0001752724-23-070069.txt : 20230328 0001752724-23-070069.hdr.sgml : 20230328 20230328153607 ACCESSION NUMBER: 0001752724-23-070069 CONFORMED SUBMISSION TYPE: NPORT-P PUBLIC DOCUMENT COUNT: 2 CONFORMED PERIOD OF REPORT: 20230131 FILED AS OF DATE: 20230328 DATE AS OF CHANGE: 20230328 PERIOD START: 20231031 FILER: COMPANY DATA: COMPANY CONFORMED NAME: BBH Trust CENTRAL INDEX KEY: 0001342947 IRS NUMBER: 000000000 FISCAL YEAR END: 0630 FILING VALUES: FORM TYPE: NPORT-P SEC ACT: 1940 Act SEC FILE NUMBER: 811-21829 FILM NUMBER: 23769217 BUSINESS ADDRESS: STREET 1: 50 POST OFFICE SQUARE CITY: BOSTON STATE: MA ZIP: 02110 BUSINESS PHONE: 800-575-1265 MAIL ADDRESS: STREET 1: 140 BROADWAY CITY: NEW YORK STATE: NY ZIP: 10005 0001342947 S000015110 BBH Limited Duration Fund C000041213 Class N Shares BBBMX C000041214 Class I Shares BBBIX NPORT-P 1 primary_doc.xml NPORT-P false 0001342947 XXXXXXXX S000015110 C000041214 C000041213 BBH Trust 811-21829 0001342947 5493002QM4WBFYUZ3Y95 50 Post Office Square NULL Boston 02110 800-575-1265 BBH Limited Duration Fund S000015110 549300GDZGAO1AE3NJ34 2023-10-31 2023-01-31 N 8196738573.91 203256003.54 7993482570.37 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 7851838.15000000 USD N limited_duration_fund_security_portfolio n/a FHLMC P1J0256 V/R 01/01/37 N/A FHLMC P1J0256 V/R 01/01/37 3.99500000 3128LUH90 10481.44000000 NS USD 10265.61000000 0.000128424749 Long ABS-MBS USGA US N 2 2037-01-01 Variable 3.99500000 N N N N N N ATHENE GLOBAL F 2.55% 06/29/25 549300LM1QSI4MSIL320 ATHENE GLOBAL FUNDING REGD 144A P/P 2.55000000 04685A2N0 14345000.00000000 NS USD 13290487.86000000 0.166266552069 Long DBT CORP US Y 2 2025-06-29 Fixed 2.55000000 N N N N N N BLACKSTONE PRIV 2.35% 11/22/24 N/A BLACKSTONE PRIVATE CRE REGD SER WI 2.35000000 09261HAH0 30840000.00000000 NS USD 28870527.38000000 0.361175834510 Long DBT CORP US N 2 2024-11-22 Fixed 2.35000000 N N N N N N T/L SS&C TECH 0% 4/16/25 N/A T/L SS&C TECHNOLOGIES INC REGD ZCP 0.00000000 78466DBD5 12521375.12000000 NS USD 12490071.68000000 0.156253192148 Long LON CORP US N 2 2025-04-16 Variable 6.31971000 N N N N N N T/L ZEBRA BUYER 0% 11/01/2028 N/A T/L ZEBRA BUYER LLC REGD 0.00000000 N/A 20781563.81000000 NS USD 20699268.82000000 0.258951822785 Long LON CORP US N 2 2028-11-01 Variable 7.75000000 N N N N N N FHLMC 0.6% 11/12/25 N/A FEDERAL HOME LOAN MORTGAGE CORP SER 0000 0.60000000 3134GXAZ7 40500000.00000000 NS USD 36665594.06000000 0.458693613668 Long ABS-MBS USGA US N 2 2025-11-12 Fixed 0.60000000 N N N N N N BHG 2022-A A 1.71% 02/20/35 N/A BHG SECURITIZATION TRUST 2022-A SER 2022-A CL A REGD 144A P/P 1.71000000 054977AA1 28119503.51000000 NS USD 26408018.36000000 0.330369374393 Long ABS-CBDO CORP US Y 2 2035-02-20 Fixed 1.71000000 N N N N N N T/L GRIZZLY ACQUI 0% 10/01/25 N/A T/L GRIZZLY ACQUISITIONS INC REGD 0.00000000 N/A 38305662.64000000 NS USD 38243990.52000000 0.478439656098 Long LON CORP CA N 2 2025-10-01 Variable 8.00386000 N N N N N N T/L IRIDIUM SAT 0% 11/04/26 N/A T/L IRIDIUM SATELLITE LLC REGD 0.00000000 N/A 31396383.43000000 NS USD 31373150.11000000 0.392484124833 Long LON CORP US N 2 2026-11-04 Variable 7.16144000 N N N N N N ARES CAPITAL COR 3.5% 02/10/23 WEQ82666OJYSI5GUAB47 ARES CAPITAL CORP REGD 3.50000000 04010LAU7 74580000.00000000 NS USD 74544094.20000000 0.932560915017 Long DBT CORP US N 2 2023-02-10 Fixed 3.50000000 N N N N N N BX 2019-RP A V/R 06/15/21 N/A BX TRUST 2019-RP SER 2019-RP CL A V/R REGD 144A P/P 5.50400000 05607VAA5 459281.69000000 NS USD 452745.28000000 0.005663930283 Long ABS-CBDO CORP US Y 2 2034-06-15 Variable 5.50400000 N N N N N N T/L CLARIOS GLOB 0% 04/30/26 N/A T/L CLARIOS GLOBAL LP REGD 0.00000000 C8000CAG8 24491571.74000000 NS USD 24373522.36000000 0.304917439244 Long LON CORP US N 2 2026-04-30 Variable 7.81971000 N N N N N N UMBS P#735997 5.5% 11/01/35 N/A FANNIE MAE POOL UMBS P#735997 5.50000000 31402RUW7 168979.19000000 NS USD 176972.04000000 0.002213954161 Long ABS-MBS USGSE US N 2 2035-11-01 Fixed 5.50000000 N N N N N N VITALITY RE XIII V/R 01/06/26 N/A VITALITY RE XIII LTD REGD V/R 144A P/P SER A 6.61097300 92849MAA1 11950000.00000000 NS USD 11292750.00000000 0.141274468300 Long DBT CORP KY Y 2 2026-01-06 Variable 6.61097300 N N N N N N HSBC HOLDINGS PLC V/R 11/03/26 MLU0ZO3ML4LN2LL2TL39 HSBC HOLDINGS PLC REGD V/R 7.33600000 404280DQ9 5780000.00000000 NS USD 6100789.48000000 0.076322046445 Long DBT CORP GB N 2 2026-11-03 Variable 7.33600000 N N N N N N GMCAR 2022-1 A 0.76% 09/16/23 N/A GM FINANCIAL CONSUMER AUTOMOBILE RECEIVABLES TRUST 2022-1 SER 2022-1 CL A2 REGD 0.76000000 380146AB6 9194387.09000000 NS USD 9081108.56000000 0.113606409722 Long ABS-CBDO CORP US N 2 2025-02-18 Fixed 0.76000000 N N N N N N AMCAR 2021-3 A 0.41% 06/18/23 N/A AMERICREDIT AUTOMOBILE RECEIVABLES TRUST 2021-3 SER 2021-3 CL A2 REGD 0.41000000 03066JAB9 7748185.52000000 NS USD 7702999.65000000 0.096366002955 Long ABS-CBDO CORP US N 2 2025-02-18 Fixed 0.41000000 N N N N N N BXMT 2020-FL2 A V/R 07/15/22 N/A BXMT 2020-FL2 LTD SER 2020-FL2 CL A V/R REGD 144A P/P 5.49730000 12434LAA2 30351537.05000000 NS USD 29462746.92000000 0.368584614535 Long ABS-CBDO CORP KY Y 2 2038-02-15 Variable 5.49730000 N N N N N N CFMT 2019-RM3 A V/R 06/25/69 N/A CASCADE FUNDING MORTGAGE TRUST 2019-RM3 SER 2019-RM3 CL A V/R REGD 144A P/P 2.80000000 147271AA8 11745865.72000000 NS USD 11367264.75000000 0.142206662114 Long ABS-CBDO CORP US Y 2 2069-06-25 Variable 2.80000000 N N N N N N CGMS 2019-2A A1R V/R 07/15/32 N/A CARLYLE US CLO 2019-2 LTD SER 2019-2A CL A1R V/R REGD 144A P/P 5.91243000 14316EAL3 29280000.00000000 NS USD 28826997.41000000 0.360631266237 Long ABS-CBDO CORP KY Y 2 2032-07-15 Variable 5.91243000 N N N N N N FAHB 2022-HB1 A V/R 12/25/24 N/A FINANCE OF AMERICA HECM BUYOUT 2022-HB1 SER 2022-HB1 CL A V/R REGD 144A P/P 2.69480000 31735JAA3 28095451.53000000 NS USD 27129296.71000000 0.339392704883 Long ABS-CBDO CORP US Y 2 2032-02-25 Variable 2.69480000 N N N N N N PRICOA GLOBAL F 1.15% 12/06/24 635400IBXEBMD9ADYA79 PRICOA GLOBAL FUNDING 1 REGD 144A P/P MTN 1.15000000 74153WCQ0 37180000.00000000 NS USD 34696376.00000000 0.434058318067 Long DBT CORP US Y 2 2024-12-06 Fixed 1.15000000 N N N N N N STHWK 2019-4A A1 V/R 07/20/32 N/A SOUTHWICK PARK CLO LLC SER 2019-4A CL A1R V/R REGD 144A P/P 5.86771000 846031AN2 22755000.00000000 NS USD 22481940.00000000 0.281253381139 Long ABS-CBDO CORP KY Y 2 2032-07-20 Variable 5.86771000 N N N N N N NEW YORK LIFE G 1.45% 01/14/25 635400DPNHEAUHB7ZI15 NEW YORK LIFE GLOBAL FDG REGD 144A P/P MTN 1.45000000 64952WEK5 73445000.00000000 NS USD 69062923.17000000 0.863990414215 Long DBT CORP US Y 2 2025-01-14 Fixed 1.45000000 N N N N N N T/L ASPLUNDH TREE 0% 09/07/27 N/A T/L ASPLUNDH TREE EXPERT LLC REGD 0.00000000 04538FAD1 46693978.35000000 NS USD 46621135.74000000 0.583239349427 Long LON CORP US N 2 2027-09-07 Variable 6.31971000 N N N N N N ROYAL BANK OF C 4.24% 08/03/27 ES7IP3U3RHIGC71XBU11 ROYAL BANK OF CANADA REGD MTN SER GMTN 4.24000000 78016FZS6 24915000.00000000 NS USD 24568273.64000000 0.307353815107 Long DBT CORP CA N 2 2027-08-03 Fixed 4.24000000 N N N N N N SDART 2022-1 A 1.36% 05/15/23 N/A SANTANDER DRIVE AUTO RECEIVABLES TRUST 2022-1 SER 2022-1 CL A2 REGD 1.36000000 80286EAB2 8384836.09000000 NS USD 8373134.21000000 0.104749514823 Long ABS-CBDO CORP US N 2 2024-12-16 Fixed 1.36000000 N N N N N N CFMT 2021-HB5 A V/R 11/25/23 N/A CFMT 2021-HB5 LLC SER 2021-HB5 CL A V/R REGD 144A P/P 0.80060000 12526PAA2 10975776.86000000 NS USD 10607534.06000000 0.132702285475 Long ABS-CBDO CORP US Y 2 2031-02-25 Variable 0.80060000 N N N N N N ARIFL 2022-A A 3.12% 11/15/24 N/A ARI FLEET LEASE TRUST 2022-A SER 2022-A CL A2 REGD 144A P/P 3.12000000 00217QAB7 14300000.00000000 NS USD 14066363.74000000 0.175972908130 Long ABS-CBDO CORP US Y 2 2031-01-15 Fixed 3.12000000 N N N N N N DAIMLER TRUCK FI 5.2% 01/17/25 N/A DAIMLER TRUCK FINAN NA REGD 144A P/P 5.20000000 233853AN0 16000000.00000000 NS USD 16082652.64000000 0.201197068967 Long DBT CORP US Y 2 2025-01-17 Fixed 5.20000000 N N N N N N COREBRIDGE GLOB 0.4% 09/13/23 54930057MDZ7KOVOTV71 COREBRIDGE GLOB FUNDING REGD 144A P/P 0.40000000 00138CAT5 84507000.00000000 NS USD 82119513.31000000 1.027330860949 Long DBT CORP US Y 2 2023-09-13 Fixed 0.40000000 N N N N N N FHLMC 0.625% 11/25/25 N/A FEDERAL HOME LOAN MORTGAGE CORP 0.62500000 3134GXCS1 24040000.00000000 NS USD 21759885.81000000 0.272220344742 Long ABS-MBS USGA US N 2 2025-11-25 Fixed 0.62500000 N N N N N N GOLUB CAPITAL 3.375% 04/15/24 2549005WE0QLGK9APF78 GOLUB CAPITAL BDC REGD 3.37500000 38173MAA0 39855000.00000000 NS USD 38666878.61000000 0.483730067209 Long DBT CORP US N 2 2024-04-15 Fixed 3.37500000 N N N N N N FFCB 0.61% 08/25/25 N/A FEDERAL FARM CREDIT BANKS FUNDING CORP 0.61000000 3133EL4W1 15622000.00000000 NS USD 14271734.61000000 0.178542137101 Long DBT USGA US N 2 2025-08-25 Fixed 0.61000000 N N N N N N F&G GLOBAL FUNDI 0.9% 09/20/24 6354009CCUKJIZ7KFX73 F&G GLOBAL FUNDING REGD 144A P/P 0.90000000 30321L2B7 59274000.00000000 NS USD 54799171.01000000 0.685548139094 Long DBT CORP US Y 2 2024-09-20 Fixed 0.90000000 N N N N N N RESI 2020-1A A1A V/R 02/07/52 N/A RESIMAC PREMIER SERIES 2020-1 SER 2020-1A CL A1A V/R REGD 144A P/P 5.44514000 76120GAA7 6036503.15000000 NS USD 6017140.46000000 0.075275581162 Long ABS-CBDO CORP AU Y 2 2052-02-07 Variable 5.44514000 N N N N N N US T BILL ZCP 03/21/23 N/A UNITED STATES TREASURY BILL ZCP 0.00000000 912796Z77 155000000.00000000 PA USD 154069160.01000000 1.927434740160 Long STIV UST US N 2 2023-03-21 Fixed 0.00000000 N N N N N N NEUB 2019-34A A1 V/R 01/20/35 N/A NEUBERGER BERMAN LOAN ADVISERS CLO 3 SER 2019-34A CL A1R V/R REGD 144A P/P 5.87904000 64132YAQ5 47600000.00000000 NS USD 46814600.00000000 0.585659624423 Long ABS-CBDO CORP KY Y 2 2035-01-20 Variable 5.87904000 N N N N N N LLOYDS BANKING GR V/R 03/18/28 549300PPXHEU2JF0AM85 LLOYDS BANKING GROUP PLC REGD V/R 3.75000000 53944YAS2 17755000.00000000 NS USD 16872262.41000000 0.211075238626 Long DBT CORP GB N 2 2028-03-18 Variable 3.75000000 N N N N N N T/L ICON LUXEMBOU 0% 07/03/28 N/A T/L ICON LUXEMBOURG S.A.R.L. REGD 0.00000000 N/A 14855648.22000000 NS USD 14850151.63000000 0.185778244954 Long LON CORP LU N 2 2028-07-03 Variable 7.00000000 N N N N N N MET TOWER GLOBA 1.25% 09/14/26 635400OFJCY9IOGBGY57 MET TOWER GLOBAL FUNDING REGD 144A P/P MTN 1.25000000 58989V2D5 44790000.00000000 NS USD 39601974.30000000 0.495428293630 Long DBT CORP US Y 2 2026-09-14 Fixed 1.25000000 N N N N N N RPIT 2019-1 A V/R 10/25/24 N/A RMF PROPRIETARY ISSUANCE TRUST 2019-1 SER 2019-1 CL A V/R REGD 144A P/P 2.75000000 74968RAA3 6888044.71000000 NS USD 6359451.34000000 0.079557955922 Long ABS-CBDO CORP US Y 2 2063-10-25 Variable 2.75000000 N N N N N N T/L AVANTOR INC 0% 11/08/27 N/A T/L AVANTOR INC REGD 0.00000000 N/A 8631248.12000000 NS USD 8621581.12000000 0.107857633316 Long LON CORP US N 2 2027-11-08 Variable 6.81971000 N N N N N N NFMOT 2020-1A 1.55% 02/15/23 N/A NEXTGEAR FLOORPLAN MASTER OWNER TRUST SER 2020-1A CL A2 REGD 144A P/P 1.55000000 65341KBN5 30640000.00000000 NS USD 30593638.62000000 0.382732286593 Long ABS-CBDO CORP US Y 2 2025-02-15 Fixed 1.55000000 N N N N N N BANK OF NEW ZEAL 3.5% 02/20/24 N/A BANK OF NEW ZEALAND REGD 144A P/P 3.50000000 06407EAA3 34710000.00000000 NS USD 34125618.97000000 0.426918038158 Long DBT CORP NZ Y 2 2024-02-20 Fixed 3.50000000 N N N N N N T/L ALLEN MEDIA 0% 02/10/2027 N/A T/L ALLEN MEDIA LLC AKA ENTERT REGD 0.00000000 01771JAG8 21652953.94000000 NS USD 17353976.46000000 0.217101573778 Long LON CORP US N 2 2027-02-10 Variable 10.23023000 N N N N N N PFSFC 2022-A A 2.47% 02/15/25 N/A PFS FINANCING CORP SER 2022-A CL A REGD 144A P/P 2.47000000 69335PEF8 47670000.00000000 NS USD 45321485.01000000 0.566980469538 Long ABS-CBDO CORP US Y 2 2027-02-15 Fixed 2.47000000 N N N N N N UMBS P#310104 5.5% 08/01/37 N/A FANNIE MAE POOL UMBS P#310104 5.50000000 31374CNV4 1949085.41000000 NS USD 2034157.28000000 0.025447697697 Long ABS-MBS USGSE US N 2 2037-08-01 Fixed 5.50000000 N N N N N N ONDK 2021-1A A 1.59% 05/17/24 N/A ONDECK ASSET SECURITIZATION TRUST III LLC SER 2021-1A CL A REGD 144A P/P 1.59000000 68236WAA0 21250000.00000000 NS USD 19604344.75000000 0.245254112677 Long ABS-CBDO CORP US Y 2 2027-05-17 Fixed 1.59000000 N N N N N N T/L NVA HOLDIN 0% 12/16/2024 N/A T/L NVA HOLDINGS PARENT LLC REGD 0.00000000 62955GAB5 50000000.00000000 NS USD 48985000.00000000 0.612811744677 Long LON CORP US N 3 2024-12-16 Variable 6.37500000 N N N N N N OMFIT 2022-3A 5.94% 04/14/26 N/A ONEMAIN FINANCIAL ISSUANCE TRUST 2022-3 SER 2022-3A CL A REGD 144A P/P 5.94000000 68269PAA5 14640000.00000000 NS USD 14767091.30000000 0.184739144296 Long ABS-CBDO CORP US Y 2 2034-05-15 Fixed 5.94000000 N N N N N N DCAL 2015-1A A1 V/R 02/15/22 N/A AIM AVIATION FINANCE LTD SER 2015-1A CL A1 V/R REGD P/P 6.21300000 001406AA5 13113545.97000000 NS USD 9179154.34000000 0.114832981234 Long ABS-CBDO CORP KY Y 2 2040-02-15 Variable 6.21300000 N N N N N N T/L CLEAN 0% 10/08/2028 N/A T/L CLEAN HARBORS INC REGD 0.00000000 N/A 19800000.00000000 NS USD 19819800.00000000 0.247949499176 Long LON CORP US N 2 2028-10-08 Variable 6.56971000 N N N N N N MED 2021-MDLN A V/R 11/15/23 N/A MED TRUST 2021-MDLN SER 2021-MDLN CL A V/R REGD 144A P/P 5.41000000 58403YAD8 17986564.55000000 NS USD 17536364.44000000 0.219383282388 Long ABS-CBDO CORP US Y 2 2038-11-15 Variable 5.41000000 N N N N N N CONSTELLATION E 3.25% 06/01/25 N/A CONSTELLATION EN GEN LLC REGD 3.25000000 30161MAS2 16025000.00000000 NS USD 15422005.69000000 0.192932248919 Long DBT CORP US N 2 2025-06-01 Fixed 3.25000000 N N N N N N BANK OF AMERICA C V/R 02/04/25 9DJT3UXIJIZJI4WXO774 BANK OF AMERICA CORP REGD V/R MTN 1.84300000 06051GKG3 19530000.00000000 NS USD 18850076.14000000 0.235818067707 Long DBT CORP US N 2 2025-02-04 Variable 1.84300000 N N N N N N SYNIT 2022-A1 3.37% 04/15/25 N/A SYNCHRONY CARD FUNDING LLC SER 2022-A1 CL A REGD 3.37000000 87166PAG6 12760000.00000000 NS USD 12431156.94000000 0.155516157451 Long ABS-CBDO CORP US N 2 2028-04-15 Fixed 3.37000000 N N N N N N TCO 2022-DPM A V/R 05/15/24 N/A TAUBMAN CENTERS COMMERCIAL MORTGAGE TRUS SER 2022-DPM CL A V/R REGD 144A P/P 6.66404000 87666YAA5 24300000.00000000 NS USD 23769212.67000000 0.297357409123 Long ABS-CBDO CORP US Y 2 2037-05-15 Variable 6.66404000 N N N N N N SCFET 2022-1A 2.06% 08/20/24 N/A SCF EQUIPMENT LEASING 2022-1 LLC SER 2022-1A CL A2 REGD 144A P/P 2.06000000 784033AC6 28546629.31000000 NS USD 27809272.73000000 0.347899335304 Long ABS-CBDO CORP US Y 2 2028-02-22 Fixed 2.06000000 N N N N N N REPS 2020-A A 2.47% 11/20/30 N/A REPUBLIC FINANCE ISSUANCE TRUST 2020-A SER 2020-A CL A REGD 144A P/P 2.47000000 76042EAA7 16470000.00000000 NS USD 15677610.18000000 0.196129910110 Long ABS-CBDO CORP US Y 2 2030-11-20 Fixed 2.47000000 N N N N N N US T BILL ZCP 07/06/23 N/A UNITED STATES TREASURY BILL ZCP 0.00000000 912796ZS1 7000000.00000000 PA USD 6863433.15000000 0.085862865022 Long STIV UST US N 2 2023-07-06 Fixed 0.00000000 N N N N N N MCFCL 2019-1A A1 V/R 07/17/31 N/A MCF CLO IX LTD SER 2019-1A CL A1R V/R REGD 144A P/P 6.15755000 55281XAM3 8450000.00000000 NS USD 8321109.62000000 0.104098677225 Long ABS-CBDO CORP KY Y 2 2031-07-17 Variable 6.15755000 N N N N N N WFLF 2022-1A A 2.47% 10/18/36 549300BSFY0E0XXREF43 WHEELS FLEET LEASE FUNDING 1 LLC SER 2022-1A CL A REGD 144A P/P 2.47000000 96328GAF4 35962387.04000000 NS USD 35073745.67000000 0.438779285014 Long ABS-CBDO CORP US Y 2 2036-10-18 Fixed 2.47000000 N N N N N N FHLMC 0.6% 10/27/25 N/A FEDERAL HOME LOAN MORTGAGE CORP SER 0000 0.60000000 3134GW5P7 40168000.00000000 NS USD 36506595.62000000 0.456704512690 Long ABS-MBS USGA US N 2 2025-10-27 Fixed 0.60000000 N N N N N N EART 2022-6A A 5.73% 02/15/24 N/A EXETER AUTOMOBILE RECEIVABLES TRUST 2022-6 SER 2022-6A CL A2 REGD 5.73000000 30168AAB8 13000000.00000000 NS USD 13012229.10000000 0.162785481615 Long ABS-CBDO CORP US N 2 2025-11-17 Fixed 5.73000000 N N N N N N US T BILL ZCP 04/27/23 N/A UNITED STATES TREASURY BILL ZCP 0.00000000 912796YV5 36000000.00000000 PA USD 35617754.88000000 0.445584944565 Long STIV UST US N 2 2023-04-27 Fixed 0.00000000 N N N N N N DUKE ENERGY CORP V/R 06/10/23 I1BZKREC126H0VB1BL91 DUKE ENERGY CORP REGD V/R 4.53540000 26441CBK0 39340000.00000000 NS USD 39298386.93000000 0.491630357407 Long DBT CORP US N 2 2023-06-10 Variable 4.53540000 N N N N N N US T BILL ZCP 02/07/23 N/A UNITED STATES TREASURY BILL ZCP 0.00000000 912796ZT9 103000000.00000000 PA USD 102928423.59000000 1.287654319426 Long STIV UST US N 2 2023-02-07 Fixed 0.00000000 N N N N N N OWL ROCK CAPITAL C 4% 03/30/25 2549000BD79OOCPF2L94 OWL ROCK CAPITAL CORP REGD 4.00000000 69121KAB0 10000000.00000000 NS USD 9590860.20000000 0.119983500502 Long DBT CORP US N 2 2025-03-30 Fixed 4.00000000 N N N N N N T/L UGI ENERGY 0% 08/13/26 N/A T/L UGI ENERGY SERVICES LLC REGD 0.00000000 90276DAB5 17355525.00000000 NS USD 17341987.69000000 0.216951591966 Long LON CORP US N 2 2026-08-13 Variable 8.06971000 N N N N N N NEW JERSEY ST TUR V/R 01/01/24 5493005YN67D71KSMI84 NEW JERSEY ST TURNPIKE AUTH TU REGD N/C V/R B/E 3.75800000 646140BK8 10100000.00000000 NS USD 10143656.24000000 0.126899084982 Long DBT MUN US N 2 2024-01-01 Variable 3.75800000 N N N N N N AMS-OSRAM AG 7% 07/31/25 5299001JPPT2QFTV5D76 AMS-OSRAM AG REGD 144A P/P 7.00000000 03217CAA4 33545000.00000000 NS USD 32288160.43000000 0.403931079423 Long DBT CORP AT Y 2 2025-07-31 Fixed 7.00000000 N N N N N N FHLMC 0.25% 05/19/23 N/A FEDERAL HOME LOAN MORTGAGE CORP 0.25000000 3134GXCB8 36000000.00000000 NS USD 35523436.32000000 0.444405001290 Long ABS-MBS USGA US N 2 2023-05-19 Fixed 0.25000000 N N N N N N MFIT 2019-AA A 2.96% 08/21/23 N/A MARINER FINANCE ISSUANCE TRUST 2019-A SER 2019-AA CL A REGD 144A P/P 2.96000000 56847MAA8 5819741.76000000 NS USD 5749390.39000000 0.071925976436 Long ABS-CBDO CORP US Y 2 2032-07-20 Fixed 2.96000000 N N N N N N TEXAS ST MUNI GAS V/R 09/15/27 8E22IH4TQD26WYDGHB25 TEXAS ST MUNI GAS ACQUISITION REGD N/C V/R B/E 3.83800000 88255QBH1 99360000.00000000 NS USD 98405637.26000000 1.231073395027 Long DBT MUN US N 2 2027-09-15 Variable 3.83800000 N N N N N N DIAGEO CAPITAL P 5.2% 10/24/25 N/A DIAGEO CAPITAL PLC REGD 5.20000000 25243YBF5 15335000.00000000 NS USD 15668532.57000000 0.196016347468 Long DBT CORP GB N 2 2025-10-24 Fixed 5.20000000 N N N N N N KEY BANK NA 5.85% 11/15/27 N/A KEY BANK NA REGD SER BKNT 5.85000000 49327M3F9 18760000.00000000 NS USD 19659321.19000000 0.245941878485 Long DBT CORP US N 2 2027-11-15 Fixed 5.85000000 N N N N N N ENLINK MIDSTREA 4.15% 06/01/25 N/A ENLINK MIDSTREAM PARTNER REGD 4.15000000 29336UAE7 16986000.00000000 NS USD 16365671.28000000 0.204737686432 Long DBT CORP US N 2 2025-06-01 Fixed 4.15000000 N N N N N N AXIS 2022-1A A 1.64% 10/20/27 N/A AMUR EQUIPMENT FINANCE RECEIVABLES X LLC SER 2022-1A CL A2 REGD 144A P/P 1.64000000 03236VAB7 10983887.91000000 NS USD 10459456.69000000 0.130849809177 Long ABS-CBDO CORP US Y 2 2027-10-20 Fixed 1.64000000 N N N N N N EFF 2022-4 A2 5.76% 05/20/26 N/A ENTERPRISE FLEET FINANCING 2022-4 LLC SER 2022-4 CL A2 REGD 144A P/P 5.76000000 29374GAB7 12500000.00000000 NS USD 12631187.50000000 0.158018578120 Long ABS-CBDO CORP US Y 2 2029-10-22 Fixed 5.76000000 N N N N N N US T BILL ZCP 02/23/23 N/A UNITED STATES TREASURY BILL ZCP 0.00000000 912796T33 140700000.00000000 PA USD 140323807.61000000 1.755477745459 Long STIV UST US N 2 2023-02-23 Fixed 0.00000000 N N N N N N KCOT 2022-1A A 2.34% 05/15/24 N/A KUBOTA CREDIT OWNER TRUST 2022-1 SER 2022-1A CL A2 REGD 144A P/P 2.34000000 50117EAB0 26102095.44000000 NS USD 25654922.17000000 0.320947996622 Long ABS-CBDO CORP US Y 2 2025-04-15 Fixed 2.34000000 N N N N N N LLOYDS BANKING GR V/R 03/18/26 549300PPXHEU2JF0AM85 LLOYDS BANKING GROUP PLC REGD V/R 3.51100000 53944YAR4 24865000.00000000 NS USD 23925716.92000000 0.299315307306 Long DBT CORP GB N 2 2026-03-18 Variable 3.51100000 N N N N N N FRANKLIN BSP LE 3.25% 03/30/26 549300K8IFP295FLKS39 FRANKLIN BSP LENDING COR REGD SER WI 3.25000000 12325JAJ0 26475000.00000000 NS USD 23407601.21000000 0.292833580406 Long DBT CORP US N 2 2026-03-30 Fixed 3.25000000 N N N N N N AVOLON HOLDINGS 5.5% 01/15/26 N/A AVOLON HOLDINGS FNDG LTD REGD 144A P/P 5.50000000 05401AAK7 33535000.00000000 NS USD 32964000.23000000 0.412385964938 Long DBT CORP KY Y 2 2026-01-15 Fixed 5.50000000 N N N N N N NORDSTROM INC 2.3% 04/08/24 549300S3IZB5P35KNV16 NORDSTROM INC REGD SER WI 2.30000000 655664AX8 11000000.00000000 NS USD 10440320.00000000 0.130610405515 Long DBT CORP US N 2 2024-04-08 Fixed 2.30000000 N N N N N N TEXAS ST MUNI G 6.25% 12/15/26 6AZ7FRSNC3ZFPM0Z8L86 TEXAS ST MUNI GAS ACQUISITION REGD N/C OID B/E 6.25000000 88256CEX3 10709999.99000000 NS USD 11382280.61000000 0.142394513402 Long DBT MUN US N 2 2026-12-15 Fixed 6.25000000 N N N N N N T/L WYNN RESORTS 0% 09/20/24 N/A T/L WYNN RESORTS LIMITED REGD 0.00000000 98313DAC1 58591296.28000000 NS USD 57419470.35000000 0.718328586376 Long LON CORP US N 2 2024-09-20 Variable 6.32429 N N N N N N OPTN 2019-A A 3.08% 08/08/25 N/A OPORTUN FUNDING XIII LLC SER 2019-A CL A REGD 144A P/P 3.08000000 68377FAA6 17441763.03000000 NS USD 17002448.62000000 0.212703893081 Long ABS-CBDO CORP US Y 2 2025-08-08 Fixed 3.08000000 N N N N N N ECAF 2015-1A 3.473% 06/15/22 N/A ECAF I LTD SER 2015-1A CL A1 REGD 144A P/P 3.47300000 26827EAA3 4469673.50000000 NS USD 2771036.66000000 0.034666200064 Long ABS-CBDO CORP KY Y 2 2040-06-15 Fixed 3.47300000 N N N N N N SORT 2020-1 A1 1.69% 07/15/25 N/A CF HIPPOLYTA ISSUER LLC SER 2020-1 CL A1 REGD 144A P/P 1.69000000 12530MAA3 22995866.46000000 NS USD 20780796.52000000 0.259971749948 Long ABS-CBDO CORP US Y 2 2060-07-15 Fixed 1.69000000 N N N N N N BX 2019-XL A V/R 10/15/21 N/A BX COMMERCIAL MORTGAGE TRUST 2019-XL SER 2019-XL CL A V/R REGD 144A P/P 5.51252000 056054AA7 11673745.74000000 NS USD 11622788.67000000 0.145403315359 Long ABS-CBDO CORP US Y 2 2036-10-15 Variable 5.51252000 N N N N N N PACIFIC LIFE GF 1.2% 06/24/25 6354003EUPCHXTWUU869 PACIFIC LIFE GF II REGD 144A P/P 1.20000000 6944PL2B4 19330000.00000000 NS USD 17728630.31000000 0.221788565295 Long DBT CORP US Y 2 2025-06-24 Fixed 1.20000000 N N N N N N JPMORGAN CHASE & V/R 03/16/24 8I5DZWZKVSZI1NUHU748 JPMORGAN CHASE & CO REGD V/R 0.69700000 46647PBZ8 62235000.00000000 NS USD 61872092.16000000 0.774031739173 Long DBT CORP US N 2 2024-03-16 Variable 0.69700000 N N N N N N T/L CHARTER 0% 04/30/2025 N/A T/L CHARTER COMMUNICATIONS OPERATING LLC REGD 0.00000000 16117LBW8 36071858.22000000 NS USD 35995385.88000000 0.450309180799 Long LON CORP US N 2 2025-04-30 Variable 6.32000000 N N N N N N T/L BCP RENAISSANC 0% 11/02/2026 N/A T/L BCP RENAISSANCE PARENT LLC REGD 0.00000000 05549PAC5 10306452.78000000 NS USD 10276976.33000000 0.128566944876 Long LON CORP US N 2 2026-11-02 Variable 8.06144000 N N N N N N T/L SS&C TECHNOLOGI 0% 4/16/25 N/A T/L SS&C TECHNOLOGIES HOLDINGS INC REGD 0.00000000 78466DBF0 7827579.89000000 NS USD 7808010.94000000 0.097679714333 Long LON CORP US N 2 2025-04-16 Variable 6.31971000 N N N N N N OPTN 2021-C A 2.18% 10/08/31 N/A OPORTUN ISSUANCE TRUST 2021-C SER 2021-C CL A REGD 144A P/P 2.18000000 68377WAA9 56210000.00000000 NS USD 50504943.57000000 0.631826530243 Long ABS-CBDO CORP US Y 2 2031-10-08 Fixed 2.18000000 N N N N N N MTN 2022-LPFL A V/R 03/15/27 N/A MTN COMMERCIAL MORTGAGE TRUST 2022-LPFL SER 2022-LPFL CL A V/R REGD 144A P/P 5.87494000 62475WAA3 16040000.00000000 NS USD 15733974.44000000 0.196835037813 Long ABS-CBDO CORP US Y 2 2039-03-15 Variable 5.87494000 N N N N N N VISTRA CORP 5.5% 09/01/26 N/A VISTRA CORP REGD 144A P/P 5.50000000 92840VAA0 36892000.00000000 NS USD 35930696.67000000 0.449499906376 Long DBT CORP US Y 2 2026-09-01 Fixed 5.50000000 N N N N N N EART 2022-2A A 2.19% 11/17/25 N/A EXETER AUTOMOBILE RECEIVABLES TRUST 2022-2 SER 2022-2A CL A2 REGD 2.19000000 30166QAB5 5348819.82000000 NS USD 5339709.18000000 0.066800785927 Long ABS-CBDO CORP US N 2 2025-11-17 Fixed 2.19000000 N N N N N N HART 2022-A A2 1.81% 02/18/25 N/A HYUNDAI AUTO RECEIVABLES TRUST 2022-A SER 2022-A CL A2A REGD 1.81000000 448977AB4 14739326.87000000 NS USD 14556255.59000000 0.182101549128 Long ABS-CBDO CORP US N 2 2025-02-18 Fixed 1.81000000 N N N N N N T/L WYNDHAM 0% 05/30/25 N/A T/L WYNDHAM HOTELS & RESORTS INC ZCP REGD 0.00000000 98310CAC6 41357775.76000000 NS USD 41299461.30000000 0.516664181555 Long LON CORP US N 2 2025-05-30 Variable 6.31971000 N N N N N N BJETS 2020-1A 2.981% 11/15/35 N/A BUSINESS JET SECURITIES 2020-1 LLC SER 2020-1A CL A REGD 144A P/P 2.98100000 12327FAA5 7031153.13000000 NS USD 6451293.93000000 0.080706924337 Long ABS-CBDO CORP US Y 2 2035-11-15 Fixed 2.98100000 N N N N N N NORTHWESTERN MUT 0.6% 03/25/24 N/A NORTHWESTERN MUTUAL GLBL REGD 144A P/P MTN 0.60000000 66815L2B4 74165000.00000000 NS USD 70725598.87000000 0.884790806102 Long DBT CORP US Y 2 2024-03-25 Fixed 0.60000000 N N N N N N SIDC 2019-1A A 4.54% 02/26/24 N/A STACK INFRASTRUCTURE ISSUER LLC SER 2019-1A CL A2 REGD 144A P/P 4.54000000 85236KAA0 49790382.21000000 NS USD 48694202.13000000 0.609173807552 Long ABS-CBDO CORP US Y 2 2044-02-25 Fixed 4.54000000 N N N N N N SYMP 2019-21A AR V/R 07/15/32 N/A SYMPHONY CLO XXI LTD SER 2019-21A CL AR V/R REGD 144A P/P 5.85243000 87166RDE4 50790000.00000000 NS USD 49999265.73000000 0.625500403482 Long ABS-CBDO CORP KY Y 2 2032-07-15 Variable 5.85243000 N N N N N N BLACKSTONE SEC 3.625% 01/15/26 549300KM7KWQHVBNH962 BLACKSTONE SECURED LEND REGD 3.62500000 09261LAC2 9654000.00000000 NS USD 9002247.26000000 0.112619839735 Long DBT CORP US N 2 2026-01-15 Fixed 3.62500000 N N N N N N BPR 2022-OANA A V/R 04/15/24 N/A BPR TRUST 2022-OANA SER 2022-OANA CL A V/R REGD 144A P/P 6.37604000 05592DAA2 20300000.00000000 NS USD 19995018.89000000 0.250141521095 Long ABS-CBDO CORP US Y 2 2037-04-15 Variable 6.37604000 N N N N N N US BANCORP V/R 10/21/26 N1GZ7BBF3NP8GI976H15 US BANCORP REGD V/R 5.72700000 91159HJH4 22750000.00000000 NS USD 23375318.56000000 0.292429718263 Long DBT CORP US N 2 2026-10-21 Variable 5.72700000 N N N N N N EDISON INTERNAT 2.95% 03/15/23 549300I7ROF15MAEVP56 EDISON INTERNATIONAL REGD 2.95000000 281020AJ6 10000000.00000000 NS USD 9969317.70000000 0.124718076410 Long DBT CORP US N 2 2023-03-15 Fixed 2.95000000 N N N N N N THERMO FISHER 0.797% 10/18/23 HCHV7422L5HDJZCRFL38 THERMO FISHER SCIENTIFIC REGD 0.79700000 883556CP5 45636000.00000000 NS USD 44341521.17000000 0.554720933956 Long DBT CORP US N 2 2023-10-18 Fixed 0.79700000 N N N N N N BANK OF NOVA SC 2.44% 03/11/24 L3I9ZG2KFGXZ61BMYR72 BANK OF NOVA SCOTIA REGD 2.44000000 06418BAC2 58070000.00000000 NS USD 56572899.65000000 0.707737824558 Long DBT CORP CA N 2 2024-03-11 Fixed 2.44000000 N N N N N N WESTPAC BANKIN 5.457% 11/18/27 EN5TNI6CI43VEPAMHL14 WESTPAC BANKING CORP REGD 5.45700000 961214FK4 26655000.00000000 NS USD 27776295.62000000 0.347486785333 Long DBT CORP AU N 2 2027-11-18 Fixed 5.45700000 N N N N N N PWNE 2020-1 A 1.37% 10/15/23 N/A PAWNEE EQUIPMENT RECEIVABLES SERIES 2020-1 LLC SER 2020-1 CL A REGD 144A P/P 1.37000000 70410LAA8 3181222.22000000 NS USD 3145055.54000000 0.039345247985 Long ABS-CBDO CORP US Y 2 2025-11-17 Fixed 1.37000000 N N N N N N SANTANDER HOLDIN 3.5% 06/07/24 N/A SANTANDER HOLDINGS USA REGD SER FXD 3.50000000 80282KAW6 16070000.00000000 NS USD 15694382.39000000 0.196339733674 Long DBT CORP US N 2 2024-06-07 Fixed 3.50000000 N N N N N N OCT20 2019-4A A1 V/R 05/12/31 N/A OCTAGON INVESTMENT PARTNERS 20-R LTD SER 2019-4A CL A1R V/R REGD 144A P/P 5.79971000 67576WAN2 32920000.00000000 NS USD 32531251.01000000 0.406972189200 Long ABS-CBDO CORP KY Y 2 2031-05-12 Variable 5.79971000 N N N N N N F/C US 2YR NOTE (CBT) MAR23 N/A FUTURE CONTRACT ON US 2YR NOTE (CBT) MAR23 0.00000000 N/A -1012.00000000 NC USD -208116219.26000000 -2.60357381689 N/A DIR CORP US N 1 GOLDMAN, SACHS AND CO. FOR8UP27PHTHYVLBNG30 Short F/C US 2YR NOTE (CBT) MAR23 US 2YR NOTE (CBT) MAR23 2023-03-31 207293969.26000000 USD -822250.00000000 N N N PFP 2021-7 A V/R 04/14/38 N/A PFP 2021-7 LTD SER 2021-7 CL A V/R REGD 144A P/P 5.30900000 69290LAA5 3236951.47000000 NS USD 3192443.39000000 0.039938079077 Long ABS-CBDO CORP KY Y 2 2038-04-14 Variable 5.30900000 N N N N N N PENNANTPARK INVEST 4% 11/01/26 529900OK432R4C6NQQ73 PENNANTPARK INVESTMENT C REGD 4.00000000 708062AD6 17345000.00000000 NS USD 14862079.21000000 0.185927461268 Long DBT CORP US N 2 2026-11-01 Fixed 4.00000000 N N N N N N PFSFC 2022-C A 3.89% 05/15/25 N/A PFS FINANCING CORP SER 2022-C CL A REGD 144A P/P 3.89000000 69335PEK7 19980000.00000000 NS USD 19516583.88000000 0.244156207362 Long ABS-CBDO CORP US Y 2 2027-05-15 Fixed 3.89000000 N N N N N N VFI 2022-1A A 2.23% 09/24/24 N/A VFI ABS 2022-1 LLC SER 2022-1A CL A REGD 144A P/P 2.23000000 91824CAA4 22313186.27000000 NS USD 21691335.62000000 0.271362768718 Long ABS-CBDO CORP US Y 2 2028-03-24 Fixed 2.23000000 N N N N N N FCITL 2021-1A 1.13% 10/15/25 N/A FCI FUNDING 2021-1 LLC SER 2021-1A CL A REGD 144A P/P 1.13000000 30260GAA4 4060271.09000000 NS USD 3987810.68000000 0.049888276416 Long ABS-CBDO CORP US Y 2 2033-04-15 Fixed 1.13000000 N N N N N N FNMA P887626 V/R 07/01/36 N/A FNMA P887626 V/R 07/01/36 4.20500000 31410FD77 21790.34000000 NS USD 22451.03000000 0.000280866691 Long ABS-MBS USGSE US N 2 2036-07-01 Variable 4.20500000 N N N N N N DEFT 2022-1 A2 2.11% 11/22/23 N/A DELL EQUIPMENT FINANCE TRUST SER 2022-1 CL A2 REGD 144A P/P 2.11000000 24703WAB5 29325070.14000000 NS USD 28957515.58000000 0.362264073575 Long ABS-CBDO CORP US Y 2 2027-08-23 Fixed 2.11000000 N N N N N N REPS 2021-A A 2.3% 10/20/25 N/A REPUBLIC FINANCE ISSUANCE TRUST 2021-A SER 2021-A CL A REGD 144A P/P 2.30000000 76042UAA1 56030000.00000000 NS USD 51667358.52000000 0.646368564204 Long ABS-CBDO CORP US Y 2 2031-12-22 Fixed 2.30000000 N N N N N N SYMP 2012-9A AR3 V/R 07/16/32 N/A CALIFORNIA STREET CLO IX LP SER 2012-9A CL AR3 V/R REGD 144A P/P 5.89243000 13079WDC9 44170000.00000000 NS USD 43419110.00000000 0.543181393313 Long ABS-CBDO CORP KY Y 2 2032-07-16 Variable 5.89243000 N N N N N N T/L ALLSPRING 0% 11/01/28 N/A T/L ALLSPRING BUYER LLC ZCP REGD 0.00000000 N/A 6688237.50000000 NS USD 6669443.55000000 0.083436017921 Long LON CORP US N 2 2028-11-01 Variable 8.33023000 N N N N N N HPEFS 2022-1A 1.02% 09/20/23 N/A HPEFS EQUIPMENT TRUST SER 2022-1A CL A2 REGD 144A P/P 1.02000000 40441RAB9 16755811.83000000 NS USD 16501550.76000000 0.206437564787 Long ABS-CBDO CORP US Y 2 2029-05-21 Fixed 1.02000000 N N N N N N RESI 2021-1A A1 V/R 07/10/52 N/A RESIMAC PREMIER SERIES 2021-1 SER 2021-1A CL A1 V/R REGD 144A P/P 5.10157000 76123EAA9 9087656.96000000 NS USD 9011585.18000000 0.112736658905 Long ABS-CBDO CORP AU Y 2 2052-07-10 Variable 5.10157000 N N N N N N CREDIT ACCEPTA 5.125% 12/31/24 N/A CREDIT ACCEPTANC REGD 144A P/P 5.12500000 225310AN1 14430000.00000000 NS USD 13475869.64000000 0.168585713690 Long DBT CORP US Y 2 2024-12-31 Fixed 5.12500000 N N N N N N MAIN STREET CAPITA 3% 07/14/26 5493001FS9QJLJNF3E20 MAIN STREET CAPITAL CORP REGD 3.00000000 56035LAE4 33980000.00000000 NS USD 29931919.79000000 0.374454057120 Long DBT CORP US N 2 2026-07-14 Fixed 3.00000000 N N N N N N CHMML 2021-2A A V/R 10/01/32 N/A CHURCHILL MMSLF CLO-I LP SER 2021-2A CL A V/R REGD 144A P/P 6.23186000 171519AA9 25000000.00000000 NS USD 24203352.50000000 0.302788581659 Long ABS-CBDO CORP KY Y 2 2032-10-01 Variable 6.23186000 N N N N N N MCMML 2020-1A A1 V/R 05/20/34 N/A MONROE CAPITAL MML CLO X LTD SER 2020-1A CL A1R V/R REGD 144A P/P 6.15446000 61034UAA3 12410000.00000000 NS USD 12033892.61000000 0.150546304493 Long ABS-CBDO CORP US Y 2 2034-05-20 Variable 6.15446000 N N N N N N BREAD FINANCIAL 4.75% 12/15/24 549300G8S4PO686J7H97 BREAD FINANCIAL HLDGS REGD 144A P/P 4.75000000 018581AK4 37385000.00000000 NS USD 33926887.50000000 0.424431869355 Long DBT CORP US Y 2 2024-12-15 Fixed 4.75000000 N N N N N N HUNTINGTON NATION V/R 11/18/25 N/A HUNTINGTON NATIONAL BANK REGD V/R 5.69900000 44644MAH4 24145000.00000000 NS USD 24418848.97000000 0.305484483828 Long DBT CORP US N 2 2025-11-18 Variable 5.69900000 N N N N N N T/L MPH ACQUISITI 0% 09/1/28 N/A T/L MPH ACQUISITION HOLDINGS LLC REGD 0.00000000 N/A 36325187.50000000 NS USD 32596043.75000000 0.407782758804 Long LON CORP US N 2 2028-09-01 Variable 8.98486000 N N N N N N EQUITABLE FINANC 1.1% 11/12/24 N/A EQUITABLE FINANCIAL LIFE REGD 144A P/P 1.10000000 29449WAK3 33775000.00000000 NS USD 31633657.91000000 0.395743127373 Long DBT CORP US Y 2 2024-11-12 Fixed 1.10000000 N N N N N N CAALT 2020-3A 1.24% 10/15/29 N/A CREDIT ACCEPTANCE AUTO LOAN TRUST 2020-3 SER 2020-3A CL A REGD 144A P/P 1.24000000 22536BAA0 41731188.98000000 NS USD 40919383.81000000 0.511909339261 Long ABS-CBDO CORP US Y 2 2029-10-15 Fixed 1.24000000 N N N N N N REALTY INCOME C 5.05% 01/13/26 549300CUWDAUZSH43859 REALTY INCOME CORP REGD 5.05000000 756109BQ6 14480000.00000000 NS USD 14519768.16000000 0.181645084381 Long DBT CORP US N 2 2026-01-13 Fixed 5.05000000 N N N N N N T/L JAZZ FINANC 0% 05/05/2028 N/A T/L JAZZ FINANCING LUX S A R L REGD 0.00000000 N/A 32913207.26000000 NS USD 32866799.64000000 0.411169966915 Long LON CORP US N 2 2028-05-05 Variable 8.06971000 N N N N N N OWL ROCK CAPITA 5.25% 04/15/24 2549000BD79OOCPF2L94 OWL ROCK CAPITAL CORP REGD 5.25000000 69121KAA2 31201000.00000000 NS USD 30976325.03000000 0.387519766976 Long DBT CORP US N 2 2024-04-15 Fixed 5.25000000 N N N N N N FHLMC 0.625% 10/27/25 N/A FEDERAL HOME LOAN MORTGAGE CORP 0.62500000 3134GW3X2 26490000.00000000 NS USD 24092241.49000000 0.301398561614 Long ABS-MBS USGA US N 2 2025-10-27 Fixed 0.62500000 N N N N N N SREV 2019-A A 2.51% 11/25/24 N/A SANTANDER REVOLVING AUTO LOAN TRUST 2019-A SER 2019-A CL A REGD 144A P/P 2.51000000 80286JAA3 34490000.00000000 NS USD 32930493.26000000 0.411966786317 Long ABS-CBDO CORP US Y 2 2032-01-26 Variable 2.51000000 N N N N N N WLAKE 2022-1A 1.97% 06/15/23 N/A WESTLAKE AUTOMOBILE RECEIVABLES TRUST 2022-1 SER 2022-1A CL A2A REGD 144A P/P 1.97000000 96042WAB3 19025351.64000000 NS USD 18838123.15000000 0.235668533510 Long ABS-CBDO CORP US Y 2 2024-12-16 Fixed 1.97000000 N N N N N N WELLS FARGO & COM V/R 08/15/26 PBLD0EJDB5FWOLXP3B76 WELLS FARGO & COMPANY REGD V/R MTN 4.54000000 95000U3C5 7920000.00000000 NS USD 7843390.79000000 0.098122323041 Long DBT CORP US N 2 2026-08-15 Variable 4.54000000 N N N N N N HSBC HOLDINGS PLC V/R 06/04/26 MLU0ZO3ML4LN2LL2TL39 HSBC HOLDINGS PLC REGD V/R 2.09900000 404280CG2 33350000.00000000 NS USD 30909313.27000000 0.386681437006 Long DBT CORP GB N 2 2026-06-04 Variable 2.09900000 N N N N N N GA GLOBAL FUNDI 1.25% 12/08/23 54930029I8ROQ4OROZ88 GA GLOBAL FUNDING TRUST REGD 144A P/P 1.25000000 36143L2F1 64675000.00000000 NS USD 62434380.54000000 0.781066074647 Long DBT CORP US Y 2 2023-12-08 Fixed 1.25000000 N N N N N N OMFIT 2022-S1 4.13% 08/14/26 N/A ONEMAIN FINANCIAL ISSUANCE TRUST 2022-S1 SER 2022-S1 CL A REGD 144A P/P 4.13000000 68267HAA5 13350000.00000000 NS USD 12981693.53000000 0.162403475778 Long ABS-CBDO CORP US Y 2 2035-05-14 Fixed 4.13000000 N N N N N N T/L UNITED AI 0% 04/21/28 N/A T/L UNITED AIRLINES INC REGD 0.00000000 N/A 47774062.50000000 NS USD 47667048.60000000 0.596323919898 Long LON CORP US N 2 2028-04-21 Variable 8.56771000 N N N N N N PRINCIPAL LFE 1.375% 01/10/25 635400WSLKBQWSOIIT41 PRINCIPAL LFE GLB FND II REGD 144A P/P 1.37500000 74256LET2 47175000.00000000 NS USD 44088989.35000000 0.551561712455 Long DBT CORP US Y 2 2025-01-10 Fixed 1.37500000 N N N N N N SCENTRE GROUP 3.625% 01/28/26 N/A SCENTRE GROUP TRUST 1/2 REGD 144A P/P 3.62500000 80622GAD6 19215000.00000000 NS USD 18374242.68000000 0.229865299864 Long DBT CORP AU Y 2 2026-01-28 Fixed 3.62500000 N N N N N N US T BILL ZCP 03/14/23 N/A UNITED STATES TREASURY BILL ZCP 0.00000000 912796Z69 120500000.00000000 PA USD 119886477.71000000 1.499802828799 Long STIV UST US N 2 2023-03-14 Fixed 0.00000000 N N N N N N UBS GROUP AG 5.711% 01/12/27 549300SZJ9VS8SGXAN81 UBS GROUP AG REGD 144A P/P 5.71100000 902613AU2 53570000.00000000 NS USD 54258325.22000000 0.678782054534 Long DBT CORP CH Y 2 2027-01-12 Fixed 5.71100000 N N N N N N STRAT CREDIT OP 4.25% 04/01/26 5493003CSKFS2RY0JR63 STRAT CREDIT OPP PARTNRS REGD P/P 4.25000000 86275#AA1 25095000.00000000 NS USD 22721489.81000000 0.284250195205 Long DBT CORP US N 2 2026-04-01 Fixed 4.25000000 N N N N N N UNITED INS HOLD 7.25% 12/15/27 5299002P9105LJQA8G51 UNITED INS HOLDINGS CORP REGD 7.25000000 910710AA0 31750000.00000000 NS USD 15875000.00000000 0.198599294615 Long DBT CORP US N 2 2027-12-15 Fixed 7.25000000 N N N N N N MDPK 2017-25A A1 V/R 04/25/29 N/A MADISON PARK FUNDING XXV LTD SER 2017-25A CL A1R V/R REGD 144A P/P 5.78771000 55820RAJ1 39261945.19000000 NS USD 38880892.31000000 0.486407419641 Long ABS-CBDO CORP KY Y 2 2029-04-25 Variable 5.78771000 N N N N N N ALEXANDER FUND 1.841% 11/15/23 N/A ALEXANDER FUNDING TRUST REGD 144A P/P 1.84100000 014621AA4 74190000.00000000 NS USD 71530338.21000000 0.894858249583 Long DBT CORP US Y 2 2023-11-15 Fixed 1.84100000 N N N N N N DUKE ENERGY PR 1.295% 07/01/28 N/A DUKE ENERGY PROGRESS NC REGD SER A-1 1.29500000 26444BAA2 48502579.10000000 NS USD 43563236.02000000 0.544984437465 Long DBT CORP US N 2 2028-07-01 Fixed 1.29500000 N N N N N N MFIT 2020-AA A 2.19% 08/21/34 N/A MARINER FINANCE ISSUANCE TRUST 2020-A SER 2020-AA CL A REGD 144A P/P 2.19000000 56848MAA7 16460000.00000000 NS USD 15779639.07000000 0.197406311092 Long ABS-CBDO CORP US Y 2 2034-08-21 Fixed 2.19000000 N N N N N N MDCP 2020-3A 2.954% 11/20/26 N/A ELM 2020-3 TRUST SER 2020-3A CL A2 REGD 144A P/P 2.95400000 289338AB1 17170000.00000000 NS USD 16101668.86000000 0.201434965526 Long ABS-CBDO CORP US Y 2 2029-08-20 Fixed 2.95400000 N N N N N N NRART 2020-T2 1.475% 09/15/23 N/A NRZ ADVANCE RECEIVABLES TRUST 2015-ON1 SER 2020-T2 CL AT2 REGD 144A P/P 1.47540000 62942QCW1 24700000.00000000 NS USD 23909301.13000000 0.299109942625 Long ABS-CBDO CORP US Y 2 2053-09-15 Fixed 1.47540000 N N N N N N T/L AXALTA CO 0% 12/07/29 N/A T/L AXALTA COATING SYSTEMS DUTCH HOLDING B B.V./REGD 0.00000000 N/A 14455000.00000000 NS USD 14509206.25000000 0.181512952862 Long LON CORP NL N 2 2029-12-07 Variable 7.50553000 N N N N N N FCRT 2022-1 A2 1.15% 01/15/24 N/A FOURSIGHT CAPITAL AUTOMOBILE RECEIVABLES TRUST 2022-1 SER 2022-1 CL A2 REGD 144A P/P 1.15000000 35105JAB4 7940147.07000000 NS USD 7817112.90000000 0.097793581598 Long ABS-CBDO CORP US Y 2 2025-09-15 Fixed 1.15000000 N N N N N N T/L AVOLON TLB BO ZCP 01/15/25 635400O84AGITYFZQB55 T/L AVOLON TLB BORROWER 1 US REGD ZCP TERM LOAN 0.00000000 05400KAE0 20775495.14000000 NS USD 20798140.43000000 0.260188725588 Long LON CORP US N 2 2025-01-15 Variable 6.23571000 N N N N N N UMBS P#735676 5% 07/01/35 N/A FANNIE MAE POOL UMBS P#735676 5.00000000 31402RJV2 2759131.29000000 NS USD 2835476.78000000 0.035472358324 Long ABS-MBS USGSE US N 2 2035-07-01 Fixed 5.00000000 N N N N N N FREED 2022-2CP 3.03% 12/18/23 N/A FREED ABS TRUST 2022-2CP SER 2022-2CP CL A REGD 144A P/P 3.03000000 35633LAA2 7823838.42000000 NS USD 7780867.55000000 0.097340145318 Long ABS-CBDO CORP US Y 2 2029-05-18 Fixed 3.03000000 N N N N N N HAT HOLDINGS I 3.375% 06/15/26 N/A HAT HOLDINGS I LLC/HAT REGD 144A P/P 3.37500000 418751AE3 23540000.00000000 NS USD 20891750.00000000 0.261359799262 Long DBT CORP US Y 2 2026-06-15 Fixed 3.37500000 N N N N N N DRSLF 2021-93A A V/R 01/15/34 N/A DRYDEN 93 CLO LTD SER 2021-93A CL A1A V/R REGD 144A P/P 5.87243000 26190TAA9 17180000.00000000 NS USD 16830502.11000000 0.210552809264 Long ABS-CBDO CORP KY Y 2 2034-01-15 Variable 5.87243000 N N N N N N OWL ROCK CAPIT 4.625% 11/26/24 549300MMNWZO5XKDDX47 OWL ROCK CAPITAL CORP II REGD 144A P/P 4.62500000 69121DAA8 27070000.00000000 NS USD 25925514.51000000 0.324333158692 Long DBT CORP US Y 2 2024-11-26 Fixed 4.62500000 N N N N N N HSBC HOLDINGS PLC V/R 08/17/24 MLU0ZO3ML4LN2LL2TL39 HSBC HOLDINGS PLC REGD V/R 0.73200000 404280CU1 29665000.00000000 NS USD 28870117.43000000 0.361170705957 Long DBT CORP GB N 2 2024-08-17 Variable 0.73200000 N N N N N N EF HOLD/EF KY/ 5.875% 04/01/27 N/A EF HOLD/EF KY/ELL KY/TRS REGD 144A P/P SER QIB 5.87500000 26845AAA9 25360000.00000000 NS USD 24073845.79000000 0.301168427879 Long DBT CORP N/A Y 2 2027-04-01 Fixed 5.87500000 N N N N N N CREDIT ACCEPTA 6.625% 03/15/26 N/A CREDIT ACCEPTANC REGD 144A 6.62500000 225310AM3 2785000.00000000 NS USD 2548275.00000000 0.031879408975 Long DBT CORP US Y 2 2026-03-15 Fixed 6.62500000 N N N N N N DNB BANK ASA V/R 09/30/25 549300GKFG0RYRRQ1414 DNB BANK ASA REGD V/R 144A P/P 0.85600000 25601B2A2 65000000.00000000 NS USD 60290630.40000000 0.754247349252 Long DBT CORP NO Y 2 2025-09-30 Variable 0.85600000 N N N N N N CIGAR 2021-1A 0.69% 12/12/23 N/A CIG AUTO RECEIVABLES TRUST 2021-1 SER 2021-1A CL A REGD 144A P/P 0.69000000 12598NAA0 8607739.73000000 NS USD 8478286.21000000 0.106064986510 Long ABS-CBDO CORP US Y 2 2025-04-14 Fixed 0.69000000 N N N N N N OSCAR 2021-1A A 0.4% 02/10/23 N/A OSCAR US FUNDING XII LLC SER 2021-1A CL A2 REGD 144A P/P 0.40000000 68785AAB1 767774.40000000 NS USD 766946.20000000 0.009594644052 Long ABS-CBDO CORP JP Y 2 2024-03-11 Fixed 0.40000000 N N N N N N STWD 2019-FL1 A V/R 08/15/23 N/A STWD 2019-FL1 LTD SER 2019-FL1 CL A V/R REGD 144A P/P 5.67730000 78485WAA7 15975854.72000000 NS USD 15872922.29000000 0.198573302065 Long ABS-CBDO CORP KY Y 2 2038-07-15 Variable 5.67730000 N N N N N N GCPAF 2021-2A 2.943% 10/19/29 N/A GOLUB CAPITAL PARTNERS ABS FUNDING 2021-2 LTD SER 2021-2A CL A REGD 144A P/P 2.94360000 38178XAA1 50750000.00000000 NS USD 44148810.48000000 0.552310086265 Long ABS-CBDO CORP US Y 2 2029-10-19 Fixed 2.94360000 N N N N N N SOUTHERN CO V/R 05/10/23 549300FC3G3YU2FBZD92 SOUTHERN CO REGD V/R SER 2021 4.49138000 842587DK0 27010000.00000000 NS USD 26989224.45000000 0.337640374047 Long DBT CORP US N 2 2023-05-10 Variable 4.49138000 N N N N N N HPLY 2019-HIT A V/R 11/15/21 N/A HPLY TRUST 2019-HIT SER 2019-HIT CL A V/R REGD 144A P/P 5.45900000 40443RAA9 18200276.04000000 NS USD 17937558.70000000 0.224402299524 Long ABS-CBDO CORP US Y 2 2036-11-15 Variable 5.45900000 N N N N N N UMBS P#889633 5.5% 08/01/37 N/A FANNIE MAE POOL UMBS P#889633 5.50000000 31410KLN2 160226.77000000 NS USD 167938.20000000 0.002100939090 Long ABS-MBS USGSE US N 2 2037-08-01 Fixed 5.50000000 N N N N N N ATHENE GLOBAL F 0.95% 01/08/24 549300LM1QSI4MSIL320 ATHENE GLOBAL FUNDING REGD 144A P/P 0.95000000 04685A2S9 16760000.00000000 NS USD 16074031.80000000 0.201089220605 Long DBT CORP US Y 2 2024-01-08 Fixed 0.95000000 N N N N N N STATE STREET CORP V/R 11/04/26 549300ZFEEJ2IP5VME73 STATE STREET CORP REGD V/R 5.75100000 857477BX0 10085000.00000000 NS USD 10358224.13000000 0.129583370437 Long DBT CORP US N 2 2026-11-04 Variable 5.75100000 N N N N N N T/L ELANCO ANIMAL 0% 8/1/27 N/A T/L ELANCO ANIMAL HEALTH INCORPORATED REGD 0.00000000 28414BAF3 45468223.31000000 NS USD 44729364.68000000 0.559572930649 Long LON CORP US N 2 2027-08-01 Variable 6.11871000 N N N N N N NATIONAL AUSTR 4.966% 01/12/26 N/A NATIONAL AUSTRALIA BK/NY REGD 4.96600000 63253QAA2 34425000.00000000 NS USD 34833226.45000000 0.435770343443 Long DBT CORP AU N 2 2026-01-12 Fixed 4.96600000 N N N N N N NORTHRIVER MID 5.625% 02/15/26 549300SOLNLY3BL6GF18 NORTHRIVER MIDSTREAM FIN REGD 144A P/P 5.62500000 66679NAA8 31985000.00000000 NS USD 30705600.00000000 0.384132944929 Long DBT CORP CA Y 2 2026-02-15 Fixed 5.62500000 N N N N N N BJETS 2022-1A 4.455% 06/15/28 N/A BUSINESS JET SECURITIES 2022-1 LLC SER 2022-1A CL A REGD 144A P/P 4.45500000 12327AAA6 9966333.97000000 NS USD 9416842.14000000 0.117806501197 Long ABS-CBDO CORP US Y 2 2037-06-15 Fixed 4.45500000 N N N N N N OPTN 2022-A A 5.05% 06/09/31 N/A OPORTUN ISSUANCE TRUST 2022-3 SER 2022-A CL A REGD 144A P/P 5.05000000 68378NAA8 25000000.00000000 NS USD 24244642.50000000 0.303305127478 Long ABS-CBDO CORP US Y 2 2031-06-09 Fixed 5.05000000 N N N N N N COMMONWEALTH BANK V/R 07/07/25 MSFSBD3QN1GSN7Q6C537 COMMONWEALTH BANK AUST REGD V/R 144A P/P 4.72393800 2027A0KG3 33540000.00000000 NS USD 33328906.28000000 0.416951009608 Long DBT CORP AU Y 2 2025-07-07 Variable 4.72393800 N N N N N N PSTAT 2022-1A A1 V/R 04/15/30 N/A PALMER SQUARE LOAN FUNDING 2022-1 LTD SER 2022-1A CL A1 V/R REGD 144A P/P 5.68190000 69701CAA8 42899554.63000000 NS USD 42177271.99000000 0.527645761640 Long ABS-CBDO CORP KY Y 2 2030-04-15 Variable 5.68190000 N N N N N N CAPITAL ONE FINA 2.6% 05/11/23 ZUE8T73ROZOF6FLBAR73 CAPITAL ONE FINANCIAL CO REGD 2.60000000 14040HCD5 16045000.00000000 NS USD 15949931.61000000 0.199536703427 Long DBT CORP US N 2 2023-05-11 Fixed 2.60000000 N N N N N N T/L TPF II POWER 0% 10/02/2025 N/A T/L TPF II POWER LLC TL B 0.00000000 87264NAB3 21414067.42000000 NS USD 18930035.60000000 0.236818375887 Long LON CORP US N 2 2025-10-02 Variable 8.47986000 N N N N N N DPATH 2022-1A A1 V/R 07/15/33 N/A DEERPATH CAPITAL CLO 2022-1 LTD SER 2022-1A CL A1 V/R REGD 144A P/P 6.60755000 24461BAA5 12445000.00000000 NS USD 12173026.97000000 0.152286902020 Long ABS-CBDO CORP KY Y 2 2033-07-15 Variable 6.60755000 N N N N N N FS KKR CAPITAL 4.625% 07/15/24 549300TYRSI1T21B1360 FS KKR CAPITAL CORP REGD 4.62500000 302635AD9 28550000.00000000 NS USD 28005854.99000000 0.350358617079 Long DBT CORP US N 2 2024-07-15 Fixed 4.62500000 N N N N N N CGCC 2014-FL2 C V/R 11/15/31 N/A CG-CCRE COMMERCIAL MORTGAGE TRUST 2014-FL2 SER 2014-FL2 CL C V/R REGD 144A P/P 7.35900000 12528PAC6 31329000.00000000 NS USD 28289964.82000000 0.353912885540 Long ABS-CBDO CORP US Y 2 2031-11-15 Variable 7.35900000 N N N N N N T/L AVOLON TLB BORROWER 1 US LLC 0% 12/01/27 N/A T/L AVOLON TLB BORROWER 1 US LLC REGD 0.00000000 N/A 14700000.00000000 NS USD 14715729.00000000 0.184096592072 Long LON CORP US N 2 2027-12-01 Variable 6.73571000 N N N N N N BXMT 2020-FL3 A V/R 11/15/37 N/A BXMT 2020-FL3 LTD SER 2020-FL3 CL A V/R REGD 144A P/P 5.80992000 05608XAA0 20990000.00000000 NS USD 20990000.00000000 0.262588925605 Long ABS-CBDO CORP KY Y 2 2037-11-15 Variable 5.80992000 N N N N N N WALGREENS BOOTS 0.95% 11/17/23 549300RPTUOIXG4LIH86 WALGREENS BOOTS ALLIANCE REGD 0.95000000 931427AU2 72275000.00000000 NS USD 70028684.33000000 0.876072271547 Long DBT CORP US N 2 2023-11-17 Fixed 0.95000000 N N N N N N RMIT 2020-1 A 2.34% 10/15/30 N/A REGIONAL MANAGEMENT ISSUANCE TRUST 2020-1 SER 2020-1 CL A REGD 144A P/P 2.34000000 75907QAA6 18070000.00000000 NS USD 16925050.47000000 0.211735627381 Long ABS-CBDO CORP US Y 2 2030-10-15 Fixed 2.34000000 N N N N N N T/L IQVIA INC ZCP 06/11/25 N/A T/L IQVIA INC REGD ZCP TERM LOAN 0.00000000 44969CBJ8 11310889.64000000 NS USD 11293244.65000000 0.141280656467 Long LON CORP US N 2 2025-06-11 Variable 6.47986000 N N N N N N OSCAR 2022-1A A 1.6% 02/12/24 N/A OSCAR US FUNDING XIV LLC SER 2022-1A CL A2 REGD 144A P/P 1.60000000 68784HAB7 25978496.00000000 NS USD 25463971.10000000 0.318559162115 Long ABS-CBDO CORP JP Y 2 2025-03-10 Fixed 1.60000000 N N N N N N T/L HORIZON THER 0% 03/15/28 N/A T/L HORIZON THERAPEUTICS USA INC REGD 0.00000000 44055UAD7 21704193.03000000 NS USD 21704193.03000000 0.271523617383 Long LON CORP US N 2 2028-03-15 Variable 6.31250000 N N N N N N FHLMC P#1N0333 V/R 12/01/36 N/A FREDDIE MAC NON GOLD POOL P#1N0333 V/R 3.86500000 3128QGLN0 12694.61000000 NS USD 12393.46000000 0.000155044561 Long ABS-MBS USGA US N 2 2036-12-01 Variable 3.86500000 N N N N N N WLAKE 2021-2A 0.32% 04/15/25 N/A WESTLAKE AUTOMOBILE RECEIVABLES TRUST 2021-2 SER 2021-2A CL A2A REGD 144A P/P 0.32000000 96042RAB4 10160041.39000000 NS USD 10067539.29000000 0.125946847339 Long ABS-CBDO CORP US Y 2 2025-04-15 Fixed 0.32000000 N N N N N N ATHENE GLOBAL FU 2.5% 01/14/25 549300LM1QSI4MSIL320 ATHENE GLOBAL FUNDING REGD 144A P/P 2.50000000 04685A2L4 18000000.00000000 NS USD 17018487.54000000 0.212904543047 Long DBT CORP US Y 2 2025-01-14 Fixed 2.50000000 N N N N N N WELLS FARGO & COM V/R 04/30/26 PBLD0EJDB5FWOLXP3B76 WELLS FARGO & COMPANY REGD V/R 2.18800000 95000U2N2 19370000.00000000 NS USD 18222379.61000000 0.227965463733 Long DBT CORP US N 2 2026-04-30 Variable 2.18800000 N N N N N N T/L QUINTILES IMS 0% 1/17/25 N/A T/L QUINTILES IMS INCORPORATED ZCP REGD 0.00000000 44969CBH2 6309539.73000000 NS USD 6297740.89000000 0.078785946357 Long LON CORP US N 2 2025-01-17 Variable 6.31971000 N N N N N N AMERICAN EXPRES 5.85% 11/05/27 R4PP93JZOLY261QX3811 AMERICAN EXPRESS CO REGD 5.85000000 025816DB2 14330000.00000000 NS USD 15156721.34000000 0.189613490822 Long DBT CORP US N 2 2027-11-05 Fixed 5.85000000 N N N N N N US T BILL ZCP 03/28/23 N/A UNITED STATES TREASURY BILL ZCP 0.00000000 912796Z85 106900000.00000000 PA USD 106164274.92000000 1.328135440158 Long STIV UST US N 2 2023-03-28 Fixed 0.00000000 N N N N N N DFLF2 2021-2 A 0.56% 04/10/24 549300ZWUQETU54FDP26 DONLEN FLEET LEASE FUNDING 2 LLC SER 2021-2 CL A2 REGD 144A P/P 0.56000000 257812AD9 15607773.89000000 NS USD 15150459.87000000 0.189535158632 Long ABS-CBDO CORP US Y 2 2034-12-11 Fixed 0.56000000 N N N N N N AERCAP IRELAND 3.15% 02/15/24 N/A AERCAP IRELAND CAP/GLOBA REGD 3.15000000 00774MAQ8 47945000.00000000 NS USD 46736025.59000000 0.584676643485 Long DBT CORP IE N 2 2024-02-15 Fixed 3.15000000 N N N N N N T/L DELOS FINANCE 0% 10/06/23 N/A T/L DELOS FINANCE S A R L REGD 0.00000000 L2324EAE1 25891030.10000000 NS USD 25881709.33000000 0.323785147489 Long LON CORP LU N 2 2023-10-06 Variable 6.47986000 N N N N N N SWC 2018-1A A 4.75% 02/15/24 N/A SWC FUNDING LLC 2018-1 SER 2018-1A CL A REGD 144A P/P 4.75000000 78488LAA8 21403922.68000000 NS USD 21042988.33000000 0.263251819776 Long ABS-CBDO CORP US Y 2 2033-08-15 Fixed 4.75000000 N N N N N N NFMOT 2022-1A A 2.8% 03/15/25 N/A NEXTGEAR FLOORPLAN MASTER OWNER TRUST SER 2022-1A CL A2 REGD 144A P/P 2.80000000 65341KBT2 17690000.00000000 NS USD 16854428.77000000 0.210852136370 Long ABS-CBDO CORP US Y 2 2027-03-15 Fixed 2.80000000 N N N N N N BX 2022-CSMO A V/R 06/15/27 N/A BX COMMERCIAL MORTGAGE TRUST 2022-CSMO SER 2022-CSMO CL A V/R REGD 144A P/P 6.59284000 05610MAA0 18100000.00000000 NS USD 18066004.58000000 0.226009182117 Long ABS-CBDO CORP US Y 2 2027-06-15 Variable 6.59284000 N N N N N N VALET 2021-1 A 0.49% 05/22/23 N/A VOLKSWAGEN AUTO LOAN ENHANCED TRUST 2021-1 SER 2021-1 CL A2 REGD 0.49000000 92868KAB9 13123450.73000000 NS USD 12999081.10000000 0.162620997613 Long ABS-CBDO CORP US N 2 2024-10-21 Fixed 0.49000000 N N N N N N FHLMC P#1Q0072 V/R 04/01/36 N/A FREDDIE MAC NON GOLD POOL P#1Q0072 V/R 2.69500000 3128S4CH8 14547.20000000 NS USD 14438.93000000 0.000180633783 Long ABS-MBS USGA US N 2 2036-04-01 Variable 2.69500000 N N N N N N BX 2022-LP2 A V/R 02/15/24 N/A BX COMMERCIAL MORTGAGE TRUST 2022-LP2 SER 2022-LP2 CL A V/R REGD 144A P/P 5.49094000 05610HAA1 51135720.23000000 NS USD 50086911.27000000 0.626596865997 Long ABS-CBDO CORP US Y 2 2039-02-15 Variable 5.49094000 N N N N N N BANK OF NOVA SC 1.45% 01/10/25 L3I9ZG2KFGXZ61BMYR72 BANK OF NOVA SCOTIA REGD MTN 1.45000000 06417XAB7 15015000.00000000 NS USD 14083271.35000000 0.176184425574 Long DBT CORP CA N 2 2025-01-10 Fixed 1.45000000 N N N N N N T/L DELTA AIR 0% 10/20/2027 N/A T/L DELTA AIR LINES INC REGD 0.00000000 24736CBS2 42750000.00000000 NS USD 44166307.50000000 0.552528977341 Long LON CORP US N 2 2027-10-20 Variable 8.55771000 N N N N N N PEPAU 24A A1U V/R 11/18/60 N/A PEPPER RESIDENTIAL SECURITIES TRUST NO. 24 SER 24A CL A1U V/R REGD 144A P/P 5.36486000 71338CAA5 1281630.00000000 NS USD 1278764.15000000 0.015997584766 Long ABS-CBDO CORP AU Y 2 2060-11-18 Variable 5.36486000 N N N N N N OWL ROCK TECHNO 4.75% 12/15/25 254900G5EZJSOD3UKL16 OWL ROCK TECHNOLOGY FINA REGD 144A P/P 4.75000000 691205AC2 20015000.00000000 NS USD 18385724.96000000 0.230008945389 Long DBT CORP US Y 2 2025-12-15 Fixed 4.75000000 N N N N N N SHNTN 2015-1A 4.75% 11/15/27 N/A SHENTON AIRCRAFT INVESTMENT I LTD SER 2015-1A CL A REGD 144A P/P 4.75000000 82321UAA1 9276335.84000000 NS USD 7189160.28000000 0.089937773889 Long ABS-CBDO CORP KY Y 2 2042-10-15 Fixed 4.75000000 N N N N N N WOODSIDE FINANCE 3.7% 09/15/26 N/A WOODSIDE FINANCE LTD REGD 144A P/P 3.70000000 980236AN3 10072000.00000000 NS USD 9618689.40000000 0.120331649131 Long DBT CORP AU Y 2 2026-09-15 Fixed 3.70000000 N N N N N N LFT 2019-2A A 2.78% 04/20/24 N/A LENDMARK FUNDING TRUST 2019-2 SER 2019-2A CL A REGD 144A P/P 2.78000000 52604AAA6 14882356.53000000 NS USD 14564716.44000000 0.182207395985 Long ABS-CBDO CORP US Y 2 2028-04-20 Fixed 2.78000000 N N N N N N T/L ICON LUXEMBOU 0% 07/03/28 N/A T/L ICON LUXEMBOURG S.A.R.L. REGD 0.00000000 N/A 3701294.03000000 NS USD 3699924.55000000 0.046286765717 Long LON CORP LU N 2 2028-07-03 Variable 7.00000000 N N N N N N OWL ROCK CORE 3.125% 09/23/26 5493003I42XBWPE05N35 OWL ROCK CORE INCOME COR REGD SER * 3.12500000 69120VAM3 18000000.00000000 NS USD 15701264.82000000 0.196425834193 Long DBT CORP US N 2 2026-09-23 Fixed 3.12500000 N N N N N N FRANKLIN BSP LE 4.85% 12/15/24 549300K8IFP295FLKS39 FRANKLIN BSP LENDING COR REGD 144A P/P 4.85000000 12325JAF8 18375000.00000000 NS USD 17461439.84000000 0.218445961272 Long DBT CORP US Y 2 2024-12-15 Fixed 4.85000000 N N N N N N CARMX 2022-1 A 0.91% 10/15/23 N/A CARMAX AUTO OWNER TRUST 2022-1 SER 2022-1 CL A2 REGD 0.91000000 14317CAB8 10616511.54000000 NS USD 10494859.06000000 0.131292699616 Long ABS-CBDO CORP US N 2 2025-02-18 Fixed 0.91000000 N N N N N N AVIATION CAPITAL 5.5% 12/15/24 N/A AVIATION CAPITAL GROUP REGD 144A P/P 5.50000000 05369AAH4 33230000.00000000 NS USD 32910929.20000000 0.411722036174 Long DBT CORP US Y 2 2024-12-15 Fixed 5.50000000 N N N N N N T/L SS&C TECHNOLOG 0% 04/16/25 N/A T/L SS&C TECHNOLOGIES HOLDINGS INC REGD 0.00000000 78466DBE3 9434614.81000000 NS USD 9411028.27000000 0.117733768568 Long LON CORP US N 2 2025-04-16 Variable 6.31971000 N N N N N N GOLDMAN SACHS 1.217% 12/06/23 784F5XWPLTWKTBV3E584 GOLDMAN SACHS GROUP INC REGD 1.21700000 38141GZE7 20810000.00000000 NS USD 20168106.39000000 0.252306878916 Long DBT CORP US N 2 2023-12-06 Fixed 1.21700000 N N N N N N FHLB D/N 02/08/23 N/A FEDERAL HOME LOAN BANK DISCOUNT NOTES 0.00000000 313384BQ1 12000000.00000000 PA USD 11990223.33000000 0.149999993425 Long STIV USGA US N 2 2023-02-08 Fixed 0.00000000 N N N N N N WLAKE 2021-3A 0.57% 09/16/24 N/A WESTLAKE AUTOMOBILE RECEIVABLES TRUST 2021-3 SER 2021-3A CL A2 REGD 144A P/P 0.57000000 96043JAC9 9292471.59000000 NS USD 9235746.63000000 0.115540961635 Long ABS-CBDO CORP US Y 2 2024-09-16 Fixed 0.57000000 N N N N N N BANK OF MONTREAL 1.5% 01/10/25 NQQ6HPCNCCU6TUTQYE16 BANK OF MONTREAL REGD MTN 1.50000000 06368FAE9 51125000.00000000 NS USD 48018887.33000000 0.600725489888 Long DBT CORP CA N 2 2025-01-10 Fixed 1.50000000 N N N N N N OXFIN 2022-1A 3.602% 03/15/25 N/A OXFORD FINANCE FUNDING 2022-1 LLC SER 2022-1A CL A2 REGD 144A P/P 3.60200000 69145BAA4 25930000.00000000 NS USD 23977520.27000000 0.299963377150 Long ABS-CBDO CORP US Y 2 2030-02-15 Fixed 3.60200000 N N N N N N SEACO 2020-1A 2.17% 03/18/30 N/A GLOBAL SC FINANCE VII SRL SER 2020-1A CL A REGD 144A P/P 2.17000000 37959PAA5 21282864.48000000 NS USD 19316989.70000000 0.241659245891 Long ABS-CBDO CORP BB Y 2 2040-10-17 Fixed 2.17000000 N N N N N N NMEF 2022-A A2 2.58% 02/15/25 N/A NMEF FUNDING 2022-A LLC SER 2022-A CL A2 REGD 144A P/P 2.58000000 62920KAB8 32865089.15000000 NS USD 31873868.20000000 0.398748204170 Long ABS-CBDO CORP US Y 2 2028-10-16 Fixed 2.58000000 N N N N N N NY STATE ELECTR 5.75% 05/01/23 N/A NY STATE ELECTRIC & GAS REGD 5.75000000 649840CM5 25345000.00000000 NS USD 25332458.53000000 0.316913914642 Long DBT CORP US N 2 2023-05-01 Fixed 5.75000000 N N N N N N T/L SETANTA 0% 11/05/2028 N/A T/L SETANTA AIRCRAFT LEASING DESIGNATED ACTIVITY COMPANY REGD 0.00000000 G8057JAB2 15000000.00000000 NS USD 14967900.00000000 0.187251299646 Long LON CORP IE N 2 2028-11-05 Variable 6.72986000 N N N N N N SIRIUSPOINT LTD 4.6% 11/01/26 549300OGXFI85N3YZZ51 SIRIUSPOINT LTD REGD 144A P/P 4.60000000 82968FAA2 37290000.00000000 NS USD 31931427.00000000 0.399468275797 Long DBT CORP BM Y 2 2026-11-01 Fixed 4.60000000 N N N N N N T/L ORGANON & CO 0% 06/02/28 N/A T/L ORGANON & CO REGD 0.00000000 N/A 50027637.50000000 NS USD 49875553.48000000 0.623952739509 Long LON CORP US N 2 2028-06-02 Variable 7.75000000 N N N N N N FS KKR CAPITAL 4.125% 02/01/25 549300TYRSI1T21B1360 FS KKR CAPITAL CORP REGD 4.12500000 302635AE7 18859000.00000000 NS USD 18148472.65000000 0.227040873489 Long DBT CORP US N 2 2025-02-01 Fixed 4.12500000 N N N N N N F/C US 5YR NOTE (CBT) MAR23 N/A FUTURE CONTRACT ON US 5YR NOTE (CBT) MAR23 0.00000000 N/A -3356.00000000 NC USD -366616782.93000000 -4.58644626672 N/A DIR CORP US N 1 GOLDMAN, SACHS AND CO. FOR8UP27PHTHYVLBNG30 Short F/C US 5YR NOTE (CBT) MAR23 US 5YR NOTE (CBT) MAR23 2023-03-31 362185812.50000000 USD -4430970.43000000 N N N FS KKR CAPITAL 4.25% 02/14/25 549300TYRSI1T21B1360 FS KKR CAPITAL CORP REGD 144A P/P 4.25000000 30313RAA7 42821000.00000000 NS USD 40445356.86000000 0.505979171205 Long DBT CORP US Y 2 2025-02-14 Fixed 4.25000000 N N N N N N HTS 2021-1 A 1.411% 08/23/23 N/A HTS FUND I LLC SER 2021-1 CL A REGD 144A P/P 1.41100000 40456HAA5 21000000.00000000 NS USD 20857479.30000000 0.260931066232 Long ABS-CBDO CORP US Y 2 2036-08-25 Fixed 1.41100000 N N N N N N EDISON INTERNATIONA V/R /PERP/ 549300I7ROF15MAEVP56 EDISON INTERNATIONAL REGD V/R /PERP/ SER A 5.37500000 281020AS6 61690000.00000000 NS USD 57629608.00000000 0.720957448679 Long DBT CORP US N 2 2171-09-15 Variable 5.37500000 N N N N N N MHC 2021-MHC A V/R 04/15/26 N/A MHC COMMERCIAL MORTGAGE TRUST 2021-MHC SER 2021-MHC CL A V/R REGD 144A P/P 5.25996200 55316VAA2 33690000.00000000 NS USD 33089364.57000000 0.413954296874 Long ABS-CBDO CORP US Y 2 2038-04-15 Variable 5.25996200 N N N N N N RESI 2019-2A A1 V/R 02/10/51 N/A RESIMAC PREMIER SERIES 2019-2 SER 2019-2A CL A1 V/R REGD 144A P/P 5.35157000 76120LAA6 3298733.36000000 NS USD 3277895.59000000 0.041007102488 Long ABS-CBDO CORP AU Y 2 2051-02-10 Variable 5.35157000 N N N N N N PROTECTIVE LIF 0.781% 07/05/24 N/A PROTECTIVE LIFE GLOBAL REGD 144A P/P 0.78100000 74368CBF0 29855000.00000000 NS USD 28098519.29000000 0.351517865243 Long DBT CORP US Y 2 2024-07-05 Fixed 0.78100000 N N N N N N WOODS 2019-18A A V/R 05/20/32 N/A NORTHWOODS CAPITAL XVIII LTD SER 2019-18A CL AR V/R REGD 144A P/P 5.77543000 66860MAN1 30000000.00000000 NS USD 29521275.00000000 0.369316812041 Long ABS-CBDO CORP KY Y 2 2032-05-20 Variable 5.77543000 N N N N N N VEROS 2022-1 A 3.47% 05/15/24 N/A VEROS AUTO RECEIVABLES TRUST 2022-1 SER 2022-1 CL A REGD 144A P/P 3.47000000 92512VAA7 10543387.18000000 NS USD 10336877.02000000 0.129316313997 Long ABS-CBDO CORP US Y 2 2025-12-15 Fixed 3.47000000 N N N N N N PARLI 2021-2A A V/R 08/20/32 N/A PARLIAMENT CLO II LTD SER 2021-2A CL A V/R REGD 144A P/P 6.02543000 701631AA1 19490000.00000000 NS USD 19236006.32000000 0.240646128275 Long ABS-CBDO CORP KY Y 2 2032-08-20 Variable 6.02543000 N N N N N N T/L CENTURYLINK 0% 01/31/2025 N/A T/L CENTURYLINK INC REGD 0.00000000 15669GAF1 49132998.65000000 NS USD 48129702.82000000 0.602111812921 Long LON CORP US N 2 2025-01-31 Variable 6.56971000 N N N N N N RBIT 2021-HB1 A V/R 11/25/31 N/A RMF BUYOUT ISSUANCE TRUST 2021-HB1 SER 2021-HB1 CL A V/R REGD 144A P/P 1.25860000 74969TAA8 18367582.29000000 NS USD 17329538.38000000 0.216795848711 Long ABS-CBDO CORP US Y 2 2031-11-25 Variable 1.25860000 N N N N N N FLX 2021-1A A2 3.25% 11/25/26 N/A FLEXENTIAL ISSUER 2021-1 SER 2021-1A CL A2 REGD 144A P/P 3.25000000 33938MAA7 50300000.00000000 NS USD 45533033.79000000 0.569626985349 Long ABS-CBDO CORP US Y 2 2051-11-27 Fixed 3.25000000 N N N N N N BLACKSTONE PRIV 1.75% 09/15/24 N/A BLACKSTONE PRIVATE CRE REGD SER WI 1.75000000 09261HAB3 46600000.00000000 NS USD 43530301.89000000 0.544572425182 Long DBT CORP US N 2 2024-09-15 Fixed 1.75000000 N N N N N N LIFE 2022-BMR2 A V/R 05/15/24 N/A LIFE 2022-BMR MORTGAGE TRUST SER 2022-BMR2 CL A1 V/R REGD 144A P/P 5.77328000 53218DAA6 23600000.00000000 NS USD 23334084.64000000 0.291913874016 Long ABS-CBDO CORP US Y 2 2039-05-15 Variable 5.77328000 N N N N N N ELB 5A AR V/R 06/15/34 54930088K41XQK16ML36 BLACKROCK ELBERT CLO V LLC/KY SER 5A CL AR V/R REGD 144A P/P 6.37789000 092913AC6 12410000.00000000 NS USD 11852901.45000000 0.148282070369 Long ABS-CBDO CORP KY Y 2 2034-06-15 Variable 6.37789000 N N N N N N UMBS P#AL2472 6.5% 06/01/40 N/A FANNIE MAE POOL UMBS P#AL2472 6.50000000 3138EJXA1 751254.82000000 NS USD 806478.59000000 0.010089201832 Long ABS-MBS USGSE US N 2 2040-06-01 Fixed 6.50000000 N N N N N N SIDC 2020-1A 1.893% 08/25/25 N/A STACK INFRASTRUCTURE ISSUER LLC SER 2020-1A CL A2 REGD 144A P/P 1.89300000 85236KAD4 19160000.00000000 NS USD 17435264.70000000 0.218118505251 Long ABS-CBDO CORP US Y 2 2045-08-25 Fixed 1.89300000 N N N N N N BHG 2020-A A 2.56% 09/17/31 N/A BANKERS HEALTHCARE GROUP SECURITIZATION TRUST 2020-A SER 2020-A CL A REGD 144A P/P 2.56000000 06616PAA5 5199227.03000000 NS USD 5086034.66000000 0.063627269031 Long ABS-CBDO CORP US Y 2 2031-09-17 Fixed 2.56000000 N N N N N N AERCAP IRELAND C 4.5% 09/15/23 N/A AERCAP IRELAND CAP/GLOBA REGD 4.50000000 00774MAP0 11426000.00000000 NS USD 11363034.86000000 0.142153745379 Long DBT CORP IE N 2 2023-09-15 Fixed 4.50000000 N N N N N N CFII 2020-1A A 0.87% 01/15/24 N/A CHESAPEAKE FUNDING II LLC SER 2020-1A CL A1 REGD 144A P/P 0.87000000 165183CJ1 10927367.63000000 NS USD 10830450.62000000 0.135491014393 Long ABS-CBDO CORP US Y 2 2032-08-15 Fixed 0.87000000 N N N N N N WELLS FARGO & COM V/R 06/02/24 PBLD0EJDB5FWOLXP3B76 WELLS FARGO & COMPANY REGD V/R MTN 1.65400000 95000U2R3 14870000.00000000 NS USD 14695133.26000000 0.183838935415 Long DBT CORP US N 2 2024-06-02 Variable 1.65400000 N N N N N N SUTTER HEALTH 1.321% 08/15/25 549300MJCC12LU768G81 SUTTER HEALTH REGD SER 20A 1.32100000 86944BAF0 60630000.00000000 NS USD 55462026.73000000 0.693840591278 Long DBT CORP US N 2 2025-08-15 Fixed 1.32100000 N N N N N N MITSUBISHI UFJ 1.412% 07/17/25 353800V2V8PUY9TK3E06 MITSUBISHI UFJ FIN GRP REGD 1.41200000 606822BS2 39660000.00000000 NS USD 36310630.51000000 0.454252951580 Long DBT CORP JP N 2 2025-07-17 Fixed 1.41200000 N N N N N N DAIMLER TRUCK FIN V/R 06/14/23 N/A DAIMLER TRUCK FINAN NA REGD V/R 144A P/P 4.77974900 233853AA8 45590000.00000000 NS USD 45560786.38000000 0.569974175572 Long DBT CORP US Y 2 2023-06-14 Variable 4.77974900 N N N N N N SPGN 2022-TFLM A V/R 02/25/27 N/A SPGN 2022-TFLM MORTGAGE TRUST SER 2022-TFLM CL A V/R REGD 144A P/P 6.02804000 78473HAA4 46350000.00000000 NS USD 44336898.99000000 0.554663109598 Long ABS-CBDO CORP US Y 2 2039-02-15 Variable 6.02804000 N N N N N N FHLB D/N 02/01/23 N/A FEDERAL HOME LOAN BANK DISCOUNT NOTES 0.00000000 313384BH1 45000000.00000000 PA USD 45000000.00000000 0.562958630407 Long STIV USGA US N 2 2023-02-01 Fixed 0.00000000 N N N N N N BANK OF NOVA SCOT V/R 07/31/24 L3I9ZG2KFGXZ61BMYR72 BANK OF NOVA SCOTIA REGD V/R 4.55899700 0641596F8 32500000.00000000 NS USD 32376027.78000000 0.405030316823 Long DBT CORP CA N 2 2024-07-31 Variable 4.55899700 N N N N N N MCIP 2022-1A A 4.05% 04/30/32 N/A MONROE CAPITAL INCOME PLUS ABS FUNDING LLC SER 2022-1A CL A REGD 144A P/P 4.05000000 61033MAB0 41880000.00000000 NS USD 37864068.17000000 0.473686754636 Long ABS-CBDO CORP US Y 2 2032-04-30 Fixed 4.05000000 N N N N N N AERCAP IRELAND 1.75% 10/29/24 N/A AERCAP IRELAND CAP/GLOBA REGD SER 3NC1 1.75000000 00774MBB0 21450000.00000000 NS USD 20004056.14000000 0.250254578825 Long DBT CORP IE N 2 2024-10-29 Fixed 1.75000000 N N N N N N NRART 2020-T1 1.425% 08/15/23 N/A NEW RESIDENTIAL ADVANCE RECEIVABLES TRUST SER 2020-T1 CL AT1 REGD 144A P/P 1.42570000 62942QCR2 40570000.00000000 NS USD 39332789.45000000 0.492060739530 Long ABS-CBDO CORP US Y 2 2053-08-15 Fixed 1.42570000 N N N N N N CAUTO 2020-1A 3.19% 02/15/25 N/A CARS-DB4 LP SER 2020-1A CL A4 REGD 144A P/P 3.19000000 12510HAD2 20521893.75000000 NS USD 19386415.32000000 0.242527773712 Long ABS-CBDO CORP US Y 2 2050-02-15 Fixed 3.19000000 N N N N N N T/L AMERICAN AIRLI 0% 4/20/28 N/A T/L AMERICAN AIRLINES INC REGD 0.00000000 N/A 36085000.00000000 NS USD 37026457.65000000 0.463208086388 Long LON CORP US N 2 2028-04-20 Variable 9.55771000 N N N N N N WMRK 2022-WMRK A V/R 11/15/27 N/A WMRK COMMERCIAL MORTGAGE TRUST 2022-WMRK SER 2022-WMRK CL A V/R REGD 144A P/P 7.26704000 929342AA1 20000000.00000000 NS USD 19987394.00000000 0.250046132258 Long ABS-CBDO CORP US Y 2 2027-11-15 Variable 7.26704000 N N N N N N MORGAN STANLEY V/R 10/16/26 IGJSJL3JD5P30I6NJZ34 MORGAN STANLEY REGD V/R SER VAR 6.13800000 61747YEX9 42665000.00000000 NS USD 43951912.07000000 0.549846849393 Long DBT CORP US N 2 2026-10-16 Variable 6.13800000 N N N N N N US BANCORP V/R /PERP/ N1GZ7BBF3NP8GI976H15 US BANCORP REGD V/R /PERP/ 3.70000000 902973BC9 42990000.00000000 NS USD 37562512.50000000 0.469914235370 Long DBT CORP US N 2 2172-01-15 Variable 3.70000000 N N N N N N AGL 2019-2A A1 V/R 04/20/32 N/A AGL CORE CLO 2 LTD SER 2019-2A CL A1 V/R REGD 144A P/P 6.19771000 001200AA2 10000000.00000000 NS USD 9921426.00000000 0.124118942058 Long ABS-CBDO CORP KY Y 2 2032-04-20 Variable 6.19771000 N N N N N N CONSTELLATION BR 3.6% 05/09/24 5493005GKEG8QCVY7037 CONSTELLATION BRANDS INC REGD 3.60000000 21036PBM9 8175000.00000000 NS USD 8057065.16000000 0.100795430390 Long DBT CORP US N 2 2024-05-09 Fixed 3.60000000 N N N N N N TRUIST FINANCIAL V/R 10/28/26 549300DRQQI75D2JP341 TRUIST FINANCIAL CORP REGD V/R MTN 5.90000000 89788MAJ1 14435000.00000000 NS USD 14860065.28000000 0.185902266617 Long DBT CORP US N 2 2026-10-28 Variable 5.90000000 N N N N N N RCMT 2022-FL8 A V/R 12/25/26 N/A READY CAPITAL MORTGAGE FINANCING 202 SER 2022-FL8 CL A V/R REGD 144A P/P 5.96014000 75574PAA0 21560000.00000000 NS USD 21095373.38000000 0.263907166798 Long ABS-CBDO CORP US Y 2 2037-01-25 Variable 5.96014000 N N N N N N PEPAU 23A A1U V/R 08/18/60 N/A PEPPER RESIDENTIAL SECURITIES TRUST NO. 23 SER 23A CL A1U V/R REGD 144A P/P 5.41486000 71338BAA7 2210967.50000000 NS USD 2206399.86000000 0.027602485407 Long ABS-CBDO CORP AU Y 2 2060-08-18 Variable 5.41486000 N N N N N N BXMT 2021-FL4 A V/R 05/15/38 N/A BXMT 2021-FL4 LTD SER 2021-FL4 CL A V/R REGD 144A P/P 5.50900000 05609GAA6 17250000.00000000 NS USD 16905000.00000000 0.211484792156 Long ABS-CBDO CORP US Y 2 2038-05-15 Variable 5.50900000 N N N N N N KENTUCKY ST PUBLI V/R 08/01/52 N/A KENTUCKY ST PUBLIC ENERGY AUTH REGD V/R B/E 4.08100000 74440DDT8 31000000.00000000 NS USD 29577915.30000000 0.370025393057 Long DBT MUN US N 2 2052-08-01 Variable 4.08100000 N N N N N N JPMORGAN CHASE & V/R 03/13/26 8I5DZWZKVSZI1NUHU748 JPMORGAN CHASE & CO REGD V/R 2.00500000 46647PBH8 33270000.00000000 NS USD 31297690.85000000 0.391540115018 Long DBT CORP US N 2 2026-03-13 Variable 2.00500000 N N N N N N T/L BUCKEYE PART 0% 11/01/26 N/A T/L BUCKEYE PARTNERS L P REGD 0.00000000 N/A 35883508.17000000 NS USD 35872384.28000000 0.448770407193 Long LON CORP US N 2 2026-11-01 Variable 6.63357000 N N N N N N UMBS P#906281 V/R 01/01/37 N/A FANNIE MAE POOL UMBS P#906281 V/R 4.08900000 31411E2N6 25430.22000000 NS USD 25199.63000000 0.000315252204 Long ABS-MBS USGSE US N 2 2037-01-01 Variable 4.08900000 N N N N N N LLOYDS BANKING G 3.9% 03/12/24 549300PPXHEU2JF0AM85 LLOYDS BANKING GROUP PLC REGD 3.90000000 53944YAH6 33923000.00000000 NS USD 33525858.01000000 0.419414913523 Long DBT CORP GB N 2 2024-03-12 Fixed 3.90000000 N N N N N N DRAWBRIDGE SPE 3.875% 02/15/26 N/A DRAWBRIDGE SPEC OPPOR FU REGD 144A P/P 3.87500000 26150TAE9 48895000.00000000 NS USD 45097189.42000000 0.564174488691 Long DBT CORP US Y 2 2026-02-15 Fixed 3.87500000 N N N N N N EFF 2022-1 A2 3.03% 06/20/25 N/A ENTERPRISE FLEET FINANCING LLC SER 2022-1 CL A2 REGD 144A P/P 3.03000000 29375JAB0 14558052.99000000 NS USD 14196046.62000000 0.177595265830 Long ABS-CBDO CORP US Y 2 2028-01-20 Fixed 3.03000000 N N N N N N FNMA P745925 V/R 09/01/36 N/A FNMA P745925 V/R 09/01/36 3.97100000 31403DVS5 32507.56000000 NS USD 32902.68000000 0.000411618837 Long ABS-MBS USGSE US N 2 2036-09-01 Variable 3.97100000 N N N N N N AUDAX 2020-1A A V/R 01/20/30 N/A AUDAX SENIOR DEBT CLO III LLC SER 2020-1A CL A V/R REGD 144A P/P 6.41771000 05072LAA3 45792223.02000000 NS USD 45355159.15000000 0.567401739488 Long ABS-CBDO CORP KY Y 2 2030-01-20 Variable 6.41771000 N N N N N N BMWLT 2022-1 A 0.67% 05/25/23 N/A BMW VEHICLE LEASE TRUST 2022-1 SER 2022-1 CL A2 REGD 0.67000000 05601XAB5 8343527.52000000 NS USD 8292249.87000000 0.103737636218 Long ABS-CBDO CORP US N 2 2024-05-28 Fixed 0.67000000 N N N N N N GNMA #080312 V/R 8/20/29 N/A GINNIE MAE II POOL P#80312 V/R 2.62500000 36225CK21 4413.96000000 NS USD 4329.00000000 0.000054156620 Long ABS-MBS USGSE US N 2 2029-08-20 Variable 2.62500000 N N N N N N SKANDINAVISKA E 0.65% 09/09/24 F3JS33DEI6XQ4ZBPTN86 SKANDINAVISKA ENSKILDA REGD 144A P/P 0.65000000 83051GAS7 26360000.00000000 NS USD 24628148.00000000 0.308102854834 Long DBT CORP SE Y 2 2024-09-09 Fixed 0.65000000 N N N N N N BLACKSTONE SECU 3.65% 07/14/23 549300KM7KWQHVBNH962 BLACKSTONE SECURED LEND REGD 3.65000000 09261LAD0 24645000.00000000 NS USD 24478710.82000000 0.306233367052 Long DBT CORP US N 2 2023-07-14 Fixed 3.65000000 N N N N N N WLAKE 2021-1A 0.39% 12/15/22 N/A WESTLAKE AUTOMOBILE RECEIVABLES TRUST 2021-1 SER 2021-1A CL A2A REGD 144A P/P 0.39000000 96043FAB9 1212944.87000000 NS USD 1210697.77000000 0.015146061298 Long ABS-CBDO CORP US Y 2 2024-10-15 Fixed 0.39000000 N N N N N N T/L CENTURYLINK INC 0% 3/15/27 N/A T/L CENTURYLINK INC REGD 0.00000000 N/A 22571660.50000000 NS USD 21797678.26000000 0.272693135540 Long LON CORP US N 2 2027-03-15 Variable 6.81971000 N N N N N N FNA 2019-1 LLC 3% 12/10/31 N/A FNA 2019-1 LLC 3.00000000 30312PAA2 12739101.16000000 NS USD 11210409.02000000 0.140244366848 Long ABS-CBDO CORP US N 3 2031-12-10 Fixed 3.00000000 N N N N N N GA GLOBAL FUNDING V/R 09/13/24 54930029I8ROQ4OROZ88 GA GLOBAL FUNDING TRUST REGD V/R 144A P/P 0.00000000 36143L2E4 50000000.00000000 NS USD 48732000.00000000 0.609646666155 Long DBT CORP US Y 2 2024-09-13 Variable 4.79097 N N N N N N PROTECTIVE LIF 1.646% 01/13/25 N/A PROTECTIVE LIFE GLOBAL REGD 144A P/P 1.64600000 74368CBJ2 42465000.00000000 NS USD 39677879.79000000 0.496377885867 Long DBT CORP US Y 2 2025-01-13 Fixed 1.64600000 N N N N N N BLACKROCK TCP CA 3.9% 08/23/24 549300JU1XG1HF56J989 BLACKROCK TCP CAP CORP REGD 3.90000000 09259EAA6 41185000.00000000 NS USD 39341956.01000000 0.492175414954 Long DBT CORP US N 2 2024-08-23 Fixed 3.90000000 N N N N N N MAIN STREET CAPI 5.2% 05/01/24 5493001FS9QJLJNF3E20 MAIN STREET CAPITAL CORP REGD 5.20000000 56035LAD6 49650000.00000000 NS USD 49356272.59000000 0.617456435983 Long DBT CORP US N 2 2024-05-01 Fixed 5.20000000 N N N N N N CAPITAL ONE FINAN V/R 12/06/24 ZUE8T73ROZOF6FLBAR73 CAPITAL ONE FINANCIAL CO REGD V/R 1.34300000 14040HCK9 45285000.00000000 NS USD 43749852.54000000 0.547319045920 Long DBT CORP US N 2 2024-12-06 Variable 1.34300000 N N N N N N UNIVERSAL INSU 5.625% 11/30/26 529900GGAZ6WVUCWQM46 UNIVERSAL INSURANCE HLDS REGD SER WI 5.62500000 91359VAC1 4205000.00000000 NS USD 3740202.97000000 0.046790656476 Long DBT CORP US N 2 2026-11-30 Fixed 5.62500000 N N N N N N SEACO 2020-2A 2.26% 03/17/30 N/A GLOBAL SC FINANCE VII SRL SER 2020-2A CL A REGD 144A P/P 2.26000000 37959PAC1 21870600.28000000 NS USD 19813493.17000000 0.247870599523 Long ABS-CBDO CORP BB Y 2 2040-11-19 Fixed 2.26000000 N N N N N N LCM 24A AR V/R 03/20/30 N/A LCM XXIV LTD SER 24A CL AR V/R REGD 144A P/P 5.78771000 50188YAE4 17703682.07000000 NS USD 17475715.30000000 0.218624550015 Long ABS-CBDO CORP KY Y 2 2030-03-20 Variable 5.78771000 N N N N N N T/L VISTRA OPERAT ZCP 12/31/25 N/A T/L VISTRA OPERATIONS CO LLC ZCP TERM LOAN 0.00000000 88233FAK6 20705179.53000000 NS USD 20653416.58000000 0.258378202469 Long LON CORP US N 2 2025-12-31 Variable 6.29675337 N N N N N N BBUBS 2012-TFT B V/R 06/05/20 N/A BB-UBS TRUST SER 2012-TFT CL B V/R REGD 144A P/P 3.55925900 05490AAC7 26807000.00000000 NS USD 24147490.93000000 0.302089742705 Long ABS-CBDO CORP US Y 2 2030-06-05 Variable 3.55925900 N N N N N N OSCAR 2021-2A 0.39% 07/10/23 N/A OSCAR US FUNDING XIII LLC SER 2021-2A CL A2 REGD 144A P/P 0.39000000 68785BAB9 5917556.00000000 NS USD 5858107.94000000 0.073286053837 Long ABS-CBDO CORP JP Y 2 2024-08-12 Fixed 0.39000000 N N N N N N 2023-03-02 BBH Trust Charles Schreiber Charles Schreiber Treasurer XXXX NPORT-EX 2 ea151846_limited-duration.htm PORTFOLIO OF INVESTMENTS

 

BBH LIMITED DURATION FUND

 

PORTFOLIO OF INVESTMENTS

January 31, 2023 (unaudited)

 

Principal

Amount

    

Maturity

Date

 

Interest

Rate

  Value 
    ASSET BACKED SECURITIES (24.5%)           
$10,000,000  

AGL Core CLO 2, Ltd. 2019-2A (3-Month USD-LIBOR + 1.390%)1,2

  04/20/32   6.198%  $9,921,426 
 13,113,546   AIM Aviation Finance, Ltd. 2015-1A1  02/15/40   6.213    9,179,154 
 7,748,186   AmeriCredit Automobile Receivables Trust 2021-3   02/18/25   0.410    7,703,000 
 10,983,888   Amur Equipment Finance Receivables X LLC 2022-1A1  10/20/27   1.640    10,459,457 
 14,300,000   ARI Fleet Lease Trust 2022-A1  01/15/31   3.120    14,066,364 
 45,792,223  

Audax Senior Debt CLO III LLC 2020-1A (3-Month USD-LIBOR + 1.610%)1,2

  01/20/30   6.418    45,355,159 
 5,199,227   Bankers Healthcare Group Securitization Trust 2020-A1  09/17/31   2.560    5,086,035 
 28,119,504   BHG Securitization Trust 2022-A1  02/20/35   1.710    26,408,018 
 12,410,000  

BlackRock Elbert CLO V LLC 5A (3-Month CME Term SOFR + 1.850%)1,2

  06/15/34   6.378    11,852,901 
 8,343,528   BMW Vehicle Lease Trust 2022-1   05/28/24   0.670    8,292,250 
 7,031,153   Business Jet Securities LLC 2020-1A1    11/15/35   2.981    6,451,294 
 9,966,334   Business Jet Securities LLC 2022-1A1    06/15/37   4.455    9,416,842 
 44,170,000  

California Street CLO IX LP 2012-9A (3-Month USD-LIBOR + 1.100%)1,2

  07/16/32   5.892    43,419,110 
 29,280,000  

Carlyle US CLO, Ltd. 2019-2A (3-Month USD-LIBOR + 1.120%)1,2 .

  07/15/32   5.912    28,826,997 
 10,616,512   CarMax Auto Owner Trust 2022-1  02/18/25   0.910    10,494,859 
 20,521,894   CARS-DB4 LP 2020-1A1  02/15/50   3.190    19,386,415 
 22,995,866   CF Hippolyta Issuer LLC 2020-11  07/15/60   1.690    20,780,796 
 10,927,368   Chesapeake Funding II LLC 2020-1A1    08/15/32   0.870    10,830,451 
 25,000,000  

Churchill MMSLF CLO-I LP 2021-2A (3-Month USD-LIBOR + 1.450%)1,2

  10/01/32   6.232    24,203,352 
 8,607,740   CIG Auto Receivables Trust 2021-1A1    04/14/25   0.690    8,478,286 
 41,731,189   Credit Acceptance Auto Loan Trust 2020-3A1  10/15/29   1.240    40,919,384 
 12,445,000  

Deerpath Capital CLO, Ltd. 2022-1A (3-Month CME Term SOFR + 1.950%)1,2

  07/15/33   6.608    12,173,027 
 29,325,070   Dell Equipment Finance Trust 2022-11    08/23/27   2.110    28,957,516 
 15,607,774   Donlen Fleet Lease Funding 2 LLC 2021-21  12/11/34   0.560    15,150,460 
 17,180,000  

Dryden 93 CLO, Ltd. 2021-93A (3-Month USD-LIBOR + 1.080%)1,2

  01/15/34   5.872    16,830,502 
 4,469,674   ECAF I, Ltd. 2015-1A1  06/15/40   3.473    2,771,037 
 17,170,000   Elm Trust 2020-3A1  08/20/29   2.954    16,101,669 
 14,558,053   Enterprise Fleet Financing LLC 2022-11    01/20/28   3.030    14,196,047 
 12,500,000   Enterprise Fleet Financing LLC 2022-41    10/22/29   5.760    12,631,187 
 5,348,820   Exeter Automobile Receivables Trust 2022-2A   11/17/25   2.190    5,339,709 
 13,000,000   Exeter Automobile Receivables Trust 2022-6A   11/17/25   5.730    13,012,229 
 4,060,271   FCI Funding LLC 2021-1A1  04/15/33   1.130    3,987,811 
 28,095,452   Finance of America HECM Buyout 2022-HB11,2,3  02/25/32   2.695    27,129,297 
 50,300,000   Flexential Issuer 2021-1A1  11/27/51   3.250    45,533,034 
 12,739,101   FNA LLC 2019-14  12/10/31   3.000    11,210,409 
 7,940,147   Foursight Capital Automobile Receivables Trust 2022-11  09/15/25   1.150    7,817,113 
 7,823,838   FREED ABS Trust 2022-2CP1  05/18/29   3.030    7,780,868 
 21,282,864   Global SC Finance VII Srl 2020-1A1  10/17/40   2.170    19,316,990 
 21,870,600   Global SC Finance VII Srl 2020-2A1  11/19/40   2.260    19,813,493 
 9,194,387   GM Financial Consumer Automobile Receivables Trust 2022-1  02/18/25   0.760    9,081,109 

 

 

BBH LIMITED DURATION FUND

 

PORTFOLIO OF INVESTMENTS (continued)

January 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%  $44,148,810 
 16,755,812   HPEFS Equipment Trust 2022-1A1  05/21/29   1.020    16,501,551 
 21,000,000   HTS Fund I LLC 2021-11  08/25/36   1.411    20,857,479 
 14,739,327   Hyundai Auto Receivables Trust 2022-A   02/18/25   1.810    14,556,256 
 26,102,095   Kubota Credit Owner Trust 2022-1A1    04/15/25   2.340    25,654,922 
 17,703,682   LCM XXIV, Ltd. 24A (3-Month USD-LIBOR + 0.980%)1,2  03/20/30   5.788    17,475,715 
 14,882,357   Lendmark Funding Trust 2019-2A1  04/20/28   2.780    14,564,716 
 39,261,945  

Madison Park Funding XXV, Ltd. 2017-25A (3-Month USD-LIBOR + 0.970%)1,2

  04/25/29   5.788    38,880,892 
 5,819,742   Mariner Finance Issuance Trust 2019-AA1  07/20/32   2.960    5,749,390 
 16,460,000   Mariner Finance Issuance Trust 2020-AA1  08/21/34   2.190    15,779,639 
 8,450,000  

MCF CLO IX, Ltd. 2019-1A (3-Month CME Term SOFR + 1.500%)1,2

  07/17/31   6.158    8,321,110 
 41,880,000   Monroe Capital Income Plus ABS Funding LLC 2022-1A1  04/30/32   4.050    37,864,068 
 12,410,000  

Monroe Capital Mml CLO X, Ltd. 2020-1A (3-Month CME Term SOFR + 1.870%)1,2

  05/20/34   6.154    12,033,893 
 47,600,000  

Neuberger Berman Loan Advisers CLO 34, Ltd. 2019-34A (3-Month CME Term SOFR + 1.240%)1,2

   01/20/35   5.879    46,814,600 
 40,570,000  

New Residential Advance Receivables Trust Advance Receivables Backed 2020-T11

  08/15/53   1.426    39,332,789 
 30,640,000   NextGear Floorplan Master Owner Trust 2020-1A1  02/15/25   1.550    30,593,639 
 17,690,000   NextGear Floorplan Master Owner Trust 2022-1A1  03/15/27   2.800    16,854,429 
 32,865,089   NMEF Funding LLC 2022-A1  10/16/28   2.580    31,873,868 
 30,000,000  

Northwoods Capital XVIII, Ltd. 2019-18A (3-Month USD-LIBOR + 1.100%)1,2

  05/20/32   5.775    29,521,275 
 24,700,000   NRZ Advance Receivables Trust 2015-ON1 2020-T21  09/15/53   1.475    23,909,301 
 32,920,000  

Octagon Investment Partners 20-R, Ltd. 2019-4A (3-Month USD-LIBOR + 1.150%)1,2

  05/12/31   5.800    32,531,251 
 21,250,000   OnDeck Asset Securitization Trust III LLC 2021-1A1  05/17/27   1.590    19,604,345 
 14,640,000   OneMain Financial Issuance Trust 2022-3A1  05/15/34   5.940    14,767,091 
 13,350,000   OneMain Financial Issuance Trust 2022-S11  05/14/35   4.130    12,981,694 
 17,441,763   Oportun Funding XIII LLC 2019-A1  08/08/25   3.080    17,002,449 
 25,000,000   Oportun Issuance Trust 2022-A1  06/09/31   5.050    24,244,642 
 56,210,000   Oportun Issuance Trust 2021-C1  10/08/31   2.180    50,504,944 
 767,774   OSCAR US Funding XII LLC 2021-1A1    03/11/24   0.400    766,946 
 5,917,556   OSCAR US Funding XIII LLC 2021-2A1    08/12/24   0.390    5,858,108 
 25,978,496   OSCAR US Funding XIV LLC 2022-1A1    03/10/25   1.600    25,463,971 
 25,930,000   Oxford Finance Funding LLC 2022-1A1    02/15/30   3.602    23,977,520 
 42,899,555  

Palmer Square Loan Funding, Ltd. 2022-1A (3-Month CME Term SOFR + 1.050%)1,2

  04/15/30   5.682    42,177,272 
 19,490,000  

Parliament CLO II, Ltd. 2021-2A (3-Month USD-LIBOR + 1.350%)1,2

  08/20/32   6.025    19,236,006 
 3,181,222   Pawnee Equipment Receivables Series LLC 2020-11  11/17/25   1.370    3,145,056 
 47,670,000   PFS Financing Corp. 2022-A1  02/15/27   2.470    45,321,485 
 19,980,000   PFS Financing Corp. 2022-C1  05/15/27   3.890    19,516,584 
 18,070,000   Regional Management Issuance Trust 2020-11  10/15/30   2.340    16,925,050 
 16,470,000   Republic Finance Issuance Trust 2020-A1  11/20/30   2.470    15,677,610 
 56,030,000   Republic Finance Issuance Trust 2021-A1  12/22/31   2.300    51,667,358 
 8,384,836   Santander Drive Auto Receivables Trust 2022-1   12/16/24   1.360    8,373,134 

 

 

BBH LIMITED DURATION FUND

 

PORTFOLIO OF INVESTMENTS (continued)

January 31, 2023 (unaudited)

 

Principal

Amount

     

Maturity

Date

 

Interest

Rate

 

 

Value

 
     ASSET BACKED SECURITIES (continued)             
$34,490,000   Santander Revolving Auto Loan Trust 2019-A1    01/26/32   2.510%  $32,930,493 
 28,546,629   SCF Equipment Leasing LLC 2022-1A1    02/22/28   2.060    27,809,273 
 9,276,336   Shenton Aircraft Investment I, Ltd. 2015-1A1  10/15/42   4.750    7,189,160 
 22,755,000  

Southwick Park CLO LLC 2019-4A (3-Month USD-LIBOR + 1.060%)1,2

  07/20/32   5.868    22,481,940 
 49,790,382   Stack Infrastructure Issuer LLC 2019-1A1    02/25/44   4.540    48,694,202 
 19,160,000   Stack Infrastructure Issuer LLC 2020-1A1    08/25/45   1.893    17,435,265 
 21,403,923   SWC Funding LLC 2018-1A1  08/15/33   4.750    21,042,988 
 50,790,000  

Symphony CLO XXI, Ltd. 2019-21A (3-Month USD-LIBOR + 1.060%)1,2

  07/15/32   5.852    49,999,266 
 12,760,000   Synchrony Card Funding LLC 2022-A1    04/15/28   3.370    12,431,157 
 10,543,387   Veros Auto Receivables Trust 2022-11    12/15/25   3.470    10,336,877 
 22,313,186   VFI ABS LLC 2022-1A1    03/24/28   2.230    21,691,336 
 13,123,451   Volkswagen Auto Loan Enhanced Trust 2021-1   10/21/24   0.490    12,999,081 
 1,212,945   Westlake Automobile Receivables Trust 2021-1A1    10/15/24   0.390    1,210,698 
 10,160,041   Westlake Automobile Receivables Trust 2021-2A1    04/15/25   0.320    10,067,539 
 9,292,472   Westlake Automobile Receivables Trust 2021-3A1    09/16/24   0.570    9,235,747 
 19,025,352   Westlake Automobile Receivables Trust 2022-1A1    12/16/24   1.970    18,838,123 
 35,962,387  

Wheels Fleet Lease Funding 1 LLC 2022-1A1

  10/18/36   2.470    35,073,746 
    

Total Asset Backed Securities
(Cost $2,042,351,031)

           1,960,862,806 
                   
     COMMERCIAL MORTGAGE BACKED SECURITIES (5.7%)             
 26,807,000  

BB-UBS Trust 2012-TFT1,2,3

  06/05/30   3.559    24,147,491 
 20,300,000  

BPR Trust 2022-OANA (1-Month CME Term SOFR + 1.898%)1,2

  04/15/37   6.376    19,995,019 
 11,673,746  

BX Commercial Mortgage Trust 2019-XL (1-Month CME Term SOFR + 1.034%)1,2

  10/15/36   5.513    11,622,789 
 18,100,000  

BX Commercial Mortgage Trust 2022-CSMO (1-Month CME Term SOFR + 2.115%)1,2

  06/15/27   6.593    18,066,005 
 51,135,720  

BX Commercial Mortgage Trust 2022-LP2 (1-Month CME Term SOFR + 1.013%)1,2

  02/15/39   5.491    50,086,911 
 459,282   BX Trust 2019-RP (1-Month USD-LIBOR + 1.045%)1,2  06/15/34   5.504    452,745 
 30,351,537  

BXMT, Ltd. 2020-FL2 (1-Month CME Term SOFR + 1.014%)1,2

  02/15/38   5.497    29,462,747 
 20,990,000   BXMT, Ltd. 2020-FL3 (30-Day SOFR + 1.514%)1,2  11/15/37   5.810    20,990,000 
 17,250,000   BXMT, Ltd. 2021-FL4 (1-Month USD-LIBOR + 1.050%)1,2  05/15/38   5.509    16,905,000 
 31,329,000  

CG-CCRE Commercial Mortgage Trust 2014-FL2 (1-Month USD-LIBOR + 2.900%)1,2

  11/15/31   7.359    28,289,965 
 18,200,276   HPLY Trust 2019-HIT (1-Month USD-LIBOR + 1.000%)1,2  11/15/36   5.459    17,937,559 
 23,600,000  

Life Mortgage Trust 2022-BMR2 (1-Month CME Term SOFR + 1.295%)1,2

  05/15/39   5.773    23,334,085 
 17,986,565   Med Trust 2021-MDLN (1-Month USD-LIBOR + 0.950%)1,2  11/15/38   5.410    17,536,364 
 33,690,000  

MHC Commercial Mortgage Trust 2021-MHC (1-Month USD-LIBOR + 0.801%)1,2

  04/15/38   5.260    33,089,365 
 16,040,000  

MTN Commercial Mortgage Trust 2022-LPFL (1-Month CME Term SOFR + 1.397%)1,2

  03/15/39   5.875    15,733,974 
 3,236,951   PFP, Ltd. 2021-7 (1-Month USD-LIBOR + 0.850%)1,2  04/14/38   5.309    3,192,443 
 21,560,000  

Ready Capital Mortgage Financing 2022-FL8 LLC (30-Day SOFR + 1.650%)1,2

  01/25/37   5.960    21,095,373 

 

 

BBH LIMITED DURATION FUND

 

PORTFOLIO OF INVESTMENTS (continued)

January 31, 2023 (unaudited)

 

Principal

Amount

     

Maturity

Date

 

Interest

Rate

  Value

 
    

COMMERCIAL MORTGAGE BACKED SECURITIES (continued)

             
$46,350,000  

SPGN 2022-TFLM Mortgage Trust (1-Month CME Term SOFR + 1.550%)1,2

  02/15/39   6.028%  $44,336,899 
 15,975,855  

STWD, Ltd. 2019-FL1 1-Month CME Term SOFR + 1.194%)1,2

  07/15/38   5.677    15,872,922 
 24,300,000  

Taubman Centers Commercial Mortgage Trust 2022-DPM (1-Month CME Term SOFR + 2.186%)1,2

  05/15/37   6.664    23,769,213 
 20,000,000  

WMRK Commercial Mortgage Trust 2022-WMRK (1-Month CME Term SOFR + 2.789%)1,2

  11/15/27   7.267    19,987,394 
    

Total Commercial Mortgage Backed Securities

(Cost $468,312,113)

           455,904,263 
                   
     CORPORATE BONDS (42.7%)             
     AUTO MANUFACTURERS (0.8%)             
 45,590,000   Daimler Truck Finance North America LLC (SOFR + 0.500%)1,2  06/14/23   4.780    45,560,786 
 16,000,000   Daimler Truck Finance North America LLC1  01/17/25   5.200    16,082,653 
                 61,643,439 
 19,530,000  

BANKS (12.5%)

Bank of America Corp. (SOFR + 0.670%)2

  02/04/25   1.843    18,850,076 
 51,125,000   Bank of Montreal   01/10/25   1.500    48,018,887 
 34,710,000   Bank of New Zealand1  02/20/24   3.500    34,125,619 
 19,870,000   Bank of New Zealand1  02/07/28   4.846    19,941,353 
 58,070,000   Bank of Nova Scotia    03/11/24   2.440    56,572,900 
 32,500,000   Bank of Nova Scotia (SOFR + 0.380%)2  07/31/24   4.559    32,376,028 
 15,015,000   Bank of Nova Scotia    01/10/25   1.450    14,083,271 
 33,540,000   Commonwealth Bank of Australia (SOFR + 0.400%)1,2  07/07/25   4.724    33,328,906 
 65,000,000   DNB Bank ASA (1-Year CMT Index + 0.330%)1,2  09/30/25   0.856    60,290,630 
 20,810,000   Goldman Sachs Group, Inc.  12/06/23   1.217    20,168,106 
 29,665,000   HSBC Holdings, Plc. (SOFR + 0.534%)2  08/17/24   0.732    28,870,117 
 33,350,000   HSBC Holdings, Plc. (SOFR + 1.929%)2  06/04/26   2.099    30,909,313 
 5,780,000   HSBC Holdings, Plc. (SOFR + 3.030%)2  11/03/26   7.336    6,100,790 
 24,145,000   Huntington National Bank (SOFR + 1.215%)2    11/18/25   5.699    24,418,849 
 62,235,000   JPMorgan Chase & Co. (SOFR + 0.580%)2    03/16/24   0.697    61,872,092 
 33,270,000  

JPMorgan Chase & Co. (3-Month CME Term SOFR + 1.585%)2

  03/13/26   2.005    31,297,691 
 18,760,000   KeyBank NA    11/15/27   5.850    19,659,321 
 33,923,000   Lloyds Banking Group, Plc.  03/12/24   3.900    33,525,858 
 24,865,000   Lloyds Banking Group, Plc. (1-Year CMT Index + 1.600%)2  03/18/26   3.511    23,925,717 
 17,755,000   Lloyds Banking Group, Plc. (1-Year CMT Index + 1.800%)2  03/18/28   3.750    16,872,262 
 39,660,000   Mitsubishi UFJ Financial Group, Inc.  07/17/25   1.412    36,310,631 
 42,665,000   Morgan Stanley (SOFR + 1.770%)2  10/16/26   6.138    43,951,912 
 34,425,000   National Australia Bank, Ltd.  01/12/26   4.966    34,833,227 
 24,915,000   Royal Bank of Canada   08/03/27   4.240    24,568,274 
 16,070,000   Santander Holdings USA, Inc.   06/07/24   3.500    15,694,382 
 26,360,000   Skandinaviska Enskilda Banken AB1   09/09/24   0.650    24,628,148 
 10,085,000   State Street Corp. (SOFR + 1.353%)2    11/04/26   5.751    10,358,224 
 14,435,000   Truist Financial Corp. (SOFR + 1.626%)2  10/28/26   5.900    14,860,065 
 53,570,000   UBS Group AG (1-Year CMT Index + 1.550%)1,2  01/12/27   5.711    54,258,325 
 42,990,000   US Bancorp (5-Year CMT Index + 2.541%)2,5      3.700    37,562,513 

 

 

BBH LIMITED DURATION FUND

 

PORTFOLIO OF INVESTMENTS (continued)

January 31, 2023 (unaudited)

 

Principal

Amount

     

Maturity

Date

 

Interest

Rate

 

 

Value

 
     CORPORATE BONDS (continued)
BANKS (continued)		             
$22,750,000  

US Bancorp (SOFR + 1.430%)2

  10/21/26   5.727%  $23,375,319 
 14,870,000   Wells Fargo & Co. (SOFR + 1.600%)2    06/02/24   1.654    14,695,133 
 19,370,000   Wells Fargo & Co. (SOFR + 2.000%)2    04/30/26   2.188    18,222,380 
 7,920,000   Wells Fargo & Co. (SOFR + 1.560%)2    08/15/26   4.540    7,843,391 
 26,655,000   Westpac Banking Corp.  11/18/27   5.457    27,776,296 
                 1,004,146,006 
     BEVERAGES (0.3%)             
 8,175,000  

Constellation Brands, Inc.

  05/09/24   3.600    8,057,065 
 15,335,000   Diageo Capital, Plc.    10/24/25   5.200    15,668,533 
                 23,725,598 
     DIVERSIFIED FINANCIAL SERVICES (4.2%)             
 11,426,000  

AerCap Ireland Capital DAC / AerCap Global Aviation Trust

  09/15/23   4.500    11,363,035 
 47,945,000   AerCap Ireland Capital DAC / AerCap Global Aviation Trust   02/15/24   3.150    46,736,026 
 21,450,000   AerCap Ireland Capital DAC / AerCap Global Aviation Trust   10/29/24   1.750    20,004,056 
 14,330,000   American Express Co.  11/05/27   5.850    15,156,721 
 33,230,000   Aviation Capital Group LLC1  12/15/24   5.500    32,910,929 
 33,535,000   Avolon Holdings Funding, Ltd.1    01/15/26   5.500    32,964,000 
 37,385,000   Bread Financial Holdings, Inc.1    12/15/24   4.750    33,926,887 
 16,045,000   Capital One Financial Corp.   05/11/23   2.600    15,949,932 
 45,285,000   Capital One Financial Corp. (SOFR + 0.690%)2  12/06/24   1.343    43,749,853 
 14,430,000   Credit Acceptance Corp.1    12/31/24   5.125    13,475,870 
 2,785,000   Credit Acceptance Corp.   03/15/26   6.625    2,548,275 
 48,895,000  

Drawbridge Special Opportunities Fund LP / Drawbridge Special Opportunities Finance1

  02/15/26   3.875    45,097,189 
 25,095,000   Strategic Credit Opportunities Partners LLC    04/01/26   4.250    22,721,490 
                 336,604,263 
     ELECTRIC (4.1%)             
 74,190,000  

Alexander Funding Trust1

  11/15/23   1.841    71,530,338 
 16,025,000   Constellation Energy Generation LLC    06/01/25   3.250    15,422,006 
 39,340,000   Duke Energy Corp. (SOFR + 0.250%)2    06/10/23   4.535    39,298,387 
 48,502,579   Duke Energy Progress NC Storm Funding LLC    07/01/30   1.295    43,563,236 
 61,690,000   Edison International (5-Year CMT Index + 4.698%)2,5      5.375    57,629,608 
 10,000,000   Edison International    03/15/23   2.950    9,969,318 
 25,345,000   New York State Electric & Gas Corp.    05/01/23   5.750    25,332,458 
 27,010,000   Southern Co. (SOFR Index + 0.370%)2    05/10/23   4.491    26,989,224 
 36,892,000   Vistra Operations Co. LLC1  09/01/26   5.500    35,930,697 
                 325,665,272 
     HEALTHCARE-PRODUCTS (0.5%)             
 45,636,000  

Thermo Fisher Scientific, Inc.

  10/18/23   0.797    44,341,521 
     HEALTHCARE-SERVICES (0.7%)             
 60,630,000  

Sutter Health

  08/15/25   1.321    55,462,027 
     INSURANCE (9.2%)             
 16,760,000  

Athene Global Funding1

  01/08/24   0.950    16,074,032 
 18,000,000   Athene Global Funding1  01/14/25   2.500    17,018,488 
 14,345,000   Athene Global Funding1  06/29/25   2.550    13,290,488 
 84,507,000   Corebridge Global Funding1  09/13/23   0.400    82,119,513 
 33,775,000   Equitable Financial Life Global Funding1    11/12/24   1.100    31,633,658 
 59,274,000   F&G Global Funding1    09/20/24   0.900    54,799,171 

 

 

BBH LIMITED DURATION FUND

 

PORTFOLIO OF INVESTMENTS (continued)

January 31, 2023 (unaudited)

 

Principal

Amount

     

Maturity

Date

 

Interest

Rate

 

 

Value

 
     CORPORATE BONDS (continued)             
     INSURANCE (continued)             
$64,675,000  

GA Global Funding Trust1

  12/08/23   1.250%  $62,434,381 
 50,000,000   GA Global Funding Trust (SOFR + 0.500%)1,2    09/13/24   4.791    48,732,000 
 44,790,000   Met Tower Global Funding1  09/14/26   1.250    39,601,974 
 73,445,000   New York Life Global Funding1    01/14/25   1.450    69,062,923 
 74,165,000   Northwestern Mutual Global Funding1    03/25/24   0.600    70,725,599 
 19,330,000   Pacific Life Global Funding II1  06/24/25   1.200    17,728,630 
 37,180,000   Pricoa Global Funding I1  12/06/24   1.150    34,696,376 
 47,175,000   Principal Life Global Funding II1    01/10/25   1.375    44,088,989 
 29,855,000   Protective Life Global Funding1    07/05/24   0.781    28,098,519 
 42,465,000   Protective Life Global Funding1    01/13/25   1.646    39,677,880 
 37,290,000   SiriusPoint, Ltd.1  11/01/26   4.600    31,931,427 
 31,750,000   United Insurance Holdings Corp.    12/15/27   7.250    15,875,000 
 4,205,000   Universal Insurance Holdings, Inc.   11/30/26   5.625    3,740,203 
 11,950,000   Vitality Re XIII, Ltd. (3-Month U.S. Treasury Bill +2.000%)1,2  01/06/26   6.608    11,292,750 
                 732,622,001 
     INVESTMENT COMPANIES (7.3%)             
 74,580,000  

Ares Capital Corp.

  02/10/23   3.500    74,544,094 
 41,185,000   BlackRock TCP Capital Corp.   08/23/24   3.900    39,341,956 
 46,600,000   Blackstone Private Credit Fund    09/15/24   1.750    43,530,302 
 30,840,000   Blackstone Private Credit Fund    11/22/24   2.350    28,870,527 
 24,645,000   Blackstone Secured Lending Fund   07/14/23   3.650    24,478,711 
 9,654,000   Blackstone Secured Lending Fund   01/15/26   3.625    9,002,247 
 18,375,000   Franklin BSP Lending Corp.1  12/15/24   4.850    17,461,440 
 26,475,000   Franklin BSP Lending Corp.   03/30/26   3.250    23,407,601 
 28,550,000   FS KKR Capital Corp.    07/15/24   4.625    28,005,855 
 18,859,000   FS KKR Capital Corp.    02/01/25   4.125    18,148,473 
 42,821,000   FS KKR Capital Corp.1  02/14/25   4.250    40,445,357 
 39,855,000   Golub Capital BDC, Inc.  04/15/24   3.375    38,666,879 
 49,650,000   Main Street Capital Corp.    05/01/24   5.200    49,356,273 
 33,980,000   Main Street Capital Corp.    07/14/26   3.000    29,931,920 
 31,201,000   Owl Rock Capital Corp.  04/15/24   5.250    30,976,325 
 10,000,000   Owl Rock Capital Corp.  03/30/25   4.000    9,590,860 
 27,070,000   Owl Rock Capital Corp. II1    11/26/24   4.625    25,925,514 
 18,000,000   OWL Rock Core Income Corp.   09/23/26   3.125    15,701,265 
 20,015,000   Owl Rock Technology Finance Corp.1    12/15/25   4.750    18,385,725 
 17,345,000   PennantPark Investment Corp.    11/01/26   4.000    14,862,079 
                 580,633,403 
 10,072,000  

OIL & GAS (0.1%)

Woodside Finance, Ltd.1

  09/15/26   3.700    9,618,689 
 16,986,000  

PIPELINES (0.6%)

EnLink Midstream Partners LP

  06/01/25   4.150    16,365,671 
 31,985,000   Northriver Midstream Finance LP1  02/15/26   5.625    30,705,600 
                 47,071,271 
   

REAL ESTATE INVESTMENT TRUSTS (1.0%)

             
 25,360,000   EF Holdco / EF Cayman Hold / Ellington Finance REIT Cayman / TRS / EF Cayman Non-MTM1  04/01/27   5.875    24,073,846 
 23,540,000   HAT Holdings I LLC / HAT Holdings II LLC1  06/15/26   3.375    20,891,750 

 

 

BBH LIMITED DURATION FUND

 

PORTFOLIO OF INVESTMENTS (continued)

January 31, 2023 (unaudited)

 

Principal

Amount 

  

 

 

 

Maturity

Date

 

Interest

Rate

 

 

Value

 
    

CORPORATE BONDS (continued)

REAL ESTATE INVESTMENT TRUSTS (continued)

             
$14,480,000   Realty Income Corp.  01/13/26   5.050%  $14,519,768 
 19,215,000   Scentre Group Trust 1 / Scentre Group Trust 21  01/28/26   3.625    18,374,243 
                 77,859,607 
 11,000,000  

RETAIL (1.0%)

Nordstrom, Inc.

  04/08/24   2.300    10,440,320 
 72,275,000   Walgreens Boots Alliance, Inc.  11/17/23   0.950    70,028,684 
                 80,469,004 
 33,545,000  

SEMICONDUCTORS (0.4%)

ams-OSRAM AG1

  07/31/25   7.000    32,288,161 
    

Total Corporate Bonds

(Cost $3,574,976,778)

           3,412,150,262 
                   
   

LOAN PARTICIPATIONS AND ASSIGNMENTS (13.0%)

             
 36,085,000   AAdvantage Loyality IP, Ltd. (3-Month USD-LIBOR + 4.750%)2  04/20/28   9.558    37,026,458 
 21,652,954   Allen Media LLC (3-Month CME Term SOFR + 5.500%)2  02/10/27   10.230    17,353,976 
 20,781,564   Allspring Buyer LLC (3-Month USD-LIBOR + 3.000%)2  11/01/28   7.750    20,699,269 
 6,688,238   Allspring Buyer LLC (3-Month CME Term SOFR + 3.750%)2  11/01/28   8.330    6,669,444 
 46,693,978   Asplundh Tree Expert LLC (1-Month USD-LIBOR + 1.750%)2  09/07/27   6.320    46,621,136 
 8,631,248  

Avantor Funding, Inc. Term B5 (1-Month USD-LIBOR + 2.250%)2

  11/08/27   6.820    8,621,581 
 20,775,495  

Avolon TLB Borrower 1 (US) LLC Term B3 (1-Month USD-LIBOR + 1.750%)2

  01/15/25   6.236    20,798,140 
 14,700,000  

Avolon TLB Borrower 1 (US) LLC Term B5 (1-Month USD-LIBOR + 2.250%)2

  12/01/27   6.736    14,715,729 
 14,455,000  

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   7.506    14,509,206 
 10,306,453  

BCP Renaissance Parent LLC Term B3 (1-Month CME Term SOFR + 3.500%)2

  11/02/26   8.061    10,276,976 
 35,883,508  

Buckeye Partners LP Term B1 (1-Month USD-LIBOR + 2.250%)2

  11/01/26   6.634    35,872,384 
 36,071,858  

Charter Communications Operating LLC Term B1 (1-Month USD-LIBOR + 1.750%)2

  04/30/25   6.320    35,995,386 
 24,491,572   Clarios Global LP (1-Month USD-LIBOR + 3.250%)2  04/30/26   7.820    24,373,522 
 19,800,000   Clean Harbors, Inc. (1-Month USD-LIBOR + 2.000%)2  10/08/28   6.570    19,819,800 
 25,891,030   Delos Finance S.a.r.l. (3-Month USD-LIBOR + 1.750%)2  10/06/23   6.480    25,881,709 
 21,414,067   Eastern Power LLC (3-Month USD-LIBOR + 3.750%)2  10/02/25   8.480    18,930,036 
 45,468,223   Elanco Animal Health, Inc. (1-Month USD-LIBOR + 1.750%)2  08/01/27   6.119    44,729,365 
 21,704,193  

Horizon Therapeutics USA, Inc. Term B2 (1-Month USD-LIBOR + 1.750%)2

   03/15/28   6.313    21,704,193 
 3,701,294   Icon Plc. (3-Month USD-LIBOR + 2.250%)2    07/03/28   7.000    3,699,925 
 14,855,648   Icon Plc. (3-Month USD-LIBOR + 2.250%)2    07/03/28   7.000    14,850,152 
 6,309,540   Iqvia, Inc. Term B2 (1-Month USD-LIBOR + 1.750%)2  01/17/25   6.320    6,297,741 

 

 

BBH LIMITED DURATION FUND

 

PORTFOLIO OF INVESTMENTS (continued)

January 31, 2023 (unaudited)

 

Principal

Amount

     Maturity
Date		 

Interest

Rate

  Value 
     LOAN PARTICIPATIONS AND ASSIGNMENTS (continued)             
$11,310,890   Iqvia, Inc. Term B3 (3-Month USD-LIBOR + 1.750%)2   06/11/25   6.480%  $11,293,245 
 31,396,383  

Iridium Satellite LLC Term B2 (1-Month CME Term SOFR + 2.500%)2

  11/04/26   7.161    31,373,150 
 32,913,207   Jazz Pharmaceuticals Plc. (1-Month USD-LIBOR + 3.500%)2  05/05/28   8.070    32,866,800 
 49,132,999   Lumen Technologies, Inc. Term A (1-Month USD-LIBOR + 2.000%)2  01/31/25   6.570    48,129,703 
 22,571,661   Lumen Technologies, Inc. Term B (1-Month USD-LIBOR + 2.250%)2  03/15/27   6.820    21,797,678 
 36,325,188   MPH Acquisition Holdings LLC (3-Month USD-LIBOR + 4.250%)2  09/01/28   8.985    32,596,044 
 38,305,663   NorthRiver Midstream Finance LP Term B (3-Month USD-LIBOR + 3.250%)2    10/01/25   8.004    38,243,990 
 50,000,000   NVA Holdings Parent LLC (1-Month USD-LIBOR + 1.750%)2,4  12/16/24   6.375    48,985,000 
 50,027,638   Organon & Co. (3-Month USD-LIBOR + 3.000%)2    06/02/28   7.750    49,875,553 
  15,000,000   Setanta Aircraft Leasing DAC (3-Month USD-LIBOR + 2.000%)2  11/05/28   6.730    14,967,900 
 42,750,000   SkyMiles IP, Ltd. (3-Month USD-LIBOR + 3.750%)2  10/20/27   8.558    44,166,307 
 11,518,855   SS&C Technologies Holdings, Inc. Term B3 (1-Month USD-LIBOR + 1.750%)2    04/16/25   6.320    11,490,058 
 9,381,382   SS&C Technologies Holdings, Inc. Term B4 (1-Month USD-LIBOR + 1.750%)2    04/16/25   6.320    9,357,928 
 7,827,580   SS&C Technologies Holdings, Inc. Term B5 (1-Month USD-LIBOR + 1.750%)2    04/16/25   6.320    7,808,011 
 17,355,525   UGI Energy Services LLC (1-Month USD-LIBOR + 3.500%)2  08/13/26   8.070    17,341,988 
 47,774,063   United AirLines, Inc. Term B (3-Month USD-LIBOR + 3.750%)2  04/21/28   8.568    47,667,049 
 20,705,180   Vistra Operations Co. LLC (fka Tex Operations Co. LLC) (1-Month USD-LIBOR + 1.750%)2    12/31/25   6.300    20,653,417 
 41,357,776   Wyndham Hotels & Resorts, Inc. Term B (1-Month USD-LIBOR + 1.750%)2  05/30/25   6.320    41,299,461 
 58,591,296   Wynn Resorts, Ltd. Term A (1-Month USD-LIBOR + 1.750%)2  09/20/24   6.324    57,419,470 
     Total Loan Participations and Assignments            
     (Cost $1,047,963,690)           1,036,778,880 
                   
     MUNICIPAL BONDS (1.7%)             
 31,000,000   Kentucky Public Energy Authority, Revenue Bonds (SOFR + 1.200%)2  08/01/52   4.081    29,577,915 
 10,710,000   Texas Municipal Gas Acquisition & Supply Corp. I, Revenue Bonds    12/15/26   6.250    11,382,281 
 99,360,000   Texas Municipal Gas Acquisition & Supply Corp. II, Revenue Bonds (3-Month USD-LIBOR + 0.690%)2  09/15/27   3.838    98,405,637 
     Total Municipal Bonds             
     (Cost $141,678,110)           139,365,833 
                   
     RESIDENTIAL MORTGAGE BACKED SECURITIES (0.8%)             
 11,745,866   Cascade Funding Mortgage Trust 2019-RM31,2,3  06/25/69   2.800    11,367,265 
 10,975,777   CFMT LLC 2021-HB51,2,3  02/25/31   0.801    10,607,534 

 

 

BBH LIMITED DURATION FUND

 

PORTFOLIO OF INVESTMENTS (continued)

January 31, 2023 (unaudited)

 

Principal

Amount

     

Maturity

Date

 

Interest

Rate

  Value 
    

RESIDENTIAL MORTGAGE BACKED SECURITIES (continued)

             
$2,210,968  

Pepper Residential Securities Trust No. 23A (1-Month USD-LIBOR + 0.950%)1,2

  08/18/60   5.415%  $ 2,206,400 
 1,281,630  

Pepper Residential Securities Trust No. 24A (1-Month USD-LIBOR + 0.900%)1,2

  11/18/60   5.365    1,278,764 
 3,298,733  

RESIMAC Premier 2019-2A (1-Month USD-LIBOR + 0.950%)1,2

  02/10/51   5.352    3,277,896 
 6,036,503  

RESIMAC Premier 2020-1A (1-Month USD-LIBOR + 1.050%)1,2

  02/07/52   5.445    6,017,141 
 9,087,657  

RESIMAC Premier 2021-1A (1-Month USD-LIBOR + 0.700%)1,2

  07/10/52   5.102    9,011,585 
 18,367,582   RMF Buyout Issuance Trust 2021-HB11,2,3  11/25/31   1.259    17,329,538 
 6,888,045    RMF Proprietary Issuance Trust 2019-11,2,3  10/25/63   2.750    6,359,451 
   

Total Residential Mortgage Backed Securities

(Cost $69,839,473)

         

 

67,455,574

 
                   
 15,622,000  

U.S. GOVERNMENT AGENCY OBLIGATIONS (2.9%)

Federal Farm Credit Banks Funding Corp.

  08/25/25   0.610    14,271,735 
 45,000,000   Federal Home Loan Bank Discount Notes6  02/01/23   0.000    45,000,000 
 12,000,000   Federal Home Loan Bank Discount Notes6  02/08/23   0.000    11,990,223 
 36,000,000   Federal Home Loan Mortgage Corp.  05/19/23   0.250    35,523,436 
 40,168,000   Federal Home Loan Mortgage Corp.   10/27/25   0.600    36,506,596 
 26,490,000   Federal Home Loan Mortgage Corp.   10/27/25   0.625    24,092,241 
 40,500,000   Federal Home Loan Mortgage Corp.   11/12/25   0.600    36,665,594 
 24,040,000   Federal Home Loan Mortgage Corp.   11/25/25   0.625    21,759,886 
 14,547  

Federal Home Loan Mortgage Corp. (FHLMC) Non Gold

Guaranteed (1-Year USD-LIBOR + 1.786%)2

  04/01/36   2.544    14,439 
 12,695  

Federal Home Loan Mortgage Corp. (FHLMC) Non Gold

Guaranteed (6-Month USD-LIBOR + 1.740%)2

  12/01/36   3.865    12,393 
 10,481  

Federal Home Loan Mortgage Corp. (FHLMC) Non Gold

Guaranteed (1-Year USD-LIBOR + 1.745%)2

  01/01/37   1.995    10,266 
 2,759,131   Federal National Mortgage Association (FNMA)   07/01/35   5.000    2,835,477 
 168,979   Federal National Mortgage Association (FNMA)   11/01/35   5.500    176,972 
 21,790  

Federal National Mortgage Association (FNMA) (1-Year USD-LIBOR + 1.955%)2

  07/01/36   4.205    22,451 
 32,508  

Federal National Mortgage Association (FNMA) (1-Year USD-LIBOR + 1.721%)2

  09/01/36   3.971    32,903 
 25,430  

Federal National Mortgage Association (FNMA) (1-Year USD-LIBOR + 1.755%)2

  01/01/37   2.733    25,200 
 160,227   Federal National Mortgage Association (FNMA)   08/01/37   5.500    167,938 
 1,949,085   Federal National Mortgage Association (FNMA)   08/01/37   5.500    2,034,157 
 751,255   Federal National Mortgage Association (FNMA)   06/01/40   6.500    806,478 
 4,414  

Government National Mortgage Association (GNMA) (1-Year CMT Index + 1.500%)2

  08/20/29   2.625    4,329 
    

Total U.S. Government Agency Obligations

(Cost $245,970,348)

           231,952,714 
                   
 103,000,000  

U.S. TREASURY BILLS (8.3%)

U.S. Treasury Bill6

  02/07/23   0.000    102,928,424 
 140,700,000   U.S. Treasury Bill6  02/23/23   0.000    140,323,808 

 

 

 

BBH LIMITED DURATION FUND

 

PORTFOLIO OF INVESTMENTS (continued)
January 31, 2023 (unaudited)

 

Principal
Amount		      Maturity
Date		  Interest
Rate		  Value 
     U.S. TREASURY BILLS (continued)             
$120,500,000   U.S. Treasury Bill6  03/14/23   0.000%  $119,886,478 
 155,000,000   U.S. Treasury Bill6  03/21/23   0.000    154,069,160 
 106,900,000   U.S. Treasury Bill6  03/28/23   0.000    106,164,275 
 36,000,000   U.S. Treasury Bill6  04/27/23   0.000    35,617,754 
 7,000,000   U.S. Treasury Bill6,7  07/06/23   0.000    6,863,433 
    

Total U.S. Treasury Bills

(Cost $665,846,454)

        665,853,332 
                   
TOTAL INVESTMENTS (Cost $8,256,937,997)8   99.6%  $7,970,323,664 
CASH AND OTHER ASSETS IN EXCESS OF LIABILITIES   0.4%   30,052,600 
NET ASSETS   100.0%  $8,000,376,264 

 

 

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, 2023 was $3,875,958,903 or 48.4% of net assets.
2Variable rate instrument. Interest rates change on specific dates (such as coupon or interest payment date). The yield shown represents the January 31, 2023 coupon or interest rate.
3This variable rate security is based on a predetermined schedule and the rate at period end also represents the reference rate at period end.
4Security that used significant unobservable inputs to determine fair value.
5Security is perpetual in nature and has no stated maturity date.
6Security issued with zero coupon. Income is recognized through accretion of discount.
7All or a portion of this security is held at the broker as collateral for open futures contracts.
8The aggregate cost for federal income tax purposes is $8,256,937,997, the aggregate gross unrealized appreciation is $11,799,850 and the aggregate gross unrealized depreciation is $303,667,403, resulting in net unrealized depreciation of $291,867,553.

 

Abbreviations:

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.

 

FINANCIAL FUTURES CONTRACTS

The following futures contracts were open at January 31, 2023:

 

Description  Number of
Contracts		   Expiration
Date		  Notional Amount   Market
Value		   Unrealized
Gain / (Loss)		 
Contracts to Sell:                       
U.S. Treasury 2-Year Notes   1,012   March 2023  $207,293,969   $208,116,219   $(822,250)
U.S. Treasury 5-Year Notes   3,356   March 2023   362,185,813    366,616,783    (4,430,970)
                     $(5,253,220)

 

 

 

 

BBH LIMITED DURATION FUND

 

PORTFOLIO OF INVESTMENTS (continued)
January 31, 2023 (unaudited)

 

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)
January 31, 2023 (unaudited)

 

The following table summarizes the valuation of the Fund’s investments by the above fair value hierarchy levels as of January 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
January 31, 2023		 
Asset Backed Securities  $–   $1,949,652,397   $11,210,409   $1,960,862,806 
Commercial Mortgage Backed Securities  –    455,904,263    –    455,904,263 
Corporate Bonds  –    3,412,150,262    –    3,412,150,262 
Loan Participations and Assignments  –    987,793,880    48,985,000    1,036,778,880 
Municipal Bonds  –    139,365,833    –    139,365,833 
Residential Mortgage Backed Securities  –    67,455,574    –    67,455,574 
U.S. Government Agency Obligations  –    231,952,714    –    231,952,714 
U.S. Treasury Bills  –    665,853,332    –    665,853,332 
Total Investment, at value  $–   $7,910,128,255   $60,195,409   $7,970,323,664 
Other Financial Instruments, at value                    
Financial Futures Contracts  $(5,253,220)  $–   $–   $(5,253,220)
Other Financial Instruments, at value  $(5,253,220)  $–   $–   $(5,253,220)

 

 

 

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, 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   (1,290,128)   -    -    (1,290,128)
Realized gains/(losses)   -    -    -    - 
Change in unrealized appreciation/(depreciation)   (406,354)   (5,756,275)   1,168,382    (4,994,247)
Amortization   -    -    31,618    31,618 
Transfers from Level 3   -    (15,875,000)   -    (15,875,000)
Transfers to Level 3   -    -    -    - 
Balance as of January 31, 2023  $11,210,409   $-   $48,985,000   $60,195,409 

 

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.