BBH PARTNER FUND - SELECT SHORT TERM ASSETS
PORTFOLIO OF INVESTMENTS
January 31, 2022 (unaudited)
Principal | Maturity | Interest | ||||||||||
Amount | Date | Rate | Value | |||||||||
ASSET BACKED SECURITIES (19.9%) | ||||||||||||
$ | 2,950,000 | Atalaya Equipment Leasing Trust 21-1 2021-1A1 | 05/15/26 | 1.230 | % | $ | 2,933,443 | |||||
800,000 | BMW Vehicle Lease Trust 2022-1 | 05/28/24 | 0.670 | 798,518 | ||||||||
2,480,000 | California Street CLO IX LP 2012-9A (3-Month USD-LIBOR + 1.100%)1,2 | 07/16/32 | 1.341 | 2,480,751 | ||||||||
1,830,000 | Carlyle Global Market Strategies CLO, Ltd. 2012-4A (3- Month USD-LIBOR + 1.080%)1,2 | 04/22/32 | 1.339 | 1,827,168 | ||||||||
3,000,000 | Credit Acceptance Auto Loan Trust 2021-2A1 | 02/15/30 | 0.960 | 2,958,681 | ||||||||
2,558,981 | Dell Equipment Finance Trust 2019-21 | 10/22/24 | 1.910 | 2,567,422 | ||||||||
3,758,931 | Donlen Fleet Lease Funding 2 LLC 2021-21 | 12/11/34 | 0.560 | 3,733,469 | ||||||||
117,564 | Drive Auto Receivables Trust 2021-1 | 12/15/23 | 0.360 | 117,549 | ||||||||
1,500,000 | Drive Auto Receivables Trust 2021-3 | 01/15/25 | 0.520 | 1,495,905 | ||||||||
2,830,000 | Dryden 72 CLO, Ltd. 2019-72A (3-Month USD-LIBOR + 1.080%)1,2 | 05/15/32 | 1.236 | 2,828,394 | ||||||||
1,287,836 | Enterprise Fleet Financing LLC 2019-21 | 02/20/25 | 2.290 | 1,294,331 | ||||||||
1,975,140 | Foursight Capital Automobile Receivables Trust 2021-11 | 08/15/24 | 0.400 | 1,974,238 | ||||||||
2,066,132 | FREED ABS Trust 2021-1CP1 | 03/20/28 | 0.660 | 2,062,874 | ||||||||
880,000 | GM Financial Consumer Automobile Receivables Trust 2022-1 | 02/18/25 | 0.760 | 878,212 | ||||||||
6,000,000 | Madison Park Funding XXV, Ltd. 2017-25A (3-Month USD- LIBOR + 0.970%)1,2 | 04/25/29 | 1.228 | 6,004,688 | ||||||||
5,100,000 | Neuberger Berman Loan Advisers CLO 25, Ltd. 2017-25A (3- Month USD-LIBOR + 0.930%)1,2 | 10/18/29 | 1.171 | 5,101,530 | ||||||||
5,000,000 | Northwoods Capital XVII, Ltd. 2018-17A (3-Month USD- LIBOR + 1.060%)1,2 | 04/22/31 | 1.319 | 4,985,994 | ||||||||
1,850,000 | Octagon Investment Partners 20-R, Ltd. 2019-4A (3-Month USD-LIBOR + 1.150%)1,2 | 05/12/31 | 1.304 | 1,849,084 | ||||||||
1,820,000 | OnDeck Asset Securitization Trust III LLC 2021-1A1 | 05/17/27 | 1.590 | 1,782,441 | ||||||||
2,215,020 | Oscar US Funding XII LLC 2021-1A1 | 03/11/24 | 0.400 | 2,190,532 | ||||||||
1,230,000 | Parliament CLO II, Ltd. 2021-2A (3-Month USD-LIBOR + 1.350%)1,2 | 08/20/32 | 1.510 | 1,230,793 | ||||||||
2,750,000 | Pawneee Equipment Receivables LLC Series 2021-11 | 07/15/27 | 1.100 | 2,717,651 | ||||||||
1,344,409 | United Auto Credit Securitization Trust 2021-11 | 07/10/23 | 0.340 | 1,344,053 | ||||||||
3,833,197 | Westlake Automobile Receivables Trust 2021-1A1 | 10/15/24 | 0.390 | 3,826,185 | ||||||||
Total Asset Backed Securities (Cost $59,200,673) | 58,983,906 | |||||||||||
COMMERCIAL MORTGAGE BACKED SECURITIES (5.5%) | ||||||||||||
3,340,538 | ACRE Commercial Mortgage, Ltd. 2021-FL4 (1-Month USD- LIBOR + 0.830%)1,2 | 12/18/37 | 0.933 | 3,324,971 | ||||||||
5,550,000 | BXMT, Ltd. 2020-FL2 (30-Day SOFR + 1.014%)1,2 | 02/15/38 | 1.064 | 5,523,915 | ||||||||
2,110,000 | MHC Commercial Mortgage Trust 2021-MHC (1-Month USD- LIBOR + 0.801%)1,2 | 04/15/38 | 0.907 | 2,101,960 |
BBH PARTNER FUND - SELECT SHORT TERM ASSETS
PORTFOLIO OF INVESTMENTS (continued)
January 31, 2022 (unaudited)
Principal | Maturity | Interest | ||||||||||
Amount | Date | Rate | Value | |||||||||
COMMERCIAL MORTGAGE BACKED SECURITIES (continued) | ||||||||||||
5,346,777 | PFP, Ltd. 2021-7 (1-Month USD-LIBOR + 0.850%)1,2 | 04/14/38 | 0.956 | % | $ | 5,334,587 | ||||||
Total Commercial Mortgage Backed Securities (Cost $16,346,134) | 16,285,433 | |||||||||||
CORPORATE BONDS (41.6%) | ||||||||||||
AEROSPACE/DEFENSE (1.8%) | ||||||||||||
5,255,000 | Boeing Co. | 10/30/22 | 2.200 | 5,297,892 | ||||||||
AUTO MANUFACTURERS (1.8%) | ||||||||||||
2,950,000 | Daimler Trucks Finance North America LLC1 | 12/14/23 | 1.125 | 2,920,786 | ||||||||
2,515,000 | Toyota Motor Credit Corp. (SOFR + 0.350%)2 | 06/13/23 | 0.400 | 2,515,000 | ||||||||
5,435,786 | ||||||||||||
BANKS (9.3%) | ||||||||||||
5,395,000 | BNZ International Funding, Ltd., London Branch1 | 03/01/23 | 3.375 | 5,519,614 | ||||||||
3,335,000 | Canadian Imperial Bank of Commerce | 12/14/23 | 0.500 | 3,267,490 | ||||||||
5,580,000 | HSBC Holdings Plc (3-Month USD-LIBOR + 1.055%)2 | 03/13/23 | 3.262 | 5,593,394 | ||||||||
2,000,000 | JPMorgan Chase & Co. | 09/23/22 | 3.250 | 2,031,524 | ||||||||
1,960,000 | JPMorgan Chase & Co. (SOFR + 0.580%)2 | 03/16/24 | 0.697 | 1,945,548 | ||||||||
5,640,000 | KeyBank NA | 03/10/23 | 1.250 | 5,641,728 | ||||||||
1,615,000 | Santander Holdings USA, Inc. | 03/28/22 | 3.700 | 1,618,926 | ||||||||
2,000,000 | Westpac Banking Corp. | 06/28/22 | 2.500 | 2,015,972 | ||||||||
27,634,196 | ||||||||||||
BIOTECHNOLOGY (0.4%) | ||||||||||||
1,312,000 | Gilead Sciences, Inc. | 09/29/23 | 0.750 | 1,297,543 | ||||||||
COMPUTERS (1.8%) | ||||||||||||
5,000,000 | Hewlett Packard Enterprise Co. | 10/02/23 | 4.450 | 5,223,929 | ||||||||
DIVERSIFIED FINANCIAL SERVICES (3.1%) | ||||||||||||
1,045,000 | AerCap Ireland Capital DAC/AerCap Global Aviation Trust | 10/29/24 | 1.750 | 1,028,266 | ||||||||
2,500,000 | American Express Co. | 05/20/22 | 2.750 | 2,511,126 | ||||||||
5,510,000 | Capital One Financial Corp. | 05/11/23 | 2.600 | 5,582,955 | ||||||||
9,122,347 | ||||||||||||
ELECTRIC (3.9%) | ||||||||||||
2,000,000 | Alexander Funding Trust1 | 11/15/23 | 1.841 | 1,991,288 | ||||||||
3,655,000 | New York State Electric & Gas Corp. | 05/01/23 | 5.750 | 3,840,874 | ||||||||
1,125,000 | NextEra Energy Capital Holdings, Inc. | 03/01/23 | 0.650 | 1,120,050 | ||||||||
4,590,000 | Southern California Edison Co. | 04/01/24 | 1.100 | 4,528,565 | ||||||||
11,480,777 | ||||||||||||
HEALTHCARE-PRODUCTS (0.5%) | ||||||||||||
1,350,000 | Zimmer Biomet Holdings, Inc. | 04/01/22 | 3.150 | 1,352,699 | ||||||||
INSURANCE (7.7%) | ||||||||||||
5,250,000 | Athene Global Funding1 | 07/01/22 | 3.000 | 5,299,882 |
BBH PARTNER FUND - SELECT SHORT TERM ASSETS
PORTFOLIO OF INVESTMENTS (continued)
January 31, 2022 (unaudited)
Principal | Maturity | Interest | ||||||||||
Amount | Date | Rate | Value | |||||||||
CORPORATE BONDS (continued) | ||||||||||||
INSURANCE (continued) | ||||||||||||
$ | 1,735,000 | Enstar Group, Ltd. | 03/10/22 | 4.500 | % | $ | 1,739,171 | |||||
1,600,000 | Five Corners Funding Trust1 | 11/15/23 | 4.419 | 1,675,215 | ||||||||
5,625,000 | Guardian Life Global Funding1 | 05/08/22 | 2.500 | 5,655,033 | ||||||||
5,760,000 | New York Life Global Funding1 | 10/21/23 | 0.400 | 5,677,025 | ||||||||
3,000,000 | Northwestern Mutual Global Funding1 | 03/25/24 | 0.600 | 2,931,477 | ||||||||
22,977,803 | ||||||||||||
INVESTMENT COMPANIES (0.6%) | ||||||||||||
1,750,000 | Ares Capital Corp. | 02/10/23 | 3.500 | 1,783,771 | ||||||||
MACHINERY-CONSTRUCTION & MINING (1.9%) | ||||||||||||
5,605,000 | Caterpillar Financial Services Corp. | 09/06/22 | 1.900 | 5,646,003 | ||||||||
MEDIA (1.4%) | ||||||||||||
4,000,000 | Sky, Ltd.1 | 11/26/22 | 3.125 | 4,070,281 | ||||||||
OIL & GAS (3.9%) | ||||||||||||
5,670,000 | Chevron Corp. | 06/24/23 | 3.191 | 5,806,430 | ||||||||
5,605,000 | Exxon Mobil Corp. | 04/15/23 | 1.571 | 5,632,389 | ||||||||
11,438,819 | ||||||||||||
PHARMACEUTICALS (1.7%) | ||||||||||||
2,500,000 | AbbVie, Inc. | 11/06/22 | 2.900 | 2,534,793 | ||||||||
2,500,000 | AbbVie, Inc. | 11/21/22 | 2.300 | 2,525,566 | ||||||||
5,060,359 | ||||||||||||
SEMICONDUCTORS (0.7%) | ||||||||||||
2,000,000 | QUALCOMM, Inc. | 01/30/23 | 2.600 | 2,030,406 | ||||||||
SOFTWARE (1.1%) | ||||||||||||
3,345,000 | Oracle Corp. | 05/15/22 | 2.500 | 3,353,133 | ||||||||
Total Corporate Bonds | ||||||||||||
(Cost $124,143,406) | 123,205,744 | |||||||||||
RESIDENTIAL MORTGAGE BACKED SECURITIES (1.5%) | ||||||||||||
4,354,279 | RESIMAC Premier 2021-1A (1-Month USD-LIBOR + 0.700%)1,2 | 07/10/52 | 0.804 | 4,341,336 | ||||||||
Total Residential Mortgage Backed Securities | ||||||||||||
(Cost $4,354,278) | 4,341,336 | |||||||||||
U.S. TREASURY BILLS (31.8%) | ||||||||||||
23,750,000 | U.S. Treasury Bill3 | 03/10/22 | 0.000 | 23,748,918 | ||||||||
9,600,000 | U.S. Treasury Bill3 | 02/10/22 | 0.000 | 9,599,896 | ||||||||
7,650,000 | U.S. Treasury Bill3 | 02/24/22 | 0.000 | 7,649,763 | ||||||||
11,900,000 | U.S. Treasury Bill3 | 04/14/22 | 0.000 | 11,896,781 | ||||||||
35,500,000 | U.S. Treasury Bill3 | 04/21/22 | 0.000 | 35,487,049 |
BBH PARTNER FUND - SELECT SHORT TERM ASSETS
PORTFOLIO OF INVESTMENTS (continued)
January 31, 2022 (unaudited)
Principal | Maturity | Interest | ||||||||||
Amount | Date | Rate | Value | |||||||||
U.S. TREASURY BILLS (continued) | ||||||||||||
6,000,000 | U.S. Treasury Bill3 | 04/28/22 | 0.000 | 5,997,313 | ||||||||
Total U.S. Treasury Bills | ||||||||||||
(Cost $94,387,799) | 94,379,720 | |||||||||||
TOTAL INVESTMENTS (Cost $298,432,290)4 | 100.3 | % | $ | 297,196,139 | ||
LIABILITIES IN EXCESS OF OTHER ASSETS | (0.3) | % | (912,328 | ) | ||
NET ASSETS | 100.0 | % | $ | 296,283,811 |
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 January 31, 2022 was $ 112,061,092 or 37.8% of net assets. | |
Variable rate instrument. Interest rates change on specific dates (such as coupon or interest payment date). The yield shown represents the January 31, 2022 |
2 | coupon or interest rate. |
3 | Security issued with zero coupon. Income is recognized through accretion of discount. |
4 | The aggregate cost for federal income tax purposes is $298,432,290, the aggregate gross unrealized appreciation is $13,249 and the aggregate gross unrealized depreciation is $1,249,400, resulting in net unrealized depreciation of $1,236,151. |
Abbreviations:
LIBOR | – | London Interbank Offered Rate. |
SOFR | – | Secured Overnight Financing Rate. |
BBH PARTNER FUND - SELECT SHORT TERM ASSETS
PORTFOLIO OF INVESTMENTS (continued)
January 31, 2022 (unaudited)
FAIR VALUE MEASUREMENTS
BBH Partner Fund – Select Short Term Assets (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.
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.
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 January 31, 2022.
Unadjusted Quoted | |||||||||||||
Prices in Active Markets | Significant Other | Significant | |||||||||||
for Identical Investments | Observable Inputs | Unobservable Inputs | Balance as of | ||||||||||
Investments, at value | (Level 1) | (Level 2) | (Level 3) | January 31, 2022 | |||||||||
Asset Backed Securities | $ | – | $ | 58,983,906 | $ | – | $ | 58,983,906 | |||||
Commercial Mortgage Backed Securities | – | 16,285,433 | – | 16,285,433 | |||||||||
Corporate Bonds | – | 123,205,744 | – | 123,205,744 | |||||||||
Residential Mortgage Backed Securities | – | 4,341,336 | – | 4,341,336 | |||||||||
U.S. Treasury Bills | – | 94,379,720 | – | 94,379,720 | |||||||||
Total Investment, at value | $ | – | $ | 297,196,139 | $ | – | $ | 297,196,139 |
BBH PARTNER FUND - SELECT SHORT TERM ASSETS
PORTFOLIO OF INVESTMENTS (continued)
January 31, 2022 (unaudited)
Portfolio holdings are shown as of the date indicated. Since market conditions fluctuate suddenly and frequently, the portfolio holdings may change and this list is not indicative of future portfolio composition. These portfolio holdings are not intended to be and do not constitute recommendations that others buy, sell, or hold any of the securities listed.
For more complete information on the Fund, call 1-800-575-1265 for a prospectus or visit www.bbhfunds.com. 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.
The BBH Funds are managed by a separately identifiable department within Brown Brothers Harriman & Co. Shares of the Fund are distributed by ALPS Distributors, Inc., located at 1290 Broadway, Suite 1000, Denver, CO 80203.