NPORT-EX 2 e15078-lot5shorttermfund.htm PORTFOLIO OF INVESTMENTS

BBH PARTNER FUND - SELECT SHORT TERM ASSETS

 

PORTFOLIO OF INVESTMENTS

January 31, 2022 (unaudited)

 

Principal     Maturity  Interest   
Amount     Date  Rate  Value  
    ASSET BACKED SECURITIES (19.9%)            
$2,950,000  Atalaya Equipment Leasing Trust 21-1 2021-1A1  05/15/26  1.230%  $2,933,443 
 800,000  BMW Vehicle Lease Trust 2022-1  05/28/24  0.670    798,518 
 2,480,000  California Street CLO IX LP 2012-9A (3-Month USD-LIBOR + 1.100%)1,2  07/16/32  1.341    2,480,751 
 1,830,000  Carlyle Global Market Strategies CLO, Ltd. 2012-4A (3- Month USD-LIBOR + 1.080%)1,2  04/22/32  1.339    1,827,168 
 3,000,000  Credit Acceptance Auto Loan Trust 2021-2A1  02/15/30  0.960    2,958,681 
 2,558,981  Dell Equipment Finance Trust 2019-21  10/22/24  1.910    2,567,422 
 3,758,931  Donlen Fleet Lease Funding 2 LLC 2021-21  12/11/34  0.560    3,733,469 
 117,564  Drive Auto Receivables Trust 2021-1  12/15/23  0.360    117,549 
 1,500,000  Drive Auto Receivables Trust 2021-3  01/15/25  0.520    1,495,905 
 2,830,000  Dryden 72 CLO, Ltd. 2019-72A (3-Month USD-LIBOR + 1.080%)1,2  05/15/32  1.236    2,828,394 
 1,287,836  Enterprise Fleet Financing LLC 2019-21  02/20/25  2.290    1,294,331 
 1,975,140  Foursight Capital Automobile Receivables Trust 2021-11  08/15/24  0.400    1,974,238 
 2,066,132  FREED ABS Trust 2021-1CP1  03/20/28  0.660    2,062,874 
 880,000  GM Financial Consumer Automobile Receivables Trust 2022-1  02/18/25  0.760    878,212 
 6,000,000  Madison Park Funding XXV, Ltd. 2017-25A (3-Month USD- LIBOR + 0.970%)1,2  04/25/29  1.228    6,004,688 
 5,100,000  Neuberger Berman Loan Advisers CLO 25, Ltd. 2017-25A (3- Month USD-LIBOR + 0.930%)1,2  10/18/29  1.171    5,101,530 
 5,000,000  Northwoods Capital XVII, Ltd. 2018-17A (3-Month USD- LIBOR + 1.060%)1,2  04/22/31  1.319    4,985,994 
 1,850,000  Octagon Investment Partners 20-R, Ltd. 2019-4A (3-Month USD-LIBOR + 1.150%)1,2   05/12/31  1.304    1,849,084 
 1,820,000  OnDeck Asset Securitization Trust III LLC 2021-1A1  05/17/27  1.590    1,782,441 
 2,215,020  Oscar US Funding XII LLC 2021-1A1   03/11/24  0.400    2,190,532 
 1,230,000  Parliament CLO II, Ltd. 2021-2A (3-Month USD-LIBOR + 1.350%)1,2  08/20/32  1.510    1,230,793 
 2,750,000  Pawneee Equipment Receivables LLC Series 2021-11  07/15/27  1.100    2,717,651 
 1,344,409  United Auto Credit Securitization Trust 2021-11  07/10/23  0.340    1,344,053 
 3,833,197  Westlake Automobile Receivables Trust 2021-1A1  10/15/24  0.390    3,826,185 
    Total Asset Backed Securities
(Cost $59,200,673)		          58,983,906 
                 
    COMMERCIAL MORTGAGE BACKED SECURITIES (5.5%)            
 3,340,538  ACRE Commercial Mortgage, Ltd. 2021-FL4 (1-Month USD- LIBOR + 0.830%)1,2  12/18/37  0.933    3,324,971 
 5,550,000  BXMT, Ltd. 2020-FL2 (30-Day SOFR + 1.014%)1,2  02/15/38  1.064    5,523,915 
 2,110,000  MHC Commercial Mortgage Trust 2021-MHC (1-Month USD- LIBOR + 0.801%)1,2  04/15/38  0.907    2,101,960 

 

 

 

 

BBH PARTNER FUND - SELECT SHORT TERM ASSETS

 

PORTFOLIO OF INVESTMENTS (continued)

January 31, 2022 (unaudited)

 

Principal     Maturity  Interest   
Amount     Date  Rate  Value  
    COMMERCIAL MORTGAGE BACKED SECURITIES (continued)            
 5,346,777  PFP, Ltd. 2021-7 (1-Month USD-LIBOR + 0.850%)1,2  04/14/38  0.956%  $5,334,587 
    Total Commercial Mortgage Backed Securities
(Cost $16,346,134)		          16,285,433 
                 
    CORPORATE BONDS (41.6%)            
    AEROSPACE/DEFENSE (1.8%)            
 5,255,000  Boeing Co.  10/30/22  2.200    5,297,892 
                 
    AUTO MANUFACTURERS (1.8%)            
 2,950,000  Daimler Trucks Finance North America LLC1  12/14/23  1.125    2,920,786 
 2,515,000  Toyota Motor Credit Corp. (SOFR + 0.350%)2  06/13/23  0.400    2,515,000 
               5,435,786 
    BANKS (9.3%)            
 5,395,000  BNZ International Funding, Ltd., London Branch1  03/01/23  3.375    5,519,614 
 3,335,000  Canadian Imperial Bank of Commerce  12/14/23  0.500    3,267,490 
 5,580,000  HSBC Holdings Plc (3-Month USD-LIBOR + 1.055%)2  03/13/23  3.262    5,593,394 
 2,000,000  JPMorgan Chase & Co.  09/23/22  3.250    2,031,524 
 1,960,000  JPMorgan Chase & Co. (SOFR + 0.580%)2  03/16/24  0.697    1,945,548 
 5,640,000  KeyBank NA  03/10/23  1.250    5,641,728 
 1,615,000  Santander Holdings USA, Inc.  03/28/22  3.700    1,618,926 
 2,000,000  Westpac Banking Corp.  06/28/22  2.500    2,015,972 
               27,634,196 
    BIOTECHNOLOGY (0.4%)            
 1,312,000  Gilead Sciences, Inc.  09/29/23  0.750    1,297,543 
                 
    COMPUTERS (1.8%)            
 5,000,000  Hewlett Packard Enterprise Co.  10/02/23  4.450    5,223,929 
                 
    DIVERSIFIED FINANCIAL SERVICES (3.1%)            
 1,045,000  AerCap Ireland Capital DAC/AerCap Global Aviation Trust  10/29/24  1.750    1,028,266 
 2,500,000  American Express Co.  05/20/22  2.750    2,511,126 
 5,510,000  Capital One Financial Corp.  05/11/23  2.600    5,582,955 
               9,122,347 
    ELECTRIC (3.9%)            
 2,000,000  Alexander Funding Trust1   11/15/23  1.841    1,991,288 
 3,655,000  New York State Electric & Gas Corp.  05/01/23  5.750    3,840,874 
 1,125,000  NextEra Energy Capital Holdings, Inc.  03/01/23  0.650    1,120,050 
 4,590,000  Southern California Edison Co.  04/01/24  1.100    4,528,565 
               11,480,777 
    HEALTHCARE-PRODUCTS (0.5%)            
 1,350,000  Zimmer Biomet Holdings, Inc.  04/01/22  3.150    1,352,699 
                 
    INSURANCE (7.7%)            
 5,250,000  Athene Global Funding1  07/01/22  3.000    5,299,882 

 

 

 

 

BBH PARTNER FUND - SELECT SHORT TERM ASSETS

 

PORTFOLIO OF INVESTMENTS (continued)

January 31, 2022 (unaudited)

 

Principal     Maturity  Interest   
Amount     Date  Rate  Value  
    CORPORATE BONDS (continued)            
    INSURANCE (continued)            
$1,735,000  Enstar Group, Ltd.  03/10/22  4.500%  $1,739,171 
 1,600,000  Five Corners Funding Trust1  11/15/23  4.419    1,675,215 
 5,625,000  Guardian Life Global Funding1  05/08/22  2.500    5,655,033 
 5,760,000  New York Life Global Funding1   10/21/23  0.400    5,677,025 
 3,000,000  Northwestern Mutual Global Funding1  03/25/24  0.600    2,931,477 
               22,977,803 
    INVESTMENT COMPANIES (0.6%)            
 1,750,000  Ares Capital Corp.  02/10/23  3.500    1,783,771 
                 
    MACHINERY-CONSTRUCTION & MINING (1.9%)            
 5,605,000  Caterpillar Financial Services Corp.  09/06/22  1.900    5,646,003 
                 
    MEDIA (1.4%)            
 4,000,000  Sky, Ltd.1  11/26/22  3.125    4,070,281 
                 
    OIL & GAS (3.9%)            
 5,670,000  Chevron Corp.  06/24/23  3.191    5,806,430 
 5,605,000  Exxon Mobil Corp.  04/15/23  1.571    5,632,389 
               11,438,819 
    PHARMACEUTICALS (1.7%)            
 2,500,000  AbbVie, Inc.  11/06/22  2.900    2,534,793 
 2,500,000  AbbVie, Inc.  11/21/22  2.300    2,525,566 
               5,060,359 
    SEMICONDUCTORS (0.7%)            
 2,000,000  QUALCOMM, Inc.  01/30/23  2.600    2,030,406 
                 
    SOFTWARE (1.1%)            
 3,345,000  Oracle Corp.  05/15/22  2.500    3,353,133 
    Total Corporate Bonds            
    (Cost $124,143,406)          123,205,744 
                 
    RESIDENTIAL MORTGAGE BACKED SECURITIES (1.5%)            
 4,354,279  RESIMAC Premier 2021-1A (1-Month USD-LIBOR + 0.700%)1,2  07/10/52  0.804    4,341,336 
    Total Residential Mortgage Backed Securities            
    (Cost $4,354,278)          4,341,336 
                 
    U.S. TREASURY BILLS (31.8%)            
 23,750,000  U.S. Treasury Bill3  03/10/22  0.000    23,748,918 
 9,600,000  U.S. Treasury Bill3  02/10/22  0.000    9,599,896 
 7,650,000  U.S. Treasury Bill3  02/24/22  0.000    7,649,763 
 11,900,000  U.S. Treasury Bill3  04/14/22  0.000    11,896,781 
 35,500,000  U.S. Treasury Bill3  04/21/22  0.000    35,487,049 

 

 

 

 

BBH PARTNER FUND - SELECT SHORT TERM ASSETS

 

PORTFOLIO OF INVESTMENTS (continued)

January 31, 2022 (unaudited)

 

Principal     Maturity  Interest   
Amount     Date  Rate  Value  
    U.S. TREASURY BILLS (continued)            
 6,000,000  U.S. Treasury Bill3  04/28/22  0.000    5,997,313 
    Total U.S. Treasury Bills            
    (Cost $94,387,799)          94,379,720 
                 
TOTAL INVESTMENTS (Cost $298,432,290)4 100.3 %  $ 297,196,139  
LIABILITIES IN EXCESS OF OTHER ASSETS (0.3) %    (912,328 )
NET ASSETS 100.0 %  $ 296,283,811  

 

 

1Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. Total market value of Rule 144A securities owned at January 31, 2022 was $ 112,061,092 or 37.8% of net assets.
 Variable rate instrument. Interest rates change on specific dates (such as coupon or interest payment date). The yield shown represents the January 31, 2022

2coupon or interest rate.

3Security issued with zero coupon. Income is recognized through accretion of discount.

4The aggregate cost for federal income tax purposes is $298,432,290, the aggregate gross unrealized appreciation is $13,249 and the aggregate gross unrealized depreciation is $1,249,400, resulting in net unrealized depreciation of $1,236,151.

 

Abbreviations:

LIBOR– London Interbank Offered Rate.
SOFR– Secured Overnight Financing Rate.

 

 

 

 

BBH PARTNER FUND - SELECT SHORT TERM ASSETS

 

PORTFOLIO OF INVESTMENTS (continued)

January 31, 2022 (unaudited)

 

FAIR VALUE MEASUREMENTS

BBH Partner Fund – Select Short Term Assets (the “Fund”) is required to disclose information regarding the fair value measurements of the Fund’s assets and liabilities. Fair value is the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. The disclosure requirement established a three-tier hierarchy to maximize the use of observable market data and minimize the use of unobservable inputs and to establish classification of fair value measurements for disclosure purposes. Inputs refer broadly to the assumptions that market participants would use in pricing the asset or liability, including, for example, the risk inherent in a particular valuation technique used to measure fair value, including the model and/or the risk inherent in the inputs to the valuation technique. Inputs may be observable or unobservable. Observable inputs are inputs that reflect the assumptions market participants would use in pricing the asset or liability developed based on market data obtained from sources independent of the reporting entity. Unobservable inputs are inputs that reflect the Fund’s own considerations about the assumptions market participants would use in pricing the asset or liability developed based on the best information available in the circumstances.

Authoritative guidance establishes three levels of the fair value hierarchy as follows:

—Level 1 – unadjusted quoted prices in active markets for identical assets and liabilities.

 

—Level 2 – significant other observable inputs (including quoted prices for similar assets and liabilities, interest rates, prepayment speeds, credit risk, etc.).

 

—Level 3 – significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of assets and liabilities).

 

Inputs are used in applying the various valuation techniques and broadly refer to the assumptions that market participants use to make valuation decisions, including assumptions about risk. Inputs may include price information, specific and broad credit data, liquidity statistics, and other factors. A financial instrument’s level within the fair value hierarchy is based on the lowest level of any input that is significant to the fair value measurement. However, the determination of what constitutes “observable” requires judgment by the investment adviser. The investment adviser considers observable data to be that market data which is readily available, regularly distributed or updated, reliable and verifiable, not proprietary, and provided by independent sources that are actively involved in the relevant market. The categorization of a financial instrument within the hierarchy is based upon the pricing transparency of the instrument and does not necessarily correspond to the investment adviser’s perceived risk of that instrument.

Financial assets within Level 1 are based on quoted market prices in active markets. The Fund does not adjust the quoted price for these instruments.

Financial instruments that trade in markets that are not considered to be active but are valued based on quoted market prices, dealer quotations or alternative pricing sources supported by observable inputs are classified within Level 2. These include investment-grade corporate bonds, U.S. Treasury notes and bonds, and certain non-U.S. sovereign obligations and over-the-counter derivatives. As Level 2 financial assets include positions that are not traded in active markets and/or are subject to transfer restrictions, valuations may be adjusted to reflect illiquidity and/or non-transferability, which are generally based on available market information.

Financial assets classified within Level 3 have significant unobservable inputs, as they trade infrequently. Level 3 financial assets include private equity and certain corporate debt securities.

Because of the inherent uncertainties of valuation, the values reflected in the financial statements may materially differ from the value received upon the actual sale of those investments.

The following table summarizes the valuation of the Fund’s investments by the above fair value hierarchy levels as of January 31, 2022.

 

   Unadjusted Quoted           
   Prices in Active Markets  Significant Other  Significant     
   for Identical Investments  Observable Inputs  Unobservable Inputs  Balance as of  
Investments, at value  (Level 1)  (Level 2)  (Level 3)  January 31, 2022  
Asset Backed Securities  $–  $58,983,906  $–  $58,983,906  
Commercial Mortgage Backed Securities   –   16,285,433   –   16,285,433  
Corporate Bonds   –   123,205,744   –   123,205,744  
Residential Mortgage Backed Securities   –   4,341,336   –   4,341,336  
U.S. Treasury Bills   –   94,379,720   –   94,379,720  
Total Investment, at value  $–  $297,196,139  $–  $297,196,139  

 

 

 

 

BBH PARTNER FUND - SELECT SHORT TERM ASSETS

 

PORTFOLIO OF INVESTMENTS (continued)

January 31, 2022 (unaudited)

 

Portfolio holdings are shown as of the date indicated. Since market conditions fluctuate suddenly and frequently, the portfolio holdings may change and this list is not indicative of future portfolio composition. These portfolio holdings are not intended to be and do not constitute recommendations that others buy, sell, or hold any of the securities listed.

For more complete information on the Fund, call 1-800-575-1265 for a prospectus or visit www.bbhfunds.com. You should consider the Fund’s investment objectives, risks, charges, and expenses carefully before you invest. Information about these and other important subjects is in the Fund’s prospectus, which you should read carefully before investing.

The BBH Funds are managed by a separately identifiable department within Brown Brothers Harriman & Co. Shares of the Fund are distributed by ALPS Distributors, Inc., located at 1290 Broadway, Suite 1000, Denver, CO 80203.