BBH LIMITED DURATION FUND
PORTFOLIO OF INVESTMENTS
July 31, 2023 (unaudited)
Principal Amount | Maturity Date | Interest Rate | Value | |||||||||||
ASSET BACKED SECURITIES (22.8%) | ||||||||||||||
$ | 10,000,000 | AGL Core CLO 2, Ltd. 2019-2A (3-Month CME Term SOFR + 1.652%)1,2 | 04/20/32 | 6.978 | % | $ | 9,993,326 | |||||||
10,378,861 | AIM Aviation Finance, Ltd. 2015-1A1 | 02/15/40 | 6.213 | 6,258,650 | ||||||||||
8,198,097 | Amur Equipment Finance Receivables X LLC 2022-1A1 | 10/20/27 | 1.640 | 7,877,893 | ||||||||||
8,000,000 | Amur Equipment Finance Receivables XII LLC 2023-1A1 | 12/20/29 | 6.090 | 7,983,277 | ||||||||||
8,985,404 | ARI Fleet Lease Trust 2022-A1 | 01/15/31 | 3.120 | 8,852,755 | ||||||||||
38,021,733 | Audax Senior Debt CLO III LLC 2020-1A (3-Month CME Term SOFR + 1.872%)1,2 | 01/20/30 | 7.198 | 37,832,761 | ||||||||||
11,930,000 | Avis Budget Rental Car Funding AESOP LLC 2023-3A1 | 02/22/28 | 5.440 | 11,736,901 | ||||||||||
3,168,255 | Bankers Healthcare Group Securitization Trust 2020-A1 | 09/17/31 | 2.560 | 3,111,240 | ||||||||||
20,619,601 | BHG Securitization Trust 2022-A1 | 02/20/35 | 1.710 | 19,850,675 | ||||||||||
14,580,688 | BHG Securitization Trust 2023-A1 | 04/17/36 | 5.550 | 14,370,277 | ||||||||||
12,410,000 | BlackRock Elbert CLO V LLC 5A (3-Month CME Term SOFR + 1.850%)1,2 | 06/15/34 | 7.104 | 12,299,350 | ||||||||||
4,733,004 | Business Jet Securities LLC 2020-1A1 | 11/15/35 | 2.981 | 4,425,406 | ||||||||||
9,269,961 | Business Jet Securities LLC 2022-1A1 | 06/15/37 | 4.455 | 8,797,564 | ||||||||||
44,170,000 | California Street CLO IX LP 2012-9A (3-Month CME Term SOFR + 1.362%)1,2 | 07/16/32 | 6.670 | 43,720,129 | ||||||||||
29,280,000 | Carlyle US CLO, Ltd. 2019-2A (3-Month CME Term SOFR + 1.382%)1,2 | 07/15/32 | 6.690 | 29,131,190 | ||||||||||
1,917,941 | CarMax Auto Owner Trust 2022-1 | 02/18/25 | 0.910 | 1,912,390 | ||||||||||
20,470,169 | CARS-DB4 LP 2020-1A1 | 02/15/50 | 3.190 | 19,133,942 | ||||||||||
22,918,037 | CF Hippolyta Issuer LLC 2020-11 | 07/15/60 | 1.690 | 20,641,524 | ||||||||||
6,657,106 | Chesapeake Funding II LLC 2020-1A1 | 08/15/32 | 0.870 | 6,618,129 | ||||||||||
13,859,643 | Chesapeake Funding II LLC 2023-1A1 | 05/15/35 | 5.650 | 13,749,036 | ||||||||||
25,000,000 | Churchill MMSLF CLO-I LP 2021-2A (3-Month USD-LIBOR + 1.450%)1,2 | 10/01/32 | 6.980 | 24,270,940 | ||||||||||
1,887,771 | CIG Auto Receivables Trust 2021-1A1 | 04/14/25 | 0.690 | 1,880,000 | ||||||||||
11,711,430 | Credit Acceptance Auto Loan Trust 2020-3A1 | 10/15/29 | 1.240 | 11,652,001 | ||||||||||
6,470,000 | Credit Acceptance Auto Loan Trust 2023-1A1 | 07/15/33 | 7.710 | 6,500,982 | ||||||||||
12,445,000 | Deerpath Capital CLO, Ltd. 2022-1A (3-Month CME Term SOFR + 1.950%)1,2 | 07/15/33 | 7.258 | 12,360,078 | ||||||||||
8,288,930 | Dell Equipment Finance Trust 2022-11 | 08/23/27 | 2.110 | 8,251,201 | ||||||||||
9,788,898 | Donlen Fleet Lease Funding 2 LLC 2021-21 | 12/11/34 | 0.560 | 9,556,825 | ||||||||||
17,180,000 | Dryden 93 CLO, Ltd. 2021-93A (3-Month CME Term SOFR + 1.342%)1,2 | 01/15/34 | 6.650 | 16,972,048 | ||||||||||
4,296,628 | ECAF I, Ltd. 2015-1A1 | 06/15/40 | 3.473 | 2,507,813 | ||||||||||
13,869,516 | Elm Trust 2020-3A1 | 08/20/29 | 2.954 | 12,911,943 | ||||||||||
10,755,391 | Enterprise Fleet Financing LLC 2022-11 | 01/20/28 | 3.030 | 10,498,803 | ||||||||||
12,500,000 | Enterprise Fleet Financing LLC 2022-41 | 10/22/29 | 5.760 | 12,468,586 | ||||||||||
6,448,078 | Exeter Automobile Receivables Trust 2022-6A | 11/17/25 | 5.730 | 6,443,903 | ||||||||||
2,356,086 | FCI Funding LLC 2021-1A1 | 04/15/33 | 1.130 | 2,265,757 | ||||||||||
20,527,442 | Finance of America HECM Buyout 2022-HB11,2,3 | 02/25/32 | 2.695 | 19,305,107 | ||||||||||
50,300,000 | Flexential Issuer 2021-1A1 | 11/27/51 | 3.250 | 44,033,772 | ||||||||||
10,892,631 | FNA LLC 2019-11,4 | 12/10/31 | 3.000 | 9,476,589 | ||||||||||
10,940,000 | Ford Credit Floorplan Master Owner Trust A 2023-11 | 05/15/28 | 4.920 | 10,805,988 | ||||||||||
2,253,370 | Foursight Capital Automobile Receivables Trust 2022-11 | 09/15/25 | 1.150 | 2,240,813 | ||||||||||
19,692,949 | Global SC Finance VII Srl 2020-1A1 | 10/17/40 | 2.170 | 17,549,759 | ||||||||||
20,289,318 | Global SC Finance VII Srl 2020-2A1 | 11/19/40 | 2.260 | 18,112,871 |
BBH LIMITED DURATION FUND
PORTFOLIO OF INVESTMENTS (continued)
July 31, 2023 (unaudited)
Principal Amount | Maturity Date | Interest Rate | Value | |||||||||||
ASSET BACKED SECURITIES (continued) | ||||||||||||||
$ | 50,750,000 | Golub Capital Partners ABS Funding, Ltd. 2021-2A1 | 10/19/29 | 2.944 | % | $ | 44,404,200 | |||||||
4,574,896 | HPEFS Equipment Trust 2022-1A1 | 05/21/29 | 1.020 | 4,555,762 | ||||||||||
21,000,000 | HTS Fund I LLC 2021-11 | 08/25/36 | 1.411 | 17,905,723 | ||||||||||
14,479,269 | LCM XXIV, Ltd. 24A (3-Month CME Term SOFR + 1.242%)1,2 | 03/20/30 | 6.568 | 14,407,985 | ||||||||||
38,827,232 | Madison Park Funding XXV, Ltd. 2017-25A (3-Month CME Term SOFR + 1.232%)1,2 | 04/25/29 | 6.583 | 38,659,327 | ||||||||||
1,454,071 | Mariner Finance Issuance Trust 2019-AA1 | 07/20/32 | 2.960 | 1,445,634 | ||||||||||
16,460,000 | Mariner Finance Issuance Trust 2020-AA1 | 08/21/34 | 2.190 | 15,868,526 | ||||||||||
8,450,000 | MCF CLO IX, Ltd. 2019-1A (3-Month CME Term SOFR + 1.500%)1,2 | 07/17/31 | 6.808 | 8,389,731 | ||||||||||
41,880,000 | Monroe Capital Income Plus ABS Funding LLC 2022-1A1 | 04/30/32 | 4.050 | 36,671,506 | ||||||||||
12,410,000 | Monroe Capital Mml CLO X, Ltd. 2020-1A (3-Month CME Term SOFR + 1.870%)1,2 | 05/20/34 | 6.999 | 12,288,958 | ||||||||||
47,600,000 | Neuberger Berman Loan Advisers CLO 34, Ltd. 2019-34A (3-Month CME Term SOFR + 1.240%)1,2 | 01/20/35 | 6.566 | 47,171,600 | ||||||||||
40,570,000 | New Residential Advance Receivables Trust Advance Receivables Backed 2020-T11 | 08/15/53 | 1.426 | 40,457,585 | ||||||||||
17,690,000 | NextGear Floorplan Master Owner Trust 2022-1A1 | 03/15/27 | 2.800 | 16,831,985 | ||||||||||
22,608,054 | NMEF Funding LLC 2022-A1 | 10/16/28 | 2.580 | 22,112,843 | ||||||||||
30,000,000 | Northwoods Capital XVIII, Ltd. 2019-18A (3-Month USD-LIBOR + 1.100%)1,2 | 05/20/32 | 6.479 | 29,648,697 | ||||||||||
24,700,000 | NRZ Advance Receivables Trust 2015-ON1 2020-T21 | 09/15/53 | 1.475 | 24,498,105 | ||||||||||
32,920,000 | Octagon Investment Partners 20-R, Ltd. 2019-4A (3-Month USD-LIBOR + 1.150%)1,2 | 05/12/31 | 6.492 | 32,619,378 | ||||||||||
21,250,000 | OnDeck Asset Securitization Trust III LLC 2021-1A1 | 05/17/27 | 1.590 | 20,256,244 | ||||||||||
14,337,000 | OnDeck Asset Securitization Trust IV LLC 2023-1A1 | 08/19/30 | 7.000 | 14,314,567 | ||||||||||
14,640,000 | OneMain Financial Issuance Trust 2022-3A1 | 05/15/34 | 5.940 | 14,561,253 | ||||||||||
13,350,000 | OneMain Financial Issuance Trust 2022-S11 | 05/14/35 | 4.130 | 12,784,079 | ||||||||||
9,816,475 | Oportun Funding XIII LLC 2019-A1 | 08/08/25 | 3.080 | 9,665,561 | ||||||||||
56,210,000 | Oportun Issuance Trust 2021-C1 | 10/08/31 | 2.180 | 50,860,084 | ||||||||||
25,000,000 | Oportun Issuance Trust 2022-A1 | 06/09/31 | 5.050 | 24,282,917 | ||||||||||
12,782,118 | OSCAR US Funding XIV LLC 2022-1A1 | 03/10/25 | 1.600 | 12,647,736 | ||||||||||
25,930,000 | Oxford Finance Funding LLC 2022-1A1 | 02/15/30 | 3.602 | 23,886,597 | ||||||||||
39,116,953 | Palmer Square Loan Funding, Ltd. 2022-1A (3-Month CME Term SOFR + 1.050%)1,2 | 04/15/30 | 6.358 | 38,806,661 | ||||||||||
19,308,435 | Parliament CLO II, Ltd. 2021-2A (3-Month USD-LIBOR + 1.350%)1,2 | 08/20/32 | 6.729 | 19,162,909 | ||||||||||
34,720 | Pawnee Equipment Receivables Series LLC 2020-11 | 11/17/25 | 1.370 | 34,681 | ||||||||||
47,670,000 | PFS Financing Corp. 2022-A1 | 02/15/27 | 2.470 | 45,178,480 | ||||||||||
19,980,000 | PFS Financing Corp. 2022-C1 | 05/15/27 | 3.890 | 19,326,874 | ||||||||||
9,810,000 | PFS Financing Corp. 2023-A1 | 03/15/28 | 5.800 | 9,822,335 | ||||||||||
18,070,000 | Regional Management Issuance Trust 2020-11 | 10/15/30 | 2.340 | 17,402,160 | ||||||||||
16,470,000 | Republic Finance Issuance Trust 2020-A1 | 11/20/30 | 2.470 | 15,888,021 | ||||||||||
56,030,000 | Republic Finance Issuance Trust 2021-A1 | 12/22/31 | 2.300 | 51,473,355 | ||||||||||
10,500,000 | Santander Drive Auto Receivables Trust 2023-2 | 03/16/26 | 5.870 | 10,492,509 | ||||||||||
34,490,000 | Santander Revolving Auto Loan Trust 2019-A1 | 01/26/32 | 2.510 | 32,847,472 | ||||||||||
10,346,010 | SCF Equipment Leasing LLC 2022-1A1 | 02/22/28 | 2.060 | 10,187,005 | ||||||||||
8,532,721 | Shenton Aircraft Investment I, Ltd. 2015-1A1 | 10/15/42 | 4.750 | 7,198,280 |
BBH LIMITED DURATION FUND
PORTFOLIO OF INVESTMENTS (continued)
July 31, 2023 (unaudited)
Principal Amount | Maturity Date | Interest Rate | Value | |||||||||||
ASSET BACKED SECURITIES (continued) | ||||||||||||||
$ | 22,755,000 | Southwick Park CLO LLC 2019-4A (3-Month CME Term SOFR + 1.322%)1,2 | 07/20/32 | 6.648 | % | $ | 22,631,145 | |||||||
19,281,145 | Stack Infrastructure Issuer LLC 2019-1A1 | 02/25/44 | 4.540 | 19,019,890 | ||||||||||
19,160,000 | Stack Infrastructure Issuer LLC 2020-1A1 | 08/25/45 | 1.893 | 17,336,259 | ||||||||||
13,524,721 | SWC Funding LLC 2018-1A1 | 08/15/33 | 4.750 | 13,255,802 | ||||||||||
50,790,000 | Symphony CLO XXI, Ltd. 2019-21A (3-Month CME Term SOFR + 1.322%)1,2 | 07/15/32 | 6.630 | 50,242,692 | ||||||||||
12,760,000 | Synchrony Card Funding LLC 2022-A1 | 04/15/28 | 3.370 | 12,311,083 | ||||||||||
13,310,000 | TierPoint Issuer LLC 2023-1A1 | 06/25/53 | 6.000 | 12,763,518 | ||||||||||
12,920,000 | Vantage Data Centers Issuer LLC 2023-1A1 | 03/16/48 | 6.316 | 12,580,820 | ||||||||||
5,769,448 | Veros Auto Receivables Trust 2022-11 | 12/15/25 | 3.470 | 5,704,518 | ||||||||||
14,295,151 | VFI ABS LLC 2022-1A1 | 03/24/28 | 2.230 | 13,905,011 | ||||||||||
3,427,082 | Westlake Automobile Receivables Trust 2022-1A1 | 12/16/24 | 1.970 | 3,418,097 | ||||||||||
26,169,642 | Wheels Fleet Lease Funding 1 LLC 2022-1A1 | 10/18/36 | 2.470 | 25,569,643 | ||||||||||
18,550,000 | Wheels Fleet Lease Funding 1 LLC 2023-1A1 | 04/18/38 | 5.800 | 18,462,333 | ||||||||||
11,295,000 | World Financial Network Credit Card Master Trust 2023-A | 03/15/30 | 5.020 | 11,163,967 | ||||||||||
Total Asset Backed Securities (Cost $1,729,192,590) | 1,655,744,297 | |||||||||||||
COMMERCIAL MORTGAGE BACKED SECURITIES (6.2%) | ||||||||||||||
26,807,000 | BB-UBS Trust 2012-TFT1,2,3 | 06/05/30 | 3.678 | 21,207,669 | ||||||||||
9,350,000 | BLP Commercial Mortgage Trust 2023-IND (1-Month CME Term SOFR + 1.692%)1,2 | 03/15/40 | 6.914 | 9,309,738 | ||||||||||
20,300,000 | BPR Trust 2022-OANA (1-Month CME Term SOFR + 1.898%)1,2 | 04/15/37 | 7.120 | 19,848,565 | ||||||||||
9,630,020 | BX Commercial Mortgage Trust 2019-XL (1-Month CME Term SOFR + 1.034%)1,2 | 10/15/36 | 6.256 | 9,596,474 | ||||||||||
18,100,000 | BX Commercial Mortgage Trust 2022-CSMO (1-Month CME Term SOFR + 2.115%)1,2 | 06/15/27 | 7.336 | 18,116,991 | ||||||||||
44,618,626 | BX Commercial Mortgage Trust 2022-LP2 (1-Month CME Term SOFR + 1.013%)1,2 | 02/15/39 | 6.235 | 43,266,409 | ||||||||||
459,282 | BX Trust 2019-RP (1-Month CME Term SOFR + 1.159%)1,2 | 06/15/34 | 6.381 | 453,991 | ||||||||||
30,260,931 | BXMT, Ltd. 2020-FL2 (1-Month CME Term SOFR + 1.014%)1,2 | 02/15/38 | 6.236 | 29,088,320 | ||||||||||
20,990,000 | BXMT, Ltd. 2020-FL3 (1-Month CME Term SOFR + 1.514%)1,2 | 11/15/37 | 6.736 | 19,849,983 | ||||||||||
17,250,000 | BXMT, Ltd. 2021-FL4 (1-Month CME Term SOFR + 1.164%)1,2 | 05/15/38 | 6.386 | 16,379,727 | ||||||||||
31,329,000 | CG-CCRE Commercial Mortgage Trust 2014-FL2 (1-Month CME Term SOFR + 3.014%)1,2 | 11/15/31 | 8.236 | 28,646,984 | ||||||||||
11,715,000 | Commercial Mortgage Pass Through Certificate1 | 07/12/28 | 7.121 | 11,897,988 | ||||||||||
18,200,276 | HPLY Trust 2019-HIT (1-Month CME Term SOFR + 1.114%)1,2 | 11/15/36 | 6.336 | 18,040,044 | ||||||||||
23,600,000 | Life Mortgage Trust 2022-BMR2 (1-Month CME Term SOFR + 1.295%)1,2 | 05/15/39 | 6.517 | 23,233,867 | ||||||||||
17,953,835 | Med Trust 2021-MDLN (1-Month CME Term SOFR + 1.064%)1,2 | 11/15/38 | 6.286 | 17,520,852 | ||||||||||
33,690,000 | MHC Commercial Mortgage Trust 2021-MHC (1-Month CME Term SOFR + 0.915%)1,2 | 04/15/38 | 6.137 | 33,204,760 |
BBH LIMITED DURATION FUND
PORTFOLIO OF INVESTMENTS (continued)
July 31, 2023 (unaudited)
Principal Amount | Maturity Date | Interest Rate | Value | |||||||||||
COMMERCIAL MORTGAGE BACKED SECURITIES (continued) | ||||||||||||||
$ | 16,040,000 | MTN Commercial Mortgage Trust 2022-LPFL (1-Month CME Term SOFR + 1.397%)1,2 | 03/15/39 | 6.619 | % | $ | 15,776,395 | |||||||
768,871 | PFP, Ltd. 2021-7 (1-Month CME Term SOFR + 0.964%)1,2 | 04/14/38 | 6.186 | 760,036 | ||||||||||
19,929,476 | Ready Capital Mortgage Financing 2022-FL8 LLC (30-Day | |||||||||||||
SOFR + 1.650%)1,2 | 01/25/37 | 6.719 | 19,721,529 | |||||||||||
46,350,000 | SPGN 2022-TFLM Mortgage Trust (1-Month CME Term | |||||||||||||
SOFR + 1.550%)1,2 | 02/15/39 | 6.772 | 44,063,976 | |||||||||||
9,217,698 | STWD, Ltd. 2019-FL1 (1-Month CME Term SOFR + 1.194%)1,2 | 07/15/38 | 6.416 | 9,126,286 | ||||||||||
24,300,000 | Taubman Centers Commercial Mortgage Trust 2022-DPM (1-Month CME Term SOFR + 2.186%)1,2 | 05/15/37 | 7.408 | 23,656,871 | ||||||||||
20,000,000 | WMRK Commercial Mortgage Trust 2022-WMRK (1-Month CME Term SOFR + 2.789%)1,2 | 11/15/27 | 8.011 | 19,987,382 | ||||||||||
Total Commercial Mortgage Backed Securities (Cost $469,885,754) | 452,754,837 | |||||||||||||
CORPORATE BONDS (46.2%) | ||||||||||||||
AUTO MANUFACTURERS (1.2%) | ||||||||||||||
16,000,000 | Daimler Truck Finance North America LLC1 | 01/17/25 | 5.200 | 15,898,990 | ||||||||||
23,920,000 | General Motors Financial Co., Inc. | 04/06/26 | 5.400 | 23,780,889 | ||||||||||
11,055,000 | Hyundai Capital America1 | 03/30/26 | 5.500 | 11,007,776 | ||||||||||
13,795,000 | Hyundai Capital America1 | 06/26/26 | 5.650 | 13,760,419 | ||||||||||
25,455,000 | Mercedes-Benz Finance North America LLC1 | 03/30/26 | 4.800 | 25,236,914 | ||||||||||
89,684,988 | ||||||||||||||
BANKS (13.6%) | ||||||||||||||
51,125,000 | Bank of Montreal | 01/10/25 | 1.500 | 48,213,728 | ||||||||||
34,710,000 | Bank of New Zealand1 | 02/20/24 | 3.500 | 34,251,336 | ||||||||||
19,870,000 | Bank of New Zealand1 | 02/07/28 | 4.846 | 19,447,133 | ||||||||||
58,070,000 | Bank of Nova Scotia | 03/11/24 | 2.440 | 56,878,701 | ||||||||||
32,500,000 | Bank of Nova Scotia (SOFR + 0.380%)2 | 07/31/24 | 5.715 | 32,402,654 | ||||||||||
15,015,000 | Bank of Nova Scotia | 01/10/25 | 1.450 | 14,144,017 | ||||||||||
19,725,000 | Canadian Imperial Bank of Commerce | 04/28/28 | 5.001 | 19,449,780 | ||||||||||
33,540,000 | Commonwealth Bank of Australia (SOFR + 0.400%)1,2 | 07/07/25 | 5.676 | 33,410,636 | ||||||||||
65,000,000 | DNB Bank ASA (1-Year CMT Index + 0.330%)1,2 | 09/30/25 | 0.856 | 61,324,433 | ||||||||||
38,570,000 | Fifth Third Bancorp | 01/25/24 | 3.650 | 38,139,300 | ||||||||||
20,810,000 | Goldman Sachs Group, Inc. | 12/06/23 | 1.217 | 20,465,031 | ||||||||||
29,665,000 | HSBC Holdings, Plc. (SOFR + 0.534%)2 | 08/17/24 | 0.732 | 29,583,150 | ||||||||||
33,350,000 | HSBC Holdings, Plc. (SOFR + 1.929%)2 | 06/04/26 | 2.099 | 31,048,829 | ||||||||||
5,780,000 | HSBC Holdings, Plc. (SOFR + 3.030%)2 | 11/03/26 | 7.336 | 5,977,137 | ||||||||||
18,414,000 | Huntington Bancshares, Inc. (SOFR + 1.970%)2 | 08/04/28 | 4.443 | 17,437,230 | ||||||||||
24,145,000 | Huntington National Bank (SOFR + 1.215%)2 | 11/18/25 | 5.699 | 23,639,731 | ||||||||||
33,270,000 | JPMorgan Chase & Co. (3-Month CME Term SOFR + 1.585%)2 | 03/13/26 | 2.005 | 31,387,000 | ||||||||||
18,760,000 | KeyBank NA | 11/15/27 | 5.850 | 18,392,009 | ||||||||||
33,923,000 | Lloyds Banking Group, Plc. | 03/12/24 | 3.900 | 33,478,933 | ||||||||||
24,865,000 | Lloyds Banking Group, Plc. (1-Year CMT Index + 1.600%)2 | 03/18/26 | 3.511 | 23,841,772 | ||||||||||
17,755,000 | Lloyds Banking Group, Plc. (1-Year CMT Index + 1.800%)2 | 03/18/28 | 3.750 | 16,516,043 | ||||||||||
39,660,000 | Mitsubishi UFJ Financial Group, Inc. | 07/17/25 | 1.412 | 36,559,702 | ||||||||||
42,665,000 | Morgan Stanley (SOFR + 1.770%)2 | 10/16/26 | 6.138 | 43,188,837 |
BBH LIMITED DURATION FUND
PORTFOLIO OF INVESTMENTS (continued)
July 31, 2023 (unaudited)
Principal Amount | Maturity Date | Interest Rate | Value | |||||||||||
CORPORATE BONDS (continued) | ||||||||||||||
BANKS (continued) | ||||||||||||||
$ | 15,190,000 | PNC Financial Services Group, Inc. (SOFR + 1.322%)2 | 06/12/26 | 5.812 | % | $ | 15,197,381 | |||||||
24,915,000 | Royal Bank of Canada | 08/03/27 | 4.240 | 24,113,070 | ||||||||||
16,070,000 | Santander Holdings USA, Inc. | 06/07/24 | 3.500 | 15,691,539 | ||||||||||
26,360,000 | Skandinaviska Enskilda Banken AB1 | 09/09/24 | 0.650 | 24,908,281 | ||||||||||
10,085,000 | State Street Corp. (SOFR + 1.353%)2 | 11/04/26 | 5.751 | 10,154,498 | ||||||||||
14,435,000 | Truist Financial Corp. (SOFR + 1.626%)2 | 10/28/26 | 5.900 | 14,415,194 | ||||||||||
53,570,000 | UBS Group AG (1-Year CMT Index + 1.550%)1,2 | 01/12/27 | 5.711 | 53,484,243 | ||||||||||
42,990,000 | US Bancorp (5-Year CMT Index + 2.541%)2,5 | 3.700 | 33,424,725 | |||||||||||
22,750,000 | US Bancorp (SOFR + 1.430%)2 | 10/21/26 | 5.727 | 22,821,395 | ||||||||||
19,370,000 | Wells Fargo & Co. (SOFR + 2.000%)2 | 04/30/26 | 2.188 | 18,215,400 | ||||||||||
7,920,000 | Wells Fargo & Co. (SOFR + 1.560%)2 | 08/15/26 | 4.540 | 7,746,174 | ||||||||||
26,655,000 | Westpac Banking Corp. | 11/18/27 | 5.457 | 27,130,314 | ||||||||||
30,895,000 | Westpac New Zealand, Ltd.1 | 02/15/28 | 4.902 | 30,342,885 | ||||||||||
986,822,221 | ||||||||||||||
BEVERAGES (0.3%) | ||||||||||||||
8,175,000 | Constellation Brands, Inc. | 05/09/24 | 3.600 | 8,032,924 | ||||||||||
15,335,000 | Diageo Capital, Plc. | 10/24/25 | 5.200 | 15,358,623 | ||||||||||
23,391,547 | ||||||||||||||
DIVERSIFIED FINANCIAL SERVICES (4.1%) | ||||||||||||||
2,126,000 | AerCap Ireland Capital DAC / AerCap Global Aviation Trust | 09/15/23 | 4.500 | 2,121,459 | ||||||||||
47,945,000 | AerCap Ireland Capital DAC / AerCap Global Aviation Trust | 02/15/24 | 3.150 | 47,186,555 | ||||||||||
21,450,000 | AerCap Ireland Capital DAC / AerCap Global Aviation Trust | 10/29/24 | 1.750 | 20,281,893 | ||||||||||
33,230,000 | Aviation Capital Group LLC1 | 12/15/24 | 5.500 | 32,648,306 | ||||||||||
33,535,000 | Avolon Holdings Funding, Ltd.1 | 01/15/26 | 5.500 | 32,681,139 | ||||||||||
37,385,000 | Bread Financial Holdings, Inc.1 | 12/15/24 | 4.750 | 36,350,348 | ||||||||||
45,285,000 | Capital One Financial Corp. (SOFR + 0.690%)2 | 12/06/24 | 1.343 | 44,395,254 | ||||||||||
14,430,000 | Credit Acceptance Corp.1 | 12/31/24 | 5.125 | 14,139,067 | ||||||||||
2,785,000 | Credit Acceptance Corp. | 03/15/26 | 6.625 | 2,732,970 | ||||||||||
48,895,000 | Drawbridge Special Opportunities Fund LP / Drawbridge Special Opportunities Finance1 | 02/15/26 | 3.875 | 43,659,137 | ||||||||||
25,095,000 | Strategic Credit Opportunities Partners LLC | 04/01/26 | 4.250 | 22,804,429 | ||||||||||
299,000,557 | ||||||||||||||
ELECTRIC (3.0%) | ||||||||||||||
74,190,000 | Alexander Funding Trust1 | 11/15/23 | 1.841 | 73,065,800 | ||||||||||
16,025,000 | Constellation Energy Generation LLC | 06/01/25 | 3.250 | 15,342,863 | ||||||||||
44,131,324 | Duke Energy Progress NC Storm Funding LLC | 07/01/30 | 1.295 | 38,727,836 | ||||||||||
61,690,000 | Edison International (5-Year CMT Index + 4.698%)2,5 | 5.375 | 54,748,580 | |||||||||||
36,892,000 | Vistra Operations Co. LLC1 | 09/01/26 | 5.500 | 35,674,542 | ||||||||||
217,559,621 | ||||||||||||||
HEALTHCARE-PRODUCTS (0.3%) | ||||||||||||||
22,215,000 | Medtronic Global Holdings SCA | 03/30/28 | 4.250 | 21,725,755 | ||||||||||
HEALTHCARE-SERVICES (0.8%) | ||||||||||||||
60,630,000 | Sutter Health | 08/15/25 | 1.321 | 55,507,175 | ||||||||||
INSURANCE (10.7%) | ||||||||||||||
16,760,000 | Athene Global Funding1 | 01/08/24 | 0.950 | 16,350,962 | ||||||||||
18,000,000 | Athene Global Funding1 | 01/14/25 | 2.500 | 16,953,968 | ||||||||||
14,345,000 | Athene Global Funding1 | 06/29/25 | 2.550 | 13,395,855 | ||||||||||
84,507,000 | Corebridge Global Funding1 | 09/13/23 | 0.400 | 83,937,073 |
BBH LIMITED DURATION FUND
PORTFOLIO OF INVESTMENTS (continued)
July 31, 2023 (unaudited)
Principal Amount | Maturity Date | Interest Rate | Value | |||||||||||
CORPORATE BONDS (continued) | ||||||||||||||
INSURANCE (continued) | ||||||||||||||
$ | 26,595,000 | Equitable Financial Life Global Funding1 | 11/12/24 | 1.100 | % | $ | 25,026,136 | |||||||
59,274,000 | F&G Global Funding1 | 09/20/24 | 0.900 | 55,428,087 | ||||||||||
64,675,000 | GA Global Funding Trust1 | 12/08/23 | 1.250 | 63,287,898 | ||||||||||
50,000,000 | GA Global Funding Trust (SOFR + 0.500%)1,2 | 09/13/24 | 5.710 | 49,070,990 | ||||||||||
44,790,000 | Met Tower Global Funding1 | 09/14/26 | 1.250 | 39,238,793 | ||||||||||
73,445,000 | New York Life Global Funding1 | 01/14/25 | 1.450 | 69,230,426 | ||||||||||
74,165,000 | Northwestern Mutual Global Funding1 | 03/25/24 | 0.600 | 71,782,654 | ||||||||||
19,330,000 | Pacific Life Global Funding II1 | 06/24/25 | 1.200 | 17,794,278 | ||||||||||
37,490,000 | Pacific Life Global Funding II1 | 04/04/28 | 4.900 | 36,660,363 | ||||||||||
37,180,000 | Pricoa Global Funding I1 | 12/06/24 | 1.150 | 34,904,693 | ||||||||||
47,175,000 | Principal Life Global Funding II1 | 01/10/25 | 1.375 | 44,214,505 | ||||||||||
29,855,000 | Protective Life Global Funding1 | 07/05/24 | 0.781 | 28,493,342 | ||||||||||
42,465,000 | Protective Life Global Funding1 | 01/13/25 | 1.646 | 40,006,632 | ||||||||||
37,290,000 | SiriusPoint, Ltd.1 | 11/01/26 | 4.600 | 31,137,150 | ||||||||||
31,750,000 | United Insurance Holdings Corp. | 12/15/27 | 7.250 | 23,495,000 | ||||||||||
4,205,000 | Universal Insurance Holdings, Inc. | 11/30/26 | 5.625 | 3,707,295 | ||||||||||
11,950,000 | Vitality Re XIII, Ltd. (3-Month U.S. Treasury Bill + 2.000%)1,2 | 01/06/26 | 7.409 | 11,700,245 | ||||||||||
775,816,345 | ||||||||||||||
INVESTMENT COMPANIES (6.7%) | ||||||||||||||
41,185,000 | BlackRock TCP Capital Corp. | 08/23/24 | 3.900 | 39,799,474 | ||||||||||
46,600,000 | Blackstone Private Credit Fund | 09/15/24 | 1.750 | 44,038,781 | ||||||||||
30,840,000 | Blackstone Private Credit Fund | 11/22/24 | 2.350 | 29,120,913 | ||||||||||
9,654,000 | Blackstone Secured Lending Fund | 01/15/26 | 3.625 | 8,936,396 | ||||||||||
31,201,000 | Blue Owl Capital Corp. | 04/15/24 | 5.250 | 30,976,757 | ||||||||||
10,000,000 | Blue Owl Capital Corp. | 03/30/25 | 4.000 | 9,482,168 | ||||||||||
27,070,000 | Blue Owl Capital Corp. II1 | 11/26/24 | 4.625 | 25,889,032 | ||||||||||
18,000,000 | Blue Owl Credit Income Corp. | 09/23/26 | 3.125 | 15,709,078 | ||||||||||
20,015,000 | Blue Owl Technology Finance Corp.1 | 12/15/25 | 4.750 | 18,466,111 | ||||||||||
18,375,000 | Franklin BSP Lending Corp.1 | 12/15/24 | 4.850 | 17,517,817 | ||||||||||
26,475,000 | Franklin BSP Lending Corp. | 03/30/26 | 3.250 | 23,676,035 | ||||||||||
28,550,000 | FS KKR Capital Corp. | 07/15/24 | 4.625 | 28,128,892 | ||||||||||
18,859,000 | FS KKR Capital Corp. | 02/01/25 | 4.125 | 18,059,958 | ||||||||||
42,821,000 | FS KKR Capital Corp.1 | 02/14/25 | 4.250 | 40,501,418 | ||||||||||
39,855,000 | Golub Capital BDC, Inc. | 04/15/24 | 3.375 | 38,860,818 | ||||||||||
49,650,000 | Main Street Capital Corp. | 05/01/24 | 5.200 | 49,069,721 | ||||||||||
33,980,000 | Main Street Capital Corp. | 07/14/26 | 3.000 | 30,361,660 | ||||||||||
17,345,000 | PennantPark Investment Corp. | 11/01/26 | 4.000 | 15,197,266 | ||||||||||
483,792,295 | ||||||||||||||
OIL & GAS (0.4%) | �� | |||||||||||||
20,480,000 | Pioneer Natural Resources Co | 03/29/26 | 5.100 | 20,410,569 | ||||||||||
10,072,000 | Woodside Finance, Ltd.1 | 09/15/26 | 3.700 | 9,501,820 | ||||||||||
29,912,389 | ||||||||||||||
PHARMACEUTICALS (0.5%) | ||||||||||||||
22,745,000 | CVS Health Corp. | 02/20/26 | 5.000 | 22,667,076 | ||||||||||
12,815,000 | McKesson Corp. | 02/15/26 | 5.250 | 12,810,598 | ||||||||||
35,477,674 |
BBH LIMITED DURATION FUND
PORTFOLIO OF INVESTMENTS (continued)
July 31, 2023 (unaudited)
Principal Amount | Maturity Date | Interest Rate | Value | |||||||||||
CORPORATE BONDS (continued) | ||||||||||||||
PIPELINES (0.7%) | ||||||||||||||
$ | 16,986,000 | EnLink Midstream Partners LP | 06/01/25 | 4.150 | % | $ | 16,350,724 | |||||||
31,985,000 | Northriver Midstream Finance LP1 | 02/15/26 | 5.625 | 30,568,064 | ||||||||||
46,918,788 | ||||||||||||||
REAL ESTATE INVESTMENT TRUSTS (1.6%) | ||||||||||||||
9,290,000 | American Tower Trust #11 | 03/15/28 | 5.490 | 9,298,716 | ||||||||||
25,360,000 | EF Holdco / EF Cayman Hold / Ellington Finance REIT Cayman / TRS / EF Cayman Non-MTM1 | 04/01/27 | 5.875 | 23,497,934 | ||||||||||
23,540,000 | HAT Holdings I LLC / HAT Holdings II LLC1 | 06/15/26 | 3.375 | 21,261,868 | ||||||||||
14,480,000 | Realty Income Corp. | 01/13/26 | 5.050 | 14,382,709 | ||||||||||
29,500,000 | Rexford Industrial Realty LP | 06/15/28 | 5.000 | 28,824,118 | ||||||||||
19,215,000 | Scentre Group Trust 1 / Scentre Group Trust 21 | 01/28/26 | 3.625 | 18,301,686 | ||||||||||
115,567,031 | ||||||||||||||
RETAIL (1.1%) | ||||||||||||||
11,000,000 | Nordstrom, Inc. | 04/08/24 | 2.300 | 10,623,030 | ||||||||||
72,275,000 | Walgreens Boots Alliance, Inc. | 11/17/23 | 0.950 | 71,271,358 | ||||||||||
81,894,388 | ||||||||||||||
SEMICONDUCTORS (0.8%) | ||||||||||||||
33,545,000 | ams-OSRAM AG1 | 07/31/25 | 7.000 | 29,435,738 | ||||||||||
25,270,000 | Intel Corp. | 02/10/28 | 4.875 | 25,186,027 | ||||||||||
54,621,765 | ||||||||||||||
TRUCKING & LEASING (0.4%) | ||||||||||||||
31,000,000 | Penske Truck Leasing Co. LP / PTL Finance Corp.1 | 05/01/28 | 5.550 | 30,520,115 | ||||||||||
Total Corporate Bonds (Cost $3,505,713,019) | 3,348,212,654 | |||||||||||||
LOAN PARTICIPATIONS AND ASSIGNMENTS (13.5%) | ||||||||||||||
34,280,750 | AAdvantage Loyality IP, Ltd. (3-Month CME Term SOFR + 4.750%)2 | 04/20/28 | 10.338 | 35,466,178 | ||||||||||
21,541,610 | Allen Media LLC (3-Month CME Term SOFR + 5.500%)2 | 02/10/27 | 10.892 | 18,596,441 | ||||||||||
20,676,871 | Allspring Buyer LLC (3-Month CME Term SOFR + 3.250%)2 | 11/01/28 | 8.753 | 20,573,486 | ||||||||||
6,654,713 | Allspring Buyer LLC (3-Month CME Term SOFR + 4.000%)2 | 11/01/28 | 9.242 | 6,623,103 | ||||||||||
46,455,134 | Asplundh Tree Expert LLC (1-Month CME Term SOFR + 1.750%)2 | 09/07/27 | 7.169 | 46,400,782 | ||||||||||
5,439,490 | Avantor Funding, Inc. Term B5 (1-Month CME Term SOFR + 2.250%)2 | 11/08/27 | 7.669 | 5,434,757 | ||||||||||
14,625,000 | Avolon TLB Borrower 1 (US) LLC Term B5 (1-Month CME Term SOFR + 2.250%)2 | 12/01/27 | 7.605 | 14,606,719 | ||||||||||
20,775,495 | Avolon TLB Borrower 1 (US) LLC Term B6 (1-Month CME Term SOFR + 2.500%)2 | 06/22/28 | 7.755 | 20,766,769 | ||||||||||
13,334,738 | Axalta Coating Systems Dutch Holding B BV (Axalta Coating Systems U.S. Holdings, Inc.) Term B4 (3-Month CME Term SOFR + 3.000%)2 | 12/20/29 | 8.242 | 13,365,941 | ||||||||||
10,252,633 | BCP Renaissance Parent LLC Term B3 (3-Month CME Term SOFR + 3.500%)2 | 11/02/26 | 8.742 | 10,223,311 | ||||||||||
35,700,429 | Buckeye Partners LP Term B1 (1-Month CME Term SOFR + 2.250%)2 | 11/01/26 | 7.669 | 35,598,326 | ||||||||||
35,882,006 | Charter Communications Operating LLC Term B1 (1-Month CME Term SOFR + 1.750%)2 | 04/30/25 | 7.116 | 35,829,619 |
BBH LIMITED DURATION FUND
PORTFOLIO OF INVESTMENTS (continued)
July 31, 2023 (unaudited)
Principal Amount | Maturity Date | Interest Rate | Value | |||||||||||
LOAN PARTICIPATIONS AND ASSIGNMENTS (continued) | ||||||||||||||
$ | 19,700,000 | Clean Harbors, Inc. (1-Month CME Term SOFR + 2.000%)2 | 10/08/28 | 7.433 | % | $ | 19,739,400 | |||||||
25,891,030 | Delos Finance S.a.r.l. (3-Month USD-LIBOR + 1.750%)2 | 10/06/23 | 7.288 | 25,867,987 | ||||||||||
21,409,800 | Eastern Power LLC (1-Month CME Term SOFR + 3.750%)2 | 10/02/25 | 9.183 | 20,496,886 | ||||||||||
45,217,788 | Elanco Animal Health, Inc. (1-Month CME Term SOFR + 1.750%)2 | 08/01/27 | 6.963 | 44,496,113 | ||||||||||
21,593,739 | Horizon Therapeutics USA, Inc. Term B2 (1-Month CME Term SOFR + 1.750%)2 | 03/15/28 | 7.156 | 21,554,655 | ||||||||||
3,348,892 | Icon Plc. (3-Month CME Term SOFR + 2.250%)2 | 07/03/28 | 7.753 | 3,350,030 | ||||||||||
13,441,233 | Icon Plc. (3-Month CME Term SOFR + 2.250%)2 | 07/03/28 | 7.753 | 13,445,803 | ||||||||||
15,720,000 | Iqvia, Inc. Term A2 (1-Month CME Term SOFR + 1.250%)2 | 06/16/27 | 6.668 | 15,405,600 | ||||||||||
6,309,540 | Iqvia, Inc. Term B2 (1-Month USD-LIBOR + 1.750%)2 | 01/17/25 | 7.288 | 6,307,268 | ||||||||||
18,810,890 | Iqvia, Inc. Term B3 (1-Month USD-LIBOR + 1.750%)2 | 06/11/25 | 7.288 | 18,804,494 | ||||||||||
31,224,234 | Iridium Satellite LLC Term B2 (1-Month CME Term SOFR + 2.500%)2 | 11/04/26 | 7.919 | 31,189,575 | ||||||||||
32,727,932 | Jazz Pharmaceuticals Plc. (1-Month CME Term SOFR + 3.500%)2 | 05/05/28 | 8.933 | 32,687,022 | ||||||||||
47,687,910 | Lumen Technologies, Inc. Term A (1-Month CME Term SOFR + 2.000%)2 | 01/31/25 | 7.433 | 42,164,220 | ||||||||||
22,428,460 | Lumen Technologies, Inc. Term B (1-Month CME Term SOFR + 2.250%)2 | 03/15/27 | 7.683 | 15,596,303 | ||||||||||
36,141,263 | MPH Acquisition Holdings LLC (3-Month USD-LIBOR + 4.250%)2 | 09/01/28 | 9.726 | 33,937,730 | ||||||||||
38,105,633 | NorthRiver Midstream Finance LP Term B (3-Month CME Term SOFR + 3.250%)2 | 10/01/25 | 8.758 | 38,024,087 | ||||||||||
50,000,000 | NVA Holdings Parent LLC (1-Month CME Term SOFR + 1.750%)2,4 | 12/16/24 | 7.183 | 48,845,000 | ||||||||||
45,548,888 | Organon & Co. (1-Month CME Term SOFR + 3.000%)2 | 06/02/28 | 8.257 | 45,355,305 | ||||||||||
15,000,000 | Setanta Aircraft Leasing DAC (3-Month USD-LIBOR + 2.000%)2 | 11/05/28 | 7.538 | 14,983,650 | ||||||||||
38,250,000 | SkyMiles IP, Ltd. (3-Month CME Term SOFR + 3.750%)2 | 10/20/27 | 9.076 | 39,736,395 | ||||||||||
10,442,921 | SS&C Technologies Holdings, Inc. Term B3 (1-Month CME Term SOFR + 1.750%)2 | 04/16/25 | 7.183 | 10,433,313 | ||||||||||
9,224,587 | SS&C Technologies Holdings, Inc. Term B4 (1-Month CME Term SOFR + 1.750%)2 | 04/16/25 | 7.183 | 9,216,100 | ||||||||||
7,727,962 | SS&C Technologies Holdings, Inc. Term B5 (1-Month CME Term SOFR + 1.750%)2 | 04/16/25 | 7.183 | 7,719,307 | ||||||||||
17,268,748 | UGI Energy Services LLC (1-Month CME Term SOFR + 3.250%)2 | 02/22/30 | 8.669 | 17,210,552 | ||||||||||
37,830,746 | United AirLines, Inc. Term B (3-Month USD-LIBOR + 3.750%)2 | 04/21/28 | 9.292 | 37,839,447 | ||||||||||
30,531,256 | Vistra Operations Co. LLC (fka Tex Operations Co. LLC) (1-Month CME Term SOFR + 1.750%)2 | 12/31/25 | 7.183 | 30,486,680 | ||||||||||
13,000,000 | Vontier Corp. (1-Month CME Term SOFR + 1.125%)2 | 10/28/24 | 6.558 | 12,935,000 | ||||||||||
57,716,799 | Wynn Resorts, Ltd. Term A (1-Month CME Term SOFR + 1.750%)2 | 09/20/24 | 7.169 | 56,562,463 | ||||||||||
Total Loan Participations and Assignments (Cost $995,727,063) | 977,875,817 |
BBH LIMITED DURATION FUND
PORTFOLIO OF INVESTMENTS (continued)
July 31, 2023 (unaudited)
Principal Amount | Maturity Date | Interest Rate | Value | |||||||||||
MUNICIPAL BONDS (1.9%) | ||||||||||||||
$ | 31,000,000 | Kentucky Public Energy Authority, Revenue Bonds (SOFR + 1.200%)2 | 08/01/52 | 4.751 | % | $ | 29,771,389 | |||||||
10,710,000 | Texas Municipal Gas Acquisition & Supply Corp. I, Revenue Bonds | 12/15/26 | 6.250 | 11,130,135 | ||||||||||
99,360,000 | Texas Municipal Gas Acquisition & Supply Corp. II, Revenue Bonds (3-Month USD-LIBOR + 0.690%)2 | 09/15/27 | 4.354 | 98,771,610 | ||||||||||
Total Municipal Bonds (Cost $141,595,417) | 139,673,134 | |||||||||||||
RESIDENTIAL MORTGAGE BACKED SECURITIES (0.6%) | ||||||||||||||
8,664,567 | Cascade Funding Mortgage Trust 2019-RM31,2,3 | 06/25/69 | 2.800 | 8,366,321 | ||||||||||
8,270,474 | CFMT LLC 2021-HB51,2,3 | 02/25/31 | 0.801 | 8,029,813 | ||||||||||
1,129,565 | Pepper Residential Securities Trust No. 23A (SOFR + 1.064%)1,2 | 08/18/60 | 6.249 | 1,128,742 | ||||||||||
619,275 | Pepper Residential Securities Trust No. 24A (SOFR + 1.014%)1,2 | 11/18/60 | 6.199 | 618,754 | ||||||||||
433,239 | RESIMAC Premier 2019-2A (1-Month CME Term SOFR + 1.064%)1,2 | 02/10/51 | 6.229 | 433,212 | ||||||||||
3,890,475 | RESIMAC Premier 2020-1A (1-Month CME Term SOFR + 1.164%)1,2 | 02/07/52 | 6.310 | 3,885,376 | ||||||||||
6,541,416 | RESIMAC Premier 2021-1A (1-Month CME Term SOFR + 0.814%)1,2 | 07/10/52 | 5.979 | 6,515,512 | ||||||||||
12,378,468 | RMF Buyout Issuance Trust 2021-HB11,2,3 | 11/25/31 | 1.259 | 11,860,301 | ||||||||||
6,503,368 | RMF Proprietary Issuance Trust 2019-11,2,3 | 10/25/63 | 2.750 | 5,230,440 | ||||||||||
Total Residential Mortgage Backed Securities (Cost $48,381,583) | 46,068,471 | |||||||||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS (1.6%) | ||||||||||||||
70,000,000 | Federal Home Loan Bank Discount Notes6 | 08/01/23 | 0.000 | 70,000,000 | ||||||||||
40,500,000 | Federal Home Loan Mortgage Corp. | 11/12/25 | 0.600 | 36,851,761 | ||||||||||
14,046 | Federal Home Loan Mortgage Corp. (FHLMC) Non Gold Guaranteed (1-Year USD-LIBOR + 1.786%)2 | 04/01/36 | 4.697 | 13,695 | ||||||||||
12,357 | Federal Home Loan Mortgage Corp. (FHLMC) Non Gold Guaranteed (6-Month USD-LIBOR + 1.740%)2 | 12/01/36 | 4.865 | 12,023 | ||||||||||
10,210 | Federal Home Loan Mortgage Corp. (FHLMC) Non Gold Guaranteed (1-Year USD-LIBOR + 1.745%)2 | 01/01/37 | 3.995 | 9,990 | ||||||||||
2,548,704 | Federal National Mortgage Association (FNMA) | 07/01/35 | 5.000 | 2,558,768 | ||||||||||
155,057 | Federal National Mortgage Association (FNMA) | 11/01/35 | 5.500 | 158,503 | ||||||||||
19,475 | Federal National Mortgage Association (FNMA) (1-Year USD-LIBOR + 1.933%)2 | 07/01/36 | 6.183 | 19,894 | ||||||||||
31,559 | Federal National Mortgage Association (FNMA) (1-Year USD-LIBOR + 1.721%)2 | 09/01/36 | 5.629 | 31,392 | ||||||||||
21,914 | Federal National Mortgage Association (FNMA) (1-Year USD-LIBOR + 1.729%)2 | 01/01/37 | 4.074 | 21,551 | ||||||||||
148,125 | Federal National Mortgage Association (FNMA) | 08/01/37 | 5.500 | 151,516 | ||||||||||
1,802,737 | Federal National Mortgage Association (FNMA) | 08/01/37 | 5.500 | 1,837,709 | ||||||||||
725,749 | Federal National Mortgage Association (FNMA) | 06/01/40 | 6.500 | 764,654 |
BBH LIMITED DURATION FUND
PORTFOLIO OF INVESTMENTS (continued)
July 31, 2023 (unaudited)
Principal Amount | Maturity Date | Interest Rate | Value | |||||||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS (continued) | ||||||||||||||
$ | 3,847 | Government National Mortgage Association (GNMA) (1-Year CMT Index + 1.500%)2 | 08/20/29 | 2.625 | % | $ | 3,721 | |||||||
Total U.S. Government Agency Obligations (Cost $116,218,442) | 112,435,177 | |||||||||||||
U.S. TREASURY BILLS (6.7%) | ||||||||||||||
60,000,000 | U.S. Treasury Bill6 | 08/01/23 | 0.000 | 60,000,000 | ||||||||||
20,425,000 | U.S. Treasury Bill6 | 08/10/23 | 0.000 | 20,398,723 | ||||||||||
107,500,000 | U.S. Treasury Bill6 | 08/24/23 | 0.000 | 107,146,151 | ||||||||||
126,250,000 | U.S. Treasury Bill6 | 09/12/23 | 0.000 | 125,480,117 | ||||||||||
108,000,000 | U.S. Treasury Bill6,7 | 10/12/23 | 0.000 | 106,861,140 | ||||||||||
62,750,000 | U.S. Treasury Bill6 | 11/02/23 | 0.000 | 61,893,522 | ||||||||||
Total U.S. Treasury Bills (Cost $481,842,085) | 481,779,653 |
TOTAL INVESTMENTS (Cost $7,488,555,953)8 | 99.5 | % | $ | 7,214,544,040 | ||||
OTHER ASSETS IN EXCESS OF LIABILITIES | 0.5 | % | 35,384,585 | |||||
NET ASSETS | 100.0 | % | $ | 7,249,928,625 |
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, 2023 was $3,726,909,507 or 51.4% 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 July 31, 2023 coupon or interest rate. |
3 | This variable rate security is based on a predetermined schedule and the rate at period end also represents the reference rate at period end. |
4 | Security that used significant unobservable inputs to determine fair value. |
5 | Security 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 of investments and derivatives for federal income tax purposes is $7,488,555,953, the aggregate gross unrealized appreciation is $13,507,986 and the aggregate gross unrealized depreciation is $279,539,055, resulting in net unrealized depreciation of $266,031,069. |
Abbreviations:
CME | − | Chicago Mercantile Exchange. |
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. |
BBH LIMITED DURATION FUND
PORTFOLIO OF INVESTMENTS (continued)
July 31, 2023 (unaudited)
FINANCIAL FUTURES CONTRACTS
The following futures contracts were open at July 31, 2023:
Description | Number of Contracts | Expiration Date | Notional Amount | Market Value | Unrealized Gain / (Loss) | ||||||||||||||
Contracts to Sell: | |||||||||||||||||||
U.S. Treasury 2-Year Notes | 700 | September 2023 | $ | 144,205,844 | $ | 142,121,875 | $ | 2,083,969 | |||||||||||
U.S. Treasury 5-Year Notes | 2,550 | September 2023 | 278,288,673 | 272,391,798 | 5,896,875 | ||||||||||||||
$ | 7,980,844 |
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)
July 31, 2023 (unaudited)
The following table summarizes the valuation of the Fund’s investments by the above fair value hierarchy levels as of July 31, 2023.
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, 2023 | ||||||||||||
Asset Backed Securities | $ | – | $ | 1,646,267,708 | $ | 9,476,589 | $ | 1,655,744,297 | ||||||||
Commercial Mortgage Backed Securities | – | 452,754,837 | – | 452,754,837 | ||||||||||||
Corporate Bonds | – | 3,348,212,654 | – | 3,348,212,654 | ||||||||||||
Loan Participations and Assignments | – | 929,030,817 | 48,845,000 | 977,875,817 | ||||||||||||
Municipal Bonds | – | 139,673,134 | – | 139,673,134 | ||||||||||||
Residential Mortgage Backed Securities | – | 46,068,471 | – | 46,068,471 | ||||||||||||
U.S. Government Agency Obligations | – | 112,435,177 | – | 112,435,177 | ||||||||||||
U.S. Treasury Bills | – | 481,779,653 | – | 481,779,653 | ||||||||||||
Total Investment, at value | $ | – | $ | 7,156,222,451 | $ | 58,321,589 | $ | 7,214,544,040 | ||||||||
Other Financial Instruments, at value | ||||||||||||||||
Financial Futures Contracts | $ | 7,980,844 | $ | – | $ | – | $ | 7,980,844 | ||||||||
Other Financial Instruments, at value | $ | 7,980,844 | $ | – | $ | – | $ | 7,980,844 |
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, 2023:
Asset Backed Securities | Corporate Bonds | Loan Participations and Assignments | Total | |||||||||||||
Balance as of October 31, 2022 | $ | 12,906,891 | $ | 21,631,275 | $ | 47,785,000 | $ | 82,323,166 | ||||||||
Purchases | - | - | - | - | ||||||||||||
Sales / Paydowns | (3,136,598 | ) | - | - | (3,136,598 | ) | ||||||||||
Realized gains/(losses) | - | - | - | - | ||||||||||||
Change in unrealized appreciation/(depreciation) | (293,704 | ) | 1,863,725 | 966,405 | 2,536,426 | |||||||||||
Amortization | - | - | 93,595 | 93,595 | ||||||||||||
Transfers from Level 3 | - | (23,495,000 | ) | - | (23,495,000 | ) | ||||||||||
Transfers to Level 3 | - | - | - | - | ||||||||||||
Balance as of July 31, 2023 | $ | 9,476,589 | $ | - | $ | 48,845,000 | $ | 58,321,589 |
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.