BBH INCOME FUND
PORTFOLIO OF INVESTMENTS
July 31, 2022 (unaudited)
Principal Amount | Maturity Date | Interest Rate | Value | |||||||||
ASSET BACKED SECURITIES (17.9%) | ||||||||||||
$ | 2,640,000 | ABPCI Direct Lending Fund ABS I, Ltd. 2020-1A1,2 | 12/20/30 | 3.199 | % | $ | 2,537,096 | |||||
2,270,000 | ABPCI Direct Lending Fund ABS II LLC 2022-2A1,2 | 03/01/32 | 4.987 | 2,104,970 | ||||||||
1,227,473 | Adams Outdoor Advertising LP 2018-11 | 11/15/48 | 4.810 | 1,214,881 | ||||||||
1,480,000 | Ares PBN Finance Co. LLC1,2 | 09/15/36 | 6.000 | 1,406,000 | ||||||||
3,533,037 | BHG Securitization Trust 2022-A1 | 02/20/35 | 1.710 | 3,374,773 | ||||||||
878,017 | Business Jet Securities LLC 2020-1A1 | 11/15/35 | 2.981 | 815,923 | ||||||||
1,430,000 | CARS-DB4 LP 2020-1A1 | 02/15/50 | 4.170 | 1,333,682 | ||||||||
1,049,374 | CF Hippolyta Issuer LLC 2020-11 | 07/15/60 | 2.280 | 960,924 | ||||||||
1,750,000 | CFG Investments, Ltd. 2021-11 | 05/20/32 | 5.820 | 1,678,355 | ||||||||
2,000,000 | Credit Acceptance Auto Loan Trust 2020-2A1 | 09/17/29 | 1.930 | 1,929,420 | ||||||||
2,850,000 | DigitalBridge Issuer LLC 2021-1A1 | 09/25/51 | 3.933 | 2,598,607 | ||||||||
1,070,000 | Elm Trust 2020-3A1 | 08/20/29 | 2.954 | 1,032,561 | ||||||||
2,490,000 | Elm Trust 2020-4A1 | 10/20/29 | 2.286 | 2,355,472 | ||||||||
59,969 | FCI Funding LLC 2019-1A1 | 02/18/31 | 3.630 | 59,914 | ||||||||
4,460,000 | Flexential Issuer 2021-1A1 | 11/27/51 | 3.250 | 4,130,015 | ||||||||
876,134 | FNA LLC 2019-12 | 12/10/31 | 3.000 | 867,373 | ||||||||
1,670,000 | FREED ABS Trust 2022-2CP1 | 05/18/29 | 4.490 | 1,642,221 | ||||||||
1,447,377 | Global SC Finance VII Srl 2020-1A1 | 10/17/40 | 2.170 | 1,334,364 | ||||||||
1,362,326 | Global SC Finance VII Srl 2020-2A1 | 11/19/40 | 2.260 | 1,254,624 | ||||||||
4,270,000 | Golub Capital Partners ABS Funding, Ltd. 2021-1A1 | 04/20/29 | 2.773 | 4,028,931 | ||||||||
1,120,000 | Lendmark Funding Trust 2019-2A1 | 04/20/28 | 2.780 | 1,096,487 | ||||||||
501,188 | LIAS Administration Fee Issuer LLC 2018-1A | 07/25/48 | 5.956 | 505,166 | ||||||||
683,474 | Mariner Finance Issuance Trust 2019-AA1 | 07/20/32 | 2.960 | 676,548 | ||||||||
1,070,000 | Mariner Finance Issuance Trust 2020-AA1 | 08/21/34 | 2.190 | 1,037,097 | ||||||||
1,260,000 | Monroe Capital ABS Funding, Ltd. 2021-1A1 | 04/22/31 | 2.815 | 1,179,892 | ||||||||
1,790,000 | Monroe Capital Income Plus ABS Funding LLC 2022-1A1 | 04/30/32 | 5.150 | 1,695,344 | ||||||||
2,700,000 | Neuberger Berman Loan Advisers Clo 40 Ltd. 2021-40A (3-Month USD-LIBOR + 1.060%)1,3 | 04/16/33 | 3.800 | 2,639,374 | ||||||||
2,520,000 | New Residential Advance Receivables Trust Advance Receivables Backed 2020-T11 | 08/15/53 | 1.426 | 2,408,385 | ||||||||
315,009 | Newtek Small Business Loan Trust 2018-1 (U.S. Prime Rate - 0.550%)1,3 | 02/25/44 | 4.200 | 311,672 | ||||||||
149,427 | Newtek Small Business Loan Trust 2018-1 (U.S. Prime Rate + 0.750%)1,3 | 02/25/44 | 5.500 | 148,194 | ||||||||
3,550,000 | NextGear Floorplan Master Owner Trust 2022-1A1 | 03/15/27 | 2.800 | 3,459,024 | ||||||||
3,960,000 | Niagara Park CLO, Ltd. 2019-1A (3-Month USD-LIBOR + 1.000%)1,3 | 07/17/32 | 3.740 | 3,836,006 | ||||||||
2,180,000 | OnDeck Asset Securitization Trust III LLC 2021-1A1 | 05/17/27 | 1.590 | 1,994,683 | ||||||||
1,219,187 | OneMain Financial Issuance Trust 2020-1A1 | 05/14/32 | 3.840 | 1,213,528 | ||||||||
2,930,000 | OneMain Financial Issuance Trust 2022-S11 | 05/14/35 | 4.130 | 2,892,496 | ||||||||
5,630,000 | Oportun Issuance Trust 2021-C1 | 10/08/31 | 2.180 | 5,210,786 |
BBH INCOME FUND
PORTFOLIO OF INVESTMENTS (continued)
July 31, 2022 (unaudited)
Principal Amount | Maturity Date | Interest Rate | Value | |||||||||
ASSET BACKED SECURITIES (continued) | ||||||||||||
$ | 69,520 | Oscar US Funding XI LLC 2019-2A1 | 09/11/23 | 2.590 | % | $ | 69,493 | |||||
639,016 | Oxford Finance Funding LLC 2019-1A1 | 02/15/27 | 4.459 | 636,143 | ||||||||
2,309,293 | Oxford Finance Funding LLC 2020-1A1 | 02/15/28 | 3.101 | 2,286,125 | ||||||||
1,940,000 | Palmer Square Loan Funding, Ltd. 2019-3A (3-Month USD- LIBOR + 2.100%)1,3 | 08/20/27 | 3.578 | 1,940,004 | ||||||||
654,061 | ReadyCap Lending Small Business Loan Trust 2019-2 (U.S. Prime Rate - 0.500%)1,3 | 12/27/44 | 4.250 | 621,274 | ||||||||
5,150,000 | Regional Management Issuance Trust 2022-11 | 03/15/32 | 3.070 | 4,842,689 | ||||||||
2,060,000 | Republic Finance Issuance Trust 2020-A1 | 11/20/30 | 2.470 | 1,976,614 | ||||||||
2,130,000 | Sabey Data Center Issuer LLC 2020-11 | 04/20/45 | 3.812 | 2,070,788 | ||||||||
1,500,000 | Santander Drive Auto Receivables Trust 2020-1 | 12/15/25 | 4.110 | 1,498,808 | ||||||||
1,940,000 | Santander Revolving Auto Loan Trust 2019-A1 | 01/26/32 | 2.510 | 1,866,378 | ||||||||
2,310,000 | Southwick Park CLO LLC 2019-4A (3-Month USD-LIBOR + 1.060%)1,3 | 07/20/32 | 3.770 | 2,243,550 | ||||||||
2,153,808 | Stack Infrastructure Issuer LLC 2019-1A1 | 02/25/44 | 4.540 | 2,141,577 | ||||||||
480,350 | SWC Funding LLC 2018-1A1,2 | 08/15/33 | 4.750 | 467,313 | ||||||||
1,542,149 | Textainer Marine Containers VII, Ltd. 2020-1A1 | 08/21/45 | 2.730 | 1,458,078 | ||||||||
4,829,781 | Thrust Engine Leasing DAC 2021-1A1 | 07/15/40 | 4.163 | 4,336,351 | ||||||||
5,827,053 | VC 3 LS LP 2021-B1 | 10/15/41 | 4.750 | 5,127,807 | ||||||||
2,007,118 | VCP RRL ABS I Ltd. 2021-1A1 | 10/20/31 | 2.152 | 1,896,192 | ||||||||
1,205,018 | WRG Debt Funding IV LLC 2020-11,2 | 07/15/28 | 6.535 | 1,204,102 | ||||||||
Total Asset Backed Securities | ||||||||||||
(Cost $109,036,807) | 103,648,074 | |||||||||||
COMMERCIAL MORTGAGE BACKED SECURITIES (7.9%) | ||||||||||||
1,390,000 | BPR Trust 2022-OANA (1-Month CME Term SOFR+ 2.697%)1,3 | 04/15/37 | 4.656 | 1,343,451 | ||||||||
4,740,000 | BX Commercial Mortgage Trust 2022-CSMO (1-Month CME Term SOFR + 3.889%)1,3 | 06/15/27 | 5.847 | 4,656,844 | ||||||||
2,190,000 | BXMT, Ltd. 2020-FL2 (1-Month CME Term SOFR + 1.014%)1,3 | 02/15/38 | 2.973 | 2,165,328 | ||||||||
1,250,000 | BXMT, Ltd. 2020-FL3 (30-Day SOFR + 2.664%)1,3 | 11/15/37 | 4.623 | 1,218,582 | ||||||||
786,000 | CG-CCRE Commercial Mortgage Trust 2014-FL2 (1-Month USD-LIBOR + 4.000%)1,3 | 11/15/31 | 4.184 | 621,254 | ||||||||
146,085 | CG-CCRE Commercial Mortgage Trust 2014-FL2 (1-Month USD-LIBOR + 4.250%)1,2,3 | 11/15/31 | 6.236 | 129,066 | ||||||||
1,375,473 | CG-CCRE Commercial Mortgage Trust 2014-FL2 (1-Month USD-LIBOR + 5.000%)1,2,3 | 11/15/31 | 7.015 | 1,069,567 | ||||||||
890,000 | Citigroup Commercial Mortgage Trust 2019-SMRT1 | 01/10/36 | 4.149 | 883,343 | ||||||||
3,540,000 | CSMC 2018-SITE1,3,4 | 04/15/36 | 4.941 | 3,385,408 | ||||||||
5,870,000 | DFVI 2021-1A1,2 | 12/15/29 | 2.982 | 5,691,607 | ||||||||
1,000,000 | Hudsons Bay Simon JV Trust 2015-HB101,3,4 | 08/05/34 | 5.629 | 753,925 |
BBH INCOME FUND
PORTFOLIO OF INVESTMENTS (continued)
July 31, 2022 (unaudited)
Principal Amount | Maturity Date | Interest Rate | Value | |||||||||
COMMERCIAL MORTGAGE BACKED SECURITIES (continued) | ||||||||||||
$ | 3,150,000 | Intown Mortgage Trust 2022-D (1-Month CME Term SOFR + 4.134%)1,3 | 08/15/37 | 6.384 | % | $ | 3,134,248 | |||||
240,000 | JPMBB Commercial Mortgage Securities Trust 2014-C241,3,4 | 11/15/47 | 4.030 | 156,569 | ||||||||
2,691,735 | Morgan Stanley Capital I Trust 2019-BPR (1-Month USD-LIBOR + 1.650%)1,3 | 05/15/36 | 3.649 | 2,612,645 | ||||||||
5,860,000 | MTN Commercial Mortgage Trust 2022-LPFL (1-Month CME Term SOFR + 1.896%)1,3 | 03/15/39 | 3.854 | 5,617,547 | ||||||||
1,085,792 | NADG NNN Operating LP 2019-11 | 12/28/49 | 3.368 | 1,039,295 | ||||||||
3,964,429 | Ready Capital Mortgage Financing LLC 2021-FL7 (1-Month USD-LIBOR + 1.200%)1,3 | 11/25/36 | 3.459 | 3,826,653 | ||||||||
2,270,000 | SPGN Mortgage Trust 2022-TFLM (1-Month CME Term SOFR + 2.650%)1,3 | 02/15/39 | 4.609 | 2,161,585 | ||||||||
1,310,000 | SPGN Mortgage Trust 2022-TFLM (1-Month CME Term SOFR + 3.500%)1,3 | 02/15/39 | 5.459 | 1,242,592 | ||||||||
890,000 | STWD, Ltd. 2019-FL1 (1-Month CME Term SOFR + 1.714%)1,3 | 07/15/38 | 3.815 | 881,249 | ||||||||
9,507 | UBS-BAMLL Trust 2012-WRM1 | 06/10/30 | 3.663 | 9,491 | ||||||||
2,915,000 | Wells Fargo Commercial Mortgage Trust 2020-SDAL (1-Month USD-LIBOR + 1.340%)1,3 | 02/15/37 | 3.339 | 2,810,102 | ||||||||
Total Commercial Mortgage Backed Securities | ||||||||||||
(Cost $47,404,183) | 45,410,351 | |||||||||||
CORPORATE BONDS (44.8%) | ||||||||||||
AEROSPACE/DEFENSE (1.4%) | ||||||||||||
2,220,000 | BAE Systems, Plc.1 | 04/15/30 | 3.400 | 2,098,860 | ||||||||
3,250,000 | Boeing Co. | 05/01/23 | 4.508 | 3,259,328 | ||||||||
2,700,000 | Boeing Co. | 02/01/28 | 3.250 | 2,510,003 | ||||||||
7,868,191 | ||||||||||||
AIRLINES (0.2%) | ||||||||||||
880,000 | Delta Air Lines, Inc./SkyMiles IP, Ltd1 | 10/20/28 | 4.750 | 859,494 | ||||||||
AUTO MANUFACTURERS (0.4%) | ||||||||||||
2,230,000 | General Motors Co. | 10/15/29 | 5.400 | 2,229,047 | ||||||||
BANKS (7.2%) | ||||||||||||
2,790,000 | ASB Bank Ltd. (5-Year CMT Index + 2.250%)1,3 | 06/17/32 | 5.284 | 2,790,039 | ||||||||
1,635,000 | Bank Leumi Le-Israel BM1 | 07/27/27 | 5.125 | 1,667,700 | ||||||||
5,910,000 | Bank of America Corp. (5-Year CMT Index + 2.760%)3,5 | 4.375 | 5,363,325 | |||||||||
1,365,000 | Bank of New Zealand1 | 02/20/24 | 3.500 | 1,363,338 | ||||||||
3,095,000 | Bank of Nova Scotia | 03/11/27 | 2.951 | 2,978,445 | ||||||||
1,735,000 | HSBC Holdings, Plc | 03/31/30 | 4.950 | 1,750,099 | ||||||||
1,140,000 | HSBC Holdings, Plc (SOFR + 2.387%)3 | 06/04/31 | 2.848 | 978,394 |
BBH INCOME FUND
PORTFOLIO OF INVESTMENTS (continued)
July 31, 2022 (unaudited)
Principal Amount | Maturity Date | Interest Rate | Value | |||||||||
CORPORATE BONDS (continued) | ||||||||||||
BANKS (continued) | ||||||||||||
$ | 2,020,000 | JPMorgan Chase & Co. (3-Month CME Term SOFR + 1.585%)3 | 03/13/26 | 2.005 | % | $ | 1,910,243 | |||||
2,340,000 | Lloyds Banking Group, Plc | 05/08/25 | 4.450 | 2,351,619 | ||||||||
2,440,000 | Mitsubishi UFJ Financial Group, Inc. | 07/17/25 | 1.412 | 2,265,751 | ||||||||
1,410,000 | Morgan Stanley (SOFR + 1.990%)3 | 04/28/26 | 2.188 | 1,342,660 | ||||||||
2,000,000 | Morgan Stanley (SOFR + 1.610%)3 | 04/20/28 | 4.210 | 2,000,324 | ||||||||
3,310,000 | Toronto-Dominion Bank | 03/10/27 | 2.800 | 3,168,815 | ||||||||
1,525,000 | UBS Group AG (1-Year CMT Index + 1.750%)1,3 | 05/12/28 | 4.751 | 1,527,534 | ||||||||
6,100,000 | US Bancorp (5-Year CMT Index + 2.541%)3,5 | 3.700 | 5,080,522 | |||||||||
1,245,000 | Wells Fargo & Co. (SOFR + 2.000%)3 | 04/30/26 | 2.188 | 1,180,883 | ||||||||
1,165,000 | Wells Fargo & Co. (SOFR + 2.100%)3 | 06/02/28 | 2.393 | 1,068,311 | ||||||||
3,020,000 | Wells Fargo & Co. (SOFR + 1.500%)3 | 03/02/33 | 3.350 | 2,773,236 | ||||||||
41,561,238 | ||||||||||||
BEVERAGES (0.2%) | ||||||||||||
1,310,000 | Anheuser-Busch InBev Worldwide, Inc. | 01/23/39 | 5.450 | 1,404,226 | ||||||||
BIOTECHNOLOGY (0.2%) | ||||||||||||
1,395,000 | Amgen, Inc. | 02/21/27 | 2.200 | 1,323,476 | ||||||||
BUILDING MATERIALS (0.4%) | ||||||||||||
2,530,000 | James Hardie International Finance DAC1 | 01/15/28 | 5.000 | 2,340,625 | ||||||||
DIVERSIFIED FINANCIAL SERVICES (5.4%) | ||||||||||||
2,160,000 | AerCap Ireland Capital DAC / AerCap Global Aviation Trust | 10/29/24 | 1.750 | 2,002,266 | ||||||||
485,000 | AerCap Ireland Capital DAC / AerCap Global Aviation Trust | 10/15/27 | 4.625 | 468,240 | ||||||||
1,265,000 | American Express Co. | 03/04/27 | 2.550 | 1,208,755 | ||||||||
1,250,000 | American Express Co. (SOFR + 2.255%)3 | 05/26/33 | 4.989 | 1,288,618 | ||||||||
2,330,000 | Aviation Capital Group LLC1 | 12/15/24 | 5.500 | 2,311,890 | ||||||||
2,685,000 | Avolon Holdings Funding, Ltd.1 | 07/01/24 | 3.950 | 2,587,263 | ||||||||
925,000 | Avolon Holdings Funding, Ltd.1 | 01/15/26 | 5.500 | 897,962 | ||||||||
3,055,000 | Bread Financial Holdings, Inc.1 | 12/15/24 | 4.750 | 2,825,875 | ||||||||
2,338,000 | Brightsphere Investment Group, Inc. | 07/27/26 | 4.800 | 2,158,418 | ||||||||
2,345,000 | Capital One Financial Corp. | 05/11/27 | 3.650 | 2,261,755 | ||||||||
2,485,000 | Drawbridge Special Opportunities Fund LP / Drawbridge Special Opportunities Finance1 | 02/15/26 | 3.875 | 2,313,251 | ||||||||
2,550,000 | GCM Grosvenor Diversified Alternatives Issuer LLC1,2 | 11/15/41 | 6.000 | 2,158,320 | ||||||||
2,050,000 | Oxford Finance LLC / Oxford Finance Co.-Issuer II, Inc.1 | 02/01/27 | 6.375 | 1,971,157 | ||||||||
4,620,000 | Sculptor Alternative Solutions LLC1,2 | 05/15/37 | 6.000 | 4,344,186 | ||||||||
2,655,000 | Strategic Credit Opportunities Partners LLC | 04/01/26 | 4.250 | 2,407,713 | ||||||||
31,205,669 | ||||||||||||
ELECTRIC (1.7%) | ||||||||||||
1,840,000 | Alabama Power Co. | 03/15/32 | 3.050 | 1,746,639 | ||||||||
1,635,000 | Avista Corp. | 04/01/52 | 4.000 | 1,506,714 |
BBH INCOME FUND
PORTFOLIO OF INVESTMENTS (continued)
July 31, 2022 (unaudited)
Principal Amount | Maturity Date | Interest Rate | Value | |||||||||
CORPORATE BONDS (continued) | ||||||||||||
ELECTRIC (continued) | ||||||||||||
$ | 5,065,000 | Edison International (5-Year CMT Index + 4.698%)3,5 | 5.375 | % | $ | 4,364,309 | ||||||
2,095,000 | Narragansett Electric Co.1 | 04/09/30 | 3.395 | 2,009,498 | ||||||||
9,627,160 | ||||||||||||
GAS (0.2%) | ||||||||||||
1,455,000 | Southern California Gas Co. | 04/15/27 | 2.950 | 1,424,505 | ||||||||
HEALTHCARE-SERVICES (0.4%) | ||||||||||||
2,545,000 | PeaceHealth Obligated Group | 11/15/50 | 3.218 | 1,954,698 | ||||||||
490,000 | Sutter Health | 08/15/30 | 2.294 | 431,454 | ||||||||
2,386,152 | ||||||||||||
INSURANCE (10.5%) | ||||||||||||
4,175,000 | Aegon NV (6-Month USD-LIBOR + 3.540%)3 | 04/11/48 | 5.500 | 4,029,676 | ||||||||
2,880,000 | Ascot Group, Ltd.1 | 12/15/30 | 4.250 | 2,695,967 | ||||||||
2,035,000 | Athene Global Funding1 | 06/29/25 | 2.550 | 1,927,883 | ||||||||
5,715,000 | AXIS Specialty Finance LLC (5-Year CMT Index + 3.186%)3 | 01/15/40 | 4.900 | 4,954,220 | ||||||||
4,210,000 | Doctors Co. An Interinsurance Exchange1 | 01/18/32 | 4.500 | 3,841,226 | ||||||||
1,600,000 | Enstar Finance LLC (5-Year CMT Index + 5.468%)3 | 09/01/40 | 5.750 | 1,494,878 | ||||||||
4,100,000 | Enstar Finance LLC (5-Year CMT Index + 4.006%)3 | 01/15/42 | 5.500 | 3,517,674 | ||||||||
2,195,000 | Fairfax Financial Holdings, Ltd. | 04/29/30 | 4.625 | 2,141,015 | ||||||||
4,765,000 | Fidelis Insurance Holdings, Ltd. (5-Year CMT Index + 6.323%)1,3 | 04/01/41 | 6.625 | 4,669,700 | ||||||||
965,000 | First American Financial Corp. | 08/15/31 | 2.400 | 763,093 | ||||||||
2,720,000 | Guardian Life Global Funding1 | 03/29/27 | 3.246 | 2,651,371 | ||||||||
1,690,000 | Metropolitan Life Global Funding I1 | 03/21/29 | 3.300 | 1,612,820 | ||||||||
1,580,000 | Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen (5-Year CMT Index + 3.982%)1,3 | 05/23/42 | 5.875 | 1,645,238 | ||||||||
1,180,000 | New York Life Insurance Co.1 | 05/15/50 | 3.750 | 1,004,120 | ||||||||
3,708,000 | PartnerRe Finance B LLC (5-Year CMT Index + 3.815%)3 | 10/01/50 | 4.500 | 3,272,310 | ||||||||
2,995,000 | Sirius International Group, Ltd.1 | 11/01/26 | 4.600 | 2,605,650 | ||||||||
3,125,000 | Stewart Information Services Corp. | 11/15/31 | 3.600 | 2,671,677 | ||||||||
4,830,000 | Swiss Re Finance Luxembourg S.A. (5-Year CMT Index + 3.582%)1,3 | 04/02/49 | 5.000 | 4,598,257 | ||||||||
2,520,000 | Teachers Insurance & Annuity Association of America1 | 05/15/50 | 3.300 | 1,985,190 | ||||||||
2,660,000 | United Insurance Holdings Corp. | 12/15/27 | 6.250 | 2,593,337 | ||||||||
6,280,000 | Universal Insurance Holdings, Inc. | 11/30/26 | 5.625 | 6,060,607 | ||||||||
60,735,909 | ||||||||||||
INVESTMENT COMPANIES (8.2%) | ||||||||||||
2,960,000 | Apollo Investment Corp. | 07/16/26 | 4.500 | 2,636,218 | ||||||||
2,490,000 | Capital Southwest Corp. | 01/31/26 | 4.500 | 2,290,800 | ||||||||
1,635,000 | CION Investment Corp.2 | 02/11/26 | 4.500 | 1,519,107 | ||||||||
5,725,000 | Fairfax India Holdings Corp.1 | 02/26/28 | 5.000 | 5,206,659 |
BBH INCOME FUND
PORTFOLIO OF INVESTMENTS (continued)
July 31, 2022 (unaudited)
Principal Amount | Maturity Date | Interest Rate | Value | |||||||||
CORPORATE BONDS (continued) | ||||||||||||
INVESTMENT COMPANIES (continued) | ||||||||||||
$ | 200,000 | Franklin BSP Lending Corp.1 | 12/30/22 | 4.750 | % | $ | 199,116 | |||||
2,930,000 | Franklin BSP Lending Corp.1 | 12/15/24 | 4.850 | 2,827,075 | ||||||||
1,370,000 | FS KKR Capital Corp. | 02/01/25 | 4.125 | 1,315,147 | ||||||||
3,450,000 | FS KKR Capital Corp.1 | 02/14/25 | 4.250 | 3,297,826 | ||||||||
2,330,000 | Gladstone Capital Corp. | 01/31/26 | 5.125 | 2,213,500 | ||||||||
2,580,000 | Golub Capital BDC, Inc. | 04/15/24 | 3.375 | 2,493,431 | ||||||||
1,965,000 | Main Street Capital Corp. | 05/01/24 | 5.200 | 1,966,436 | ||||||||
3,185,000 | Morgan Stanley Direct Lending Fund | 02/11/27 | 4.500 | 2,905,498 | ||||||||
2,095,000 | OFS Capital Corp. | 02/10/26 | 4.750 | 1,956,426 | ||||||||
1,445,000 | Owl Rock Capital Corp. II1 | 11/26/24 | 4.625 | 1,382,704 | ||||||||
2,560,000 | Owl Rock Technology Finance Corp.1 | 06/30/25 | 6.750 | 2,539,728 | ||||||||
2,535,000 | PennantPark Floating Rate Capital, Ltd. | 04/01/26 | 4.250 | 2,342,400 | ||||||||
3,025,000 | Saratoga Investment Corp. | 02/28/26 | 4.375 | 2,807,690 | ||||||||
3,050,000 | Silver Point Specialty Credit Fund, L.P.2 | 11/04/26 | 4.000 | 2,837,593 | ||||||||
1,775,000 | Stellus Capital Investment Corp. | 03/30/26 | 4.875 | 1,678,519 | ||||||||
3,165,000 | Trinity Capital, Inc. | 12/15/26 | 4.250 | 2,807,288 | ||||||||
47,223,161 | ||||||||||||
OIL&GAS (1.0%) | ||||||||||||
2,280,000 | Equinor ASA | 04/06/25 | 2.875 | 2,257,245 | ||||||||
860,000 | Equinor ASA | 05/22/30 | 2.375 | 781,745 | ||||||||
2,610,000 | Exxon Mobil Corp. | 03/19/30 | 3.482 | 2,587,500 | ||||||||
5,626,490 | ||||||||||||
PACKAGING&CONTAINERS (0.2%) | ||||||||||||
1,465,000 | AptarGroup, Inc. | 03/15/32 | 3.600 | 1,343,134 | ||||||||
PHARMACEUTICALS (0.8%) | ||||||||||||
1,695,000 | AbbVie, Inc. | 05/14/25 | 3.600 | 1,695,286 | ||||||||
455,000 | AbbVie, Inc. | 05/14/35 | 4.500 | 461,561 | ||||||||
450,000 | AbbVie, Inc. | 05/14/36 | 4.300 | 447,112 | ||||||||
730,000 | Bausch Health Cos., Inc.1 | 06/01/28 | 4.875 | 581,263 | ||||||||
1,630,000 | Bristol-Myers Squibb Co. | 03/15/52 | 3.700 | 1,481,912 | ||||||||
4,667,134 | ||||||||||||
PIPELINES (2.6%) | ||||||||||||
4,045,000 | Energy Transfer LP (3-Month USD-LIBOR + 4.028%)3,5 | 6.250 | 3,173,762 | |||||||||
2,230,000 | EnLink Midstream LLC1 | 01/15/28 | 5.625 | 2,164,573 | ||||||||
2,230,000 | EnLink Midstream Partners, LP | 06/01/25 | 4.150 | 2,192,536 | ||||||||
2,430,000 | Harvest Midstream I LP1 | 09/01/28 | 7.500 | 2,321,428 | ||||||||
4,400,000 | MPLX LP (3-Month USD-LIBOR + 4.652%)3,5 | 6.875 | 4,219,553 | |||||||||
1,150,000 | Northriver Midstream Finance LP1 | 02/15/26 | 5.625 | 1,136,522 | ||||||||
15,208,374 |
BBH INCOME FUND
PORTFOLIO OF INVESTMENTS (continued)
July 31, 2022 (unaudited)
Principal Amount | Maturity Date | Interest Rate | Value | |||||||||
CORPORATE BONDS (continued) | ||||||||||||
PRIVATE EQUITY (0.3%) | ||||||||||||
$ | 2,095,000 | Apollo Management Holdings LP (5-Year CMT Index + 3.266%)1,3 | 01/14/50 | 4.950 | % | $ | 1,811,781 | |||||
REAL ESTATE INVESTMENT TRUSTS (2.5%) | ||||||||||||
5,075,000 | EF Holdco / EF Cayman Hold / Ellington Finance REIT Cayman/TRS / EF Cayman Non-MTM1 | 04/01/27 | 5.875 | 4,764,962 | ||||||||
2,065,000 | HAT Holdings I LLC / HAT Holdings II LLC1 | 06/15/26 | 3.375 | 1,819,151 | ||||||||
2,300,000 | HAT Holdings I LLC / HAT Holdings II LLC1 | 09/15/30 | 3.750 | 1,761,064 | ||||||||
1,380,000 | Scentre Group Trust 1/Scentre Group Trust 21 | 02/12/25 | 3.500 | 1,350,158 | ||||||||
1,945,000 | Scentre Group Trust 1/Scentre Group Trust 21 | 01/28/26 | 3.625 | 1,893,416 | ||||||||
1,345,000 | Scentre Group Trust 2 (5-Year CMT Index + 4.685%)1,3 | 09/24/80 | 5.125 | 1,144,421 | ||||||||
2,065,000 | Starwood Property Trust, Inc.1 | 01/15/27 | 4.375 | 1,892,785 | ||||||||
14,625,957 | ||||||||||||
RETAIL (0.5%) | ||||||||||||
3,450,000 | Nordstrom, Inc. | 04/01/30 | 4.375 | 2,894,440 | ||||||||
SEMICONDUCTORS (0.3%) | ||||||||||||
2,100,000 | ams-OSRAM AG1 | 07/31/25 | 7.000 | 1,984,500 | ||||||||
TELECOMMUNICATIONS (0.2%) | ||||||||||||
875,000 | Connect Finco S.a r.l. / Connect US Finco LLC1 | 10/01/26 | 6.750 | 855,776 | ||||||||
Total Corporate Bonds | ||||||||||||
(Cost $278,181,739) | 259,206,439 | |||||||||||
LOAN PARTICIPATIONS AND ASSIGNMENTS (18.3%) | ||||||||||||
5,110,000 | AAdvantage Loyality IP, Ltd. (3-Month USD-LIBOR + 4.750%)3 | 04/20/28 | 7.460 | 5,026,963 | ||||||||
3,333,418 | AHP Health Partners, Inc. (1-Month USD-LIBOR + 3.500%)3 | 08/24/28 | 5.872 | 3,140,713 | ||||||||
4,560,000 | Air Canada (3-Month USD-LIBOR + 3.500%)3 | 08/11/28 | 4.250 | 4,382,479 | ||||||||
2,376,227 | AL NGPL Holdings LLC (3-Month USD-LIBOR + 3.750%)3 | 04/14/28 | 6.098 | 2,336,425 | ||||||||
3,034,648 | Allen Media LLC (3-Month CME Term SOFR + 5.500%)3 | 02/10/27 | 7.704 | 2,652,282 | ||||||||
2,313,959 | Allspring Buyer LLC (3-Month USD-LIBOR + 3.250%)3 | 11/01/28 | 5.563 | 2,250,325 | ||||||||
955,000 | Allspring Buyer LLC (3-Month CME Term SOFR + 4.000%)3 | 11/01/28 | 6.054 | 933,513 | ||||||||
397,101 | Athenahealth Group, Inc. (3-Month USD-LIBOR + 3.500%)3 | 02/15/29 | 3.500 | 377,743 | ||||||||
2,342,899 | Athenahealth Group, Inc. (1-Month CME Term SOFR + 3.500%)3 | 02/15/29 | 5.653 | 2,228,682 | ||||||||
1,180,745 | Avolon TLB Borrower 1 (US) LLC Term B3 (1-Month USD-LIBOR + 1.750%)3 | 01/15/25 | 3.876 | 1,155,466 | ||||||||
1,941,796 | Axalta Coating Systems Dutch Holding B BV Term B3 (3-Month USD-LIBOR + 1.750%)3 | 06/01/24 | 4.000 | 1,924,805 | ||||||||
2,380,000 | Bausch Health Companies, Inc. (1-Month CME Term SOFR + 5.250%)3 | 02/01/27 | 7.174 | 1,996,225 |
BBH INCOME FUND
PORTFOLIO OF INVESTMENTS (continued)
July 31, 2022 (unaudited)
Principal Amount | Maturity Date | Interest Rate | Value | |||||||||
LOAN PARTICIPATIONS AND ASSIGNMENTS | ||||||||||||
(continued) | ||||||||||||
$ | 2,803,647 | BCP Renaissance Parent LLC Term B3 (3-Month CME Term SOFR + 3.500%)3 | 11/02/26 | 5.554 | % | $ | 2,725,369 | |||||
1,383,322 | Buckeye Partners LP Term B1 (1-Month USD-LIBOR + 2.250%)3 | 11/01/26 | 3.916 | 1,354,715 | ||||||||
3,630,000 | Central Parent, Inc. (3-Month CME Term SOFR + 4.500%)3 | 07/06/29 | 6.610 | 3,523,387 | ||||||||
1,916,239 | Clarios Global LP (1-Month USD-LIBOR + 3.250%)3 | 04/30/26 | 5.622 | 1,840,624 | ||||||||
3,860,631 | Connect Finco S.a.r.l. (1-Month USD-LIBOR + 3.500%)3 | 12/11/26 | 5.880 | 3,709,835 | ||||||||
2,500,000 | Delos Finance S.a.r.l. (3-Month USD-LIBOR + 1.750%)3 | 10/06/23 | 4.000 | 2,493,750 | ||||||||
4,080,065 | Eastern Power LLC (3-Month USD-LIBOR + 3.750%)3 | 10/02/25 | 6.000 | 3,352,671 | ||||||||
2,412,965 | Elanco Animal Health, Inc. (1-Month USD-LIBOR + 1.750%)3 | 08/01/27 | 3.463 | 2,330,394 | ||||||||
1,920,488 | Geon Performance Solutions LLC (Fka. Echo US Holdings LLC) (1-Month USD-LIBOR + 4.500%)3 | 08/18/28 | 6.872 | 1,858,072 | ||||||||
1,813,995 | GIP II Blue Holding, LP (3-Month USD-LIBOR + 4.500%)3 | 09/29/28 | 6.750 | 1,765,615 | ||||||||
1,567,806 | Global Medical Responce, Inc. (1-Month USD-LIBOR + 4.250%)3 | 03/14/25 | 6.622 | 1,494,966 | ||||||||
763,812 | Icon Plc. (3-Month USD-LIBOR + 2.250%)3 | 07/03/28 | 4.563 | 749,078 | ||||||||
3,065,665 | Icon Plc. (3-Month USD-LIBOR + 2.250%)3 | 07/03/28 | 4.563 | 3,006,528 | ||||||||
4,970,946 | ILPEA Parent, Inc. (1-Month USD-LIBOR + 4.500%)3 | 06/22/28 | 6.880 | 4,759,681 | ||||||||
1,781,332 | Iridium Satellite LLC Term B2 (1-Month USD-LIBOR + 2.500%)3 | 11/04/26 | 4.872 | 1,761,738 | ||||||||
2,841,300 | Jazz Pharmaceuticals Plc. (1-Month USD-LIBOR + 3.500%)3 | 05/05/28 | 5.872 | 2,771,461 | ||||||||
2,280,000 | LendingTree, Inc. Term B (1-Month USD-LIBOR + 3.750%)3 | 09/15/28 | 6.130 | 2,070,992 | ||||||||
2,913,750 | Lumen Technologies, Inc. Term A (1-Month USD-LIBOR + 2.000%)3 | 01/31/25 | 4.372 | 2,856,203 | ||||||||
3,042,375 | Medline Borrower, LP (1-Month USD-LIBOR + 3.250%)3 | 10/23/28 | 5.622 | 2,900,722 | ||||||||
3,062,325 | MIP V Waste LLC (1-Month USD-LIBOR + 3.250%)3 | 12/08/28 | 5.622 | 2,960,258 | ||||||||
3,051,938 | MPH Acquisition Holdings LLC (3-Month USD-LIBOR + 4.250%)3 | 09/01/28 | 5.825 | 2,822,188 | ||||||||
2,680,878 | NorthRiver Midstream Finance LP Term B (3-Month USD-LIBOR + 3.250%)3 | 10/01/25 | 5.527 | 2,645,463 | ||||||||
5,588,550 | OCM System One Buyer CTB LLC (1-Month CME Term SOFR + 4.000%)3 | 03/02/28 | 6.427 | 5,295,151 | ||||||||
2,592,371 | Organon & Co. (3-Month USD-LIBOR + 3.000%)3 | 06/02/28 | 4.625 | 2,543,764 | ||||||||
3,080,000 | Propulsion (BC) Midco S.a.r.l.3 | 02/10/29 | 6.270 | 2,956,800 | ||||||||
2,110,000 | SkyMiles IP, Ltd. (3-Month USD-LIBOR + 3.750%)3 | 10/20/27 | 6.460 | 2,129,518 | ||||||||
3,742,625 | United AirLines, Inc. Term B (3-Month USD-LIBOR + 3.750%)3 | 04/21/28 | 6.533 | 3,595,727 | ||||||||
1,134,400 | Verscend Holding Corp. Term B (1-Month USD-LIBOR + 4.000%)3 | 08/27/25 | 6.372 | 1,102,501 | ||||||||
1,804,190 | Vistra Operations Company LLC (fka Tex Operations Co. LLC) (1-Month USD-LIBOR + 1.750%)3 | 12/31/25 | 4.079 | 1,767,439 |
BBH INCOME FUND
PORTFOLIO OF INVESTMENTS (continued)
July 31, 2022 (unaudited)
Principal Amount | Maturity Date | Interest Rate | Value | |||||||||
LOAN PARTICIPATIONS AND ASSIGNMENTS | ||||||||||||
(continued) | ||||||||||||
$ | 2,145,000 | Wyndham Hotels & Resorts, Inc. Term B (1-Month USD-LIBOR + 1.750%)3 | 05/30/25 | 4.122 | % | $ | 2,113,275 | |||||
Total Loan Participations and Assignments | ||||||||||||
(Cost $110,144,277) | 105,663,506 | |||||||||||
MUNICIPAL BONDS (1.0%) | ||||||||||||
1,645,000 | Indiana Finance Authority, Revenue Bonds | 03/01/51 | 3.313 | 1,250,330 | ||||||||
5,605,000 | Port Authority of New York & New Jersey, Revenue Bonds | 10/01/33 | 2.000 | 4,766,469 | ||||||||
Total Municipal Bonds | ||||||||||||
(Cost $7,334,374) | 6,016,799 | |||||||||||
PREFERRED STOCK (3.1%) | ||||||||||||
178,600 | Eagle Point Credit Co., Inc. | 01/31/29 | 5.375 | 4,104,228 | ||||||||
99,600 | First Eagle Alternative Capital BDC, Inc. | 05/25/26 | 5.000 | 2,370,480 | ||||||||
132,600 | Gladstone Investment Corp. | 11/01/28 | 4.875 | 3,177,096 | ||||||||
93,600 | Horizon Technology Finance Corp. | 03/30/26 | 4.875 | 2,292,264 | ||||||||
130,800 | Oxford Lane Capital Corp. | 01/31/27 | 5.000 | 3,028,020 | ||||||||
114,000 | Trinity Capital, Inc. | 01/16/25 | 7.000 | 2,841,450 | ||||||||
Total Preferred Stock | ||||||||||||
(Cost $18,770,836) | 17,813,538 | |||||||||||
RESIDENTIAL MORTGAGE BACKED SECURITIES (0.3%) | ||||||||||||
541,920 | Cascade Funding Mortgage Trust 2018-RM21,3,4 | 10/25/68 | 4.000 | 532,736 | ||||||||
745,930 | Cascade Funding Mortgage Trust 2019-RM31,3,4 | 06/25/69 | 2.800 | 725,342 | ||||||||
387,597 | RMF Proprietary Issuance Trust 2019-11,3,4 | 10/25/63 | 2.750 | 378,700 | ||||||||
Total Residential Mortgage Backed Securities | ||||||||||||
(Cost $1,670,833) | 1,636,778 | |||||||||||
U.S. TREASURY BONDS AND NOTES (4.0%) | ||||||||||||
25,950,000 | U.S. Treasury Bond6 | 08/15/41 | 1.750 | 20,273,437 | ||||||||
700,000 | U.S. Treasury Note6 | 02/15/23 | 2.000 | 696,637 | ||||||||
1,200,000 | U.S. Treasury Note6 | 10/31/23 | 1.625 | 1,180,594 | ||||||||
300,000 | U.S. Treasury Note6 | 08/15/26 | 1.500 | 285,480 | ||||||||
500,000 | U.S. Treasury Note6 | 08/31/28 | 1.125 | 454,922 | ||||||||
150,000 | U.S. Treasury Note6 | 12/31/28 | 1.375 | 138,340 | ||||||||
Total U.S. Treasury Bonds and Notes | ||||||||||||
(Cost $25,227,664) | 23,029,410 | |||||||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS (0.2%) | ||||||||||||
1,000,000 | Federal Home Loan Bank Discount Notes7 | 08/01/22 | 0.000 | 1,000,000 | ||||||||
Total U.S. Government Agency Obligations | ||||||||||||
(Cost $1,000,000) | 1,000,000 |
BBH INCOME FUND
PORTFOLIO OF INVESTMENTS (continued)
July 31, 2022 (unaudited)
Principal Amount | Maturity Date | Interest Rate | Value | |||||||||
U.S. TREASURY BILLS (0.7%) | ||||||||||||
$ | 4,000,000 | U.S. Treasury Bill7 | 08/16/22 | 0.000 | % | $ | 3,996,690 | |||||
300,000 | U.S. Treasury Bill6,7 | 09/08/22 | 0.000 | 299,761 | ||||||||
Total U.S. Treasury Bills | ||||||||||||
(Cost $4,296,451) | 4,296,451 |
TOTAL INVESTMENTS (Cost $603,067,164)8 | 98.2 | % | $ | 567,721,346 | ||||
CASH AND OTHER ASSETS IN EXCESS OF LIABILITIES | 1.8 | % | 10,284,827 | |||||
NET ASSETS | 100.0 | % | $ | 578,006,173 |
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 July 31, 2022 was $252,063,178 or 43.6% of net assets. |
2 | Security that used significant unobservable inputs to determine fair value. |
3 | Variable rate instrument. Interest rates change on specific dates (such as coupon or interest payment date). The yield shown represents the July 31, 2022 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 | Security is perpetual in nature and has no stated maturity date. |
6 | All or a portion of this security is held at the broker as collateral for open futures contracts. |
7 | Security issued with zero coupon. Income is recognized through accretion of discount. |
8 | The aggregate cost for federal income tax purposes is $603,067,164, the aggregate gross unrealized appreciation is $2,760,988 and the aggregate gross unrealized depreciation is $35,928,170, resulting in net unrealized depreciation of $33,167,182. |
Abbreviations:
CMT – Constant Maturity Treasury.
LIBOR – London Interbank Offered Rate.
SOFR – Secured Overnight Financing Rate.
FINANCIAL FUTURES CONTRACTS
The following futures contracts were open at July 31, 2022:
Description | Number of Contracts | Expiration Date | Notional Amount | Market Value | Unrealized Gain / (Loss) | |||||||||||
Contracts to Buy: | ||||||||||||||||
U.S. Long Bond | 100 | September 2022 | $ | 14,093,750 | $ | 14,400,000 | $ | 306,250 | ||||||||
U.S. Treasury 5-Year Notes | 462 | September 2022 | 52,297,055 | 52,541,672 | 244,617 | |||||||||||
U.S. Treasury 10-Year Notes | 694 | September 2022 | 82,732,098 | 84,071,594 | 1,339,496 | |||||||||||
U.S. Ultra 10-Year Notes | 163 | September 2022 | 21,111,924 | 21,393,750 | 281,826 | |||||||||||
U.S. Ultra Bond | 245 | September 2022 | 38,833,163 | 38,786,563 | (46,600 | ) | ||||||||||
$ | 2,125,589 | |||||||||||||||
Contracts to Sell: | ||||||||||||||||
U.S. Treasury 2-Year Notes | 70 | September 2022 | $ | 14,785,313 | $ | 14,732,266 | $ | 53,047 | ||||||||
Net Unrealized Gain on Open Futures Contracts | $ | 2,178,636 |
BBH INCOME FUND
PORTFOLIO OF INVESTMENTS (continued)
July 31, 2022 (unaudited)
FAIR VALUE MEASUREMENTS
BBH Income 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 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.
BBH INCOME FUND
PORTFOLIO OF INVESTMENTS (continued)
July 31, 2022 (unaudited)
The following table summarizes the valuation of the Fund’s investments by the above fair value hierarchy levels as of July 31, 2022.
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 July 31, 2022 | |||||||||
Asset Backed Securities | $ | – | $ | 95,061,220 | $ | 8,586,854 | $ | 103,648,074 | |||||
Commercial Mortgage Backed Securities | – | 38,520,111 | 6,890,240 | 45,410,351 | |||||||||
Corporate Bonds | – | 248,347,233 | 10,859,206 | 259,206,439 | |||||||||
Loan Participations and Assignments | – | 105,663,506 | – | 105,663,506 | |||||||||
Municipal Bonds | – | 6,016,799 | – | 6,016,799 | |||||||||
Preferred Stock | 17,813,538 | – | – | 17,813,538 | |||||||||
Residential Mortgage Backed Securities | – | 1,636,778 | – | 1,636,778 | |||||||||
U.S. Government Agency Obligations | – | 1,000,000 | – | 1,000,000 | |||||||||
U.S. Treasury Bonds and Notes | – | 23,029,410 | – | 23,029,410 | |||||||||
U.S. Treasury Bills | – | 4,296,451 | – | 4,296,451 | |||||||||
Total Investment, at value | $ | 17,813,538 | $ | 523,571,508 | $ | 26,336,300 | $ | 567,721,346 | |||||
Other Financial Instruments, at value | |||||||||||||
Financial Futures Contracts | $ | 2,178,636 | $ | – | $ | – | $ | 2,178,636 | |||||
Other Financial Instruments, at value | $ | 2,178,636 | $ | – | $ | – | $ | 2,178,636 |
The following is a reconciliation of assets for which significant unobservable inputs (Level 3) were used in determining fair value during the period ended July 31, 2022:
Asset Backed Securities | Commercial Mortgage Backed Securities | Corporate Bonds | Total | ||||||||||
Balance as of October 31, 2021 | $ | 11,932,402 | $ | 1,309,688 | $ | 4,687,961 | $ | 17,930,051 | |||||
Purchases | 2,270,000 | 5,870,000 | 7,170,000 | 15,310,000 | |||||||||
Sales / Paydowns | (2,062,005 | ) | - | - | (2,062,005 | ) | |||||||
Realized gains (losses) | 1 | - | - | 1 | |||||||||
Change in unrealized appreciation (depreciation) | (962,830 | ) | (290,345 | ) | (998,755 | ) | (2,251,930 | ) | |||||
Amortization | (3 | ) | 897 | - | 894 | ||||||||
Transfers from Level 3 | (5,127,807 | ) | - | - | (5,127,807 | ) | |||||||
Transfers to Level 3 | 2,537,096 | - | - | 2,537,096 | |||||||||
Balance as of July 31, 2022 | $ | 8,586,854 | $ | 6,890,240 | $ | 10,859,206 | $ | 26,336,300 |
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.