|
Brown Advisory Intermediate Income Fund
|
||||||||
|
Schedule of Investments
|
||||||||
|
September 30, 2023 (Unaudited)
|
||||||||
|
U.S. TREASURY SECURITIES - 32.3%
|
Principal Amount
|
Value
|
||||||
|
United States Treasury Note
|
$
|
–
|
||||||
|
2.63%, 12/31/2023
|
5,000,000
|
4,965,295
|
||||||
|
2.75%, 05/15/2025
|
3,320,000
|
3,194,333
|
||||||
|
2.25%, 03/31/2026
|
6,775,000
|
6,359,370
|
||||||
|
2.88%, 05/15/2028
|
5,395,000
|
5,000,491
|
||||||
|
3.25%, 06/30/2029
|
6,200,000
|
5,762,609
|
||||||
|
0.88%, 11/15/2030
|
2,735,000
|
2,128,385
|
||||||
|
1.88%, 02/15/2032
|
12,935,000
|
10,509,182
|
||||||
|
TOTAL U.S. TREASURY SECURITIES (Cost $41,535,046)
|
37,919,665
|
|||||||
|
MORTGAGE BACKED SECURITIES - 24.1%
|
Principal Amount
|
Value
|
||||||
|
Bayview MSR Opportunity Master Fund Trust
|
$
|
–
|
||||||
|
Series 2021-6, Class A5, 2.50%, 10/25/2051 (a)(b)
|
1,699,711
|
1,427,224
|
||||||
|
Bayview Opportunity Master Fund VI Trust
|
$
|
–
|
||||||
|
Series 2021-5, Class A5, 2.50%, 11/25/2051 (a)(b)
|
1,588,147
|
1,342,275
|
||||||
|
Federal Home Loan Mortgage Corp.
|
$
|
–
|
||||||
|
Series Q006, Class APT2, 2.76%, 09/25/2026 (a)
|
116,393
|
110,150
|
||||||
|
Pool WA3311, 2.21%, 04/01/2038
|
1,657,015
|
1,140,389
|
||||||
|
Series Q010, Class APT1, 4.92%, 04/25/2046 (a)
|
43,028
|
42,793
|
||||||
|
Series Q007, Class APT1, 5.71%, 10/25/2047 (a)
|
80,064
|
79,695
|
||||||
|
Series 5145, Class AB, 1.50%, 09/25/2049
|
438,732
|
319,431
|
||||||
|
Pool SD3234, 2.50%, 12/01/2051
|
1,679,774
|
1,334,074
|
||||||
|
Pool SD0913, 2.50%, 02/01/2052
|
1,488,287
|
1,188,650
|
||||||
|
Pool QE0622, 2.00%, 04/01/2052
|
809,558
|
624,885
|
||||||
|
Pool RA7927, 4.50%, 09/01/2052
|
1,328,360
|
1,221,704
|
||||||
|
Pool QF0492, 5.50%, 09/01/2052
|
937,769
|
910,424
|
||||||
|
Pool SD3475, 5.50%, 08/01/2053
|
1,272,368
|
1,231,711
|
||||||
|
Series 4634, Class MA, 4.50%, 11/15/2054
|
828,653
|
800,132
|
||||||
|
Federal National Mortgage Association
|
$
|
–
|
||||||
|
Pool BL1160, 3.64%, 01/01/2026
|
750,000
|
715,913
|
||||||
|
Pool 628837, 6.50%, 03/01/2032
|
8,078
|
8,123
|
||||||
|
Pool MA2998, 3.50%, 04/01/2032
|
332,973
|
310,686
|
||||||
|
Pool 663238, 5.50%, 09/01/2032
|
11,530
|
11,172
|
||||||
|
Pool 744805, 4.27% (RFUCCT6M + 1.52%), 11/01/2033
|
16,493
|
16,172
|
||||||
|
Pool 741373, 4.41% (1 Year CMT Rate + 2.28%), 12/01/2033
|
8,868
|
8,757
|
||||||
|
Pool 764342, 4.90% (RFUCCT6M + 1.52%), 02/01/2034
|
19,995
|
19,704
|
||||||
|
Pool FS3607, 2.50%, 02/01/2037
|
1,072,287
|
947,512
|
||||||
|
Series 2016-M10, Class AV1, 2.35%, 11/25/2045
|
271,942
|
260,132
|
||||||
|
Pool BQ3248, 2.00%, 11/01/2050
|
1,473,954
|
1,127,806
|
||||||
|
Pool BQ6307, 2.00%, 11/01/2050
|
1,350,597
|
1,033,397
|
||||||
|
Pool MA4208, 2.00%, 12/01/2050
|
752,032
|
576,373
|
||||||
|
Pool BR5634, 2.00%, 03/01/2051
|
809,897
|
622,144
|
||||||
|
Pool FM6555, 2.00%, 04/01/2051
|
1,055,882
|
808,502
|
||||||
|
Pool FS0031, 2.50%, 10/01/2051
|
1,361,122
|
1,083,006
|
||||||
|
Pool MA4492, 2.00%, 12/01/2051
|
1,156,189
|
882,592
|
||||||
|
Pool FS0348, 2.00%, 01/01/2052
|
1,511,237
|
1,166,317
|
||||||
|
Pool CB2548, 2.50%, 01/01/2052
|
1,343,026
|
1,072,911
|
||||||
|
Pool BW0025, 4.00%, 07/01/2052
|
677,597
|
605,629
|
||||||
|
FREMF Mortgage Trust
|
$
|
–
|
||||||
|
Series 2020-KF74, Class B, 7.58% (30 day avg SOFR US + 2.26%), 01/25/2027 (b)
|
189,445
|
180,450
|
||||||
|
Ginnie Mae I Pool
|
$
|
–
|
||||||
|
Pool 781186, 9.00%, 06/15/2030
|
8,505
|
8,496
|
||||||
|
Government National Mortgage Association
|
$
|
–
|
||||||
|
Series 2021-84, Class ED, 1.00%, 07/16/2060
|
2,449,280
|
1,687,965
|
||||||
|
JP Morgan Mortgage Trust
|
$
|
–
|
||||||
|
Series 2020-LTV2, Class A15, 3.00%, 11/25/2050 (b)
|
899,390
|
796,404
|
||||||
|
Series 2022-LTV2, Class A4, 3.50%, 09/25/2052 (b)
|
1,360,170
|
1,202,524
|
||||||
|
RCKT Mortgage Trust
|
$
|
–
|
||||||
|
Series 2022-2, Class A6, 2.50%, 02/25/2052 (a)(b)
|
1,709,758
|
1,415,854
|
||||||
|
TOTAL MORTGAGE BACKED SECURITIES (Cost $32,196,174)
|
28,342,078
|
|||||||
|
CORPORATE BONDS - 23.5%
|
Principal Amount
|
Value
|
||||||
|
AerCap Ireland Capital DAC / AerCap Global Aviation Trust
|
$
|
–
|
||||||
|
1.65%, 10/29/2024
|
1,345,000
|
1,279,904
|
||||||
|
American Tower Corp.
|
$
|
–
|
||||||
|
3.60%, 01/15/2028
|
686,000
|
623,131
|
||||||
|
Analog Devices, Inc.
|
$
|
–
|
||||||
|
1.70%, 10/01/2028
|
1,485,000
|
1,253,148
|
||||||
|
Aptiv PLC
|
$
|
–
|
||||||
|
3.25%, 03/01/2032
|
754,000
|
618,440
|
||||||
|
Bio-Rad Laboratories, Inc.
|
$
|
–
|
||||||
|
3.70%, 03/15/2032
|
1,450,000
|
1,221,276
|
||||||
|
Broadcom, Inc.
|
$
|
–
|
||||||
|
4.30%, 11/15/2032
|
1,375,000
|
1,200,041
|
||||||
|
Citigroup, Inc.
|
$
|
–
|
||||||
|
3.20%, 10/21/2026
|
1,349,000
|
1,246,093
|
||||||
|
Clorox Co.
|
$
|
–
|
||||||
|
4.40%, 05/01/2029
|
1,311,000
|
1,243,320
|
||||||
|
Comcast Corp.
|
$
|
–
|
||||||
|
3.40%, 04/01/2030
|
694,000
|
612,504
|
||||||
|
Consolidated Edison Co. of New York, Inc.
|
$
|
–
|
||||||
|
3.35%, 04/01/2030
|
1,211,000
|
1,064,254
|
||||||
|
Crown Castle, Inc.
|
$
|
–
|
||||||
|
3.30%, 07/01/2030
|
719,000
|
607,389
|
||||||
|
Dollar General Corp.
|
$
|
–
|
||||||
|
3.88%, 04/15/2027
|
1,315,000
|
1,232,871
|
||||||
|
Dollar Tree, Inc.
|
$
|
–
|
||||||
|
4.20%, 05/15/2028
|
1,296,000
|
1,205,825
|
||||||
|
Ferguson Finance PLC
|
$
|
–
|
||||||
|
4.65%, 04/20/2032 (b)
|
1,335,000
|
1,199,527
|
||||||
|
Fortis, Inc.
|
$
|
–
|
||||||
|
3.06%, 10/04/2026
|
680,000
|
623,589
|
||||||
|
Hasbro, Inc.
|
$
|
–
|
||||||
|
3.55%, 11/19/2026
|
1,325,000
|
1,234,965
|
||||||
|
JB Hunt Transport Services, Inc.
|
$
|
–
|
||||||
|
3.88%, 03/01/2026
|
644,000
|
618,902
|
||||||
|
Keysight Technologies, Inc.
|
$
|
–
|
||||||
|
4.60%, 04/06/2027
|
1,291,000
|
1,244,172
|
||||||
|
Marvell Technology, Inc.
|
$
|
–
|
||||||
|
5.75%, 02/15/2029
|
1,240,000
|
1,229,143
|
||||||
|
Morgan Stanley
|
$
|
–
|
||||||
|
3.13%, 07/27/2026
|
1,345,000
|
1,249,844
|
||||||
|
Revvity, Inc.
|
$
|
–
|
||||||
|
1.90%, 09/15/2028
|
764,000
|
634,628
|
||||||
|
Sysco Corp.
|
$
|
–
|
||||||
|
5.95%, 04/01/2030
|
604,000
|
609,283
|
||||||
|
Trimble, Inc.
|
$
|
–
|
||||||
|
6.10%, 03/15/2033
|
1,275,000
|
1,250,068
|
||||||
|
Veralto Corp.
|
$
|
–
|
||||||
|
5.45%, 09/18/2033 (b)
|
1,240,000
|
1,200,178
|
||||||
|
Verizon Communications, Inc.
|
$
|
–
|
||||||
|
2.10%, 03/22/2028
|
1,451,000
|
1,246,907
|
||||||
|
Wells Fargo & Co.
|
$
|
–
|
||||||
|
3.00%, 10/23/2026
|
1,354,000
|
1,244,107
|
||||||
|
Xylem, Inc.
|
$
|
–
|
||||||
|
1.95%, 01/30/2028
|
730,000
|
629,373
|
||||||
|
TOTAL CORPORATE BONDS (Cost $30,279,818)
|
27,622,882
|
|||||||
|
ASSET BACKED SECURITIES - 6.1%
|
Principal Amount
|
Value
|
||||||
|
American Homes 4 Rent Trust
|
$
|
–
|
||||||
|
Series 2015-SFR2, Class C, 4.69%, 10/17/2052 (b)
|
510,000
|
494,843
|
||||||
|
CarMax Auto Owner Trust
|
$
|
–
|
||||||
|
Series 2021-2, Class C, 1.34%, 02/16/2027
|
900,000
|
828,433
|
||||||
|
CNH Equipment Trust
|
$
|
–
|
||||||
|
Series 2023-B, Class A2, 5.90%, 02/16/2027
|
1,230,000
|
1,232,004
|
||||||
|
Dext ABS LLC
|
$
|
–
|
||||||
|
Series 2021-1, Class A, 1.12%, 02/15/2028 (b)
|
244,277
|
236,008
|
||||||
|
FHF Trust
|
$
|
–
|
||||||
|
Series 2021-2A, Class A, 0.83%, 12/15/2026 (b)
|
267,607
|
256,549
|
||||||
|
Series 2021-1A, Class A, 1.27%, 03/15/2027 (b)
|
61,306
|
59,244
|
||||||
|
FREED ABS TRUST
|
$
|
–
|
||||||
|
Series 2022-1FP, Class B, 1.91%, 03/19/2029 (b)
|
334,752
|
333,123
|
||||||
|
HPEFS Equipment Trust
|
$
|
–
|
||||||
|
Series 2021-2A, Class B, 0.61%, 09/20/2028 (b)
|
1,575,000
|
1,566,889
|
||||||
|
John Deere Owner Trust
|
$
|
–
|
||||||
|
Series 2023-C, Class A2, 5.76%, 08/17/2026
|
1,135,000
|
1,135,031
|
||||||
|
JPMorgan Chase Bank NA
|
$
|
–
|
||||||
|
Series 2021-3, Class B, 0.76%, 02/26/2029 (b)
|
347,121
|
332,010
|
||||||
|
MVW Owner Trust
|
$
|
–
|
||||||
|
Series 2017-1A, Class A, 2.42%, 12/20/2034 (b)
|
232,998
|
227,530
|
||||||
|
Tesla Auto Lease Trust
|
$
|
–
|
||||||
|
Series 2021-A, Class C, 1.18%, 03/20/2025 (b)
|
445,000
|
439,784
|
||||||
|
TOTAL ASSET BACKED SECURITIES (Cost $7,307,548)
|
7,141,448
|
|||||||
|
AFFILIATED MUTUAL FUNDS - 12.2%
|
Shares
|
Value
|
||||||
|
Brown Advisory Mortgage Securities Fund - Institutional Shares
|
1,654,617
|
14,378,624
|
||||||
|
TOTAL AFFILIATED MUTUAL FUNDS (Cost $16,952,513)
|
14,378,624
|
|||||||
|
SHORT-TERM INVESTMENTS - 1.2%
|
||||||||
|
Money Market Funds - 1.2%
|
||||||||
|
First American Government Obligations Fund - Class Z, 5.22%(c)
|
1,397,232
|
1,397,232
|
||||||
|
Total Money Market Funds
|
1,397,232
|
|||||||
|
TOTAL SHORT-TERM INVESTMENTS (Cost $1,397,232)
|
1,397,232
|
|||||||
|
TOTAL INVESTMENTS - 99.4% (Cost $129,668,331)
|
116,801,929
|
|||||||
|
Other Assets in Excess of Liabilities - 0.6%
|
726,572
|
|||||||
|
TOTAL NET ASSETS - 100.0%
|
$
|
117,528,501
|
||||||
|
Percentages are stated as a percent of net assets.
|
|
PLC - Public Limited Company
|
|
SOFR - Secured Overnight Financing Rate
|
|
(a)
|
Coupon rate is variable based on the weighted average coupon of the underlying collateral. To the extent the weighted average coupon of the
underlying assets which comprise the collateral increases or decreases, the coupon rate of this security will increase or decrease correspondingly. The rate disclosed is as of September 30, 2023.
|
|
(b)
|
Security is exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in
transactions exempt from registration to qualified institutional investors.
|
|
(c)
|
The rate shown represents the 7-day effective yield as of September 30, 2023.
|
|
Schedule of Open Futures Contracts
|
|||||||||||||||||
|
September 30, 2023 (Unaudited)
|
|||||||||||||||||
|
Description
|
Contracts
Purchased
|
Expiration
Date
|
Notional Amount
|
Notional Value
|
Unrealized
Appreciation
(Depreciation)
|
||||||||||||
|
U.S. Treasury 5 Year Notes
|
66
|
12/29/2023
|
$
|
7,017,763
|
$
|
6,953,718
|
$
|
(64,045
|
)
|
||||||||
|
U.S. Treasury 2 Year Notes
|
78
|
12/29/2023
|
15,868,548
|
15,811,453
|
(57,095
|
)
|
|||||||||||
|
U.S. Treasury Long Bonds
|
7
|
12/19/2023
|
841,002
|
796,469
|
(44,533
|
)
|
|||||||||||
|
$
|
23,727,313
|
$
|
23,561,640
|
$
|
(165,673
|
)
|
|||||||||||
|
Description
|
Contracts
Sold
|
Expiration
Date
|
Notional Amount
|
Notional Value |
Unrealized
Appreciation
(Depreciation)
|
||||||||||||
|
10 Year U.S. Ultra Treasury Notes
|
(48)
|
|
12/19/2023
|
$
|
(5,510,686
|
)
|
$
|
(5,355,000
|
)
|
$
|
155,686
|
||||||
|
U.S. Treasury 10 Year Notes
|
(26)
|
|
12/19/2023
|
(2,862,380
|
)
|
(2,809,625
|
)
|
52,755
|
|||||||||
|
U.S. Treasury Ultra Bonds
|
(1)
|
|
12/19/2023
|
(127,779
|
)
|
(118,688
|
)
|
9,091
|
|||||||||
|
$
|
8,500,845
|
$
|
8,283,313
|
$
|
217,532
|
||||||||||||
|
Total Unrealized Appreciation (Depreciation)
|
$
|
51,859
|
|||||||||||||||
|
Level 1
|
Level 2
|
Level 3
|
|||||||||
|
Fixed Income Securities:
|
|||||||||||
|
U.S. Treasury Securities
|
$
|
–
|
$
|
37,919,665
|
$
|
–
|
|||||
|
Mortgage Backed Securities
|
–
|
28,342,078
|
–
|
||||||||
|
Corporate Bonds
|
–
|
27,622,882
|
–
|
||||||||
|
Asset Backed Securities
|
–
|
7,141,448
|
–
|
||||||||
|
Total Fixed Income Securities
|
–
|
101,026,073
|
–
|
||||||||
|
Investment Companies:
|
|||||||||||
|
Affiliated Mutual Funds
|
14,378,624
|
–
|
–
|
||||||||
|
Total Investment Companies
|
14,378,624
|
–
|
–
|
||||||||
|
Short-Term Investments:
|
–
|
–
|
–
|
||||||||
|
Money Market Funds
|
1,397,232
|
–
|
–
|
||||||||
|
Total Short-Term Investments
|
1,397,232
|
–
|
–
|
||||||||
|
Total Investments in Securities
|
$
|
15,775,856
|
$
|
101,026,073
|
$
|
–
|
|||||
|
Investments in Affiliates
|
|
September 30, 2023 (Unaudited)
|
|
Beginning
Market
Value
06/30/2023
|
Purchases
|
Sales
|
Net
Realized
Gains
(Losses)
|
Change In
Unrealized
Appreciation
(Depreciation)
|
Ending
Market
Value
09/30/2023
|
Dividend
Income
|
Capital
Gain
Distributions
|
Shares
Owned at
09/30/2023
|
|
$15,057,017
|
$ -
|
$ -
|
$-
|
$(678,393)
|
$14,378,624
|
$149,462
|
$ -
|
1,654,617
|