BBH LIMITED DURATION FUND
PORTFOLIO OF INVESTMENTS
January 31, 2022 (unaudited)
Principal | Maturity | Interest | ||||||||||
Amount | Date | Rate | Value | |||||||||
ASSET BACKED SECURITIES (19.3%) | ||||||||||||
$ | 14,349,481 | AIM Aviation Finance, Ltd. 2015-1A1 | 02/15/40 | 4.213 | % | $ | 12,372,481 | |||||
20,831,274 | AmeriCredit Automobile Receivables Trust 2021-2 | 11/18/24 | 0.260 | 20,798,354 | ||||||||
40,000,000 | AmeriCredit Automobile Receivables Trust 2021-3 | 02/18/25 | 0.410 | 39,885,040 | ||||||||
1,390,107 | Amur Equipment Finance Receivables VI LLC 2018-2A1 | 07/20/22 | 3.890 | 1,395,343 | ||||||||
5,325,280 | Amur Equipment Finance Receivables VII LLC 2019-1A1 | 06/20/24 | 2.630 | 5,365,725 | ||||||||
14,240,000 | Amur Equipment Finance Receivables X LLC 2022-1A1 | 10/20/27 | 1.640 | 14,205,825 | ||||||||
48,700,000 | Audax Senior Debt CLO III LLC 2020-1A (3-Month USD- LIBOR + 1.610%)1,2 | 01/20/30 | 1.864 | 48,628,231 | ||||||||
10,410,803 | Bankers Healthcare Group Securitization Trust 2020-A1 | 09/17/31 | 2.560 | 10,478,791 | ||||||||
42,460,000 | BHG Securitization Trust 2022-A1 | 02/20/35 | 1.710 | 42,420,936 | ||||||||
31,700,000 | BMW Vehicle Lease Trust 2022-1 | 05/28/24 | 0.670 | 31,641,295 | ||||||||
13,228,215 | Business Jet Securities LLC 2020-1A1 | 11/15/35 | 2.981 | 13,303,727 | ||||||||
44,170,000 | California Street CLO IX LP 2012-9A (3-Month USD-LIBOR + 1.100%)1,2 | 07/16/32 | 1.341 | 44,183,385 | ||||||||
22,601,219 | Capital Automotive LLC 2017-1A1 | 04/15/47 | 3.870 | 22,611,754 | ||||||||
29,280,000 | Carlyle US CLO Ltd. 2019-2A (3-Month USD-LIBOR + 1.120%)1,2 | 07/15/32 | 1.361 | 29,243,400 | ||||||||
23,500,000 | CarMax Auto Owner Trust 2022-1 | 02/18/25 | 0.910 | 23,460,995 | ||||||||
20,625,344 | CARS-DB4 LP 2020-1A1 | 02/15/50 | 3.190 | 20,790,283 | ||||||||
23,454,429 | CF Hippolyta LLC 2020-11 | 07/15/60 | 1.690 | 22,922,985 | ||||||||
9,025,663 | Chesapeake Funding II LLC 2019-1A1 | 04/15/31 | 2.940 | 9,077,665 | ||||||||
19,179,122 | Chesapeake Funding II LLC 2020-1A1 | 08/16/32 | 0.870 | 19,146,632 | ||||||||
25,000,000 | Churchill MMSLF CLO-I LP 2021-2A (3-Month USD-LIBOR + 1.450%)1,2 | 10/01/32 | 1.535 | 25,000,000 | ||||||||
5,456,879 | CIG Auto Receivables Trust 2020-1A1 | 10/12/23 | 0.680 | 5,457,128 | ||||||||
28,595,991 | CIG Auto Receivables Trust 2021-1A1 | 04/14/25 | 0.690 | 28,473,337 | ||||||||
14,677,983 | Credit Acceptance Auto Loan Trust 2019-3A1 | 11/15/28 | 2.380 | 14,771,307 | ||||||||
57,480,000 | Credit Acceptance Auto Loan Trust 2020-3A1 | 10/15/29 | 1.240 | 57,246,551 | ||||||||
30,017,483 | Dell Equipment Finance Trust 2019-21 | 10/22/24 | 1.910 | 30,116,495 | ||||||||
28,818,470 | Donlen Fleet Lease Funding 2 LLC 2021-21 | 12/11/34 | 0.560 | 28,623,259 | ||||||||
1,837,015 | Drive Auto Receivables Trust 2021-1 | 12/15/23 | 0.360 | 1,836,771 | ||||||||
35,000,000 | Drive Auto Receivables Trust 2021-3 | 01/15/25 | 0.520 | 34,904,446 | ||||||||
17,180,000 | Dryden 93 CLO, Ltd. 2021-93A (3-Month USD-LIBOR + 1.080%)1,2 | 01/15/34 | 1.240 | 17,158,851 | ||||||||
5,114,927 | ECAF I, Ltd. 2015-1A1 | 06/15/40 | 3.473 | 4,296,600 | ||||||||
17,170,000 | Elm Trust 2020-3A1 | 08/20/29 | 2.954 | 16,859,688 | ||||||||
1,899,801 | Enterprise Fleet Financing LLC 2019-11 | 10/20/24 | 2.980 | 1,904,024 | ||||||||
14,029,690 | Enterprise Fleet Financing LLC 2019-21 | 02/20/25 | 2.290 | 14,100,448 | ||||||||
10,392,409 | FCI Funding LLC 2021-1A1 | 04/15/33 | 1.130 | 10,303,101 | ||||||||
50,300,000 | Flexential Issuer 2021-1A1 | 11/27/51 | 3.250 | 50,025,493 | ||||||||
19,366,409 | FNA LLC 2019-13 | 12/10/31 | 3.000 | 19,440,002 | ||||||||
8,811,014 | Foursight Capital Automobile Receivables Trust 2021-21 | 04/15/25 | 0.400 | 8,769,218 | ||||||||
15,000,000 | Foursight Capital Automobile Receivables Trust 2022-11 | 09/15/25 | 1.150 | 14,980,852 | ||||||||
8,832,037 | FREED ABS Trust 2021-3FP1 | 11/20/28 | 0.620 | 8,815,361 | ||||||||
17,000,000 | FREED ABS Trust 2022-1FP1 | 03/19/29 | 0.940 | 16,980,958 | ||||||||
24,459,313 | Global SC Finance VII Srl 2020-1A1 | 10/17/40 | 2.170 | 24,113,578 | ||||||||
25,438,638 | Global SC Finance VII Srl 2020-2A1 | 11/19/40 | 2.260 | 25,145,244 | ||||||||
34,620,000 | GM Financial Consumer Automobile Receivables Trust 2022-1 | 02/18/25 | 0.760 | 34,549,645 |
BBH LIMITED DURATION FUND
PORTFOLIO OF INVESTMENTS (continued)
January 31, 2022 (unaudited)
Principal | Maturity | Interest | ||||||||||
Amount | Date | Rate | Value | |||||||||
ASSET BACKED SECURITIES (continued) | ||||||||||||
$ | 50,750,000 | Golub Capital Partners ABS Funding 2019-1 Ltd. 2021-2A1 | 10/19/29 | 2.944 | % | $ | 49,764,668 | |||||
25,000,000 | HPEFS Equipment Trust 2022-1A1 | 05/21/29 | 1.020 | 24,963,008 | ||||||||
21,000,000 | HTS Fund I LLC 2021-11 | 08/25/36 | 1.411 | 20,847,309 | ||||||||
28,190,000 | Lendmark Funding Trust 2019-1A1 | 12/20/27 | 3.000 | 28,398,620 | ||||||||
21,710,000 | Lendmark Funding Trust 2019-2A1 | 04/20/28 | 2.780 | 21,942,477 | ||||||||
32,940,840 | Madison Park Funding X, Ltd. 2012-10A (3-Month USD- LIBOR + 1.010%)1,2 | 01/20/29 | 1.264 | 32,940,800 | ||||||||
40,030,000 | Madison Park Funding XXV, Ltd. 2017-25A (3-Month USD- LIBOR + 0.970%)1,2 | 04/25/29 | 1.228 | 40,061,275 | ||||||||
12,620,000 | Mariner Finance Issuance Trust 2019-AA1 | 07/20/32 | 2.960 | 12,733,227 | ||||||||
16,460,000 | Mariner Finance Issuance Trust 2020-AA1 | 08/21/34 | 2.190 | 16,486,973 | ||||||||
8,450,000 | MCF CLO IX, Ltd. 2019-1A (3-Month CME Term SOFR + 1.500%) 1,2 | 07/17/31 | 1.701 | 8,450,000 | ||||||||
27,120,000 | Navistar Financial Dealer Note Master Trust 2020-1 (1- Month USD-LIBOR + 0.950%)1,2 | 07/25/25 | 1.058 | 27,202,464 | ||||||||
40,570,000 | New Residential Advance Receivables Trust Advance Receivables Backed 2020-T11 | 08/15/53 | 1.426 | 40,314,015 | ||||||||
21,800,000 | NextGear Floorplan Master Owner Trust 2019-1A1 | 02/15/24 | 3.210 | 21,821,981 | ||||||||
17,140,000 | NextGear Floorplan Master Owner Trust 2019-2A1 | 10/15/24 | 2.070 | 17,272,048 | ||||||||
30,640,000 | NextGear Floorplan Master Owner Trust 2020-1A1 | 02/15/25 | 1.550 | 30,742,295 | ||||||||
150,054 | NMEF Funding LLC 2019-A1 | 08/17/26 | 2.730 | 150,115 | ||||||||
30,000,000 | Northwoods Capital XVIII, Ltd. 2019-18A (3-Month USD- LIBOR + 1.100%)1,2 | 05/20/32 | 1.260 | 29,963,556 | ||||||||
24,700,000 | NRZ Advance Receivables Trust 2015-ON1 2020-T21 | 09/15/53 | 1.475 | 24,544,970 | ||||||||
10,200,000 | NRZ Advance Receivables Trust 2015-ON1 2020-T31 | 10/15/52 | 1.317 | 10,192,372 | ||||||||
32,920,000 | Octagon Investment Partners 20-R, Ltd. 2019-4A (3-Month USD-LIBOR + 1.150%)1,2 | 05/12/31 | 1.304 | 32,903,705 | ||||||||
21,250,000 | OnDeck Asset Securitization Trust III LLC 2021-1A1 | 05/17/27 | 1.590 | 20,811,464 | ||||||||
3,784,784 | OneMain Financial Issuance Trust 2019-1A1 | 02/14/31 | 3.480 | 3,785,554 | ||||||||
26,430,000 | Oportun Funding XIII LLC 2019-A1 | 08/08/25 | 3.080 | 26,636,730 | ||||||||
56,210,000 | Oportun Issuance Trust 2021-C1 | 10/08/31 | 2.180 | 55,361,797 | ||||||||
20,131,308 | OSCAR US Funding Trust XIII LLC 2021-2A1 | 08/12/24 | 0.390 | 20,061,323 | ||||||||
15,392,736 | OSCAR US Funding XII LLC 2021-1A1 | 03/11/24 | 0.400 | 15,222,562 | ||||||||
20,000,000 | Palmer Square Loan Funding, Ltd. 2019-3A (3-Month USD- LIBOR + 1.600%)1,2 | 08/20/27 | 1.760 | 20,007,058 | ||||||||
15,000,000 | Palmer Square Loan Funding, Ltd. 2019-4A (3-Month USD- LIBOR + 1.600%)1,2 | 10/24/27 | 1.859 | 15,023,190 | ||||||||
47,880,000 | Palmer Square Loan Funding, Ltd. 2022-1A (3-Month CME Term SOFR + 1.050%)1,2 | 04/15/30 | 1.252 | 47,880,000 | ||||||||
19,490,000 | Parliament Clo II, Ltd. 2021-2A (3-Month USD-LIBOR + 1.350%)1,2 | 08/20/32 | 1.510 | 19,502,559 | ||||||||
11,154,227 | Pawnee Equipment Receivables Series LLC 2019-11 | 10/15/24 | 2.290 | 11,208,093 | ||||||||
12,791,069 | Pawnee Equipment Receivables Series LLC 2020-11 | 11/17/25 | 1.370 | 12,801,347 | ||||||||
18,200,000 | PFS Financing Corp. 2019-A1 | 04/15/24 | 2.860 | 18,281,585 | ||||||||
27,650,000 | PFS Financing Corp. 2019-C1 | 10/15/24 | 2.230 | 27,880,399 | ||||||||
23,070,000 | PFS Financing Corp. 2020-F1 | 08/15/24 | 0.930 | 23,087,395 | ||||||||
18,070,000 | Regional Management Issuance Trust 2020-11 | 10/15/30 | 2.340 | 18,045,954 | ||||||||
16,470,000 | Republic Finance Issuance Trust 2020-A1 | 11/20/30 | 2.470 | 16,570,202 | ||||||||
56,030,000 | Republic Finance Issuance Trust 2021-A1 | 12/22/31 | 2.300 | 55,374,645 |
BBH LIMITED DURATION FUND
PORTFOLIO OF INVESTMENTS (continued)
January 31, 2022 (unaudited)
Principal | Maturity | Interest | ||||||||||
Amount | Date | Rate | Value | |||||||||
ASSET BACKED SECURITIES (continued) | ||||||||||||
$ | 4,380,107 | Santander Drive Auto Receivables Trust 2020-3 | 07/15/24 | 0.520 | % | $ | 4,380,418 | |||||
9,251,139 | Santander Drive Auto Receivables Trust 2021-2 | 04/15/24 | 0.280 | 9,250,283 | ||||||||
65,000,000 | Santander Drive Auto Receivables Trust 2021-4 | 08/15/24 | 0.370 | 64,924,659 | ||||||||
34,490,000 | Santander Revolving Auto Loan Trust 2019-A1 | 01/26/32 | 2.510 | 35,211,314 | ||||||||
1,953,165 | SCF Equipment Leasing LLC 2019-2A1 | 06/20/24 | 2.220 | 1,955,337 | ||||||||
10,479,583 | Shenton Aircraft Investment I, Ltd. 2015-1A1 | 10/15/42 | 4.750 | 9,850,785 | ||||||||
22,755,000 | Southwick Park CLO LLC 2019-4A (3-Month USD-LIBOR + 1.060%)1,2 | 07/20/32 | 1.314 | 22,711,135 | ||||||||
50,308,583 | Stack Infrastructure Issuer LLC 2019-1A1 | 02/25/44 | 4.540 | 51,767,934 | ||||||||
19,160,000 | Stack Infrastructure Issuer LLC 2020-1A1 | 08/25/45 | 1.893 | 18,627,643 | ||||||||
27,621,164 | SWC Funding LLC 2018-1A1,3 | 08/15/33 | 4.750 | 27,232,832 | ||||||||
50,790,000 | Symphony CLO XXI, Ltd. 2019-21A (3-Month USD-LIBOR + 1.060%)1,2 | 07/15/32 | 1.301 | 50,790,000 | ||||||||
218,355 | Veros Automobile Receivables Trust 2020-11 | 09/15/23 | 1.670 | 218,419 | ||||||||
43,000,000 | Volkswagen Auto Loan Enhanced Trust 2021-1 | 10/21/24 | 0.490 | 42,905,581 | ||||||||
30,791,094 | Westlake Automobile Receivables Trust 2020-3A1 | 05/15/24 | 0.560 | 30,791,541 | ||||||||
24,596,345 | Westlake Automobile Receivables Trust 2021-1A1 | 10/15/24 | 0.390 | 24,551,356 | ||||||||
42,174,136 | Westlake Automobile Receivables Trust 2021-2A1 | 04/15/25 | 0.320 | 41,973,535 | ||||||||
82,000,000 | Westlake Automobile Receivables Trust 2021-3A1 | 09/16/24 | 0.570 | 81,816,574 | ||||||||
Total Asset Backed Securities (Cost $2,371,175,923) | 2,364,002,285 | |||||||||||
COMMERCIAL MORTGAGE BACKED SECURITIES (2.9%) | ||||||||||||
26,807,000 | BB-UBS Trust 2012-TFT1,2,4 | 06/05/30 | 3.559 | 25,290,716 | ||||||||
12,939,023 | BX Commercial Mortgage Trust 2019-XL (1-Month USD- LIBOR + 0.920%)1,2 | 10/15/36 | 1.026 | 12,931,264 | ||||||||
16,708,717 | BX Trust 2019-RP (1-Month USD-LIBOR + 1.045%)1,2 | 06/15/34 | 1.151 | 16,645,269 | ||||||||
39,480,000 | BXMT, Ltd. 2020-FL2 (30-Day SOFR + 1.014%)1,2 | 02/15/38 | 1.064 | 39,294,444 | ||||||||
20,990,000 | BXMT, Ltd. 2020-FL3 (30-Day SOFR + 1.514%)1,2 | 11/15/37 | 1.564 | 20,989,998 | ||||||||
17,250,000 | BXMT, Ltd. 2021-FL4 (1-Month USD-LIBOR + 1.050%)1,2 | 05/15/38 | 1.156 | 17,187,015 | ||||||||
31,329,000 | CG-CCRE Commercial Mortgage Trust 2014-FL2 (1-Month USD-LIBOR + 2.900%)1,2 | 11/15/31 | 2.685 | 27,636,877 | ||||||||
9,690,000 | Commercial Mortgage Pass Through Certificates 2013- GAM1,2,4 | 02/10/28 | 3.417 | 9,454,137 | ||||||||
18,777,557 | HPLY Trust 2019-HIT (1-Month USD-LIBOR + 1.000%)1,2 | 11/15/36 | 1.106 | 18,706,003 | ||||||||
18,040,000 | MED Trust 2021-MDLN (1-Month USD-LIBOR + 0.950%)1,2 | 11/15/38 | 1.057 | 18,018,329 | ||||||||
33,690,000 | MHC Commercial Mortgage Trust 2021-MHC (1-Month USD- LIBOR + 0.801%)1,2 | 04/15/38 | 0.907 | 33,561,628 | ||||||||
32,615,000 | Morgan Stanley Capital I Trust 2017-CLS (1-Month USD- LIBOR + 0.700%)1,2 | 11/15/34 | 0.806 | 32,575,702 | ||||||||
25,489,870 | PFP, Ltd. 2021-7 (1-Month USD-LIBOR + 0.850%)1,2 | 04/14/38 | 0.956 | 25,431,753 | ||||||||
24,260,000 | STWD, Ltd. 2019-FL1 (1-Month CME Term SOFR + 1.194%)1,2 | 07/15/38 | 1.251 | 24,223,729 | ||||||||
32,744,891 | TPG Real Estate Finance Issuer, Ltd. 2018-FL2 (1-Month USD-LIBOR + 1.130%)1,2 | 11/15/37 | 1.233 | 32,726,131 | ||||||||
Total Commercial Mortgage Backed Securities (Cost $360,655,925) | 354,672,995 |
BBH LIMITED DURATION FUND
PORTFOLIO OF INVESTMENTS (continued)
January 31, 2022 (unaudited)
Principal | Maturity | Interest | ||||||||||
Amount | Date | Rate | Value | |||||||||
CORPORATE BONDS (49.1%) | ||||||||||||
AUTO MANUFACTURERS (1.7%) | ||||||||||||
$ | 20,585,000 | Daimler Finance North America LLC1 | 02/22/22 | 3.400 | % | $ | 20,619,312 | |||||
45,590,000 | Daimler Trucks Finance North America LLC (SOFR + 0.500%)1,2 | 06/14/23 | 0.549 | 45,647,899 | ||||||||
15,132,000 | General Motors Financial Co., Inc. | 04/10/22 | 3.450 | 15,170,493 | ||||||||
30,805,000 | General Motors Financial Co., Inc. | 06/30/22 | 3.150 | 31,059,756 | ||||||||
7,750,000 | General Motors Financial Co., Inc. | 07/08/22 | 3.550 | 7,840,786 | ||||||||
87,750,000 | Toyota Motor Credit Corp. (SOFR + 0.350%)2 | 06/13/23 | 0.400 | 87,750,000 | ||||||||
208,088,246 | ||||||||||||
BANKS (15.8%) | ||||||||||||
14,895,000 | ANZ New Zealand Int’l, Ltd., London Branch1 | 03/19/24 | 3.400 | 15,445,812 | ||||||||
41,195,000 | ASB Bank, Ltd.1 | 06/14/23 | 3.750 | 42,533,758 | ||||||||
34,375,000 | Australia & New Zealand Banking Group, Ltd. | 05/19/22 | 2.625 | 34,596,183 | ||||||||
47,633,000 | Australia & New Zealand Banking Group, Ltd. | 11/09/22 | 2.625 | 48,329,130 | ||||||||
78,697,000 | Bank of America Corp. (3-Month USD-LIBOR + 0.930%)2 | 07/21/23 | 2.816 | 79,315,354 | ||||||||
23,531,000 | Bank of Montreal | 03/26/22 | 2.900 | 23,621,092 | ||||||||
51,125,000 | Bank of Montreal | 01/10/25 | 1.500 | 50,621,571 | ||||||||
54,710,000 | Bank of New Zealand1 | 02/20/24 | 3.500 | 56,816,971 | ||||||||
85,200,000 | Bank of Nova Scotia | 03/07/22 | 2.700 | 85,399,908 | ||||||||
15,015,000 | Bank of Nova Scotia | 01/10/25 | 1.450 | 14,850,526 | ||||||||
32,500,000 | Bank of Nova Scotia (SOFR + 0.380%)2 | 07/31/24 | 0.430 | 32,467,167 | ||||||||
26,935,000 | BNP Paribas S.A.1 | 05/23/22 | 2.950 | 27,135,001 | ||||||||
14,660,000 | BNZ International Funding, Ltd., London Branch1 | 03/01/23 | 3.375 | 14,998,617 | ||||||||
19,610,000 | Canadian Imperial Bank of Commerce (SOFR + 0.800%)2 | 03/17/23 | 0.849 | 19,724,665 | ||||||||
12,895,000 | Canadian Imperial Bank of Commerce | 06/22/23 | 0.450 | 12,739,742 | ||||||||
60,560,000 | Canadian Imperial Bank of Commerce | 09/13/23 | 3.500 | 62,720,175 | ||||||||
16,860,000 | Canadian Imperial Bank of Commerce | 10/18/24 | 1.000 | 16,457,843 | ||||||||
69,806,000 | Citigroup, Inc. | 10/27/22 | 2.700 | 70,571,840 | ||||||||
40,893,000 | Citigroup, Inc. (3-Month USD-LIBOR + 0.950%)2 . | 07/24/23 | 2.876 | 41,224,104 | ||||||||
33,540,000 | Commonwealth Bank of Australia (SOFR + 0.400%)1,2 | 07/07/25 | 0.450 | 33,555,083 | ||||||||
33,560,000 | DNB Bank ASA1 | 12/02/22 | 2.150 | 33,918,421 | ||||||||
65,000,000 | DNB Bank ASA (1-Year CMT Index + 0.330%)1,2 | 09/30/25 | 0.856 | 63,449,100 | ||||||||
10,635,000 | Fifth Third Bancorp | 01/25/24 | 3.650 | 11,017,431 | ||||||||
16,845,000 | Goldman Sachs Group, Inc. | 03/08/23 | 0.523 | 16,710,749 | ||||||||
50,978,000 | Goldman Sachs Group, Inc. (3-Month USD-LIBOR + 0.990%)2 | 07/24/23 | 2.905 | 51,376,812 | ||||||||
20,810,000 | Goldman Sachs Group, Inc. | 12/06/23 | 1.217 | 20,701,407 | ||||||||
26,887,000 | HSBC Holdings, Plc. | 03/30/22 | 4.000 | 27,045,328 | ||||||||
29,665,000 | HSBC Holdings, Plc. (SOFR + 0.534%)2 | 08/17/24 | 0.732 | 29,183,539 | ||||||||
33,350,000 | HSBC Holdings, Plc. (SOFR + 1.929%)2 | 06/04/26 | 2.099 | 32,964,915 | ||||||||
62,235,000 | JPMorgan Chase & Co. (SOFR + 0.580%)2 | 03/16/24 | 0.697 | 61,776,121 | ||||||||
33,270,000 | JPMorgan Chase & Co. (SOFR + 1.585%)2 | 03/13/26 | 2.005 | 33,105,666 | ||||||||
33,923,000 | Lloyds Banking Group, Plc. | 03/12/24 | 3.900 | 35,368,618 | ||||||||
24,769,000 | Mitsubishi UFJ Financial Group, Inc. | 02/22/22 | 2.998 | 24,803,876 | ||||||||
48,955,000 | Mitsubishi UFJ Financial Group, Inc. | 03/07/22 | 3.218 | 49,094,071 | ||||||||
39,660,000 | Mitsubishi UFJ Financial Group, Inc. | 07/17/25 | 1.412 | 38,722,014 | ||||||||
105,556,000 | Morgan Stanley | 05/19/22 | 2.750 | 106,279,879 | ||||||||
68,135,000 | Royal Bank of Canada | 01/21/25 | 1.600 | 67,640,906 | ||||||||
63,582,000 | Santander Holdings USA, Inc. | 03/28/22 | 3.700 | 63,736,572 |
BBH LIMITED DURATION FUND
PORTFOLIO OF INVESTMENTS (continued)
January 31, 2022 (unaudited)
Principal | Maturity | Interest | ||||||||||
Amount | Date | Rate | Value | |||||||||
CORPORATE BONDS (continued) | ||||||||||||
BANKS (continued) | ||||||||||||
$ | 16,070,000 | Santander Holdings USA, Inc. | 06/07/24 | 3.500 | % | $ | 16,544,508 | |||||
26,360,000 | Skandinaviska Enskilda Banken AB1 | 09/09/24 | 0.650 | 25,641,267 | ||||||||
47,680,000 | Svenska Handelsbanken AB | 11/20/23 | 3.900 | 49,860,421 | ||||||||
34,335,000 | Toronto-Dominion Bank | 12/13/24 | 1.250 | 33,838,883 | ||||||||
61,285,000 | Truist Bank | 03/09/23 | 1.250 | 61,384,733 | ||||||||
21,430,000 | Truist Financial Corp. | 12/06/23 | 3.750 | 22,288,506 | ||||||||
42,990,000 | US Bancorp (5-Year CMT Index + 2.541%)2,5 | 3.700 | 41,313,390 | |||||||||
22,470,000 | US Bancorp | 05/12/25 | 1.450 | 22,208,239 | ||||||||
13,500,000 | US Bank NA | 05/23/22 | 2.650 | 13,563,283 | ||||||||
22,790,000 | Wells Fargo & Co. (SOFR + 1.600%)2 | 06/02/24 | 1.654 | 22,803,274 | ||||||||
19,370,000 | Wells Fargo & Co. (SOFR + 2.000%)2 | 04/30/26 | 2.188 | 19,336,225 | ||||||||
55,210,000 | Westpac Banking Corp. | 11/18/24 | 1.019 | 54,263,802 | ||||||||
1,933,066,498 | ||||||||||||
BIOTECHNOLOGY (0.6%) | ||||||||||||
53,483,000 | Gilead Sciences, Inc. | 09/01/22 | 3.250 | 54,053,514 | ||||||||
18,840,000 | Gilead Sciences, Inc. | 09/29/23 | 0.750 | 18,632,398 | ||||||||
72,685,912 | ||||||||||||
COMPUTERS (0.0%) | ||||||||||||
4,600,000 | Dell International LLC / EMC Corp. | 06/15/23 | 5.450 | 4,808,604 | ||||||||
DIVERSIFIED FINANCIAL SERVICES (4.6%) | ||||||||||||
10,765,000 | AerCap Ireland Capital DAC / AerCap Global Aviation Trust | 05/26/22 | 3.500 | 10,835,302 | ||||||||
11,426,000 | AerCap Ireland Capital DAC / AerCap Global Aviation Trust | 09/15/23 | 4.500 | 11,867,326 | ||||||||
47,945,000 | AerCap Ireland Capital DAC / AerCap Global Aviation Trust | 02/15/24 | 3.150 | 48,846,493 | ||||||||
21,450,000 | AerCap Ireland Capital DAC / AerCap Global Aviation Trust | 10/29/24 | 1.750 | 21,106,517 | ||||||||
42,957,000 | AIG Global Funding1 | 09/13/23 | 0.400 | 42,161,703 | ||||||||
26,705,000 | Air Lease Corp. | 01/15/23 | 2.250 | 26,966,335 | ||||||||
29,300,000 | Air Lease Corp. | 01/15/23 | 2.750 | 29,693,817 | ||||||||
37,385,000 | Alliance Data Systems Corp.1 | 12/15/24 | 4.750 | 37,842,592 | ||||||||
103,504,000 | American Express Co. | 08/01/22 | 2.500 | 104,311,326 | ||||||||
33,230,000 | Aviation Capital Group LLC1 | 12/15/24 | 5.500 | 35,767,916 | ||||||||
33,535,000 | Avolon Holdings Funding, Ltd.1 | 01/15/26 | 5.500 | 36,433,826 | ||||||||
16,045,000 | Capital One Financial Corp. | 05/11/23 | 2.600 | 16,257,444 | ||||||||
45,285,000 | Capital One Financial Corp. (SOFR + 0.690%)2 | 12/06/24 | 1.343 | 44,933,082 | ||||||||
14,430,000 | Credit Acceptance Corp.1 | 12/31/24 | 5.125 | 14,574,300 | ||||||||
2,785,000 | Credit Acceptance Corp. | 03/15/26 | 6.625 | 2,855,349 | ||||||||
48,895,000 | Drawbridge Special Opportunities Fund LP1 | 02/15/26 | 3.875 | 49,068,248 | ||||||||
25,095,000 | Strategic Credit Opportunities Partners LLC | 04/01/26 | 4.250 | 24,870,224 | ||||||||
558,391,800 | ||||||||||||
ELECTRIC (4.4%) | ||||||||||||
74,190,000 | Alexander Funding Trust1 | 11/15/23 | 1.841 | 73,866,847 | ||||||||
33,445,000 | Dominion Energy, Inc. | 03/15/25 | 3.300 | 34,415,238 | ||||||||
39,340,000 | Duke Energy Corp. (SOFR + 0.250%)2 | 06/10/23 | 0.299 | 39,269,898 | ||||||||
56,760,000 | Duke Energy Progress NC Storm Funding LLC. | 07/01/30 | 1.295 | 55,942,310 | ||||||||
61,690,000 | Edison International (5-Year CMT Index + 4.698%)2,5 | 5.375 | 62,576,794 | |||||||||
12,750,000 | Edison International | 03/15/23 | 2.950 | 12,882,660 | ||||||||
18,525,000 | Exelon Generation Co. LLC | 06/01/25 | 3.250 | 19,170,711 | ||||||||
25,345,000 | New York State Electric & Gas Corp. | 05/01/23 | 5.750 | 26,633,915 |
BBH LIMITED DURATION FUND
PORTFOLIO OF INVESTMENTS (continued)
January 31, 2022 (unaudited)
Principal | Maturity | Interest | ||||||||||
Amount | Date | Rate | Value | |||||||||
CORPORATE BONDS (continued) | ||||||||||||
ELECTRIC (continued) | ||||||||||||
$ | 42,385,000 | NextEra Energy Capital Holdings, Inc. | 03/01/23 | 0.650 | % | $ | 42,198,506 | |||||
88,057,000 | Public Service Enterprise Group, Inc. | 11/15/22 | 2.650 | 89,082,836 | ||||||||
24,425,000 | Southern California Edison Co. (SOFR + 0.350%)2 | 06/13/22 | 0.399 | 24,427,665 | ||||||||
27,010,000 | Southern Co. (SOFR + 0.370%)2 | 05/10/23 | 0.419 | 26,971,054 | ||||||||
36,892,000 | Vistra Operations Co. LLC1 | 09/01/26 | 5.500 | 37,629,840 | ||||||||
545,068,274 | ||||||||||||
HEALTHCARE-PRODUCTS (0.8%) | ||||||||||||
45,636,000 | Thermo Fisher Scientific, Inc. | 10/18/23 | 0.797 | 45,170,521 | ||||||||
57,415,000 | Zimmer Biomet Holdings, Inc. | 04/01/22 | 3.150 | 57,529,782 | ||||||||
102,700,303 | ||||||||||||
HEALTHCARE-SERVICES (0.5%) | ||||||||||||
60,630,000 | Sutter Health | 08/15/25 | 1.321 | 59,137,105 | ||||||||
INSURANCE (6.4%) | ||||||||||||
15,483,000 | Aon Corp. | 11/15/22 | 2.200 | 15,636,333 | ||||||||
20,325,000 | Athene Global Funding1 | 07/01/22 | 3.000 | 20,518,117 | ||||||||
16,760,000 | Athene Global Funding1 | 01/08/24 | 0.950 | 16,494,423 | ||||||||
18,000,000 | Athene Global Funding1 | 01/14/25 | 2.500 | 18,145,799 | ||||||||
14,345,000 | Athene Global Funding1 | 06/29/25 | 2.550 | 14,493,646 | ||||||||
47,588,000 | Enstar Group, Ltd. | 03/10/22 | 4.500 | 47,702,397 | ||||||||
33,775,000 | Equitable Financial Life Global Funding1 | 11/12/24 | 1.100 | 32,993,183 | ||||||||
59,274,000 | F&G Global Funding1 | 09/20/24 | 0.900 | 57,623,977 | ||||||||
64,675,000 | GA Global Funding Trust1 | 12/08/23 | 1.250 | 64,047,633 | ||||||||
50,000,000 | GA Global Funding Trust (SOFR + 0.500%)1,2 | 09/13/24 | 0.549 | 50,000,000 | ||||||||
44,790,000 | Met Tower Global Funding1 | 09/14/26 | 1.250 | 43,024,473 | ||||||||
73,445,000 | New York Life Global Funding1 | 01/14/25 | 1.450 | 72,929,416 | ||||||||
74,165,000 | Northwestern Mutual Global Funding1 | 03/25/24 | 0.600 | 72,471,005 | ||||||||
19,330,000 | Pacific Life Global Funding II1 | 06/24/25 | 1.200 | 18,823,427 | ||||||||
37,180,000 | Pricoa Global Funding I1 | 12/06/24 | 1.150 | 36,498,448 | ||||||||
47,175,000 | Principal Life Global Funding II1 | 01/10/25 | 1.375 | 46,451,336 | ||||||||
29,855,000 | Protective Life Global Funding1 | 07/05/24 | 0.781 | 29,120,526 | ||||||||
42,465,000 | Protective Life Global Funding1 | 01/13/25 | 1.646 | 42,096,829 | ||||||||
37,290,000 | Sirius International Group, Ltd.1 | 11/01/26 | 4.600 | 37,103,550 | ||||||||
31,750,000 | United Insurance Holdings Corp. | 12/15/27 | 6.250 | 32,067,500 | ||||||||
4,205,000 | Universal Insurance Holdings, Inc.1 | 11/30/26 | 5.625 | 4,143,788 | ||||||||
11,950,000 | Vitality Re XIII Ltd. (3-Month U.S. 3-Month Treasury Bill + 2.000%)1,2 | 01/06/26 | 2.165 | 11,944,025 | ||||||||
784,329,831 | ||||||||||||
INTERNET (0.2%) | ||||||||||||
19,060,000 | Expedia Group, Inc. | 12/15/23 | 3.600 | 19,622,554 | ||||||||
INVESTMENT COMPANIES (5.7%) | ||||||||||||
74,580,000 | Ares Capital Corp. | 02/10/23 | 3.500 | 76,019,229 | ||||||||
17,695,000 | BlackRock TCP Capital Corp. | 03/01/22 | 4.625 | 17,673,766 | ||||||||
41,185,000 | BlackRock TCP Capital Corp. | 08/23/24 | 3.900 | 42,458,225 | ||||||||
46,600,000 | Blackstone Private Credit Fund1 | 09/15/24 | 1.750 | 45,292,299 | ||||||||
30,840,000 | Blackstone Private Credit Fund1 | 11/22/24 | 2.350 | 30,397,641 | ||||||||
24,645,000 | Blackstone Secured Lending Fund | 07/14/23 | 3.650 | 25,214,696 | ||||||||
19,925,000 | Blackstone Secured Lending Fund | 01/15/26 | 3.625 | 20,421,752 |
BBH LIMITED DURATION FUND
PORTFOLIO OF INVESTMENTS (continued)
January 31, 2022 (unaudited)
Principal | Maturity | Interest | ||||||||||
Amount | Date | Rate | Value | |||||||||
CORPORATE BONDS (continued) | ||||||||||||
INVESTMENT COMPANIES (continued) | ||||||||||||
$ | 35,855,000 | Business Development Corp. of America1 | 12/30/22 | 4.750 | % | $ | 36,371,633 | |||||
18,375,000 | Business Development Corp. of America1 | 12/15/24 | 4.850 | 19,141,295 | ||||||||
26,475,000 | Business Development Corp. of America | 03/30/26 | 3.250 | 25,949,262 | ||||||||
31,955,000 | FS KKR Capital Corp. | 07/15/24 | 4.625 | 33,255,456 | ||||||||
24,150,000 | FS KKR Capital Corp. | 02/01/25 | 4.125 | 24,735,731 | ||||||||
42,821,000 | FS KKR Capital Corp.1 | 02/14/25 | 4.250 | 44,017,301 | ||||||||
39,855,000 | Golub Capital BDC, Inc. | 04/15/24 | 3.375 | 40,481,577 | ||||||||
9,329,000 | Main Street Capital Corp. | 12/01/22 | 4.500 | 9,553,205 | ||||||||
49,650,000 | Main Street Capital Corp. | 05/01/24 | 5.200 | 52,037,501 | ||||||||
33,980,000 | Main Street Capital Corp. | 07/14/26 | 3.000 | 33,287,607 | ||||||||
31,201,000 | Owl Rock Capital Corp. | 04/15/24 | 5.250 | 32,873,814 | ||||||||
10,000,000 | Owl Rock Capital Corp. | 03/30/25 | 4.000 | 10,258,484 | ||||||||
27,070,000 | Owl Rock Capital Corp. II1 | 11/26/24 | 4.625 | 28,011,169 | ||||||||
18,000,000 | OWL Rock Core Income Corp.1 | 09/23/26 | 3.125 | 17,105,722 | ||||||||
20,015,000 | Owl Rock Technology Finance Corp.1 | 12/15/25 | 4.750 | 20,875,638 | ||||||||
17,345,000 | PennantPark Investment Corp. | 11/01/26 | 4.000 | 17,126,407 | ||||||||
702,559,410 | ||||||||||||
MACHINERY CONSTRUCTION & MINING (0.5%) | ||||||||||||
24,145,000 | Caterpillar Financial Services Corp. | 07/07/23 | 0.650 | 23,948,037 | ||||||||
33,920,000 | Caterpillar Financial Services Corp. | 01/10/24 | 0.950 | 33,640,720 | ||||||||
57,588,757 | ||||||||||||
MEDIA (0.5%) | ||||||||||||
58,742,000 | Charter Communications Operating LLC / Charter | |||||||||||
Communications Operating Capital | 07/23/22 | 4.464 | 59,394,261 | |||||||||
OIL&GAS (0.6%) | ||||||||||||
35,498,000 | Apache Corp. | 11/15/25 | 4.625 | 37,032,933 | ||||||||
6,400,000 | Continental Resources, Inc. | 04/15/23 | 4.500 | 6,555,456 | ||||||||
17,822,000 | Ovintiv Exploration, Inc. | 07/01/24 | 5.625 | 19,212,743 | ||||||||
10,072,000 | Woodside Finance, Ltd.1 | 09/15/26 | 3.700 | 10,554,743 | ||||||||
73,355,875 | ||||||||||||
PHARMACEUTICALS (0.6%) | ||||||||||||
20,446,000 | AbbVie, Inc. | 10/01/22 | 3.250 | 20,652,767 | ||||||||
57,840,000 | AbbVie, Inc. | 11/21/22 | 2.300 | 58,431,492 | ||||||||
79,084,259 | ||||||||||||
PIPELINES (1.7%) | ||||||||||||
52,187,000 | Energy Transfer LP / Regency Energy Finance Corp. | 10/01/22 | 5.000 | 53,056,996 | ||||||||
42,750,000 | EnLink Midstream Partners, LP | 06/01/25 | 4.150 | 42,632,117 | ||||||||
73,930,000 | Kinder Morgan, Inc. | 01/15/23 | 3.150 | 75,172,459 | ||||||||
31,985,000 | Northriver Midstream Finance LP1 | 02/15/26 | 5.625 | 32,464,775 | ||||||||
203,326,347 | ||||||||||||
REAL ESTATE INVESTMENT TRUSTS (1.0%) | ||||||||||||
82,304,000 | American Tower Corp. | 01/31/23 | 3.500 | 84,096,379 | ||||||||
23,540,000 | HAT Holdings I LLC / HAT Holdings II LLC1 | 06/15/26 | 3.375 | 22,657,250 | ||||||||
19,215,000 | Scentre Group Trust 1 / Scentre Group Trust 21 | 01/28/26 | 3.625 | 20,177,146 | ||||||||
126,930,775 | ||||||||||||
RETAIL (0.7%) | ||||||||||||
11,000,000 | Nordstrom, Inc. | 04/08/24 | 2.300 | 10,811,130 |
BBH LIMITED DURATION FUND
PORTFOLIO OF INVESTMENTS (continued)
January 31, 2022 (unaudited)
Principal | Maturity | Interest | ||||||||||
Amount | Date | Rate | Value | |||||||||
CORPORATE BONDS (continued) | ||||||||||||
RETAIL (continued) | ||||||||||||
$ | 72,275,000 | Walgreens Boots Alliance, Inc. | 11/17/23 | 0.950 | % | $ | 71,453,865 | |||||
82,264,995 | ||||||||||||
SEMICONDUCTORS (0.3%) | ||||||||||||
33,545,000 | ams-OSRAM AG1 | 07/31/25 | 7.000 | 35,222,250 | ||||||||
SOFTWARE (1.0%) | ||||||||||||
120,307,000 | Oracle Corp. | 05/15/22 | 2.500 | 120,599,517 | ||||||||
TELECOMMUNICATIONS (1.1%) | ||||||||||||
100,479,000 | AT&T, Inc. | 06/30/22 | 3.000 | 101,016,311 | ||||||||
35,000,000 | Lumen Technologies, Inc. | 03/15/22 | 5.800 | 35,087,500 | ||||||||
136,103,811 | ||||||||||||
TRANSPORTATION (0.4%) | ||||||||||||
7,753,000 | Union Pacific Corp. | 03/01/22 | 2.950 | 7,769,513 | ||||||||
41,623,000 | Union Pacific Corp. | 07/15/22 | 4.163 | 41,933,256 | ||||||||
49,702,769 | ||||||||||||
Total Corporate Bonds (Cost $6,006,013,215) | 6,014,032,153 | |||||||||||
EXCHANGE-TRADED FUNDS (3.4%) | ||||||||||||
4,950,000 | iShares 1-5 Year Investment Grade Corporate Bond ETF | 263,488,500 | ||||||||||
4,900,000 | SPDR Portfolio Short Term Corporate Bond ETF | 150,479,000 | ||||||||||
Total Exchange-Traded Funds | ||||||||||||
(Cost $425,467,000) | 413,967,500 | |||||||||||
LOAN PARTICIPATIONS AND ASSIGNMENTS (11.6%) | ||||||||||||
36,085,000 | AAdvantage Loyality IP, Ltd. (3-Month USD-LIBOR + 4.750%)2 | 04/20/28 | 5.500 | 37,403,185 | ||||||||
21,875,642 | Allen Media LLC (3-Month USD-LIBOR + 5.500%)2 | 02/10/27 | 5.724 | 21,793,608 | ||||||||
47,171,666 | Asplundh Tree Expert LLC (1-Month USD-LIBOR + 1.750%)2 | 09/07/27 | 1.855 | 46,863,635 | ||||||||
100,000,000 | AT&T, Inc. (3-Month USD-LIBOR + 1.000%)2 | 03/23/22 | 1.109 | 99,875,000 | ||||||||
11,970,000 | Avantor Funding, Inc. Term B5 (1-Month USD-LIBOR + 2.250%)2 | 11/08/27 | 2.750 | 11,949,412 | ||||||||
20,775,495 | Avolon TLB Borrower 1 (US) LLC Term B3 (1-Month USD- LIBOR + 1.750%)2 | 01/15/25 | 2.500 | 20,658,737 | ||||||||
14,850,000 | Avolon TLB Borrower 1 (US) LLC Term B5 (1-Month USD- LIBOR + 2.250%)2 | 12/01/27 | 2.750 | 14,802,629 | ||||||||
56,335,276 | 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 | 1.974 | 56,136,976 | ||||||||
10,414,092 | BCP Renaissance Parent LLC (3-Month USD-LIBOR + 3.500%) 2 | 10/31/24 | 4.500 | 10,394,618 | ||||||||
36,249,666 | Buckeye Partners LP Term B1 (1-Month USD-LIBOR + 2.250%)2 | 11/01/26 | 2.354 | 36,072,406 | ||||||||
36,451,562 | Charter Communications Operating LLC (CCo. Safari LLC) Term B1 (1-Month USD-LIBOR + 1.750%)2 | 04/30/25 | 1.860 | 36,333,094 | ||||||||
24,491,572 | Clarios Global LP (1-Month USD-LIBOR + 3.250%)2 | 04/30/26 | 3.355 | 24,350,745 | ||||||||
36,587,167 | Clean Harbors, Inc. (1-Month USD-LIBOR + 1.750%)2 | 06/28/24 | 1.855 | 36,541,433 | ||||||||
20,000,000 | Clean Harbors, Inc. (1-Month USD-LIBOR + 2.000%)2 | 10/08/28 | 2.105 | 19,975,000 | ||||||||
24,637,500 | DaVita, Inc. Term A (1-Month USD-LIBOR + 1.500%)2 | 08/12/24 | 1.605 | 24,514,313 |
BBH LIMITED DURATION FUND
PORTFOLIO OF INVESTMENTS (continued)
January 31, 2022 (unaudited)
Principal | Maturity | Interest | ||||||||||
Amount | Date | Rate | Value | |||||||||
LOAN PARTICIPATIONS AND ASSIGNMENTS (continued) | ||||||||||||
$ | 25,891,030 | Delos Finance S.a r.l. (3-Month USD-LIBOR + 1.750%)2 | 10/06/23 | 1.974 | % | $ | 25,844,167 | |||||
38,650,623 | Eastern Power LLC (Eastern Covert Midco, LLC) (3-Month USD-LIBOR + 3.750%)2 | 10/02/25 | 4.750 | 28,547,737 | ||||||||
47,433,625 | Elanco Animal Health, Inc. (1-Month USD-LIBOR + 1.750%)2 | 08/01/27 | 1.852 | 46,662,829 | ||||||||
22,539,380 | Genpact, Ltd. (3-Month USD-LIBOR + 1.375%)2 | 08/09/23 | 5.500 | 22,370,335 | ||||||||
3,980,000 | HCA, Inc. Term B (1-Month USD-LIBOR + 1.750%)2 | 06/30/28 | 1.855 | 3,999,900 | ||||||||
22,090,578 | Icon Plc. (3-Month USD-LIBOR + 2.250%)2 | 07/03/28 | 2.750 | 22,029,829 | ||||||||
33,827,340 | Iridium Satellite LLC Term B2 (1-Month USD-LIBOR + 2.500%)2 | 11/04/26 | 3.250 | 33,726,873 | ||||||||
36,869,725 | Jazz Pharmaceuticals, Inc. (1-Month USD-LIBOR + 3.500%)2 | 05/05/28 | 4.000 | 36,865,301 | ||||||||
52,023,175 | Lumen Technologies, Inc. Term A (1-Month USD-LIBOR + 2.000%)2 | 01/31/25 | 2.105 | 51,828,088 | ||||||||
22,817,887 | Lumen Technologies, Inc. Term B (1-Month USD-LIBOR + 2.250%)2 | 03/15/27 | 2.355 | 22,427,245 | ||||||||
36,693,038 | MPH Acquisition Holdings LLC (3-Month USD-LIBOR + 4.250%)2 | 09/01/28 | 4.750 | 35,597,016 | ||||||||
16,103,094 | Nexstar Media, Inc. Term A4 (1-Week USD- LIBOR+1.500%)2 | 10/26/23 | 1.602 | 16,049,470 | ||||||||
43,094,475 | Nexstar Media, Inc. Term A5 A4 (1-Week USD- LIBOR+1.500%)2 | 09/19/24 | 1.602 | 42,906,152 | ||||||||
38,705,722 | NorthRiver Midstream Finance LP Term B (3-Month USD- LIBOR + 3.250%)2 | 10/01/25 | 3.464 | 38,598,120 | ||||||||
50,000,000 | NVA Holdings Parent LLC (1-Month USD-LIBOR + 1.750%)2 | 12/07/24 | 1.857 | 49,625,000 | ||||||||
51,819,138 | Organon & Co. (3-Month USD-LIBOR + 3.000%)2 | 06/02/28 | 3.500 | 51,728,454 | ||||||||
38,199,941 | Ortho Clinical Diagnostics SA (3-Month USD-LIBOR + 3.000%)2 | 06/30/25 | 3.000 | 38,168,235 | ||||||||
17,124,492 | Owens-Illinois Group, Inc. (1-Month USD-LIBOR + 1.500%)2 | 06/25/24 | 1.809 | 16,996,059 | ||||||||
7,352,385 | RPI Intermediate Finance Trust Term B1 (1-Month USD- LIBOR + 1.750%)2 | 02/11/27 | 1.855 | 7,335,842 | ||||||||
15,000,000 | Setanta Aircraft Leasing DAC (6-Month USD- LIBOR+2.000%)2 | 11/05/28 | 2.140 | 14,971,950 | ||||||||
45,000,000 | SkyMiles IP, Ltd. (3-Month USD-LIBOR + 3.750%)2 | 10/20/27 | 4.750 | 47,480,850 | ||||||||
16,000,000 | Southwestern Energy Company (3-Month CME Term SOFR+2.500%)2 | 06/22/27 | 3.000 | 16,010,080 | ||||||||
12,993,395 | SS&C Technologies Holdings, Inc. Term B3 (1-Month USD- LIBOR + 1.750%)2 | 04/16/25 | 1.855 | 12,830,978 | ||||||||
9,775,789 | SS&C Technologies Holdings, Inc. Term B4 (1-Month USD- LIBOR + 1.750%)2 | 04/16/25 | 1.855 | 9,653,592 | ||||||||
8,160,113 | SS&C Technologies Holdings, Inc. Term B5 (1-Month USD- LIBOR + 1.750%)2 | 04/16/25 | 1.855 | 8,040,899 | ||||||||
17,535,375 | UGI Energy Services LLC (1-Month USD-LIBOR + 3.750%)2 | 08/13/26 | 3.855 | 17,535,375 | ||||||||
48,260,313 | United AirLines, Inc. Term B (3-Month USD-LIBOR + 3.750%)2 | 04/21/28 | 4.500 | 48,240,043 | ||||||||
20,939,740 | Vistra Operations Co. LLC (Tex Operations Co. LLC) (1-Month USD-LIBOR + 1.750%)2 | 12/31/25 | 1.855 | 20,705,843 | ||||||||
55,963,144 | Wyndham Hotels & Resorts, Inc. Term B (1-Month USD- LIBOR + 1.750%)2 | 05/30/25 | 1.855 | 55,420,861 |
BBH LIMITED DURATION FUND
PORTFOLIO OF INVESTMENTS (continued)
January 31, 2022 (unaudited)
Principal | Maturity | Interest | ||||||||||
Amount | Date | Rate | Value | |||||||||
LOAN PARTICIPATIONS AND ASSIGNMENTS (continued) | ||||||||||||
$ | 62,089,284 | Wynn Resorts, Ltd. Term A (1-Month USD-LIBOR + 1.750%)2 | 09/20/24 | 1.860 | % | $ | 60,847,498 | |||||
20,938,603 | Zebra Buyer LLC (3-Month USD-LIBOR + 3.250%)2 | 11/01/28 | 3.750 | 20,938,603 | ||||||||
Total Loan Participations and Assignments (Cost $1,431,473,274) | 1,421,648,015 | |||||||||||
MUNICIPAL BONDS (1.2%) | ||||||||||||
10,100,000 | New Jersey Turnpike Authority, Revenue Bonds (1-Month USD-LIBOR + 0.700%)2 | 01/01/24 | 0.771 | 10,157,132 | ||||||||
12,845,000 | Texas Municipal Gas Acquisition & Supply Corp. I, Revenue Bonds | 12/15/26 | 6.250 | 14,605,572 | ||||||||
119,055,000 | Texas Municipal Gas Acquisition & Supply Corp. II, Revenue Bonds (3-Month USD-LIBOR + 0.690%)2 | 09/15/27 | 0.824 | 119,069,155 | ||||||||
Total Municipal Bonds (Cost $143,051,700) | 143,831,859 | |||||||||||
RESIDENTIAL MORTGAGE BACKED SECURITIES (1.1%) | ||||||||||||
21,503,271 | Cascade Funding Mortgage Trust 2019-RM31,2,4 | 06/25/69 | 2.800 | 21,436,925 | ||||||||
18,553,063 | CFMT LLC 2021-HB51,2,4 | 02/25/31 | 0.801 | 18,482,564 | ||||||||
5,011,093 | Pepper Residential Securities Trust No. 23A (1-Month USD- LIBOR + 0.950%)1,2 | 08/18/60 | 1.053 | 5,020,256 | ||||||||
2,999,445 | Pepper Residential Securities Trust No. 24A (1-Month USD- LIBOR + 0.900%)1,2 | 11/18/60 | 1.003 | 3,006,235 | ||||||||
10,826,495 | RESIMAC Premier 2019-2A (1-Month USD-LIBOR + 0.950%)1,2 | 02/10/51 | 1.054 | 10,648,926 | ||||||||
11,202,533 | RESIMAC Premier 2020-1A (1-Month USD-LIBOR + 1.050%)1,2 | 02/07/52 | 1.152 | 11,221,961 | ||||||||
15,239,975 | RESIMAC Premier 2021-1A (1-Month USD-LIBOR + 0.700%)1,2 | 07/10/52 | 0.804 | 15,194,675 | ||||||||
35,894,296 | RMF Buyout Issuance Trust 2021-HB11,2,4 | 11/25/31 | 1.259 | 35,641,521 | ||||||||
10,364,007 | RMF Proprietary Issuance Trust 2019-11,2,4 | 10/25/63 | 2.750 | 10,372,099 | ||||||||
Total Residential Mortgage Backed Securities (Cost $131,512,727) | 131,025,162 | |||||||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS (1.9%) | ||||||||||||
25,622,000 | Federal Farm Credit Banks Funding Corp. | 08/25/25 | 0.610 | 24,787,364 | ||||||||
46,000,000 | Federal Home Loan Mortgage Corp. | 05/19/23 | 0.250 | 45,486,786 | ||||||||
50,168,000 | Federal Home Loan Mortgage Corp. | 10/27/25 | 0.600 | 48,702,518 | ||||||||
36,490,000 | Federal Home Loan Mortgage Corp. | 10/27/25 | 0.625 | 35,338,708 | ||||||||
45,500,000 | Federal Home Loan Mortgage Corp. | 11/12/25 | 0.600 | 44,195,638 | ||||||||
29,040,000 | Federal Home Loan Mortgage Corp. | 11/25/25 | 0.625 | 28,228,316 | ||||||||
23,158 | Federal Home Loan Mortgage Corp. (FHLMC) Non Gold | |||||||||||
Guaranteed (1-Year USD-LIBOR + 1.769%)2 | 04/01/36 | 2.118 | 23,901 | |||||||||
13,417 | Federal Home Loan Mortgage Corp. (FHLMC) Non Gold | |||||||||||
Guaranteed (6-Month USD-LIBOR + 1.740%)2 | 12/01/36 | 1.865 | 13,470 | |||||||||
11,099 | Federal Home Loan Mortgage Corp. (FHLMC) Non Gold | |||||||||||
Guaranteed (1-Year USD-LIBOR + 1.745%)2 | 01/01/37 | 2.120 | 11,125 | |||||||||
3,403,477 | Federal National Mortgage Association (FNMA) | 07/01/35 | 5.000 | 3,814,390 | ||||||||
216,483 | Federal National Mortgage Association (FNMA) | 11/01/35 | 5.500 | 245,726 |
BBH LIMITED DURATION FUND
PORTFOLIO OF INVESTMENTS (continued)
January 31, 2022 (unaudited)
Principal | Maturity | Interest | ||||||||||
Amount | Date | Rate | Value | |||||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS (continued) | ||||||||||||
$ | 28,442 | Federal National Mortgage Association (FNMA) (1-Year USD- LIBOR + 1.984%)2 | 07/01/36 | 2.234 | % | $ | 30,078 | |||||
60,826 | Federal National Mortgage Association (FNMA) (1-Year USD- LIBOR + 1.722%)2 | 09/01/36 | 1.972 | 63,762 | ||||||||
26,931 | Federal National Mortgage Association (FNMA) (1-Year USD- LIBOR + 1.754%)2 | 01/01/37 | 2.089 | 27,177 | ||||||||
198,062 | Federal National Mortgage Association (FNMA) | 08/01/37 | 5.500 | 224,052 | ||||||||
2,400,218 | Federal National Mortgage Association (FNMA) | 08/01/37 | 5.500 | 2,669,730 | ||||||||
980,079 | Federal National Mortgage Association (FNMA) | 06/01/40 | 6.500 | 1,117,452 | ||||||||
5,981 | Government National Mortgage Association (GNMA) (1-Year CMT Index + 1.500%)2 | 08/20/29 | 1.625 | 6,141 | ||||||||
Total U.S. Government Agency Obligations (Cost $240,539,431) | 234,986,334 | |||||||||||
U.S. TREASURY BILLS (13.3%) | ||||||||||||
16,250,000 | U.S. Treasury Bill6 | 03/03/22 | 0.000 | 16,249,323 | ||||||||
198,750,000 | U.S. Treasury Bill6 | 03/10/22 | 0.000 | 198,741,037 | ||||||||
100,000,000 | U.S. Treasury Bill6 | 03/22/22 | 0.000 | 99,993,603 | ||||||||
216,750,000 | U.S. Treasury Bill6 | 03/24/22 | 0.000 | 216,734,791 | ||||||||
165,750,000 | U.S. Treasury Bill6 | 04/07/22 | 0.000 | 165,708,476 | ||||||||
203,000,000 | U.S. Treasury Bill6 | 04/14/22 | 0.000 | 202,945,089 | ||||||||
197,750,000 | U.S. Treasury Bill6,7 | 04/21/22 | 0.000 | 197,677,855 | ||||||||
68,000,000 | U.S. Treasury Bill6 | 04/26/22 | 0.000 | 67,971,598 | ||||||||
118,250,000 | U.S. Treasury Bill6 | 05/17/22 | 0.000 | 118,156,016 | ||||||||
60,000,000 | U.S. Treasury Bill6 | 05/24/22 | 0.000 | 59,949,973 | ||||||||
181,000,000 | U.S. Treasury Bill6 | 06/23/22 | 0.000 | 180,761,543 | ||||||||
109,500,000 | U.S. Treasury Bill6 | 07/07/22 | 0.000 | 109,313,166 | ||||||||
Total U.S. Treasury Bills (Cost $1,634,509,070) | 1,634,202,470 | |||||||||||
TOTAL INVESTMENTS (Cost $12,744,398,265)8 | 103.8 | % | $ | 12,712,368,773 | ||||||||
LIABILITIES IN EXCESS OF OTHER ASSETS | (3.8 | )% | (468,521,185 | ) | ||||||||
NET ASSETS | 100.0 | % | $ | 12,243,847,587 |
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 $4,280,041,929 or 35.0% 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 January 31, 2022 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 | Security issued with zero coupon. Income is recognized through accretion of discount. |
7 | All or a portion of this security is held at the broker as collateral for open futures contracts. |
8 | The aggregate cost for federal income tax purposes is $12,744,398,265, the aggregate gross unrealized appreciation is $66,085,448 and the aggregate gross unrealized depreciation is $85,503,792, resulting in net unrealized depreciation of $19,418,344. |
BBH LIMITED DURATION FUND
PORTFOLIO OF INVESTMENTS (continued)
January 31, 2022 (unaudited)
Abbreviations:
CMT | − | Constant Maturity Treasury. |
FHLMC | − | Federal Home Loan Mortgage Corporation. |
FNMA | − | Federal National Mortgage Association. |
GNMA | − | Government National Mortgage Association. |
LIBOR | − | London Interbank Offered Rate. |
SOFR | − | Secured Overnight Financing Rate. |
FINANCIAL FUTURES CONTRACTS
The following futures contracts were open at January 31, 2022:
Number of | Expiration | Notional | Market | Unrealized | |||||||||||
Description | Contracts | Date | Amount | Value | Gain / (Loss) | ||||||||||
Contracts to Sell: | |||||||||||||||
U.S. Treasury 2-Year Notes | 3,000 | March 2022 | $ | 654,638,406 | $ | 649,968,750 | $ | 4,669,656 | |||||||
U.S. Treasury 5-Year Notes | 5,800 | March 2022 | 699,156,409 | 691,378,125 | 7,778,284 | ||||||||||
U.S. Treasury 10-Year Notes | 156 | March 2022 | 20,126,333 | 19,963,125 | 163,208 | ||||||||||
$ | 12,611,148 |
FAIR VALUE MEASUREMENTS
BBH Limited Duration Fund (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 asset backed securities 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.
BBH LIMITED DURATION FUND
PORTFOLIO OF INVESTMENTS (continued)
January 31, 2022 (unaudited)
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 | $ | – | $ | 2,317,329,451 | $ | 46,672,834 | $ | 2,364,002,285 | |||||
Commercial Mortgage Backed Securities | – | 354,672,995 | – | 354,672,995 | |||||||||
Corporate Bonds | – | 6,014,032,153 | – | 6,014,032,153 | |||||||||
Exchange-Traded Funds | 413,967,500 | – | – | 413,967,500 | |||||||||
Loan Participations and Assignments | – | 1,421,648,015 | – | 1,421,648,015 | |||||||||
Municipal Bonds | – | 143,831,859 | – | 143,831,859 | |||||||||
Residential Mortgage Backed Securities | – | 131,025,162 | – | 131,025,162 | |||||||||
U.S. Government Agency Obligations | – | 234,986,334 | – | 234,986,334 | |||||||||
U.S. Treasury Bills | – | 1,634,202,470 | – | 1,634,202,470 | |||||||||
Total Investment, at value | $ | 413,967,500 | $ | 12,251,728,439 | $ | 46,672,834 | $ | 12,712,368,773 | |||||
Other Financial Instruments, at value | |||||||||||||
Financial Futures Contracts | $ | 12,611,148 | $ | – | $ | – | $ | 12,611,148 | |||||
Other Financial Instruments, at value | $ | 12,611,148 | $ | – | $ | – | $ | 12,611,148 |
The following is a reconciliation of assets for which significant unobservable inputs (Level 3) were used in determining fair value during the period ended January 31, 2022:
Asset Backed | ||||
Securities | ||||
Balance as of October 31, 2021 | $ | 62,676,293 | ||
Purchases | - | |||
Sales / Paydowns | (15,824,709 | ) | ||
Realized gains (losses) | - | |||
Change in unrealized appreciation (depreciation) | (178,750 | ) | ||
Amortization | - | |||
Transfers from Level 3 | - | |||
Transfers to Level 3 | - | |||
Balance as of January 31, 2022 | $ | 46,672,834 |
The Fund’s investments classified as Level 3 were valued using a model approach, including the Fund’s assumptions in determining their fair value.
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.