Brown Advisory Total Return Fund
|
||||||||||||
Schedule of Investments
|
||||||||||||
March 31, 2023 (Unaudited)
|
||||||||||||
Par Value
|
Security Description
|
Rate
|
Maturity
|
Value $
|
||||||||
Mortgage Backed Securities - 30.6%
|
||||||||||||
4,378,426
|
Bayview MSR Opportunity Master Fund Trust INV5, Series 2021-5 A2#^
|
2.50
|
%
|
11/25/2051
|
3,564,281
|
|||||||
4,568,356
|
Bayview MSR Opportunity Master Fund Trust INV6, Series 2021-6 A1#^
|
3.00
|
%
|
10/25/2051
|
3,879,230
|
|||||||
4,000,000
|
DBGS Mortgage Trust, Series 2018-C1 7EA^
|
4.64
|
%
|
10/17/2051
|
3,830,560
|
|||||||
638,186
|
FHLMC PC, Pool# G3-1063
|
3.50
|
%
|
11/01/2037
|
616,467
|
|||||||
1,830,698
|
FHLMC PC, Pool# QD-7054
|
3.00
|
%
|
02/01/2052
|
1,646,657
|
|||||||
1,893,139
|
FHLMC PC, Pool# RA-6699
|
3.50
|
%
|
02/01/2052
|
1,762,459
|
|||||||
1,958,072
|
FHLMC PC, Pool# QD-5888
|
3.50
|
%
|
02/01/2052
|
1,822,924
|
|||||||
1,869,768
|
FHLMC PC, Pool# QD-7450
|
3.00
|
%
|
03/01/2052
|
1,684,809
|
|||||||
167,934
|
FHLMC PC, Pool# QE-0380
|
2.50
|
%
|
04/01/2052
|
145,815
|
|||||||
314,823
|
FHLMC REMIC, Series 4094 NI~
|
2.50
|
%
|
03/15/2027
|
5,295
|
|||||||
1,608,247
|
FHLMC REMIC, Series 4107 LI~
|
3.00
|
%
|
08/15/2027
|
120,870
|
|||||||
1,224,123
|
FHLMC REMIC, Series 4143 IA~
|
3.50
|
%
|
09/15/2042
|
106,395
|
|||||||
104,720
|
FHLMC SCRTT, Series 2017-1 M1#^
|
4.00
|
%
|
01/25/2056
|
103,293
|
|||||||
8,774,807
|
FHMS, Series K-C02 X1#~
|
0.38
|
%
|
03/25/2024
|
26,751
|
|||||||
4,169,545
|
FHMS, Series K-038 X1#~
|
1.08
|
%
|
03/25/2024
|
29,537
|
|||||||
60,503,752
|
FHMS, Series K-047 X1#~
|
0.10
|
%
|
05/25/2025
|
151,538
|
|||||||
7,137,372
|
FHMS, Series Q-013 XPT1#~
|
1.66
|
%
|
05/25/2025
|
159,058
|
|||||||
641,922
|
FHMS, Series K-058 X1#~
|
0.91
|
%
|
08/25/2026
|
16,364
|
|||||||
5,519,988
|
FHMS, Series Q-013 XPT2#~
|
1.81
|
%
|
05/25/2027
|
152,952
|
|||||||
1,262,749
|
FHMS, Series K-W03 X1#~
|
0.83
|
%
|
06/25/2027
|
30,050
|
|||||||
4,942,890
|
FHMS, Series K-087 X1#~
|
0.36
|
%
|
12/25/2028
|
90,123
|
|||||||
3,975,637
|
FHMS, Series K-092 X1#~
|
0.71
|
%
|
04/25/2029
|
142,242
|
|||||||
3,522,992
|
FHMS, Series K-094 X1#~
|
0.88
|
%
|
06/25/2029
|
157,191
|
|||||||
4,485,584
|
FHMS, Series K-103 X1#~
|
0.64
|
%
|
11/25/2029
|
156,274
|
|||||||
86,818
|
FHMS, Series Q-010 APT1#
|
4.34
|
%
|
04/25/2046
|
86,432
|
|||||||
452,661
|
FNMA, Pool# MA2897
|
3.00
|
%
|
02/01/2037
|
424,734
|
|||||||
248,271
|
FNMA, Pool# 467095
|
5.90
|
%
|
01/01/2041
|
266,125
|
|||||||
163,554
|
FNMA, Pool# 469130
|
4.87
|
%
|
10/01/2041
|
160,024
|
|||||||
98,165
|
FNMA, Pool# BH7686
|
4.50
|
%
|
12/01/2047
|
97,501
|
|||||||
71,730
|
FNMA, Pool# BK5105
|
5.50
|
%
|
05/01/2048
|
73,228
|
|||||||
107,210
|
FNMA, Pool# BK8032
|
5.50
|
%
|
06/01/2048
|
109,876
|
|||||||
73,264
|
FNMA, Pool# BN4936
|
5.50
|
%
|
12/01/2048
|
74,224
|
|||||||
73,346
|
FNMA, Pool# BN4921
|
5.50
|
%
|
01/01/2049
|
74,272
|
|||||||
2,869,702
|
FNMA, Pool# FM8754
|
3.00
|
%
|
09/01/2051
|
2,599,201
|
|||||||
640,332
|
FNMA, Pool# FS1480
|
2.50
|
%
|
11/01/2051
|
555,650
|
|||||||
1,111,838
|
FNMA, Pool# FS0731
|
2.00
|
%
|
02/01/2052
|
928,181
|
|||||||
1,839,707
|
FNMA, Pool# CB2909
|
3.50
|
%
|
02/01/2052
|
1,712,292
|
|||||||
1,845,027
|
FNMA, Pool# BV4532
|
3.50
|
%
|
03/01/2052
|
1,717,195
|
|||||||
19,258,979
|
FNMA REMIC Trust, Series 2019-M23 X3#~
|
0.32
|
%
|
10/27/2031
|
338,186
|
|||||||
5,321,562
|
FNMA REMIC Trust, Series 2021-95 WI#~
|
0.00
|
%
|
05/25/2035
|
144,212
|
|||||||
200,755
|
FNMA REMIC Trust, Series 2012-65 HJ
|
5.00
|
%
|
07/25/2040
|
204,637
|
|||||||
3,103,501
|
FNMA REMIC Trust, Series 2021-47 IO~
|
2.50
|
%
|
07/25/2051
|
425,814
|
|||||||
25,660,000
|
FNMA, 2.00%, Due TBA April
|
2.00
|
%
|
04/15/2053
|
21,215,904
|
|||||||
15,145,000
|
FNMA, 2.50%, Due TBA April
|
2.50
|
%
|
04/15/2053
|
13,054,872
|
|||||||
900,000
|
FNMA, 3.00%, Due TBA April
|
3.00
|
%
|
04/15/2053
|
807,604
|
|||||||
6,350,000
|
FNMA, 3.50%, Due TBA April
|
3.50
|
%
|
04/15/2053
|
5,900,787
|
|||||||
24,700,000
|
FNMA, 4.00%, Due TBA April
|
4.00
|
%
|
04/15/2053
|
23,625,258
|
|||||||
7,200,000
|
FNMA, 4.50%, Due TBA April
|
4.50
|
%
|
04/15/2053
|
7,055,092
|
|||||||
2,500,000
|
GNMA, 2.50%, Due TBA April
|
2.50
|
%
|
04/15/2053
|
2,200,293
|
|||||||
4,006,304
|
GNMA, Pool# CM0214H (1 Year CMT Rate + 2.09%)
|
6.21
|
%
|
02/20/2072
|
4,241,322
|
|||||||
3,669,262
|
GNMA, Pool# CM0231H (1 Year CMT Rate + 2.12%)
|
6.24
|
%
|
02/20/2072
|
3,889,519
|
|||||||
248,652
|
GNMA, Pool# 723334X
|
5.00
|
%
|
09/15/2039
|
256,635
|
|||||||
2,014,508
|
GNMA REMIC Trust, Series 2017-167 SE (1 Month LIBOR USD + 6.20%)~
|
1.44
|
%
|
11/20/2047
|
245,027
|
|||||||
918,714
|
GNMA REMIC Trust, Series 2022-009 CD
|
2.00
|
%
|
01/20/2052
|
760,189
|
|||||||
374,601
|
GNMA REMIC Trust, Series 2014-45 B1#~
|
0.55
|
%
|
07/16/2054
|
4,150
|
|||||||
232,731
|
GNMA REMIC Trust, Series 2014-135 I0#~
|
0.43
|
%
|
01/16/2056
|
4,486
|
|||||||
236,007
|
GNMA REMIC Trust, Series 2015-172 I0#~
|
0.61
|
%
|
03/16/2057
|
5,107
|
|||||||
445,113
|
GNMA REMIC Trust, Series 2016-40 I0#~
|
0.62
|
%
|
07/16/2057
|
10,383
|
|||||||
299,251
|
GNMA REMIC Trust, Series 2016-56 I0#~
|
1.00
|
%
|
11/16/2057
|
12,412
|
|||||||
453,027
|
GNMA REMIC Trust, Series 2016-98 I0#~
|
0.86
|
%
|
05/16/2058
|
18,125
|
|||||||
4,534,689
|
GNMA REMIC Trust, Series 2021-084 ED
|
1.00
|
%
|
07/16/2060
|
3,520,127
|
|||||||
1,863,751
|
GS Mortgage-Backed Securities Trust, Series 2022-LTV1 A8# ^
|
3.00
|
%
|
06/25/2052
|
1,654,331
|
|||||||
1,912,476
|
JP Morgan Mortgage Trust, Series 2022-LTV2 A3# ^
|
3.50
|
%
|
09/25/2052
|
1,694,529
|
|||||||
2,045,293
|
RCKT Mortgage Trust, Series 2022-1 A5#^
|
2.50
|
%
|
01/25/2052
|
1,774,091
|
|||||||
Total Mortgage Backed Securities (Cost $125,432,950)
|
122,343,162
|
|||||||||||
Corporate Bonds & Notes - 18.3%
|
||||||||||||
4,695,000
|
AerCap Ireland Capital DAC / AerCap Global Aviation Trust
|
3.00
|
%
|
10/29/2028
|
4,102,260
|
|||||||
3,990,000
|
Alexandria Real Estate Equities, Inc.
|
4.90
|
%
|
12/15/2030
|
3,884,707
|
|||||||
4,630,000
|
Aptiv PLC
|
3.25
|
%
|
03/01/2032
|
4,036,715
|
|||||||
3,990,000
|
AT&T, Inc.
|
4.35
|
%
|
03/01/2029
|
3,908,332
|
|||||||
3,905,000
|
CaixaBank S.A. (Fixed until 01/18/2028, then SOFR + 2.70%)^
|
6.21
|
%
|
01/18/2029
|
3,932,468
|
|||||||
4,475,000
|
Crown Castle, Inc.
|
3.30
|
%
|
07/01/2030
|
4,037,959
|
|||||||
4,335,000
|
Equinix, Inc.
|
3.20
|
%
|
11/18/2029
|
3,872,637
|
|||||||
2,535,000
|
Ford Motor Co.
|
3.25
|
%
|
02/12/2032
|
1,995,974
|
|||||||
4,325,000
|
Fortis, Inc.
|
3.06
|
%
|
10/04/2026
|
4,062,455
|
|||||||
3,984,000
|
Marvell Technology, Inc.
|
4.88
|
%
|
06/22/2028
|
3,916,660
|
|||||||
3,985,000
|
NatWest Group PLC (Fixed until 03/22/2024, then 3 Month LIBOR USD + 1.76%)
|
4.27
|
%
|
03/22/2025
|
3,912,321
|
|||||||
4,177,000
|
NXP BV
|
3.88
|
%
|
06/18/2026
|
4,036,220
|
|||||||
1,250,000
|
Oracle Corp.
|
6.15
|
%
|
11/09/2029
|
1,332,001
|
|||||||
2,658,000
|
Oracle Corp.
|
4.65
|
%
|
05/06/2030
|
2,588,977
|
|||||||
4,990,000
|
PerkinElmer, Inc.
|
2.25
|
%
|
09/15/2031
|
3,998,967
|
|||||||
4,890,000
|
Physicians Realty L.P.
|
2.63
|
%
|
11/01/2031
|
3,857,498
|
|||||||
4,445,000
|
Societe Generale S.A. (Fixed until 01/19/2027, then 1 Year CMT Rate + 1.30%)^
|
2.80
|
%
|
01/19/2028
|
3,929,078
|
|||||||
3,760,000
|
Sprint LLC
|
7.63
|
%
|
02/15/2025
|
3,902,376
|
|||||||
3,825,000
|
Trimble, Inc.
|
6.10
|
%
|
03/15/2033
|
3,865,711
|
|||||||
4,955,000
|
VMware, Inc.
|
2.20
|
%
|
08/15/2031
|
3,925,889
|
|||||||
Total Corporate Bonds & Notes (Cost $78,220,423)
|
73,099,205
|
|||||||||||
Asset Backed Securities - 4.3%
|
||||||||||||
540,000
|
American Homes 4 Rent, Series 2014-SFR2 D^
|
5.15
|
%
|
10/17/2036
|
534,241
|
|||||||
520,000
|
American Homes 4 Rent, Series 2015-SFR1 D^
|
4.41
|
%
|
04/18/2052
|
510,581
|
|||||||
1,000,000
|
AmeriCredit Automobile Receivables Trust, Series 2020-2 C
|
1.48
|
%
|
02/18/2026
|
959,603
|
|||||||
2,255,000
|
CarMax Auto Owner Trust, Series 2021-2 C
|
1.34
|
%
|
02/16/2027
|
2,083,127
|
|||||||
500,000
|
CNH Equipment Trust, Series 2020-A A4
|
1.51
|
%
|
04/15/2027
|
484,759
|
|||||||
147,569
|
Dext ABS LLC, Series 2020-1 A^
|
1.46
|
%
|
02/16/2027
|
146,165
|
|||||||
952,038
|
Dext ABS LLC, Series 2021-1 A^
|
1.12
|
%
|
02/15/2028
|
915,902
|
|||||||
540,000
|
Dext ABS LLC, Series 2021-1 B^
|
1.76
|
%
|
02/15/2028
|
491,414
|
|||||||
768,279
|
Drive Auto Receivables Trust, Series 2019-3 D
|
3.18
|
%
|
10/15/2026
|
763,337
|
|||||||
1,238,608
|
Drive Auto Receivables Trust, Series 2020-1 D
|
2.70
|
%
|
05/15/2027
|
1,217,148
|
|||||||
564,620
|
FHF Trust, Series 2021-1A A^
|
1.27
|
%
|
03/15/2027
|
542,435
|
|||||||
1,000,000
|
GM Financial Automobile Leasing Trust, Series 2021-2 C
|
1.01
|
%
|
05/20/2025
|
967,846
|
|||||||
772,494
|
HPEFS Equipment Trust, Series 2020-1A D^
|
2.26
|
%
|
02/20/2030
|
770,984
|
|||||||
1,380,000
|
HPEFS Equipment Trust, Series 2021-1 TR^
|
1.03
|
%
|
03/20/2031
|
1,320,679
|
|||||||
1,364,270
|
JPMorgan Chase Bank NA - CACLN, Series 2021-3 B^
|
0.76
|
%
|
02/25/2029
|
1,294,749
|
|||||||
802,880
|
MVW Owner Trust, Series 2017-1A A^
|
2.42
|
%
|
12/20/2034
|
790,966
|
|||||||
326,214
|
Newtek Small Business Loan Trust, Series 2018-1 A (PRIME + -0.55%)^
|
7.45
|
%
|
02/25/2044
|
321,965
|
|||||||
640,000
|
Oportun Funding XIV LLC, Series 2021-A A^
|
1.21
|
%
|
03/08/2028
|
606,102
|
|||||||
218,954
|
Santander Drive Auto Receivables Trust, Series 2019-3 D
|
2.68
|
%
|
10/15/2025
|
217,919
|
|||||||
2,180,000
|
Tesla Auto Lease Trust, Series 2021-A C^
|
1.18
|
%
|
03/20/2025
|
2,099,673
|
|||||||
Total Asset Backed Securities (Cost $17,765,981)
|
17,039,595
|
|||||||||||
Municipal Bonds - 0.3%
|
||||||||||||
230,000
|
American Municipal Power, Inc.
|
6.05
|
%
|
02/15/2043
|
254,147
|
|||||||
1,200,000
|
Health Care Authority for Baptist Health
|
5.50
|
%
|
11/15/2043
|
1,135,498
|
|||||||
Total Municipal Bonds (Cost $1,521,928)
|
1,389,645
|
|||||||||||
U.S. Treasury Notes - 38.9%
|
||||||||||||
21,490,000
|
United States Treasury Note
|
2.75
|
%
|
04/30/2023
|
21,457,060
|
|||||||
31,580,000
|
United States Treasury Note
|
1.25
|
%
|
07/31/2023
|
31,215,362
|
|||||||
2,809,000
|
United States Treasury Note
|
2.50
|
%
|
04/30/2024
|
2,747,258
|
|||||||
4,040,000
|
United States Treasury Note
|
1.75
|
%
|
07/31/2024
|
3,903,019
|
|||||||
8,040,000
|
United States Treasury Note
|
2.63
|
%
|
04/15/2025
|
7,815,445
|
|||||||
8,389,500
|
United States Treasury Note
|
2.75
|
%
|
05/15/2025
|
8,171,734
|
|||||||
5,815,000
|
United States Treasury Note
|
4.25
|
%
|
10/15/2025
|
5,861,111
|
|||||||
14,570,000
|
United States Treasury Note
|
4.00
|
%
|
12/15/2025
|
14,628,906
|
|||||||
3,850,000
|
United States Treasury Note
|
4.00
|
%
|
02/15/2026
|
3,866,393
|
|||||||
18,275,000
|
United States Treasury Note
|
2.75
|
%
|
04/30/2027
|
17,617,885
|
|||||||
2,365,000
|
United States Treasury Note
|
3.25
|
%
|
06/30/2027
|
2,324,813
|
|||||||
1,515,000
|
United States Treasury Note
|
3.88
|
%
|
12/31/2027
|
1,531,245
|
|||||||
12,185,000
|
United States Treasury Note
|
2.88
|
%
|
05/15/2028
|
11,757,335
|
|||||||
3,800,000
|
United States Treasury Note
|
2.88
|
%
|
04/30/2029
|
3,649,410
|
|||||||
7,115,000
|
United States Treasury Note
|
0.88
|
%
|
11/15/2030
|
5,892,248
|
|||||||
14,990,000
|
United States Treasury Note
|
1.88
|
%
|
02/15/2032
|
13,160,166
|
|||||||
Total U.S. Treasury Notes (Cost $156,884,390)
|
155,599,390
|
|||||||||||
Shares/Par Value
|
||||||||||||
Short-Term Investments - 24.3%
|
||||||||||||
Money Market Funds - 19.1%
|
||||||||||||
76,658,346
|
First American Government Obligations Fund - Class Z, 4.61%#
|
76,658,346
|
||||||||||
U.S. Treasury Bill - 5.2%
|
||||||||||||
1,800,000
|
United States Treasury Bill, 04/13/2023, 4.54%†
|
1,797,693
|
||||||||||
19,165,000
|
United States Treasury Bill, 04/20/2023, 4.57%+
|
19,122,985
|
||||||||||
20,920,678
|
||||||||||||
Total Short-Term Investments (Cost $97,574,869)
|
97,579,024
|
|||||||||||
Total Investments - 116.7% (Cost $477,400,541)
|
467,050,021
|
|||||||||||
Liabilities in Excess of Other Assets - (16.7)%
|
(66,723,480
|
)
|
||||||||||
NET ASSETS - 100.0%
|
$
|
400,326,541
|
# Variable rate security. Rate disclosed is as of the date of this report.
|
||||||||
^ Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions
exempt from registration, normally to qualified institutional buyers.
|
||||||||
~ Interest only security
|
||||||||
* Annualized seven-day yield as of the date of this report.
|
||||||||
† This security is pledged as collateral in connection with open futures contracts. Rate disclosed is yield to maturity as of the date
of this report.
|
||||||||
+ Zero coupon bond. Rate disclosed is calculated yield to maturity as of the date of this report.
|
||||||||
Various inputs may be used to determine the value of the Fund's investments. These inputs are summarized in three broad levels. The
inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
|
||||||||
Level 1 - Quoted prices in active markets for identical securities.
|
||||||||
Level 2 - Evaluated price based on other significant observable inputs (including quoted prices for similar securities, interest
rates, prepayment spreads, credit
|
||||||||
Level 3 - Significant unobservable inputs (including the Fund's own assumptions in determining the fair value of investments).
|
||||||||
As of the date of this report, the Fund's investments in money market funds, with a total market value of $76,658,346 were categorized
as Level 1, while the Fund's investments in corporate bonds & notes, mortgage backed securities, asset backed securities, U.S. Treasury Notes and Bills, and municipal bonds, with a total market value of $390,391,675 were categorized as
Level 2.
|
Futures Contracts - Long
|
|||||||||||||||||
The Brown Advisory Total Return Fund had the following open long futures contracts as of the date of this report:
|
|||||||||||||||||
Issue
|
Contracts
|
Expiration Date
|
Notional Amount
|
Notional Value
|
Unrealized Appreciation (Depreciation)
|
||||||||||||
Canadian 10-Year Bond Futures*
|
53
|
06/21/2023
|
$
|
4,776,975
|
$
|
4,947,451
|
$
|
170,476
|
|||||||||
U.S. Treasury 5-Year Note Futures
|
376
|
06/30/2023
|
41,364,683
|
41,174,938
|
(189,745)
|
|
|||||||||||
U.S. Treasury Long Bond Futures
|
61
|
06/21/2023
|
7,684,724
|
8,000,531
|
315,807
|
||||||||||||
U.S. Treasury 10-Year Ultra Futures
|
91
|
06/21/2023
|
10,579,164
|
11,023,796
|
444,632
|
||||||||||||
U.S. Treasury 10-Year Ultra Bond Futures
|
302
|
06/21/2023
|
41,006,090
|
42,619,750
|
1,613,660
|
||||||||||||
Australian 10-Year Bond Futures^
|
59
|
06/15/2023
|
4,705,513
|
4,846,456
|
140,943
|
||||||||||||
$
|
110,117,149
|
$
|
112,612,922
|
$
|
2,495,773
|
||||||||||||
|
|||||||||||||||||
Futures Contracts - Short
|
|||||||||||||||||
The Brown Advisory Total Return Fund had the following open short futures contracts as of the date of this report:
|
|||||||||||||||||
Issue
|
Contracts
|
Expiration Date
|
Notional Amount
|
Notional Value
|
Unrealized Appreciation (Depreciation)
|
||||||||||||
U.S. Treasury 2-Year Note Futures
|
(96)
|
06/30/2023
|
$
|
(19,764,134)
|
$
|
(19,819,500
|
)
|
$
|
(55,366)
|
||||||||
U.S. Treasury 10-Year Note Futures
|
(82)
|
06/21/2023
|
(9,132,331)
|
(9,423,594
|
)
|
(291,263)
|
|||||||||||
$
|
(28,896,465)
|
$
|
(29,243,094
|
)
|
$
|
(346,629)
|
|||||||||||
There is no variation margin due to or from the Fund as of the date of this report. The Fund's investments in futures contracts were
valued using Level 1 inputs as of the date of this report.
|
|||||||||||||||||
*These futures contracts are denominated in Canadian Dollars. Notional Amount, Notional Value, and Unrealized Appreciation
(Depreciation) have been translated into U.S. Dollars as of the date of this report.
|
|||||||||||||||||
^These futures contracts are denominated in Australian Dollars. Notional Amount, Notional Value, and Unrealized Appreciation
(Depreciation) have been translated into U.S. Dollars as of the date of this report.
|
|||||||||||||||||