Brown Advisory Intermediate Income Fund | |||||||||
Schedule of Investments | |||||||||
September 30, 2022 (Unaudited) | |||||||||
Par Value | Security Description | Rate | Maturity | Value $ | |||||
Mortgage Backed Securities - 29.0% | |||||||||
925,000 | BAMLL Commercial Mortgage Securities Trust, Series 2018-DSNY C (1 Month LIBOR USD + 1.35%)^ | 4.17% | 09/15/2034 | 882,633 | |||||
1,753,279 | Bayview MSR Opportunity Master Fund Trust, Series 2021-INV5 A-5#^ | 2.50% | 11/25/2051 | 1,520,376 | |||||
1,818,370 | Bayview Opportunity Master Fund VI Trust, Series 2021-INV6 A-5#^ | 2.50% | 10/25/2051 | 1,576,742 | |||||
1,250,000 | BX Trust, Series 2021-SDMF B (1 Month LIBOR USD + 0.74%)^ | 3.56% | 09/15/2034 | 1,171,620 | |||||
500,000 | DBGS Mortgage Trust, Series 2018-C1 7EA^ | 4.64% | 10/17/2051 | 476,693 | |||||
30 | FHLMC PC, Pool# C0-0210 | 8.00% | 01/01/2023 | 30 | |||||
1,676,765 | FHLMC PC, Pool# WA-3311 | 2.21% | 04/01/2038 | 1,265,474 | |||||
1,582,505 | FHLMC PC, Pool# SD-0913 | 2.50% | 02/01/2052 | 1,336,839 | |||||
887,830 | FHLMC PC, Pool# QE-0622 | 2.00% | 04/01/2052 | 721,438 | |||||
1,400,000 | FHLMC PC, Pool# RA-7927 | 4.50% | 09/01/2052 | 1,340,142 | |||||
1,000,000 | FHLMC PC, Pool# QF-0492 | 5.50% | 09/01/2052 | 999,296 | |||||
505,744 | FHLMC REMIC, Series 5145 AB | 1.50% | 09/25/2049 | 411,612 | |||||
968,020 | FHLMC REMIC, Series 4634 MA | 4.50% | 11/15/2054 | 959,648 | |||||
128,597 | FHMS, Series Q-006 APT2# | 3.25% | 10/25/2028 | 121,661 | |||||
104,545 | FHMS, Series Q-010 APT1# | 2.94% | 04/25/2046 | 104,262 | |||||
127,992 | FHMS, Series Q-007 APT1# | 3.57% | 10/25/2047 | 127,847 | |||||
750,000 | FNMA, Pool# BL1160 | 3.64% | 01/01/2026 | 737,361 | |||||
8,822 | FNMA, Pool# 628837 | 6.50% | 03/01/2032 | 9,100 | |||||
459,749 | FNMA, Pool# MA2998 | 3.50% | 04/01/2032 | 439,437 | |||||
13,358 | FNMA, Pool# 663238 | 5.50% | 09/01/2032 | 13,316 | |||||
19,950 | FNMA, Pool# 744805 (6 Month LIBOR USD + 1.52%) | 2.27% | 11/01/2033 | 19,619 | |||||
9,540 | FNMA, Pool# 741373 (1 Year CMT Rate + 2.28%) | 2.41% | 12/01/2033 | 9,450 | |||||
21,858 | FNMA, Pool# 764342 (6 Month LIBOR USD + 1.52%) | 2.90% | 02/01/2034 | 21,570 | |||||
24,424 | FNMA, Pool# BN0202 | 5.50% | 09/01/2048 | 24,377 | |||||
1,508,036 | FNMA, Pool# BQ6307 | 2.00% | 11/01/2050 | 1,231,120 | |||||
1,584,807 | FNMA, Pool# BQ3248 | 2.00% | 11/01/2050 | 1,293,518 | |||||
803,461 | FNMA, Pool# MA4208 | 2.00% | 12/01/2050 | 655,285 | |||||
863,032 | FNMA, Pool# BR5634 | 2.00% | 03/01/2051 | 704,757 | |||||
1,134,273 | FNMA, Pool# FM6555 | 2.00% | 04/01/2051 | 926,147 | |||||
1,221,573 | FNMA, Pool# MA4492 | 2.00% | 12/01/2051 | 992,348 | |||||
1,618,092 | FNMA, Pool# FS0348 | 2.00% | 01/01/2052 | 1,319,590 | |||||
1,429,828 | FNMA, Pool# CB2548 | 2.50% | 01/01/2052 | 1,208,073 | |||||
712,866 | FNMA, Pool# BW0025 | 4.00% | 07/01/2052 | 663,542 | |||||
97,376 | FNMA REMIC Trust, Series 2013-115 AI~ | 3.00% | 04/25/2031 | 984 | |||||
12,886 | FNMA REMIC Trust, Series 2020-6 GL | 3.00% | 04/25/2043 | 12,843 | |||||
379,178 | FNMA REMIC Trust, Series 2016-M10 AV1 | 2.35% | 11/25/2045 | 364,537 | |||||
559,364 | FREMF Mortgage Trust, Series 2020-KF74 B (1 Month LIBOR USD + 2.15%)^ | 4.70% | 01/25/2027 | 555,414 | |||||
839,852 | FREMF Mortgage Trust, Series 2019-KF59 B (1 Month LIBOR USD + 2.35%)^ | 4.90% | 02/25/2029 | 824,210 | |||||
1,041,702 | FREMF Mortgage Trust, Series 2020-KF76 B (1 Month LIBOR USD + 2.75%)^ | 5.30% | 01/25/2030 | 996,019 | |||||
2,503,315 | GNMA REMIC Trust, Series 2021-84 ED | 1.00% | 07/16/2060 | 1,990,268 | |||||
11,893 | GNMA, Pool# 781186X | 9.00% | 06/15/2030 | 11,909 | |||||
768,647 | GNMA, Pool# CM0214H (1 Year CMT Rate + 2.09%) | 5.46% | 02/20/2072 | 807,237 | |||||
696,936 | GNMA, Pool# CM0231H (1 Year CMT Rate + 2.12%) | 5.49% | 02/20/2072 | 733,167 | |||||
1,439,308 | GS Mortgage-Backed Securities Trust, Series 2022-LTV1 A8#^ | 3.00% | 06/25/2052 | 1,279,241 | |||||
1,453,774 | J.P. Morgan Mortgage Trust, Series 2022-LTV2 A4#^ | 3.50% | 09/25/2052 | 1,330,950 | |||||
1,219,593 | J.P. Morgan Mortgage Trust, Series 2020-LTV2 A15#^ | 3.00% | 11/25/2050 | 1,142,829 | |||||
900,000 | MSC, Series 2017-CLS A (1 Month LIBOR USD + 0.70%)^ | 3.52% | 11/15/2034 | 894,691 | |||||
1,900,264 | RCKT Mortgage Trust, Series 2022-1 A5#^ | 2.50% | 01/25/2052 | 1,638,384 | |||||
1,864,093 | RCKT Mortgage Trust, Series 2022-2 A6#^ | 2.50% | 02/25/2052 | 1,605,991 | |||||
Total Mortgage Backed Securities (Cost $40,551,780) | 37,473,597 | ||||||||
Corporate Bonds & Notes - 16.3% | |||||||||
755,000 | Alexandria Real Estate Equities, Inc. | 3.38% | 08/15/2031 | 634,153 | |||||
710,000 | American Tower Corp. | 3.60% | 01/15/2028 | 631,447 | |||||
1,525,000 | Analog Devices, Inc. | 1.70% | 10/01/2028 | 1,275,889 | |||||
800,000 | Aptiv PLC | 3.25% | 03/01/2032 | 637,624 | |||||
1,385,000 | Citigroup, Inc. | 3.20% | 10/21/2026 | 1,270,797 | |||||
1,355,000 | Clorox Co. | 4.40% | 05/01/2029 | 1,281,522 | |||||
735,000 | Colonial Enterprises, Inc.^ | 3.25% | 05/15/2030 | 638,843 | |||||
718,000 | Comcast Corp. | 3.40% | 04/01/2030 | 632,075 | |||||
720,000 | Consolidated Edison Co. of New York, Inc. | 3.35% | 04/01/2030 | 633,411 | |||||
755,000 | Crown Castle International Corp. | 3.30% | 07/01/2030 | 632,945 | |||||
1,350,000 | Dollar General Corp. | 3.88% | 04/15/2027 | 1,278,360 | |||||
1,365,000 | Dollar Tree, Inc. | 4.20% | 05/15/2028 | 1,274,845 | |||||
700,000 | Fortis, Inc. | 3.06% | 10/04/2026 | 637,798 | |||||
1,375,000 | Hasbro, Inc. | 3.55% | 11/19/2026 | 1,278,255 | |||||
660,000 | JB Hunt Transport Services, Inc. | 3.88% | 03/01/2026 | 635,110 | |||||
1,300,000 | Keysight Technologies, Inc. | 4.60% | 04/06/2027 | 1,267,397 | |||||
635,000 | Morgan Stanley | 3.75% | 02/25/2023 | 633,327 | |||||
1,360,000 | NXP BV | 3.88% | 06/18/2026 | 1,271,401 | |||||
790,000 | PerkinElmer, Inc. | 1.90% | 09/15/2028 | 635,873 | |||||
625,000 | SYSCO Corp. | 5.95% | 04/01/2030 | 633,402 | |||||
1,510,000 | Verizon Communications, Inc. | 2.10% | 03/22/2028 | 1,275,317 | |||||
1,400,000 | Wells Fargo & Co. | 3.00% | 10/23/2026 | 1,270,248 | |||||
750,000 | Xylem, Inc. | 1.95% | 01/30/2028 | 634,533 | |||||
Total Corporate Bonds & Notes (Cost $24,144,368) | 20,994,572 | ||||||||
Asset Backed Securities - 7.7% | |||||||||
510,000 | American Homes 4 Rent Trust, Series 2015-SFR2 C^ | 4.69% | 10/18/2052 | 495,186 | |||||
900,000 | CarMax Auto Owner Trust, Series 2021-2 C | 1.34% | 02/16/2027 | 819,455 | |||||
441,459 | Dext ABS LLC, Series 2021-1 A^ | 1.12% | 02/15/2028 | 422,716 | |||||
1,853 | FHF Trust, Series 2020-1A A^ | 2.59% | 12/15/2023 | 1,852 | |||||
522,733 | FHF Trust, Series 2021-2A A^ | 0.83% | 12/15/2026 | 496,787 | |||||
120,482 | FHF Trust, Series 2021-1A A^ | 1.27% | 03/15/2027 | 115,305 | |||||
1,700,000 | FREED ABS Trust, Series 2022-1FP B^ | 1.91% | 03/19/2029 | 1,633,863 | |||||
785,889 | GoodLeap Sustainable Home Solutions Trust, Series 2021-5CS A^ | 2.31% | 10/20/2048 | 655,138 | |||||
590,000 | GTP Acquisition Partners I LLC, Series 2015-1-2^ | 3.48% | 06/15/2050 | 557,632 | |||||
1,575,000 | HPEFS Equipment Trust, Series 2021-2A B^ | 0.61% | 09/20/2028 | 1,504,172 | |||||
500,000 | HPEFS Equipment Trust, Series 2020-1A D^ | 2.26% | 02/20/2030 | 492,502 | |||||
664,341 | JPMorgan Chase Bank NA - CACLN, Series 2021-3 B^ | 0.76% | 02/25/2029 | 636,020 | |||||
352,900 | MVW Owner Trust, Series 2017-1A A^ | 2.42% | 12/20/2034 | 345,212 | |||||
82,459 | NYCTL Trust, Series 2019-A A^ | 2.19% | 11/10/2032 | 80,770 | |||||
145,000 | Oportun Funding XIV LLC, Series 2021-A A^ | 1.21% | 03/08/2028 | 134,737 | |||||
438,699 | Santander Drive Auto Receivables Trust, Series 2019-3 D | 2.68% | 10/15/2025 | 436,305 | |||||
400,000 | SBA Tower Trust, Series 2020-1-2^ | 1.88% | 07/15/2050 | 352,267 | |||||
388,144 | Tesla Auto Lease Trust, Series 2020-A A3^ | 0.68% | 12/20/2023 | 384,833 | |||||
445,000 | Tesla Auto Lease Trust, Series 2021-A C^ | 1.18% | 03/20/2025 | 421,674 | |||||
Total Asset Backed Securities (Cost $10,635,319) | 9,986,426 | ||||||||
U.S. Treasury Notes - 32.4% | |||||||||
2,450,000 | United States Treasury Note | 0.13% | 01/31/2023 | 2,421,672 | |||||
1,820,000 | United States Treasury Note | 2.75% | 05/15/2025 | 1,751,963 | |||||
6,775,000 | United States Treasury Note | 2.25% | 03/31/2026 | 6,350,239 | |||||
6,395,000 | United States Treasury Note | 2.88% | 05/15/2028 | 6,016,046 | |||||
6,200,000 | United States Treasury Note | 3.25% | 06/30/2029 | 5,929,355 | |||||
4,385,000 | United States Treasury Note | 0.88% | 11/15/2030 | 3,494,297 | |||||
18,635,000 | United States Treasury Note | 1.88% | 02/15/2032 | 15,791,707 | |||||
Total U.S. Treasury Notes (Cost $45,447,289) | 41,755,279 | ||||||||
Shares | |||||||||
Affiliated Mutual Funds - 11.8% | |||||||||
1,686,626 | Brown Advisory Mortgage Securities Fund - Institutional Shares | 15,297,699 | |||||||
Total Affiliated Mutual Funds (Cost $17,286,729) | 15,297,699 | ||||||||
Short-Term Investments - 2.1% | |||||||||
Money Market Funds - 2.1% | |||||||||
2,654,394 | First American Government Obligations Fund — Class Z, 2.74%* | 2,654,394 | |||||||
Total Short-Term Investments (Cost $2,654,394) | 2,654,394 | ||||||||
Total Investments - 99.3% (Cost $140,719,879) | 128,161,967 | ||||||||
Other Assets in Excess of Liabilities - 0.7% | 882,807 | ||||||||
NET ASSETS - 100.0% | $ | 129,044,774 |
^ Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. | ||||||||
# Variable rate security. Rate disclosed is as of the date of this report. | ||||||||
~ Interest Only Security | ||||||||
* Annualized seven-day yield as of the date of this report. | ||||||||
Various inputs may be used to determine the value of the Fund's investments. These inputs are summarized in three broad levels. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities. | ||||||||
Level 1 - Quoted prices in active markets for identical securities. | ||||||||
Level 2 - Evaluated price based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment spreads, credit risk, etc.). | ||||||||
Level 3 - Significant unobservable inputs (including the Fund's own assumptions in determining the fair value of investments). | ||||||||
As of the date of this report, the Fund's investments in affiliated mutual funds and money market funds, with a total market value of $17,952,093, were categorized as Level 1, while the Fund's investments in corporate bonds & notes, asset backed securities, mortgage backed securities and U.S. Treasury Notes, with a total market value of $110,209,874, were categorized as Level 2. |
Investments in Affiliates | ||||||||||||
See the table below for details of the Brown Advisory Intermediate Income Fund's investment in the Brown Advisory Mortgage Securities Fund Institutional Shares for the period ended as of the date of this report: |
Beginning Market Value 6/30/2022 | Purchases | Sales | Net Realized Gains (Losses) | Change In Unrealized Appreciation (Depreciation) | Ending Market Value 9/30/2022 | Dividend Income | Capital Gain Distributions | Shares Owned at 9/30/2022 | ||||||||||||||||||||||||||
$ | 17,238,512 | $ | - | $ | (1,030,000 | ) | $ | (133,599 | ) | $ | (777,214 | ) | $ | 15,297,699 | $ | 107,629 | $ | - | 1,686,626 | |||||||||||||||
Futures Contracts - Long | |||||||||
The Brown Advisory Intermediate Income Fund had the following open long futures contracts as of the date of this report: |
Issue | Contracts | Expiration Date | Notional Amount | Notional Value | Unrealized Appreciation (Depreciation) | ||||||||||||
U.S. Treasury 5-Year Note Futures | 25 | 12/30/2022 | $ | 2,762,552 | $ | 2,687,696 | $ | (74,856 | ) | ||||||||
U.S. Treasury 2-Year Note Futures | 68 | 12/30/2022 | 14,160,606 | 13,966,562 | (194,044 | ) | |||||||||||
U.S. Treasury Long Bond Futures | 31 | 12/20/2022 | 4,195,725 | 3,918,594 | (277,131 | ) | |||||||||||
$ | 21,118,883 | $ | 20,572,852 | $ | (546,031 | ) | |||||||||||
Futures Contracts - Short | |||||||||||||||||
The Brown Advisory Intermediate Income Fund had the following open short futures contracts as of the date of this report: | |||||||||||||||||
Issue | Contracts | Expiration Date | Notional Amount | Notional Value | Unrealized Appreciation (Depreciation) | ||||||||||||
U.S. Treasury 10-Year Note Futures | (25) | 12/20/2022 | $ | (2,913,618 | ) | $ | (2,801,563 | ) | $ | 112,055 | |||||||
U.S. 10-Year Ultra Futures | (120) | 12/20/2022 | (14,969,724 | ) | (14,218,125 | ) | 751,599 | ||||||||||
$ | (17,883,342 | ) | $ | (17,019,688 | ) | $ | 863,654 | ||||||||||
There is no variation margin due to or from the Fund as of the date of this report. The Fund's investments in futures contracts were valued using Level 1 inputs as of the date of this report. |