | — | 200,000,182 | ||||||||||||||
Loan Participations and Assignments | — | 71,114,054 | — | 71,114,054 | ||||||||||||||
Preferred Stock | — | 2,964,000 | — | 2,964,000 | ||||||||||||||
Residential Mortgage Backed Securities | — | 3,781,278 | — | 3,781,278 | ||||||||||||||
U.S. Inflation Linked Debt | — | 9,596,673 | — | 9,596,673 | ||||||||||||||
U.S. Treasury Bonds and Notes | — | 38,085,706 | — | 38,085,706 | ||||||||||||||
U.S. Treasury Bills | — | 9,299,697 | — | 9,299,697 | ||||||||||||||
Total Investment, at value | $ | — | $ | 447,444,939 | $ | 2,115,356 | $ | 449,560,295 | ||||||||||
Other Financial Instruments, at value | ||||||||||||||||||
Financial Futures Contracts | $ | 4,611,491 | $ | — | $ | — | $ | 4,611,491 | ||||||||||
Other Financial Instruments, at value | $ | 4,611,491 | $ | — | $ | — | $ | 4,611,491 |
The accompanying notes are an integral part of these financial statements.
BBH INCOME FUND
PORTFOLIO OF INVESTMENTS (continued)
April 30, 2020 (unaudited)
Asset Backed Securities | Commercial Mortgage Backed Securities | Total | ||||||||||||||
Balance as of October 31, 2019 | $ | 623,321 | $ | — | $ | 623,321 | ||||||||||
Purchases | — | — | — | |||||||||||||
Sales / Paydowns | — | — | — | |||||||||||||
Realized gains (losses) | — | — | — | |||||||||||||
Change in unrealized appreciation (depreciation) | 12,438 | — | 12,438 | |||||||||||||
Amortization | 739 | — | 739 | |||||||||||||
Transfers from Level 3 | — | — | — | |||||||||||||
Transfers to Level 3 | 568,415 | 910,443 | 1,478,858 | |||||||||||||
Balance as of April 30, 2020 | $ | 1,204,913 | $ | 910,443 | $ | 2,115,356 |
The accompanying notes are an integral part of these financial statements.
BBH INCOME FUND
STATEMENT OF ASSETS AND LIABILITIES
April 30, 2020 (unaudited)
ASSETS: | ||||||
Investments in securities, at value (Cost $456,514,916) | $ | 449,560,295 | ||||
Cash | 299,593 | |||||
Receivables for: | ||||||
Investments sold | 12,925,901 | |||||
Interest | 2,362,225 | |||||
Shares sold | 2,166,698 | |||||
Prepaid assets | 335 | |||||
Total Assets | 467,315,047 | |||||
LIABILITIES: | ||||||
Payables for: | ||||||
Investments purchased | 25,386,141 | |||||
Shares redeemed | 200,000 | |||||
Investment advisory and administrative fees | 147,149 | |||||
Futures variation margin on open contracts | 130,266 | |||||
Professional fees | 47,459 | |||||
Dividends declared | 39,101 | |||||
Custody and fund accounting fees | 35,509 | |||||
Transfer agent fees | 8,317 | |||||
Board of Trustees’ fees | 970 | |||||
Accrued expenses and other liabilities | 23,590 | |||||
Total Liabilities | 26,018,502 | |||||
NET ASSETS | $ | 441,296,545 | ||||
Net Assets Consist of: | ||||||
Paid-in capital | $ | 432,685,073 | ||||
Retained earnings | 8,611,472 | |||||
Net Assets | $ | 441,296,545 | ||||
NET ASSET VALUE AND OFFERING PRICE PER SHARE | ||||||
CLASS I SHARES | ||||||
($441,296,545 ÷ 42,759,909 shares outstanding) | $ | 10.32 |
The accompanying notes are an integral part of these financial statements.
BBH INCOME FUND
STATEMENT OF OPERATIONS
For the six months ended April 30, 2020 (unaudited)
NET INVESTMENT INCOME: | ||||||
Income: | ||||||
Interest income (net of foreign withholding taxes of $2,046) | $ | 7,463,466 | ||||
Dividends | 32,696 | |||||
Other income | 35,414 | |||||
Total Income | 7,531,576 | |||||
Expenses: | ||||||
Investment advisory and administrative fees | 855,595 | |||||
Custody and fund accounting fees | 54,333 | |||||
Professional fees | 38,329 | |||||
Board of Trustees’ fees | 31,064 | |||||
Transfer agent fees | 19,486 | |||||
Miscellaneous expenses | 44,756 | |||||
Total Expenses | 1,043,563 | |||||
Net Investment Income | 6,488,013 | |||||
NET REALIZED AND UNREALIZED GAIN: | ||||||
Net realized gain on investments in securities | 5,601,407 | |||||
Net realized gain on futures contracts | 3,865,424 | |||||
Net realized gain on investments in securities and futures contracts | 9,466,831 | |||||
Net change in unrealized appreciation/(depreciation) on investments in securities | (15,407,648 | ) | ||||
Net change in unrealized appreciation/(depreciation) on futures contracts | 6,062,701 | |||||
Net change in unrealized appreciation/(depreciation) on investments in securities and futures contracts | (9,344,947 | ) | ||||
Net Realized and Unrealized Gain | 121,884 | |||||
Net Increase in Net Assets Resulting from Operations | $ | 6,609,897 |
The accompanying notes are an integral part of these financial statements.
BBH INCOME FUND
STATEMENTS OF CHANGES IN NET ASSETS
For the six months ended April 30, 2020 (unaudited) | For the year ended October 31, 2019 | |||||||||
INCREASE IN NET ASSETS: | ||||||||||
Operations: | ||||||||||
Net investment income | $ | 6,488,013 | $ | 10,500,682 | ||||||
Net realized gain on investments in securities and futures contracts | 9,466,831 | 14,359,678 | ||||||||
Net change in unrealized appreciation/(depreciation) on investments in securities and futures contracts | (9,344,947 | ) | 8,773,138 | |||||||
Net increase in net assets resulting from operations | 6,609,897 | 33,633,498 | ||||||||
Dividends and distributions declared: | ||||||||||
Class I | (18,663,474 | ) | (10,503,452 | ) | ||||||
Share transactions: | ||||||||||
Proceeds from sales of shares | 68,895,780 | 243,690,338 | ||||||||
Net asset value of shares issued to shareholders for reinvestment of dividends and distributions | 1,417,907 | 844,086 | ||||||||
Proceeds from short-term redemption fees | 3,156 | 60 | ||||||||
Cost of shares redeemed | (22,972,324 | ) | (8,239,111 | ) | ||||||
Net increase in net assets resulting from share transactions | 47,344,519 | 236,295,373 | ||||||||
Total increase in net assets | 35,290,942 | 259,425,419 | ||||||||
NET ASSETS: | ||||||||||
Beginning of period | 406,005,603 | 146,580,184 | ||||||||
End of period | $ | 441,296,545 | $ | 406,005,603 |
The accompanying notes are an integral part of these financial statements.
BBH INCOME FUND
FINANCIAL HIGHLIGHTS
Selected per share data and ratios for a Class I share outstanding throughout each period.
For the six months ended April 30, 2020 (unaudited) | For the year ended October 31, 2019 | For the period from June 27, 2018 (commencement of operations) to October 31, 2018 | ||||||||||||
Net asset value, beginning of period | $ | 10.61 | $ | 9.83 | $ | 10.00 | ||||||||
Income from investment operations: | ||||||||||||||
Net investment income1 | 0.16 | 0.36 | 0.10 | |||||||||||
Net realized and unrealized gain (loss) | 0.01 | 0.78 | (0.17 | ) | ||||||||||
Total income (loss) from investment operations | 0.17 | 1.14 | (0.07 | ) | ||||||||||
Less dividends and distributions: | ||||||||||||||
From net investment income | (0.16 | ) | (0.36 | ) | (0.10 | ) | ||||||||
From net realized gains | (0.30 | ) | — | — | ||||||||||
Total dividends and distributions | (0.46 | ) | (0.36 | ) | (0.10 | ) | ||||||||
Short-term redemptions fees1 | 0.00 | 2 | 0.002 | — | ||||||||||
Net asset value, end of period | $ | 10.32 | $ | 10.61 | $ | 9.83 | ||||||||
Total return | 1.63 | %3 | 11.76 | % | (0.75 | )%3 | ||||||||
Ratios/Supplemental data: | ||||||||||||||
Net assets, end of period (in millions) | $ | 441 | $ | 406 | $ | 147 | ||||||||
Ratio of expenses to average net assets before reductions | 0.49 | %4 | 0.52 | % | 0.67 | %5 | ||||||||
Fee waiver | — | %6 | 0.02 | %6 | 0.17 | %5,6 | ||||||||
Ratio of expenses to average net assets after reductions | 0.49 | %4 | 0.50 | % | 0.50 | %5 | ||||||||
Ratio of net investment income to average net assets | 3.03 | %4 | 3.49 | % | 3.12 | %5 | ||||||||
Portfolio turnover rate | 73 | %3 | 77 | % | 94 | %3 |
1 | Calculated using average shares outstanding for the period. |
2 | Less than $0.01. |
3 | Not annualized. |
4 | Annualized. |
5 | Annualized with the exception of audit fees, legal fees and registration fees. |
6 | The ratio of expenses to average net assets for the six months ended April 30, 2020, the year ended October 31, 2019 and the period ended October 31, 2018 reflect fees reduced as result of a contractual operating expense limitation of the Fund to 0.50%. The agreement is effective through March 1, 2021 and may only be terminated during its term with approval of the Fund’s Board of Trustees. For the six months ended April 30, 2020, the year ended October 31, 2019 and the period from June 27, 2018 to October 31, 2018, the waived fees were $—, $55,757 and $94,185, respectively. |
The accompanying notes are an integral part of these financial statements.
BBH INCOME FUND
NOTES TO FINANCIAL STATEMENTS
April 30, 2020 (unaudited)
1. | Organization. The Fund is a separate, diversified series of BBH Trust (the “Trust”), which is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. The Trust was originally organized under the laws of the State of Maryland on July 16, 1990 as BBH Fund, Inc. and re-organized as a Delaware statutory trust on June 12, 2007. The Fund commenced operations on June 27, 2018. The Fund offers Class N shares and Class I shares. As of April 30, 2020, Class N shares are not available for purchase by investors. The Fund may offer Class N shares for purchase in the future. Class N and Class I shares have different operating expenses. With the exception of class specific expenses, all expenses are allocated between classes based on net assets. Neither Class N shares nor Class I shares automatically convert to any other share class of the Fund. As of April 30, 2020, there were seven series of the Trust. The investment objective of the Fund is to provide maximum total return, consistent with preservation of capital and prudent investment management. |
2. | Significant Accounting Policies. The Fund’s financial statements are prepared in accordance with Generally Accepted Accounting Principles in the United States of America (“GAAP”). The Fund is an investment company and accordingly follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standard Codification Topic 946 Financial Services — Investment Companies. The following summarizes significant accounting policies of the Fund: |
A. | Valuation of Investments. Bonds and other fixed income securities, including restricted securities (other than short-term obligations but including listed issues) are valued at their most recent bid prices (sales price if the principal market is an exchange) in the principal market in which such securities are normally traded, on the basis of valuations furnished by a pricing service, use of which has been approved by the Board of Trustees (the “Board”). In making such valuations, the pricing service utilizes both dealer supplied valuations and electronic data processing techniques, which take into account appropriate factors such as institutional-size trading in similar groups of securities, yield, quality, coupon rate, maturity, type of issue, trading characteristics and other market data, without exclusive reliance upon quoted prices, or exchange or over-the-counter prices, since such valuations are believed to reflect more accurately the fair value of such securities. Futures contracts held by the Fund are valued daily at the official settlement price of the exchange of which it is traded. |
BBH INCOME FUND
NOTES TO FINANCIAL STATEMENTS (continued)
April 30, 2020 (unaudited)
B. | Accounting for Investments and Income. Investment transactions are accounted for on the trade date. Realized gains and losses on investment transactions are determined based on the identified cost method. Interest income is accrued daily and consists of interest accrued, discount earned (including, if any, both original issue and market discount) and premium amortization on the investments of the Fund. Investment income is recorded net of any foreign taxes withheld where recovery of such tax is uncertain. Debt obligations may be placed on non-accrual status and related interest income may be reduced by ceasing current accruals and writing off interest receivable when the collection of all or a portion of the interest has become doubtful based on consistently applied procedures. A debt obligation is removed from non-accrual status when the issuer resumes interest payments or when collectability of interest is reasonably assured. |
C. | Fund Expenses. Most expenses of the Trust can be directly attributed to a specific fund. Expenses which cannot be directly attributed to a fund are generally apportioned among each fund in the Trust on a net assets basis or other suitable method. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known. |
D. | Financial Futures Contracts. The Fund may enter into open futures contracts in order to economically hedge against anticipated future changes in interest rates which otherwise might either adversely affect the value of securities held for the Fund or adversely affect the prices of securities that are intended to be purchased at a later date for the Fund. The contractual amount of the futures contracts represents the investment the Fund has in a particular contract and does not necessarily represent the amounts potentially subject to risk of loss. Trading in futures contracts involves, to varying degrees, risk of loss in excess of any futures variation margin reflected in the Statement of Assets and Liabilities. The measurement of risk associated with futures contracts is meaningful only when all related and offsetting transactions are considered. Gains and losses are realized upon the expiration or closing of the futures contracts. |
BBH INCOME FUND
NOTES TO FINANCIAL STATEMENTS (continued)
April 30, 2020 (unaudited)
Asset Derivatives | Liability Derivatives | ||||||||||||||
Risk | Statement of Assets and Liabilities Location | Fair Value | Statement of Assets and Liabilities Location | Fair Value | |||||||||||
Interest Rate Risk | Net unrealized appreciation/ (depreciation) on futures contracts | $ | 4,633,350 | * | Net unrealized appreciation/ (depreciation) on futures contracts | $ | (21,859 | )* | |||||||
Total | $ | 4,633,350 | $ | (21,859 | ) |
* | Includes cumulative appreciation/(depreciation) of futures contracts as reported in the Statement of Assets and Liabilities and Notes to Financial Statements. Only the current day’s variation margin is reported within the Statement of Assets and Liabilities. |
Interest Rate Risk | |||||||
Net Realized Gain on Derivatives | |||||||
Futures Contracts | $ | 3,865,424 | |||||
Net Change in Unrealized Appreciation/(Depreciation) on Derivatives | |||||||
Futures Contracts | $ | 6,062,701 |
E. | Rule 144A Securities. The Fund may purchase securities that are not registered under the Securities Act of 1933, as amended (“1933 Act”) but that can be sold to “qualified institutional buyers” in accordance with the requirements stated in Rule 144A under the 1933 Act (“Rule 144A Securities”). A Rule 144A Security may be considered illiquid, under SEC Regulations for open-end investment companies, and therefore subject to the 15% limitation on the purchase of illiquid securities, unless it is determined on an ongoing basis that an adequate trading market exists for the security, which is the case for the Fund. Guidelines have been adopted and the daily function of determining and monitoring liquidity of Rule 144A Securities has been delegated to the investment adviser. All relevant factors will be considered in determining the liquidity of Rule 144A Securities and all investments in Rule 144A Securities will be carefully monitored. Information regarding Rule 144A Securities is included at the end of the Portfolio of Investments. |
BBH INCOME FUND
NOTES TO FINANCIAL STATEMENTS (continued)
April 30, 2020 (unaudited)
F. | Loan Participations and Assignments. The Fund may invest in loan participations and assignments, which include institutionally traded floating and fixed-rate debt securities generally acquired as an assignment from another holder of, or participation interest in, loans originated by a bank or financial institution (the “Lender”) that acts as agent for all holders. Some loan participations and assignments may be purchased on a “when-issued” basis. The agent administers the terms of the loan, as specified in the loan agreement. When investing in a loan assignment, the Fund acquires the loan in whole or in part and becomes a lender under the loan agreement. The Fund generally has the right to enforce compliance with the terms of the loan agreement with the borrower. |
G. | Federal Income Taxes. It is the Trust’s policy to comply with the requirements of the Internal Revenue Code (the “Code”) applicable to regulated investment companies and to distribute substantially all of its taxable income to its shareholders. Accordingly, no federal income tax provision is required. The Fund files a tax return annually using tax accounting methods required under provisions of the Code, which may differ from GAAP, which is the basis on which these financial statements are prepared. Accordingly, the amount of net investment income and net realized gain reported in these financial statements may differ from that reported on the Fund’s tax return, due to certain book-to-tax timing differences such as losses deferred due to “wash sale” transactions and utilization of capital loss carryforwards. These differences may result in temporary over-distributions for financial statement purposes and are classified as distributions in excess of accumulated net realized gains or net investment income. These distributions do not constitute a return of capital. Permanent differences are reclassified between paid-in capital and retained earnings/(accumulated deficit) within the Statement of Assets and Liabilities based upon their tax classification. As such, the character of distributions to shareholders reported in the Financial Highlights table may differ from that reported to shareholders on Form 1099-DIV. |
BBH INCOME FUND
NOTES TO FINANCIAL STATEMENTS (continued)
April 30, 2020 (unaudited)
H. | Dividends and Distributions to Shareholders. Dividends and distributions from net investment income to shareholders are declared daily and paid monthly to shareholders. Distributions from net capital gains, if any, are generally declared and paid annually and are recorded on the ex-dividend date. The Fund declared dividends in the amount of $18,663,474 to Class I shareholders during the six months ended April 30, 2020. In addition, the Fund designated a portion of the payment made to redeeming shareholders as a distribution for income tax purposes. |
Distributions paid from: | ||||||||||||||||||||||||
Ordinary income | Net long-term capital gain | Total taxable distributions | Tax return of capital | Total distributions paid | ||||||||||||||||||||
2019: | $ | 10,503,452 | $ | — | $ | 10,503,452 | $ | — | $ | 10,503,452 | ||||||||||||||
2018: | 848,193 | — | 848,193 | — | 848,193 |
Components of retained earnings/(accumulated deficit): | ||||||||||||||||||||||||||||||||
Undistributed ordinary income | Undistributed long-term capital gain | Accumulated capital and other losses | Other book/tax temporary differences | Unrealized appreciation/ (depreciation) | Total retained earnings/ (accumulated deficit) | |||||||||||||||||||||||||||
2019: | $ | 8,805,637 | $ | 3,483,486 | $ | — | $ | 1,374,109 | $ | 7,001,817 | $ | 20,665,049 | ||||||||||||||||||||
2018: | 3,766 | — | (147,418 | ) | (465,665 | ) | (1,771,321 | ) | (2,380,638 | ) |
BBH INCOME FUND
NOTES TO FINANCIAL STATEMENTS (continued)
April 30, 2020 (unaudited)
I. | Use of Estimates. The preparation of the financial statements in accordance with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities in the financial statements, disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increase and decrease in net assets from operations during the reporting period. Actual results could differ from these estimates. |
3. | Fees and Other Transactions with Affiliates. |
A. | Investment Advisory and Administrative Fees. Effective June 27, 2018 (commencement of operations), under a combined Investment Advisory and Administrative Services Agreement (“Agreement”) with the Trust, Brown Brothers Harriman & Co. (“BBH”) through a separately identifiable department (“SID” or “Investment Adviser”) provides investment advisory, portfolio management and administrative services to the Fund. The Fund pays a combined fee for investment advisory and administrative services calculated daily and paid monthly at an annual rate equivalent to 0.40% per annum. For the six months ended April 30, 2020, the Fund incurred $855,595 for services under the Agreement. |
B. | Investment Advisory and Administrative Fee Waivers. Effective June 27, 2018 (commencement of operations), the Investment Adviser has contractually agreed to waive fees and/or reimburse expenses in order to limit the total annual fund operating expenses (excluding interests, taxes, brokerage commissions, other expenditures that are capitalized in accordance with generally accepted accounting principles, and other extraordinary expenses not incurred in the ordinary course |
BBH INCOME FUND
NOTES TO FINANCIAL STATEMENTS (continued)
April 30, 2020 (unaudited)
of the Fund’s business) for Class I shares to 0.50%. The agreement will terminate on March 1, 2021, unless it is renewed by all parties to the agreement. The agreement may only be terminated during its term with approval of the Fund’s Board of Trustees. For the six months ended April 30, 2020, the Investment Adviser waived fees in the amount of $0 for Class I. |
C. | Custody and Fund Accounting Fees. BBH acts as a custodian and fund accountant and receives custody and fund accounting fees from the Fund calculated daily and incurred monthly. BBH holds all of the Fund’s cash and investments and calculates the Fund’s daily net asset value. The custody fee is an asset and transaction-based fee. The fund accounting fee is an asset-based fee calculated at 0.004% of the Fund’s net asset value. For the six months ended April 30, 2020, the Fund incurred $54,333 in custody and fund accounting fees. The Fund receives interest income on cash balances held by the custodian at the BBH Base Rate. The BBH Base Rate is defined as BBH’s effective trading rate in local money markets on each day. The total interest earned by the Fund for the six months ended April 30, 2020 was $1,913. This amount is included in “Interest income” in the Statement of Operations. In the event that the Fund is overdrawn, under the custody agreement with BBH, BBH will make overnight loans to the Fund to cover overdrafts. Pursuant to their agreement, the Fund will pay the Federal Funds overnight investment rate on the day of the overdraft. The total interest incurred by the Fund for the six months ended April 30, 2020, was $396. This amount is included under line item “Custody and fund accounting fees” in the Statement of Operations. |
D. | Board of Trustees’ Fees. Each Trustee who is not an “interested person” as defined under the 1940 Act receives an annual fee as well as reimbursement for reasonable out-of-pocket expenses from the Fund. For the six months ended April 30, 2020, the Fund incurred $31,064 in independent Trustee compensation and expense reimbursements. |
E. | Officers of the Trust. Officers of the Trust are also employees of BBH. Officers are paid no fees by the Trust for their services to the Trust. |
4. | Investment Transactions. For the six months ended April 30, 2020, the cost of purchases and the proceeds of sales of investment securities, other than short-term investments, were $348,406,559 and $305,916,600, respectively. |
BBH INCOME FUND
NOTES TO FINANCIAL STATEMENTS (continued)
April 30, 2020 (unaudited)
5. | Shares of Beneficial Interest. The Trust is permitted to issue an unlimited number of Class I shares of beneficial interest, at no par value. Transactions in Class I shares were as follows: |
For the six months ended April 30, 2020 (unaudited) | For the year ended October 31, 2019 | ||||||||||||||||||
Shares | Dollars | Shares | Dollars | ||||||||||||||||
Class I | |||||||||||||||||||
Shares sold | 6,630,258 | $ | 68,895,780 | 24,062,581 | $ | 243,690,338 | |||||||||||||
Shares issued in connection with reinvestments of dividends | 137,927 | 1,417,907 | 81,846 | 844,086 | |||||||||||||||
Proceeds from short-term redemption fees | N/A | 3,156 | N/A | 60 | |||||||||||||||
Shares redeemed | (2,274,224 | ) | (22,972,324 | ) | (794,212 | ) | (8,239,111 | ) | |||||||||||
Net increase | 4,493,961 | $ | 47,344,519 | 23,350,215 | $ | 236,295,373 |
6. | Principal Risk Factors and Indemnifications. |
A. | Principal Risk Factors. Investing in the Fund may involve certain risks, as discussed in the Fund’s prospectus, including but not limited to, those described below: |
BBH INCOME FUND
NOTES TO FINANCIAL STATEMENTS (continued)
April 30, 2020 (unaudited)
risks than securities which have higher credit ratings, including a high risk of default. If the issuer of the securities in which the Fund invests redeems them before maturity the Fund may have to reinvest the proceeds in securities that pay a lower interest rate (call risk). The Fund invests in asset-backed (asset-backed securities risk) and mortgage-backed securities (mortgage-backed securities risk) which are subject to the risk that borrowers may default on the obligations that underlie these securities. In addition, these securities may be paid off sooner (prepayment risk) or later than expected which may increase the volatility of securities during periods of fluctuating interest rates. The Fund may invest in bonds issued by foreign governments which may be unable or unwilling to make interest payments and/or repay the principal owed (sovereign debt risk). The Fund’s use of borrowing, in reverse repurchase agreements and investment in some derivatives, involves leverage. Leverage tends to exaggerate the effect of any increase or decrease in the value of the Fund’s securities and may cause the Fund to be more volatile (leverage risk). Loan participations, delayed funding loans and revolving credit facilities may have the effect of requiring the Fund to increase its investments in a company at a time when it might not otherwise decide to do so (loan risk). The value of securities held by the Fund may decline in response to certain events, including: those directly involving the companies or issuers whose securities are held by the Fund; conditions affecting the general economy; overall market changes; local, regional or political, social or economic instability; and currency and interest rate and price fluctuations. Natural disasters, the spread of infectious illness and other public health emergencies, recession, terrorism and other unforeseeable events may lead to increased market volatility and may have adverse effects on world economies and markets generally (market risk). A significant investment of Fund assets within one or more sectors, industries, securities and/or durations may increase the Fund’s sensitivity to adverse economic, business, political, or other, risks associated with such sector, industry, security or duration (sector risk). The Fund’s shareholders may be adversely impacted by asset allocation decisions made by an investment adviser whose discretionary clients make up a large percentage of the Fund’s shareholders (shareholder concentration risk). Even though the Fund’s investments in repurchase agreements are collateralized at all times, there is some risk to the Fund if the other party to the agreement should default on its obligations (repurchase agreement risk). While the U.S. Government has historically provided financial support to U.S. government-sponsored agencies or instrumentalities during times of financial stress, such as the various actions taken to stabilize the Federal National Mortgage Association and Federal Home Loan Mortgage Corporation during the credit crisis of 2008, no assurance can be given that it will do so in the future. Such securities are neither issued nor guaranteed by the U.S. Treasury (U.S. Government Agency Securities Risk). LIBOR is scheduled to be phased out by the end of 2021. The unavailability and/or discontinuation of LIBOR may affect the value, liquidity or return on certain fund investments that mature later than 2021 and may result in costs incurred in connection with closing out positions and entering into new positions. Any pricing adjustments to the fund’s investments resulting from a substitute reference rate may also adversely affect the fund’s
BBH INCOME FUND
NOTES TO FINANCIAL STATEMENTS (continued)
April 30, 2020 (unaudited)
B. | Indemnifications. Under the Trust’s organizational documents, its officers and Trustees may be indemnified against certain liabilities and expenses arising out of the performance of their duties to the Fund, and shareholders are indemnified against personal liability for the obligations of the Trust. Additionally, in the normal course of business, the Fund enters into agreements with service providers that may contain indemnification clauses. The Fund’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Fund that have not yet occurred. The risk of material loss from such claims is considered remote. |
7. | Recent Pronouncements. |
A. | ASU 2017-08. In March 2017, the Financial Accounting Standards Board issued an Accounting Standards Update, ASU 2017-08, Receivables — Nonrefundable Fees and Other Costs (Subtopic 310-20), Premium Amortization on Purchased Callable Debt Securities (the “ASU 2017-08”) which amends the amortization period for certain purchased callable debt securities held at a premium, shortening such period to the earliest call date. The ASU 2017-08 does not require any accounting change for debt securities held at a discount; the discount continues to be amortized to maturity. The ASU 2017-08 is effective for years, and interim periods within those years, beginning after December 15, 2018. The application of ASU 2017-08 did not have a significant impact on the Fund’s financial statements. |
8. | Significant Events. In the beginning of 2020, there was an outbreak of the novel corona virus (COVID 19) which has impacted the financial markets and the global economy as a whole. The outbreak of COVID 19 is still ongoing and the magnitude and impact on the financial markets is highly uncertain and cannot be predicted. The effect of this impact may adversely impact the future carrying value of investments and results of operations of the Fund. |
There are no other significant events to report as they relate to the Fund. |
9. | Subsequent Events. Management has evaluated events and transactions that have occurred since April 30, 2020 through the date the financial statements were issued and determined that there were none that would require recognition or additional disclosure in the financial statements. |
BBH INCOME FUND
DISCLOSURE OF FUND EXPENSES
April 30, 2020 (unaudited)
BBH INCOME FUND
DISCLOSURE OF FUND EXPENSES (continued)
April 30, 2020 (unaudited)
Beginning Account Value November 1, 2019 | Ending Account Value April 30, 2020 | Expenses Paid During Period November 1, 2019 to April 30, 20201 | ||||||||||||
Class I | ||||||||||||||
Actual | $ | 1,000 | $ | 1,016 | $ | 2.46 | ||||||||
Hypothetical2 | $ | 1,000 | $ | 1,022 | $ | 2.46 |
1 | Expenses are equal to the Fund’s annualized expense ratio of 0.49% for Class I shares, multiplied by the average account value over the period and multiplied by 182/366 (to reflect the one-half year period). |
2 | Assumes a return of 5% before expenses. For the purposes of the calculation, the applicable annualized expenses ratio for each class of shares is subtracted from the assumed return before expenses. |
BBH INCOME FUND
DISCLOSURE OF ADVISOR SELECTION
April 30, 2020 (unaudited)
BBH INCOME FUND
DISCLOSURE OF ADVISOR SELECTION (continued)
April 30, 2020 (unaudited)
of the Agreement. No single factor reviewed by the Board was identified as the principal factor in determining whether to approve the Agreement, and individual Trustees may have given different weight to various factors. The Board reviewed these factors with Fund Counsel. The Board concluded that the fees paid by the Fund to the Investment Adviser were reasonable based on the expense information, the cost of the services provided, and the profits realized by the Investment Adviser.
BBH INCOME FUND
DISCLOSURE OF ADVISOR SELECTION (continued)
April 30, 2020 (unaudited)
reputation of Broadridge who prepared the peer category analysis. The Board reviewed and discussed with both BBH and Broadridge the report’s findings and discussed the positioning of the Fund relative to its selected peer category. The Board considered investment performance for the Fund over the 1-year period ended September 30, 2019 as compared to a its peer category, noting the Fund’s outperformance during the period. In evaluating the performance of the Fund, the Board considered the risk expectations for the Fund as well as the relevant market conditions for the Fund’s investments and investment strategy. Based on this information, and in light of the Fund’s investment style, the Board concluded that it was satisfied with the Fund’s investment results.
BBH INCOME FUND
DISCLOSURE OF ADVISOR SELECTION (continued)
April 30, 2020 (unaudited)
BBH INCOME FUND
CONFLICTS OF INTEREST
April 30, 2020 (unaudited)
BBH INCOME FUND
CONFLICTS OF INTEREST (continued)
April 30, 2020 (unaudited)
investment methods and strategies, of Other Clients. Accordingly, such Other Clients’ accounts may produce results that are materially different from those experienced by the Funds. Certain other conflicts of interest may arise in connection with a portfolio manager’s management of the Funds’ investments, on the one hand, and the investments of other funds or accounts for which the portfolio manager is responsible, on the other. For example, it is possible that the various funds or accounts managed by the Investment Adviser or Sub-Adviser could have different investment strategies that, at times, might conflict with one another to the possible detriment of the Funds. From time to time, the Investment Adviser and Sub-Adviser, sponsor and with other investment pools and accounts which engage in the same or similar businesses as the Funds using the same or similar investment strategies. To the extent that the same investment opportunities might be desirable for more than one account or fund, possible conflicts could arise in determining how to allocate them because the Investment Adviser or Sub-Adviser may have an incentive to allocate investment opportunities to certain accounts or funds. However, BBH and the Sub-Adviser have implemented policies and procedures designed to ensure that information relevant to investment decisions is disseminated promptly within its portfolio management teams and investment opportunities are allocated equitably among different clients. The policies and procedures require, among other things, objective allocation for limited investment opportunities, and documentation and review of justifications for any decisions to make investments only for select accounts or in a manner disproportionate to the size of the account. Nevertheless, access to investment opportunities may be allocated differently among accounts due to the particular characteristics of an account, such as size of the account, cash position, tax status, risk tolerance and investment restrictions or for other reasons.
BBH INCOME FUND
CONFLICTS OF INTEREST (continued)
April 30, 2020 (unaudited)
BBH INCOME FUND
CONFLICTS OF INTEREST (continued)
April 30, 2020 (unaudited)
BBH INCOME FUND
CONFLICTS OF INTEREST (continued)
April 30, 2020 (unaudited)
securities may not, in retrospect, be the price at which those assets could have been sold during the period in which the particular fair values were used in determining the Funds’ net asset value. As a result, the Funds’ sale or redemption of its shares at net asset value, at a time when a holding or holdings are valued by BBH (pursuant to Board-adopted procedures) at fair value, may have the effect of diluting or increasing the economic interest of existing shareholders.
BBH INCOME FUND
STATEMENT REGARDING LIQUIDITY RISK MANAGEMENT PROGRAM
April 30, 2020 (unaudited)
BBH INCOME FUND
STATEMENT REGARDING LIQUIDITY RISK MANAGEMENT PROGRAM (continued)
April 30, 2020 (unaudited)
shareholder ownership concentration, applicable distribution channels and the degree of certainty associated with a Fund’s short-term and long-term cash flow projections.
Administrator Brown Brothers Harriman & Co. 140 Broadway New York, NY 10005 | Investment Adviser Brown Brothers Harriman Mutual Fund Advisory Department 140 Broadway | ||
Distributor ALPS Distributors, Inc. 1290 Broadway, Suite 1100 Denver, Co 80203
| New York, NY 10005 | ||
Shareholder Servicing Agent Brown Brothers Harriman & Co. 140 Broadway New York, NY 10005 1-800-575-1265 |
By telephone: | Call 1-800-575-1265 | |||||
By E-mail send your request to: | bbhfunds@bbh.com | |||||
On the internet: | www.bbhfunds.com |
BBH U.S. GOVERNMENT MONEY MARKET FUND
PORTFOLIO ALLOCATION
April 30, 2020 (unaudited)
BREAKDOWN BY SECURITY TYPE | |||||||
U.S. $ Value | Percent of Net Assets | ||||||
U.S. Government Agency Obligations | $241,956,109 | 8.9% | |||||
U.S. Treasury Bills | 2,273,826,102 | 83.9 | |||||
Repurchase Agreements | 175,000,000 | 6.5 | |||||
Cash and Other Assets in Excess of Liabilities | 17,926,382 | 0.7 | |||||
NET ASSETS | $2,708,708,593 | 100.0% | |||||
All data as of April 30, 2020. The BBH U.S. Government Money Market Fund’s (the “Fund”) breakdown by security type is expressed as a percentage of net assets and may vary over time. |
The accompanying notes are an integral part of these financial statements.
2
BBH U.S. GOVERNMENT MONEY MARKET FUND
PORTFOLIO OF INVESTMENTS
April 30, 2020 (unaudited)
Principal Amount | Maturity Date | Interest Rate | Value | |||||||||||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS (8.9%) | ||||||||||||||||||
$ 140,000,000 | Fannie Mae Discount Notes1 | 10/16/20 | 0.200 | % | $ | 139,869,333 | ||||||||||||
50,000,000 | Federal Home Loan Bank Discount Notes1 | 06/04/20 | 0.150 | 49,992,917 | ||||||||||||||
20,000,000 | Federal Home Loan Bank Discount Notes1 | 06/22/20 | 0.080 | 19,997,689 | ||||||||||||||
15,000,000 | Federal Home Loan Bank Discount Notes1 | 07/09/20 | 0.120 | 14,996,550 | ||||||||||||||
17,100,000 | Federal Home Loan Bank Discount Notes1 | 07/20/20 | 0.010 | 17,099,620 | ||||||||||||||
Total U.S. Government Agency Obligations (Cost $241,956,109) | 241,956,109 | |||||||||||||||||
U.S. TREASURY BILLS (83.9%) | ||||||||||||||||||
115,000,000 | U.S. Treasury Bill1 | 07/14/20 | 0.252 | 114,940,430 | ||||||||||||||
100,000,000 | U.S. Treasury Bill1 | 05/05/20 | 0.151 | 99,998,328 | ||||||||||||||
145,000,000 | U.S. Treasury Bill1,2 | 05/07/20 | 1.537 | 144,962,996 | ||||||||||||||
150,000,000 | U.S. Treasury Bill1,2 | 05/12/20 | 0.134 | 149,993,873 | ||||||||||||||
125,000,000 | U.S. Treasury Bill1,2 | 05/14/20 | 1.546 | 124,930,486 | ||||||||||||||
155,000,000 | U.S. Treasury Bill1,2 | 05/21/20 | 1.370 | 154,882,461 | ||||||||||||||
25,000,000 | U.S. Treasury Bill1 | 05/26/20 | 0.080 | 24,998,611 | ||||||||||||||
215,000,000 | U.S. Treasury Bill1,2 | 05/28/20 | 0.125 | 214,979,881 | ||||||||||||||
225,000,000 | U.S. Treasury Bill1,2 | 06/02/20 | 0.150 | 224,970,027 | ||||||||||||||
175,000,000 | U.S. Treasury Bill1,2 | 06/11/20 | 0.173 | 174,965,577 | ||||||||||||||
175,000,000 | U.S. Treasury Bill1,2 | 06/16/20 | 0.075 | 174,983,223 | ||||||||||||||
100,000,000 | U.S. Treasury Bill1 | 06/18/20 | 0.165 | 99,978,000 | ||||||||||||||
150,000,000 | U.S. Treasury Bill1 | 07/02/20 | 0.068 | 149,982,433 | ||||||||||||||
145,000,000 | U.S. Treasury Bill1,2 | 07/09/20 | 1.526 | 144,579,105 | ||||||||||||||
225,000,000 | U.S. Treasury Bill1,2 | 07/23/20 | 0.576 | 224,703,102 | ||||||||||||||
50,000,000 | U.S. Treasury Bill1 | 08/06/20 | 0.167 | 49,977,569 | ||||||||||||||
Total U.S. Treasury Bills (Cost $2,273,826,102) | 2,273,826,102 |
The accompanying notes are an integral part of these financial statements.
3
BBH U.S. GOVERNMENT MONEY MARKET FUND
PORTFOLIO OF INVESTMENTS (continued)
April 30, 2020 (unaudited)
Principal Amount | Maturity Date | Interest Rate | Value | |||||||||||||||
REPURCHASE AGREEMENTS (6.5%) | ||||||||||||||||||
$ 55,000,000 | BNP Paribas (Agreement dated 04/30/20 collateralized by FHLMC 3.000%-4.500%, due 12/01/36-04/01/50, original par $21,085,862, value $13,789,277, FNMA 3.500%, due 01/01/34, original par $224,634, value $79,838, GNMA 2.500%-5.000%, due 03/20/41-04/20/50, original par $83,532,470, value $31,420,100, U.S. Treasury Securities 0.000%-7.500%, due 08/15/20-11/15/24, original par $8,264,026 value $10,810,785) | 05/01/20 | 0.050 | % | $ | 55,000,000 | ||||||||||||
65,000,000 | National Australia Bank Ltd. (Agreement dated 04/30/20 collateralized by U.S. Treasury Notes 2.875%, due 05/15/28, original par $55,490,000, value $66,300,000) | 05/01/20 | 0.010 | 65,000,000 |
The accompanying notes are an integral part of these financial statements.
4
BBH U.S. GOVERNMENT MONEY MARKET FUND
PORTFOLIO OF INVESTMENTS (continued)
April 30, 2020 (unaudited)
Principal Amount | Maturity Date | Interest Rate | Value | ||||
REPURCHASE AGREEMENTS (continued) | |||||||
$ 55,000,000 | Societe Generale (Agreement dated 04/30/20 collateralized by FHLMC 4.500%, due 09/01/48, original par $97,360, value $81,504, FNMA 3.000%-4.000%, due 01/01/47-11/01/49, original par $6,345,743, value $6,460,982, GNMA 2.500%-3.125%, due 12/20/26-04/20/50, original par $42,785,303, value $11,443,858, U.S. Treasury Securities 0.000%-7.625%, due 06/16/20-02/15/25, original par $37,017,659, value $38,113,656). | 05/01/20 | 0.050% | 55,000,000 | |||
Total Repurchase Agreements (Cost $175,000,000) | 175,000,000 | ||||||
TOTAL INVESTMENTS (Cost $2,690,782,211)3 | 99.3% | $ 2,690,782,211 | |||||
ASSETS IN EXCESS OF OTHER LIABILITIES | 0.7% | 17,926,382 | |||||
NET ASSETS | 100.0% | $ 2,708,708,593 | |||||
1 | Coupon represents a yield to maturity. |
2 | Coupon represents a weighted average yield. |
3 | The cost of securities for federal income tax purposes is substantially the same as for financial reporting purposes. |
Abbreviations:
FHLMC | – | Federal Home Loan Mortgage Corporation. |
FNMA | – | Federal National Mortgage Association. |
GNMA | – | Government National Mortgage Association. |
The accompanying notes are an integral part of these financial statements.
5
BBH U.S. GOVERNMENT MONEY MARKET FUND
PORTFOLIO OF INVESTMENTS (continued)
April 30, 2020 (unaudited)
FAIR VALUE MEASUREMENTS
The Fund is required to disclose information regarding the fair value measurements of the Fund’s assets and liabilities. Fair value is the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. The disclosure requirement established a three-tier hierarchy to maximize the use of observable market data and minimize the use of unobservable inputs and to establish classification of fair value measurements for disclosure purposes. Inputs refer broadly to the assumptions that market participants would use in pricing the asset or liability, including, for example, the risk inherent in a particular valuation technique used to measure fair value, including the model and/or the risk inherent in the inputs to the valuation technique. Inputs may be observable or unobservable. Observable inputs are inputs that reflect the assumptions market participants would use in pricing the asset or liability developed based on market data obtained from sources independent of the reporting entity. Unobservable inputs are inputs that reflect the Fund’s own considerations about the assumptions market participants would use in pricing the asset or liability developed based on the best information available in the circumstances.
Authoritative guidance establishes three levels of the fair value hierarchy as follows:
— Level 1 – unadjusted quoted prices in active markets for identical assets and liabilities.
— Level 2 – significant other observable inputs (including quoted prices for similar assets and liabilities, interest rates, prepayment speeds, credit risk, etc.).
— Level 3 – significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of assets and liabilities).
Inputs are used in applying the various valuation techniques and broadly refer to the assumptions that market participants use to make valuation decisions, including assumptions about risk. Inputs may include price information, specific and broad credit data, liquidity statistics, and other factors. A financial instrument’s level within the fair value hierarchy is based on the lowest level of any input that is significant to the fair value measurement. However, the determination of what constitutes “observable” requires judgment by the investment adviser. The investment adviser considers observable data to be that market data which is readily available, regularly distributed or updated, reliable and verifiable, not proprietary, and provided by independent sources that are actively involved in the relevant market. The categorization of a financial instrument within the hierarchy is based upon the pricing transparency of the instrument and does not necessarily correspond to the investment adviser’s perceived risk of that instrument.
The accompanying notes are an integral part of these financial statements.
6
BBH U.S. GOVERNMENT MONEY MARKET FUND
PORTFOLIO OF INVESTMENTS (continued)
April 30, 2020 (unaudited)
Financial assets within Level 1 are based on quoted market prices in active markets. The Fund does not adjust the quoted price for these instruments.
Financial instruments that trade in markets that are not considered to be active but are valued based on quoted market prices, dealer quotations or alternative pricing sources supported by observable inputs are classified within Level 2. These include investment-grade corporate bonds, U.S. Treasury notes and bonds, and certain non-U.S. sovereign obligations and over-the-counter derivatives. As Level 2 financial assets include positions that are not traded in active markets and/or are subject to transfer restrictions, valuations may be adjusted to reflect illiquidity and/or non-transferability, which are generally based on available market information.
Financial assets classified within Level 3 have significant unobservable inputs, as they trade infrequently. Level 3 financial assets include private equity and certain corporate debt securities. As observable prices are not available for these securities, valuation techniques are used to derive fair value.
At April 30, 2020, 100% of the Fund’s investments were valued using amortized cost, in accordance with rules under the Investment Company Act of 1940, as amended (the “1940 Act”). Amortized cost approximates the 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 considered to be valued using Level 2 inputs.
Because of the inherent uncertainties of valuation, the values reflected in the financial statements may materially differ from the value received upon the actual sale of those investments.
The accompanying notes are an integral part of these financial statements.
7
BBH U.S. GOVERNMENT MONEY MARKET FUND
PORTFOLIO OF INVESTMENTS (continued)
April 30, 2020 (unaudited)
The following table summarizes the valuation of the Fund’s investments by the above fair value hierarchy levels as of April 30, 2020.
Investments, at value | Unadjusted Quoted Prices in Active Markets for Identical Investments (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Balance as of April 30, 2020 | ||||||||||||
U.S. Government Agency Obligations | $ — | $ | 241,956,109 | $ — | $ | 241,956,109 | ||||||||||
U.S. Treasury Bills | — | 2,273,826,102 | — | 2,273,826,102 | ||||||||||||
Repurchase Agreements | — | 175,000,000 | — | 175,000,000 | ||||||||||||
Total Investment, at value | $ — | $ | 2,690,782,211 | $ — | $ | 2,690,782,211 |
The accompanying notes are an integral part of these financial statements.
8
BBH U.S. GOVERNMENT MONEY MARKET FUND
STATEMENT OF ASSETS AND LIABILITIES
April 30, 2020 (unaudited)
ASSETS: | ||||
Investments, at cost which approximates fair value | $ | 2,515,782,211 | ||
Repurchase agreements (Cost $175,000,000) | 175,000,000 | |||
Cash | 18,591,355 | |||
Receivables for: | ||||
Interest | 24,430 | |||
Prepaid assets | 9,952 | |||
Total Assets | 2,709,407,948 | |||
LIABILITIES: | ||||
Payables for: | ||||
Investment advisory and administrative fees | 473,838 | |||
Professional fees | 81,056 | |||
Custody and fund accounting fees | 74,070 | |||
Dividends declared | 54,192 | |||
Shareholder servicing fees | 9,319 | |||
Transfer agent fees | 2,430 | |||
Accrued expenses and other liabilities | 4,450 | |||
Total Liabilities | 699,355 | |||
NET ASSETS | $ | 2,708,708,593 | ||
Net Assets Consist of: | ||||
Paid-in capital | $ | 2,708,743,782 | ||
Accumulated deficit | (35,189 | ) | ||
Net Assets | $ | 2,708,708,593 | ||
NET ASSET VALUE AND OFFERING PRICE PER SHARE | ||||
REGULAR SHARES | ||||
($70,317,087 ÷ 70,322,692 shares outstanding) | $1.00 | |||
INSTITUTIONAL SHARES | ||||
($2,638,391,506 ÷ 2,638,427,108 shares outstanding) | $1.00 | |||
The accompanying notes are an integral part of these financial statements.
9
BBH U.S. GOVERNMENT MONEY MARKET FUND
STATEMENT OF OPERATIONS
For the six months April 30, 2020 (unaudited)
NET INVESTMENT INCOME: | ||||
Income: | ||||
Interest income | $ | 16,343,735 | ||
Expenses: | ||||
Investment advisory and administrative fees | 2,605,069 | |||
Custody and fund accounting fees | 114,987 | |||
Shareholder servicing fees | 69,443 | |||
Professional fees | 68,261 | |||
Board of Trustees' fees | 27,170 | |||
Transfer agent fees | 12,905 | |||
Miscellaneous expenses | 101,665 | |||
Total Expenses | 2,999,500 | |||
Investment advisory and administrative fee waiver | (579 | ) | ||
Net Expenses | 2,998,921 | |||
Net Investment Income | 13,344,814 | |||
NET REALIZED GAIN: | ||||
Net realized gain on investments | 32,550 | |||
Net Increase in Net Assets Resulting from Operations | $ | 13,377,364 |
The accompanying notes are an integral part of these financial statements.
10
BBH U.S. GOVERNMENT MONEY MARKET FUND
STATEMENTS OF CHANGES IN NET ASSETS
For the six months ended April 30, 2020 (unaudited) | For the period from July 1, 2019 to October 31, 2019 | For the year | ||||||||||
INCREASE IN NET ASSETS: | ||||||||||||
Operations: | ||||||||||||
Net investment income | $ | 13,344,814 | $ | 14,106,526 | $ | 45,083,987 | ||||||
Net realized gain on investments | 32,550 | 42,235 | 12,619 | |||||||||
Net increase in net assets resulting from operations | 13,377,364 | 14,148,761 | 45,096,606 | |||||||||
Distributions declared: | ||||||||||||
Regular Shares | (342,163 | ) | (359,145 | ) | (826,257 | ) | ||||||
Institutional Shares | (13,035,201 | ) | (13,788,994 | ) | (44,270,349 | ) | ||||||
Total distributions declared | (13,377,364 | ) | (14,148,139 | ) | (45,096,606 | ) | ||||||
From Fund Share (Principal) Transactions at Net Asset Value of $1.00 per share: | ||||||||||||
Fund shares sold and fund shares issued in connection with reinvestments of dividends | 4,164,404,238 | 2,560,331,601 | 7,032,223,805 | |||||||||
Fund shares repurchased | (3,566,044,278 | ) | (2,637,758,587 | ) | (6,615,829,390 | ) | ||||||
Net increase (decrease) in net assets resulting from fund share transactions | 598,359,960 | (77,426,986 | ) | 416,394,415 | ||||||||
Total increase (decrease) in net assets | 598,359,960 | (77,426,364 | ) | 416,394,415 | ||||||||
NET ASSETS: | ||||||||||||
Beginning of period | 2,110,348,633 | 2,187,774,997 | 1,771,380,582 | |||||||||
End of period | $ | 2,708,708,593 | $ | 2,110,348,633 | $ | 2,187,774,997 |
The accompanying notes are an integral part of these financial statements.
11
BBH U.S. GOVERNMENT MONEY MARKET FUND
FINANCIAL HIGHLIGHTS
Selected per share data and ratios for a Regular Share outstanding throughout the period.
For the | ||||||||||||||||||||||||||||
period from | ||||||||||||||||||||||||||||
For the six | July 1, | |||||||||||||||||||||||||||
months ended | 2019 to | |||||||||||||||||||||||||||
April 30, 2020 | October 31, | For the years ended June 30, | ||||||||||||||||||||||||||
(unaudited) | 2019 | 2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||||||||
Net asset value, beginning of period | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||||
Income from investment operations: | ||||||||||||||||||||||||||||
Net investment income1 | 0.002 | 0.01 | 0.02 | 0.01 | 0.002 | 0.002 | 0.002 | |||||||||||||||||||||
Distributions to shareholders: | ||||||||||||||||||||||||||||
From net investment income | 0.002 | (0.01 | ) | (0.02 | ) | (0.01 | ) | 0.002 | 0.002 | 0.002 | ||||||||||||||||||
From net realized gains | — | — | — | — | — | — | 0.002 | |||||||||||||||||||||
Total distributions | 0.002 | (0.01 | ) | (0.02 | ) | (0.01 | ) | 0.002 | 0.002 | 0.002 | ||||||||||||||||||
Net asset value, end of period | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||||
Total return | 0.47 | %3 | 0.55 | %3 | 1.76 | % | 0.81 | % | 0.08 | % | 0.01 | % | 0.01 | % | ||||||||||||||
Ratios/Supplemental data: | ||||||||||||||||||||||||||||
Net assets, end of period (in millions) | $ | 70 | $ | 71 | $ | 62 | $ | 62 | $ | 67 | $ | 49 | $ | 1,127 | ||||||||||||||
Ratio of expenses to average net assets before reductions | 0.48 | %4 | 0.47 | %5 | 0.49 | % | 0.50 | % | 0.48 | % | 0.48 | % | 0.51 | % | ||||||||||||||
Expense reimbursement6 | 0.00 | %7 | —% | —% | —% | 0.10 | % | 0.38 | % | 0.44 | % | |||||||||||||||||
Expense offset arrangement | —% | —% | 0.01 | % | 0.02 | % | 0.00 | %7 | 0.00 | %7 | 0.00 | %7 | ||||||||||||||||
Ratio of expenses to average net assets after reductions | 0.48 | %4 | 0.47 | %5 | 0.48 | % | 0.48 | % | 0.38 | % | 0.10 | % | 0.07 | % | ||||||||||||||
Ratio of net investment income to average net assets | 0.98 | % | 1.64 | % | 1.75 | % | 0.78 | % | 0.08 | % | 0.01 | % | 0.01 | % |
1 | Calculated using average shares outstanding for the period. |
2 | Less than $0.01 per share. |
3 | Not Annualized. |
4 | Annualized. |
5 | Annualized with the exception of audit fees. |
6 | During the periods ended April 30, 2020 and October 31, 2019, and the years ended June 30, 2019, 2018, 2017, 2016, and 2015 the investment advisory and administrative fee/shareholder servicing fee waivers, as a result of a minimum yield agreement, were $579, $—, $—, $—, $50,768, $2,511,954, and $5,166,811, respectively. |
7 | Less than 0.01%. |
The accompanying notes are an integral part of these financial statements.
12
BBH U.S. GOVERNMENT MONEY MARKET FUND
FINANCIAL HIGHLIGHTS (continued)
Selected per share data and ratios for an Institutional Share outstanding throughout the period.
For the | ||||||||||||||||||||||||||||
period from | ||||||||||||||||||||||||||||
For the six | July 1, | |||||||||||||||||||||||||||
months ended | 2019 to | |||||||||||||||||||||||||||
April 30, 2020 | October 31, | For the years ended June 30, | ||||||||||||||||||||||||||
(unaudited) | 2019 | 2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||||||||
Net asset value, beginning of period | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||||
Income from investment operations: | ||||||||||||||||||||||||||||
Net investment income1 | 0.01 | 0.01 | 0.02 | 0.01 | 0.002 | 0.002 | 0.002 | |||||||||||||||||||||
Distributions to shareholders: | ||||||||||||||||||||||||||||
From net investment income | (0.01 | ) | (0.01 | ) | (0.02 | ) | (0.01 | ) | 0.002 | 0.002 | 0.002 | |||||||||||||||||
From net realized gains | — | — | — | — | — | — | 0.002 | |||||||||||||||||||||
Total distributions | (0.01 | ) | (0.01 | ) | (0.02 | ) | (0.01 | ) | 0.002 | 0.002 | 0.002 | |||||||||||||||||
Net asset value, end of period | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||||
Total return | 0.58 | %3 | 0.63 | %3 | 2.02 | % | 1.06 | % | 0.22 | % | 0.02 | % | 0.01 | % | ||||||||||||||
Ratios/Supplemental data: | ||||||||||||||||||||||||||||
Net assets, end of period (in millions) | $ | 2,638 | $ | 2,040 | $ | 2,126 | $ | 1,710 | $ | 1,455 | $ | 1,605 | $ | 438 | ||||||||||||||
Ratio of expenses to average net assets before reductions | 0.25 | %4 | 0.24 | %5 | 0.24 | % | 0.26 | % | 0.24 | % | 0.25 | % | 0.26 | % | ||||||||||||||
Expense reimbursement6 | —% | —% | —% | —% | —% | 0.05 | % | 0.19 | % | |||||||||||||||||||
Expense offset arrangement | —% | —% | 0.01 | % | 0.02 | % | 0.00 | %7 | 0.00 | %7 | 0.00 | %7 | ||||||||||||||||
Ratio of expenses to average net assets after reductions | 0.25 | %4 | 0.24 | %5 | 0.23 | % | 0.24 | % | 0.24 | % | 0.20 | % | 0.07 | % | ||||||||||||||
Ratio of net investment income to average net assets | 1.14 | % | 1.86 | % | 2.02 | % | 1.07 | % | 0.21 | % | 0.03 | % | 0.01 | % |
1 | Calculated using average shares outstanding for the period. |
2 | Less than $0.01 per share. |
3 | Not Annualized. |
4 | Annualized. |
5 | Annualized with the exception of audit fees. |
6 | During the periods ended April 30, 2020 and October 31, 2019, and the years ended June 30, 2019, 2018, 2017, 2016, and 2015 the investment advisory and administrative fee/shareholder servicing fee waivers, as a result of a minimum yield agreement, were $—, $—, $—, $—, $—, $573,823, and $1,015,043, respectively. |
7 | Less than 0.01%. |
The accompanying notes are an integral part of these financial statements.
13
BBH U.S. GOVERNMENT MONEY MARKET FUND
NOTES TO FINANCIAL STATEMENTS
April 30, 2020 (unaudited)
1. Organization. The Fund is a separate series of BBH Trust (the “Trust”), which is registered under the 1940 Act, as an open-end management investment company. The Trust was originally organized as a Massachusetts business trust on June 7, 1983 and re-organized as a Delaware statutory trust on June 12, 2007. The Fund commenced operations on December 12, 1983. The Declaration of Trust permits the Board of Trustees of the Trust (the “Board”) to create an unlimited number of series, each of which may issue a separate class of shares. The Fund currently offers two classes of shares, Regular Shares and Institutional Shares. At April 30, 2020, there were seven series of the Trust. Effective July 1, 2019, the Fund changed its fiscal year end from June 30, 2019 to October 31, 2019.
2. Significant Accounting Policies. The Fund’s financial statements are prepared in accordance with Generally Accepted Accounting Principles in the United States of America (“GAAP”). The Fund is an investment company and accordingly follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board (FASB) Accounting Standard Codification Topic 946 Financial Services — Investment Companies. The following summarizes significant accounting policies of the Fund:
A. Valuation of Investments. The Fund values its investments at amortized cost, which approximates fair value. The amortized cost method values a security at its cost at the time of purchase and thereafter assumes a constant amortization to maturity of any discount or premium. The Fund’s use of amortized cost is in compliance with Rule 2a-7 of the 1940 Act. In the event that security valuations do not approximate fair value, securities may be valued as determined in accordance with procedures adopted by the Board.
B. Accounting for Investments and Income. Investment transactions are accounted for on the trade date. Realized gains and losses on investment transactions are determined based on the amortized cost method. Interest income is accrued as earned and consists of interest accrued, accretion of discount on debt securities (including both original issue and market discount) and premium amortization on the investments of the Fund.
C. Fund Expenses. Most expenses of the Trust can be directly attributed to a specific fund. Expenses which cannot be directly attributed to a fund are generally apportioned among each fund in the Trust on a net assets basis or other suitable method. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.
D. Repurchase Agreements. The Fund may enter into repurchase agreements. Repurchase agreements are transactions in which the Fund buys a security from a dealer or bank and agrees to sell the security back at a mutually agreed upon time and price. The repurchase price normally is in excess of the purchase price, reflecting an agreed upon interest rate. The rate is effective for
14
BBH U.S. GOVERNMENT MONEY MARKET FUND
NOTES TO FINANCIAL STATEMENTS (continued)
April 30, 2020 (unaudited)
the period of time that assets of the Fund are invested in the agreement and is not related to the coupon rate on the underlying security. The Fund will enter into repurchase agreements only with banks and other recognized financial institutions, such as securities dealers, deemed creditworthy by the investment adviser. The Fund’s custodian or sub-custodian will take possession of the securities subject to repurchase agreements. The investment adviser, custodian or sub-custodian will monitor the marked-to-market value of the underlying collateral each day to ensure that the value of the security always equals or exceeds the repurchase price.
Repurchase agreements 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.
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 the MRA counterparty’s bankruptcy or insolvency. Lastly, the MRA does not preclude the Fund from selling, transferring, pledging or hypothecating the underlying collateral but no such transaction shall relieve the Fund of its obligation to transfer the collateral to the counterparty upon the latter’s repurchase of the securities.
The Fund’s repurchase agreements are disclosed on a gross basis and information related to collateral, which could be offset in event of default, are shown in the Portfolio of Investments.
E. Federal Income Taxes. It is the Trust’s policy to comply with the requirements of the Internal Revenue Code (the “Code”) applicable to regulated investment companies and to distribute substantially all of its taxable income to its shareholders. Accordingly, no federal income tax provision is required. The Fund files a tax return annually using tax accounting methods required under provisions of the Code, which may differ from GAAP, which is the basis on which these financial statements are prepared. Accordingly, the amount of net investment income and net realized gain reported in these financial statements may differ from that reported on the Fund’s tax return, due to certain book-to-tax timing differences such as losses deferred due to “wash sale” transactions and utilization of capital loss carryforwards. These differences result in temporary over-distributions for financial statement purposes and are classified as distributions in excess of accumulated net realized gains or net investment income. These distributions do not constitute a return of capital. Permanent differences are reclassified between paid-in capital and retained earnings/(accumulated deficit) within the Statement of Assets & Liabilities based upon their tax classification. As such, the character of distributions to shareholders reported in the Financial Highlights table may differ from that reported to shareholders on Form 1099-DIV.
15
BBH U.S. GOVERNMENT MONEY MARKET FUND
NOTES TO FINANCIAL STATEMENTS (continued)
April 30, 2020 (unaudited)
The Fund is subject to the provisions of Accounting Standards Codification 740 Income Taxes (“ASC 740”). ASC 740 sets forth a minimum threshold for financial statement recognition of the benefit of a tax position taken or expected to be taken in a tax return. The Fund did not have any unrecognized tax benefits as of October 31, 2019, nor were there any increases or decreases in unrecognized tax benefits for the period then ended. The Fund recognizes interest and penalties, if any, related to unrecognized tax benefits as an income tax expense in the Statement of Operations. During the six months ended April 30, 2020, the Fund did not incur any such interest or penalties. The Fund is subject to examination by U.S. federal and state tax authorities for returns filed for the prior three years. The Fund is not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months.
F. Dividends and Distributions to Shareholders. Dividends and distributions from net investment income to shareholders are declared daily and paid monthly to shareholders. Distributions from net capital gains, if any, are generally declared and paid annually and are recorded on the ex-dividend date. The Fund declared dividends in the amounts of $342,163 and $13,035,201 to Regular and Institutional shareholders, respectively, during the six months ended April 30, 2020.
The tax character of distributions paid during the period ended October 31, 2019 and the year ended June 30, 2019, respectively, were as follows:
Distributions paid from: | ||||||||||||||||
Ordinary income | Net long-term capital gain | Total taxable distributions | Total Distributions paid | |||||||||||||
During the period from July 1, 2019 to October 31, 2019: | $14,148,139 | $ — | $14,148,139 | $14,148,139 | ||||||||||||
During the year ended June 30, 2019: | 45,096,606 | $ — | 45,096,606 | 45,096,606 | ||||||||||||
16
BBH U.S. GOVERNMENT MONEY MARKET FUND
NOTES TO FINANCIAL STATEMENTS (continued)
April 30, 2020 (unaudited)
As of October 31, 2019 and June 30, 2019, respectively, the components of retained earnings/(accumulated deficit) on a tax basis were as follows:
Components of retained earnings/(accumulated deficit): | |||||||||||||||||||
Undistributed ordinary income | Undistributed long-term capital gain | Accumulated capital and other losses | Other book/tax temporary differences | Unrealized appreciation/ (depreciation) | Total retained earnings/ (accumulated deficit) | ||||||||||||||
October 31, 2019: | $129,346 | $ — | $ — | $(164,535 | ) | $ — | $(35,189 | ) | |||||||||||
June 30, 2019: | 419,596 | — | (25,461 | ) | (429,946 | ) | — | (35,811 | ) |
The Fund did not have a net capital loss carryforward at October 31, 2019.
The Fund is permitted to carryforward capital losses incurred in taxable years beginning after December 22, 2010, for an unlimited period and they will retain their character as either short-term or long-term capital losses rather than being considered all short-term capital losses.
Total distributions paid may differ from the amounts shown in the Statements of Changes in Net Assets because, for tax purposes, dividends are recognized when actually paid.
There are no significant differences between book-basis and tax-basis unrealized appreciation/(depreciation) for investments for the current period.
To the extent future capital gains are offset by future capital loss carryforwards, if any, such gains will not be distributed.
G. Use of Estimates. The preparation of the financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities in the financial statements, disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of income and expense during the reporting period. Actual results could differ from these estimates.
3. Fees and Other Transactions with Affiliates.
A. Investment Advisory and Administrative Fees. Effective June 12, 2007, under a combined Investment Advisory and Administrative Services Agreement (“Agreement”) with the Trust, Brown Brothers Harriman & Co. (“BBH”) through a separately identifiable department (“SID” or “Investment
17
BBH U.S. GOVERNMENT MONEY MARKET FUND
NOTES TO FINANCIAL STATEMENTS (continued)
April 30, 2020 (unaudited)
Adviser”) provides investment advisory and portfolio management services to the Fund. BBH also provides administrative services to the Fund. The Fund pays a combined fee for investment advisory and administrative services calculated daily and paid monthly at an annual rate equivalent to 0.25% on the first $1,000,000,000 of the Fund’s average daily net assets and 0.20% of the Fund’s average daily net assets in excess of $1,000,000,000. For the six months ended April 30, 2020, the Fund incurred $2,605,069 for services under the Agreement.
B. Investment Advisory and Administrative Fee Waiver. BBH has voluntarily agreed to waive its Investment Advisory and Administrative Fee and credit daily to the Fund an amount necessary to maintain the minimum annualized yield of the Fund at 1 basis point (0.01%). The amount credited each day will offset the daily accrual of the Investment Advisory and Administrative Fee. This is a voluntary waiver that can be changed at any time at the sole discretion of BBH. For the six months ended April 30, 2020, BBH waived fees in the amount of $579 and $0 for Regular Shares and Institutional Shares, respectively.
C. Shareholder Servicing Fees. The Trust has a shareholder servicing agreement with BBH. BBH receives a fee from the Regular Shares of the Fund calculated daily and paid monthly at an annual rate of 0.20% of the Regular Shares’ average daily net assets. For the six months ended April 30, 2020, the Regular Shares of the Fund incurred $69,443 in shareholder servicing fees.
D. Shareholder Servicing Fee Waiver. BBH has voluntarily agreed to waive its Shareholder Servicing Fee for the Regular Shares only when the Investment Advisory and Administrative Fee waiver described above is not enough to maintain the minimum daily yield of the Fund at 1 basis point (0.01%). The amount credited each day will offset to the daily accrual of the Shareholder Servicing Fee. This is a voluntary waiver that can be changed at any time at the sole discretion of BBH. For the six months ended April 30, 2020, BBH did not waive any fees.
E. Custody and Fund Accounting Fees. BBH acts as a custodian and fund accountant and receives custody and fund accounting fees from the Fund calculated daily and paid monthly. BBH holds all of the Fund’s cash and investments and calculates the Fund’s daily net asset value. The custody fee is an asset and transaction based fee. The fund accounting fee is an asset based fee calculated at 0.004% per annum of average daily net assets. For the six months ended April 30, 2020, the Fund incurred $114,987 in custody and fund accounting fees. As per agreement with the Fund’s custodian, the Fund receives interest income on cash balances held by the custodian at the BBH Base Rate. The BBH Base Rate is defined as BBH’s effective trading rate in local money markets on each day. The total interest earned by the Fund under the agreement for the six months ended April 30, 2020 was $170,843. This amount is included in “Interest income” in the Statement of Operations. In the event that the Fund is overdrawn, under the custody agreement with BBH, BBH
18
BBH U.S. GOVERNMENT MONEY MARKET FUND
NOTES TO FINANCIAL STATEMENTS (continued)
April 30, 2020 (unaudited)
will make overnight loans to the Fund to cover overdrafts. Pursuant to their agreement, the Fund will pay the Federal Funds overnight investment rate on the day of the overdraft. The total interest incurred by the Fund for the six months ended April 30, 2020 was $11,780. This amount is included in the “Custody and fund accounting fees” in the Statement of Operations.
F. Board of Trustees’ Fees. Each Trustee who is not an “interested person” as defined under the 1940 Act (referred to here as an “Independent Trustee”) receives an annual fee as well as reimbursement for reasonable out-of-pocket expenses from the Fund. For the six months ended April 30, 2020, the Fund incurred $27,170 in Independent Trustee compensation and expense reimbursements.
G. Officers of the Trust. Officers of the Trust are also employees of BBH. Officers are paid no fees by the Trust for their services to the Trust.
4. Shares of Beneficial Interest. The Trust is permitted to issue an unlimited number of Regular Shares and Institutional Shares of beneficial interest, at no par value. Transactions in Regular Shares and Institutional Shares were as follows:
For the six months ended April 30, 2020 | For the period ended October 31, 2019 | |||||||||||||||
Shares | Dollars | Shares | Dollars | |||||||||||||
Regular Shares | ||||||||||||||||
Shares sold | 138,270,887 | $ | 138,270,887 | 93,758,560 | $ | 93,758,560 | ||||||||||
Shares issued in connection with reinvestments of dividends | 126,875 | 126,875 | 203,806 | 203,806 | ||||||||||||
Shares redeemed | (138,736,431 | ) | (138,736,431 | ) | (84,994,901 | ) | (84,994,901 | ) | ||||||||
Net increase (decrease) | (338,669 | ) | $ | (338,669 | ) | 8,967,465 | $ | 8,967,465 | ||||||||
Institutional Shares | ||||||||||||||||
Shares sold | 4,025,973,339 | $ | 4,025,973,339 | 2,466,327,388 | $ | 2,466,327,388 | ||||||||||
Shares issued in connection with reinvestments of dividends | 33,137 | 33,137 | 41,847 | 41,847 | ||||||||||||
Shares redeemed | (3,427,307,847 | ) | (3,427,307,847 | ) | (2,552,763,686 | ) | (2,552,763,686 | ) | ||||||||
Net increase (decrease) | 598,698,629 | $ | 598,698,629 | (86,394,451 | ) | $ | (86,394,451 | ) |
19
BBH U.S. GOVERNMENT MONEY MARKET FUND
NOTES TO FINANCIAL STATEMENTS (continued)
April 30, 2020 (unaudited)
5. Principal Risk Factors and Indemnifications.
A. Principal Risk Factors. Investing in the Fund may involve certain risks, as discussed in the Fund’s prospectus, including but not limited to, those described below:
Investments in the Fund are neither insured nor guaranteed by the U.S. Government. Shares of the Fund are not deposits or obligations of, or guaranteed by, BBH or any other bank, and the shares are neither insured nor guaranteed by the Federal Deposit Insurance Corporation, the Federal Reserve Board or any other federal, state or other governmental agency. BBH has no legal obligation to provide financial support to the Fund and you should not expect that BBH as the Fund’s sponsor will provide financial support to the Fund at any time. Although the Fund seeks to preserve the value of your investment at $1.00 per share, it is possible to lose money by investing in the Fund. Please refer to the Fund’s prospectus for a complete description of the principal risks of investing in the Fund.
The divergence of the Fund’s amortized cost price per share from its market based net asset value per share may result in the Fund’s inability to maintain a stable $1.00 NAV, resulting in material dilution or other unfair results to shareholders (stable NAV risk). In the normal course of business, the Fund invests in securities and enters into transactions where risks exist due to failure of an issuer, guarantor or counterparty to a transaction to perform (credit risk) or changes in interest rates (interest rate risk). The value of securities held by the Fund may fall due to changing political, regulatory, economic and social developments, or market conditions. Natural disasters, the spread of infectious illness and other public health emergencies, recession, terrorism and other unforeseeable events may lead to increased market volatility and may have adverse effects on world economies and markets generally (market risk). The Fund is subject to the risk that the securities selected by the investment adviser may underperform (management risk). Even though the Fund’s investments in repurchase agreements are collateralized at all times, there is some risk to the Fund if the other party to the agreement should default on its obligations (repurchase agreement risk). The Fund’s investments in certain U.S. government agency securities may not be backed by the U.S. Treasury and may be supported only by the credit of the issuer (U.S. government agency securities risk). The Fund’s shareholders may be adversely impacted by asset allocation decisions made by the Fund’s investment adviser whose discretionary clients make up a large percentage of the Fund’s shareholders (shareholder concentration risk). The Fund’s exposure to these risks with respect to these financial assets held by the Fund is reflected in their value as recorded in the Fund’s Statement of Assets and Liabilities. The U.S. Securities and Exchange Commission (the “SEC”) and other regulators may adopt additional money market fund regulations in the future, which may impact the operation and performance of the Fund (Regulatory Risk). The
20
BBH U.S. GOVERNMENT MONEY MARKET FUND
NOTES TO FINANCIAL STATEMENTS (continued)
April 30, 2020 (unaudited)
absence of an active market for the Fund’s variable and floating rate securities could make it difficult for the Fund to dispose of them if the issuer defaults (Variable and Floating Rate Instrument Risk).
Please refer to the Fund’s prospectus for a complete description of the principal risks of investing in the Fund.
B. Indemnifications. Under the Trust’s organizational documents, its officers and Trustees may be indemnified against certain liabilities and expenses arising out of the performance of their duties to the Fund, and shareholders are indemnified against personal liability for the obligations of the Trust. Additionally, in the normal course of business, the Fund enters into agreements with service providers that may contain indemnification clauses. The Fund’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Fund that have not yet occurred. The risk of material loss from such claims is considered remote.
6. Money Market Regulation. Money market funds are required to comply with SEC regulations and governing rules for money market funds. Government money market funds, such as BBH U.S. Government Money Market Fund, are permitted to continue to transact fund shares at a NAV calculated using the amortized cost valuation method. The Fund’s Board of Trustees has determined not to impose any liquidity-based redemption fees or redemption gates on the Fund as permitted by the SEC amendments. As a government money market fund, the Fund must invest 99.5% or more of its total assets in cash, government securities, and/or repurchase agreements that are collateralized fully by cash or government securities.
7. Recent Pronouncements.
A. ASU 2017-08. In March 2017, the Financial Accounting Standards Board issued an Accounting Standards Update, ASU 2017-08, Receivables — Nonrefundable Fees and Other Costs (Subtopic 310-20), Premium Amortization on Purchased Callable Debt Securities (the “ASU 2017-08”) which amends the amortization period for certain purchased callable debt securities held at a premium, shortening such period to the earliest call date. The ASU 2017-08 does not require any accounting change for debt securities held at a discount; the discount continues to be amortized to maturity. The ASU 2017-08 is effective for years, and interim periods within those years, beginning after December 15, 2018. The application of ASU 2017-08 did not have a significant impact on the Fund's financial statements.
8. Significant Events. In the beginning of 2020, there was an outbreak of the novel corona virus (COVID 19) which has impacted the financial markets and the global economy as a whole. The outbreak
21
BBH U.S. GOVERNMENT MONEY MARKET FUND
NOTES TO FINANCIAL STATEMENTS (continued)
April 30, 2020 (unaudited)
of COVID 19 is still ongoing and the magnitude and impact on the financial markets is highly uncertain and cannot be predicted. The effect of this impact may adversely impact the future carrying value of investments and results of operations of the Fund.
There are no other significant events to report as they relate to the Fund.
9. Subsequent Events. Management has evaluated events and transactions that have occurred since April 30, 2020 through the date the financial statements were issued and determined that there were none that would require recognition or additional disclosure in the financial statements.
22
BBH U.S. GOVERNMENT MONEY MARKET FUND
DISCLOSURE OF FUND EXPENSES
April 30, 2020 (unaudited)
EXAMPLE
As a shareholder of the Fund, you may incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments, reinvested distributions, or other distributions; redemption fees; and exchange fees; 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 six-months period and held for the entire period (November 1, 2019 to April 30, 2020).
ACTUAL EXPENSES
The first line of the table below provides information about actual account values and actual expenses. You may use information in this line, 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 first line under the heading entitled “Expenses Paid During the Period” to estimate the expenses you paid on your account during the period.
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
The second line of 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 during the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% Hypothetical Example with the 5% hypothetical examples that appear in the shareholder reports of other funds.
23
BBH U.S. GOVERNMENT MONEY MARKET FUND
DISCLOSURE OF FUND EXPENSES (continued)
April 30, 2020 (unaudited)
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 redemption fees or exchange fees. Therefore, the second line of 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 November 1, 2019 | Ending Account Value April 30, 2020 | Expenses Paid During Period November 1, 2019 to April 30, 20201 | ||||||||||||
Regular Shares | ||||||||||||||
Actual | $1,000 | $1,005 | $2.39 | |||||||||||
Hypothetical2 | $1,000 | $1,022 | 2.41 | |||||||||||
Beginning Account Value November 1, 2019 |
Ending Account Value April 30, 2020 | Expenses Paid During Period November 1, 2019 to April 30, 20201 | ||||||||||||
Institutional Shares | ||||||||||||||
Actual | $1,000 | $1,006 | $1.25 | |||||||||||
Hypothetical2 | $1,000 | $1,024 | $1.26 |
1 | Expenses are equal to the Fund’s annualized net expense ratio of 0.48% and 0.25% for Regular and Institutional Shares, respectively, multiplied by 182/366 (to reflect the one half-year period). |
2 | Assumes a return of 5% before expenses. For the purpose of the calculation, the applicable annualized expense ratio for each class of shares is subtracted from the assumed return before expenses. |
24
BBH U.S. GOVERNMENT MONEY MARKET FUND
DISCLOSURE OF ADVISOR SELECTION
April 30, 2020 (unaudited)
Investment Advisory and Administrative Services Agreement Approval
The 1940 Act requires that a fund’s investment advisory agreements be approved annually by the fund’s board of trustees, including by a majority of the trustees who are not parties to the investment advisory agreements or “interested persons” of any party (“Independent Trustees”). Additionally, the approval must occur at an in-person meeting called for the purpose of voting on such approval.
The Board, a majority of which is comprised of Independent Trustees, held a telephonic meeting on November 20, 2019 and an in-person meeting on December 10, 2019, to consider whether to renew the combined Amended and Restated Investment Advisory and Administrative Services Agreement (the “Agreement”) between the Trust and the Investment Adviser with respect to the existing funds in the Trust, including the Fund. At the December 10, 2019 meeting, the Board voted to approve the renewal of the Agreement with respect to the Fund for an additional one-year term. In doing so, the Board determined that the terms of the Agreement were fair and reasonable and in the best interest of the Fund and its shareholders, and that it had received sufficient information to make an informed business decision with respect to the continuation of the Agreement.
Both in the meetings specifically held to address the continuance of the Agreement and at other meetings over the course of the year, the Board requested, received and assessed a variety of materials provided by the Investment Adviser and BBH, including, among other things, information about the nature, extent and quality of the services provided to the Fund by the Investment Adviser and BBH, including investment management, administrative and shareholder services, the oversight of Fund service providers, marketing, risk oversight, compliance, and the ability to meet applicable legal and regulatory requirements. The Board also received comparative performance and fee and expense information for the Fund prepared by Broadridge Financial Solutions, Inc. using data from Lipper Inc. (“Lipper”), an independent provider of investment company data (“Lipper Report”). The Board reviewed this report with both counsel to the Trust (“Fund Counsel”) and BBH. The Board received from, and discussed with, Fund Counsel a memorandum regarding the responsibilities of trustees for the approval of investment advisory agreements under the 1940 Act, as well as the guidance provided in Gartenburg v. Merrill Lynch Asset Management, Inc., which was affirmed in Jones v. Harris Associates, L.P. In addition, the Board met in executive session outside the presence of Fund management.
The following is a summary of the factors the Board considered in making its determination to approve the continuance of the Agreement. No single factor reviewed by the Board was identified as the principal factor in determining whether to approve the Agreement, and individual Trustees may have given different weight to various factors. The Board reviewed these factors with Fund Counsel. The Board concluded that the fees paid by the Fund to the Investment Adviser were reasonable based on the comparative performance, expense information, the cost of the services provided and the profits realized by the Investment Adviser.
25
BBH U.S. GOVERNMENT MONEY MARKET FUND
DISCLOSURE OF ADVISOR SELECTION (continued)
April 30, 2020 (unaudited)
Nature, Extent and Quality of Services
The Board noted that, under the Agreement and with respect to the Fund, the Investment Adviser, subject to the supervision of the Board, is responsible for providing a continuous investment program and making purchases and sales of portfolio securities consistent with the Fund’s investment objective and policies. The Board further noted that, as a combined investment advisory and administration agreement, the Agreement also contemplates the provision of administrative services by the Investment Adviser to the Fund within the same fee structure. The Board received and considered information, during the December meeting, and over the course of the previous year, regarding the nature, extent and quality of services provided to the Fund by BBH Investment Adviser including: portfolio management, supervision of operations and compliance, preparation of regulatory filings, disclosures to Fund shareholders, general oversight of service providers, organizing Board meetings and preparing the materials for such Board meetings, assistance to the Board, including the Independent Trustees in their capacity as Trustees, legal and Chief Compliance Officer services for the Trust, and other services necessary for the operation of the Fund. The Board considered the resources of the Investment Adviser and BBH, as a whole, dedicated to the Fund noting that, pursuant to separate agreements, BBH also provides custody, shareholder servicing, and fund accounting services to the Fund. The Board considered the depth and range of services provided pursuant to the Agreement, noting that the Investment Adviser also coordinates the provision of services to the Fund by affiliated and nonaffiliated service providers.
The Board considered the scope and quality of services provided by the Investment Adviser under the Agreement. The Board reviewed the qualifications of the key investment personnel primarily responsible for the day-to-day portfolio management of the Fund. The Board also considered the policies and practices followed by BBH and the Investment Adviser. The Board noted that, during the course of its regular meetings, it received reports on each of the foregoing topics. The Board concluded that, overall, they were satisfied with the nature, extent and quality of investment advisory and administrative services provided, and expected to be provided, to the Fund pursuant to the Agreement.
Fund Performance
At the November and December meetings, and throughout the year, the Board received and reviewed detailed performance information for the Fund. As part of this review, the Trustees considered the composition of the peer category, selection criteria and the reputation of Broadridge, who prepared the peer category analysis. The Board reviewed and discussed, with both BBH Broadridge, the report’s findings and discussed the positioning of the Fund relative to its peer category. The Board considered short-term and long-term investment performance for the Fund over various periods of time as compared to a selection of peer funds, noting the Fund’s average performance as compared to its peer category for the 1-, 2-, 3-, 4-, 5- and 10-year periods. In evaluating the performance of the Fund, the Board considered risk expectations for the Fund in light of relevant regulatory and market factors and in the context of Fund expenses and the Investment Adviser’s profitability.
26
BBH U.S. GOVERNMENT MONEY MARKET FUND
DISCLOSURE OF ADVISOR SELECTION (continued)
April 30, 2020 (unaudited)
Costs of Services Provided and Profitability
The Board considered the fee rates paid by the Fund to the Investment Adviser in light of the nature, extent and quality of the services provided to the Fund. The Board also considered and reviewed the voluntary fee waiver arrangement that was in place for the Fund and considered the actual fee rates, after taking into account the waiver. The Board received and considered information comparing the Fund’s combined investment advisory and administration fee and the Fund’s net operating expenses with those of other comparable mutual funds, such peer group and comparisons having been selected and calculated by Broadridge. As part of this review, the Board noted the differences between the Fund’s total net expenses as compared to those of other comparable mutual funds, due to the timing of the Fund’s transition, as compared to that of other Funds, from a prime money market fund to a government money market fund in 2016. The Board recognized that it was difficult to make comparisons of fee rates, or of combined advisory and administration fees, because there are variations in the services that are included in the fees paid by other funds, as well as the timing of other funds’ transitions from prime money market funds to a government money market fund. The Board concluded that the advisory and administration fee appeared to be both reasonable in light of the services rendered and the result of arm’s length negotiations.
With regard to profitability, the Trustees considered the compensation and benefits flowing to the Adviser and BBH, directly or indirectly. The Board reviewed the Investment Adviser and BBH’s profitability data for the Fund for the nine-months ended September 30, 2019, and for each of the prior ten years. The data also included the effect of revenue generated by the shareholder servicing, custody and fund accounting fees paid by the Fund to BBH. The Board noted the information was consistent when compared to the previous year. The Board also reviewed the expense allocation methods used in preparing the profitability data. The Board considered the effect of fall-out benefits on the expenses of the Investment Adviser and BBH. The Board considered other benefits received by BBH and the Investment Adviser as a result of their relationships with the Fund. The Board concluded that the Investment Adviser and BBH’s profitability were not excessive in light of the nature, extent and quality of services provided to the Fund.
Economies of Scale
The Board also considered the existence of economies of scale and whether those economies are passed along to the Fund’s shareholders through a graduated investment advisory fee schedule or other means, including any fee waivers by the Investment Adviser and BBH. The Board considered the fee schedule for the Fund, noting the existence of a graduated investment advisory fee and the voluntary fee waiver. Based on information it had been provided over many years, the Board observed that in the mutual fund industry as a whole, as well as among funds similar to the Fund, there appeared to be no uniformity or pattern in the fees and asset levels at which breakpoints apply. In light of the Fund’s current size and expense structure, the Board concluded that the current breakpoints for the Fund were reasonable. The Board concluded that the fees paid by the Fund to the Investment Adviser were reasonable based on the comparative performance, expense information, the cost of the services provided and the profits to be realized by the Investment Adviser.
27
BBH U.S. GOVERNMENT MONEY MARKET FUND
CONFLICTS OF INTEREST
April 30, 2020 (unaudited)
Conflicts of Interest
BBH, including the Investment Adviser, provides discretionary and non-discretionary investment management services and products to corporations, institutions and individual investors throughout the world. As a result, in the ordinary course of its businesses, BBH, including the Investment Adviser, may engage in activities in which its interests or the interests of its clients may conflict with or be adverse to the interests of the Funds. In addition, certain of such clients (including the Funds) utilize the services of BBH for which they will pay to BBH customary fees and expenses that will not be shared with the Funds.
The Investment Adviser and the Sub-Adviser have adopted and implemented policies and procedures that seek to manage conflicts of interest. Pursuant to such policies and procedures, the Investment Adviser and the Sub-Adviser monitor a variety of areas, including compliance with fund investment guidelines, the investment in only those securities that have been approved for purchase, and compliance with their respective Code of Ethics.
The Trust also manages these conflicts of interest. For example, the Trust has designated a chief compliance officer and has adopted and implemented policies and procedures designed to manage the conflicts identified below and other conflicts that may arise in the course of the Funds’ operations in such a way as to safeguard the Funds from being negatively affected as a result of any such potential conflicts. From time to time, the Trustees receive reports from the Investment Adviser, the Sub-Adviser and the Trust’s chief compliance officer on areas of potential conflict.
Investors should carefully review the following, which describes potential and actual conflicts of interest that BBH, the Investment Adviser and Sub-Adviser can face in the operation of their respective investment management services. This section is not, and is not intended to be, a complete enumeration or explanation of all of the potential conflicts of interest that may arise. The Investment Adviser, the Sub-Adviser and the Funds have adopted policies and procedures reasonably designed to appropriately prevent, limit or mitigate the conflicts of interest described below. Additional information about potential conflicts of interest regarding the Investment Adviser is set forth in the Investment Adviser’s Form ADV. A copy of Part 1 and Part 2A of the Investment Adviser’s Form ADV is available on the SEC’s website (www.adviserinfo.sec.gov). In addition, many of the activities that create these conflicts of interest are limited and/or prohibited by law, unless an exception is available.
Other Clients and Allocation of Investment Opportunities. BBH, the Investment Adviser, and the Sub-Adviser manage funds and accounts of clients other than the Funds (“Other Clients”). In general, BBH, the Investment Adviser, and the Sub-Adviser face conflicts of interest when they render investment advisory services to different clients and, from time to time, provide dissimilar investment advice to different clients. Investment decisions will not necessarily be made in parallel among the Funds and Other Clients. Investments made by the Funds do not, and are not intended to, replicate the investments, or the
28
BBH U.S. GOVERNMENT MONEY MARKET FUND
CONFLICTS OF INTEREST (continued)
April 30, 2020 (unaudited)
investment methods and strategies, of Other Clients. Accordingly, such Other Clients’ accounts may produce results that are materially different from those experienced by the Funds. Certain other conflicts of interest may arise in connection with a portfolio manager’s management of the Funds’ investments, on the one hand, and the investments of other funds or accounts for which the portfolio manager is responsible, on the other. For example, it is possible that the various funds or accounts managed by the Investment Adviser or Sub-Adviser could have different investment strategies that, at times, might conflict with one another to the possible detriment of the Funds. From time to time, the Investment Adviser and Sub-Adviser, sponsor and with other investment pools and accounts which engage in the same or similar businesses as the Funds using the same or similar investment strategies. To the extent that the same investment opportunities might be desirable for more than one account or fund, possible conflicts could arise in determining how to allocate them because the Investment Adviser or Sub-Adviser may have an incentive to allocate investment opportunities to certain accounts or funds. However, BBH and the Sub-Adviser have implemented policies and procedures designed to ensure that information relevant to investment decisions is disseminated promptly within its portfolio management teams and investment opportunities are allocated equitably among different clients. The policies and procedures require, among other things, objective allocation for limited investment opportunities, and documentation and review of justifications for any decisions to make investments only for select accounts or in a manner disproportionate to the size of the account. Nevertheless, access to investment opportunities may be allocated differently among accounts due to the particular characteristics of an account, such as size of the account, cash position, tax status, risk tolerance and investment restrictions or for other reasons.
Actual or potential conflicts of interest may also arise when a portfolio manager has management responsibilities to multiple accounts or funds, resulting in unequal commitment of time and attention to the portfolio management of the funds or accounts.
Affiliated Service Providers. Other potential conflicts might include conflicts between the Funds and its affiliated and unaffiliated service providers (e.g. conflicting duties of loyalty). In addition to providing investment management services through the SID, BBH provides administrative, custody, shareholder servicing and fund accounting services to the Funds. BBH may have conflicting duties of loyalty while servicing the Funds and/or opportunities to further its own interest to the detriment of the Funds. For example, in negotiating fee arrangements with affiliated service providers, BBH may have an incentive to agree to higher fees than it would in the case of unaffiliated providers. BBH acting in its capacity as the Funds’ administrator is the primary valuation agent of the Funds. BBH values securities and assets in the Funds according to the Funds’ valuation policies. Because the Investment Adviser’s advisory and administrative fees are calculated by reference to the Funds’ net assets, BBH and its affiliates may have an incentive to seek to overvalue certain assets.
29
BBH U.S. GOVERNMENT MONEY MARKET FUND
CONFLICTS OF INTEREST (continued)
April 30, 2020 (unaudited)
Aggregation. Potential conflicts of interest also arise with the aggregation of trade orders. Purchases and sales of securities for the Funds may be aggregated with orders for other client accounts managed by the Sub-Adviser. The Sub-Adviser, however, is not required to aggregate orders if portfolio management decisions for different accounts are made separately, or if it is determined that aggregating is not practicable, or in cases involving client direction. Prevailing trading activity frequently may make impossible the receipt of the same price or execution on the entire volume of securities purchased or sold. When this occurs, the various prices may be averaged, and the Funds will be charged or credited with the average price. Thus, the effect of the aggregation may operate on some occasions to the disadvantage of the Funds. In addition, under certain circumstances, the Funds will not be charged the same commission or commission equivalent rates in connection with an aggregated order.
Cross Trades. Under certain circumstances, the Investment Adviser and/or the Sub-Adviser, on behalf of the Funds, may seek to buy from or sell securities to another fund or account advised by BBH, the Investment Adviser or the Sub-Adviser. Subject to applicable law and regulation, BBH, the Investment Adviser or the Sub-Adviser may (but is not required to) effect purchases and sales between BBH, the Investment Adviser or the Sub-Adviser’s clients (“cross trades”), including the Funds, if BBH, the Investment Adviser or the Sub-Adviser believe such transactions are appropriate based on each party’s investment objectives and guidelines. There may be potential conflicts of interest or regulatory issues relating to these transactions which could limit the Investment Adviser or the Sub-Adviser’s decision to engage in these transactions for the Funds. BBH, the Investment Adviser and/or the Sub-Adviser may have a potentially conflicting division of loyalties and responsibilities to the parties in such transactions.
Soft Dollars. The Investment Adviser may direct brokerage transactions and/or payment of a portion of client commissions (“soft dollars”) to specific brokers or dealers or other providers to pay for research or other appropriate services which provide, in the Investment Adviser’s view, appropriate assistance in the investment decision-making process (including with respect to futures, fixed price offerings and over-the-counter transactions). The use of a broker that provides research and securities transaction services may result in a higher commission than that offered by a broker who does not provide such services. The Investment Adviser will determine in good faith whether the amount of commission is reasonable in relation to the value of research and services provided and whether the services provide lawful and appropriate assistance in its investment decision-making responsibilities.
Research or other services obtained in this manner may be used in servicing any or all of the Funds and other accounts managed by the Investment Adviser, including in connection with accounts that do not pay commissions to the broker related to the research or other service arrangements. Such products and services may disproportionately benefit other client accounts relative to the Funds based on the amount of brokerage commissions paid by the Funds and such other accounts. To the extent that the Sub-Adviser uses soft dollars, it will not have to pay for those products and services itself.
30
BBH U.S. GOVERNMENT MONEY MARKET FUND
CONFLICTS OF INTEREST (continued)
April 30, 2020 (unaudited)
BBH may receive research that is bundled with the trade execution, clearing, and/or settlement services provided by a particular broker-dealer. To the extent that the Sub-Adviser receives research on this basis, many of the same conflicts related to traditional soft dollars may exist. For example, the research effectively will be paid by client commissions that also will be used to pay for the execution, clearing, and settlement services provided by the broker-dealer and will not be paid by the Sub-Adviser.
Arrangements regarding compensation and delegation of responsibility may create conflicts relating to selection of brokers or dealers to execute Fund portfolio trades and/or specific uses of commissions from Fund portfolio trades, administration of investment advice and valuation of securities.
Investments in BBH Funds. From time to time BBH may invest a portion of the assets of its discretionary investment advisory clients in the Funds. That investment by BBH on behalf of its discretionary investment advisory clients in the Funds may be significant at times.
Increasing a Fund’s assets may enhance investment flexibility and diversification and may contribute to economies of scale that tend to reduce the Funds’ expense ratio. In selecting the Funds for its discretionary investment advisory clients, BBH may limit its selection to funds managed by BBH or the Investment Adviser. BBH may not consider or canvass the universe of unaffiliated investment companies available, even though there may be unaffiliated investment companies that may be more appropriate or that have superior performance. BBH, the Investment Adviser and their affiliates providing services to the Funds benefit from additional fees when the Funds is included as an investment by a discretionary investment advisory client.
BBH reserves the right to redeem at any time some or all of the shares of the Funds acquired for its discretionary investment advisory clients’ accounts. A large redemption of shares of the Funds by BBH on behalf of its discretionary investment advisory clients could significantly reduce the asset size of the Funds, which might have an adverse effect on the Funds’ investment flexibility, portfolio diversification and expense ratio.
Valuation. When market quotations are not readily available, or are believed by BBH to be unreliable, the Funds’ investments will be valued at fair value by BBH pursuant to procedures adopted by the Funds’ Board of Trustees. When determining an asset’s “fair value”, BBH seeks to determine the price that a Fund might reasonably expect to receive from the current sale of that asset in an arm’s-length transaction. The price generally may not be determined based on what the Funds might reasonably expect to receive for selling an asset at a later time or if it holds the asset to maturity. While fair value determinations will be based upon all available factors that BBH deems relevant at the time of the determination and may be based on analytical values determined by BBH using proprietary or third-party valuation models, fair value represents only a good faith approximation of the value of a security. The fair value of one or more
31
BBH U.S. GOVERNMENT MONEY MARKET FUND
CONFLICTS OF INTEREST (continued)
April 30, 2020 (unaudited)
securities may not, in retrospect, be the price at which those assets could have been sold during the period in which the particular fair values were used in determining the Funds’ net asset value. As a result, the Funds’ sale or redemption of its shares at net asset value, at a time when a holding or holdings are valued by BBH (pursuant to Board-adopted procedures) at fair value, may have the effect of diluting or increasing the economic interest of existing shareholders.
Referral Arrangements. BBH may enter into advisory and/or referral arrangements with third parties. Such arrangements may include compensation paid by BBH to the third party. BBH may pay a solicitation fee for referrals and/or advisory or incentive fees. BBH may benefit from increased amounts of assets under management.
Personal Trading. BBH, including the Investment Adviser, and any of their respective partners, principals, directors, officers, employees, affiliates or agents, face conflicts of interest when transacting in securities for their own accounts because they could benefit by trading in the same securities as the Funds, which could have an adverse effect on the Funds. However, the Investment Adviser has implemented policies and procedures concerning personal trading by BBH Partners and employees. The policy and procedures are intended to prevent BBH Partners and employees from trading in the same securities as the Funds. However, BBH, including the Investment Adviser, has implemented policies and procedures concerning personal trading by BBH Partners and employees. The policies and procedures are intended to prevent BBH Partners and employees with access to Fund material non-public information from trading in the same securities as the Funds.
Gifts and Entertainment. From time to time, employees of BBH, including the Investment Adviser, and any of their respective partners, principals, directors, officers, employees, affiliates or agents, may receive gifts and/or entertainment from clients, intermediaries, or service providers to the Funds or BBH, including the Investment Adviser, which could have the appearance of affecting or may potentially affect the judgment of the employees, or the manner in which they conduct business. The Investment Adviser has implemented policies and procedures concerning gifts and entertainment to mitigate any impact on the judgment of BBH Partners and employees. BBH, including the Investment Adviser, has implemented policies and procedures concerning gifts and entertainment to mitigate any impact on the judgment of BBH Partners and employees.
32
Administrator | Investment Adviser |
Brown Brothers Harriman & Co. | Brown Brothers Harriman |
140 Broadway | Mutual Fund Advisory |
New York, NY 10005 | Department |
140 Broadway | |
Distributor | New York, NY 10005 |
ALPS Distributors, Inc. | |
1290 Broadway, Suite 1100 | |
Denver, CO 80203 | |
Shareholder Servicing Agent | |
Brown Brothers Harriman & Co. | |
140 Broadway | |
New York, NY 10005 | |
1-800-575-1265 | |
To obtain information or make shareholder inquiries: | |
By telephone: | Call 1-800-575-1265 |
By E-mail send your request to: | bbhfunds@bbh.com |
On the internet: | www.bbhfunds.com |
This report is submitted for the general information of shareholders and is not authorized for distribution to prospective investors unless preceded or accompanied by an effective prospectus. Nothing herein contained is to be considered an offer of sale or a solicitation of an offer to buy shares of the Fund.
For more complete information, visit www.bbhfunds.com for a prospectus. You should consider the Fund’s investment objectives, risks, charges and expenses carefully before you invest. Information about these and other important subjects is in the Fund’s prospectus, which you should read carefully before investing.
Holdings and allocations are subject to change. Fund holdings should not be relied on in making investment decisions and should not be construed as research or investment advice regarding particular securities. Current and future holdings are subject to risk.
The Fund files detailed month-end portfolio holdings information on Form N-MFP with the SEC each month and posts a complete schedule of portfolio holdings on its website (bbhfunds.com) as of each month-end for the previous six months. The Fund’s Forms N-MFP is available electronically on the SEC’s website (sec.gov). For a complete list of a fund’s portfolio holdings, view the most recent holdings listing, semi-annual report, or annual report on the Fund’s web site at http://www.bbhfunds.com.
A summary of the Fund’s Proxy Voting Policy that the Fund uses to determine how to vote proxies, if any, relating to securities held in the Fund’s portfolio, as well as a record of how the Fund voted any such proxies during the most recent 12-month period ended June 30, is available, without charge, upon request by calling the toll-free number listed above. This information is also available on the SEC’s website at www.sec.gov.
NOT FDIC INSURED NO BANK GUARANTEE MAY LOSE VALUE
Item 2. Code of Ethics.
Not required for this semi-annual report on Form N-CSR.
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Item 3. Audit Committee Financial Expert.
Not required for this semi-annual report on Form N-CSR.
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Item 4. Principal Accountant Fees and Services.
Not required for this semi-annual report on Form N-CSR.
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Item 5. Audit Committee of Listed Registrants.
(a) | Not required for this semi-annual report on Form N-CSR.
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(b) | Not required. |
Item 6. Investments.
(a) | This schedule is included as part of the report to shareholders filed under Item 1 of this Form N-CSR.
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(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.
Not applicable. |
Item 11. Controls and Procedures.
(a) | The Registrant’s principal executive and financial officers 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”)) are effective, as of a date within 90 days of the filing date of this Form N-CSR, based on their evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended (the “Exchange Act”).
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(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) that occurred during the Registrant's second fiscal quarter of the period covered by this Form N-CSR, that have materially affected, or are reasonably likely to materially affect, the Registrant's internal control over financial reporting. |
Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.
Not applicable. |
Item 13. Exhibits.
(a)(1) | Not required for this semi-annual report on Form N-CSR.
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(a)(2) | Certifications required by Rule 30a-2(a) under the 1940 Act and Section 302 of the Sarbanes-Oxley Act of 2002 are filed as Exhibit 12(a)(2) to this Form N-CSR.
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(a)(3) | Not applicable. |
(b) | Certifications required by Rule 30a-2(b) under the 1940 Act and Section 906 of the Sarbanes-Oxley Act of 2002 are furnished as Exhibit 12(b) to this Form N-CSR. |
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) BBH Trust
By: (Signature and Title)
/s/ Jean-Pierre Paquin
Jean-Pierre Paquin
Title: President (Principal Executive Officer)
Date: July 8, 2020
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/ Jean-Pierre Paquin
Jean-Pierre Paquin
Title: President (Principal Executive Officer)
Date: July 8, 2020
By: (Signature and Title)
/s/ Charles H. Schreiber
Charles H. Schreiber
Title: Treasurer (Principal Financial Officer)
Date: July 8, 2020