NPORT-EX 2 e15078-lot4incomefund.htm PORTFOLIO OF INVESTMENTS

BBH INCOME FUND

 

PORTFOLIO OF INVESTMENTS

January 31, 2022 (unaudited)

 

Principal       Maturity   Interest      
Amount       Date   Rate   Value  
      ASSET BACKED SECURITIES (16.8%)                  
$ 2,640,000   ABPCI Direct Lending Fund ABS I, Ltd. 2020-1A1   12/20/30   3.199 %   $ 2,635,035  
  774,389   ACC Trust 2020-A1   03/20/23   6.000       780,941  
  1,262,648   Adams Outdoor Advertising LP 2018-11   11/15/48   4.810       1,296,443  
  91,188   Amur Equipment Finance Receivables VI LLC 2018-2A1   07/20/22   3.890       91,531  
  1,480,000   Ares PBN Finance Co. LLC 2021-1A1,2   10/15/36   6.000       1,480,291  
  59,425   ARI Fleet Lease Trust 2018-B1   08/16/27   3.220       59,481  
  4,240,000   BHG Securitization Trust 2022-A1   02/20/35   1.710       4,236,099  
  1,028,485   Business Jet Securities LLC 2020-1A1   11/15/35   2.981       1,034,356  
  1,430,000   CARS-DB4 LP 2020-1A1   02/15/50   4.170       1,453,228  
  1,049,374   CF Hippolyta LLC 2020-11   07/15/60   2.280       1,036,193  
  1,750,000   CFG Investments, Ltd. 2021-11   05/20/32   5.820       1,786,987  
  2,000,000   Credit Acceptance Auto Loan Trust 2020-2A1   09/17/29   1.930       2,002,285  
  2,850,000   DigitalBridge Issuer LLC 2021-1A1   09/25/51   3.933       2,844,394  
  1,070,000   Elm Trust 2020-3A1   08/20/29   2.954       1,050,662  
  2,490,000   Elm Trust 2020-4A1   10/20/29   2.286       2,430,162  
  112,165   FCI Funding LLC 2019-1A1   02/18/31   3.630       112,521  
  4,460,000   Flexential Issuer 2021-1A1   11/27/51   3.250       4,435,660  
  1,107,301   FNA LLC 2019-12   12/10/31   3.000       1,111,509  
  1,549,459   Global SC Finance VII Srl 2020-1A1   10/17/40   2.170       1,527,557  
  1,473,448   Global SC Finance VII Srl 2020-2A1   11/19/40   2.260       1,456,454  
  4,270,000   Golub Capital Partners ABS Funding, Ltd. 2021-1A1   04/20/29   2.773       4,197,650  
  1,430,000   Lendmark Funding Trust 2019-1A1   12/20/27   3.000       1,440,583  
  1,120,000   Lendmark Funding Trust 2019-2A1   04/20/28   2.780       1,131,993  
  515,825   LIAS Administration Fee Issuer LLC 2018-1A   07/25/48   5.956       549,998  
  690,000   Mariner Finance Issuance Trust 2019-AA1   07/20/32   2.960       696,191  
  1,070,000   Mariner Finance Issuance Trust 2020-AA1   08/21/34   2.190       1,071,753  
  1,260,000   Monroe Capital ABS Funding, Ltd. 2021-1A1   04/22/31   2.815       1,222,381  
  1,088,542   NADG NNN Operating LP 2019-11   12/28/49   3.368       1,093,002  
  2,520,000   New Residential Advance Receivables Trust Advance Receivables Backed 2020-T11   08/15/53   1.426       2,504,100  
  386,799   Newtek Small Business Loan Trust 2018-1 (U.S. Prime Rate - 0.550%)1,3   02/25/44   2.700       387,825  
  183,481   Newtek Small Business Loan Trust 2018-1 (U.S. Prime Rate + 0.750%)1,3   02/25/44   4.000       184,503  
  3,960,000   Niagara Park CLO, Ltd. 2019-1A (3-Month USD-LIBOR + 1.000%)1,3   07/17/32   1.241       3,953,330  
  8,542   NMEF Funding LLC 2019-A1   08/17/26   2.730       8,546  
  2,180,000   OnDeck Asset Securitization Trust III LLC 2021-1A1   05/17/27   1.590       2,135,011  
  163,372   OneMain Financial Issuance Trust 2019-1A1   02/14/31   3.480       163,405  
  1,540,000   OneMain Financial Issuance Trust 2020-1A1   05/14/32   3.840       1,569,084  
  5,630,000   Oportun Issuance Trust 2021-C1   10/08/31   2.180       5,545,044  

 

 

 

 

BBH INCOME FUND

 

PORTFOLIO OF INVESTMENTS (continued)

January 31, 2022 (unaudited)

 

Principal       Maturity   Interest        
Amount       Date   Rate     Value  
      ASSET BACKED SECURITIES (continued)                  
$ 772,051   Oscar US Funding XI LLC 2019-2A1   09/11/23   2.590 % $ 776,296  
  910,241   Oxford Finance Funding LLC 2019-1A1   02/15/27   4.459       928,318  
  3,450,000   Oxford Finance Funding LLC 2020-1A1   02/15/28   3.101       3,474,377  
  1,520,000   Palmer Square Loan Funding, Ltd. 2019-2A (3-Month USD- LIBOR + 2.250%)1,3   04/20/27   2.504       1,520,010  
  1,940,000   Palmer Square Loan Funding, Ltd. 2019-3A (3-Month USD- LIBOR + 2.100%)1,3   08/20/27   2.260       1,940,296  
  840,017   ReadyCap Lending Small Business Loan Trust 2019-2 (U.S. Prime Rate - 0.500%)1,3   12/27/44   2.750       836,340  
  2,060,000   Republic Finance Issuance Trust 2020-A1   11/20/30   2.470       2,072,533  
  2,130,000   Sabey Data Center Issuer LLC 2020-11   04/20/45   3.812       2,188,582  
  1,500,000   Santander Drive Auto Receivables Trust 2020-1   12/15/25   4.110       1,536,820  
  1,940,000   Santander Revolving Auto Loan Trust 2019-A1   01/26/32   2.510       1,980,573  
  2,310,000   Southwick Park CLO LLC 2019-4A (3-Month USD-LIBOR + 1.060%)1,3   07/20/32   1.314       2,305,547  
  2,164,958   Stack Infrastructure Issuer LLC 2019-1A1   02/25/44   4.540       2,227,759  
  537,987   SWC Funding LLC 2018-1A1,2   08/15/33   4.750       530,424  
  1,639,848   Textainer Marine Containers VII, Ltd. 2020-1A1   08/21/45   2.730       1,646,373  
  4,904,891   Thrust Engine Leasing DAC 2021-1A1   07/15/40   4.163       4,909,187  
  5,963,713   VC 3 LS LP 2021-B2   10/15/41   4.750       5,895,130  
  2,347,517   VCP RRL ABS I, Ltd. 2021-1A1   10/20/31   2.152       2,340,609  
  2,500,000   World Financial Network Credit Card Master Trust 2019-A   12/15/25   3.140       2,502,266  
  2,414,789   WRG Debt Funding IV LLC 2020-11,2   07/15/28   6.535       2,412,423  
      Total Asset Backed Securities                  
      (Cost $102,731,153)               102,740,051  
                         
      COMMERCIAL MORTGAGE BACKED SECURITIES (4.8%)                  
  2,190,000   BXMT, Ltd. 2020-FL2 (30-Day SOFR + 1.014%)1,3   02/15/38   1.073       2,179,707  
  1,250,000   BXMT, Ltd. 2020-FL3 (30-Day SOFR + 2.664%)1,3   11/15/37   2.723       1,250,000  
  146,085   CG-CCRE Commercial Mortgage Trust 2014-FL2 (1-Month USD-LIBOR + 4.000%)1,2,3   11/15/31   4.106       132,981  
   786,000   CG-CCRE Commercial Mortgage Trust 2014-FL2 (1-Month USD-LIBOR + 4.000%)1,3   11/15/31   4.106       630,128  
  1,375,473    CG-CCRE Commercial Mortgage Trust 2014-FL2 (1-Month USD-LIBOR + 4.750%)1,2,3   11/15/31   4.856       1,095,151  
  600,000    CGMS Commercial Mortgage Trust 2017-MDRB (1-Month USD-LIBOR + 1.750%)1,3   07/15/30   1.856       598,362  
  890,000   Citigroup Commercial Mortgage Trust 2019-SMRT1   01/10/36   4.149       924,083  
  3,540,000   CSMC 2018-SITE1,3,4   04/15/36   4.782       3,542,737  
  5,870,000   DFVI 2021-1   12/15/29   2.982       5,870,000  
  1,000,000   Hudsons Bay Simon JV Trust 2015-HB101,3,4   08/05/34   5.447       841,050  
  240,000   JPMBB Commercial Mortgage Securities Trust 2014-C241,3,4   11/15/47   3.885       165,177  

 

 

 

 

BBH INCOME FUND

 

PORTFOLIO OF INVESTMENTS (continued)

January 31, 2022 (unaudited)

 

Principal     Maturity  Interest    
Amount     Date  Rate  Value 
    COMMERCIAL MORTGAGE BACKED SECURITIES (continued)            
$3,070,000  Morgan Stanley Capital I Trust 2019-BPR (1-Month USD- LIBOR + 1.400%)1,3  05/15/36  1.506%  $3,030,641 
 3,969,684  Ready Capital Mortgage Financing LLC 2021-FL7 (1-Month USD-LIBOR + 1.200%)1,3  11/25/36  1.308    3,955,354 
 890,000  STWD, Ltd. 2019-FL1 (1-Month CME Term SOFR + 1.714%)1,3  07/15/38  1.771    884,028 
 1,227,228  TPG Real Estate Finance Issuer, Ltd. 2018-FL2 (1-Month USD-LIBOR + 1.130%)1,3  11/15/37  1.233    1,226,525 
 300,000  UBS-BAMLL Trust 2012-WRM1  06/10/30  3.663    300,205 
 2,915,000  Wells Fargo Commercial Mortgage Trust 2020-SDAL (1- Month USD-LIBOR + 1.340%)1,3  02/15/37  1.446    2,900,441 
   

Total Commercial Mortgage Backed Securities

(Cost $30,164,937)

          29,526,570 
                 
    CORPORATE BONDS (42.6%)            
    AEROSPACE/DEFENSE (1.4%)            
 2,220,000  BAE Systems, Plc.1  04/15/30  3.400    2,293,705 
 3,250,000  Boeing Co.  05/01/23  4.508    3,359,186 
 2,700,000  Boeing Co.  02/01/28  3.250    2,757,880 
               8,410,771 
    AIRLINES (0.5%)            
 1,990,000  American Airlines, Inc./AAdvantage Loyalty IP, Ltd.1  04/20/26  5.500    2,037,263 
 880,000  Delta Air Lines, Inc./SkyMiles IP, Ltd.1  10/20/28  4.750    939,335 
               2,976,598 
    BANKS (4.7%)            
 1,155,000  ANZ New Zealand Int’l, Ltd., London Branch1  03/19/24  3.400    1,197,712 
 5,910,000  Bank of America Corp. (5-Year CMT Index + 2.760%)3,5     4.375    5,836,716 
 1,365,000  Bank of New Zealand1  02/20/24  3.500    1,417,568 
 1,735,000  HSBC Holdings, Plc  03/31/30  4.950    1,975,824 
 1,140,000  HSBC Holdings, Plc (SOFR + 2.387%)3  06/04/31  2.848    1,117,138 
 2,020,000  JPMorgan Chase & Co. (SOFR + 1.585%)3    03/13/26  2.005    2,010,022 
 2,340,000  Lloyds Banking Group, Plc  05/08/25  4.450    2,500,472 
 2,440,000  Mitsubishi UFJ Financial Group, Inc.  07/17/25  1.412    2,382,292 
 1,410,000  Morgan Stanley (SOFR + 1.990%)3  04/28/26  2.188    1,406,945 
 810,000  Santander Holdings USA, Inc.  03/28/22  3.700    811,969 
 6,100,000  US Bancorp (5-Year CMT Index + 2.541%)3,5     3.700    5,862,100 
 1,245,000  Wells Fargo & Co. (SOFR + 2.000%)3  04/30/26  2.188    1,242,829 
 1,165,000  Wells Fargo & Co. (SOFR + 2.100%)3  06/02/28  2.393    1,155,363 
               28,916,950 
    BEVERAGES (0.3%)            
 1,310,000  Anheuser-Busch InBev Worldwide, Inc.  01/23/39  5.450    1,608,897 

 

 

 

 

BBH INCOME FUND

 

PORTFOLIO OF INVESTMENTS (continued)

January 31, 2022 (unaudited)

 

Principal     Maturity  Interest    
Amount     Date  Rate  Value 
   

CORPORATE BONDS (continued)

BIOTECHNOLOGY (0.2%)

            
$1,395,000  Amgen, Inc.  02/21/27  2.200%  $1,390,252 
                 
    BUILDING MATERIALS (0.8%)            
 2,472,000  Builders FirstSource, Inc.1  06/01/27  6.750    2,573,970 
 2,530,000  James Hardie International Finance DAC1  01/15/28  5.000    2,592,491 
               5,166,461 
    DIVERSIFIED FINANCIAL SERVICES (5.2%)            
 2,160,000  AerCap Ireland Capital DAC / AerCap Global Aviation Trust  10/29/24  1.750    2,125,412 
 485,000  AerCap Ireland Capital DAC / AerCap Global Aviation Trust  10/15/27  4.625    521,971 
 3,055,000  Alliance Data Systems Corp.1  12/15/24  4.750    3,092,393 
 2,330,000  Aviation Capital Group LLC1    12/15/24  5.500    2,507,952 
 2,685,000  Avolon Holdings Funding, Ltd.1  07/01/24  3.950    2,775,802 
 925,000  Avolon Holdings Funding, Ltd.1    01/15/26  5.500    1,004,959 
 2,428,000  Brightsphere Investment Group, Inc.  07/27/26  4.800    2,482,228 
 2,345,000  Capital One Financial Corp.  05/11/27  3.650    2,470,191 
 840,000  Credit Acceptance Corp.1  12/31/24  5.125    848,400 
 1,400,000  Credit Acceptance Corp.  03/15/26  6.625    1,435,364 
 2,485,000  Drawbridge Special Opportunities Fund LP / Drawbridge Special Opportunities Finance1  02/15/26  3.875    2,493,805 
 2,550,000  GCM Grosvenor Diversified Alternatives Issuer LLC1  11/15/41  6.000    2,501,295 
 2,665,000  Oxford Finance LLC / Oxford Finance Co-Issuer II, Inc.1  12/15/22  6.375    2,664,147 
 2,050,000  Oxford Finance LLC / Oxford Finance Co-Issuer II, Inc.1  02/01/27  6.375    2,094,014 
 2,655,000  Strategic Credit Opportunities Partners LLC  04/01/26  4.250    2,631,219 
               31,649,152 
    ELECTRIC (2.3%)            
 5,065,000  Edison International (5-Year CMT Index + 4.698%)3,5     5.375    5,137,809 
 2,800,000  Electricite de France S.A.1    09/21/28  4.500    3,042,670 
 2,095,000  Narragansett Electric Co.1    04/09/30  3.395    2,183,088 
 1,060,000  PacifiCorp  04/01/24  3.600    1,099,547 
 2,500,000  Vistra Operations Co. LLC1  07/31/27  5.000    2,519,750 
               13,982,864 
    HEALTHCARE-SERVICES (1.8%)            
 825,000  Centene Corp.  12/15/27  4.250    845,080 
 6,675,000  MEDNAX, Inc.1  01/15/27  6.250    6,974,240 
 2,545,000  PeaceHealth Obligated Group  11/15/50  3.218    2,530,208 
 490,000  Sutter Health  08/15/30  2.294    475,465 
               10,824,993 
    INSURANCE (9.8%)            
 4,175,000  Aegon NV (6-Month USD-LIBOR + 3.540%)3  04/11/48  5.500    4,695,310 
 2,880,000  Ascot Group, Ltd.1    12/15/30  4.250    2,899,353 
 2,035,000  Athene Global Funding1  06/29/25  2.550    2,056,087 

 

 

 

 

BBH INCOME FUND

 

PORTFOLIO OF INVESTMENTS (continued)

January 31, 2022 (unaudited)

 

Principal     Maturity  Interest    
Amount     Date  Rate  Value 
    CORPORATE BONDS (continued)
INSURANCE (continued)		            
$5,715,000  AXIS Specialty Finance LLC (5-Year CMT Index + 3.186%)3  01/15/40  4.900%  $5,953,945 
 4,210,000  Doctors Co. An Interinsurance Exchange1  01/18/32  4.500    4,184,154 
 1,600,000  Enstar Finance LLC (5-Year CMT Index + 5.468%)3  09/01/40  5.750    1,655,952 
 4,100,000  Enstar Finance LLC (5-Year CMT Index + 4.006%)3  01/15/42  5.500    4,043,093 
 2,195,000  Fairfax Financial Holdings, Ltd.  04/29/30  4.625    2,392,016 
 4,765,000  Fidelis Insurance Holdings, Ltd. (5-Year CMT Index + 6.323%)1,3  04/01/41  6.625    4,991,338 
 1,180,000  New York Life Insurance Co.1  05/15/50  3.750    1,268,705 
 3,708,000  PartnerRe Finance B LLC (5-Year CMT Index + 3.815%)3  10/01/50  4.500    3,799,439 
 2,995,000  Sirius International Group, Ltd.1  11/01/26  4.600    2,980,025 
 2,130,000  Stewart Information Services Corp.  11/15/31  3.600    2,096,733 
 4,830,000  Swiss Re Finance Luxembourg S.A. (5-Year CMT Index + 3.582%)1,3  04/02/49  5.000    5,300,925 
 2,520,000  Teachers Insurance & Annuity Association of America1  05/15/50  3.300    2,477,096 
 2,660,000  United Insurance Holdings Corp.  12/15/27  6.250    2,686,600 
 6,280,000  Universal Insurance Holdings, Inc.1  11/30/26  5.625    6,188,583 
               59,669,354 
    INVESTMENT COMPANIES (8.3%)            
 2,960,000  Apollo Investment Corp.  07/16/26  4.500    2,889,160 
 200,000  Business Development Corp. of America1  12/30/22  4.750    202,882 
 2,930,000  Business Development Corp. of America1  12/15/24  4.850    3,052,190 
 2,490,000  Capital Southwest Corp.  01/31/26  4.500    2,564,700 
 1,635,000  CION Investment Corp.2  02/11/26  4.500    1,616,371 
 5,725,000  Fairfax India Holdings Corp.1  02/26/28  5.000    5,752,022 
 1,145,000  FS KKR Capital Corp.  07/15/24  4.625    1,191,597 
 1,370,000  FS KKR Capital Corp.  02/01/25  4.125    1,403,228 
 3,450,000  FS KKR Capital Corp.1  02/14/25  4.250    3,546,383 
 2,330,000  Gladstone Capital Corp.  01/31/26  5.125    2,446,500 
 3,580,000  Golub Capital BDC, Inc.  04/15/24  3.375    3,636,283 
 1,965,000  Main Street Capital Corp.  05/01/24  5.200    2,059,490 
 2,095,000  OFS Capital Corp.  02/10/26  4.750    2,102,645 
 1,445,000  Owl Rock Capital Corp. II1     11/26/24  4.625    1,495,240 
 2,825,000  Owl Rock Technology Finance Corp.1     06/30/25  6.750    3,116,880 
 2,535,000  PennantPark Floating Rate Capital, Ltd.  04/01/26  4.250    2,527,837 
 3,025,000  Saratoga Investment Corp.  02/28/26  4.375    3,022,575 
 3,050,000  Silver Point Specialty Credit Fund, L.P2  11/04/26  4.000    2,998,405 
 1,775,000  Stellus Capital Investment Corp.  03/30/26  4.875    1,798,957 
 3,165,000  Trinity Capital, Inc.  12/15/26  4.250    3,116,266 
               50,539,611 

 

 

 

 

BBH INCOME FUND

 

PORTFOLIO OF INVESTMENTS (continued)

January 31, 2022 (unaudited)

 

Principal     Maturity  Interest    
Amount     Date  Rate  Value 
    CORPORATE BONDS (continued)
OIL & GAS (1.4%)		            
$2,280,000  Equinor ASA  04/06/25  2.875%  $2,340,392 
 860,000  Equinor ASA  05/22/30  2.375    849,330 
 2,610,000  Exxon Mobil Corp.  03/19/30  3.482    2,789,545 
 2,315,000  Ovintiv Exploration, Inc.  07/01/24  5.625    2,495,651 
               8,474,918 
    PHARMACEUTICALS (0.6%)            
 1,695,000  AbbVie, Inc.  05/14/25  3.600    1,773,834 
 455,000  AbbVie, Inc.  05/14/35  4.500    514,593 
 450,000  AbbVie, Inc.  05/14/36  4.300    504,105 
 730,000  Bausch Health Cos., Inc.1  06/01/28  4.875    691,923 
               3,484,455 
    PIPELINES (2.2%)            
 4,045,000  Energy Transfer LP (3-Month USD-LIBOR + 4.028%)3,5     6.250    3,569,713 
 1,730,000  Energy Transfer LP  09/15/29  4.150    1,811,838 
 2,230,000  EnLink Midstream LLC1  01/15/28  5.625    2,289,541 
 2,230,000  EnLink Midstream Partners, LP  06/01/25  4.150    2,223,851 
 2,430,000  Harvest Midstream I LP1  09/01/28  7.500    2,530,772 
 1,150,000  Northriver Midstream Finance LP1  02/15/26  5.625    1,167,250 
               13,592,965 
    PRIVATE EQUITY (0.3%)            
 2,095,000  Apollo Management Holdings LP (5-Year CMT Index + 3.266%)1,3  01/14/50  4.950    2,100,435 
                 
    REAL ESTATE INVESTMENT TRUSTS (1.8%)            
 2,065,000  HAT Holdings I LLC / HAT Holdings II LLC1   06/15/26  3.375    1,987,562 
 2,300,000  HAT Holdings I LLC / HAT Holdings II LLC1   09/15/30  3.750    2,171,752 
 1,380,000  Scentre Group Trust 1/Scentre Group Trust 21  02/12/25  3.500    1,434,186 
 1,945,000  Scentre Group Trust 1/Scentre Group Trust 21  01/28/26  3.625    2,042,391 
 1,345,000  Scentre Group Trust 2 (5-Year CMT Index + 4.685%)1,3  09/24/80  5.125    1,386,991 
 2,065,000  Starwood Property Trust, Inc.1  01/15/27  4.375    2,057,711 
               11,080,593 
    RETAIL (0.5%)            
 3,450,000  Nordstrom, Inc.  04/01/30  4.375    3,232,271 
                 
    SEMICONDUCTORS (0.4%)            
 2,100,000  ams-OSRAM AG1   07/31/25  7.000    2,205,000 
                 
    TELECOMMUNICATIONS (0.1%)            
 875,000  Connect Finco S.a r.l. / Connect US Finco LLC1  10/01/26  6.750    906,920 
    Total Corporate Bonds
(Cost $254,825,333)		          260,213,460 

 

 

 

 

BBH INCOME FUND

 

PORTFOLIO OF INVESTMENTS (continued)

January 31, 2022 (unaudited)

 

Principal     Maturity  Interest    
Amount     Date  Rate  Value 
    LOAN PARTICIPATIONS AND ASSIGNMENTS (17.4%)            
$5,110,000  AAdvantage Loyality IP, Ltd. (3-Month USD-LIBOR + 4.750%)3   04/20/28  5.500%  $5,296,668 
 3,350,211  AHP Health Partners, Inc. (1-Month USD-LIBOR + 3.500%)3  08/24/28  4.000    3,353,360 
 4,560,000  Air Canada (3-Month USD-LIBOR + 3.500%)3  08/11/28  4.250    4,569,485 
 2,553,600  AL NGPL Holdings LLC (3-Month USD-LIBOR + 3.750%)3  04/14/28  4.750    2,548,289 
 3,050,173  Allen Media LLC (3-Month USD-LIBOR + 5.500%)3  02/10/27  5.724    3,038,735 
 2,319,758  Allspring Buyer LLC (3-Month USD-LIBOR + 3.250%)3  11/01/28  3.750    2,319,758 
 233,333  Athenahealth Group, Inc. (3-Month CME Term SOFR + 3.500%)3   02/15/29  4.000    232,216 
 1,376,667  Athenahealth Group, Inc. (3-Month CME Term SOFR + 3.500%)3   02/15/29  4.000    1,370,072 
 1,180,745  Avolon TLB Borrower 1 (US) LLC Term B3 (1-Month USD- LIBOR + 1.750%)3  01/15/25  2.500    1,174,110 
 1,953,437  Axalta Coating Systems Dutch Holding B BV Term B3 (3-Month USD-LIBOR + 1.750%)3  06/01/24  1.974    1,946,560 
 2,380,000  Bausch Health Companies, Inc. Term B (30-Day SOFR + 5.250%)3   01/27/27  5.500    2,359,913 
 2,818,211  BCP Renaissance Parent LLC (3-Month USD-LIBOR + 3.500%)3   10/31/24  4.500    2,812,941 
 1,390,344  Buckeye Partners LP Term B1 (1-Month USD-LIBOR + 2.250%)3   11/01/26  2.354    1,383,545 
 1,916,239  Clarios Global LP (1-Month USD-LIBOR + 3.250%)3  04/30/26  3.355    1,905,220 
 3,880,379  Connect Finco S.a r.l. (1-Month USD-LIBOR + 3.500%)3  12/11/26  4.500    3,876,925 
 2,500,000  Delos Finance S.a r.l. (3-Month USD-LIBOR + 1.750%)3  10/06/23  1.974    2,495,475 
 4,080,724  Eastern Power LLC (3-Month USD-LIBOR + 3.750%)3  10/02/25  4.750    3,014,063 
 2,425,773  Elanco Animal Health, Inc. (1-Month USD-LIBOR + 1.750%)3  08/01/27  1.852    2,386,354 
 1,930,163  Geon Performance Solutions LLC (Fka. Echo US Holdings LLC) (3-Month USD-LIBOR + 4.750%)3   08/18/28  5.500    1,943,037 
 2,249,363  GIP II Blue Holding, LP (3-Month USD-LIBOR + 4.500%)3  09/29/28  5.500    2,247,113 
 1,575,935  Global Medical Responce, Inc. (3-Month USD-LIBOR + 4.250%)3   03/14/25  5.250    1,571,996 
 830,213  Icon, Plc. (3-Month USD-LIBOR + 2.250%)3  07/03/28  2.750    827,930 
 3,332,174  Icon, Plc. (3-Month USD-LIBOR + 2.250%)3  07/03/28  2.750    3,323,011 
 5,035,345  ILPEA Parent, Inc. (1-Month USD-LIBOR + 4.500%)3  06/22/28  5.250    5,010,168 
 1,790,444  Iridium Satellite LLC Term B2 (1-Month USD-LIBOR + 2.500%)3   11/04/26  3.250    1,785,127 
 2,855,650  Jazz Pharmaceuticals, Plc. (1-Month USD-LIBOR + 3.500%)3  05/05/28  4.000    2,855,307 
 2,280,000  LendingTree, Inc. Term B (3-Month USD-LIBOR + 4.000%)3  09/15/28  4.750    2,280,000 
 2,997,000  Lumen Technologies, Inc. Term A (1-Month USD-LIBOR + 2.000%)3   01/31/25  2.105    2,985,761 
 3,050,000  Medline Borrower, LP (1-Month USD-LIBOR + 3.250%)3  10/23/28  3.750    3,036,183 
 3,070,000  MIP V Waste LLC (1-Month USD-LIBOR + 3.250%)3  12/08/28  3.750    3,077,675 

 

 

 

 

BBH INCOME FUND

 

PORTFOLIO OF INVESTMENTS (continued)

January 31, 2022 (unaudited)

 

Principal     Maturity  Interest    
Amount     Date  Rate  Value 
    LOAN PARTICIPATIONS AND ASSIGNMENTS (continued)            
$3,067,313  MPH Acquisition Holdings LLC (3-Month USD-LIBOR + 4.250%)3  09/01/28  4.750%  $2,975,692 
 2,694,804  NorthRiver Midstream Finance LP Term B (3-Month USD- LIBOR + 3.250%)3  10/01/25  3.464    2,687,313 
 5,616,775  OCM System One Buyer CTB LLC (1-Month USD-LIBOR + 4.500%)3   03/02/28  4.750    5,613,293 
 2,685,204  Organon & Co. (3-Month USD-LIBOR + 3.000%)3  06/02/28  3.500    2,680,505 
 1,057,383  RPI Intermediate Finance Trust Term B1 (1-Month USD- LIBOR + 1.750%)3  02/11/27  1.855    1,055,004 
 2,110,000  SkyMiles IP, Ltd. (3-Month USD-LIBOR + 3.750%)3  10/20/27  4.750    2,226,324 
 412,407  SS&C Technologies Holdings, Inc. Term B3 (1-Month USD- LIBOR + 1.750%)3  04/16/25  1.855    407,252 
 334,780  SS&C Technologies Holdings, Inc. Term B4 (1-Month USD- LIBOR + 1.750%)3  04/16/25  1.855    330,595 
 2,767,643  UGI Energy Services LLC (1-Month USD-LIBOR + 3.750%)3  08/13/26  3.855    2,767,643 
 3,761,575  United AirLines, Inc. Term B (3-Month USD-LIBOR + 3.750%)3   04/21/28  4.500    3,759,995 
 1,814,352  Vistra Operations Co. LLC (fka Tex Operations Co. LLC) (1- Month USD-LIBOR + 1.750%)3  12/31/25  1.855    1,794,086 
 2,902,500  Wyndham Hotels & Resorts, Inc. Term B (1-Month USD- LIBOR + 1.750%)3  05/30/25  1.855    2,874,375 
    Total Loan Participations and Assignments
(Cost $107,179,487)		          106,199,074 
                 
    MUNICIPAL BONDS (1.2%)            
 1,645,000  Indiana Finance Authority, Revenue Bonds  03/01/51  3.313    1,642,541 
 5,605,000  Port Authority of New York & New Jersey, Revenue Bonds  10/01/33  2.000    5,338,841 
    Total Municipal Bonds
(Cost $7,337,730)		          6,981,382 
                 
    PREFERRED STOCKS (3.1%)            
 178,600  Eagle Point Credit Co., Inc.  01/31/29  5.375    4,329,264 
 99,600  First Eagle Alternative Capital BDC, Inc.  05/25/26  5.000    2,535,816 
 132,600  Gladstone Investment Corp.  11/01/28  4.875    3,345,498 
 93,600  Horizon Technology Finance Corp.  03/30/26  4.875    2,427,984 
 130,800  Oxford Lane Capital Corp.6  01/31/27  5.000    3,230,760 
 114,000  Trinity Capital, Inc.  01/16/25  7.000    2,978,250 
    Total Preferred Stocks
(Cost $18,770,836)		          18,847,572 

 

 

 

 

BBH INCOME FUND

 

PORTFOLIO OF INVESTMENTS (continued)

January 31, 2022 (unaudited)

 

Principal     Maturity  Interest    
Amount     Date  Rate  Value 
    RESIDENTIAL MORTGAGE BACKED SECURITIES (0.4%)            
$628,739  Cascade Funding Mortgage Trust 2018-RM21,3,4  10/25/68  4.000%  $640,852 
 1,106,743  Cascade Funding Mortgage Trust 2019-RM31,3,4  06/25/69  2.800    1,103,329 
 527,313  RMF Proprietary Issuance Trust 2019-11,3,4  10/25/63  2.750    527,724 
    Total Residential Mortgage Backed Securities
(Cost $2,256,856)		          2,271,905 
                 
    U.S. INFLATION LINKED DEBT (1.1%)            
 6,225,019  U.S. Treasury Inflation Indexed Note  10/15/26  0.125    6,639,858 
    Total U.S. Inflation Linked Debt
(Cost $6,769,816)		          6,639,858 
                 
    U.S. TREASURY BONDS AND NOTES (12.3%)            
 13,750,000  U.S. Treasury Bond  08/15/40  3.875    17,479,687 
 20,000,000  U.S. Treasury Bond  08/15/41  1.750    18,625,000 
 12,440,000  U.S. Treasury Bond  08/15/46  2.250    12,604,733 
 11,450,000  U.S. Treasury Bond  08/15/50  1.375    9,609,055 
 700,000  U.S. Treasury Note7  02/15/23  2.000    708,395 
 1,200,000  U.S. Treasury Note7  10/31/23  1.625    1,210,547 
 300,000  U.S. Treasury Note7  08/15/26  1.500    298,769 
 500,000  U.S. Treasury Note7  08/31/28  1.125    480,762 
 14,500,000  U.S. Treasury Note  12/31/28  1.375    14,151,094 
    Total U.S. Treasury Bonds and Notes
(Cost $76,069,978)		          75,168,042 
                 
    U.S. TREASURY BILL (0.5%)            
 3,250,000  U.S. Treasury Bill8  02/08/22  0.000    3,249,980 
    Total U.S. Treasury Bill
(Cost $3,249,980)		          3,249,980 
                 
TOTAL INVESTMENTS (Cost $609,356,106)9     100.2%  $611,837,894 
LIABILITIES IN EXCESS OF OTHER ASSETS     (0.2)%   (1,014,955)
NET ASSETS      100.0%  $610,822,939 

 

 

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 $ 243,181,659 or 39.8% of net assets.
2Security that used significant unobservable inputs to determine fair value.
3Variable rate instrument. Interest rates change on specific dates (such as coupon or interest payment date). The yield shown represents the January 31, 2022 coupon or interest rate.
4This variable rate security is based on a predetermined schedule and the rate at period end also represents the reference rate at period end.
5Security is perpetual in nature and has no stated maturity date.
6Non-income producing security.
7All or a portion of this security is held at the broker as collateral for open futures contracts.
8Security issued with zero coupon. Income is recognized through accretion of discount.
9The aggregate cost for federal income tax purposes is $609,356,106, the aggregate gross unrealized appreciation is $8,603,839 and the aggregate gross unrealized depreciation is $7,658,309, resulting in net unrealized appreciation of $945,530.

 

 

 

 

BBH INCOME FUND

 

PORTFOLIO OF INVESTMENTS (continued)

January 31, 2022 (unaudited)

 

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 January 31, 2022:

 

   Number of  Expiration  Notional  Market  Unrealized 
Description  Contracts  Date  Amount  Value  Gain / (Loss) 
Contracts to Buy:                   
U.S. Long Bond  156  March 2022  $24,652,469  $24,277,500  $(374,969)
U.S. Treasury 5-Year Notes  588  March 2022   70,744,219   70,091,438   (652,781)
U.S. Treasury 10-Year Notes  135  March 2022   17,358,047   17,275,781   (82,266)
U.S. Ultra 10-Year Notes  128  March 2022   18,430,125   18,282,000   (148,125)
U.S. Ultra Bond  118  March 2022   22,718,062   22,294,625   (423,437)
                 $(1,681,578)
Contracts to Sell:                   
U.S. Treasury 2-Year Notes  89  March 2022  $19,427,726   19,282,406  $145,320 
Net Unrealized (Loss) on Open Futures Contracts                $(1,536,258)

 

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.

 

 

 

 

BBH INCOME FUND

 

PORTFOLIO OF INVESTMENTS (continued)

January 31, 2022 (unaudited)

 

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
for Identical Investments		  Significant Other
Observable Inputs		  Significant
Unobservable Inputs		  Balance as of 
Investments, at value  (Level 1)  (Level 2)  (Level 3)  January 31, 2022 
Asset Backed Securities  $–  $91,310,274  $11,429,777  $102,740,051 
Commercial Mortgage Backed Securities   –   28,298,438   1,228,132   29,526,570 
Corporate Bonds   –   255,598,684   4,614,776   260,213,460 
Loan Participations and Assignments    –   106,199,074   –   106,199,074 
Municipal Bonds   –   6,981,382   –   6,981,382 
Preferred Stock   18,847,572   –   –   18,847,572 
Residential Mortgage Backed Securities   –   2,271,905   –   2,271,905 
U.S. Inflation Linked Debt   –   6,639,858   –   6,639,858 
U.S. Treasury Bonds and Notes   –   75,168,042   –   75,168,042 
U.S. Treasury Bills    –   3,249,980   –   3,249,980 
Total Investment, at value  $18,847,572  $575,717,637  $17,272,685  $611,837,894 
                  
Other Financial Instruments, at value                 
Financial Futures Contracts  $(1,536,258) $–  $–  $(1,536,258)
Other Financial Instruments, at value  $(1,536,258) $–  $–  $(1,536,258)

 

 

 

 

BBH INCOME FUND

 

PORTFOLIO OF INVESTMENTS (continued)

January 31, 2022 (unaudited)

 

The following is a reconciliation of assets for which significant unobservable inputs (Level 3) were used in determining fair value during the period ended January 31, 2022:

 

  

Asset Backed
Securities

   

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   -    -    -    - 
Sales / Paydowns   (426,770)   -    -    (426,770)
Realized gains (losses)   -    -    -    - 
Change in unrealized appreciation (depreciation)   (75,858)   (81,712)   (73,185)   (230,755)
Amortization   3    156    -    159 
Transfers from Level 3   -    -    -    - 
Transfers to Level 3   -    -    -    - 
Balance as of January 31, 2022  $11,429,777   $1,228,132   $4,614,776   $17,272,685 

 

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.