UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number: 811-09997
Baird Funds, Inc.
(Exact name of registrant as specified in charter)
777 East Wisconsin Avenue
Milwaukee, WI 53202
(Address of principal executive offices) (Zip code)
Andrew D. Ketter
Robert W. Baird & Co. Incorporated
777 East Wisconsin Avenue
Milwaukee, WI 53202
(Name and address of agent for service)
1-866-442-2473
Registrant's telephone number, including area code
Date of fiscal year end: December 31, 2013
Date of reporting period: June 30, 2013
Item 1. Reports to Stockholders.
Semi-Annual Report –
Baird Funds
June 30, 2013
Baird Short-Term Bond Fund
Baird Intermediate Bond Fund
Baird Intermediate Municipal Bond Fund
Baird Aggregate Bond Fund
Baird Core Plus Bond Fund
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Table of Contents
Baird Short-Term Bond Fund | 3 |
Baird Intermediate Bond Fund | 12 |
Baird Intermediate Municipal Bond Fund | 21 |
Baird Aggregate Bond Fund | 32 |
Baird Core Plus Bond Fund | 41 |
Additional Information on Fund Expenses | 50 |
Statements of Assets and Liabilities | 52 |
Statements of Operations | 54 |
Statements of Changes in Net Assets | 55 |
Financial Highlights | 60 |
Notes to the Financial Statements | 70 |
Additional Information | 81 |
This report has been prepared for shareholders and may be distributed to others only if preceded or accompanied by a current prospectus.
Cautionary Note on Analyses, Opinions and Outlooks: In this report we offer analyses and opinions on the performance of individual securities, companies, industries, sectors, markets, interest rates and governmental policies, including predictions, forecasts and outlooks regarding possible future events. These can generally be identified as such because the context of the statements may include such words as “believe,” “should,” “will,” “expects,” “anticipates,” “hopes” and words of similar effect. These statements reflect the portfolio managers’ good faith beliefs and judgments and involve risks and uncertainties, including the risk that the portfolio managers’ analyses, opinions and outlooks are or will prove to be inaccurate. It is inherently difficult to correctly assess and explain the performance of particular securities, sectors, markets, interest rate movements, governmental actions or general economic trends and conditions, and many unforeseen factors contribute to the performance of Baird Funds. Investors are, therefore, cautioned not to place undue reliance on subjective judgments contained in this report.
Baird Short-Term Bond Fund
June 30, 2013 (Unaudited)
The Baird Short-Term Bond Fund seeks an annual rate of total return, before Fund expenses, greater than the annual rate of total return of the Barclays 1-3 Year U.S. Government/Credit Bond Index. The Barclays 1-3 Year U.S. Government/Credit Bond Index is an unmanaged, market value weighted index of investment grade, fixed-rate debt issues, including government and corporate securities, with maturities between one and three years.
Portfolio Characteristics
Quality Distribution*
Net Assets: | $1,495,239,080 | |||
SEC 30-Day | ||||
Yield:** | ||||
Institutional Class: | 1.60% | |||
Investor Class: | 1.33% | |||
Average | ||||
Effective | ||||
Duration: | 1.91 years | |||
Average | ||||
Effective | ||||
Maturity: | 2.35 years | |||
Annualized | ||||
Expense | ||||
Ratio: | ||||
Institutional Class: | 0.30% | |||
Sector Weightings* | Investor Class: | 0.55%*** | ||
Portfolio | ||||
Turnover | ||||
Rate: | 24.8%# | |||
Total | ||||
Number of | ||||
Holdings: | 410 | |||
* | Percentages shown are based on the Fund’s total investments (less investments purchased with cash proceeds from securities lending). | |
** | SEC yields are based on SEC guidelines and are calculated for the 30 days ended June 30, 2013. | |
*** | Includes 0.25% 12b-1 fee. | |
# | Not annualized. |
Page 3
Baird Short-Term Bond Fund
June 30, 2013 (Unaudited)
Total Returns
Average Annual | ||||
Six | One | Five | Since | |
For the Periods Ended June 30, 2013 | Months | Year | Years | Inception(1) |
Institutional Class | 0.16% | 2.20% | 3.20% | 3.34% |
Investor Class(2) | 0.07% | 2.01% | 2.96% | 3.09% |
Barclays 1-3 Year U.S. | ||||
Government/Credit Bond Index(3) | 0.07% | 0.74% | 2.47% | 3.09% |
(1) | For the period from August 31, 2004 (commencement of operations) to June 30, 2013. |
(2) | Performance figures for the Investor Class shares, first offered on September 19, 2012, include the historical performance of the Institutional Class shares through September 18, 2012. Investor Class share results prior to the date of first sale are hypothetical based on Institutional Class share results and were calculated using an estimated total annual fund operating expense of 0.55%. |
(3) | The Barclays 1-3 Year U.S. Government/Credit Bond Index is an unmanaged, market value weighted index of investment grade, fixed-rate debt issues, including government and corporate securities, with maturities between one and three years. This index does not reflect any deduction for fees, expenses or taxes. A direct investment in an index is not possible. |
The returns shown in the table above reflect reinvestment of dividends and/or capital gains distributions in additional shares. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. The returns reflect the actual performance for each period and do not include the impact of trades executed on the last business day of the period that were recorded on the first business day of the next period.
The gross expense ratio for each class, as reflected in the Fund’s current prospectus, is set forth under “Portfolio Characteristics”.
The Fund may invest in U.S. dollar denominated foreign securities which involve additional risks such as currency rate fluctuations, political and economic instability, and different and sometimes less strict financial reporting standards and regulation. The Fund may also invest in mortgage- and asset-backed securities, which include interest rate and prepayment risks more pronounced than those of other fixed income securities.
Past performance does not guarantee future results. Investment returns and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost.
For information about the performance of the Fund as of the most recent month-end, please call 1-866-44BAIRD or visit www.bairdfunds.com. Mutual fund performance changes over time and current performance may be lower or higher than that stated.
Page 4
Baird Short-Term Bond Fund
Summary Schedule of Investments, June 30, 2013 (Unaudited)
This schedule summarizes the Fund’s holdings by asset type. Details are reported for each of the Fund’s 50 largest individual holdings and for investments that, in total for any issuer, represent more than 1% of the Fund’s net assets. The total value of smaller holdings is reported as a single amount within each category.
The Fund reports a complete list of its holdings in regulatory filings four times in each fiscal year, at the quarter end. For the second and fourth fiscal quarters, the complete listing of the Fund’s holdings is available electronically in the Fund’s Form N-CSR at http://www.rwbaird.com/baird-funds/prospectus-applications/prospectus-applications.aspx and on the Securities and Exchange Commission’s website (www.sec.gov) or you can have it mailed to you without charge by calling 1-866-44BAIRD. For the first and third fiscal quarters, the Fund files the lists with the SEC on Form N-Q. Shareholders can look up the Fund’s Forms N-CSR and N-Q on the SEC’s website (www.sec.gov).
Long-Term Investments
Principal | Market | % of | ||||||||||
Amount | Value | Net Assets | ||||||||||
U.S. Treasury Securities | ||||||||||||
U.S. Treasury Bonds: | ||||||||||||
2.375%, 03/31/2016 | $ | 81,700,000 | $ | 85,695,620 | 5.8 | % | ||||||
2.375%, 07/31/2017 | 54,300,000 | 57,082,875 | 3.8 | % | ||||||||
Total U.S. Treasury Securities | ||||||||||||
(Cost $143,289,648) | 142,778,495 | 9.6 | % | |||||||||
Taxable Municipal Bonds | ||||||||||||
County of Miami-Dade FL Aviation Revenue | ||||||||||||
5.000%, 10/01/2016 | 6,200,000 | 6,857,510 | 0.5 | % | ||||||||
Other Taxable Municipal Bonds# | 30,546,259 | 2.0 | % | |||||||||
Total Taxable Municipal Bonds | ||||||||||||
(Cost $37,481,016) | 37,403,769 | 2.5 | % | |||||||||
Other Government Related Securities | ||||||||||||
AB Svensk Exportkredit | ||||||||||||
0.602%, 01/23/2017 f | 8,800,000 | 8,824,922 | 0.6 | % | ||||||||
Other Government Related Securities# | 12,410,708 | 0.8 | % | |||||||||
Total Other Government Related Securities | ||||||||||||
(Cost $21,221,362) | 21,235,630 | 1.4 | % | |||||||||
Corporate Bonds | ||||||||||||
Industrials | ||||||||||||
Anglo American Capital PLC | ||||||||||||
2.150%, 09/27/2013 (Acquired 09/20/2010 | ||||||||||||
through 03/21/2012, Cost $6,895,950)* f | 6,900,000 | 6,920,010 | 0.5 | % | ||||||||
Computer Sciences Corporation | ||||||||||||
2.500%, 09/15/2015@ | 9,550,000 | 9,736,597 | 0.6 | % | ||||||||
Dollar General Corporation | ||||||||||||
4.125%, 07/15/2017@ | 6,480,000 | 6,834,987 | 0.5 | % | ||||||||
Glencore Funding LLC | ||||||||||||
6.000%, 04/15/2014 (Acquired 01/12/2010 | ||||||||||||
through 02/27/2012, Cost $7,224,641)* | 7,120,000 | 7,369,698 | 0.5 | % | ||||||||
Johnson Controls Inc. | ||||||||||||
5.500%, 01/15/2016@ | 7,241,000 | 7,955,593 | 0.5 | % |
The accompanying notes are in integral part of these financial statements.
Page 5
Baird Short-Term Bond Fund
Summary Schedule of Investments, June 30, 2013 (Unaudited)
Long-Term Investments (cont.)
Principal | Market | % of | ||||||||||
Amount | Value | Net Assets | ||||||||||
Pioneer Natural Resources Company | ||||||||||||
5.875%, 07/15/2016@ | $ | 10,000,000 | $ | 11,152,320 | 0.7 | % | ||||||
POSCO | ||||||||||||
8.750%, 03/26/2014 (Acquired 03/19/2009 | ||||||||||||
through 01/18/2013, Cost $7,843,410)* f | 7,610,000 | 7,992,235 | 0.5 | % | ||||||||
RPM United Kingdom G.P. | ||||||||||||
6.700%, 11/01/2015 | ||||||||||||
(Acquired 03/04/2013, Cost $8,394,866)* f | 7,500,000 | 8,300,790 | 0.6 | % | ||||||||
Staples, Inc. | ||||||||||||
9.750%, 01/15/2014 | 9,000,000 | 9,421,164 | 0.6 | % | ||||||||
Telefonica Emisiones S.A.U. | ||||||||||||
6.421%, 06/20/2016 f | 6,745,000 | 7,405,828 | 0.5 | % | ||||||||
The Interpublic Group of Companies, Inc. | ||||||||||||
10.000%, 07/15/2017 | 7,195,000 | 7,574,177 | 0.5 | % | ||||||||
Vale Canada Limited | ||||||||||||
5.700%, 10/15/2015 f | 8,000,000 | 8,558,472 | 0.6 | % | ||||||||
Vivendi SA | ||||||||||||
2.400%, 04/10/2015 (Acquired 04/03/2012 | ||||||||||||
through 05/23/2013, Cost $8,490,988)* f | 8,395,000 | 8,542,752 | 0.6 | % | ||||||||
Xerox Corporation | ||||||||||||
8.250%, 05/15/2014 | 7,800,000 | 8,287,172 | 0.6 | % | ||||||||
Yara International ASA | ||||||||||||
5.250%, 12/15/2014 (Acquired 09/25/2012 | ||||||||||||
through 02/13/2013, Cost $8,195,690)* f | 7,775,000 | 8,186,733 | 0.5 | % | ||||||||
Yum! Brands, Inc. | ||||||||||||
4.250%, 09/15/2015 | 7,425,000 | 7,899,732 | 0.5 | % | ||||||||
Other Industrials#~ | 340,719,064 | 22.8 | % | |||||||||
Total Industrials | ||||||||||||
(Cost $473,345,187) | 472,857,324 | 31.6 | % | |||||||||
Utility | ||||||||||||
National Grid PLC | ||||||||||||
6.300%, 08/01/2016 f | 9,611,000 | 10,870,992 | 0.7 | % | ||||||||
Nisource Finance Corp. | ||||||||||||
5.400%, 07/15/2014@ | 7,050,000 | 7,367,906 | 0.5 | % | ||||||||
Williams Partners L.P. | ||||||||||||
3.800%, 02/15/2015 | 9,000,000 | 9,383,481 | 0.6 | % | ||||||||
Other Utility#~ | 99,748,165 | 6.7 | % | |||||||||
Total Utility | ||||||||||||
(Cost $125,943,941) | 127,370,544 | 8.5 | % | |||||||||
Finance | ||||||||||||
Citigroup, Inc. | ||||||||||||
6.010%, 01/15/2015 | 7,350,000 | 7,849,249 | 0.5 | % | ||||||||
General Electric Capital Corporation | ||||||||||||
1.000%-5.625%, 09/21/2015-05/01/2018@ | 13,925,000 | 14,996,686 | 1.0 | % |
The accompanying notes are in integral part of these financial statements.
Page 6
Baird Short-Term Bond Fund
Summary Schedule of Investments, June 30, 2013 (Unaudited)
Long-Term Investments (cont.)
Principal | Market | % of | ||||||||||
Amount | Value | Net Assets | ||||||||||
Hutchison Whampoa International Ltd. | ||||||||||||
4.625%, 09/11/2015 (Acquired 09/24/2012 | ||||||||||||
through 06/25/2013, Cost $9,682,222)* f | $ | 9,090,000 | $ | 9,690,694 | 0.6 | % | ||||||
J.P. Morgan Chase & Co. | ||||||||||||
3.450%, 03/01/2016 | 7,700,000 | 8,031,762 | 0.5 | % | ||||||||
Kemper Corporation | ||||||||||||
6.000%, 11/30/2015 | 8,500,000 | 9,240,418 | 0.6 | % | ||||||||
Key Bank National Association, | ||||||||||||
7.413%, 05/06/2015 | 9,600,000 | 10,598,266 | 0.7 | % | ||||||||
Kookmin Bank | ||||||||||||
7.250%, 05/14/2014 (Acquired 05/26/2009 | ||||||||||||
through 02/08/2013, Cost $7,235,841)* f | 7,000,000 | 7,346,983 | 0.5 | % | ||||||||
M&I Marshall & Ilsley Bank | ||||||||||||
4.850%, 06/16/2015 | 6,682,000 | 7,065,707 | 0.5 | % | ||||||||
Manulife Financial Corp. | ||||||||||||
3.400%, 09/17/2015@ f | 7,961,000 | 8,317,525 | 0.5 | % | ||||||||
Mizuho Bank, Ltd. | ||||||||||||
2.550%, 03/17/2017 | ||||||||||||
(Acquired 05/30/2013, Cost $7,095,378)* f | 6,900,000 | 6,955,262 | 0.5 | % | ||||||||
Nomura Holdings Inc. | ||||||||||||
2.000%, 09/13/2016 f | 9,155,000 | 9,052,839 | 0.6 | % | ||||||||
SunTrust Bank | ||||||||||||
0.608%, 04/01/2015 | 6,880,000 | 6,826,542 | 0.5 | % | ||||||||
The Bank of New York Mellon Corporation | ||||||||||||
0.505%, 03/04/2016@ | 7,000,000 | 6,994,512 | 0.5 | % | ||||||||
The Bank of Nova Scotia | ||||||||||||
0.673%, 03/15/2016 f | 7,000,000 | 6,996,339 | 0.5 | % | ||||||||
The Goldman Sachs Group, Inc. | ||||||||||||
6.250%, 09/01/2017 | 6,476,000 | 7,338,629 | 0.5 | % | ||||||||
WEA Finance LLC | ||||||||||||
7.500%, 06/02/2014 (Acquired 12/14/2011 | ||||||||||||
through 05/17/2013, Cost $8,552,479)* | 8,195,000 | 8,706,843 | 0.6 | % | ||||||||
Willis North America, Inc. | ||||||||||||
5.625%, 07/15/2015 | 6,650,000 | 7,135,916 | 0.5 | % | ||||||||
Other Finance#~ | 309,687,411 | 20.7 | % | |||||||||
Total Finance | ||||||||||||
(Cost $449,159,611) | 452,831,583 | 30.3 | % | |||||||||
Residential Mortgage-Backed Securities | ||||||||||||
U.S. Government Agency Issues | ||||||||||||
Other U.S. Government Agency Issues# | 1,510,689 | 0.1 | % | |||||||||
Total U.S. Government Agency Issues | ||||||||||||
(Cost $1,427,948) | 1,510,689 | 0.1 | % |
The accompanying notes are in integral part of these financial statements.
Page 7
Baird Short-Term Bond Fund
Summary Schedule of Investments, June 30, 2013 (Unaudited)
Long-Term Investments (cont.)
Principal | Market | % of | ||||||||||
Amount | Value | Net Assets | ||||||||||
Non-U.S. Government Agency Issues | ||||||||||||
Other Non-U.S. Government Agency Issues# | $ | 19,993,621 | 1.3 | % | ||||||||
Total Non-U.S. Government Agency Issues | ||||||||||||
(Cost $20,268,530) | 19,993,621 | 1.3 | % | |||||||||
Asset Backed Securities | ||||||||||||
Accredited Mortgage Loan Trust | ||||||||||||
Series 2006-2, Class A3, 0.343%, 09/25/2036 | $ | 9,857,089 | 9,463,407 | 0.6 | % | |||||||
Carrington Mortgage Loan Trust | ||||||||||||
Series 2006-OPT1, Class A3, 0.373%, 02/25/2036 | 8,014,228 | 7,739,965 | 0.5 | % | ||||||||
Morgan Stanley ABS Capital I Trust | ||||||||||||
Series 2005-HE2, Class A3B, 0.413%, 01/25/2035 | 8,206,362 | 7,866,479 | 0.5 | % | ||||||||
Nationstar Home Equity Loan Trust | ||||||||||||
Series 2006-B, Class AV3, 0.363%, 09/25/2036 | 14,374,771 | 13,936,413 | 0.9 | % | ||||||||
Other Asset Backed Securities#~ | 48,331,541 | 3.3 | % | |||||||||
Total Asset Backed Securities | ||||||||||||
(Cost $88,603,247) | 87,337,805 | 5.8 | % | |||||||||
Commercial Mortgage-Backed Securities | ||||||||||||
Bear Stearns Commercial Mortgage Securities | ||||||||||||
Series 2005-PWR9, Class A4A, 4.871%, 09/11/2042 | 10,000,000 | 10,658,290 | 0.7 | % | ||||||||
Commercial Mortgage Trust | ||||||||||||
Series 2005-C6, Class A5A, 5.116%, 06/10/2044 | 9,413,000 | 10,090,331 | 0.7 | % | ||||||||
Credit Suisse First Boston | ||||||||||||
Mortgage Securities Corporation | ||||||||||||
Series 2005-C5, Class A4, 5.100%, 08/15/2038@ | 10,208,250 | 10,886,200 | 0.7 | % | ||||||||
J.P. Morgan Chase Commercial | ||||||||||||
Mortgage Securities Corp. | ||||||||||||
Series 2003-CB7, Class A4, 4.879%, 01/12/2038 | 9,197,171 | 9,288,462 | 0.6 | % | ||||||||
J.P. Morgan Chase Commercial Mortgage Trust | ||||||||||||
Series 2005-CB12, Class A4, 4.895%, 09/12/2037 | 9,999,000 | 10,654,034 | 0.7 | % | ||||||||
Morgan Stanley Capital I Trust | ||||||||||||
Series 2005-HQ7, Class A4, 5.378%, 11/14/2042 | 10,850,000 | 11,665,584 | 0.8 | % | ||||||||
Other Commercial Mortgage-Backed Securities#~ | 25,888,200 | 1.8 | % | |||||||||
Total Commercial Mortgage-Backed Securities | ||||||||||||
(Cost $90,784,246) | 89,131,101 | 6.0 | % | |||||||||
Total Long-Term Investments | ||||||||||||
(Cost $1,451,524,736) | 1,452,450,561 | 97.1 | % |
The accompanying notes are in integral part of these financial statements.
Page 8
Baird Short-Term Bond Fund
Summary Schedule of Investments, June 30, 2013 (Unaudited)
Short-Term Investments
Market | % of | |||||||||||
Shares | Value | Net Assets | ||||||||||
Money Market Mutual Fund | ||||||||||||
Short-Term Investments Trust – | ||||||||||||
Liquid Assets Portfolio, 0.09%« | 23,375,031 | $ | 23,375,031 | 1.6 | % | |||||||
Total Short-Term Investments | ||||||||||||
(Cost $23,375,031) | 23,375,031 | 1.6 | % | |||||||||
Investments Purchased with Cash | ||||||||||||
Proceeds from Securities Lending | ||||||||||||
Principal | ||||||||||||
Amount | ||||||||||||
Commercial Paper | ||||||||||||
Atlantic East Funding LLC, 0.545%, 03/25/2014†** | $ | 684,835 | 546,691 | 0.0 | % | |||||||
Total Commercial Paper | ||||||||||||
(Cost $684,835) | 546,691 | 0.0 | % | |||||||||
Shares | ||||||||||||
Investment Companies | ||||||||||||
Mount Vernon Securities Lending | ||||||||||||
Trust Prime Portfolio, 0.21%« | 55,163,666 | 55,163,666 | 3.7 | % | ||||||||
Total Investment Companies | ||||||||||||
(Cost $55,163,666) | 55,163,666 | 3.7 | % | |||||||||
Total Investments Purchased With | ||||||||||||
Cash Proceeds From Securities Lending | ||||||||||||
(Cost $55,848,501) | 55,710,357 | 3.7 | % | |||||||||
Total Investments | ||||||||||||
(Cost $1,530,748,268) | 1,531,535,949 | 102.4 | % | |||||||||
Asset Relating to Securities Lending Investments | ||||||||||||
Support Agreement**^a† | 138,144 | 0.0 | % | |||||||||
Total | ||||||||||||
(Cost $0) | 138,144 | 0.0 | % | |||||||||
Liabilities in Excess of Other Assets | (36,435,013 | ) | (2.4 | )% | ||||||||
TOTAL NET ASSETS | $ | 1,495,239,080 | 100.0 | % |
The accompanying notes are in integral part of these financial statements.
Page 9
Baird Short-Term Bond Fund
Summary Schedule of Investments, June 30, 2013 (Unaudited)
Notes to Summary Schedule of Investments
* | Restricted Security Deemed Liquid | |
** | Illiquid Security | |
@ | This security or portion of this security is out on loan at June 30, 2013. | |
f | Foreign Security | |
^ | Non-Income Producing | |
« | 7-Day Yield | |
† | Priced at Fair Value by the Valuation Committee as delegated by the Baird Funds’ Board of Directors. | |
a | The Fund’s transfer agent and administrator and securities lending agent entered into a support agreement with the Fund to cover losses realized by the Fund on its investment in Atlantic East Funding, LLC (up to a certain amount), which investment was made by the Fund’s securities lending agent. | |
# | Represents the aggregate value, by category, of securities that are not among the 50 largest holdings and, in total for any issuer, represent 1% or less of net assets. | |
~ | Groupings contain, in aggregate, restricted securities totaling $225,342,545 representing 15.07% of net assets. |
Summary of Fair Value Exposure at June 30, 2013 (Unaudited)
The Fund has adopted authoritative fair valuation accounting standards which establish a definition of fair value and set out a hierarchy for measuring fair value. These standards require additional disclosures about the various inputs and valuation techniques used to develop the measurements of fair value and a discussion on changes in valuation techniques and related inputs during the period. These standards define fair value as 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 fair value hierarchy is organized into three levels based upon the assumptions (referred to as “inputs”) used in pricing the asset or liability. These standards state that “observable inputs” reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from independent sources and “unobservable inputs” reflect an entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability. These inputs are summarized into three broad levels and described below:
Level 1 – | Unadjusted quoted prices in active markets for identical unrestricted securities. |
Level 2 – | Other significant observable inputs (including quoted prices for similar securities, quoted prices in inactive markets, dealer indications, interest rates, yield curves, prepayment speeds, credit risk, default rates, inputs corroborated by observable market data, etc.). |
Level 3 – | Significant unobservable inputs (including the Fund’s own assumptions about the factors that market participants would use in valuing the security) based on the best information available. |
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The accompanying notes are in integral part of these financial statements.
Page 10
Baird Short-Term Bond Fund
Summary Schedule of Investments, June 30, 2013 (Unaudited)
Summary of Fair Value Exposure at June 30, 2013 (Unaudited) (cont.)
The following is a summary of the inputs used to value the Fund’s investments as of June 30, 2013:
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Fixed Income | ||||||||||||||||
U.S. Treasury Securities | $ | — | $ | 142,778,495 | $ | — | $ | 142,778,495 | ||||||||
Taxable Municipal Bonds | — | 37,403,769 | — | 37,403,769 | ||||||||||||
Other Government Related Securities | — | 21,235,630 | — | 21,235,630 | ||||||||||||
Corporate Debt Securities | — | 1,053,059,451 | — | 1,053,059,451 | ||||||||||||
Residential Mortgage-Backed Securities – | ||||||||||||||||
U.S. Government Agency Issues | — | 1,510,689 | — | 1,510,689 | ||||||||||||
Residential Mortgage-Backed Securities – | ||||||||||||||||
Non - U.S. Government Agency Issues | — | 19,993,621 | — | 19,993,621 | ||||||||||||
Asset Backed Securities | — | 87,337,805 | — | 87,337,805 | ||||||||||||
Commercial Mortgage-Backed Securities | — | 89,131,101 | — | 89,131,101 | ||||||||||||
Total Fixed Income | — | 1,452,450,561 | — | 1,452,450,561 | ||||||||||||
Short-Term Investments | ||||||||||||||||
Money Market Mutual Fund | 23,375,031 | — | — | 23,375,031 | ||||||||||||
Total Short-Term Investments | 23,375,031 | — | — | 23,375,031 | ||||||||||||
Investments Purchased with Cash | ||||||||||||||||
Proceeds from Securities Lending | ||||||||||||||||
Commercial Paper | — | 546,691 | — | 546,691 | ||||||||||||
Money Market Mutual Fund | 55,163,666 | — | — | 55,163,666 | ||||||||||||
Total Investments Purchased | ||||||||||||||||
with Cash Proceeds | ||||||||||||||||
from Securities Lending | 55,163,666 | 546,691 | — | 55,710,357 | ||||||||||||
Total Investments | $ | 78,538,697 | $ | 1,452,997,252 | $ | — | $ | 1,531,535,949 | ||||||||
Asset Relating to Securities | ||||||||||||||||
Lending Investments | $ | — | $ | 138,144 | $ | — | $ | 138,144 |
Changes in valuation techniques may result in transfers into or out of current assigned levels within the hierarchy. There were no transfers between Level 1, Level 2 and Level 3 fair value measurements during the reporting period, as compared to their classification from the prior year’s annual report.
The accompanying notes are in integral part of these financial statements.
Page 11
Baird Intermediate Bond Fund
June 30, 2013 (Unaudited)
The Baird Intermediate Bond Fund seeks an annual rate of total return, before Fund expenses, greater than the annual rate of total return of the Barclays Intermediate U.S. Government/Credit Bond Index. The Barclays Intermediate U.S. Government/Credit Bond Index is an unmanaged, market value weighted index of investment grade, fixed-rate debt issues, including government and corporate securities, with maturities between one and ten years.
Portfolio Characteristics
Quality Distribution*
Net Assets: | $990,583,431 | |||
SEC 30-Day | ||||
Yield:** | ||||
Institutional Class: | 1.93% | |||
Investor Class: | 1.68% | |||
Average | ||||
Effective | ||||
Duration: | 3.88 years | |||
Average | ||||
Effective | ||||
Maturity: | 4.45 years | |||
Annualized | ||||
Expense | ||||
Sector Weightings* | Ratio: | |||
Institutional Class: | 0.30% | |||
Investor Class: | 0.55%*** | |||
Portfolio | ||||
Turnover | ||||
Rate: | 20.3%# | |||
Total | ||||
Number of | ||||
Holdings: | 393 | |||
* | Percentages shown are based on the Fund’s total investments (less investments purchased with cash proceeds from securities lending). | |
** | SEC yields are based on SEC guidelines and are calculated for the 30 days ended June 30, 2013. | |
*** | Includes 0.25% 12b-1 fee. | |
# | Not annualized. |
Page 12
Baird Intermediate Bond Fund
June 30, 2013 (Unaudited)
Total Returns
Average Annual | |||||
Six | One | Five | Ten | Since | |
For the Periods Ended June 30, 2013 | Months | Year | Years | Years | Inception(1) |
Institutional Class Shares | -1.31% | 1.82% | 5.77% | 4.64% | 5.73% |
Investor Class Shares | -1.37% | 1.59% | 5.50% | 4.37% | 5.46% |
Barclays Intermediate | |||||
U.S. Government/Credit Bond Index(2) | -1.45% | 0.28% | 4.57% | 4.03% | 5.25% |
(1) | For the period from September 29, 2000 (commencement of operations) through June 30, 2013. |
(2) | The Barclays Intermediate U.S. Government/Credit Bond Index is an unmanaged, market value weighted index of investment grade, fixed-rate debt issues, including government and corporate securities, with maturities between one and ten years. This index does not reflect any deduction for fees, expenses or taxes. A direct investment in an index is not possible. |
The returns shown in the table above reflect reinvestment of dividends and/or capital gains distributions in additional shares. The returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. The returns reflect the actual performance for each period and do not include the impact of trades executed on the last business day of the period that were recorded on the first business day of the next period.
The gross expense ratio for each class, as reflected in the Fund’s current prospectus, is set forth under “Portfolio Characteristics”.
The Fund may invest in U.S. dollar denominated foreign securities which involve additional risks such as currency rate fluctuations, political and economic instability, and different and sometimes less strict financial reporting standards and regulation. The Fund may also invest in mortgage- and asset-backed securities, which include interest rate and prepayment risks more pronounced than those of other fixed income securities.
Past performance does not guarantee future results. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost.
For information about the performance of the Fund as of the most recent month-end, please call 1-866-44BAIRD or visit www.bairdfunds.com. Mutual fund performance changes over time and current performance may be lower or higher than that stated.
Page 13
Baird Intermediate Bond Fund
Summary Schedule of Investments, June 30, 2013 (Unaudited)
This schedule summarizes the Fund’s holdings by asset type. Details are reported for each of the Fund’s 50 largest individual holdings and for investments that, in total for any issuer, represent more than 1% of the Fund’s net assets. The total value of smaller holdings is reported as a single amount within each category.
The Fund reports a complete list of its holdings in regulatory filings four times in each fiscal year, at the quarter end. For the second and fourth fiscal quarters, the complete listing of the Fund’s holdings is available electronically in the Fund’s Form N-CSR at http://www.rwbaird.com/baird-funds/prospectus-applications/prospectus-applications.aspx and on the Securities and Exchange Commission’s website (www.sec.gov) or you can have it mailed to you without charge by calling 1-866-44BAIRD. For the first and third fiscal quarters, the Fund files the lists with the SEC on Form N-Q. Shareholders can look up the Fund’s Forms N-CSR and N-Q on the SEC’s website (www.sec.gov).
Long-Term Investments
Principal | Market | % of | ||||||||||
Amount | Value | Net Assets | ||||||||||
U.S. Treasury Securities | ||||||||||||
U.S. Treasury Bonds: | ||||||||||||
2.375%, 07/31/2017 | $ | 11,475,000 | $ | 12,063,094 | 1.2 | % | ||||||
3.875%, 05/15/2018@ | 9,700,000 | 10,867,026 | 1.1 | % | ||||||||
9.125%, 05/15/2018 | 13,950,000 | 19,094,063 | 1.9 | % | ||||||||
2.250%, 07/31/2018@ | 104,150,000 | 108,478,682 | 11.0 | % | ||||||||
1.250%, 04/30/2019@ | 52,700,000 | 51,600,731 | 5.2 | % | ||||||||
2.625%, 08/15/2020 | 31,850,000 | 33,283,250 | 3.4 | % | ||||||||
7.875%, 02/15/2021 | 10,000,000 | 14,171,880 | 1.4 | % | ||||||||
Total U.S. Treasury Securities | ||||||||||||
(Cost $252,211,038) | 249,558,726 | 25.2 | % | |||||||||
U.S. Government Agency Issues | ||||||||||||
Federal Home Loan Mortgage Corporation (FHLMC): | ||||||||||||
1.250%, 05/12/2017 | 5,050,000 | 5,057,055 | 0.5 | % | ||||||||
1.000%, 06/29/2017@ | 9,200,000 | 9,117,467 | 0.9 | % | ||||||||
Series 1, 1.000%, 07/28/2017@ | 5,500,000 | 5,422,736 | 0.5 | % | ||||||||
2.375%, 01/13/2022 | 300,000 | 291,533 | 0.0 | % | ||||||||
Federal National Mortgage Association (FNMA): | ||||||||||||
1.375%, 11/15/2016@ | 6,700,000 | 6,792,098 | 0.7 | % | ||||||||
0.875%, 08/28/2017 | 4,625,000 | 4,533,351 | 0.5 | % | ||||||||
Total U.S. Government Agency Issues | ||||||||||||
(Cost $31,288,341) | 31,214,240 | 3.1 | % | |||||||||
Taxable Municipal Bonds | ||||||||||||
State of Illinois | ||||||||||||
3.636%, 02/01/2014 | 5,150,000 | 5,206,135 | 0.5 | % | ||||||||
Other Taxable Municipal Bonds# | 28,468,875 | 2.9 | % | |||||||||
Total Taxable Municipal Bonds | ||||||||||||
(Cost $32,247,476) | 33,675,010 | 3.4 | % |
The accompanying notes are in integral part of these financial statements.
Page 14
Baird Intermediate Bond Fund
Summary Schedule of Investments, June 30, 2013 (Unaudited)
Long-Term Investments (cont.)
Principal | Market | % of | ||||||||||
Amount | Value | Net Assets | ||||||||||
Other Government Related Securities | ||||||||||||
KFW | ||||||||||||
4.875%, 06/17/2019 f | $ | 3,250,000 | $ | 3,768,375 | 0.4 | % | ||||||
Petrobras International Finance Company | ||||||||||||
3.875%, 01/27/2016 f | 4,175,000 | 4,295,349 | 0.4 | % | ||||||||
Other Government Related Securities#~ | 8,427,933 | 0.8 | % | |||||||||
Total Other Government Related Securities | ||||||||||||
(Cost $15,447,165) | 16,491,657 | 1.6 | % | |||||||||
Corporate Bonds | ||||||||||||
Industrials | ||||||||||||
Computer Sciences Corporation | ||||||||||||
2.500%, 09/15/2015 | 4,500,000 | 4,587,925 | 0.5 | % | ||||||||
Ecolab Inc. | ||||||||||||
1.450%, 12/08/2017 | 4,000,000 | 3,885,124 | 0.4 | % | ||||||||
Fidelity National Information Services, Inc. | ||||||||||||
7.875%, 07/15/2020 | 4,800,000 | 5,291,774 | 0.5 | % | ||||||||
Hyundai Capital Services Inc. | ||||||||||||
6.000%, 05/05/2015 (Acquired 03/27/2013 | ||||||||||||
through 05/30/2013, Cost $6,007,263)* f | 5,549,000 | 5,958,882 | 0.6 | % | ||||||||
LeasePlan Corporation N.V. | ||||||||||||
3.000%, 10/23/2017 (Acquired 02/07/2013, | ||||||||||||
Cost $4,052,772)* f | 4,000,000 | 4,012,800 | 0.4 | % | ||||||||
Mylan Inc. | ||||||||||||
6.000%, 11/15/2018 (Acquired 01/15/2013 | ||||||||||||
through 02/12/2013, Cost $4,353,848)* | 4,000,000 | 4,383,524 | 0.5 | % | ||||||||
Petrohawk Energy Corporation | ||||||||||||
7.250%, 08/15/2018 | 4,000,000 | 4,364,000 | 0.4 | % | ||||||||
TCI Communications, Inc. | ||||||||||||
8.750%, 08/01/2015 | 3,498,000 | 4,045,199 | 0.4 | % | ||||||||
Waste Management, Inc. | ||||||||||||
7.375%, 03/11/2019 | 4,000,000 | 4,824,452 | 0.5 | % | ||||||||
Wesfarmers Limited | ||||||||||||
1.874%, 03/20/2018 (Acquired 03/13/2013, | �� | |||||||||||
Cost $3,900,000)* f | 3,900,000 | 3,830,190 | 0.4 | % | ||||||||
Other Industrials#~ | 153,586,543 | 15.5 | % | |||||||||
Total Industrials | ||||||||||||
(Cost $196,360,994) | 198,770,413 | 20.1 | % | |||||||||
Utility | ||||||||||||
Ameren Corporation | ||||||||||||
8.875%, 05/15/2014 | 4,500,000 | 4,796,527 | 0.5 | % | ||||||||
Enterprise Products Operating LLC | ||||||||||||
Series O, 9.750%, 01/31/2014 | 3,824,000 | 4,017,326 | 0.4 | % | ||||||||
National Grid PLC | ||||||||||||
6.300%, 08/01/2016 f | 3,925,000 | 4,439,564 | 0.4 | % |
The accompanying notes are in integral part of these financial statements.
Page 15
Baird Intermediate Bond Fund
Summary Schedule of Investments, June 30, 2013 (Unaudited)
Long-Term Investments (cont.)
Principal | Market | % of | ||||||||||
Amount | Value | Net Assets | ||||||||||
Trans-Allegheny Interstate Line Company | ||||||||||||
4.000%, 01/15/2015 (Acquired 01/19/2010 | ||||||||||||
through 02/22/2013, Cost $3,713,207)* | $ | 3,673,000 | $ | 3,814,954 | 0.4 | % | ||||||
Other Utility#~ | 56,056,608 | 5.7 | % | |||||||||
Total Utility | ||||||||||||
(Cost $71,253,952) | 73,124,979 | 7.4 | % | |||||||||
Finance | ||||||||||||
ABN AMRO Bank N.V. | ||||||||||||
1.375%, 01/22/2016 (Acquired 01/17/2013, | ||||||||||||
Cost $4,498,965)*@ f | 4,500,000 | 4,461,750 | 0.5 | % | ||||||||
Berkshire Hathaway Finance Corporation | ||||||||||||
1.600%, 05/15/2017 | 3,800,000 | 3,784,025 | 0.4 | % | ||||||||
Commonwealth Bank of Australia | ||||||||||||
5.000%, 10/15/2019 (Acquired 03/02/2012, | ||||||||||||
Cost $4,284,982)* f | 4,000,000 | 4,476,084 | 0.5 | % | ||||||||
Deutsche Bank Aktiengesellschaft | ||||||||||||
3.250%, 01/11/2016 f | 4,250,000 | 4,450,188 | 0.4 | % | ||||||||
First Tennessee Bank, National Association | ||||||||||||
5.650%, 04/01/2016 | 4,263,000 | 4,623,441 | 0.5 | % | ||||||||
Invesco Finance PLC | ||||||||||||
3.125%, 11/30/2022 f | 4,225,000 | 3,941,118 | 0.4 | % | ||||||||
MassMutual Global Funding II | ||||||||||||
2.000%, 04/05/2017 (Acquired 03/29/2012, | ||||||||||||
Cost $3,783,470)* | 3,800,000 | 3,807,809 | 0.4 | % | ||||||||
SLM Corporation | ||||||||||||
5.000%, 10/01/2013 | 4,000,000 | 4,020,000 | 0.4 | % | ||||||||
The Bank of Nova Scotia | ||||||||||||
0.673%, 03/15/2016 f | 4,000,000 | 3,997,908 | 0.4 | % | ||||||||
The Goldman Sachs Group, Inc. | ||||||||||||
6.150%, 04/01/2018 | 3,900,000 | 4,394,676 | 0.4 | % | ||||||||
Other Finance#~ | 202,524,035 | 20.4 | % | |||||||||
Total Finance | ||||||||||||
(Cost $238,255,307) | 244,481,034 | 24.7 | % | |||||||||
Residential Mortgage-Backed Securities | ||||||||||||
U.S. Government Agency Issues | ||||||||||||
Other U.S. Government Agency Issues# | 1,570,339 | 0.2 | % | |||||||||
Total U.S. Government Agency Issues | ||||||||||||
(Cost $1,491,939) | 1,570,339 | 0.2 | % | |||||||||
Non-U.S. Government Agency Issues | ||||||||||||
Other Non-U.S. Government Agency Issues#~ | 11,710,947 | 1.2 | % | |||||||||
Total Non-U.S. Government Agency Issues | ||||||||||||
(Cost $11,642,456) | 11,710,947 | 1.2 | % |
The accompanying notes are in integral part of these financial statements.
Page 16
Baird Intermediate Bond Fund
Summary Schedule of Investments, June 30, 2013 (Unaudited)
Long-Term Investments (cont.)
Principal | Market | % of | ||||||||||
Amount | Value | Net Assets | ||||||||||
Asset Backed Securities | ||||||||||||
Master Credit Card Trust | ||||||||||||
Series 2012-2A, Class A, 0.780%, 04/21/2017 | ||||||||||||
(Acquired 10/24/2012, Cost $5,998,817)* f | $ | 6,000,000 | $ | 5,955,378 | 0.6 | % | ||||||
Specialty Underwriting & Residential Finance Trust | ||||||||||||
Series 2004-BC4, Class A1A, 0.863%, 10/25/2035 | 4,959,898 | 4,819,940 | 0.5 | % | ||||||||
Other Asset Backed Securities#~ | 16,246,998 | 1.6 | % | |||||||||
Total Asset Backed Securities | ||||||||||||
(Cost $27,111,697) | 27,022,316 | 2.7 | % | |||||||||
Commercial Mortgage-Backed Securities | ||||||||||||
Bear Stearns Commercial Mortgage Securities | ||||||||||||
Series 2005-PWR9, Class A4A, 4.871%, 09/11/2042 | 6,790,000 | 7,236,979 | 0.7 | % | ||||||||
Citigroup Deutsche Bank | ||||||||||||
Series 2005-CD1, Class A4, 5.392%, 07/15/2044 | 5,600,000 | 6,015,497 | 0.6 | % | ||||||||
Credit Suisse First Boston | ||||||||||||
Mortgage Securities Corporation | ||||||||||||
Series 2005-C5, Class A4, 5.100%, 08/15/2038 | 4,000,000 | 4,265,648 | 0.4 | % | ||||||||
Federal National Mortgage Association (FNMA) | ||||||||||||
1.074%-1.513%, 11/25/2016-12/25/2017 | 4,075,000 | 4,064,157 | 0.4 | % | ||||||||
Federal Home Loan Mortgage Corporation (FHLMC) | ||||||||||||
Multifamily Structured Pass Through Certificates: | ||||||||||||
Series K708, Class A2, 2.130%, 01/25/2019 | 8,300,000 | 8,293,194 | 0.8 | % | ||||||||
Series K-004, Class A2, 4.186%, 08/25/2019 | 5,875,000 | 6,440,815 | 0.7 | % | ||||||||
Series K-005, Class A2, 4.317%, 11/25/2019 | 4,975,000 | 5,448,356 | 0.6 | % | ||||||||
1.655%-4.251%, 11/25/2016-01/25/2020 | 9,113,000 | 9,393,793 | 0.9 | % | ||||||||
J.P. Morgan Chase Commercial Mortgage Trust | ||||||||||||
Series 2005-CB12, Class A4, 4.895%, 09/12/2037 | 5,000,000 | 5,327,550 | 0.5 | % | ||||||||
Wachovia Bank Commercial Mortgage Trust | ||||||||||||
Series 2005-C22, Class A4, 5.465%, 12/15/2044 | 5,000,000 | 5,411,021 | 0.6 | % | ||||||||
Other Commercial Mortgage Backed Securities# | 1,548,078 | 0.2 | % | |||||||||
Total Commercial Mortgage Backed Securities | ||||||||||||
(Cost $63,602,788) | 63,445,088 | 6.4 | % | |||||||||
Total Long-Term Investments | ||||||||||||
(Cost $940,913,153) | 951,064,749 | 96.0 | % | |||||||||
Short-Term Investments | ||||||||||||
Shares | ||||||||||||
Money Market Mutual Funds | ||||||||||||
Short-Term Investments Trust – | ||||||||||||
Liquid Assets Portfolio, 0.09%« | 14,079,317 | 14,079,317 | 1.4 | % | ||||||||
Total Short-Term Investments | ||||||||||||
(Cost $14,079,317) | 14,079,317 | 1.4 | % |
The accompanying notes are in integral part of these financial statements.
Page 17
Baird Intermediate Bond Fund
Summary Schedule of Investments, June 30, 2013 (Unaudited)
Investments Purchased with Cash
Proceeds from Securities Lending
Principal | Market | % of | ||||||||||
Amount | Value | Net Assets | ||||||||||
Commercial Paper | ||||||||||||
Atlantic East Funding LLC, 0.545%, 03/25/2014†** | $ | 1,730,476 | $ | 1,381,406 | 0.2 | % | ||||||
Total Commercial Paper | ||||||||||||
(Cost $1,730,476) | 1,381,406 | 0.2 | % | |||||||||
Shares | ||||||||||||
Investment Companies | ||||||||||||
Mount Vernon Securities Lending | ||||||||||||
Trust Prime Portfolio, 0.21%« | 144,552,431 | 144,552,431 | 14.6 | % | ||||||||
Total Investment Companies | ||||||||||||
(Cost $144,552,431) | 144,552,431 | 14.6 | % | |||||||||
Total Investments Purchased With | ||||||||||||
Cash Proceeds From Securities Lending | ||||||||||||
(Cost $146,282,907) | 145,933,837 | 14.8 | % | |||||||||
Total Investments | ||||||||||||
(Cost $1,101,275,377) | 1,111,077,903 | 112.2 | % | |||||||||
Asset Relating to Securities Lending Investments | ||||||||||||
Support Agreement**^a† | 349,070 | 0.0 | % | |||||||||
Total | ||||||||||||
(Cost $0) | 349,070 | 0.0 | % | |||||||||
Liabilities in Excess of Other Assets | (120,843,542 | ) | (12.2 | )% | ||||||||
TOTAL NET ASSETS | $ | 990,583,431 | 100.0 | % |
Notes to Summary Schedule of Investments
* | Restricted Security Deemed Liquid | |
** | Illiquid Security | |
@ | This security or portion of this security is out on loan at June 30, 2013. | |
f | Foreign Security | |
^ | Non-Income Producing | |
« | 7-Day Yield | |
† | Priced at Fair Value by the Valuation Committee as delegated by the Baird Funds’ Board of Directors. | |
a | The Fund’s transfer agent and administrator and securities lending agent entered into a support agreement with the Fund to cover losses realized by the Fund on its investment in Atlantic East Funding, LLC (up to a certain amount), which investment was made by the Fund’s securities lending agent. | |
# | Represents the aggregate value, by category, of securities that are not among the 50 largest holdings and, in total for any issuer, represent 1% or less of net assets. | |
~ | Groupings contain, in aggregate, restricted securities totaling $113,700,492 representing 11.48% of net assets. |
The accompanying notes are in integral part of these financial statements.
Page 18
Baird Intermediate Bond Fund
Summary Schedule of Investments, June 30, 2013 (Unaudited)
Summary of Fair Value Exposure at June 30, 2013
The Fund has adopted authoritative fair valuation accounting standards which establish a definition of fair value and set out a hierarchy for measuring fair value. These standards require additional disclosures about the various inputs and valuation techniques used to develop the measurements of fair value and a discussion on changes in valuation techniques and related inputs during the period. These standards define fair value as 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 fair value hierarchy is organized into three levels based upon the assumptions (referred to as “inputs”) used in pricing the asset or liability. These standards state that “observable inputs” reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from independent sources and “unobservable inputs” reflect an entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability. These inputs are summarized into three broad levels and described below:
Level 1 – | Unadjusted quoted prices in active markets for identical unrestricted securities. |
Level 2 – | Other significant observable inputs (including quoted prices for similar securities, quoted prices in inactive markets, dealer indications, interest rates, yield curves, prepayment speeds, credit risk, default rates, inputs corroborated by observable market data, etc.). |
Level 3 – | Significant unobservable inputs (including the Fund’s own assumptions about the factors that market participants would use in valuing the security) based on the best information available. |
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The accompanying notes are in integral part of these financial statements.
Page 19
Baird Intermediate Bond Fund
Summary Schedule of Investments, June 30, 2013 (Unaudited)
Summary of Fair Value Exposure at June 30, 2013 (cont.)
The following is a summary of the inputs used to value the Fund’s investments as of June 30, 2013:
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Fixed Income | ||||||||||||||||
U.S. Treasury Securities | $ | — | $ | 249,558,726 | $ | — | $ | 249,558,726 | ||||||||
U.S. Government Agency Issues | — | 31,214,240 | — | 31,214,240 | ||||||||||||
Taxable Municipal Bonds | — | 33,675,010 | — | 33,675,010 | ||||||||||||
Other Government Related Securities | — | 16,491,657 | — | 16,491,657 | ||||||||||||
Corporate Bonds | — | 516,374,965 | 1,461 | 516,376,426 | ||||||||||||
Residential Mortgage-Backed Securities – | ||||||||||||||||
U.S. Government Agency Issues | — | 1,570,339 | — | 1,570,339 | ||||||||||||
Residential Mortgage-Backed Securities – | ||||||||||||||||
Non-U.S. Government Agency Issues | — | 11,710,947 | — | 11,710,947 | ||||||||||||
Asset Backed Securities | — | 27,022,316 | — | 27,022,316 | ||||||||||||
Commercial Mortgage-Backed Securities | — | 63,445,088 | — | 63,445,088 | ||||||||||||
Total Fixed Income | — | 951,063,288 | 1,461 | 951,064,749 | ||||||||||||
Short-Term Investments | ||||||||||||||||
Money Market Mutual Fund | 14,079,317 | — | — | 14,079,317 | ||||||||||||
Total Short-Term Investments | 14,079,317 | — | — | 14,079,317 | ||||||||||||
Investments Purchased with Cash | ||||||||||||||||
Proceeds from Securities Lending | ||||||||||||||||
Commercial Paper | — | 1,381,406 | — | 1,381,406 | ||||||||||||
Money Market Mutual Fund | 144,552,431 | — | — | 144,552,431 | ||||||||||||
Total Investments Purchased with | ||||||||||||||||
Cash Proceeds from Securities Lending | 144,552,431 | 1,381,406 | — | 145,933,837 | ||||||||||||
Total Investments | $ | 158,631,748 | $ | 952,444,694 | $ | 1,461 | $ | 1,111,077,903 | ||||||||
Asset Relating to Securities | ||||||||||||||||
Lending Investments | $ | — | $ | 349,070 | $ | — | $ | 349,070 |
Changes in valuation techniques may result in transfers into or out of current assigned levels within the hierarchy. There were no transfers between Level 1, Level 2 and Level 3 fair value measurements during the reporting period, as compared to their classification from the prior year’s annual report. One security that is priced at fair value by the Valuation Committee instead of the Fund’s pricing vendor is valued using level 3 inputs.
Level 3 Reconciliation Disclosure
Following is a reconciliation of Level 3 assets for which significant unobservable inputs were used to determine fair value.
Description | Investments in Securities | ||||
Balance as of December 31, 2012 | $ | 1,461 | |||
Accrued discounts/premiums | — | ||||
Realized gain (loss) | — | ||||
Change in unrealized appreciation (depreciation) | — | ||||
Purchases | — | ||||
Sales | — | ||||
Transfers in and/or out of Level 3* | — | ||||
Balance as of June 30, 2013 | $ | 1,461 |
* Transfers between levels are recognized at the end of the reporting period.
The accompanying notes are in integral part of these financial statements.
Page 20
Baird Intermediate Municipal Bond Fund
June 30, 2013 (Unaudited)
The Baird Intermediate Municipal Bond Fund seeks current income that is substantially exempt from federal income tax. A secondary objective is to provide total return with relatively low volatility of principal. The Fund strives to achieve an annual rate of return, before Fund expenses, greater than the annual rate of the total return of the Barclays 7-Year General Obligation Bond Index. The Barclays 7-Year General Obligation Bond Index is an unmanaged, market value weighted index comprised of investment grade state and local general obligation bonds that have been issued as part of an offering of at least $50 million; have a minimum amount outstanding of at least $5 million; have been issued within the last five years; and have a maturity of six to eight years.
Portfolio Characteristics
Quality Distribution*
Net Assets: | $1,103,262,480 | |||
SEC 30-Day | ||||
Yield:*** | ||||
Institutional Class: | 1.86% | |||
Investor Class: | 1.60% | |||
Average | ||||
Effective | ||||
Duration: | 5.07 years | |||
Average | ||||
Effective | ||||
Maturity: | 5.65 years | |||
Annualized | ||||
Expense | ||||
Sector Weightings* | Ratio: | |||
Institutional Class: | 0.30% | |||
Investor Class: | 0.55%**** | |||
Portfolio | ||||
Turnover | ||||
Rate: | 5.0%# | |||
Total | ||||
Number of | ||||
Holdings: | 287 | |||
* | Percentages shown are based on the Fund’s total investments. | |
** | Includes pre-refunded and escrowed-to-maturity (ETM) bonds. | |
*** | SEC yields are based on SEC guidelines and are calculated for the 30 days ended June 30, 2013. | |
**** | Includes 0.25% 12b-1 fee. | |
# | Not annualized. |
Page 21
Baird Intermediate Municipal Bond Fund
June 30, 2013 (Unaudited)
Total Returns
Average Annual | |||||
Six | One | Five | Ten | Since | |
For the Periods Ended June 30, 2013 | Months | Year | Years | Years | Inception(1) |
Institutional Class Shares | -2.17% | -0.61% | 4.66% | 3.77% | 4.67% |
Investor Class Shares | -2.33% | -0.85% | 4.39% | 3.51% | 4.40% |
Barclays 7-Year General | |||||
Obligation Bond Index(2) | -2.19% | 0.06% | 5.45% | 4.42% | 4.94% |
(1) | For the period from March 30, 2001 (commencement of operations) through June 30, 2013. |
(2) | The Barclays 7-Year General Obligation Bond Index is an unmanaged, market value weighted index comprised of investment grade state and local general obligation bonds that have been issued as part of an offering of at least $50 million, have a minimum amount outstanding of at least $5 million, have been issued within the last five years and have a maturity of six to eight years. This index does not reflect any deduction for fees, expenses or taxes. A direct investment in an index is not possible. |
The returns shown in the table above reflect reinvestment of dividends and/or capital gains distributions in additional shares. The returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. The returns reflect the actual performance for each period and do not include the impact of trades executed on the last business day of the period that were recorded on the first business day of the next period.
The gross expense ratio for each class, as reflected in the Fund’s current prospectus, is set forth under “Portfolio Characteristics”.
The Fund may invest up to 25% of its total assets in municipal obligations issued by persons in the same state. As a result, changes in economic, business or political conditions of a particular state may have a disproportionate impact on the Fund’s share price. Municipal securities investments are not appropriate for all investors, especially those taxed at lower rates. The Fund may also invest in U.S. dollar denominated foreign securities which involve additional risks such as currency rate fluctuations, political and economic instability, and different and sometimes less strict financial reporting standards and regulation.
Past performance does not guarantee future results. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost.
For information about the performance of the Fund as of the most recent month-end, please call 1-866-44BAIRD or visit www.bairdfunds.com. Mutual fund performance changes over time and current performance may be lower or higher than that stated.
Page 22
Baird Intermediate Municipal Bond Fund
Summary Schedule of Investments, June 30, 2013 (Unaudited)
This schedule summarizes the Fund’s holdings by asset type. Details are reported for each of the Fund’s 50 largest individual holdings and for investments that, in total for any issuer, represent more than 1% of the Fund’s net assets. The total value of smaller holdings is reported as a single amount within each category.
The Fund reports a complete list of its holdings in regulatory filings four times in each fiscal year, at the quarter end. For the second and fourth fiscal quarters, the complete listing of the Fund’s holdings is available electronically in the Fund’s Form N-CSR at http://www.rwbaird.com/baird-funds/prospectus-applications/prospectus-applications.aspx and on the Securities and Exchange Commission’s website (www.sec.gov) or you can have it mailed to you without charge by calling 1-866-44BAIRD. For the first and third fiscal quarters, the Fund files the lists with the SEC on Form N-Q. Shareholders can look up the Fund’s Forms N-CSR and N-Q on the SEC’s website (www.sec.gov).
Long-Term Investments
Principal | Market | % of | ||||||||||
Amount | Value | Net Assets | ||||||||||
Municipal Bonds | ||||||||||||
Alabama | ||||||||||||
Other Alabama# | $ | 4,042,040 | 0.4 | % | ||||||||
Total Alabama | ||||||||||||
(Cost $3,835,590) | 4,042,040 | 0.4 | % | |||||||||
Alaska | ||||||||||||
Other Alaska# | 1,072,160 | 0.1 | % | |||||||||
Total Alaska | ||||||||||||
(Cost $1,017,542) | 1,072,160 | 0.1 | % | |||||||||
Arizona | ||||||||||||
Other Arizona# | 11,419,404 | 1.0 | % | |||||||||
Total Arizona | ||||||||||||
(Cost $11,190,229) | 11,419,404 | 1.0 | % | |||||||||
California | ||||||||||||
San Joaquin Hills California Transportation | ||||||||||||
Corridor Agency Toll Road Revenue: | ||||||||||||
0.000%, 01/01/2020 (ETM)^ | $ | 6,865,000 | 5,986,348 | 0.5 | % | |||||||
0.000%, 01/01/2023 (ETM)^ | 14,000,000 | 10,653,860 | 1.0 | % | ||||||||
San Marcos California Public | ||||||||||||
Facilities Authority Revenue | ||||||||||||
0.000%, 09/01/2019 (ETM)^ | 17,295,000 | 15,086,255 | 1.4 | % | ||||||||
Other California# | 20,544,166 | 1.8 | % | |||||||||
Total California | ||||||||||||
(Cost $48,418,325) | 52,270,629 | 4.7 | % | |||||||||
Colorado | ||||||||||||
Colorado Springs Colorado Utilities Revenue Bonds | ||||||||||||
5.875%, 11/15/2017 (ETM) | 7,410,000 | 8,113,209 | 0.7 | % | ||||||||
Dawson Ridge Metropolitan District No. 1 Colorado: | ||||||||||||
0.000%, 10/01/2022 (ETM)^ | 16,410,000 | 12,438,452 | 1.1 | % | ||||||||
0.000%, 10/01/2022 (ETM)^ | 17,540,000 | 13,294,969 | 1.2 | % |
The accompanying notes are in integral part of these financial statements.
Page 23
Baird Intermediate Municipal Bond Fund
Summary Schedule of Investments, June 30, 2013 (Unaudited)
Long-Term Investments (cont.)
Principal | Market | % of | ||||||||||
Amount | Value | Net Assets | ||||||||||
Regional Transportation District | ||||||||||||
Colorado Sales Tax Revenue | ||||||||||||
5.000%, 11/01/2036 (Pre-refunded to 11/01/2016) | $ | 6,785,000 | $ | 7,702,061 | 0.7 | % | ||||||
Other Colorado# | 8,393,804 | 0.8 | % | |||||||||
Total Colorado | ||||||||||||
(Cost $49,206,206) | 49,942,495 | 4.5 | % | |||||||||
Florida | ||||||||||||
Broward County Florida School Board: | ||||||||||||
5.250%, 07/01/2022 (Callable 07/01/2021) | 8,390,000 | 9,512,498 | 0.9 | % | ||||||||
5.250%, 07/01/2023 (Callable 07/01/2021) | 4,915,000 | 5,546,823 | 0.5 | % | ||||||||
County of St. Lucie Florida | ||||||||||||
6.000%, 10/01/2020 (ETM) | 6,420,000 | 7,938,908 | 0.7 | % | ||||||||
Florida State Board of Education | ||||||||||||
5.000%, 06/01/2022 (Callable 06/01/2019) | 13,800,000 | 15,539,076 | 1.4 | % | ||||||||
Miami-Dade County Florida | ||||||||||||
4.500%, 10/01/2020 | 7,100,000 | 7,900,951 | 0.7 | % | ||||||||
Other Florida# | 56,601,967 | 5.1 | % | |||||||||
Total Florida | ||||||||||||
(Cost $97,286,251) | 103,040,223 | 9.3 | % | |||||||||
Georgia | ||||||||||||
Atlanta Georgia Water & Wastewater Revenue | ||||||||||||
5.500%, 11/01/2017 (Insured by AGM) | 8,445,000 | 9,801,267 | 0.9 | % | ||||||||
Forsyth County Georgia Hospital | ||||||||||||
Authority Revenue Anticipation Certificates | ||||||||||||
6.375%, 10/01/2028 (Callable 02/04/2013)(ETM) | 8,050,000 | 9,997,536 | 0.9 | % | ||||||||
Georgia Municipal Electric Authority Power Revenue | ||||||||||||
6.500%, 01/01/2017 (Insured by AGM) | 7,350,000 | 8,099,186 | 0.7 | % | ||||||||
Gwinnett County Georgia School District | ||||||||||||
5.000%, 02/01/2026 (Pre-refunded to 02/01/2018) | 7,400,000 | 8,577,192 | 0.8 | % | ||||||||
State of Georgia | ||||||||||||
5.000%, 07/01/2020 (Callable 07/01/2017) | 12,570,000 | 14,165,384 | 1.3 | % | ||||||||
Other Georgia# | 5,931,745 | 0.5 | % | |||||||||
Total Georgia | ||||||||||||
(Cost $56,243,652) | 56,572,310 | 5.1 | % | |||||||||
Illinois | ||||||||||||
Illinois Development Financial Authority | ||||||||||||
0.000%, 07/15/2023 (ETM)^ | 16,860,000 | 12,164,490 | 1.1 | % | ||||||||
Illinois Finance Authority | ||||||||||||
0.000%, 07/15/2025 (ETM)^ | 9,560,000 | 6,274,610 | 0.6 | % | ||||||||
Kane McHenry Cook & De Kalb | ||||||||||||
Counties Illinois School District No. 300 | ||||||||||||
7.000%, 01/01/2018 (Insured by AMBAC) | 6,140,000 | 7,521,500 | 0.7 | % |
The accompanying notes are in integral part of these financial statements.
Page 24
Baird Intermediate Municipal Bond Fund
Summary Schedule of Investments, June 30, 2013 (Unaudited)
Long-Term Investments (cont.)
Principal | Market | % of | ||||||||||
Amount | Value | Net Assets | ||||||||||
Kendall Kane & Will Counties | ||||||||||||
Community Unit School District No. 308 | ||||||||||||
0.000%, 02/01/2021^ | $ | 13,625,000 | $ | 10,381,705 | 0.9 | % | ||||||
Other Illinois# | 74,550,423 | 6.8 | % | |||||||||
Total Illinois | ||||||||||||
(Cost $108,523,460) | 110,892,728 | 10.1 | % | |||||||||
Indiana | ||||||||||||
Other Indiana# | 16,017,680 | 1.5 | % | |||||||||
Total Indiana | ||||||||||||
(Cost $15,033,018) | 16,017,680 | 1.5 | % | |||||||||
Iowa | ||||||||||||
Other Iowa# | 1,052,299 | 0.1 | % | |||||||||
Total Iowa | ||||||||||||
(Cost $1,020,835) | 1,052,299 | 0.1 | % | |||||||||
Kansas | ||||||||||||
Other Kansas# | 2,133,989 | 0.2 | % | |||||||||
Total Kansas | ||||||||||||
(Cost $1,990,967) | 2,133,989 | 0.2 | % | |||||||||
Kentucky | ||||||||||||
Louisville & Jefferson County | ||||||||||||
Metropolitan Government | ||||||||||||
6.125%, 02/01/2037 (Pre-refunded to 02/01/2018) | 12,940,000 | 15,673,834 | 1.4 | % | ||||||||
Other Kentucky# | 3,880,646 | 0.4 | % | |||||||||
Total Kentucky | ||||||||||||
(Cost $19,607,682) | 19,554,480 | 1.8 | % | |||||||||
Louisiana | ||||||||||||
Louisiana Public Facilities Authority Revenue: | ||||||||||||
5.500%, 05/15/2027 (Pre-refunded to 05/15/2026) | 9,575,000 | 11,579,431 | 1.0 | % | ||||||||
5.500%, 05/15/2032 (Pre-refunded to 05/15/2026) | 19,005,000 | 23,202,254 | 2.1 | % | ||||||||
State of Louisiana: | ||||||||||||
5.000%, 11/15/2018 | 1,775,000 | 2,070,218 | 0.2 | % | ||||||||
5.000%, 11/15/2020 (Callable 05/15/2020) | 10,000,000 | 11,838,200 | 1.1 | % | ||||||||
Total Louisiana | ||||||||||||
(Cost $46,358,623) | 48,690,103 | 4.4 | % | |||||||||
Maine | ||||||||||||
Other Maine# | 4,722,571 | 0.4 | % | |||||||||
Total Maine | ||||||||||||
(Cost $4,578,243) | 4,722,571 | 0.4 | % |
The accompanying notes are in integral part of these financial statements.
Page 25
Baird Intermediate Municipal Bond Fund
Summary Schedule of Investments, June 30, 2013 (Unaudited)
Long-Term Investments (cont.)
Principal | Market | % of | ||||||||||
Amount | Value | Net Assets | ||||||||||
Maryland | ||||||||||||
State of Maryland: | ||||||||||||
5.000%, 03/15/2019 (Callable 03/15/2017) | $ | 1,135,000 | $ | 1,299,041 | 0.1 | % | ||||||
5.000%, 08/01/2020 (Callable 08/01/2019) | 10,000,000 | 11,758,800 | 1.1 | % | ||||||||
Other Maryland# | 1,429,029 | 0.1 | % | |||||||||
Total Maryland | ||||||||||||
(Cost $14,981,387) | 14,486,870 | 1.3 | % | |||||||||
Massachusetts | ||||||||||||
Massachusetts State: | ||||||||||||
5.000%, 08/01/2020 (Pre-refunded to 08/01/2016) | 5,820,000 | 6,548,373 | 0.6 | % | ||||||||
4.000%, 12/01/2022 (Callable 12/01/2019) | 15,000,000 | 16,158,900 | 1.5 | % | ||||||||
Other Massachusetts# | 9,364,686 | 0.8 | % | |||||||||
Total Massachusetts | ||||||||||||
(Cost $31,892,462) | 32,071,959 | 2.9 | % | |||||||||
Michigan | ||||||||||||
Michigan Finance Authority | ||||||||||||
5.000%, 01/01/2019 | 7,000,000 | 8,210,860 | 0.8 | % | ||||||||
Other Michigan# | 22,288,505 | 2.0 | % | |||||||||
Total Michigan | ||||||||||||
(Cost $29,860,134) | 30,499,365 | 2.8 | % | |||||||||
Minnesota | ||||||||||||
University of Minnesota | ||||||||||||
5.500%, 07/01/2021 (ETM) | 8,455,000 | 9,974,702 | 0.9 | % | ||||||||
Other Minnesota# | 4,315,641 | 0.4 | % | |||||||||
Total Minnesota | ||||||||||||
(Cost $14,365,234) | 14,290,343 | 1.3 | % | |||||||||
Mississippi | ||||||||||||
Other Mississippi# | 2,706,390 | 0.3 | % | |||||||||
Total Mississippi | ||||||||||||
(Cost $2,585,592) | 2,706,390 | 0.3 | % | |||||||||
Missouri | ||||||||||||
Other Missouri# | 1,139,390 | 0.1 | % | |||||||||
Total Missouri | ||||||||||||
(Cost $1,097,771) | 1,139,390 | 0.1 | % | |||||||||
Nebraska | ||||||||||||
Omaha Nebraska Public Electric Power District Revenue | ||||||||||||
6.200%, 02/01/2017 (ETM) | 7,410,000 | 8,193,089 | 0.7 | % | ||||||||
Other Nebraska# | 1,747,699 | 0.2 | % | |||||||||
Total Nebraska | ||||||||||||
(Cost $9,644,079) | 9,940,788 | 0.9 | % |
The accompanying notes are in integral part of these financial statements.
Page 26
Baird Intermediate Municipal Bond Fund
Summary Schedule of Investments, June 30, 2013 (Unaudited)
Long-Term Investments (cont.)
Principal | Market | % of | ||||||||||
Amount | Value | Net Assets | ||||||||||
Nevada | ||||||||||||
Other Nevada# | $ | 2,326,189 | 0.2 | % | ||||||||
Total Nevada | ||||||||||||
(Cost $2,099,775) | 2,326,189 | 0.2 | % | |||||||||
New Hampshire | ||||||||||||
Other New Hampshire# | 6,037,583 | 0.5 | % | |||||||||
Total New Hampshire | ||||||||||||
(Cost $5,908,466) | 6,037,583 | 0.5 | % | |||||||||
New Jersey | ||||||||||||
New Jersey State Housing & | ||||||||||||
Mortgage Finance Agency Bonds | ||||||||||||
4.500%, 10/01/2029 (Callable 04/01/2021) | $ | 8,180,000 | 8,425,318 | 0.8 | % | |||||||
Other New Jersey# | 13,420,036 | 1.2 | % | |||||||||
Total New Jersey | ||||||||||||
(Cost $21,541,662) | 21,845,354 | 2.0 | % | |||||||||
New Mexico | ||||||||||||
Other New Mexico# | 3,345,795 | 0.3 | % | |||||||||
Total New Mexico | ||||||||||||
(Cost $3,314,267) | 3,345,795 | 0.3 | % | |||||||||
New York | ||||||||||||
Metropolitan Transit Authority New York | ||||||||||||
6.000%, 04/01/2020 (ETM) | 13,430,000 | 16,290,859 | 1.5 | % | ||||||||
Westchester Tobacco Asset | ||||||||||||
Securitization Corp. New York | ||||||||||||
6.950%, 07/15/2039 (Pre-refunded to 07/15/2017) | 13,075,000 | 16,168,545 | 1.4 | % | ||||||||
Other New York# | 40,750,176 | 3.7 | % | |||||||||
Total New York | ||||||||||||
(Cost $70,023,699) | 73,209,580 | 6.6 | % | |||||||||
North Carolina | ||||||||||||
North Carolina Eastern Municipal Power Agency | ||||||||||||
5.000%, 01/01/2021 (ETM) | 7,280,000 | 8,722,969 | 0.8 | % | ||||||||
North Carolina Eastern Municipal | ||||||||||||
Power Agency Power Systems Revenue: | ||||||||||||
5.000%, 01/01/2017 (ETM) | 6,630,000 | 7,282,856 | 0.7 | % | ||||||||
6.400%, 01/01/2021 (ETM) | 5,750,000 | 6,795,695 | 0.6 | % | ||||||||
4.500%, 01/01/2024 (Pre-refunded to 01/01/2022) | 7,665,000 | 8,869,555 | 0.8 | % | ||||||||
6.000%, 01/01/2026 (Pre-refunded to 01/01/2022) | 1,835,000 | 2,346,396 | 0.2 | % | ||||||||
North Carolina Medical Care | ||||||||||||
Community Hospital Revenue | ||||||||||||
5.250%, 11/01/2029 (Pre-refunded to 11/01/2014) | 6,495,000 | 6,917,110 | 0.6 | % | ||||||||
Total North Carolina | ||||||||||||
(Cost $40,189,085) | 40,934,581 | 3.7 | % |
The accompanying notes are in integral part of these financial statements.
Page 27
Baird Intermediate Municipal Bond Fund
Summary Schedule of Investments, June 30, 2013 (Unaudited)
Long-Term Investments (cont.)
Principal | Market | % of | ||||||||||
Amount | Value | Net Assets | ||||||||||
Ohio | ||||||||||||
Other Ohio# | $ | 15,754,160 | 1.4 | % | ||||||||
Total Ohio | ||||||||||||
(Cost $15,453,698) | 15,754,160 | 1.4 | % | |||||||||
Pennsylvania | ||||||||||||
Pennsylvania Convention Center | ||||||||||||
Authority Revenue Bonds | ||||||||||||
6.000%, 09/01/2019 (ETM) | $ | 10,060,000 | 12,229,841 | 1.1 | % | |||||||
Other Pennsylvania# | 23,886,777 | 2.2 | % | |||||||||
Total Pennsylvania | ||||||||||||
(Cost $34,763,692) | 36,116,618 | 3.3 | % | |||||||||
Puerto Rico | ||||||||||||
Other Puerto Rico# | 15,896,628 | 1.4 | % | |||||||||
Total Puerto Rico | ||||||||||||
(Cost $16,466,020) | 15,896,628 | 1.4 | % | |||||||||
South Carolina | ||||||||||||
Piedmont Municipal Power Agency | ||||||||||||
South Carolina Electric Revenue | ||||||||||||
6.750%, 01/01/2020 (ETM) | 6,375,000 | 8,210,617 | 0.7 | % | ||||||||
Total South Carolina | ||||||||||||
(Cost $7,679,450) | 8,210,617 | 0.7 | % | |||||||||
South Dakota | ||||||||||||
Other South Dakota# | 720,001 | 0.1 | % | |||||||||
Total South Dakota | ||||||||||||
(Cost $702,356) | 720,001 | 0.1 | % | |||||||||
Tennessee | ||||||||||||
Other Tennessee# | 10,982,511 | 1.0 | % | |||||||||
Total Tennessee | ||||||||||||
(Cost $10,719,684) | 10,982,511 | 1.0 | % | |||||||||
Texas | ||||||||||||
Harris County Texas | ||||||||||||
5.750%, 10/01/2028 (Pre-refunded to 10/01/2018) | 6,780,000 | 8,220,276 | 0.8 | % | ||||||||
Houston Texas Water & Sewer System Revenue Bonds: | ||||||||||||
0.000%, 12/01/2023 (ETM)^ | 1,500,000 | 1,080,045 | 0.1 | % | ||||||||
5.500%, 12/01/2029 (ETM) | 16,050,000 | 20,033,129 | 1.8 | % | ||||||||
Lamar Consolidated Independent School District | ||||||||||||
5.000%, 02/15/2021 (PSF Guaranteed) | 6,760,000 | 8,054,405 | 0.7 | % | ||||||||
San Antonio Texas Electric & Gas Revenue | ||||||||||||
5.650%, 02/01/2019 (ETM) | 11,665,000 | 13,738,454 | 1.2 | % | ||||||||
Tarrant County Texas Health Facilities Revenue | ||||||||||||
6.000%, 09/01/2024 (ETM) | 7,990,000 | 9,793,023 | 0.9 | % |
The accompanying notes are in integral part of these financial statements.
Page 28
Baird Intermediate Municipal Bond Fund
Summary Schedule of Investments, June 30, 2013 (Unaudited)
Long-Term Investments (cont.)
Principal | Market | % of | ||||||||||
Amount | Value | Net Assets | ||||||||||
Texas State: | ||||||||||||
5.000%, 10/01/2018 | $ | 6,285,000 | $ | 7,362,626 | 0.7 | % | ||||||
5.000%, 04/01/2020 (Callable 04/01/2016) | 3,965,000 | 4,347,900 | 0.4 | % | ||||||||
Other Texas# | 79,453,450 | 7.2 | % | |||||||||
Total Texas | ||||||||||||
(Cost $148,178,201) | 152,083,308 | 13.8 | % | |||||||||
Utah | ||||||||||||
Other Utah# | 6,726,843 | 0.6 | % | |||||||||
Total Utah | ||||||||||||
(Cost $6,537,165) | 6,726,843 | 0.6 | % | |||||||||
Virginia | ||||||||||||
Tobacco Settlement Financing Corporation Revenue | ||||||||||||
5.625%, 06/01/2037 (Pre-refunded to 06/01/2015) | 7,775,000 | 8,516,268 | 0.8 | % | ||||||||
Other Virginia# | 4,667,669 | 0.4 | % | |||||||||
Total Virginia | ||||||||||||
(Cost $12,997,837) | 13,183,937 | 1.2 | % | |||||||||
Washington | ||||||||||||
King County Washington | ||||||||||||
5.000%, 12/01/2021 | 11,665,000 | 14,060,874 | 1.3 | % | ||||||||
University of Washington | ||||||||||||
5.000%, 07/01/2022 | 6,505,000 | 7,715,516 | 0.7 | % | ||||||||
Washington State: | ||||||||||||
5.000%, 01/01/2021 | 10,000,000 | 11,721,300 | 1.1 | % | ||||||||
5.000%-5.500%, 07/01/2018-07/01/2023 | 6,500,000 | 7,574,800 | 0.7 | % | ||||||||
Other Washington# | 19,267,426 | 1.7 | % | |||||||||
Total Washington | ||||||||||||
(Cost $60,865,182) | 60,339,916 | 5.5 | % | |||||||||
West Virginia | ||||||||||||
Other West Virginia# | 1,328,722 | 0.1 | % | |||||||||
Total West Virginia | ||||||||||||
(Cost $1,327,231) | 1,328,722 | 0.1 | % | |||||||||
Wisconsin | ||||||||||||
State of Wisconsin | ||||||||||||
5.000%, 05/01/2022 | 10,000,000 | 11,726,900 | 1.1 | % | ||||||||
Other Wisconsin# | 6,604,796 | 0.6 | % | |||||||||
Total Wisconsin | ||||||||||||
(Cost $18,517,195) | 18,331,696 | 1.7 | % | |||||||||
Total Long-Term Investments | ||||||||||||
(Cost $1,046,021,947) | 1,073,932,255 | 97.3 | % |
The accompanying notes are in integral part of these financial statements.
Page 29
Baird Intermediate Municipal Bond Fund
Summary Schedule of Investments, June 30, 2013 (Unaudited)
Short-Term Investments
Market | % of | |||||||||||
Shares | Value | Net Assets | ||||||||||
Money Market Mutual Fund | ||||||||||||
Goldman Sachs Financial Square Funds, 0.01%« | 5,096,345 | $ | 5,096,345 | 0.5 | % | |||||||
Total Short-Term Investments | ||||||||||||
(Cost $5,096,345) | 5,096,345 | 0.5 | % | |||||||||
Total Investments | ||||||||||||
(Cost $1,051,118,292) | 1,079,028,600 | 97.8 | % | |||||||||
Other Assets in Excess of Liabilities | 24,233,880 | 2.2 | % | |||||||||
TOTAL NET ASSETS | $ | 1,103,262,480 | 100.0 | % |
Notes to Summary Schedule of Investments
AGM – Assured Guaranty Municipal
AMBAC – Ambac Assurance Corporation. Ambac Assurance’s plan of rehabilitation transferring certain troubled insurance policies and assets (mostly relating to insurance coverage and credit default swaps on residential mortgage-backed securities) to a segregated account has obtained court approval but has not yet been implemented.
PSF – Texas Permanent School Fund
ETM – Escrowed to Maturity
^ | Non-Income Producing | |
« | 7-Day Yield | |
# | Represents the aggregate value, by category, of securities that are not among the 50 largest holdings and, in total for any issuer, represent 1% or less of net assets. |
Summary of Fair Value Exposure at June 30, 2013 (Unaudited)
The Fund has adopted authoritative fair valuation accounting standards which establish a definition of fair value and set out a hierarchy for measuring fair value. These standards require additional disclosures about the various inputs and valuation techniques used to develop the measurements of fair value and a discussion on changes in valuation techniques and related inputs during the period. These standards define fair value as 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 fair value hierarchy is organized into three levels based upon the assumptions (referred to as “inputs”) used in pricing the asset or liability. These standards state that “observable inputs” reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from independent sources and “unobservable inputs” reflect an entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability. These inputs are summarized into three broad levels and described below:
Level 1 – | Unadjusted quoted prices in active markets for identical unrestricted securities. |
Level 2 – | Other significant observable inputs (including quoted prices for similar securities, quoted prices in inactive markets, dealer indications, interest rates, yield curves, prepayment speeds, credit risk, default rates, inputs corroborated by observable market data, etc.). |
Level 3 – | Significant unobservable inputs (including the Fund’s own assumptions about the factors that market participants would use in valuing the security) based on the best information available. |
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The accompanying notes are in integral part of these financial statements.
Page 30
Baird Intermediate Municipal Bond Fund
Summary Schedule of Investments, June 30, 2013 (Unaudited)
Summary of Fair Value Exposure at June 30, 2013 (Unaudited) (cont.)
The following is a summary of the inputs used to value the Fund’s investments as of June 30, 2013:
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Fixed Income | ||||||||||||||||
Municipal Bonds | $ | — | $ | 1,073,932,255 | $ | — | $ | 1,073,932,255 | ||||||||
Total Fixed Income | — | 1,073,932,255 | — | 1,073,932,255 | ||||||||||||
Short-Term Investments | ||||||||||||||||
Money Market Mutual Fund | 5,096,345 | — | — | 5,096,345 | ||||||||||||
Total Short-Term Investments | 5,096,345 | — | — | 5,096,345 | ||||||||||||
Total Investments | $ | 5,096,345 | $ | 1,073,932,255 | $ | — | $ | 1,079,028,600 |
Changes in valuation techniques may result in transfers into or out of current assigned levels within the hierarchy. There were no transfers between Level 1, Level 2 and Level 3 fair value measurements during the reporting period, as compared to their classification from the prior year’s annual report.
The accompanying notes are in integral part of these financial statements.
Page 31
Baird Aggregate Bond Fund
June 30, 2013 (Unaudited)
The Baird Aggregate Bond Fund seeks an annual rate of total return, before Fund expenses, greater than the annual rate of total return of the Barclays U.S. Aggregate Bond Index. The Barclays U.S. Aggregate Bond Index is an unmanaged, market value weighted index of investment grade, fixed-rate debt issues, including government, corporate, asset-backed and mortgage-backed securities, with maturities of at least one year.
Portfolio Characteristics
Quality Distribution*
Net Assets: | $1,720,853,141 | |||
SEC 30-Day | ||||
Yield:** | ||||
Institutional Class: | 2.92% | |||
Investor Class: | 2.66% | |||
Average | ||||
Effective | ||||
Duration: | 5.49 years | |||
Average | ||||
Effective | ||||
Maturity: | 7.15 years | |||
Annualized | ||||
Expense | ||||
Ratio: | ||||
Institutional Class: | 0.30% | |||
Sector Weightings* | Investor Class: | 0.55%*** | ||
Portfolio | ||||
Turnover | ||||
Rate: | 13.5%# | |||
Total | ||||
Number of | ||||
Holdings: | 425 | |||
* | Percentages shown are based on the Fund’s total investments (less investments purchased with cash proceeds from securities lending). | |
** | SEC yields are based on SEC guidelines and are calculated for the 30 days ended June 30, 2013. | |
*** | Includes 0.25% 12b-1 fee. | |
# | Not annualized. |
Page 32
Baird Aggregate Bond Fund
June 30, 2013 (Unaudited)
Total Returns
Average Annual | |||||
Six | One | Five | Ten | Since | |
For the Periods Ended June 30, 2013 | Months | Year | Years | Years | Inception(1) |
Institutional Class Shares | -2.07% | 1.63% | 6.08% | 4.98% | 6.13% |
Investor Class Shares | -2.21% | 1.44% | 5.80% | 4.74% | 5.88% |
Barclays U.S. Aggregate Bond Index(2) | -2.44% | -0.69% | 5.19% | 4.52% | 5.65% |
(1) | For the period from September 29, 2000 (commencement of operations) through June 30, 2013. |
(2) | The Barclays U.S. Aggregate Bond Index is an unmanaged, market value weighted index of investment grade, fixed-rate debt issues, including government, corporate, asset-backed and mortgage-backed securities, with maturities of at least one year. This index does not reflect any deduction for fees, expenses or taxes. A direct investment in an index is not possible. |
The returns shown in the table above reflect reinvestment of dividends and/or capital gains distributions in additional shares. The returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. The returns reflect the actual performance for each period and do not include the impact of trades executed on the last business day of the period that were recorded on the first business day of the next period.
The gross expense ratio for each class, as reflected in the Fund’s current prospectus, is set forth under “Portfolio Characteristics”.
The Fund maintains securities with longer maturities in order to provide a greater potential for return. Generally, the longer a bond’s maturity, the greater the interest rate risk. The Fund may also invest in U.S. dollar denominated foreign securities which involve additional risks such as currency rate fluctuations, political and economic instability, and different and sometimes less strict financial reporting standards and regulation. The Fund may also invest in mortgage- and asset-backed securities, which include interest rate and prepayment risks more pronounced than those of other fixed income securities.
Past performance does not guarantee future results. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost.
For information about the performance of the Fund as of the most recent month-end, please call 1-866-44BAIRD or visit www.bairdfunds.com. Mutual fund performance changes over time and current performance may be lower or higher than that stated.
Page 33
Baird Aggregate Bond Fund
Summary Schedule of Investments, June 30, 2013 (Unaudited)
This schedule summarizes the Fund’s holdings by asset type. Details are reported for each of the Fund’s 50 largest individual holdings and for investments that, in total for any issuer, represent more than 1% of the Fund’s net assets. The total value of smaller holdings is reported as a single amount within each category.
The Fund reports a complete list of its holdings in regulatory filings four times in each fiscal year, at the quarter end. For the second and fourth fiscal quarters, the complete listing of the Fund’s holdings is available electronically in the Fund’s Form N-CSR at http://www.rwbaird.com/baird-funds/prospectus-applications/prospectus-applications.aspx and on the Securities and Exchange Commission’s website (www.sec.gov) or you can have it mailed to you without charge by calling 1-866-44BAIRD. For the first and third fiscal quarters, the Fund files the lists with the SEC on Form N-Q. Shareholders can look up the Fund’s Forms N-CSR and N-Q on the SEC’s website (www.sec.gov).
Long-Term Investments
Principal | Market | % of | ||||||||||
Amount | Value | Net Assets | ||||||||||
U.S. Treasury Securities | ||||||||||||
U.S. Treasury Bonds: | ||||||||||||
1.250%, 04/30/2019@ | $ | 123,100,000 | $ | 120,532,257 | 7.0 | % | ||||||
5.250%, 11/15/2028 | 60,950,000 | 77,482,688 | 4.5 | % | ||||||||
4.375%, 02/15/2038 | 62,000,000 | 72,598,156 | 4.2 | % | ||||||||
Total U.S. Treasury Securities | ||||||||||||
(Cost $280,554,700) | 270,613,101 | 15.7 | % | |||||||||
Taxable Municipal Bonds | ||||||||||||
California Qualified School Construction Bonds | ||||||||||||
7.155%, 03/01/2027 | 7,500,000 | 8,280,000 | 0.5 | % | ||||||||
Other Taxable Municipal Bonds# | 58,604,864 | 3.4 | % | |||||||||
Total Taxable Municipal Bonds | ||||||||||||
(Cost $63,318,548) | 66,884,864 | 3.9 | % | |||||||||
Other Government Related Securities | ||||||||||||
Other Government Related Securities# | 26,862,433 | 1.6 | % | |||||||||
Total Other Government Related Securities | ||||||||||||
(Cost $26,256,363) | 26,862,433 | 1.6 | % | |||||||||
Corporate Bonds | ||||||||||||
Industrials | ||||||||||||
Glencore Funding LLC | ||||||||||||
6.000%, 04/15/2014 (Acquired 03/31/2004 | ||||||||||||
through 06/20/2011, Cost $8,110,165)* | 8,092,000 | 8,375,786 | 0.5 | % | ||||||||
Petrohawk Energy Corporation | ||||||||||||
7.250%, 08/15/2018 | 6,908,000 | 7,536,628 | 0.4 | % | ||||||||
Time Warner, Inc. | ||||||||||||
7.700%, 05/01/2032 | 6,630,000 | 8,429,541 | 0.5 | % | ||||||||
Tyco Electronics Group S.A. | ||||||||||||
6.550%, 10/01/2017 f | 7,000,000 | 8,103,200 | 0.5 | % | ||||||||
Other Industrials#~ | 205,825,483 | 12.0 | % | |||||||||
Total Industrials | ||||||||||||
(Cost $232,697,564) | 238,270,638 | 13.9 | % |
The accompanying notes are in integral part of these financial statements.
Page 34
Baird Aggregate Bond Fund
Summary Schedule of Investments, June 30, 2013 (Unaudited)
Long-Term Investments (cont.)
Principal | Market | % of | ||||||||||
Amount | Value | Net Assets | ||||||||||
Utility | ||||||||||||
Ameren Corporation | ||||||||||||
8.875%, 05/15/2014 | $ | 6,900,000 | $ | 7,354,676 | 0.4 | % | ||||||
DCP Midstream, LLC | ||||||||||||
9.750%, 03/15/2019 (Acquired 02/29/2012 | ||||||||||||
through 10/15/2012, Cost $7,209,487)* | 5,675,000 | 7,318,656 | 0.4 | % | ||||||||
Maritimes & Northeast Pipeline, LLC | ||||||||||||
7.500%, 05/31/2014 | ||||||||||||
(Acquired 06/18/2013, Cost $8,811,777)* | 8,404,000 | 8,803,493 | 0.5 | % | ||||||||
Other Utility#~ | 62,349,856 | 3.7 | % | |||||||||
Total Utility | ||||||||||||
(Cost $82,114,110) | 85,826,681 | 5.0 | % | |||||||||
Finance | ||||||||||||
John Hancock Life Insurance Company | ||||||||||||
7.375%, 02/15/2024 | ||||||||||||
(Acquired 08/26/2010, Cost $7,583,382)* | 6,800,000 | 8,256,506 | 0.5 | % | ||||||||
National Australia Bank Limited | ||||||||||||
0.805%, 10/08/2015 | ||||||||||||
(Acquired 01/16/2013, Cost $10,010,439)* f | 10,000,000 | 9,995,610 | 0.6 | % | ||||||||
Rabobank Nederland | ||||||||||||
0.524%, 03/07/2016 | ||||||||||||
(Acquired 05/21/2013, Cost $9,927,701)* f | 10,000,000 | 9,937,350 | 0.6 | % | ||||||||
The Bank of Nova Scotia | ||||||||||||
0.673%, 03/15/2016 f | 8,000,000 | 7,995,816 | 0.5 | % | ||||||||
Westpac Banking Corporation | ||||||||||||
1.600%, 01/12/2018 f | 7,875,000 | 7,731,754 | 0.5 | % | ||||||||
Other Finance#~ | 279,738,710 | 16.1 | % | |||||||||
Total Finance | ||||||||||||
(Cost $313,023,845) | 323,655,746 | 18.8 | % | |||||||||
Residential Mortgage-Backed Securities | ||||||||||||
U.S. Government Agency Issues | ||||||||||||
Federal Gold Loan Mortgage Corporation (FGLMC): | ||||||||||||
5.000%, 03/01/2038 | 8,277,073 | 8,839,546 | 0.5 | % | ||||||||
4.500%, 11/01/2039 | 11,812,866 | 12,437,531 | 0.7 | % | ||||||||
3.500%, 06/01/2042 | 10,421,497 | 10,570,677 | 0.6 | % | ||||||||
3.500%, 07/01/2042 | 16,479,061 | 16,714,953 | 1.0 | % | ||||||||
3.000%, 08/01/2042 | 36,791,432 | 35,916,515 | 2.1 | % | ||||||||
3.000%, 10/01/2042 | 13,366,811 | 13,048,942 | 0.8 | % | ||||||||
2.500%-6.500%, 07/01/2014-02/01/2043 | 26,459,265 | 27,159,358 | 1.5 | % | ||||||||
Federal Home Loan Mortgage Corporation (FHLMC) | ||||||||||||
4.500%, 09/01/2040 | 12,483,799 | 13,156,829 | 0.8 | % |
The accompanying notes are in integral part of these financial statements.
Page 35
Baird Aggregate Bond Fund
Summary Schedule of Investments, June 30, 2013 (Unaudited)
Long-Term Investments (cont.)
Principal | Market | % of | ||||||||||
Amount | Value | Net Assets | ||||||||||
Federal National Mortgage Association (FNMA): | ||||||||||||
3.000%, 04/01/2027 | $ | 16,365,963 | $ | 16,853,976 | 1.0 | % | ||||||
2.500%, 12/01/2027 | 17,018,470 | 17,145,906 | 1.0 | % | ||||||||
4.500%, 09/01/2029 | 7,319,962 | 7,758,404 | 0.5 | % | ||||||||
5.000%, 10/01/2035 | 11,985,802 | 12,917,805 | 0.8 | % | ||||||||
3.500%, 02/01/2041 | 23,356,748 | 23,742,205 | 1.4 | % | ||||||||
4.000%, 02/01/2041 | 29,386,111 | 30,724,775 | 1.8 | % | ||||||||
4.000%, 09/01/2041 | 9,353,049 | 9,757,340 | 0.6 | % | ||||||||
3.000%, 05/01/2042 | 10,801,532 | 10,568,571 | 0.6 | % | ||||||||
3.500%-8.000%, 07/25/2019-12/01/2040 | 53,265,563 | 56,913,953 | 3.1 | % | ||||||||
Government National Mortgage Association (GNMA): | ||||||||||||
5.000%, 07/20/2040 | 8,711,349 | 9,604,449 | 0.6 | % | ||||||||
4.500%, 01/20/2041 | 25,427,202 | 27,407,757 | 1.6 | % | ||||||||
4.000%, 06/20/2042 | 22,468,688 | 23,644,154 | 1.4 | % | ||||||||
3.500%, 09/20/2042 | 13,734,537 | 14,119,742 | 0.8 | % | ||||||||
6.000%, 11/20/2033 | 154,284 | 178,842 | 0.0 | % | ||||||||
Other U.S. Government Agency Issues# | 416,816 | 0.0 | % | |||||||||
Total U.S. Government Agency Issues | ||||||||||||
(Cost $400,809,916) | 399,599,046 | 23.2 | % | |||||||||
Non-U.S. Government Agency Issues | ||||||||||||
Countrywide Alternative Loan Trust | ||||||||||||
Series 2003-20CB, Class 1A1, 5.500%, 10/25/2033 | 8,254,406 | 8,713,796 | 0.5 | % | ||||||||
J.P. Morgan Mortgage Trust | ||||||||||||
Series 2005-A4, Class 1A1, 5.263%, 07/25/2035 | 7,454,265 | 7,639,213 | 0.5 | % | ||||||||
Other Non-U.S. Government Agency Issues# | 45,942,650 | 2.6 | % | |||||||||
Total Non-U.S. Government Agency Issues | ||||||||||||
(Cost $64,127,681) | 62,295,659 | 3.6 | % | |||||||||
Asset Backed Securities | ||||||||||||
Countrywide Asset-Backed Certificates: | ||||||||||||
Series 2005-11, Class AF3, 4.778%, 02/25/2036 | 9,045,151 | 8,366,810 | 0.5 | % | ||||||||
4.583%-5.693%, 01/25/2033-09/25/2046 | 26,785,303 | 25,729,851 | 1.6 | % | ||||||||
Nationstar Home Equity Loan Trust | ||||||||||||
Series 2006-B, Class AV3, 0.363%, 09/25/2036 | 14,374,771 | 13,936,412 | 0.8 | % | ||||||||
Other Asset Backed Securities# | 24,254,668 | 1.3 | % | |||||||||
Total Asset Backed Securities | ||||||||||||
(Cost $72,906,760) | 72,287,741 | 4.2 | % | |||||||||
Commercial Mortgage-Backed Securities | ||||||||||||
Bear Stearns Commercial Mortgage Securities | ||||||||||||
Series 2005-PWR9, Class A4A, 4.871%, 09/11/2042 | 12,339,000 | 13,151,264 | 0.7 | % | ||||||||
Commercial Mortgage Trust: | ||||||||||||
Series 2005-C6, Class A5A, 5.116%, 06/10/2044 | 11,448,000 | 12,271,764 | 0.7 | % | ||||||||
Series 2012-CR1, Class A3, 3.391%, 05/15/2045 | 8,754,000 | 8,572,556 | 0.5 | % | ||||||||
Series 2012-CR2, Class A4, 3.147%, 08/15/2045 | 14,375,000 | 13,744,958 | 0.8 | % |
The accompanying notes are in integral part of these financial statements.
Page 36
Baird Aggregate Bond Fund
Summary Schedule of Investments, June 30, 2013 (Unaudited)
Long-Term Investments (cont.)
Principal | Market | % of | ||||||||||
Amount | Value | Net Assets | ||||||||||
Credit Suisse First Boston | ||||||||||||
Mortgage Securities Corporation | ||||||||||||
Series 2005-C5, Class A4, 5.100%, 08/15/2038@ | $ | 10,149,000 | $ | 10,823,015 | 0.6 | % | ||||||
GE Capital Commercial Mortgage Corporation | ||||||||||||
Series 2005-C4, Class A4, 5.471%, 11/10/2045 | 10,925,000 | 11,815,661 | 0.7 | % | ||||||||
J.P. Morgan Chase Commercial Mortgage Trust: | ||||||||||||
Series 2005-CB12, Class A4, 4.895%, 09/12/2037 | 11,455,000 | 12,205,417 | 0.7 | % | ||||||||
Series 2013-LC11, Class A5, 2.960%, 04/17/2046 | 7,000,000 | 6,520,941 | 0.4 | % | ||||||||
Morgan Stanley Bank of America Merrill Lynch Trust | ||||||||||||
Series 2012-C6, Class A4, 2.858%, 11/17/2045 | 16,000,000 | 14,902,864 | 0.9 | % | ||||||||
Wachovia Bank Commercial Mortgage Trust | ||||||||||||
Series 2005-C22, Class A4, 5.465%, 12/15/2044 | 10,000,000 | 10,822,040 | 0.6 | % | ||||||||
WF-RBS Commercial Mortgage Trust | ||||||||||||
Series 2012-C6, Class A4, 3.440%, 04/15/2045 | 12,200,000 | 12,058,626 | 0.7 | % | ||||||||
Other Commercial Mortgage Backed Securities# | 1,201,868 | 0.1 | % | |||||||||
Total Commercial Mortgage Backed Securities | ||||||||||||
(Cost $131,094,658) | 128,090,974 | 7.4 | % | |||||||||
Total Long-Term Investments | ||||||||||||
(Cost $1,666,904,145) | 1,674,386,883 | 97.3 | % | |||||||||
Short-Term Investments | ||||||||||||
Shares | ||||||||||||
Money Market Mutual Funds | ||||||||||||
Dreyfus Institutional Cash Advantage Fund, 0.04%« | 4,455,038 | 4,455,038 | 0.3 | % | ||||||||
Short-Term Investments Trust – | ||||||||||||
Liquid Assets Portfolio, 0.09%« | 33,000,000 | 33,000,000 | 1.9 | % | ||||||||
Total Short-Term Investments | ||||||||||||
(Cost $37,455,038) | 37,455,038 | 2.2 | % | |||||||||
Investments Purchased with Cash | ||||||||||||
Proceeds from Securities Lending | ||||||||||||
Principal | ||||||||||||
Amount | ||||||||||||
Commercial Paper | ||||||||||||
Atlantic East Funding LLC, 0.545%, 03/25/2014†** | $ | 2,375,896 | 1,896,633 | 0.1 | % | |||||||
Total Commercial Paper | ||||||||||||
(Cost $2,375,896) | 1,896,633 | 0.1 | % |
The accompanying notes are in integral part of these financial statements.
Page 37
Baird Aggregate Bond Fund
Summary Schedule of Investments, June 30, 2013 (Unaudited)
Investments Purchased with Cash
Proceeds from Securities Lending (cont.)
Market | % of | |||||||||||
Shares | Value | Net Assets | ||||||||||
Investment Companies | ||||||||||||
Mount Vernon Securities Lending | ||||||||||||
Trust Prime Portfolio, 0.21%« | 83,382,247 | $ | 83,382,247 | 4.9 | % | |||||||
Total Investment Companies | ||||||||||||
(Cost $83,382,247) | 83,382,247 | 4.9 | % | |||||||||
Total Investments Purchased With | ||||||||||||
Cash Proceeds From Securities Lending | ||||||||||||
(Cost $85,758,143) | 85,278,880 | 5.0 | % | |||||||||
Total Investments | ||||||||||||
(Cost $1,790,117,326) | 1,797,120,801 | 104.5 | % | |||||||||
Asset Relating to Securities Lending Investments | ||||||||||||
Support Agreement**^a† | 479,263 | 0.0 | % | |||||||||
Total | ||||||||||||
(Cost $0) | 479,263 | 0.0 | % | |||||||||
Liabilities in Excess of Other Assets | (76,746,923 | ) | (4.5 | )% | ||||||||
TOTAL NET ASSETS | $ | 1,720,853,141 | 100.0 | % |
Notes to Summary Schedule of Investments
# | Represents the aggregate value, by category, of securities that are not among the 50 largest holdings and, in total for any issuer, represent 1% or less of net assets. | |
* | Restricted Security Deemed Liquid | |
** | Illiquid Security | |
@ | This security or portion of this security is out on loan at June 30, 2013. | |
f | Foreign Security | |
^ | Non-Income Producing | |
« | 7-Day Yield | |
† | Priced at Fair Value by the Valuation Committee as delegated by the Baird Funds’ Board of Directors. | |
a | The Fund’s transfer agent and administrator and securities lending agent entered into a support agreement with the Fund to cover losses realized by the Fund on its investment in Atlantic East Funding, LLC (up to a certain amount), which investment was made by the Fund’s securities lending agent. | |
~ | Groupings contain, in aggregate, restricted securities totaling $128,476,245 representing 7.47% of net assets. |
Summary of Fair Value Exposure at June 30, 2013 (Unaudited)
The Fund has adopted authoritative fair valuation accounting standards which establish a definition of fair value and set out a hierarchy for measuring fair value. These standards require additional disclosures about the various inputs and valuation techniques used to develop the measurements of fair value and a discussion on changes in valuation techniques and related inputs during the period. These standards define fair value as 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 accompanying notes are in integral part of these financial statements.
Page 38
Baird Aggregate Bond Fund
Summary Schedule of Investments, June 30, 2013 (Unaudited)
Summary of Fair Value Exposure at June 30, 2013 (Unaudited) (cont.)
The fair value hierarchy is organized into three levels based upon the assumptions (referred to as “inputs”) used in pricing the asset or liability. These standards state that “observable inputs” reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from independent sources and “unobservable inputs” reflect an entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability. These inputs are summarized into three broad levels and described below:
Level 1 – | Unadjusted quoted prices in active markets for identical unrestricted securities. |
Level 2 – | Other significant observable inputs (including quoted prices for similar securities, quoted prices in inactive markets, dealer indications, interest rates, yield curves, prepayment speeds, credit risk, default rates, inputs corroborated by observable market data, etc.). |
Level 3 – | Significant unobservable inputs (including the Fund’s own assumptions about the factors that market participants would use in valuing the security) based on the best information available. |
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used to value the Fund’s investments as of June 30, 2013:
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Fixed Income | ||||||||||||||||
U.S. Treasury Securities | $ | — | $ | 270,613,101 | $ | — | $ | 270,613,101 | ||||||||
Taxable Municipal Bonds | — | 66,884,864 | — | 66,884,864 | ||||||||||||
Other Government Related Securities | — | 26,862,433 | — | 26,862,433 | ||||||||||||
Corporate Debt Securities | — | 647,751,458 | 1,607 | 647,753,065 | ||||||||||||
Residential Mortgage-Backed Securities – | ||||||||||||||||
U.S. Government Agency Issues | — | 399,599,046 | — | 399,599,046 | ||||||||||||
Residential Mortgage-Backed Securities – | ||||||||||||||||
Non - U.S. Government Agency Issues | — | 62,295,659 | — | 62,295,659 | ||||||||||||
Asset Backed Securities | — | 72,287,741 | — | 72,287,741 | ||||||||||||
Commercial Mortgage-Backed Securities | — | 128,090,974 | — | 128,090,974 | ||||||||||||
Total Fixed Income | — | 1,674,385,276 | 1,607 | 1,674,386,883 | ||||||||||||
Short-Term Investments | ||||||||||||||||
Money Market Mutual Funds | 37,455,038 | — | — | 37,455,038 | ||||||||||||
Total Short-Term Investments | 37,455,038 | — | — | 37,455,038 | ||||||||||||
Investments Purchased with Cash | ||||||||||||||||
Proceeds from Securities Lending | ||||||||||||||||
Commercial Paper | — | 1,896,633 | — | 1,896,633 | ||||||||||||
Money Market Mutual Fund | 83,382,247 | — | — | 83,382,247 | ||||||||||||
Total Investments Purchased | ||||||||||||||||
with Cash Proceeds | ||||||||||||||||
from Securities Lending | 83,382,247 | 1,896,633 | — | 85,278,880 | ||||||||||||
Total Investments | $ | 120,837,285 | $ | 1,676,281,909 | $ | 1,607 | $ | 1,797,120,801 | ||||||||
Asset Relating to Securities | ||||||||||||||||
Lending Investments | $ | — | $ | 479,263 | $ | — | $ | 479,263 |
Changes in valuation techniques may result in transfers into or out of current assigned levels within the hierarchy. There were no transfers between Level 1, Level 2 and Level 3 fair value measurements during the reporting period, as compared to their classification from the prior year’s annual report. One security that is priced at fair value by the Valuation Committee instead of the Fund’s pricing vendor is valued using level 3 inputs.
The accompanying notes are in integral part of these financial statements.
Page 39
Baird Aggregate Bond Fund
Summary Schedule of Investments, June 30, 2013 (Unaudited)
Summary of Fair Value Exposure at June 30, 2013 (Unaudited) (cont.)
Level 3 Reconciliation Disclosure
Following is a reconciliation of Level 3 assets for which significant unobservable inputs were used to determine fair value.
Description | Investments in Securities | ||||
Balance as of December 31, 2012 | $ | 1,607 | |||
Accrued discounts/premiums | — | ||||
Realized gain (loss) | — | ||||
Change in unrealized appreciation (depreciation) | — | ||||
Purchases | — | ||||
Sales | — | ||||
Transfers in and/or out of Level 3* | — | ||||
Balance as of June 30, 2013 | $ | 1,607 |
* Transfers between levels are recognized at the end of the reporting period.
The accompanying notes are in integral part of these financial statements.
Page 40
Baird Core Plus Bond Fund
June 30, 2013 (Unaudited)
The Baird Core Plus Bond Fund seeks an annual rate of total return, before Fund expenses, greater than the annual rate of total return of the Barclays U.S. Universal Bond Index. The Barclays U.S. Universal Bond Index is an unmanaged, market value weighted index of fixed income securities issued in U.S. dollars, including U.S. government and investment grade debt, non-investment grade debt, asset-backed and mortgage-backed securities, Eurobonds, 144A securities and emerging market debt, with maturities of at least one year.
Portfolio Characteristics
Quality Distribution*
Net Assets: | $2,850,080,391 | |||
SEC 30-Day | ||||
Yield:** | ||||
Institutional Class: | 2.85% | |||
Investor Class: | 2.61% | |||
Average | ||||
Effective | ||||
Duration: | 5.38 years | |||
Average | ||||
Effective | ||||
Maturity: | 6.94 years | |||
Annualized | ||||
Expense | ||||
Sector Weightings* | Ratio: | |||
Institutional Class: | 0.30% | |||
Investor Class: | 0.55%*** | |||
Portfolio | ||||
Turnover | ||||
Rate: | 17.0%# | |||
Total | ||||
Number of | ||||
Holdings: | 686 | |||
* | Percentages shown are based on the Fund’s total investments (less investments purchased with cash proceeds from securities lending). | |
** | SEC yields are based on SEC guidelines and are calculated for the 30 days ended June 30, 2013. | |
*** | Includes 0.25% 12b-1 fee. | |
# | Not annualized. |
Page 41
Baird Core Plus Bond Fund
June 30, 2013 (Unaudited)
Total Returns
Average Annual | |||||
Six | One | Five | Ten | Since | |
For the Periods Ended June 30, 2013 | Months | Year | Years | Years | Inception(1) |
Institutional Class Shares | -2.60% | 1.24% | 7.07% | 5.90% | 6.69% |
Investor Class Shares | -2.71% | 1.04% | 6.81% | 5.63% | 6.43% |
Barclays U.S. Universal Bond Index(2) | -2.29% | 0.24% | 5.53% | 4.84% | 5.88% |
(1) | For the period from September 29, 2000 (commencement of operations) through June 30, 2013. |
(2) | The Barclays U.S. Universal Bond Index is an unmanaged, market value weighted index of fixed income securities issued in U.S. dollars, including U.S. government and investment grade debt, non-investment grade debt, asset-backed and mortgage-backed securities, Eurobonds, 144A securities and emerging market debt, with maturities of at least one year. This index does not reflect any deduction for fees, expenses or taxes. A direct investment in an index is not possible. |
The returns shown in the table above reflect reinvestment of dividends and/or capital gains distributions in additional shares. The returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. The returns reflect the actual performance for each period and do not include the impact of trades executed on the last business day of the period that were recorded on the first business day of the next period.
The gross expense ratio for each class, as reflected in the Fund’s current prospectus, is set forth under “Portfolio Characteristics”.
The Fund may invest up to 20% of its net assets in non-investment grade debt securities (commonly referred to as junk bonds). While these types of debt securities typically offer higher yields than investment grade securities, they also include greater risks including increased credit risk and the increased risk of default or bankruptcy. The Fund maintains securities with longer maturities in order to provide a greater potential for return. Generally, the longer a bond’s maturity, the greater the interest rate risk. The Fund may also invest in U.S. dollar denominated foreign securities which involve additional risks such as currency rate fluctuations, political and economic instability, and different and sometimes less strict financial reporting standards and regulation. The Fund may also invest in mortgage- and asset-backed securities, which include interest rate and prepayment risks more pronounced than those of other fixed income securities.
Past performance does not guarantee future results. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost.
For information about the performance of the Fund as of the most recent month-end, please call 1-866-44BAIRD or visit www.bairdfunds.com. Mutual fund performance changes over time and current performance may be lower or higher than that stated.
Page 42
Baird Core Plus Bond Fund
Summary Schedule of Investments, June 30, 2013 (Unaudited)
This schedule summarizes the Fund’s holdings by asset type. Details are reported for each of the Fund’s 50 largest individual holdings and for investments that, in total for any issuer, represent more than 1% of the Fund’s net assets. The total value of smaller holdings is reported as a single amount within each category.
The Fund reports a complete list of its holdings in regulatory filings four times in each fiscal year, at the quarter end. For the second and fourth fiscal quarters, the complete listing of the Fund’s holdings is available electronically in the Fund’s Form N-CSR at http://www.rwbaird.com/baird-funds/prospectus-applications/prospectus-applications.aspx and on the Securities and Exchange Commission’s website (www.sec.gov) or you can have it mailed to you without charge by calling 1-866-44BAIRD. For the first and third fiscal quarters, the Fund files the lists with the SEC on Form N-Q. Shareholders can look up the Fund’s Forms N-CSR and N-Q on the SEC’s website (www.sec.gov).
Long-Term Investments
Principal | Market | % of | ||||||||||
Amount | Value | Net Assets | ||||||||||
U.S. Treasury Securities | ||||||||||||
U.S. Treasury Bonds: | ||||||||||||
1.250%, 04/30/2019@ | $ | 63,600,000 | $ | 62,273,367 | 2.2 | % | ||||||
5.250%, 11/15/2028 | 56,975,000 | 72,429,469 | 2.6 | % | ||||||||
4.375%, 02/15/2038 | 93,000,000 | 108,897,234 | 3.8 | % | ||||||||
Total U.S. Treasury Securities | ||||||||||||
(Cost $258,741,626) | 243,600,070 | 8.6 | % | |||||||||
Taxable Municipal Bonds | ||||||||||||
Other Taxable Municipal Bonds# | 57,440,196 | 2.0 | % | |||||||||
Total Taxable Municipal Bonds | ||||||||||||
(Cost $55,836,393) | 57,440,196 | 2.0 | % | |||||||||
Other Government Related Securities | ||||||||||||
Other Government Related Securities#~ | 55,077,463 | 2.0 | % | |||||||||
Total Other Government Related Securities | ||||||||||||
(Cost $56,610,305) | 55,077,463 | 2.0 | % | |||||||||
Corporate Bonds | ||||||||||||
Industrials | ||||||||||||
Fidelity National Information Services, Inc. | ||||||||||||
7.875%, 07/15/2020 | 11,884,000 | 13,101,551 | 0.5 | % | ||||||||
Murphy Oil Corporation | ||||||||||||
4.000%, 06/01/2022 | 12,600,000 | 12,035,772 | 0.4 | % | ||||||||
Nabors Industries, Inc. | ||||||||||||
9.250%, 01/15/2019 | 11,448,000 | 14,203,843 | 0.5 | % | ||||||||
Rio Tinto Finance (USA) Limited | ||||||||||||
9.000%, 05/01/2019 f | 11,000,000 | 14,290,012 | 0.5 | % | ||||||||
Walgreen Co. | ||||||||||||
5.250%, 01/15/2019 | 10,000,000 | 11,311,940 | 0.4 | % | ||||||||
Other Industrials#~ | 525,601,293 | 18.4 | % | |||||||||
Total Industrials | ||||||||||||
(Cost $600,495,739) | 590,544,411 | 20.7 | % |
The accompanying notes are in integral part of these financial statements.
Page 43
Baird Core Plus Bond Fund
Summary Schedule of Investments, June 30, 2013 (Unaudited)
Long-Term Investments (cont.)
Principal | Market | % of | ||||||||||
Amount | Value | Net Assets | ||||||||||
Utility | ||||||||||||
DCP Midstream, LLC | ||||||||||||
9.750%, 03/15/2019 (Acquired 02/29/2012 | ||||||||||||
through 12/12/2012, Cost $11,588,302)* | $ | 9,155,000 | $ | 11,806,572 | 0.4 | % | ||||||
Other Utility#~ | 167,696,824 | 5.8 | % | |||||||||
Total Utility | ||||||||||||
(Cost $177,365,760) | 179,503,396 | 6.2 | % | |||||||||
Finance | ||||||||||||
Associates Corporation of North America | ||||||||||||
6.950%, 11/01/2018 | 10,313,000 | 12,213,696 | 0.4 | % | ||||||||
Barclays Bank PLC | ||||||||||||
6.750%, 05/22/2019 f | 9,850,000 | 11,733,783 | 0.4 | % | ||||||||
John Hancock Life Insurance Company | ||||||||||||
7.375%, 02/15/2024 (Acquired 08/26/2010 | ||||||||||||
through 04/11/2013, Cost $12,212,455)* | 9,765,000 | 11,856,585 | 0.4 | % | ||||||||
Regions Bank | ||||||||||||
7.500%, 05/15/2018 | 14,034,000 | 16,369,356 | 0.6 | % | ||||||||
Simon Property Group, L.P. | ||||||||||||
1.500%, 02/01/2018 | ||||||||||||
(Acquired 12/10/2012, Cost $11,962,200)* | 12,000,000 | 11,558,292 | 0.4 | % | ||||||||
Other Finance#~ | 578,318,037 | 20.3 | % | |||||||||
Total Finance | ||||||||||||
(Cost $631,106,951) | 642,049,749 | 22.5 | % | |||||||||
Residential Mortgage-Backed Securities | ||||||||||||
U.S. Government Agency Issues | ||||||||||||
Federal Gold Loan Mortgage Corporation (FGLMC): | ||||||||||||
3.000%, 05/01/2027 | 14,934,429 | 15,419,425 | 0.6 | % | ||||||||
4.500%, 08/01/2040 | 12,359,993 | 13,026,348 | 0.5 | % | ||||||||
3.500%, 06/01/2042 | 14,585,825 | 14,794,616 | 0.5 | % | ||||||||
3.500%, 07/01/2042 | 48,633,705 | 49,329,878 | 1.7 | % | ||||||||
3.000%, 08/01/2042 | 39,374,906 | 38,438,553 | 1.4 | % | ||||||||
3.000%, 10/01/2042 | 21,080,275 | 20,578,976 | 0.7 | % | ||||||||
3.000%, 02/01/2043 | 12,325,657 | 12,032,547 | 0.4 | % | ||||||||
4.500%-6.500%, 12/01/2020-08/01/2040 | 20,597,262 | 21,741,775 | 0.7 | % | ||||||||
Federal National Mortgage Association (FNMA): | ||||||||||||
3.000%, 04/01/2027 | 27,791,257 | 28,619,960 | 1.0 | % | ||||||||
2.500%, 12/01/2027 | 27,744,982 | 27,952,739 | 1.0 | % | ||||||||
4.500%, 07/01/2030 | 17,188,061 | 18,208,072 | 0.7 | % | ||||||||
4.000%, 11/01/2031 | 14,550,924 | 15,198,007 | 0.6 | % | ||||||||
5.000%, 07/01/2035 | 15,684,655 | 16,937,626 | 0.6 | % | ||||||||
4.000%, 01/01/2041 | 11,575,302 | 12,064,802 | 0.4 | % | ||||||||
4.000%, 02/01/2041 | 22,683,601 | 23,716,937 | 0.8 | % | ||||||||
4.000%, 09/01/2041 | 10,758,051 | 11,223,074 | 0.4 | % | ||||||||
3.500%, 06/01/2042 | 15,142,745 | 15,392,647 | 0.6 | % | ||||||||
3.000%-7.500%, 12/25/2019-05/01/2042 | 91,091,495 | 95,727,589 | 3.2 | % |
The accompanying notes are in integral part of these financial statements.
Page 44
Baird Core Plus Bond Fund
Summary Schedule of Investments, June 30, 2013 (Unaudited)
Long-Term Investments (cont.)
Principal | Market | % of | ||||||||||
Amount | Value | Net Assets | ||||||||||
Government National Mortgage Association (GNMA): | ||||||||||||
4.500%, 01/20/2041 | $ | 22,415,679 | $ | 24,161,663 | 0.9 | % | ||||||
4.000%, 06/20/2042 | 45,015,601 | 47,370,625 | 1.7 | % | ||||||||
3.500%, 09/20/2042 | 22,440,837 | 23,070,222 | 0.8 | % | ||||||||
4.500%-6.500%, 12/20/2028-07/20/2040 | 8,614,149 | 9,346,819 | 0.3 | % | ||||||||
Other U.S. Government Agency Issues# | 247,268 | 0.0 | % | |||||||||
Total U.S. Government Agency Issues | ||||||||||||
(Cost $563,854,377) | 554,600,168 | 19.5 | % | |||||||||
Non-U.S. Government Agency Issues | ||||||||||||
GSR Mortgage Loan Trust | ||||||||||||
Series 2005-3F, Class 2A4, 6.000%, 03/25/2035 | 12,575,612 | 12,713,227 | 0.5 | % | ||||||||
Sequoia Mortgage Trust | ||||||||||||
Series 2013-6, Class A2, 3.000%, 05/25/2043 | 19,894,223 | 18,743,640 | 0.7 | % | ||||||||
Other Non-U.S. Government Agency Issues# | 86,182,813 | 2.9 | % | |||||||||
Total Non-U.S. Government Agency Issues | ||||||||||||
(Cost $119,025,941) | 117,639,680 | 4.1 | % | |||||||||
Asset Backed Securities | ||||||||||||
ACE Securities Corp Home Equity Loan Trust Series | ||||||||||||
Series 2006-OP1, 0.343%, 04/25/2036 | 15,509,709 | 14,554,311 | 0.5 | % | ||||||||
Bear Stearns Asset Backed Securities I Trust | ||||||||||||
Series 2007-HE4, Class 1A1, 0.313%, 05/25/2037 | 11,828,576 | 11,108,559 | 0.4 | % | ||||||||
Morgan Stanley Home Equity Loan Trust | ||||||||||||
Series 2006-2, Class A3, 0.363%, 02/25/2036 | 15,779,959 | 15,357,893 | 0.6 | % | ||||||||
Soundview Home Equity Loan Trust | ||||||||||||
Series 2005-OPT4, Class 2A3, 0.453%, 12/25/2035 | 12,185,151 | 12,017,045 | 0.4 | % | ||||||||
Other Asset Backed Securities#~ | 79,966,996 | 2.8 | % | |||||||||
Total Asset Backed Securities | ||||||||||||
(Cost $133,133,340) | 133,004,804 | 4.7 | % | |||||||||
Commercial Mortgage-Backed Securities | ||||||||||||
Citigroup Deutsche Bank | ||||||||||||
Series 2005-CD1, Class A4, 5.392%, 07/15/2044 | 15,751,219 | 16,919,896 | 0.6 | % | ||||||||
Commercial Mortgage Trust: | ||||||||||||
Series 2012-CR1, Class A3, 3.391%, 05/15/2045 | 25,592,000 | 25,061,555 | 0.9 | % | ||||||||
Series 2012-CR2, Class A4, 3.147%, 08/15/2045 | 23,700,000 | 22,661,253 | 0.8 | % | ||||||||
5.116%, 06/10/2044 | 5,987,000 | 6,417,807 | 0.2 | % | ||||||||
GE Capital Commercial Mortgage Corporation | ||||||||||||
Series 2005-C4, Class A4, 5.471%, 11/10/2045 | 12,795,000 | 13,838,112 | 0.5 | % | ||||||||
J.P. Morgan Chase Commercial Mortgage Trust: | ||||||||||||
Series 2005-CB12, Class A4, 4.895%, 09/12/2037 | 17,525,000 | 18,673,063 | 0.7 | % | ||||||||
Series 2013-LC11, Class A5, 2.960%, 04/17/2046 | 12,075,000 | 11,248,623 | 0.4 | % | ||||||||
Morgan Stanley Bank of America Merrill Lynch Trust | ||||||||||||
Series 2012-C6, Class A4, 2.858%, 11/17/2045 | 25,410,000 | 23,667,611 | 0.8 | % |
The accompanying notes are in integral part of these financial statements.
Page 45
Baird Core Plus Bond Fund
Summary Schedule of Investments, June 30, 2013 (Unaudited)
Long-Term Investments (cont.)
Principal | Market | % of | ||||||||||
Amount | Value | Net Assets | ||||||||||
Morgan Stanley Capital I Trust | ||||||||||||
Series 2005-HQ7, Class A4, 5.378%, 11/14/2042 | $ | 19,275,000 | $ | 20,723,883 | 0.7 | % | ||||||
WF-RBS Commercial Mortgage Trust | ||||||||||||
Series 2012-C6, Class A4, 3.440%, 04/15/2045 | 13,700,000 | 13,541,244 | 0.5 | % | ||||||||
Other Commercial Mortgage Backed Securities# | 13,811,992 | 0.4 | % | |||||||||
Total Commercial Mortgage Backed Securities | ||||||||||||
(Cost $195,151,448) | 186,565,039 | 6.5 | % | |||||||||
Total Long-Term Investments | ||||||||||||
(Cost $2,791,321,880) | 2,760,024,976 | 96.8 | % | |||||||||
Short-Term Investments | ||||||||||||
Shares | ||||||||||||
Money Market Mutual Funds | ||||||||||||
Dreyfus Institutional Cash Advantage Fund, 0.04%« | 21,651,048 | 21,651,048 | 0.8 | % | ||||||||
Short-Term Investments Trust – | ||||||||||||
Liquid Assets Portfolio, 0.09%« | 55,000,000 | 55,000,000 | 1.9 | % | ||||||||
Total Short-Term Investments | ||||||||||||
(Cost $76,651,048) | 76,651,048 | 2.7 | % | |||||||||
Investments Purchased with Cash | ||||||||||||
Proceeds from Securities Lending | ||||||||||||
Principal | ||||||||||||
Amount | ||||||||||||
Commercial Paper | ||||||||||||
Atlantic East Funding LLC, 0.545%, 03/25/2014†** | $ | 215,971 | 172,406 | 0.0 | % | |||||||
Total Commercial Paper | ||||||||||||
(Cost $215,971) | 172,406 | 0.0 | % | |||||||||
Shares | ||||||||||||
Investment Companies | ||||||||||||
Mount Vernon Securities Lending | ||||||||||||
Trust Prime Portfolio, 0.21%« | 173,151,120 | 173,151,120 | 6.1 | % | ||||||||
Total Investment Companies | ||||||||||||
(Cost $173,151,120) | 173,151,120 | 6.1 | % | |||||||||
Total Investments Purchased With | ||||||||||||
Cash Proceeds From Securities Lending | ||||||||||||
(Cost $173,367,091) | 173,323,526 | 6.1 | % | |||||||||
Total Investments | ||||||||||||
(Cost $3,041,340,019) | 3,009,999,550 | 105.6 | % |
The accompanying notes are in integral part of these financial statements.
Page 46
Baird Core Plus Bond Fund
Summary Schedule of Investments, June 30, 2013 (Unaudited)
Investments Purchased with Cash
Proceeds from Securities Lending (cont.)
Market | % of | |||||||||
Shares | Value | Net Assets | ||||||||
Asset Relating to Securities Lending Investments | ||||||||||
Support Agreement**^a† | $ | 43,565 | 0.0 | % | ||||||
Total | ||||||||||
(Cost $0) | 43,565 | 0.0 | % | |||||||
Liabilities in Excess of Other Assets | (159,962,724 | ) | (5.6 | )% | ||||||
TOTAL NET ASSETS | $ | 2,850,080,391 | 100.0 | % |
Notes to Summary Schedule of Investments
# | Represents the aggregate value, by category, of securities that are not among the 50 largest holdings and, in total for any issuer, represent 1% or less of net assets. | |
* | Restricted Security Deemed Liquid | |
** | Illiquid Security | |
@ | This security or portion of this security is out on loan at June 30, 2013. | |
f | Foreign Security | |
^ | Non-Income Producing | |
« | 7-Day Yield | |
† | Priced at Fair Value by the Valuation Committee as delegated by the Baird Funds’ Board of Directors. | |
a | The Fund’s transfer agent and administrator and securities lending agent entered into a support agreement with the Fund to cover losses realized by the Fund on its investment in Atlantic East Funding, LLC (up to a certain amount), which investment was made by the Fund’s securities lending agent. | |
~ | Groupings contain, in aggregate, restricted securities totaling $355,496,599 representing 12.47% of net assets. |
Summary of Fair Value Exposure at June 30, 2013
The Fund has adopted authoritative fair valuation accounting standards which establish a definition of fair value and set out a hierarchy for measuring fair value. These standards require additional disclosures about the various inputs and valuation techniques used to develop the measurements of fair value and a discussion on changes in valuation techniques and related inputs during the period. These standards define fair value as 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 fair value hierarchy is organized into three levels based upon the assumptions (referred to as “inputs”) used in pricing the asset or liability. These standards state that “observable inputs” reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from independent sources and “unobservable inputs” reflect an entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability. These inputs are summarized into three broad levels and described below:
Level 1 – | Unadjusted quoted prices in active markets for identical unrestricted securities. |
Level 2 – | Other significant observable inputs (including quoted prices for similar securities, quoted prices in inactive markets, dealer indications, interest rates, yield curves, prepayment speeds, credit risk, default rates, inputs corroborated by observable market data, etc.). |
Level 3 – | Significant unobservable inputs (including the Fund’s own assumptions about the factors that market participants would use in valuing the security) based on the best information available. |
The accompanying notes are in integral part of these financial statements.
Page 47
Baird Core Plus Bond Fund
Summary Schedule of Investments, June 30, 2013 (Unaudited)
Summary of Fair Value Exposure at June 30, 2013 (cont.)
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used to value the Fund’s investments as of June 30, 2013:
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Fixed Income | ||||||||||||||||
U.S. Treasury Securities | $ | — | $ | 243,600,070 | $ | — | $ | 243,600,070 | ||||||||
Taxable Municipal Bonds | — | 57,440,196 | — | 57,440,196 | ||||||||||||
Other Government Related Securities | — | 55,077,463 | — | 55,077,463 | ||||||||||||
Corporate Bonds | — | 1,412,092,881 | 4,675 | 1,412,097,556 | ||||||||||||
Residential Mortgage-Backed Securities – | ||||||||||||||||
U.S. Government Agency Issues | — | 554,600,168 | — | 554,600,168 | ||||||||||||
Residential Mortgage-Backed Securities – | ||||||||||||||||
Non - U.S. Government Agency Issues | — | 117,639,680 | — | 117,639,680 | ||||||||||||
Asset Backed Securities | — | 133,004,804 | — | 133,004,804 | ||||||||||||
Commercial Mortgage-Backed Securities | — | 186,565,039 | — | 186,565,039 | ||||||||||||
Total Fixed Income | — | 2,760,020,301 | 4,675 | 2,760,024,976 | ||||||||||||
Short-Term Investments | ||||||||||||||||
Money Market Mutual Funds | 76,651,048 | — | — | 76,651,048 | ||||||||||||
Total Short-Term Investments | 76,651,048 | — | — | 76,651,048 | ||||||||||||
Investments Purchased with Cash | ||||||||||||||||
Proceeds from Securities Lending | ||||||||||||||||
Commercial Paper | — | 172,406 | — | 172,406 | ||||||||||||
Money Market Mutual Fund | 173,151,120 | — | — | 173,151,120 | ||||||||||||
Total Investments Purchased | ||||||||||||||||
with Cash Proceeds | ||||||||||||||||
from Securities Lending | 173,151,120 | 172,406 | — | 173,323,526 | ||||||||||||
Total Investments | $ | 249,802,168 | $ | 2,760,192,707 | $ | 4,675 | $ | 3,009,999,550 | ||||||||
Asset Relating to Securities | ||||||||||||||||
Lending Investments | $ | — | $ | 43,565 | $ | — | $ | 43,565 |
Changes in valuation techniques may result in transfers into or out of current assigned levels within the hierarchy. There were no transfers between Level 1, Level 2 and Level 3 fair value measurements during the reporting period, as compared to their classification from the prior year’s annual report. One security that is priced at fair value by the Valuation Committee instead of the Fund’s pricing vendor is valued using level 3 inputs.
The accompanying notes are in integral part of these financial statements.
Page 48
Baird Core Plus Bond Fund
Summary Schedule of Investments, June 30, 2013 (Unaudited)
Summary of Fair Value Exposure at June 30, 2013 (cont.)
Level 3 Reconciliation Disclosure
Following is a reconciliation of Level 3 assets for which significant unobservable inputs were used to determine fair value.
Description | Investments in Securities | ||||
Balance as of December 31, 2012 | $ | 4,675 | |||
Accrued discounts/premiums | — | ||||
Realized gain (loss) | — | ||||
Change in unrealized appreciation (depreciation) | — | ||||
Purchases | — | ||||
Sales | — | ||||
Transfers in and/or out of Level 3* | — | ||||
Balance as of June 30, 2013 | $ | 4,675 |
* Transfers between levels are recognized at the end of the reporting period.
The accompanying notes are in integral part of these financial statements.
Page 49
Additional Information on Fund Expenses
June 30, 2013 (Unaudited)
As a shareholder of a mutual fund, you incur two types of costs: (1) transaction costs, which may include sales charges (loads) on purchase payments, reinvested dividends, or other distributions; redemption fees; and exchange fees; and (2) ongoing costs, such as management fees; distribution and/or service (12b-1) fees; and other fund expenses. Although the Funds do not charge any sales loads, redemption fees, or other transaction fees, you will be assessed fees for outgoing wire transfers, returned checks and stop payment orders at prevailing rates charged by U.S. Bancorp Fund Services, LLC, the Funds’ transfer agent. If you request that a redemption be made by wire transfer, currently the Funds’ transfer agent charges a $15.00 fee.
This Example is intended to help you understand your ongoing costs (in dollars) of investing in each Fund and to compare these costs with the ongoing costs of investing in other mutual funds. The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (1/1/13 – 6/30/13).
Actual Expenses
The third and fourth columns of the following table provide information about account values based on actual returns and actual expenses. You may use the information in these columns, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the fourth column entitled “Expenses Paid During Period’’ to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The fifth and sixth columns of the following table provide information about hypothetical account values and hypothetical expenses based on the Funds’ actual expense ratios and an assumed rate of return of 5% per year before expenses, which is not the Funds’ actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Funds and other mutual funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other mutual funds. Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs. Therefore, the sixth column of the table (entitled “Expenses Paid During Period”) is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different mutual funds. In addition, if these transactional costs were included, your costs could have been higher.
Page 50
Additional Information on Fund Expenses
June 30, 2013 (Unaudited)
Actual vs. Hypothetical Returns
Hypothetical | |||||||||||
(5% return | |||||||||||
Actual | before expenses) | ||||||||||
Fund’s | Beginning | Ending | Expenses | Ending | Expenses | ||||||
Annualized | Account | Account | Paid | Account | Paid | ||||||
Expense | Value | Value | During | Value | During | ||||||
Ratio(1) | 1/1/13 | 6/30/13 | Period(1) | 6/30/13 | Period(1) | ||||||
Baird Short-Term | |||||||||||
Bond Fund | |||||||||||
Institutional Class | 0.30% | $1,000.00 | $1,001.60 | $1.49 | $1,023.31 | $1.51 | |||||
Investor Class | 0.55% | $1,000.00 | $1,000.70 | $2.73 | $1,022.07 | $2.76 | |||||
Baird Intermediate | |||||||||||
Bond Fund | |||||||||||
Institutional Class | 0.30% | $1,000.00 | $ 986.90 | $1.48 | $1,023.31 | $1.51 | |||||
Investor Class | 0.55% | $1,000.00 | $ 986.30 | $2.71 | $1,022.07 | $2.76 | |||||
Baird Intermediate | |||||||||||
Municipal Bond Fund | |||||||||||
Institutional Class | 0.30% | $1,000.00 | $ 978.30 | $1.47 | $1,023.31 | $1.51 | |||||
Investor Class | 0.55% | $1,000.00 | $ 976.70 | $2.70 | $1,022.07 | $2.76 | |||||
Baird Aggregate | |||||||||||
Bond Fund | |||||||||||
Institutional Class | 0.30% | $1,000.00 | $ 979.30 | $1.47 | $1,023.31 | $1.51 | |||||
Investor Class | 0.55% | $1,000.00 | $ 977.90 | $2.70 | $1,022.07 | $2.76 | |||||
Baird Core Plus | |||||||||||
Bond Fund | |||||||||||
Institutional Class | 0.30% | $1,000.00 | $ 974.00 | $1.47 | $1,023.31 | $1.51 | |||||
Investor Class | 0.55% | $1,000.00 | $ 972.90 | $2.69 | $1,022.07 | $2.76 |
(1) | Expenses are equal to the Fund’s annualized net expense ratio multiplied by the average account value over the period, multiplied by 181 days and divided by 365 to reflect the one-half year period. |
Page 51
Statement of Assets and Liabilities
June 30, 2013 (Unaudited)
Baird | ||||||||||||
Baird | Baird | Intermediate | ||||||||||
Short-Term | Intermediate | Municipal | ||||||||||
Bond Fund | Bond Fund | Bond Fund | ||||||||||
ASSETS: | ||||||||||||
Investments, at value | ||||||||||||
(cost $1,530,748,268, $1,101,275,377 | ||||||||||||
and $1,051,118,292, respectively)* | $ | 1,531,535,949 | $ | 1,111,077,903 | $ | 1,079,028,600 | ||||||
Support Agreement (Note 6) | 138,144 | 349,070 | — | |||||||||
Interest receivable | 14,683,542 | 9,353,209 | 13,171,678 | |||||||||
Receivable for investments sold or paid down | 207,505 | 3,311,045 | — | |||||||||
Receivable for Fund shares sold | 55,194,764 | 27,937,328 | 955,783 | |||||||||
Uninvested cash | — | 11,761 | 11,876,338 | |||||||||
Total assets | 1,601,759,904 | 1,152,040,316 | 1,105,032,399 | |||||||||
LIABILITIES: | ||||||||||||
Payable for collateral received | ||||||||||||
for securities loaned (Note 6) | 55,853,039 | 146,294,798 | — | |||||||||
Payable for securities purchased | 43,901,473 | 13,661,684 | 191,803 | |||||||||
Payable for Fund shares repurchased | 6,223,386 | 1,166,759 | 1,176,970 | |||||||||
Payable to Advisor and Distributor | 364,611 | 255,742 | 400,708 | |||||||||
Other liabilities | 178,315 | 77,902 | 438 | |||||||||
Total liabilities | 106,520,824 | 161,456,885 | 1,769,919 | |||||||||
NET ASSETS | $ | 1,495,239,080 | $ | 990,583,431 | $ | 1,103,262,480 | ||||||
NET ASSETS CONSIST OF: | ||||||||||||
Capital stock | $ | 1,490,713,972 | $ | 974,803,480 | $ | 1,073,818,033 | ||||||
Undistributed net investment income | 368,440 | 348,190 | 481,017 | |||||||||
Accumulated net realized gain | ||||||||||||
on investments sold | 3,230,843 | 5,280,165 | 1,053,122 | |||||||||
Net unrealized appreciation on | ||||||||||||
investments and support agreement | 925,825 | 10,151,596 | 27,910,308 | |||||||||
NET ASSETS | $ | 1,495,239,080 | $ | 990,583,431 | $ | 1,103,262,480 | ||||||
INSTITUTIONAL CLASS SHARES | ||||||||||||
Net Assets | $ | 1,490,773,128 | $ | 954,366,740 | $ | 867,211,183 | ||||||
Shares outstanding ($0.01 par value, | ||||||||||||
unlimited shares authorized) | 153,973,770 | 86,524,920 | 74,791,202 | |||||||||
Net asset value, offering and | ||||||||||||
redemption price per share | $ | 9.68 | $ | 11.03 | $ | 11.60 | ||||||
INVESTOR CLASS SHARES | ||||||||||||
Net Assets | $ | 4,465,952 | $ | 36,216,691 | $ | 236,051,297 | ||||||
Shares outstanding ($0.01 par value, | ||||||||||||
unlimited shares authorized) | 461,284 | 3,160,494 | 19,934,290 | |||||||||
Net asset value, offering and | ||||||||||||
redemption price per share | $ | 9.68 | $ | 11.46 | $ | 11.84 |
* | Includes securities out on loan to brokers with a market value of $54,640,146, $142,835,614 and $0, respectively. |
The accompanying notes are in integral part of these financial statements.
Page 52
Statement of Assets and Liabilities
June 30, 2013 (Unaudited)
Baird | Baird | |||||||
Aggregate | Core Plus | |||||||
Bond Fund | Bond Fund | |||||||
ASSETS: | ||||||||
Investments, at value (cost $1,790,117,326 | ||||||||
and $3,041,340,019, respectively)* | $ | 1,797,120,801 | $ | 3,009,999,550 | ||||
Support Agreement (Note 6) | 479,263 | 43,565 | ||||||
Interest receivable | 13,133,505 | 25,429,706 | ||||||
Receivable for investments sold or paid down | 7,204,421 | 4,802,102 | ||||||
Receivable for Fund shares sold | 34,887,879 | 6,907,883 | ||||||
Uninvested cash | 73,353 | 15,894 | ||||||
Total assets | 1,852,899,222 | 3,047,198,700 | ||||||
LIABILITIES: | ||||||||
Payable for collateral received | ||||||||
for securities loaned (Note 6) | 85,765,003 | 173,381,336 | ||||||
Payable for securities purchased | 41,674,374 | 17,650,118 | ||||||
Payable for Fund shares repurchased | 3,991,215 | 4,835,569 | ||||||
Payable to Advisor and Distributor | 469,986 | 1,219,973 | ||||||
Other liabilities | 145,503 | 31,313 | ||||||
Total liabilities | 132,046,081 | 197,118,309 | ||||||
NET ASSETS | $ | 1,720,853,141 | $ | 2,850,080,391 | ||||
NET ASSETS CONSIST OF: | ||||||||
Capital stock | $ | 1,712,493,892 | $ | 2,877,231,929 | ||||
Distributions in excess of net investment income | (1,345,437 | ) | (1,770,507 | ) | ||||
Accumulated net realized gain | ||||||||
on investments sold | 2,221,948 | 5,915,873 | ||||||
Net unrealized appreciation (depreciation) | ||||||||
on investments and support agreement | 7,482,738 | (31,296,904 | ) | |||||
NET ASSETS | $ | 1,720,853,141 | $ | 2,850,080,391 | ||||
INSTITUTIONAL CLASS SHARES | ||||||||
Net Assets | $ | 1,604,972,082 | $ | 1,736,001,995 | ||||
Shares outstanding ($0.01 par value, | ||||||||
unlimited shares authorized) | 152,922,335 | 160,407,204 | ||||||
Net asset value, offering and | ||||||||
redemption price per share | $ | 10.50 | $ | 10.82 | ||||
INVESTOR CLASS SHARES | ||||||||
Net Assets | $ | 115,881,059 | $ | 1,114,078,396 | ||||
Shares outstanding ($0.01 par value, | ||||||||
unlimited shares authorized) | 10,722,446 | 99,419,417 | ||||||
Net asset value, offering and | ||||||||
redemption price per share | $ | 10.81 | $ | 11.21 |
* | Includes securities out on loan to brokers with a market value of $84,053,267 and $170,136,892 respectively. |
The accompanying notes are in integral part of these financial statements.
Page 53
Statement of Operations
Six Months Ended June 30, 2013 (Unaudited)
Baird | ||||||||||||||||||||
Baird | Baird | Intermediate | Baird | Baird | ||||||||||||||||
Short-Term | Intermediate | Municipal | Aggregate | Core Plus | ||||||||||||||||
Bond Fund | Bond Fund | Bond Fund | Bond Fund | Bond Fund | ||||||||||||||||
INVESTMENT INCOME: | ||||||||||||||||||||
Interest income, | ||||||||||||||||||||
net of paydowns | $ | 15,233,842 | $ | 12,699,795 | $ | 17,385,897 | $ | 26,756,033 | $ | 42,114,729 | ||||||||||
Income from securities | ||||||||||||||||||||
lending (Note 6) | 60,574 | 80,136 | — | 84,082 | 133,414 | |||||||||||||||
Total investment income | 15,294,416 | 12,779,931 | 17,385,897 | 26,840,115 | 42,248,143 | |||||||||||||||
EXPENSES: | ||||||||||||||||||||
Investment advisory fees | 1,789,631 | 1,158,350 | 1,492,751 | 2,055,352 | 3,475,248 | |||||||||||||||
Administration fees | 357,926 | 231,670 | 298,550 | 411,071 | 695,050 | |||||||||||||||
Distribution expense – | ||||||||||||||||||||
Investor Class Shares | ||||||||||||||||||||
(Note 8) | 3,010 | 40,260 | 315,797 | 110,746 | 1,398,201 | |||||||||||||||
Interest Expense (Note 7) | 3 | — | 944 | — | — | |||||||||||||||
Total expenses | 2,150,570 | 1,430,280 | 2,108,042 | 2,577,169 | 5,568,499 | |||||||||||||||
NET INVESTMENT | ||||||||||||||||||||
INCOME | 13,143,846 | 11,349,651 | 15,277,855 | 24,262,946 | 36,679,644 | |||||||||||||||
REALIZED AND | ||||||||||||||||||||
UNREALIZED | ||||||||||||||||||||
GAIN (LOSS) | ||||||||||||||||||||
ON INVESTMENTS: | ||||||||||||||||||||
Net realized gain | ||||||||||||||||||||
on investments | 2,510,033 | 3,550,659 | 1,816,964 | 3,065,135 | 4,134,376 | |||||||||||||||
Change in unrealized | ||||||||||||||||||||
depreciation | ||||||||||||||||||||
on investments | ||||||||||||||||||||
and support agreement | (13,826,196 | ) | (27,912,180 | ) | (43,454,190 | ) | (64,948,176 | ) | (119,637,059 | ) | ||||||||||
Net realized and | ||||||||||||||||||||
unrealized loss | ||||||||||||||||||||
on investments | (11,316,163 | ) | (24,361,521 | ) | (41,637,226 | ) | (61,883,041 | ) | (115,502,683 | ) | ||||||||||
NET INCREASE | ||||||||||||||||||||
(DECREASE) IN NET | ||||||||||||||||||||
ASSETS RESULTING | ||||||||||||||||||||
FROM OPERATIONS | $ | 1,827,683 | $ | (13,011,870 | ) | $ | (26,359,371 | ) | $ | (37,620,095 | ) | $ | (78,823,039 | ) |
The accompanying notes are in integral part of these financial statements.
Page 54
Statement of Changes in Net Assets
Baird Short-Term Bond Fund
Six Months Ended | ||||||||
June 30, 2013 | Year Ended | |||||||
(Unaudited) | December 31, 2012 | |||||||
OPERATIONS: | ||||||||
Net investment income | $ | 13,143,846 | $ | 25,548,054 | ||||
Net realized gain on investments | 2,510,033 | 2,915,046 | ||||||
Change in unrealized appreciation/depreciation | ||||||||
on investments and support agreement | (13,826,196 | ) | 18,243,680 | |||||
Net increase in net assets resulting from operations | 1,827,683 | 46,706,780 | ||||||
CAPITAL SHARE TRANSACTIONS: | ||||||||
Proceeds from shares sold | 546,183,345 | 638,547,205 | ||||||
Shares issued to holders in reinvestment of distributions | 11,358,776 | 25,364,865 | ||||||
Cost of shares redeemed | (348,465,309 | ) | (402,443,066 | ) | ||||
Net increase in net assets resulting | ||||||||
from capital share transactions | 209,076,812 | 261,469,004 | ||||||
DISTRIBUTIONS TO | ||||||||
INSTITUTIONAL CLASS SHAREHOLDERS: | ||||||||
From net investment income | (12,801,281 | ) | (26,295,016 | ) | ||||
From net realized gains | — | (1,945,462 | ) | |||||
Total Distributions | (12,801,281 | ) | (28,240,478 | ) | ||||
DISTRIBUTIONS TO | ||||||||
INVESTOR CLASS SHAREHOLDERS: | ||||||||
From net investment income | (22,650 | ) | (4,660 | ) | ||||
From net realized gains | — | (2,217 | ) | |||||
Total Distributions | (22,650 | ) | (6,877 | ) | ||||
TOTAL INCREASE IN NET ASSETS | 198,080,564 | 279,928,429 | ||||||
NET ASSETS: | ||||||||
Beginning of period | 1,297,158,516 | 1,017,230,087 | ||||||
End of period (including undistributed net investment | ||||||||
income of $368,440 and $48,525, respectively) | $ | 1,495,239,080 | $ | 1,297,158,516 |
The accompanying notes are in integral part of these financial statements.
Page 55
Statement of Changes in Net Assets
Baird Intermediate Bond Fund
Six Months Ended | ||||||||
June 30, 2013 | Year Ended | |||||||
(Unaudited) | December 31, 2012 | |||||||
OPERATIONS: | ||||||||
Net investment income | $ | 11,349,651 | $ | 23,158,338 | ||||
Net realized gain on investments | 3,550,659 | 11,899,430 | ||||||
Change in unrealized appreciation/depreciation | ||||||||
on investments and support agreement | (27,912,180 | ) | 14,062,432 | |||||
Net increase (decrease) in net assets resulting from operations | (13,011,870 | ) | 49,120,200 | |||||
CAPITAL SHARE TRANSACTIONS: | ||||||||
Proceeds from shares sold | 192,452,949 | 272,848,000 | ||||||
Shares issued to holders in reinvestment of distributions | 9,257,228 | 27,351,259 | ||||||
Cost of shares redeemed | (81,178,613 | ) | (139,799,278 | ) | ||||
Net increase in net assets resulting | ||||||||
from capital share transactions | 120,531,564 | 160,399,981 | ||||||
DISTRIBUTIONS TO | ||||||||
INSTITUTIONAL CLASS SHAREHOLDERS: | ||||||||
From net investment income | (10,804,739 | ) | (22,946,240 | ) | ||||
From net realized gains | — | (9,536,285 | ) | |||||
Total Distributions | (10,804,739 | ) | (32,482,525 | ) | ||||
DISTRIBUTIONS TO | ||||||||
INVESTOR CLASS SHAREHOLDERS: | ||||||||
From net investment income | (339,897 | ) | (496,752 | ) | ||||
From net realized gains | — | (277,674 | ) | |||||
Total Distributions | (339,897 | ) | (774,426 | ) | ||||
TOTAL INCREASE IN NET ASSETS | 96,375,058 | 176,263,230 | ||||||
NET ASSETS: | ||||||||
Beginning of period | 894,208,373 | 717,945,143 | ||||||
End of period (including undistributed net investment | ||||||||
income of $348,190 and $143,175, respectively) | $ | 990,583,431 | $ | 894,208,373 |
The accompanying notes are in integral part of these financial statements.
Page 56
Statement of Changes in Net Assets
Baird Intermediate Municipal Bond Fund
Six Months Ended | ||||||||
June 30, 2013 | Year Ended | |||||||
(Unaudited) | December 31, 2012 | |||||||
OPERATIONS: | ||||||||
Net investment income | $ | 15,277,855 | $ | 28,802,477 | ||||
Net realized gain (loss) on investments | 1,816,964 | (576,946 | ) | |||||
Change in unrealized appreciation/depreciation | ||||||||
on investments and support agreement | (43,454,190 | ) | 7,863,442 | |||||
Net increase (decrease) in net assets resulting from operations | (26,359,371 | ) | 36,088,973 | |||||
CAPITAL SHARE TRANSACTIONS: | ||||||||
Proceeds from shares sold | 196,959,871 | 466,665,428 | ||||||
Shares issued to holders in reinvestment of distributions | 12,452,047 | 24,192,460 | ||||||
Cost of shares redeemed | (286,639,494 | ) | (370,530,966 | ) | ||||
Net increase (decrease) in net assets | ||||||||
resulting from capital share transactions | (77,227,576 | ) | 120,326,922 | |||||
DISTRIBUTIONS TO | ||||||||
INSTITUTIONAL CLASS SHAREHOLDERS: | ||||||||
From net investment income | (11,958,919 | ) | (23,091,313 | ) | ||||
Total Distributions | (11,958,919 | ) | (23,091,313 | ) | ||||
DISTRIBUTIONS TO | ||||||||
INVESTOR CLASS SHAREHOLDERS: | ||||||||
From net investment income | (2,837,919 | ) | (5,746,219 | ) | ||||
Total Distributions | (2,837,919 | ) | (5,746,219 | ) | ||||
TOTAL INCREASE (DECREASE) IN NET ASSETS | (118,383,785 | ) | 127,578,363 | |||||
NET ASSETS: | ||||||||
Beginning of period | 1,221,646,265 | 1,094,067,902 | ||||||
End of period (including undistributed net investment | ||||||||
income of $481,017 and $0, respectively) | $ | 1,103,262,480 | $ | 1,221,646,265 |
The accompanying notes are in integral part of these financial statements.
Page 57
Statement of Changes in Net Assets
Baird Aggregate Bond Fund
Six Months Ended | ||||||||
June 30, 2013 | Year Ended | |||||||
(Unaudited) | December 31, 2012 | |||||||
OPERATIONS: | ||||||||
Net investment income | $ | 24,262,946 | $ | 51,876,256 | ||||
Net realized gain on investments | 3,065,135 | 35,762,825 | ||||||
Change in unrealized appreciation/depreciation | ||||||||
on investments and support agreement | (64,948,176 | ) | 23,619,570 | |||||
Net increase (decrease) in net assets resulting from operations | (37,620,095 | ) | 111,258,651 | |||||
CAPITAL SHARE TRANSACTIONS: | ||||||||
Proceeds from shares sold | 427,614,644 | 640,965,634 | ||||||
Shares issued to holders in reinvestment of distributions | 20,488,357 | 67,166,621 | ||||||
Cost of shares redeemed | (208,773,836 | ) | (700,577,380 | ) | ||||
Net increase in net assets resulting | ||||||||
from capital share transactions | 239,329,165 | 7,554,875 | ||||||
DISTRIBUTIONS TO | ||||||||
INSTITUTIONAL CLASS SHAREHOLDERS: | ||||||||
From net investment income | (24,395,584 | ) | (56,119,715 | ) | ||||
From net realized gains | — | (22,329,198 | ) | |||||
Total Distributions | (24,395,584 | ) | (78,448,913 | ) | ||||
DISTRIBUTIONS TO | ||||||||
INVESTOR CLASS SHAREHOLDERS: | ||||||||
From net investment income | (1,309,514 | ) | (1,226,159 | ) | ||||
From net realized gains | — | (682,825 | ) | |||||
Total Distributions | (1,309,514 | ) | (1,908,984 | ) | ||||
TOTAL INCREASE IN NET ASSETS | 176,003,972 | 38,455,629 | ||||||
NET ASSETS: | ||||||||
Beginning of period | 1,544,849,169 | 1,506,393,540 | ||||||
End of period (including distributions in | ||||||||
excess of net investment income and | ||||||||
undistributed net investment income | ||||||||
of $(1,345,437) and $96,715, respectively) | $ | 1,720,853,141 | $ | 1,544,849,169 |
The accompanying notes are in integral part of these financial statements.
Page 58
Statement of Changes in Net Assets
Baird Core Plus Bond Fund
Six Months Ended | ||||||||
June 30, 2013 | Year Ended | |||||||
(Unaudited) | December 31, 2012 | |||||||
OPERATIONS: | ||||||||
Net investment income | $ | 36,679,644 | $ | 55,364,378 | ||||
Net realized gain on investments | 4,134,376 | 12,662,520 | ||||||
Change in unrealized appreciation/depreciation | ||||||||
on investments and support agreement | (119,637,059 | ) | 64,502,693 | |||||
Net increase (decrease) in net assets resulting from operations | (78,823,039 | ) | 132,529,591 | |||||
CAPITAL SHARE TRANSACTIONS: | ||||||||
Proceeds from shares sold | 805,686,928 | 1,745,509,776 | ||||||
Shares issued to holders in reinvestment of distributions | 36,213,814 | 61,568,260 | ||||||
Cost of shares redeemed | (483,724,582 | ) | (365,015,424 | ) | ||||
Net increase in net assets resulting | ||||||||
from capital share transactions | 358,176,160 | 1,442,062,612 | ||||||
DISTRIBUTIONS TO | ||||||||
INSTITUTIONAL CLASS SHAREHOLDERS: | ||||||||
From net investment income | (24,266,898 | ) | (39,973,418 | ) | ||||
From net realized gains | — | (2,922,050 | ) | |||||
Total Distributions | (24,266,898 | ) | (42,895,468 | ) | ||||
DISTRIBUTIONS TO | ||||||||
INVESTOR CLASS SHAREHOLDERS: | ||||||||
From net investment income | (14,395,295 | ) | (21,217,769 | ) | ||||
From net realized gains | — | (1,858,946 | ) | |||||
Total Distributions | (14,395,295 | ) | (23,076,715 | ) | ||||
TOTAL INCREASE IN NET ASSETS | 240,690,928 | 1,508,620,020 | ||||||
NET ASSETS: | ||||||||
Beginning of period | 2,609,389,463 | 1,100,769,443 | ||||||
End of period (including distributions in | ||||||||
excess of net investment income and | ||||||||
undistributed net investment income | ||||||||
of $(1,770,507) and $212,042, respectively) | $ | 2,850,080,391 | $ | 2,609,389,463 |
The accompanying notes are in integral part of these financial statements.
Page 59
Financial Highlights
Baird Short-Term Bond Fund – Institutional Class
Six Months | ||||||||||||||||||||||||
Ended | ||||||||||||||||||||||||
June 30, 2013 | Year Ended December 31, | |||||||||||||||||||||||
(Unaudited) | 2012 | 2011 | 2010 | 2009 | 2008 | |||||||||||||||||||
Per Share Data: | ||||||||||||||||||||||||
Net asset value, | ||||||||||||||||||||||||
beginning of period | $ | 9.75 | $ | 9.59 | $ | 9.68 | $ | 9.57 | $ | 9.25 | $ | 9.91 | ||||||||||||
Income from | ||||||||||||||||||||||||
investment operations: | ||||||||||||||||||||||||
Net investment income | 0.09 | 0.22 | 0.23 | 0.29 | 0.41 | 0.52 | ||||||||||||||||||
Net realized and unrealized | ||||||||||||||||||||||||
gains (losses) on investments | (0.07 | ) | 0.17 | (0.03 | ) | 0.13 | 0.32 | (0.67 | ) | |||||||||||||||
Total from | ||||||||||||||||||||||||
investment operations | 0.02 | 0.39 | 0.20 | 0.42 | 0.73 | (0.15 | ) | |||||||||||||||||
Less distributions: | ||||||||||||||||||||||||
Dividends from net | ||||||||||||||||||||||||
investment income | (0.09 | ) | (0.22 | ) | (0.23 | ) | (0.29 | ) | (0.41 | ) | (0.51 | ) | ||||||||||||
Distributions from | ||||||||||||||||||||||||
net realized gains | — | (0.01 | ) | (0.06 | ) | (0.02 | ) | — | — | |||||||||||||||
Total distributions | (0.09 | ) | (0.23 | ) | (0.29 | ) | (0.31 | ) | (0.41 | ) | (0.51 | ) | ||||||||||||
Net asset value, end of period | $ | 9.68 | $ | 9.75 | $ | 9.59 | $ | 9.68 | $ | 9.57 | $ | 9.25 | ||||||||||||
Total return | 0.16 | %(1) | 4.16 | % | 2.08 | % | 4.39 | % | 8.14 | % | (1.79 | )% | ||||||||||||
Supplemental data and ratios: | ||||||||||||||||||||||||
Net assets, | ||||||||||||||||||||||||
end of period (millions) | $ | 1,490.8 | $ | 1,295.7 | $ | 1,017.2 | $ | 919.0 | $ | 606.2 | $ | 215.0 | ||||||||||||
Ratio of expenses | ||||||||||||||||||||||||
to average net assets | 0.30 | %(2) | 0.30 | % | 0.30 | % | 0.30 | % | 0.30 | % | 0.30 | % | ||||||||||||
Ratio of net | ||||||||||||||||||||||||
investment income | ||||||||||||||||||||||||
to average net assets | 1.84 | %(2) | 2.23 | % | 2.40 | % | 2.92 | % | 4.28 | % | 5.01 | % | ||||||||||||
Portfolio turnover rate(3) | 24.8 | %(1) | 40.1 | % | 61.1 | % | 58.7 | % | 55.5 | % | 98.5 | % |
(1) | Not annualized. |
(2) | Annualized. |
(3) | Portfolio turnover is calculated on the basis of the Fund as a whole without distinguishing between the classes of shares issued. |
The accompanying notes are in integral part of these financial statements.
Page 60
Financial Highlights
Baird Short-Term Bond Fund – Investor Class
Six Months | ||||||||
Ended | September 19, 2012^ | |||||||
June 30, 2013 | through | |||||||
(Unaudited) | December 31, 2012 | |||||||
Per Share Data: | ||||||||
Net asset value, beginning of period | $ | 9.75 | $ | 9.77 | ||||
Income from investment operations: | ||||||||
Net investment income | 0.08 | 0.06 | ||||||
Net realized and unrealized gains (losses) on investments | (0.07 | ) | 0.00 | (1) | ||||
Total from investment operations | 0.01 | 0.06 | ||||||
Less distributions: | ||||||||
Distributions from net investment income | (0.08 | ) | (0.07 | ) | ||||
Distributions from net realized gains | — | (0.01 | ) | |||||
Total distributions | (0.08 | ) | (0.08 | ) | ||||
Net asset value, end of period | $ | 9.68 | $ | 9.75 | ||||
Total return | 0.07 | %(2) | 0.68 | %(2) | ||||
Supplemental data and ratios: | ||||||||
Net assets, end of period (millions) | $ | 4.4 | $ | 1.5 | ||||
Ratio of expenses to average net assets | 0.55 | %(3) | 0.55 | %(3) | ||||
Ratio of net investment income | ||||||||
to average net assets | 1.59 | %(3) | 1.98 | %(3) | ||||
Portfolio turnover rate(4) | 24.8 | %(2) | 40.1 | %(2) |
^ | Commencement of Operations |
(1) | Amount is less than ($0.005). |
(2) | Not annualized. |
(3) | Annualized. |
(4) | Portfolio turnover is calculated on the basis of the Fund as a whole without distinguishing between the classes of shares issued. |
The accompanying notes are in integral part of these financial statements.
Page 61
Financial Highlights
Baird Intermediate Bond Fund – Institutional Class
Six Months | ||||||||||||||||||||||||
Ended | ||||||||||||||||||||||||
June 30, 2013 | Year Ended December 31, | |||||||||||||||||||||||
(Unaudited) | 2012 | 2011 | 2010 | 2009 | 2008 | |||||||||||||||||||
Per Share Data: | ||||||||||||||||||||||||
Net asset value, | ||||||||||||||||||||||||
beginning of period | $ | 11.31 | $ | 11.06 | $ | 10.87 | $ | 10.61 | $ | 10.00 | $ | 10.62 | ||||||||||||
Income from | ||||||||||||||||||||||||
investment operations: | ||||||||||||||||||||||||
Net investment income | 0.14 | (1) | 0.33 | (1) | 0.39 | 0.44 | (1) | 0.51 | (1) | 0.55 | ||||||||||||||
Net realized and unrealized | ||||||||||||||||||||||||
gains (losses) on investments | (0.29 | ) | 0.38 | 0.27 | 0.35 | 0.63 | (0.64 | ) | ||||||||||||||||
Total from | ||||||||||||||||||||||||
investment operations | (0.15 | ) | 0.71 | 0.66 | 0.79 | 1.14 | (0.09 | ) | ||||||||||||||||
Less distributions: | ||||||||||||||||||||||||
Distributions from net | ||||||||||||||||||||||||
investment income | (0.13 | ) | (0.33 | ) | (0.39 | ) | (0.44 | ) | (0.51 | ) | (0.53 | ) | ||||||||||||
Distributions from | ||||||||||||||||||||||||
net realized gains | — | (0.13 | ) | (0.08 | ) | (0.09 | ) | (0.02 | ) | — | ||||||||||||||
Total distributions | (0.13 | ) | (0.46 | ) | (0.47 | ) | (0.53 | ) | (0.53 | ) | (0.53 | ) | ||||||||||||
Net asset value, end of period | $ | 11.03 | $ | 11.31 | $ | 11.06 | $ | 10.87 | $ | 10.61 | $ | 10.00 | ||||||||||||
Total return | (1.31 | )%(2) | 6.52 | % | 6.14 | % | 7.54 | % | 11.76 | % | (0.91 | )% | ||||||||||||
Supplemental data and ratios: | ||||||||||||||||||||||||
Net assets, | ||||||||||||||||||||||||
end of period (millions) | $ | 954.4 | $ | 867.5 | $ | 703.2 | $ | 591.2 | $ | 527.8 | $ | 401.9 | ||||||||||||
Ratio of expenses | ||||||||||||||||||||||||
to average net assets | 0.30 | %(3) | 0.30 | % | 0.30 | % | 0.30 | % | 0.30 | % | 0.30 | % | ||||||||||||
Ratio of net | ||||||||||||||||||||||||
investment income | ||||||||||||||||||||||||
to average net assets | 2.46 | %(3) | 2.95 | % | 3.49 | % | 4.05 | % | 4.92 | % | 5.14 | % | ||||||||||||
Portfolio turnover rate(4) | 20.3 | %(2) | 45.1 | % | 24.1 | % | 38.7 | % | 38.6 | % | 32.9 | % |
(1) | Calculated using average shares outstanding during the period. |
(2) | Not annualized. |
(3) | Annualized. |
(4) | Portfolio turnover is calculated on the basis of the Fund as a whole without distinguishing between the classes of shares issued. |
The accompanying notes are in integral part of these financial statements.
Page 62
Financial Highlights
Baird Intermediate Bond Fund – Investor Class
Six Months | ||||||||||||||||||||||||
Ended | ||||||||||||||||||||||||
June 30, 2013 | Year Ended December 31, | |||||||||||||||||||||||
(Unaudited) | 2012 | 2011 | 2010 | 2009 | 2008 | |||||||||||||||||||
Per Share Data: | ||||||||||||||||||||||||
Net asset value, | ||||||||||||||||||||||||
beginning of period | $ | 11.74 | $ | 11.47 | $ | 11.26 | $ | 10.97 | $ | 10.32 | $ | 10.96 | ||||||||||||
Income from | ||||||||||||||||||||||||
investment operations: | ||||||||||||||||||||||||
Net investment income | 0.13 | (1) | 0.32 | (1) | 0.37 | 0.43 | (1) | 0.50 | (1) | 0.52 | ||||||||||||||
Net realized and unrealized | ||||||||||||||||||||||||
gains (losses) on investments | (0.29 | ) | 0.39 | 0.28 | 0.36 | 0.65 | (0.65 | ) | ||||||||||||||||
Total from | ||||||||||||||||||||||||
investment operations | (0.16 | ) | 0.71 | 0.65 | 0.79 | 1.15 | (0.13 | ) | ||||||||||||||||
Less distributions: | ||||||||||||||||||||||||
Distributions from net | ||||||||||||||||||||||||
investment income | (0.12 | ) | (0.31 | ) | (0.36 | ) | (0.41 | ) | (0.48 | ) | (0.51 | ) | ||||||||||||
Distributions from | ||||||||||||||||||||||||
net realized gains | — | (0.13 | ) | (0.08 | ) | (0.09 | ) | (0.02 | ) | — | ||||||||||||||
Total distributions | (0.12 | ) | (0.44 | ) | (0.44 | ) | (0.50 | ) | (0.50 | ) | (0.51 | ) | ||||||||||||
Net asset value, end of period | $ | 11.46 | $ | 11.74 | $ | 11.47 | $ | 11.26 | $ | 10.97 | $ | 10.32 | ||||||||||||
Total return | (1.37 | )%(2) | 6.20 | % | 5.84 | % | 7.30 | % | 11.51 | % | �� | (1.31 | )% | |||||||||||
Supplemental data and ratios: | ||||||||||||||||||||||||
Net assets, | ||||||||||||||||||||||||
end of period (millions) | $ | 36.2 | $ | 26.7 | $ | 14.7 | $ | 12.7 | $ | 6.7 | $ | 4.0 | ||||||||||||
Ratio of expenses | ||||||||||||||||||||||||
to average net assets | 0.55 | %(3) | 0.55 | % | 0.55 | % | 0.55 | % | 0.55 | % | 0.55 | % | ||||||||||||
Ratio of net | ||||||||||||||||||||||||
investment income | ||||||||||||||||||||||||
to average net assets | 2.21 | %(3) | 2.70 | % | 3.24 | % | 3.80 | % | 4.67 | % | 4.89 | % | ||||||||||||
Portfolio turnover rate(4) | 20.3 | %(2) | 45.1 | % | 24.1 | % | 38.7 | % | 38.6 | % | 32.9 | % |
(1) | Calculated using average shares outstanding during the period. |
(2) | Not annualized. |
(3) | Annualized. |
(4) | Portfolio turnover is calculated on the basis of the Fund as a whole without distinguishing between the classes of shares issued. |
The accompanying notes are in integral part of these financial statements.
Page 63
Financial Highlights
Baird Intermediate Municipal Bond Fund – Institutional Class
Six Months | ||||||||||||||||||||||||
Ended | ||||||||||||||||||||||||
June 30, 2013 | Year Ended December 31, | |||||||||||||||||||||||
(Unaudited) | 2012 | 2011 | 2010 | 2009 | 2008 | |||||||||||||||||||
Per Share Data: | ||||||||||||||||||||||||
Net asset value, | ||||||||||||||||||||||||
beginning of period | $ | 12.01 | $ | 11.94 | $ | 11.31 | $ | 11.35 | $ | 10.98 | $ | 10.69 | ||||||||||||
Income from | ||||||||||||||||||||||||
investment operations: | ||||||||||||||||||||||||
Net investment income | 0.15 | 0.30 | 0.32 | 0.32 | 0.32 | (1) | 0.39 | (1) | ||||||||||||||||
Net realized and unrealized | ||||||||||||||||||||||||
gains (losses) on investments | (0.41 | ) | 0.07 | 0.64 | (0.04 | ) | 0.36 | 0.28 | ||||||||||||||||
Total from | ||||||||||||||||||||||||
investment operations | (0.26 | ) | 0.37 | 0.96 | 0.28 | 0.68 | 0.67 | |||||||||||||||||
Less distributions: | ||||||||||||||||||||||||
Distributions from | ||||||||||||||||||||||||
net investment income | (0.15 | ) | (0.30 | ) | (0.32 | ) | (0.32 | ) | (0.31 | ) | (0.38 | ) | ||||||||||||
Distributions from | ||||||||||||||||||||||||
net realized gains | — | — | (0.01 | ) | — | — | — | |||||||||||||||||
Total distributions | (0.15 | ) | (0.30 | ) | (0.33 | ) | (0.32 | ) | (0.31 | ) | (0.38 | ) | ||||||||||||
Net asset value, end of period | $ | 11.60 | $ | 12.01 | $ | 11.94 | $ | 11.31 | $ | 11.35 | $ | 10.98 | ||||||||||||
Total return | (2.17 | )%(2) | 3.12 | % | 8.55 | % | 2.42 | % | 6.22 | % | 6.37 | % | ||||||||||||
Supplemental data and ratios: | ||||||||||||||||||||||||
Net assets, | ||||||||||||||||||||||||
end of period (millions) | $ | 867.2 | $ | 963.1 | $ | 836.1 | $ | 739.0 | $ | 533.3 | $ | 226.1 | ||||||||||||
Ratio of expenses | ||||||||||||||||||||||||
to average net assets | 0.30 | %(3) | 0.30 | % | 0.30 | % | 0.30 | % | 0.30 | % | 0.30 | % | ||||||||||||
Ratio of net | ||||||||||||||||||||||||
investment income | ||||||||||||||||||||||||
to average net assets | 2.61 | %(3) | 2.48 | % | 2.74 | % | 2.74 | % | 2.83 | % | 3.58 | % | ||||||||||||
Portfolio turnover rate(4) | 5.0 | %(2) | 5.1 | % | 8.0 | % | 8.7 | % | 0.7 | % | 0.9 | % |
(1) | Calculated using average shares outstanding during the year. |
(2) | Not annualized. |
(3) | Annualized. |
(4) | Portfolio turnover is calculated on the basis of the Fund as a whole without distinguishing between the classes of shares issued. |
The accompanying notes are in integral part of these financial statements.
Page 64
Financial Highlights
Baird Intermediate Municipal Bond Fund – Investor Class
Six Months | ||||||||||||||||||||||||
Ended | ||||||||||||||||||||||||
June 30, 2013 | Year Ended December 31, | |||||||||||||||||||||||
(Unaudited) | 2012 | 2011 | 2010 | 2009 | 2008 | |||||||||||||||||||
Per Share Data: | ||||||||||||||||||||||||
Net asset value, | ||||||||||||||||||||||||
beginning of period | $ | 12.26 | $ | 12.18 | $ | 11.53 | $ | 11.57 | $ | 11.19 | $ | 10.90 | ||||||||||||
Income from | ||||||||||||||||||||||||
investment operations: | ||||||||||||||||||||||||
Net investment income | 0.14 | 0.27 | 0.29 | 0.29 | 0.29 | (1) | 0.36 | (1) | ||||||||||||||||
Net realized and unrealized | ||||||||||||||||||||||||
gains (losses) on investments | (0.42 | ) | 0.08 | 0.66 | (0.04 | ) | 0.37 | 0.28 | ||||||||||||||||
Total from | ||||||||||||||||||||||||
investment operations | (0.28 | ) | 0.35 | 0.95 | 0.25 | 0.66 | 0.64 | |||||||||||||||||
Less distributions: | ||||||||||||||||||||||||
Distributions from net | ||||||||||||||||||||||||
investment income | (0.14 | ) | (0.27 | ) | (0.29 | ) | (0.29 | ) | (0.28 | ) | (0.35 | ) | ||||||||||||
Distributions from | ||||||||||||||||||||||||
net realized gains | — | — | (0.01 | ) | — | — | — | |||||||||||||||||
Total distributions | (0.14 | ) | (0.27 | ) | (0.30 | ) | (0.29 | ) | (0.28 | ) | (0.35 | ) | ||||||||||||
Net asset value, end of period | $ | 11.84 | $ | 12.26 | $ | 12.18 | $ | 11.53 | $ | 11.57 | $ | 11.19 | ||||||||||||
Total return | (2.33 | )%(2) | 2.88 | % | 8.30 | % | 2.11 | % | 5.95 | % | 6.02 | % | ||||||||||||
Supplemental data and ratios: | ||||||||||||||||||||||||
Net assets, | ||||||||||||||||||||||||
end of period (millions) | $ | 236.1 | $ | 258.5 | $ | 257.9 | $ | 202.8 | $ | 196.7 | $ | 17.4 | ||||||||||||
Ratio of expenses | ||||||||||||||||||||||||
to average net assets | 0.55 | %(3) | 0.55 | % | 0.55 | % | 0.55 | % | 0.55 | % | 0.55 | % | ||||||||||||
Ratio of net | ||||||||||||||||||||||||
investment income | ||||||||||||||||||||||||
to average net assets | 2.36 | %(3) | 2.23 | % | 2.49 | % | 2.49 | % | 2.58 | % | 3.33 | % | ||||||||||||
Portfolio turnover rate(4) | 5.0 | %(2) | 5.1 | % | 8.0 | % | 8.7 | % | 0.7 | % | 0.9 | % |
(1) | Calculated using average shares outstanding during the year. |
(2) | Not annualized. |
(3) | Annualized. |
(4) | Portfolio turnover is calculated on the basis of the Fund as a whole without distinguishing between the classes of shares issued. |
The accompanying notes are in integral part of these financial statements.
Page 65
Financial Highlights
Baird Aggregate Bond Fund – Institutional Class
Six Months | ||||||||||||||||||||||||
Ended | ||||||||||||||||||||||||
June 30, 2013 | Year Ended December 31, | |||||||||||||||||||||||
(Unaudited) | 2012 | 2011 | 2010 | 2009 | 2008 | |||||||||||||||||||
Per Share Data: | ||||||||||||||||||||||||
Net asset value, | ||||||||||||||||||||||||
beginning of period | $ | 10.89 | $ | 10.65 | $ | 10.52 | $ | 10.23 | $ | 9.74 | $ | 10.54 | ||||||||||||
Income from | ||||||||||||||||||||||||
investment operations: | ||||||||||||||||||||||||
Net investment income | 0.16 | (1) | 0.38 | (1) | 0.44 | (1) | 0.47 | (2) | 0.54 | 0.56 | ||||||||||||||
Net realized and unrealized | ||||||||||||||||||||||||
gains (losses) on investments | (0.38 | ) | 0.45 | 0.36 | 0.37 | 0.49 | (0.81 | ) | ||||||||||||||||
Total from | ||||||||||||||||||||||||
investment operations | (0.22 | ) | 0.83 | 0.80 | 0.84 | 1.03 | (0.25 | ) | ||||||||||||||||
Less distributions: | ||||||||||||||||||||||||
Distributions from net | ||||||||||||||||||||||||
investment income | (0.17 | ) | (0.43 | ) | (0.46 | ) | (0.49 | ) | (0.54 | ) | (0.55 | ) | ||||||||||||
Distributions from | ||||||||||||||||||||||||
net realized gains | — | (0.16 | ) | (0.21 | ) | (0.06 | ) | (0.00 | )(3) | — | ||||||||||||||
Total distributions | (0.17 | ) | (0.59 | ) | (0.67 | ) | (0.55 | ) | (0.54 | ) | (0.55 | ) | ||||||||||||
Net asset value, end of period | $ | 10.50 | $ | 10.89 | $ | 10.65 | $ | 10.52 | $ | 10.23 | $ | 9.74 | ||||||||||||
Total return | (2.07 | )%(4) | 7.92 | % | 7.85 | % | 8.34 | % | 10.88 | % | (2.36 | )% | ||||||||||||
Supplemental data and ratios: | ||||||||||||||||||||||||
Net assets, | ||||||||||||||||||||||||
end of period (millions) | $ | 1,605.0 | $ | 1,495.4 | $ | 1,480.3 | $ | 1,658.4 | $ | 1,362.2 | $ | 842.7 | ||||||||||||
Ratio of expenses | ||||||||||||||||||||||||
to average net assets | 0.30 | %(5) | 0.30 | % | 0.30 | % | 0.30 | % | 0.30 | % | 0.30 | % | ||||||||||||
Ratio of net | ||||||||||||||||||||||||
investment income | ||||||||||||||||||||||||
to average net assets | 2.96 | %(5) | 3.51 | % | 4.10 | % | 4.44 | % | 5.37 | % | 5.46 | % | ||||||||||||
Portfolio turnover rate(6) | 13.5 | %(4) | 64.4 | % | 45.9 | % | 41.4 | % | 37.7 | % | 21.9 | % |
(1) | Calculated using average shares outstanding during the period. |
(2) | Net investment income per share is calculated using ending balances prior to consideration of adjustments for permanent book and tax differences. |
(3) | Amount is less than ($0.005). |
(4) | Not annualized. |
(5) | Annualized. |
(6) | Portfolio turnover is calculated on the basis of the Fund as a whole without distinguishing between the classes of shares issued. |
The accompanying notes are in integral part of these financial statements.
Page 66
Financial Highlights
Baird Aggregate Bond Fund – Investor Class
Six Months | ||||||||||||||||||||||||
Ended | ||||||||||||||||||||||||
June 30, 2013 | Year Ended December 31, | |||||||||||||||||||||||
(Unaudited) | 2012 | 2011 | 2010 | 2009 | 2008 | |||||||||||||||||||
Per Share Data: | ||||||||||||||||||||||||
Net asset value, | ||||||||||||||||||||||||
beginning of period | $ | 11.21 | $ | 10.94 | $ | 10.80 | $ | 10.48 | $ | 9.97 | $ | 10.78 | ||||||||||||
Income from | ||||||||||||||||||||||||
investment operations: | ||||||||||||||||||||||||
Net investment income | 0.15 | (1) | 0.37 | (1) | 0.42 | (1) | 0.46 | (2) | 0.52 | 0.52 | ||||||||||||||
Net realized and unrealized | ||||||||||||||||||||||||
gains (losses) on investments | (0.40 | ) | 0.46 | 0.37 | 0.38 | 0.50 | (0.81 | ) | ||||||||||||||||
Total from | ||||||||||||||||||||||||
investment operations | (0.25 | ) | 0.83 | 0.79 | 0.84 | 1.02 | (0.29 | ) | ||||||||||||||||
Less distributions: | ||||||||||||||||||||||||
Distributions from net | ||||||||||||||||||||||||
investment income | (0.15 | ) | (0.40 | ) | (0.44 | ) | (0.46 | ) | (0.51 | ) | (0.52 | ) | ||||||||||||
Distributions from | ||||||||||||||||||||||||
net realized gains | — | (0.16 | ) | (0.21 | ) | (0.06 | ) | (0.00 | )(3) | — | ||||||||||||||
Total distributions | (0.15 | ) | (0.56 | ) | (0.65 | ) | (0.52 | ) | (0.51 | ) | (0.52 | ) | ||||||||||||
Net asset value, end of period | $ | 10.81 | $ | 11.21 | $ | 10.94 | $ | 10.80 | $ | 10.48 | $ | 9.97 | ||||||||||||
Total return | (2.21 | )%(4) | 7.72 | % | 7.46 | % | 8.16 | % | 10.55 | % | (2.63 | )% | ||||||||||||
Supplemental data and ratios: | ||||||||||||||||||||||||
Net assets, | ||||||||||||||||||||||||
end of period (millions) | $ | 115.9 | $ | 49.4 | $ | 26.1 | $ | 38.9 | $ | 35.1 | $ | 29.1 | ||||||||||||
Ratio of expenses | ||||||||||||||||||||||||
to average net assets | 0.55 | %(5) | 0.55 | % | 0.55 | % | 0.55 | % | 0.55 | % | 0.55 | % | ||||||||||||
Ratio of net | ||||||||||||||||||||||||
investment income | ||||||||||||||||||||||||
to average net assets | 2.71 | %(5) | 3.26 | % | 3.85 | % | 4.19 | % | 5.12 | % | 5.21 | % | ||||||||||||
Portfolio turnover rate(6) | 13.5 | %(4) | 64.4 | % | 45.9 | % | 41.4 | % | 37.7 | % | 21.9 | % |
(1) | Calculated using average shares outstanding during the period. |
(2) | Net investment income per share is calculated using ending balances prior to consideration of adjustments for permanent book and tax differences. |
(3) | Amount is less than ($0.005). |
(4) | Not annualized. |
(5) | Annualized. |
(6) | Portfolio turnover is calculated on the basis of the Fund as a whole without distinguishing between the classes of shares issued. |
The accompanying notes are in integral part of these financial statements.
Page 67
Financial Highlights
Baird Core Plus Bond Fund – Institutional Class
Six Months | ||||||||||||||||||||||||
Ended | ||||||||||||||||||||||||
June 30, 2013 | Year Ended December 31, | |||||||||||||||||||||||
(Unaudited) | 2012 | 2011 | 2010 | 2009 | 2008 | |||||||||||||||||||
Per Share Data: | ||||||||||||||||||||||||
Net asset value, | ||||||||||||||||||||||||
beginning of period | $ | 11.27 | $ | 10.82 | $ | 10.51 | $ | 10.18 | $ | 9.46 | $ | 10.22 | ||||||||||||
Income from | ||||||||||||||||||||||||
investment operations: | ||||||||||||||||||||||||
Net investment income | 0.15 | 0.35 | (1) | 0.45 | (1) | 0.59 | (2) | 0.65 | (1) | 0.56 | (1) | |||||||||||||
Net realized and unrealized | ||||||||||||||||||||||||
gains (losses) on investments | (0.44 | ) | 0.50 | 0.36 | 0.39 | 0.74 | (0.73 | ) | ||||||||||||||||
Total from | ||||||||||||||||||||||||
investment operations | (0.29 | ) | 0.85 | 0.81 | 0.98 | 1.39 | (0.17 | ) | ||||||||||||||||
Less distributions: | ||||||||||||||||||||||||
Distributions from net | ||||||||||||||||||||||||
investment income | (0.16 | ) | (0.38 | ) | (0.46 | ) | (0.60 | ) | (0.65 | ) | (0.55 | ) | ||||||||||||
Distributions from | ||||||||||||||||||||||||
net realized gains | — | (0.02 | ) | (0.04 | ) | (0.05 | ) | (0.02 | ) | (0.04 | ) | |||||||||||||
Total distributions | (0.16 | ) | (0.40 | ) | (0.50 | ) | (0.65 | ) | (0.67 | ) | (0.59 | ) | ||||||||||||
Net asset value, end of period | $ | 10.82 | $ | 11.27 | $ | 10.82 | $ | 10.51 | $ | 10.18 | $ | 9.46 | ||||||||||||
Total return | (2.60 | )%(3) | 7.95 | % | 7.89 | % | 9.81 | % | 15.36 | % | (1.79 | )% | ||||||||||||
Supplemental data and ratios: | ||||||||||||||||||||||||
Net assets, | ||||||||||||||||||||||||
end of period (millions) | $ | 1,736.0 | $ | 1,573.4 | $ | 768.9 | $ | 452.4 | $ | 215.2 | $ | 159.0 | ||||||||||||
Ratio of expenses | ||||||||||||||||||||||||
to average net assets | 0.30 | %(4) | 0.30 | % | 0.30 | % | 0.30 | % | 0.30 | % | 0.30 | % | ||||||||||||
Ratio of net | ||||||||||||||||||||||||
investment income | ||||||||||||||||||||||||
to average net assets | 2.74 | %(4) | 3.12 | % | 4.22 | % | 5.56 | % | 6.67 | % | 5.61 | % | ||||||||||||
Portfolio turnover rate(5) | 17.0 | %(3) | 36.7 | % | 34.6 | % | 61.5 | % | 33.2 | % | 27.7 | % |
(1) | Calculated using average shares outstanding during the year. |
(2) | Net investment income per share is calculated using ending balances prior to consideration of adjustments for permanent book and tax differences. |
(3) | Not annualized. |
(4) | Annualized. |
(5) | Portfolio turnover is calculated on the basis of the Fund as a whole without distinguishing between the classes of shares issued. |
The accompanying notes are in integral part of these financial statements.
Page 68
Financial Highlights
Baird Core Plus Bond Fund – Investor Class
Six Months | ||||||||||||||||||||||||
Ended | ||||||||||||||||||||||||
June 30, 2013 | Year Ended December 31, | |||||||||||||||||||||||
(Unaudited) | 2012 | 2011 | 2010 | 2009 | 2008 | |||||||||||||||||||
Per Share Data: | ||||||||||||||||||||||||
Net asset value, | ||||||||||||||||||||||||
beginning of period | $ | 11.67 | $ | 11.18 | $ | 10.85 | $ | 10.49 | $ | 9.72 | $ | 10.50 | ||||||||||||
Income from | ||||||||||||||||||||||||
investment operations: | ||||||||||||||||||||||||
Net investment income | 0.14 | 0.33 | (1) | 0.44 | (1) | 0.57 | (2) | 0.64 | (1) | 0.53 | (1) | |||||||||||||
Net realized and unrealized | ||||||||||||||||||||||||
gains (losses) on investments | (0.45 | ) | 0.53 | 0.37 | 0.41 | 0.78 | (0.74 | ) | ||||||||||||||||
Total from | ||||||||||||||||||||||||
investment operations | (0.31 | ) | 0.86 | 0.81 | 0.98 | 1.42 | (0.21 | ) | ||||||||||||||||
Less distributions: | ||||||||||||||||||||||||
Distributions from net | ||||||||||||||||||||||||
investment income | (0.15 | ) | (0.35 | ) | (0.44 | ) | (0.57 | ) | (0.63 | ) | (0.53 | ) | ||||||||||||
Distributions from | ||||||||||||||||||||||||
net realized gains | — | (0.02 | ) | (0.04 | ) | (0.05 | ) | (0.02 | ) | (0.04 | ) | |||||||||||||
Total distributions | (0.15 | ) | (0.37 | ) | (0.48 | ) | (0.62 | ) | (0.65 | ) | (0.57 | ) | ||||||||||||
Net asset value, end of period | $ | 11.21 | $ | 11.67 | $ | 11.18 | $ | 10.85 | $ | 10.49 | $ | 9.72 | ||||||||||||
Total return | (2.71 | )%(3) | 7.80 | % | 7.57 | % | 9.53 | % | 15.06 | % | (2.07 | )% | ||||||||||||
Supplemental data and ratios: | ||||||||||||||||||||||||
Net assets, | ||||||||||||||||||||||||
end of period (millions) | $ | 1,114.1 | $ | 1,036.0 | $ | 331.9 | $ | 58.4 | $ | 45.5 | $ | 29.6 | ||||||||||||
Ratio of expenses | ||||||||||||||||||||||||
to average net assets | 0.55 | %(4) | 0.55 | % | 0.55 | % | 0.55 | % | 0.55 | % | 0.55 | % | ||||||||||||
Ratio of net | ||||||||||||||||||||||||
investment income | ||||||||||||||||||||||||
to average net assets | 2.49 | %(4) | 2.87 | % | 3.97 | % | 5.31 | % | 6.42 | % | 5.36 | % | ||||||||||||
Portfolio turnover rate(5) | 17.0 | %(3) | 36.7 | % | 34.6 | % | 61.5 | % | 33.2 | % | 27.7 | % |
(1) | Calculated using average shares outstanding during the year. |
(2) | Net investment income per share is calculated using ending balances prior to consideration of adjustments for permanent book and tax differences. |
(3) | Not annualized. |
(4) | Annualized. |
(5) | Portfolio turnover is calculated on the basis of the Fund as a whole without distinguishing between the classes of shares issued. |
The accompanying notes are in integral part of these financial statements.
Page 69
Notes to the Financial Statements
June 30, 2013 (Unaudited)
1.Organization
Baird Funds, Inc. (the “Corporation”) was incorporated on June 9, 2000 as a Wisconsin corporation and is registered as an open-end investment management company under the Investment Company Act of 1940, as amended (the “1940 Act”). The accompanying financial statements include the Baird Short-Term Bond Fund, Baird Intermediate Bond Fund, Baird Intermediate Municipal Bond Fund, Baird Aggregate Bond Fund and Baird Core Plus Bond Fund (each, a “Fund” and collectively, the “Funds”), five of the eight series comprising the Corporation, each of which is diversified within the meaning of the 1940 Act. Robert W. Baird & Co. Incorporated (“Baird” or the “Advisor”) serves as investment advisor to the Funds.
The Baird Short-Term Bond Fund commenced operations with the sale of Institutional Class shares on August 31, 2004 while the Investor Class shares commenced operations on September 19, 2012. The Baird Intermediate Municipal Bond Fund commenced operations with the sale of both Institutional and Investor Class shares on March 30, 2001. The Baird Intermediate Bond Fund, Baird Aggregate Bond Fund and Baird Core Plus Bond Fund commenced operations with the sale of both Institutional and Investor Class shares on September 29, 2000. The Institutional Class Shares are not subject to a distribution and service (12b-1) fee, while the Investor Class Shares are subject to a distribution and service (12b-1) fee of 0.25%.
The investment objective of the Baird Short-Term Bond Fund is to provide an annual rate of total return, before Fund expenses, greater than the annual rate of total return of the Barclays 1-3 Year U.S. Government/Credit Bond Index. The Barclays 1-3 Year U.S. Government/Credit Bond Index is an unmanaged, market value weighted index of investment grade, fixed-rate debt including government and corporate securities with maturities between one and three years.
The investment objective of the Baird Intermediate Bond Fund is to provide an annual rate of total return, before Fund expenses, greater than the annual rate of total return of the Barclays Intermediate U.S. Government/Credit Bond Index. The Barclays Intermediate U.S. Government/Credit Bond Index is an unmanaged, market value weighted index of investment grade, fixed-rate debt issues, including government and corporate securities, with maturities between one and ten years.
The primary investment objective of the Baird Intermediate Municipal Bond Fund is to provide current income that is substantially exempt from federal income tax. A secondary objective is to provide total return with relatively low volatility of principal.
The investment objective of the Baird Aggregate Bond Fund is to provide an annual rate of total return, before Fund expenses, greater than the annual rate of total return of the Barclays U.S. Aggregate Bond Index. The Barclays U.S. Aggregate Bond Index is an unmanaged, market value weighted index of investment grade, fixed-rate debt issues, including government, corporate, asset-backed and mortgage-backed securities, with maturities of at least one year.
The investment objective of the Baird Core Plus Bond Fund is to provide an annual rate of total return, before Fund expenses, greater than the annual rate of total return of the Barclays U.S. Universal Bond Index. The Barclays U.S. Universal Bond Index is an unmanaged, market value weighted index of fixed income securities issued in U.S. dollars, including U.S. government and investment grade debt, non-investment grade debt, asset-backed and mortgage-backed securities, Eurobonds, 144A securities and emerging market debt, with maturities of at least one year.
2.Significant Accounting Policies
The following is a summary of significant accounting policies consistently followed by the Funds in the preparation of their financial statements. These policies are in conformity with accounting principles generally accepted in the United States of America.
a) | Investment Valuation – Section 2(a)(41) of the 1940 Act, together with the rules and interpretations of the SEC, require the Funds, in computing net asset value, to value their portfolio securities using market |
Page 70
Notes to the Financial Statements
June 30, 2013 (Unaudited)
2. | Significant Accounting Policies (cont.) |
quotations when they are “readily available.” When market quotations are not readily available (e.g., because there is no regular market quotation for such securities, the market for such security is limited, the validity of quotations is questionable or the Funds’ independent pricing service does not provide a price), the Board of Directors of the Corporation must value the securities at “fair value determined in good faith.” The Board has delegated such responsibility to the Advisor pursuant to pricing policies and procedures that the Board has adopted and regularly reviews. In general, the “fair value” of a security means the price that would be received to sell a security in an orderly transaction between market participants at the measurement date. | |
The Funds determine the fair value of their investments and compute their net asset value per share as of the close of regular trading of the New York Stock Exchange (4:00 p.m. EST). | |
Consistent with Section 2(a)(41) of the 1940 Act, the Funds price their securities as follows: debt securities are valued at their bid prices by an independent pricing service using valuation methods that are designed to represent fair value, such as matrix pricing and other analytical pricing models, market transactions and dealer quotations. Debt securities purchased with a remaining maturity of 60 days or less are valued at acquisition cost, plus or minus any amortized discount or premium which approximates fair value. Investments in mutual funds are valued at their stated net asset value. Common stocks that are listed on a securities exchange (other than NASDAQ) are valued at the last quoted sales price. Securities traded on Nasdaq are valued at the Nasdaq Official Closing Price. Price information on listed stocks is taken from the exchange where the security is primarily traded. Securities that were not traded on the valuation date, as well as stocks that are not listed on an exchange, including NASDAQ, are valued at the average of the current bid and asked price. Other assets and securities for which market quotations are not readily available are valued at fair value as determined in good faith by the Advisor in accordance with procedures approved by the Corporation’s Board of Directors. In accordance with such procedures, the Advisor may use broker quotes or prices obtained from alternative independent pricing services or, if the broker quotes or prices from alternative pricing services are unavailable or deemed to be unreliable, fair value will be determined by a valuation committee of the Advisor. In determining fair value, the valuation committee takes into account all relevant factors and available information. Consequently, the price of the security used by a Fund to calculate its NAV may differ from quoted or published prices for the same security. Fair value pricing involves subjective judgments and there is no single standard for determining a security’s fair value. As a result, different mutual funds could reasonably arrive at a different fair value for the same security. It is possible that the fair value determined for a security is materially different from the value that could be realized upon the sale of that security or from the values that other mutual funds may determine. In addition, given the volatility and periodic illiquidity experienced in recent years, the prices determined for any individual security on any given day may vary significantly from the amount that can be obtained in an actual sale of that security, and the Funds’ NAVs may fluctuate significantly from day to day or from period to period. | |
In May 2011, the FASB issued ASU No. 2011-04 “Amendments to Achieve Common Fair Value Measurement and Disclosure Requirements in GAAP and the International Financial Reporting Standards (“IFRS”)” (ASU 2011-04). ASU 2011-04 amends FASB ASC Topic 820, Fair Value Measurements and Disclosures, to establish common requirements for measuring fair value and for disclosing information about fair value measurements in accordance with GAAP and IFRS. ASU No. 2011-04 is effective for fiscal years beginning after December 15, 2011 and for interim periods within those fiscal years. The Funds have disclosed the applicable requirements of this accounting standard in their financial statements. | |
b) | Unregistered Securities – Four of the Funds own certain investment securities which are unregistered and thus restricted with respect to resale. The value of such securities for the Baird Short-Term Bond, Baird Intermediate Bond, Baird Aggregate Bond and Baird Core Plus Bond Funds were $305,354,545 (20.42% of net assets), $154,401,863 (15.59% of net assets), $181,163,646 (10.53% of net assets), and |
Page 71
Notes to the Financial Statements
June 30, 2013 (Unaudited)
2. | Significant Accounting Policies (cont.) |
$390,718,048 (13.71% of net assets), respectively, at June 30, 2013. Restricted securities may be deemed to be liquid as determined by the Advisor based on several factors. All of the restricted securities held by the Funds as of June 30, 2013 consist of securities issued pursuant to Rule 144A under the Securities Act of 1933 and nearly all have been deemed to be liquid. | |
c) | Foreign Securities – Foreign securities are defined as securities of issuers that are organized outside the United States. The Funds may invest in U.S. dollar-denominated debt obligations of foreign companies and foreign governments. Investing in securities of foreign companies and foreign governments involves special risks and considerations not typically associated with investing in U.S. companies and the U.S. government. These risks include foreign currency fluctuations, political and economic instability and differences in financial reporting standards and less strict regulation of securities markets. Moreover, securities of many foreign companies and foreign governments and their markets may be less liquid and their prices more volatile than those of securities of comparable U.S. companies and the U.S. government. Occasionally, events that affect these values and exchange rates may occur after the close of the exchange on which such securities are traded. If such events materially affect the value of a Fund’s securities, these securities may be valued at their fair value pursuant to procedures adopted by the Board of Directors. |
d) | Income Tax Status – The Funds intend to continue to qualify as regulated investment companies as provided in subchapter M of the Internal Revenue Code and to distribute substantially all of their taxable income to their shareholders in a manner which results in no tax cost to the Funds. Therefore, no federal income or excise tax provision is recorded. |
There is no tax liability resulting from unrecognized tax benefits relating to uncertain income tax positions taken or expected to be taken on the tax return for the fiscal year ended December 31, 2012, or for any other tax years which are open for exam. As of June 30, 2013, open tax years include the tax years ended December 31, 2009 through 2012. The Funds are not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next 12 months. The Funds recognize interest and penalties, if any, related to unrecognized tax benefits as interest and other expense, respectively, in the Statement of Operations. During the year, the Funds did not incur any interest or penalties. | |
e) | Allocation of Income and Expenses – Each Fund is charged for those expenses directly attributable to it. Expenses directly attributable to a class of shares, such as Rule 12b-1 distribution fees, are charged to that class of shares. Income, expenses and realized and unrealized gains and losses are allocated to the classes based on their respective net assets. Expenses that are not directly attributable to a Fund are allocated among the Funds in the series in proportion to their assets. |
f) | Distributions to Shareholders – Dividends from net investment income are declared and paid monthly. Distributions of net realized capital gains, if any, are declared and paid at least annually. The book basis character of distributions may differ from their ultimate characterization for Federal income tax purposes. |
g) | Use of Estimates – The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates. |
h) | Securities Transactions and Investment Income – Investment and shareholder transactions are recorded on the trade date. The Funds determine the gain or loss realized from investment transactions by comparing the original cost of the security lot sold with the net sales proceeds. Dividend income is recognized on the ex-dividend date and interest income is recognized on an accrual basis. Premiums and discounts on the purchase of securities are amortized/accreted using the effective interest method. Paydown gains and losses |
Page 72
Notes to the Financial Statements
June 30, 2013 (Unaudited)
2. | Significant Accounting Policies (cont.) |
are netted and recorded as interest income on the Statement of Operations for financial reporting purposes. Accounting principles generally accepted in the United States of America require that permanent financial reporting and tax differences be reclassified in the capital accounts. | |
i) | Guarantees and Indemnifications – In the normal course of business, the Funds enter into contracts with service providers that contain general indemnification clauses. The Funds’ maximum exposure under these arrangements is unknown and would involve future claims against the Funds that have not yet occurred. Based on experience, the Funds would expect the risk of loss to be remote. |
j) | Recent Accounting Pronouncement – In January 2013, the FASB issued ASU No. 2013-01 “Clarifying the Scope of Disclosures about Offsetting Assets and Liabilities” in GAAP and International Financial Reporting Standards (“IFRS”). ASU No. 2013-01 clarifies ASU No. 2011-11 to increase comparability and reduce presentation differences between financial statements prepared in accordance with GAAP and financial statements prepared in accordance with IFRS. This requires increased disclosure for both gross and net information for derivatives and other financial instruments that are offset in a reporting entity’s Statement of Assets and Liabilities and derivative instruments that are subject to a master netting agreement (“MNA”). Specifically, the ASU requires reporting entities to present separately for assets and liabilities, a) the gross amounts of those recognized assets and recognized liabilities, b) the amounts offset to determine the net amounts presented in the Statement of Assets and Liabilities, c) the net amount presented in the Statement of Assets and Liabilities, d) the amounts subject to an enforceable MNA not included in (b), and e) the net amount after deducting the amounts from (d) and (c) the effective date of each ASU is for interim and annual periods beginning on or after January 1, 2013. The Funds are not required to disclose the applicable requirements of this accounting standard in their Statement of Assets & Liabilities due to the absence of a master netting agreement relating to the Funds’ participation in securities lending. As such, no additional disclosures have been made on behalf of the Funds. |
3. | Capital Share Transactions |
The following table summarizes the capital share transactions of each Fund for the past two fiscal periods:
Baird Short-Term Bond Fund
Institutional Class | Investor Class Shares | |||||||||||||||||
Six Months Ended | Six Months Ended | |||||||||||||||||
June 30, 2013 | June 30, 2013 | |||||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||||
Shares sold | 55,428,388 | $ | 540,535,177 | Shares sold | 579,052 | $ | 5,648,168 | |||||||||||
Shares issued to | Shares issued to | |||||||||||||||||
shareholders in | shareholders in | |||||||||||||||||
reinvestment | reinvestment | |||||||||||||||||
of dividends | 1,163,471 | 11,337,634 | of dividends | 2,171 | 21,142 | |||||||||||||
Shares redeemed | (35,451,111 | ) | (345,807,922 | ) | Shares redeemed | (272,295 | ) | (2,657,387 | ) | |||||||||
Net increase | 21,140,748 | $ | 206,064,889 | Net increase | 308,928 | $ | 3,011,923 | |||||||||||
Shares Outstanding: | Shares Outstanding: | |||||||||||||||||
Beginning of period | 132,833,022 | Beginning of period | 152,356 | |||||||||||||||
End of period | 153,973,770 | End of period | 461,284 |
Page 73
Notes to the Financial Statements
June 30, 2013 (Unaudited)
3.Capital Share Transactions (cont.)
Baird Short-Term Bond Fund (cont.) | ||||||||||||||||||
Institutional Class | Investor Class Shares | |||||||||||||||||
Year Ended | Year Ended | |||||||||||||||||
December 31, 2012 | December 31, 2012 | |||||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||||
Shares sold | 65,489,880 | $ | 636,935,199 | Shares sold | 164,773 | $ | 1,612,006 | |||||||||||
Shares issued to | Shares issued to | |||||||||||||||||
shareholders in | shareholders in | |||||||||||||||||
reinvestment | reinvestment | |||||||||||||||||
of dividends | 2,609,918 | 25,358,257 | of dividends | 677 | 6,608 | |||||||||||||
Shares redeemed | (41,364,636 | ) | (402,314,887 | ) | Shares redeemed | (13,094 | ) | (128,179 | ) | |||||||||
Net increase | 26,735,162 | $ | 259,978,569 | Net increase | 152,356 | $ | 1,490,435 | |||||||||||
Shares Outstanding: | Shares Outstanding: | |||||||||||||||||
Beginning of year | 106,097,860 | Beginning of period | — | |||||||||||||||
End of year | 132,833,022 | End of year | 152,356 | |||||||||||||||
Baird Intermediate Bond Fund | ||||||||||||||||||
Institutional Class | Investor Class Shares | |||||||||||||||||
Six Months Ended | Six Months Ended | |||||||||||||||||
June 30, 2013 | June 30, 2013 | |||||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||||
Shares sold | 15,530,519 | $ | 174,109,362 | Shares sold | 1,564,081 | $ | 18,343,587 | |||||||||||
Shares issued to | Shares issued to | |||||||||||||||||
shareholders in | shareholders in | |||||||||||||||||
reinvestment | reinvestment | |||||||||||||||||
of dividends | 794,573 | 8,929,710 | of dividends | 28,060 | 327,518 | |||||||||||||
Shares redeemed | (6,524,692 | ) | (72,898,736 | ) | Shares redeemed | (708,111 | ) | (8,279,877 | ) | |||||||||
Net increase | 9,800,400 | $ | 110,140,336 | Net increase | 884,030 | $ | 10,391,228 | |||||||||||
Shares Outstanding: | Shares Outstanding: | |||||||||||||||||
Beginning of period | 76,724,520 | Beginning of period | 2,276,464 | |||||||||||||||
End of period | 86,524,920 | End of period | 3,160,494 | |||||||||||||||
Institutional Class | Investor Class Shares | |||||||||||||||||
Year Ended | Year Ended | |||||||||||||||||
December 31, 2012 | December 31, 2012 | |||||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||||
Shares sold | 22,685,511 | $ | 256,806,194 | Shares sold | 1,360,552 | $ | 16,041,806 | |||||||||||
Shares issued to | Shares issued to | |||||||||||||||||
shareholders in | shareholders in | |||||||||||||||||
reinvestment | reinvestment | |||||||||||||||||
of dividends | 2,358,925 | 26,615,614 | of dividends | 62,775 | 735,645 | |||||||||||||
Shares redeemed | (11,927,363 | ) | (134,734,403 | ) | Shares redeemed | (430,341 | ) | (5,064,875 | ) | |||||||||
Net increase | 13,117,073 | $ | 148,687,405 | Net increase | 992,986 | $ | 11,712,576 | |||||||||||
Shares Outstanding: | Shares Outstanding: | |||||||||||||||||
Beginning of year | 63,607,447 | Beginning of year | 1,283,478 | |||||||||||||||
End of year | 76,724,520 | End of year | 2,276,464 |
Page 74
Notes to the Financial Statements
June 30, 2013 (Unaudited)
3.Capital Share Transactions (cont.)
Baird Intermediate Municipal Bond Fund
Institutional Class | Investor Class Shares | |||||||||||||||||
Six Months Ended | Six Months Ended | |||||||||||||||||
June 30, 2013 | June 30, 2013 | |||||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||||
Shares sold | 13,379,530 | $ | 160,242,520 | Shares sold | 3,001,689 | $ | 36,717,351 | |||||||||||
Shares issued to | Shares issued to | |||||||||||||||||
shareholders in | shareholders in | |||||||||||||||||
reinvestment | reinvestment | |||||||||||||||||
of dividends | 823,886 | 9,793,692 | of dividends | 219,041 | 2,658,355 | |||||||||||||
Shares redeemed | (19,599,289 | ) | (233,381,175 | ) | Shares redeemed | (4,368,020 | ) | (53,258,319 | ) | |||||||||
Net decrease | (5,395,873 | ) | $ | (63,344,963 | ) | Net decrease | (1,147,290 | ) | $ | (13,882,613 | ) | |||||||
Shares Outstanding: | Shares Outstanding: | |||||||||||||||||
Beginning of period | 80,187,075 | Beginning of period | 21,081,580 | |||||||||||||||
End of period | 74,791,202 | End of period | 19,934,290 | |||||||||||||||
Institutional Class | Investor Class Shares | |||||||||||||||||
Year Ended | Year Ended | |||||||||||||||||
December 31, 2012 | December 31, 2012 | |||||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||||
Shares sold | 32,138,671 | $ | 386,239,717 | Shares sold | 6,559,069 | $ | 80,425,711 | |||||||||||
Shares issued to | Shares issued to | |||||||||||||||||
shareholders in | shareholders in | |||||||||||||||||
reinvestment | reinvestment | |||||||||||||||||
of dividends | 1,565,719 | 18,794,190 | of dividends | 440,565 | 5,398,270 | |||||||||||||
Shares redeemed | (23,574,458 | ) | (283,394,100 | ) | Shares redeemed | (7,095,704 | ) | (87,136,866 | ) | |||||||||
Net increase | 10,129,932 | $ | 121,639,807 | Net decrease | (96,070 | ) | $ | (1,312,885 | ) | |||||||||
Shares Outstanding: | Shares Outstanding: | |||||||||||||||||
Beginning of year | 70,057,143 | Beginning of year | 21,177,650 | |||||||||||||||
End of year | 80,187,075 | End of year | 21,081,580 | |||||||||||||||
Baird Aggregate Bond Fund | ||||||||||||||||||
Institutional Class | Investor Class Shares | |||||||||||||||||
Six Months Ended | Six Months Ended | |||||||||||||||||
June 30, 2013 | June 30, 2013 | |||||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||||
Shares sold | 30,993,152 | $ | 334,734,400 | Shares sold | 8,324,994 | $ | 92,880,244 | |||||||||||
Shares issued to | Shares issued to | |||||||||||||||||
shareholders in | shareholders in | |||||||||||||||||
reinvestment | reinvestment | |||||||||||||||||
of dividends | 1,786,763 | 19,240,490 | of dividends | 112,732 | 1,247,867 | |||||||||||||
Shares redeemed | (17,124,597 | ) | (185,246,087 | ) | Shares redeemed | (2,121,832 | ) | (23,527,749 | ) | |||||||||
Net increase | 15,655,318 | $ | 168,728,803 | Net increase | 6,315,894 | $ | 70,600,362 | |||||||||||
Shares Outstanding: | Shares Outstanding: | |||||||||||||||||
Beginning of period | 137,267,017 | Beginning of period | 4,406,552 | |||||||||||||||
End of period | 152,922,335 | End of period | 10,722,446 |
Page 75
Notes to the Financial Statements
June 30, 2013 (Unaudited)
3.Capital Share Transactions (cont.)
Baird Aggregate Bond Fund (cont.)
Institutional Class | Investor Class Shares | |||||||||||||||||
Year Ended | Year Ended | |||||||||||||||||
December 31, 2012 | December 31, 2012 | |||||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||||
Shares sold | 55,801,073 | $ | 610,473,223 | Shares sold | 2,703,995 | $ | 30,492,411 | |||||||||||
Shares issued to | Shares issued to | |||||||||||||||||
shareholders in | shareholders in | |||||||||||||||||
reinvestment | reinvestment | |||||||||||||||||
of dividends | 6,013,523 | 65,390,126 | of dividends | 158,565 | 1,776,495 | |||||||||||||
Shares redeemed | (63,578,566 | ) | (691,076,338 | ) | Shares redeemed | (842,629 | ) | (9,501,042 | ) | |||||||||
Net decrease | (1,763,970 | ) | $ | (15,212,989 | ) | Net increase | 2,019,931 | $ | 22,767,864 | |||||||||
Shares Outstanding: | Shares Outstanding: | |||||||||||||||||
Beginning of year | 139,030,987 | Beginning of year | 2,386,621 | |||||||||||||||
End of year | 137,267,017 | End of year | 4,406,552 | |||||||||||||||
Baird Core Plus Bond Fund | ||||||||||||||||||
Institutional Class | Investor Class Shares | |||||||||||||||||
Six Months Ended | Six Months Ended | |||||||||||||||||
June 30, 2013 | June 30, 2013 | |||||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||||
Shares sold | 38,460,489 | $ | 430,436,534 | Shares sold | 32,320,687 | $ | 375,250,394 | |||||||||||
Shares issued to | Shares issued to | |||||||||||||||||
shareholders in | shareholders in | |||||||||||||||||
reinvestment | reinvestment | |||||||||||||||||
of dividends | 1,978,481 | 22,005,415 | of dividends | 1,233,244 | 14,208,399 | |||||||||||||
Shares redeemed | (19,626,548 | ) | (219,081,666 | ) | Shares redeemed | (22,950,301 | ) | (264,642,916 | ) | |||||||||
Net increase | 20,812,422 | $ | 233,360,283 | Net increase | 10,603,630 | $ | 124,815,877 | |||||||||||
Shares Outstanding: | Shares Outstanding: | |||||||||||||||||
Beginning of period | 139,594,782 | Beginning of period | 88,815,787 | |||||||||||||||
End of period | 160,407,204 | End of period | 99,419,417 | |||||||||||||||
Institutional Class Shares | Investor Class Shares | |||||||||||||||||
Year Ended | Year Ended | |||||||||||||||||
December 31, 2012 | December 31, 2012 | |||||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||||
Shares sold | 82,310,272 | $ | 915,687,272 | Shares sold | 72,083,219 | $ | 829,822,504 | |||||||||||
Shares issued to | Shares issued to | |||||||||||||||||
shareholders in | shareholders in | |||||||||||||||||
reinvestment | reinvestment | |||||||||||||||||
of dividends | 3,481,543 | 38,771,265 | of dividends | 1,975,404 | 22,796,995 | |||||||||||||
Shares redeemed | (17,290,129 | ) | (192,491,925 | ) | Shares redeemed | (14,923,677 | ) | (172,523,499 | ) | |||||||||
Net increase | 68,501,686 | $ | 761,966,612 | Net increase | 59,134,946 | $ | 680,096,000 | |||||||||||
Shares Outstanding: | Shares Outstanding: | |||||||||||||||||
Beginning of year | 71,093,096 | Beginning of year | 29,680,841 | |||||||||||||||
End of year | 139,594,782 | End of year | 88,815,787 |
Page 76
Notes to the Financial Statements
June 30, 2013 (Unaudited)
4.Investment Transactions and Income Tax Information
During the six months ended June 30, 2013, purchases and sales of investment securities (excluding short-term investments) were as follows:
Baird | ||||||||||||||||||||
Baird | Baird | Intermediate | Baird | Baird | ||||||||||||||||
Short-Term | Intermediate | Municipal | Aggregate | Core Plus | ||||||||||||||||
Bond Fund | Bond Fund | Bond Fund | Bond Fund | Bond Fund | ||||||||||||||||
Purchases: | ||||||||||||||||||||
U.S. Government | $ | — | $ | — | $ | — | $ | 17,971,247 | $ | 35,806,720 | ||||||||||
Other | $ | 524,686,959 | $ | 241,443,318 | $ | 58,434,672 | $ | 433,927,417 | $ | 765,620,647 | ||||||||||
Sales: | ||||||||||||||||||||
U.S. Government | $ | — | $ | 22,189 | $ | — | $ | 10,583,203 | $ | 14,569,897 | ||||||||||
Other | $ | 338,586,894 | $ | 181,918,071 | $ | 140,182,623 | $ | 205,296,951 | $ | 444,630,527 |
At December 31, 2012, gross unrealized appreciation and depreciation of investments and distributable ordinary income and long-term capital gains for federal tax purposes were as follows:
Baird | ||||||||||||||||||||
Baird | Baird | Intermediate | Baird | Baird | ||||||||||||||||
Short-Term | Intermediate | Municipal | Aggregate | Core Plus | ||||||||||||||||
Bond Fund | Bond Fund | Bond Fund | Bond Fund | Bond Fund | ||||||||||||||||
Cost of investments | $ | 1,343,042,158 | $ | 941,814,526 | $ | 1,134,161,153 | $ | 1,529,820,690 | $ | 2,645,307,638 | ||||||||||
Gross unrealized | ||||||||||||||||||||
appreciation | $ | 17,955,469 | $ | 40,895,153 | $ | 72,184,849 | $ | 85,709,466 | $ | 96,675,611 | ||||||||||
Gross unrealized | ||||||||||||||||||||
depreciation | (3,237,279 | ) | (2,831,377 | ) | (866,733 | ) | (13,460,782 | ) | (8,467,825 | ) | ||||||||||
Net unrealized | ||||||||||||||||||||
appreciation | ||||||||||||||||||||
(depreciation) | $ | 14,718,190 | $ | 38,063,776 | $ | 71,318,116 | $ | 72,248,684 | $ | 88,207,786 | ||||||||||
Undistributed | ||||||||||||||||||||
ordinary income | $ | 158,350 | $ | 623,412 | $ | — | $ | 96,715 | $ | 226,423 | ||||||||||
Undistributed | ||||||||||||||||||||
long-term | ||||||||||||||||||||
capital gain | 644,816 | 1,249,269 | — | — | 1,899,485 | |||||||||||||||
Total distributable | ||||||||||||||||||||
earnings | $ | 803,166 | $ | 1,872,681 | $ | — | $ | 96,715 | $ | 2,125,908 | ||||||||||
Other accumulated | ||||||||||||||||||||
losses | $ | — | $ | — | $ | (717,460 | ) | $ | (660,957 | ) | $ | — | ||||||||
Total accumulated | ||||||||||||||||||||
earnings/(losses) | $ | 15,521,356 | $ | 39,936,457 | $ | 70,600,656 | $ | 71,684,442 | $ | 90,333,694 |
Undistributed income or net realized gains for financial statement purposes may differ from amounts recognized for federal income tax purposes due to differences in the recognition and characterization of income, expense and capital gain items. The difference between book-basis and tax-basis unrealized appreciation is attributed primarily to the tax deferral of losses on wash sales.
Page 77
Notes to the Financial Statements
June 30, 2013 (Unaudited)
4.Investment Transactions and Income Tax Information (cont.)
Additionally, U.S. generally accepted accounting principles require that certain components of net assets relating to permanent differences be reclassified between financial and tax reporting. These reclassifications are primarily due to differing treatments for losses deferred due to wash sales, equalization accounting for tax purposes, and non-deductible expenses. These reclassifications have no effect on net assets or net asset value per share.
The tax components of dividends paid during the periods shown below were as follows:
Six Months Ended | Year Ended | |||||||||||
June 30, 2013 | December 31, 2012 | |||||||||||
Ordinary Income | Ordinary Income | Long-Term Capital | ||||||||||
Distributions | Distributions | Gains Distributions | ||||||||||
Baird Short-Term Bond Fund | $ | 12,823,931 | $ | 26,769,714 | $ | 1,477,641 | ||||||
Baird Intermediate Bond Fund | $ | 11,144,636 | $ | 26,323,540 | $ | 6,933,411 | ||||||
Baird Intermediate Municipal Bond Fund | $ | — | $ | 203,893 | $ | — | ||||||
Baird Aggregate Bond Fund | $ | 25,705,098 | $ | 58,182,598 | $ | 22,175,299 | ||||||
Baird Core Plus Bond Fund | $ | 38,662,193 | $ | 63,215,308 | $ | 2,756,875 |
For the six months ended June 30, 2013 and the year ended December 31, 2012, distributions of $14,796,838 and $28,633,639, respectively, from the Baird Intermediate Municipal Bond Fund were tax-exempt.
The Fund designated as long-term capital gain dividend, pursuant to Internal Revenue Code 852(b)(3), the amount necessary to reduce the earnings and profits of the Fund related to net capital gain to zero for the tax year ended December 31, 2012. To the extent necessary to fully distribute such capital gains, the Aggregate Bond Fund and Intermediate Bond Fund also designated earnings and profits distributed to shareholders on the redemption of shares.
Under the current tax law, capital losses realized after October 31 may be deferred and treated as occurring on the first day of the following fiscal year. For the year ended December 31, 2012, Baird Aggregate Bond Fund elected to defer capital losses occurring between November 1, 2012 and December 31, 2012 in the amount of $660,957.
At December 31, 2012, accumulated net realized capital loss carryovers, if any, and the year(s) in which the capital loss carryovers expire were:
Capital Loss | Year of | ||||||||
Carryover | Character | Expiration | |||||||
Baird Intermediate Municipal Bond Fund | $ | 48,216 | Short-Term | Indefinitely | |||||
669,244 | Long-Term | Indefinitely |
During the year ended December 31, 2012, none of the Funds utilized capital loss carryovers.
Under the Regulated Investment Company Modernization Act of 2010, the Funds are permitted to carry forward capital losses incurred in taxable years beginning after December 22, 2010 for an unlimited period. However, any losses incurred during those future taxable years will be required to be utilized prior to the losses incurred in pre-enactment taxable years. As a result of this, pre-enactment capital loss carryforwards may be more likely to expire unused. Additionally, post-enactment capital losses that are carried forward will retain their character as either short-term or long-term capital losses rather than being considered all short-term as under previous law.
5.Investment Advisory and Other Agreements
The Funds have entered into an Investment Advisory Agreement with Baird for the provision of investment advisory services. Pursuant to the Investment Advisory Agreement, the Advisor is entitled to receive a fee, calculated daily and payable monthly, at the annual rate of 0.25% for the Funds as applied to the respective Fund’s average daily net assets. Certain officers of the Advisor are also officers of the Funds.
Page 78
Notes to the Financial Statements
June 30, 2013 (Unaudited)
5.Investment Advisory and Other Agreements (cont.)
The Funds have entered into an Administration Agreement with Baird. Under the Administration Agreement, the Advisor assumes and pays all expenses of the applicable Fund other than the investment advisory fees, fees under the 12b-1 plan, costs related to portfolio securities transactions and extraordinary or non-recurring expenses. Pursuant to the Administration Agreement, the Advisor is entitled to receive a fee, calculated daily and payable monthly, at the annual rate of 0.05% for the Funds as applied to the respective Fund’s average daily net assets.
U.S. Bancorp Fund Services, LLC serves as transfer agent, administrator, and accounting services agent for the Funds. U.S. Bank, N.A. serves as custodian for the Funds.
Baird (the “Distributor”) is the distributor of the Funds pursuant to a distribution agreement.
6.Securities Lending
Each Fund (other than the Intermediate Municipal Bond Fund) may lend up to one-third of its total assets (including such loans) to borrowers under terms of participation in a securities lending program administered by U.S. Bank, N.A., the Funds’ custodian and an affiliate of the Funds’ transfer agent and administrator. The securities lending agreement requires that loans are collateralized at all times in an amount equal to at least 102% of the market value of any loaned securities at the time of the loan, plus accrued interest.
The Funds receive compensation in the form of fees and earn interest on the cash collateral. The amount of fees depends on a number of factors including the type of security and length of the loan. Each Fund continues to receive interest payments or dividends on the securities loaned during the borrowing period. Each Fund has the right under the terms of the securities lending agreement to recall the securities from the borrower on demand.
As of June 30, 2013, the Baird Short-Term Bond Fund, Baird Intermediate Bond Fund, Baird Aggregate Bond Fund and Baird Core Plus Bond Fund had loaned securities that were collateralized by cash equivalents. The cash collateral is invested by the custodian in accordance with approved investment guidelines. Those guidelines require the cash collateral to be invested in readily marketable, high quality, short-term obligations; however, such investments are subject to risk of payment delays or default on the part of the issuer or counterparty or otherwise may not generate sufficient interest to support the costs associated with securities lending. A Fund could also experience delays in recovering its securities and possible loss of income or value if the borrower fails to return the borrowed securities, although the Funds are indemnified from this risk by contract with the securities lending agent.
As of June 30, 2013, the market value of the securities on loan and payable on collateral due to broker were as follows:
Market Value of | Payable on Collateral | |||||||||
Securities on Loan | due to Broker | |||||||||
Baird Short-Term Bond Fund | $ | 54,640,146 | $ | 55,853,039 | ||||||
Baird Intermediate Bond Fund | 142,835,614 | 146,294,798 | ||||||||
Baird Aggregate Bond Fund | 84,053,267 | 85,765,003 | ||||||||
Baird Core Plus Bond Fund | 170,136,892 | 173,381,336 |
The Funds receive cash as collateral in return for securities lent as part of the securities lending program. The collateral is invested in the Mount Vernon Securities Lending Prime Portfolio (a securities lending trust subject to Rule 2a-7 under the 1940 Act) and a legacy interest in Atlantic East Funding LLC. The schedules of investments for the Funds include the particular cash collateral holdings as of June 30, 2013.
The Funds’ interest in Atlantic East Funding LLC is priced at fair value by the Valuation Committee of the Advisor. The fair value of the Funds’ interest in Atlantic East Funding LLC is based on the underlying market values of the securities owned by Atlantic East Funding LLC, which are determined by independent pricing sources. In addition, the Funds’ transfer agent and administrator and securities lending agent entered into a
Page 79
Notes to the Financial Statements
June 30, 2013 (Unaudited)
6.Securities Lending (cont.)
support agreement with the Funds to cover potential losses realized by the Funds on their investment in Atlantic East Funding LLC (up to a certain amount). The amounts agreed to be provided to the Funds under the support agreement are shown in the Funds’ schedules of investments and statements of assets and liabilities. At June 30, 2013, the fair value of the Funds’ interest in Atlantic East Funding LLC, plus the amounts payable under the support agreement, amounted to 100% of the outstanding par value of the Funds’ interest in Atlantic East Funding LLC.
The interest income earned by the Funds on investments of cash collateral received from borrowers for the securities loaned to them (“securities lending income”) is reflected in the Funds’ statements of operations. Interest income earned on collateral investments and recognized by the Funds during the six months ended June 30, 2013 for the Baird Short-Term Bond Fund, Baird Intermediate Bond Fund, Baird Aggregate Bond Fund, and Baird Core Plus Bond Fund were $60,574, $80,136, $84,082, and $133,414, respectively.
7.Line of Credit
The Corporation maintains an uncommitted, senior secured line of credit (“LOC”) with U.S. Bank, N.A. (the “Bank”) to provide the Funds a temporary liquidity source to meet unanticipated redemptions. Under the terms of the LOC, borrowings for each Fund are limited to one-third of the total assets (including the amount borrowed) of the respective Fund, or as otherwise indicated within the Funds’ agreement with the Bank. The Bank charges interest at the Bank’s Prime Rate less 2% (weighted average rate of 1.25% for the first six months of 2013). For the six months ended June 30, 2013, the Baird Short-Term Bond Fund and Baird Intermediate Municipal Bond Fund incurred $3 and $944 in interest charges, respectively, on average daily loan balances of $365 and $131,011, respectively. The Baird Intermediate Bond Fund, Baird Aggregate Bond Fund and Baird Core Plus Bond Fund did not borrow from the LOC during the period.
8.Distribution and Shareholder Service Plan
The Funds have adopted a distribution and shareholder service plan (the “Plan”) pursuant to Rule 12b-1 under the 1940 Act. The Plan allows the Funds to compensate the Distributor for the costs incurred in distributing the Funds’ Investor Class Shares, including amounts paid to brokers or dealers, at an annual rate of 0.25% of the average daily net assets of the Funds’ Investor Class Shares. The Baird Short-Term Bond, Baird Intermediate Bond, Baird Intermediate Municipal Bond, Baird Aggregate Bond and Baird Core Plus Bond Funds incurred $3,010, $40,260, $315,797, $110,746 and $1,398,201, respectively, in fees pursuant to the Plan during the six month ended June 30, 2013.
9.Subsequent Event
In preparing these financial statements, the Corporation has evaluated events after June 30, 2013. There were no subsequent events since June 30, 2013 through the date the financial statements were issued that would require adjustment to or additional disclosure in these financial statements.
Page 80
Additional Information
Proxy Voting
A description of the policies and procedures that the Funds use to determine how to vote proxies relating to portfolio securities is available without charge, upon request, by calling toll free, 1-866-44BAIRD, or by accessing the Funds’ website at www.bairdfunds.com; and by accessing the SEC’s website at www.sec.gov.
Each Fund’s proxy voting record for the most recent 12-month period ended June 30, if applicable, is available without charge, upon request, by calling toll free, 1-866-44BAIRD, or by accessing the Funds’ website at www.bairdfunds.com; and by accessing the SEC’s website at www.sec.gov. The Funds generally do not vote proxies because the securities held in their portfolios, consisting of bonds and other fixed-income securities, are not entitled to vote.
Portfolio Holdings Disclosure
The Funds file a complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Funds’ Forms N-Q are available on the SEC’s website at www.sec.gov and may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 1-800-732-0330. The Funds’ Forms N-Q may also be obtained by calling toll-free 1-866-44BAIRD.
Page 81
(This Page Intentionally Left Blank.)
Baird Funds, Inc.
c/o U.S. Bancorp Fund Services, LLC
P.O. Box 701
Milwaukee, WI 53201-0701
1-866-44BAIRD
Board of Directors
G. Frederick Kasten, Jr. (Chairman)
John W. Feldt
Cory L. Nettles
Marlyn J. Spear
Frederick P. Stratton, Jr.
Investment Advisor and Distributor
Robert W. Baird & Co. Incorporated
777 East Wisconsin Avenue
Milwaukee, WI 53202
Administrator and Transfer Agent
U.S. Bancorp Fund Services, LLC
P.O. Box 701
615 East Michigan Street
Milwaukee, WI 53202
Custodian
U.S. Bank, N.A.
1555 N. RiverCenter Drive, Suite 302
Milwaukee, WI 53212
Legal Counsel
Godfrey & Kahn, S.C.
780 North Water Street
Milwaukee, WI 53202
Independent Registered Public
Accounting Firm
Grant Thornton LLP
175 West Jackson Boulevard, 20th Floor
Chicago, IL 60604
Semi-Annual Report –
Baird Funds
June 30, 2013
Baird LargeCap Fund
Baird MidCap Fund
Baird SmallCap Value Fund
Go Green. | Go Paperless. |
Sign up to receive your Baird Funds’ prospectuses and reports online.
Table of Contents
Baird LargeCap Fund | 1 |
Baird MidCap Fund | 8 |
Baird SmallCap Value Fund | 15 |
Additional Information on Fund Expenses | 21 |
Statements of Assets and Liabilities | 23 |
Statements of Operations | 24 |
Statements of Changes in Net Assets | 25 |
Financial Highlights | 28 |
Notes to the Financial Statements | 34 |
Additional Information | 43 |
This report has been prepared for shareholders and may be distributed to others only if preceded or accompanied by a current prospectus.
Cautionary Note on Analyses, Opinions and Outlooks: In this report we offer analyses and opinions on the performance of individual securities, companies, industries, sectors, markets, interest rates and governmental policies, including predictions, forecasts and outlooks regarding possible future events. These can generally be identified as such because the context of the statements may include such words as “believe,” “should,” “will,” “expects,” “anticipates,” “hopes” and words of similar effect. These statements reflect the portfolio managers’ good faith beliefs and judgments and involve risks and uncertainties, including the risk that the portfolio managers’ analyses, opinions and outlooks are or will prove to be inaccurate. It is inherently difficult to correctly assess and explain the performance of particular securities, sectors, markets, interest rate movements, governmental actions or general economic trends and conditions, and many unforeseen factors contribute to the performance of Baird Funds. Investors are, therefore, cautioned not to place undue reliance on subjective judgments contained in this report.
Baird LargeCap Fund
June 30, 2013 (Unaudited)
A June 30, 2013 summary of the Fund’s top 10 holdings and equity sector analysis compared to the Russell 1000® Growth Index is shown below.
Top 10 Holdings* | Equity Sector Analysis** | ||
Apple Inc. | 4.0% | ||
Microsoft Corporation | 3.8% | ||
Google, Inc. – Class A | 3.5% | ||
The Coca-Cola Company | 3.4% | ||
Amazon.com, Inc. | 3.2% | ||
Whole Foods Market, Inc. | 2.9% | ||
Starbucks Corporation | 2.9% | ||
MasterCard, Inc. – Class A | 2.6% | ||
Gilead Sciences, Inc. | 2.3% | ||
Danaher Corporation | 2.3% | ||
Net Assets: | $26,970,186 | ||
Portfolio Turnover Rate: | 26.2% | † | |
Number of Equity Holdings: | 59 | ||
Annualized Expense Ratio:*** | |||
Gross | |||
Institutional Class: | 1.35% | ||
Investor Class: | 1.60% | **** | |
Net | |||
Institutional Class: | 0.75% | ||
Investor Class: | 1.00% | **** |
* | The Fund’s portfolio composition is subject to change and there is no assurance that the Fund will continue to hold any particular security. Percentages shown relate to the Fund’s total net assets as of June 30, 2013. | |
** | Percentages shown in parentheses relate to the Fund’s total market value of investments as of June 30, 2013, and may not add up to 100% due to rounding. | |
*** | Reflects expense ratios as stated in the Fund’s current prospectus. The Advisor has contractually agreed to limit the Fund’s total annual fund operating expenses to 0.75% of average daily net assets for the Institutional Class shares and 1.00% of average daily net assets for the Investor Class shares, at least through April 30, 2014. | |
**** | Includes 0.25% 12b-1 fee. | |
† | Not annualized. |
Page 1
Baird LargeCap Fund
June 30, 2013 (Unaudited)
Total Returns
Average Annual | |||||
Since | |||||
For the Periods Ended June 30, 2013 | Six Months | One Year | Five Years | Ten Years | Inception(1) |
Institutional Class Shares | 8.42% | 12.12% | 4.65% | 4.77% | 0.88% |
Investor Class Shares | 8.25% | 11.73% | 4.39% | 4.53% | 0.63% |
Russell 1000® Growth Index(2) | 11.80% | 17.07% | 7.47% | 7.40% | 0.32% |
(1) | For the period from September 29, 2000 (commencement of operations) through June 30, 2013. |
(2) | The Russell 1000® Growth Index measures the performance of the large-cap growth segment of the U.S. equity universe. It includes those Russell 1000® companies with higher price-to-book ratios and higher forecasted growth values. This index does not reflect any deduction for fees, expenses or taxes. A direct investment in the index is not possible. |
The returns shown in the table above reflect reinvestment of dividends and/or capital gains distributions in additional shares. The returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. The returns reflect the actual performance for each period and do not include the impact of trades executed on the last business day of the period that were recorded on the first business day of the next period.
The gross expense ratio for each class, as reflected in the Fund’s current prospectus, is set forth under “Portfolio Characteristics”.
The Fund focuses on growth-style stocks and therefore the performance of the Fund will typically be more volatile than the performance of funds that focus on types of stocks that have a broader investment style. The Fund may invest up to 15% of its total assets in U.S. dollar denominated foreign securities and ADRs. Foreign investments involve additional risk such as currency rate fluctuations, political and economic instability, and different and sometimes less strict financial reporting standards and regulation.
Past performance does not guarantee future results. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost.
For information about the performance of the Fund as of the most recent month-end, please call 1-866-44BAIRD or visit www.bairdfunds.com. Mutual fund performance changes over time and current performance may be lower or higher than that stated.
Page 2
Baird LargeCap Fund
Schedule of Investments, June 30, 2013 (Unaudited)
Common Stocks
Market | % of | |||||||||||
Shares | Value | Net Assets | ||||||||||
Aerospace & Defense | ||||||||||||
Precision Castparts Corp. | 2,681 | $ | 605,933 | 2.2 | % | |||||||
Beverages | ||||||||||||
The Coca-Cola Company | 23,101 | 926,581 | 3.4 | % | ||||||||
Biotechnology | ||||||||||||
Alexion Pharmaceuticals, Inc.* | 1,425 | 131,442 | 0.5 | % | ||||||||
Gilead Sciences, Inc.* | 12,256 | 627,630 | 2.3 | % | ||||||||
759,072 | 2.8 | % | ||||||||||
Capital Markets | ||||||||||||
State Street Corporation | 7,801 | 508,703 | 1.9 | % | ||||||||
T. Rowe Price Group, Inc. | 6,414 | 469,184 | 1.7 | % | ||||||||
977,887 | 3.6 | % | ||||||||||
Chemicals | ||||||||||||
ECOLAB INC. | 4,014 | 341,953 | 1.3 | % | ||||||||
Praxair, Inc. | 3,383 | 389,586 | 1.4 | % | ||||||||
731,539 | 2.7 | % | ||||||||||
Commercial Services & Supplies | ||||||||||||
Stericycle, Inc.* | 5,525 | 610,126 | 2.3 | % | ||||||||
Communications Equipment | ||||||||||||
QUALCOMM Incorporated | 4,412 | 269,485 | 1.0 | % | ||||||||
Computers & Peripherals | ||||||||||||
Apple Inc. | 2,730 | 1,081,298 | 4.0 | % | ||||||||
EMC Corporation | 23,400 | 552,708 | 2.1 | % | ||||||||
1,634,006 | 6.1 | % | ||||||||||
Construction & Engineering | ||||||||||||
Fluor Corporation | 5,690 | 337,474 | 1.3 | % | ||||||||
Electrical Equipment | ||||||||||||
Eaton Corporation PLC f | 8,715 | 573,534 | 2.1 | % | ||||||||
Rockwell Automation, Inc. | 3,854 | 320,422 | 1.2 | % | ||||||||
893,956 | 3.3 | % | ||||||||||
Electronic Equipment, Instruments & Components | ||||||||||||
Trimble Navigation Limited* | 10,350 | 269,203 | 1.0 | % | ||||||||
Energy Equipment & Services | ||||||||||||
Oceaneering International, Inc. | 6,141 | 443,380 | 1.6 | % | ||||||||
Schlumberger Limited f | 3,484 | 249,664 | 0.9 | % | ||||||||
693,044 | 2.5 | % | ||||||||||
Food & Staples Retailing | ||||||||||||
Whole Foods Market, Inc. | 15,162 | 780,540 | 2.9 | % |
The accompanying notes are in integral part of these financial statements.
Page 3
Baird LargeCap Fund
Schedule of Investments, June 30, 2013 (Unaudited)
Common Stocks (cont.)
Market | % of | |||||||||||
Shares | Value | Net Assets | ||||||||||
Health Care Equipment & Supplies | ||||||||||||
Abbott Laboratories | 13,543 | $ | 472,380 | 1.8 | % | |||||||
Edwards Lifesciences Corporation* | 2,075 | 139,440 | 0.5 | % | ||||||||
611,820 | 2.3 | % | ||||||||||
Health Care Providers & Services | ||||||||||||
Catamaran Corporation* f | 4,683 | 228,156 | 0.8 | % | ||||||||
Health Care Technology | ||||||||||||
Cerner Corporation* | 2,596 | 249,450 | 0.9 | % | ||||||||
Hotels, Restaurants & Leisure | ||||||||||||
Las Vegas Sands Corp. | 4,460 | 236,068 | 0.9 | % | ||||||||
Starbucks Corporation | 11,885 | 778,348 | 2.9 | % | ||||||||
1,014,416 | 3.8 | % | ||||||||||
Household Products | ||||||||||||
Church & Dwight Co., Inc. | 6,281 | 387,600 | 1.4 | % | ||||||||
Industrial Conglomerates | ||||||||||||
Danaher Corporation | 9,850 | 623,505 | 2.3 | % | ||||||||
Internet & Catalog Retail | ||||||||||||
Amazon.com, Inc.* | 3,115 | 865,004 | 3.2 | % | ||||||||
priceline.com Incorporated* | 655 | 541,770 | 2.0 | % | ||||||||
1,406,774 | 5.2 | % | ||||||||||
Internet Software & Services | ||||||||||||
eBay, Inc.* | 11,126 | 575,437 | 2.1 | % | ||||||||
Facebook, Inc.* | 4,248 | 105,605 | 0.4 | % | ||||||||
Google, Inc. – Class A* | 1,065 | 937,594 | 3.5 | % | ||||||||
LinkedIn Corporation* | 771 | 137,469 | 0.5 | % | ||||||||
1,756,105 | 6.5 | % | ||||||||||
IT Services | ||||||||||||
Accenture plc f | 3,819 | 274,815 | 1.0 | % | ||||||||
Cognizant Technology Solutions Corporation – Class A* | 6,823 | 427,188 | 1.6 | % | ||||||||
MasterCard, Inc. – Class A | 1,197 | 687,677 | 2.6 | % | ||||||||
1,389,680 | 5.2 | % | ||||||||||
Life Sciences Tools & Services | ||||||||||||
Illumina, Inc.* | 6,128 | 458,620 | 1.7 | % | ||||||||
Media | ||||||||||||
DIRECTV* | 5,527 | 340,574 | 1.3 | % | ||||||||
Multiline Retail | ||||||||||||
Dollar General Corporation* | 7,175 | 361,835 | 1.3 | % | ||||||||
Oil, Gas & Consumable Fuels | ||||||||||||
Continental Resources, Inc.* | 5,720 | 492,263 | 1.8 | % |
The accompanying notes are in integral part of these financial statements.
Page 4
Baird LargeCap Fund
Schedule of Investments, June 30, 2013 (Unaudited)
Common Stocks (cont.)
Market | % of | |||||||||||
Shares | Value | Net Assets | ||||||||||
Oil, Gas & Consumable Fuels (cont.) | ||||||||||||
Southwestern Energy Company* | 3,475 | $ | 126,942 | 0.5 | % | |||||||
619,205 | 2.3 | % | ||||||||||
Pharmaceuticals | ||||||||||||
Allergan, Inc. | 4,730 | 398,455 | 1.5 | % | ||||||||
Real Estate Investment Trusts (REITs) | ||||||||||||
American Tower Corp. | 3,553 | 259,973 | 1.0 | % | ||||||||
Simon Property Group, Inc. | 753 | 118,914 | 0.4 | % | ||||||||
378,887 | 1.4 | % | ||||||||||
Road & Rail | ||||||||||||
J.B. Hunt Transport Services, Inc. | 2,972 | 214,697 | 0.8 | % | ||||||||
Union Pacific Corporation | 2,150 | 331,702 | 1.2 | % | ||||||||
546,399 | 2.0 | % | ||||||||||
Semiconductors & Semiconductor Equipment | ||||||||||||
Intel Corporation | 23,102 | 559,530 | 2.1 | % | ||||||||
Software | ||||||||||||
Fortinet, Inc.* | 16,022 | 280,385 | 1.0 | % | ||||||||
Microsoft Corporation | 29,373 | 1,014,250 | 3.8 | % | ||||||||
Oracle Corporation | 13,287 | 408,176 | 1.5 | % | ||||||||
Salesforce.com, Inc.* | 14,534 | 554,908 | 2.1 | % | ||||||||
2,257,719 | 8.4 | % | ||||||||||
Specialty Retail | ||||||||||||
Dick’s Sporting Goods, Inc. | 10,863 | 543,802 | 2.0 | % | ||||||||
O’Reilly Automotive, Inc.* | 5,526 | 622,338 | 2.3 | % | ||||||||
Tiffany & Co | 3,807 | 277,302 | 1.0 | % | ||||||||
Tractor Supply Company | 4,058 | 477,261 | 1.8 | % | ||||||||
Urban Outfitters, Inc.* | 4,485 | 180,387 | 0.7 | % | ||||||||
2,101,090 | 7.8 | % | ||||||||||
Textiles, Apparel & Luxury Goods | ||||||||||||
NIKE, Inc. | 7,141 | 454,739 | 1.7 | % | ||||||||
PVH Corp. | 3,895 | 487,070 | 1.8 | % | ||||||||
941,809 | 3.5 | % | ||||||||||
Trading Companies & Distributors | ||||||||||||
Fastenal Company | 9,360 | 429,156 | 1.6 | % | ||||||||
Total Common Stocks | ||||||||||||
(Cost $19,755,121) | 26,549,631 | 98.4 | % |
The accompanying notes are in integral part of these financial statements.
Page 5
Baird LargeCap Fund
Schedule of Investments, June 30, 2013 (Unaudited)
Short-Term Investments
Market | % of | |||||||||||
Shares | Value | Net Assets | ||||||||||
Money Market Mutual Funds | ||||||||||||
Short-Term Investments Trust – | ||||||||||||
Liquid Assets Portfolio, 0.09%« | 438,174 | $ | 438,174 | 1.6 | % | |||||||
Total Short-Term Investments | ||||||||||||
(Cost $438,174) | 438,174 | 1.6 | % | |||||||||
Investments Purchased with Cash | ||||||||||||
Proceeds from Securities Lending | ||||||||||||
Principal | ||||||||||||
Amount | ||||||||||||
Commercial Paper | ||||||||||||
Atlantic East Funding LLC, | ||||||||||||
0.545%, 03/25/2014†** | $ | 125,156 | 99,910 | 0.4 | % | |||||||
Total Commercial Paper | ||||||||||||
(Cost $125,156) | 99,910 | 0.4 | % | |||||||||
Total Investments Purchased With | ||||||||||||
Cash Proceeds From Securities Lending | ||||||||||||
(Cost $125,156) | 99,910 | 0.4 | % | |||||||||
Total Investments | ||||||||||||
(Cost $20,318,451) | 27,087,715 | 100.4 | % | |||||||||
Asset Related to Securities Lending Investments | ||||||||||||
Support Agreement*a**† | 25,246 | 0.1 | % | |||||||||
Total | ||||||||||||
(Cost $0) | 25,246 | 0.1 | % | |||||||||
Liabilities in Excess of Other Assets | (142,775 | ) | (0.5 | )% | ||||||||
TOTAL NET ASSETS | $ | 26,970,186 | 100.0 | % |
Notes to Schedule of Investments
* | Non-Income Producing | |
** | Illiquid Security | |
f | Foreign Security | |
« | 7-Day Yield | |
† | Priced at Fair Value by the Valuation Committee as delegated by the Baird Funds’ Board of Directors. | |
a | The Fund’s transfer agent and administrator and securities lending agent entered into a support agreement with the Fund to cover losses realized by the Fund on its investment in Atlantic East Funding, LLC (up to a certain amount), which investment was made by the Fund’s securities lending agent. |
Industry classifications shown in the Schedule of Investments are based off of the Global Industry Classification Standard (GICS®). GICS was developed by and/or is the exclusive property of MSCI, Inc. and Standard & Poor Financial Services LLC (“S&P”). GICS is a service mark of MSCI and S&P and has been licensed for use by U.S. Bancorp Fund Services, LLC.
The accompanying notes are in integral part of these financial statements.
Page 6
Baird LargeCap Fund
Schedule of Investments, June 30, 2013 (Unaudited)
Summary of Fair Value Exposure at June 30, 2013
The Fund has adopted authoritative fair valuation accounting standards which establish a definition of fair value and set out a hierarchy for measuring fair value. These standards require additional disclosures about the various inputs and valuation techniques used to develop the measurements of fair value and a discussion on changes in valuation techniques and related inputs during the period. These standards define fair value as 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. Management has determined that these standards have no material impact on the Funds’ financial statements. The fair value hierarchy is organized into three levels based upon the assumptions (referred to as “inputs”) used in pricing the asset or liability. These standards state that “observable inputs” reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from independent sources and “unobservable inputs” reflect an entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability. These inputs are summarized into three broad levels and described below:
Level 1 – | Unadjusted quoted prices in active markets for identical unrestricted securities. |
Level 2 – | Other significant observable inputs (including quoted prices for similar securities, quoted prices in inactive markets, dealer indications, interest rates, yield curves, prepayment speeds, credit risk, default rates, inputs corroborated by observable market data, etc.). |
Level 3 – | Significant unobservable inputs (including the Fund’s own assumptions about the factors that market participants would use in valuing the security) based on the best information available. |
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used to value the Fund’s investments as of June 30, 2013:
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Equity | ||||||||||||||||
Common Stocks | $ | 26,549,631 | $ | — | $ | — | $ | 26,549,631 | ||||||||
Total Equity | 26,549,631 | — | — | 26,549,631 | ||||||||||||
Short-Term Investments | ||||||||||||||||
Money Market Mutual Fund | 438,174 | — | — | 438,174 | ||||||||||||
Total Short-Term Investments | 438,174 | — | — | 438,174 | ||||||||||||
Investments Purchased with Cash | ||||||||||||||||
Proceeds from Securities Lending | ||||||||||||||||
Commercial Paper | — | 99,910 | — | 99,910 | ||||||||||||
Total Investments Purchased with | ||||||||||||||||
Cash Proceeds from Securities Lending | — | 99,910 | — | 99,910 | ||||||||||||
Total Investments* | $ | 26,987,805 | $ | 99,910 | $ | — | $ | 27,087,715 | ||||||||
Asset Relating to Securities | ||||||||||||||||
Lending Investments | $ | — | $ | 25,246 | $ | — | $ | 25,246 |
* | Additional information regarding the industry classifications of these investments is disclosed in the Schedule of Investments. |
Changes in valuation techniques may result in transfers into or out of current assigned levels within the hierarchy. There were no transfers between Level 1, Level 2 and Level 3 fair value measurements during the reporting period, as compared to their classification from the prior year’s annual report.
Page 7
Baird MidCap Fund
June 30, 2013 (Unaudited)
A June 30, 2013 summary of the Fund’s top 10 holdings and equity sector analysis compared to the Russell MidCap® Growth Index is shown below.
Top 10 Holdings* | Equity Sector Analysis** | ||
Illumina, Inc. | 2.8% | ||
PVH Corp. | 2.8% | ||
Stericycle, Inc. | 2.5% | ||
LKQ Corporation | 2.2% | ||
J.B. Hunt Transport Services, Inc. | 2.2% | ||
Dollar General Corporation | 2.2% | ||
Tractor Supply Company | 2.1% | ||
Dick’s Sporting Goods, Inc. | 2.1% | ||
ICON Public Limited Company | 2.0% | ||
Church & Dwight Co., Inc. | 2.0% | ||
Net Assets: | $310,246,315 | ||
Portfolio Turnover Rate: | 19.3% | † | |
Number of Equity Holdings: | 60 | ||
Annualized Expense Ratio:*** | |||
Gross | |||
Institutional Class: | 0.98% | ||
Investor Class: | 1.23% | **** | |
Net | |||
Institutional Class: | 0.85% | ||
Investor Class: | 1.10% | **** |
* | The Fund’s portfolio composition is subject to change and there is no assurance that the Fund will continue to hold any particular security. Percentages shown relate to the Fund’s total net assets as of June 30, 2013. | |
** | Percentages shown in parentheses relate to the Fund’s total market value of investments as of June 30, 2013, and may not add up to 100% due to rounding. | |
*** | Reflects expense ratios as stated in the Fund’s current prospectus. The Advisor has contractually agreed to limit the Fund’s total annual fund operating expenses to 0.85% of average daily net assets for the Institutional Class shares and 1.10% of average daily net assets for the Investor Class shares, at least through April 30, 2014. | |
**** | Includes 0.25% 12b-1 fee. | |
† | Not annualized. |
Page 8
Baird MidCap Fund
June 30, 2013 (Unaudited)
Total Returns
Average Annual | |||||
Since | |||||
For the Periods Ended June 30, 2013 | Six Months | One Year | Five Years | Ten Years | Inception(1) |
Institutional Class Shares | 11.28% | 16.66% | 10.46% | 9.51% | 5.99% |
Investor Class Shares | 11.14% | 16.34% | 10.19% | 9.25% | 5.74% |
Russell MidCap® Growth Index(2) | 14.70% | 22.88% | 7.61% | 9.94% | 4.48% |
(1) | For the period from December 29, 2000 (commencement of operations) through June 30, 2013. |
(2) | The Russell MidCap® Growth Index measures the performance of the mid-cap growth segment of the U.S. equity universe. It includes those Russell MidCap® index companies with higher price-to-book ratios and higher forecasted growth values. This index does not reflect any deduction for fees, expenses or taxes. A direct investment in the index is not possible. |
The returns shown in the table above reflect reinvestment of dividends and/or capital gains distributions in additional shares. The returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. The returns reflect the actual performance for each period and do not include the impact of trades executed on the last business day of the period that were recorded on the first business day of the next period.
The gross expense ratio for each class, as reflected in the Fund’s current prospectus, is set forth under “Portfolio Characteristics”.
The Fund focuses on growth-style stocks and therefore the performance of the Fund will typically be more volatile than the performance of funds that focus on types of stocks that have a broader investment style. The Fund may invest up to 15% of its total assets in U.S. dollar denominated foreign securities and ADRs. Foreign investments involve additional risks such as currency rate fluctuations, political and economic instability, and different and sometimes less strict financial reporting standards and regulation. The Fund invests a substantial portion of its assets in the stocks of mid-capitalization companies. Mid-capitalization companies often are more volatile and face greater risks than larger, more established companies.
Past performance does not guarantee future results. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost.
For information about the performance of the Fund as of the most recent month-end, please call 1-866-44BAIRD or visit www.bairdfunds.com. Mutual fund performance changes over time and current performance may be lower or higher than that stated.
Page 9
Baird MidCap Fund
Schedule of Investments, June 30, 2013 (Unaudited)
Common Stocks
Market | % of | |||||||||||
Shares | Value | Net Assets | ||||||||||
Biotechnology | ||||||||||||
Alexion Pharmaceuticals, Inc.* | 50,601 | $ | 4,667,436 | 1.5 | % | |||||||
Building Products | ||||||||||||
Fortune Brands Home & Security, Inc. | 78,125 | 3,026,562 | 1.0 | % | ||||||||
Capital Markets | ||||||||||||
Affiliated Managers Group, Inc.* | 38,181 | 6,259,393 | 2.0 | % | ||||||||
Greenhill & Co., Inc. | 109,795 | 5,022,023 | 1.6 | % | ||||||||
Invesco Limited f | 130,505 | 4,150,059 | 1.4 | % | ||||||||
15,431,475 | 5.0 | % | ||||||||||
Chemicals | ||||||||||||
Airgas, Inc. | 43,720 | 4,173,511 | 1.3 | % | ||||||||
Commercial Banks | ||||||||||||
East West Bancorp, Inc. | 184,375 | 5,070,313 | 1.6 | % | ||||||||
Commercial Services & Supplies | ||||||||||||
Stericycle, Inc.* | 69,760 | 7,703,597 | 2.5 | % | ||||||||
Communications Equipment | ||||||||||||
F5 Networks, Inc.* | 32,735 | 2,252,168 | 0.7 | % | ||||||||
Riverbed Technology, Inc.* | 120,840 | 1,880,270 | 0.6 | % | ||||||||
4,132,438 | 1.3 | % | ||||||||||
Construction & Engineering | ||||||||||||
Fluor Corporation | 71,700 | 4,252,527 | 1.4 | % | ||||||||
Containers & Packaging | ||||||||||||
AptarGroup, Inc. | 80,760 | 4,458,760 | 1.4 | % | ||||||||
Distributors | ||||||||||||
LKQ Corporation* | 262,725 | 6,765,169 | 2.2 | % | ||||||||
Electrical Equipment | ||||||||||||
Acuity Brands, Inc. | 63,875 | 4,823,840 | 1.6 | % | ||||||||
Regal-Beloit Corporation | 33,775 | 2,189,971 | 0.7 | % | ||||||||
Rockwell Automation, Inc. | 62,970 | 5,235,326 | 1.7 | % | ||||||||
Roper Industries, Inc. | 38,750 | 4,813,525 | 1.5 | % | ||||||||
17,062,662 | 5.5 | % | ||||||||||
Electronic Equipment, Instruments & Components | ||||||||||||
Trimble Navigation Limited* | 206,600 | 5,373,666 | 1.7 | % | ||||||||
Energy Equipment & Services | ||||||||||||
Core Laboratories N.V. f | 28,440 | 4,313,211 | 1.4 | % | ||||||||
Oceaneering International, Inc. | 78,836 | 5,691,959 | 1.8 | % | ||||||||
10,005,170 | 3.2 | % | ||||||||||
Food Products | ||||||||||||
McCormick & Co, Incorporated | 84,762 | 5,963,854 | 1.9 | % |
The accompanying notes are in integral part of these financial statements.
Page 10
Baird MidCap Fund
Schedule of Investments, June 30, 2013 (Unaudited)
Common Stocks (cont.)
Market | % of | |||||||||||
Shares | Value | Net Assets | ||||||||||
Food & Staples Retailing | ||||||||||||
The Fresh Market, Inc.* | 103,575 | $ | 5,149,749 | 1.7 | % | |||||||
Health Care Equipment & Supplies | ||||||||||||
Edwards Lifesciences Corporation* | 31,163 | 2,094,154 | 0.7 | % | ||||||||
Health Care Providers & Services | ||||||||||||
Acadia Healthcare Company, Inc.* | 97,375 | 3,220,191 | 1.0 | % | ||||||||
Catamaran Corporation* f | 79,455 | 3,871,048 | 1.3 | % | ||||||||
7,091,239 | 2.3 | % | ||||||||||
Health Care Technology | ||||||||||||
Cerner Corporation* | 50,800 | 4,881,372 | 1.6 | % | ||||||||
Hotels Restaurants & Leisure | ||||||||||||
Buffalo Wild Wings Inc.* | 57,058 | 5,600,813 | 1.8 | % | ||||||||
InterContinental Hotels Group PLC f | 193,485 | 5,315,033 | 1.7 | % | ||||||||
10,915,846 | 3.5 | % | ||||||||||
Household Products | ||||||||||||
Church & Dwight Co., Inc. | 102,601 | 6,331,508 | 2.0 | % | ||||||||
IT Services | ||||||||||||
Alliance Data Systems Corporation* | 30,049 | 5,439,770 | 1.8 | % | ||||||||
Teradata Corporation* | 94,560 | 4,749,749 | 1.5 | % | ||||||||
10,189,519 | 3.3 | % | ||||||||||
Leisure Equipment & Products | ||||||||||||
Polaris Industries Inc. | 46,600 | 4,427,000 | 1.4 | % | ||||||||
Life Sciences Tools & Services | ||||||||||||
ICON PLC* f | 179,256 | 6,351,040 | 2.0 | % | ||||||||
Illumina, Inc.* | 115,950 | 8,677,698 | 2.8 | % | ||||||||
15,028,738 | 4.8 | % | ||||||||||
Machinery | ||||||||||||
Actuant Corporation | 153,785 | 5,070,291 | 1.6 | % | ||||||||
WABCO Holdings Inc.* | 72,285 | 5,398,967 | 1.8 | % | ||||||||
10,469,258 | 3.4 | % | ||||||||||
Multiline Retail | ||||||||||||
Dollar General Corporation* | 133,170 | 6,715,763 | 2.2 | % | ||||||||
Office Electronics | ||||||||||||
Zebra Technologies Corporation* | 83,135 | 3,611,384 | 1.2 | % | ||||||||
Oil, Gas & Consumable Fuels | ||||||||||||
Southwestern Energy Company* | 98,775 | 3,608,251 | 1.2 | % | ||||||||
Whiting Petroleum Corporation* | 115,735 | 5,334,226 | 1.7 | % | ||||||||
8,942,477 | 2.9 | % |
The accompanying notes are in integral part of these financial statements.
Page 11
Baird MidCap Fund
Schedule of Investments, June 30, 2013 (Unaudited)
Common Stocks (cont.)
Market | % of | |||||||||||
Shares | Value | Net Assets | ||||||||||
Pharmaceuticals | ||||||||||||
Perrigo Company | 27,818 | $ | 3,365,978 | 1.1 | % | |||||||
Professional Services | ||||||||||||
Manpower Inc. | 103,185 | 5,654,538 | 1.8 | % | ||||||||
Real Estate Investment Trusts (REITs) | ||||||||||||
Digital Realty Trust, Inc. | 75,640 | 4,614,040 | 1.5 | % | ||||||||
Road & Rail | ||||||||||||
J.B. Hunt Transport Services, Inc. | 93,595 | 6,761,303 | 2.2 | % | ||||||||
Semiconductors & Semiconductor Equipment | ||||||||||||
Altera Corporation | 116,050 | 3,828,489 | 1.2 | % | ||||||||
Microchip Technology Incorporated | 78,315 | 2,917,234 | 0.9 | % | ||||||||
Skyworks Solutions, Inc.* | 165,600 | 3,624,984 | 1.2 | % | ||||||||
10,370,707 | 3.3 | % | ||||||||||
Software | ||||||||||||
ANSYS, Inc.* | 77,700 | 5,679,870 | 1.8 | % | ||||||||
Citrix Systems, Inc.* | 70,085 | 4,228,228 | 1.4 | % | ||||||||
Concur Technologies, Inc.* | 62,400 | 5,078,112 | 1.6 | % | ||||||||
Sourcefire, Inc.* | 95,550 | 5,307,803 | 1.7 | % | ||||||||
20,294,013 | 6.5 | % | ||||||||||
Specialty Retail | ||||||||||||
Dick’s Sporting Goods, Inc. | 126,961 | 6,355,668 | 2.1 | % | ||||||||
O’Reilly Automotive, Inc.* | 45,222 | 5,092,901 | 1.6 | % | ||||||||
Tiffany & Co. | 62,775 | 4,572,531 | 1.5 | % | ||||||||
Tractor Supply Company | 56,425 | 6,636,144 | 2.1 | % | ||||||||
Urban Outfitters, Inc.* | 142,345 | 5,725,116 | 1.8 | % | ||||||||
28,382,360 | 9.1 | % | ||||||||||
Textiles, Apparel & Luxury Goods | ||||||||||||
PVH Corp. | 68,844 | 8,608,942 | 2.8 | % | ||||||||
Under Armour, Inc. – Class A* | 82,565 | 4,929,956 | 1.6 | % | ||||||||
13,538,898 | 4.4 | % | ||||||||||
Trading Companies & Distributors | ||||||||||||
Fastenal Company | 102,092 | 4,680,918 | 1.5 | % | ||||||||
Watsco, Inc. | 53,665 | 4,505,714 | 1.5 | % | ||||||||
9,186,632 | 3.0 | % | ||||||||||
Total Common Stocks | ||||||||||||
(Cost $253,102,744) | 296,103,616 | 95.4 | % |
The accompanying notes are in integral part of these financial statements.
Page 12
Baird MidCap Fund
Schedule of Investments, June 30, 2013 (Unaudited)
Short-Term Investments
Market | % of | |||||||||||
Shares | Value | Net Assets | ||||||||||
Money Market Mutual Funds | ||||||||||||
Dreyfus Institutional Cash Advantage Fund, 0.04%« | 7,355,190 | $ | 7,355,190 | 2.4 | % | |||||||
Short-Term Investments Trust – | ||||||||||||
Liquid Assets Portfolio, 0.09%« | 6,000,000 | 6,000,000 | 1.9 | % | ||||||||
Total Short-Term Investments | ||||||||||||
(Cost $13,355,190) | 13,355,190 | 4.3 | % | |||||||||
Investments Purchased with Cash | ||||||||||||
Proceeds from Securities Lending | ||||||||||||
Principal | ||||||||||||
Amount | ||||||||||||
Commercial Paper | ||||||||||||
Atlantic East Funding LLC, | ||||||||||||
0.545%, 03/25/2014†** | $ | 176,184 | 140,644 | 0.1 | % | |||||||
Total Commercial Paper | ||||||||||||
(Cost $176,184) | 140,644 | 0.1 | % | |||||||||
Total Investments Purchased With | ||||||||||||
Cash Proceeds From Securities Lending | ||||||||||||
(Cost $176,184) | 140,644 | 0.1 | % | |||||||||
Total Investments | ||||||||||||
(Cost $266,634,118) | 309,599,450 | 99.8 | % | |||||||||
Asset Related to Securities Lending Investments | ||||||||||||
Support Agreement*a**† | 35,540 | 0.0 | % | |||||||||
Total | ||||||||||||
(Cost $0) | 35,540 | 0.0 | % | |||||||||
Other Assets in Excess of Liabilities | 611,325 | 0.2 | % | |||||||||
TOTAL NET ASSETS | $ | 310,246,315 | 100.0 | % |
Notes to Schedule of Investments
* | Non-Income Producing | |
** | Illiquid Security | |
f | Foreign Security | |
« | 7-Day Yield | |
† | Priced at Fair Value by the Valuation Committee as delegated by the Baird Funds’ Board of Directors. | |
a | The Fund’s transfer agent and administrator and securities lending agent entered into a support agreement with the Fund to cover losses realized by the Fund on its investment in Atlantic East Funding, LLC (up to a certain amount), which investment was made by the Fund’s securities lending agent. |
Industry classifications shown in the Schedule of Investments are based off of the Global Industry Classification Standard (GICS®). GICS was developed by and/or is the exclusive property of MSCI, Inc. and Standard & Poor Financial Services LLC (“S&P”). GICS is a service mark of MSCI and S&P and has been licensed for use by U.S. Bancorp Fund Services, LLC.
The accompanying notes are in integral part of these financial statements.
Page 13
Baird MidCap Fund
Schedule of Investments, June 30, 2013 (Unaudited)
Summary of Fair Value Exposure at June 30, 2013
The Fund has adopted authoritative fair valuation accounting standards which establish a definition of fair value and set out a hierarchy for measuring fair value. These standards require additional disclosures about the various inputs and valuation techniques used to develop the measurements of fair value and a discussion on changes in valuation techniques and related inputs during the period. These standards define fair value as 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. Management has determined that these standards have no material impact on the Funds’ financial statements. The fair value hierarchy is organized into three levels based upon the assumptions (referred to as “inputs”) used in pricing the asset or liability. These standards state that “observable inputs” reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from independent sources and “unobservable inputs” reflect an entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability. These inputs are summarized into three broad levels and described below:
Level 1 – | Unadjusted quoted prices in active markets for identical unrestricted securities. |
Level 2 – | Other significant observable inputs (including quoted prices for similar securities, quoted prices in inactive markets, dealer indications, interest rates, yield curves, prepayment speeds, credit risk, default rates, inputs corroborated by observable market data, etc.). |
Level 3 – | Significant unobservable inputs (including the Fund’s own assumptions about the factors that market participants would use in valuing the security) based on the best information available. |
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used to value the Fund’s investments as of June 30, 2013:
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Equity | ||||||||||||||||
Common Stocks | $ | 296,103,616 | $ | — | $ | — | $ | 296,103,616 | ||||||||
Total Equity | 296,103,616 | — | — | 296,103,616 | ||||||||||||
Short-Term Investments | ||||||||||||||||
Money Market Mutual Funds | 13,355,190 | — | — | 13,355,190 | ||||||||||||
Total Short-Term Investments | 13,355,190 | — | — | 13,355,190 | ||||||||||||
Investments Purchased with Cash | ||||||||||||||||
Proceeds from Securities Lending | ||||||||||||||||
Commercial Paper | — | 140,644 | — | 140,644 | ||||||||||||
Total Investments Purchased with | ||||||||||||||||
Cash Proceeds from Securities Lending | — | 140,644 | — | 140,644 | ||||||||||||
Total Investments* | $ | 309,458,806 | $ | 140,644 | $ | — | $ | 309,599,450 | ||||||||
Asset Relating to Securities | ||||||||||||||||
Lending Investments | $ | — | $ | 35,540 | $ | — | $ | 35,540 |
* | Additional information regarding the industry classifications of these investments is disclosed in the Schedule of Investments. |
Changes in valuation techniques may result in transfers into or out of current assigned levels within the hierarchy. There were no transfers between Level 1, Level 2 and Level 3 fair value measurements during the reporting period, as compared to their classification from the prior year’s annual report.
Page 14
Baird SmallCap Value Fund
June 30, 2013 (Unaudited)
A June 30, 2013 summary of the Fund’s top 10 holdings and equity sector analysis compared to the Russell 2000® Value Index is shown below.
Top 10 Holdings* | Equity Sector Analysis** | ||
Portfolio Recovery Associates, Inc. | 4.1% | ||
Hanesbrands, Inc. | 3.5% | �� | |
Conn’s Inc. | 3.1% | ||
Jarden Corporation | 3.1% | ||
Omega Healthcare Investors, Inc. | 3.0% | ||
First Cash Financial Services, Inc. | 2.9% | ||
Bofi Holding, Inc. | 2.8% | ||
LTC Properties, Inc. | 2.8% | ||
MasTec, Inc. | 2.8% | ||
Valmont Industries, Inc. | 2.7% | ||
Net Assets: | $11,910,909 | ||
Portfolio Turnover Rate: | 17.8% | † | |
Number of Equity Holdings: | 45 | ||
Annualized Expense Ratio:*** | |||
Gross | |||
Institutional Class: | 3.07% | ||
Investor Class: | 3.32% | **** | |
Net | |||
Institutional Class: | 1.00% | ||
Investor Class: | 1.25% | **** |
* | The Fund’s portfolio composition is subject to change and there is no assurance that the Fund will continue to hold any particular security. Percentages shown relate to the Fund’s total net assets as of June 30, 2013. | |
** | Percentages shown in parentheses relate to the Fund’s total market value of investments as of June 30, 2013, and may not add up to 100% due to rounding. | |
*** | Reflects expense ratios as stated in the Fund’s current prospectus. The Advisor has contractually agreed to limit the Fund’s total annual fund operating expenses to 1.00% of average daily net assets for the Institutional Class shares and 1.25% of average daily net assets for the Investor Class shares, at least through April 30, 2014. | |
**** | Includes 0.25% 12b-1 fee. | |
† | Not annualized. |
Page 15
Baird SmallCap Value Fund
June 30, 2013 (Unaudited)
Total Returns
Average Annual | |||
Since | |||
For the Periods Ended June 30, 2013 | Six Months | One Year | Inception(1) |
Institutional Class Shares | 15.59% | 22.23% | 16.62% |
Investor Class Shares | 15.51% | 22.02% | 16.35% |
Russell 2000® Value Index(2) | 14.39% | 24.76% | 19.23% |
(1) | For the period from May 1, 2012 (commencement of operations) through June 30, 2013. |
(2) | The Russell 2000® Value Index measures the performance of the small-cap value segment of the U.S. equity universe. It includes those Russell 2000® Index companies with lower price-to-book ratios and lower forecasted growth values. This index does not reflect any deduction for fees, expenses or taxes. A direct investment in the index is not possible. |
The returns shown in the table above reflect reinvestment of dividends and/or capital gains distributions in additional shares. The returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. The returns reflect the actual performance for each period and do not include the impact of trades executed on the last business day of the period that were recorded on the first business day of the next period.
The gross expense ratio for each class, as reflected in the Fund’s current prospectus, is set forth under “Portfolio Characteristics”.
The Fund focuses on small cap value style stocks and therefore the performance of the Fund may be more volatile than the performance of funds that focus on types of stocks that have a broader investment style. The Fund may invest up to 15% of its total assets in U.S. dollar denominated foreign securities and ADRs. Foreign investments involve additional risks such as currency rate fluctuations and the potential for political and economic instability, and different and sometimes less strict financial reporting standards and regulation.
Past performance does not guarantee future results. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost.
For information about the performance of the Fund as of the most recent month-end, please call 1-866-44BAIRD or visit www.bairdfunds.com. Mutual fund performance changes over time and current performance may be lower or higher than that stated.
Page 16
Baird SmallCap Value Fund
Schedule of Investments, June 30, 2013 (Unaudited)
Common Stocks
Market | % of | |||||||||||
Shares | Value | Net Assets | ||||||||||
Aerospace & Defense | ||||||||||||
Hexcel Corporation* | 9,413 | $ | 320,513 | 2.7 | % | |||||||
Capital Markets | ||||||||||||
Diamond Hill Investment Group, Inc. | 3,076 | 261,614 | 2.2 | % | ||||||||
Construction & Engineering | ||||||||||||
MasTec, Inc.* | 9,961 | 327,717 | 2.8 | % | ||||||||
MYR Group Inc.* | 11,292 | 219,629 | 1.8 | % | ||||||||
Quanta Services, Inc.* | 10,393 | 274,999 | 2.3 | % | ||||||||
822,345 | 6.9 | % | ||||||||||
Consumer Finance | ||||||||||||
Encore Capital Group, Inc.* | 8,881 | 294,050 | 2.5 | % | ||||||||
EZCORP, Inc.* | 10,637 | 179,553 | 1.5 | % | ||||||||
First Cash Financial Services, Inc.* | 7,024 | 345,651 | 2.9 | % | ||||||||
Portfolio Recovery Associates, Inc.* | 3,168 | 486,700 | 4.1 | % | ||||||||
1,305,954 | 11.0 | % | ||||||||||
Diversified Consumer Services | ||||||||||||
Steiner Leisure Limited* f | 4,800 | 253,728 | 2.1 | % | ||||||||
Diversified Telecommunication Services | ||||||||||||
Windstream Corporation | 14,906 | 114,925 | 1.0 | % | ||||||||
Electric Utilities | ||||||||||||
UIL Holdings Corporation | 4,665 | 178,436 | 1.5 | % | ||||||||
Electrical Equipment | ||||||||||||
Generac Holdings Inc. | 6,725 | 248,892 | 2.1 | % | ||||||||
Energy Equipment & Services | ||||||||||||
Mitcham Industries, Inc.* | 8,378 | 140,583 | 1.2 | % | ||||||||
Pacific Drilling SA* f | 24,135 | 236,040 | 2.0 | % | ||||||||
Vantage Drilling Co* f | 110,960 | 226,358 | 1.9 | % | ||||||||
Willbros Group, Inc.* | 11,818 | 72,563 | 0.6 | % | ||||||||
675,544 | 5.7 | % | ||||||||||
Gas Utilities | ||||||||||||
South Jersey Industries, Inc. | 4,852 | 278,553 | 2.3 | % | ||||||||
Health Care Equipment & Supplies | ||||||||||||
ICU Medical, Inc.* | 3,312 | 238,663 | 2.0 | % | ||||||||
Health Care Providers & Services | ||||||||||||
Air Methods Corporation | 6,426 | 217,713 | 1.8 | % | ||||||||
Hotels Restaurants & Leisure | ||||||||||||
SHFL entertainment, Inc.* | 13,925 | 246,612 | 2.1 | % | ||||||||
Household Durables | ||||||||||||
Jarden Corporation* | 8,276 | 362,075 | 3.1 | % |
The accompanying notes are in integral part of these financial statements.
Page 17
Baird SmallCap Value Fund
Schedule of Investments, June 30, 2013 (Unaudited)
Common Stocks (cont.)
Market | % of | |||||||||||
Shares | Value | Net Assets | ||||||||||
Insurance | ||||||||||||
American Safety Insurance Holdings, Ltd.* f | 9,242 | $ | 267,556 | 2.3 | % | |||||||
AmTrust Financial Services, Inc. | 7,112 | 253,898 | 2.1 | % | ||||||||
HCC Insurance Holdings, Inc. | 7,574 | 326,515 | 2.7 | % | ||||||||
Hilltop Holdings, Inc.* | 18,636 | 305,631 | 2.6 | % | ||||||||
1,153,600 | 9.7 | % | ||||||||||
Internet Software & Services | ||||||||||||
j2 Global, Inc. | 6,303 | 267,941 | 2.2 | % | ||||||||
IT Services | ||||||||||||
WEX Inc.* | 2,982 | 228,719 | 1.9 | % | ||||||||
Machinery | ||||||||||||
Valmont Industries, Inc. | 2,288 | 327,390 | 2.7 | % | ||||||||
Media | ||||||||||||
John Wiley & Sons, Inc. | 3,493 | 140,034 | 1.2 | % | ||||||||
Oil, Gas & Consumable Fuels | ||||||||||||
Sandridge Energy, Inc.* | 21,038 | 100,141 | 0.9 | % | ||||||||
Targa Resources Corp. | 3,915 | 251,852 | 2.1 | % | ||||||||
351,993 | 3.0 | % | ||||||||||
Real Estate Investment Trusts (REITs) | ||||||||||||
American Capital Mortgage Investment Corp | 8,147 | 146,402 | 1.2 | % | ||||||||
BioMed Realty Trust, Inc. | 12,909 | 261,149 | 2.2 | % | ||||||||
LTC Properties, Inc. | 8,525 | 332,901 | 2.8 | % | ||||||||
Mid-America Apartment Communities, Inc. | 2,867 | 194,297 | 1.6 | % | ||||||||
Omega Healthcare Investors, Inc. | 11,666 | 361,879 | 3.0 | % | ||||||||
1,296,628 | 10.8 | % | ||||||||||
Road & Rail | ||||||||||||
Universal Truckload Services, Inc. | 10,194 | 245,777 | 2.1 | % | ||||||||
Specialty Retail | ||||||||||||
Conn’s Inc.* | 7,228 | 374,121 | 3.1 | % | ||||||||
Rent-A-Center, Inc. | 8,053 | 302,390 | 2.6 | % | ||||||||
676,511 | 5.7 | % | ||||||||||
Textiles, Apparel & Luxury Goods | ||||||||||||
Hanesbrands, Inc. | 8,191 | 421,181 | 3.5 | % | ||||||||
Thrifts & Mortgage Finance | ||||||||||||
Bofi Holding, Inc.* | 7,403 | 339,206 | 2.8 | % | ||||||||
Capitol Federal Financial, Inc. | 11,477 | 139,331 | 1.2 | % | ||||||||
Chicopee Bancorp, Inc. | 12,436 | 210,168 | 1.8 | % | ||||||||
Westfield Financial, Inc. | 16,904 | 118,328 | 1.0 | % | ||||||||
807,033 | 6.8 | % | ||||||||||
Total Common Stocks | ||||||||||||
(Cost $9,882,245) | 11,442,374 | 96.1 | % |
The accompanying notes are in integral part of these financial statements.
Page 18
Baird SmallCap Value Fund
Schedule of Investments, June 30, 2013 (Unaudited)
Short-Term Investments
Market | % of | |||||||||||
Shares | Value | Net Assets | ||||||||||
Money Market Mutual Funds | ||||||||||||
Dreyfus Institutional Cash Advantage Fund, 0.04%« | 425,249 | $ | 425,249 | 3.6 | % | |||||||
Short-Term Investments Trust – | ||||||||||||
Liquid Assets Portfolio, 0.09%« | 220,000 | 220,000 | 1.8 | % | ||||||||
Total Short-Term Investments | ||||||||||||
(Cost $645,249) | 645,249 | 5.4 | % | |||||||||
Total Investments | ||||||||||||
(Cost $10,527,494) | 12,087,623 | 101.5 | % | |||||||||
Liabilities in Excess of Other Assets | (176,714 | ) | (1.5 | )% | ||||||||
TOTAL NET ASSETS | $ | 11,910,909 | 100.0 | % |
Notes to Schedule of Investments
* | Non-Income Producing | |
f | Foreign Security | |
« | 7-Day Yield |
Industry classifications shown in the Schedule of Investments are based off of the Global Industry Classification Standard (GICS®). GICS was developed by and/or is the exclusive property of MSCI, Inc. and Standard & Poor Financial Services LLC (“S&P”). GICS is a service mark of MSCI and S&P and has been licensed for use by U.S. Bancorp Fund Services, LLC.
The accompanying notes are in integral part of these financial statements.
Page 19
Baird SmallCap Value Fund
Schedule of Investments, June 30, 2013 (Unaudited)
Summary of Fair Value Exposure at June 30, 2013
The Fund has adopted authoritative fair valuation accounting standards which establish a definition of fair value and set out a hierarchy for measuring fair value. These standards require additional disclosures about the various inputs and valuation techniques used to develop the measurements of fair value and a discussion on changes in valuation techniques and related inputs during the period. These standards define fair value as 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. Management has determined that these standards have no material impact on the Funds’ financial statements. The fair value hierarchy is organized into three levels based upon the assumptions (referred to as “inputs”) used in pricing the asset or liability. These standards state that “observable inputs” reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from independent sources and “unobservable inputs” reflect an entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability. These inputs are summarized into three broad levels and described below:
Level 1 – | Unadjusted quoted prices in active markets for identical unrestricted securities. |
Level 2 – | Other significant observable inputs (including quoted prices for similar securities, quoted prices in inactive markets, dealer indications, interest rates, yield curves, prepayment speeds, credit risk, default rates, inputs corroborated by observable market data, etc.). |
Level 3 – | Significant unobservable inputs (including the Fund’s own assumptions about the factors that market participants would use in valuing the security) based on the best information available. |
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used to value the Fund’s investments as of June 30, 2013:
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Equity | ||||||||||||||||
Common Stocks | $ | 11,442,374 | $ | — | $ | — | $ | 11,442,374 | ||||||||
Total Equity | 11,442,374 | — | — | 11,442,374 | ||||||||||||
Short-Term Investments | ||||||||||||||||
Money Market Mutual Funds | 645,249 | — | — | 645,249 | ||||||||||||
Total Short-Term Investments | 645,249 | — | — | 645,249 | ||||||||||||
Total Investments* | $ | 12,087,623 | $ | — | $ | — | $ | 12,087,623 |
* | Additional information regarding the industry classifications of these investments is disclosed in the Schedule of Investments. |
Changes in valuation techniques may result in transfers into or out of current assigned levels within the hierarchy. There were no transfers between Level 1, Level 2 and Level 3 fair value measurements during the reporting period, as compared to their classification from the prior year’s annual report.
Page 20
Additional Information on Fund Expenses
June 30, 2013 (Unaudited)
Example
As a shareholder of a mutual fund, you incur two types of costs: (1) transaction costs, which may include sales charges (loads) on purchase payments, reinvested dividends, or other distributions; redemption fees; and exchange fees; and (2) ongoing costs, such as management fees; distribution and/or service (12b-1) fees; and other fund expenses. Although the Funds do not charge any sales loads, redemption fees, or other transaction fees, you will be assessed fees for outgoing wire transfers, returned checks and stop payment orders at prevailing rates charged by U.S. Bancorp Fund Services, LLC, the Fund’s transfer agent. If you request that a redemption be made by wire transfer, currently the Fund’s transfer agent charges a $15.00 fee.
This Example is intended to help you understand your ongoing costs (in dollars) of investing in each Fund and to compare these costs with the ongoing costs of investing in other mutual funds. The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (1/1/13 – 6/30/13).
Actual Expenses
The third and fourth columns of the following table provide information about account values based on actual returns and actual expenses. You may use the information in these columns, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the fourth column entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The fifth and sixth columns of the following table provide information about hypothetical account values and hypothetical expenses based on the Funds’ actual expense ratios and an assumed rate of return of 5% per year before expenses, which is not the Funds’ actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Funds and other mutual funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other mutual funds. Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs. Therefore, the sixth column of the table (entitled “Expenses Paid During Period”) is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different mutual funds. In addition, if these transactional costs were included, your costs could have been higher.
Page 21
Additional Information on Fund Expenses
June 30, 2013 (Unaudited)
Actual vs. Hypothetical Returns
For the Six Months Ended June 30, 2013
Hypothetical | |||||||||||
(5% return | |||||||||||
Actual | before expenses) | ||||||||||
Fund’s | Beginning | Ending | Expenses | Ending | Expenses | ||||||
Annualized | Account | Account | Paid | Account | Paid | ||||||
Expense | Value | Value | During | Value | During | ||||||
Ratio(1) | 1/1/13 | 6/30/13 | Period(1) | 6/30/13 | Period(1) | ||||||
Baird LargeCap Fund | |||||||||||
Institutional Class | 0.75% | $1,000.00 | $1,084.20 | $3.88 | $1,021.08 | $3.76 | |||||
Investor Class | 1.00% | $1,000.00 | $1,082.50 | $5.16 | $1,019.84 | $5.01 | |||||
Baird MidCap Fund | |||||||||||
Institutional Class | 0.85% | $1,000.00 | $1,112.80 | $4.45 | $1,020.58 | $4.26 | |||||
Investor Class | 1.10% | $1,000.00 | $1,111.40 | $5.76 | $1,019.34 | $5.51 | |||||
Baird SmallCap Value Fund | |||||||||||
Institutional Class | 1.00% | $1,000.00 | $1,155.90 | $5.35 | $1,019.84 | $5.01 | |||||
Investor Class | 1.25% | $1,000.00 | $1,155.10 | $6.68 | $1,018.60 | $6.26 |
(1) | Expenses are equal to the Fund’s annualized net expense ratio multiplied by the average account value over the period, multiplied by 181 days and divided by 365 to reflect the one-half year period. |
Page 22
Statements of Assets and Liabilities
June 30, 2013 (Unaudited)
Baird | Baird | Baird | ||||||||||
LargeCap | MidCap | SmallCap | ||||||||||
Fund | Fund | Value Fund | ||||||||||
ASSETS: | ||||||||||||
Investments, at value (cost $20,318,451, | ||||||||||||
$266,634,118 and $10,527,494, respectively) | $ | 27,087,715 | $ | 309,599,450 | $ | 12,087,623 | ||||||
Support Agreement (Note 6) | 25,246 | 35,540 | — | |||||||||
Dividends receivable | 19,433 | 39,498 | 22,007 | |||||||||
Interest receivable | 12 | 896 | 28 | |||||||||
Receivable for investments sold | 256,956 | — | 6,682 | |||||||||
Receivable for Fund shares sold | — | 1,261,147 | 95,325 | |||||||||
Prepaid expenses and other assets | 15,796 | 17,195 | 32,079 | |||||||||
Total assets | 27,405,158 | 310,953,726 | 12,243,744 | |||||||||
LIABILITIES: | ||||||||||||
Payable for collateral received for securities loaned (Note 6) | 125,156 | 176,184 | — | |||||||||
Payable for securities purchased | 269,455 | — | 301,426 | |||||||||
Payable for Fund shares repurchased | 3,518 | 231,153 | — | |||||||||
Payable to Advisor and Distributor | 2,704 | 226,696 | 4,151 | |||||||||
Accrued expenses and other liabilities | 34,139 | 73,378 | 27,258 | |||||||||
Total liabilities | 434,972 | 707,411 | 332,835 | |||||||||
NET ASSETS | $ | 26,970,186 | $ | 310,246,315 | $ | 11,910,909 | ||||||
NET ASSETS CONSIST OF: | ||||||||||||
Capital stock | $ | 21,181,167 | $ | 265,185,102 | $ | 10,311,040 | ||||||
Accumulated undistributed net investment income (loss) | 38,976 | (201,854 | ) | 63,853 | ||||||||
Accumulated net realized gain (loss) on investments sold | (1,044,467 | ) | 2,262,195 | (24,113 | ) | |||||||
Net unrealized appreciation on | ||||||||||||
investments and support agreement | 6,794,510 | 43,000,872 | 1,560,129 | |||||||||
NET ASSETS | $ | 26,970,186 | $ | 310,246,315 | $ | 11,910,909 | ||||||
INSTITUTIONAL CLASS SHARES | ||||||||||||
Net Assets | $ | 26,726,747 | $ | 208,248,046 | $ | 11,627,724 | ||||||
Shares outstanding ($0.01 par value, | ||||||||||||
unlimited shares authorized) | 2,499,051 | 16,248,723 | 985,828 | |||||||||
Net asset value, offering and redemption price per share | $ | 10.69 | $ | 12.82 | $ | 11.79 | ||||||
INVESTOR CLASS SHARES | ||||||||||||
Net Assets | $ | 243,439 | $ | 101,998,269 | $ | 283,185 | ||||||
Shares outstanding ($0.01 par value, | ||||||||||||
unlimited shares authorized) | 22,893 | 8,245,596 | 24,056 | |||||||||
Net asset value, offering and redemption price per share | $ | 10.63 | $ | 12.37 | $ | 11.77 |
The accompanying notes are in integral part of these financial statements.
Page 23
Statements of Operations
Six Months Ended June 30, 2013 (Unaudited)
Baird | Baird | Baird | ||||||||||
LargeCap | MidCap | SmallCap | ||||||||||
Fund | Fund | Value Fund | ||||||||||
INVESTMENT INCOME: | ||||||||||||
Dividends (net of foreign taxes withheld | ||||||||||||
of $59, $3,266 and $0, respectively) | $ | 138,284 | $ | 1,082,653 | $ | 115,026 | ||||||
Income from securities lending (Note 6) | 567 | 9,046 | — | |||||||||
Interest | 325 | 6,133 | 181 | |||||||||
Other income | 404 | 3,456 | 192 | |||||||||
Total investment income | 139,580 | 1,101,288 | 115,399 | |||||||||
EXPENSES: | ||||||||||||
Investment advisory fees | 86,841 | 1,043,075 | 43,557 | |||||||||
Administration fees | 1,469 | 14,498 | 574 | |||||||||
Shareholder servicing fees | 7,602 | 60,430 | 3,792 | |||||||||
Fund accounting fees | 7,783 | 14,682 | 7,340 | |||||||||
Professional fees | 15,998 | 15,998 | 12,868 | |||||||||
Federal and state registration | 19,913 | 29,949 | 21,815 | |||||||||
Directors fees | 23,539 | 23,539 | 23,539 | |||||||||
Custody fees | 2,910 | 10,029 | 3,663 | |||||||||
Reports to shareholders | 2,504 | 9,844 | 1,315 | |||||||||
Distribution expense – Investor Class Shares (Note 8) | 497 | 120,990 | 302 | |||||||||
Miscellaneous expenses | 90 | 543 | 40 | |||||||||
Total expenses | 169,146 | 1,343,577 | 118,805 | |||||||||
Expense reimbursement by Advisor (Note 5) | (68,448 | ) | (40,435 | ) | (67,259 | ) | ||||||
Total expenses | 100,698 | 1,303,142 | 51,546 | |||||||||
NET INVESTMENT INCOME (LOSS) | 38,882 | (201,854 | ) | 63,853 | ||||||||
REALIZED AND UNREALIZED | ||||||||||||
GAIN (LOSS) ON INVESTMENTS: | ||||||||||||
Net realized gain (loss) on investments | 1,165,452 | 2,868,214 | (8,776 | ) | ||||||||
Change in unrealized appreciation/depreciation | ||||||||||||
on investments and support agreement | 919,584 | 24,544,737 | 1,348,014 | |||||||||
Net realized and unrealized gain on investments | 2,085,036 | 27,412,951 | 1,339,238 | |||||||||
NET INCREASE IN NET ASSETS | ||||||||||||
RESULTING FROM OPERATIONS | $ | 2,123,918 | $ | 27,211,097 | $ | 1,403,091 |
The accompanying notes are in integral part of these financial statements.
Page 24
Statement of Changes in Net Assets
Baird LargeCap Fund
Six Months Ended | ||||||||
June 30, 2013 | Year Ended | |||||||
(Unaudited) | December 31, 2012 | |||||||
OPERATIONS: | ||||||||
Net investment income | $ | 38,882 | $ | 87,901 | ||||
Net realized gain on investments | 1,165,452 | 1,226,478 | ||||||
Change in unrealized appreciation/depreciation | ||||||||
on investments and support agreement | 919,584 | 1,573,815 | ||||||
Net increase in net assets resulting from operations | 2,123,918 | 2,888,194 | ||||||
CAPITAL SHARE TRANSACTIONS: | ||||||||
Proceeds from shares sold | 2,744,324 | 4,396,047 | ||||||
Shares issued to holders in reinvestment of dividends | — | 87,560 | ||||||
Cost of shares redeemed | (2,304,129 | ) | (3,519,081 | ) | ||||
Net increase in net assets resulting | ||||||||
from capital share transactions | 440,195 | 964,526 | ||||||
DISTRIBUTIONS TO | ||||||||
INSTITUTIONAL CLASS SHAREHOLDERS: | ||||||||
From net investment income | — | (87,281 | ) | |||||
DISTRIBUTIONS TO | ||||||||
INVESTOR CLASS SHAREHOLDERS: | ||||||||
From net investment income | — | (552 | ) | |||||
TOTAL INCREASE IN NET ASSETS | 2,564,113 | 3,764,887 | ||||||
NET ASSETS: | ||||||||
Beginning of period | 24,406,073 | 20,641,186 | ||||||
End of period (including undistributed net | ||||||||
investment income of $38,976 and $94, respectively) | $ | 26,970,186 | $ | 24,406,073 |
The accompanying notes are in integral part of these financial statements.
Page 25
Statement of Changes in Net Assets
Baird MidCap Fund
Six Months Ended | ||||||||
June 30, 2013 | Year Ended | |||||||
(Unaudited) | December 31, 2012 | |||||||
OPERATIONS: | ||||||||
Net investment income (loss) | $ | (201,854 | ) | $ | 696,185 | |||
Net realized gain on investments | 2,868,214 | 650,959 | ||||||
Change in unrealized appreciation/depreciation | ||||||||
on investments and support agreement | 24,544,737 | 10,853,958 | ||||||
Net increase in net assets resulting from operations | 27,211,097 | 12,201,102 | ||||||
CAPITAL SHARE TRANSACTIONS: | ||||||||
Proceeds from shares sold | 94,390,198 | 194,674,969 | ||||||
Shares issued to holders in reinvestment of dividends | — | 1,807,198 | ||||||
Cost of shares redeemed | (32,714,359 | ) | (28,924,851 | ) | ||||
Other capital contribution (Note 3) | 118 | — | ||||||
Net increase in net assets resulting | ||||||||
from capital share transactions | 61,675,957 | 167,557,316 | ||||||
DISTRIBUTIONS TO | ||||||||
INSTITUTIONAL CLASS SHAREHOLDERS: | ||||||||
From net investment income | — | (484,795 | ) | |||||
From net realized gains | — | (704,473 | ) | |||||
Total Distributions | — | (1,189,268 | ) | |||||
DISTRIBUTIONS TO | ||||||||
INVESTOR CLASS SHAREHOLDERS: | ||||||||
From net investment income | — | (211,430 | ) | |||||
From net realized gains | — | (459,510 | ) | |||||
Total Distributions | — | (670,940 | ) | |||||
TOTAL INCREASE IN NET ASSETS | 88,887,054 | 177,898,210 | ||||||
NET ASSETS: | ||||||||
Beginning of period | 221,359,261 | 43,461,051 | ||||||
End of period (including net investment | ||||||||
income (loss) of $(201,854) and $0, respectively) | $ | 310,246,315 | $ | 221,359,261 |
The accompanying notes are in integral part of these financial statements.
Page 26
Statement of Changes in Net Assets
Baird SmallCap Value Fund
Six Months Ended | May 1, 2012^ | |||||||
June 30, 2013 | through | |||||||
(Unaudited) | December 31, 2012 | |||||||
OPERATIONS: | ||||||||
Net investment income | $ | 63,853 | $ | 92,988 | ||||
Net realized gain (loss) on investments | (8,776 | ) | 9,231 | |||||
Change in unrealized appreciation/depreciation | ||||||||
on investments | 1,348,014 | 212,115 | ||||||
Net increase in net assets resulting from operations | 1,403,091 | 314,334 | ||||||
CAPITAL SHARE TRANSACTIONS: | ||||||||
Proceeds from shares sold | 2,571,705 | 8,131,922 | ||||||
Shares issued to holders in reinvestment of dividends | — | 117,482 | ||||||
Cost of shares redeemed | (405,937 | ) | (104,132 | ) | ||||
Net increase in net assets resulting | ||||||||
from capital share transactions | 2,165,768 | 8,145,272 | ||||||
DISTRIBUTIONS TO | ||||||||
INSTITUTIONAL CLASS SHAREHOLDERS: | ||||||||
From net investment income | — | (89,865 | ) | |||||
From net realized gains | — | (25,034 | ) | |||||
Total Distributions | — | (114,899 | ) | |||||
DISTRIBUTIONS TO | ||||||||
INVESTOR CLASS SHAREHOLDERS: | ||||||||
From net investment income | — | (2,036 | ) | |||||
From net realized gains | — | (621 | ) | |||||
Total Distributions | — | (2,657 | ) | |||||
TOTAL INCREASE IN NET ASSETS | 3,568,859 | 8,342,050 | ||||||
NET ASSETS: | ||||||||
Beginning of period | 8,342,050 | — | ||||||
End of period (including undistributed net | ||||||||
investment income of $63,853 and $0, respectively) | $ | 11,910,909 | $ | 8,342,050 |
^ Commencement of operations.
The accompanying notes are in integral part of these financial statements.
Page 27
Financial Highlights
Baird LargeCap Fund – Institutional Class
Six Months | ||||||||||||||||||||||||
Ended | ||||||||||||||||||||||||
June 30, 2013 | Year Ended December 31, | |||||||||||||||||||||||
(Unaudited) | 2012 | 2011 | 2010 | 2009 | 2008 | |||||||||||||||||||
Per Share Data: | ||||||||||||||||||||||||
Net asset value, | ||||||||||||||||||||||||
beginning of period | $ | 9.86 | $ | 8.71 | $ | 8.93 | $ | 7.57 | $ | 5.59 | $ | 9.33 | ||||||||||||
Income from | ||||||||||||||||||||||||
investment operations: | ||||||||||||||||||||||||
Net investment income | 0.01 | (1) | 0.04 | (1) | 0.01 | 0.01 | 0.03 | 0.03 | ||||||||||||||||
Net realized and unrealized | ||||||||||||||||||||||||
gain (loss) on investments | 0.82 | 1.15 | (0.22 | ) | 1.36 | 1.98 | (3.74 | ) | ||||||||||||||||
Total from | ||||||||||||||||||||||||
investment operations | 0.83 | 1.19 | (0.21 | ) | 1.37 | 2.01 | (3.71 | ) | ||||||||||||||||
Less distributions: | ||||||||||||||||||||||||
Distributions from net | ||||||||||||||||||||||||
investment income | — | (0.04 | ) | (0.01 | ) | (0.01 | ) | (0.03 | ) | (0.03 | ) | |||||||||||||
Net asset value, end of period | $ | 10.69 | $ | 9.86 | $ | 8.71 | $ | 8.93 | $ | 7.57 | $ | 5.59 | ||||||||||||
Total return | 8.42 | %(2) | 13.62 | % | (2.34 | )% | 18.06 | % | 36.27 | % | (39.88 | )% | ||||||||||||
Supplemental data and ratios: | ||||||||||||||||||||||||
Net assets, | ||||||||||||||||||||||||
end of period (millions) | $ | 26.7 | $ | 24.0 | $ | 20.5 | $ | 23.4 | $ | 20.7 | $ | 16.3 | ||||||||||||
Ratio of expenses | ||||||||||||||||||||||||
to average net assets | 0.75 | %(3) | 0.75 | % | 0.75 | % | 0.75 | % | 0.75 | % | 0.75 | % | ||||||||||||
Ratio of expenses | ||||||||||||||||||||||||
to average net assets | ||||||||||||||||||||||||
(before waivers) | 1.26 | %(3) | 1.34 | % | 1.35 | % | 1.40 | % | 1.39 | % | 1.17 | % | ||||||||||||
Ratio of net | ||||||||||||||||||||||||
investment income | ||||||||||||||||||||||||
to average net assets | 0.29 | %(3) | 0.37 | % | 0.12 | % | 0.14 | % | 0.46 | % | 0.32 | % | ||||||||||||
Ratio of net | ||||||||||||||||||||||||
investment loss | ||||||||||||||||||||||||
to average net assets | ||||||||||||||||||||||||
(before waivers) | (0.22 | )%(3) | (0.22 | )% | (0.48 | )% | (0.51 | )% | (0.18 | )% | (0.10 | )% | ||||||||||||
Portfolio turnover rate(4) | 26.2 | %(2) | 39.2 | % | 38.2 | % | 52.0 | % | 58.7 | % | 43.0 | % |
(1) | Calculated using average shares outstanding during the period. |
(2) | Not annualized. |
(3) | Annualized. |
(4) | Portfolio turnover is calculated on the basis of the Fund as a whole without distinguishing between the classes of shares issued. |
The accompanying notes are in integral part of these financial statements.
Page 28
Financial Highlights
Baird LargeCap Fund – Investor Class
Six Months | ||||||||||||||||||||||||
Ended | ||||||||||||||||||||||||
June 30, 2013 | Year Ended December 31, | |||||||||||||||||||||||
(Unaudited) | 2012 | 2011 | 2010 | 2009 | 2008 | |||||||||||||||||||
Per Share Data: | ||||||||||||||||||||||||
Net asset value, | ||||||||||||||||||||||||
beginning of period | $ | 9.82 | $ | 8.68 | $ | 8.91 | $ | 7.56 | $ | 5.59 | $ | 9.29 | ||||||||||||
Income from | ||||||||||||||||||||||||
investment operations: | ||||||||||||||||||||||||
Net investment income (loss) | 0.00 | (1)(2) | 0.01 | (1) | (0.01 | ) | (0.02 | ) | 0.02 | 0.00 | (2) | |||||||||||||
Net realized and unrealized | ||||||||||||||||||||||||
gains (losses) on investments | 0.81 | 1.15 | (0.22 | ) | 1.37 | 1.97 | (3.70 | ) | ||||||||||||||||
Total from | ||||||||||||||||||||||||
investment operations | 0.81 | 1.16 | (0.23 | ) | 1.35 | 1.99 | (3.70 | ) | ||||||||||||||||
Less distributions: | ||||||||||||||||||||||||
Distributions from net | ||||||||||||||||||||||||
investment income | — | (0.02 | ) | — | — | (0.02 | ) | — | ||||||||||||||||
Net asset value, end of period | $ | 10.63 | $ | 9.82 | $ | 8.68 | $ | 8.91 | $ | 7.56 | $ | 5.59 | ||||||||||||
Total return | 8.25 | %(3) | 13.32 | % | (2.58 | )% | 17.86 | % | 35.79 | % | (39.94 | )% | ||||||||||||
Supplemental data and ratios: | ||||||||||||||||||||||||
Net assets, | ||||||||||||||||||||||||
end of period (millions) | $ | 0.2 | $ | 0.4 | $ | 0.2 | $ | 0.1 | $ | 0.3 | $ | 0.3 | ||||||||||||
Ratio of expenses | ||||||||||||||||||||||||
to average net assets | 1.00 | %(4) | 1.00 | % | 1.00 | % | 1.00 | % | 1.00 | % | 1.00 | % | ||||||||||||
Ratio of expenses | ||||||||||||||||||||||||
to average net assets | ||||||||||||||||||||||||
(before waivers) | 1.51 | %(4) | 1.59 | % | 1.60 | % | 1.65 | % | 1.64 | % | 1.42 | % | ||||||||||||
Ratio of net | ||||||||||||||||||||||||
investment income (loss) | ||||||||||||||||||||||||
to average net assets | 0.04 | %(4) | 0.12 | % | (0.13 | )% | (0.11 | )% | 0.21 | % | 0.07 | % | ||||||||||||
Ratio of net | ||||||||||||||||||||||||
investment loss | ||||||||||||||||||||||||
to average net assets | ||||||||||||||||||||||||
(before waivers) | (0.47 | )%(4) | (0.47 | )% | (0.73 | )% | (0.76 | )% | (0.43 | )% | (0.35 | )% | ||||||||||||
Portfolio turnover rate(5) | 26.2 | %(3) | 39.2 | % | 38.2 | % | 52.0 | % | 58.7 | % | 43.0 | % |
(1) | Calculated using average shares outstanding during the period. |
(2) | Amount is less than $0.005. |
(3) | Not annualized. |
(4) | Annualized. |
(5) | Portfolio turnover is calculated on the basis of the Fund as a whole without distinguishing between the classes of shares issued. |
The accompanying notes are in integral part of these financial statements.
Page 29
Financial Highlights
Baird MidCap Fund – Institutional Class
Six Months | ||||||||||||||||||||||||
Ended | ||||||||||||||||||||||||
June 30, 2013 | Year Ended December 31, | |||||||||||||||||||||||
(Unaudited) | 2012 | 2011 | 2010 | 2009 | 2008 | |||||||||||||||||||
Per Share Data: | ||||||||||||||||||||||||
Net asset value, | ||||||||||||||||||||||||
beginning of period | $ | 11.52 | $ | 9.98 | $ | 10.04 | $ | 7.90 | $ | 5.63 | $ | 9.62 | ||||||||||||
Income from | ||||||||||||||||||||||||
investment operations: | ||||||||||||||||||||||||
Net investment income (loss) | 0.00 | (2) | 0.07 | (1) | (0.01 | )(1) | (0.01 | )(1) | 0.02 | (1) | 0.01 | (1) | ||||||||||||
Net realized and unrealized | ||||||||||||||||||||||||
gains (losses) on investments | 1.30 | 1.57 | 0.54 | 2.15 | 2.27 | (3.99 | ) | |||||||||||||||||
Total from | ||||||||||||||||||||||||
investment operations | 1.30 | 1.64 | 0.53 | 2.14 | 2.29 | (3.98 | ) | |||||||||||||||||
Less distributions: | ||||||||||||||||||||||||
Distributions from net | ||||||||||||||||||||||||
investment income | — | (0.04 | ) | — | — | (0.02 | ) | (0.01 | ) | |||||||||||||||
Distributions from | ||||||||||||||||||||||||
net realized gains | — | (0.06 | ) | (0.59 | ) | — | — | — | ||||||||||||||||
Total distributions | — | (0.10 | ) | (0.59 | ) | — | (0.02 | ) | (0.01 | ) | ||||||||||||||
Net asset value, end of period | $ | 12.82 | $ | 11.52 | $ | 9.98 | $ | 10.04 | $ | 7.90 | $ | 5.63 | ||||||||||||
Total return | 11.28 | %(3) | 16.49 | % | 5.19 | % | 27.09 | % | 40.90 | % | (41.53 | )% | ||||||||||||
Supplemental data and ratios: | ||||||||||||||||||||||||
Net assets, | ||||||||||||||||||||||||
end of period (millions) | $ | 208.2 | $ | 137.2 | $ | 40.9 | $ | 33.4 | $ | 25.5 | $ | 18.2 | ||||||||||||
Ratio of expenses | ||||||||||||||||||||||||
to average net assets | 0.85 | %(4) | 0.85 | % | 0.85 | % | 0.85 | % | 0.85 | % | 0.85 | % | ||||||||||||
Ratio of expenses | ||||||||||||||||||||||||
to average net assets | ||||||||||||||||||||||||
(before waivers) | 0.88 | %(4) | 0.97 | % | 1.21 | % | 1.30 | % | 1.34 | % | 1.19 | % | ||||||||||||
Ratio of net | ||||||||||||||||||||||||
investment income (loss) | ||||||||||||||||||||||||
to average net assets | (0.06 | )%(4) | 0.65 | % | (0.10 | )% | (0.10 | )% | 0.25 | % | 0.06 | % | ||||||||||||
Ratio of net | ||||||||||||||||||||||||
investment income (loss) | ||||||||||||||||||||||||
to average net assets | ||||||||||||||||||||||||
(before waivers) | (0.09 | )%(4) | 0.53 | % | (0.46 | )% | (0.55 | )% | (0.24 | )% | (0.28 | )% | ||||||||||||
Portfolio turnover rate(5) | 19.3 | %(3) | 29.5 | % | 44.8 | % | 62.7 | % | 61.3 | % | 74.0 | % |
(1) | Calculated using average shares outstanding during the period. |
(2) | Amount is less than $0.005. |
(3) | Not annualized. |
(4) | Annualized. |
(5) | Portfolio turnover is calculated on the basis of the Fund as a whole without distinguishing between the classes of shares issued. |
The accompanying notes are in integral part of these financial statements.
Page 30
Financial Highlights
Baird MidCap Fund – Investor Class
Six Months | ||||||||||||||||||||||||
Ended | ||||||||||||||||||||||||
June 30, 2013 | Year Ended December 31, | |||||||||||||||||||||||
(Unaudited) | 2012 | 2011 | 2010 | 2009 | 2008 | |||||||||||||||||||
Per Share Data: | ||||||||||||||||||||||||
Net asset value, | ||||||||||||||||||||||||
beginning of period | $ | 11.13 | $ | 9.66 | $ | 9.76 | $ | 7.69 | $ | 5.49 | $ | 9.40 | ||||||||||||
Income from | ||||||||||||||||||||||||
investment operations: | ||||||||||||||||||||||||
Net investment income (loss) | (0.02 | ) | 0.04 | (1) | (0.03 | )(1) | (0.03 | )(1) | 0.00 | (1)(2) | (0.02 | )(1) | ||||||||||||
Net realized and unrealized | ||||||||||||||||||||||||
gains (losses) on investments | 1.26 | 1.52 | 0.52 | 2.10 | 2.21 | (3.89 | ) | |||||||||||||||||
Total from | ||||||||||||||||||||||||
investment operations | 1.24 | 1.56 | 0.49 | 2.07 | 2.21 | (3.91 | ) | |||||||||||||||||
Less distributions: | ||||||||||||||||||||||||
Distributions from net | ||||||||||||||||||||||||
investment income | — | (0.03 | ) | — | — | (0.01 | ) | — | ||||||||||||||||
Distributions from | ||||||||||||||||||||||||
net realized gains | — | (0.06 | ) | (0.59 | ) | — | — | — | ||||||||||||||||
Total distributions | — | (0.09 | ) | (0.59 | ) | — | (0.01 | ) | — | |||||||||||||||
Net asset value, end of period | $ | 12.37 | $ | 11.13 | $ | 9.66 | $ | 9.76 | $ | 7.69 | $ | 5.49 | ||||||||||||
Total return | 11.14 | %(3) | 16.16 | % | 4.93 | % | 26.92 | % | 40.52 | % | (41.70 | )% | ||||||||||||
Supplemental data and ratios: | ||||||||||||||||||||||||
Net assets, | ||||||||||||||||||||||||
end of period (millions) | $ | 102.0 | $ | 84.1 | $ | 2.6 | $ | 1.1 | $ | 1.6 | $ | 1.6 | ||||||||||||
Ratio of expenses | ||||||||||||||||||||||||
to average net assets | 1.10 | %(4) | 1.10 | % | 1.10 | % | 1.10 | % | 1.10 | % | 1.10 | % | ||||||||||||
Ratio of expenses | ||||||||||||||||||||||||
to average net assets | ||||||||||||||||||||||||
(before waivers) | 1.13 | %(4) | 1.22 | % | 1.46 | % | 1.55 | % | 1.59 | % | 1.44 | % | ||||||||||||
Ratio of net | ||||||||||||||||||||||||
investment income (loss) | ||||||||||||||||||||||||
to average net assets | (0.31 | )%(4) | 0.40 | % | (0.35 | )% | (0.35 | )% | 0.00 | % | (0.19 | )% | ||||||||||||
Ratio of net | ||||||||||||||||||||||||
investment income (loss) | ||||||||||||||||||||||||
to average net assets | ||||||||||||||||||||||||
(before waivers) | (0.34 | )%(4) | 0.28 | % | (0.71 | )% | (0.80 | )% | (0.49 | )% | (0.53 | )% | ||||||||||||
Portfolio turnover rate(5) | 19.3 | %(3) | 29.5 | % | 44.8 | % | 62.7 | % | 61.3 | % | 74.0 | % |
(1) | Calculated using average shares outstanding during the period. |
(2) | Amount is less than $0.005. |
(3) | Not annualized. |
(4) | Annualized. |
(5) | Portfolio turnover is calculated on the basis of the Fund as a whole without distinguishing between the classes of shares issued. |
The accompanying notes are in integral part of these financial statements.
Page 31
Financial Highlights
Baird SmallCap Value Fund – Institutional Class
Six Months | ||||||||
Ended | May 1, 2012^ | |||||||
June 30, 2013 | through | |||||||
(Unaudited) | December 31, 2012 | |||||||
Per Share Data: | ||||||||
Net asset value, beginning of period | $ | 10.20 | $ | 10.00 | ||||
Income from investment operations: | ||||||||
Net investment income | 0.06 | 0.15 | (1) | |||||
Net realized and unrealized gains on investments | 1.53 | 0.20 | ||||||
Total from investment operations | 1.59 | 0.35 | ||||||
Less distributions: | ||||||||
Distributions from net investment income | — | (0.12 | ) | |||||
Distributions from net realized gains | — | (0.03 | ) | |||||
Total distributions | — | (0.15 | ) | |||||
Net asset value, end of period | $ | 11.79 | $ | 10.20 | ||||
Total return | 15.59 | %(2) | 3.52 | %(2) | ||||
Supplemental data and ratios: | ||||||||
Net assets, end of period (millions) | $ | 11.6 | $ | 8.1 | ||||
Ratio of expenses to average net assets | 1.00 | %(3) | 1.00 | %(3) | ||||
Ratio of expenses to average net assets (before waivers) | 2.31 | %(3) | 3.06 | %(3) | ||||
Ratio of net investment income to average net assets | 1.25 | %(3) | 2.32 | %(3) | ||||
Ratio of net investment income (loss) | ||||||||
to average net assets (before waivers) | (0.06 | )%(3) | 0.26 | %(3) | ||||
Portfolio turnover rate(4) | 17.8 | %(2) | 24.6 | %(2) |
^ | Commencement of operations. |
(1) | Calculated using average shares outstanding during the period. |
(2) | Not annualized. |
(3) | Annualized. |
(4) | Portfolio turnover is calculated on the basis of the Fund as a whole without distinguishing between the classes of shares issued. |
The accompanying notes are in integral part of these financial statements.
Page 32
Financial Highlights
Baird SmallCap Value Fund – Investor Class
Six Months | ||||||||
Ended | May 1, 2012^ | |||||||
June 30, 2013 | through | |||||||
(Unaudited) | December 31, 2012 | |||||||
Per Share Data: | ||||||||
Net asset value, beginning of period | $ | 10.19 | $ | 10.00 | ||||
Income from investment operations: | ||||||||
Net investment income | 0.05 | 0.14 | (1) | |||||
Net realized and unrealized gains on investments | 1.53 | 0.19 | ||||||
Total from investment operations | 1.58 | 0.33 | ||||||
Less distributions: | ||||||||
Distributions from net investment income | — | (0.11 | ) | |||||
Distributions from net realized gains | — | (0.03 | ) | |||||
Total distributions | — | (0.14 | ) | |||||
Net asset value, end of period | $ | 11.77 | $ | 10.19 | ||||
Total return | 15.51 | %(2) | 3.32 | %(2) | ||||
Supplemental data and ratios: | ||||||||
Net assets, end of period (millions) | $ | 0.3 | $ | 0.2 | ||||
Ratio of expenses to average net assets | 1.25 | %(3) | 1.25 | %(3) | ||||
Ratio of expenses to average net assets (before waivers) | 2.56 | %(3) | 3.31 | %(3) | ||||
Ratio of net investment income to average net assets | 1.00 | %(3) | 2.07 | %(3) | ||||
Ratio of net investment income (loss) | ||||||||
to average net assets (before waivers) | (0.31 | )%(3) | 0.01 | %(3) | ||||
Portfolio turnover rate(4) | 17.8 | %(2) | 24.6 | %(2) |
^ | Commencement of operations. |
(1) | Calculated using average shares outstanding during the period. |
(2) | Not annualized. |
(3) | Annualized. |
(4) | Portfolio turnover is calculated on the basis of the Fund as a whole without distinguishing between the classes of shares issued. |
The accompanying notes are in integral part of these financial statements.
Page 33
Notes to the Financial Statements
June 30, 2013 (Unaudited)
1.Organization
Baird Funds, Inc. (the “Corporation”) was incorporated on June 9, 2000 as a Wisconsin corporation and is registered as an open-end management investment company under the Investment Company Act of 1940, as amended (the “1940 Act”). The accompanying financial statements include the Baird LargeCap Fund, the Baird MidCap Fund and the Baird SmallCap Value Fund (each a “Fund” and collectively the “Funds”), three of the eight series comprising the Corporation. Pursuant to the 1940 Act, the Funds are “diversified” series of the Corporation. The investment advisor to the Funds is Robert W. Baird & Co. Incorporated (“Baird” or the “Advisor”).
The Baird LargeCap Fund commenced operations with the sale of both Institutional and Investor Class Shares on September 29, 2000. The Baird MidCap Fund commenced operations with the sale of both Institutional and Investor Class Shares on December 29, 2000. The Baird SmallCap Value Fund commenced operations with the sale of both Institutional and Investor Class Shares on May 1, 2012. The Institutional Class Shares are not subject to a distribution and service (12b-1) fee, while the Investor Class Shares are subject to a distribution and service (12b-1) fee up to 0.25%. See Note 8.
The Baird LargeCap Fund seeks long-term growth of capital through investments in equity securities of large-capitalization companies. Dividend income is a secondary consideration.
The Baird MidCap Fund seeks long-term growth of capital through investments in equity securities of mid-capitalization companies.
The Baird SmallCap Value Fund seeks long-term growth of capital through investments in equity securities of small-capitalization companies.
On June 30, 2013, shareholders affiliated with the Advisor held 86% of the Institutional Class shares of the Baird LargeCap Fund, 14% of the Institutional Class shares of the Baird MidCap Fund and 63% of the Institutional Class shares of the Baird SmallCap Value Fund. These shareholders included the Advisor’s participant-directed retirement and deferred compensation plans and the Baird Foundation.
2.Significant Accounting Policies
The following is a summary of significant accounting policies consistently followed by the Funds in the preparation of their financial statements. These policies are in conformity with accounting principles generally accepted in the United States of America.
a) | Investment Valuation – Section 2(a)(41) of the 1940 Act, together with the rules and interpretations of the SEC, require the Funds, in computing net asset value, to value their portfolio securities using market quotations when they are “readily available.” When market quotations are not readily available (e.g., because there is no regular market quotation for such securities, the market for such security is limited, the validity of quotations is questionable or, for debt securities, the Funds’ independent pricing service, does not provide a price), the Board of Directors of the Corporation must value the securities at “fair value determined in good faith.” The Board has delegated such responsibility to the Advisor pursuant to pricing policies and procedures that the Board has adopted and regularly reviews. In general, the “fair value” of a security means the price that would be received to sell a security in an orderly transaction between market participants at the measurement date. |
The Funds determine the fair value of their investments and compute their net asset value per share as of the close of regular trading of the New York Stock Exchange (4:00 p.m. EST). | |
Consistent with Section 2(a)(41) of the 1940 Act, the Funds price their securities as follows: common stocks that are listed on a securities exchange (other than NASDAQ) are valued at the last quoted sale price. Securities traded on NASDAQ are valued at the NASDAQ Official Closing Price. Price information on listed stocks is taken from the exchange where the security is primarily traded. Securities that were not traded on the valuation date, as well as stocks that are not listed on an exchange, including |
Page 34
Notes to the Financial Statements
June 30, 2013 (Unaudited)
2. | Significant Accounting Policies (cont.) |
NASDAQ, are valued at the average of the current bid and asked price. Debt securities are valued at their bid prices by an independent pricing service using valuation methods that are designed to represent fair value, such as matrix pricing and other analytical pricing models, market transactions and dealer quotations. Debt securities purchased with a remaining maturity of 60 days or less are valued at acquisition cost plus or minus any amortized discount or premium. Investments in mutual funds are valued at their stated net asset value. Other assets and securities for which market quotations are not readily available are valued at fair value as determined in good faith by the Advisor in accordance with procedures approved by the Corporation’s Board of Directors. In accordance with such procedures, the Advisor may use broker quotes or prices obtained from alternative independent pricing services or, if the broker quotes or prices from alternative pricing services are unavailable or deemed to be unreliable, fair value will be determined by a valuation committee of the Advisor. In determining fair value, the valuation committee takes into account all relevant factors and available information. Consequently, the price of the security used by a Fund to calculate its NAV may differ from quoted or published prices for the same security. Fair value pricing involves subjective judgments and there is no single standard for determining a security’s fair value. As a result, different mutual funds could reasonably arrive at a different fair value for the same security. It is possible that the fair value determined for a security is materially different from the value that could be realized upon the sale of that security or from the values that other mutual funds may determine. In addition, given the volatility and periodic illiquidity experienced in recent years, the prices determined for any individual security on any given day may vary significantly from the amount that can be obtained in an actual sale of that security, and the Funds’ NAV may fluctuate significantly from day to day or from period to period. | |
In May 2011, the FASB issued ASU No. 2011-04 “Amendments to Achieve Common Fair Value Measurement and Disclosure Requirements in GAAP and the International Financial Reporting Standards (“IFRS”) (ASU No. 2011-04).” ASU 2011-04 amends FASB ASC Topic 820, Fair Value Measurements and Disclosures, to establish common requirements for measuring fair value and for disclosing information about fair value measurements in accordance with GAAP and IFRS. ASU No. 2011-04 is effective for fiscal years beginning after December 15, 2011 and for interim periods within those fiscal years. The Funds have disclosed the applicable requirements of this accounting standard in their financial statements. | |
b) | Foreign Securities – Foreign securities are defined as securities issued by companies that are organized outside the United States. Investing in securities of foreign companies and foreign governments involves special risks and considerations not typically associated with investing in U.S. companies and the U.S. government. These risks include foreign currency fluctuations and adverse political and economic developments. Moreover, securities of many foreign companies and foreign governments and their markets may be less liquid and their prices more volatile than those of securities of comparable U.S. companies and the U.S. government. Occasionally, events that affect these values and exchange rates may occur after the close of the exchange on which such securities are traded. If such events materially affect the value of a Fund’s securities, these securities may be valued at their fair value pursuant to procedures adopted by the Board of Directors. All of the foreign securities owned by the Funds as of June 30, 2013 are traded directly on the New York Stock Exchange or NASDAQ or through an American Depository Receipt (ADR). |
c) | Income Tax Status – The Funds intend to continue to qualify as regulated investment companies as provided in subchapter M of the Internal Revenue Code and to distribute substantially all of their taxable income to their shareholders in a manner which results in no tax cost to the Funds. Therefore, no federal income or excise tax provision is recorded. |
There is no tax liability resulting from unrecognized tax benefits relating to uncertain income tax positions taken or expected to be taken on the tax return for the fiscal year ended December 31, 2012, or for any other tax years which are open for exam. As of June 30, 2013, open tax years include the tax |
Page 35
Notes to the Financial Statements
June 30, 2013 (Unaudited)
2. | Significant Accounting Policies (cont.) |
years ended December 31, 2009 through 2012. The Funds are not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next 12 months. The Funds recognize interest and penalties, if any, related to unrecognized tax benefits as interest expense and other expense, respectively, in the Statement of Operations. During the year, the Funds did not incur any interest or penalties. | |
d) | Distributions to Shareholders – Dividends from net investment income, if any, are declared and paid annually. Distributions of net realized capital gains, if any, are declared and paid at least annually. The book basis character of distributions may differ from their ultimate characterization for Federal income tax purposes. |
e) | Allocation of Income and Expenses – Each Fund is charged for those expenses directly attributable to it. Expenses directly attributable to a class of shares, such as Rule 12b-1 distribution fees, are charged to that class of shares. Income, expenses and realized and unrealized gains and losses are allocated to the classes based on their respective net assets. Expenses that are not directly attributable to a Fund are allocated among the Funds in the series of the Corporation in proportion to their assets. |
f) | Use of Estimates – The preparation of financial statements in conformity with accounting principles generally accepted in the United States requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates. |
g) | Securities Transactions and Investment Income – Investment and shareholder transactions are recorded on trade date. The Funds determine the gain or loss realized from investment transactions by comparing the original cost of the security lot sold with the net sales proceeds. Dividend income is recognized on the ex-dividend date and interest income is recognized on an accrual basis. Accounting principles generally accepted in the United States require that permanent financial reporting and tax differences be reclassified in the capital accounts. |
h) | Guarantees and Indemnifications – In the normal course of business, the Funds enter into contracts with service providers that contain general indemnification clauses. The Funds’ maximum exposure under these arrangements is unknown and would involve future claims against the Funds that have not yet occurred. Based on experience, the Funds would expect the risk of loss to be remote. |
i) | Recent Accounting Pronouncement – In January, 2013, the FASB issued ASU No. 2013-01 “Clarifying the Scope of Disclosures about Offsetting Assets and Liabilities” in GAAP and International Financial Reporting Standards (“IFRS”). ASU No. 2013-01 clarifies ASU No. 2011-11, to increase comparability and reduce presentation differences between financial statements prepared in accordance with GAAP and financial statements prepared in accordance with IFRS. This requires increased disclosure for both gross and net information for derivatives and other financial instruments that are offset in a reporting entity’s Statement of Assets and Liabilities and derivative instruments that are subject to a master netting agreement (“MNA”). Specifically, the ASU requires reporting entities to present separately for assets and liabilities, a) the gross amounts of those recognized assets and recognized liabilities, b) the amounts offset to determine the net amounts presented in the Statement of Assets and Liabilities, c) The net amount presented in the Statement of Assets and Liabilities, d) the amounts subject to an enforceable MNA not included in (b), and e) the net amount after deducting the amounts from (d) and (c). The effective date of each ASU is for interim and annual periods beginning on or after January 1, 2013. The Funds are not required to disclose the applicable requirements of this accounting standard in their Statement of Assets & Liabilities due to the absence of a master netting agreement relating to the Funds’ participation in securities lending. As such, no additional disclosures have been made on behalf of the Funds. |
Page 36
Notes to the Financial Statements
June 30, 2013 (Unaudited)
3.Capital Share Transactions
The following table summarizes the capital share transactions of each Fund for the past two fiscal periods:
Baird LargeCap Fund | ||||||||||||||||||
Institutional Class Shares | Investor Class Shares | |||||||||||||||||
Six Months Ended | Six Months Ended | |||||||||||||||||
June 30, 2013 | June 30, 2013 | |||||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||||
Shares sold | 260,381 | $ | 2,696,053 | Shares sold | 4,714 | $ | 48,271 | |||||||||||
Shares redeemed | (199,957 | ) | (2,106,719 | ) | Shares redeemed | (18,208 | ) | (197,410 | ) | |||||||||
Net increase | 60,424 | $ | 589,334 | Net decrease | (13,494 | ) | $ | (149,139 | ) | |||||||||
Shares Outstanding: | Shares Outstanding: | |||||||||||||||||
Beginning of period | 2,438,627 | Beginning of period | 36,387 | |||||||||||||||
End of period | 2,499,051 | End of period | 22,893 | |||||||||||||||
Year Ended | Year Ended | |||||||||||||||||
December 31, 2012 | December 31, 2012 | |||||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||||
Shares sold | 441,736 | $ | 4,208,785 | Shares sold | 19,311 | $ | 187,262 | |||||||||||
Shares issued to | Shares issued to | |||||||||||||||||
shareholders in | shareholders in | |||||||||||||||||
reinvestment | reinvestment | |||||||||||||||||
of dividends | 8,906 | 87,008 | of dividends | 57 | 552 | |||||||||||||
Shares redeemed | (363,417 | ) | (3,510,278 | ) | Shares redeemed | (877 | ) | (8,803 | ) | |||||||||
Net increase | 87,225 | $ | 785,515 | Net increase | 18,491 | $ | 179,011 | |||||||||||
Shares Outstanding: | Shares Outstanding: | |||||||||||||||||
Beginning of year | 2,351,402 | Beginning of year | 17,896 | |||||||||||||||
End of year | 2,438,627 | End of year | 36,387 | |||||||||||||||
Baird MidCap Fund | ||||||||||||||||||
Institutional Class Shares | Investor Class Shares | |||||||||||||||||
Six Months Ended | Six Months Ended | |||||||||||||||||
June 30, 2013 | June 30, 2013 | |||||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||||
Shares sold | 5,709,520 | $ | 71,045,278 | Shares sold | 1,944,167 | $ | 23,344,920 | |||||||||||
Shares redeemed | (1,373,786 | ) | (17,455,791 | ) | Shares redeemed | (1,256,179 | ) | (15,258,568 | ) | |||||||||
Other capital | ||||||||||||||||||
contribution(1) | — | 75 | — | 43 | ||||||||||||||
Net increase | 4,335,734 | $ | 53,589,562 | Net increase | 687,988 | $ | 8,086,395 | |||||||||||
Shares Outstanding: | Shares Outstanding: | |||||||||||||||||
Beginning of period | 11,912,989 | Beginning of period | 7,557,608 | |||||||||||||||
End of period | 16,248,723 | End of period | 8,245,596 |
(1) Reimbursement from Advisor for trade error.
Page 37
Notes to the Financial Statements
June 30, 2013 (Unaudited)
3.Capital Share Transactions (cont.)
Baird MidCap Fund (cont.) | ||||||||||||||||||
Institutional Class Shares | Investor Class Shares | |||||||||||||||||
Year Ended | Year Ended | |||||||||||||||||
December 31, 2012 | December 31, 2012 | |||||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||||
Shares sold | 9,309,112 | $ | 105,381,603 | Shares sold | 8,244,350 | $ | 89,293,366 | |||||||||||
Shares issued to | Shares issued to | |||||||||||||||||
shareholders in | shareholders in | |||||||||||||||||
reinvestment | reinvestment | |||||||||||||||||
of dividends | 101,019 | 1,151,612 | of dividends | 59,491 | 655,586 | |||||||||||||
Shares redeemed | (1,594,189 | ) | (17,822,841 | ) | Shares redeemed | (1,013,547 | ) | (11,102,010 | ) | |||||||||
Net increase | 7,815,942 | $ | 88,710,374 | Net increase | 7,290,294 | $ | 78,846,942 | |||||||||||
Shares Outstanding: | Shares Outstanding: | |||||||||||||||||
Beginning of year | 4,097,047 | Beginning of year | 267,314 | |||||||||||||||
End of year | 11,912,989 | End of year | 7,557,608 | |||||||||||||||
Baird SmallCap Value Fund | ||||||||||||||||||
Institutional Class Shares | Investor Class Shares | |||||||||||||||||
Six Months Ended | Six Months Ended | |||||||||||||||||
June 30, 2013 | June 30, 2013 | |||||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||||
Shares sold | 222,841 | $ | 2,512,828 | Shares sold | 5,263 | $ | 58,877 | |||||||||||
Shares redeemed | (35,758 | ) | (400,638 | ) | Shares redeemed | (481 | ) | (5,299 | ) | |||||||||
Net increase | 187,083 | $ | 2,112,190 | Net increase | 4,782 | $ | 53,578 | |||||||||||
Shares Outstanding: | Shares Outstanding: | |||||||||||||||||
Beginning of period | 798,745 | Beginning of period | 19,274 | |||||||||||||||
End of period | 985,828 | End of period | 24,056 | |||||||||||||||
Institutional Class Shares | Investor Class Shares | |||||||||||||||||
May 1, 2012^ through | May 1, 2012^ through | |||||||||||||||||
December 31, 2012 | December 31, 2012 | |||||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||||
Shares sold | 797,462 | $ | 7,940,296 | Shares sold | 19,510 | $ | 191,626 | |||||||||||
Shares issued to | Shares issued to | |||||||||||||||||
shareholders in | shareholders in | |||||||||||||||||
reinvestment | reinvestment | |||||||||||||||||
of dividends | 11,425 | 114,825 | of dividends | 264 | 2,657 | |||||||||||||
Shares redeemed | (10,142 | ) | (99,362 | ) | Shares redeemed | (500 | ) | (4,770 | ) | |||||||||
Net increase | 798,745 | $ | 7,955,759 | Net increase | 19,274 | $ | 189,513 | |||||||||||
Shares Outstanding: | Shares Outstanding: | |||||||||||||||||
Beginning of period | — | Beginning of period | — | |||||||||||||||
End of period | 798,745 | End of period | 19,274 |
^ Commencement of operations.
Page 38
Notes to the Financial Statements
June 30, 2013 (Unaudited)
4.Investment Transactions and Income Tax Information
During the six months ended June 30, 2013, purchases and sales of investment securities (excluding short-term investments) were as follows:
Baird | Baird | Baird | |
LargeCap Fund | MidCap Fund | SmallCap Value Fund | |
Purchases: | $7,444,400 | $108,199,438 | $3,994,257 |
Sales: | $6,851,657 | $ 50,933,670 | $1,767,194 |
The Baird LargeCap Fund, Baird MidCap Fund and Baird SmallCap Value Fund did not purchase or sell U.S. Government securities during the six months ended June 30, 2013.
At December 31, 2012, accumulated earnings/losses on a tax basis were as follows:
Baird | Baird | Baird | ||||||||||
LargeCap | MidCap | SmallCap | ||||||||||
Fund | Fund | Value Fund | ||||||||||
Cost of Investments | $ | 20,078,050 | $ | 233,258,302 | $ | 8,091,324 | ||||||
Gross unrealized appreciation | 6,406,516 | 25,325,790 | 615,763 | |||||||||
Gross unrealized depreciation | (542,317 | ) | (7,557,553 | ) | (405,474 | ) | ||||||
Net unrealized appreciation | $ | 5,864,199 | $ | 17,768,237 | $ | 210,289 | ||||||
Undistributed ordinary income | 94 | — | — | |||||||||
Undistributed long-term capital gain | — | 81,879 | 2 | |||||||||
Total distributable earnings | $ | 94 | $ | 81,879 | $ | 2 | ||||||
Other accumulated losses | (2,199,192 | ) | — | (13,513 | ) | |||||||
Total accumulated earnings | $ | 3,665,101 | $ | 17,850,116 | $ | 196,778 |
Undistributed income or net realized gains for financial statement purposes may differ from amounts recognized for federal income tax purposes due to differences in the recognition and characterization of income, expense and capital gain items. The difference between book-basis and tax-basis unrealized appreciation is attributable primarily to the tax deferral of losses on wash sales.
Additionally, U.S. generally accepted accounting principles require that certain components of net assets relating to permanent differences be reclassified between financial and tax reporting. These reclassifications are primarily due to differing treatments for losses deferred due to wash sales, equalization accounting for tax purposes, and non-deductible expenses. These reclassifications have no effect on net assets or net asset value per share.
Under the current tax law, capital losses realized after October 31 may be deferred and treated as occurring on the first day of the following fiscal year. For the year ended, December 31, 2012, the Baird LargeCap Fund and Baird MidCap Fund did not defer any capital losses occurring between November 1, 2012 and December 31, 2012. For the period May 1, 2012 to December 31, 2012, the Baird SmallCap Value Fund elected to defer capital losses occurring between November 1, 2012 and December 31, 2012 in the amount of $13,513.
At December 31, 2012, accumulated net realized capital loss carryovers, if any, and the year(s) in which the capital loss carryovers expire were:
Capital Loss Carryover | Year of Expiration | |
Baird LargeCap Fund | $2,199,192 | 2017 |
Page 39
Notes to the Financial Statements
June 30, 2013 (Unaudited)
4.Investment Transactions and Income Tax Information (cont.)
To the extent the Fund realizes future net capital gains, those gains will be offset by any unused capital loss carryovers. During the year ended December 31, 2012, the Baird LargeCap Fund utilized capital loss carryovers of $1,225,325.
Under the Regulated Investment Company Modernization Act of 2010, the Funds are permitted to carry forward capital losses incurred in taxable years beginning after December 22, 2010 for an unlimited period. However, any losses incurred during those future taxable years will be required to be utilized prior to the losses incurred in pre-enactment taxable years. As a result of this, pre-enactment capital loss carry forwards may be more likely to expire unused. Additionally, post-enactment capital losses that are carried forward will retain their character as either short-term or long-term capital losses rather than being considered all short-term as under previous law.
During the six months ended June 30, 2013, the Funds did not pay any dividends.
During the year ended December 31, 2012, the Funds paid the following dividends:
Ordinary Income Dividends | Net Capital Gain | |||||||||
Baird LargeCap Fund | $ | 87,833 | $ | — | ||||||
Baird MidCap Fund | 696,185 | 1,164,023 | ||||||||
Baird SmallCap Value Fund | 115,676 | 1,880 |
The Funds designated as long-term capital gain dividend, pursuant to Internal Revenue Code Section 852(b)(3), the amount necessary to reduce the earnings and profits of the Funds related to net capital gain to zero for the tax year ended December 31, 2012. To the extent necessary to fully distribute such capital gains, the Baird MidCap Fund also designated earnings and profits distributed to shareholders on the redemption of shares.
5.Investment Advisory and Other Agreements
The Funds have entered into an Investment Advisory Agreement with Baird for the provision of investment advisory services. Pursuant to the Investment Advisory Agreement, the Advisor is entitled to receive a fee, calculated daily and payable monthly, at the annual rate of 0.65% for the Baird LargeCap Fund, 0.75% for the Baird MidCap Fund and 0.85% for the Baird SmallCap Value Fund as applied to the respective Fund’s average daily net assets. Certain officers of the Advisor are also officers of the Funds.
For the six months ended June 30, 2013 and through April 30, 2014, the Advisor has contractually agreed to waive its investment advisory fee and/or reimburse the Funds’ operating expenses (exclusive of brokerage, taxes, and extraordinary expenses) to the extent necessary to ensure that each Fund’s annual operating expenses do not exceed the following percentages of average daily net assets:
Institutional Class Shares | Investor Class Shares | |
Baird LargeCap Fund | 0.75% | 1.00% |
Baird MidCap Fund | 0.85% | 1.10% |
Baird SmallCap Value Fund | 1.00% | 1.25% |
To the extent that the Advisor reimburses or absorbs fees and expenses, it may seek payment of such amounts for three years after the year in which expenses were reimbursed or absorbed. A Fund will make no such payment, however, if its total annual operating expenses exceed the expense limits in effect at the time the expenses were reimbursed or at the time these payments are proposed.
Page 40
Notes to the Financial Statements
June 30, 2013 (Unaudited)
5.Investment Advisory and Other Agreements (cont.)
Six Months | ||||||||||||||||
Ended | ||||||||||||||||
June 30, | Fiscal Year Ended December 31, | |||||||||||||||
2013 | 2012 | 2011 | 2010 | |||||||||||||
Reimbursed/Absorbed Expenses Subject | ||||||||||||||||
to Recovery by Advisor Until: | 2016 | 2015 | 2014 | 2013 | ||||||||||||
Baird LargeCap Fund | $ | 68,448 | $ | 141,680 | $ | 136,264 | $ | 136,939 | ||||||||
Baird MidCap Fund | $ | 40,435 | $ | 153,676 | $ | 136,295 | $ | 133,302 | ||||||||
Baird SmallCap Value Fund | $ | 67,259 | $ | 91,176 | (1) | N/A | N/A |
(1) | Amount shown reflects expense reimbursements made by the Advisor from May 1, 2012 (commencement of operations) through December 31, 2012. |
U.S. Bancorp Fund Services, LLC serves as transfer agent, administrator, and accounting services agent for the Funds. U.S. Bank, N.A. serves as custodian for the Funds.
Robert W. Baird & Co. Incorporated (the “Distributor”) is the sole distributor of the Funds pursuant to a distribution agreement.
No commissions were earned by the Distributor for services rendered as a registered broker-dealer in securities transactions for the Baird LargeCap Fund, Baird MidCap Fund and Baird SmallCap Value Fund for the six months ended June 30, 2013.
6.Securities Lending
Each Fund may lend up to one-third of its total assets (including such loans) to borrowers under terms of participation in a securities lending program administered by U.S. Bank N.A., the Funds’ custodian and an affiliate of the Funds’ transfer agent and administrator. The securities lending agreement requires that loans are collateralized at all times in an amount equal to at least 102% of the market value of any loaned securities at the time of the loan, plus accrued interest.
The Funds receive compensation in the form of fees and earn interest on the cash collateral. The amount of fees depends on a number of factors including the type of security and length of the loan. Each Fund continues to receive interest payments or dividends on the securities loaned during the borrowing period. Each Fund has the right under the terms of the securities lending agreement to recall the securities from the borrower on demand.
As of June 30, 2013, none of the Funds had securities on loan. When a Fund engages in securities lending, loaned securities are collateralized by cash equivalents. The cash collateral is invested by the custodian in accordance with approved investment guidelines. Those guidelines require the cash collateral to be invested in readily marketable, high quality, short-term obligations; however, such investments are subject to risk of payment delays or default on the part of the issuer or counterparty or otherwise may not generate sufficient interest to support the costs associated with securities lending. A Fund could also experience delays in recovering its securities and possible loss of income or value if the borrower fails to return the borrowed securities, although the Funds are indemnified from this risk by contract with the securities lending agent.
As of June 30, 2013, the market value of the securities on loan and payable on collateral due to broker were as follows:
Market Value of | Payable on Collateral | |||||||||
Securities on Loan | due to Broker | |||||||||
Baird LargeCap Fund | $ | — | $ | 125,156 | ||||||
Baird MidCap Fund | — | 176,184 | ||||||||
Baird SmallCap Value Fund | — | — |
Page 41
Notes to the Financial Statements
June 30, 2013 (Unaudited)
The Funds receive cash as collateral in return for securities lent as part of a securities lending program. The collateral is invested in the Mount Vernon Securities Lending Prime Portfolio (a securities lending trust subject to Rule 2a-7 under the 1940 Act), other than a legacy interest in Atlantic East Funding LLC. The schedules of investments for the Funds include the particular cash collateral holdings as of June 30, 2013.
The Funds’ interest in Atlantic East Funding LLC is priced at fair value by the Valuation Committee of the Advisor. The fair value of the Funds’ interest in Atlantic East Funding LLC is based on the underlying market values of the securities owned by Atlantic East Funding LLC, which are determined by independent pricing sources. In addition, the Funds’ transfer agent and administrator and securities lending agent entered into a support agreement with the Funds to cover potential losses realized by the Funds on their investment in Atlantic East Funding LLC (up to a certain amount). The amounts agreed to be provided to the Funds under the support agreement are shown in the Funds’ schedules of investments and statements of assets and liabilities. At June 30, 2013, the fair value of the Funds’ interest in Atlantic East Funding LLC, plus the amounts payable under the support agreement, amounted to 100% of the outstanding par value of the Funds’ interest in Atlantic East Funding LLC.
The interest income earned by the Funds on investments of cash collateral received from borrowers for the securities loaned to them (“securities lending income”) is reflected in the Funds’ statements of operations. Interest income earned on collateral investments and recognized by the Funds during the six months ended June 30, 2013 for the Baird LargeCap Fund and Baird MidCap Fund was $567 and $9,046, respectively. The SmallCap Value Fund has not participated in the securities lending program since the Fund’s inception on May 1, 2012.
7.Line of Credit
The Corporation maintains an uncommitted, senior secured line of credit (“LOC”) with U.S. Bank, N.A. (the “Bank”) to provide the Funds a temporary liquidity source to meet unanticipated redemptions. Under the terms of the LOC, borrowings for each Fund are limited to one-third of the total assets (including the amount borrowed) of the respective Fund, or as otherwise indicated within the Funds’ agreement with the Bank. The Bank charged interest at the Bank’s Prime Rate less 2% (weighted average rate of 1.25% for the first six months of 2013). For the six months ended June 30, 2013, the Baird LargeCap Fund, Baird MidCap Fund and Baird SmallCap Value Fund did not borrow on the LOC.
8.Distribution and Shareholder Service Plan
The Funds have adopted a distribution and shareholder service plan (the “Plan”) pursuant to Rule 12b-1 under the 1940 Act. The Plan allows the Funds to compensate the Distributor for the costs incurred in distributing the Funds’ Investor Class Shares, including amounts paid to brokers or dealers, at an annual rate of 0.25% of the average daily net assets of the Funds’ Investor Class Shares. The Baird LargeCap Fund, Baird MidCap Fund and Baird SmallCap Value Fund incurred $497, $120,990 and $302, respectively, in fees pursuant to the Plan during the six months ended June 30, 2013.
9.Subsequent Event
In preparing these financial statements, the Corporation has evaluated subsequent events after June 30, 2013 through the date the financial statements were issued. There were no subsequent events since June 30, 2013 that would require adjustment to or additional disclosure in these financial statements.
Page 42
Additional Information
Proxy Voting
A description of the policies and procedures that the Funds use to determine how to vote proxies relating to portfolio securities is available without charge, upon request, by calling toll free, 1-866-44BAIRD, or by accessing the Funds’ website at www.bairdfunds.com; and by accessing the SEC’s website at www.sec.gov.
Each Fund’s proxy voting record for the most recent 12-month period ended June 30 is available without charge, upon request, by calling toll free, 1-866-44BAIRD, or by accessing the Funds’ website at www.bairdfunds.com; and by accessing the SEC’s website at www.sec.gov.
Portfolio Holdings Disclosure
The Funds file a complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Funds’ Forms N-Q are available on the SEC’s website at www.sec.gov and may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 1-800-732-0330. The Funds’ Forms N-Q may also be obtained by calling toll-free 1-866-44BAIRD.
Page 43
(This Page Intentionally Left Blank.)
Baird Funds, Inc.
c/o U.S. Bancorp Fund Services, LLC
P.O. Box 701
Milwaukee, WI 53201-0701
1-866-44BAIRD
Board of Directors
G. Frederick Kasten, Jr. (Chairman)
John W. Feldt
Cory L. Nettles
Marlyn J. Spear
Frederick P. Stratton, Jr.
Investment Advisor and Distributor
Robert W. Baird & Co. Incorporated
777 East Wisconsin Avenue
Milwaukee, WI 53202
Administrator and Transfer Agent
U.S. Bancorp Fund Services, LLC
P.O. Box 701
615 East Michigan Street
Milwaukee, WI 53202
Custodian
U.S. Bank, N.A.
1555 N. RiverCenter Drive, Suite 302
Milwaukee, WI 53212
Legal Counsel
Godfrey & Kahn, S.C.
780 North Water Street
Milwaukee, WI 53202
Independent Registered Public
Accounting Firm
Grant Thornton LLP
175 West Jackson Boulevard, 20th Floor
Chicago, IL 60604
Item 2. Code of Ethics.
Not applicable – only required for annual reports on Form N-CSR.
Item 3. Audit Committee Financial Expert.
Not applicable – only required for annual reports on Form N-CSR.
Item 4. Principal Accountant Fees and Services.
Not applicable – only required for annual reports on Form N-CSR.
Item 5. Audit Committee of Listed Registrants.
Not applicable because the Registrant is not a “listed issuer” within the meaning of Rule 10A-3 under the Securities Exchange Act of 1934.
Item 6. Schedule of Investments.
Baird Short-Term Bond Fund | |||||||||||||
Schedule of Investments | |||||||||||||
June 30, 2013 (Unaudited) | |||||||||||||
Principal | Market | % of | |||||||||||
Amount | Value | Net Assets | |||||||||||
LONG-TERM INVESTMENTS | |||||||||||||
U.S. Treasury Securities | |||||||||||||
U.S. Treasury Bonds: | |||||||||||||
2.375%, 03/31/2016 | $ | 81,700,000 | $ | 85,695,620 | |||||||||
2.375%, 07/31/2017 | 54,300,000 | 57,082,875 | |||||||||||
142,778,495 | 9.6 | % | |||||||||||
Taxable Municipal Bonds | |||||||||||||
Alaska Municipal Bond Bank Authority, | |||||||||||||
1.918%, 08/01/2013 | 1,000,000 | 1,001,060 | |||||||||||
City of Arlington TX, | |||||||||||||
4.680%, 08/15/2013 | 1,170,000 | 1,175,008 | |||||||||||
City of Passaic NJ, | |||||||||||||
1.882%, 02/01/2016 | 1,020,000 | 1,010,391 | |||||||||||
City of Trenton NJ: | |||||||||||||
1.430%, 04/01/2015 | 1,440,000 | 1,437,523 | |||||||||||
1.722%, 04/01/2016 | 1,470,000 | 1,458,652 | |||||||||||
County of Dauphin PA, | |||||||||||||
1.194%, 03/01/2016 | 1,200,000 | 1,190,448 | |||||||||||
County of Miami-Dade FL Aviation Revenue, | |||||||||||||
5.000%, 10/01/2016 | 6,200,000 | 6,857,510 | |||||||||||
Government Development Bank for Puerto Rico, | |||||||||||||
3.670%, 05/01/2014 | 6,450,000 | 6,399,948 | |||||||||||
Illinois State: | |||||||||||||
4.071%, 01/01/2014 | 545,000 | 553,044 | |||||||||||
4.422%, 04/01/2015 | 2,030,000 | 2,084,546 | |||||||||||
4.961%, 03/01/2016 | 1,110,000 | 1,187,567 | |||||||||||
5.090%, 04/01/2017 | 2,785,000 | 3,024,566 | |||||||||||
Michigan Strategic Fund, | |||||||||||||
4.500%, 12/01/2013 | 5,000,000 | 5,075,550 | |||||||||||
New Hampshire Housing Finance Authority: | |||||||||||||
1.250%, 07/01/2016 | 1,085,000 | 1,075,192 | |||||||||||
1.500%, 01/01/2017 | 1,050,000 | 1,033,410 | |||||||||||
1.650%, 07/01/2017 | 990,000 | 972,269 | |||||||||||
State of Illinois, | |||||||||||||
3.636%, 02/01/2014 | 1,700,000 | 1,718,530 | |||||||||||
Tobacco Settlement Authority Iowa, | |||||||||||||
6.500%, 06/01/2023 (Callable 06/01/2015) | 155,000 | 148,555 | |||||||||||
37,403,769 | 2.5 | % |
Other Government Related Securities | |||||||||||||
AB Svensk Exportkredit, | |||||||||||||
0.602%, 01/23/2017 f | 8,800,000 | 8,824,922 | |||||||||||
CNOOC Finance 2013 Ltd, | |||||||||||||
1.125%, 05/09/2016 @ f | 500,000 | 491,900 | |||||||||||
Petrobras International Finance Company, | |||||||||||||
3.875%, 01/27/2016 f | 6,200,000 | 6,378,721 | |||||||||||
Petroleos Mexicanos, | |||||||||||||
4.875%, 03/15/2015 @ f | 5,270,000 | 5,540,087 | |||||||||||
21,235,630 | 1.4 | % |
Corporate Bonds | |||||||||||||
Industrials | |||||||||||||
AbbVie Inc., | |||||||||||||
1.750%, 11/06/2017 (Acquired 11/05/2012, Cost $2,993,730) * | 3,000,000 | 2,939,151 | |||||||||||
Agrium Inc., | |||||||||||||
7.700%, 02/01/2017 f | 5,000,000 | 5,752,430 | |||||||||||
American Honda Finance Corporation: | |||||||||||||
1.450%, 02/27/2015 (Acquired 02/21/2012, Cost $1,998,940) * | 2,000,000 | 2,020,532 | |||||||||||
1.000%, 08/11/2015 (Acquired 09/04/2012, Cost $4,989,550) * | 5,000,000 | 5,008,090 | |||||||||||
0.648%, 05/26/2016 (Acquired 05/22/2013, Cost $800,000) * | 800,000 | 798,734 | |||||||||||
Anadarko Petroleum Corporation: | |||||||||||||
5.950%, 09/15/2016 | 5,255,000 | 5,894,397 | |||||||||||
6.375%, 09/15/2017 | 2,400,000 | 2,759,952 | |||||||||||
Anglo American Capital PLC: | |||||||||||||
2.150%, 09/27/2013 (Acquired 09/20/2010 through 03/21/2012, Cost $6,895,950) * f | 6,900,000 | 6,920,010 | |||||||||||
9.375%, 04/08/2014 (Acquired 03/23/2012 through 06/19/2012, Cost $951,711) * f | 900,000 | 954,027 | |||||||||||
ArcelorMittal: | |||||||||||||
9.500%, 02/15/2015 @ f | 341,000 | 372,542 | |||||||||||
4.250%, 02/25/2015 @ f | 1,000,000 | 1,007,500 | |||||||||||
4.250%, 08/05/2015 @ f | 1,525,000 | 1,540,250 | |||||||||||
Avon Products, Inc., | |||||||||||||
2.375%, 03/15/2016 | 2,000,000 | 2,016,208 | |||||||||||
Barrick Gold Corporation, | |||||||||||||
1.750%, 05/30/2014 f | 3,000,000 | 3,003,075 | |||||||||||
Beam, Inc., | |||||||||||||
5.375%, 01/15/2016 | 1,269,000 | 1,386,987 | |||||||||||
BP Capital Markets PLC, | |||||||||||||
3.200%, 03/11/2016 f | 775,000 | 814,317 | |||||||||||
Bunge Limited Finance Corporation: | �� | ||||||||||||
5.350%, 04/15/2014 | 6,550,000 | 6,752,153 | |||||||||||
5.100%, 07/15/2015 | 1,520,000 | 1,634,187 | |||||||||||
Bunge N.A. Finance L.P., | |||||||||||||
5.900%, 04/01/2017 | 800,000 | 881,172 | |||||||||||
CNPC HK Overseas Capital Ltd, | |||||||||||||
3.125%, 04/28/2016 (Acquired 12/18/2012, Cost $2,385,195) * f | 2,300,000 | 2,398,090 | |||||||||||
Computer Sciences Corporation, | |||||||||||||
2.500%, 09/15/2015 @ | 9,550,000 | 9,736,597 | |||||||||||
ConAgra Foods, Inc.: | |||||||||||||
1.350%, 09/10/2015 @ | 3,840,000 | 3,866,300 | |||||||||||
5.819%, 06/15/2017 | 3,500,000 | 3,936,723 | |||||||||||
COX Communications Inc., | |||||||||||||
7.250%, 11/15/2015 | 2,000,000 | 2,267,756 | |||||||||||
CRH America, Inc., | |||||||||||||
6.000%, 09/30/2016 | 1,590,000 | 1,790,516 | |||||||||||
CSX Corporation, | |||||||||||||
7.900%, 05/01/2017 | 2,221,000 | 2,669,364 | |||||||||||
Daimler Finance North America LLC: | |||||||||||||
2.300%, 01/09/2015 (Acquired 01/04/2012 through 06/12/2013, Cost $4,131,079) * | 4,125,000 | 4,188,484 | |||||||||||
1.250%, 01/11/2016 (Acquired 01/07/2013, Cost $2,846,495) * | 2,850,000 | 2,831,426 | |||||||||||
Deutsche Telekom International Finance B.V.: | |||||||||||||
5.250%, 07/22/2013 f | 550,000 | 551,296 | |||||||||||
5.750%, 03/23/2016 f | 400,000 | 444,667 | |||||||||||
3.125%, 04/11/2016 (Acquired 03/14/2012 through 06/25/2013, Cost $5,932,604) * f | 5,775,000 | 6,024,913 | |||||||||||
Devon Energy Corporation, | |||||||||||||
2.400%, 07/15/2016 | 375,000 | 384,220 | |||||||||||
DIRECTV Holdings LLC / DIRECTV Financing Co., Inc., | |||||||||||||
3.500%, 03/01/2016 | 400,000 | 420,206 | |||||||||||
Dollar General Corporation, | |||||||||||||
4.125%, 07/15/2017 @ | 6,480,000 | 6,834,987 | |||||||||||
Eaton Corp, | |||||||||||||
1.500%, 11/02/2017 (Acquired 11/14/2012, Cost $4,994,550) * | �� | 5,000,000 | 4,853,580 | ||||||||||
EMC Corporation, | |||||||||||||
1.875%, 06/01/2018 | 3,350,000 | 3,311,485 | |||||||||||
EnCana Holdings Finance Corp., | |||||||||||||
5.800%, 05/01/2014 f | 3,455,000 | 3,591,227 | |||||||||||
Express Scripts Holding Company, | |||||||||||||
2.650%, 02/15/2017 | 200,000 | 203,651 | |||||||||||
Express Scripts, Inc., | |||||||||||||
3.125%, 05/15/2016 @ | 3,000,000 | 3,119,568 | |||||||||||
FBG Finance Limited, | |||||||||||||
5.125%, 06/15/2015 (Acquired 03/12/2012, Cost $548,887) * f | 515,000 | 553,922 | |||||||||||
Federal Express Corp. 1998 Pass Through Trust, | |||||||||||||
Series 981B, 6.845%, 01/15/2019 | 1,392,977 | 1,585,890 | |||||||||||
Federal Express Corp. 2012 Pass Through Trust, | |||||||||||||
2.625%, 01/15/2018 (Acquired 01/20/2012 through 05/07/2012, Cost $1,946,912) * | 1,945,111 | 1,961,580 | |||||||||||
FedEx Corporation, | |||||||||||||
7.375%, 01/15/2014 | 3,291,000 | 3,405,695 | |||||||||||
Fidelity National Information Services, Inc., | |||||||||||||
7.875%, 07/15/2020 | 3,630,000 | 4,001,870 | |||||||||||
Fiserv, Inc.: | |||||||||||||
3.125%, 10/01/2015 | 2,486,000 | 2,593,204 | |||||||||||
3.125%, 06/15/2016 | 1,695,000 | 1,767,473 | |||||||||||
Ford Motor Credit Company LLC: | |||||||||||||
2.750%, 05/15/2015 | 4,000,000 | 4,055,960 | |||||||||||
2.500%, 01/15/2016 | 500,000 | 504,360 | |||||||||||
6.625%, 08/15/2017 | 4,000,000 | 4,527,172 | |||||||||||
France Telecom, | |||||||||||||
4.375%, 07/08/2014 f | 2,125,000 | 2,188,506 | |||||||||||
Freeport-McMoRan Copper & Gold Inc.: | |||||||||||||
1.400%, 02/13/2015 @ | 3,500,000 | 3,483,798 | |||||||||||
2.150%, 03/01/2017 @ | 2,000,000 | 1,957,580 | |||||||||||
General Mills, Inc., | |||||||||||||
0.599%, 01/29/2016 | 3,775,000 | 3,770,262 | |||||||||||
Gilead Sciences, Inc., | |||||||||||||
2.400%, 12/01/2014 | 1,000,000 | 1,022,230 | |||||||||||
Glencore Funding LLC: | |||||||||||||
6.000%, 04/15/2014 (Acquired 01/12/2010 through 02/27/2012, Cost $7,224,641) * | 7,120,000 | 7,369,698 | |||||||||||
1.700%, 05/27/2016 (Acquired 05/22/2013, Cost $2,998,770) * | 3,000,000 | 2,909,136 | |||||||||||
2.500%, 01/15/2019 (Acquired 05/22/2013, Cost $597,012) * | 600,000 | 542,826 | |||||||||||
Heineken N.V., | |||||||||||||
1.400%, 10/01/2017 (Acquired 10/02/2012, Cost $1,993,400) * f | 2,000,000 | 1,943,204 | |||||||||||
Hewlett-Packard Company, | |||||||||||||
4.750%, 06/02/2014 | 475,000 | 489,869 | |||||||||||
Hospira, Inc., | |||||||||||||
5.900%, 06/15/2014 | 5,900,000 | 6,073,389 | |||||||||||
HP Enterprise Services, LLC, | |||||||||||||
Series B, 6.000%, 08/01/2013 | 5,639,000 | 5,661,511 | |||||||||||
Hyundai Capital Services Inc.: | |||||||||||||
6.000%, 05/05/2015 (Acquired 11/01/2012 through 04/30/2013, Cost $6,409,699) * f | 5,924,000 | 6,361,582 | |||||||||||
4.375%, 07/27/2016 (Acquired 05/11/2012 through 02/07/2013, Cost $5,399,785) * f | 5,130,000 | 5,438,016 | |||||||||||
Ingersoll-Rand Global Holding Company Limited, | |||||||||||||
9.500%, 04/15/2014 f | 5,034,000 | 5,372,617 | |||||||||||
Johnson Controls Inc., | |||||||||||||
5.500%, 01/15/2016 @ | 7,241,000 | 7,955,593 | |||||||||||
Kellogg Company, | |||||||||||||
0.522%, 02/13/2015 | 2,000,000 | 2,000,678 | |||||||||||
Laboratory Corporation of America Holdings, | |||||||||||||
5.625%, 12/15/2015 | 400,000 | 438,201 | |||||||||||
Lafarge North America Inc., | |||||||||||||
6.875%, 07/15/2013 | 5,000,000 | 5,012,500 | |||||||||||
LeasePlan Corporation N.V., | |||||||||||||
2.500%, 05/16/2018 (Acquired 05/07/2013 through 05/29/2013, Cost $6,775,428) * f | 6,825,000 | 6,577,328 | |||||||||||
Marathon Petroleum Corporation, | |||||||||||||
3.500%, 03/01/2016 | 1,503,000 | 1,577,717 | |||||||||||
Murphy Oil Corporation, | |||||||||||||
2.500%, 12/01/2017 | 6,531,000 | 6,441,421 | |||||||||||
Mylan Inc.: | |||||||||||||
7.625%, 07/15/2017 (Acquired 01/15/2013, Cost $4,410,610) * | 4,000,000 | 4,428,844 | |||||||||||
6.000%, 11/15/2018 (Acquired 02/01/2013, Cost $2,721,685) * | 2,500,000 | 2,739,702 | |||||||||||
Nabisco, Inc., | |||||||||||||
7.550%, 06/15/2015 | 3,489,000 | 3,912,390 | |||||||||||
National Oilwell Varco Inc., | |||||||||||||
Series B, 6.125%, 08/15/2015 | 4,700,000 | 4,705,593 | |||||||||||
Noble Holding International Limited: | |||||||||||||
3.450%, 08/01/2015 f | 4,552,000 | 4,719,386 | |||||||||||
2.500%, 03/15/2017 f | 4,860,000 | 4,861,167 | |||||||||||
PCCW-HKT Capital No. 2 Limited, | |||||||||||||
6.000%, 07/15/2013 (Acquired 06/18/2012, Cost $400,591) * f | 400,000 | 400,609 | |||||||||||
Pearson Dollar Finance PLC, | |||||||||||||
5.700%, 06/01/2014 (Acquired 06/20/2011 through 06/25/2013, Cost $1,381,140) * f | 1,332,000 | 1,372,200 | |||||||||||
Pentair Finance S.A., | |||||||||||||
1.350%, 12/01/2015 f | 5,000,000 | 5,008,015 | |||||||||||
Petrohawk Energy Corporation: | |||||||||||||
7.875%, 06/01/2015 | 5,000,000 | 5,107,500 | |||||||||||
7.250%, 08/15/2018 | 3,000,000 | 3,273,000 | |||||||||||
Pioneer Natural Resources Company, | |||||||||||||
5.875%, 07/15/2016 @ | 10,000,000 | 11,152,320 | |||||||||||
Plum Creek Timberlands, L.P., | |||||||||||||
5.875%, 11/15/2015 | 3,975,000 | 4,361,962 | |||||||||||
POSCO, | |||||||||||||
8.750%, 03/26/2014 (Acquired 03/19/2009 through 01/18/2013, Cost $7,843,410) * f | 7,610,000 | 7,992,235 | |||||||||||
PPG Industries, Inc., | |||||||||||||
1.900%, 01/15/2016 | 1,452,000 | 1,477,127 | |||||||||||
Quest Diagnostics Incorporated, | |||||||||||||
5.450%, 11/01/2015 | 5,000,000 | 5,458,205 | |||||||||||
Reed Elsevier Capital Inc., | |||||||||||||
7.750%, 01/15/2014 | 4,670,000 | 4,839,484 | |||||||||||
Rio Tinto Alcan, Inc., | |||||||||||||
5.200%, 01/15/2014 f | 4,110,000 | 4,202,865 | |||||||||||
RPM United Kingdom G.P., | |||||||||||||
6.700%, 11/01/2015 (Acquired 03/04/2013, Cost $8,394,866) * f | 7,500,000 | 8,300,790 | |||||||||||
SABMiller Holdings Inc, | |||||||||||||
1.850%, 01/15/2015 (Acquired 01/10/2012, Cost $1,999,880) * | 2,000,000 | 2,029,108 | |||||||||||
SABMiller PLC, | |||||||||||||
6.500%, 07/01/2016 (Acquired 03/01/2012 through 03/20/2012, Cost $1,357,258) * f | 1,214,000 | 1,387,853 | |||||||||||
Southwestern Bell Telephone, L.P., | |||||||||||||
7.000%, 07/01/2015 | 875,000 | 971,188 | |||||||||||
Staples, Inc., | |||||||||||||
9.750%, 01/15/2014 | 9,000,000 | 9,421,164 | |||||||||||
Talisman Energy, Inc., | |||||||||||||
5.125%, 05/15/2015 f | 2,150,000 | 2,297,340 | |||||||||||
TCI Communications, Inc., | |||||||||||||
8.750%, 08/01/2015 | 4,035,000 | 4,666,203 | |||||||||||
Telecom Italia Capital, SA: | |||||||||||||
5.250%, 11/15/2013 f | 120,000 | 121,504 | |||||||||||
5.250%, 10/01/2015 @ f | 2,175,000 | 2,283,150 | |||||||||||
Telefonica Emisiones S.A.U., | |||||||||||||
6.421%, 06/20/2016 f | 6,745,000 | 7,405,828 | |||||||||||
Telefonica Moviles Chile SA, | |||||||||||||
2.875%, 11/09/2015 (Acquired 11/03/2010 through 04/04/2012, Cost $1,016,596) * f | 1,020,000 | 1,023,043 | |||||||||||
The ADT Corporation, | |||||||||||||
2.250%, 07/15/2017 | 6,700,000 | 6,574,750 | |||||||||||
The Clorox Company, | |||||||||||||
5.000%, 01/15/2015 @ | 2,000,000 | 2,116,622 | |||||||||||
The Interpublic Group of Companies, Inc., | |||||||||||||
10.000%, 07/15/2017 | 7,195,000 | 7,574,177 | |||||||||||
The Valspar Corporation, | |||||||||||||
5.100%, 08/01/2015 | 3,400,000 | 3,629,051 | |||||||||||
Thomson Reuters Corporation, | |||||||||||||
0.875%, 05/23/2016 f | 4,550,000 | 4,505,014 | |||||||||||
Time Warner Cable, Inc., | |||||||||||||
5.850%, 05/01/2017 | 300,000 | 330,542 | |||||||||||
Time Warner Companies, Inc., | |||||||||||||
7.250%, 10/15/2017 | 2,475,000 | 2,964,892 | |||||||||||
Toyota Motor Credit Corporation: | |||||||||||||
0.875%, 07/17/2015 | 3,000,000 | 3,010,476 | |||||||||||
2.050%, 01/12/2017 | 400,000 | 404,596 | |||||||||||
Transocean Inc.: | |||||||||||||
4.950%, 11/15/2015 f | 1,350,000 | 1,447,998 | |||||||||||
5.050%, 12/15/2016 f | 6,000,000 | 6,524,550 | |||||||||||
TSMC Global Ltd, | |||||||||||||
0.950%, 04/03/2016 (Acquired 03/27/2013, Cost $1,999,760) * f | 2,000,000 | 1,969,704 | |||||||||||
Tyco Electronics Group S.A.: | |||||||||||||
5.950%, 01/15/2014 f | 1,655,000 | 1,702,398 | |||||||||||
1.600%, 02/03/2015 f | 1,000,000 | 1,007,161 | |||||||||||
Union Pacific Railroad Co. 2004 Pass Through Trust, | |||||||||||||
5.214%, 09/30/2014 (Acquired 10/22/2010 through 03/29/2012, Cost $6,142,213) * | 5,924,000 | 6,183,613 | |||||||||||
Vale Canada Limited, | |||||||||||||
5.700%, 10/15/2015 f | 8,000,000 | 8,558,472 | |||||||||||
Valero Energy Corporation, | |||||||||||||
4.750%, 04/01/2014 | 3,690,000 | 3,792,261 | |||||||||||
Viacom Inc.: | |||||||||||||
1.250%, 02/27/2015 | 1,000,000 | 1,002,898 | |||||||||||
6.250%, 04/30/2016 | 1,500,000 | 1,693,898 | |||||||||||
Vivendi SA, | |||||||||||||
2.400%, 04/10/2015 (Acquired 04/03/2012 through 05/23/2013, Cost $8,490,988) * f | 8,395,000 | 8,542,752 | |||||||||||
Vodafone Group PLC: | |||||||||||||
0.675%, 02/19/2016 f | 5,000,000 | 5,003,385 | |||||||||||
5.625%, 02/27/2017 f | 1,000,000 | 1,111,558 | |||||||||||
Weatherford International Ltd., | |||||||||||||
4.950%, 10/15/2013 f | 5,000,000 | 5,053,455 | |||||||||||
Weyerhaeuser Company, | |||||||||||||
7.250%, 07/01/2013 | 2,000,000 | 2,000,000 | |||||||||||
Wm. Wrigley Jr. Company, | |||||||||||||
3.700%, 06/30/2014 (Acquired 03/15/2012 through 11/14/2012, Cost $6,621,661) * | 6,486,000 | 6,656,679 | |||||||||||
Woodside Finance Limited: | |||||||||||||
8.125%, 03/01/2014 (Acquired 9/14/2012 through 03/26/2013, Cost $2,609,585) * f | 2,500,000 | 2,613,135 | |||||||||||
4.500%, 11/10/2014 (Acquired 11/15/2012 through 05/08/2013, Cost $2,679,179) * f | 2,565,000 | 2,676,719 | |||||||||||
Xerox Corporation, | |||||||||||||
8.250%, 05/15/2014 | 7,800,000 | 8,287,172 | |||||||||||
Xstrata Canada Corporation, | |||||||||||||
6.000%, 10/15/2015 f | 450,000 | 490,047 | |||||||||||
Xstrata Finance (Canada) Limited, | |||||||||||||
1.800%, 10/23/2015 (Acquired 10/18/2012, Cost $2,999,040) * f | 3,000,000 | 3,000,948 | |||||||||||
Yara International ASA, | |||||||||||||
5.250%, 12/15/2014 (Acquired 09/25/2012 through 02/13/2013, Cost $8,195,690) * f | 7,775,000 | 8,186,733 | |||||||||||
Yum! Brands, Inc., | |||||||||||||
4.250%, 09/15/2015 | 7,425,000 | 7,899,732 | |||||||||||
Zoetis Inc., | |||||||||||||
1.150%, 02/01/2016 (Acquired 01/16/2013, Cost $999,730) * @ | 1,000,000 | 996,603 | |||||||||||
472,857,324 | 31.6 | % |
Utility | |||||||||||||
Ameren Corporation, | |||||||||||||
8.875%, 05/15/2014 | 6,364,000 | 6,783,356 | |||||||||||
Beaver Valley Funding Corporation Debentures, | |||||||||||||
9.000%, 06/01/2017 | 905,000 | 918,660 | |||||||||||
Centrais Eletricas Brasileiras S.A., | |||||||||||||
7.750%, 11/30/2015 (Acquired 12/06/2012, Cost $3,397,178) * f | 3,000,000 | 3,240,000 | |||||||||||
Commonwealth Edison Company: | |||||||||||||
Series 104, 5.950%, 08/15/2016 | 550,000 | 626,150 | |||||||||||
6.150%, 09/15/2017 | 100,000 | 116,579 | |||||||||||
Constellation Energy Group Inc., | |||||||||||||
4.550%, 06/15/2015 | 3,069,000 | 3,267,033 | |||||||||||
DCP Midstream, LLC: | |||||||||||||
9.700%, 12/01/2013 (Acquired 07/29/2010 through 03/14/2012, Cost $3,751,968) * | 3,640,000 | 3,768,456 | |||||||||||
5.375%, 10/15/2015 (Acquired 01/13/2012, Cost $1,815,565) * | 1,708,000 | 1,838,281 | |||||||||||
Duke Energy Corp., | |||||||||||||
6.300%, 02/01/2014 | 2,080,000 | 2,146,204 | |||||||||||
El Paso Pipeline Partners Operating Co LLC, | |||||||||||||
4.100%, 11/15/2015 @ | 5,286,000 | 5,618,030 | |||||||||||
Energy Transfer Partners, L.P.: | |||||||||||||
8.500%, 04/15/2014 | 3,150,000 | 3,332,457 | |||||||||||
5.950%, 02/01/2015 | 2,500,000 | 2,678,400 | |||||||||||
6.125%, 02/15/2017 @ | 350,000 | 394,084 | |||||||||||
9.700%, 03/15/2019 | 1,000,000 | 1,297,773 | |||||||||||
Enterprise Products Operating LLC: | |||||||||||||
Series O, 9.750%, 01/31/2014 | 2,774,000 | 2,914,242 | |||||||||||
3.700%, 06/01/2015 | 950,000 | 997,463 | |||||||||||
1.250%, 08/13/2015 @ | 3,000,000 | 3,009,846 | |||||||||||
Exelon Corporation, | |||||||||||||
4.900%, 06/15/2015 | 1,759,000 | 1,882,568 | |||||||||||
Florida Gas Transmission Company, LLC, | |||||||||||||
4.000%, 07/15/2015 (Acquired 09/12/2012, Cost $1,047,251) * | 1,000,000 | 1,054,373 | |||||||||||
GG1C Funding Corporation, | |||||||||||||
5.129%, 01/15/2014 (Acquired 07/28/2011, Cost $1,860,424) * | 1,858,917 | 1,871,351 | |||||||||||
Kinder Morgan Energy Partners, L.P., | |||||||||||||
6.000%, 02/01/2017 @ | 250,000 | 281,566 | |||||||||||
Kiowa Power Partners LLC, | |||||||||||||
4.811%, 12/30/2013 (Acquired 12/29/2011 through 05/29/2012, Cost $417,539) * | 415,010 | 417,413 | |||||||||||
Maritimes & Northeast Pipeline, LLC, | |||||||||||||
7.500%, 05/31/2014 (Acquired 06/19/2013, Cost $3,084,876) * | 2,941,400 | 3,081,222 | |||||||||||
National Grid PLC, | |||||||||||||
6.300%, 08/01/2016 f | 9,611,000 | 10,870,992 | |||||||||||
Nevada Power Company, | |||||||||||||
Series U, 7.375%, 01/15/2014 | 2,750,000 | 2,846,462 | |||||||||||
Nisource Finance Corp., | |||||||||||||
5.400%, 07/15/2014 @ | 7,050,000 | 7,367,906 | |||||||||||
ONEOK Partners, L.P.: | |||||||||||||
6.150%, 10/01/2016 | 2,485,000 | 2,833,032 | |||||||||||
2.000%, 10/01/2017 | 1,000,000 | 983,432 | |||||||||||
ONEOK, Inc., | |||||||||||||
5.200%, 06/15/2015 | 2,000,000 | 2,151,216 | |||||||||||
Pennsylvania Electric Co., | |||||||||||||
5.125%, 04/01/2014 | 1,100,000 | 1,134,340 | |||||||||||
Pepco Holdings, Inc., | |||||||||||||
2.700%, 10/01/2015 | 1,395,000 | 1,435,162 | |||||||||||
PPL Energy Supply, LLC: | |||||||||||||
6.300%, 07/15/2013 | 3,588,000 | 3,594,774 | |||||||||||
Series A, 5.700%, 10/15/2015 | 5,137,000 | 5,517,878 | |||||||||||
6.200%, 05/15/2016 | 350,000 | 389,252 | |||||||||||
PSEG Power LLC, | |||||||||||||
5.320%, 09/15/2016 | 4,505,000 | 4,996,680 | |||||||||||
Rockies Express Pipeline LLC, | |||||||||||||
3.900%, 04/15/2015 (Acquired 02/17/2011, Cost $2,000,140) * | 2,000,000 | 1,980,000 | |||||||||||
Southwestern Public Service Company, | |||||||||||||
5.600%, 10/01/2016 | 3,000,000 | 3,363,237 | |||||||||||
Spectra Energy Capital LLC, | |||||||||||||
5.668%, 08/15/2014 | 6,414,000 | 6,735,091 | |||||||||||
Sunoco, Inc., | |||||||||||||
5.750%, 01/15/2017 | 350,000 | 378,827 | |||||||||||
Trans-Allegheny Interstate Line Company, | |||||||||||||
4.000%, 01/15/2015 (Acquired 01/19/2010 through 06/19/2012, Cost $5,161,170) * | 5,090,000 | 5,286,718 | |||||||||||
TransCanada PipeLines Ltd., | |||||||||||||
0.953%, 06/30/2016 f | 2,575,000 | 2,575,000 | |||||||||||
Union Electric Company, | |||||||||||||
4.750%, 04/01/2015 | 500,000 | 528,381 | |||||||||||
Vectren Utility Holdings, Inc., | |||||||||||||
5.250%, 08/01/2013 | 650,000 | 652,189 | |||||||||||
Williams Partners L.P.: | |||||||||||||
3.800%, 02/15/2015 | 9,000,000 | 9,383,481 | |||||||||||
7.250%, 02/01/2017 @ | 715,000 | 830,987 | |||||||||||
127,370,544 | 8.5 | % |
Finance | |||||||||||||
Abbey National Treasury Services PLC, | |||||||||||||
3.875%, 11/10/2014 (Acquired 12/29/2011 through 09/13/2012, Cost $3,715,664) * f | 3,722,000 | 3,832,674 | |||||||||||
ABN AMRO Bank N.V., | |||||||||||||
1.375%, 01/22/2016 (Acquired 01/17/2013, Cost $999,770) * @ f | 1,000,000 | 991,500 | |||||||||||
AEGON N.V., | |||||||||||||
4.625%, 12/01/2015 f | 1,275,000 | 1,373,964 | |||||||||||
Aetna Inc., | |||||||||||||
6.000%, 06/15/2016 | 3,625,000 | 4,101,354 | |||||||||||
American Express Credit Corporation, | |||||||||||||
2.750%, 09/15/2015 | 1,200,000 | 1,244,716 | |||||||||||
American International Group, Inc.: | |||||||||||||
2.375%, 08/24/2015 @ | 1,100,000 | 1,117,351 | |||||||||||
5.600%, 10/18/2016 | 5,120,000 | 5,705,175 | |||||||||||
Ameriprise Financial, Inc., | |||||||||||||
5.650%, 11/15/2015 | 2,700,000 | 2,990,056 | |||||||||||
AmSouth Bank, | |||||||||||||
Series AI, 5.200%, 04/01/2015 | 2,840,000 | 2,946,500 | |||||||||||
ANZ New Zealand (Int'l) Limited, | |||||||||||||
1.125%, 03/24/2016 (Acquired 03/20/2013, Cost $4,998,250) * f | 5,000,000 | 4,960,950 | |||||||||||
AON Corporation: | |||||||||||||
3.500%, 09/30/2015 f | 3,302,000 | 3,462,523 | |||||||||||
3.125%, 05/27/2016 f | 1,307,000 | 1,363,465 | |||||||||||
Arden Realty Limited Partnership, | |||||||||||||
5.250%, 03/01/2015 | 1,708,000 | 1,814,637 | |||||||||||
Banco Santander-Chile, | |||||||||||||
2.506%, 02/14/2014 (Acquired 02/09/2012, Cost $1,500,000) * f | 1,500,000 | 1,508,148 | |||||||||||
Bank of America Corporation, | |||||||||||||
5.750%, 12/01/2017 | 5,000,000 | 5,556,875 | |||||||||||
Bank of America Corporation Subordinated Notes, | |||||||||||||
10.200%, 07/15/2015 | 2,925,000 | 3,388,279 | |||||||||||
Barclays Bank PLC: | |||||||||||||
5.200%, 07/10/2014 f | 4,005,000 | 4,178,016 | |||||||||||
Series 1, 5.000%, 09/22/2016 f | 4,975,000 | 5,496,286 | |||||||||||
BB&T Corporation, | |||||||||||||
1.133%, 06/15/2018 | 3,000,000 | 3,002,859 | |||||||||||
BNP Paribas SA: | |||||||||||||
3.250%, 03/11/2015 f | 2,425,000 | 2,503,621 | |||||||||||
2.375%, 09/14/2017 f | 1,000,000 | 990,000 | |||||||||||
Branch Banking and Trust Company, | |||||||||||||
0.588%, 05/23/2017 | 1,650,000 | 1,622,000 | |||||||||||
Canadian Imperial Bank of Commerce, | |||||||||||||
2.350%, 12/11/2015 f | 850,000 | 879,410 | |||||||||||
Capital One Financial Corporation: | |||||||||||||
7.375%, 05/23/2014 | 5,765,000 | 6,092,769 | |||||||||||
2.150%, 03/23/2015 | 4,000,000 | 4,063,028 | |||||||||||
Cie de Financement Foncier SA, | |||||||||||||
2.500%, 09/16/2015 (Acquired 06/19/2012 through 02/01/2013, Cost $6,795,889) * f | 6,600,000 | 6,810,593 | |||||||||||
Citigroup, Inc.: | |||||||||||||
6.010%, 01/15/2015 | 7,350,000 | 7,849,249 | |||||||||||
5.300%, 01/07/2016 | 2,000,000 | 2,170,886 | |||||||||||
CNA Financial Corporation: | |||||||||||||
5.850%, 12/15/2014 | 2,225,000 | 2,366,870 | |||||||||||
6.500%, 08/15/2016 | 1,025,000 | 1,161,196 | |||||||||||
Comerica Bank: | |||||||||||||
Series AI, 5.700%, 06/01/2014 | 4,100,000 | 4,275,488 | |||||||||||
5.750%, 11/21/2016 | 1,175,000 | 1,336,436 | |||||||||||
5.200%, 08/22/2017 | 4,000,000 | 4,457,972 | |||||||||||
Commonwealth Bank of Australia, | |||||||||||||
3.500%, 03/19/2015 (Acquired 08/30/2010 through 07/18/2012, Cost $4,480,673) * f | 4,401,000 | 4,591,590 | |||||||||||
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA: | |||||||||||||
0.753%, 03/18/2016 f | 3,000,000 | 3,006,474 | |||||||||||
3.375%, 01/19/2017 f | 1,092,000 | 1,146,850 | |||||||||||
Countrywide Financial Corporation, | |||||||||||||
6.250%, 05/15/2016 | 3,325,000 | 3,625,856 | |||||||||||
Coventry Health Care, Inc., | |||||||||||||
6.125%, 01/15/2015 | 1,125,000 | 1,207,455 | |||||||||||
Credit Suisse (USA), Inc., | |||||||||||||
5.125%, 08/15/2015 | 375,000 | 404,910 | |||||||||||
Deutsche Bank Aktiengesellschaft, | |||||||||||||
6.000%, 09/01/2017 f | 400,000 | 460,409 | |||||||||||
Dresdner Bank AG, | |||||||||||||
7.250%, 09/15/2015 @ f | 3,527,000 | 3,694,356 | |||||||||||
Fifth Third Bancorp: | |||||||||||||
3.625%, 01/25/2016 | 1,305,000 | 1,377,644 | |||||||||||
0.692%, 12/20/2016 | 2,900,000 | 2,846,223 | |||||||||||
First Empire Capital Trust I, | |||||||||||||
8.234%, 02/01/2027 | 1,000,000 | 992,848 | |||||||||||
First Hawaiian Capital Trust I, | |||||||||||||
Series B, 8.343%, 07/01/2027 | 1,500,000 | 1,526,250 | |||||||||||
First Horizon National Corporation, | |||||||||||||
5.375%, 12/15/2015 | 1,050,000 | 1,134,511 | |||||||||||
First Tennessee Bank, National Association: | |||||||||||||
5.050%, 01/15/2015 | 1,000,000 | 1,044,398 | |||||||||||
5.650%, 04/01/2016 | 4,098,000 | 4,444,490 | |||||||||||
General Electric Capital Corporation: | |||||||||||||
4.375%, 09/21/2015 | 2,350,000 | 2,510,439 | |||||||||||
1.000%, 01/08/2016 @ | 1,000,000 | 994,464 | |||||||||||
2.950%, 05/09/2016 | 5,400,000 | 5,627,707 | |||||||||||
5.625%, 09/15/2017 | 5,000,000 | 5,663,350 | |||||||||||
5.625%, 05/01/2018 | 175,000 | 200,726 | |||||||||||
Genworth Financial, Inc., | |||||||||||||
5.750%, 06/15/2014 @ | 3,008,000 | 3,129,394 | |||||||||||
GMAC Inc., | |||||||||||||
7.500%, 12/31/2013 | 787,000 | 806,675 | |||||||||||
Highmark Inc., | |||||||||||||
6.800%, 08/15/2013 (Acquired 05/08/2012 through 06/12/2013, Cost $4,831,806) * | 4,800,000 | 4,824,240 | |||||||||||
HSBC Bank USA NA, | |||||||||||||
6.000%, 08/09/2017 | 250,000 | 282,508 | |||||||||||
HSBC Finance Corporation: | |||||||||||||
4.750%, 07/15/2013 | 1,594,000 | 1,596,106 | |||||||||||
5.000%, 06/30/2015 | 1,950,000 | 2,085,728 | |||||||||||
5.500%, 01/19/2016 @ | 556,000 | 610,811 | |||||||||||
6.676%, 01/15/2021 | 221,000 | 244,326 | |||||||||||
HSBC USA Capital Trust III, | |||||||||||||
8.380%, 05/15/2027 (Acquired 11/06/2007, Cost $1,524,411) * | 1,500,000 | 1,524,942 | |||||||||||
HSBC USA Inc., | |||||||||||||
2.375%, 02/13/2015 | 600,000 | 613,129 | |||||||||||
Hutchison Whampoa International Ltd., | |||||||||||||
4.625%, 09/11/2015 (Acquired 09/24/2012 through 06/25/2013, Cost $9,682,222) * f | 9,090,000 | 9,690,694 | |||||||||||
ING Bank N.V.: | |||||||||||||
2.375%, 06/09/2014 (Acquired 02/24/2012, Cost $1,195,483) * f | 1,200,000 | 1,216,368 | |||||||||||
4.000%, 03/15/2016 (Acquired 03/08/2012 through 04/26/2013, Cost $1,395,298) * @ f | 1,360,000 | 1,434,582 | |||||||||||
3.750%, 03/07/2017 (Acquired 05/30/2013, Cost $2,125,322) * f | 2,000,000 | 2,093,280 | |||||||||||
ING U.S., Inc., | |||||||||||||
2.900%, 02/15/2018 (Acquired 02/06/2013, Cost $4,991,200) * | 5,000,000 | 5,025,160 | |||||||||||
J.P. Morgan Chase & Co.: | |||||||||||||
5.125%, 09/15/2014 | 723,000 | 758,546 | |||||||||||
3.450%, 03/01/2016 | 7,700,000 | 8,031,762 | |||||||||||
Jefferson-Pilot Corp., | |||||||||||||
4.750%, 01/30/2014 | 1,556,000 | 1,587,960 | |||||||||||
Kemper Corporation, | |||||||||||||
6.000%, 11/30/2015 | 8,500,000 | 9,240,418 | |||||||||||
Key Bank National Association, | |||||||||||||
7.413%, 05/06/2015 | 9,600,000 | 10,598,266 | |||||||||||
4.950%, 09/15/2015 | 820,000 | 883,349 | |||||||||||
Kookmin Bank, | |||||||||||||
7.250%, 05/14/2014 (Acquired 05/26/2009 through 02/08/2013, Cost $7,235,841) * f | 7,000,000 | 7,346,983 | |||||||||||
Liberty Mutual Group Inc., | |||||||||||||
5.750%, 03/15/2014 (Acquired 09/03/2009 through 11/15/2012, Cost $3,549,612) * | 3,588,000 | 3,687,897 | |||||||||||
Lloyds TSB Bank PLC: | |||||||||||||
4.375%, 01/12/2015 (Acquired 01/05/2010 through 02/24/2012, Cost $5,160,330) * f | 5,110,000 | 5,338,672 | |||||||||||
4.875%, 01/21/2016 f | 300,000 | 323,323 | |||||||||||
M&I Marshall & Ilsley Bank: | |||||||||||||
4.850%, 06/16/2015 | 6,682,000 | 7,065,707 | |||||||||||
5.000%, 01/17/2017 | 500,000 | 534,327 | |||||||||||
Macquarie Bank Limited, | |||||||||||||
3.450%, 07/27/2015 (Acquired 07/19/2012, Cost $3,995,160) * @ f | 4,000,000 | 4,145,280 | |||||||||||
Manufacturers and Traders Trust Company, | |||||||||||||
0.574%, 03/07/2016 | 6,300,000 | 6,291,596 | |||||||||||
Manulife Financial Corp., | |||||||||||||
3.400%, 09/17/2015 @ f | 7,961,000 | 8,317,525 | |||||||||||
Marsh & McLennan Companies, Inc.: | |||||||||||||
5.750%, 09/15/2015 | 1,585,000 | 1,740,281 | |||||||||||
2.300%, 04/01/2017 | 1,060,000 | 1,057,616 | |||||||||||
MassMutual Global Funding II, | |||||||||||||
3.125%, 04/14/2016 (Acquired 01/19/2012, Cost $2,062,111) * | 2,000,000 | 2,102,462 | |||||||||||
Metropolitan Life Global Funding I, | |||||||||||||
3.125%, 01/11/2016 (Acquired 01/04/2011 through 03/05/2012, Cost $2,312,439) * @ | 2,300,000 | 2,402,983 | |||||||||||
Mizuho Bank, Ltd., | |||||||||||||
2.550%, 03/17/2017 (Acquired 05/30/2013, Cost $7,095,378) * f | 6,900,000 | 6,955,262 | |||||||||||
Morgan Stanley: | |||||||||||||
4.750%, 04/01/2014 | 75,000 | 76,630 | |||||||||||
4.000%, 07/24/2015 | 1,000,000 | 1,042,347 | |||||||||||
1.750%, 02/25/2016 | 2,000,000 | 1,981,338 | |||||||||||
5.450%, 01/09/2017 | 2,400,000 | 2,593,795 | |||||||||||
National Australia Bank Limited: | |||||||||||||
0.602%, 01/22/2015 (Acquired 01/14/2013, Cost $3,700,000) * f | 3,700,000 | 3,706,346 | |||||||||||
3.750%, 03/02/2015 (Acquired 03/14/2012 through 01/14/2013, Cost $1,824,499) * f | 1,750,000 | 1,832,600 | |||||||||||
2.000%, 03/09/2015 @ f | 2,000,000 | 2,037,264 | |||||||||||
0.805%, 10/08/2015 (Acquired 03/26/2013, Cost $1,098,900) * f | 1,100,000 | 1,099,517 | |||||||||||
National City Bank, | |||||||||||||
5.800%, 06/07/2017 | 250,000 | 284,567 | |||||||||||
Nomura Holdings Inc.: | |||||||||||||
5.000%, 03/04/2015 @ f | 1,000,000 | 1,055,901 | |||||||||||
2.000%, 09/13/2016 f | 9,155,000 | 9,052,839 | |||||||||||
Nordea Bank AB: | |||||||||||||
2.250%, 03/20/2015 (Acquired 03/14/2012, Cost $2,993,610) * f | 3,000,000 | 3,064,983 | |||||||||||
3.125%, 03/20/2017 (Acquired 10/03/2012, Cost $3,595,553) * f | 3,440,000 | 3,540,035 | |||||||||||
PNC Bank, National Association, | |||||||||||||
0.596%, 04/29/2016 @ | 4,000,000 | 3,977,712 | |||||||||||
PNC Funding Corp, | |||||||||||||
4.250%, 09/21/2015 | 450,000 | 478,476 | |||||||||||
Principal Financial Group, Inc., | |||||||||||||
1.850%, 11/15/2017 | 1,000,000 | 982,105 | |||||||||||
Prudential Covered Trust 2012-1, | |||||||||||||
2.997%, 09/30/2015 (Acquired 10/16/2012, Cost $2,788,384) * | 2,700,000 | 2,786,184 | |||||||||||
Prudential Financial Inc.: | |||||||||||||
6.200%, 01/15/2015 | 4,879,000 | 5,256,893 | |||||||||||
6.100%, 06/15/2017 | 1,000,000 | 1,140,142 | |||||||||||
Regions Financial Corporation, | |||||||||||||
5.750%, 06/15/2015 | 3,500,000 | 3,775,625 | |||||||||||
Santander U.S. Debt S.A. Unipersonal, | |||||||||||||
2.991%, 10/07/2013 (Acquired 09/27/2010 through 12/14/2010, Cost $1,599,355) * f | 1,600,000 | 1,609,123 | |||||||||||
SLM Corporation: | |||||||||||||
5.000%, 10/01/2013 | 5,015,000 | 5,040,075 | |||||||||||
5.375%, 05/15/2014 | 1,344,000 | 1,370,880 | |||||||||||
Societe Generale SA, | |||||||||||||
3.100%, 09/14/2015 (Acquired 02/06/2013 through 06/19/2013, Cost $3,598,791) * @ f | 3,475,000 | 3,582,586 | |||||||||||
SouthTrust Corporation, | |||||||||||||
5.800%, 06/15/2014 | 1,875,000 | 1,965,266 | |||||||||||
Sumitomo Mitsui Banking Corporation: | |||||||||||||
1.350%, 07/18/2015 f | 2,000,000 | 2,010,382 | |||||||||||
3.150%, 07/22/2015 (Acquired 02/06/2013, Cost $626,504) * f | 600,000 | 624,994 | |||||||||||
SunTrust Bank: | |||||||||||||
0.608%, 04/01/2015 | 6,880,000 | 6,826,542 | |||||||||||
0.564%, 08/24/2015 | 1,000,000 | 991,952 | |||||||||||
5.000%, 09/01/2015 | 2,396,000 | 2,568,730 | |||||||||||
SUSA Partnership, L.P., | |||||||||||||
8.200%, 06/01/2017 | 714,000 | 840,991 | |||||||||||
Svenska Handelsbanken AB: | |||||||||||||
4.875%, 06/10/2014 (Acquired 09/20/2011 through 12/13/2011, Cost $4,957,687) * f | 4,850,000 | 5,033,524 | |||||||||||
0.722%, 03/21/2016 @ f | 2,000,000 | 2,000,026 | |||||||||||
3.125%, 07/12/2016 f | 175,000 | 183,785 | |||||||||||
The Bank of New York Mellon Corporation, | |||||||||||||
0.505%, 03/04/2016 @ | 7,000,000 | 6,994,512 | |||||||||||
The Bank of Nova Scotia, | |||||||||||||
0.673%, 03/15/2016 f | 7,000,000 | 6,996,339 | |||||||||||
The Bear Stearns Companies LLC, | |||||||||||||
5.300%, 10/30/2015 | 3,350,000 | 3,657,289 | |||||||||||
The Charles Schwab Corporation, | |||||||||||||
0.850%, 12/04/2015 | 3,000,000 | 2,990,820 | |||||||||||
The Dai-ichi Mutual Life Insurance Company, | |||||||||||||
5.730%, 03/17/2014 (Acquired 03/02/2011, Cost $4,116,764) * f | 4,050,000 | 4,112,382 | |||||||||||
The Goldman Sachs Group, Inc.: | |||||||||||||
5.750%, 10/01/2016 | 1,000,000 | 1,112,389 | |||||||||||
6.250%, 09/01/2017 | 6,476,000 | 7,338,629 | |||||||||||
The Hartford Financial Services Group, Inc.: | |||||||||||||
4.000%, 03/30/2015 | 3,000,000 | 3,136,758 | |||||||||||
7.300%, 11/01/2015 | 233,000 | 263,151 | |||||||||||
5.500%, 10/15/2016 | 3,050,000 | 3,381,929 | |||||||||||
5.375%, 03/15/2017 | 1,685,000 | 1,851,198 | |||||||||||
The NASDAQ OMX Group Inc., | |||||||||||||
4.000%, 01/15/2015 | 5,740,000 | 5,918,445 | |||||||||||
The Retail Property Trust, | |||||||||||||
7.875%, 03/15/2016 (Acquired 05/21/2013, Cost $1,177,384) * | 1,000,000 | 1,159,526 | |||||||||||
The Royal Bank of Scotland Group PLC: | |||||||||||||
Series 2, 3.400%, 08/23/2013 f | 1,000,000 | 1,003,300 | |||||||||||
4.875%, 08/25/2014 (Acquired 08/18/2009 through 01/27/2011, Cost $3,003,104) * @ f | 3,000,000 | 3,104,340 | |||||||||||
2.550%, 09/18/2015 f | 2,000,000 | 2,033,518 | |||||||||||
UBS AG, | |||||||||||||
3.875%, 01/15/2015 f | 2,214,000 | 2,307,426 | |||||||||||
Union Bank, National Association: | |||||||||||||
3.000%, 06/06/2016 | 1,200,000 | 1,256,441 | |||||||||||
2.125%, 06/16/2017 | 3,150,000 | 3,146,702 | |||||||||||
UnionBanCal Corp., | |||||||||||||
5.250%, 12/16/2013 | 1,121,000 | 1,143,846 | |||||||||||
UnitedHealth Group, Inc., | |||||||||||||
4.750%, 02/10/2014 | 750,000 | 768,040 | |||||||||||
WEA Finance LLC, | |||||||||||||
7.500%, 06/02/2014 (Acquired 12/14/2011 through 05/17/2013, Cost $8,552,479) * | 8,195,000 | 8,706,843 | |||||||||||
Wells Fargo & Company, | |||||||||||||
3.676%, 06/15/2016 | 150,000 | 160,263 | |||||||||||
Wells Fargo Bank NA, | |||||||||||||
Series AI, 4.750%, 02/09/2015 | 5,250,000 | 5,540,798 | |||||||||||
Westpac Banking Corporation: | |||||||||||||
3.000%, 08/04/2015 f | 2,395,000 | 2,496,562 | |||||||||||
0.950%, 01/12/2016 f | 3,000,000 | 2,989,248 | |||||||||||
2.000%, 08/14/2017 f | 2,000,000 | 2,006,864 | |||||||||||
Willis North America, Inc., | |||||||||||||
5.625%, 07/15/2015 | 6,650,000 | 7,135,916 | |||||||||||
452,831,583 | 30.3 | % |
Residential Mortgage-Backed Securities | |||||||||||||
U.S. Government Agency Issues | |||||||||||||
Federal Home Loan Mortgage Corporation (FHLMC), | |||||||||||||
Series 5, Class B, 0.950%, 05/15/2019 | 12,461 | 12,553 | |||||||||||
Federal National Mortgage Association (FNMA): | |||||||||||||
5.500%, 07/01/2015 | 63,700 | 67,257 | |||||||||||
Series 2004-W6, Class 1A4, 5.500%, 07/25/2034 | 896,223 | 913,983 | |||||||||||
Series 2004-W6, Class 1A6, 5.500%, 07/25/2034 | 505,714 | 516,896 | |||||||||||
1,510,689 | 0.1 | % | |||||||||||
Non-U.S. Government Agency Issues | |||||||||||||
Banc of America Mortgage Securities Inc, | |||||||||||||
Series 2003-10, Class 3A1, 5.000%, 01/25/2019 | 1,580,865 | 1,643,786 | |||||||||||
Bank of America Alternative Loan Trust: | |||||||||||||
Series 2003-4, Class 2A1, 5.000%, 06/25/2018 | 233,162 | 241,038 | |||||||||||
Series 2004-2, Class 5A1, 5.500%, 03/25/2019 | 1,058,042 | 1,086,625 | |||||||||||
Series 2003-3, Class A1, 5.500%, 05/25/2033 | 2,393,363 | 2,555,059 | |||||||||||
Series 2004-B, Class 2A2, 2.867%, 03/25/2034 | 2,851,175 | 2,818,999 | |||||||||||
Countrywide Alternative Loan Trust: | |||||||||||||
Series 2004-12CB, Class 1A1, 5.000%, 07/25/2019 | 2,434,602 | 2,534,063 | |||||||||||
Series 2005-50CB, Class 4A1, 5.000%, 11/25/2020 § | 460,788 | 455,274 | |||||||||||
Series 2004-J2, Class 3A3, 5.500%, 04/25/2034 | 524,671 | 541,178 | |||||||||||
Series 2005-73CB, Class 1A7, 5.500%, 01/25/2036 § | 188,647 | 171,883 | |||||||||||
Series 2006-28CB, Class A17, 6.000%, 10/25/2036 § | 1,294,641 | 987,996 | |||||||||||
HSI Asset Securitization Corp Trust, | |||||||||||||
Series 2005-NC1, Class 2A3, 0.553%, 07/25/2035 | 2,767,313 | 2,749,132 | |||||||||||
J.P. Morgan Mortgage Trust, | |||||||||||||
Series 2005-A4, Class 1A1, 5.263%, 07/25/2035 | 3,686,241 | 3,777,700 | |||||||||||
Merrill Lynch Mortgage Investors Trust, | |||||||||||||
Series 2005-A8, Class A1C1, 5.250%, 08/25/2036 | 65,026 | 64,656 | |||||||||||
Washington Mutual Mortgage Pass Through Certificates: | |||||||||||||
Series 2004-CB4, Class 21A, 5.500%, 12/25/2019 | 190,077 | 195,025 | |||||||||||
Series 2004-CB4, Class 22A, 6.000%, 12/25/2019 | 165,086 | 171,207 | |||||||||||
19,993,621 | 1.3 | % |
Asset Backed Securities | |||||||||||||
Accredited Mortgage Loan Trust, | |||||||||||||
Series 2006-2, Class A3, 0.343%, 09/25/2036 | 9,857,089 | 9,463,407 | |||||||||||
Argent Securities Inc, | |||||||||||||
Series 2005-W2, Class A2B1, 0.393%, 10/25/2035 | 3,624,130 | 3,582,395 | |||||||||||
Bombardier Capital Mortgage Securitization, | |||||||||||||
Series 1998-A, Class A3, 6.230%, 04/15/2028 | 14,556 | 14,956 | |||||||||||
Carrington Mortgage Loan Trust, | |||||||||||||
Series 2006-OPT1, Class A3, 0.373%, 02/25/2036 | 8,014,228 | 7,739,965 | |||||||||||
Citigroup Mortgage Loan Trust, Inc., | |||||||||||||
Series 2006-WFH3, Class A3, 0.343%, 10/25/2036 | 3,840,538 | 3,798,795 | |||||||||||
Countrywide Asset-Backed Certificates: | |||||||||||||
Series 2006-13, Class 1AF3, 5.253%, 01/25/2037 § | 1,954,821 | 1,930,347 | |||||||||||
Series 2006-9, Class 1AF3, 5.859%, 10/25/2046 | 1,487,481 | 1,013,162 | |||||||||||
Credit Based Asset Servicing and Securitization LLC, | |||||||||||||
Series 2005-CB8, Class AF2, 4.619%, 12/25/2035 | 329,496 | 308,211 | |||||||||||
Green Tree Financial Corporation: | |||||||||||||
Series 1996-3, Class A5, 7.350%, 05/15/2027 | 24,513 | 24,977 | |||||||||||
Series 1998-2, Class A5, 6.240%, 12/01/2028 | 28,642 | 29,537 | |||||||||||
Series 1997-5, Class A6, 6.820%, 05/15/2029 | 463,347 | 484,213 | |||||||||||
Series 1998-3, Class A5, 6.220%, 03/01/2030 | 355,074 | 385,637 | |||||||||||
Home Equity Asset Trust, | |||||||||||||
Series 2006-4, Class 2A3, 0.363%, 08/25/2036 | 5,744,886 | 5,595,633 | |||||||||||
J.P. Morgan Mortgage Acquisition Trust, | |||||||||||||
Series 2007-CH1, Class AV4, 0.323%, 08/25/2033 | 4,000,000 | 3,903,240 | |||||||||||
Master Credit Card Trust, | |||||||||||||
Series 2012-2A, Class A, 0.780%, 04/21/2017 (Acquired 10/24/2012, Cost $6,723,674) * f | 6,725,000 | 6,674,986 | |||||||||||
Mastr Asset Backed Securities Trust, | |||||||||||||
Series 2006-AB1, Class A2, 0.423%, 02/25/2036 | 1,792,412 | 1,726,614 | |||||||||||
Morgan Stanley ABS Capital I Trust, | |||||||||||||
Series 2005-HE2, Class A3B, 0.413%, 01/25/2035 | 8,206,362 | 7,866,479 | |||||||||||
Nationstar Home Equity Loan Trust, | |||||||||||||
Series 2006-B, Class AV3, 0.363%, 09/25/2036 | 14,374,771 | 13,936,413 | |||||||||||
Renaissance Home Equity Loan Trust, | |||||||||||||
Series 2007-2, Class AF2, 5.675%, 06/25/2037 | 1,983,368 | 1,069,569 | |||||||||||
Residential Asset Mortgage Products, Inc.: | |||||||||||||
Series 2003-RS7, Class AI6, 5.340%, 08/25/2033 | 144,016 | 140,925 | |||||||||||
Series 2003-RS11, Class AI7, 4.828%, 12/25/2033 | 720,583 | 727,697 | |||||||||||
Soundview Home Equity Loan Trust, | |||||||||||||
Series 2005-OPT4, Class 2A3, 0.453%, 12/25/2035 | 4,139,614 | 4,082,503 | |||||||||||
Specialty Underwriting & Residential Finance, | |||||||||||||
Series 2006-BC1, Class A2C, 0.393%, 12/25/2036 | 5,227,585 | 5,138,433 | |||||||||||
Springleaf Mortgage Loan Trust: | |||||||||||||
Series 2012-1A, Class A, 2.667%, 09/25/2057 (Acquired 04/11/2012, Cost $3,476,100) * | 3,476,140 | 3,544,425 | |||||||||||
Series 2012-2, Class A, 2.220%, 10/25/2057 (Acquired 07/31/2012, Cost $3,185,339) * | 3,185,700 | 3,229,411 | |||||||||||
Wells Fargo Home Equity Trust, | |||||||||||||
Series 2005-2, Class AI1B, 0.483%, 08/25/2035 | 928,507 | 925,875 | |||||||||||
87,337,805 | 5.8 | % |
Commercial Mortgage-Backed Securities | |||||||||||||
Bear Stearns Commercial Mortgage Securities, | |||||||||||||
Series 2005-PWR9, Class A4A, 4.871%, 09/11/2042 | 10,000,000 | 10,658,290 | |||||||||||
Citigroup Deutsche Bank, | |||||||||||||
Series 2005-CD1, Class A4, 5.392%, 07/15/2044 | 4,330,848 | 4,652,180 | |||||||||||
Commercial Mortgage Trust, | |||||||||||||
Series 2005-C6, Class A5A, 5.116%, 06/10/2044 | 9,413,000 | 10,090,331 | |||||||||||
Credit Suisse First Boston Mortgage Securities Corporation, | |||||||||||||
Series 2005-C5, Class A4, 5.100%, 08/15/2038 @ | 10,208,250 | 10,886,200 | |||||||||||
DBUBS 2011-LC3 Mortgage Trust, | |||||||||||||
Series 2011-LC3A, Class A2, 3.642%, 08/10/2044 | 6,075,000 | 6,414,240 | |||||||||||
GE Capital Commercial Mortgage Corporation, | |||||||||||||
Series 2004-C3, Class A4, 5.189%, 07/10/2039 | 6,382,873 | 6,598,723 | |||||||||||
J.P. Morgan Chase Commercial Mortgage Securities Corp., | |||||||||||||
Series 2003-CB7, Class A4, 4.879%, 01/12/2038 | 9,197,171 | 9,288,462 | |||||||||||
J.P. Morgan Chase Commercial Mortgage Trust, | |||||||||||||
Series 2005-CB12, Class A4, 4.895%, 09/12/2037 | 9,999,000 | 10,654,034 | |||||||||||
Morgan Stanley Capital I Trust, | |||||||||||||
Series 2005-HQ7, Class A4, 5.378%, 11/14/2042 | 10,850,000 | 11,665,584 | |||||||||||
RBSCF Trust, | |||||||||||||
Series 2010-MB1, Class A1, 2.367%, 04/15/2024 (Acquired 04/09/2010, Cost $1,804,078) * | 1,804,116 | 1,825,067 | |||||||||||
Wachovia Bank Commercial Mortgage Trust, | |||||||||||||
Series 2005-C22, Class A4, 5.465%, 12/15/2044 | 5,912,000 | 6,397,990 | |||||||||||
89,131,101 | 6.0 | % | |||||||||||
Total Long-Term Investments (Cost $1,451,524,736) | 1,452,450,561 | 97.1 | % | ||||||||||
Shares |
SHORT-TERM INVESTMENTS | |||||||||||||
Money Market Mutual Funds | |||||||||||||
Short-Term Investments Trust - Liquid Assets Portfolio, 0.09% « | 23,375,031 | 23,375,031 | |||||||||||
Total Short-Term Investments (Cost $23,375,031) | 23,375,031 | 1.6 | % | ||||||||||
Principal | |||||||||||||
INVESTMENTS PURCHASED WITH CASH PROCEEDS FROM | Amount | ||||||||||||
SECURITIES LENDING | |||||||||||||
Commercial Paper | |||||||||||||
Atlantic East Funding LLC, 0.545%, 03/25/2014 † ** | $ | 684,835 | 546,691 | ||||||||||
Total Commercial Paper (Cost $684,835) | 546,691 | 0.0 | % | ||||||||||
Shares | |||||||||||||
Investment Companies | |||||||||||||
Mount Vernon Securities Lending Trust Prime Portfolio, 0.21% « | 55,163,666 | 55,163,666 | |||||||||||
Total Investment Companies (Cost $55,163,666) | 55,163,666 | 3.7 | % | ||||||||||
Total Investments Purchased With Cash Proceeds From | |||||||||||||
Securities Lending (Cost $55,848,501) | 55,710,357 | 3.7 | % | ||||||||||
Total Investments (Cost $1,530,748,268) | 1,531,535,949 | 102.4 | % | ||||||||||
Asset Relating to Securities Lending Investments | |||||||||||||
Support Agreement ** ^ α † | 138,144 | ||||||||||||
Total (Cost $0) | 138,144 | 0.0 | % | ||||||||||
Liabilities in Excess of Other Assets | (36,435,013 | ) | (2.4 | )% | |||||||||
TOTAL NET ASSETS | $ | 1,495,239,080 | 100.0 | % |
Notes to Schedule of Investments | ||
* | Restricted Security Deemed Liquid | |
** | Illiquid Security | |
@ | This security or portion of this security is out on loan at June 30, 2013. | |
f | Foreign Security | |
^ | Non-Income Producing | |
« | 7-Day Yield | |
§ | Security in Default | |
† | Priced at Fair Value by the Valuation Committee as delegated by the Baird Funds' Board of Directors. | |
α | The Fund's transfer agent and administrator and securities lending agent entered into a support agreement with | |
the Fund to cover losses realized by the Fund on its investment in Atlantic East Funding, LLC (up to a certain amount), | ||
which investment was made by the Fund's securities lending agent. |
The accompanying notes are in integral part of these financial statements.
Baird Intermediate Bond Fund | |||||||||||||
Schedule of Investments | |||||||||||||
June 30, 2013 (Unaudited) | |||||||||||||
Principal | Market | % of | |||||||||||
Amount | Value | Net Assets | |||||||||||
LONG-TERM INVESTMENTS | |||||||||||||
U.S. Treasury Securities | |||||||||||||
U.S. Treasury Bonds: | |||||||||||||
2.375%, 07/31/2017 | $ | 11,475,000 | $ | 12,063,094 | |||||||||
3.875%, 05/15/2018 @ | 9,700,000 | 10,867,026 | |||||||||||
9.125%, 05/15/2018 | 13,950,000 | 19,094,063 | |||||||||||
2.250%, 07/31/2018 @ | 104,150,000 | 108,478,682 | |||||||||||
1.250%, 04/30/2019 @ | 52,700,000 | 51,600,731 | |||||||||||
2.625%, 08/15/2020 | 31,850,000 | 33,283,250 | |||||||||||
7.875%, 02/15/2021 | 10,000,000 | 14,171,880 | |||||||||||
249,558,726 | 25.2 | % | |||||||||||
U.S. Government Agency Issues | |||||||||||||
Federal Home Loan Mortgage Corporation (FHLMC): | |||||||||||||
1.250%, 05/12/2017 | 5,050,000 | 5,057,055 | |||||||||||
1.000%, 06/29/2017 @ | 9,200,000 | 9,117,467 | |||||||||||
Series 1, 1.000%, 07/28/2017 @ | 5,500,000 | 5,422,736 | |||||||||||
2.375%, 01/13/2022 | 300,000 | 291,533 | |||||||||||
Federal National Mortgage Association (FNMA): | |||||||||||||
1.375%, 11/15/2016 @ | 6,700,000 | 6,792,098 | |||||||||||
0.875%, 08/28/2017 | 4,625,000 | 4,533,351 | |||||||||||
31,214,240 | 3.1 | % |
Taxable Municipal Bonds | |||||||||||||
Alaska Municipal Bond Bank Authority: | |||||||||||||
4.309%, 08/01/2018 | 1,000,000 | 1,082,260 | |||||||||||
4.459%, 08/01/2019 | 1,340,000 | 1,454,275 | |||||||||||
California Qualified School Construction Bonds, | |||||||||||||
5.955%, 03/01/2019 | 3,375,000 | 3,672,405 | |||||||||||
California School Finance Authority, | |||||||||||||
4.426%, 07/01/2020 | 2,500,000 | 2,659,175 | |||||||||||
California State: | |||||||||||||
5.450%, 04/01/2015 | 900,000 | 966,951 | |||||||||||
5.500%, 03/01/2016 | 500,000 | 555,440 | |||||||||||
Central Valley Support Joint Power Agency, | |||||||||||||
5.326%, 09/01/2022 | 2,000,000 | 2,093,240 | |||||||||||
City of Atlantic City NJ, | |||||||||||||
2.130%, 12/15/2013 | 450,000 | 452,538 | |||||||||||
Contra Costa County California Pension Obligation, | |||||||||||||
5.140%, 06/01/2017 | 2,500,000 | 2,702,700 | |||||||||||
Dallas Independent School District, | |||||||||||||
4.950%, 02/15/2022 (Callable 02/15/2021) | 1,965,000 | 2,237,938 | |||||||||||
Davie Florida Water & Sewer Revenue, | |||||||||||||
6.062%, 10/01/2025 (Callable 10/01/2020) | 1,000,000 | 1,096,520 | |||||||||||
Government Development Bank for Puerto Rico, | |||||||||||||
4.704%, 05/01/2016 | 3,525,000 | 3,450,376 | |||||||||||
New Hampshire Housing Finance Authority, | |||||||||||||
2.600%, 01/01/2020 | 2,305,000 | 2,196,043 | |||||||||||
North Carolina Housing Finance Agency, | |||||||||||||
4.000%, 01/01/2030 (Callable 07/01/2021) | 375,000 | 377,921 | |||||||||||
North East Independent School District Texas, | |||||||||||||
5.240%, 08/01/2027 | 2,100,000 | 2,412,039 | |||||||||||
State of Illinois, | |||||||||||||
3.636%, 02/01/2014 | 5,150,000 | 5,206,135 | |||||||||||
Tobacco Settlement Authority Iowa, | |||||||||||||
6.500%, 06/01/2023 (Callable 06/01/2015) | 1,105,000 | 1,059,054 | |||||||||||
33,675,010 | 3.4 | % |
Other Government Related Securities | |||||||||||||
Corp Andina de Fomento, | |||||||||||||
4.375%, 06/15/2022 f | 454,000 | 462,303 | |||||||||||
KFW, | |||||||||||||
4.875%, 06/17/2019 f | 3,250,000 | 3,768,375 | |||||||||||
Korea Development Bank, | |||||||||||||
3.875%, 05/04/2017 f | 2,000,000 | 2,054,666 | |||||||||||
Korea Hydro & Nuclear Power Co., Ltd., | |||||||||||||
6.250%, 06/17/2014 (Acquired 06/10/2009, Cost $989,350) * f | 1,000,000 | 1,043,402 | |||||||||||
National Bank of Hungary Yankee Debentures, | |||||||||||||
8.875%, 11/01/2013 f | 350,000 | 356,779 | |||||||||||
Petrobras International Finance Company, | �� | ||||||||||||
3.875%, 01/27/2016 f | 4,175,000 | 4,295,349 | |||||||||||
United Mexican States, | |||||||||||||
5.125%, 01/15/2020 f | 2,650,000 | 2,912,350 | |||||||||||
Westdeutsche Landesbank Subordinated Notes, | |||||||||||||
4.796%, 07/15/2015 f | 1,495,000 | 1,598,433 | |||||||||||
16,491,657 | 1.6 | % |
Corporate Bonds | |||||||||||||
Industrials | |||||||||||||
Ameritech Capital Funding Debentures: | |||||||||||||
9.100%, 06/01/2016 | 590,400 | 668,093 | |||||||||||
6.450%, 01/15/2018 | 2,758,000 | 3,144,330 | |||||||||||
Anadarko Petroleum Corporation: | |||||||||||||
5.950%, 09/15/2016 | 2,270,000 | 2,546,200 | |||||||||||
6.375%, 09/15/2017 | 2,000,000 | 2,299,960 | |||||||||||
6.950%, 06/15/2019 @ | 1,000,000 | 1,201,525 | |||||||||||
Anglo American Capital PLC: | |||||||||||||
9.375%, 04/08/2014 (Acquired 09/05/2012, Cost $1,272,525) * f | 1,200,000 | 1,272,036 | |||||||||||
9.375%, 04/08/2019 (Acquired 07/11/2012, Cost $2,591,811) * f | 2,000,000 | 2,523,266 | |||||||||||
Apple, Inc., | |||||||||||||
2.400%, 05/03/2023 @ | 2,000,000 | 1,854,928 | |||||||||||
BP Capital Markets PLC: | |||||||||||||
3.200%, 03/11/2016 @ f | 375,000 | 394,024 | |||||||||||
4.750%, 03/10/2019 @ f | 2,500,000 | 2,776,365 | |||||||||||
3.245%, 05/06/2022 f | 1,000,000 | 970,465 | |||||||||||
British Telecommunications PLC, | |||||||||||||
5.950%, 01/15/2018 f | 2,000,000 | 2,302,060 | |||||||||||
Bunge Limited Finance Corporation: | |||||||||||||
5.350%, 04/15/2014 | 1,557,000 | 1,605,054 | |||||||||||
5.100%, 07/15/2015 | 1,085,000 | 1,166,508 | |||||||||||
4.100%, 03/15/2016 | 2,505,000 | 2,644,957 | |||||||||||
3.200%, 06/15/2017 | 1,300,000 | 1,329,943 | |||||||||||
Bunge N.A. Finance L.P., | |||||||||||||
5.900%, 04/01/2017 | 425,000 | 468,123 | |||||||||||
Comcast Cable Communications LLC, | |||||||||||||
8.875%, 05/01/2017 | 500,000 | 626,193 | |||||||||||
Comcast Corporation, | |||||||||||||
2.850%, 01/15/2023 @ | 1,425,000 | 1,352,878 | |||||||||||
Computer Sciences Corporation, | |||||||||||||
2.500%, 09/15/2015 | 4,500,000 | 4,587,925 | |||||||||||
Cox Communications, Inc., | |||||||||||||
3.250%, 12/15/2022 (Acquired 11/26/2012, Cost $3,594,456) * | 3,600,000 | 3,386,974 | |||||||||||
D.R. Horton, Inc., | |||||||||||||
6.500%, 04/15/2016 | 1,000,000 | 1,080,000 | |||||||||||
Daimler Finance North America LLC, | |||||||||||||
2.250%, 07/31/2019 (Acquired 07/25/2012, Cost $2,285,234) * | 2,300,000 | 2,234,450 | |||||||||||
Deutsche Telekom International Finance B.V.: | |||||||||||||
3.125%, 04/11/2016 (Acquired 04/04/2011, Cost $2,197,778) * f | 2,200,000 | 2,295,205 | |||||||||||
6.000%, 07/08/2019 f | 1,300,000 | 1,527,780 | |||||||||||
DIRECTV Holdings LLC / DIRECTV Financing Co., Inc., | |||||||||||||
3.500%, 03/01/2016 | 250,000 | 262,628 | |||||||||||
Donnelley (R.R.) & Sons Co.: | |||||||||||||
8.600%, 08/15/2016 | 1,000,000 | 1,140,000 | |||||||||||
6.125%, 01/15/2017 @ | 875,000 | 914,375 | |||||||||||
7.625%, 06/15/2020 @ | 1,000,000 | 1,015,000 | |||||||||||
Ecolab Inc., | |||||||||||||
1.450%, 12/08/2017 | 4,000,000 | 3,885,124 | |||||||||||
Express Scripts Holding Co: | |||||||||||||
2.650%, 02/15/2017 | 2,000,000 | 2,036,506 | |||||||||||
7.250%, 06/15/2019 | 1,000,000 | 1,234,128 | |||||||||||
Federal Express Corp. 1995 Pass Through Trust, | |||||||||||||
Class B2, 7.110%, 01/02/2014 | 234,934 | 241,636 | |||||||||||
Federal Express Corp. 1998 Pass Through Trust, | |||||||||||||
Series 981B, 6.845%, 01/15/2019 | 221,890 | 252,620 | |||||||||||
FedEx Corporation, | |||||||||||||
7.375%, 01/15/2014 | 2,250,000 | 2,328,415 | |||||||||||
Fidelity National Information Services, Inc., | |||||||||||||
7.875%, 07/15/2020 | 4,800,000 | 5,291,774 | |||||||||||
Fiserv, Inc., | |||||||||||||
4.750%, 06/15/2021 | 1,630,000 | 1,699,180 | |||||||||||
Ford Motor Credit Company LLC, | |||||||||||||
2.500%, 01/15/2016 @ | 3,000,000 | 3,026,163 | |||||||||||
Freeport-McMoRan Copper & Gold Inc.: | |||||||||||||
2.375%, 03/15/2018 (Acquired 03/05/2013, Cost $2,015,036) * @ | 2,000,000 | 1,902,152 | |||||||||||
3.875%, 03/15/2023 (Acquired 02/28/2013, Cost $1,099,351) * | 1,100,000 | 995,601 | |||||||||||
Glencore Funding LLC: | |||||||||||||
6.000%, 04/15/2014 (Acquired 03/31/2004 through 02/02/2010, Cost $3,454,501) * | 3,456,000 | 3,577,202 | |||||||||||
2.500%, 01/15/2019 (Acquired 05/22/2013, Cost $1,393,028) * @ | 1,400,000 | 1,266,593 | |||||||||||
GTE Corporation: | |||||||||||||
6.840%, 04/15/2018 | 1,460,000 | 1,735,754 | |||||||||||
8.750%, 11/01/2021 | 2,150,000 | 2,826,259 | |||||||||||
Hanson PLC Notes, | |||||||||||||
6.125%, 08/15/2016 f | 650,000 | 703,625 | |||||||||||
Hess Corporation, | |||||||||||||
8.125%, 02/15/2019 | 1,200,000 | 1,504,178 | |||||||||||
Hewlett-Packard Co., | |||||||||||||
3.300%, 12/09/2016 | 3,500,000 | 3,633,168 | |||||||||||
Historic Time Warner Inc., | |||||||||||||
6.875%, 06/15/2018 | 392,000 | 471,324 | |||||||||||
HP Enterprise Services, LLC, | |||||||||||||
Series B, 6.000%, 08/01/2013 | 375,000 | 376,497 | |||||||||||
Hyundai Capital Services Inc., | |||||||||||||
6.000%, 05/05/2015 (Acquired 03/27/2013 through 05/30/2013, Cost $6,007,263) * f | 5,549,000 | 5,958,882 | |||||||||||
Ingersoll-Rand Company Debentures, | |||||||||||||
6.391%, 11/15/2027 f | 1,195,000 | 1,322,551 | |||||||||||
Ingersoll-Rand Global Holding Company, Ltd., | |||||||||||||
2.875%, 01/15/2019 (Acquired 06/17/2013, Cost $2,995,500) * f | 3,000,000 | 2,959,434 | |||||||||||
Ingredion Incorporated, | |||||||||||||
1.800%, 09/25/2017 | 1,275,000 | 1,250,317 | |||||||||||
Johnson Controls Inc.: | |||||||||||||
5.500%, 01/15/2016 | 1,625,000 | 1,785,366 | |||||||||||
4.250%, 03/01/2021 | 2,000,000 | 2,090,618 | |||||||||||
Kraft Foods Group, Inc., | |||||||||||||
3.500%, 06/06/2022 | 2,000,000 | 1,980,556 | |||||||||||
Laboratory Corporation of America Holdings, | |||||||||||||
4.625%, 11/15/2020 | 400,000 | 417,141 | |||||||||||
Lafarge SA: | |||||||||||||
6.200%, 07/09/2015 (Acquired 07/06/2010, Cost $999,140) * f | 1,000,000 | 1,065,000 | |||||||||||
6.500%, 07/15/2016 f | 625,000 | 678,125 | |||||||||||
LeasePlan Corporation N.V.: | |||||||||||||
3.000%, 10/23/2017 (Acquired 02/07/2013, Cost $4,052,772) * f | 4,000,000 | 4,012,800 | |||||||||||
2.500%, 05/16/2018 (Acquired 05/29/2013, Cost $985,604) * f | 1,000,000 | 963,711 | |||||||||||
Limited Brands, Inc., | |||||||||||||
5.250%, 11/01/2014 | 180,000 | 186,750 | |||||||||||
Martin Marietta Materials, Inc., | |||||||||||||
6.600%, 04/15/2018 | 75,000 | 84,552 | |||||||||||
Masco Corporation, | |||||||||||||
6.125%, 10/03/2016 | 2,000,000 | 2,160,000 | |||||||||||
Medco Health Solutions, Inc.: | |||||||||||||
2.750%, 09/15/2015 | 215,000 | 221,065 | |||||||||||
7.125%, 03/15/2018 | 1,850,000 | 2,228,682 | |||||||||||
Mylan Inc., | |||||||||||||
6.000%, 11/15/2018 (Acquired 01/15/2013 through 02/12/2013, Cost $4,353,848) * | 4,000,000 | 4,383,524 | |||||||||||
Nabors Industries, Inc., | |||||||||||||
6.150%, 02/15/2018 | 825,000 | 920,297 | |||||||||||
PCCW-HKT Capital No. 2 Limited, | |||||||||||||
6.000%, 07/15/2013 (Acquired 07/10/2003, Cost $696,731) * f | 700,000 | 701,065 | |||||||||||
Pearson Dollar Finance PLC, | |||||||||||||
5.700%, 06/01/2014 (Acquired 09/28/2005 through 12/14/2007, Cost $923,524) * f | 925,000 | 952,917 | |||||||||||
Petrohawk Energy Corporation, | |||||||||||||
7.250%, 08/15/2018 | 4,000,000 | 4,364,000 | |||||||||||
Plum Creek Timberlands, L.P., | |||||||||||||
5.875%, 11/15/2015 | 2,445,000 | 2,683,018 | |||||||||||
POSCO, | |||||||||||||
5.250%, 04/14/2021 (Acquired 04/08/2011 through 09/22/2011, Cost $2,978,026) * f | 3,000,000 | 3,132,453 | |||||||||||
Rio Tinto Alcan, Inc., | |||||||||||||
5.000%, 06/01/2015 f | 450,000 | 481,392 | |||||||||||
Rio Tinto Finance (USA) Limited: | |||||||||||||
9.000%, 05/01/2019 f | 2,800,000 | 3,637,458 | |||||||||||
3.500%, 11/02/2020 @ f | 500,000 | 497,479 | |||||||||||
RPM United Kingdom G.P., | |||||||||||||
6.700%, 11/01/2015 (Acquired 03/06/2013, Cost $3,692,099) * f | 3,300,000 | 3,652,348 | |||||||||||
Schneider Electric SA, | |||||||||||||
2.950%, 09/27/2022 (Acquired 09/20/2012, Cost $1,994,680) * f | 2,000,000 | 1,901,878 | |||||||||||
Southwestern Bell Telephone, L.P., | |||||||||||||
7.000%, 07/01/2015 | 125,000 | 138,741 | |||||||||||
Sprint Nextel Corporation, | |||||||||||||
6.000%, 12/01/2016 @ | 500,000 | 527,500 | |||||||||||
Sysco Corporation, | |||||||||||||
2.600%, 06/12/2022 | 150,000 | 141,387 | |||||||||||
TCI Communications, Inc., | |||||||||||||
8.750%, 08/01/2015 | 3,498,000 | 4,045,199 | |||||||||||
Teck Resources Limited, | |||||||||||||
3.150%, 01/15/2017 f | 1,000,000 | 1,019,714 | |||||||||||
Telecom Italia Capital, SA, | |||||||||||||
5.250%, 10/01/2015 @ f | 2,425,000 | 2,545,581 | |||||||||||
Telefonica Emisiones S.A.U.: | |||||||||||||
6.421%, 06/20/2016 f | 3,150,000 | 3,458,615 | |||||||||||
6.221%, 07/03/2017 f | 1,000,000 | 1,090,505 | |||||||||||
3.192%, 04/27/2018 f | 1,000,000 | 968,608 | |||||||||||
Teva Pharmaceutical Finance IV, LLC, | |||||||||||||
2.250%, 03/18/2020 | 1,250,000 | 1,195,729 | |||||||||||
Time Warner Cable, Inc., | |||||||||||||
5.850%, 05/01/2017 | 1,000,000 | 1,101,808 | |||||||||||
Time Warner, Inc.: | |||||||||||||
4.700%, 01/15/2021 @ | 1,325,000 | 1,417,859 | |||||||||||
4.750%, 03/29/2021 | 2,000,000 | 2,151,494 | |||||||||||
Toyota Motor Credit Corporation, | |||||||||||||
2.050%, 01/12/2017 | 2,375,000 | 2,402,289 | |||||||||||
TSMC Global Ltd, | |||||||||||||
1.625%, 04/03/2018 (Acquired 03/27/2013, Cost $3,297,789) * f | 3,300,000 | 3,172,445 | |||||||||||
Tyco Electronics Group S.A., | |||||||||||||
6.550%, 10/01/2017 f | 500,000 | 578,800 | |||||||||||
United AirLines, Inc. Pass Through Trust: | |||||||||||||
Series 91A2, 10.020%, 03/22/2014 | 119,786 | 60,492 | |||||||||||
Series 002C, 7.762%, 04/29/2049 § † ** | 48,704 | 1,461 | |||||||||||
Vale Overseas Limited: | |||||||||||||
6.250%, 01/23/2017 @ f | 1,500,000 | 1,675,963 | |||||||||||
4.375%, 01/11/2022 @ f | 2,425,000 | 2,303,350 | |||||||||||
Valero Energy Corporation, | |||||||||||||
4.750%, 04/01/2014 | 2,300,000 | 2,363,740 | |||||||||||
Verizon Communications, Inc., | |||||||||||||
5.500%, 04/01/2017 @ | 750,000 | 844,435 | |||||||||||
Viacom Inc., | |||||||||||||
6.250%, 04/30/2016 | 500,000 | 564,633 | |||||||||||
Vulcan Materials Co., | |||||||||||||
7.000%, 06/15/2018 | 2,000,000 | 2,170,000 | |||||||||||
Waste Management, Inc., | |||||||||||||
7.375%, 03/11/2019 | 4,000,000 | 4,824,452 | |||||||||||
Wesfarmers Limited, | |||||||||||||
1.874%, 03/20/2018 (Acquired 03/13/2013, Cost $3,900,000) * f | 3,900,000 | 3,830,190 | |||||||||||
Xerox Corporation, | |||||||||||||
8.250%, 05/15/2014 | 3,000,000 | 3,187,374 | |||||||||||
Xstrata Canada Corporation, | |||||||||||||
6.000%, 10/15/2015 f | 1,024,000 | 1,115,129 | |||||||||||
Xstrata Finance (Canada) Limited, | |||||||||||||
2.450%, 10/25/2017 (Acquired 10/18/2012, Cost $2,994,960) * @ f | 3,000,000 | 2,909,343 | |||||||||||
Yara International ASA, | |||||||||||||
5.250%, 12/15/2014 (Acquired 01/15/2013 through 05/03/2013, Cost $1,722,060) * f | 1,625,000 | 1,711,054 | |||||||||||
198,770,413 | 20.1 | % |
Utility | |||||||||||||
Ameren Corporation, | |||||||||||||
8.875%, 05/15/2014 | 4,500,000 | 4,796,527 | |||||||||||
Baltimore Gas & Electric Co. Senior Unsecured Notes, | |||||||||||||
6.125%, 07/01/2013 | 2,065,000 | 2,065,000 | |||||||||||
Centrais Eletricas Brasileiras SA, | |||||||||||||
5.750%, 10/27/2021 (Acquired 10/20/2011 through 10/25/2011, Cost $1,152,149) * f | 1,150,000 | 1,112,625 | |||||||||||
Commonwealth Edison Company, | |||||||||||||
Series 104, 5.950%, 08/15/2016 | 375,000 | 426,921 | |||||||||||
DCP Midstream, LLC: | |||||||||||||
9.700%, 12/01/2013 (Acquired 04/03/2012 through 08/06/2012, Cost $1,823,336) * | 1,765,000 | 1,827,287 | |||||||||||
9.750%, 03/15/2019 (Acquired 10/15/2012, Cost $2,057,155) * | 1,600,000 | 2,063,409 | |||||||||||
Dominion Resources, Inc., | |||||||||||||
Series 07-A, 6.000%, 11/30/2017 | 800,000 | 930,230 | |||||||||||
DTE Energy Company, | |||||||||||||
7.625%, 05/15/2014 | 1,411,000 | 1,494,675 | |||||||||||
El Paso Pipeline Partners Operating Co LLC, | |||||||||||||
4.100%, 11/15/2015 | 3,000,000 | 3,188,439 | |||||||||||
Energy Transfer Partners, L.P.: | |||||||||||||
8.500%, 04/15/2014 | 3,505,000 | 3,708,020 | |||||||||||
5.950%, 02/01/2015 | 1,336,000 | 1,431,337 | |||||||||||
9.700%, 03/15/2019 | 778,000 | 1,009,667 | |||||||||||
Enterprise Products Operating LLC, | |||||||||||||
Series O, 9.750%, 01/31/2014 | 3,824,000 | 4,017,326 | |||||||||||
Exelon Corporation, | |||||||||||||
4.900%, 06/15/2015 | 1,000,000 | 1,070,249 | |||||||||||
Kinder Morgan Finance, | |||||||||||||
5.700%, 01/05/2016 @ f | 2,500,000 | 2,677,740 | |||||||||||
Kiowa Power Partners LLC, | |||||||||||||
4.811%, 12/30/2013 (Acquired 11/19/2004, Cost $31,976) * | 31,976 | 32,161 | |||||||||||
Korea Electric Power Corporation, | |||||||||||||
6.750%, 08/01/2027 f | 300,000 | 373,026 | |||||||||||
Maritimes & Northeast Pipeline, LLC, | |||||||||||||
7.500%, 05/31/2014 (Acquired 06/19/2013, Cost $2,908,597) * | 2,773,320 | 2,905,153 | |||||||||||
National Grid PLC, | |||||||||||||
6.300%, 08/01/2016 f | 3,925,000 | 4,439,564 | |||||||||||
National Rural Utilities Corporation, | |||||||||||||
10.375%, 11/01/2018 | 2,700,000 | 3,740,772 | |||||||||||
Nisource Finance Corp., | |||||||||||||
4.450%, 12/01/2021 | 2,000,000 | 2,065,222 | |||||||||||
PPL Capital Funding, Inc., | |||||||||||||
3.400%, 06/01/2023 | 2,475,000 | 2,344,996 | |||||||||||
PPL Energy Supply, LLC, | |||||||||||||
Series A, 5.700%, 10/15/2015 | 1,950,000 | 2,094,581 | |||||||||||
PSEG Power LLC: | |||||||||||||
5.320%, 09/15/2016 @ | 994,000 | 1,102,486 | |||||||||||
5.125%, 04/15/2020 | 220,000 | 241,852 | |||||||||||
Public Service Company of New Mexico, | |||||||||||||
7.950%, 05/15/2018 | 2,575,000 | 3,094,663 | |||||||||||
RGS (I&M) Funding Corporation Debentures, | |||||||||||||
Series F, 9.820%, 12/07/2022 | 547,819 | 690,052 | |||||||||||
Rockies Express Pipeline LLC: | |||||||||||||
3.900%, 04/15/2015 (Acquired 02/17/2011, Cost $3,000,210) * @ | 3,000,000 | 2,970,000 | |||||||||||
5.625%, 04/15/2020 (Acquired 03/17/2010, Cost $999,110) * @ | 1,000,000 | 865,000 | |||||||||||
Sempra Energy, | |||||||||||||
2.000%, 03/15/2014 | 2,000,000 | 2,017,034 | |||||||||||
Spectra Energy Capital LLC, | |||||||||||||
5.668%, 08/15/2014 | 2,700,000 | 2,835,165 | |||||||||||
Sunoco, Inc., | |||||||||||||
5.750%, 01/15/2017 | 1,175,000 | 1,271,776 | |||||||||||
Trans-Allegheny Interstate Line Company, | |||||||||||||
4.000%, 01/15/2015 (Acquired 01/19/2010 through 02/22/2013, Cost $3,713,207) * | 3,673,000 | 3,814,954 | |||||||||||
TransCanada PipeLines Ltd., | |||||||||||||
9.875%, 01/01/2021 f | 150,000 | 208,729 | |||||||||||
Vectren Utility Holdings, Inc., | |||||||||||||
5.250%, 08/01/2013 | 575,000 | 576,937 | |||||||||||
West Penn Power Company, | |||||||||||||
5.875%, 08/15/2016 (Acquired 10/25/2010, Cost $2,163,709) * | 2,000,000 | 2,193,908 | |||||||||||
Williams Partners L.P.: | |||||||||||||
5.250%, 03/15/2020 | 1,000,000 | 1,074,703 | |||||||||||
4.125%, 11/15/2020 | 350,000 | 352,793 | |||||||||||
73,124,979 | 7.4 | % |
Finance | |||||||||||||
ABN AMRO Bank N.V., | |||||||||||||
1.375%, 01/22/2016 (Acquired 01/17/2013, Cost $4,498,965) * @ f | 4,500,000 | 4,461,750 | |||||||||||
AEGON N.V., | |||||||||||||
4.625%, 12/01/2015 f | 795,000 | 856,707 | |||||||||||
Ally Financial Inc., | |||||||||||||
6.750%, 12/01/2014 | 200,000 | 210,500 | |||||||||||
American International Group, Inc.: | |||||||||||||
8.250%, 08/15/2018 | 1,000,000 | 1,240,143 | |||||||||||
4.875%, 06/01/2022 @ | 3,000,000 | 3,197,772 | |||||||||||
AmSouth Bancorp, | |||||||||||||
6.750%, 11/01/2025 | 630,000 | 669,741 | |||||||||||
ANZ National (Int' l) LTD, | |||||||||||||
3.125%, 08/10/2015 (Acquired 02/28/2012, Cost $2,266,610) * @ f | 2,239,000 | 2,328,114 | |||||||||||
Associates Corporation of North America, | |||||||||||||
6.950%, 11/01/2018 | 1,200,000 | 1,421,161 | |||||||||||
Australia and New Zealand Banking Group Limited, | |||||||||||||
3.250%, 03/01/2016 (Acquired 02/22/2011, Cost $1,693,081) * f | 1,700,000 | 1,783,470 | |||||||||||
Bank of America Corporation, | |||||||||||||
3.300%, 01/11/2023 @ | 3,350,000 | 3,166,243 | |||||||||||
Bank of America Corporation Subordinated Notes, | |||||||||||||
10.200%, 07/15/2015 | 1,035,000 | 1,198,930 | |||||||||||
Banponce Trust I, | |||||||||||||
Series A, 8.327%, 02/01/2027 | 2,500,000 | 2,168,750 | |||||||||||
Barclays Bank PLC: | |||||||||||||
Series 1, 5.000%, 09/22/2016 f | 2,565,000 | 2,833,763 | |||||||||||
6.750%, 05/22/2019 f | 2,000,000 | 2,382,494 | |||||||||||
BB&T Corporation, | |||||||||||||
6.850%, 04/30/2019 @ | 2,322,000 | 2,820,942 | |||||||||||
Berkshire Hathaway Finance Corporation, | |||||||||||||
1.600%, 05/15/2017 | 3,800,000 | 3,784,025 | |||||||||||
BNP Paribas SA, | |||||||||||||
3.250%, 03/11/2015 f | 425,000 | 438,779 | |||||||||||
Capital One Financial Corporation: | |||||||||||||
7.375%, 05/23/2014 | 1,000,000 | 1,056,855 | |||||||||||
3.150%, 07/15/2016 | 2,596,000 | 2,696,317 | |||||||||||
Capital One, National Association, | |||||||||||||
0.723%, 03/22/2016 | 2,000,000 | 1,986,624 | |||||||||||
CDP Financial Inc., | |||||||||||||
4.400%, 11/25/2019 (Acquired 11/20/2009, Cost $997,520) * f | 1,000,000 | 1,100,273 | |||||||||||
Citigroup, Inc.: | |||||||||||||
6.010%, 01/15/2015 | 2,225,000 | 2,376,133 | |||||||||||
4.450%, 01/10/2017 | 1,800,000 | 1,927,422 | |||||||||||
6.125%, 11/21/2017 | 200,000 | 227,310 | |||||||||||
CNA Financial Corporation: | |||||||||||||
6.500%, 08/15/2016 | 2,000,000 | 2,265,748 | |||||||||||
5.750%, 08/15/2021 | 435,000 | 489,600 | |||||||||||
Comerica Bank, | |||||||||||||
5.200%, 08/22/2017 | 1,220,000 | 1,359,682 | |||||||||||
Commonwealth Bank of Australia, | |||||||||||||
5.000%, 10/15/2019 (Acquired 03/02/2012, Cost $4,284,982) * f | 4,000,000 | 4,476,084 | |||||||||||
Countrywide Financial Corporation, | |||||||||||||
6.250%, 05/15/2016 | 2,075,000 | 2,262,752 | |||||||||||
Credit Suisse New York, | |||||||||||||
5.300%, 08/13/2019 f | 3,220,000 | 3,622,455 | |||||||||||
Deutsche Bank Aktiengesellschaft, | |||||||||||||
3.250%, 01/11/2016 f | 4,250,000 | 4,450,188 | |||||||||||
Dresdner Bank AG, | |||||||||||||
7.250%, 09/15/2015 f | 2,652,000 | 2,777,837 | |||||||||||
Fifth Third Bank, | |||||||||||||
4.750%, 02/01/2015 | 2,430,000 | 2,561,181 | |||||||||||
First National Bank of Chicago Pass Through Trust, | |||||||||||||
Series 93-A, 8.080%, 01/05/2018 | 393,946 | 435,258 | |||||||||||
First Tennessee Bank, National Association, | |||||||||||||
5.650%, 04/01/2016 | 4,263,000 | 4,623,441 | |||||||||||
General Electric Capital Corporation: | |||||||||||||
6.000%, 08/07/2019 | 1,600,000 | 1,857,494 | |||||||||||
5.500%, 01/08/2020 | 2,300,000 | 2,593,218 | |||||||||||
5.550%, 05/04/2020 | 2,850,000 | 3,219,300 | |||||||||||
Genworth Financial, Inc.: | |||||||||||||
5.750%, 06/15/2014 @ | 1,150,000 | 1,196,411 | |||||||||||
4.950%, 10/01/2015 | 400,000 | 424,924 | |||||||||||
GMAC Inc.: | |||||||||||||
7.500%, 12/31/2013 | 80,000 | 82,000 | |||||||||||
8.000%, 12/31/2018 | 96,000 | 108,720 | |||||||||||
Great West Life & Annuity Insurance, | |||||||||||||
7.153%, 05/16/2046 (Acquired 05/16/2006 through 11/08/2007, Cost $1,792,736) * | 1,800,000 | 1,845,000 | |||||||||||
Highmark Inc., | |||||||||||||
6.800%, 08/15/2013 (Acquired 08/14/2003 through 05/23/2012, Cost $795,860) * | 795,000 | 799,015 | |||||||||||
HSBC Finance Corporation, | |||||||||||||
6.676%, 01/15/2021 | 2,059,000 | 2,276,325 | |||||||||||
HSBC USA Inc., | |||||||||||||
2.375%, 02/13/2015 | 1,000,000 | 1,021,881 | |||||||||||
Humana Inc., | |||||||||||||
7.200%, 06/15/2018 | 2,000,000 | 2,382,406 | |||||||||||
Hutchison Whampoa International Ltd., | |||||||||||||
7.625%, 04/09/2019 (Acquired 10/16/2009 through 09/19/2011, Cost $3,095,877) * f | 2,800,000 | 3,404,290 | |||||||||||
ING Bank N.V.: | |||||||||||||
3.000%, 09/01/2015 (Acquired 08/17/2010 through 09/14/2012, Cost $2,326,549) * f | 2,300,000 | 2,365,090 | |||||||||||
5.000%, 06/09/2021 (Acquired 6/12/2013, Cost $2,192,852) * f | 2,000,000 | 2,148,440 | |||||||||||
ING U.S., Inc., | |||||||||||||
2.900%, 02/15/2018 (Acquired 02/06/2013, Cost $1,996,480) * | 2,000,000 | 2,010,064 | |||||||||||
Invesco Finance PLC, | |||||||||||||
3.125%, 11/30/2022 f | 4,225,000 | 3,941,118 | |||||||||||
Istar Financial, Inc., | |||||||||||||
5.850%, 03/15/2017 | 75,000 | 76,500 | |||||||||||
J.P. Morgan Chase & Co., | |||||||||||||
4.500%, 01/24/2022 | 3,000,000 | 3,141,366 | |||||||||||
Jefferies Group, Inc., | |||||||||||||
6.875%, 04/15/2021 | 2,000,000 | 2,199,584 | |||||||||||
John Hancock Life Insurance Company, | |||||||||||||
7.375%, 02/15/2024 (Acquired 04/10/2013 through 04/11/2013, Cost $3,011,941) * | 2,325,000 | 2,822,996 | |||||||||||
Kemper Corporation, | |||||||||||||
6.000%, 05/15/2017 | 450,000 | 488,592 | |||||||||||
Key Bank NA: | |||||||||||||
7.413%, 05/06/2015 | 2,000,000 | 2,207,972 | |||||||||||
7.413%, 05/06/2015 | 2,000,000 | 2,207,972 | |||||||||||
Kookmin Bank, | |||||||||||||
7.250%, 05/14/2014 (Acquired 06/12/2009, Cost $2,608,878) * f | 2,600,000 | 2,728,879 | |||||||||||
Korea Housing Finance Corporation, | |||||||||||||
1.625%, 09/15/2018 (Acquired 02/26/2013 through 04/18/2013, Cost $842,120) * f | 850,000 | 781,976 | |||||||||||
Liberty Mutual Group Inc.: | |||||||||||||
5.750%, 03/15/2014 (Acquired 09/03/2009 through 10/15/2010, Cost $994,697) * | 1,000,000 | 1,027,842 | |||||||||||
4.250%, 06/15/2023 (Acquired 06/13/2013, Cost $1,987,300) * | 2,000,000 | 1,932,454 | |||||||||||
Lloyds TSB Bank PLC: | |||||||||||||
4.875%, 01/21/2016 f | 225,000 | 242,492 | |||||||||||
5.800%, 01/13/2020 (Acquired 02/09/2010 through 03/16/2012, Cost $2,905,226) * f | 2,900,000 | 3,263,118 | |||||||||||
M&I Marshall & Ilsley Bank: | |||||||||||||
4.850%, 06/16/2015 | 3,075,000 | 3,251,579 | |||||||||||
5.000%, 01/17/2017 | 1,000,000 | 1,068,653 | |||||||||||
Manulife Financial Corp., | |||||||||||||
4.900%, 09/17/2020 f | 1,775,000 | 1,913,413 | |||||||||||
Marsh & McLennan Companies, Inc., | |||||||||||||
5.750%, 09/15/2015 | 1,197,000 | 1,314,269 | |||||||||||
MassMutual Global Funding II, | |||||||||||||
2.000%, 04/05/2017 (Acquired 03/29/2012, Cost $3,783,470) * | 3,800,000 | 3,807,809 | |||||||||||
MBIA Insurance Corp., | |||||||||||||
14.000%, 01/15/2033 (Acquired 01/11/2008, Cost $500,000) * @ | 500,000 | 427,500 | |||||||||||
Merey Sweeny, L.P., | |||||||||||||
8.850%, 12/18/2019 (Acquired 06/11/2013, Cost $2,036,060) * | 1,725,445 | 1,963,015 | |||||||||||
Merrill Lynch & Company: | |||||||||||||
5.700%, 05/02/2017 | 1,000,000 | 1,076,960 | |||||||||||
6.875%, 04/25/2018 | 1,000,000 | 1,150,923 | |||||||||||
Metropolitan Life Global Funding I, | |||||||||||||
3.000%, 01/10/2023 (Acquired 01/03/2013, Cost $1,299,337) * | 1,300,000 | 1,220,725 | |||||||||||
Morgan Stanley: | |||||||||||||
4.750%, 04/01/2014 | 150,000 | 153,259 | |||||||||||
3.800%, 04/29/2016 | 125,000 | 130,008 | |||||||||||
6.625%, 04/01/2018 | 1,600,000 | 1,813,528 | |||||||||||
National Australia Bank Limited: | |||||||||||||
0.805%, 10/08/2015 (Acquired 02/19/2013, Cost $3,101,675) * f | 3,100,000 | 3,098,639 | |||||||||||
3.000%, 07/27/2016 (Acquired 07/20/2011, Cost $1,720,239) * f | 1,725,000 | 1,797,105 | |||||||||||
Nomura Holdings Inc.: | |||||||||||||
5.000%, 03/04/2015 f | 2,500,000 | 2,639,753 | |||||||||||
2.000%, 09/13/2016 f | 2,450,000 | 2,422,660 | |||||||||||
NYSE Euronext, | |||||||||||||
2.000%, 10/05/2017 | 175,000 | 174,058 | |||||||||||
PNC Bank, National Association, | |||||||||||||
2.950%, 01/30/2023 | 4,000,000 | 3,690,160 | |||||||||||
Prudential Covered Trust 2012-1, | |||||||||||||
2.997%, 09/30/2015 (Acquired 11/06/2012, Cost $1,857,722) * | 1,800,000 | 1,857,456 | |||||||||||
Prudential Financial, Inc.: | |||||||||||||
3.875%, 01/14/2015 | 200,000 | 208,362 | |||||||||||
7.375%, 06/15/2019 | 850,000 | 1,038,663 | |||||||||||
Prudential Holdings LLC, | |||||||||||||
8.695%, 12/18/2023 (Acquired 03/26/2013, Cost $1,655,161) * | 1,300,000 | 1,633,874 | |||||||||||
Regions Bank, | |||||||||||||
7.500%, 05/15/2018 | 1,825,000 | 2,128,693 | |||||||||||
Regions Financial Corporation, | |||||||||||||
5.750%, 06/15/2015 | 1,500,000 | 1,618,125 | |||||||||||
Royal Bank of Canada, | |||||||||||||
1.200%, 09/19/2018 f | 2,800,000 | 2,731,848 | |||||||||||
Simon Property Group, L.P., | |||||||||||||
5.750%, 12/01/2015 | 400,000 | 440,737 | |||||||||||
SLM Corporation: | |||||||||||||
5.000%, 10/01/2013 | 4,000,000 | 4,020,000 | |||||||||||
5.375%, 05/15/2014 | 450,000 | 459,000 | |||||||||||
Societe Generale SA: | |||||||||||||
2.750%, 10/12/2017 @ f | 2,750,000 | 2,756,985 | |||||||||||
5.200%, 04/15/2021 (Acquired 01/28/2013, Cost $1,400,015) * @ f | 1,250,000 | 1,319,713 | |||||||||||
Sovereign Bank, | |||||||||||||
8.750%, 05/30/2018 | 3,080,000 | 3,724,034 | |||||||||||
St. Paul Travelers, Inc., | |||||||||||||
6.250%, 06/20/2016 | 2,000,000 | 2,286,018 | |||||||||||
SunTrust Bank: | |||||||||||||
3.600%, 04/15/2016 | 2,450,000 | 2,593,541 | |||||||||||
5.450%, 12/01/2017 | 500,000 | 556,574 | |||||||||||
7.250%, 03/15/2018 | 1,406,000 | 1,686,341 | |||||||||||
SUSA Partnership, L.P., | |||||||||||||
8.200%, 06/01/2017 | 2,800,000 | 3,298,005 | |||||||||||
Svenska Handelsbanken AB: | |||||||||||||
3.125%, 07/12/2016 f | 275,000 | 288,805 | |||||||||||
2.875%, 04/04/2017 @ f | 1,500,000 | 1,548,480 | |||||||||||
Swedbank AB, | |||||||||||||
1.750%, 03/12/2018 (Acquired 03/05/2013, Cost $3,236,382) * @ f | 3,250,000 | 3,157,700 | |||||||||||
Symetra Financial Corporation, | |||||||||||||
6.125%, 04/01/2016 (Acquired 08/12/2011, Cost $1,047,362) * | 1,000,000 | 1,090,122 | |||||||||||
Talent Yield Investments Ltd, | |||||||||||||
4.500%, 04/25/2022 (Acquired 04/18/2012, Cost $3,774,008) * @ f | 3,800,000 | 3,697,810 | |||||||||||
The Bank of Nova Scotia: | |||||||||||||
0.673%, 03/15/2016 f | 4,000,000 | 3,997,908 | |||||||||||
2.550%, 01/12/2017 f | 150,000 | 154,382 | |||||||||||
The Bear Stearns Companies LLC: | |||||||||||||
6.400%, 10/02/2017 | 1,450,000 | 1,672,495 | |||||||||||
7.250%, 02/01/2018 | 2,025,000 | 2,411,251 | |||||||||||
The Charles Schwab Corporation, | |||||||||||||
6.375%, 09/01/2017 | 325,000 | 380,175 | |||||||||||
The Goldman Sachs Group, Inc., | |||||||||||||
6.150%, 04/01/2018 | 3,900,000 | 4,394,676 | |||||||||||
The Hartford Financial Services Group, Inc., | |||||||||||||
4.000%, 03/30/2015 | 1,000,000 | 1,045,586 | |||||||||||
The Navigators Group Inc., | |||||||||||||
7.000%, 05/01/2016 | 2,320,000 | 2,512,293 | |||||||||||
The Royal Bank of Scotland Group PLC: | |||||||||||||
2.550%, 09/18/2015 f | 200,000 | 203,352 | |||||||||||
5.625%, 08/24/2020 f | 3,300,000 | 3,579,275 | |||||||||||
6.125%, 01/11/2021 f | 1,150,000 | 1,276,775 | |||||||||||
UBS AG, | |||||||||||||
5.875%, 12/20/2017 f | 2,000,000 | 2,300,504 | |||||||||||
Union Bank, National Association, | |||||||||||||
2.125%, 06/16/2017 | 1,800,000 | 1,798,115 | |||||||||||
UnionBanCal Corp.: | |||||||||||||
5.250%, 12/16/2013 | 750,000 | 765,285 | |||||||||||
3.500%, 06/18/2022 | 75,000 | 73,426 | |||||||||||
Wachovia Bank, NA, | |||||||||||||
6.000%, 11/15/2017 | 639,000 | 729,172 | |||||||||||
WEA Finance LLC, | |||||||||||||
7.500%, 06/02/2014 (Acquired 04/05/2012, Cost $522,447) * | 500,000 | 531,229 | |||||||||||
Wells Fargo Bank NA, | |||||||||||||
Series AI, 4.750%, 02/09/2015 | 1,015,000 | 1,071,221 | |||||||||||
Westpac Banking Corporation: | |||||||||||||
3.000%, 08/04/2015 f | 3,000,000 | 3,127,218 | |||||||||||
1.600%, 01/12/2018 @ f | 1,250,000 | 1,227,263 | |||||||||||
Willis Group Holdings Limited, | |||||||||||||
5.750%, 03/15/2021 f | 3,250,000 | 3,518,648 | |||||||||||
244,481,034 | 24.7 | % | |||||||||||
Residential Mortgage-Backed Securities | |||||||||||||
U.S. Government Agency Issues | |||||||||||||
Federal Gold Loan Mortgage Corporation (FGLMC): | |||||||||||||
6.000%, 06/01/2021 | 219,080 | 239,662 | |||||||||||
6.000%, 07/01/2028 | 14,496 | 16,084 | |||||||||||
Federal Home Loan Mortgage Corporation (FHLMC): | |||||||||||||
Series 74, Class F, 6.000%, 10/15/2020 | 2,118 | 2,296 | |||||||||||
Series 1395, Class G, 6.000%, 10/15/2022 | 16,307 | 17,719 | |||||||||||
Federal National Mortgage Association (FNMA): | |||||||||||||
Series 1989-2, Class D, 8.800%, 01/25/2019 | 9,044 | 10,115 | |||||||||||
Series 1990-108, Class G, 7.000%, 09/25/2020 | 8,304 | 9,250 | |||||||||||
Series G-29, Class O, 8.500%, 09/25/2021 | 872 | 997 | |||||||||||
Series 1991-137, Class H, 7.000%, 10/25/2021 | 55,262 | 62,149 | |||||||||||
Series 1993-32, Class H, 6.000%, 03/25/2023 | 29,718 | 32,272 | |||||||||||
Series 2004-W6, Class 1A6, 5.500%, 07/25/2034 | 976,417 | 998,007 | |||||||||||
Government National Mortgage Association (GNMA), | |||||||||||||
Series 1999-4, Class ZB, 6.000%, 02/20/2029 | 161,077 | 181,788 | |||||||||||
1,570,339 | 0.2 | % |
Non-U.S. Government Agency Issues | |||||||||||||
Bank of America Alternative Loan Trust: | |||||||||||||
Series 2003-11, Class 4A1, 4.750%, 01/25/2019 | 164,952 | 167,878 | |||||||||||
Series 2004-2, Class 5A1, 5.500%, 03/25/2019 | 524,216 | 538,377 | |||||||||||
Series 2004-11, Class 4A1, 5.500%, 12/25/2019 | 643,991 | 667,931 | |||||||||||
Series 2005-6, Class 7A1, 5.500%, 07/25/2020 | 29,827 | 31,008 | |||||||||||
Series 2006-2, Class 7A1, 6.000%, 03/25/2021 | 389,921 | 404,480 | |||||||||||
Series 2006-3, Class 6A1, 6.000%, 04/25/2036 | 484,212 | 500,744 | |||||||||||
Series 2006-4, Class 3CB4, 6.000%, 05/25/2046 § | 654,130 | 569,589 | |||||||||||
Countrywide Alternative Loan Trust: | |||||||||||||
Series 2005-5R, Class A2, 4.750%, 12/25/2018 | 49,677 | 50,175 | |||||||||||
Series 2005-50CB, Class 4A1, 5.000%, 11/25/2020 § | 529,906 | 523,565 | |||||||||||
Series 2005-85CB, Class 3A1, 5.250%, 02/25/2021 (Acquired 09/26/2007 through 01/28/2009, Cost $428,642) * | 437,362 | 432,086 | |||||||||||
Series 2006-7CB, Class 3A1, 5.250%, 05/25/2021 § | 751,091 | 731,239 | |||||||||||
Series 2005-10CB, Class 1A6, 5.500%, 05/25/2035 | 27,924 | 27,605 | |||||||||||
Series 2005-11CB, Class 2A1, 5.500%, 06/25/2035 | 96,902 | 86,230 | |||||||||||
Credit Suisse First Boston Mortgage Securities Corporation, | |||||||||||||
Series 2005-3, Class 3A27, 5.500%, 07/25/2035 | 51,857 | 52,641 | |||||||||||
J.P. Morgan Alternative Loan Trust: | |||||||||||||
Series 2005-S1, Class 3A1, 5.500%, 10/25/2020 § | 1,262,914 | 1,277,507 | |||||||||||
Series 2006-A1, Class 2A1, 2.705%, 03/25/2036 § | 788,814 | 600,032 | |||||||||||
Lehman Mortgage Trust, | |||||||||||||
Series 2006-4, Class 3A1, 5.000%, 08/25/2021 | 212,784 | 212,268 | |||||||||||
Master Alternative Loans Trust: | |||||||||||||
Series 2004-1, Class 1A1, 5.000%, 01/25/2019 | 667,432 | 683,125 | |||||||||||
Series 2004-3, Class 1A1, 5.000%, 03/25/2019 | 159,078 | 164,512 | |||||||||||
Series 2005-3, Class 4A1, 5.500%, 03/25/2020 | 147,843 | 154,891 | |||||||||||
Merrill Lynch Mortgage Investors Trust, | |||||||||||||
Series 2005-A8, Class A1C1, 5.250%, 08/25/2036 | 9,754 | 9,698 | |||||||||||
Residential Accredit Loans, Inc., | |||||||||||||
Series 2004-QS6, Class A1, 5.000%, 05/25/2019 | 62,621 | 63,419 | |||||||||||
Salomon Brothers Mortgage Securities VII, | |||||||||||||
Series 2003-UP2, Class A2, 4.000%, 06/25/2033 | 139,852 | 152,168 | |||||||||||
Washington Mutual Mortgage Pass Through Certificates: | |||||||||||||
Series 2004-CB1, Class 5A, 5.000%, 06/25/2019 | 851,889 | 879,812 | |||||||||||
Series 2004-CB3, Class 3A, 5.500%, 10/25/2019 | 1,370,286 | 1,443,761 | |||||||||||
Series 2004-CB3, Class 4A, 6.000%, 10/25/2019 | 451,791 | 475,732 | |||||||||||
Series 2004-CB4, Class 21A, 5.500%, 12/25/2019 | 456,184 | 468,060 | |||||||||||
Series 2004-CB4, Class 22A, 6.000%, 12/25/2019 | 330,172 | 342,414 | |||||||||||
11,710,947 | 1.2 | % |
Asset Backed Securities | |||||||||||||
Amresco Residential Securities Mortgage Loan Trust, | |||||||||||||
Series 1998-1, Class A6, 6.510%, 08/25/2027 | 30,333 | 30,510 | |||||||||||
Citigroup Mortgage Loan Trust, Inc., | |||||||||||||
Series 2006-WFH3, Class A3, 0.343%, 10/25/2036 | 3,085,824 | 3,052,284 | |||||||||||
Cityscape Home Equity Loan Trust, | |||||||||||||
Series 1997-C, Class A4, 7.000%, 07/25/2028 † ** | 3,923 | – | |||||||||||
Countrywide Asset-Backed Certificates: | |||||||||||||
Series 2006-S3, Class A2, 6.085%, 06/25/2021 § | 764,016 | 671,464 | |||||||||||
Series 2004-12, Class AF6, 4.634%, 03/25/2035 | 51,312 | 52,773 | |||||||||||
Series 2005-1, Class AF6, 5.030%, 07/25/2035 | 2,466,763 | 2,535,199 | |||||||||||
Series 2006-13, Class 1AF3, 5.253%, 01/25/2037 § | 293,811 | 290,132 | |||||||||||
Series 2006-9, Class 1AF3, 5.859%, 10/25/2046 | 1,368,483 | 932,109 | |||||||||||
Delta Funding Home Equity Loan Trust: | |||||||||||||
Series 1997-2, Class A6, 7.040%, 06/25/2027 | 7,874 | 8,343 | |||||||||||
Series 1999-1, Class A6F, 6.340%, 12/15/2028 | 962 | 962 | |||||||||||
Series 1999-2, Class A7F, 7.030%, 08/15/2030 | 538,268 | 551,512 | |||||||||||
Equivantage Home Equity Loan Trust, | |||||||||||||
Series 1996-3, Class A3, 7.700%, 09/25/2027 | 1,287 | 1,297 | |||||||||||
Green Tree Financial Corporation: | |||||||||||||
Series 1993-4, Class A5, 7.050%, 01/15/2019 | 18,110 | 18,921 | |||||||||||
Series 1998-2, Class A5, 6.240%, 12/01/2028 | 446,046 | 459,985 | |||||||||||
Series 1998-3, Class A5, 6.220%, 03/01/2030 | 648,602 | 704,430 | |||||||||||
Series 1998-4, Class A5, 6.180%, 04/01/2030 | 253,848 | 261,454 | |||||||||||
IMC Home Equity Loan Trust, | |||||||||||||
Series 1998-1, Class A6, 7.020%, 06/20/2029 | 9,031 | 9,046 | |||||||||||
Master Credit Card Trust, | |||||||||||||
Series 2012-2A, Class A, 0.780%, 04/21/2017 (Acquired 10/24/2012, Cost $5,998,817) * f | 6,000,000 | 5,955,378 | |||||||||||
Oakwood Mortgage Investors, Inc., | |||||||||||||
Series 1999-B, Class A3, 6.450%, 11/15/2017 | 111,462 | 116,560 | |||||||||||
RAAC Series, | |||||||||||||
Series 2004-SP1, Class AI4, 5.285%, 08/25/2027 | 67,151 | 67,380 | |||||||||||
Residential Asset Mortgage Products, Inc.: | |||||||||||||
Series 2003-RS7, Class AI6, 5.340%, 08/25/2033 | 19,782 | 19,358 | |||||||||||
Series 2005-RS1, Class AI6, 4.713%, 01/25/2035 | 249,979 | 244,840 | |||||||||||
Saxon Asset Securities Trust, | |||||||||||||
Series 2005-4, Class A1B, 0.573%, 11/25/2037 | 2,970,909 | 2,674,014 | |||||||||||
Specialty Underwriting & Residential Finance Trust, | |||||||||||||
Series 2004-BC4, Class A1A, 0.863%, 10/25/2035 | 4,959,898 | 4,819,940 | |||||||||||
Springleaf Mortgage Loan Trust, | |||||||||||||
Series 2012-1A, Class A, 2.667%, 09/25/2057 (Acquired 04/11/2012, Cost $3,476,100) * | 3,476,140 | 3,544,425 | |||||||||||
27,022,316 | 2.7 | % | |||||||||||
Commercial Mortgage Backed Securities | |||||||||||||
Bear Stearns Commercial Mortgage Securities, | |||||||||||||
Series 2005-PWR9, Class A4A, 4.871%, 09/11/2042 | 6,790,000 | 7,236,979 | |||||||||||
Citigroup Deutsche Bank, | |||||||||||||
Series 2005-CD1, Class A4, 5.392%, 07/15/2044 | 5,600,000 | 6,015,497 | |||||||||||
Credit Suisse First Boston Mortgage Securities Corporation, | |||||||||||||
Series 2005-C5, Class A4, 5.100%, 08/15/2038 | 4,000,000 | 4,265,648 | |||||||||||
Federal National Mortgage Association (FNMA): | |||||||||||||
Series 2013-M1, Class ASQ2, 1.074%, 11/25/2016 | 3,375,000 | 3,371,240 | |||||||||||
Series 2012-M9, Class ASQ2, 1.513%, 12/25/2017 | 700,000 | 692,917 | |||||||||||
FHLMC Multifamily Structured Pass Through Certificates: | |||||||||||||
Series K-501, Class A2, 1.655%, 11/25/2016 | 300,000 | 304,337 | |||||||||||
Series K-702, Class A2, 3.154%, 02/25/2018 | 275,000 | 289,237 | |||||||||||
Series K-704, Class A2, 2.412%, 08/25/2018 | 300,000 | 305,154 | |||||||||||
Series K705, Class A2, 2.303%, 09/25/2018 | 3,000,000 | 3,034,467 | |||||||||||
Series K706, Class A2, 2.323%, 10/25/2018 | 3,375,000 | 3,416,594 | |||||||||||
Series K708, Class A2, 2.130%, 01/25/2019 | 8,300,000 | 8,293,194 | |||||||||||
Series K-004, Class A2, 4.186%, 08/25/2019 | 5,875,000 | 6,440,815 | |||||||||||
Series K-005, Class A2, 4.317%, 11/25/2019 | 4,975,000 | 5,448,356 | |||||||||||
Series K-006, Class A2, 4.251%, 01/25/2020 | 1,863,000 | 2,044,005 | |||||||||||
J.P. Morgan Chase Commercial Mortgage Securities Corp., | |||||||||||||
Series 2003-CB7, Class A4, 4.879%, 01/12/2038 | 1,532,862 | 1,548,077 | |||||||||||
J.P. Morgan Chase Commercial Mortgage Trust, | |||||||||||||
Series 2005-CB12, Class A4, 4.895%, 09/12/2037 | 5,000,000 | 5,327,550 | |||||||||||
Wachovia Bank Commercial Mortgage Trust, | |||||||||||||
Series 2005-C22, Class A4, 5.465%, 12/15/2044 | 5,000,000 | 5,411,021 | |||||||||||
63,445,088 | 6.4 | % | |||||||||||
Total Long-Term Investments (Cost $940,913,153) | 951,064,749 | 96.0 | % | ||||||||||
Shares | |||||||||||||
SHORT-TERM INVESTMENTS | |||||||||||||
Money Market Mutual Funds | |||||||||||||
Short-Term Investments Trust - Liquid Assets Portfolio, 0.09% « | 14,079,317 | 14,079,317 | |||||||||||
Total Short-Term Investments (Cost $14,079,317) | 14,079,317 | 1.4 | % | ||||||||||
Principal Amount | |||||||||||||
INVESTMENTS PURCHASED WITH CASH PROCEEDS FROM | |||||||||||||
SECURITIES LENDING | |||||||||||||
Commercial Paper | |||||||||||||
Atlantic East Funding LLC, 0.545%, 03/25/2014 † ** | $ | 1,730,476 | 1,381,406 | ||||||||||
Total Commercial Paper (Cost $1,730,476) | 1,381,406 | 0.2 | % | ||||||||||
Shares | |||||||||||||
Investment Companies | |||||||||||||
Mount Vernon Securities Lending Trust Prime Portfolio, 0.21% « | 144,552,431 | 144,552,431 | |||||||||||
Total Investment Companies (Cost $144,552,431) | 144,552,431 | 14.6 | % | ||||||||||
Total Investments Purchased With Cash Proceeds From | |||||||||||||
Securities Lending (Cost $146,282,907) | 145,933,837 | 14.8 | % | ||||||||||
Total Investments (Cost $1,101,275,377) | 1,111,077,903 | 112.2 | % | ||||||||||
Asset Relating to Securities Lending Investments | |||||||||||||
Support Agreement ** ^ α † | 349,070 | ||||||||||||
Total (Cost $0) | 349,070 | 0.0 | % | ||||||||||
Liabilities in Excess of Other Assets | (120,843,542 | ) | (12.2 | )% | |||||||||
TOTAL NET ASSETS | $ | 990,583,431 | 100.0 | % |
Notes to Schedule of Investments | ||
* | Restricted Security Deemed Liquid | |
** | Illiquid Security | |
@ | This security or portion of this security is out on loan at June 30, 2013. | |
f | Foreign Security | |
^ | Non-Income Producing | |
« | 7-Day Yield | |
§ | Security in Default | |
† | Priced at Fair Value by the Valuation Committee as delegated by the Baird Funds' Board of Directors. | |
α | The Fund's transfer agent and administrator and securities lending agent entered into a support agreement with | |
the Fund to cover losses realized by the Fund on its investment in Atlantic East Funding, LLC (up to a certain amount), | ||
which investment was made by the Fund's securities lending agent. |
Baird Intermediate Municipal Bond Fund | |||||||||||||
Schedule of Investments | |||||||||||||
June 30, 2013 (Unaudited) | |||||||||||||
Principal | Market | % of | |||||||||||
Amount | Value | Net Assets | |||||||||||
Municipal Bonds | |||||||||||||
Alabama | |||||||||||||
Alabama State Public School & College Authority, | |||||||||||||
5.000%, 05/01/2019 | $ | 1,000,000 | $ | 1,160,650 | |||||||||
Gulf Shores Alabama, | |||||||||||||
5.000%, 12/15/2018 (Callable 12/15/2017) | 1,080,000 | 1,243,631 | |||||||||||
Montgomery Alabama Special Care Facility Revenue, | |||||||||||||
5.000%, 11/15/2015 (Pre-refunded to 11/15/2014) | 1,540,000 | 1,637,759 | |||||||||||
4,042,040 | 0.4 | % | |||||||||||
Alaska | |||||||||||||
Alaska State Housing Finance Corporation, | |||||||||||||
5.000%, 06/01/2017 (Callable 06/01/2015)(Insured by NPFGC) | 1,000,000 | 1,072,160 | 0.1 | % | |||||||||
Arizona | |||||||||||||
Gila County Arizona Unified School District Bonds, | |||||||||||||
5.250%, 07/01/2027 (Callable 07/01/2017) | 1,000,000 | 1,079,800 | |||||||||||
Maricopa County Arizona University School District No. 48 Scottsdale, | |||||||||||||
4.000%, 07/01/2026 (Pre-refunded to 07/01/2016) | 1,860,000 | 2,031,715 | |||||||||||
Phoenix Arizona Civic Corporation of Wastewater Systems Revenue, | |||||||||||||
5.000%, 07/01/2015 (Callable 07/01/2014)(Partially Pre-refunded)(Insured by NPFGC) | 1,540,000 | 1,608,022 | |||||||||||
Pima County Arizona Industrial Development Authority: | |||||||||||||
7.500%, 07/01/2034 (Pre-refunded to 07/01/2014) | 2,870,000 | 2,986,981 | |||||||||||
7.500%, 07/01/2034 (Pre-refunded to 07/01/2014) | 3,465,000 | 3,712,886 | |||||||||||
11,419,404 | 1.0 | % | |||||||||||
California | |||||||||||||
Bakersfield California Certificates Participation, | |||||||||||||
0.000%, 04/15/2021 (ETM) ^ | 7,045,000 | 5,806,278 | |||||||||||
Coalinga California Regional Medical Center, | |||||||||||||
5.125%, 03/01/2032 (Pre-refunded to 03/01/2015) | 2,435,000 | 2,600,629 | |||||||||||
Commerce Community Development Commission, | |||||||||||||
0.000%, 08/01/2021 (ETM) ^ | 1,130,000 | 753,868 | |||||||||||
Contra Costa County California Certificate Participation, | |||||||||||||
0.000%, 11/01/2014 (ETM) ^ | 3,000,000 | 2,987,700 | |||||||||||
Mount Diablo California Hospital District Revenue, | |||||||||||||
5.000%, 12/01/2013 (ETM) | 420,000 | 428,190 | |||||||||||
Pittsburg California Redevelopment Agency Residential Mortgage Revenue, | |||||||||||||
9.600%, 06/01/2016 (ETM) | 3,725,000 | 4,618,665 | |||||||||||
Port Oakland California Revenue, | |||||||||||||
5.000%, 11/01/2017 (Insured by NPFGC) | 1,800,000 | 2,068,704 | |||||||||||
San Joaquin Hills California Transportation Corridor Agency Toll Road Revenue: | |||||||||||||
0.000%, 01/01/2020 (ETM) ^ | 6,865,000 | 5,986,348 | |||||||||||
0.000%, 01/01/2023 (ETM) ^ | 14,000,000 | 10,653,860 | |||||||||||
San Marcos California Public Facilities Authority Revenue, | |||||||||||||
0.000%, 09/01/2019 (ETM) ^ | 17,295,000 | 15,086,255 | |||||||||||
Woodside California Elementary School District Government School Bonds, | |||||||||||||
5.000%, 10/01/2023 (Pre-refunded to 10/01/2016) | 1,130,000 | 1,280,132 | |||||||||||
52,270,629 | 4.7 | % | |||||||||||
Colorado | |||||||||||||
Colorado Springs Colorado Hospital Revenue Bonds, | |||||||||||||
5.000%, 12/15/2032 (Pre-refunded to 12/15/2018) | 1,300,000 | 1,529,047 | |||||||||||
Colorado Springs Colorado Utilities Revenue Bonds, | |||||||||||||
5.875%, 11/15/2017 (ETM) | 7,410,000 | 8,113,209 | |||||||||||
County of El Paso Colorado Mortgage Revenue Bonds, | |||||||||||||
0.000%, 09/01/2015 (ETM) ^ | 1,330,000 | 1,310,063 | |||||||||||
Dawson Ridge Metropolitan District No. 1 Colorado: | |||||||||||||
0.000%, 10/01/2022 (ETM) ^ | 16,410,000 | 12,438,452 | |||||||||||
0.000%, 10/01/2022 (ETM) ^ | 17,540,000 | 13,294,969 | |||||||||||
Denver Colorado Convention Center & Hotel Authority Revenue Bonds: | |||||||||||||
5.000%, 12/01/2021 (Pre-refunded to 12/01/2013) | 1,000,000 | 1,019,210 | |||||||||||
5.000%, 12/01/2022 (Pre-refunded to 12/01/2013) | 2,950,000 | 3,006,669 | |||||||||||
5.000%, 12/01/2023 (Pre-refunded to 12/01/2013) | 1,500,000 | 1,528,815 | |||||||||||
Regional Transportation District Colorado Sales Tax Revenue, | |||||||||||||
5.000%, 11/01/2036 (Pre-refunded to 11/01/2016) | 6,785,000 | 7,702,061 | |||||||||||
49,942,495 | 4.5 | % | |||||||||||
Florida | |||||||||||||
Brevard County Florida School Board, | |||||||||||||
5.000%, 07/01/2020 (Callable 07/01/2017)(Insured by AMBAC) | 1,925,000 | 2,126,933 | |||||||||||
Broward County Florida School Board: | |||||||||||||
5.250%, 07/01/2022 (Callable 07/01/2021) | 8,390,000 | 9,512,498 | |||||||||||
5.250%, 07/01/2023 (Callable 07/01/2021) | 4,915,000 | 5,546,823 | |||||||||||
County of St. Lucie Florida, | |||||||||||||
6.000%, 10/01/2020 (ETM) | 6,420,000 | 7,938,908 | |||||||||||
Dade County Florida Health Facility Authority Hospital Revenue, | |||||||||||||
5.750%, 05/01/2021 (ETM) | 1,750,000 | 2,041,007 | |||||||||||
Escambia County Florida Housing Finance Authority Multifamily Housing Revenue, | |||||||||||||
0.000%, 10/15/2018 (ETM) ^ | 4,130,000 | 3,694,574 | |||||||||||
Florida State Board of Education, | |||||||||||||
5.000%, 06/01/2022 (Callable 06/01/2019) | 13,800,000 | 15,539,076 | |||||||||||
Florida State Department of Management Services, | |||||||||||||
5.000%, 08/01/2018 | 2,500,000 | 2,886,525 | |||||||||||
Florida State Mid-Bay Bridge Authority Revenue: | |||||||||||||
6.875%, 10/01/2022 (ETM) | 4,675,000 | 6,052,676 | |||||||||||
6.875%, 10/01/2022 (ETM) | 3,175,000 | 4,110,641 | |||||||||||
Florida State Municipal Power Agency Revenue, | |||||||||||||
5.000%, 10/01/2017 (ETM) | 1,590,000 | 1,842,842 | |||||||||||
Gulf Environmental Services Inc. Florida Revenue Bonds, | |||||||||||||
5.000%, 10/01/2018 (ETM) | 1,500,000 | 1,639,995 | |||||||||||
Hillsborough County Florida School Board Master Lease Program, | |||||||||||||
5.500%, 07/01/2018 (Insured by NPFGC) | 2,000,000 | 2,364,540 | |||||||||||
Hillsborough County Industrial Development Authority: | |||||||||||||
5.625%, 08/15/2029 (Pre-refunded to 08/15/2018) | 2,285,000 | 2,745,039 | |||||||||||
8.000%, 08/15/2032 (Pre-refunded to 08/15/2019) | 1,840,000 | 2,493,936 | |||||||||||
Miami Beach Florida Resort Tax Revenue, | |||||||||||||
6.250%, 10/01/2022 (ETM) | 1,470,000 | 1,819,110 | |||||||||||
Miami Dade County Florida Entitlement Revenue Bonds, | |||||||||||||
5.000%, 08/01/2015 (Insured by NPFGC) | 3,000,000 | 3,235,140 | |||||||||||
Miami-Dade County Florida, | |||||||||||||
4.500%, 10/01/2020 | 7,100,000 | 7,900,951 | |||||||||||
Miami-Dade County Florida School Board, | |||||||||||||
5.000%, 05/01/2016 (Insured by NPFGC) | 3,000,000 | 3,308,040 | |||||||||||
Miami-Dade County Florida Water & Sewer Revenue, | |||||||||||||
5.250%, 10/01/2022 | 1,125,000 | 1,329,975 | |||||||||||
Orlando Florida Utilities Commission Water & Electric Revenue, | |||||||||||||
6.750%, 10/01/2017 (ETM) | 1,005,000 | 1,133,278 | |||||||||||
Palm Beach County Florida Revenue, | |||||||||||||
5.000%, 11/01/2018 (Callable 11/01/2017) | 1,000,000 | 1,152,010 | |||||||||||
Pinellas County Housing Finance Authority, | |||||||||||||
4.250%, 03/01/2027 (Callable 09/01/2019) | 1,975,000 | 2,090,952 | |||||||||||
Sarasota County Florida School Board, | |||||||||||||
5.000%, 07/01/2015 (Insured by NPFGC) | 1,000,000 | 1,086,060 | |||||||||||
Seminole County Florida Water & Sewage Revenue, | |||||||||||||
6.000%, 10/01/2019 (ETM) | 5,200,000 | 6,038,864 | |||||||||||
Sunrise Florida Utility System Revenue, | |||||||||||||
5.500%, 10/01/2018 (ETM) | 3,000,000 | 3,409,830 | |||||||||||
103,040,223 | 9.3 | % | |||||||||||
Georgia | |||||||||||||
Atlanta Georgia Water & Wastewater Revenue, | |||||||||||||
5.500%, 11/01/2017 (Insured by AGM) | 8,445,000 | 9,801,267 | |||||||||||
Forsyth County Georgia Hospital Authority Revenue Anticipation Certificates, | |||||||||||||
6.375%, 10/01/2028 (Callable 02/04/2013)(ETM) | 8,050,000 | 9,997,536 | |||||||||||
Fulton County Georgia Hospital Authority Revenue, | |||||||||||||
7.875%, 10/01/2013 (Callable 02/04/2013)(ETM) | 245,000 | 249,555 | |||||||||||
Georgia Municipal Electric Authority Power Revenue: | |||||||||||||
6.500%, 01/01/2017 (Insured by AGM) | 120,000 | 128,676 | |||||||||||
6.500%, 01/01/2017 (Insured by AGM) | 7,350,000 | 8,099,186 | |||||||||||
Gwinnett County Georgia School District, | |||||||||||||
5.000%, 02/01/2026 (Pre-refunded to 02/01/2018) | 7,400,000 | 8,577,192 | |||||||||||
Northwestern Gwinnett County Georgia Facilities Corporation I Certificate Participation, | |||||||||||||
5.750%, 06/15/2019 (Pre-refunded to 06/15/2014) | 2,030,000 | 2,183,346 | |||||||||||
Richmond County Development Authority: | |||||||||||||
0.000%, 12/01/2021 (ETM) ^ | 720,000 | 573,646 | |||||||||||
0.000%, 12/01/2021 (ETM) ^ | 3,510,000 | 2,796,522 | |||||||||||
State of Georgia, | |||||||||||||
5.000%, 07/01/2020 (Callable 07/01/2017) | 12,570,000 | 14,165,384 | |||||||||||
56,572,310 | 5.1 | % | |||||||||||
Illinois | |||||||||||||
Chicago Illinois, | |||||||||||||
5.000%, 01/01/2017 (Callable 01/01/2016)(Insured by AGM) | 2,360,000 | 2,556,045 | |||||||||||
Chicago Illinois Board of Education: | |||||||||||||
5.000%, 12/01/2017 (Callable 12/01/2016)(Insured by AGM) | 4,345,000 | 4,870,354 | |||||||||||
5.000%, 12/01/2017 (Insured by AMBAC) | 2,100,000 | 2,361,849 | |||||||||||
6.000%, 01/01/2020 (Insured by NPFGC) | 1,745,000 | 1,931,453 | |||||||||||
Chicago Illinois Public Building Community Building Revenue: | |||||||||||||
7.000%, 01/01/2015 (ETM) | 1,990,000 | 2,109,280 | |||||||||||
7.000%, 01/01/2020 (ETM) | 1,555,000 | 1,953,018 | |||||||||||
Cook County Community High School District No. 233, | |||||||||||||
4.000%, 12/01/2026 (Callable 06/01/2022) | 3,695,000 | 3,958,084 | |||||||||||
Cook County Illinois School District No. 097, | |||||||||||||
9.000%, 12/01/2015 (Insured by NPFGC) | 2,605,000 | 3,050,273 | |||||||||||
Cook County Illinois School District No. 100, | |||||||||||||
8.100%, 12/01/2016 (ETM) | 1,430,000 | 1,767,466 | |||||||||||
Cook County Illinois School District No. 159, | |||||||||||||
0.000%, 12/01/2022 (ETM) ^ | 2,000,000 | 1,472,500 | |||||||||||
Dupage County Illinois Stormwater Project, | |||||||||||||
5.600%, 01/01/2021 | 1,095,000 | 1,234,799 | |||||||||||
Illinois Development Financial Authority, | |||||||||||||
0.000%, 07/15/2023 (ETM) ^ | 16,860,000 | 12,164,490 | |||||||||||
Illinois Finance Authority, | |||||||||||||
0.000%, 07/15/2025 (ETM) ^ | 9,560,000 | 6,274,610 | |||||||||||
Illinois Finance Authority Revenue, | |||||||||||||
5.500%, 08/15/2043 (Pre-refunded to 08/15/2014) | 2,330,000 | 2,463,882 | |||||||||||
Illinois Municipal Electric Agency Power Supply Revenue Bonds, | |||||||||||||
5.250%, 02/01/2016 (Insured by NPFGC) | 1,000,000 | 1,098,730 | |||||||||||
Illinois State: | |||||||||||||
5.000%, 01/01/2019 (Insured by AGM) | 1,000,000 | 1,110,240 | |||||||||||
4.000%, 09/01/2019 (Callable 09/01/2018)(Insured by AGM) | 5,000,000 | 5,232,400 | |||||||||||
6.000%, 11/01/2026 (Insured by NPFGC) | 3,000,000 | 3,376,620 | |||||||||||
Illinois State Toll Highway Authority Priority Revenue Bonds, | |||||||||||||
5.500%, 01/01/2016 (Insured by AGM) | 2,100,000 | 2,316,342 | |||||||||||
Illinois State Toll Highway Authority Revenue Bonds: | |||||||||||||
5.000%, 01/01/2026 (Pre-refunded to 07/01/2016) | 1,065,000 | 1,193,045 | |||||||||||
5.000%, 01/01/2031 (Pre-refunded to 07/01/2016) | 2,055,000 | 2,302,073 | |||||||||||
Kane McHenry Cook & De Kalb Counties Illinois School District No. 300: | |||||||||||||
9.000%, 01/01/2015 (Insured by AMBAC) | 1,000,000 | 1,117,730 | |||||||||||
7.000%, 01/01/2018 (Insured by AMBAC) | 6,140,000 | 7,521,500 | |||||||||||
Kendall Kane & Will Counties Community Unit School District No. 308, | |||||||||||||
0.000%, 02/01/2021 ^ | 13,625,000 | 10,381,705 | |||||||||||
Lake County Illinois Community Consolidated School District: | |||||||||||||
0.000%, 12/01/2013 (Insured by NPFGC) ^ | 1,920,000 | 1,901,856 | |||||||||||
0.000%, 12/01/2014 (Insured by NPFGC) ^ | 1,875,000 | 1,808,888 | |||||||||||
Lake County Illinois Community High School District No. 124 Grant, | |||||||||||||
5.000%, 12/01/2017 | 1,050,000 | 1,200,486 | |||||||||||
McHenry & Kane Counties Illinois Community School District No. 158, | |||||||||||||
0.000%, 01/01/2016 (Insured by NPFGC) ^ | 1,970,000 | 1,815,099 | |||||||||||
Metropolitan Pier & Exposition Authority Illinois: | |||||||||||||
5.500%, 06/15/2016 (ETM) | 1,805,000 | 2,036,582 | |||||||||||
5.500%, 12/15/2023 (ETM) | 2,000,000 | 2,402,420 | |||||||||||
Regional Transportation Authority Illinois, | |||||||||||||
6.000%, 07/01/2022 (Insured by NPFGC) | 4,705,000 | 5,735,818 | |||||||||||
Southern Illinois University Revenue: | |||||||||||||
5.250%, 04/01/2018 (Insured by NPFGC) | 1,075,000 | 1,222,952 | |||||||||||
5.250%, 04/01/2019 (Insured by NPFGC) | 1,390,000 | 1,591,703 | |||||||||||
Village of Schaumburg IL, | |||||||||||||
4.000%, 12/01/2024 (Callable 12/01/2022) | 5,750,000 | 6,159,802 | |||||||||||
Winnebago County Illinois School District No. 122 Harlam-Loves Park: | |||||||||||||
0.000%, 01/01/2018 (ETM) ^ | 155,000 | 143,645 | |||||||||||
0.000%, 01/01/2018 (Insured by AGM) ^ | 1,205,000 | 1,054,989 | |||||||||||
110,892,728 | 10.1 | % | |||||||||||
Indiana | |||||||||||||
Franklin Community Multi-School Building Corp, | |||||||||||||
5.000%, 07/15/2020 | 1,990,000 | 2,246,033 | |||||||||||
Hammond Indiana Multi-School Building Corporation Revenue Bonds: | |||||||||||||
6.000%, 01/15/2018 (ETM) | 1,000,000 | 1,113,690 | |||||||||||
5.000%, 07/15/2018 (Insured by NPFGC) | 1,330,000 | 1,493,697 | |||||||||||
Indiana State Office Building Commissions Facilities Revenue Bonds, | |||||||||||||
5.250%, 07/01/2017 | 1,115,000 | 1,255,735 | |||||||||||
Indiana Toll Road Commission, | |||||||||||||
9.000%, 01/01/2015 (ETM) | 455,000 | 493,120 | |||||||||||
Indianapolis Local Public Improvement Bond Bank, | |||||||||||||
5.500%, 01/01/2019 (Insured by NPFGC) | 1,155,000 | 1,348,636 | |||||||||||
Indianapolis Local Public Improvement Bond Waterworks Project, | |||||||||||||
5.500%, 07/01/2018 (Insured by NPFGC) | 3,460,000 | 4,065,258 | |||||||||||
Perry Township Multi School Building Corporation, | |||||||||||||
5.000%, 07/10/2018 (Callable 07/10/2015) | 1,000,000 | 1,074,130 | |||||||||||
Purdue University Indiana Revenue, | |||||||||||||
5.000%, 07/01/2015 | 1,650,000 | 1,795,101 | |||||||||||
South Bend Indiana Community School Building Corporation, | |||||||||||||
5.000%, 07/15/2017 (Insured by NPFGC) | 1,000,000 | 1,132,280 | |||||||||||
16,017,680 | 1.5 | % | |||||||||||
Iowa | |||||||||||||
Des Moines Iowa Metropolitan Wastewater Reclamation Authority, | |||||||||||||
5.000%, 06/01/2015 (Callable 06/01/2014)(Insured by NPFGC) | 1,010,000 | 1,052,299 | 0.1 | % | |||||||||
Kansas | |||||||||||||
Wyandotte County Kansas Revenue, | |||||||||||||
5.000%, 09/01/2019 (Callable 03/01/2019)(Insured by BHAC) | 1,865,000 | 2,133,989 | 0.2 | % | |||||||||
Kentucky | |||||||||||||
Jefferson County Kentucky School District Financial School Building Revenue Bonds, | |||||||||||||
5.500%, 01/01/2018 (Insured by AGM) | 3,340,000 | 3,880,646 | |||||||||||
Louisville & Jefferson County Metropolitan Government, | |||||||||||||
6.125%, 02/01/2037 (Pre-refunded to 02/01/2018) | 12,940,000 | 15,673,834 | |||||||||||
19,554,480 | 1.8 | % | |||||||||||
Louisiana | |||||||||||||
Louisiana Public Facilities Authority Revenue: | |||||||||||||
5.500%, 05/15/2027 (Pre-refunded to 05/15/2026) | 9,575,000 | 11,579,431 | |||||||||||
5.500%, 05/15/2032 (Pre-refunded to 05/15/2026) | 19,005,000 | 23,202,254 | |||||||||||
State of Louisiana: | |||||||||||||
5.000%, 11/15/2018 | 1,775,000 | 2,070,218 | |||||||||||
5.000%, 11/15/2020 (Callable 05/15/2020) | 10,000,000 | 11,838,200 | |||||||||||
48,690,103 | 4.4 | % | |||||||||||
Maine | |||||||||||||
Maine Health & Higher Education Facilities Authority, | |||||||||||||
5.000%, 07/01/2035 (Pre-refunded to 07/01/2015) | 4,340,000 | 4,722,571 | 0.4 | % | |||||||||
Maryland | |||||||||||||
City of Baltimore MD, | |||||||||||||
5.000%, 07/01/2024 (ETM) | 1,195,000 | 1,429,029 | |||||||||||
State of Maryland: | |||||||||||||
5.000%, 03/15/2019 (Callable 03/15/2017) | 1,135,000 | 1,299,041 | |||||||||||
5.000%, 08/01/2020 (Callable 08/01/2019) | 10,000,000 | 11,758,800 | |||||||||||
14,486,870 | 1.3 | % | |||||||||||
Massachusetts | |||||||||||||
Massachusetts Department of Transportation, | |||||||||||||
5.000%, 01/01/2020 (ETM) | 1,975,000 | 2,236,569 | |||||||||||
Massachusetts State: | |||||||||||||
5.000%, 08/01/2020 (Pre-refunded to 08/01/2016) | 5,820,000 | 6,548,373 | |||||||||||
4.000%, 12/01/2022 (Callable 12/01/2019) | 15,000,000 | 16,158,900 | |||||||||||
Massachusetts State Water Resources Authority: | |||||||||||||
5.250%, 12/01/2015 (ETM) | 3,155,000 | 3,353,859 | |||||||||||
6.500%, 07/15/2019 (ETM) | 3,295,000 | 3,774,258 | |||||||||||
32,071,959 | 2.9 | % | |||||||||||
Michigan | |||||||||||||
Detroit Michigan City School District, | |||||||||||||
5.000%, 05/01/2016 (Callable 05/01/2015)(Insured by AGM) | 1,000,000 | 1,056,150 | |||||||||||
Detroit Michigan Sewer Disposal Revenue, | |||||||||||||
5.000%, 07/01/2030 (Pre-refunded to 07/01/2015) | 2,185,000 | 2,377,608 | |||||||||||
Harper Creek Michigan Community School District, | |||||||||||||
5.000%, 05/01/2016 (Callable 05/01/2015)(Insured by AGM) | 1,550,000 | 1,658,484 | |||||||||||
Jenison Michigan Public Schools, | |||||||||||||
5.250%, 05/01/2015 (Insured by NPFGC) | 1,390,000 | 1,501,200 | |||||||||||
Lakeview Public School District, | |||||||||||||
5.000%, 05/01/2017 (Insured by NPFGC) | 2,275,000 | 2,503,160 | |||||||||||
Livonia Michigan Public Schools School District: | |||||||||||||
5.000%, 05/01/2017 (Callable 05/01/2014)(Insured by NPFGC) | 4,295,000 | 4,422,433 | |||||||||||
5.000%, 05/01/2022 (Callable 05/01/2014)(Insured by NPFGC) | 3,000,000 | 3,077,190 | |||||||||||
Michigan Finance Authority, | |||||||||||||
5.000%, 01/01/2019 | 7,000,000 | 8,210,860 | |||||||||||
Michigan State Housing Development Authority, | |||||||||||||
4.750%, 06/01/2016 | 4,000,000 | 4,181,120 | |||||||||||
State of Michigan, | |||||||||||||
0.000%, 06/01/2022 (ETM) ^ | 2,000,000 | 1,511,160 | |||||||||||
30,499,365 | 2.8 | % | |||||||||||
Minnesota | |||||||||||||
Minnesota State Housing Finance Agency Homeownership Finance Bond: | |||||||||||||
4.250%, 07/01/2028 (Callable 01/01/2020) | 970,000 | 1,025,329 | |||||||||||
4.500%, 07/01/2034 (Callable 07/01/2021) | 1,860,000 | 1,999,927 | |||||||||||
University of Minnesota, | |||||||||||||
5.500%, 07/01/2021 (ETM) | 8,455,000 | 9,974,702 | |||||||||||
Western Minnesota Municipal Power Agency, | |||||||||||||
6.375%, 01/01/2016 (ETM) | 1,195,000 | 1,290,385 | |||||||||||
14,290,343 | 1.3 | % | |||||||||||
Mississippi | |||||||||||||
Mississippi Development Bank Special Obligations, | |||||||||||||
5.250%, 10/01/2030 (Pre-refunded to 10/01/2015) | 1,110,000 | 1,224,885 | |||||||||||
Mississippi Housing Financial Corporation, | |||||||||||||
0.000%, 06/01/2015 (ETM) ^ | 1,500,000 | 1,481,505 | |||||||||||
2,706,390 | 0.3 | % | |||||||||||
Missouri | |||||||||||||
St. Charles County Missouri Francis Howell School District, | |||||||||||||
4.500%, 03/01/2018 | 1,000,000 | 1,139,390 | 0.1 | % | |||||||||
Nebraska | |||||||||||||
Nebraska Public Power District Revenue, | |||||||||||||
5.000%, 01/01/2015 (Insured by NPFGC) | 1,640,000 | 1,747,699 | |||||||||||
Omaha Nebraska Public Electric Power District Revenue, | |||||||||||||
6.200%, 02/01/2017 (ETM) | 7,410,000 | 8,193,089 | |||||||||||
9,940,788 | 0.9 | % | |||||||||||
Nevada | |||||||||||||
Las Vegas Clark County Nevada Library District, | |||||||||||||
5.000%, 01/01/2017 | 2,080,000 | 2,326,189 | 0.2 | % | |||||||||
New Hampshire | |||||||||||||
New Hampshire Housing Finance Authority Revenue Bonds, | |||||||||||||
5.250%, 07/01/2028 (Callable 01/01/2021) | 4,510,000 | 4,851,993 | |||||||||||
State of New Hampshire, | |||||||||||||
5.000%, 07/01/2021 (Callable 07/01/2020) | 1,000,000 | 1,185,590 | |||||||||||
6,037,583 | 0.5 | % | |||||||||||
New Jersey | |||||||||||||
County of Hudson NJ, | |||||||||||||
3.000%, 03/15/2021 | 1,140,000 | 1,132,214 | |||||||||||
New Jersey State Housing & Mortgage Finance Agency Bonds, | |||||||||||||
4.500%, 10/01/2029 (Callable 04/01/2021) | 8,180,000 | 8,425,318 | |||||||||||
New Jersey State Transportation Trust Fund Authority: | |||||||||||||
5.500%, 12/15/2015 (Insured by AMBAC) | 2,595,000 | 2,866,904 | |||||||||||
5.250%, 12/15/2020 | 5,000,000 | 5,914,400 | |||||||||||
New Jersey State Turnpike Authority: | |||||||||||||
6.500%, 01/01/2016 (ETM) | 970,000 | 1,050,277 | |||||||||||
6.500%, 01/01/2016 (ETM) | 80,000 | 86,621 | |||||||||||
5.500%, 01/01/2025 | 2,000,000 | 2,369,620 | |||||||||||
21,845,354 | 2.0 | % | |||||||||||
New Mexico | |||||||||||||
New Mexico Mortgage Financial Authority: | |||||||||||||
4.625%, 09/01/2025 (Callable 03/01/2020) | 1,165,000 | 1,225,871 | |||||||||||
4.500%, 09/01/2028 (Callable 03/01/2020) | 970,000 | 1,031,004 | |||||||||||
New Mexico State Hospital Equipment Loan Council Hospital Revenue, | |||||||||||||
5.250%, 07/01/2025 (Pre-refunded to 07/01/2015) | 1,000,000 | 1,088,920 | |||||||||||
3,345,795 | 0.3 | % | |||||||||||
New York | |||||||||||||
Cattaraugus-Little Valley Central School District: | |||||||||||||
3.125%, 06/15/2016 | 1,520,000 | 1,580,724 | |||||||||||
3.125%, 06/15/2017 | 1,000,000 | 1,035,960 | |||||||||||
Churchville-Chili Central School District: | |||||||||||||
3.000%, 06/15/2017 | 1,045,000 | 1,099,957 | |||||||||||
3.000%, 06/15/2018 | 1,070,000 | 1,110,446 | |||||||||||
Long Island Power Authority and Electric System Revenue, | |||||||||||||
5.000%, 12/01/2017 (Callable 12/01/2016)(Insured by NPFGC) | 2,000,000 | 2,220,620 | |||||||||||
Metropolitan Transit Authority New York, | |||||||||||||
6.000%, 04/01/2020 (ETM) | 13,430,000 | 16,290,859 | |||||||||||
New York City, New York Transitional Financial Authority Building Aid Revenue Bonds, | |||||||||||||
5.000%, 01/15/2015 (Insured by AGM) | 4,730,000 | 5,051,687 | |||||||||||
New York State Dormitory Authority and Personal Income Tax Revenue, | |||||||||||||
5.000%, 12/15/2017 | 2,000,000 | 2,316,120 | |||||||||||
New York State Thruway Authority, | |||||||||||||
5.000%, 03/15/2022 (Callable 03/15/2019) | 4,040,000 | 4,621,800 | |||||||||||
New York State University Dormitory Authority Revenues, | |||||||||||||
5.250%, 05/15/2015 | 5,290,000 | 5,556,457 | |||||||||||
New York, New York: | |||||||||||||
5.000%, 03/01/2016 (Callable 03/01/2015)(Insured by FGIC-TCRS) | 1,000,000 | 1,068,980 | |||||||||||
5.000%, 08/01/2017 | 5,000,000 | 5,730,250 | |||||||||||
5.250%, 08/15/2021 (Callable 08/15/2018) | 1,125,000 | 1,287,810 | |||||||||||
Suffolk County Water Authority, | |||||||||||||
6.000%, 06/01/2017 (ETM) | 4,715,000 | 5,313,145 | |||||||||||
Susquehanna Valley Central School District: | |||||||||||||
3.125%, 06/15/2017 | 1,155,000 | 1,194,316 | |||||||||||
3.125%, 06/15/2019 | 1,375,000 | 1,400,080 | |||||||||||
TSASC Inc. New York, | |||||||||||||
4.750%, 06/01/2022 (Callable 06/01/2016) | 165,000 | 161,824 | |||||||||||
Westchester Tobacco Asset Securitization Corp. New York, | |||||||||||||
6.950%, 07/15/2039 (Pre-refunded to 07/15/2017) | 13,075,000 | 16,168,545 | |||||||||||
73,209,580 | 6.6 | % | |||||||||||
North Carolina | |||||||||||||
North Carolina Eastern Municipal Power Agency, | |||||||||||||
5.000%, 01/01/2021 (ETM) | 7,280,000 | 8,722,969 | |||||||||||
North Carolina Eastern Municipal Power Agency Power Systems Revenue: | |||||||||||||
5.000%, 01/01/2017 (ETM) | 6,630,000 | 7,282,856 | |||||||||||
6.400%, 01/01/2021 (ETM) | 5,750,000 | 6,795,695 | |||||||||||
4.500%, 01/01/2024 (Pre-refunded to 01/01/2022) | 7,665,000 | 8,869,555 | |||||||||||
6.000%, 01/01/2026 (Pre-refunded to 01/01/2022) | 1,835,000 | 2,346,396 | |||||||||||
North Carolina Medical Care Community Hospital Revenue, | |||||||||||||
5.250%, 11/01/2029 (Pre-refunded to 11/01/2014) | 6,495,000 | 6,917,110 | |||||||||||
40,934,581 | 3.7 | % | |||||||||||
Ohio | |||||||||||||
Akron Ohio Community Learning Center Income Tax Revenue, | |||||||||||||
5.250%, 12/01/2016 (Callable 12/01/2013)(Insured by NPFGC) | 1,000,000 | 1,020,660 | |||||||||||
Cincinnati Ohio City School District, | |||||||||||||
5.000%, 12/01/2016 (Insured by AGM) | 2,000,000 | 2,256,100 | |||||||||||
Cleveland Municipal School District: | |||||||||||||
4.000%, 12/01/2017 | 1,790,000 | 1,965,832 | |||||||||||
4.000%, 12/01/2018 | 1,865,000 | 2,052,358 | |||||||||||
4.000%, 12/01/2019 | 1,940,000 | 2,135,513 | |||||||||||
5.000%, 12/01/2020 | 2,015,000 | 2,352,331 | |||||||||||
Miamisburg Ohio Water Revenue, | |||||||||||||
7.000%, 11/15/2016 (Callable 02/04/2013)(ETM) | 80,000 | 88,416 | |||||||||||
Ohio Housing Finance Agency, | |||||||||||||
5.000%, 11/01/2028 (Callable 05/01/2020) | 2,275,000 | 2,431,383 | |||||||||||
State of Ohio, | |||||||||||||
5.500%, 02/01/2020 | 1,195,000 | 1,451,567 | |||||||||||
15,754,160 | 1.4 | % | |||||||||||
Pennsylvania | |||||||||||||
Central Dauphin Pennsylvania School District, | |||||||||||||
6.750%, 02/01/2024 (Pre-refunded to 02/01/2016) | 1,275,000 | 1,468,163 | |||||||||||
Erie Pennsylvania Sewer Authority Revenue, | |||||||||||||
5.125%, 06/01/2020 (ETM) | 1,380,000 | 1,593,665 | |||||||||||
Lampeter Strasburg School District, | |||||||||||||
4.000%, 06/01/2019 | 1,715,000 | 1,892,211 | |||||||||||
Pennsylvania Convention Center Authority Revenue Bonds, | |||||||||||||
6.000%, 09/01/2019 (ETM) | 10,060,000 | 12,229,841 | |||||||||||
Pennsylvania Housing Finance Agency: | |||||||||||||
3.700%, 04/01/2018 | 2,130,000 | 2,204,955 | |||||||||||
3.750%, 10/01/2018 | 1,760,000 | 1,832,231 | |||||||||||
3.900%, 04/01/2019 | 1,025,000 | 1,063,427 | |||||||||||
3.900%, 10/01/2019 (Callable 04/01/2019) | 1,675,000 | 1,744,060 | |||||||||||
Philadelphia Pennsylvania Authority For Industrial Development Revenue, | |||||||||||||
5.250%, 01/01/2027 (Pre-refunded to 01/01/2017) | 1,790,000 | 2,040,009 | |||||||||||
Philadelphia Pennsylvania Gas Works, | |||||||||||||
7.000%, 05/15/2020 (ETM) | 2,395,000 | 2,891,507 | |||||||||||
Pittsburgh Pennsylvania Water & Sewer Authority Revenue Bonds: | |||||||||||||
7.250%, 09/01/2014 (Callable 01/18/2013)(ETM) | 600,000 | 625,782 | |||||||||||
5.000%, 09/01/2029 (Pre-refunded to 09/01/2015) | 4,500,000 | 4,919,355 | |||||||||||
St. Mary Hospital Authority Pennsylvania Health Revenue, | |||||||||||||
5.375%, 11/15/2034 (Pre-refunded to 11/15/2014) | 1,510,000 | 1,611,412 | |||||||||||
36,116,618 | 3.3 | % | |||||||||||
Puerto Rico | |||||||||||||
Commonwealth of Puerto Rico, | |||||||||||||
5.000%, 07/01/2021 | 6,000,000 | 5,752,800 | |||||||||||
Puerto Rico Electric Power Authority: | |||||||||||||
0.000%, 07/01/2017 (Pre-refunded to 07/01/2017) ^ | 5,010,000 | 4,451,435 | |||||||||||
0.000%, 07/01/2017 (Pre-refunded to 07/01/2017) ^ | 3,000,000 | 2,626,710 | |||||||||||
Puerto Rico Public Building Authority, | |||||||||||||
5.500%, 07/01/2022 (Pre-refunded to 07/01/2014) | 1,625,000 | 1,709,516 | |||||||||||
Puerto Rico Public Finance Corp., | |||||||||||||
6.000%, 08/01/2026 (ETM) | 1,080,000 | 1,356,167 | |||||||||||
15,896,628 | 1.4 | % | |||||||||||
South Carolina | |||||||||||||
Piedmont Municipal Power Agency South Carolina Electric Revenue, | |||||||||||||
6.750%, 01/01/2020 (ETM) | 6,375,000 | 8,210,617 | 0.7 | % | |||||||||
South Dakota | |||||||||||||
Heartland Consumers Power District, | |||||||||||||
7.000%, 01/01/2016 (ETM) | 660,000 | 720,001 | 0.1 | % | |||||||||
Tennessee | |||||||||||||
Metropolitan Government Nashville & Davidson County Tennessee H&E, | |||||||||||||
0.000%, 06/01/2021 (ETM) ^ | 1,050,000 | 855,256 | |||||||||||
Shelby County Tennessee Health Educational & Housing Facilities Revenue, | |||||||||||||
5.500%, 08/15/2019 (ETM) | 5,000,000 | 5,535,500 | |||||||||||
Tennessee Housing Development Agency, | |||||||||||||
4.500%, 07/01/2028 (Callable 01/01/2020) | 4,300,000 | 4,591,755 | |||||||||||
10,982,511 | 1.0 | % | |||||||||||
Texas | |||||||||||||
Barbers Hill Independent School District, | |||||||||||||
5.000%, 02/15/2019 (PSF Guaranteed) | 2,010,000 | 2,356,785 | |||||||||||
Barbers Hill Texas Independent School District General Obligation, | |||||||||||||
5.000%, 02/15/2017 (Callable 02/15/2015)(PSF Guaranteed) | 2,125,000 | 2,265,569 | |||||||||||
Capital Area Housing Finance Corporation Texas, | |||||||||||||
0.000%, 01/01/2016 (ETM) ^ | 6,060,000 | 5,903,773 | |||||||||||
Central Texas Housing Finance Corporation, | |||||||||||||
0.000%, 09/01/2016 (ETM) ^ | 1,500,000 | 1,447,965 | |||||||||||
City of Houston TX Utility System Revenue, | |||||||||||||
5.500%, 12/01/2024 (ETM) | 1,735,000 | 2,168,958 | |||||||||||
Conroe Independent School District: | |||||||||||||
5.000%, 02/15/2022 (Callable 02/15/2021)(PSF Guaranteed) | 1,000,000 | 1,191,480 | |||||||||||
5.000%, 02/15/2023 (Callable 02/15/2021)(PSF Guaranteed) | 2,680,000 | 3,184,912 | |||||||||||
Cypress-Fairbanks Texas Independent School District, | |||||||||||||
5.000%, 02/15/2017 (Callable 02/15/2016)(PSF Guaranteed) | 1,500,000 | 1,654,155 | |||||||||||
Dallas Texas Independent School District, | |||||||||||||
5.000%, 02/15/2020 (PSF Guaranteed) | 2,410,000 | 2,864,164 | |||||||||||
Denton Independent School District, | |||||||||||||
5.000%, 08/15/2023 (Callable 08/15/2022)(PSF Guaranteed) | 3,105,000 | 3,662,130 | |||||||||||
El Paso Texas Waterworks & Sewer Revenue, | |||||||||||||
5.000%, 08/15/2018 | 1,355,000 | 1,568,887 | |||||||||||
Frisco Texas Independent School District, | |||||||||||||
6.000%, 08/15/2018 (Callable 08/15/2016)(PSF Guaranteed) | 1,625,000 | 1,854,824 | |||||||||||
Georgetown Independent School District, | |||||||||||||
4.000%, 02/15/2020 (PSF Guaranteed) | 1,900,000 | 2,145,689 | |||||||||||
Georgetown Texas Independent School District, | |||||||||||||
5.000%, 02/15/2016 (Callable 02/15/2015)(PSF Guaranteed) | 1,000,000 | 1,066,480 | |||||||||||
Harris County Texas: | |||||||||||||
5.000%, 10/01/2019 | 1,525,000 | 1,799,134 | |||||||||||
5.750%, 10/01/2020 (Pre-refunded to 10/01/2018) | 140,000 | 169,740 | |||||||||||
5.750%, 10/01/2028 (Pre-refunded to 10/01/2018) | 6,780,000 | 8,220,276 | |||||||||||
Harris County Texas Health Facilities Development Corporation Hospital Revenue, | |||||||||||||
5.500%, 10/01/2019 (ETM) | 4,530,000 | 5,232,603 | |||||||||||
Houston Texas Sewer System Revenue, | |||||||||||||
9.375%, 10/01/2013 (Callable 04/01/2013)(ETM) | 430,000 | 439,512 | |||||||||||
Houston Texas Utility System Revenue, | |||||||||||||
5.250%, 05/15/2015 (Callable 05/15/2014)(Insured by NPFGC) | 3,000,000 | 3,122,790 | |||||||||||
Houston Texas Water & Sewer System Revenue Bonds: | |||||||||||||
0.000%, 12/01/2023 (ETM) ^ | 1,500,000 | 1,080,045 | |||||||||||
5.500%, 12/01/2029 (ETM) | 16,050,000 | 20,033,129 | |||||||||||
Humble Texas Independent School District, | |||||||||||||
5.000%, 02/15/2021 (PSF Guaranteed) | 1,500,000 | 1,783,755 | |||||||||||
Killeen Independent School District, | |||||||||||||
4.000%, 02/15/2024 (Callable 02/15/2021)(PSF Guaranteed) | 1,145,000 | 1,220,009 | |||||||||||
La Porte Independent School District/TX: | |||||||||||||
5.000%, 02/15/2018 (Pre-refunded to 02/15/2015) | 1,230,000 | 1,320,036 | |||||||||||
5.000%, 02/15/2018 (Callable 02/15/2015) | 85,000 | 90,183 | |||||||||||
Lamar Consolidated Independent School District, | |||||||||||||
5.000%, 02/15/2021 (PSF Guaranteed) | 6,760,000 | 8,054,405 | |||||||||||
Lubbock Texas, | |||||||||||||
5.000%, 02/15/2021 (Callable 02/15/2018)(Insured by AGM) | 3,425,000 | 3,830,965 | |||||||||||
Lubbock Texas Housing Finance Corp., | |||||||||||||
8.000%, 10/01/2021 (ETM) | 1,730,000 | 2,401,984 | |||||||||||
Lubbock Texas Independent School District, | |||||||||||||
4.000%, 02/15/2022 (Callable 02/15/2020)(PSF Guaranteed) | 1,000,000 | 1,083,940 | |||||||||||
Lufkin Texas Independent School District, | |||||||||||||
5.000%, 08/15/2015 (Callable 08/15/2014)(PSF Guaranteed) | 1,735,000 | 1,822,218 | |||||||||||
Magnolia Texas Independent School District, | |||||||||||||
5.000%, 08/15/2016 (PSF Guaranteed) | 1,475,000 | 1,656,071 | |||||||||||
Mission Consolidation Independent School District, | |||||||||||||
5.000%, 02/15/2019 (Callable 02/15/2015)(PSF Guaranteed) | 1,265,000 | 1,342,355 | |||||||||||
North Central Texas Health Facilities Revenue, | |||||||||||||
5.750%, 02/15/2015 (ETM) | 1,125,000 | 1,207,642 | |||||||||||
Pasadena Independent School District, | |||||||||||||
5.000%, 02/15/2022 (Callable 02/15/2021)(PSF Guaranteed) | 1,115,000 | 1,304,673 | |||||||||||
Retama Texas Development Corporation Special Facilites Revenue, | |||||||||||||
8.750%, 12/15/2018 (ETM) | 2,035,000 | 2,733,412 | |||||||||||
Rockwall Texas Independent School District, | |||||||||||||
5.000%, 02/15/2015 (PSF Guaranteed) | 1,295,000 | 1,387,178 | |||||||||||
San Antonio Texas Electric & Gas Revenue, | |||||||||||||
5.650%, 02/01/2019 (ETM) | 11,665,000 | 13,738,454 | |||||||||||
San Antonio Texas Hotel Occupancy Tax Revenue Bonds, | |||||||||||||
0.000%, 08/15/2015 (ETM) ^ | 2,100,000 | 2,069,172 | |||||||||||
San Antonio Texas Independent School District, | |||||||||||||
5.000%, 08/15/2017 (Callable 08/15/2015)(PSF Guaranteed) | 2,000,000 | 2,174,160 | |||||||||||
Spring Texas Independent School District, | |||||||||||||
5.000%, 08/15/2019 (Callable 08/15/2018)(PSF Guaranteed) | 1,020,000 | 1,191,890 | |||||||||||
Tarrant County Texas Health Facilities Revenue, | |||||||||||||
6.000%, 09/01/2024 (ETM) | 7,990,000 | 9,793,023 | |||||||||||
Tarrant County Texas Housing Finance Corporation Revenue Bonds, | |||||||||||||
0.000%, 09/15/2016 (ETM) ^ | 1,800,000 | 1,742,346 | |||||||||||
Temple Independent School District, | |||||||||||||
4.000%, 02/01/2022 (Callable 02/01/2021)(PSF Guaranteed) | 1,120,000 | 1,226,389 | |||||||||||
Texas State: | |||||||||||||
5.000%, 10/01/2018 | 6,285,000 | 7,362,626 | |||||||||||
5.000%, 04/01/2020 (Callable 04/01/2016) | 3,965,000 | 4,347,900 | |||||||||||
Tomball Hospital Authority, | |||||||||||||
5.000%, 07/01/2020 (Pre-refunded to 07/01/2015) | 2,200,000 | 2,389,332 | |||||||||||
University of Texas Revenue Bonds, | |||||||||||||
5.000%, 08/15/2018 (Pre-refunded to 08/15/2016) | 1,225,000 | 1,376,190 | |||||||||||
152,083,308 | 13.8 | % | |||||||||||
Utah | |||||||||||||
Granite School District Board of Education: | |||||||||||||
5.000%, 06/01/2022 (Callable 06/01/2021) | 3,900,000 | 4,531,995 | |||||||||||
5.000%, 06/01/2023 (Callable 06/01/2021) | 1,750,000 | 2,018,782 | |||||||||||
Salt Lake City Utah Hospital Revenue, | |||||||||||||
8.125%, 05/15/2015 (Callable 02/04/2013)(ETM) | 160,000 | 176,066 | |||||||||||
6,726,843 | 0.6 | % | |||||||||||
Virginia | |||||||||||||
Bristol Virginia Utility Systems General Obligations, | |||||||||||||
5.500%, 11/01/2018 (ETM) | 1,095,000 | 1,267,879 | |||||||||||
Danville Industrial Development Authority, | |||||||||||||
5.250%, 10/01/2028 (ETM) | 1,500,000 | 1,803,255 | |||||||||||
Tobacco Settlement Financing Corporation Revenue, | |||||||||||||
5.625%, 06/01/2037 (Pre-refunded to 06/01/2015) | 7,775,000 | 8,516,268 | |||||||||||
Virginia Public School Authority, | |||||||||||||
6.250%, 12/01/2028 (Callable 12/01/2018) | 1,285,000 | 1,596,535 | |||||||||||
13,183,937 | 1.2 | % | |||||||||||
Washington | |||||||||||||
King County Washington, | |||||||||||||
5.000%, 12/01/2021 | 11,665,000 | 14,060,874 | |||||||||||
Snohomish County School District No. 201, | |||||||||||||
4.000%, 12/01/2021 (Callable 12/01/2020) | 4,500,000 | 4,938,030 | |||||||||||
Snohomish County Washington Public Utilities Revenue, | |||||||||||||
6.800%, 01/01/2020 (Callable 02/04/2013)(ETM) | 3,605,000 | 4,393,269 | |||||||||||
Thurston & Pierce Counties Washington Community Schools, | |||||||||||||
4.250%, 12/01/2021 (Callable 12/01/2020) | 2,755,000 | 3,079,264 | |||||||||||
University of Washington, | |||||||||||||
5.000%, 07/01/2022 | 6,505,000 | 7,715,516 | |||||||||||
Walla Walla County School District No 250 College Place, | |||||||||||||
5.000%, 12/01/2019 | 1,290,000 | 1,496,490 | |||||||||||
Washington Health Care Facilities Authority: | |||||||||||||
6.125%, 11/15/2031 (Callable 05/15/2021) | 270,000 | 347,738 | |||||||||||
6.250%, 11/15/2041 (Pre-refunded to 05/15/2021) | 3,865,000 | 5,012,635 | |||||||||||
Washington State: | |||||||||||||
5.000%, 07/01/2018 (Callable 07/01/2013) | 1,500,000 | 1,504,500 | |||||||||||
5.000%, 01/01/2021 | 10,000,000 | 11,721,300 | |||||||||||
5.500%, 07/01/2023 | 5,000,000 | 6,070,300 | |||||||||||
60,339,916 | 5.5 | % | |||||||||||
West Virginia | |||||||||||||
Ohio County Board of Education, | |||||||||||||
5.250%, 06/01/2018 (ETM) | 1,130,000 | 1,328,722 | 0.1 | % | |||||||||
Wisconsin | |||||||||||||
Ladysmith-Hawkins Wisconsin School District General Obligation, | |||||||||||||
5.200%, 04/01/2018 (Callable 04/01/2016)(Insured by NPFGC) | 3,000,000 | 3,173,310 | |||||||||||
State of Wisconsin, | |||||||||||||
5.000%, 05/01/2022 | 10,000,000 | 11,726,900 | |||||||||||
Wisconsin State Health & Educational Facilities Revenue, | |||||||||||||
5.000%, 12/01/2019 (Callable 12/01/2014)(Insured by NPFGC) | 3,320,000 | 3,431,486 | |||||||||||
18,331,696 | 1.7 | % | |||||||||||
Total Municipal Bonds (Cost $1,046,021,947) | 1,073,932,255 | 97.3 | % | ||||||||||
Shares | |||||||||||||
SHORT-TERM INVESTMENTS | |||||||||||||
Money Market Mutual Fund | |||||||||||||
Goldman Sachs Financial Square Funds, 0.01% « | 5,096,345 | 5,096,345 | |||||||||||
Total Short-Term Investments (Cost $5,096,345) | 5,096,345 | 0.5 | % | ||||||||||
Total Investments (Cost $1,051,118,292) | 1,079,028,600 | 97.8 | % | ||||||||||
Other Assets in Excess of Liabilities | 24,233,880 | 2.2 | % | ||||||||||
TOTAL NET ASSETS | $ | 1,103,262,480 | 100.0 | % |
Notes to Schedule of Investments | ||
AGM - Assured Guaranty Municipal | ||
AMBAC - Ambac Assurance Corporation. Ambac Assurance's plan of rehabilitation transferring certain troubled insurance policies and assets | ||
(mostly relating to insurance coverage and credit default swaps on residential mortgage-backed securities) to a segregated account has | ||
obtained court approval but has not yet been implemented. | ||
BHAC - Berkshire Hathaway Assurance Corp. | ||
FGIC-TCRS - Financial Guaranty Insurance Company | ||
NPFGC - National Public Finance Guarantee Corp. | ||
PSF - Texas Permanent School Fund | ||
ETM - Escrowed to Maturity | ||
^ Non-Income Producing | ||
« 7-Day Yield |
The accompanying notes are in integral part of these financial statements.
Baird Aggregate Bond Fund | |||||||||||||
Schedule of Investments | |||||||||||||
June 30, 2013 (Unaudited) | |||||||||||||
Principal | Market | % of | |||||||||||
Amount | Value | Net Assets | |||||||||||
LONG-TERM INVESTMENTS | |||||||||||||
U.S. Treasury Securities | |||||||||||||
U.S. Treasury Bonds: | |||||||||||||
1.250%, 04/30/2019 @ | $ | 123,100,000 | $ | 120,532,257 | |||||||||
5.250%, 11/15/2028 | 60,950,000 | 77,482,688 | |||||||||||
4.375%, 02/15/2038 | 62,000,000 | 72,598,156 | |||||||||||
270,613,101 | 15.7 | % | |||||||||||
Taxable Municipal Bonds | |||||||||||||
Atlanta Independent School System, | |||||||||||||
5.557%, 03/01/2026 | 5,000,000 | 5,505,650 | |||||||||||
California Qualified School Construction Bonds: | |||||||||||||
5.041%, 07/01/2020 | 2,500,000 | 2,715,275 | |||||||||||
7.155%, 03/01/2027 | 7,500,000 | 8,280,000 | |||||||||||
California School Finance Authority, | |||||||||||||
5.043%, 01/01/2021 (Callable 12/31/2015) | 2,000,000 | 2,055,280 | |||||||||||
Contra Costa County California Pension Obligation, | |||||||||||||
5.140%, 06/01/2017 | 5,975,000 | 6,459,453 | |||||||||||
Cuyahoga County Ohio Industrial Development Revenue, | |||||||||||||
9.125%, 10/01/2023 | 1,000,000 | 948,030 | |||||||||||
Eaton Ohio Community City Schools, | |||||||||||||
5.390%, 08/25/2027 (Callable 06/01/2020) | 2,580,000 | 2,692,153 | |||||||||||
Elgin Ohio LOC School District, | |||||||||||||
5.499%, 08/31/2027 (Callable 12/01/2019) | 4,975,000 | 5,129,275 | |||||||||||
New Hampshire Housing Finance Authority: | |||||||||||||
3.050%, 01/01/2021 | 1,380,000 | 1,323,006 | |||||||||||
3.750%, 07/01/2034 (Callable 07/01/2013) | 3,965,000 | 3,961,035 | |||||||||||
San Dieguito California Public Facilities, | |||||||||||||
6.459%, 05/01/2027 | 6,500,000 | 7,217,925 | |||||||||||
State Public School Building Authorities Revenue, | |||||||||||||
5.000%, 09/15/2027 | 5,000,000 | 5,302,500 | |||||||||||
Three Rivers Ohio LOC School District, | |||||||||||||
5.209%, 09/15/2027 (Callable 12/01/2020) | 2,650,000 | 2,742,564 | |||||||||||
Tobacco Settlement Authority Iowa, | |||||||||||||
6.500%, 06/01/2023 (Callable 06/01/2015) | 6,495,000 | 6,224,938 | |||||||||||
West Contra Costa Unified School District, | |||||||||||||
6.250%, 08/01/2030 | 2,000,000 | 2,059,500 | |||||||||||
Westlake Ohio City School District, | |||||||||||||
5.227%, 12/01/2026 (Callable 12/01/2020) | 4,000,000 | 4,268,280 | |||||||||||
66,884,864 | 3.9 | % | |||||||||||
Other Government Related Securities | |||||||||||||
Corp Andina de Fomento, | |||||||||||||
4.375%, 06/15/2022 f | 6,342,000 | 6,457,989 | |||||||||||
National Bank of Hungary Yankee Debentures, | |||||||||||||
8.875%, 11/01/2013 f | 510,000 | 519,878 | |||||||||||
Nexen Inc., | |||||||||||||
6.400%, 05/15/2037 f | 3,000,000 | 3,260,655 | |||||||||||
PEMEX Project Funding Master Trust: | |||||||||||||
5.750%, 03/01/2018 | 2,800,000 | 3,066,000 | |||||||||||
6.625%, 06/15/2035 | 1,000,000 | 1,050,000 | |||||||||||
Petrobras Global Finance B.V., | |||||||||||||
4.375%, 05/20/2023 f | 2,000,000 | 1,834,684 | |||||||||||
Petrobras International Finance Company: | |||||||||||||
3.500%, 02/06/2017 @ f | 5,000,000 | 4,977,735 | |||||||||||
5.750%, 01/20/2020 f | 1,000,000 | 1,040,378 | |||||||||||
The Export-Import Bank of Korea, | |||||||||||||
4.000%, 01/11/2017 f | 1,600,000 | 1,674,224 | |||||||||||
Westdeutsche Landesbank Subordinated Notes, | |||||||||||||
4.796%, 07/15/2015 f | 2,788,000 | 2,980,890 | |||||||||||
26,862,433 | 1.6 | % |
Corporate Bonds | |||||||||||||
Industrials | |||||||||||||
Acuity Brands Lighting Inc., | |||||||||||||
6.000%, 12/15/2019 | 4,200,000 | 4,615,057 | |||||||||||
Ameritech Capital Funding Debentures: | |||||||||||||
9.100%, 06/01/2016 | 1,263,456 | 1,429,719 | |||||||||||
6.450%, 01/15/2018 | 2,989,000 | 3,407,687 | |||||||||||
Anadarko Petroleum Corporation, | |||||||||||||
6.375%, 09/15/2017 | 6,000,000 | 6,899,880 | |||||||||||
Anglo American Capital PLC: | |||||||||||||
9.375%, 04/08/2014 (Acquired 08/29/2012, Cost $4,240,460) * f | 4,000,000 | 4,240,120 | |||||||||||
9.375%, 04/08/2019 (Acquired 04/02/2009, Cost $2,000,000) * f | 2,000,000 | 2,523,266 | |||||||||||
Apple, Inc., | |||||||||||||
2.400%, 05/03/2023 @ | 3,000,000 | 2,782,392 | |||||||||||
Bunge Limited Finance Corporation, | |||||||||||||
5.100%, 07/15/2015 | 1,289,000 | 1,385,834 | |||||||||||
Bunge N.A. Finance L.P., | |||||||||||||
5.900%, 04/01/2017 | 3,800,000 | 4,185,567 | |||||||||||
Canadian Natural Resources Limited, | |||||||||||||
6.500%, 02/15/2037 f | 1,100,000 | 1,262,416 | |||||||||||
CenturyLink Inc., | |||||||||||||
Series R, 5.150%, 06/15/2017 @ | 3,000,000 | 3,157,500 | |||||||||||
Comcast Corporation: | |||||||||||||
4.250%, 01/15/2033 | 6,400,000 | 6,123,571 | |||||||||||
6.950%, 08/15/2037 | 1,000,000 | 1,258,728 | |||||||||||
Computer Sciences Corporation, | |||||||||||||
2.500%, 09/15/2015 | 5,250,000 | 5,352,580 | |||||||||||
ConAgra Foods, Inc.: | |||||||||||||
5.819%, 06/15/2017 | 1,687,000 | 1,897,500 | |||||||||||
4.950%, 08/15/2020 (Acquired 07/21/2010, Cost $1,996,800) * | 2,000,000 | 2,148,826 | |||||||||||
9.750%, 03/01/2021 | 120,000 | 156,357 | |||||||||||
Continental Airlines, Inc. Pass Through Trust, | |||||||||||||
Series 974A, 6.900%, 01/02/2018 | 271,775 | 289,440 | |||||||||||
D.R. Horton, Inc., | |||||||||||||
6.500%, 04/15/2016 | 1,000,000 | 1,080,000 | |||||||||||
Deutsche Telekom International Finance B.V., | |||||||||||||
8.750%, 06/15/2030 f | 460,000 | 638,145 | |||||||||||
Donnelley (R.R.) & Sons Co.: | |||||||||||||
8.600%, 08/15/2016 | 2,500,000 | 2,850,000 | |||||||||||
6.125%, 01/15/2017 @ | 2,000,000 | 2,090,000 | |||||||||||
7.625%, 06/15/2020 @ | 1,000,000 | 1,015,000 | |||||||||||
Express Scripts Holding Co, | |||||||||||||
2.650%, 02/15/2017 | 3,000,000 | 3,054,759 | |||||||||||
Federal Express Corp. 1998 Pass Through Trust, | |||||||||||||
Series 981B, 6.845%, 01/15/2019 | 2,528,070 | 2,878,181 | |||||||||||
Fidelity National Information Services, Inc., | |||||||||||||
7.875%, 07/15/2020 | 3,000,000 | 3,307,359 | |||||||||||
Fiserv, Inc., | |||||||||||||
4.625%, 10/01/2020 | 2,000,000 | 2,072,962 | |||||||||||
Fomento Economico Mexicano SAB de CV, | |||||||||||||
4.375%, 05/10/2043 f | 4,900,000 | 4,265,504 | |||||||||||
Ford Motor Credit Company LLC, | |||||||||||||
7.000%, 04/15/2015 | 1,300,000 | 1,409,344 | |||||||||||
Glencore Funding LLC: | |||||||||||||
6.000%, 04/15/2014 (Acquired 03/31/2004 through 06/20/2011, Cost $8,110,165) * | 8,092,000 | 8,375,786 | |||||||||||
2.500%, 01/15/2019 (Acquired 05/22/2013, Cost $4,975,100) * | 5,000,000 | 4,523,545 | |||||||||||
GTE Corporation: | |||||||||||||
6.840%, 04/15/2018 | 3,565,000 | 4,238,332 | |||||||||||
8.750%, 11/01/2021 | 100,000 | 131,454 | |||||||||||
Health Management Association, | |||||||||||||
6.125%, 04/15/2016 | 650,000 | 698,750 | |||||||||||
Holcim U.S. Finance, | |||||||||||||
6.000%, 12/30/2019 (Acquired 09/24/2009 through 06/26/2012, Cost $1,096,069) * f | 1,105,000 | 1,233,810 | |||||||||||
Hospira, Inc., | |||||||||||||
6.050%, 03/30/2017 | 5,000,000 | 5,350,295 | |||||||||||
Hyundai Capital Services Inc.: | |||||||||||||
6.000%, 05/05/2015 (Acquired 05/20/2013, Cost $2,165,428) * f | 2,000,000 | 2,147,732 | |||||||||||
4.375%, 07/27/2016 (Acquired 04/23/2013, Cost $2,420,317) * f | 2,250,000 | 2,385,094 | |||||||||||
3.500%, 09/13/2017 (Acquired 03/07/2012, Cost $1,807,554) * f | 1,800,000 | 1,832,843 | |||||||||||
Johnson Controls Inc., | |||||||||||||
6.000%, 01/15/2036 | 1,000,000 | 1,089,052 | |||||||||||
Lafarge SA, | |||||||||||||
7.125%, 07/15/2036 @ f | 1,000,000 | 1,040,000 | |||||||||||
Martin Marietta Materials, Inc., | |||||||||||||
6.250%, 05/01/2037 | 1,000,000 | 966,630 | |||||||||||
Masco Corporation, | |||||||||||||
6.125%, 10/03/2016 | 1,000,000 | 1,080,000 | |||||||||||
Mega Advance Investments Ltd, | |||||||||||||
5.000%, 05/12/2021 (Acquired 05/09/2011, Cost $5,443,790) * @ f | 5,500,000 | 5,596,839 | |||||||||||
Murphy Oil Corporation, | |||||||||||||
4.000%, 06/01/2022 | 5,000,000 | 4,776,100 | |||||||||||
Mylan Inc., | |||||||||||||
6.000%, 11/15/2018 (Acquired 02/01/2013 through 02/12/2013, Cost $6,695,791) * | 6,158,000 | 6,748,435 | |||||||||||
Nabors Industries, Inc.: | |||||||||||||
6.150%, 02/15/2018 | 1,100,000 | 1,227,063 | |||||||||||
9.250%, 01/15/2019 | 3,608,000 | 4,476,543 | |||||||||||
National Oilwell Varco Inc., | |||||||||||||
Series B, 6.125%, 08/15/2015 | 7,045,000 | 7,053,384 | |||||||||||
New Cingular Wireless Services, Inc., | |||||||||||||
8.750%, 03/01/2031 | 1,300,000 | 1,877,612 | |||||||||||
Pactiv Corporation, | |||||||||||||
7.950%, 12/15/2025 | 320,000 | 284,800 | |||||||||||
Petrohawk Energy Corporation, | |||||||||||||
7.250%, 08/15/2018 | 6,908,000 | 7,536,628 | |||||||||||
Plum Creek Timberlands, L.P., | |||||||||||||
5.875%, 11/15/2015 | 4,355,000 | 4,778,955 | |||||||||||
Questar Market Resources Inc., | |||||||||||||
6.800%, 03/01/2020 | 1,000,000 | 1,105,000 | |||||||||||
Rio Tinto Alcan, Inc., | |||||||||||||
5.750%, 06/01/2035 f | 500,000 | 530,472 | |||||||||||
Rio Tinto Finance (USA) Limited, | |||||||||||||
9.000%, 05/01/2019 f | 5,000,000 | 6,495,460 | |||||||||||
SK Telecom, | |||||||||||||
6.625%, 07/20/2027 (Acquired 07/13/2007, Cost $1,482,015) * f | 1,500,000 | 1,765,822 | |||||||||||
Sprint Capital Corporation: | |||||||||||||
6.900%, 05/01/2019 | 2,800,000 | 2,912,000 | |||||||||||
8.750%, 03/15/2032 | 358,000 | 393,800 | |||||||||||
Talisman Energy Inc., | |||||||||||||
7.750%, 06/01/2019 f | 1,200,000 | 1,458,516 | |||||||||||
Telecom Italia Capital, SA: | |||||||||||||
7.175%, 06/18/2019 f | 2,000,000 | 2,225,770 | |||||||||||
7.200%, 07/18/2036 f | 5,519,000 | 5,435,244 | |||||||||||
Telefonica Emisiones S.A.U.: | |||||||||||||
6.421%, 06/20/2016 f | 2,050,000 | 2,250,845 | |||||||||||
6.221%, 07/03/2017 f | 5,075,000 | 5,534,313 | |||||||||||
Time Warner, Inc.: | |||||||||||||
7.625%, 04/15/2031 | 1,100,000 | 1,386,608 | |||||||||||
7.700%, 05/01/2032 | 6,630,000 | 8,429,541 | |||||||||||
6.550%, 05/01/2037 | 1,000,000 | 1,001,437 | |||||||||||
6.750%, 06/15/2039 | 3,100,000 | 3,162,276 | |||||||||||
Tyco Electronics Group S.A., | |||||||||||||
6.550%, 10/01/2017 f | 7,000,000 | 8,103,200 | |||||||||||
U.S. Airways Pass Through Trust, | |||||||||||||
Series 981A, 6.850%, 01/30/2018 | 269,231 | 285,385 | |||||||||||
United AirLines, Inc. Pass Through Trust, | |||||||||||||
Series 002C, 7.762%, 04/29/2049 § ** | 53,574 | 1,607 | |||||||||||
Vale Overseas Limited: | |||||||||||||
8.250%, 01/17/2034 f | 3,950,000 | 4,619,197 | |||||||||||
6.875%, 11/21/2036 f | 1,550,000 | 1,569,357 | |||||||||||
6.875%, 11/10/2039 f | 1,000,000 | 1,009,381 | |||||||||||
Volkswagen International Finance N.V., | |||||||||||||
1.022%, 03/21/2014 (Acquired 08/13/2012, Cost $1,803,854) * f | 1,800,000 | 1,804,790 | |||||||||||
Vulcan Materials Co.: | |||||||||||||
7.000%, 06/15/2018 | 2,000,000 | 2,170,000 | |||||||||||
7.150%, 11/30/2037 @ | 500,000 | 501,250 | |||||||||||
Westvaco Corporation, | |||||||||||||
9.750%, 06/15/2020 | 160,000 | 207,263 | |||||||||||
Woodside Finance Limited, | |||||||||||||
8.125%, 03/01/2014 (Acquired 02/24/2009, Cost $3,598,884) * f | 3,600,000 | 3,762,914 | |||||||||||
Xerox Corporation, | |||||||||||||
8.250%, 05/15/2014 | 5,220,000 | 5,546,031 | |||||||||||
Xstrata Finance Canada Ltd, | |||||||||||||
5.800%, 11/15/2016 (Acquired 12/06/2011, Cost $730,084) * f | 690,000 | 752,690 | |||||||||||
Yara International ASA, | |||||||||||||
5.250%, 12/15/2014 (Acquired 10/02/2012 through 11/09/2012, Cost $6,632,737) * f | 6,290,000 | 6,623,093 | |||||||||||
238,270,638 | 13.9 | % |
Utility | |||||||||||||
Ameren Corporation, | |||||||||||||
8.875%, 05/15/2014 | 6,900,000 | 7,354,676 | |||||||||||
Arizona Public Service Senior Unsecured Notes, | |||||||||||||
8.750%, 03/01/2019 | 850,000 | 1,104,595 | |||||||||||
Beaver Valley Funding Corporation Debentures, | |||||||||||||
9.000%, 06/01/2017 | 511,000 | 518,713 | |||||||||||
Constellation Energy Group Inc., | |||||||||||||
4.550%, 06/15/2015 | 5,862,000 | 6,240,257 | |||||||||||
DCP Midstream, LLC, | |||||||||||||
9.750%, 03/15/2019 (Acquired 02/29/2012 through 10/15/2012, Cost $7,209,487) * | 5,675,000 | 7,318,656 | |||||||||||
El Paso Pipeline Partners Operating Co LLC, | |||||||||||||
7.500%, 11/15/2040 | 4,500,000 | 5,624,896 | |||||||||||
Enel Finance International: | |||||||||||||
5.125%, 10/07/2019 (Acquired 09/30/2009, Cost $2,464,110) * @ f | 2,475,000 | 2,570,367 | |||||||||||
6.800%, 09/15/2037 (Acquired 09/13/2007, Cost $1,894,965) * f | 1,900,000 | 1,902,650 | |||||||||||
Energy Transfer Partners, L.P., | |||||||||||||
9.700%, 03/15/2019 | 1,000,000 | 1,297,773 | |||||||||||
Exelon Generation Company, LLC, | |||||||||||||
6.200%, 10/01/2017 | 2,200,000 | 2,515,020 | |||||||||||
FPL Group Capital, Inc., | |||||||||||||
Series D, 7.300%, 09/01/2067 | 2,500,000 | 2,762,500 | |||||||||||
GG1C Funding Corporation, | |||||||||||||
5.129%, 01/15/2014 (Acquired 06/27/2006, Cost $182,384) * | 183,144 | 184,370 | |||||||||||
Kinder Morgan Energy Partners, L.P.: | |||||||||||||
9.000%, 02/01/2019 @ | 1,000,000 | 1,277,466 | |||||||||||
6.950%, 01/15/2038 | 2,250,000 | 2,660,177 | |||||||||||
6.500%, 09/01/2039 | 1,000,000 | 1,118,713 | |||||||||||
Kinder Morgan Finance, | |||||||||||||
5.700%, 01/05/2016 @ f | 900,000 | 963,986 | |||||||||||
Kiowa Power Partners LLC, | |||||||||||||
4.811%, 12/30/2013 (Acquired 12/23/2011, Cost $60,743) * | 60,435 | 60,785 | |||||||||||
Korea Electric Power Corporation, | |||||||||||||
6.750%, 08/01/2027 f | 2,165,000 | 2,692,004 | |||||||||||
Korea Gas Corp., | |||||||||||||
4.250%, 11/02/2020 (Acquired 10/26/2010, Cost $2,587,026) * @ f | 2,600,000 | 2,636,163 | |||||||||||
Maritimes & Northeast Pipeline, LLC, | |||||||||||||
7.500%, 05/31/2014 (Acquired 06/18/2013, Cost $8,811,777) * | 8,404,000 | 8,803,493 | |||||||||||
National Rural Utilities Corporation, | |||||||||||||
8.000%, 03/01/2032 | 2,300,000 | 3,187,299 | |||||||||||
ONEOK Partners, L.P., | |||||||||||||
6.150%, 10/01/2016 | 3,401,000 | 3,877,320 | |||||||||||
PPL Energy Supply, LLC, | |||||||||||||
Series A, 5.700%, 10/15/2015 | 2,060,000 | 2,212,737 | |||||||||||
PSEG Power LLC: | |||||||||||||
5.320%, 09/15/2016 @ | 3,223,000 | 3,574,761 | |||||||||||
5.125%, 04/15/2020 | 4,005,000 | 4,402,805 | |||||||||||
RGS (I&M) Funding Corporation Debentures, | |||||||||||||
Series F, 9.820%, 12/07/2022 | 1,063,416 | 1,339,516 | |||||||||||
Rockies Express Pipeline LLC, | |||||||||||||
5.625%, 04/15/2020 (Acquired 03/17/2010, Cost $1,998,220) * @ | 2,000,000 | 1,730,000 | |||||||||||
Southern Natural Gas, | |||||||||||||
5.900%, 04/01/2017 (Acquired 03/14/2007, Cost $1,397,676) * | 1,400,000 | 1,595,297 | |||||||||||
Spectra Energy Capital LLC, | |||||||||||||
5.668%, 08/15/2014 | 1,000,000 | 1,050,061 | |||||||||||
Williams Partners L.P., | |||||||||||||
6.300%, 04/15/2040 | 3,100,000 | 3,249,625 | |||||||||||
85,826,681 | 5.0 | % |
Finance | |||||||||||||
Ally Financial Inc., | |||||||||||||
6.750%, 12/01/2014 | 150,000 | 157,875 | |||||||||||
American General Finance Corporation, | |||||||||||||
6.900%, 12/15/2017 | 500,000 | 490,625 | |||||||||||
American International Group, Inc.: | |||||||||||||
5.600%, 10/18/2016 | 3,000,000 | 3,342,876 | |||||||||||
8.250%, 08/15/2018 | 2,000,000 | 2,480,286 | |||||||||||
8.175%, 05/15/2058 | 1,000,000 | 1,220,000 | |||||||||||
Ameriprise Financial, Inc., | |||||||||||||
7.300%, 06/28/2019 | 2,000,000 | 2,487,524 | |||||||||||
AmSouth Bancorp, | |||||||||||||
6.750%, 11/01/2025 | 250,000 | 265,770 | |||||||||||
Associates Corporation of North America, | |||||||||||||
6.950%, 11/01/2018 | 5,225,000 | 6,187,973 | |||||||||||
BAC Capital Trust VI, | |||||||||||||
5.625%, 03/08/2035 ^ | 400,000 | 405,243 | |||||||||||
Bank of America Corporation Subordinated Notes, | |||||||||||||
10.200%, 07/15/2015 | 1,715,000 | 1,986,632 | |||||||||||
Banponce Trust I, | |||||||||||||
Series A, 8.327%, 02/01/2027 | 2,175,000 | 1,886,812 | |||||||||||
Barclays Bank PLC, | |||||||||||||
6.750%, 05/22/2019 f | 4,000,000 | 4,764,988 | |||||||||||
BNP Paribas SA, | |||||||||||||
3.250%, 03/03/2023 @ f | 4,000,000 | 3,677,008 | |||||||||||
Cie de Financement Foncier SA, | |||||||||||||
2.500%, 09/16/2015 (Acquired 08/13/2012 through 08/14/2012, Cost $1,532,860) * f | 1,500,000 | 1,547,862 | |||||||||||
Citigroup, Inc.: | |||||||||||||
4.450%, 01/10/2017 | 1,000,000 | 1,070,790 | |||||||||||
6.125%, 11/21/2017 | 2,775,000 | 3,153,923 | |||||||||||
CNA Financial Corporation, | |||||||||||||
6.500%, 08/15/2016 | 5,000,000 | 5,664,370 | |||||||||||
Commonwealth Bank of Australia, | |||||||||||||
0.905%, 10/08/2015 (Acquired 01/09/2013, Cost $5,002,603) * f | 5,000,000 | 4,989,990 | |||||||||||
Rabobank Nederland, | |||||||||||||
0.524%, 03/07/2016 (Acquired 05/21/2013, Cost $9,927,701) * f | 10,000,000 | 9,937,350 | |||||||||||
Countrywide Financial Corporation, | |||||||||||||
6.250%, 05/15/2016 | 5,330,000 | 5,812,274 | |||||||||||
Credit Agricole S.A., | |||||||||||||
6.637%, 05/29/2049 (Acquired 05/23/2007, Cost $1,000,000) * @ f | 1,000,000 | 922,500 | |||||||||||
Credit Suisse New York, | |||||||||||||
5.300%, 08/13/2019 f | 1,575,000 | 1,771,853 | |||||||||||
Dresdner Bank AG, | |||||||||||||
7.250%, 09/15/2015 @ f | 2,410,000 | 2,524,354 | |||||||||||
First Empire Capital Trust I, | |||||||||||||
8.234%, 02/01/2027 | 3,135,000 | 3,112,578 | |||||||||||
First Empire Capital Trust II, | |||||||||||||
8.277%, 06/01/2027 | 1,575,000 | 1,590,750 | |||||||||||
First Hawaiian Capital Trust I, | |||||||||||||
Series B, 8.343%, 07/01/2027 | 3,749,000 | 3,814,608 | |||||||||||
First National Bank of Chicago Pass Through Trust, | |||||||||||||
Series 93-A, 8.080%, 01/05/2018 | 464,293 | 512,982 | |||||||||||
First Tennessee Bank, National Association, | |||||||||||||
5.050%, 01/15/2015 | 5,045,000 | 5,268,988 | |||||||||||
FMR LLC, | |||||||||||||
4.950%, 02/01/2033 (Acquired 01/29/2013, Cost $1,997,480) * | 2,000,000 | 1,930,140 | |||||||||||
General Electric Capital Corporation: | |||||||||||||
5.550%, 05/04/2020 | 6,200,000 | 7,003,390 | |||||||||||
4.650%, 10/17/2021 | 6,000,000 | 6,364,572 | |||||||||||
Genworth Financial, Inc., | |||||||||||||
5.750%, 06/15/2014 @ | 1,416,000 | 1,473,146 | |||||||||||
GMAC Inc.: | |||||||||||||
7.500%, 12/31/2013 | 336,000 | 344,400 | |||||||||||
8.000%, 12/31/2018 | 403,000 | 456,397 | |||||||||||
Goldman Sachs Capital I, | |||||||||||||
6.345%, 02/15/2034 @ | 1,180,000 | 1,133,812 | |||||||||||
Great West Life & Annuity Insurance, | |||||||||||||
7.153%, 05/16/2046 (Acquired 05/16/2006 through 11/08/2007, Cost $2,783,656) * | 2,800,000 | 2,870,000 | |||||||||||
Highmark Inc. Notes, | |||||||||||||
4.750%, 05/15/2021 (Acquired 05/03/2011, Cost $2,987,880) * | 3,000,000 | 2,825,088 | |||||||||||
HSBC Holdings PLC, | |||||||||||||
6.500%, 09/15/2037 f | 2,100,000 | 2,334,547 | |||||||||||
HSBC USA Capital Trust I, | |||||||||||||
7.808%, 12/15/2026 (Acquired 03/08/2007, Cost $405,410) * | 400,000 | 406,500 | |||||||||||
HSBC USA Capital Trust III, | |||||||||||||
8.380%, 05/15/2027 (Acquired 11/06/2007, Cost $508,137) * | 500,000 | 508,314 | |||||||||||
Humana Inc., | |||||||||||||
7.200%, 06/15/2018 | 2,000,000 | 2,382,406 | |||||||||||
Hutchison Whampoa International Ltd., | |||||||||||||
7.625%, 04/09/2019 (Acquired 10/22/2009 through 10/29/2009, Cost $6,195,057) * f | 5,700,000 | 6,930,163 | |||||||||||
Industrial Bank of Korea, | |||||||||||||
3.750%, 09/29/2016 (Acquired 03/22/2011, Cost $496,855) * f | 500,000 | 523,414 | |||||||||||
ING Bank N.V.: | |||||||||||||
4.000%, 03/15/2016 (Acquired 03/08/2011, Cost $3,648,029) * @ f | 3,650,000 | 3,850,166 | |||||||||||
3.750%, 03/07/2017 (Acquired 03/28/2012, Cost $2,132,951) * f | 2,150,000 | 2,250,276 | |||||||||||
J.P. Morgan Chase & Co., | |||||||||||||
5.600%, 07/15/2041 | 4,600,000 | 4,950,308 | |||||||||||
J.P. Morgan Chase Bank NA, | |||||||||||||
5.875%, 06/13/2016 | 3,000,000 | 3,344,967 | |||||||||||
Jefferies Group, Inc.: | |||||||||||||
6.875%, 04/15/2021 | 4,000,000 | 4,399,168 | |||||||||||
6.250%, 01/15/2036 | 1,445,000 | 1,394,425 | |||||||||||
John Hancock Life Insurance Company, | |||||||||||||
7.375%, 02/15/2024 (Acquired 08/26/2010, Cost $7,583,382) * | 6,800,000 | 8,256,506 | |||||||||||
Kaupthing Bank, | |||||||||||||
5.750%, 10/04/2011 (Acquired 06/06/2008 through 07/22/2008, Cost $969,046) * § f ** | 1,250,000 | 293,750 | |||||||||||
Kookmin Bank, | |||||||||||||
7.250%, 05/14/2014 (Acquired 08/24/2009 through 03/10/2010, Cost $5,107,630) * f | 5,000,000 | 5,247,845 | |||||||||||
Liberty Mutual Group Inc.: | |||||||||||||
4.250%, 06/15/2023 (Acquired 06/13/2013, Cost $2,980,950) * | 3,000,000 | 2,898,681 | |||||||||||
10.750%, 06/15/2058 (Acquired 05/21/2008, Cost $2,445,125) * | 2,500,000 | 3,812,500 | |||||||||||
Liberty Mutual Insurance Company, | |||||||||||||
7.697%, 10/15/2097 (Acquired 03/26/2003, Cost $361,720) * | 565,000 | 592,560 | |||||||||||
Lincoln National Corporation, | |||||||||||||
6.050%, 04/20/2067 | 1,125,000 | 1,102,140 | |||||||||||
Lloyds TSB Bank PLC, | |||||||||||||
5.800%, 01/13/2020 (Acquired 02/10/2010, Cost $1,565,553) * f | 1,600,000 | 1,800,341 | |||||||||||
Marsh & McLennan Companies, Inc.: | |||||||||||||
2.300%, 04/01/2017 | 2,500,000 | 2,494,378 | |||||||||||
9.250%, 04/15/2019 | 1,650,000 | 2,158,571 | |||||||||||
Massachusetts Mutual Life Insurance Company, | |||||||||||||
8.875%, 06/01/2039 (Acquired 05/27/2009, Cost $987,100) * | 1,000,000 | 1,465,497 | |||||||||||
MBIA Insurance Corp., | |||||||||||||
14.000%, 01/15/2033 (Acquired 01/11/2008, Cost $800,000) * @ | 800,000 | 684,000 | |||||||||||
Merrill Lynch & Company: | |||||||||||||
6.400%, 08/28/2017 | 1,000,000 | 1,129,164 | |||||||||||
6.875%, 04/25/2018 | 1,750,000 | 2,014,115 | |||||||||||
7.750%, 05/14/2038 | 1,275,000 | 1,458,452 | |||||||||||
Metlife, Inc., | |||||||||||||
6.500%, 12/15/2032 | 522,000 | 634,341 | |||||||||||
Mizuho Corporate Bank, Ltd., | |||||||||||||
1.850%, 03/21/2018 (Acquired 03/14/2013, Cost $3,495,170) * f | 3,500,000 | 3,397,397 | |||||||||||
Morgan Stanley: | |||||||||||||
4.750%, 04/01/2014 | 1,075,000 | 1,098,360 | |||||||||||
4.000%, 07/24/2015 | 1,000,000 | 1,042,347 | |||||||||||
7.300%, 05/13/2019 | 3,000,000 | 3,484,842 | |||||||||||
National Australia Bank Limited, | |||||||||||||
0.805%, 10/08/2015 (Acquired 01/16/2013, Cost $10,010,439) * f | 10,000,000 | 9,995,610 | |||||||||||
National City Bank, | |||||||||||||
5.800%, 06/07/2017 | 2,000,000 | 2,276,534 | |||||||||||
Nomura Holdings Inc., | |||||||||||||
2.000%, 09/13/2016 f | 7,000,000 | 6,921,887 | |||||||||||
Protective Life Corp., | |||||||||||||
7.375%, 10/15/2019 | 2,950,000 | 3,574,232 | |||||||||||
Prudential Covered Trust 2012-1, | |||||||||||||
2.997%, 09/30/2015 (Acquired 12/19/2012, Cost $7,297,485) * | 7,065,000 | 7,290,515 | |||||||||||
Regions Bank, | |||||||||||||
7.500%, 05/15/2018 | 5,000,000 | 5,832,035 | |||||||||||
Regions Financial Corporation: | |||||||||||||
7.750%, 11/10/2014 | 282,000 | 304,724 | |||||||||||
5.750%, 06/15/2015 | 2,000,000 | 2,157,500 | |||||||||||
Republic New York Capital I, | |||||||||||||
7.750%, 11/15/2026 | 1,000,000 | 1,015,000 | |||||||||||
Republic New York Corporation Debentures, | |||||||||||||
9.125%, 05/15/2021 | 700,000 | 886,972 | |||||||||||
Santander Issuances, | |||||||||||||
6.500%, 08/11/2019 (Acquired 10/18/2007 through 03/19/2012, Cost $1,866,787) * @ f | 1,800,000 | 1,835,905 | |||||||||||
Santander U.S. Debt S.A. Unipersonal, | |||||||||||||
2.991%, 10/07/2013 (Acquired 09/27/2010, Cost $1,100,000) * f | 1,100,000 | 1,106,272 | |||||||||||
SLM Corporation: | |||||||||||||
5.375%, 05/15/2014 | 3,912,000 | 3,990,240 | |||||||||||
5.625%, 08/01/2033 | 500,000 | 415,000 | |||||||||||
Sovereign Bank, | |||||||||||||
8.750%, 05/30/2018 | 4,900,000 | 5,924,600 | |||||||||||
Sparebank 1 Boligkreditt AS, | |||||||||||||
1.750%, 11/15/2019 (Acquired 11/07/2012, Cost $4,961,150) * f | 5,000,000 | 4,703,000 | |||||||||||
SunTrust Bank, | |||||||||||||
7.250%, 03/15/2018 | 2,100,000 | 2,518,717 | |||||||||||
SUSA Partnership, L.P., | |||||||||||||
8.200%, 06/01/2017 | 1,032,000 | 1,215,550 | |||||||||||
Svenska Handelsbanken AB, | |||||||||||||
0.722%, 03/21/2016 @ f | 4,000,000 | 4,000,052 | |||||||||||
Swedbank AB, | |||||||||||||
2.125%, 09/29/2017 (Acquired 09/24/2012, Cost $1,996,980) * f | 2,000,000 | 1,987,780 | |||||||||||
Symetra Financial Corporation, | |||||||||||||
6.125%, 04/01/2016 (Acquired 03/23/2006, Cost $995,570) * | 1,000,000 | 1,090,122 | |||||||||||
Talent Yield Investments Ltd, | |||||||||||||
4.500%, 04/25/2022 (Acquired 04/18/2012, Cost $1,986,320) * @ f | 2,000,000 | 1,946,216 | |||||||||||
TD Ameritrade Holding Corporation, | |||||||||||||
5.600%, 12/01/2019 | 3,300,000 | 3,836,072 | |||||||||||
The Bank of Nova Scotia, | |||||||||||||
0.673%, 03/15/2016 f | 8,000,000 | 7,995,816 | |||||||||||
The Bear Stearns Companies LLC, | |||||||||||||
5.300%, 10/30/2015 | 2,550,000 | 2,783,906 | |||||||||||
The Goldman Sachs Group, Inc.: | |||||||||||||
6.250%, 09/01/2017 | 1,000,000 | 1,133,204 | |||||||||||
6.150%, 04/01/2018 | 6,100,000 | 6,873,724 | |||||||||||
7.500%, 02/15/2019 | 2,200,000 | 2,612,663 | |||||||||||
The Hartford Financial Services Group, Inc.: | |||||||||||||
4.000%, 10/15/2017 @ | 5,000,000 | 5,302,150 | |||||||||||
8.125%, 06/15/2038 @ | 2,200,000 | 2,425,500 | |||||||||||
The NASDAQ OMX Group Inc., | |||||||||||||
4.000%, 01/15/2015 | 1,000,000 | 1,031,088 | |||||||||||
The Navigators Group Inc., | |||||||||||||
7.000%, 05/01/2016 | 4,921,000 | 5,328,877 | |||||||||||
The Royal Bank of Scotland Group PLC, | |||||||||||||
6.125%, 01/11/2021 f | 3,150,000 | 3,497,253 | |||||||||||
UBS AG, | |||||||||||||
5.750%, 04/25/2018 f | 6,000,000 | 6,933,714 | |||||||||||
Wachovia Bank, NA, | |||||||||||||
6.000%, 11/15/2017 | 4,245,000 | 4,844,029 | |||||||||||
Westpac Banking Corporation, | |||||||||||||
1.600%, 01/12/2018 f | 7,875,000 | 7,731,754 | |||||||||||
Willis North America, Inc.: | |||||||||||||
5.625%, 07/15/2015 | 750,000 | 804,803 | |||||||||||
7.000%, 09/29/2019 | 5,000,000 | 5,742,560 | |||||||||||
323,655,746 | 18.8 | % |
Residential Mortgage-Backed Securities | |||||||||||||
U.S. Government Agency Issues | |||||||||||||
Federal Gold Loan Mortgage Corporation (FGLMC): | |||||||||||||
6.500%, 07/01/2014 | 2,695 | 2,733 | |||||||||||
6.000%, 06/01/2020 | 278,109 | 290,317 | |||||||||||
5.500%, 11/01/2022 | 155,986 | 167,748 | |||||||||||
5.000%, 06/01/2023 | 157,306 | 167,852 | |||||||||||
5.500%, 07/01/2023 | 173,391 | 186,579 | |||||||||||
2.500%, 04/01/2028 | 6,682,292 | 6,724,232 | |||||||||||
6.500%, 06/01/2029 | 495,550 | 553,588 | |||||||||||
5.500%, 01/01/2036 | 1,166,319 | 1,260,220 | |||||||||||
6.000%, 12/01/2036 | 814,078 | 884,145 | |||||||||||
5.000%, 03/01/2038 | 8,277,073 | 8,839,546 | |||||||||||
5.500%, 05/01/2038 | 3,783,308 | 4,064,416 | |||||||||||
4.500%, 11/01/2039 | 5,354,836 | 5,638,000 | |||||||||||
4.500%, 11/01/2039 | 11,812,866 | 12,437,531 | |||||||||||
3.500%, 06/01/2042 | 10,421,497 | 10,570,677 | |||||||||||
3.500%, 07/01/2042 | 16,479,061 | 16,714,953 | |||||||||||
3.000%, 08/01/2042 | 36,791,432 | 35,916,515 | |||||||||||
3.000%, 10/01/2042 | 13,366,811 | 13,048,942 | |||||||||||
3.000%, 02/01/2043 | 7,395,394 | 7,219,528 | |||||||||||
Federal Home Loan Mortgage Corporation (FHLMC): | |||||||||||||
Series 206, Class E, 0.000%, 07/15/2019 ^ | 45,340 | 45,238 | |||||||||||
Series 141, Class D, 5.000%, 05/15/2021 | 29,461 | 31,199 | |||||||||||
Series 1074, Class I, 6.750%, 05/15/2021 | 29,480 | 32,223 | |||||||||||
Series 1081, Class K, 7.000%, 05/15/2021 | 165,046 | 184,569 | |||||||||||
Series 163, Class F, 6.000%, 07/15/2021 | 28,511 | 31,454 | |||||||||||
Series 188, Class H, 7.000%, 09/15/2021 | 60,934 | 67,690 | |||||||||||
Series 1286, Class A, 6.000%, 05/15/2022 | 22,496 | 24,443 | |||||||||||
4.500%, 09/01/2040 | 12,483,799 | 13,156,829 | |||||||||||
Federal National Mortgage Association (FNMA): | |||||||||||||
Series 1989-37, Class G, 8.000%, 07/25/2019 | 190,331 | 210,712 | |||||||||||
5.000%, 12/01/2019 | 630,266 | 672,872 | |||||||||||
Series 1989-94, Class G, 7.500%, 12/25/2019 | 50,474 | 55,855 | |||||||||||
Series 1990-58, Class J, 7.000%, 05/25/2020 | 7,773 | 8,630 | |||||||||||
Series 1990-76, Class G, 7.000%, 07/25/2020 | 56,883 | 63,194 | |||||||||||
Series 1990-105, Class J, 6.500%, 09/25/2020 | 31,717 | 34,468 | |||||||||||
Series 1990-108, Class G, 7.000%, 09/25/2020 | 10,728 | 11,951 | |||||||||||
Series 1991-1, Class G, 7.000%, 01/25/2021 | 17,879 | 20,007 | |||||||||||
Series 1991-86, Class Z, 6.500%, 07/25/2021 | 22,458 | 24,651 | |||||||||||
5.000%, 11/01/2021 | 5,340,837 | 5,703,907 | |||||||||||
5.500%, 01/01/2023 | 339,865 | 368,741 | |||||||||||
Series 1993-58, Class H, 5.500%, 04/25/2023 | 296,517 | 324,426 | |||||||||||
5.500%, 07/01/2023 | 610,069 | 661,934 | |||||||||||
5.000%, 11/01/2023 | 1,463,583 | 1,587,007 | |||||||||||
6.000%, 03/01/2026 | 593,643 | 647,562 | |||||||||||
6.000%, 05/01/2026 | 1,307,913 | 1,426,520 | |||||||||||
3.000%, 04/01/2027 | 16,365,963 | 16,853,976 | |||||||||||
2.500%, 12/01/2027 | 17,018,470 | 17,145,906 | |||||||||||
5.000%, 05/01/2028 | 1,042,050 | 1,120,808 | |||||||||||
Series 1998-66, Class C, 6.000%, 12/25/2028 | 188,527 | 206,584 | |||||||||||
4.500%, 08/01/2029 | 6,885,725 | 7,297,949 | |||||||||||
4.500%, 09/01/2029 | 7,319,962 | 7,758,404 | |||||||||||
6.000%, 03/01/2033 | 184,078 | 205,472 | |||||||||||
5.000%, 11/01/2033 | 194,350 | 210,250 | |||||||||||
5.500%, 04/01/2034 | 3,921,868 | 4,292,578 | |||||||||||
Series 2004-W6, Class 1A6, 5.500%, 07/25/2034 | 2,069,537 | 2,115,296 | |||||||||||
Series 2004-W6, Class 1A4, 5.500%, 07/25/2034 | 690,092 | 703,767 | |||||||||||
Series 2004-W10, Class A4, 5.750%, 08/25/2034 | 1,042,062 | 1,052,462 | |||||||||||
5.500%, 09/01/2034 | 760,169 | 833,454 | |||||||||||
6.000%, 11/01/2034 | 200,887 | 224,046 | |||||||||||
5.500%, 02/01/2035 | 2,704,165 | 2,964,864 | |||||||||||
5.000%, 10/01/2035 | 11,985,802 | 12,917,805 | |||||||||||
5.000%, 11/01/2035 | 5,113,136 | 5,505,246 | |||||||||||
5.500%, 11/01/2036 | 1,271,820 | 1,379,805 | |||||||||||
5.500%, 04/01/2037 | 6,004,126 | 6,579,786 | |||||||||||
6.000%, 08/01/2037 | 260,912 | 280,601 | |||||||||||
4.500%, 11/01/2039 | 968,759 | 1,024,734 | |||||||||||
4.000%, 08/01/2040 | 6,063,517 | 6,319,933 | |||||||||||
3.500%, 12/01/2040 | 2,728,847 | 2,773,881 | |||||||||||
3.500%, 02/01/2041 | 23,356,748 | 23,742,205 | |||||||||||
4.000%, 02/01/2041 | 29,386,111 | 30,724,775 | |||||||||||
4.000%, 09/01/2041 | 9,353,049 | 9,757,340 | |||||||||||
3.000%, 05/01/2042 | 10,801,532 | 10,568,571 | |||||||||||
Government National Mortgage Association (GNMA): | |||||||||||||
6.000%, 11/20/2033 | 154,284 | 178,842 | |||||||||||
5.000%, 07/20/2040 | 8,711,349 | 9,604,449 | |||||||||||
4.500%, 01/20/2041 | 25,427,202 | 27,407,757 | |||||||||||
4.000%, 06/20/2042 | 22,468,688 | 23,644,154 | |||||||||||
3.500%, 09/20/2042 | 13,734,537 | 14,119,742 | |||||||||||
399,599,046 | 23.2 | % |
Non-U.S. Government Agency Issues | |||||||||||||
Bank of America Alternative Loan Trust: | |||||||||||||
Series 2003-4, Class 2A1, 5.000%, 06/25/2018 | 177,406 | 183,399 | |||||||||||
Series 2003-5, Class 2A1, 5.000%, 07/25/2018 | 2,346,238 | 2,423,056 | |||||||||||
Series 2003-11, Class 4A1, 4.750%, 01/25/2019 | 325,322 | 331,093 | |||||||||||
Series 2004-6, Class 4A1, 5.000%, 07/25/2019 | 221,675 | 226,091 | |||||||||||
Series 2004-7, Class 4A1, 5.000%, 08/25/2019 | 4,670,971 | 4,802,959 | |||||||||||
Series 2004-11, Class 4A1, 5.500%, 12/25/2019 | 228,186 | 236,668 | |||||||||||
Series 2005-2, Class 4A1, 5.500%, 03/25/2020 | 369,000 | 385,667 | |||||||||||
Series 2005-4, Class 3A1, 5.500%, 05/25/2020 | 1,660,132 | 1,716,206 | |||||||||||
Series 2005-10, Class 5A1, 5.250%, 11/25/2020 | 964,970 | 988,776 | |||||||||||
Series 2007-1, Class 1A1, 5.955%, 04/25/2022 | 1,545,411 | 1,598,850 | |||||||||||
Series 2003-11, Class 2A1, 6.000%, 01/25/2034 | 847,626 | 885,033 | |||||||||||
Series 2005-2, Class 1CB2, 5.500%, 03/25/2035 | 296,091 | 282,014 | |||||||||||
Series 2005-9, Class 1CB3, 5.500%, 10/25/2035 § | 544,389 | 493,873 | |||||||||||
Series 2005-11, Class 1CB4, 5.500%, 12/25/2035 § | 316,560 | 278,302 | |||||||||||
Series 2006-5, Class CB7, 6.000%, 06/25/2046 § | 1,183,894 | 967,813 | |||||||||||
Bear Stearns Asset Backed Securities Trust, | |||||||||||||
Series 2004-AC2, Class 2A, 5.000%, 05/25/2034 | 1,631,061 | 1,640,604 | |||||||||||
Chase Mortgage Finance Corporation: | |||||||||||||
Series 2003-S13, Class A11, 5.500%, 11/25/2033 | 349,673 | 350,550 | |||||||||||
Series 2006-A1, Class 2A3, 4.626%, 09/25/2036 § | 4,167,074 | 3,527,983 | |||||||||||
Citigroup Mortgage Loan Trust, Inc., | |||||||||||||
Series 2005-9, Class 2A2, 5.500%, 11/25/2035 § | 520,260 | 520,251 | |||||||||||
Countrywide Alternative Loan Trust: | |||||||||||||
Series 2005-50CB, Class 4A1, 5.000%, 11/25/2020 § | 575,984 | 569,092 | |||||||||||
Series 2006-7CB, Class 3A1, 5.250%, 05/25/2021 § | 2,400,339 | 2,336,898 | |||||||||||
Series 2006-J5, Class 3A1, 5.814%, 07/25/2021 § | 539,877 | 510,668 | |||||||||||
Series 2006-43CB, Class 2A1, 6.000%, 02/25/2022 § | 609,603 | 624,898 | |||||||||||
Series 2002-11, Class A4, 6.250%, 10/25/2032 | 81,610 | 83,375 | |||||||||||
Series 2003-20CB, Class 1A1, 5.500%, 10/25/2033 | 8,254,406 | 8,713,796 | |||||||||||
Series 2005-10CB, Class 1A6, 5.500%, 05/25/2035 | 1,429,733 | 1,413,380 | |||||||||||
Series 2006-28CB, Class A17, 6.000%, 10/25/2036 § | 1,456,471 | 1,111,496 | |||||||||||
Deutsche Mortgage Securities Inc., | |||||||||||||
Series 2006-AR5, Class 21A, 6.000%, 10/25/2021 | 876,590 | 769,791 | |||||||||||
First Horizon Alternative Mortgage Securities: | |||||||||||||
Series 2005-FA7, Class 2A1, 5.000%, 09/25/2020 | 350,179 | 359,030 | |||||||||||
Series 2006-FA6, Class 3A1, 5.750%, 11/25/2021 | 579,822 | 592,812 | |||||||||||
Series 2006-FA8, Class 2A1, 5.750%, 02/25/2037 | 1,742,397 | 1,566,237 | |||||||||||
J.P. Morgan Alternative Loan Trust, | |||||||||||||
Series 2006-A1, Class 2A1, 2.705%, 03/25/2036 § | 788,814 | 600,031 | |||||||||||
J.P. Morgan Mortgage Trust: | |||||||||||||
Series 2005-A4, Class 1A1, 5.263%, 07/25/2035 | 7,454,265 | 7,639,213 | |||||||||||
Series 2006-A7, Class 2A2, 2.867%, 01/25/2037 § | 444,692 | 357,462 | |||||||||||
Series 2006-A7, Class 2A4R, 2.867%, 01/25/2037 § | 1,899,923 | 1,527,042 | |||||||||||
Series 2007-A2, Class 2A3, 2.853%, 04/25/2037 | 4,883,104 | 3,980,433 | |||||||||||
Master Alternative Loans Trust: | |||||||||||||
Series 2004-1, Class 1A1, 5.000%, 01/25/2019 | 934,405 | 956,374 | |||||||||||
Series 2004-2, Class 4A1, 5.000%, 02/25/2019 | 55,446 | 57,339 | |||||||||||
Series 2004-4, Class 4A1, 5.000%, 04/25/2019 | 733,998 | 755,135 | |||||||||||
Series 2003-5, Class 6A1, 6.000%, 08/25/2033 | 462,602 | 492,036 | |||||||||||
Residential Accredit Loans, Inc., | |||||||||||||
Series 2004-QS6, Class A1, 5.000%, 05/25/2019 | 364,676 | 369,322 | |||||||||||
Residential Funding Mortgage Security I, | |||||||||||||
Series 2003-S11, Class A2, 4.000%, 06/25/2018 | 50,845 | 51,322 | |||||||||||
Salomon Brothers Mortgage Securities VII, | |||||||||||||
Series 2003-UP2, Class A2, 4.000%, 06/25/2033 | 541,928 | 589,651 | |||||||||||
Structured Asset Securities Corporation, | |||||||||||||
Series 2005-7XS, Class 1A4B, 5.440%, 04/25/2035 | 812,649 | 838,521 | |||||||||||
Washington Mutual Mortgage Pass Through Certificates: | |||||||||||||
Series 2004-CB1, Class 5A, 5.000%, 06/25/2019 | 856,644 | 884,723 | |||||||||||
Series 2004-CB2, Class 7A, 5.500%, 08/25/2019 | 1,657,059 | 1,722,929 | |||||||||||
Series 2004-CB3, Class 3A, 5.500%, 10/25/2019 | 85,941 | 90,550 | |||||||||||
Series 2004-CB3, Class 4A, 6.000%, 10/25/2019 | 516,453 | 543,820 | |||||||||||
Series 2004-CB4, Class 21A, 5.500%, 12/25/2019 | 340,237 | 349,095 | |||||||||||
62,295,659 | 3.6 | % | |||||||||||
Asset Backed Securities | |||||||||||||
Amresco Residential Securities Mortgage Loan Trust, | |||||||||||||
Series 1997-3, Class A9, 6.960%, 03/25/2027 | 72 | 72 | |||||||||||
Bayview Financial Acquisition Trust: | |||||||||||||
Series 2006-A, Class 1A2, 5.483%, 02/28/2041 | 698,804 | 715,525 | |||||||||||
Series 2007-B, Class 1A2, 6.831%, 08/28/2047 | 2,500,000 | 2,082,410 | |||||||||||
Contimortgage Home Equity Trust, | |||||||||||||
Series 1997-2, Class A9, 7.090%, 04/15/2028 | 65 | 65 | |||||||||||
Countrywide Asset-Backed Certificates: | |||||||||||||
Series 2004-13, Class AF4, 4.583%, 01/25/2033 | 3,348,375 | 3,447,771 | |||||||||||
Series 2004-S1, Class A3, 5.115%, 02/25/2035 | 1,858,035 | 1,899,207 | |||||||||||
Series 2004-15, Class AF6, 4.613%, 04/25/2035 | 3,547,546 | 3,433,553 | |||||||||||
Series 2005-1, Class AF6, 5.030%, 07/25/2035 | 5,944,899 | 6,109,829 | |||||||||||
Series 2005-11, Class AF3, 4.778%, 02/25/2036 | 9,045,151 | 8,366,810 | |||||||||||
Series 2005-10, Class AF6, 4.915%, 02/25/2036 | 3,419,583 | 3,320,908 | |||||||||||
Series 2005-13, Class AF3, 5.195%, 04/25/2036 | 3,946,367 | 3,427,289 | |||||||||||
Series 2005-17, Class 1AF5, 5.279%, 05/25/2036 § | 1,395,599 | 1,382,410 | |||||||||||
Series 2005-17, Class 1AF2, 5.363%, 05/25/2036 § | 604,533 | 611,994 | |||||||||||
Series 2007-S1, Class A6, 5.693%, 11/25/2036 | 1,220,366 | 1,156,752 | |||||||||||
Series 2006-10, Class 1AF3, 5.318%, 09/25/2046 | 1,500,000 | 940,138 | |||||||||||
Credit Based Asset Servicing and Securitization LLC, | |||||||||||||
Series 2005-CB8, Class AF2, 4.619%, 12/25/2035 | 351,463 | 328,759 | |||||||||||
Deutsche Mortgage Securities Inc., | |||||||||||||
Series 2004-4, Class 1A6, 5.650%, 04/25/2034 | 101,128 | 100,927 | |||||||||||
Equivantage Home Equity Loan Trust, | |||||||||||||
Series 1996-3, Class A3, 7.700%, 09/25/2027 | 10,520 | 10,603 | |||||||||||
GE Capital Mortgage Services, Inc.: | |||||||||||||
Series 1997-HE4, Class A7, 6.735%, 12/25/2028 | 273 | 272 | |||||||||||
Series 1999-HE1, Class A7, 6.265%, 04/25/2029 | 6,430 | 6,309 | |||||||||||
Green Tree Financial Corporation: | |||||||||||||
Series 1993-3, Class A7, 6.400%, 10/15/2018 | 143,397 | 148,059 | |||||||||||
Series 1993-4, Class A5, 7.050%, 01/15/2019 | 96,819 | 101,158 | |||||||||||
Series 1997-1, Class A5, 6.860%, 03/15/2028 | 14,969 | 15,467 | |||||||||||
Series 1998-2, Class A5, 6.240%, 12/01/2028 | 998,938 | 1,030,154 | |||||||||||
Series 1997-6, Class A8, 7.070%, 01/15/2029 | 23,339 | 24,553 | |||||||||||
Series 1998-3, Class A5, 6.220%, 03/01/2030 | 907,806 | 985,944 | |||||||||||
Series 1998-4, Class A5, 6.180%, 04/01/2030 | 571,793 | 588,926 | |||||||||||
IMC Home Equity Loan Trust, | |||||||||||||
Series 1997-5, Class A10, 6.880%, 11/20/2028 | 15,868 | 15,857 | |||||||||||
Impac CMB Trust, | |||||||||||||
Series 2004-4, Class 2A2, 4.757%, 09/25/2034 | 198,662 | 199,577 | |||||||||||
J.P. Morgan Mortgage Acquisition Trust, | |||||||||||||
Series 2007-CH1, Class AV4, 0.323%, 08/25/2033 | 4,149,000 | 4,048,636 | |||||||||||
Nationstar Home Equity Loan Trust, | |||||||||||||
Series 2006-B, Class AV3, 0.363%, 09/25/2036 | 14,374,771 | 13,936,412 | |||||||||||
Oakwood Mortgage Investors, Inc., | |||||||||||||
Series 1999-B, Class A3, 6.450%, 11/15/2017 | 55,731 | 58,280 | |||||||||||
PEMEX Finance Ltd., | |||||||||||||
Series 1999-2, 10.610%, 08/15/2017 f | 3,000,000 | 3,544,825 | |||||||||||
RAAC Series, | |||||||||||||
Series 2004-SP1, Class AI4, 5.285%, 08/25/2027 | 211,525 | 212,246 | |||||||||||
Renaissance Home Equity Loan Trust, | |||||||||||||
Series 2007-1, Class AF3, 5.612%, 04/25/2037 | 2,942,438 | 1,640,930 | |||||||||||
Residential Asset Mortgage Products, Inc.: | |||||||||||||
Series 2003-RS7, Class AI6, 5.340%, 08/25/2033 | 1,043,718 | 1,021,317 | |||||||||||
Series 2005-RS1, Class AI6, 4.713%, 01/25/2035 | 357,113 | 349,772 | |||||||||||
Residential Asset Securities Corporation: | |||||||||||||
Series 2003-KS2, Class AI6, 3.990%, 04/25/2033 | 1,110,028 | 1,109,470 | |||||||||||
Series 2003-KS5, Class AI6, 3.620%, 07/25/2033 | 74,416 | 70,734 | |||||||||||
Series 2004-KS2, Class AI6, 4.300%, 03/25/2034 | 142,104 | 143,760 | |||||||||||
Specialty Underwriting & Residential Finance Trust, | |||||||||||||
Series 2004-BC4, Class A1A, 0.863%, 10/25/2035 | 5,865,576 | 5,700,061 | |||||||||||
72,287,741 | 4.2 | % |
Commercial Mortgage-Backed Securities | |||||||||||||
Bear Stearns Commercial Mortgage Securities, | |||||||||||||
Series 2005-PWR9, Class A4A, 4.871%, 09/11/2042 | 12,339,000 | 13,151,264 | |||||||||||
Commercial Mortgage Trust: | |||||||||||||
Series 2005-C6, Class A5A, 5.116%, 06/10/2044 | 11,448,000 | 12,271,764 | |||||||||||
Series 2012-CR1, Class A3, 3.391%, 05/15/2045 | 8,754,000 | 8,572,556 | |||||||||||
Series 2012-CR2, Class A4, 3.147%, 08/15/2045 | 14,375,000 | 13,744,958 | |||||||||||
Credit Suisse First Boston Mortgage Securities Corporation, | |||||||||||||
Series 2005-C5, Class A4, 5.100%, 08/15/2038 @ | 10,149,000 | 10,823,015 | |||||||||||
GE Capital Commercial Mortgage Corporation, | |||||||||||||
Series 2005-C4, Class A4, 5.471%, 11/10/2045 | 10,925,000 | 11,815,661 | |||||||||||
GS Mortgage Securities Corp II, | |||||||||||||
Series 2012-GCJ9, Class A3, 2.773%, 11/10/2045 @ | 1,300,000 | 1,201,868 | |||||||||||
J.P. Morgan Chase Commercial Mortgage Trust: | |||||||||||||
Series 2005-CB12, Class A4, 4.895%, 09/12/2037 | 11,455,000 | 12,205,417 | |||||||||||
Series 2013-LC11, Class A5, 2.960%, 04/17/2046 | 7,000,000 | 6,520,941 | |||||||||||
Morgan Stanley Bank of America Merrill Lynch Trust, | |||||||||||||
Series 2012-C6, Class A4, 2.858%, 11/17/2045 | 16,000,000 | 14,902,864 | |||||||||||
Wachovia Bank Commercial Mortgage Trust, | |||||||||||||
Series 2005-C22, Class A4, 5.465%, 12/15/2044 | 10,000,000 | 10,822,040 | |||||||||||
WF-RBS Commercial Mortgage Trust, | |||||||||||||
Series 2012-C6, Class A4, 3.440%, 04/15/2045 | 12,200,000 | 12,058,626 | |||||||||||
128,090,974 | 7.4 | % | |||||||||||
Total Long-Term Investments (Cost $1,666,904,145) | 1,674,386,883 | 97.3 | % | ||||||||||
Shares | |||||||||||||
SHORT-TERM INVESTMENTS | |||||||||||||
Money Market Mutual Funds | |||||||||||||
Dreyfus Institutional Cash Advantage Fund, 0.04% « | 4,455,038 | 4,455,038 | |||||||||||
Short-Term Investments Trust - Liquid Assets Portfolio, 0.09% « | 33,000,000 | 33,000,000 | |||||||||||
Total Short-Term Investments (Cost $37,455,038) | 37,455,038 | 2.2 | % | ||||||||||
Principal | |||||||||||||
Amount | |||||||||||||
INVESTMENTS PURCHASED WITH CASH PROCEEDS FROM | |||||||||||||
SECURITIES LENDING | |||||||||||||
Commercial Paper | |||||||||||||
Atlantic East Funding LLC, 0.545%, 03/25/2014 † ** | $ | 2,375,896 | 1,896,633 | ||||||||||
Total Commercial Paper (Cost $2,375,896) | 1,896,633 | 0.1 | % | ||||||||||
Shares | |||||||||||||
Investment Companies | |||||||||||||
Mount Vernon Securities Lending Trust Prime Portfolio, 0.21% « | 83,382,247 | 83,382,247 | |||||||||||
Total Investment Companies (Cost $83,382,247) | 83,382,247 | 4.9 | % | ||||||||||
Total Investments Purchased With Cash Proceeds From | |||||||||||||
Securities Lending (Cost $85,758,143) | 85,278,880 | 5.0 | % | ||||||||||
Total Investments (Cost $1,790,117,326) | 1,797,120,801 | 104.5 | % | ||||||||||
Asset Relating to Securities Lending Investments | |||||||||||||
Support Agreement ** ^ α † | 479,263 | ||||||||||||
Total (Cost $0) | 479,263 | 0.0 | % | ||||||||||
Liabilities in Excess of Other Assets | (76,746,923 | ) | (4.5 | )% | |||||||||
TOTAL NET ASSETS | $ | 1,720,853,141 | 100.0 | % |
Notes to Schedule of Investments | ||
* | Restricted Security Deemed Liquid | |
** | Illiquid Security | |
@ | This security or portion of this security is out on loan at June 30, 2013. | |
f | Foreign Security | |
^ | Non-Income Producing | |
« | 7-Day Yield | |
§ | Security in Default | |
† | Priced at Fair Value by the Valuation Committee as delegated by the Baird Funds' Board of Directors. | |
α | The Fund's transfer agent and administrator and securities lending agent entered into a support agreement with | |
the Fund to cover losses realized by the Fund on its investment in Atlantic East Funding, LLC (up to a certain amount), | ||
which investment was made by the Fund's securities lending agent. |
The accompanying notes are in integral part of these financial statements.
Baird Core Plus Bond Fund | |||||||||||||
Schedule of Investments | |||||||||||||
June 30, 2013 (Unaudited) | |||||||||||||
Principal | Market | % of | |||||||||||
Amount | Value | Net Assets | |||||||||||
LONG-TERM INVESTMENTS | |||||||||||||
U.S. Treasury Securities | |||||||||||||
U.S. Treasury Bonds: | |||||||||||||
1.250%, 04/30/2019 @ | $ | 63,600,000 | $ | 62,273,367 | |||||||||
5.250%, 11/15/2028 | 56,975,000 | 72,429,469 | |||||||||||
4.375%, 02/15/2038 | 93,000,000 | 108,897,234 | |||||||||||
243,600,070 | 8.6 | % | |||||||||||
Taxable Municipal Bonds | |||||||||||||
Bellevue California Union School District, | |||||||||||||
5.000%, 08/01/2028 | 625,000 | 614,600 | |||||||||||
California Qualified School Bond Joint Powers Authority, | |||||||||||||
6.739%, 09/01/2026 | 2,415,000 | 2,598,806 | |||||||||||
California Qualified School Construction Bonds: | |||||||||||||
5.041%, 07/01/2020 | 1,500,000 | 1,629,165 | |||||||||||
7.155%, 03/01/2027 | 1,700,000 | 1,876,800 | |||||||||||
California State, | |||||||||||||
5.500%, 03/01/2016 | 2,000,000 | 2,221,760 | |||||||||||
Central Valley Support Joint Powers Agency, | |||||||||||||
5.676%, 09/01/2024 | 1,500,000 | 1,567,320 | |||||||||||
Colton Joint Unified School District, | |||||||||||||
6.008%, 08/01/2026 | 1,250,000 | 1,386,387 | |||||||||||
Contra Costa County California Pension Obligation, | |||||||||||||
5.140%, 06/01/2017 | 1,300,000 | 1,405,404 | |||||||||||
Davie Florida Water & Sewer Revenue, | |||||||||||||
6.599%, 10/01/2030 (Callable 10/01/2020) | 1,000,000 | 1,124,820 | |||||||||||
Elgin Ohio LOC School District, | |||||||||||||
5.499%, 08/31/2027 (Callable 12/01/2019) | 1,000,000 | 1,031,010 | |||||||||||
Illinois State: | |||||||||||||
4.026%, 03/01/2014 | 2,000,000 | 2,035,220 | |||||||||||
4.421%, 01/01/2015 | 1,600,000 | 1,665,904 | |||||||||||
4.961%, 03/01/2016 | 2,000,000 | 2,139,760 | |||||||||||
5.163%, 02/01/2018 | 3,000,000 | 3,204,960 | |||||||||||
New Hampshire Housing Finance Authority: | |||||||||||||
3.100%, 07/01/2021 | 2,310,000 | 2,209,423 | |||||||||||
3.750%, 07/01/2034 (Callable 07/01/2013) | 9,875,000 | 9,865,125 | |||||||||||
North East Independent School District Texas, | |||||||||||||
5.240%, 08/01/2027 | 3,000,000 | 3,445,770 | |||||||||||
Port of Oakland, | |||||||||||||
5.000%, 11/01/2020 | 2,900,000 | 3,085,136 | |||||||||||
San Dieguito California Public Facilities, | |||||||||||||
6.459%, 05/01/2027 | 1,865,000 | 2,070,989 | |||||||||||
State Public School Building Authorities Revenue, | |||||||||||||
5.000%, 09/15/2027 | 2,000,000 | 2,121,000 | |||||||||||
Three Rivers Ohio LOC School District, | |||||||||||||
5.209%, 09/15/2027 (Callable 12/01/2020) | 1,350,000 | 1,397,156 | |||||||||||
Tobacco Settlement Authority Iowa, | |||||||||||||
6.500%, 06/01/2023 (Callable 06/01/2015) | 3,190,000 | 3,057,360 | |||||||||||
West Contra Costa Unified School District, | |||||||||||||
6.250%, 08/01/2030 | 4,320,000 | 4,448,520 | |||||||||||
Westlake Ohio City School District, | |||||||||||||
5.227%, 12/01/2026 (Callable 12/01/2020) | 1,160,000 | 1,237,801 | |||||||||||
57,440,196 | 2.0 | % |
Other Government Related Securities | |||||||||||||
CNOOC Finance 2013 Ltd, | |||||||||||||
3.000%, 05/09/2023 f | 1,000,000 | 903,357 | |||||||||||
Corp Andina de Fomento, | |||||||||||||
4.375%, 06/15/2022 f | 3,956,000 | 4,028,351 | |||||||||||
Eksportfinans ASA, | |||||||||||||
2.000%, 09/15/2015 f | 10,000,000 | 9,600,000 | |||||||||||
Export-Import Bank of Korea Notes: | |||||||||||||
5.875%, 01/14/2015 f | 3,500,000 | 3,723,548 | |||||||||||
4.000%, 01/29/2021 @ f | 1,000,000 | 991,708 | |||||||||||
National Bank of Hungary Yankee Debentures, | |||||||||||||
8.875%, 11/01/2013 f | 300,000 | 305,810 | |||||||||||
Petrobras Global Finance B.V., | |||||||||||||
3.000%, 01/15/2019 f | 3,000,000 | 2,786,658 | |||||||||||
Petrobras International Finance Company: | |||||||||||||
3.875%, 01/27/2016 f | 5,800,000 | 5,967,191 | |||||||||||
7.875%, 03/15/2019 f | 5,000,000 | 5,781,815 | |||||||||||
5.375%, 01/27/2021 f | 3,200,000 | 3,215,021 | |||||||||||
Petroleos Mexicanos: | |||||||||||||
4.875%, 03/15/2015 f | 4,809,000 | 5,055,461 | |||||||||||
4.875%, 01/24/2022 f | 2,500,000 | 2,550,000 | |||||||||||
6.500%, 06/02/2041 f | 4,000,000 | 4,130,000 | |||||||||||
The Korea Development Bank, | |||||||||||||
3.000%, 09/14/2022 @ f | 4,400,000 | 4,023,127 | |||||||||||
Westdeutsche Landesbank Subordinated Notes, | |||||||||||||
4.796%, 07/15/2015 f | 1,885,000 | 2,015,416 | |||||||||||
55,077,463 | 2.0 | % |
Corporate Bonds | |||||||||||||
Industrials | |||||||||||||
AbbVie Inc., | |||||||||||||
1.750%, 11/06/2017 (Acquired 11/05/2012, Cost $2,444,879) * | 2,450,000 | 2,400,307 | |||||||||||
Acuity Brands Lighting Inc., | |||||||||||||
6.000%, 12/15/2019 | 700,000 | 769,176 | |||||||||||
Ameritech Capital Funding Corporation, | |||||||||||||
6.450%, 01/15/2018 | 3,000,000 | 3,420,228 | |||||||||||
Anadarko Petroleum Corporation: | |||||||||||||
5.950%, 09/15/2016 | 2,225,000 | 2,495,725 | |||||||||||
6.375%, 09/15/2017 | 968,000 | 1,113,180 | |||||||||||
8.700%, 03/15/2019 | 3,700,000 | 4,762,910 | |||||||||||
Anglo American Capital PLC: | |||||||||||||
9.375%, 04/08/2014 (Acquired 09/05/2012, Cost $1,908,787) * f | 1,800,000 | 1,908,054 | |||||||||||
9.375%, 04/08/2019 (Acquired 09/20/2011 through 07/11/2012, Cost $7,002,240) * f | 5,500,000 | 6,938,982 | |||||||||||
ArcelorMittal: | |||||||||||||
5.000%, 02/25/2017 @ f | 5,000,000 | 5,062,500 | |||||||||||
6.750%, 02/25/2022 @ f | 2,000,000 | 2,050,000 | |||||||||||
AT&T Inc., | |||||||||||||
5.550%, 08/15/2041 | 1,000,000 | 1,041,205 | |||||||||||
Atlas Air, Inc. Pass Through Trust, | |||||||||||||
Series 00-1, 8.707%, 01/02/2019 | 235,111 | 249,806 | |||||||||||
Avon Products, Inc., | |||||||||||||
4.600%, 03/15/2020 | 2,000,000 | 2,022,110 | |||||||||||
Beam, Inc., | |||||||||||||
3.250%, 05/15/2022 | 2,000,000 | 1,926,822 | |||||||||||
Bemis Company, Inc., | |||||||||||||
4.500%, 10/15/2021 | 1,000,000 | 1,025,873 | |||||||||||
BP Capital Markets, | |||||||||||||
1.375%, 11/06/2017 f | 3,000,000 | 2,920,830 | |||||||||||
BP Capital Markets PLC, | |||||||||||||
4.750%, 03/10/2019 f | 1,500,000 | 1,665,819 | |||||||||||
Browning-Ferris Industries Inc., | |||||||||||||
9.250%, 05/01/2021 | 1,500,000 | 1,847,432 | |||||||||||
Bunge Limited Finance Corporation: | |||||||||||||
5.100%, 07/15/2015 | 2,527,000 | 2,716,836 | |||||||||||
8.500%, 06/15/2019 | 7,940,000 | 9,799,564 | |||||||||||
Bunge N.A. Finance L.P., | |||||||||||||
5.900%, 04/01/2017 | 2,424,000 | 2,669,951 | |||||||||||
CenturyLink Inc., | |||||||||||||
Series R, 5.150%, 06/15/2017 @ | 2,000,000 | 2,105,000 | |||||||||||
CF Industries, Inc., | |||||||||||||
3.450%, 06/01/2023 @ | 2,000,000 | 1,922,030 | |||||||||||
Chesapeake Energy Corporation, | |||||||||||||
6.500%, 08/15/2017 @ | 3,544,000 | 3,800,940 | |||||||||||
Cliffs Natural Resources Inc., | |||||||||||||
3.950%, 01/15/2018 @ | 11,579,000 | 11,062,669 | |||||||||||
CNPC HK Overseas Capital Ltd, | |||||||||||||
5.950%, 04/28/2041 (Acquired 04/20/2011, Cost $978,120) * f | 1,000,000 | 1,080,596 | |||||||||||
Comcast Cable Communications Holdings, Inc., | |||||||||||||
9.455%, 11/15/2022 | 2,030,000 | 2,872,527 | |||||||||||
Comcast Corporation: | |||||||||||||
4.250%, 01/15/2033 | 5,900,000 | 5,645,167 | |||||||||||
4.650%, 07/15/2042 | 2,000,000 | 1,917,860 | |||||||||||
Computer Sciences Corporation, | |||||||||||||
4.450%, 09/15/2022 | 2,000,000 | 1,974,890 | |||||||||||
ConocoPhillips Canada Funding Company I, | |||||||||||||
5.950%, 10/15/2036 f | 845,000 | 984,602 | |||||||||||
Continental Airlines, Inc. Pass Through Trust, | |||||||||||||
Series 974A, 6.900%, 01/02/2018 | 41,643 | 44,350 | |||||||||||
Cox Communications, Inc.: | |||||||||||||
2.950%, 06/30/2023 (Acquired 04/24/2013, Cost $5,226,900) * | 5,250,000 | 4,775,468 | |||||||||||
4.700%, 12/15/2042 (Acquired 11/26/2012, Cost $4,999,050) * | 5,000,000 | 4,434,970 | |||||||||||
CSX Corporation, | |||||||||||||
6.220%, 04/30/2040 | 175,000 | 203,831 | |||||||||||
D.R. Horton, Inc., | |||||||||||||
4.750%, 05/15/2017 | 1,000,000 | 1,032,500 | |||||||||||
Daimler Finance North America LLC: | |||||||||||||
2.300%, 01/09/2015 (Acquired 08/22/2012, Cost $1,922,266) * | 1,890,000 | 1,919,087 | |||||||||||
1.650%, 04/10/2015 (Acquired 07/17/2012, Cost $3,378,810) * | 3,359,000 | 3,387,599 | |||||||||||
1.875%, 01/11/2018 (Acquired 01/07/2013, Cost $2,116,139) * | 2,125,000 | 2,073,645 | |||||||||||
Danone, | |||||||||||||
3.000%, 06/15/2022 (Acquired 05/29/2012, Cost $3,489,465) * f | 3,500,000 | 3,359,125 | |||||||||||
Deutsche Telekom International Finance B.V.: | |||||||||||||
3.125%, 04/11/2016 (Acquired 11/09/2011, Cost $2,476,042) * f | 2,450,000 | 2,556,024 | |||||||||||
8.750%, 06/15/2030 f | 825,000 | 1,144,498 | |||||||||||
Devon Financing Corporation, L.L.C., | |||||||||||||
7.875%, 09/30/2031 | 5,000,000 | 6,474,300 | |||||||||||
DISH DBS Corporation, | |||||||||||||
5.000%, 03/15/2023 | 2,500,000 | 2,406,250 | |||||||||||
Dollar General Corporation, | |||||||||||||
1.875%, 04/15/2018 @ | 2,100,000 | 2,026,137 | |||||||||||
Donnelley (R.R.) & Sons Co.: | |||||||||||||
8.600%, 08/15/2016 | 1,250,000 | 1,425,000 | |||||||||||
6.125%, 01/15/2017 @ | 1,550,000 | 1,619,750 | |||||||||||
Eaton Corp: | |||||||||||||
2.750%, 11/02/2022 (Acquired 11/14/2012, Cost $2,491,600) * | 2,500,000 | 2,338,797 | |||||||||||
4.000%, 11/02/2032 (Acquired 11/14/2012 through 02/07/2013, Cost $3,648,832) * | 3,660,000 | 3,422,038 | |||||||||||
Ecolab Inc., | |||||||||||||
1.450%, 12/08/2017 | 5,200,000 | 5,050,661 | |||||||||||
EMC Corporation, | |||||||||||||
2.650%, 06/01/2020 | 3,050,000 | 3,006,626 | |||||||||||
Encana Corporation, | |||||||||||||
6.500%, 05/15/2019 @ f | 500,000 | 585,768 | |||||||||||
Express Scripts Holding Co: | |||||||||||||
3.500%, 11/15/2016 | 5,000,000 | 5,307,680 | |||||||||||
7.250%, 06/15/2019 | 4,600,000 | 5,676,989 | |||||||||||
4.750%, 11/15/2021 | 4,700,000 | 5,028,300 | |||||||||||
Federal Express Corp. 1995 Pass Through Trust, | |||||||||||||
Class B2, 7.110%, 01/02/2014 | 102,784 | 105,716 | |||||||||||
Fidelity National Information Services, Inc.: | |||||||||||||
7.875%, 07/15/2020 | 11,884,000 | 13,101,551 | |||||||||||
3.500%, 04/15/2023 | 4,100,000 | 3,702,993 | |||||||||||
Fiserv, Inc.: | |||||||||||||
3.125%, 06/15/2016 | 2,475,000 | 2,580,824 | |||||||||||
4.625%, 10/01/2020 | 3,000,000 | 3,109,443 | |||||||||||
3.500%, 10/01/2022 | 6,650,000 | 6,311,668 | |||||||||||
Fomento Economico Mexicano SAB de CV: | |||||||||||||
2.875%, 05/10/2023 @ f | 6,000,000 | 5,432,532 | |||||||||||
4.375%, 05/10/2043 f | 4,000,000 | 3,482,044 | |||||||||||
Ford Motor Credit Company LLC: | |||||||||||||
3.875%, 01/15/2015 | 2,000,000 | 2,061,488 | |||||||||||
2.500%, 01/15/2016 | 2,000,000 | 2,017,442 | |||||||||||
4.207%, 04/15/2016 | 2,680,000 | 2,799,657 | |||||||||||
3.000%, 06/12/2017 @ | 3,000,000 | 3,006,324 | |||||||||||
France Telecom SA, | |||||||||||||
2.750%, 09/14/2016 f | 1,050,000 | 1,076,085 | |||||||||||
Freeport-McMoRan Copper & Gold Inc.: | |||||||||||||
2.375%, 03/15/2018 (Acquired 02/28/2013, Cost $4,999,500) * @ | 5,000,000 | 4,755,380 | |||||||||||
3.550%, 03/01/2022 @ | 5,000,000 | 4,541,785 | |||||||||||
Georgia-Pacific LLC, | |||||||||||||
5.400%, 11/01/2020 (Acquired 10/27/2010, Cost $994,130) * | 1,000,000 | 1,115,101 | |||||||||||
Glencore Funding LLC: | |||||||||||||
6.000%, 04/15/2014 (Acquired 03/31/2004 through 06/19/2012, Cost $7,221,954) * | 7,115,000 | 7,364,523 | |||||||||||
4.125%, 05/30/2023 (Acquired 05/22/2013, Cost $9,094,813) * | 9,100,000 | 8,116,144 | |||||||||||
GTE Corporation, | |||||||||||||
8.750%, 11/01/2021 | 975,000 | 1,281,676 | |||||||||||
H. J. Heinz Finance Company, | |||||||||||||
6.750%, 03/15/2032 @ | 10,000,000 | 10,350,000 | |||||||||||
Hanson PLC Notes, | |||||||||||||
6.125%, 08/15/2016 f | 8,133,000 | 8,803,973 | |||||||||||
Health Management Association, | |||||||||||||
6.125%, 04/15/2016 | 4,665,000 | 5,014,875 | |||||||||||
Hewlett-Packard Co., | |||||||||||||
4.650%, 12/09/2021 @ | 4,000,000 | 4,000,368 | |||||||||||
Hospira, Inc., | |||||||||||||
6.050%, 03/30/2017 | 5,000,000 | 5,350,295 | |||||||||||
HP Enterprise Services, LLC, | |||||||||||||
Series B, 6.000%, 08/01/2013 | 3,158,000 | 3,170,607 | |||||||||||
Hyundai Capital Services Inc.: | |||||||||||||
4.375%, 07/27/2016 (Acquired 04/05/2013, Cost $1,187,137) * f | 1,100,000 | 1,166,046 | |||||||||||
3.500%, 09/13/2017 (Acquired 03/06/2012 through 04/24/2013, Cost $5,332,342) * f | 5,140,000 | 5,233,785 | |||||||||||
Ingredion Incorporated, | |||||||||||||
1.800%, 09/25/2017 | 5,650,000 | 5,540,622 | |||||||||||
International Paper Company, | |||||||||||||
7.400%, 06/15/2014 @ | 1,114,000 | 1,178,356 | |||||||||||
Johnson Controls Inc., | |||||||||||||
5.250%, 12/01/2041 | 1,150,000 | 1,150,440 | |||||||||||
Kinross Gold Corporation, | |||||||||||||
6.875%, 09/01/2041 f | 5,500,000 | 5,192,209 | |||||||||||
Kraft Foods Group, Inc., | |||||||||||||
5.000%, 06/04/2042 | 1,000,000 | 1,012,692 | |||||||||||
Lafarge SA: | |||||||||||||
6.500%, 07/15/2016 f | 1,675,000 | 1,817,375 | |||||||||||
7.125%, 07/15/2036 f | 925,000 | 962,000 | |||||||||||
LeasePlan Corporation N.V.: | |||||||||||||
3.000%, 10/23/2017 (Acquired 10/15/2012 through 02/07/2013, Cost $10,062,715) * f | 10,000,000 | 10,032,000 | |||||||||||
2.500%, 05/16/2018 (Acquired 05/07/2013, Cost $4,976,700) * f | 5,000,000 | 4,818,555 | |||||||||||
Martin Marietta Materials, Inc.: | |||||||||||||
6.600%, 04/15/2018 | 475,000 | 535,499 | |||||||||||
6.250%, 05/01/2037 | 450,000 | 434,983 | |||||||||||
Masco Corporation: | |||||||||||||
6.125%, 10/03/2016 | 2,150,000 | 2,322,000 | |||||||||||
7.125%, 03/15/2020 @ | 1,000,000 | 1,115,000 | |||||||||||
Mega Advance Investments Ltd, | |||||||||||||
5.000%, 05/12/2021 (Acquired 05/09/2011 through 05/23/2012, Cost $2,817,619) * @ f | 2,800,000 | 2,849,300 | |||||||||||
Murphy Oil Corporation, | |||||||||||||
4.000%, 06/01/2022 | 12,600,000 | 12,035,772 | |||||||||||
Mylan Inc.: | |||||||||||||
7.625%, 07/15/2017 (Acquired 02/11/2013, Cost $5,509,401) * | 5,000,000 | 5,536,055 | |||||||||||
6.000%, 11/15/2018 (Acquired 02/06/2013, Cost $4,350,645) * | 4,000,000 | 4,383,524 | |||||||||||
Nabors Industries, Inc.: | |||||||||||||
6.150%, 02/15/2018 | 250,000 | 278,878 | |||||||||||
9.250%, 01/15/2019 | 11,448,000 | 14,203,843 | |||||||||||
National Oilwell Varco Inc., | |||||||||||||
Series B, 6.125%, 08/15/2015 | 2,655,000 | 2,658,159 | |||||||||||
New Cingular Wireless Services, Inc., | |||||||||||||
8.750%, 03/01/2031 | 2,975,000 | 4,296,843 | |||||||||||
Northern Tier Energy LLC, | |||||||||||||
7.125%, 11/15/2020 (Acquired 11/02/2012, Cost $250,000) * | 250,000 | 252,500 | |||||||||||
Oi S.A., | |||||||||||||
5.750%, 02/10/2022 (Acquired 02/06/2012, Cost $3,000,000) * @ f | 3,000,000 | 2,793,750 | |||||||||||
Pactiv Corporation, | |||||||||||||
7.950%, 12/15/2025 | 325,000 | 289,250 | |||||||||||
PCCW-HKT Capital III Ltd., | |||||||||||||
5.250%, 07/20/2015 (Acquired 09/29/2008 through 12/20/2010, Cost $782,054) * f | 775,000 | 822,663 | |||||||||||
PCCW-HKT Capital No. 2 Limited, | |||||||||||||
6.000%, 07/15/2013 (Acquired 07/10/2003, Cost $199,066) * f | 200,000 | 200,304 | |||||||||||
Pearson Funding Two plc, | |||||||||||||
4.000%, 05/17/2016 (Acquired 07/17/2012, Cost $9,233,334) * f | 8,700,000 | 9,247,308 | |||||||||||
Pentair Finance S.A., | |||||||||||||
2.650%, 12/01/2019 f | 5,000,000 | 4,762,545 | |||||||||||
Petrohawk Energy Corporation: | |||||||||||||
7.875%, 06/01/2015 | 3,000,000 | 3,064,500 | |||||||||||
7.250%, 08/15/2018 | 8,510,000 | 9,284,410 | |||||||||||
Phillips 66, | |||||||||||||
2.950%, 05/01/2017 | 3,000,000 | 3,091,854 | |||||||||||
Plum Creek Timberlands, L.P.: | |||||||||||||
5.875%, 11/15/2015 | 1,200,000 | 1,316,819 | |||||||||||
4.700%, 03/15/2021 | 1,200,000 | 1,241,593 | |||||||||||
3.250%, 03/15/2023 | 8,375,000 | 7,747,218 | |||||||||||
POSCO: | |||||||||||||
8.750%, 03/26/2014 (Acquired 09/23/2011 through 01/11/2012, Cost $3,875,532) * f | 3,725,000 | 3,912,099 | |||||||||||
4.250%, 10/28/2020 (Acquired 10/21/2010, Cost $2,165,365) * f | 2,175,000 | 2,144,191 | |||||||||||
PTT Public Company Limited, | |||||||||||||
3.375%, 10/25/2022 (Acquired 10/19/2012, Cost $4,958,500) * @ f | 5,000,000 | 4,537,185 | |||||||||||
Republic Services, Inc., | |||||||||||||
3.550%, 06/01/2022 | 4,000,000 | 3,892,944 | |||||||||||
Rio Tinto Finance (USA) Limited, | |||||||||||||
9.000%, 05/01/2019 f | 11,000,000 | 14,290,012 | |||||||||||
Schneider Electric SA, | |||||||||||||
2.950%, 09/27/2022 (Acquired 09/20/2012, Cost $4,986,700) * f | 5,000,000 | 4,754,695 | |||||||||||
Sealed Air Corp., | |||||||||||||
8.375%, 09/15/2021 (Acquired 09/16/2011 through 09/19/2011, Cost $2,288,360) * | 2,250,000 | 2,542,500 | |||||||||||
SK Telecom, | |||||||||||||
6.625%, 07/20/2027 (Acquired 07/13/2007 through 04/30/2013, Cost $1,001,269) * f | 960,000 | 1,130,126 | |||||||||||
Sonoco Products Co., | |||||||||||||
4.375%, 11/01/2021 | 1,000,000 | 1,023,700 | |||||||||||
Sprint Capital Corporation: | |||||||||||||
6.900%, 05/01/2019 | 675,000 | 702,000 | |||||||||||
8.750%, 03/15/2032 | 300,000 | 330,000 | |||||||||||
Sprint Nextel Corporation, | |||||||||||||
6.000%, 12/01/2016 @ | 200,000 | 211,000 | |||||||||||
SunGard Data Systems Inc., | |||||||||||||
4.875%, 01/15/2014 | 1,031,000 | 1,036,155 | |||||||||||
TCI Communications, Inc., | |||||||||||||
8.750%, 08/01/2015 | 2,635,000 | 3,047,198 | |||||||||||
Telecom Italia Capital, SA: | |||||||||||||
5.250%, 10/01/2015 f | 4,100,000 | 4,303,868 | |||||||||||
7.200%, 07/18/2036 f | 2,375,000 | 2,338,957 | |||||||||||
Telefonica Emisiones S.A.U.: | |||||||||||||
6.421%, 06/20/2016 f | 3,950,000 | 4,336,993 | |||||||||||
6.221%, 07/03/2017 f | 8,942,000 | 9,751,296 | |||||||||||
5.462%, 02/16/2021 f | 1,000,000 | 1,030,944 | |||||||||||
4.570%, 04/27/2023 f | 1,000,000 | 957,299 | |||||||||||
7.045%, 06/20/2036 f | 100,000 | 109,789 | |||||||||||
The ADT Corporation: | |||||||||||||
2.250%, 07/15/2017 | 2,810,000 | 2,757,470 | |||||||||||
3.500%, 07/15/2022 | 1,200,000 | 1,103,457 | |||||||||||
The Dow Chemical Co., | |||||||||||||
4.125%, 11/15/2021 | 835,000 | 853,904 | |||||||||||
The Interpublic Group of Companies, Inc., | |||||||||||||
10.000%, 07/15/2017 | 10,250,000 | 10,790,175 | |||||||||||
Time Warner, Inc.: | |||||||||||||
7.250%, 10/15/2017 | 2,300,000 | 2,755,253 | |||||||||||
8.750%, 02/14/2019 | 1,132,000 | 1,389,504 | |||||||||||
7.625%, 04/15/2031 | 2,875,000 | 3,624,090 | |||||||||||
7.700%, 05/01/2032 | 358,000 | 455,170 | |||||||||||
Toyota Motor Credit Corporation, | |||||||||||||
2.050%, 01/12/2017 | 2,000,000 | 2,022,980 | |||||||||||
Transocean Inc.: | |||||||||||||
6.375%, 12/15/2021 @ f | 5,500,000 | 6,181,802 | |||||||||||
3.800%, 10/15/2022 @ f | 5,000,000 | 4,762,760 | |||||||||||
6.800%, 03/15/2038 @ f | 878,000 | 933,999 | |||||||||||
TSMC Global Ltd, | |||||||||||||
1.625%, 04/03/2018 (Acquired 03/27/2013, Cost $2,997,990) * f | 3,000,000 | 2,884,041 | |||||||||||
Tyco Electronics Group S.A.: | |||||||||||||
6.550%, 10/01/2017 f | 5,243,000 | 6,069,297 | |||||||||||
7.125%, 10/01/2037 f | 500,000 | 586,545 | |||||||||||
U.S. Airways Pass-Through Trust, | |||||||||||||
Series 981B, 7.350%, 01/30/2018 | 407,371 | 429,777 | |||||||||||
United AirLines, Inc. Pass Through Trust: | |||||||||||||
Series 91A2, 10.020%, 03/22/2014 | 99,821 | 50,410 | |||||||||||
Series 002C, 7.762%, 04/29/2049 § † ** | 155,852 | 4,675 | |||||||||||
Vale Overseas Limited: | |||||||||||||
6.250%, 01/23/2017 f | 3,850,000 | 4,301,640 | |||||||||||
4.375%, 01/11/2022 f | 2,700,000 | 2,564,554 | |||||||||||
8.250%, 01/17/2034 f | 300,000 | 350,825 | |||||||||||
6.875%, 11/10/2039 f | 5,625,000 | 5,677,768 | |||||||||||
Vodafone Group PLC, | |||||||||||||
6.150%, 02/27/2037 f | 500,000 | 552,055 | |||||||||||
Vulcan Materials Co.: | |||||||||||||
6.400%, 11/30/2017 | 200,000 | 213,000 | |||||||||||
7.000%, 06/15/2018 | 1,400,000 | 1,519,000 | |||||||||||
7.150%, 11/30/2037 | 500,000 | 501,250 | |||||||||||
Walgreen Co., | |||||||||||||
5.250%, 01/15/2019 | 10,000,000 | 11,311,940 | |||||||||||
Weatherford International Ltd., |
6.750%, 09/15/2040 f | 1,250,000 | 1,293,215 | |||||||||||
Westvaco Corporation: | |||||||||||||
9.750%, 06/15/2020 | 930,000 | 1,204,714 | |||||||||||
8.200%, 01/15/2030 | 1,540,000 | 1,822,482 | |||||||||||
Weyerhaeuser Company, | |||||||||||||
7.250%, 07/01/2013 | 1,000,000 | 1,000,000 | |||||||||||
Woodside Finance Limited, | |||||||||||||
8.125%, 03/01/2014 (Acquired 02/24/2009, Cost $999,690) * f | 1,000,000 | 1,045,254 | |||||||||||
WPX Energy, Inc., | |||||||||||||
6.000%, 01/15/2022 | 4,000,000 | 4,040,000 | |||||||||||
Wynn Las Vegas LLC, | |||||||||||||
4.250%, 05/30/2023 (Acquired 05/15/2013, Cost $4,000,000) * @ | 4,000,000 | 3,700,000 | |||||||||||
Xerox Corporation: | |||||||||||||
1.672%, 09/13/2013 | 4,140,000 | 4,146,500 | |||||||||||
8.250%, 05/15/2014 | 6,587,000 | 6,998,411 | |||||||||||
Xstrata Canada Corp., | |||||||||||||
5.375%, 06/01/2015 f | 2,000,000 | 2,112,676 | |||||||||||
Xstrata Canada Financial Corp.: | |||||||||||||
4.950%, 11/15/2021 (Acquired 11/03/2011, Cost $1,997,480) * f | 2,000,000 | 1,936,234 | |||||||||||
4.250%, 10/25/2022 (Acquired 10/18/2012, Cost $7,140,069) * @ f | 7,000,000 | 6,355,097 | |||||||||||
Yara International ASA, | |||||||||||||
7.875%, 06/11/2019 (Acquired 12/03/2012 through 06/06/2013, Cost $7,199,441) * f | 5,655,000 | 6,865,408 | |||||||||||
590,544,411 | 20.7 | % |
Utility | |||||||||||||
Ameren Corporation, | |||||||||||||
8.875%, 05/15/2014 | 1,816,000 | 1,935,665 | |||||||||||
Appalachian Power Company Senior Unsecured Notes, | |||||||||||||
Series P, 6.700%, 08/15/2037 | 1,150,000 | 1,362,893 | |||||||||||
Arizona Public Service Senior Unsecured Notes, | |||||||||||||
8.750%, 03/01/2019 | 1,150,000 | 1,494,453 | |||||||||||
Centrais Eletricas Brasileiras SA: | |||||||||||||
6.875%, 07/30/2019 (Acquired 12/06/2012, Cost $3,473,671) * f | 3,000,000 | 3,135,000 | |||||||||||
5.750%, 10/27/2021 (Acquired 10/20/2011, Cost $4,000,000) * f | 4,000,000 | 3,870,000 | |||||||||||
Chesapeake Midstream Partners LP / CHKM Finance Corp, | |||||||||||||
6.125%, 07/15/2022 | 300,000 | 303,750 | |||||||||||
CMS Energy Corporation: | |||||||||||||
4.250%, 09/30/2015 | 3,000,000 | 3,181,674 | |||||||||||
5.050%, 03/15/2022 | 1,000,000 | 1,080,402 | |||||||||||
Comision Federal de Electricidad, | |||||||||||||
5.750%, 02/14/2042 (Acquired 02/08/2012, Cost $5,116,800) * f | 5,200,000 | 4,810,000 | |||||||||||
Constellation Energy Group Inc., | |||||||||||||
4.550%, 06/15/2015 | 750,000 | 798,395 | |||||||||||
DCP Midstream, LLC: | |||||||||||||
9.750%, 03/15/2019 (Acquired 02/29/2012 through 12/12/2012, Cost $11,588,302) * | 9,155,000 | 11,806,572 | |||||||||||
4.750%, 09/30/2021 (Acquired 09/14/2011 through 11/18/2011, Cost $2,251,693) * | 2,245,000 | 2,286,517 | |||||||||||
Dominion Resources, Inc., | |||||||||||||
Series B, 5.950%, 06/15/2035 | 1,880,000 | 2,174,976 | |||||||||||
El Paso Pipeline Partners Operating Co LLC, | |||||||||||||
7.500%, 11/15/2040 | 2,500,000 | 3,124,942 | |||||||||||
Enel Finance International, | |||||||||||||
6.800%, 09/15/2037 (Acquired 09/13/2007 through 09/29/2008, Cost $498,897) * f | 500,000 | 500,697 | |||||||||||
Energy Transfer Partners, L.P.: | |||||||||||||
9.700%, 03/15/2019 | 1,189,000 | 1,543,052 | |||||||||||
5.200%, 02/01/2022 @ | 1,000,000 | 1,058,276 | |||||||||||
3.600%, 02/01/2023 @ | 5,000,000 | 4,679,445 | |||||||||||
Enogex LLC, | |||||||||||||
6.250%, 03/15/2020 (Acquired 10/25/2012 through 05/10/2013, Cost $3,653,288) * | 3,190,000 | 3,475,272 | |||||||||||
Entergy Arkansas, Inc., | |||||||||||||
5.000%, 07/01/2018 | 223,000 | 222,713 | |||||||||||
Enterprise Products Operating LLC, | |||||||||||||
3.350%, 03/15/2023 @ | 10,000,000 | 9,623,040 | |||||||||||
Exelon Corporation, | |||||||||||||
4.900%, 06/15/2015 | 500,000 | 535,125 | |||||||||||
Exelon Generation Company, LLC: | |||||||||||||
6.200%, 10/01/2017 | 4,350,000 | 4,972,881 | |||||||||||
5.600%, 06/15/2042 @ | 6,100,000 | 6,128,548 | |||||||||||
Florida Gas Transmission Company, LLC, | |||||||||||||
3.875%, 07/15/2022 (Acquired 06/12/2012, Cost $2,996,190) * @ | 3,000,000 | 3,028,302 | |||||||||||
FPL Group Capital, Inc., | |||||||||||||
Series D, 7.300%, 09/01/2067 | 2,500,000 | 2,762,500 | |||||||||||
GG1C Funding Corporation, | |||||||||||||
5.129%, 01/15/2014 (Acquired 11/21/2008, Cost $140,086) * | 140,880 | 141,823 | |||||||||||
Gulf South Pipeline Company, LP, | |||||||||||||
4.000%, 06/15/2022 | 3,000,000 | 2,958,156 | |||||||||||
IPALCO Enterprises Inc., | |||||||||||||
5.000%, 05/01/2018 | 1,000,000 | 1,030,000 | |||||||||||
KeySpan Corp., | |||||||||||||
8.000%, 11/15/2030 | 1,875,000 | 2,398,108 | |||||||||||
Kinder Morgan Energy Partners, L.P.: | |||||||||||||
9.000%, 02/01/2019 | 1,658,000 | 2,118,039 | |||||||||||
6.850%, 02/15/2020 | 4,645,000 | 5,530,095 | |||||||||||
6.500%, 02/01/2037 | 400,000 | 447,513 | |||||||||||
6.950%, 01/15/2038 | 350,000 | 413,805 | |||||||||||
Kinder Morgan Finance: | |||||||||||||
5.700%, 01/05/2016 f | 1,685,000 | 1,804,797 | |||||||||||
6.000%, 01/15/2018 (Acquired 12/06/2010, Cost $999,930) * | 1,000,000 | 1,049,899 | |||||||||||
Kiowa Power Partners LLC, | |||||||||||||
4.811%, 12/30/2013 (Acquired 11/19/2004, Cost $6,395) * | 6,395 | 6,432 | |||||||||||
Korea Electric Power Corporation, | |||||||||||||
6.750%, 08/01/2027 f | 365,000 | 453,848 | |||||||||||
Korea Hydro & Nuclear Power Co., Ltd.: | |||||||||||||
6.250%, 06/17/2014 (Acquired 03/21/2011, Cost $1,031,182) * f | 1,000,000 | 1,043,402 | |||||||||||
3.125%, 09/16/2015 (Acquired 09/09/2010, Cost $493,770) * f | 500,000 | 515,090 | |||||||||||
National Grid PLC, | |||||||||||||
6.300%, 08/01/2016 f | 4,790,000 | 5,417,964 | |||||||||||
National Rural Utilities Corporation, | |||||||||||||
10.375%, 11/01/2018 | 6,548,000 | 9,072,064 | |||||||||||
Nisource Finance Corp., | |||||||||||||
5.400%, 07/15/2014 | 2,233,000 | 2,333,693 | |||||||||||
NuStar Logistics L.P., | |||||||||||||
4.800%, 09/01/2020 | 4,275,000 | 4,092,637 | |||||||||||
ONEOK, Inc.: | |||||||||||||
4.250%, 02/01/2022 | 5,650,000 | 5,558,815 | |||||||||||
3.375%, 10/01/2022 @ | 3,000,000 | 2,757,990 | |||||||||||
PPL Energy Supply, LLC: | |||||||||||||
Series A, 5.700%, 10/15/2015 | 1,500,000 | 1,611,216 | |||||||||||
6.200%, 05/15/2016 @ | 1,950,000 | 2,168,689 | |||||||||||
PSEG Power LLC, | |||||||||||||
5.320%, 09/15/2016 | 3,077,000 | 3,412,827 | |||||||||||
Public Service Company of New Mexico, | |||||||||||||
7.950%, 05/15/2018 | 6,553,000 | 7,875,467 | |||||||||||
RGS (I&M) Funding Corporation Debentures, | |||||||||||||
Series F, 9.820%, 12/07/2022 | 193,348 | 243,548 | |||||||||||
Rockies Express Pipeline LLC: | |||||||||||||
3.900%, 04/15/2015 (Acquired 09/15/2011 through 01/08/2013, Cost $2,859,430) * | 2,850,000 | 2,821,500 | |||||||||||
6.850%, 07/15/2018 (Acquired 12/21/2011, Cost $2,032,750) * @ | 2,000,000 | 1,900,000 | |||||||||||
5.625%, 04/15/2020 (Acquired 12/10/2010 through 12/29/2011, Cost $2,701,545) * @ | 2,695,000 | 2,331,175 | |||||||||||
Spectra Energy Capital LLC, | |||||||||||||
5.668%, 08/15/2014 | 5,030,000 | 5,281,807 | |||||||||||
Sunoco Logistics Partners Operations LP: | |||||||||||||
3.450%, 01/15/2023 | 2,000,000 | 1,858,024 | |||||||||||
6.100%, 02/15/2042 @ | 1,000,000 | 1,044,872 | |||||||||||
Sunoco, Inc., | |||||||||||||
5.750%, 01/15/2017 | 701,000 | 758,736 | |||||||||||
The Williams Companies, Inc.: | |||||||||||||
7.875%, 09/01/2021 | 1,034,000 | 1,248,206 | |||||||||||
3.700%, 01/15/2023 | 3,000,000 | 2,787,249 | |||||||||||
7.750%, 06/15/2031 | 3,500,000 | 4,087,821 | |||||||||||
Trans-Allegheny Interstate Line Company, | |||||||||||||
4.000%, 01/15/2015 (Acquired 08/03/2012, Cost $2,951,031) * | 2,850,000 | 2,960,147 | |||||||||||
Transcontinental Gas Pipe Line Company, LLC, | |||||||||||||
4.450%, 08/01/2042 | 2,600,000 | 2,357,189 | |||||||||||
Veolia Environnement SA, | |||||||||||||
6.000%, 06/01/2018 f | 1,489,000 | 1,724,482 | |||||||||||
Williams Partners L.P.: | |||||||||||||
7.250%, 02/01/2017 | 2,000,000 | 2,324,438 | |||||||||||
6.300%, 04/15/2040 | 1,590,000 | 1,666,743 | |||||||||||
179,503,396 | 6.2 | % |
Finance | |||||||||||||
Abbey National Treasury Services PLC, | |||||||||||||
3.875%, 11/10/2014 (Acquired 02/25/2010 through 12/29/2011, Cost $1,033,738) * | 1,045,000 | 1,076,073 | |||||||||||
ABN AMRO Bank N.V., | |||||||||||||
4.250%, 02/02/2017 (Acquired 01/30/2012, Cost $4,995,100) * @ f | 5,000,000 | 5,330,700 | |||||||||||
AIG SunAmerica Global Financing X, | |||||||||||||
6.900%, 03/15/2032 (Acquired 11/10/2011, Cost $2,133,065) * | 2,000,000 | 2,442,208 | |||||||||||
Ally Financial Inc.: | |||||||||||||
6.750%, 12/01/2014 | 250,000 | 263,125 | |||||||||||
8.300%, 02/12/2015 | 1,065,000 | 1,147,538 | |||||||||||
0.00%, 06/15/2015 ^ | 2,000,000 | 1,850,400 | |||||||||||
4.625%, 06/26/2015 @ | 5,000,000 | 5,125,160 | |||||||||||
5.500%, 02/15/2017 | 7,000,000 | 7,313,670 | |||||||||||
American General Finance Corporation, | |||||||||||||
6.900%, 12/15/2017 | 1,000,000 | 981,250 | |||||||||||
American International Group, Inc.: | |||||||||||||
3.800%, 03/22/2017 @ | 2,500,000 | 2,620,790 | |||||||||||
8.250%, 08/15/2018 | 4,525,000 | 5,611,647 | |||||||||||
6.400%, 12/15/2020 | 3,500,000 | 4,058,901 | |||||||||||
4.875%, 06/01/2022 | 3,500,000 | 3,730,734 | |||||||||||
AmSouth Bancorp, | |||||||||||||
6.750%, 11/01/2025 | 420,000 | 446,494 | |||||||||||
AON Corporation, | |||||||||||||
3.500%, 09/30/2015 f | 2,500,000 | 2,621,535 | |||||||||||
Arden Realty Limited Partnership, | |||||||||||||
5.250%, 03/01/2015 | 1,090,000 | 1,158,053 | |||||||||||
Associates Corporation of North America, | |||||||||||||
6.950%, 11/01/2018 | 10,313,000 | 12,213,696 | |||||||||||
Australia and New Zealand Banking Group Limited, | |||||||||||||
3.250%, 03/01/2016 (Acquired 02/22/2011 through 12/11/2012, Cost $4,412,877) * f | 4,300,000 | 4,511,130 | |||||||||||
Banco Santander (Brasil) S.A., | |||||||||||||
4.625%, 02/13/2017 (Acquired 02/06/2012, Cost $994,140) * @ f | 1,000,000 | 1,015,000 | |||||||||||
Bank of America Corporation: | |||||||||||||
7.625%, 06/01/2019 | 6,000,000 | 7,210,650 | |||||||||||
3.300%, 01/11/2023 | 4,450,000 | 4,205,904 | |||||||||||
Bank of America Corporation Subordinated Notes, | |||||||||||||
10.200%, 07/15/2015 | 2,675,000 | 3,098,683 | |||||||||||
Banponce Trust I, | |||||||||||||
Series A, 8.327%, 02/01/2027 | 2,060,000 | 1,787,050 | |||||||||||
Barclays Bank PLC, | |||||||||||||
6.750%, 05/22/2019 f | 9,850,000 | 11,733,783 | |||||||||||
Berkshire Hathaway Finance Corporation, | |||||||||||||
4.400%, 05/15/2042 | 3,500,000 | 3,229,832 | |||||||||||
BNP Paribas SA: | |||||||||||||
2.375%, 09/14/2017 f | 3,000,000 | 2,970,000 | |||||||||||
5.000%, 01/15/2021 f | 5,000,000 | 5,316,285 | |||||||||||
3.250%, 03/03/2023 @ f | 4,000,000 | 3,677,008 | |||||||||||
Capital One Financial Corporation: | |||||||||||||
7.375%, 05/23/2014 | 2,500,000 | 2,642,137 | |||||||||||
3.150%, 07/15/2016 | 1,015,000 | 1,054,223 | |||||||||||
6.150%, 09/01/2016 | 4,425,000 | 4,937,911 | |||||||||||
CIT Group, Inc.: | |||||||||||||
4.250%, 08/15/2017 | 1,000,000 | 1,005,000 | |||||||||||
5.500%, 02/15/2019 (Acquired 02/02/2012, Cost $500,000) * | 500,000 | 516,250 | |||||||||||
Citigroup, Inc.: | |||||||||||||
6.010%, 01/15/2015 | 1,954,000 | 2,086,725 | |||||||||||
4.450%, 01/10/2017 | 1,800,000 | 1,927,422 | |||||||||||
8.500%, 05/22/2019 | 1,389,000 | 1,750,178 | |||||||||||
CNA Financial Corporation: | |||||||||||||
6.500%, 08/15/2016 | 1,000,000 | 1,132,874 | |||||||||||
7.350%, 11/15/2019 | 1,175,000 | 1,422,702 | |||||||||||
5.875%, 08/15/2020 @ | 4,839,000 | 5,476,427 | |||||||||||
Comerica Bank: | |||||||||||||
5.750%, 11/21/2016 | 3,200,000 | 3,639,654 | |||||||||||
5.200%, 08/22/2017 | 2,855,000 | 3,181,878 | |||||||||||
Commonwealth Bank of Australia, | |||||||||||||
5.000%, 10/15/2019 (Acquired 03/02/2012 through 08/16/2012, Cost $6,353,688) * f | 5,900,000 | 6,602,224 | |||||||||||
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA: | |||||||||||||
3.375%, 01/19/2017 f | 2,000,000 | 2,100,458 | |||||||||||
1.700%, 03/19/2018 @ f | 5,250,000 | 5,101,740 | |||||||||||
3.875%, 02/08/2022 f | 4,150,000 | 4,179,129 | |||||||||||
Countrywide Financial Corporation, | |||||||||||||
6.250%, 05/15/2016 | 2,100,000 | 2,290,014 | |||||||||||
Credit Mutuel-CIC Home Loan SFH, | |||||||||||||
1.500%, 11/16/2017 (Acquired 11/08/2012, Cost $4,981,300) * @ f | 5,000,000 | 4,854,000 | |||||||||||
Credit Suisse (USA), Inc., | |||||||||||||
5.125%, 08/15/2015 | 3,000,000 | 3,239,283 | |||||||||||
Credit Suisse New York, | |||||||||||||
5.300%, 08/13/2019 f | 6,966,000 | 7,836,652 | |||||||||||
Dresdner Bank AG, | |||||||||||||
7.250%, 09/15/2015 f | 10,425,000 | 10,919,666 | |||||||||||
First Empire Capital Trust I, | |||||||||||||
8.234%, 02/01/2027 | 500,000 | 496,424 | |||||||||||
First Empire Capital Trust II, | |||||||||||||
8.277%, 06/01/2027 | 2,300,000 | 2,323,000 | |||||||||||
First Horizon National Corporation, | |||||||||||||
5.375%, 12/15/2015 | 2,420,000 | 2,614,779 | |||||||||||
First National Bank of Chicago Pass Through Trust, | |||||||||||||
Series 93-A, 8.080%, 01/05/2018 | 267,321 | 295,354 | |||||||||||
FMR LLC: | |||||||||||||
4.950%, 02/01/2033 (Acquired 01/29/2013, Cost $2,696,598) * | 2,700,000 | 2,605,689 | |||||||||||
6.500%, 12/14/2040 (Acquired 04/04/2013 through 04/30/2013, Cost $2,052,790) * | 1,620,000 | 1,876,825 | |||||||||||
General Electric Capital Corporation: | |||||||||||||
5.500%, 01/08/2020 | 1,875,000 | 2,114,036 | |||||||||||
5.550%, 05/04/2020 | 4,185,000 | 4,727,288 | |||||||||||
4.375%, 09/16/2020 @ | 2,925,000 | 3,096,464 | |||||||||||
5.300%, 02/11/2021 | 3,000,000 | 3,290,913 | |||||||||||
4.650%, 10/17/2021 | 8,450,000 | 8,963,439 | |||||||||||
Genworth Financial, Inc., | |||||||||||||
7.625%, 09/24/2021 | 1,000,000 | 1,162,080 | |||||||||||
GMAC Inc.: | |||||||||||||
7.500%, 12/31/2013 | 1,341,000 | 1,374,525 | |||||||||||
8.000%, 12/31/2018 | 1,151,000 | 1,303,507 | |||||||||||
Goldman Sachs Capital I, | |||||||||||||
6.345%, 02/15/2034 | 125,000 | 120,107 | |||||||||||
Highmark Inc., | |||||||||||||
6.800%, 08/15/2013 (Acquired 10/28/2010 through 11/24/2010, Cost $427,288) * | 425,000 | 427,146 | |||||||||||
HSBC Bank USA NA, | |||||||||||||
6.000%, 08/09/2017 | 2,720,000 | 3,073,684 | |||||||||||
HSBC Finance Corporation, | |||||||||||||
5.500%, 01/19/2016 @ | 1,120,000 | 1,230,412 | |||||||||||
Humana Inc., | |||||||||||||
7.200%, 06/15/2018 | 800,000 | 952,962 | |||||||||||
Hutchison Whampoa International Ltd.: | |||||||||||||
4.625%, 09/11/2015 (Acquired 08/19/2010 through 12/28/2011, Cost $3,670,573) * f | 3,563,000 | 3,798,454 | |||||||||||
3.500%, 01/13/2017 (Acquired 01/10/2012, Cost $1,990,380) * @ f | 2,000,000 | 2,060,790 | |||||||||||
3.250%, 11/08/2022 (Acquired 11/05/2012, Cost $3,581,424) * @ f | 3,600,000 | 3,296,232 | |||||||||||
ING Bank N.V.: | |||||||||||||
4.000%, 03/15/2016 (Acquired 03/08/2011 through 09/20/2011, Cost $1,600,615) * f | 1,600,000 | 1,687,744 | |||||||||||
3.750%, 03/07/2017 (Acquired 02/29/2012 through 04/24/2013, Cost $4,989,982) * f | 5,000,000 | 5,233,200 | |||||||||||
5.000%, 06/09/2021 (Acquired 10/12/2011, Cost $2,468,800) * @ f | 2,500,000 | 2,685,550 | |||||||||||
ING U.S., Inc., | |||||||||||||
5.500%, 07/15/2022 (Acquired 07/10/2012, Cost $2,998,380) * | 3,000,000 | 3,191,247 | |||||||||||
Invesco Finance PLC, | |||||||||||||
3.125%, 11/30/2022 f | 5,500,000 | 5,130,450 | |||||||||||
Istar Financial, Inc., | |||||||||||||
5.850%, 03/15/2017 | 500,000 | 510,000 | |||||||||||
J.P. Morgan Chase & Co.: | |||||||||||||
4.250%, 10/15/2020 | 3,100,000 | 3,222,255 | |||||||||||
4.350%, 08/15/2021 | 2,400,000 | 2,500,183 | |||||||||||
4.500%, 01/24/2022 | 4,400,000 | 4,607,337 | |||||||||||
3.200%, 01/25/2023 | 5,350,000 | 5,078,792 | |||||||||||
Jefferies Group, Inc., | |||||||||||||
6.450%, 06/08/2027 | 875,000 | 861,875 | |||||||||||
Jefferson-Pilot Corp., | |||||||||||||
4.750%, 01/30/2014 | 1,000,000 | 1,020,540 | |||||||||||
John Hancock Life Insurance Company, | |||||||||||||
7.375%, 02/15/2024 (Acquired 08/26/2010 through 04/11/2013, Cost $12,212,455) * | 9,765,000 | 11,856,585 | |||||||||||
Kemper Corporation: | |||||||||||||
6.000%, 11/30/2015 | 2,500,000 | 2,717,770 | |||||||||||
6.000%, 05/15/2017 | 1,000,000 | 1,085,760 | |||||||||||
Key Bank NA: | |||||||||||||
7.413%, 05/06/2015 | 2,600,000 | 2,870,364 | |||||||||||
7.413%, 05/06/2015 | 2,500,000 | 2,759,965 | |||||||||||
5.450%, 03/03/2016 | 1,279,000 | 1,410,050 | |||||||||||
4.625%, 06/15/2018 | 2,670,000 | 2,921,829 | |||||||||||
Kookmin Bank, | |||||||||||||
7.250%, 05/14/2014 (Acquired 03/10/2010 through 01/18/2012, Cost $4,026,368) * f | 3,900,000 | 4,093,319 | |||||||||||
Liberty Mutual Group Inc.: | |||||||||||||
5.750%, 03/15/2014 (Acquired 12/21/2010 through 04/24/2012, Cost $994,026) * | 980,000 | 1,007,285 | |||||||||||
6.500%, 03/15/2035 (Acquired 09/29/2008 through 04/16/2013, Cost $700,613) * | 700,000 | 747,648 | |||||||||||
10.750%, 06/15/2058 (Acquired 05/21/2008 through 05/06/2009, Cost $750,769) * | 900,000 | 1,372,500 | |||||||||||
Liberty Mutual Insurance Company, | |||||||||||||
7.697%, 10/15/2097 (Acquired 03/26/2003, Cost $240,080) * | 375,000 | 393,292 | |||||||||||
Lincoln National Corporation: | |||||||||||||
8.750%, 07/01/2019 | 7,801,000 | 10,001,920 | |||||||||||
6.050%, 04/20/2067 | 825,000 | 808,236 | |||||||||||
Lloyds TSB Bank PLC: | |||||||||||||
4.200%, 03/28/2017 f | 2,000,000 | 2,131,860 | |||||||||||
5.800%, 01/13/2020 (Acquired 01/05/2010 through 01/19/2012, Cost $6,411,061) * f | 6,350,000 | 7,145,103 | |||||||||||
M&I Marshall & Ilsley Bank, | |||||||||||||
4.850%, 06/16/2015 | 2,189,000 | 2,314,701 | |||||||||||
Macquarie Bank Limited, | |||||||||||||
3.450%, 07/27/2015 (Acquired 07/19/2012, Cost $2,996,370) * f | 3,000,000 | 3,108,960 | |||||||||||
Manufacturer and Traders Trust Co.: | |||||||||||||
6.625%, 12/04/2017 | 1,120,000 | 1,317,648 | |||||||||||
5.585%, 12/28/2020 | 265,000 | 269,350 | |||||||||||
Manulife Financial Corp., | |||||||||||||
4.900%, 09/17/2020 f | 1,840,000 | 1,983,481 | |||||||||||
Marsh & McLennan Companies, Inc., | |||||||||||||
4.800%, 07/15/2021 | 1,000,000 | 1,078,867 | |||||||||||
Massachusetts Mutual Life Insurance Company: | |||||||||||||
7.625%, 11/15/2023 (Acquired 10/10/2012, Cost $4,292,995) * | 3,184,000 | 3,903,332 | |||||||||||
8.875%, 06/01/2039 (Acquired 02/13/2013, Cost $2,411,377) * | 1,575,000 | 2,308,158 | |||||||||||
MBIA Insurance Corp., | |||||||||||||
14.000%, 01/15/2033 (Acquired 01/11/2008, Cost $700,000) * @ | 700,000 | 598,500 | |||||||||||
Merrill Lynch & Company: | |||||||||||||
6.875%, 04/25/2018 | 800,000 | 920,738 | |||||||||||
7.750%, 05/14/2038 | 725,000 | 829,316 | |||||||||||
Metlife Capital Trust IV, | |||||||||||||
7.875%, 12/15/2037 (Acquired 03/26/2012 through 04/05/2013, Cost $1,051,020) * | 900,000 | 1,071,816 | |||||||||||
MetLife, Inc.: | |||||||||||||
Series A, 6.817%, 08/15/2018 | 1,100,000 | 1,332,440 | |||||||||||
7.717%, 02/15/2019 | 1,157,000 | 1,453,280 | |||||||||||
Metropolitan Life Global Funding I: | |||||||||||||
3.125%, 01/11/2016 (Acquired 09/27/2011 through 06/01/2012, Cost $2,434,361) * @ | 2,415,000 | 2,523,132 | |||||||||||
3.875%, 04/11/2022 (Acquired 12/18/2012, Cost $1,624,243) * | 1,500,000 | 1,519,644 | |||||||||||
Mizuho Corporate Bank, Ltd., | |||||||||||||
1.850%, 03/21/2018 (Acquired 03/14/2013, Cost $1,847,447) * f | 1,850,000 | 1,795,767 | |||||||||||
Morgan Stanley: | |||||||||||||
4.750%, 04/01/2014 | 2,505,000 | 2,559,434 | |||||||||||
6.000%, 04/28/2015 | 650,000 | 696,907 | |||||||||||
5.450%, 01/09/2017 | 2,000,000 | 2,161,496 | |||||||||||
6.625%, 04/01/2018 | 1,275,000 | 1,445,155 | |||||||||||
7.300%, 05/13/2019 | 4,675,000 | 5,430,545 | |||||||||||
5.625%, 09/23/2019 | 3,100,000 | 3,331,976 | |||||||||||
3.750%, 02/25/2023 | 1,000,000 | 956,283 | |||||||||||
National Australia Bank Limited, | |||||||||||||
3.000%, 07/27/2016 (Acquired 07/20/2011, Cost $2,991,720) * f | 3,000,000 | 3,125,400 | |||||||||||
National Australia Bank/New York, | |||||||||||||
2.750%, 03/09/2017 f | 6,000,000 | 6,166,980 | |||||||||||
National City Bank, | |||||||||||||
5.800%, 06/07/2017 | 6,170,000 | 7,023,107 | |||||||||||
Nationwide Mutual Insurance Company, | |||||||||||||
7.875%, 04/01/2033 (Acquired 10/13/2009, Cost $90,526) * | 100,000 | 121,285 | |||||||||||
New England Mutual Life Insurance Company, | |||||||||||||
7.875%, 02/15/2024 (Acquired 11/07/2012 through 11/07/2012, Cost $4,338,814) * | 3,200,000 | 4,094,589 | |||||||||||
Nippon Life Insurance Company, | |||||||||||||
5.000%, 10/18/2042 (Acquired 10/11/2012, Cost $2,000,000) * f | 2,000,000 | 1,956,252 | |||||||||||
Nomura Holdings Inc.: | |||||||||||||
2.000%, 09/13/2016 f | 3,000,000 | 2,966,523 | |||||||||||
6.700%, 03/04/2020 f | 525,000 | 601,702 | |||||||||||
Nordea Bank AB, | |||||||||||||
3.125%, 03/20/2017 (Acquired 03/14/2012 through 05/09/2012, Cost $8,039,544) * f | 8,000,000 | 8,232,640 | |||||||||||
Principal Financial Group, Inc.: | |||||||||||||
3.300%, 09/15/2022 | 1,000,000 | 971,430 | |||||||||||
3.125%, 05/15/2023 | 3,550,000 | 3,346,354 | |||||||||||
Prudential Financial Inc.: | |||||||||||||
6.200%, 01/15/2015 | 3,147,000 | 3,390,745 | |||||||||||
6.000%, 12/01/2017 | 2,000,000 | 2,296,662 | |||||||||||
Prudential Holdings LLC, | |||||||||||||
8.695%, 12/18/2023 (Acquired 11/29/2011 through 01/18/2013, Cost $8,402,916) * | 6,691,000 | 8,409,423 | |||||||||||
Raymond James Financial, Inc., | |||||||||||||
8.600%, 08/15/2019 | 1,427,000 | 1,774,459 | |||||||||||
Regions Bank, | |||||||||||||
7.500%, 05/15/2018 | 14,034,000 | 16,369,356 | |||||||||||
Reliance Holdings USA Inc., | |||||||||||||
4.500%, 10/19/2020 (Acquired 10/14/2010 through 10/18/2010, Cost $1,988,700) * | 2,000,000 | 1,967,146 | |||||||||||
5.400%, 02/14/2022 (Acquired 02/09/2012 through 02/23/2012, Cost $3,517,608) * | 3,500,000 | 3,555,612 | |||||||||||
Santander Financial Issuances, | |||||||||||||
7.250%, 11/01/2015 @ f | 300,000 | 323,370 | |||||||||||
Santander U.S. Debt S.A. Unipersonal, | |||||||||||||
2.991%, 10/07/2013 (Acquired 08/25/2011, Cost $2,484,317) * f | 2,500,000 | 2,514,255 | |||||||||||
Simon Property Group, L.P., | |||||||||||||
1.500%, 02/01/2018 (Acquired 12/10/2012, Cost $11,962,200) * | 12,000,000 | 11,558,292 | |||||||||||
SLM Corporation: | |||||||||||||
5.000%, 10/01/2013 | 4,000,000 | 4,020,000 | |||||||||||
5.375%, 05/15/2014 | 8,000,000 | 8,160,000 | |||||||||||
5.625%, 08/01/2033 | 50,000 | 41,500 | |||||||||||
Societe Generale SA: | |||||||||||||
2.750%, 10/12/2017 @ f | 3,000,000 | 3,007,620 | |||||||||||
5.200%, 04/15/2021 (Acquired 09/20/2011 through 02/13/2013, Cost $9,983,969) * @ f | 10,100,000 | 10,663,277 | |||||||||||
Sovereign Bank, | |||||||||||||
8.750%, 05/30/2018 | 7,034,000 | 8,504,823 | |||||||||||
Sparebank 1 Boligkreditt AS, | |||||||||||||
1.750%, 11/15/2019 (Acquired 11/07/2012, Cost $4,961,150) * f | 5,000,000 | 4,703,000 | |||||||||||
State Bank of India, | |||||||||||||
4.125%, 08/01/2017 (Acquired 07/25/2012, Cost $6,939,800) * f | 7,000,000 | 6,935,684 | |||||||||||
Sumitomo Mitsui Banking Corporation: | |||||||||||||
3.150%, 07/22/2015 (Acquired 09/23/2011, Cost $1,534,111) * f | 1,500,000 | 1,562,486 | |||||||||||
3.000%, 01/18/2023 (Acquired 01/10/2013 through 01/18/2013, Cost $2,486,300) f | 2,500,000 | 2,354,920 | |||||||||||
SunTrust Bank: | |||||||||||||
3.600%, 04/15/2016 | 1,500,000 | 1,587,882 | |||||||||||
3.500%, 01/20/2017 | 4,250,000 | 4,447,489 | |||||||||||
7.250%, 03/15/2018 | 5,682,000 | 6,814,928 | |||||||||||
SUSA Partnership, L.P., | |||||||||||||
8.200%, 06/01/2017 | 1,000,000 | 1,177,859 | |||||||||||
Svenska Handelsbanken AB, | |||||||||||||
2.875%, 04/04/2017 @ f | 2,425,000 | 2,503,376 | |||||||||||
Swedbank AB, | |||||||||||||
2.125%, 09/29/2017 (Acquired 09/24/2012, Cost $2,995,470) * f | 3,000,000 | 2,981,670 | |||||||||||
Symetra Financial Corporation, | |||||||||||||
6.125%, 04/01/2016 (Acquired 10/12/2010 through 10/16/2012, Cost $3,773,885) * | 3,620,000 | 3,946,242 | |||||||||||
Talent Yield Investments Ltd, | |||||||||||||
4.500%, 04/25/2022 (Acquired 04/18/2012, Cost $5,958,960) * @ f | 6,000,000 | 5,838,648 | |||||||||||
TD Ameritrade Holding Corporation, | |||||||||||||
5.600%, 12/01/2019 | 1,000,000 | 1,162,446 | |||||||||||
The Bank of Tokyo-Mitsubishi UFJ, Ltd., | |||||||||||||
2.350%, 02/23/2017 (Acquired 02/14/2012, Cost $5,996,640) * f | 6,000,000 | 6,064,284 | |||||||||||
The Bear Stearns Companies LLC, | |||||||||||||
7.250%, 02/01/2018 | 2,250,000 | 2,679,167 | |||||||||||
The Chubb Corp., | |||||||||||||
6.375%, 03/29/2067 @ | 1,320,000 | 1,412,400 | |||||||||||
The Goldman Sachs Group, Inc.: | |||||||||||||
5.950%, 01/18/2018 | 3,000,000 | 3,356,520 | |||||||||||
6.150%, 04/01/2018 | 6,500,000 | 7,324,460 | |||||||||||
7.500%, 02/15/2019 | 1,825,000 | 2,167,323 | |||||||||||
5.250%, 07/27/2021 | 1,000,000 | 1,069,899 | |||||||||||
5.750%, 01/24/2022 | 3,100,000 | 3,419,340 | |||||||||||
6.750%, 10/01/2037 | 300,000 | 307,309 | |||||||||||
The Hartford Financial Services Group, Inc.: | |||||||||||||
7.300%, 11/01/2015 | 465,000 | 525,172 | |||||||||||
5.375%, 03/15/2017 | 2,913,000 | 3,200,321 | |||||||||||
4.000%, 10/15/2017 | 3,000,000 | 3,181,290 | |||||||||||
8.125%, 06/15/2038 | 1,365,000 | 1,504,913 | |||||||||||
The Navigators Group Inc., | |||||||||||||
7.000%, 05/01/2016 | 3,709,000 | 4,016,420 | |||||||||||
The Royal Bank of Scotland Group PLC: | |||||||||||||
5.000%, 11/12/2013 f | 705,000 | 708,525 | |||||||||||
5.050%, 01/08/2015 @ f | 1,528,000 | 1,531,820 | |||||||||||
2.550%, 09/18/2015 f | 4,225,000 | 4,295,807 | |||||||||||
6.125%, 01/11/2021 f | 7,850,000 | 8,715,376 | |||||||||||
Torchmark Corporation, | |||||||||||||
3.800%, 09/15/2022 | 1,275,000 | 1,262,422 | |||||||||||
UBS AG, | |||||||||||||
5.750%, 04/25/2018 f | 6,800,000 | 7,858,209 | |||||||||||
UnionBanCal Corp., | |||||||||||||
3.500%, 06/18/2022 | 1,100,000 | 1,076,910 | |||||||||||
UnitedHealth Group, Inc., | |||||||||||||
6.000%, 02/15/2018 | 1,000,000 | 1,174,441 | |||||||||||
Wachovia Bank, NA, | |||||||||||||
6.000%, 11/15/2017 | 8,322,000 | 9,496,351 | |||||||||||
WEA Finance LLC, | |||||||||||||
7.500%, 06/02/2014 (Acquired 12/28/2011 through 07/18/2012, Cost $4,138,671) * | 3,970,000 | 4,217,958 | |||||||||||
Westpac Banking Corporation: | |||||||||||||
2.000%, 08/14/2017 f | 8,000,000 | 8,027,456 | |||||||||||
4.875%, 11/19/2019 f | 636,000 | 712,862 | |||||||||||
Willis North America, Inc.: | |||||||||||||
5.625%, 07/15/2015 | 2,600,000 | 2,789,982 | |||||||||||
7.000%, 09/29/2019 | 7,803,000 | 8,961,839 | |||||||||||
642,049,749 | 22.5 | % |
Residential Mortgage-Backed Securities | |||||||||||||
U.S. Government Agency Issues | |||||||||||||
Federal Gold Loan Mortgage Corporation (FGLMC): | |||||||||||||
5.000%, 12/01/2020 | 103,634 | 111,020 | |||||||||||
5.000%, 05/01/2021 | 193,756 | 207,565 | |||||||||||
6.000%, 06/01/2021 | 38,101 | 41,680 | |||||||||||
3.000%, 05/01/2027 | 14,934,429 | 15,419,425 | |||||||||||
6.500%, 12/01/2028 | 48,882 | 54,555 | |||||||||||
6.500%, 06/01/2029 | 21,875 | 24,437 | |||||||||||
5.500%, 04/01/2037 | 612,466 | 657,974 | |||||||||||
5.500%, 04/01/2038 | 378,636 | 406,769 | |||||||||||
5.500%, 05/01/2038 | 702,057 | 754,221 | |||||||||||
4.500%, 11/01/2039 | 8,403,176 | 8,847,537 | |||||||||||
4.500%, 11/01/2039 | 2,800,079 | 2,948,147 | |||||||||||
4.500%, 08/01/2040 | 12,359,993 | 13,026,348 | |||||||||||
4.500%, 08/01/2040 | 7,294,601 | 7,687,870 | |||||||||||
3.500%, 06/01/2042 | 14,585,825 | 14,794,616 | |||||||||||
3.500%, 07/01/2042 | 48,633,705 | 49,329,878 | |||||||||||
3.000%, 08/01/2042 | 39,374,906 | 38,438,553 | |||||||||||
3.000%, 10/01/2042 | 21,080,275 | 20,578,976 | |||||||||||
3.000%, 02/01/2043 | 12,325,657 | 12,032,547 | |||||||||||
Federal Home Loan Mortgage Corporation (FHLMC): | |||||||||||||
Series 1053, Class G, 7.000%, 03/15/2021 | 5,973 | 6,921 | |||||||||||
Series 136, Class E, 6.000%, 04/15/2021 | 11,892 | 12,901 | |||||||||||
Series 2804, Class VC, 5.000%, 07/15/2021 | 172,683 | 186,759 | |||||||||||
Series 1122, Class G, 7.000%, 08/15/2021 | 11,654 | 12,869 | |||||||||||
Series 1186, Class I, 7.000%, 12/15/2021 | 24,731 | 27,817 | |||||||||||
Federal National Mortgage Association (FNMA): | |||||||||||||
Series 1989-94, Class G, 7.500%, 12/25/2019 | 6,471 | 7,161 | |||||||||||
Series 1990-15, Class J, 7.000%, 02/25/2020 | 21,564 | 23,580 | |||||||||||
Series 1991-21, Class J, 7.000%, 03/25/2021 | 4,090 | 4,558 | |||||||||||
Series 1991-43, Class J, 7.000%, 05/25/2021 | 73,770 | 82,868 | |||||||||||
Series 1991-65, Class Z, 6.500%, 06/25/2021 | 96,053 | 103,861 | |||||||||||
5.000%, 11/01/2021 | 773,593 | 826,182 | |||||||||||
Series 1992-129, Class L, 6.000%, 07/25/2022 | 154,286 | 170,607 | |||||||||||
Series 2003-33, Class LD, 4.250%, 09/25/2022 | 6,700 | 6,697 | |||||||||||
5.500%, 03/01/2023 | 399,004 | 432,952 | |||||||||||
Series 1993-32, Class H, 6.000%, 03/25/2023 | 34,361 | 37,315 | |||||||||||
Series 1993-58, Class H, 5.500%, 04/25/2023 | 167,505 | 183,270 | |||||||||||
5.500%, 07/01/2023 | 185,756 | 201,548 | |||||||||||
5.500%, 12/01/2023 | 273,078 | 298,494 | |||||||||||
6.000%, 03/01/2026 | 59,364 | 64,756 | |||||||||||
3.000%, 04/01/2027 | 27,791,257 | 28,619,960 | |||||||||||
2.500%, 12/01/2027 | 27,744,982 | 27,952,739 | |||||||||||
5.000%, 05/01/2028 | 195,384 | 210,152 | |||||||||||
6.500%, 09/01/2028 | 38,003 | 43,624 | |||||||||||
6.500%, 02/01/2029 | 81,374 | 93,410 | |||||||||||
4.500%, 07/01/2030 | 17,188,061 | 18,208,072 | |||||||||||
4.000%, 11/01/2031 | 14,550,924 | 15,198,007 | |||||||||||
5.500%, 01/01/2032 | 35,885 | 39,286 | |||||||||||
5.500%, 04/01/2034 | 2,931,025 | 3,207,872 | |||||||||||
5.500%, 04/01/2034 | 2,868,659 | 3,139,817 | |||||||||||
Series 2004-90, Class LH, 5.000%, 04/25/2034 | 5,716,696 | 5,994,253 | |||||||||||
Series 2004-W6, Class 1A6, 5.500%, 07/25/2034 | 303,428 | 310,137 | |||||||||||
Series 2004-W6, Class 1A4, 5.500%, 07/25/2034 | 229,035 | 233,574 | |||||||||||
Series 2004-W10, Class A4, 5.750%, 08/25/2034 | 381,242 | 385,047 | |||||||||||
5.500%, 09/01/2034 | 92,134 | 101,016 | |||||||||||
5.500%, 02/01/2035 | 46,266 | 50,726 | |||||||||||
5.000%, 04/01/2035 | 5,234,029 | 5,652,386 | |||||||||||
5.000%, 07/01/2035 | 15,684,655 | 16,937,626 | |||||||||||
5.000%, 02/01/2036 | 8,536,854 | 9,199,511 | |||||||||||
5.000%, 03/01/2036 | 3,331,907 | 3,590,286 | |||||||||||
5.500%, 04/01/2036 | 8,883,857 | 9,635,073 | |||||||||||
6.000%, 08/01/2037 | 260,912 | 280,601 | |||||||||||
4.000%, 08/01/2040 | 3,478,038 | 3,625,118 | |||||||||||
4.000%, 10/01/2040 | 2,303,874 | 2,401,301 | |||||||||||
4.000%, 12/01/2040 | 8,121,825 | 8,524,398 | |||||||||||
3.500%, 01/01/2041 | 4,788,435 | 4,867,458 | |||||||||||
4.000%, 01/01/2041 | 11,575,302 | 12,064,802 | |||||||||||
3.500%, 02/01/2041 | 4,313,739 | 4,384,928 | |||||||||||
4.000%, 02/01/2041 | 22,683,601 | 23,716,937 | |||||||||||
3.500%, 03/01/2041 | 6,381,884 | 6,487,204 | |||||||||||
4.500%, 07/01/2041 | 4,799,542 | 5,088,976 | |||||||||||
4.000%, 09/01/2041 | 10,758,051 | 11,223,074 | |||||||||||
4.000%, 12/01/2041 | 9,100,000 | 9,493,352 | |||||||||||
3.000%, 05/01/2042 | 6,381,875 | 6,244,235 | |||||||||||
3.500%, 06/01/2042 | 15,142,745 | 15,392,647 | |||||||||||
Government National Mortgage Association (GNMA): | |||||||||||||
6.000%, 12/20/2028 | 52,304 | 58,202 | |||||||||||
6.500%, 01/20/2029 | 22,656 | 26,380 | |||||||||||
Series 2003-2, Class PB, 5.500%, 03/20/2032 | 51,457 | 52,201 | |||||||||||
6.000%, 11/20/2033 | 41,142 | 47,691 | |||||||||||
4.500%, 05/20/2040 | 5,842,581 | 6,291,370 | |||||||||||
5.000%, 07/20/2040 | 2,604,009 | 2,870,975 | |||||||||||
4.500%, 01/20/2041 | 22,415,679 | 24,161,663 | |||||||||||
4.000%, 06/20/2042 | 45,015,601 | 47,370,625 | |||||||||||
3.500%, 09/20/2042 | 22,440,837 | 23,070,222 | |||||||||||
554,600,168 | 19.5 | % |
Non-U.S. Government Agency Issues | |||||||||||||
Bank of America Alternative Loan Trust: | |||||||||||||
Series 2004-1, Class 5A2, 5.500%, 02/25/2019 | 1,772,812 | 1,813,389 | |||||||||||
Series 2004-2, Class 5A1, 5.500%, 03/25/2019 | 362,582 | 372,378 | |||||||||||
Series 2004-8, Class 3A1, 5.500%, 09/25/2019 | 2,078,028 | 2,184,556 | |||||||||||
Series 2005-2, Class 4A1, 5.500%, 03/25/2020 | 65,118 | 68,059 | |||||||||||
Series 2005-4, Class 3A1, 5.500%, 05/25/2020 | 1,002,228 | 1,036,080 | |||||||||||
Series 2005-8, Class 5A1, 5.500%, 09/25/2020 | 242,956 | 249,984 | |||||||||||
Series 2006-2, Class 6A1, 5.500%, 03/25/2021 | 240,045 | 247,425 | |||||||||||
Series 2007-1, Class 1A1, 5.955%, 04/25/2022 | 880,884 | 911,344 | |||||||||||
Series 2005-2, Class 1CB2, 5.500%, 03/25/2035 | 3,405,041 | 3,243,165 | |||||||||||
Series 2006-3, Class 6A1, 6.000%, 04/25/2036 | 242,106 | 250,372 | |||||||||||
Series 2006-5, Class CB7, 6.000%, 06/25/2046 § | 335,437 | 274,214 | |||||||||||
Bank of America Mortgage Securities Inc: | |||||||||||||
Series 2003-L, Class 2A1, 3.041%, 01/25/2034 | 7,808,578 | 7,670,717 | |||||||||||
Series 2005-9, Class 1A5, 5.500%, 10/25/2035 | 622,062 | 617,362 | |||||||||||
Chase Mortgage Finance Corporation: | |||||||||||||
Series 2003-S13, Class A11, 5.500%, 11/25/2033 | 22,320 | 22,375 | |||||||||||
Series 2006-A1, Class 2A3, 4.626%, 09/25/2036 § | 763,964 | 646,797 | |||||||||||
Citicorp Mortgage Securities Trust, | |||||||||||||
Series 2007-2, Class 1A3, 6.000%, 02/25/2037 | 3,492,004 | 3,553,700 | |||||||||||
Citigroup Mortgage Loan Trust, Inc.: | |||||||||||||
Series 2005-9, Class 2A2, 5.500%, 11/25/2035 § | 105,103 | 105,101 | |||||||||||
Series 2005-9, Class 22A2, 6.000%, 11/25/2035 § | 304,766 | 280,206 | |||||||||||
Countrywide Alternative Loan Trust: | |||||||||||||
Series 2005-3CB, Class 2A1, 5.000%, 03/25/2020 | 3,537,740 | 3,596,152 | |||||||||||
Series 2005-50CB, Class 4A1, 5.000%, 11/25/2020 § | 593,264 | 586,165 | |||||||||||
Series 2006-7CB, Class 3A1, 5.250%, 05/25/2021 § | 835,129 | 813,056 | |||||||||||
Series 2006-43CB, Class 2A1, 6.000%, 02/25/2022 § | 387,708 | 397,435 | |||||||||||
Series 2005-10CB, Class 1A6, 5.500%, 05/25/2035 | 340,679 | 336,782 | |||||||||||
Series 2005-73CB, Class 1A7, 5.500%, 01/25/2036 § | 1,023,220 | 932,293 | |||||||||||
Series 2006-J2, Class A3, 6.000%, 04/25/2036 § | 197,279 | 182,016 | |||||||||||
Series 2006-28CB, Class A17, 6.000%, 10/25/2036 § | 1,108,536 | 845,972 | |||||||||||
Countrywide Home Loan Mortgage Pass Through Trust, | |||||||||||||
Series 2005-6, Class 2A1, 5.500%, 04/25/2035 | 1,972,806 | 1,812,538 | |||||||||||
Credit Suisse First Boston Mortgage Securities Corp, | |||||||||||||
Series 2005-7, Class 3A1, 5.000%, 08/25/2020 | 1,070,020 | 1,088,836 | |||||||||||
Deutsche ALT-A Securities Inc. Alternate Loan Trust, | |||||||||||||
Series 2005-3, Class 4A5, 5.250%, 06/25/2035 | 1,138,623 | 1,108,376 | |||||||||||
Deutsche Mortgage Securities Inc., | |||||||||||||
Series 2006-AR5, Class 21A, 6.000%, 10/25/2021 | 492,651 | 432,629 | |||||||||||
First Horizon Alternative Mortgage Securities: | |||||||||||||
Series 2006-FA6, Class 3A1, 5.750%, 11/25/2021 | 376,355 | 384,787 | |||||||||||
Series 2006-FA8, Class 2A1, 5.750%, 02/25/2037 | 1,099,050 | 987,934 | |||||||||||
GSR Mortgage Loan Trust: | |||||||||||||
Series 2004-15F, Class 5A1, 5.500%, 01/25/2020 | 2,505,245 | 2,582,825 | |||||||||||
Series 2005-3F, Class 2A4, 6.000%, 03/25/2035 | 12,575,612 | 12,713,227 | |||||||||||
J.P. Morgan Alternative Loan Trust: | |||||||||||||
Series 2005-S1, Class 3A1, 5.500%, 10/25/2020 § | 3,409,869 | 3,449,270 | |||||||||||
Series 2006-A1, Class 2A1, 2.705%, 03/25/2036 § | 216,924 | 165,009 | |||||||||||
Series 2006-S3, Class A3A, 6.000%, 08/25/2036 | 246,670 | 221,501 | |||||||||||
J.P. Morgan Mortgage Trust: | |||||||||||||
Series 2006-S3, Class 2A3, 5.000%, 08/25/2021 | 1,000,532 | 989,252 | |||||||||||
Series 2006-A7, Class 2A4R, 2.867%, 01/25/2037 § | 597,556 | 480,280 | |||||||||||
Series 2007-A2, Class 2A3, 2.853%, 04/25/2037 | 12,443,911 | 10,143,579 | |||||||||||
Master Alternative Loans Trust: | |||||||||||||
Series 2004-1, Class 1A1, 5.000%, 01/25/2019 | 266,973 | 273,250 | |||||||||||
Series 2004-5, Class 4A1, 5.500%, 07/25/2019 | 776,111 | 815,860 | |||||||||||
Series 2005-3, Class 4A1, 5.500%, 03/25/2020 | 1,416,453 | 1,483,980 | |||||||||||
Series 2003-5, Class 6A1, 6.000%, 08/25/2033 | 91,119 | 96,916 | |||||||||||
Series 2004-2, Class 2A1, 6.000%, 02/25/2034 | 7,746,139 | 8,460,124 | |||||||||||
Series 2005-6, Class 1A5, 5.500%, 12/25/2035 | 7,711,535 | 7,132,129 | |||||||||||
Master Asset Securitization Trust, | |||||||||||||
Series 2005-2, Class 1A1, 5.250%, 11/25/2035 | 193,504 | 193,071 | |||||||||||
Merrill Lynch Mortgage Investors Trust, | |||||||||||||
Series 2005-A8, Class A1C1, 5.250%, 08/25/2036 | 53,646 | 53,341 | |||||||||||
Residential Accredit Loans, Inc.: | |||||||||||||
Series 2004-QS3, Class CB, 5.000%, 03/25/2019 | 2,835,221 | 2,951,491 | |||||||||||
Series 2004-QS13, Class CB, 5.000%, 09/25/2019 | 2,316,560 | 2,380,599 | |||||||||||
Series 2005-QS2, Class A1, 5.500%, 02/25/2035 | 657,616 | 636,198 | |||||||||||
Sequoia Mortgage Trust, | |||||||||||||
Series 2013-6, Class A2, 3.000%, 05/25/2043 | 19,894,223 | 18,743,640 | |||||||||||
Structured Asset Securities Corporation: | |||||||||||||
Series 2003-31A, Class 2A7, 2.593%, 10/25/2033 | 5,003,441 | 4,975,232 | |||||||||||
Series 2005-7XS, Class 1A4B, 5.440%, 04/25/2035 | 834,612 | 861,183 | |||||||||||
Washington Mutual Mortgage Pass Through Certificates: | |||||||||||||
Series 2004-CB1, Class 5A, 5.000%, 06/25/2019 | 119,647 | 123,569 | |||||||||||
Series 2004-CB2, Class 5A, 5.000%, 07/25/2019 | 108,818 | 111,943 | |||||||||||
Series 2004-CB2, Class 7A, 5.500%, 08/25/2019 | 232,392 | 241,630 | |||||||||||
Series 2004-CB3, Class 4A, 6.000%, 10/25/2019 | 67,181 | 70,741 | |||||||||||
Series 2004-CB4, Class 22A, 6.000%, 12/25/2019 | 103,179 | 107,005 | |||||||||||
Wells Fargo Alternative Loan Trust, | |||||||||||||
Series 2007-PA1, Class A4, 6.000%, 03/25/2037 § | 152,409 | 130,640 | |||||||||||
117,639,680 | 4.1 | % |
Asset Backed Securities | |||||||||||||
ACE Securities Corp Home Equity Loan Trust Series, | |||||||||||||
Series 2006-OP1, 0.343%, 04/25/2036 | 15,509,709 | 14,554,311 | |||||||||||
Amresco Residential Securities Mortgage Loan Trust, | |||||||||||||
Series 1998-2, Class A6, 6.450%, 12/25/2027 | 16,467 | 15,975 | |||||||||||
Bayview Financial Acquisition Trust: | |||||||||||||
Series 2007-A, Class 1A2, 6.205%, 05/28/2037 | 522,073 | 561,547 | |||||||||||
Series 2007-B, Class 1A2, 6.831%, 08/28/2047 | 150,000 | 124,945 | |||||||||||
Bear Stearns Asset Backed Securities I Trust, | |||||||||||||
Series 2007-HE4, Class 1A1, 0.313%, 05/25/2037 | 11,828,576 | 11,108,559 | |||||||||||
Carrington Mortgage Loan Trust, | |||||||||||||
Series 2006-OPT1, Class A3, 0.373%, 02/25/2036 | 3,437,313 | 3,319,681 | |||||||||||
Chase Funding Mortgage Loan Asset-Backed Certificates, | |||||||||||||
Series 2003-5, Class 1A6, 4.597%, 01/25/2015 | 1,183,374 | 1,188,980 | |||||||||||
Citigroup Mortgage Loan Trust, Inc.: | |||||||||||||
Series 2006-WFH3, Class A3, 0.343%, 10/25/2036 | 5,653,285 | 5,591,840 | |||||||||||
Series 2007-WFH1, Class A3, 0.343%, 01/25/2037 | 2,134,727 | 2,076,355 | |||||||||||
Countrywide Asset-Backed Certificates: | |||||||||||||
Series 2005-1, Class AF4, 5.147%, 02/25/2033 | 1,271,264 | 1,292,776 | |||||||||||
Series 2004-12, Class AF6, 4.634%, 03/25/2035 | 923,623 | 949,913 | |||||||||||
Series 2004-15, Class AF6, 4.613%, 04/25/2035 | 796,758 | 771,155 | |||||||||||
Series 2005-7, Class AF6, 4.693%, 10/25/2035 | 2,225,462 | 2,139,742 | |||||||||||
Series 2005-11, Class AF3, 4.778%, 02/25/2036 | 1,657,633 | 1,533,319 | |||||||||||
Series 2005-10, Class AF6, 4.915%, 02/25/2036 | 391,555 | 380,257 | |||||||||||
Series 2005-13, Class AF3, 5.195%, 04/25/2036 | 1,521,474 | 1,321,350 | |||||||||||
Series 2006-S9, Class A3, 5.728%, 08/25/2036 | 220,082 | 208,873 | |||||||||||
Series 2007-S1, Class A6, 5.693%, 11/25/2036 | 118,100 | 111,944 | |||||||||||
Series 2006-13, Class 1AF3, 5.253%, 01/25/2037 § | 195,874 | 193,421 | |||||||||||
Series 2007-S2, Class A2, 5.649%, 05/25/2037 | 91,188 | 92,512 | |||||||||||
Series 2006-10, Class 1AF3, 5.318%, 09/25/2046 | 1,300,000 | 814,787 | |||||||||||
Series 2006-9, Class 1AF3, 5.859%, 10/25/2046 | 610,859 | 416,072 | |||||||||||
Series 2007-4, Class A3, 5.714%, 04/25/2047 | 300,000 | 196,482 | |||||||||||
Series 2006-25, Class 2A2, 0.313%, 06/25/2047 | 2,016,674 | 2,002,710 | |||||||||||
Credit Based Asset Servicing and Securitization LLC, | |||||||||||||
Series 2005-CB8, Class AF2, 4.619%, 12/25/2035 | 1,402,336 | 1,311,747 | |||||||||||
GE Capital Mortgage Services, Inc., | |||||||||||||
Series 1999-HE1, Class A7, 6.265%, 04/25/2029 | 1,731 | 1,698 | |||||||||||
Green Tree Financial Corporation: | |||||||||||||
Series 1993-4, Class A5, 7.050%, 01/15/2019 | 9,752 | 10,189 | |||||||||||
Series 1997-1, Class A5, 6.860%, 03/15/2028 | 5,988 | 6,187 | |||||||||||
Series 1997-4, Class A5, 6.880%, 02/15/2029 | 25,645 | 27,184 | |||||||||||
Series 1997-5, Class A6, 6.820%, 05/15/2029 | 304,485 | 318,197 | |||||||||||
Series 1998-3, Class A5, 6.220%, 03/01/2030 | 503,258 | 546,576 | |||||||||||
Series 1998-4, Class A5, 6.180%, 04/01/2030 | 218,944 | 225,504 | |||||||||||
Home Equity Asset Trust, | |||||||||||||
Series 2006-4, Class 2A3, 0.363%, 08/25/2036 | 1,507,021 | 1,467,869 | |||||||||||
J.P. Morgan Mortgage Acquisition Corp: | |||||||||||||
Series 2007-CH4, Class A2, 0.253%, 12/25/2029 | 3,918,304 | 3,873,126 | |||||||||||
Series 2007-CH1, Class AV5, 0.433%, 11/25/2036 | 10,000,000 | 8,810,020 | |||||||||||
Long Beach Mortgage Loan Trust, | |||||||||||||
Series 2006-WL2, Class 2A3, 0.393%, 01/25/2036 | 3,840,635 | 3,457,413 | |||||||||||
Morgan Stanley ABS Capital I, | |||||||||||||
Series 2006-HE1, Class A3, 0.373%, 01/25/2036 | 8,882,010 | 8,731,265 | |||||||||||
Morgan Stanley Home Equity Loan Trust, | |||||||||||||
Series 2006-2, Class A3, 0.363%, 02/25/2036 | 15,779,959 | 15,357,893 | |||||||||||
Nationstar Home Equity Loan Trust, | |||||||||||||
Series 2006-B, Class AV3, 0.363%, 09/25/2036 | 7,843,833 | 7,604,636 | |||||||||||
Oakwood Mortgage Investors, Inc., | |||||||||||||
Series 1999-B, Class A3, 6.450%, 11/15/2017 | 31,846 | 33,303 | |||||||||||
Option One Mortgage Loan Trust, | |||||||||||||
Series 2005-4, Class A3, 0.453%, 11/25/2035 | 818,062 | 802,229 | |||||||||||
Renaissance Home Equity Loan Trust: | |||||||||||||
Series 2005-1, Class AF6, 4.970%, 05/25/2035 | 184,471 | 179,113 | |||||||||||
Series 2006-2, Class AF3, 5.797%, 08/25/2036 | 819,000 | 525,817 | |||||||||||
Series 2006-3, Class AF2, 5.580%, 11/25/2036 | 683,944 | 415,205 | |||||||||||
Series 2007-1, Class AF2, 5.512%, 04/25/2037 | 490,406 | 269,448 | |||||||||||
Series 2007-1, Class AF3, 5.612%, 04/25/2037 | 294,244 | 164,093 | |||||||||||
Series 2007-2, Class AF2, 5.675%, 06/25/2037 | 1,487,526 | 802,177 | |||||||||||
Residential Asset Mortgage Products, Inc.: | |||||||||||||
Series 2003-RS10, Class A17, 4.850%, 11/25/2033 | 64,276 | 64,673 | |||||||||||
Series 2004-RS4, Class AI6, 5.072%, 04/25/2034 | 3,840,145 | 3,962,737 | |||||||||||
Residential Asset Securities Corporation: | |||||||||||||
Series 2003-KS5, Class AI6, 3.620%, 07/25/2033 | 95,677 | 90,944 | |||||||||||
Series 2003-KS9, Class AI6, 4.710%, 11/25/2033 | 71,925 | 69,060 | |||||||||||
Series 2006-EMX8, Class 1A2, 0.313%, 10/25/2036 | 349,451 | 347,773 | |||||||||||
Soundview Home Equity Loan Trust, | |||||||||||||
Series 2005-OPT4, Class 2A3, 0.453%, 12/25/2035 | 12,185,151 | 12,017,045 | |||||||||||
Specialty Underwriting & Residential Finance Trust, | |||||||||||||
Series 2004-BC4, Class A1A, 0.863%, 10/25/2035 | 5,865,576 | 5,700,061 | |||||||||||
Springleaf Mortgage Loan Trust, | |||||||||||||
Series 2012-2, Class A, 2.220%, 10/25/2057 (Acquired 07/31/2012, Cost $4,778,008) * | 4,778,549 | 4,844,116 | |||||||||||
133,004,804 | 4.7 | % |
Commercial Mortgage Backed Securities | |||||||||||||
Citigroup Deutsche Bank, | |||||||||||||
Series 2005-CD1, Class A4, 5.392%, 07/15/2044 | 15,751,219 | 16,919,896 | |||||||||||
Commercial Mortgage Trust: | |||||||||||||
Series 2005-C6, Class A5A, 5.116%, 06/10/2044 | 5,987,000 | 6,417,806 | |||||||||||
Series 2012-CR1, Class A3, 3.391%, 05/15/2045 | 25,592,000 | 25,061,555 | |||||||||||
Series 2012-CR2, Class A4, 3.147%, 08/15/2045 | 23,700,000 | 22,661,253 | |||||||||||
GE Capital Commercial Mortgage Corporation: | |||||||||||||
Series 2004-C3, Class A4, 5.189%, 07/10/2039 | 1,422,367 | 1,470,468 | |||||||||||
Series 2005-C4, Class A4, 5.471%, 11/10/2045 | 12,795,000 | 13,838,112 | |||||||||||
GMAC Commercial Mortgage Securities, Inc., | |||||||||||||
Series 2004-C2, Class A4, 5.301%, 08/10/2038 | 6,727,000 | 6,930,505 | |||||||||||
J.P. Morgan Chase Commercial Mortgage Trust: | |||||||||||||
Series 2005-CB12, Class A4, 4.895%, 09/12/2037 | 17,525,000 | 18,673,063 | |||||||||||
Series 2013-LC11, Class A5, 2.960%, 04/17/2046 | 12,075,000 | 11,248,623 | |||||||||||
Morgan Stanley Bank of America Merrill Lynch Trust, | |||||||||||||
Series 2012-C6, Class A4, 2.858%, 11/17/2045 | 25,410,000 | 23,667,611 | |||||||||||
Morgan Stanley Capital I Trust, | |||||||||||||
Series 2005-HQ7, Class A4, 5.378%, 11/14/2042 | 19,275,000 | 20,723,883 | |||||||||||
Wachovia Bank Commercial Mortgage Trust, | |||||||||||||
Series 2005-C22, Class A4, 5.465%, 12/15/2044 | 5,000,000 | 5,411,020 | |||||||||||
WF-RBS Commercial Mortgage Trust, | |||||||||||||
Series 2012-C6, Class A4, 3.440%, 04/15/2045 | 13,700,000 | 13,541,244 | |||||||||||
186,565,039 | 6.5 | % | |||||||||||
Total Long-Term Investments (Cost $2,791,321,880) | 2,760,024,976 | 96.8 | % | ||||||||||
Shares | |||||||||||||
SHORT-TERM INVESTMENTS | |||||||||||||
Money Market Mutual Funds | |||||||||||||
Dreyfus Institutional Cash Advantage Fund, 0.04% « | 21,651,048 | 21,651,048 | |||||||||||
Short-Term Investments Trust - Liquid Assets Portfolio, 0.09% « | 55,000,000 | 55,000,000 | |||||||||||
Total Short-Term Investments (Cost $76,651,048) | 76,651,048 | 2.7 | % | ||||||||||
Principal Amount | |||||||||||||
INVESTMENTS PURCHASED WITH CASH PROCEEDS FROM | |||||||||||||
SECURITIES LENDING | |||||||||||||
Commercial Paper | |||||||||||||
Atlantic East Funding LLC, 0.545%, 03/25/2014 † ** | $ | 215,971 | 172,406 | ||||||||||
Total Commercial Paper (Cost $215,971) | 172,406 | 0.0 | % | ||||||||||
Shares | |||||||||||||
Investment Companies | |||||||||||||
Mount Vernon Securities Lending Trust Prime Portfolio, 0.21% « | 173,151,120 | 173,151,120 | |||||||||||
Total Investment Companies (Cost $173,151,120) | 173,151,120 | 6.1 | % | ||||||||||
Total Investments Purchased With Cash Proceeds From | |||||||||||||
Securities Lending (Cost $173,367,091) | 173,323,526 | 6.1 | % | ||||||||||
Total Investments (Cost $3,041,340,019) | 3,009,999,550 | 105.6 | % | ||||||||||
Asset Relating to Securities Lending Investments | |||||||||||||
Support Agreement ** ^ α † | 43,565 | ||||||||||||
Total (Cost $0) | 43,565 | 0.0 | % | ||||||||||
Liabilities in Excess of Other Assets | (159,962,724 | ) | (5.6 | )% | |||||||||
TOTAL NET ASSETS | $ | 2,850,080,391 | 100.0 | % |
Notes to Schedule of Investments | ||
* | Restricted Security Deemed Liquid | |
** | Illiquid Security | |
@ | This security or portion of this security is out on loan at June 30, 2013. | |
f | Foreign Security | |
^ | Non-Income Producing | |
« | 7-Day Yield | |
§ | Security in Default | |
† | Priced at Fair Value by the Valuation Committee as delegated by the Baird Funds' Board of Directors. | |
α | The Fund's transfer agent and administrator and securities lending agent entered into a support agreement with | |
the Fund to cover losses realized by the Fund on its investment in Atlantic East Funding, LLC (up to a certain amount), | ||
which investment was made by the Fund's securities lending agent. |
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable because the Registrant is not a closed-end management investment company.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable because the Registrant is not a closed-end management investment company.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not applicable because the Registrant is not a closed-end management investment company.
Item 10. Submission of Matters to a Vote of Security Holders.
There have been no material changes to the procedures by which shareholders may recommend nominees to the Registrant’s board of directors.
Item 11. Controls and Procedures.
(a) | The Registrant’s management, with the participation of its principal executive and principal financial officers, has evaluated the effectiveness of the Registrant's disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940 (the “Act”)), as of a date within 90 days prior to the filing date of this Form N-CSR, as required by Rule 30a-3(b) under the Act and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934. Based on such evaluation, the Registrant's principal executive and principal financial officers have concluded that the design and operation of the Registrant's disclosure controls and procedures are effective in providing reasonable assurance that the information required to be disclosed on Form N-CSR is recorded, processed, summarized and reported within the applicable time periods. |
(b) | There were no changes in the Registrant's internal control over financial reporting (as defined in Rule 30a-3(d) under the Act) that occurred during the second fiscal quarter of the period covered by this report that have materially affected, or are reasonably likely to materially affect, the Registrant's internal control over financial reporting. |
Item 12. Exhibits.
(a) | (1) Code of ethics. |
Incorporated by reference to the Registrant’s Form N-CSR filed on March 9, 2004.
(2) Certifications pursuant to Section 302 of the Sarbanes-Oxley Act of 2002. Filed herewith.
(3) Any written solicitation to purchase securities under Rule 23c-1 under the Act sent or given during the period covered by the report by or on behalf of the registrant to 10 or more persons. Not applicable because the Registrant is not a closed-end management investment company.
(b) Certification pursuant to Section 906 of the Sarbanes-Oxley Act of 2002. Furnished herewith.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
BAIRD FUNDS, INC.
By: /s/Mary Ellen Stanek
Mary Ellen Stanek, President
Date: September 6, 2013
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By: /s/Mary Ellen Stanek
Mary Ellen Stanek, President
Date: September 6, 2013
By: /s/Dominick Zarcone
Dominick Zarcone, Treasurer
Date: September 6, 2013