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, 2015
Date of reporting period: June 30, 2015
Item 1. Reports to Stockholders.
Semi-Annual Report –
Baird Funds
June 30, 2015
Baird Ultra Short Bond Fund
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 Ultra Short Bond Fund | 1 |
Baird Short-Term Bond Fund | 9 |
Baird Intermediate Bond Fund | 17 |
Baird Intermediate Municipal Bond Fund | 25 |
Baird Aggregate Bond Fund | 36 |
Baird Core Plus Bond Fund | 43 |
Additional Information on Fund Expenses | 51 |
Statements of Assets and Liabilities | 53 |
Statements of Operations | 55 |
Statements of Changes in Net Assets | 57 |
Financial Highlights | 63 |
Notes to the Financial Statements | 75 |
Additional Information | 87 |
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 Ultra Short Bond Fund
June 30, 2015 (Unaudited)
Portfolio Characteristics
Quality Distribution(1)(2)
Net Assets | $154,398,908 | |||
SEC 30-Day | ||||
Yield(3) | ||||
Institutional Class | ||||
(Subsidized) | 0.77% | |||
Institutional Class | ||||
(Unsubsidized) | 0.62% | |||
Investor Class (Subsidized) | 0.52% | |||
Investor Class | ||||
(Unsubsidized) | 0.37% | |||
Average | ||||
Effective | ||||
Duration | 0.45 years | |||
Average | ||||
Effective | ||||
Sector Weightings(1) | Maturity | 0.45 years | ||
Annualized | ||||
Expense Ratio(4) | ||||
Gross | ||||
Institutional Class | 0.30% | |||
Investor Class | 0.55% | (5) | ||
Net | ||||
Institutional Class | 0.15% | |||
Investor Class | 0.40% | (5) | ||
Portfolio | ||||
Turnover | ||||
Rate | 46.4% | (6) | ||
Number of | ||||
Holdings | 202 | |||
(1) | Percentages shown are based on the Fund’s total investments (less investments purchased with cash proceeds from securities lending). |
(2) | The quality profile is calculated on a market value-weighted basis using the highest credit quality rating for each security held by the Fund given by S&P, Moody’s or Fitch, each of which is a Nationally Recognized Statistical Rating Organization (NRSRO). NRSROs rate the credit quality of securities using a scale that generally ranges from AAA (highest) to D (lowest). |
(3) | SEC yields are based on SEC guidelines and are calculated for the 30 days ended June 30, 2015. |
(4) | Reflects expense ratios as stated in the Fund’s current prospectus. The Advisor has contractually agreed to waive management fees in an amount equal to an annual rate of 0.15% of average daily net assets for the Fund, at least through April 30, 2016. The agreement may only be terminated prior to the end of this term by or with the consent of the Board of Directors of Baird Funds, Inc. |
(5) | Includes 0.25% 12b-1 fee. |
(6) | Not annualized. |
Page 1
Baird Ultra Short Bond Fund
June 30, 2015 (Unaudited)
Total Returns
Average | |||
Annual | |||
Six | One | Since | |
For the Periods Ended June 30, 2015 | Months | Year | Inception(1) |
Institutional Class Shares | 0.45% | 0.52% | 1.11% |
Investor Class Shares | 0.42% | 0.27% | 0.87% |
Barclays U.S. Short-Term Government/Corporate Index(2) | 0.17% | 0.23% | 0.24% |
(1) | For the period from December 31, 2013 (commencement of operations) through June 30, 2015. |
(2) | The Barclays U.S. Short-Term Government/Corporate Index is an unmanaged, market value weighted index of investment grade, fixed debt including government and corporate securities with maturities less than 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 Fund’s 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 10% of its net assets in non-investment grade debt securities (commonly referred to as “high yield” bonds). While these types of 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 may also invest in U.S. dollar denominated foreign securities which involve additional risks such as 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 2
Baird Ultra Short Bond Fund
Summary Schedule of Investments, June 30, 2015 (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 | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
U.S. Treasury Security | ||||||||||||
U.S. Treasury Bond, | ||||||||||||
2.375%, 03/31/2016@ | $ | 27,750,000 | $ | 28,192,280 | 18.3 | % | ||||||
Total U.S. Treasury Security | ||||||||||||
(Cost $28,190,263) | 28,192,280 | 18.3 | % | |||||||||
Corporate Bonds | ||||||||||||
Finance | ||||||||||||
American Express Co., | ||||||||||||
0.874%, 05/22/2018 | 1,500,000 | 1,495,308 | 1.0 | % | ||||||||
Australia and New Zealand Banking Group Ltd., | ||||||||||||
0.716%, 01/16/2018 (Acquired 01/12/2015, | ||||||||||||
Cost $1,000,000)* f | 1,000,000 | 1,001,747 | 0.6 | % | ||||||||
BNP Paribas, | ||||||||||||
0.736%, 05/07/2017 f | 1,000,000 | 1,000,653 | 0.6 | % | ||||||||
Caisse Centrale Desjardins, | ||||||||||||
0.944%, 01/29/2018 (Acquired 01/26/2015, | ||||||||||||
Cost $1,000,000)* f | 1,000,000 | 1,004,177 | 0.6 | % | ||||||||
Capital One Financial Corp., | ||||||||||||
3.150%, 07/15/2016 | 1,015,000 | 1,034,094 | 0.7 | % | ||||||||
CNA Financial Corp., | ||||||||||||
6.500%, 08/15/2016 | 1,300,000 | 1,375,033 | 0.9 | % | ||||||||
Credit Suisse, | ||||||||||||
0.959%, 04/27/2018 f | 1,000,000 | 999,997 | 0.7 | % | ||||||||
First Tennessee Bank National Association, | ||||||||||||
5.650%, 04/01/2016 | 1,000,000 | 1,031,325 | 0.7 | % | ||||||||
General Electric Capital Corp., | ||||||||||||
0.787%, 01/14/2019 | 2,000,000 | 2,000,670 | 1.3 | % | ||||||||
J.P. Morgan Chase & Co., | ||||||||||||
1.232%, 01/23/2020 | 1,000,000 | 1,009,089 | 0.6 | % | ||||||||
KeyBank National Association, | ||||||||||||
4.950%, 09/15/2015 | 1,000,000 | 1,006,482 | 0.7 | % | ||||||||
Lloyds Bank PLC, | ||||||||||||
0.825%, 05/14/2018 f | 1,500,000 | 1,502,099 | 1.0 | % |
The accompanying notes are an integral part of these financial statements.
Page 3
Baird Ultra Short Bond Fund
Summary Schedule of Investments, June 30, 2015 (Unaudited)
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
Royal Bank of Canada, | ||||||||||||
0.536%, 10/13/2017 f | $ | 1,000,000 | $ | 999,982 | 0.7 | % | ||||||
Royal Bank of Scotland Group PLC, | ||||||||||||
2.550%, 09/18/2015 f | 1,300,000 | 1,303,635 | 0.8 | % | ||||||||
Santander Bank NA, | ||||||||||||
1.206%, 01/12/2018 | 1,400,000 | 1,398,599 | 0.9 | % | ||||||||
Societe Generale, | ||||||||||||
1.364%, 10/01/2018 f | 1,500,000 | 1,523,004 | 1.0 | % | ||||||||
Standard Chartered PLC, | ||||||||||||
0.914%, 04/17/2018 (Acquired 04/13/2015, | ||||||||||||
Cost $1,200,000)* f | 1,200,000 | 1,199,339 | 0.8 | % | ||||||||
Synchrony Financial, | ||||||||||||
1.509%, 02/03/2020 | 1,000,000 | 1,004,403 | 0.6 | % | ||||||||
The Bank of New York Mellon Corp., | ||||||||||||
0.838%, 08/01/2018 | 1,000,000 | 1,003,614 | 0.6 | % | ||||||||
The Bank Of Nova Scotia, | ||||||||||||
0.756%, 06/11/2018 f | 1,500,000 | 1,498,684 | 1.0 | % | ||||||||
The Toronto-Dominion Bank, | ||||||||||||
0.839%, 11/05/2019 f | 1,200,000 | 1,207,116 | 0.8 | % | ||||||||
UBS AG, | ||||||||||||
0.981%, 03/26/2018 f | 1,000,000 | 999,701 | 0.6 | % | ||||||||
Westpac Banking Corp., | ||||||||||||
0.712%, 05/25/2018 f | 1,500,000 | 1,499,993 | 1.0 | % | ||||||||
Other Finance#~ | 25,419,609 | 16.5 | % | |||||||||
Total Finance | ||||||||||||
(Cost $53,544,847) | 53,518,353 | 34.7 | % | |||||||||
Utility | ||||||||||||
PPL Energy Supply LLC, | ||||||||||||
Series A, 5.700%, 10/15/2015 | 1,000,000 | 1,000,000 | 0.6 | % | ||||||||
Other Utility#~ | 365,677 | 0.3 | % | |||||||||
Total Utility | ||||||||||||
(Cost $1,373,238) | 1,365,677 | 0.9 | % | |||||||||
Industrials | ||||||||||||
Actavis Funding SCS, | ||||||||||||
1.543%, 03/12/2020 f | 1,500,000 | 1,516,622 | 1.0 | % | ||||||||
AT&T, Inc., | ||||||||||||
1.212%, 06/30/2020 | 1,000,000 | 1,003,874 | 0.6 | % | ||||||||
Baxalta, Inc., | ||||||||||||
1.061%, 06/22/2018 (Acquired 06/18/2015, | ||||||||||||
Cost $1,500,000)* | 1,500,000 | 1,499,550 | 1.0 | % | ||||||||
Becton, Dickinson and Co., | ||||||||||||
0.736%, 06/15/2016 | 1,000,000 | 1,000,462 | 0.6 | % | ||||||||
Bunge Limited Finance Corp., | ||||||||||||
4.100%, 03/15/2016 | 1,000,000 | 1,019,540 | 0.6 | % |
The accompanying notes are an integral part of these financial statements.
Page 4
Baird Ultra Short Bond Fund
Summary Schedule of Investments, June 30, 2015 (Unaudited)
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
Canadian Natural Resources Ltd., | ||||||||||||
0.657%, 03/30/2016 f | $ | 1,115,000 | $ | 1,112,983 | 0.7 | % | ||||||
Chevron Phillips Chemical Co. LLC, | ||||||||||||
1.030%, 05/01/2020 (Acquired 05/07/2015, | ||||||||||||
Cost $1,500,000)* | 1,500,000 | 1,502,802 | 1.0 | % | ||||||||
Enterprise Products Operating LLC, | ||||||||||||
3.200%, 02/01/2016 | 1,000,000 | 1,012,186 | 0.7 | % | ||||||||
Express Scripts Holding Co., | ||||||||||||
3.125%, 05/15/2016 | 1,000,000 | 1,016,428 | 0.7 | % | ||||||||
Glencore Funding LLC, | ||||||||||||
1.336%, 04/16/2018 (Acquired 04/08/2015, | ||||||||||||
Cost $1,000,000)* | 1,000,000 | 999,452 | 0.6 | % | ||||||||
Laboratory Corporation of America Holdings, | ||||||||||||
5.625%, 12/15/2015 | 1,000,000 | 1,020,138 | 0.7 | % | ||||||||
Marathon Petroleum Corp., | ||||||||||||
3.500%, 03/01/2016 | 1,000,000 | 1,016,885 | 0.7 | % | ||||||||
ONEOK Partners LP, | ||||||||||||
3.250%, 02/01/2016 | 1,000,000 | 1,009,437 | 0.7 | % | ||||||||
Plum Creek Timberlands LP, | ||||||||||||
5.875%, 11/15/2015 | 1,200,000 | 1,220,480 | 0.8 | % | ||||||||
Qualcomm, Inc., | ||||||||||||
0.826%, 05/20/2020 | 1,500,000 | 1,503,561 | 1.0 | % | ||||||||
TransCanada PipeLines Ltd., | ||||||||||||
1.066%, 01/12/2018 f | 1,000,000 | 1,002,233 | 0.6 | % | ||||||||
Verizon Communications, Inc., | ||||||||||||
2.036%, 09/14/2018 | 1,563,000 | 1,616,994 | 1.0 | % | ||||||||
Other Industrials#~ | 20,941,689 | 13.5 | % | |||||||||
Total Industrials | ||||||||||||
(Cost $41,088,010) | 41,015,316 | 26.5 | % | |||||||||
Total Corporate Bonds | ||||||||||||
(Cost $96,006,095) | 95,899,346 | 62.1 | % | |||||||||
Other Government Related Securities | ||||||||||||
Other Government Related Securities#~ | 3,325,664 | 2.2 | % | |||||||||
Total Other Government Related Securities | ||||||||||||
(Cost $3,332,707) | 3,325,664 | 2.2 | % | |||||||||
Taxable Municipal Bonds | ||||||||||||
Other Taxable Municipal Bonds# | 2,790,884 | 1.8 | % | |||||||||
Total Taxable Municipal Bonds | ||||||||||||
(Cost $2,783,903) | 2,790,884 | 1.8 | % |
The accompanying notes are an integral part of these financial statements.
Page 5
Baird Ultra Short Bond Fund
Summary Schedule of Investments, June 30, 2015 (Unaudited)
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
Residential Mortgage-Backed Securities | ||||||||||||
U.S. Government Agency Issues | ||||||||||||
Other U.S. Government Agency Issues# | $ | 533,900 | 0.3 | % | ||||||||
Total U.S. Government Agency Issues | ||||||||||||
(Cost $521,687) | 533,900 | 0.3 | % | |||||||||
Non-U.S. Government Agency Issues | ||||||||||||
Other Non-U.S. Government Agency Issues# | 250,203 | 0.2 | % | |||||||||
Total Non-U.S. Government Agency Issues | ||||||||||||
(Cost $247,838) | 250,203 | 0.2 | % | |||||||||
Asset Backed Securities | ||||||||||||
Accredited Mortgage Loan Trust: | ||||||||||||
Series 2005-3, Class A1, 0.420%, 09/25/2035 | $ | 104,900 | 104,655 | 0.1 | % | |||||||
Series 2005-4, Class A2D, 0.507%, 12/25/2035 | 724,483 | 688,770 | 0.4 | % | ||||||||
Series 2006-2, Class A3, 0.337%, 09/25/2036 | 1,174,520 | 1,159,079 | 0.8 | % | ||||||||
Dell Equipment Finance Trust, | ||||||||||||
Series 2015-1, Class A2, 1.010%, 07/24/2017 | ||||||||||||
(Acquired 04/15/2015, Cost $1,499,946)* | 1,500,000 | 1,500,982 | 1.0 | % | ||||||||
First National Master Note Trust, | ||||||||||||
Series 2013-2, Class A, 0.716%, 10/15/2019 | 1,000,000 | 1,001,583 | 0.6 | % | ||||||||
Golden Credit Card Trust, | ||||||||||||
Series 2013-1A, Class A, 0.436%, 02/15/2018 (Acquired | ||||||||||||
04/24/2015 through 05/05/2015, Cost $1,719,057)* f | 1,720,000 | 1,719,219 | 1.1 | % | ||||||||
Hyundai Auto Lease Securitization Trust, | ||||||||||||
Series 2015-A, Class A3, 1.420%, 09/17/2018 | ||||||||||||
(Acquired 03/04/2015, Cost $1,199,756)* | 1,200,000 | 1,204,110 | 0.8 | % | ||||||||
Master Credit Card Trust II, | ||||||||||||
Series 2012-2A, Class A, 0.780%, 04/21/2017 | ||||||||||||
(Acquired 10/08/2014, Cost $1,000,399)* f | 1,000,000 | 1,000,336 | 0.6 | % | ||||||||
Springleaf Funding Trust, | ||||||||||||
Series 2014-AA, Class A, 2.410%, 12/15/2022 | ||||||||||||
(Acquired 05/13/2015, Cost $1,069,339)* | 1,065,000 | 1,066,331 | 0.7 | % | ||||||||
Other Asset Backed Securities#~ | 9,576,105 | 6.2 | % | |||||||||
Total Asset Backed Securities | ||||||||||||
(Cost $19,008,411) | 19,021,170 | 12.3 | % | |||||||||
Commercial Mortgage-Backed Securities | ||||||||||||
Other Commercial Mortgage Backed Securities# | 788,973 | 0.5 | % | |||||||||
Total Commercial Mortgage Backed Securities | ||||||||||||
(Cost $812,587) | 788,973 | 0.5 | % | |||||||||
Total Long-Term Investments | ||||||||||||
(Cost $150,903,491) | 150,802,420 | 97.7 | % |
The accompanying notes are an integral part of these financial statements.
Page 6
Baird Ultra Short Bond Fund
Summary Schedule of Investments, June 30, 2015 (Unaudited)
Short-Term Investment
% of | ||||||||||||
Shares | Value | Net Assets | ||||||||||
Money Market Mutual Fund | ||||||||||||
Dreyfus Cash Advantage Fund, 0.08%« | 1,845,667 | $ | 1,845,667 | 1.2 | % | |||||||
Total Short-Term Investment | ||||||||||||
(Cost $1,845,667) | 1,845,667 | 1.2 | % | |||||||||
Investments Purchased with Cash | ||||||||||||
Proceeds from Securities Lending | ||||||||||||
Investment Companies | ||||||||||||
Mount Vernon Securities Lending | ||||||||||||
Trust Prime Portfolio, 0.25%« | 26,093,750 | 26,093,750 | 16.9 | % | ||||||||
Total Investment Companies | ||||||||||||
(Cost $26,093,750) | 26,093,750 | 16.9 | % | |||||||||
Total Investments Purchased With Cash | ||||||||||||
Proceeds From Securities Lending | ||||||||||||
(Cost $26,093,750) | 26,093,750 | 16.9 | % | |||||||||
Total Investments | ||||||||||||
(Cost $178,842,908) | 178,741,837 | 115.8 | % | |||||||||
Liabilities in Excess of Other Assets | (24,342,929 | ) | (15.8 | )% | ||||||||
TOTAL NET ASSETS | $ | 154,398,908 | 100.0 | % |
Notes to Summary Schedule of Investments
* | Restricted Security Deemed Liquid. At June 30, 2015, the value of these securities total $13,698,045 representing 8.87% of net assets. | |
@ | This security or portion of this security is out on loan at June 30, 2015. | |
f | Foreign Security | |
« | 7-Day Yield | |
# | Represents the aggregate value, by category, 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 $15,418,195 representing 9.99% of net assets. |
Summary of Fair Value Exposure at June 30, 2015 (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:
The accompanying notes are an integral part of these financial statements.
Page 7
Baird Ultra Short Bond Fund
Summary Schedule of Investments, June 30, 2015 (Unaudited)
Summary of Fair Value Exposure at June 30, 2015 (Unaudited) (cont.)
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, 2015:
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Long-Term Investments | ||||||||||||||||
U.S. Treasury Security | $ | — | $ | 28,192,280 | $ | — | $ | 28,192,280 | ||||||||
Corporate Bonds | — | 95,899,346 | — | 95,899,346 | ||||||||||||
Other Government Related Securities | — | 3,325,664 | — | 3,325,664 | ||||||||||||
Taxable Municipal Bonds | — | 2,790,884 | — | 2,790,884 | ||||||||||||
Residential Mortgage-Backed Securities – | ||||||||||||||||
U.S. Government Agency Issues | — | 533,900 | — | 533,900 | ||||||||||||
Residential Mortgage-Backed Securities – | ||||||||||||||||
Non-U.S. Government Agency Issues | — | 250,203 | — | 250,203 | ||||||||||||
Asset Backed Securities | — | 19,021,170 | — | 19,021,170 | ||||||||||||
Commercial Mortgage-Backed Securities | — | 788,973 | — | 788,973 | ||||||||||||
Total Long-Term Investments | — | 150,802,420 | — | 150,802,420 | ||||||||||||
Short-Term Investment | ||||||||||||||||
Money Market Mutual Fund | 1,845,667 | — | — | 1,845,667 | ||||||||||||
Total Short-Term Investment | 1,845,667 | — | — | 1,845,667 | ||||||||||||
Investments Purchased with Cash | ||||||||||||||||
Proceeds from Securities Lending | ||||||||||||||||
Investment Companies | 26,093,750 | — | — | 26,093,750 | ||||||||||||
Total Investments Purchased with | ||||||||||||||||
Cash Proceeds from Securities Lending | 26,093,750 | — | — | 26,093,750 | ||||||||||||
Total Investments | $ | 27,939,417 | $ | 150,802,420 | $ | — | $ | 178,741,837 |
Changes in valuation techniques may result in transfers into or out of assigned levels within the fair value 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. See the Fund’s valuation policy in Note 2a to the financial statements.
The accompanying notes are an integral part of these financial statements.
Page 8
Baird Short-Term Bond Fund
June 30, 2015 (Unaudited)
Portfolio Characteristics
Quality Distribution(1)(2)
Net Assets | $2,891,875,955 | |||
SEC 30-Day | ||||
Yield(3) | ||||
Institutional Class | 1.53% | |||
Investor Class | 1.28% | |||
Average | ||||
Effective | ||||
Duration | 1.90 years | |||
Average | ||||
Effective | ||||
Maturity | 1.96 years | |||
Annualized | ||||
Expense | ||||
Ratio | ||||
Institutional Class | 0.30% | |||
Investor Class | 0.55% | (4) | ||
Sector Weightings(1) | ||||
Portfolio | ||||
Turnover | ||||
Rate | 20.2% | (5) | ||
Number of | ||||
Holdings | 564 | |||
(1) | Percentages shown are based on the Fund’s total investments (less investments purchased with cash proceeds from securities lending). |
(2) | The quality profile is calculated on a market value-weighted basis using the highest credit quality rating for each security held by the Fund given by S&P, Moody’s or Fitch, each of which is a Nationally Recognized Statistical Rating Organization (NRSRO). NRSROs rate the credit quality of securities using a scale that generally ranges from AAA (highest) to D (lowest). |
(3) | SEC yields are based on SEC guidelines and are calculated for the 30 days ended June 30, 2015. |
(4) | Includes 0.25% 12b-1 fee. |
(5) | Not annualized. |
Page 9
Baird Short-Term Bond Fund
June 30, 2015 (Unaudited)
Total Returns
Average Annual | |||||
Since | Since | ||||
Six | One | Five | Inception | Inception | |
For the Periods Ended June 30, 2015 | Months | Year | Years | (8/31/04) | (9/19/12) |
Institutional Class Shares | 0.87% | 1.05% | 2.33% | 3.05% | N/A |
Investor Class Shares | 0.74% | 0.80% | N/A | N/A | 1.36% |
Barclays 1-3 Year U.S. | |||||
Government/Credit Bond Index(1) | 0.72% | 0.93% | 1.17% | 2.71% | 0.85% |
(1) | 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 Fund’s 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 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 10
Baird Short-Term Bond Fund
Summary Schedule of Investments, June 30, 2015 (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.bairdfunds.com/prospectuses-reports 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 | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
U.S. Treasury Security | ||||||||||||
U.S. Treasury Bond, | ||||||||||||
1.250%, 04/30/2019@ | $ | 292,000,000 | $ | 291,338,328 | 10.1 | % | ||||||
Total U.S. Treasury Security | ||||||||||||
(Cost $290,516,011) | 291,338,328 | 10.1 | % | |||||||||
Corporate Bonds | ||||||||||||
Finance | ||||||||||||
ABN AMRO Bank NV, | ||||||||||||
1.079%, 10/28/2016 (Acquired 10/23/2013 through | ||||||||||||
05/19/2014, Cost $11,056,283)* f | 11,050,000 | 11,098,951 | 0.4 | % | ||||||||
Citizens Bank, National Association, | ||||||||||||
1.600%, 12/04/2017 | 13,900,000 | 13,877,121 | 0.5 | % | ||||||||
CNA Financial Corp., | ||||||||||||
7.350%, 11/15/2019 | 10,200,000 | 12,056,533 | 0.4 | % | ||||||||
Compass Bank, | ||||||||||||
1.850%, 09/29/2017 | 10,505,000 | 10,492,394 | 0.4 | % | ||||||||
Dresdner Bank AG, | ||||||||||||
7.250%, 09/15/2015 f | 12,322,000 | 12,450,642 | 0.4 | % | ||||||||
LeasePlan Corp. NV, | ||||||||||||
2.500%, 05/16/2018 (Acquired 05/07/2013 through | ||||||||||||
10/20/2014, Cost $14,714,441)* f | 14,785,000 | 14,806,734 | 0.5 | % | ||||||||
Synchrony Financial, | ||||||||||||
3.000%, 08/15/2019@ | 13,350,000 | 13,445,025 | 0.5 | % | ||||||||
Voya Financial, Inc., | ||||||||||||
2.900%, 02/15/2018 | 14,708,000 | 15,093,291 | 0.5 | % | ||||||||
Other Finance#~ | 675,826,543 | 23.3 | % | |||||||||
Total Finance | ||||||||||||
(Cost $777,718,047) | 779,147,234 | 26.9 | % | |||||||||
Utility | ||||||||||||
Other Utility# | 70,037,150 | 2.4 | % | |||||||||
Total Utility | ||||||||||||
(Cost $69,842,433) | 70,037,150 | 2.4 | % |
The accompanying notes are an integral part of these financial statements.
Page 11
Baird Short-Term Bond Fund
Summary Schedule of Investments, June 30, 2015 (Unaudited)
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
Industrials | ||||||||||||
Amgen, Inc., | ||||||||||||
5.700%, 02/01/2019@ | $ | 10,000,000 | $ | 11,170,710 | 0.4 | % | ||||||
Boardwalk Pipelines LP, | ||||||||||||
5.500%, 02/01/2017 | 13,384,000 | 13,877,321 | 0.5 | % | ||||||||
CF Industries, Inc., | ||||||||||||
6.875%, 05/01/2018 | 11,182,000 | 12,588,036 | 0.4 | % | ||||||||
Dollar General Corp., | ||||||||||||
4.125%, 07/15/2017 | 17,321,000 | 18,112,258 | 0.6 | % | ||||||||
Freeport-McMoRan, Inc., | ||||||||||||
2.300%, 11/14/2017 | 11,444,000 | 11,408,752 | 0.4 | % | ||||||||
Hospira, Inc., | ||||||||||||
6.050%, 03/30/2017 | 9,654,000 | 10,387,299 | 0.4 | % | ||||||||
Petrofac Ltd., | ||||||||||||
3.400%, 10/10/2018 (Acquired 10/03/2013 through | ||||||||||||
04/29/2015, Cost $12,113,492)* f | 11,925,000 | 11,799,000 | 0.4 | % | ||||||||
PetroLogistics LP / PetroLogistics Finance Corp., | ||||||||||||
6.250%, 04/01/2020 | 11,755,000 | 12,568,328 | 0.4 | % | ||||||||
Pioneer Natural Resources Co., | ||||||||||||
5.875%, 07/15/2016 | 10,133,000 | 10,589,684 | 0.4 | % | ||||||||
Teck Resources Ltd., | ||||||||||||
3.850%, 08/15/2017 f | 12,236,000 | 12,617,604 | 0.4 | % | ||||||||
Telecom Italia Capital, | ||||||||||||
5.250%, 10/01/2015 f | 10,960,000 | 11,051,516 | 0.4 | % | ||||||||
The Dow Chemical Co., | ||||||||||||
8.550%, 05/15/2019 | 11,427,000 | 13,932,175 | 0.5 | % | ||||||||
The Valspar Corp., | ||||||||||||
5.100%, 08/01/2015 | 10,450,000 | 10,481,225 | 0.4 | % | ||||||||
Thermo Fisher Scientific, Inc., | ||||||||||||
1.850%, 01/15/2018 | 12,000,000 | 11,983,512 | 0.4 | % | ||||||||
Valero Energy Corp., | ||||||||||||
9.375%, 03/15/2019 | 10,349,000 | 12,736,369 | 0.4 | % | ||||||||
Verizon Communications, Inc., | ||||||||||||
3.650%, 09/14/2018@ | 14,000,000 | 14,725,018 | 0.5 | % | ||||||||
Walgreen Co., | ||||||||||||
5.250%, 01/15/2019@ | 9,392,000 | 10,298,272 | 0.4 | % | ||||||||
Other Industrials#~ | 757,823,836 | 26.2 | % | |||||||||
Total Industrials | ||||||||||||
(Cost $967,875,327) | 968,150,915 | 33.5 | % | |||||||||
Total Corporate Bonds | ||||||||||||
(Cost $1,815,435,807) | 1,817,335,299 | 62.8 | % |
The accompanying notes are an integral part of these financial statements.
Page 12
Baird Short-Term Bond Fund
Summary Schedule of Investments, June 30, 2015 (Unaudited)
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
Other Government Related Securities | ||||||||||||
Other Government Related Securities#~ | $ | 80,759,455 | 2.8 | % | ||||||||
Total Other Government Related Securities | ||||||||||||
(Cost $80,710,439) | 80,759,455 | 2.8 | % | |||||||||
Taxable Municipal Bonds | ||||||||||||
New Hampshire Housing Finance Authority, | ||||||||||||
4.000%, 07/01/2036 (Callable 07/10/2024) | $ | 10,380,000 | 10,635,971 | 0.4 | % | |||||||
Rhode Island Housing & Mortgage Finance Corp./RI, | ||||||||||||
3.000%, 10/01/2034 (Callable 10/01/2022) | 10,575,000 | 10,828,800 | 0.4 | % | ||||||||
Other Taxable Municipal Bonds# | 68,101,146 | 2.3 | % | |||||||||
Total Taxable Municipal Bonds | ||||||||||||
(Cost $89,876,640) | 89,565,917 | 3.1 | % | |||||||||
Residential Mortgage-Backed Securities | ||||||||||||
U.S. Government Agency Issues | ||||||||||||
Other U.S. Government Agency Issues# | 209,504 | 0.0 | % | |||||||||
Total U.S. Government Agency Issues | ||||||||||||
(Cost $200,786) | 209,504 | 0.0 | % | |||||||||
Non-U.S. Government Agency Issues | ||||||||||||
Thornburg Mortgage Securities Trust, | ||||||||||||
Series 2003-5, Class 3A, 2.161%, 10/25/2043 | 13,338,005 | 13,391,624 | 0.5 | % | ||||||||
Other Non-U.S. Government Agency Issues# | 49,265,837 | 1.7 | % | |||||||||
Total Non-U.S. Government Agency Issues | ||||||||||||
(Cost $62,598,115) | 62,657,461 | 2.2 | % | |||||||||
Asset Backed Securities | ||||||||||||
Accredited Mortgage Loan Trust, | ||||||||||||
Series 2006-2, Class A3, 0.337%, 09/25/2036 | 16,182,875 | 15,970,103 | 0.5 | % | ||||||||
Ally Auto Receivables Trust, | ||||||||||||
Series 2014-SN2, Class A2B, 0.487%, 03/20/2017 | 11,711,148 | 11,710,738 | 0.4 | % | ||||||||
Argent Securities Inc Asset-Backed | ||||||||||||
Pass-Through Certificates, | ||||||||||||
Series 2005-W3, Class A2D, 0.527%, 11/25/2035 | 12,888,831 | 12,500,387 | 0.4 | % | ||||||||
Capital Auto Receivables Asset Trust: | ||||||||||||
Series 2014-2, Class A2, 0.910%, 04/20/2017 | 12,000,000 | 12,000,744 | 0.4 | % | ||||||||
Series 2014-3, Class A2, 1.180%, 12/20/2017 | 25,685,000 | 25,718,981 | 0.9 | % | ||||||||
Dell Equipment Finance Trust, | ||||||||||||
Series 2015-1, Class A2, 1.010%, 07/24/2017 | ||||||||||||
(Acquired 04/15/2015, Cost $28,423,977)* | 28,425,000 | 28,443,618 | 1.0 | % | ||||||||
Ford Credit Auto Owner Trust, | ||||||||||||
Series 2014-1, Class A, 2.260%, 11/15/2025 | ||||||||||||
(Acquired 05/06/2014 through 11/18/2014, | ||||||||||||
Cost $17,951,746)* | 17,894,000 | 18,115,331 | 0.6 | % |
The accompanying notes are an integral part of these financial statements.
Page 13
Baird Short-Term Bond Fund
Summary Schedule of Investments, June 30, 2015 (Unaudited)
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
GMF Floorplan Owner Revolving Trust, | ||||||||||||
Series 2015-1, Class A1, 1.650%, 05/15/2020 | ||||||||||||
(Acquired 05/13/2015, Cost $14,699,441)* | $ | 14,700,000 | $ | 14,696,898 | 0.5 | % | ||||||
GSAA Trust, | ||||||||||||
Series 2005-8, Class A4, 0.457%, 06/25/2035 | 19,465,141 | 18,904,097 | 0.7 | % | ||||||||
Kubota Credit Owner Trust, | ||||||||||||
Series 2015-1A, Class A3, 1.540%, 03/15/2019 | ||||||||||||
(Acquired 01/22/2015, Cost $17,572,546)* | 17,575,000 | 17,594,262 | 0.6 | % | ||||||||
Nationstar Home Equity Loan Trust, | ||||||||||||
Series 2006-B, Class AV3, 0.357%, 09/25/2036 | 13,177,252 | 13,159,410 | 0.5 | % | ||||||||
RASC Series Trust, | ||||||||||||
Series 2005-AHL2, Class A3, 0.537%, 10/25/2035 | 10,626,230 | 10,469,323 | 0.4 | % | ||||||||
Securitized Asset Backed Receivables LLC Trust, | ||||||||||||
Series 2005-OP2, Class A1, 0.512%, 10/25/2035 | ||||||||||||
(Acquired 03/13/2014, Cost $11,734,396)* | 11,879,174 | 11,746,614 | 0.4 | % | ||||||||
Springleaf Funding Trust, | ||||||||||||
Series 2013-AA, Class A, 2.580%, 09/15/2021 | ||||||||||||
(Acquired 01/09/2014 through 11/18/2014, | ||||||||||||
Cost $13,591,737)* | 13,537,160 | 13,587,816 | 0.5 | % | ||||||||
Structured Asset Investment Loan Trust, | ||||||||||||
Series 2004-9, Class A5, 1.187%, 10/25/2034 | 14,893,581 | 14,833,516 | 0.5 | % | ||||||||
Synchrony Credit Card Master Note Trust, | ||||||||||||
Series 2014-1, Class A, 1.610%, 11/15/2020 | 11,700,000 | 11,739,698 | 0.4 | % | ||||||||
Other Asset Backed Securities# | 156,577,663 | 5.4 | % | |||||||||
Total Asset Backed Securities | ||||||||||||
(Cost $406,934,201) | 407,769,199 | 14.1 | % | |||||||||
Commercial Mortgage-Backed Securities | ||||||||||||
DBUBS Mortgage Trust, | ||||||||||||
Series 2011-LC3A, Class A2, 3.642%, 08/10/2044 | 17,193,134 | 17,499,051 | 0.6 | % | ||||||||
J.P. Morgan Chase Commercial | ||||||||||||
Mortgage Securities Trust, | ||||||||||||
Series 2012-C8, Class ASB, 2.379%, 10/15/2045 | 16,100,000 | 16,134,841 | 0.6 | % | ||||||||
Wachovia Bank Commercial Mortgage Trust, | ||||||||||||
Series 2005-C22, Class A4, 5.448%, 12/15/2044 | 12,198,155 | 12,213,317 | 0.4 | % | ||||||||
Other Commercial Mortgage Backed Securities# | 37,513,039 | 1.3 | % | |||||||||
Total Commercial Mortgage Backed Securities | ||||||||||||
(Cost $86,709,476) | 83,360,248 | 2.9 | % | |||||||||
Total Long-Term Investments | ||||||||||||
(Cost $2,832,981,475) | 2,832,995,411 | 98.0 | % |
The accompanying notes are an integral part of these financial statements.
Page 14
Baird Short-Term Bond Fund
Summary Schedule of Investments, June 30, 2015 (Unaudited)
Short-Term Investments
% of | ||||||||||||
Shares | Value | Net Assets | ||||||||||
Money Market Mutual Funds | ||||||||||||
Dreyfus Cash Advantage Fund, 0.08%« | 34,535,387 | $ | 34,535,387 | 1.2 | % | |||||||
Short-Term Investments Trust – | ||||||||||||
Liquid Assets Portfolio, 0.10%« | 56,000,000 | 56,000,000 | 1.9 | % | ||||||||
Total Short-Term Investments | ||||||||||||
(Cost $90,535,387) | 90,535,387 | 3.1 | % | |||||||||
Investments Purchased with Cash | ||||||||||||
Proceeds from Securities Lending | ||||||||||||
Investment Companies | ||||||||||||
Mount Vernon Securities Lending | ||||||||||||
Trust Prime Portfolio, 0.25%« | 184,399,411 | 184,399,411 | 6.4 | % | ||||||||
Total Investment Companies | ||||||||||||
(Cost $184,399,411) | 184,399,411 | 6.4 | % | |||||||||
Total Investments Purchased With Cash | ||||||||||||
Proceeds From Securities Lending | ||||||||||||
(Cost $184,399,411) | 184,399,411 | 6.4 | % | |||||||||
Total Investments | ||||||||||||
(Cost $3,107,916,273) | 3,107,930,209 | 107.5 | % | |||||||||
Liabilities in Excess of Other Assets | (216,054,254 | ) | (7.5 | )% | ||||||||
TOTAL NET ASSETS | $ | 2,891,875,955 | 100.0 | % |
Notes to Summary Schedule of Investments
* | Restricted Security Deemed Liquid. At June 30, 2015, the value of these securities total $141,889,224 representing 4.91% of net assets. | |
@ | This security or portion of this security is out on loan at June 30, 2015. | |
f | Foreign Security | |
« | 7-Day Yield | |
~ | Groupings contain, in aggregate, restricted securities totaling $457,327,633 representing 15.81% of net assets. | |
# | Represents the aggregate value, by category, 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, 2015 (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
The accompanying notes are an integral part of these financial statements.
Page 15
Baird Short-Term Bond Fund
Summary Schedule of Investments, June 30, 2015 (Unaudited)
Summary of Fair Value Exposure at June 30, 2015 (Unaudited) (cont.)
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, 2015:
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Long-Term Investments | ||||||||||||||||
U.S. Treasury Security | $ | — | $ | 291,338,328 | $ | — | $ | 291,338,328 | ||||||||
Corporate Bonds | — | 1,817,335,299 | — | 1,817,335,299 | ||||||||||||
Other Government Related Securities | — | 80,759,455 | — | 80,759,455 | ||||||||||||
Taxable Municipal Bonds | — | 89,565,917 | — | 89,565,917 | ||||||||||||
Residential Mortgage- | ||||||||||||||||
Backed Securities – | ||||||||||||||||
U.S. Government Agency Issues | — | 209,504 | — | 209,504 | ||||||||||||
Residential Mortgage- | ||||||||||||||||
Backed Securities – | ||||||||||||||||
Non-U.S. Government Agency Issues | — | 62,657,461 | — | 62,657,461 | ||||||||||||
Asset Backed Securities | — | 407,769,199 | — | 407,769,199 | ||||||||||||
Commercial Mortgage- | ||||||||||||||||
Backed Securities | — | 83,360,248 | — | 83,360,248 | ||||||||||||
Total Long-Term Investments | — | 2,832,995,411 | — | 2,832,995,411 | ||||||||||||
Short-Term Investments | ||||||||||||||||
Money Market Mutual Funds | 90,535,387 | — | — | 90,535,387 | ||||||||||||
Total Short-Term Investments | 90,535,387 | — | — | 90,535,387 | ||||||||||||
Investments Purchased with Cash | ||||||||||||||||
Proceeds from Securities Lending | ||||||||||||||||
Investment Companies | 184,399,411 | — | — | 184,399,411 | ||||||||||||
Total Investments Purchased with | ||||||||||||||||
Cash Proceeds from | ||||||||||||||||
Securities Lending | 184,399,411 | — | — | 184,399,411 | ||||||||||||
Total Investments | $ | 274,934,798 | $ | 2,832,995,411 | $ | — | $ | 3,107,930,209 |
Changes in valuation techniques may result in transfers into or out of assigned levels within the fair value 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. See the Fund’s valuation policy in Note 2a to the financial statements.
The accompanying notes are an integral part of these financial statements.
Page 16
Baird Intermediate Bond Fund
June 30, 2015 (Unaudited)
Portfolio Characteristics
Quality Distribution(1)(2)
Net Assets | $1,721,988,867 | |||
SEC 30-Day | ||||
Yield(3) | ||||
Institutional Class | 1.94% | |||
Investor Class | 1.69% | |||
Average | ||||
Effective | ||||
Duration | 3.94 years | |||
Average | ||||
Effective | ||||
Maturity | 4.33 years | |||
Annualized | ||||
Expense | ||||
Ratio | ||||
Sector Weightings(1) | Institutional Class | 0.30% | ||
Investor Class | 0.55% | (4) | ||
Portfolio | ||||
Turnover | ||||
Rate | 19.0% | (5) | ||
Number of | ||||
Holdings | 460 | |||
(1) | Percentages shown are based on the Fund’s total investments (less investments purchased with cash proceeds from securities lending). |
(2) | The quality profile is calculated on a market value-weighted basis using the highest credit quality rating for each security held by the Fund given by S&P, Moody’s or Fitch, each of which is a Nationally Recognized Statistical Rating Organization (NRSRO). NRSROs rate the credit quality of securities using a scale that generally ranges from AAA (highest) to D (lowest). |
(3) | SEC yields are based on SEC guidelines and are calculated for the 30 days ended June 30, 2015. |
(4) | Includes 0.25% 12b-1 fee. |
(5) | Not annualized. |
Page 17
Baird Intermediate Bond Fund
June 30, 2015 (Unaudited)
Total Returns
Average Annual | |||||
Six | One | Five | Ten | Since | |
For the Periods Ended June 30, 2015 | Months | Year | Years | Years | Inception(1) |
Institutional Class Shares | 0.99% | 1.72% | 3.82% | 4.57% | 5.33% |
Investor Class Shares | 0.83% | 1.40% | 3.55% | 4.29% | 5.06% |
Barclays Intermediate | |||||
U.S. Government/Credit Bond Index(2) | 0.82% | 1.68% | 2.79% | 4.02% | 4.84% |
(1) | For the period from September 29, 2000 (inception date) through June 30, 2015. |
(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 Fund’s 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 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 18
Baird Intermediate Bond Fund
Summary Schedule of Investments, June 30, 2015 (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.bairdfunds.com/prospectuses-reports 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 | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
U.S. Treasury Securities | ||||||||||||
U.S. Treasury Bonds: | ||||||||||||
1.250%, 04/30/2019@ | $ | 75,350,000 | $ | 75,179,257 | 4.4 | % | ||||||
2.625%, 08/15/2020 | 347,350,000 | 363,224,937 | 21.1 | % | ||||||||
2.500%, 05/15/2024 | 97,500,000 | 99,168,128 | 5.7 | % | ||||||||
Total U.S. Treasury Securities | ||||||||||||
(Cost $537,078,989) | 537,572,322 | 31.2 | % | |||||||||
Corporate Bonds | ||||||||||||
Finance | ||||||||||||
Caisse Centrale Desjardins, | ||||||||||||
0.944%, 01/29/2018 (Acquired 01/26/2015, | ||||||||||||
Cost $8,000,000)* f | 8,000,000 | 8,033,416 | 0.5 | % | ||||||||
Citizens Bank, National Association, | ||||||||||||
2.450%, 12/04/2019 | 8,000,000 | 7,948,016 | 0.5 | % | ||||||||
Comerica Bank, | ||||||||||||
5.200%, 08/22/2017 | 5,570,000 | 5,941,062 | 0.3 | % | ||||||||
Credit Suisse Group Funding Guernsey Ltd., | ||||||||||||
2.750%, 03/26/2020 (Acquired 03/23/2015, | ||||||||||||
Cost $6,246,812)* f | 6,250,000 | 6,171,581 | 0.4 | % | ||||||||
J.P. Morgan Chase & Co., | ||||||||||||
2.250%, 01/23/2020 | 7,875,000 | 7,738,637 | 0.4 | % | ||||||||
Keybank National Association, | ||||||||||||
0.803%, 06/01/2018 | 8,000,000 | 8,004,560 | 0.5 | % | ||||||||
Peachtree Corners Funding Trust, | ||||||||||||
3.976%, 02/15/2025 (Acquired 03/10/2015, | ||||||||||||
Cost $6,000,000)* | 6,000,000 | 5,950,008 | 0.3 | % | ||||||||
Skandinaviska Enskilda Banken AB, | ||||||||||||
2.450%, 05/27/2020 (Acquired 05/19/2015, | ||||||||||||
Cost $8,486,910)* f | 8,500,000 | 8,429,399 | 0.5 | % | ||||||||
Standard Chartered PLC, | ||||||||||||
0.914%, 04/17/2018 (Acquired 04/13/2015, | ||||||||||||
Cost $8,500,000)* f | 8,500,000 | 8,495,317 | 0.5 | % | ||||||||
Wells Fargo & Co., | ||||||||||||
Series N, 2.150%, 01/30/2020@ | 7,000,000 | 6,933,178 | 0.4 | % |
The accompanying notes are an integral part of these financial statements.
Page 19
Baird Intermediate Bond Fund
Summary Schedule of Investments, June 30, 2015 (Unaudited)
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
Other Finance#~ | $ | 324,416,919 | 18.8 | % | ||||||||
Total Finance | ||||||||||||
(Cost $391,299,447) | 398,062,093 | 23.1 | % | |||||||||
Utility | ||||||||||||
Other Utility#~ | 23,541,224 | 1.4 | % | |||||||||
Total Utility | ||||||||||||
(Cost $22,936,196) | 23,541,224 | 1.4 | % | |||||||||
Industrials | ||||||||||||
21st Century Fox America, Inc., | ||||||||||||
8.000%, 10/17/2016 | $ | 5,575,000 | 6,050,938 | 0.3 | % | |||||||
Cardinal Health, Inc., | ||||||||||||
1.950%, 06/15/2018 | 5,600,000 | 5,609,419 | 0.3 | % | ||||||||
Hutchison Whampoa International (09) Ltd., | ||||||||||||
7.625%, 04/09/2019 (Acquired 10/16/2009 through | ||||||||||||
04/16/2014, Cost $6,056,112)* f | 5,400,000 | 6,385,149 | 0.4 | % | ||||||||
Hyundai Capital Services, Inc., | ||||||||||||
3.500%, 09/13/2017 (Acquired 08/04/2014 through | ||||||||||||
09/30/2014, Cost $6,373,046)* f | 6,150,000 | 6,367,962 | 0.4 | % | ||||||||
ONEOK Partners LP, | ||||||||||||
3.375%, 10/01/2022 | 6,000,000 | 5,519,766 | 0.3 | % | ||||||||
Pearson Funding Two PLC, | ||||||||||||
4.000%, 05/17/2016 (Acquired 10/03/2014, | ||||||||||||
Cost $6,147,538)* f | 6,000,000 | 6,141,102 | 0.4 | % | ||||||||
Petrofac Ltd., | ||||||||||||
3.400%, 10/10/2018 (Acquired 10/03/2013 through | ||||||||||||
09/19/2014, Cost $6,947,799)* f | 6,880,000 | 6,807,306 | 0.4 | % | ||||||||
Telstra Corp. Ltd., | ||||||||||||
3.125%, 04/07/2025 (Acquired 03/30/2015, | ||||||||||||
Cost $5,640,395)* f | 5,650,000 | 5,518,790 | 0.3 | % | ||||||||
Valero Energy Corp., | ||||||||||||
9.375%, 03/15/2019 | 5,898,000 | 7,258,586 | 0.4 | % | ||||||||
Verizon Communications, Inc., | ||||||||||||
5.150%, 09/15/2023 | 6,100,000 | 6,678,530 | 0.4 | % | ||||||||
Other Industrials#~ | 292,883,361 | 17.0 | % | |||||||||
Total Industrials | ||||||||||||
(Cost $352,284,033) | 355,220,909 | 20.6 | % | |||||||||
Total Corporate Bonds | ||||||||||||
(Cost $766,519,676) | 776,824,226 | 45.1 | % | |||||||||
Other Government Related Securities | ||||||||||||
Federal Home Loan Mortgage Corp. (FHLMC), | ||||||||||||
1.375%, 05/01/2020@ | 10,000,000 | 9,857,890 | 0.6 | % | ||||||||
Other Government Related Securities#~ | 38,566,505 | 2.2 | % | |||||||||
Total Other Government Related Securities | ||||||||||||
(Cost $47,068,773) | 48,424,395 | 2.8 | % |
The accompanying notes are an integral part of these financial statements.
Page 20
Baird Intermediate Bond Fund
Summary Schedule of Investments, June 30, 2015 (Unaudited)
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
Taxable Municipal Bonds | ||||||||||||
Other Taxable Municipal Bonds# | $ | 30,090,838 | 1.8 | % | ||||||||
Total Taxable Municipal Bonds | ||||||||||||
(Cost $29,988,023) | 30,090,838 | 1.8 | % | |||||||||
Residential Mortgage-Backed Securities | ||||||||||||
U.S. Government Agency Issues | ||||||||||||
Other U.S. Government Agency Issues# | 729,597 | 0.0 | % | |||||||||
Total U.S. Government Agency Issues | ||||||||||||
(Cost $689,043) | 729,597 | 0.0 | % | |||||||||
Non-U.S. Government Agency Issues | ||||||||||||
Structured Asset Securities Corp. | ||||||||||||
Mortgage Pass-Through Certificates, | ||||||||||||
Series 2004-22, Class A2, 5.056%, 01/25/2035 | $ | 6,361,219 | 6,563,525 | 0.4 | % | |||||||
Thornburg Mortgage Securities Trust, | ||||||||||||
Series 2003-5, Class 3A, 2.161%, 10/25/2043 | 8,002,803 | 8,034,974 | 0.5 | % | ||||||||
WaMu Mortgage Pass-Through Certificates, | ||||||||||||
Series 2004-AR3, Class A1, 2.459%, 06/25/2034 | 5,872,843 | 5,933,921 | 0.4 | % | ||||||||
Other Non-U.S. Government Agency Issues#~ | 18,658,572 | 1.0 | % | |||||||||
Total Non-U.S. Government Agency Issues | ||||||||||||
(Cost $39,012,561) | 39,190,992 | 2.3 | % | |||||||||
Asset Backed Securities | ||||||||||||
Capital Auto Receivables Asset Trust: | ||||||||||||
Series 2014-2, Class A2, 0.910%, 04/20/2017 | 5,575,000 | 5,575,346 | 0.3 | % | ||||||||
Series 2015-2, Class A2, 1.390%, 09/20/2018 | 8,050,000 | 8,049,758 | 0.5 | % | ||||||||
Dell Equipment Finance Trust, | ||||||||||||
Series 2015-1, Class A2, 1.010%, 07/24/2017 | ||||||||||||
(Acquired 04/15/2015, Cost $17,999,352)* | 18,000,000 | 18,011,790 | 1.0 | % | ||||||||
Ford Credit Auto Owner Trust: | ||||||||||||
Series 2014-1, Class A, 2.260%, 11/15/2025 (Acquired | ||||||||||||
10/07/2014 through 10/09/2014, Cost $10,907,955)* | 10,859,000 | 10,993,315 | 0.6 | % | ||||||||
Series 2014-2, Class A, 2.310%, 04/15/2026 | ||||||||||||
(Acquired 10/07/2014, Cost $11,745,689)* | 11,750,000 | 11,880,014 | 0.7 | % | ||||||||
Kubota Credit Owner Trust, | ||||||||||||
Series 2015-1A, Class A3, 1.540%, 03/15/2019 | ||||||||||||
(Acquired 01/22/2015, Cost $10,048,597)* | 10,050,000 | 10,061,015 | 0.6 | % | ||||||||
Nomura Holdings, Inc., | ||||||||||||
Series 2006-HE2, Class A3, 0.357%, 03/25/2036 | 7,507,384 | 7,248,732 | 0.4 | % | ||||||||
Securitized Asset Backed Receivables LLC Trust, | �� | |||||||||||
Series 2005-OP2, Class A1, 0.512%, 10/25/2035 | ||||||||||||
(Acquired 03/13/2014, Cost $6,499,050)* | 6,579,235 | 6,505,817 | 0.4 | % | ||||||||
Specialty Underwriting & Residential Finance Trust, | ||||||||||||
Series 2006-BC1, Class A2D, 0.487%, 12/25/2036 | 7,617,879 | 7,383,286 | 0.4 | % |
The accompanying notes are an integral part of these financial statements.
Page 21
Baird Intermediate Bond Fund
Summary Schedule of Investments, June 30, 2015 (Unaudited)
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
Structured Asset Investment Loan Trust, | ||||||||||||
Series 2004-9, Class A5, 1.187%, 10/25/2034 | $ | 6,940,159 | $ | 6,912,169 | 0.4 | % | ||||||
Synchrony Credit Card Master Note Trust, | ||||||||||||
Series 2012-2, Class A, 2.220%, 01/15/2022 | 8,250,000 | 8,352,977 | 0.5 | % | ||||||||
TCF Auto Receivables Owner Trust, | ||||||||||||
Series 2014-1A, Class A4, 1.560%, 01/15/2020 | ||||||||||||
(Acquired 05/29/2015 through 06/12/2015, | ||||||||||||
Cost $15,621,858)* | 15,575,000 | 15,618,657 | 0.9 | % | ||||||||
Other Asset Backed Securities#~ | 38,006,786 | 2.3 | % | |||||||||
Total Asset Backed Securities | ||||||||||||
(Cost $153,899,690) | 154,599,662 | 9.0 | % | |||||||||
Commercial Mortgage-Backed Securities | ||||||||||||
DBUBS Mortgage Trust, | ||||||||||||
Series 2011-LC3A, Class A2, 3.642%, 08/10/2044 | 8,610,545 | 8,763,752 | 0.5 | % | ||||||||
FHLMC Multifamily Structured Pass Through Certificates: | ||||||||||||
Series K708, Class A2, 2.130%, 01/25/2019 | 8,300,000 | 8,456,762 | 0.5 | % | ||||||||
Series K003, Class A4, 5.053%, 01/25/2019 | 9,000,000 | 9,992,196 | 0.6 | % | ||||||||
Series K004, Class A2, 4.186%, 08/25/2019 | 5,875,000 | 6,387,817 | 0.4 | % | ||||||||
Series K005, Class A2, 4.317%, 11/25/2019 | 4,975,000 | 5,446,705 | 0.3 | % | ||||||||
0.811%-4.251%, 02/25/2018-07/25/2020 | 10,847,368 | 11,224,874 | 0.6 | % | ||||||||
J.P. Morgan Chase Commercial Mortgage Securities Trust, | ||||||||||||
Series 2012-C8, Class ASB, 2.379%, 10/15/2045 | 8,004,000 | 8,021,321 | 0.5 | % | ||||||||
Wachovia Bank Commercial Mortgage Trust, | ||||||||||||
Series 2005-C22, Class A4, 5.448%, 12/15/2044 | 6,182,542 | 6,190,227 | 0.4 | % | ||||||||
Wells Fargo Commercial Mortgage Trust, | ||||||||||||
Series 2014-LC18, Class ASB, 3.244%, 12/15/2047 | 16,400,000 | 16,756,962 | 1.0 | % | ||||||||
WFRBS Commercial Mortgage Trust: | ||||||||||||
Series 2012-C6, Class A4, 3.440%, 04/15/2045 | 8,000,000 | 8,330,176 | 0.5 | % | ||||||||
Series 2014-C21, Class A2, 2.917%, 08/15/2047 | 2,435,234 | 2,514,123 | 0.1 | % | ||||||||
Series 2014-C24, Class ASB, 3.324%, 11/15/2047 | 8,275,000 | 8,516,713 | 0.5 | % | ||||||||
Other Commercial Mortgage Backed Securities# | 15,149,128 | 0.8 | % | |||||||||
Total Commercial Mortgage Backed Securities | ||||||||||||
(Cost $115,436,763) | 115,750,756 | 6.7 | % | |||||||||
Total Long-Term Investments | ||||||||||||
(Cost $1,689,693,517) | 1,703,182,788 | 98.9 | % | |||||||||
Short-Term Investment | ||||||||||||
Shares | ||||||||||||
Money Market Mutual Fund | ||||||||||||
Short-Term Investments Trust – | ||||||||||||
Liquid Assets Portfolio, 0.10%« | 26,005,249 | 26,005,249 | 1.5 | % | ||||||||
Total Short-Term Investment | ||||||||||||
(Cost $26,005,249) | 26,005,249 | 1.5 | % |
The accompanying notes are an integral part of these financial statements.
Page 22
Baird Intermediate Bond Fund
Summary Schedule of Investments, June 30, 2015 (Unaudited)
Investments Purchased with Cash
Proceeds from Securities Lending
% of | ||||||||||||
Shares | Value | Net Assets | ||||||||||
Investment Companies | ||||||||||||
Mount Vernon Securities Lending | ||||||||||||
Trust Prime Portfolio, 0.25%« | 65,136,677 | $ | 65,136,677 | 3.8 | % | |||||||
Total Investment Companies | ||||||||||||
(Cost $65,136,677) | 65,136,677 | 3.8 | % | |||||||||
Total Investments Purchased With | ||||||||||||
Cash Proceeds From Securities Lending | ||||||||||||
(Cost $65,136,677) | 65,136,677 | 3.8 | % | |||||||||
Total Investments | ||||||||||||
(Cost $1,780,835,443) | 1,794,324,714 | 104.2 | % | |||||||||
Liabilities in Excess of Other Assets | (72,335,847 | ) | (4.2 | )% | ||||||||
TOTAL NET ASSETS | $ | 1,721,988,867 | 100.0 | % |
Notes to Summary Schedule of Investments
* | Restricted Security Deemed Liquid. At June 30, 2015, the value of these securities total $144,370,638 representing 8.21% of net assets. | |
@ | This security or portion of this security is out on loan at June 30, 2015. | |
f | Foreign Security | |
« | 7-Day Yield | |
# | Represents the aggregate value, by category, 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 $186,814,758 representing 10.85% of net assets. |
Summary of Fair Value Exposure at June 30, 2015 (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 accompanying notes are an integral part of these financial statements.
Page 23
Baird Intermediate Bond Fund
Summary Schedule of Investments, June 30, 2015 (Unaudited)
The following is a summary of the inputs used to value the Fund’s investments as of June 30, 2015:
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Long-Term Investments | ||||||||||||||||
U.S. Treasury Securities | $ | — | $ | 537,572,322 | $ | — | $ | 537,572,322 | ||||||||
Corporate Bonds | — | 776,805,166 | 19,060 | 776,824,226 | ||||||||||||
Other Government Related Securities | — | 48,424,395 | — | 48,424,395 | ||||||||||||
Taxable Municipal Bonds | — | 30,090,838 | — | 30,090,838 | ||||||||||||
Residential Mortgage-Backed Securities – | ||||||||||||||||
U.S. Government Agency Issues | — | 729,597 | — | 729,597 | ||||||||||||
Residential Mortgage-Backed Securities – | ||||||||||||||||
Non-U.S. Government Agency Issues | — | 39,190,992 | — | 39,190,992 | ||||||||||||
Asset Backed Securities | — | 154,599,662 | — | 154,599,662 | ||||||||||||
Commercial Mortgage-Backed Securities | — | 115,750,756 | — | 115,750,756 | ||||||||||||
Total Long-Term Investments | — | 1,703,163,728 | 19,060 | 1,703,182,788 | ||||||||||||
Short-Term Investment | ||||||||||||||||
Money Market Mutual Fund | 26,005,249 | — | — | 26,005,249 | ||||||||||||
Total Short-Term Investment | 26,005,249 | — | — | 26,005,249 | ||||||||||||
Investments Purchased with Cash | ||||||||||||||||
Proceeds from Securities Lending | ||||||||||||||||
Investment Companies | 65,136,677 | — | — | 65,136,677 | ||||||||||||
Total Investments Purchased with | ||||||||||||||||
Cash Proceeds from Securities Lending | 65,136,677 | — | — | 65,136,677 | ||||||||||||
Total Investments | $ | 91,141,926 | $ | 1,703,163,728 | $ | 19,060 | $ | 1,794,324,714 |
Changes in valuation techniques may result in transfers into or out of assigned levels within the fair value 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 is being priced by the valuation committee using Level 3 inputs instead of the Fund’s pricing vendor. See the Fund’s valuation policy in Note 2a to the financial statements.
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, 2014 | $ | 20,511 | |||
Accrued discounts/premiums | — | ||||
Realized gain (loss) | (1,052 | ) | |||
Change in unrealized appreciation (depreciation) | 4,605 | ||||
Purchases | — | ||||
Sales | (5,004 | ) | |||
Transfers in and/or out of Level 3* | — | ||||
Balance as of June 30, 2015 | $ | 19,060 |
* Transfers between levels are recognized at the end of the reporting period.
The accompanying notes are an integral part of these financial statements.
Page 24
Baird Intermediate Municipal Bond Fund
June 30, 2015 (Unaudited)
Portfolio Characteristics
Quality Distribution(1)(2)
Net Assets | $1,143,532,891 | |||
SEC 30-Day | ||||
Yield(4) | ||||
Institutional Class | 1.56% | |||
Investor Class | 1.32% | |||
Average | ||||
Effective | ||||
Duration | 4.35 years | |||
Average | ||||
Effective | ||||
Maturity | 5.19 years | |||
Annualized | ||||
Expense | ||||
Ratio | ||||
Sector Weightings(1) | Institutional Class | 0.30% | ||
Investor Class | 0.55% | (5) | ||
Portfolio | ||||
Turnover | ||||
Rate | 3.3% | (6) | ||
Number of | ||||
Holdings | 310 | |||
(1) | Percentages shown are based on the Fund’s total investments. |
(2) | The quality profile is calculated on a market value-weighted basis using the highest credit quality rating for each security held by the Fund given by S&P, Moody’s or Fitch, each of which is a Nationally Recognized Statistical Rating Organization (NRSRO). NRSROs rate the credit quality of securities using a scale that generally ranges from AAA (highest) to D (lowest). |
(3) | Includes pre-refunded and escrowed-to-maturity (ETM) bonds. |
(4) | SEC yields are based on SEC guidelines and are calculated for the 30 days ended June 30, 2015. |
(5) | Includes 0.25% 12b-1 fee. |
(6) | Not annualized. |
Page 25
Baird Intermediate Municipal Bond Fund
June 30, 2015 (Unaudited)
Total Returns
Average Annual | |||||
Six | One | Five | Ten | Since | |
For the Periods Ended June 30, 2015 | Months | Year | Years | Years | Inception(1) |
Institutional Class Shares | 0.00% | 1.23% | 2.96% | 3.82% | 4.40% |
Investor Class Shares | -0.13% | 1.03% | 2.69% | 3.56% | 4.14% |
Barclays 7-Year General | |||||
Obligation Bond Index(2) | 0.18% | 1.80% | 3.89% | 4.45% | 4.73% |
(1) | For the period from March 30, 2001 (inception date) through June 30, 2015. |
(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 Fund’s 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.
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 26
Baird Intermediate Municipal Bond Fund
Summary Schedule of Investments, June 30, 2015 (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.bairdfunds.com/prospectuses-reports 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 | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
Municipal Bonds | ||||||||||||
Alabama | ||||||||||||
Other Alabama# | $ | 2,327,300 | 0.2 | % | ||||||||
Total Alabama | ||||||||||||
(Cost $2,164,956) | 2,327,300 | 0.2 | % | |||||||||
Arizona | ||||||||||||
Other Arizona# | 3,015,176 | 0.3 | % | |||||||||
Total Arizona | ||||||||||||
(Cost $2,904,648) | 3,015,176 | 0.3 | % | |||||||||
Arkansas | ||||||||||||
Other Arkansas# | 1,112,610 | 0.1 | % | |||||||||
Total Arkansas | ||||||||||||
(Cost $1,120,860) | 1,112,610 | 0.1 | % | |||||||||
California | ||||||||||||
Bakersfield California Certificates Participation | ||||||||||||
0.000%, 04/15/2021 (ETM) | $ | 12,380,000 | 11,099,165 | 1.0 | % | |||||||
San Joaquin Hills California Transportation | ||||||||||||
Corridor Agency Toll Road Revenue | ||||||||||||
0.000%, 01/01/2020 (ETM) | 6,865,000 | 6,439,919 | 0.6 | % | ||||||||
0.000%, 01/01/2023 (ETM) | 14,000,000 | 11,867,240 | 1.0 | % | ||||||||
San Marcos California Public | ||||||||||||
Facilities Authority Revenue | ||||||||||||
0.000%, 09/01/2019 (ETM) | 17,295,000 | 16,328,210 | 1.4 | % | ||||||||
Other California# | 7,785,080 | 0.7 | % | |||||||||
Total California | ||||||||||||
(Cost $49,272,644) | 53,519,614 | 4.7 | % | |||||||||
Colorado | ||||||||||||
Dawson Ridge Metropolitan District No. 1 Colorado | ||||||||||||
0.000%, 10/01/2022 (ETM) | 26,895,000 | 22,891,142 | 2.0 | % | ||||||||
0.000%, 10/01/2022 (ETM) | 17,540,000 | 14,928,820 | 1.3 | % |
The accompanying notes are an integral part of these financial statements.
Page 27
Baird Intermediate Municipal Bond Fund
Summary Schedule of Investments, June 30, 2015 (Unaudited)
Long-Term Investments (cont.)
Principal | % 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 | $ | 7,183,212 | 0.6 | % | ||||||
Other Colorado# | 12,561,377 | 1.1 | % | |||||||||
Total Colorado | ||||||||||||
(Cost $55,661,452) | 57,564,551 | 5.0 | % | |||||||||
Connecticut | ||||||||||||
Other Connecticut# | 5,096,219 | 0.4 | % | |||||||||
Total Connecticut | ||||||||||||
(Cost $4,970,023) | 5,096,219 | 0.4 | % | |||||||||
Delaware | ||||||||||||
Other Delaware# | 2,333,020 | 0.2 | % | |||||||||
Total Delaware | ||||||||||||
(Cost $2,333,113) | 2,333,020 | 0.2 | % | |||||||||
Florida | ||||||||||||
Broward County Florida School Board | ||||||||||||
5.250%, 07/01/2022 (Callable 07/01/2021) | 8,390,000 | 9,782,069 | 0.8 | % | ||||||||
5.250%, 07/01/2023 (Callable 07/01/2021) | 4,915,000 | 5,676,923 | 0.5 | % | ||||||||
County of St. Lucie Florida | ||||||||||||
6.000%, 10/01/2020 (ETM) | 6,420,000 | 7,609,626 | 0.7 | % | ||||||||
Florida State Board of Education | ||||||||||||
5.000%, 06/01/2022 (Callable 06/01/2019) | 13,800,000 | 15,624,084 | 1.4 | % | ||||||||
Miami-Dade County Florida | ||||||||||||
4.500%, 10/01/2020 | 7,100,000 | 8,038,478 | 0.7 | % | ||||||||
Other Florida# | 56,016,189 | 4.9 | % | |||||||||
Total Florida | ||||||||||||
(Cost $96,854,772) | 102,747,369 | 9.0 | % | |||||||||
Georgia | ||||||||||||
Atlanta Georgia Water & Wastewater Revenue | ||||||||||||
5.500%, 11/01/2017 (Insured by AGM) | 8,445,000 | 9,330,458 | 0.8 | % | ||||||||
Forsyth County Georgia Hospital | ||||||||||||
Authority Revenue Anticipation Certificates | ||||||||||||
6.375%, 10/01/2028 (ETM) | 8,050,000 | 10,062,500 | 0.9 | % | ||||||||
Gwinnett County Georgia School District | ||||||||||||
5.000%, 02/01/2026 (Pre-refunded to 02/01/2018) | 7,400,000 | 8,156,946 | 0.7 | % | ||||||||
State of Georgia | ||||||||||||
5.000%, 07/01/2020 (Callable 07/01/2017) | 12,570,000 | 13,631,662 | 1.2 | % | ||||||||
Other Georgia# | 8,924,623 | 0.8 | % | |||||||||
Total Georgia | ||||||||||||
(Cost $49,098,659) | 50,106,189 | 4.4 | % |
The accompanying notes are an integral part of these financial statements.
Page 28
Baird Intermediate Municipal Bond Fund
Summary Schedule of Investments, June 30, 2015 (Unaudited)
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
Illinois | ||||||||||||
Chicago Illinois Board of Education | ||||||||||||
6.000%, 01/01/2020 (Insured by NPFGC) | $ | 14,745,000 | $ | 16,046,099 | 1.4 | % | ||||||
5.000%-5.000%, 12/01/2017-12/01/2017 | 6,445,000 | 6,649,532 | 0.6 | % | ||||||||
Illinois Finance Authority | ||||||||||||
0.000%, 07/15/2023 (ETM) | 21,475,000 | 17,691,105 | 1.6 | % | ||||||||
0.000%, 07/15/2025 (ETM) | 12,625,000 | 9,525,436 | 0.8 | % | ||||||||
6.625%, 11/01/2039 (Pre-refunded to 05/01/2019) | 395,000 | 472,953 | 0.0 | % | ||||||||
Kane McHenry Cook & De Kalb Counties | ||||||||||||
Illinois School District No. 300 | ||||||||||||
7.000%, 01/01/2018 (ETM) | 5,775,000 | 6,622,193 | 0.6 | % | ||||||||
Kendall Kane & Will Counties | ||||||||||||
Community Unit School District No. 308 | ||||||||||||
0.000%, 02/01/2021 | 13,625,000 | 11,818,734 | 1.0 | % | ||||||||
Village of Schaumburg IL | ||||||||||||
4.000%, 12/01/2024 (Callable 12/01/2022) | 5,750,000 | 6,296,883 | 0.6 | % | ||||||||
Other Illinois# | 58,687,058 | 5.1 | % | |||||||||
Total Illinois | ||||||||||||
(Cost $130,244,562) | 133,809,993 | 11.7 | % | |||||||||
Indiana | ||||||||||||
Other Indiana# | 15,732,735 | 1.4 | % | |||||||||
Total Indiana | ||||||||||||
(Cost $15,121,720) | 15,732,735 | 1.4 | % | |||||||||
Kansas | ||||||||||||
Other Kansas# | 3,368,593 | 0.3 | % | |||||||||
Total Kansas | ||||||||||||
(Cost $3,192,053) | 3,368,593 | 0.3 | % | |||||||||
Kentucky | ||||||||||||
Louisville & Jefferson County | ||||||||||||
Metropolitan Government | ||||||||||||
6.125%, 02/01/2037 (Pre-refunded to 02/01/2018) | 13,730,000 | 15,544,282 | 1.4 | % | ||||||||
Other Kentucky# | 3,706,398 | 0.3 | % | |||||||||
Total Kentucky | ||||||||||||
(Cost $19,067,979) | 19,250,680 | 1.7 | % | |||||||||
Louisiana | ||||||||||||
Louisiana Public Facilities Authority Revenue | ||||||||||||
5.500%, 05/15/2027 (Pre-refunded to 05/15/2026) | 9,965,000 | 12,458,741 | 1.1 | % | ||||||||
5.500%, 05/15/2032 (Pre-refunded to 05/15/2026) | 21,355,000 | 26,926,306 | 2.3 | % |
The accompanying notes are an integral part of these financial statements.
Page 29
Baird Intermediate Municipal Bond Fund
Summary Schedule of Investments, June 30, 2015 (Unaudited)
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
State of Louisiana | ||||||||||||
5.000%, 11/15/2020 (Callable 05/15/2020) | $ | 10,000,000 | $ | 11,577,900 | 1.0 | % | ||||||
5.000%, 11/15/2018 | 1,775,000 | 1,994,461 | 0.2 | % | ||||||||
Other Louisiana# | 3,162,707 | 0.3 | % | |||||||||
Total Louisiana | ||||||||||||
(Cost $52,041,426) | 56,120,115 | 4.9 | % | |||||||||
Maryland | ||||||||||||
Other Maryland# | 3,794,423 | 0.3 | % | |||||||||
Total Maryland | ||||||||||||
(Cost $3,795,313) | 3,794,423 | 0.3 | % | |||||||||
Massachusetts | ||||||||||||
Massachusetts State | ||||||||||||
5.000%, 08/01/2020 (Pre-refunded to 08/01/2016) | 5,820,000 | 6,106,693 | 0.5 | % | ||||||||
4.000%, 12/01/2022 (Callable 12/01/2019) | 15,000,000 | 16,430,550 | 1.5 | % | ||||||||
Other Massachusetts# | 7,918,000 | 0.7 | % | |||||||||
Total Massachusetts | ||||||||||||
(Cost $29,897,402) | 30,455,243 | 2.7 | % | |||||||||
Michigan | ||||||||||||
Michigan Finance Authority | ||||||||||||
5.000%, 01/01/2019 | 7,000,000 | 7,926,030 | 0.7 | % | ||||||||
Other Michigan# | 33,575,831 | 2.9 | % | |||||||||
Total Michigan | ||||||||||||
(Cost $41,027,757) | 41,501,861 | 3.6 | % | |||||||||
Minnesota | ||||||||||||
University of Minnesota | ||||||||||||
5.500%, 07/01/2021 (ETM) | 9,980,000 | 11,782,288 | 1.0 | % | ||||||||
Other Minnesota# | 2,241,773 | 0.2 | % | |||||||||
Total Minnesota | ||||||||||||
(Cost $13,755,776) | 14,024,061 | 1.2 | % | |||||||||
Missouri | ||||||||||||
Other Missouri# | 1,090,290 | 0.1 | % | |||||||||
Total Missouri | ||||||||||||
(Cost $1,057,143) | 1,090,290 | 0.1 | % | |||||||||
Nebraska | ||||||||||||
Other Nebraska# | 4,093,899 | 0.4 | % | |||||||||
Total Nebraska | ||||||||||||
(Cost $4,010,918) | 4,093,899 | 0.4 | % | |||||||||
Nevada | ||||||||||||
Other Nevada# | 2,204,010 | 0.2 | % | |||||||||
Total Nevada | ||||||||||||
(Cost $2,088,870) | 2,204,010 | 0.2 | % |
The accompanying notes are an integral part of these financial statements.
Page 30
Baird Intermediate Municipal Bond Fund
Summary Schedule of Investments, June 30, 2015 (Unaudited)
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
New Hampshire | ||||||||||||
Other New Hampshire# | $ | 3,512,514 | 0.3 | % | ||||||||
Total New Hampshire | ||||||||||||
(Cost $3,500,714) | 3,512,514 | 0.3 | % | |||||||||
New Jersey | ||||||||||||
New Jersey State Housing & | ||||||||||||
Mortgage Finance Agency Bonds | ||||||||||||
4.500%, 10/01/2029 (Callable 04/01/2021) | $ | 6,080,000 | 6,240,330 | 0.6 | % | |||||||
Other New Jersey# | 18,231,252 | 1.5 | % | |||||||||
Total New Jersey | ||||||||||||
(Cost $24,250,072) | 24,471,582 | 2.1 | % | |||||||||
New Mexico | ||||||||||||
Other New Mexico# | 2,639,101 | 0.2 | % | |||||||||
Total New Mexico | ||||||||||||
(Cost $2,691,162) | 2,639,101 | 0.2 | % | |||||||||
New York | ||||||||||||
Metropolitan Transit Authority New York | ||||||||||||
6.000%, 04/01/2020 (ETM) | 13,430,000 | 15,434,159 | 1.4 | % | ||||||||
New York State Dormitory Authority | ||||||||||||
5.000%, 12/15/2023 (Callable 12/15/2022) | 11,685,000 | 13,910,642 | 1.2 | % | ||||||||
Westchester Tobacco Asset Securitization/NY | ||||||||||||
6.950%, 07/15/2039 (Pre-refunded to 07/15/2017) | 13,075,000 | 14,829,927 | 1.3 | % | ||||||||
Other New York# | 27,392,137 | 2.4 | % | |||||||||
Total New York | ||||||||||||
(Cost $69,575,994) | 71,566,865 | 6.3 | % | |||||||||
North Carolina | ||||||||||||
North Carolina Eastern Municipal Power Agency | ||||||||||||
5.000%, 01/01/2021 (ETM) | 10,120,000 | 11,743,855 | 1.0 | % | ||||||||
4.500%, 01/01/2024 (Pre-refunded to 01/01/2022) | 7,665,000 | 8,801,030 | 0.8 | % | ||||||||
5.000%-6.400%, 01/01/2017-01/01/2026 | 12,727,000 | 14,117,602 | 1.2 | % | ||||||||
Other North Carolina# | 417,892 | 0.1 | % | |||||||||
Total North Carolina | ||||||||||||
(Cost $34,589,882) | 35,080,379 | 3.1 | % | |||||||||
Ohio | ||||||||||||
State of Ohio | ||||||||||||
5.000%, 06/15/2021 | 6,740,000 | 7,962,636 | 0.7 | % | ||||||||
Other Ohio# | 14,889,405 | 1.3 | % | |||||||||
Total Ohio | ||||||||||||
(Cost $22,191,263) | 22,852,041 | 2.0 | % |
The accompanying notes are an integral part of these financial statements.
Page 31
Baird Intermediate Municipal Bond Fund
Summary Schedule of Investments, June 30, 2015 (Unaudited)
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
Pennsylvania | ||||||||||||
Pennsylvania Convention Center | ||||||||||||
Authority Revenue Bonds | ||||||||||||
6.000%, 09/01/2019 (ETM) | $ | 12,225,000 | $ | 14,015,351 | 1.2 | % | ||||||
Other Pennsylvania# | 22,121,814 | 2.0 | % | |||||||||
Total Pennsylvania | ||||||||||||
(Cost $35,321,699) | 36,137,165 | 3.2 | % | |||||||||
Puerto Rico | ||||||||||||
Other Puerto Rico# | 12,712,854 | 1.1 | % | |||||||||
Total Puerto Rico | ||||||||||||
(Cost $15,084,121) | 12,712,854 | 1.1 | % | |||||||||
South Carolina | ||||||||||||
Piedmont Municipal Power Agency | ||||||||||||
South Carolina Electric Revenue | ||||||||||||
6.750%, 01/01/2020 (ETM) | 6,450,000 | 7,898,089 | 0.7 | % | ||||||||
Other South Carolina# | 5,359,562 | 0.5 | % | |||||||||
Total South Carolina | ||||||||||||
(Cost $12,709,023) | 13,257,651 | 1.2 | % | |||||||||
South Dakota | ||||||||||||
Other South Dakota# | 242,736 | 0.0 | % | |||||||||
Total South Dakota | ||||||||||||
(Cost $238,394) | 242,736 | 0.0 | % | |||||||||
Tennessee | ||||||||||||
Other Tennessee# | 9,778,850 | 0.8 | % | |||||||||
Total Tennessee | ||||||||||||
(Cost $9,761,465) | 9,778,850 | 0.8 | % | |||||||||
Texas | ||||||||||||
City of Houston TX Combined Utility System Revenue | ||||||||||||
0.000%, 12/01/2019 (ETM) | 13,355,000 | 12,515,505 | 1.1 | % | ||||||||
5.500%, 12/01/2029 (ETM) | 16,050,000 | 20,875,914 | 1.8 | % | ||||||||
5.500%, 12/01/2024 (ETM) | 1,735,000 | 2,157,993 | 0.2 | % | ||||||||
Harris County Texas | ||||||||||||
5.750%, 10/01/2028 (Pre-refunded to 10/01/2018) | 6,930,000 | 7,956,333 | 0.7 | % | ||||||||
North East Independent School District/TX | ||||||||||||
5.000%, 08/01/2021 (PSF Guaranteed) | 6,095,000 | 7,177,045 | 0.6 | % | ||||||||
5.000%, 08/01/2023 | 5,805,000 | 6,948,527 | 0.6 | % | ||||||||
5.000%, 02/01/2024 | 2,930,000 | 3,519,370 | 0.3 | % | ||||||||
San Antonio Texas Electric & Gas Revenue | ||||||||||||
5.650%, 02/01/2019 (ETM) | 11,665,000 | 12,915,255 | 1.1 | % | ||||||||
Tarrant County Texas Health Facilities Revenue | ||||||||||||
6.000%, 09/01/2024 (ETM) | 7,990,000 | 9,458,882 | 0.8 | % |
The accompanying notes are an integral part of these financial statements.
Page 32
Baird Intermediate Municipal Bond Fund
Summary Schedule of Investments, June 30, 2015 (Unaudited)
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
Texas State | ||||||||||||
5.000%, 10/01/2018 | $ | 6,285,000 | $ | 7,064,214 | 0.6 | % | ||||||
5.000%-5.000%, 04/01/2020-08/01/2021 | 5,170,000 | 5,529,339 | 0.5 | % | ||||||||
University of Texas System | ||||||||||||
5.000%, 08/15/2022 | 9,530,000 | 11,359,760 | 1.0 | % | ||||||||
Other Texas# | 115,945,842 | 10.2 | % | |||||||||
Total Texas | ||||||||||||
(Cost $219,425,817) | 223,423,979 | 19.5 | % | |||||||||
Utah | ||||||||||||
Other Utah# | 6,659,650 | 0.6 | % | |||||||||
Total Utah | ||||||||||||
(Cost $6,203,039) | 6,659,650 | 0.6 | % | |||||||||
Virginia | ||||||||||||
Other Virginia# | 7,116,413 | 0.6 | % | |||||||||
Total Virginia | ||||||||||||
(Cost $7,073,549) | 7,116,413 | 0.6 | % | |||||||||
Washington | ||||||||||||
Washington Health Care Facilities Authority | ||||||||||||
6.250%, 08/01/2036 (Pre-refunded to 08/01/2018) | 8,100,000 | 9,347,562 | 0.8 | % | ||||||||
6.125%-6.250%, 08/01/2028-11/15/2041 | 6,520,000 | 8,034,384 | 0.7 | % | ||||||||
Washington State | ||||||||||||
5.000%, 01/01/2021 | 10,000,000 | 11,715,800 | 1.0 | % | ||||||||
5.500%, 07/01/2023 | 5,000,000 | 6,053,650 | 0.6 | % | ||||||||
Other Washington# | 13,735,300 | 1.2 | % | |||||||||
Total Washington | ||||||||||||
(Cost $47,515,801) | 48,886,696 | 4.3 | % | |||||||||
West Virginia | ||||||||||||
Other West Virginia# | 1,264,289 | 0.1 | % | |||||||||
Total West Virginia | ||||||||||||
(Cost $1,248,822) | 1,264,289 | 0.1 | % | |||||||||
Wisconsin | ||||||||||||
Other Wisconsin# | 2,395,802 | 0.2 | % | |||||||||
Total Wisconsin | ||||||||||||
(Cost $2,273,600) | 2,395,802 | 0.2 | % | |||||||||
Total Long-Term Investments | ||||||||||||
(Cost $1,093,336,463) | 1,125,266,518 | 98.4 | % |
The accompanying notes are an integral part of these financial statements.
Page 33
Baird Intermediate Municipal Bond Fund
Summary Schedule of Investments, June 30, 2015 (Unaudited)
Short-Term Investment
% of | ||||||||||||
Shares | Value | Net Assets | ||||||||||
Money Market Mutual Fund | ||||||||||||
Goldman Sachs Financial Square Fund, 0.01%« | 3,009,094 | $ | 3,009,094 | 0.3 | % | |||||||
Total Short-Term Investment | ||||||||||||
(Cost $3,009,094) | 3,009,094 | 0.3 | % | |||||||||
Total Investments | ||||||||||||
(Cost $1,096,345,557) | 1,128,275,612 | 98.7 | % | |||||||||
Other Assets in Excess of Liabilities | 15,257,279 | 1.3 | % | |||||||||
TOTAL NET ASSETS | $ | 1,143,532,891 | 100.0 | % |
Notes to Summary Schedule of Investments
AGM – Assured Guaranty Municipal
NPFGC – National Public Finance Guarantee Corp.
PSF – Texas Permanent School Fund
ETM – Escrowed to Maturity
« | 7-Day Yield | |
# | Represents the aggregate value, by category, 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, 2015 (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 an integral part of these financial statements.
Page 34
Baird Intermediate Municipal Bond Fund
Summary Schedule of Investments, June 30, 2015 (Unaudited)
Summary of Fair Value Exposure at June 30, 2015 (Unaudited) (cont.)
The following is a summary of the inputs used to value the Fund’s investments as of June 30, 2015:
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Long-Term Investments | ||||||||||||||||
Municipal Bonds | $ | — | $ | 1,125,266,518 | $ | — | $ | 1,125,266,518 | ||||||||
Total Long-Term Investments | — | 1,125,266,518 | — | 1,125,266,518 | ||||||||||||
Short-Term Investment | ||||||||||||||||
Money Market Mutual Fund | 3,009,094 | — | — | 3,009,094 | ||||||||||||
Total Short-Term Investment | 3,009,094 | — | — | 3,009,094 | ||||||||||||
Total Investments | $ | 3,009,094 | $ | 1,125,266,518 | $ | — | $ | 1,128,275,612 |
Changes in valuation techniques may result in transfers into or out of assigned levels within the fair value 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. See the Fund’s valuation policy in Note 2a to the financial statements.
The accompanying notes are an integral part of these financial statements.
Page 35
Baird Aggregate Bond Fund
June 30, 2015 (Unaudited)
Portfolio Characteristics
Quality Distribution(1)(2)
Net Assets | $5,804,160,412 | |||
SEC 30-Day | ||||
Yield(3) | ||||
Institutional Class | 2.43% | |||
Investor Class | 2.18% | |||
Average | ||||
Effective | ||||
Duration | 5.63 years | |||
Average | ||||
Effective | ||||
Maturity | 7.20 years | |||
Annualized | ||||
Expense | ||||
Sector Weightings(1) | Ratio | |||
Institutional Class | 0.30% | |||
Investor Class | 0.55% | (4) | ||
Portfolio | ||||
Turnover | ||||
Rate | 28.4% | (5) | ||
Number of | ||||
Holdings | 758 | |||
(1) | Percentages shown are based on the Fund’s total investments (less investments purchased with cash proceeds from securities lending). |
(2) | The quality profile is calculated on a market value-weighted basis using the highest credit quality rating for each security held by the Fund given by S&P, Moody’s or Fitch, each of which is a Nationally Recognized Statistical Rating Organization (NRSRO). NRSROs rate the credit quality of securities using a scale that generally ranges from AAA (highest) to D (lowest). |
(3) | SEC yields are based on SEC guidelines and are calculated for the 30 days ended June 30, 2015. |
(4) | Includes 0.25% 12b-1 fee. |
(5) | Not annualized. |
Page 36
Baird Aggregate Bond Fund
June 30, 2015 (Unaudited)
Total Returns
Average Annual | |||||
Six | One | Five | Ten | Since | |
For the Periods Ended June 30, 2015 | Months | Year | Years | Years | Inception(1) |
Institutional Class Shares | 0.13% | 2.13% | 4.66% | 4.79% | 5.82% |
Investor Class Shares | -0.08% | 1.82% | 4.41% | 4.53% | 5.57% |
Barclays U.S. Aggregate Bond Index(2) | -0.10% | 1.86% | 3.35% | 4.44% | 5.30% |
(1) | For the period from September 29, 2000 (inception date) through June 30, 2015. |
(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 Fund’s 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 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 37
Baird Aggregate Bond Fund
Summary Schedule of Investments, June 30, 2015 (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 | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
U.S. Treasury Securities | ||||||||||||
U.S. Treasury Bonds: | ||||||||||||
1.250%, 04/30/2019@ | $ | 92,575,000 | $ | 92,365,225 | 1.6 | % | ||||||
2.625%, 08/15/2020 | 347,675,000 | 363,564,791 | 6.3 | % | ||||||||
2.500%, 05/15/2024 | 20,900,000 | 21,257,578 | 0.4 | % | ||||||||
5.250%, 11/15/2028@ | 88,726,500 | 115,649,492 | 2.0 | % | ||||||||
3.500%, 02/15/2039 | 353,280,900 | 380,825,858 | 6.5 | % | ||||||||
Total U.S. Treasury Securities | ||||||||||||
(Cost $997,909,598) | 973,662,944 | 16.8 | % | |||||||||
Corporate Bonds | ||||||||||||
Finance | ||||||||||||
Massachusetts Mutual Life Insurance Co., | ||||||||||||
8.875%, 06/01/2039 (Acquired 05/27/2009 | ||||||||||||
through 06/03/2015, Cost $24,746,735)* | 16,575,000 | 24,843,207 | 0.4 | % | ||||||||
Reliance Standard Life Global Funding II, | ||||||||||||
2.375%, 05/04/2020 (Acquired 04/27/2015, | ||||||||||||
Cost $20,936,160)* | 21,000,000 | 20,794,263 | 0.4 | % | ||||||||
Other Finance#~ | 1,153,086,847 | 19.8 | % | |||||||||
Total Finance | ||||||||||||
(Cost $1,195,827,894) | 1,198,724,317 | 20.6 | % | |||||||||
Utility | ||||||||||||
Other Utility#~ | 47,487,001 | 0.8 | % | |||||||||
Total Utility | ||||||||||||
(Cost $46,313,158) | 47,487,001 | 0.8 | % |
The accompanying notes are an integral part of these financial statements.
Page 38
Baird Aggregate Bond Fund
Summary Schedule of Investments, June 30, 2015 (Unaudited)
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
Industrials | ||||||||||||
Chevron Phillips Chemical Co. LLC, | ||||||||||||
1.030%, 05/01/2020 (Acquired 05/07/2015, | ||||||||||||
Cost $25,000,000)* | $ | 25,000,000 | $ | 25,046,725 | 0.4 | % | ||||||
Forest Laboratories, Inc., | ||||||||||||
5.000%, 12/15/2021 (Acquired 08/26/2014 | ||||||||||||
through 04/24/2015, Cost $26,278,162)* | 24,000,000 | 26,043,168 | 0.4 | % | ||||||||
Other Industrials#~ | 1,009,086,895 | 17.5 | % | |||||||||
Total Industrials | ||||||||||||
(Cost $1,071,853,059) | 1,060,176,788 | 18.3 | % | |||||||||
Total Corporate Bonds | ||||||||||||
(Cost $2,313,994,111) | 2,306,388,106 | 39.7 | % | |||||||||
Other Government Related Securities | ||||||||||||
Other Government Related Securities#~ | 121,441,372 | 2.1 | % | |||||||||
Total Other Government Related Securities | ||||||||||||
(Cost $120,657,046) | 121,441,372 | 2.1 | % | |||||||||
Taxable Municipal Bonds | ||||||||||||
Other Taxable Municipal Bonds# | 70,469,178 | 1.2 | % | |||||||||
Total Taxable Municipal Bonds | ||||||||||||
(Cost $65,829,591) | 70,469,178 | 1.2 | % | |||||||||
Residential Mortgage-Backed Securities | ||||||||||||
U.S. Government Agency Issues | ||||||||||||
Federal Gold Loan Mortgage Corp. (FGLMC): | ||||||||||||
3.500%, 07/01/2042 | 23,446,129 | 24,177,347 | 0.4 | % | ||||||||
3.000%, 08/01/2042 | 28,150,971 | 28,073,755 | 0.5 | % | ||||||||
3.000%, 01/01/2043 | 22,211,651 | 22,126,298 | 0.4 | % | ||||||||
3.000%, 06/01/2043 | 29,402,942 | 29,305,201 | 0.5 | % | ||||||||
3.500%, 07/01/2044 | 22,501,741 | 23,174,768 | 0.4 | % | ||||||||
3.500%, 10/01/2044 | 21,250,427 | 21,886,028 | 0.4 | % | ||||||||
4.000%, 10/01/2044 | 22,758,678 | 24,188,272 | 0.4 | % | ||||||||
2.500%-6.500%, 06/01/2020-08/01/2044 | 158,351,115 | 167,338,734 | 2.9 | % | ||||||||
Federal National Mortgage Association (FNMA): | ||||||||||||
2.500%, 05/01/2030 | 24,734,331 | 25,061,335 | 0.4 | % | ||||||||
4.500%, 10/01/2033 | 40,016,135 | 43,595,786 | 0.8 | % | ||||||||
5.000%, 10/01/2033 | 41,952,026 | 46,657,508 | 0.8 | % | ||||||||
4.000%, 06/01/2034 | 19,724,491 | 21,106,799 | 0.4 | % | ||||||||
4.000%, 09/01/2034 | 22,000,565 | 23,550,494 | 0.4 | % | ||||||||
5.000%, 06/01/2039 | 26,126,734 | 28,879,861 | 0.5 | % | ||||||||
3.500%, 02/01/2041 | 28,314,811 | 29,253,438 | 0.5 | % | ||||||||
4.000%, 02/01/2041 | 26,533,935 | 28,290,919 | 0.5 | % | ||||||||
3.500%, 03/01/2041 | 40,574,134 | 41,919,268 | 0.7 | % | ||||||||
4.500%, 07/01/2041 | 22,928,040 | 24,848,620 | 0.4 | % | ||||||||
4.000%, 01/01/2042 | 26,659,363 | 28,366,247 | 0.5 | % | ||||||||
4.500%, 01/01/2042 | 26,930,300 | 29,168,147 | 0.5 | % |
The accompanying notes are an integral part of these financial statements.
Page 39
Baird Aggregate Bond Fund
Summary Schedule of Investments, June 30, 2015 (Unaudited)
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
Federal National Mortgage Association (FNMA): (cont.) | ||||||||||||
4.000%, 08/01/2042 | $ | 35,142,376 | $ | 37,446,842 | 0.6 | % | ||||||
3.000%, 05/01/2043 | 34,205,536 | 34,235,443 | 0.6 | % | ||||||||
4.500%, 09/01/2043 | 29,724,516 | 32,180,719 | 0.6 | % | ||||||||
3.500%, 04/01/2045 | 52,841,359 | 54,646,886 | 0.9 | % | ||||||||
2.500%-8.000%, 07/25/2019-01/01/2045 | 229,806,303 | 241,785,305 | 4.2 | % | ||||||||
Government National Mortgage Association (GNMA): | ||||||||||||
4.000%, 06/20/2042 | 23,004,510 | 24,501,746 | 0.4 | % | ||||||||
3.000%, 04/20/2045 | 56,007,059 | 56,626,156 | 1.0 | % | ||||||||
3.500%, 04/20/2045 | 41,278,316 | 43,062,749 | 0.7 | % | ||||||||
3.500%-6.000%, 11/20/2033-09/20/2042 | 14,548,256 | 15,514,022 | 0.3 | % | ||||||||
Other U.S. Government Agency Issues# | 966,708 | 0.0 | % | |||||||||
Total U.S. Government Agency Issues | ||||||||||||
(Cost $1,248,508,613) | 1,251,935,401 | 21.6 | % | |||||||||
Non-U.S. Government Agency Issues | ||||||||||||
Merrill Lynch Mortgage Investors Trust, | ||||||||||||
Series 2005-A10, Class A, 0.397%, 02/25/2036 | 31,598,823 | 28,894,059 | 0.5 | % | ||||||||
Thornburg Mortgage Securities Trust, | ||||||||||||
Series 2003-5, Class 3A, 2.161%, 10/25/2043 | 31,015,036 | 31,139,717 | 0.5 | % | ||||||||
Other Non-U.S. Government Agency Issues# | 140,574,160 | 2.4 | % | |||||||||
Total Non-U.S. Government Agency Issues | ||||||||||||
(Cost $201,169,301) | 200,607,936 | 3.4 | % | |||||||||
Asset Backed Securities | ||||||||||||
Accredited Mortgage Loan Trust, | ||||||||||||
Series 2006-2, Class A3, 0.337%, 09/25/2036 | 21,151,431 | 20,873,332 | 0.4 | % | ||||||||
Capital Auto Receivables Asset Trust: | ||||||||||||
Series 2013-1, Class A3, 0.790%, 06/20/2017 | 20,648,492 | 20,654,728 | 0.4 | % | ||||||||
Series 2013-4, Class A3, 1.090%, 03/20/2018 | 36,338,000 | 36,378,698 | 0.6 | % | ||||||||
Series 2014-1, Class A3, 1.320%, 06/20/2018 | 11,905,000 | 11,938,358 | 0.2 | % | ||||||||
Republic Services, Inc., | ||||||||||||
Series 2006-KS4, Class A4, 0.427%, 06/25/2036 | 26,038,000 | 25,266,416 | 0.4 | % | ||||||||
Synchrony Credit Card Master Note Trust: | ||||||||||||
Series 2012-3, Class A, 0.636%, 03/15/2020 | 57,900,000 | 57,954,716 | 1.0 | % | ||||||||
1.600%-2.370%, 04/15/2021-03/15/2023 | 21,225,000 | 21,327,045 | 0.4 | % | ||||||||
TCF Auto Receivables Owner Trust, | ||||||||||||
Series 2015-1A, Class A2, 1.020%, 08/15/2018 | ||||||||||||
(Acquired 06/03/2015, Cost $25,598,525)* | 25,600,000 | 25,608,576 | 0.4 | % | ||||||||
Other Asset Backed Securities# | 189,735,157 | 3.3 | % | |||||||||
Total Asset Backed Securities | ||||||||||||
(Cost $409,125,822) | 409,737,026 | 7.1 | % | |||||||||
Commercial Mortgage-Backed Securities | ||||||||||||
GS Mortgage Securities Corp. II, | ||||||||||||
Series 2012-GCJ9, Class A3, 2.773%, 11/10/2045 | 23,297,320 | 23,116,556 | 0.4 | % |
The accompanying notes are an integral part of these financial statements.
Page 40
Baird Aggregate Bond Fund
Summary Schedule of Investments, June 30, 2015 (Unaudited)
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
Morgan Stanley Bank of America Merrill Lynch Trust: | ||||||||||||
Series 2012-C5, Class A4, 3.176%, 08/15/2045 | $ | 27,615,000 | $ | 28,071,393 | 0.5 | % | ||||||
Series 2012-C6, Class A4, 2.858%, 11/15/2045 | 23,235,945 | 23,116,466 | 0.4 | % | ||||||||
Series 2013-C12, Class A3, 3.973%, 10/15/2046 | 22,850,000 | 24,387,873 | 0.4 | % | ||||||||
Series 2013-C11, Class A3, 3.960%, 08/15/2046 | 12,100,000 | 12,897,378 | 0.2 | % | ||||||||
WFRBS Commercial Mortgage Trust: | ||||||||||||
Series 2012-C6, Class A4, 3.440%, 04/15/2045 | 22,864,220 | 23,807,872 | 0.4 | % | ||||||||
3.343%-3.896%, 12/15/2046-10/15/2057 | 39,784,000 | 41,278,895 | 0.7 | % | ||||||||
Other Commercial Mortgage Backed Securities# | 183,543,386 | 3.2 | % | |||||||||
Total Commercial Mortgage Backed Securities | ||||||||||||
(Cost $362,630,609) | 360,219,819 | 6.2 | % | |||||||||
Total Long-Term Investments | ||||||||||||
(Cost $5,719,824,691) | 5,694,461,782 | 98.1 | % | |||||||||
Short-Term Investments | ||||||||||||
Shares | ||||||||||||
Money Market Mutual Funds | ||||||||||||
Dreyfus Cash Advantage Fund, 0.09%« | 86,155,139 | 86,155,139 | 1.5 | % | ||||||||
Short-Term Investments Trust – | ||||||||||||
Liquid Assets Portfolio, 0.10%« | 114,000,000 | 114,000,000 | 1.9 | % | ||||||||
Total Short-Term Investments | ||||||||||||
(Cost $200,155,139) | 200,155,139 | 3.4 | % | |||||||||
Investments Purchased with Cash | ||||||||||||
Proceeds from Securities Lending | ||||||||||||
Investment Companies | ||||||||||||
Mount Vernon Securities Lending | ||||||||||||
Trust Prime Portfolio, 0.25%« | 142,466,701 | 142,466,701 | 2.5 | % | ||||||||
Total Investment Companies | ||||||||||||
(Cost $142,466,701) | 142,466,701 | 2.5 | % | |||||||||
Total Investments Purchased With | ||||||||||||
Cash Proceeds From Securities Lending | ||||||||||||
(Cost $142,466,701) | 142,466,701 | 2.5 | % | |||||||||
Total Investments | ||||||||||||
(Cost $6,062,446,531) | 6,037,083,622 | 104.0 | % | |||||||||
Liabilities in Excess of Other Assets | (232,923,210 | ) | (4.0 | )% | ||||||||
TOTAL NET ASSETS | $ | 5,804,160,412 | 100.0 | % |
Notes to Summary Schedule of Investments
# | Represents the aggregate value, by category, 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. At June 30, 2015, the value of these securities total $122,335,939 representing 2.11% of net assets. | |
@ | This security or portion of this security is out on loan at June 30, 2015. | |
« | 7-Day Yield | |
~ | Groupings contain, in aggregate, restricted securities totaling $693,097,848 representing 11.94% of net assets. |
The accompanying notes are an integral part of these financial statements.
Page 41
Baird Aggregate Bond Fund
Summary Schedule of Investments, June 30, 2015 (Unaudited)
Summary of Fair Value Exposure at June 30, 2015 (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 following is a summary of the inputs used to value the Fund’s investments as of June 30, 2015:
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Long-Term Investments | ||||||||||||||||
U.S. Treasury Securities | $ | — | $ | 973,662,944 | $ | — | $ | 973,662,944 | ||||||||
Corporate Bonds | — | 2,306,388,106 | — | 2,306,388,106 | ||||||||||||
Other Government Related Securities | — | 121,441,372 | — | 121,441,372 | ||||||||||||
Taxable Municipal Bonds | — | 70,469,178 | — | 70,469,178 | ||||||||||||
Residential Mortgage-Backed Securities – | ||||||||||||||||
U.S. Government Agency Issues | — | 1,251,935,401 | — | 1,251,935,401 | ||||||||||||
Residential Mortgage-Backed Securities – | ||||||||||||||||
Non-U.S. Government Agency Issues | — | 200,607,936 | — | 200,607,936 | ||||||||||||
Asset Backed Securities | — | 409,737,026 | — | 409,737,026 | ||||||||||||
Commercial Mortgage Backed Securities | — | 360,219,819 | — | 360,219,819 | ||||||||||||
Total Long-Term Investments | — | 5,694,461,782 | — | 5,694,461,782 | ||||||||||||
Short-Term Investments | ||||||||||||||||
Money Market Mutual Funds | 200,155,139 | — | — | 200,155,139 | ||||||||||||
Total Short-Term Investment | 200,155,139 | — | — | 200,155,139 | ||||||||||||
Investments Purchased with Cash | ||||||||||||||||
Proceeds from Securities Lending | ||||||||||||||||
Investment Companies | 142,466,701 | — | — | 142,466,701 | ||||||||||||
Total Investments Purchased with | ||||||||||||||||
Cash Proceeds from Securities Lending | 142,466,701 | — | — | 142,466,701 | ||||||||||||
Total Investments | $ | 342,621,840 | $ | 5,694,461,782 | $ | — | $ | 6,037,083,622 |
Changes in valuation techniques may result in transfers into or out of assigned levels within the fair value 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. See the Fund’s valuation policy in Note 2a to the financial statements.
The accompanying notes are an integral part of these financial statements.
Page 42
Baird Core Plus Bond Fund
June 30, 2015 (Unaudited)
Portfolio Characteristics
Quality Distribution(1)(2)
Net Assets | $8,543,417,100 | |||
SEC 30-Day | ||||
Yield(3) | ||||
Institutional Class | 2.71% | |||
Investor Class | 2.50% | |||
Average | ||||
Effective | ||||
Duration | 5.48 years | |||
Average | ||||
Effective | ||||
Maturity | 6.96 years | |||
Annualized | ||||
Expense | ||||
Sector Weightings(1) | Ratio | |||
Institutional Class | 0.30% | |||
Investor Class | 0.55% | (4) | ||
Portfolio | ||||
Turnover | ||||
Rate | 21.1% | (5) | ||
Number of | ||||
Holdings | 994 | |||
(1) | Percentages shown are based on the Fund’s total investments (less investments purchased with cash proceeds from securities lending). |
(2) | The quality profile is calculated on a market value-weighted basis using the highest credit quality rating for each security held by the Fund given by S&P, Moody’s or Fitch, each of which is a Nationally Recognized Statistical Rating Organization (NRSRO). NRSROs rate the credit quality of securities using a scale that generally ranges from AAA (highest) to D (lowest). |
(3) | SEC yields are based on SEC guidelines and are calculated for the 30 days ended June 30, 2015. |
(4) | Includes 0.25% 12b-1 fee. |
(5) | Not annualized. |
Page 43
Baird Core Plus Bond Fund
June 30, 2015 (Unaudited)
Total Returns
Average Annual | |||||
Six | One | Five | Ten | Since | |
For the Periods Ended June 30, 2015 | Months | Year | Years | Years | Inception(1) |
Institutional Class Shares | 0.22% | 1.91% | 4.84% | 5.55% | 6.33% |
Investor Class Shares | 0.17% | 1.77% | 4.59% | 5.30% | 6.06% |
Barclays U.S. Universal Bond Index(2) | 0.30% | 1.61% | 3.81% | 4.68% | 5.54% |
(1) | For the period from September 29, 2000 (inception date) through June 30, 2015. |
(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 Fund’s 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 “high yield” 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 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 44
Baird Core Plus Bond Fund
Summary Schedule of Investments, June 30, 2015 (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.bairdfunds.com/prospectuses-reports 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 | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
U.S. Treasury Securities | ||||||||||||
U.S. Treasury Bonds: | ||||||||||||
1.250%, 04/30/2019@ | $ | 307,075,000 | $ | 306,379,168 | 3.6 | % | ||||||
2.625%, 08/15/2020 | 304,675,000 | 318,599,562 | 3.7 | % | ||||||||
5.250%, 11/15/2028 | 10,575,000 | 13,783,857 | 0.2 | % | ||||||||
3.500%, 02/15/2039 | 423,795,000 | 456,837,872 | 5.3 | % | ||||||||
Total U.S. Treasury Securities | ||||||||||||
(Cost $1,120,283,591) | 1,095,600,459 | 12.8 | % | |||||||||
Corporate Bonds | ||||||||||||
Finance | ||||||||||||
BPCE, | ||||||||||||
5.700%, 10/22/2023 (Acquired 10/15/2013 through | ||||||||||||
11/10/2014, Cost $30,042,257)* f | 28,500,000 | 30,042,306 | 0.4 | % | ||||||||
Caisse Centrale Desjardins, | ||||||||||||
0.944%, 01/29/2018 (Acquired 01/26/2015, | ||||||||||||
Cost $28,875,000)* f | 28,875,000 | 28,995,611 | 0.3 | % | ||||||||
Citizens Bank, National Association, | ||||||||||||
2.450%, 12/04/2019 | 36,000,000 | 35,766,072 | 0.4 | % | ||||||||
Compass Bank, | ||||||||||||
2.750%, 09/29/2019 | 30,470,000 | 30,394,708 | 0.4 | % | ||||||||
HSBC Finance Corp., | ||||||||||||
6.676%, 01/15/2021 | 24,693,000 | 28,567,430 | 0.4 | % | ||||||||
LeasePlan Corp. NV, | ||||||||||||
2.500%, 05/16/2018 (Acquired 05/07/2013 through | ||||||||||||
04/15/2015, Cost $28,800,826)* f | 28,622,000 | 28,664,074 | 0.4 | % | ||||||||
Massachusetts Mutual Life Insurance Co., | ||||||||||||
8.875%, 06/01/2039 (Acquired 10/03/2012 | ||||||||||||
through 10/21/2014, Cost $39,124,530)* | 25,440,000 | 38,130,388 | 0.4 | % | ||||||||
Other Finance#~ | 1,568,841,885 | 18.3 | % | |||||||||
Total Finance | ||||||||||||
(Cost $1,781,550,706) | 1,789,402,474 | 21.0 | % |
The accompanying notes are an integral part of these financial statements.
Page 45
Baird Core Plus Bond Fund
Summary Schedule of Investments, June 30, 2015 (Unaudited)
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
Utility | ||||||||||||
Other Utility#~ | $ | 123,246,217 | 1.4 | % | ||||||||
Total Utility | ||||||||||||
(Cost $122,048,504) | 123,246,217 | 1.4 | % | |||||||||
Industrials | ||||||||||||
Forest Laboratories, Inc., | ||||||||||||
5.000%, 12/15/2021 (Acquired 08/26/2014 | ||||||||||||
through 01/22/2015, Cost $33,664,094)* | $ | 31,212,000 | 33,869,140 | 0.4 | % | |||||||
H. J. Heinz Co., | ||||||||||||
4.250%, 10/15/2020 | 35,000,000 | 35,743,750 | 0.4 | % | ||||||||
Petrofac Ltd., | ||||||||||||
3.400%, 10/10/2018 (Acquired 10/03/2013 | ||||||||||||
through 04/17/2015, Cost $31,233,181)* f | 31,200,000 | 30,870,341 | 0.4 | % | ||||||||
Rockwood Specialties Group, Inc., | ||||||||||||
4.625%, 10/15/2020 | 31,454,000 | 32,751,478 | 0.4 | % | ||||||||
Verizon Communications, Inc., | ||||||||||||
6.400%, 09/15/2033 | 25,675,000 | 29,422,009 | 0.4 | % | ||||||||
Other Industrials#~ | 2,015,287,919 | 23.5 | % | |||||||||
Total Industrials | ||||||||||||
(Cost $2,211,699,895) | 2,177,944,637 | 25.5 | % | |||||||||
Total Corporate Bonds | ||||||||||||
(Cost $4,115,299,105) | 4,090,593,328 | 47.9 | % | |||||||||
Other Government Related Securities | ||||||||||||
Other Government Related Securities#~ | 214,453,637 | 2.5 | % | |||||||||
Total Other Government Related Securities | ||||||||||||
(Cost $216,220,915) | 214,453,637 | 2.5 | % | |||||||||
Taxable Municipal Bonds | ||||||||||||
Other Taxable Municipal Bonds# | 99,885,221 | 1.2 | % | |||||||||
Total Taxable Municipal Bonds | ||||||||||||
(Cost $96,757,786) | 99,885,221 | 1.2 | % | |||||||||
Residential Mortgage-Backed Securities | ||||||||||||
U.S. Government Agency Issues | ||||||||||||
Federal Gold Loan Mortgage Corp. (FGLMC): | ||||||||||||
3.500%, 07/01/2042 | 41,104,174 | 42,386,096 | 0.5 | % | ||||||||
3.000%, 08/01/2042 | 33,379,168 | 33,287,612 | 0.4 | % | ||||||||
3.500%, 07/01/2044 | 29,791,630 | 30,682,699 | 0.4 | % | ||||||||
3.500%, 08/01/2044 | 50,639,480 | 52,154,108 | 0.6 | % | ||||||||
4.000%, 09/01/2044 | 32,750,266 | 34,658,504 | 0.4 | % | ||||||||
4.000%, 10/01/2044 | 39,594,053 | 42,081,166 | 0.5 | % | ||||||||
4.000%, 02/01/2045 | 34,179,077 | 36,225,024 | 0.4 | % | ||||||||
3.000%-6.500%, 12/01/2020-06/01/2045 | 151,520,668 | 155,489,334 | 1.8 | % |
The accompanying notes are an integral part of these financial statements.
Page 46
Baird Core Plus Bond Fund
Summary Schedule of Investments, June 30, 2015 (Unaudited)
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
Federal National Mortgage Association (FNMA): | ||||||||||||
2.500%, 12/01/2027 | $ | 29,212,567 | $ | 29,786,446 | 0.4 | % | ||||||
4.000%, 11/01/2031 | 39,443,779 | 42,208,206 | 0.5 | % | ||||||||
5.000%, 09/01/2033 | 27,897,156 | 30,894,104 | 0.4 | % | ||||||||
4.500%, 10/01/2033 | 55,189,352 | 60,126,326 | 0.7 | % | ||||||||
4.000%, 09/01/2034 | 35,561,945 | 38,067,267 | 0.5 | % | ||||||||
5.000%, 02/01/2035 | 35,509,039 | 39,323,913 | 0.5 | % | ||||||||
5.000%, 02/01/2035 | 40,204,676 | 44,563,608 | 0.5 | % | ||||||||
5.000%, 06/01/2040 | 34,300,696 | 37,909,132 | 0.4 | % | ||||||||
4.500%, 08/01/2040 | 29,399,263 | 31,856,587 | 0.4 | % | ||||||||
3.500%, 03/01/2041 | 30,872,443 | 31,895,942 | 0.4 | % | ||||||||
3.500%, 09/01/2041 | 63,612,458 | 65,723,225 | 0.8 | % | ||||||||
3.500%, 11/01/2041 | 35,251,946 | 36,433,728 | 0.4 | % | ||||||||
4.000%, 12/01/2041 | 30,955,982 | 32,947,401 | 0.4 | % | ||||||||
3.000%, 05/01/2043 | 44,778,047 | 44,817,197 | 0.5 | % | ||||||||
3.000%, 06/01/2043 | 45,761,440 | 45,794,469 | 0.5 | % | ||||||||
4.000%, 01/01/2045 | 32,471,698 | 34,534,357 | 0.4 | % | ||||||||
3.000%-7.500%, 12/25/2019-09/01/2043 | 274,375,798 | 292,811,292 | 3.3 | % | ||||||||
Government National Mortgage Association (GNMA): | ||||||||||||
4.000%, 06/20/2042 | 29,292,299 | 31,198,772 | 0.4 | % | ||||||||
3.500%, 04/20/2045 | 56,668,209 | 59,117,935 | 0.7 | % | ||||||||
4.000%, 05/20/2045 | 48,478,076 | 51,691,585 | 0.6 | % | ||||||||
3.500%-6.500%, 12/20/2028-09/20/2044 | 18,531,096 | 19,414,291 | 0.2 | % | ||||||||
Other U.S. Government Agency Issues#~ | 157,841 | 0.0 | % | |||||||||
Total U.S. Government Agency Issues | ||||||||||||
(Cost $1,522,942,427) | 1,528,238,167 | 17.9 | % | |||||||||
Non-U.S. Government Agency Issues | ||||||||||||
Citigroup Mortgage Loan Trust, Inc., | ||||||||||||
Series 2006-AR1, Class 1A1, 2.570%, 10/25/2035§ | 35,840,219 | 35,359,207 | 0.4 | % | ||||||||
Other Non-U.S. Government Agency Issues# | 367,688,032 | 4.3 | % | |||||||||
Total Non-U.S. Government Agency Issues | ||||||||||||
(Cost $405,296,642) | 403,047,239 | 4.7 | % | |||||||||
Asset Backed Securities | ||||||||||||
Other Asset Backed Securities#~ | 401,646,885 | 4.7 | % | |||||||||
Total Asset Backed Securities | ||||||||||||
(Cost $403,323,599) | 401,646,885 | 4.7 | % | |||||||||
Commercial Mortgage-Backed Securities | ||||||||||||
COMM Mortgage Trust: | ||||||||||||
Series 2012-CR2, Class A4, 3.147%, 08/15/2045 | 30,063,000 | 30,626,531 | 0.4 | % | ||||||||
3.391%-5.116%, 06/10/2044-07/15/2047 | 56,261,987 | 58,958,073 | 0.7 | % | ||||||||
GS Mortgage Securities Corp. II, | ||||||||||||
Series 2012-GCJ9, Class A3, 2.773%, 11/10/2045 | 40,164,000 | 39,852,368 | 0.5 | % |
The accompanying notes are an integral part of these financial statements.
Page 47
Baird Core Plus Bond Fund
Summary Schedule of Investments, June 30, 2015 (Unaudited)
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
JPMBB Commercial Mortgage Securities Trust, | ||||||||||||
Series 2014-C25, Class A5, 3.672%, 11/15/2047 | $ | 33,300,000 | $ | 34,194,205 | 0.4 | % | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust: | ||||||||||||
Series 2012-C5, Class A4, 3.176%, 08/15/2045 | 30,940,000 | 31,451,345 | 0.4 | % | ||||||||
Series 2012-C6, Class A4, 2.858%, 11/15/2045 | 32,035,000 | 31,870,276 | 0.4 | % | ||||||||
Series 2013-C10, Class A3, 4.103%, 07/15/2046 | 43,985,000 | 47,142,595 | 0.5 | % | ||||||||
Series 2013-C11, Class A3, 3.960%, 08/15/2046 | 19,100,000 | 20,358,671 | 0.2 | % | ||||||||
Other Commercial Mortgage Backed Securities# | 282,880,785 | 3.3 | % | |||||||||
Total Commercial Mortgage Backed Securities | ||||||||||||
(Cost $583,983,820) | 577,334,849 | 6.8 | % | |||||||||
Total Long-Term Investments | ||||||||||||
(Cost $8,464,107,885) | 8,410,799,785 | 98.5 | % | |||||||||
Short-Term Investments | ||||||||||||
Shares | ||||||||||||
Money Market Mutual Funds | ||||||||||||
Dreyfus Cash Advantage Fund, 0.09%« | 221,379,425 | 221,379,425 | 2.6 | % | ||||||||
Short-Term Investments Trust – | ||||||||||||
Liquid Assets Portfolio, 0.10%« | 167,000,000 | 167,000,000 | 1.9 | % | ||||||||
Total Short-Term Investments | ||||||||||||
(Cost $388,379,425) | 388,379,425 | 4.5 | % | |||||||||
Investments Purchased with Cash | ||||||||||||
Proceeds from Securities Lending | ||||||||||||
Investment Companies | ||||||||||||
Mount Vernon Securities Lending | ||||||||||||
Trust Prime Portfolio, 0.25%« | 183,742,150 | 183,742,150 | 2.1 | % | ||||||||
Total Investment Companies | ||||||||||||
(Cost $183,742,150) | 183,742,150 | 2.1 | % | |||||||||
Total Investments Purchased With | ||||||||||||
Cash Proceeds From Securities Lending | ||||||||||||
(Cost $183,742,150) | 183,742,150 | 2.1 | % | |||||||||
Total Investments | ||||||||||||
(Cost $9,036,229,460) | 8,982,921,360 | 105.1 | % | |||||||||
Liabilities in Excess of Other Assets | (439,504,260 | ) | (5.1 | )% | ||||||||
TOTAL NET ASSETS | $ | 8,543,417,100 | 100.0 | % |
The accompanying notes are an integral part of these financial statements.
Page 48
Baird Core Plus Bond Fund
Summary Schedule of Investments, June 30, 2015 (Unaudited)
Notes to Summary Schedule of Investments
# | Represents the aggregate value, by category, 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. At June 30, 2015, the value of these securities total $190,571,860 representing 2.23% of net assets. | |
@ | This security or portion of this security is out on loan at June 30, 2015. | |
« | 7-Day Yield | |
f | Foreign Security | |
§ | Security in Default | |
~ | Groupings contain, in aggregate, restricted securities totaling $1,097,425,201 representing 12.85% of net assets. |
Summary of Fair Value Exposure at June 30, 2015 (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 an integral part of these financial statements.
Page 49
Baird Core Plus Bond Fund
Summary Schedule of Investments, June 30, 2015 (Unaudited)
Summary of Fair Value Exposure at June 30, 2015 (Unaudited) (cont.)
The following is a summary of the inputs used to value the Fund’s investments as of June 30, 2015:
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Long-Term Investments | ||||||||||||||||
U.S. Treasury Securities | $ | — | $ | 1,095,600,459 | $ | — | $ | 1,095,600,459 | ||||||||
Corporate Bonds | — | 4,090,577,445 | 15,883 | 4,090,593,328 | ||||||||||||
Other Government Related Securities | — | 214,453,637 | — | 214,453,637 | ||||||||||||
Taxable Municipal Bonds | — | 99,885,221 | — | 99,885,221 | ||||||||||||
Residential Mortgage-Backed Securities – | ||||||||||||||||
U.S. Government Agency Issues | — | 1,528,238,167 | — | 1,528,238,167 | ||||||||||||
Residential Mortgage-Backed Securities – | ||||||||||||||||
Non-U.S. Government Agency Issues | — | 403,047,239 | — | 403,047,239 | ||||||||||||
Asset Backed Securities | — | 401,646,885 | — | 401,646,885 | ||||||||||||
Commercial Mortgage-Backed Securities | — | 577,334,849 | — | 577,334,849 | ||||||||||||
Total Long-Term Investments | — | 8,410,783,902 | 15,883 | 8,410,799,785 | ||||||||||||
Short-Term Investments | ||||||||||||||||
Money Market Mutual Funds | 388,379,425 | — | — | 388,379,425 | ||||||||||||
Total Short-Term Investments | 388,379,425 | — | — | 388,379,425 | ||||||||||||
Investments Purchased with Cash | ||||||||||||||||
Proceeds from Securities Lending | ||||||||||||||||
Investment Companies | 183,742,150 | — | — | 183,742,150 | ||||||||||||
Total Investments Purchased with | ||||||||||||||||
Cash Proceeds from Securities Lending | 183,742,150 | — | — | 183,742,150 | ||||||||||||
Total Investments | $ | 572,121,575 | $ | 8,410,783,902 | $ | 15,883 | $ | 8,982,921,360 |
Changes in valuation techniques may result in transfers into or out of assigned levels within the fair value 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 is being priced by the valuation committee using Level 3 inputs instead of the Fund’s pricing vendor. See the Fund’s valuation policy in Note 2a to the financial statements.
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, 2014 | $ | 17,092 | |||
Accrued discounts/premiums | — | ||||
Realized gain (loss) | 2,273 | ||||
Change in unrealized appreciation (depreciation) | 688 | ||||
Purchases | — | ||||
Sales | (4,170 | ) | |||
Transfers in and/or out of Level 3* | — | ||||
Balance as of June 30, 2015 | $ | 15,883 |
* Transfers between levels are recognized at the end of the reporting period.
The accompanying notes are an integral part of these financial statements.
Page 50
Additional Information on Fund Expenses
June 30, 2015 (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 (1/1/15 – 6/30/15).
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 51
Additional Information on Fund Expenses
June 30, 2015 (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) | 1/1/15 | 6/30/15 | Period(1) | 6/30/15 | Period(1) | |
Baird Ultra Short | ||||||
Bond Fund | ||||||
Institutional Class | 0.15% | $1,000.00 | $1,004.50 | $0.75 | $1,024.05 | $0.75 |
Investor Class | 0.40% | $1,000.00 | $1,004.20 | $1.99 | $1,022.81 | $2.01 |
Baird Short-Term | ||||||
Bond Fund | ||||||
Institutional Class | 0.30% | $1,000.00 | $1,008.70 | $1.49 | $1,023.31 | $1.51 |
Investor Class | 0.55% | $1,000.00 | $1,007.40 | $2.74 | $1,022.07 | $2.76 |
Baird Intermediate | ||||||
Bond Fund | ||||||
Institutional Class | 0.30% | $1,000.00 | $1,009.90 | $1.50 | $1,023.31 | $1.51 |
Investor Class | 0.55% | $1,000.00 | $1,008.30 | $2.74 | $1,022.07 | $2.76 |
Baird Intermediate | ||||||
Municipal Bond Fund | ||||||
Institutional Class | 0.30% | $1,000.00 | $1,000.00 | $1.49 | $1,023.31 | $1.51 |
Investor Class | 0.55% | $1,000.00 | $ 998.70 | $2.73 | $1,022.07 | $2.76 |
Baird Aggregate | ||||||
Bond Fund | ||||||
Institutional Class | 0.30% | $1,000.00 | $1,001.30 | $1.49 | $1,023.31 | $1.51 |
Investor Class | 0.55% | $1,000.00 | $ 999.20 | $2.73 | $1,022.07 | $2.76 |
Baird Core Plus | ||||||
Bond Fund | ||||||
Institutional Class | 0.30% | $1,000.00 | $1,002.20 | $1.49 | $1,023.31 | $1.51 |
Investor Class | 0.55% | $1,000.00 | $1,001.70 | $2.73 | $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 52
Statements of Assets and Liabilities
June 30, 2015 (Unaudited)
Baird | Baird | Baird | ||||||||||
Ultra Short | Short-Term | Intermediate | ||||||||||
Bond Fund | Bond Fund | Bond Fund | ||||||||||
ASSETS: | ||||||||||||
Investments, at value | ||||||||||||
(cost $178,842,908, $3,107,916,273 | ||||||||||||
and $1,780,835,443, respectively)* | $ | 178,741,837 | $ | 3,107,930,209 | $ | 1,794,324,714 | ||||||
Interest receivable | 721,180 | 18,688,275 | 13,274,373 | |||||||||
Receivable for investments sold | — | 5,030,383 | 24 | |||||||||
Receivable for Fund shares sold | 1,061,271 | 50,255,267 | 538,002 | |||||||||
Uninvested cash | 1,847 | 38,406 | — | |||||||||
Receivable for securities lending | 837 | 13,394 | 18,515 | |||||||||
Total assets | 180,526,972 | 3,181,955,934 | 1,808,155,628 | |||||||||
LIABILITIES: | ||||||||||||
Payable for collateral received | ||||||||||||
for securities loaned (Note 6) | 26,093,750 | 184,399,411 | 65,136,677 | |||||||||
Payable for securities purchased | — | 98,902,199 | 19,382,625 | |||||||||
Payable for Fund shares repurchased | 14,488 | 6,064,334 | 1,177,744 | |||||||||
Payable to Advisor and Distributor | 19,821 | 713,026 | 469,712 | |||||||||
Other liabilities | 5 | 1,009 | 3 | |||||||||
Total liabilities | 26,128,064 | 290,079,979 | 86,166,761 | |||||||||
NET ASSETS | $ | 154,398,908 | $ | 2,891,875,955 | $ | 1,721,988,867 | ||||||
NET ASSETS CONSIST OF: | ||||||||||||
Capital stock | $ | 154,512,287 | $ | 2,890,885,853 | $ | 1,703,615,807 | ||||||
Distributions in excess of | ||||||||||||
net investment income | (13,479 | ) | (3,780,515 | ) | (434,822 | ) | ||||||
Accumulated net realized | ||||||||||||
gain on investments sold | 1,171 | 4,756,681 | 5,318,611 | |||||||||
Net unrealized appreciation (depreciation) | ||||||||||||
on investments | (101,071 | ) | 13,936 | 13,489,271 | ||||||||
NET ASSETS | $ | 154,398,908 | $ | 2,891,875,955 | $ | 1,721,988,867 | ||||||
INSTITUTIONAL CLASS SHARES | ||||||||||||
Net Assets | $ | 153,656,542 | $ | 2,853,794,507 | $ | 1,614,697,792 | ||||||
Shares outstanding ($0.01 par value, | ||||||||||||
unlimited shares authorized) | 15,308,342 | 294,685,695 | 145,620,370 | |||||||||
Net asset value, offering and | ||||||||||||
redemption price per share | $ | 10.04 | $ | 9.68 | $ | 11.09 | ||||||
INVESTOR CLASS SHARES | ||||||||||||
Net Assets | $ | 742,366 | $ | 38,081,448 | $ | 107,291,075 | ||||||
Shares outstanding ($0.01 par value, | ||||||||||||
unlimited shares authorized) | 73,972 | 3,932,566 | 9,294,707 | |||||||||
Net asset value, offering and | ||||||||||||
redemption price per share | $ | 10.04 | $ | 9.68 | $ | 11.54 |
* | Includes securities out on loan to brokers with a market value of $25,547,749, $180,504,924 and $63,603,027, respectively. |
The accompanying notes are an integral part of these financial statements.
Page 53
Statements of Assets and Liabilities
June 30, 2015 (Unaudited)
Baird | ||||||||||||
Intermediate | Baird | Baird | ||||||||||
Municipal | Aggregate | Core Plus | ||||||||||
Bond Fund | Bond Fund | Bond Fund | ||||||||||
ASSETS: | ||||||||||||
Investments, at value | ||||||||||||
(cost $1,096,345,557, $6,062,446,531 | ||||||||||||
and $9,036,229,460, respectively)* | $ | 1,128,275,612 | $ | 6,037,083,622 | $ | 8,982,921,360 | ||||||
Interest receivable | 13,183,959 | 38,589,678 | 63,566,523 | |||||||||
Receivable for investments sold | — | 15,489,396 | 40,920,643 | |||||||||
Receivable for Fund shares sold | 3,053,711 | 17,297,864 | 18,369,729 | |||||||||
Uninvested cash | — | 38,444 | 9,747 | |||||||||
Receivable for securities lending | — | 22,627 | 79,641 | |||||||||
Total assets | 1,144,513,282 | 6,108,521,631 | 9,105,867,643 | |||||||||
LIABILITIES: | ||||||||||||
Payable for collateral received | ||||||||||||
for securities loaned (Note 6) | — | 142,466,701 | 183,742,149 | |||||||||
Payable for securities purchased | 37,612 | 154,978,572 | 368,389,878 | |||||||||
Payable for Fund shares repurchased | 563,971 | 5,211,888 | 7,042,669 | |||||||||
Payable to Advisor and Distributor | 377,258 | 1,698,424 | 3,275,847 | |||||||||
Other liabilities | 1,550 | 5,634 | — | |||||||||
Total liabilities | 980,391 | 304,361,219 | 562,450,543 | |||||||||
NET ASSETS | $ | 1,143,532,891 | $ | 5,804,160,412 | $ | 8,543,417,100 | ||||||
NET ASSETS CONSIST OF: | ||||||||||||
Capital stock | $ | 1,112,621,902 | $ | 5,822,771,491 | $ | 8,585,361,355 | ||||||
Distributions in excess of | ||||||||||||
net investment income | 463,910 | (3,955,142 | ) | (5,810,803 | ) | |||||||
Accumulated net realized gain (loss) | ||||||||||||
on investments sold | (1,482,976 | ) | 10,706,972 | 17,174,648 | ||||||||
Net unrealized appreciation (depreciation) | ||||||||||||
on investments | 31,930,055 | (25,362,909 | ) | (53,308,100 | ) | |||||||
NET ASSETS | $ | 1,143,532,891 | $ | 5,804,160,412 | $ | 8,543,417,100 | ||||||
INSTITUTIONAL CLASS SHARES | ||||||||||||
Net Assets | $ | 977,238,328 | $ | 5,315,581,834 | $ | 6,406,641,849 | ||||||
Shares outstanding ($0.01 par value, | ||||||||||||
unlimited shares authorized) | 83,994,631 | 496,953,941 | 581,348,430 | |||||||||
Net asset value, offering and | ||||||||||||
redemption price per share | $ | 11.63 | $ | 10.70 | $ | 11.02 | ||||||
INVESTOR CLASS SHARES | ||||||||||||
Net Assets | $ | 166,294,563 | $ | 488,578,578 | $ | 2,136,775,251 | ||||||
Shares outstanding ($0.01 par value, | ||||||||||||
unlimited shares authorized) | 13,980,846 | 44,290,605 | 186,854,979 | |||||||||
Net asset value, offering and | ||||||||||||
redemption price per share | $ | 11.89 | $ | 11.03 | $ | 11.44 |
* | Includes securities out on loan to brokers with a market value of $0, $139,367,300 and $179,048,176, respectively. |
The accompanying notes are an integral part of these financial statements.
Page 54
Statement of Operations
Six Months Ended June 30, 2015 (Unaudited)
Baird | Baird | Baird | ||||||||||
Ultra Short | Short-Term | Intermediate | ||||||||||
Bond Fund | Bond Fund | Bond Fund | ||||||||||
INVESTMENT INCOME: | ||||||||||||
Interest income, net of paydowns | $ | 564,567 | $ | 21,345,647 | $ | 20,096,878 | ||||||
Income from securities lending (Note 6) | 1,762 | 77,683 | 91,167 | |||||||||
Other income | — | 21,450 | 2,500 | |||||||||
Total investment income | 566,329 | 21,444,780 | 20,190,545 | |||||||||
EXPENSES: | ||||||||||||
Investment advisory fees | 163,899 | 3,449,475 | 2,094,803 | |||||||||
Administration fees | 32,780 | 689,895 | 418,961 | |||||||||
Distribution expense – | ||||||||||||
Investor Class Shares (Note 8) | 1,089 | 45,441 | 139,163 | |||||||||
Total expenses | 197,768 | 4,184,811 | 2,652,927 | |||||||||
Fee waiver by Advisor (Note 5) | (98,339 | ) | — | — | ||||||||
Net expenses | 99,429 | 4,184,811 | 2,652,927 | |||||||||
NET INVESTMENT INCOME | 466,900 | 17,259,969 | 17,537,618 | |||||||||
REALIZED AND UNREALIZED GAIN (LOSS) | ||||||||||||
ON INVESTMENTS: | ||||||||||||
Net realized gain on investments | 14,575 | 3,484,980 | 4,982,355 | |||||||||
Change in unrealized appreciation/ | ||||||||||||
depreciation on investments | 83,855 | 4,751,592 | (7,799,995 | ) | ||||||||
Net realized and unrealized gain (loss) | ||||||||||||
on investments | 98,430 | 8,236,572 | (2,817,640 | ) | ||||||||
NET INCREASE IN NET ASSETS | ||||||||||||
RESULTING FROM OPERATIONS | $ | 565,330 | $ | 25,496,541 | $ | 14,719,978 |
The accompanying notes are an integral part of these financial statements.
Page 55
Statement of Operations
Six Months Ended June 30, 2015 (Unaudited)
Baird | ||||||||||||
Intermediate | Baird | Baird | ||||||||||
Municipal | Aggregate | Core Plus | ||||||||||
Bond Fund | Bond Fund | Bond Fund | ||||||||||
INVESTMENT INCOME: | ||||||||||||
Interest income, net of paydowns | $ | 15,732,307 | $ | 60,440,201 | $ | 109,258,723 | ||||||
Income from securities lending (Note 6) | — | 149,183 | 441,916 | |||||||||
Other income | — | 7,500 | 97,746 | |||||||||
Total investment income | 15,732,307 | 60,596,884 | 109,798,385 | |||||||||
EXPENSES: | ||||||||||||
Investment advisory fees | 1,412,873 | 5,942,693 | 9,873,603 | |||||||||
Administration fees | 282,574 | 1,188,539 | 1,974,721 | |||||||||
Distribution expense – | ||||||||||||
Investor Class Shares (Note 8) | 232,651 | 535,442 | 3,066,876 | |||||||||
Total expenses | 1,928,098 | 7,666,674 | 14,915,200 | |||||||||
NET INVESTMENT INCOME | 13,804,209 | 52,930,210 | 94,883,185 | |||||||||
REALIZED AND UNREALIZED GAIN (LOSS) | ||||||||||||
ON INVESTMENTS: | ||||||||||||
Net realized gain (loss) on investments | (581,505 | ) | 20,523,470 | 28,764,928 | ||||||||
Change in unrealized appreciation/ | ||||||||||||
depreciation on investments | (12,967,006 | ) | (103,219,551 | ) | (132,672,891 | ) | ||||||
Net realized and unrealized gain | ||||||||||||
(loss) on investments | (13,548,511 | ) | (82,696,081 | ) | (103,907,963 | ) | ||||||
NET INCREASE (DECREASE) IN NET ASSETS | ||||||||||||
RESULTING FROM OPERATIONS | $ | 255,698 | $ | (29,765,871 | ) | $ | (9,024,778 | ) |
The accompanying notes are an integral part of these financial statements.
Page 56
Statement of Changes in Net Assets
Baird Ultra Short Bond Fund
Six Months Ended | ||||||||
June 30, 2015 | Year Ended | |||||||
(Unaudited) | December 31, 2014 | |||||||
OPERATIONS: | ||||||||
Net investment income | $ | 466,900 | $ | 248,134 | ||||
Net realized gain on investments | 14,575 | 13,668 | ||||||
Change in unrealized appreciation/depreciation | ||||||||
on investments | 83,855 | (184,926 | ) | |||||
Net increase in net assets resulting from operations | 565,330 | 76,876 | ||||||
CAPITAL SHARE TRANSACTIONS: | ||||||||
Proceeds from shares sold | 111,707,031 | 93,172,532 | ||||||
Shares issued to holders in | ||||||||
reinvestment of distributions | 449,689 | 226,670 | ||||||
Cost of shares redeemed | (43,207,558 | ) | (7,836,077 | ) | ||||
Net increase in net assets resulting | ||||||||
from capital share transactions | 68,949,162 | 85,563,125 | ||||||
DISTRIBUTIONS TO | ||||||||
INSTITUTIONAL CLASS SHAREHOLDERS: | ||||||||
From net investment income | (482,247 | ) | (269,807 | ) | ||||
Total Distributions | (482,247 | ) | (269,807 | ) | ||||
DISTRIBUTIONS TO | ||||||||
INVESTOR CLASS SHAREHOLDERS: | ||||||||
From net investment income | (1,901 | ) | (1,630 | ) | ||||
Total Distributions | (1,901 | ) | (1,630 | ) | ||||
TOTAL INCREASE IN NET ASSETS | 69,030,344 | 85,368,564 | ||||||
NET ASSETS: | ||||||||
Beginning of period | 85,368,564 | — | ||||||
End of period (including distributions in excess | ||||||||
of net investment income and accumulated | ||||||||
undistributed net investment income of | ||||||||
$(13,479) and $3,769, respectively) | $ | 154,398,908 | $ | 85,368,564 |
The accompanying notes are an integral part of these financial statements.
Page 57
Statement of Changes in Net Assets
Baird Short-Term Bond Fund
Six Months Ended | ||||||||
June 30, 2015 | Year Ended | |||||||
(Unaudited) | December 31, 2014 | |||||||
OPERATIONS: | ||||||||
Net investment income | $ | 17,259,969 | $ | 35,666,863 | ||||
Net realized gain on investments | 3,484,980 | 4,753,146 | ||||||
Change in unrealized appreciation/depreciation | ||||||||
on investments | 4,751,592 | (9,498,528 | ) | |||||
Net increase in net assets resulting from operations | 25,496,541 | 30,921,481 | ||||||
CAPITAL SHARE TRANSACTIONS: | ||||||||
Proceeds from shares sold | 777,598,744 | 1,376,961,950 | ||||||
Shares issued to holders in reinvestment of distributions | 18,133,858 | 34,127,758 | ||||||
Cost of shares redeemed | (584,868,800 | ) | (734,856,529 | ) | ||||
Net increase in net assets resulting | ||||||||
from capital share transactions | 210,863,802 | 676,233,179 | ||||||
DISTRIBUTIONS TO | ||||||||
INSTITUTIONAL CLASS SHAREHOLDERS: | ||||||||
From net investment income | (20,959,660 | ) | (37,504,235 | ) | ||||
From net realized gains | — | (1,473,635 | ) | |||||
Total Distributions | (20,959,660 | ) | (38,977,870 | ) | ||||
DISTRIBUTIONS TO | ||||||||
INVESTOR CLASS SHAREHOLDERS: | ||||||||
From net investment income | (232,613 | ) | (413,795 | ) | ||||
From net realized gains | — | (19,699 | ) | |||||
Total Distributions | (232,613 | ) | (433,494 | ) | ||||
TOTAL INCREASE IN NET ASSETS | 215,168,070 | 667,743,296 | ||||||
NET ASSETS: | ||||||||
Beginning of period | 2,676,707,885 | 2,008,964,589 | ||||||
End of period (including distributions in excess of | ||||||||
net investment income and accumulated | ||||||||
undistributed net investment income of | ||||||||
$(3,780,515) and $151,789, respectively) | $ | 2,891,875,955 | $ | 2,676,707,885 |
The accompanying notes are an integral part of these financial statements.
Page 58
Statement of Changes in Net Assets
Baird Intermediate Bond Fund
Six Months Ended | ||||||||
June 30, 2015 | Year Ended | |||||||
(Unaudited) | December 31, 2014 | |||||||
OPERATIONS: | ||||||||
Net investment income | $ | 17,537,618 | $ | 31,311,535 | ||||
Net realized gain on investments | 4,982,355 | 3,224,796 | ||||||
Change in unrealized appreciation/depreciation | ||||||||
on investments | (7,799,995 | ) | 9,181,636 | |||||
Net increase in net assets resulting from operations | 14,719,978 | 43,717,967 | ||||||
CAPITAL SHARE TRANSACTIONS: | ||||||||
Proceeds from shares sold | 262,588,363 | 579,006,584 | ||||||
Shares issued to holders in reinvestment of distributions | 15,739,634 | 29,350,298 | ||||||
Cost of shares redeemed | (136,721,830 | ) | (189,933,013 | ) | ||||
Net increase in net assets resulting | ||||||||
from capital share transactions | 141,606,167 | 418,423,869 | ||||||
DISTRIBUTIONS TO | ||||||||
INSTITUTIONAL CLASS SHAREHOLDERS: | ||||||||
From net investment income | (17,096,118 | ) | (30,366,524 | ) | ||||
From net realized gains | — | (2,154,632 | ) | |||||
Total Distributions | (17,096,118 | ) | (32,521,156 | ) | ||||
DISTRIBUTIONS TO | ||||||||
INVESTOR CLASS SHAREHOLDERS: | ||||||||
From net investment income | (1,020,071 | ) | (1,383,958 | ) | ||||
From net realized gains | — | (163,736 | ) | |||||
Total Distributions | (1,020,071 | ) | (1,547,694 | ) | ||||
TOTAL INCREASE IN NET ASSETS | 138,209,956 | 428,072,986 | ||||||
NET ASSETS: | ||||||||
Beginning of period | 1,583,778,911 | 1,155,705,925 | ||||||
End of period (including distributions in excess of | ||||||||
net investment income and accumulated | ||||||||
undistributed net investment income of | ||||||||
$(434,822) and $143,749, respectively) | $ | 1,721,988,867 | $ | 1,583,778,911 |
The accompanying notes are an integral part of these financial statements.
Page 59
Statement of Changes in Net Assets
Baird Intermediate Municipal Bond Fund
Six Months Ended | ||||||||
June 30, 2015 | Year Ended | |||||||
(Unaudited) | December 31, 2014 | |||||||
OPERATIONS: | ||||||||
Net investment income | $ | 13,804,209 | $ | 26,972,655 | ||||
Net realized on investments | (581,505 | ) | (530,835 | ) | ||||
Change in unrealized appreciation/depreciation | ||||||||
on investments | (12,967,006 | ) | 19,389,924 | |||||
Net increase in net assets resulting from operations | 255,698 | 45,831,744 | ||||||
CAPITAL SHARE TRANSACTIONS: | ||||||||
Proceeds from shares sold | 194,956,086 | 323,804,525 | ||||||
Shares issued to holders in reinvestment of distributions | 11,712,639 | 23,414,513 | ||||||
Cost of shares redeemed | (155,638,999 | ) | (267,484,959 | ) | ||||
Net increase in net assets resulting | ||||||||
from capital share transactions | 51,029,726 | 79,734,079 | ||||||
DISTRIBUTIONS TO | ||||||||
INSTITUTIONAL CLASS SHAREHOLDERS: | ||||||||
From net investment income | (11,433,052 | ) | (22,257,987 | ) | ||||
Total Distributions | (11,433,052 | ) | (22,257,987 | ) | ||||
DISTRIBUTIONS TO | ||||||||
INVESTOR CLASS SHAREHOLDERS: | ||||||||
From net investment income | (1,932,132 | ) | (4,689,783 | ) | ||||
Total Distributions | (1,932,132 | ) | (4,689,783 | ) | ||||
TOTAL INCREASE IN NET ASSETS | 37,920,240 | 98,618,053 | ||||||
NET ASSETS: | ||||||||
Beginning of period | 1,105,612,651 | 1,006,994,598 | ||||||
End of period (including accumulated | ||||||||
undistributed net investment income of | ||||||||
$463,910 and $24,885, respectively) | $ | 1,143,532,891 | $ | 1,105,612,651 |
The accompanying notes are an integral part of these financial statements.
Page 60
Statement of Changes in Net Assets
Baird Aggregate Bond Fund
Six Months Ended | ||||||||
June 30, 2015 | Year Ended | |||||||
(Unaudited) | December 31, 2014 | |||||||
OPERATIONS: | ||||||||
Net investment income | $ | 52,930,210 | $ | 66,925,160 | ||||
Net realized gain on investments | 20,523,470 | 4,517,863 | ||||||
Change in unrealized appreciation/depreciation | ||||||||
on investments | (103,219,551 | ) | 77,563,931 | |||||
Net increase (decrease) in net assets | ||||||||
resulting from operations | (29,765,871 | ) | 149,006,954 | |||||
CAPITAL SHARE TRANSACTIONS: | ||||||||
Proceeds from shares sold | 2,656,536,234 | 2,221,120,686 | ||||||
Shares issued to holders in reinvestment of distributions | 46,594,978 | 60,169,930 | ||||||
Cost of shares redeemed | (502,495,505 | ) | (476,225,763 | ) | ||||
Net increase in net assets resulting | ||||||||
from capital share transactions | 2,200,635,707 | 1,805,064,853 | ||||||
DISTRIBUTIONS TO | ||||||||
INSTITUTIONAL CLASS SHAREHOLDERS: | ||||||||
From net investment income | (52,492,128 | ) | (65,793,639 | ) | ||||
Total Distributions | (52,492,128 | ) | (65,793,639 | ) | ||||
DISTRIBUTIONS TO | ||||||||
INVESTOR CLASS SHAREHOLDERS: | ||||||||
From net investment income | (4,457,214 | ) | (4,963,419 | ) | ||||
Total Distributions | (4,457,214 | ) | (4,963,419 | ) | ||||
TOTAL INCREASE IN NET ASSETS | 2,113,920,494 | 1,883,314,749 | ||||||
NET ASSETS: | ||||||||
Beginning of period | 3,690,239,918 | 1,806,925,169 | ||||||
End of period (including distributions in excess of | ||||||||
net investment income and accumulated | ||||||||
undistributed net investment income of | ||||||||
$(3,955,142) and $63,990, respectively) | $ | 5,804,160,412 | $ | 3,690,239,918 |
The accompanying notes are an integral part of these financial statements.
Page 61
Statement of Changes in Net Assets
Baird Core Plus Bond Fund
Six Months Ended | ||||||||
June 30, 2015 | Year Ended | |||||||
(Unaudited) | December 31, 2014 | |||||||
OPERATIONS: | ||||||||
Net investment income | $ | 94,883,185 | $ | 107,789,477 | ||||
Net realized gain on investments | 28,764,928 | 8,760,815 | ||||||
Change in unrealized appreciation/depreciation | ||||||||
on investments | (132,672,891 | ) | 107,099,217 | |||||
Net increase (decrease) in net assets | ||||||||
resulting from operations | (9,024,778 | ) | 223,649,509 | |||||
CAPITAL SHARE TRANSACTIONS: | ||||||||
Proceeds from shares sold | 3,013,263,724 | 4,327,319,011 | ||||||
Shares issued to holders in reinvestment of distributions | 96,894,699 | 110,692,074 | ||||||
Cost of shares redeemed | (1,173,226,863 | ) | (664,302,496 | ) | ||||
Net increase in net assets resulting | ||||||||
from capital share transactions | 1,936,931,560 | 3,773,708,589 | ||||||
DISTRIBUTIONS TO | ||||||||
INSTITUTIONAL CLASS SHAREHOLDERS: | ||||||||
From net investment income | (73,287,857 | ) | (78,483,997 | ) | ||||
Total Distributions | (73,287,857 | ) | (78,483,997 | ) | ||||
DISTRIBUTIONS TO | ||||||||
INVESTOR CLASS SHAREHOLDERS: | ||||||||
From net investment income | (27,808,736 | ) | (36,081,493 | ) | ||||
Total Distributions | (27,808,736 | ) | (36,081,493 | ) | ||||
TOTAL INCREASE IN NET ASSETS | 1,826,810,189 | 3,882,792,608 | ||||||
NET ASSETS: | ||||||||
Beginning of period | 6,716,606,911 | 2,833,814,303 | ||||||
End of period (including distributions in excess of | ||||||||
net investment income and accumulated | ||||||||
undistributed net investment income of | ||||||||
$(5,810,803) and $402,605, respectively) | $ | 8,543,417,100 | $ | 6,716,606,911 |
The accompanying notes are an integral part of these financial statements.
Page 62
Financial Highlights
Baird Ultra Short Bond Fund – Institutional Class^
Six Months Ended | ||||||||
June 30, 2015 | Year Ended | |||||||
(Unaudited) | December 31, 2014 | |||||||
Per Share Data: | ||||||||
Net asset value, beginning of period | $ | 10.03 | $ | 10.00 | ||||
Income from investment operations: | ||||||||
Net investment income | 0.04 | (1) | 0.09 | |||||
Net realized and unrealized gain on investments | 0.00 | (2)(3) | 0.03 | (3) | ||||
Total from investment operations | 0.04 | 0.12 | ||||||
Less distributions: | ||||||||
Distributions from net investment income | (0.03 | ) | (0.09 | ) | ||||
Total distributions | (0.03 | ) | (0.09 | ) | ||||
Net asset value, end of period | $ | 10.04 | $ | 10.03 | ||||
Total return | 0.45 | %(4) | 1.21 | % | ||||
Supplemental data and ratios: | ||||||||
Net assets, end of period (millions) | $ | 153.7 | $ | 84.5 | ||||
Ratio of expenses to average net assets | 0.15 | %(5) | 0.15 | % | ||||
Ratio of expenses to average net assets (before waivers) | 0.30 | %(5) | 0.30 | % | ||||
Ratio of net investment income to average net assets | 0.71 | %(5) | 0.93 | % | ||||
Ratio of net investment income to | ||||||||
average net assets (before waivers) | 0.56 | %(5) | 0.78 | % | ||||
Portfolio turnover rate(6) | 46.4 | %(4) | 57.6 | % |
^ | Inception was the close of business on December 31, 2013. |
(1) | Calculated using average shares outstanding during the period. |
(2) | Amount is less than $0.005. |
(3) | Due to timing of capital share transactions, the per share amount of net realized and unrealized gain on investments varies from the amounts shown in the statement of operations. |
(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 an integral part of these financial statements.
Page 63
Financial Highlights
Baird Ultra Short Bond Fund – Investor Class^
Six Months Ended | ||||||||
June 30, 2015 | Year Ended | |||||||
(Unaudited) | December 31, 2014 | |||||||
Per Share Data: | ||||||||
Net asset value, beginning of period | $ | 10.02 | $ | 10.00 | ||||
Income from investment operations: | ||||||||
Net investment income | 0.02 | (1) | 0.07 | |||||
Net realized and unrealized gain on investments | 0.02 | (2) | 0.02 | (2) | ||||
Total from investment operations | 0.04 | 0.09 | ||||||
Less distributions: | ||||||||
Distributions from net investment income | (0.02 | ) | (0.07 | ) | ||||
Total distributions | (0.02 | ) | (0.07 | ) | ||||
Net asset value, end of period | $ | 10.04 | $ | 10.02 | ||||
Total return | 0.42 | %(3) | 0.88 | % | ||||
Supplemental data and ratios: | ||||||||
Net assets, end of period (millions) | $ | 0.7 | $ | 0.9 | ||||
Ratio of expenses to average net assets | 0.40 | %(4) | 0.40 | % | ||||
Ratio of expenses to average net assets (before waivers) | 0.55 | %(4) | 0.55 | % | ||||
Ratio of net investment income to average net assets | 0.46 | %(4) | 0.68 | % | ||||
Ratio of net investment income to | ||||||||
average net assets (before waivers) | 0.31 | %(4) | 0.53 | % | ||||
Portfolio turnover rate(5) | 46.4 | %(3) | 57.6 | % |
^ | Inception was the close of business on December 31, 2013. |
(1) | Calculated using average shares outstanding during the period. |
(2) | Due to timing of capital share transactions, the per share amount of net realized and unrealized gain on investments varies from the amounts shown in the statement of operations. |
(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 an integral part of these financial statements.
Page 64
Financial Highlights
Baird Short-Term Bond Fund – Institutional Class
Six Months | ||||||||||||||||||||||||
Ended | ||||||||||||||||||||||||
June 30, 2015 | Year Ended December 31, | |||||||||||||||||||||||
(Unaudited) | 2014 | 2013 | 2012 | 2011 | 2010 | |||||||||||||||||||
Per Share Data: | ||||||||||||||||||||||||
Net asset value, | ||||||||||||||||||||||||
beginning of period | $ | 9.67 | $ | 9.69 | $ | 9.75 | $ | 9.59 | $ | 9.68 | $ | 9.57 | ||||||||||||
Income from | ||||||||||||||||||||||||
investment operations: | ||||||||||||||||||||||||
Net investment income | 0.06 | 0.16 | 0.17 | (1) | 0.22 | 0.23 | 0.29 | |||||||||||||||||
Net realized and unrealized | ||||||||||||||||||||||||
gains (losses) on investments | 0.02 | (0.01 | ) | (0.04 | ) | 0.17 | (0.03 | ) | 0.13 | |||||||||||||||
Total from | ||||||||||||||||||||||||
investment operations | 0.08 | 0.15 | 0.13 | 0.39 | 0.20 | 0.42 | ||||||||||||||||||
Less distributions: | ||||||||||||||||||||||||
Distributions from net | ||||||||||||||||||||||||
investment income | (0.07 | ) | (0.16 | ) | (0.17 | ) | (0.22 | ) | (0.23 | ) | (0.29 | ) | ||||||||||||
Distributions from | ||||||||||||||||||||||||
net realized gains | — | (0.01 | ) | (0.02 | ) | (0.01 | ) | (0.06 | ) | (0.02 | ) | |||||||||||||
Total distributions | (0.07 | ) | (0.17 | ) | (0.19 | ) | (0.23 | ) | (0.29 | ) | (0.31 | ) | ||||||||||||
Net asset value, end of period | $ | 9.68 | $ | 9.67 | $ | 9.69 | $ | 9.75 | $ | 9.59 | $ | 9.68 | ||||||||||||
Total return | 0.87 | %(2) | 1.49 | % | 1.33 | % | 4.16 | % | 2.08 | % | 4.39 | % | ||||||||||||
Supplemental data and ratios: | ||||||||||||||||||||||||
Net assets, | ||||||||||||||||||||||||
end of period (millions) | $ | 2,853.8 | $ | 2,640.9 | $ | 1,985.0 | $ | 1,295.7 | $ | 1,017.2 | $ | 919.0 | ||||||||||||
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 | 1.25 | %(3) | 1.56 | % | 1.71 | % | 2.23 | % | 2.40 | % | 2.92 | % | ||||||||||||
Portfolio turnover rate(4) | 20.2 | %(2) | 51.2 | % | 45.1 | % | 40.1 | % | 61.1 | % | 58.7 | % |
(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 an integral part of these financial statements.
Page 65
Financial Highlights
Baird Short-Term Bond Fund – Investor Class
Six Months | September 19, 2012^ | |||||||||||||||
Ended | Year Ended | through | ||||||||||||||
June 30, 2015 | December 31, | December 31, | ||||||||||||||
(Unaudited) | 2014 | 2013 | 2012 | |||||||||||||
Per Share Data: | ||||||||||||||||
Net asset value, beginning of period | $ | 9.67 | $ | 9.69 | $ | 9.75 | $ | 9.77 | ||||||||
Income from investment operations: | ||||||||||||||||
Net investment income | 0.05 | 0.14 | 0.15 | (1) | 0.06 | |||||||||||
Net realized and unrealized | ||||||||||||||||
gains (losses) on investments | 0.02 | (0.02 | ) | (0.04 | ) | 0.00 | (2) | |||||||||
Total from investment operations | 0.07 | 0.12 | 0.11 | 0.06 | ||||||||||||
Less distributions: | ||||||||||||||||
Distributions from net | ||||||||||||||||
investment income | (0.06 | ) | (0.13 | ) | (0.15 | ) | (0.07 | ) | ||||||||
Distributions from net realized gains | — | (0.01 | ) | (0.02 | ) | (0.01 | ) | |||||||||
Total distributions | (0.06 | ) | (0.14 | ) | (0.17 | ) | (0.08 | ) | ||||||||
Net asset value, end of period | $ | 9.68 | $ | 9.67 | $ | 9.69 | $ | 9.75 | ||||||||
�� | ||||||||||||||||
Total return | 0.74 | %(3) | 1.25 | % | 1.11 | % | 0.68 | %(3) | ||||||||
Supplemental data and ratios: | ||||||||||||||||
Net assets, end of period (millions) | $ | 38.1 | $ | 35.8 | $ | 2.5 | $ | 1.5 | ||||||||
Ratio of expenses to average net assets | 0.55 | %(4) | 0.55 | % | 0.55 | % | 0.55 | %(4) | ||||||||
Ratio of net investment income | ||||||||||||||||
to average net assets | 1.00 | %(4) | 1.31 | % | 1.46 | % | 1.98 | %(4) | ||||||||
Portfolio turnover rate(5) | 20.2 | %(3) | 51.2 | % | 45.1 | % | 40.1 | %(3) |
^ | Inception date. |
(1) | Calculated using average shares outstanding during the year. |
(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 an integral part of these financial statements.
Page 66
Financial Highlights
Baird Intermediate Bond Fund – Institutional Class
Six Months | ||||||||||||||||||||||||
Ended | ||||||||||||||||||||||||
June 30, 2015 | Year Ended December 31, | |||||||||||||||||||||||
(Unaudited) | 2014 | 2013 | 2012 | 2011 | 2010 | |||||||||||||||||||
Per Share Data: | ||||||||||||||||||||||||
Net asset value, | ||||||||||||||||||||||||
beginning of period | $ | 11.10 | $ | 11.00 | $ | 11.31 | $ | 11.06 | $ | 10.87 | $ | 10.61 | ||||||||||||
Income from | ||||||||||||||||||||||||
investment operations: | ||||||||||||||||||||||||
Net investment income | 0.12 | 0.26 | (1) | 0.27 | 0.33 | (1) | 0.39 | 0.44 | (1) | |||||||||||||||
Net realized and unrealized | ||||||||||||||||||||||||
gains (losses) on investments | (0.01 | ) | 0.13 | (0.29 | ) | 0.38 | 0.27 | 0.35 | ||||||||||||||||
Total from | ||||||||||||||||||||||||
investment operations | 0.11 | 0.39 | (0.02 | ) | 0.71 | 0.66 | 0.79 | |||||||||||||||||
Less distributions: | ||||||||||||||||||||||||
Distributions from net | ||||||||||||||||||||||||
investment income | (0.12 | ) | (0.27 | ) | (0.27 | ) | (0.33 | ) | (0.39 | ) | (0.44 | ) | ||||||||||||
Distributions from | ||||||||||||||||||||||||
net realized gains | — | (0.02 | ) | (0.02 | ) | (0.13 | ) | (0.08 | ) | (0.09 | ) | |||||||||||||
Total distributions | (0.12 | ) | (0.29 | ) | (0.29 | ) | (0.46 | ) | (0.47 | ) | (0.53 | ) | ||||||||||||
Net asset value, end of period | $ | 11.09 | $ | 11.10 | $ | 11.00 | $ | 11.31 | $ | 11.06 | $ | 10.87 | ||||||||||||
Total return | 0.99 | %(2) | 3.50 | % | (0.17 | )% | 6.52 | % | 6.14 | % | 7.54 | % | ||||||||||||
Supplemental data and ratios: | ||||||||||||||||||||||||
Net assets, | ||||||||||||||||||||||||
end of period (millions) | $ | 1,614.7 | $ | 1,468.2 | $ | 1,113.7 | $ | 867.5 | $ | 703.2 | $ | 591.2 | ||||||||||||
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 | 2.11 | %(3) | 2.37 | % | 2.45 | % | 2.95 | % | 3.49 | % | 4.05 | % | ||||||||||||
Portfolio turnover rate(4) | 19.0 | %(2) | 29.2 | % | 45.1 | % | 45.1 | % | 24.1 | % | 38.7 | % |
(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 an integral part of these financial statements.
Page 67
Financial Highlights
Baird Intermediate Bond Fund – Investor Class
Six Months | ||||||||||||||||||||||||
Ended | ||||||||||||||||||||||||
June 30, 2015 | Year Ended December 31, | |||||||||||||||||||||||
(Unaudited) | 2014 | 2013 | 2012 | 2011 | 2010 | |||||||||||||||||||
Per Share Data: | ||||||||||||||||||||||||
Net asset value, | ||||||||||||||||||||||||
beginning of period | $ | 11.56 | $ | 11.43 | $ | 11.74 | $ | 11.47 | $ | 11.26 | $ | 10.97 | ||||||||||||
Income from | ||||||||||||||||||||||||
investment operations: | ||||||||||||||||||||||||
Net investment income | 0.11 | 0.25 | (1) | 0.25 | 0.32 | (1) | 0.37 | 0.43 | (1) | |||||||||||||||
Net realized and unrealized | ||||||||||||||||||||||||
gains (losses) on investments | (0.02 | ) | 0.14 | (0.29 | ) | 0.39 | 0.28 | 0.36 | ||||||||||||||||
Total from | ||||||||||||||||||||||||
investment operations | 0.09 | 0.39 | (0.04 | ) | 0.71 | 0.65 | 0.79 | |||||||||||||||||
Less distributions: | ||||||||||||||||||||||||
Distributions from net | ||||||||||||||||||||||||
investment income | (0.11 | ) | (0.24 | ) | (0.25 | ) | (0.31 | ) | (0.36 | ) | (0.41 | ) | ||||||||||||
Distributions from | ||||||||||||||||||||||||
net realized gains | — | (0.02 | ) | (0.02 | ) | (0.13 | ) | (0.08 | ) | (0.09 | ) | |||||||||||||
Total distributions | (0.11 | ) | (0.26 | ) | (0.27 | ) | (0.44 | ) | (0.44 | ) | (0.50 | ) | ||||||||||||
Net asset value, end of period | $ | 11.54 | $ | 11.56 | $ | 11.43 | $ | 11.74 | $ | 11.47 | $ | 11.26 | ||||||||||||
Total return | 0.83 | %(2) | 3.29 | % | (0.41 | )% | 6.20 | % | 5.84 | % | 7.30 | % | ||||||||||||
Supplemental data and ratios: | ||||||||||||||||||||||||
Net assets, | ||||||||||||||||||||||||
end of period (millions) | $ | 107.3 | $ | 115.6 | $ | 42.1 | $ | 26.7 | $ | 14.7 | $ | 12.7 | ||||||||||||
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 | 1.86 | %(3) | 2.12 | % | 2.20 | % | 2.70 | % | 3.24 | % | 3.80 | % | ||||||||||||
Portfolio turnover rate(4) | 19.0 | %(2) | 29.2 | % | 45.1 | % | 45.1 | % | 24.1 | % | 38.7 | % |
(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 an integral part of these financial statements.
Page 68
Financial Highlights
Baird Intermediate Municipal Bond Fund – Institutional Class
Six Months | ||||||||||||||||||||||||
Ended | ||||||||||||||||||||||||
June 30, 2015 | Year Ended December 31, | |||||||||||||||||||||||
(Unaudited) | 2014 | 2013 | 2012 | 2011 | 2010 | |||||||||||||||||||
Per Share Data: | ||||||||||||||||||||||||
Net asset value, | ||||||||||||||||||||||||
beginning of period | $ | 11.77 | $ | 11.55 | $ | 12.01 | $ | 11.94 | $ | 11.31 | $ | 11.35 | ||||||||||||
Income from | ||||||||||||||||||||||||
investment operations: | ||||||||||||||||||||||||
Net investment income | 0.14 | (1) | 0.30 | 0.32 | (1) | 0.30 | 0.32 | 0.32 | ||||||||||||||||
Net realized and unrealized | ||||||||||||||||||||||||
gains (losses) on investments | (0.14 | ) | 0.22 | (0.46 | ) | 0.07 | 0.64 | (0.04 | ) | |||||||||||||||
Total from | ||||||||||||||||||||||||
investment operations | 0.00 | 0.52 | (0.14 | ) | 0.37 | 0.96 | 0.28 | |||||||||||||||||
Less distributions: | ||||||||||||||||||||||||
Distributions from net | ||||||||||||||||||||||||
investment income | (0.14 | ) | (0.30 | ) | (0.32 | ) | (0.30 | ) | (0.32 | ) | (0.32 | ) | ||||||||||||
Distributions from | ||||||||||||||||||||||||
net realized gains | — | — | — | — | (0.01 | ) | — | |||||||||||||||||
Total distributions | (0.14 | ) | (0.30 | ) | (0.32 | ) | (0.30 | ) | (0.33 | ) | (0.32 | ) | ||||||||||||
Net asset value, end of period | $ | 11.63 | $ | 11.77 | $ | 11.55 | $ | 12.01 | $ | 11.94 | $ | 11.31 | ||||||||||||
Total return | 0.00 | %(2) | 4.54 | % | (1.19 | )% | 3.12 | % | 8.55 | % | 2.42 | % | ||||||||||||
Supplemental data and ratios: | ||||||||||||||||||||||||
Net assets, | ||||||||||||||||||||||||
end of period (millions) | $ | 977.2 | $ | 918.9 | $ | 801.4 | $ | 963.1 | $ | 836.1 | $ | 739.0 | ||||||||||||
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 | 2.48 | %(3) | 2.56 | % | 2.65 | % | 2.48 | % | 2.74 | % | 2.74 | % | ||||||||||||
Portfolio turnover rate(4) | 3.3 | %(2) | 4.7 | % | 9.0 | % | 5.1 | % | 8.0 | % | 8.7 | % |
(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 an integral part of these financial statements.
Page 69
Financial Highlights
Baird Intermediate Municipal Bond Fund – Investor Class
Six Months | ||||||||||||||||||||||||
Ended | ||||||||||||||||||||||||
June 30, 2015 | Year Ended December 31, | |||||||||||||||||||||||
(Unaudited) | 2014 | 2013 | 2012 | 2011 | 2010 | |||||||||||||||||||
Per Share Data: | ||||||||||||||||||||||||
Net asset value, | ||||||||||||||||||||||||
beginning of period | $ | 12.03 | $ | 11.80 | $ | 12.26 | $ | 12.18 | $ | 11.53 | $ | 11.57 | ||||||||||||
Income from | ||||||||||||||||||||||||
investment operations: | ||||||||||||||||||||||||
Net investment income | 0.13 | (1) | 0.28 | 0.29 | (1) | 0.27 | 0.29 | 0.29 | ||||||||||||||||
Net realized and unrealized | ||||||||||||||||||||||||
gains (losses) on investments | (0.14 | ) | 0.22 | (0.46 | ) | 0.08 | 0.66 | (0.04 | ) | |||||||||||||||
Total from | ||||||||||||||||||||||||
investment operations | (0.01 | ) | 0.50 | (0.17 | ) | 0.35 | 0.95 | 0.25 | ||||||||||||||||
Less distributions: | ||||||||||||||||||||||||
Distributions from net | ||||||||||||||||||||||||
investment income | (0.13 | ) | (0.27 | ) | (0.29 | ) | (0.27 | ) | (0.29 | ) | (0.29 | ) | ||||||||||||
Distributions from | ||||||||||||||||||||||||
net realized gains | — | — | — | — | (0.01 | ) | — | |||||||||||||||||
Total distributions | (0.13 | ) | (0.27 | ) | (0.29 | ) | (0.27 | ) | (0.30 | ) | (0.29 | ) | ||||||||||||
Net asset value, end of period | $ | 11.89 | $ | 12.03 | $ | 11.80 | $ | 12.26 | $ | 12.18 | $ | 11.53 | ||||||||||||
Total return | (0.13 | )%(2) | 4.27 | % | (1.42 | )% | 2.88 | % | 8.30 | % | 2.11 | % | ||||||||||||
Supplemental data and ratios: | ||||||||||||||||||||||||
Net assets, | ||||||||||||||||||||||||
end of period (millions) | $ | 166.3 | $ | 186.7 | $ | 205.6 | $ | 258.5 | $ | 257.9 | $ | 202.8 | ||||||||||||
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 | 2.23 | %(3) | 2.31 | % | 2.40 | % | 2.23 | % | 2.49 | % | 2.49 | % | ||||||||||||
Portfolio turnover rate(4) | 3.3 | %(2) | 4.7 | % | 9.0 | % | 5.1 | % | 8.0 | % | 8.7 | % |
(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 an integral part of these financial statements.
Page 70
Financial Highlights
Baird Aggregate Bond Fund – Institutional Class
Six Months | ||||||||||||||||||||||||
Ended | ||||||||||||||||||||||||
June 30, 2015 | Year Ended December 31, | |||||||||||||||||||||||
(Unaudited) | 2014 | 2013 | 2012 | 2011 | 2010 | |||||||||||||||||||
Per Share Data: | ||||||||||||||||||||||||
Net asset value, | ||||||||||||||||||||||||
beginning of period | $ | 10.81 | $ | 10.41 | $ | 10.89 | $ | 10.65 | $ | 10.52 | $ | 10.23 | ||||||||||||
Income from | ||||||||||||||||||||||||
investment operations: | ||||||||||||||||||||||||
Net investment income | 0.12 | (1) | 0.30 | (2) | 0.32 | (1) | 0.38 | (1) | 0.44 | (1) | 0.47 | (2) | ||||||||||||
Net realized and unrealized | ||||||||||||||||||||||||
gains (losses) on investments | (0.10 | )(3) | 0.41 | (0.45 | ) | 0.45 | 0.36 | 0.37 | ||||||||||||||||
Total from | ||||||||||||||||||||||||
investment operations | 0.02 | 0.71 | (0.13 | ) | 0.83 | 0.80 | 0.84 | |||||||||||||||||
Less distributions: | ||||||||||||||||||||||||
Distributions from net | ||||||||||||||||||||||||
investment income | (0.13 | ) | (0.31 | ) | (0.35 | ) | (0.43 | ) | (0.46 | ) | (0.49 | ) | ||||||||||||
Distributions from | ||||||||||||||||||||||||
net realized gains | — | — | — | (0.16 | ) | (0.21 | ) | (0.06 | ) | |||||||||||||||
Total distributions | (0.13 | ) | (0.31 | ) | (0.35 | ) | (0.59 | ) | (0.67 | ) | (0.55 | ) | ||||||||||||
Net asset value, end of period | $ | 10.70 | $ | 10.81 | $ | 10.41 | $ | 10.89 | $ | 10.65 | $ | 10.52 | ||||||||||||
Total return | 0.13 | %(4) | 6.89 | % | (1.25 | )% | 7.92 | % | 7.85 | % | 8.34 | % | ||||||||||||
Supplemental data and ratios: | ||||||||||||||||||||||||
Net assets, | ||||||||||||||||||||||||
end of period (millions) | $ | 5,315.6 | $ | 3,448.6 | $ | 1,665.0 | $ | 1,495.4 | $ | 1,480.3 | $ | 1,658.4 | ||||||||||||
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 | 2.25 | %(5) | 2.81 | % | 3.01 | % | 3.51 | % | 4.10 | % | 4.44 | % | ||||||||||||
Portfolio turnover rate(6) | 28.4 | %(4) | 32.1 | % | 28.4 | % | 64.4 | % | 45.9 | % | 41.4 | % |
(1) | Calculated using average shares outstanding during the period. |
(2) | Net investment income per share is calculated using ending balance prior to consideration of adjustments for permanent book and tax differences. |
(3) | Due to timing of capital share transactions, the per share amount of net realized and unrealized loss on investments varies from the amounts shown in the statement of operations. |
(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 an integral part of these financial statements.
Page 71
Financial Highlights
Baird Aggregate Bond Fund – Investor Class
Six Months | ||||||||||||||||||||||||
Ended | ||||||||||||||||||||||||
June 30, 2015 | Year Ended December 31, | |||||||||||||||||||||||
(Unaudited) | 2014 | 2013 | 2012 | 2011 | 2010 | |||||||||||||||||||
Per Share Data: | ||||||||||||||||||||||||
Net asset value, | ||||||||||||||||||||||||
beginning of period | $ | 11.15 | $ | 10.72 | $ | 11.21 | $ | 10.94 | $ | 10.80 | $ | 10.48 | ||||||||||||
Income from | ||||||||||||||||||||||||
investment operations: | ||||||||||||||||||||||||
Net investment income | 0.11 | (1) | 0.28 | (2) | 0.29 | (1) | 0.37 | (1) | 0.42 | (1) | 0.46 | (2) | ||||||||||||
Net realized and unrealized | ||||||||||||||||||||||||
gains (losses) on investments | (0.12 | )(3) | 0.43 | (0.46 | ) | 0.46 | 0.37 | 0.38 | ||||||||||||||||
Total from | ||||||||||||||||||||||||
investment operations | (0.01 | ) | 0.71 | (0.17 | ) | 0.83 | 0.79 | 0.84 | ||||||||||||||||
Less distributions: | ||||||||||||||||||||||||
Distributions from net | ||||||||||||||||||||||||
investment income | (0.11 | ) | (0.28 | ) | (0.32 | ) | (0.40 | ) | (0.44 | ) | (0.46 | ) | ||||||||||||
Distributions from | ||||||||||||||||||||||||
net realized gains | — | — | — | (0.16 | ) | (0.21 | ) | (0.06 | ) | |||||||||||||||
Total distributions | (0.11 | ) | (0.28 | ) | (0.32 | ) | (0.56 | ) | (0.65 | ) | (0.52 | ) | ||||||||||||
Net asset value, end of period | $ | 11.03 | $ | 11.15 | $ | 10.72 | $ | 11.21 | $ | 10.94 | $ | 10.80 | ||||||||||||
Total return | (0.08 | )%(4) | 6.71 | % | (1.54 | )% | 7.72 | % | 7.46 | % | 8.16 | % | ||||||||||||
Supplemental data and ratios: | ||||||||||||||||||||||||
Net assets, | ||||||||||||||||||||||||
end of period (millions) | $ | 488.6 | $ | 241.7 | $ | 141.9 | $ | 49.4 | $ | 26.1 | $ | 38.9 | ||||||||||||
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 | 2.00 | %(5) | 2.56 | % | 2.76 | % | 3.26 | % | 3.85 | % | 4.19 | % | ||||||||||||
Portfolio turnover rate(6) | 28.4 | %(4) | 32.1 | % | 28.4 | % | 64.4 | % | 45.9 | % | 41.4 | % |
(1) | Calculated using average shares outstanding during the period. |
(2) | Net investment income per share is calculated using ending balance prior to consideration of adjustments for permanent book and tax differences. |
(3) | Due to timing of capital share transactions, the per share amount of net realized and unrealized loss on investments varies from the amounts shown in the statement of operations. |
(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 an integral part of these financial statements.
Page 72
Financial Highlights
Baird Core Plus Bond Fund – Institutional Class
Six Months | ||||||||||||||||||||||||
Ended | ||||||||||||||||||||||||
June 30, 2015 | Year Ended December 31, | |||||||||||||||||||||||
(Unaudited) | 2014 | 2013 | 2012 | 2011 | 2010 | |||||||||||||||||||
Per Share Data: | ||||||||||||||||||||||||
Net asset value, | ||||||||||||||||||||||||
beginning of period | $ | 11.14 | $ | 10.77 | $ | 11.27 | $ | 10.82 | $ | 10.51 | $ | 10.18 | ||||||||||||
Income from | ||||||||||||||||||||||||
investment operations: | ||||||||||||||||||||||||
Net investment income | 0.14 | 0.32 | (1) | 0.31 | (1) | 0.35 | (2) | 0.45 | (2) | 0.59 | (1) | |||||||||||||
Net realized and unrealized | ||||||||||||||||||||||||
gains (losses) on investments | (0.11 | )(3) | 0.38 | (0.46 | ) | 0.50 | 0.36 | 0.39 | ||||||||||||||||
Total from | ||||||||||||||||||||||||
investment operations | 0.03 | 0.70 | (0.15 | ) | 0.85 | 0.81 | 0.98 | |||||||||||||||||
Less distributions: | ||||||||||||||||||||||||
Distributions from net | ||||||||||||||||||||||||
investment income | (0.15 | ) | (0.33 | ) | (0.34 | ) | (0.38 | ) | (0.46 | ) | (0.60 | ) | ||||||||||||
Distributions from | ||||||||||||||||||||||||
net realized gains | — | — | (0.01 | ) | (0.02 | ) | (0.04 | ) | (0.05 | ) | ||||||||||||||
Total distributions | (0.15 | ) | (0.33 | ) | (0.35 | ) | (0.40 | ) | (0.50 | ) | (0.65 | ) | ||||||||||||
Net asset value, end of period | $ | 11.02 | $ | 11.14 | $ | 10.77 | $ | 11.27 | $ | 10.82 | $ | 10.51 | ||||||||||||
Total return | 0.22 | %(4) | 6.59 | % | (1.32 | )% | 7.95 | % | 7.89 | % | 9.81 | % | ||||||||||||
Supplemental data and ratios: | ||||||||||||||||||||||||
Net assets, | ||||||||||||||||||||||||
end of period (millions) | $ | 6,406.6 | $ | 4,520.9 | $ | 1,789.7 | $ | 1,573.4 | $ | 768.9 | $ | 452.4 | ||||||||||||
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 | 2.48 | %(5) | 2.89 | % | 2.83 | % | 3.12 | % | 4.22 | % | 5.56 | % | ||||||||||||
Portfolio turnover rate(6) | 21.1 | %(4) | 35.0 | % | 35.5 | % | 36.7 | % | 34.6 | % | 61.5 | % |
(1) | Net investment income per share is calculated using ending balance prior to consideration of adjustments for permanent book and tax differences. |
(2) | Calculated using average shares outstanding during the year. |
(3) | Due to timing of capital share transactions, the per share amount of net realized and unrealized loss on investments varies from the amounts shown in the statement of operations. |
(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 an integral part of these financial statements.
Page 73
Financial Highlights
Baird Core Plus Bond Fund – Investor Class
Six Months | ||||||||||||||||||||||||
Ended | ||||||||||||||||||||||||
June 30, 2015 | Year Ended December 31, | |||||||||||||||||||||||
(Unaudited) | 2014 | 2013 | 2012 | 2011 | 2010 | |||||||||||||||||||
Per Share Data: | ||||||||||||||||||||||||
Net asset value, | ||||||||||||||||||||||||
beginning of period | $ | 11.55 | $ | 11.16 | $ | 11.67 | $ | 11.18 | $ | 10.85 | $ | 10.49 | ||||||||||||
Income from | ||||||||||||||||||||||||
investment operations: | ||||||||||||||||||||||||
Net investment income | 0.13 | 0.29 | (1) | 0.29 | (1) | 0.33 | (2) | 0.44 | (2) | 0.57 | (1) | |||||||||||||
Net realized and unrealized | ||||||||||||||||||||||||
gains (losses) on investments | (0.11 | )(3) | 0.40 | (0.48 | ) | 0.53 | 0.37 | 0.41 | ||||||||||||||||
Total from | ||||||||||||||||||||||||
investment operations | 0.02 | 0.69 | (0.19 | ) | 0.86 | 0.81 | 0.98 | |||||||||||||||||
Less distributions: | ||||||||||||||||||||||||
Distributions from net | ||||||||||||||||||||||||
investment income | (0.13 | ) | (0.30 | ) | (0.31 | ) | (0.35 | ) | (0.44 | ) | (0.57 | ) | ||||||||||||
Distributions from | ||||||||||||||||||||||||
net realized gains | — | — | (0.01 | ) | (0.02 | ) | (0.04 | ) | (0.05 | ) | ||||||||||||||
Total distributions | (0.13 | ) | (0.30 | ) | (0.32 | ) | (0.37 | ) | (0.48 | ) | (0.62 | ) | ||||||||||||
Net asset value, end of period | $ | 11.44 | $ | 11.55 | $ | 11.16 | $ | 11.67 | $ | 11.18 | $ | 10.85 | ||||||||||||
Total return | 0.17 | %(4) | 6.27 | % | (1.61 | )% | 7.80 | % | 7.57 | % | 9.53 | % | ||||||||||||
Supplemental data and ratios: | ||||||||||||||||||||||||
Net assets, | ||||||||||||||||||||||||
end of period (millions) | $ | 2,136.8 | $ | 2,195.7 | $ | 1,044.1 | $ | 1,036.0 | $ | 331.9 | $ | 58.4 | ||||||||||||
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 | 2.23 | %(5) | 2.64 | % | 2.58 | % | 2.87 | % | 3.97 | % | 5.31 | % | ||||||||||||
Portfolio turnover rate(6) | 21.1 | %(4) | 35.0 | % | 35.5 | % | 36.7 | % | 34.6 | % | 61.5 | % |
(1) | Net investment income per share is calculated using ending balance prior to consideration of adjustments for permanent book and tax differences. |
(2) | Calculated using average shares outstanding during the year. |
(3) | Due to timing of capital share transactions, the per share amount of net realized and unrealized loss on investments varies from the amounts shown in the statement of operations. |
(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 an integral part of these financial statements.
Page 74
Notes to the Financial Statements
June 30, 2015 (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 Ultra Short Bond Fund, 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”), six of the nine 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 Ultra Short Bond Fund commenced with the sale of both Institutional and Investor Class shares on December 31, 2013. The Baird Short-Term Bond Fund commenced with the sale of Institutional Class shares on August 31, 2004 while the Investor Class shares commenced on September 19, 2012. The Baird Intermediate Municipal Bond Fund commenced 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 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%. See Note 8.
The investment objective of the Baird Ultra Short Bond Fund is to seek current income consistent with preservation of capital. The Fund’s benchmark index, the Barclays U.S. Short-Term Government/Corporate Index, is an unmanaged, market value weighted index of investment grade, fixed debt including government and corporate securities with maturities less than one year.
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.
Page 75
Notes to the Financial Statements
June 30, 2015 (Unaudited)
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 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 evaluated bid prices as provided 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 maturities of 60 days or less are valued as described above unless an evaluated price is not available, in which case such security is valued at acquisition cost, plus or minus any amortized discount or premium (“amortized cost”), or, if the Advisor does not believe amortized cost is reflective of the value of the security, the security is priced at fair value as described below. 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. | |
b) | Unregistered Securities – Five 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 Ultra Short Bond, Baird Short-Term Bond, Baird Intermediate Bond, Baird Aggregate Bond and Baird Core Plus Bond Funds were $29,116,240 (18.86% of net assets), $599,216,857 (20.72% of net assets), $328,185,396 |
Page 76
Notes to the Financial Statements
June 30, 2015 (Unaudited)
2. | Significant Accounting Policies (cont.) |
(19.06% of net assets), $815,433,787 (14.05% of net assets), and $1,287,997,061 (15.08% of net assets), respectively, at June 30, 2015. 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, 2015 consist of securities issued pursuant to Rule 144A under the Securities Act of 1933 and 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 expense 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, 2014, or for any other tax years which are open for exam. As of June 30, 2015, open tax years include the tax years ended December 31, 2011 through 2014. 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 period, 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 or are divided equally amongst the Funds. |
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 |
Page 77
Notes to the Financial Statements
June 30, 2015 (Unaudited)
2. | Significant Accounting Policies (cont.) |
discounts on the purchase of securities are amortized/accreted using the effective interest method. Paydown gains and losses are netted and recorded as interest income on the Statements 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 Pronouncements – In June 2014, the FASB issued ASU No. 2014-11 “Repurchase-to-Maturity Transactions, Repurchase Financings, and Disclosures.” ASU No. 2014-11 makes limited changes to the accounting for repurchase agreements, clarifies when repurchase agreements and securities lending transactions should be accounted for as secured borrowings, and requires additional disclosures regarding these types of transactions. The effective date of this ASU is for fiscal years beginning on or after December 15, 2014, and for interim periods within those fiscal years. Management is currently evaluating the impact these changes will have on the Funds’ financial statement disclosures. |
3. | Capital Share Transactions |
The following table summarizes the capital share transactions of each Fund for the past two fiscal periods:
Baird Ultra Short Bond Fund | ||||||||||||||||||
Institutional Class Shares | Investor Class Shares | |||||||||||||||||
Six Months Ended | Six Months Ended | |||||||||||||||||
June 30, 2015 | June 30, 2015 | |||||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||||
Shares sold | 11,058,491 | $ | 111,021,261 | Shares sold | 68,299 | $ | 685,770 | |||||||||||
Shares issued to | Shares issued to | |||||||||||||||||
shareholders in | shareholders in | |||||||||||||||||
reinvestment of | reinvestment of | |||||||||||||||||
dividends | 44,697 | 448,802 | dividends | 89 | 887 | |||||||||||||
Shares redeemed | (4,219,130 | ) | (42,371,142 | ) | Shares redeemed | (83,316 | ) | (836,416 | ) | |||||||||
Net increase | 6,884,058 | $ | 69,098,921 | Net decrease | (14,928 | ) | $ | (149,759 | ) | |||||||||
Shares Outstanding: | Shares Outstanding: | |||||||||||||||||
Beginning of period | 8,424,284 | Beginning of period | 88,900 | |||||||||||||||
End of period | 15,308,342 | End of period | 73,972 |
Page 78
Notes to the Financial Statements
June 30, 2015 (Unaudited)
3. | Capital Share Transactions (cont.) |
Baird Ultra Short Bond Fund (cont.) | ||||||||||||||||||
Institutional Class Shares | Investor Class Shares | |||||||||||||||||
Year Ended | Year Ended | |||||||||||||||||
December 31, 2014 | December 31, 2014 | |||||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||||
Shares sold | 9,168,297 | $ | 92,148,532 | Shares sold | 101,927 | $ | 1,024,000 | |||||||||||
Shares issued to | Shares issued to | |||||||||||||||||
shareholders in | shareholders in | |||||||||||||||||
reinvestment of | reinvestment of | |||||||||||||||||
dividends | 22,471 | 225,826 | dividends | 84 | 844 | |||||||||||||
Shares redeemed | (766,484 | ) | (7,704,577 | ) | Shares redeemed | (13,111 | ) | (131,500 | ) | |||||||||
Net increase | 8,424,284 | $ | 84,669,781 | Net increase | 88,900 | $ | 893,344 | |||||||||||
Shares Outstanding: | Shares Outstanding: | |||||||||||||||||
Beginning of year | — | Beginning of year | — | |||||||||||||||
End of year | 8,424,284 | End of year | 88,900 | |||||||||||||||
Baird Short-Term Bond Fund | ||||||||||||||||||
Institutional Class Shares | Investor Class Shares | |||||||||||||||||
Six Months Ended | Six Months Ended | |||||||||||||||||
June 30, 2015 | June 30, 2015 | |||||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||||
Shares sold | 77,744,010 | $ | 754,331,785 | Shares sold | 2,398,279 | $ | 23,266,959 | |||||||||||
Shares issued to | Shares issued to | |||||||||||||||||
shareholders in | shareholders in | |||||||||||||||||
reinvestment of | reinvestment of | |||||||||||||||||
dividends | 1,850,627 | 17,950,688 | dividends | 18,884 | 183,170 | |||||||||||||
Shares redeemed | (58,073,258 | ) | (563,621,340 | ) | Shares redeemed | (2,189,361 | ) | (21,247,460 | ) | |||||||||
Net increase | 21,521,379 | $ | 208,661,133 | Net increase | 227,802 | $ | 2,202,669 | |||||||||||
Shares Outstanding: | Shares Outstanding: | |||||||||||||||||
Beginning of period | 273,164,316 | Beginning of period | 3,704,764 | |||||||||||||||
End of period | 294,685,695 | End of period | 3,932,566 | |||||||||||||||
Institutional Class Shares | Investor Class Shares | |||||||||||||||||
Year Ended | Year Ended | |||||||||||||||||
December 31, 2014 | December 31, 2014 | |||||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||||
Shares sold | 138,260,639 | $ | 1,344,119,921 | Shares sold | 3,377,961 | $ | 32,842,029 | |||||||||||
Shares issued to | Shares issued to | |||||||||||||||||
shareholders in | shareholders in | |||||||||||||||||
reinvestment of | reinvestment of | |||||||||||||||||
dividends | 3,483,214 | 33,814,184 | dividends | 32,310 | 313,574 | |||||||||||||
Shares redeemed | (73,412,100 | ) | (713,624,084 | ) | Shares redeemed | (2,183,840 | ) | (21,232,445 | ) | |||||||||
Net increase | 68,331,753 | $ | 664,310,021 | Net increase | 1,226,431 | $ | 11,923,158 | |||||||||||
Shares Outstanding: | Shares Outstanding: | |||||||||||||||||
Beginning of year | 204,832,563 | Beginning of year | 2,478,333 | |||||||||||||||
End of year | 273,164,316 | End of year | 3,704,764 |
Page 79
Notes to the Financial Statements
June 30, 2015 (Unaudited)
3. | Capital Share Transactions (cont.) |
Baird Intermediate Bond Fund | |||||||||||||||||
Institutional Class Shares | Investor Class Shares | ||||||||||||||||
Six Months Ended | Six Months Ended | ||||||||||||||||
June 30, 2015 | June 30, 2015 | ||||||||||||||||
Shares | Amount | Shares | Amount | ||||||||||||||
Shares sold | 22,897,355 | $ | 256,009,462 | Shares sold | 565,906 | $ | 6,578,901 | ||||||||||
Shares issued to | Shares issued to | ||||||||||||||||
shareholders in | shareholders in | ||||||||||||||||
reinvestment of | reinvestment of | ||||||||||||||||
dividends | 1,317,786 | 14,728,418 | dividends | 86,914 | 1,011,216 | ||||||||||||
Shares redeemed | (10,818,327 | ) | (120,894,380 | ) | Shares redeemed | (1,359,460 | ) | (15,827,450 | ) | ||||||||
Net increase | 13,396,814 | $ | 149,843,500 | Net decrease | (706,640 | ) | $ | (8,237,333 | ) | ||||||||
Shares Outstanding: | Shares Outstanding: | ||||||||||||||||
Beginning of period | 132,223,556 | Beginning of period | 10,001,347 | ||||||||||||||
End of period | 145,620,370 | End of period | 9,294,707 | ||||||||||||||
Institutional Class Shares | Investor Class Shares | ||||||||||||||||
Year Ended | Year Ended | ||||||||||||||||
December 31, 2014 | December 31, 2014 | ||||||||||||||||
Shares | Amount | Shares | Amount | ||||||||||||||
Shares sold | 43,826,069 | $ | 488,521,243 | Shares sold | 7,818,912 | $ | 90,485,341 | ||||||||||
Shares issued to | Shares issued to | ||||||||||||||||
shareholders in | shareholders in | ||||||||||||||||
reinvestment of | reinvestment of | ||||||||||||||||
dividends | 2,502,026 | 27,818,191 | dividends | 132,487 | 1,532,107 | ||||||||||||
Shares redeemed | (15,357,797 | ) | (171,067,958 | ) | Shares redeemed | (1,628,553 | ) | (18,865,055 | ) | ||||||||
Net increase | 30,970,298 | $ | 345,271,476 | Net increase | 6,322,846 | $ | 73,152,393 | ||||||||||
Shares Outstanding: | Shares Outstanding: | ||||||||||||||||
Beginning of year | 101,253,258 | Beginning of year | 3,678,501 | ||||||||||||||
End of year | 132,223,556 | End of year | 10,001,347 | ||||||||||||||
Baird Intermediate Municipal Bond Fund | |||||||||||||||||
Institutional Class Shares | Investor Class Shares | ||||||||||||||||
Six Months Ended | Six Months Ended | ||||||||||||||||
June 30, 2015 | June 30, 2015 | ||||||||||||||||
Shares | Amount | Shares | Amount | ||||||||||||||
Shares sold | 14,461,196 | $ | 170,082,732 | Shares sold | 2,066,531 | $ | 24,873,354 | ||||||||||
Shares issued to | Shares issued to | ||||||||||||||||
shareholders in | shareholders in | ||||||||||||||||
reinvestment of | reinvestment of | ||||||||||||||||
dividends | 839,445 | 9,854,920 | dividends | 154,703 | 1,857,719 | ||||||||||||
Shares redeemed | (9,410,242 | ) | (110,608,037 | ) | Shares redeemed | (3,762,675 | ) | (45,030,962 | ) | ||||||||
Net increase | 5,890,399 | $ | 69,329,615 | Net decrease | (1,541,441 | ) | $ | (18,299,889 | ) | ||||||||
Shares Outstanding: | Shares Outstanding: | ||||||||||||||||
Beginning of period | 78,104,232 | Beginning of period | 15,522,287 | ||||||||||||||
End of period | 83,994,631 | End of period | 13,980,846 |
Page 80
Notes to the Financial Statements
June 30, 2015 (Unaudited)
3. | Capital Share Transactions (cont.) |
Baird Intermediate Municipal Bond Fund (cont.) | ||||||||||||||||||
Institutional Class Shares | Investor Class Shares | |||||||||||||||||
Year Ended | Year Ended | |||||||||||||||||
December 31, 2014 | December 31, 2014 | |||||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||||
Shares sold | 23,703,150 | $ | 278,740,222 | Shares sold | 3,749,692 | $ | 45,064,303 | |||||||||||
Shares issued to | Shares issued to | |||||||||||||||||
shareholders in | shareholders in | |||||||||||||||||
reinvestment of | reinvestment of | |||||||||||||||||
dividends | 1,605,530 | 18,878,665 | dividends | 377,495 | 4,535,848 | |||||||||||||
Shares redeemed | (16,597,639 | ) | (194,974,883 | ) | Shares redeemed | (6,035,550 | ) | (72,510,076 | ) | |||||||||
Net increase | 8,711,041 | $ | 102,644,004 | Net decrease | (1,908,363 | ) | $ | (22,909,925 | ) | |||||||||
Shares Outstanding: | Shares Outstanding: | |||||||||||||||||
Beginning of year | 69,393,191 | Beginning of year | 17,430,650 | |||||||||||||||
End of year | 78,104,232 | End of year | 15,522,287 | |||||||||||||||
Baird Aggregate Bond Fund | ||||||||||||||||||
Institutional Class Shares | Investor Class Shares | |||||||||||||||||
Six Months Ended | Six Months Ended | |||||||||||||||||
June 30, 2015 | June 30, 2015 | |||||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||||
Shares sold | 215,397,714 | $ | 2,351,902,784 | Shares sold | 27,064,421 | $ | 304,633,450 | |||||||||||
Shares issued to | Shares issued to | |||||||||||||||||
shareholders in | shareholders in | |||||||||||||||||
reinvestment of | reinvestment of | |||||||||||||||||
dividends | 3,906,493 | 42,412,621 | dividends | 373,386 | 4,182,357 | |||||||||||||
Shares redeemed | (41,338,705 | ) | (448,505,991 | ) | Shares redeemed | (4,829,490 | ) | (53,989,514 | ) | |||||||||
Net increase | 177,965,502 | $ | 1,945,809,414 | Net increase | 22,608,317 | $ | 254,826,293 | |||||||||||
Shares Outstanding: | Shares Outstanding: | |||||||||||||||||
Beginning of period | 318,988,439 | Beginning of period | 21,682,288 | |||||||||||||||
End of period | 496,953,941 | End of period | 44,290,605 | |||||||||||||||
Institutional Class Shares | Investor Class Shares | |||||||||||||||||
Year Ended | Year Ended | |||||||||||||||||
December 31, 2014 | December 31, 2014 | |||||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||||
Shares sold | 193,596,308 | $ | 2,082,229,816 | Shares sold | 12,606,839 | $ | 138,890,870 | |||||||||||
Shares issued to | Shares issued to | |||||||||||||||||
shareholders in | shareholders in | |||||||||||||||||
reinvestment of | reinvestment of | |||||||||||||||||
dividends | 5,162,943 | 55,308,532 | dividends | 440,709 | 4,861,398 | |||||||||||||
Shares redeemed | (39,723,087 | ) | (425,549,216 | ) | Shares redeemed | (4,594,876 | ) | (50,676,547 | ) | |||||||||
Net increase | 159,036,164 | $ | 1,711,989,132 | Net increase | 8,452,672 | $ | 93,075,721 | |||||||||||
Shares Outstanding: | Shares Outstanding: | |||||||||||||||||
Beginning of year | 159,952,275 | Beginning of year | 13,229,616 | |||||||||||||||
End of year | 318,988,439 | End of year | 21,682,288 |
Page 81
Notes to the Financial Statements
June 30, 2015 (Unaudited)
3. | Capital Share Transactions (cont.) |
Baird Core Plus Bond Fund | ||||||||||||||||||
Institutional Class Shares | Investor Class Shares | |||||||||||||||||
Six Months Ended | Six Months Ended | |||||||||||||||||
June 30, 2015 | June 30, 2015 | |||||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||||
Shares sold | 206,452,680 | $ | 2,313,242,932 | Shares sold | 60,082,617 | $ | 700,020,792 | |||||||||||
Shares issued to | Shares issued to | |||||||||||||||||
shareholders in | shareholders in | |||||||||||||||||
reinvestment of | reinvestment of | |||||||||||||||||
dividends | 6,306,139 | 70,598,278 | dividends | 2,262,199 | 26,296,421 | |||||||||||||
Shares redeemed | (37,306,228 | ) | (417,262,374 | ) | Shares redeemed | (65,544,749 | ) | (755,964,489 | ) | |||||||||
Net increase | 175,452,591 | $ | 1,966,578,836 | Net decrease | (3,199,933 | ) | $ | (29,647,276 | ) | |||||||||
Shares Outstanding: | Shares Outstanding: | |||||||||||||||||
Beginning of period | 405,895,839 | Beginning of period | 190,054,912 | |||||||||||||||
End of period | 581,348,430 | End of period | 186,854,979 | |||||||||||||||
Institutional Class Shares | Investor Class Shares | |||||||||||||||||
Year Ended | Year Ended | |||||||||||||||||
December 31, 2014 | December 31, 2014 | |||||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||||
Shares sold | 266,303,664 | $ | 2,958,518,458 | Shares sold | 119,230,689 | $ | 1,368,800,553 | |||||||||||
Shares issued to | Shares issued to | |||||||||||||||||
shareholders in | shareholders in | |||||||||||||||||
reinvestment of | reinvestment of | |||||||||||||||||
dividends | 6,772,143 | 74,952,246 | dividends | 3,115,198 | 35,739,828 | |||||||||||||
Shares redeemed | (33,346,604 | ) | (368,208,073 | ) | Shares redeemed | (25,852,541 | ) | (296,094,423 | ) | |||||||||
Net increase | 239,729,203 | $ | 2,665,262,631 | Net increase | 96,493,346 | $ | 1,108,445,958 | |||||||||||
Shares Outstanding: | Shares Outstanding: | |||||||||||||||||
Beginning of year | 166,166,636 | Beginning of year | 93,561,566 | |||||||||||||||
End of year | 405,895,839 | End of year | 190,054,912 |
4. | Investment Transactions and Income Tax Information |
During the six months ended June 30, 2015, purchases and sales of investment securities (excluding short-term investments) were as follows:
Baird | Baird | Baird | ||||||||||
Ultra Short | Short-Term | Intermediate | ||||||||||
Bond Fund | Bond Fund | Bond Fund | ||||||||||
Purchases: | ||||||||||||
U.S. Government | $ | — | $ | — | $ | — | ||||||
Other | $ | 103,721,835 | $ | 669,258,444 | $ | 474,162,271 | ||||||
Sales: | ||||||||||||
U.S. Government | $ | — | $ | — | $ | 9,480 | ||||||
Other | $ | 49,410,636 | $ | 546,456,902 | $ | 309,495,888 |
Page 82
Notes to the Financial Statements
June 30, 2015 (Unaudited)
4. | Investment Transactions and Income Tax Information (cont.) |
Baird | ||||||||||||
Intermediate | Baird | Baird | ||||||||||
Municipal | Aggregate | Core Plus | ||||||||||
Bond Fund | Bond Fund | Bond Fund | ||||||||||
Purchases: | ||||||||||||
U.S. Government | $ | — | $ | 108,947,188 | $ | 111,468,376 | ||||||
Other | $ | 74,239,063 | $ | 3,511,224,981 | $ | 3,471,713,830 | ||||||
Sales: | ||||||||||||
U.S. Government | $ | — | $ | 36,816,888 | $ | 106,237,750 | ||||||
Other | $ | 36,719,557 | $ | 1,327,020,173 | $ | 1,615,043,064 |
At December 31, 2014, 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 | ||||||||||
Ultra Short | Short-Term | Intermediate | ||||||||||
Bond Fund | Bond Fund | Bond Fund | ||||||||||
Cost of Investments | $ | 83,944,155 | $ | 2,812,824,722 | $ | 1,754,360,432 | ||||||
Gross unrealized appreciation | $ | 52,130 | $ | 10,864,328 | $ | 27,786,867 | ||||||
Gross unrealized depreciation | (237,056 | ) | (15,622,785 | ) | (6,590,912 | ) | ||||||
Net unrealized | ||||||||||||
appreciation (depreciation) | $ | (184,926 | ) | $ | (4,758,457 | ) | $ | 21,195,955 | ||||
Undistributed ordinary income | 3,769 | 252,709 | 213,371 | |||||||||
Undistributed long-term capital gain | — | 1,191,582 | 359,945 | |||||||||
Total distributable earnings | $ | 3,769 | $ | 1,444,291 | $ | 573,316 | ||||||
Other accumulated losses | (13,404 | ) | — | — | ||||||||
Total accumulated earnings/(losses) | $ | (194,561 | ) | $ | (3,314,166 | ) | $ | 21,769,271 |
Baird | ||||||||||||
Intermediate | Baird | Baird | ||||||||||
Municipal | Aggregate | Core Plus | ||||||||||
Bond Fund | Bond Fund | Bond Fund | ||||||||||
Cost of Investments | $ | 1,074,767,553 | $ | 3,740,392,274 | $ | 6,871,638,917 | ||||||
Gross unrealized appreciation | $ | 47,832,843 | $ | 95,431,123 | $ | 124,743,476 | ||||||
Gross unrealized depreciation | (2,973,479 | ) | (17,621,004 | ) | (46,755,580 | ) | ||||||
Net unrealized appreciation | $ | 44,859,364 | $ | 77,810,119 | $ | 77,987,896 | ||||||
Undistributed ordinary income | — | 63,990 | 402,605 | |||||||||
Undistributed tax-exempt income | 24,885 | — | — | |||||||||
Total distributable earnings | $ | 24,885 | $ | 63,990 | $ | 402,605 | ||||||
Other accumulated losses | (863,774 | ) | (9,769,975 | ) | (10,213,385 | ) | ||||||
Total accumulated earnings | $ | 44,020,475 | $ | 68,104,134 | $ | 68,177,116 |
Page 83
Notes to the Financial Statements
June 30, 2015 (Unaudited)
4. | Investment Transactions and Income Tax Information (cont.) |
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.
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, 2015 | December 31, 2014 | |||||||||||||||
Ordinary | Long-Term | Ordinary | Long-Term | |||||||||||||
Income | Capital Gains | Income | Capital Gains | |||||||||||||
Distributions | Distributions | Distributions | Distributions | |||||||||||||
Baird Ultra Short Bond Fund | $ | 484,148 | $ | — | $ | 271,437 | $ | — | ||||||||
Baird Short-Term Bond Fund | $ | 21,192,273 | $ | — | $ | 38,351,400 | $ | 1,059,964 | ||||||||
Baird Intermediate Bond Fund | $ | 18,116,189 | $ | — | $ | 31,870,518 | $ | 2,198,332 | ||||||||
Baird Intermediate Municipal Bond Fund | $ | — | $ | — | $ | 199,334 | $ | — | ||||||||
Baird Aggregate Bond Fund | $ | 56,949,342 | $ | — | $ | 70,757,058 | $ | — | ||||||||
Baird Core Plus Bond Fund | $ | 101,096,593 | $ | — | $ | 114,565,490 | $ | — |
For the six months ended June 30, 2015 and the year ended December 31, 2014, distributions of $13,365,184 and $26,748,436, 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 Section 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, 2014. To the extent necessary to fully distribute such capital gains, the Funds also designate 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, 2014, the Baird Funds did not defer any capital losses occurring between November 1, 2014 and December 31, 2014.
At December 31, 2014, 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 Ultra Short Bond Fund | $ | 13,404 | Short-Term | Indefinitely | ||
Baird Intermediate Municipal Bond Fund | 365,127 | Short-Term | Indefinitely | |||
498,647 | Long-Term | Indefinitely | ||||
Baird Aggregate Bond Fund | 4,058,488 | Short-Term | Indefinitely | |||
5,711,487 | Long-Term | Indefinitely | ||||
Baird Core Plus Bond Fund | 10,213,385 | Long-Term | Indefinitely |
Page 84
Notes to the Financial Statements
June 30, 2015 (Unaudited)
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.
For the six months ended June 30, 2015, the Advisor waived the following amount pursuant to the fee waiver agreement between the Advisor and the Corporation on behalf of the Baird Ultra Short Bond Fund:
Fund | Waived Amount |
Baird Ultra Short Bond Fund | $98,339 |
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 (“USBFS”) serves as transfer agent, administrator, and accounting services agent for the Funds. U.S. Bank, N.A. (“U.S. Bank”) serves as custodian for the Funds. As of June 30, 2015, U.S. Bank was considered an “affiliated person” of the Funds for purposes of the 1940 Act, as a result of U.S. Bank’s fiduciary accounts for which it has investment authority and/or voting authority collectively acquiring 5% or more of the shares of the Baird Aggregate Bond Fund, a separate series of the Company. As a result, USBFS was an affiliated person of an affiliated person (or a “second tier” affiliate) of the Funds. Effective August 4, 2015, U.S. Bank is no longer considered an “affiliated person” of the Funds for purposes of the 1940 Act, as a result of U.S. Bank’s fiduciary accounts for which it has investment authority and/or voting authority collectively representing less than 5% of the shares of the Baird Aggregate Bond Fund.
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 affiliated person of the Funds (for the period June 20, 2014 through August 3, 2015), and an affiliate of USBFS, 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, 2015, the Baird Ultra Short Bond Fund, 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
Page 85
Notes to the Financial Statements
June 30, 2015 (Unaudited)
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, 2015, 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 Ultra Short-Term Bond Fund | $ | 25,547,749 | $ | 26,093,750 | ||||||
Baird Short-Term Bond Fund | 180,504,924 | 184,399,411 | ||||||||
Baird Intermediate Bond Fund | 63,603,027 | 65,136,677 | ||||||||
Baird Aggregate Bond Fund | 139,367,300 | 142,466,701 | ||||||||
Baird Core Plus Bond Fund | 179,048,176 | 183,742,149 |
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). The schedules of investments for the Funds include the particular cash collateral holdings as of June 30, 2015.
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, 2015, for the Baird Ultra Short Bond Fund, Baird Short-Term Bond Fund, Baird Intermediate Bond Fund, Baird Aggregate Bond Fund, and Baird Core Plus Bond Fund were $1,762, $77,683, $91,167, $149,183 and $441,916, respectively.
7. | Line of Credit |
The Corporation maintains an uncommitted, senior secured and unsecured line of credit (“LOC”) with U.S. Bank, N.A. (the “Bank”) to provide the Funds a temporary liquidity source to meet unanticipated redemptions. The unsecured line of credit is available to the Funds for any period during which U.S. Bank is an affiliate of the Funds. 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 2015). During the six months ended June 30, 2015, the Funds did not have any borrowings.
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 Ultra Short Bond, Baird Short-Term Bond, Baird Intermediate Bond, Baird Intermediate Municipal Bond, Baird Aggregate Bond and Baird Core Plus Bond Funds incurred $1,089, $45,441, $139,163, $232,651, $535,442 and $3,066,876, respectively, in fees pursuant to the Plan during the six months ended June 30, 2015.
9. | Subsequent Event |
In preparing these financial statements, the Corporation has evaluated events after June 30, 2015. Effective September 1, 2015, the Baird Intermediate Municipal Bond Fund will be re-named the “Baird Quality Intermediate Municipal Bond Fund.” In addition, effective September 1, 2015, the Barclays Quality Intermediate Municipal Bond Index will replace the Barclays 7-Year General Obligation Bond Index as the benchmark index for that Fund. There were no additional subsequent events since June 30, 2015 through the date the financial statements were issued that would require adjustment to or additional disclosure in these financial statements.
Page 86
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 87
(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, 2015
Baird LargeCap Fund
Baird MidCap Fund
Baird SmallCap Value Fund
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Table of Contents
Baird LargeCap Fund | 1 |
Baird MidCap Fund | 11 |
Baird SmallCap Value Fund | 18 |
Additional Information on Fund Expenses | 24 |
Statements of Assets and Liabilities | 26 |
Statements of Operations | 27 |
Statements of Changes in Net Assets | 28 |
Financial Highlights | 31 |
Notes to the Financial Statements | 37 |
Additional Information | 47 |
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, 2015 (Unaudited)
Portfolio Characteristics
A June 30, 2015 summary of the Fund’s top 10 holdings and equity sector analysis compared to the S&P 500® Index is shown below.
Top 10 Holdings* | Equity Sector Analysis** | ||
SPDR S&P 500 | 4.5% | ||
Oracle Corporation | 2.4% | ||
CF Industries Holdings, Inc. | 2.3% | ||
Expedia, Inc. | 2.3% | ||
AbbVie Inc. | 2.3% | ||
Caterpillar Inc. | 2.2% | ||
PepsiCo, Inc. | 2.2% | ||
Amgen Inc. | 2.0% | ||
Ameriprise Financial, Inc. | 2.0% | ||
The Blackstone Group L.P. | 1.8% | ||
Net Assets: | $40,596,720 | ||
Portfolio Turnover Rate: | 39.0% | † | |
Number of Equity Holdings: | 122 | ||
Annualized Portfolio Expense Ratio:*** | |||
Gross | |||
Institutional Class: | 1.18% | ||
Investor Class: | 1.43% | **** | |
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, 2015. | |
** | Percentages shown in parentheses relate to the Fund’s total market value of investments as of June 30, 2015, 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, 2016. | |
**** | Includes 0.25% 12b-1 fee. | |
† | Not annualized. |
Page 1
Baird LargeCap Fund
June 30, 2015 (Unaudited)
Total Returns
Average Annual | |||||
Since | |||||
For the Periods Ended June 30, 2015 | Six Months | One Year | Five Years | Ten Years | Inception(1) |
Institutional Class Shares | -0.11% | 6.62% | 16.83% | 6.80% | 3.12% |
Investor Class Shares | -0.34% | 6.39% | 16.52% | 6.55% | 2.86% |
S&P 500® Index(2) | 1.23% | 7.42% | 17.34% | 7.89% | 4.50% |
(1) | For the period from September 29, 2000 (inception date) through June 30, 2015. |
(2) | The S&P 500® Index measures the performance of 500 common stocks chosen for market size, liquidity and industry group representation of U.S. equity performance. This index does not reflect any deduction for fees, expenses or taxes. A direct investment in the index is not possible. |
Effective December 23, 2013, Baird Kailash Group, LLC became the Fund’s subadviser. 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’s subadviser makes investment decisions for the Fund primarily using quantitative investment models which rank securities based on fundamental measures of value, past performance and indicators of recent positive changes. The success of the quantitative investment methodologies and processes employed by the subadviser depends on the analyses and assessments that were used in developing such methodologies and processes, as well as on the accuracy and reliability of models and data provided by third parties. Incorrect analyses and assessments or inaccurate or incomplete models and data would adversely affect performance. Certain low-probability events or factors that are assigned little weight may occur or prove to be more likely or may have more relevance than expected, for short or extended periods of time. It is also possible that prices of securities may move in directions that were not predicted by the subadviser’s quantitative methodologies. The Fund may invest in stocks (or ADRs representing stocks) of foreign companies that are traded on U.S. exchanges. 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, 2015 (Unaudited)
Common Stocks
% of | ||||||||||||
Shares | Value | Net Assets | ||||||||||
Aerospace & Defense | ||||||||||||
The Boeing Company | 1,086 | $ | 150,650 | 0.4 | % | |||||||
General Dynamics Corporation | 3,133 | 443,915 | 1.1 | % | ||||||||
Spirit Aerosystems Holdings Inc. – Class A* | 1,601 | 88,231 | 0.2 | % | ||||||||
682,796 | 1.7 | % | ||||||||||
Airlines | ||||||||||||
Alaska Air Group, Inc. | 6,584 | 424,207 | 1.0 | % | ||||||||
American Airlines Group, Inc. | 1,674 | 66,851 | 0.2 | % | ||||||||
Southwest Airlines Co. | 10,561 | 349,464 | 0.9 | % | ||||||||
United Continental Holdings, Inc.* | 2,986 | 158,288 | 0.4 | % | ||||||||
998,810 | 2.5 | % | ||||||||||
Auto Components | ||||||||||||
Autoliv, Inc. | 736 | 85,928 | 0.2 | % | ||||||||
Delphi Automotive PLC f | 980 | 83,388 | 0.2 | % | ||||||||
169,316 | 0.4 | % | ||||||||||
Automobiles | ||||||||||||
Ford Motor Company | 37,591 | 564,241 | 1.4 | % | ||||||||
Harley-Davidson, Inc. | 9,182 | 517,406 | 1.3 | % | ||||||||
1,081,647 | 2.7 | % | ||||||||||
Banks | ||||||||||||
Huntington Bancshares Incorporated | 16,703 | 188,911 | 0.4 | % | ||||||||
U.S. Bancorp | 7,531 | 326,845 | 0.8 | % | ||||||||
Wells Fargo & Company | 6,248 | 351,388 | 0.9 | % | ||||||||
867,144 | 2.1 | % | ||||||||||
Beverages | ||||||||||||
The Coca-Cola Company | 8,028 | 314,939 | 0.8 | % | ||||||||
Coca-Cola Enterprises, Inc. | 1,976 | 85,837 | 0.2 | % | ||||||||
Dr Pepper Snapple Group, Inc. | 2,523 | 183,927 | 0.4 | % | ||||||||
PepsiCo, Inc. | 9,583 | 894,477 | 2.2 | % | ||||||||
1,479,180 | 3.6 | % | ||||||||||
Biotechnology | ||||||||||||
Amgen Inc. | 5,381 | 826,091 | 2.0 | % | ||||||||
Biogen Inc.* | 527 | 212,876 | 0.5 | % | ||||||||
Celgene Corporation* | 4,464 | 516,641 | 1.3 | % | ||||||||
1,555,608 | 3.8 | % | ||||||||||
Building Products | ||||||||||||
Masco Corporation | 20,297 | 541,321 | 1.3 | % |
The accompanying notes are an integral part of these financial statements.
Page 3
Baird LargeCap Fund
Schedule of Investments, June 30, 2015 (Unaudited)
Common Stocks (cont.)
% of | ||||||||||||
Shares | Value | Net Assets | ||||||||||
Capital Markets | ||||||||||||
Ameriprise Financial, Inc. | 6,560 | $ | 819,541 | 2.0 | % | |||||||
The Blackstone Group L.P. | 18,246 | 745,714 | 1.8 | % | ||||||||
SEI Investments Co. | 5,481 | 268,733 | 0.7 | % | ||||||||
1,833,988 | 4.5 | % | ||||||||||
Chemicals | ||||||||||||
Celanese Corporation | 4,205 | 302,256 | 0.8 | % | ||||||||
CF Industries Holdings, Inc. | 14,760 | 948,773 | 2.3 | % | ||||||||
The Dow Chemical Company | 1,519 | 77,727 | 0.2 | % | ||||||||
LyondellBasell Industries N.V. – Class A f | 5,543 | 573,811 | 1.4 | % | ||||||||
1,902,567 | 4.7 | % | ||||||||||
Consumer Finance | ||||||||||||
American Express Company | 7,989 | 620,905 | 1.5 | % | ||||||||
Capital One Financial Corporation | 3,935 | 346,162 | 0.9 | % | ||||||||
Discover Financial Services | 12,001 | 691,498 | 1.7 | % | ||||||||
Synchrony Financial* | 10,570 | 348,070 | 0.9 | % | ||||||||
2,006,635 | 5.0 | % | ||||||||||
Containers & Packaging | ||||||||||||
Ball Corporation | 1,333 | 93,510 | 0.2 | % | ||||||||
Crown Holdings, Inc.* | 3,073 | 162,592 | 0.4 | % | ||||||||
256,102 | 0.6 | % | ||||||||||
Diversified Financial Services | ||||||||||||
Moody’s Corporation | 6,084 | 656,829 | 1.6 | % | ||||||||
Diversified Telecommunication Services | ||||||||||||
AT&T Inc. | 6,911 | 245,479 | 0.6 | % | ||||||||
CenturyLink, Inc. | 2,078 | 61,051 | 0.2 | % | ||||||||
306,530 | 0.8 | % | ||||||||||
Electric Utilities | ||||||||||||
Entergy Corp. | 1,042 | 73,461 | 0.2 | % | ||||||||
Electronic Equipment, Instruments & Components | ||||||||||||
Corning Incorporated | 22,367 | 441,301 | 1.1 | % | ||||||||
Energy Equipment & Services | ||||||||||||
Halliburton Company | 2,384 | 102,679 | 0.2 | % | ||||||||
Schlumberger Limited f | 738 | 63,608 | 0.2 | % | ||||||||
Seadrill Ltd f | 2,873 | 29,707 | 0.1 | % | ||||||||
195,994 | 0.5 | % | ||||||||||
Food & Staples Retailing | ||||||||||||
The Kroger Co. | 8,513 | 617,278 | 1.5 | % |
The accompanying notes are an integral part of these financial statements.
Page 4
Baird LargeCap Fund
Schedule of Investments, June 30, 2015 (Unaudited)
Common Stocks (cont.)
% of | ||||||||||||
Shares | Value | Net Assets | ||||||||||
Food Products | ||||||||||||
Archer-Daniels-Midland Company | 6,852 | $ | 330,403 | 0.8 | % | |||||||
Bunge Limited f | 3,747 | 328,987 | 0.8 | % | ||||||||
General Mills, Inc. | 1,540 | 85,809 | 0.2 | % | ||||||||
745,199 | 1.8 | % | ||||||||||
Health Care Equipment & Supplies | ||||||||||||
Becton, Dickson and Company | 5,036 | 713,350 | 1.8 | % | ||||||||
C.R. Bard, Inc. | 3,633 | 620,153 | 1.5 | % | ||||||||
Edwards Lifesciences Corporation* | 1,751 | 249,395 | 0.6 | % | ||||||||
Medtronic PLC f | 7,163 | 530,778 | 1.3 | % | ||||||||
2,113,676 | 5.2 | % | ||||||||||
Health Care Providers & Services | ||||||||||||
Anthem, Inc. | 2,008 | 329,593 | 0.8 | % | ||||||||
Centene Corp.* | 2,486 | 199,874 | 0.5 | % | ||||||||
529,467 | 1.3 | % | ||||||||||
Hotels, Restaurants & Leisure | ||||||||||||
Wyndham Worldwide Corporation | 7,838 | 642,011 | 1.6 | % | ||||||||
Household Durables | ||||||||||||
PulteGroup, Inc. | 3,906 | 78,706 | 0.2 | % | ||||||||
Household Products | ||||||||||||
The Clorox Company | 762 | 79,263 | 0.2 | % | ||||||||
Energizer Holdings, Inc. | 3,259 | 428,722 | 1.1 | % | ||||||||
507,985 | 1.3 | % | ||||||||||
Independent Power and Renewable Electricity Producers | ||||||||||||
The AES Corporation | 25,403 | 336,844 | 0.8 | % | ||||||||
Calpine Corp.* | 3,893 | 70,035 | 0.2 | % | ||||||||
406,879 | 1.0 | % | ||||||||||
Insurance | ||||||||||||
Aflac, Inc. | 2,676 | 166,447 | 0.4 | % | ||||||||
The Hartford Financial Services Group, Inc. | 2,123 | 88,253 | 0.2 | % | ||||||||
The Progressive Corporation | 16,159 | 449,705 | 1.1 | % | ||||||||
The Travelers Companies, Inc. | 1,657 | 160,166 | 0.4 | % | ||||||||
864,571 | 2.1 | % | ||||||||||
Internet & Catalog Retail | ||||||||||||
Expedia, Inc. | 8,615 | 942,050 | 2.3 | % | ||||||||
Internet Software & Services | ||||||||||||
Google Inc.* | 1,242 | 646,473 | 1.6 | % |
The accompanying notes are an integral part of these financial statements.
Page 5
Baird LargeCap Fund
Schedule of Investments, June 30, 2015 (Unaudited)
Common Stocks (cont.)
% of | ||||||||||||
Shares | Value | Net Assets | ||||||||||
IT Services | ||||||||||||
International Business Machines Corporation | 1,448 | $ | 235,532 | 0.6 | % | |||||||
MasterCard Incorporated | 2,114 | 197,617 | 0.5 | % | ||||||||
Visa Inc. | 4,268 | 286,596 | 0.7 | % | ||||||||
The Western Union Company | 30,341 | 616,832 | 1.5 | % | ||||||||
1,336,577 | 3.3 | % | ||||||||||
Leisure Products | ||||||||||||
Hasbro, Inc. | 2,481 | 185,554 | 0.5 | % | ||||||||
Life Sciences Tools & Services | ||||||||||||
Waters Corporation* | 3,396 | 435,978 | 1.1 | % | ||||||||
Machinery | ||||||||||||
Caterpillar Inc. | 10,733 | 910,373 | 2.2 | % | ||||||||
Deere & Company | 6,423 | 623,352 | 1.5 | % | ||||||||
Illinois Tool Works, Inc. | 963 | 88,394 | 0.2 | % | ||||||||
Pall Corporation | 863 | 107,400 | 0.3 | % | ||||||||
1,729,519 | 4.2 | % | ||||||||||
Media | ||||||||||||
DISH Network Corporation* | 3,410 | 230,891 | 0.6 | % | ||||||||
Gannett Co, Inc.* | 2,691 | 37,640 | 0.1 | % | ||||||||
Omnicom Group Inc. | 4,300 | 298,807 | 0.7 | % | ||||||||
Tegna, Inc. | 5,381 | 172,569 | 0.4 | % | ||||||||
739,907 | 1.8 | % | ||||||||||
Multiline Retail | ||||||||||||
Kohl’s Corporation | 2,860 | 179,065 | 0.5 | % | ||||||||
Macy’s, Inc. | 3,855 | 260,097 | 0.6 | % | ||||||||
Nordstrom, Inc. | 3,477 | 259,036 | 0.6 | % | ||||||||
698,198 | 1.7 | % | ||||||||||
Multi-Utilities | ||||||||||||
CMS Energy Corporation | 2,560 | 81,510 | 0.2 | % | ||||||||
Oil, Gas & Consumable Fuels | ||||||||||||
Chevron Corporation | 893 | 86,147 | 0.2 | % | ||||||||
Exxon Mobil Corporation | 3,274 | 272,397 | 0.7 | % | ||||||||
Marathon Petroleum Corporation | 9,012 | 471,418 | 1.1 | % | ||||||||
Murphy Oil Corporation | 3,552 | 147,657 | 0.4 | % | ||||||||
Tesoro Corporation | 4,703 | 396,980 | 1.0 | % | ||||||||
Valero Energy Corporation | 2,737 | 171,336 | 0.4 | % | ||||||||
1,545,935 | 3.8 | % | ||||||||||
Personal Products | ||||||||||||
Coty, Inc. – Class A | 3,506 | 112,087 | 0.3 | % |
The accompanying notes are an integral part of these financial statements.
Page 6
Baird LargeCap Fund
Schedule of Investments, June 30, 2015 (Unaudited)
Common Stocks (cont.)
% of | ||||||||||||
Shares | Value | Net Assets | ||||||||||
Pharmaceuticals | ||||||||||||
AbbVie Inc. | 13,814 | $ | 928,163 | 2.3 | % | |||||||
Johnson & Johnson | 2,343 | 228,349 | 0.6 | % | ||||||||
Merck & Co., Inc. | 2,871 | 163,446 | 0.4 | % | ||||||||
Pfizer Inc. | 9,942 | 333,355 | 0.8 | % | ||||||||
1,653,313 | 4.1 | % | ||||||||||
Real Estate Investment Trusts (REITs) | ||||||||||||
American Capital Agency Corporation | 7,341 | 134,854 | 0.3 | % | ||||||||
Road & Rail | ||||||||||||
Hertz Global Holdings, Inc.* | 2,692 | 48,779 | 0.1 | % | ||||||||
Union Pacific Corporation | 1,963 | 187,211 | 0.5 | % | ||||||||
235,990 | 0.6 | % | ||||||||||
Semiconductors & Semiconductor Equipment | ||||||||||||
Intel Corporation | 24,279 | 738,446 | 1.8 | % | ||||||||
KLA-Tencor Corp. | 8,093 | 454,908 | 1.1 | % | ||||||||
Linear Technology Corporation | 1,719 | 76,031 | 0.2 | % | ||||||||
Maxim Integrated Products, Inc. | 5,104 | 176,471 | 0.4 | % | ||||||||
Microchip Technology Incorporated | 3,474 | 164,755 | 0.4 | % | ||||||||
Micron Technology, Inc.* | 2,385 | 44,933 | 0.1 | % | ||||||||
NXP Semiconductors N.V.* f | 6,007 | 589,887 | 1.5 | % | ||||||||
Xilinx, Inc. | 1,880 | 83,021 | 0.2 | % | ||||||||
2,328,452 | 5.7 | % | ||||||||||
Software | ||||||||||||
Amdocs Ltd. f | 1,594 | 87,016 | 0.2 | % | ||||||||
Citrix Systems, Inc.* | 3,577 | 250,962 | 0.6 | % | ||||||||
Electronic Arts Inc.* | 6,132 | 407,778 | 1.0 | % | ||||||||
Microsoft Corporation | 1,777 | 78,455 | 0.2 | % | ||||||||
Oracle Corporation | 23,545 | 948,864 | 2.4 | % | ||||||||
1,773,075 | 4.4 | % | ||||||||||
Specialty Retail | ||||||||||||
Foot Locker, Inc. | 1,401 | 93,881 | 0.2 | % | ||||||||
The Gap, Inc. | 2,190 | 83,592 | 0.2 | % | ||||||||
L Brands, Inc. | 1,759 | 150,799 | 0.4 | % | ||||||||
Lowe’s Companies, Inc. | 1,230 | 82,373 | 0.2 | % | ||||||||
410,645 | 1.0 | % | ||||||||||
Technology Hardware, Storage & Peripherals | ||||||||||||
Apple Inc. | 4,026 | 504,961 | 1.3 | % | ||||||||
Hewlett-Packard Company | 17,821 | 534,808 | 1.3 | % | ||||||||
NetApp, Inc. | 8,250 | 260,370 | 0.6 | % |
The accompanying notes are an integral part of these financial statements.
Page 7
Baird LargeCap Fund
Schedule of Investments, June 30, 2015 (Unaudited)
Common Stocks (cont.)
% of | ||||||||||||
Shares | Value | Net Assets | ||||||||||
Technology Hardware, Storage & Peripherals (cont.) | ||||||||||||
Seagate Technology Public Limited Company f | 8,604 | $ | 408,690 | 1.0 | % | |||||||
Western Digital Corporation | 851 | 66,736 | 0.2 | % | ||||||||
1,775,565 | 4.4 | % | ||||||||||
Total Common Stocks | ||||||||||||
(Cost $35,551,552) | 38,320,683 | 94.4 | % | |||||||||
Contingent Value Rights | ||||||||||||
Contingent Value Rights | ||||||||||||
Safeway CASA LEY CVR*^+ | 2,216 | 2,249 | 0.0 | % | ||||||||
Safeway PDC LLC CVR*^+ | 2,216 | 108 | 0.0 | % | ||||||||
Total Contingent Value Rights | ||||||||||||
(Cost $0) | 2,357 | 0.0 | % | |||||||||
Exchange Traded Fund | ||||||||||||
Exchange Traded Fund | ||||||||||||
SPDR S&P 500 | 8,753 | 1,801,805 | 4.5 | % | ||||||||
Total Exchange Traded Fund | ||||||||||||
(Cost $1,842,340) | 1,801,805 | 4.5 | % | |||||||||
Short-Term Investment | ||||||||||||
Money Market Mutual Fund | ||||||||||||
Short-Term Investments Trust – | ||||||||||||
Liquid Assets Portfolio, 0.10%« | 423,711 | 423,711 | 1.0 | % | ||||||||
Total Short-Term Investments | ||||||||||||
(Cost $423,711) | 423,711 | 1.0 | % | |||||||||
Total Investments | ||||||||||||
(Cost $37,817,603) | 40,548,556 | 99.9 | % | |||||||||
Other Assets in Excess of Liabilities | 48,164 | 0.1 | % | |||||||||
TOTAL NET ASSETS | $ | 40,596,720 | 100.0 | % |
Notes to Schedule of Investments
* | Non-Income Producing |
f | Foreign Security |
« | 7-Day Yield |
^ | Illiquid Security |
+ | Priced at Fair Value by the Valuation Committee as delegated by the Baird Funds’ Board of Directors. |
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 an integral part of these financial statements.
Page 8
Baird LargeCap Fund
Schedule of Investments, June 30, 2015 (Unaudited)
Summary of Fair Value Exposure at June 30, 2015 (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. 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, 2015:
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Equity | ||||||||||||||||
Common Stocks | $ | 38,320,683 | $ | — | $ | — | $ | 38,320,683 | ||||||||
Total Equity | 38,320,683 | — | — | 38,320,683 | ||||||||||||
Contingent Value Rights | ||||||||||||||||
Contingent Value Rights | — | — | 2,357 | 2,357 | ||||||||||||
Total Contingent Value Rights | — | — | 2,357 | 2,357 | ||||||||||||
Exchange Traded Fund | ||||||||||||||||
Exchange Traded Fund | 1,801,805 | — | — | 1,801,805 | ||||||||||||
Total Exchange Traded Fund | 1,801,805 | — | — | 1,801,805 | ||||||||||||
Short-Term Investment | ||||||||||||||||
Money Market Mutual Fund | 423,711 | — | — | 423,711 | ||||||||||||
Total Short-Term Investment | 423,711 | — | — | 423,711 | ||||||||||||
Total Investments* | $ | 40,546,199 | $ | — | $ | 2,357 | $ | 40,548,556 |
* | Additional information regarding the industry classifications of these investments is disclosed in the Schedule of Investments. |
The accompanying notes are an integral part of these financial statements.
Page 9
Baird LargeCap Fund
Schedule of Investments, June 30, 2015 (Unaudited)
Summary of Fair Value Exposure at June 30, 2015 (Unaudited) (cont.)
Changes in valuation techniques may result in transfers into or out of current assigned levels within the hierarchy. Two securities with a fair value of $2,357 were acquired during the period as a result of a corporate action. Both securities that are priced at fair value by the Valuation Committee instead of the Fund’s pricing vendor are valued using level 3 inputs. There were no other 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. For purposes of the reconciliation below, these securities are being presented as transfers into Level 3.
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, 2014 | $ | — | |||
Accrued discounts/premiums | — | ||||
Realized gain (loss) | — | ||||
Change in unrealized appreciation (depreciation) | — | ||||
Purchases | — | ||||
Sales | — | ||||
Transfers in and/or out of Level 3* | 2,357 | ||||
Balance as of June 30, 2015 | $ | 2,357 |
* Transfers between levels are recognized at the end of the reporting period.
The accompanying notes are an integral part of these financial statements.
Page 10
Baird MidCap Fund
June 30, 2015 (Unaudited)
Portfolio Characteristics
A June 30, 2015 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** | ||
LKQ Corporation | 2.5% | ||
Fortinet, Inc. | 2.5% | ||
Tractor Supply Company | 2.5% | ||
Acuity Brands, Inc. | 2.5% | ||
Affiliated Managers Group, Inc. | 2.4% | ||
Stericycle, Inc. | 2.4% | ||
Acadia Healthcare Company, Inc. | 2.3% | ||
Perrigo Company PLC | 2.3% | ||
Alliance Data Systems Corporation | 2.3% | ||
AO Smith Corporation | 2.2% | ||
Net Assets: | $1,352,389,413 | ||
Portfolio Turnover Rate: | 25.3% | † | |
Number of Equity Holdings: | 58 | ||
Annualized Portfolio Expense Ratio:*** | |||
Gross | |||
Institutional Class: | 0.87% | ||
Investor Class: | 1.12% | **** | |
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, 2015. | |
** | Percentages shown in parentheses relate to the Fund’s total market value of investments as of June 30, 2015, 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, 2016. | |
**** | Includes 0.25% 12b-1 fee. | |
† | Not annualized. |
Page 11
Baird MidCap Fund
June 30, 2015 (Unaudited)
Total Returns
Average Annual | |||||
Since | |||||
For the Periods Ended June 30, 2015 | Six Months | One Year | Five Years | Ten Years | Inception(1) |
Institutional Class Shares | 4.05% | 6.06% | 17.28% | 9.72% | 7.08% |
Investor Class Shares | 3.94% | 5.82% | 17.02% | 9.45% | 6.83% |
Russell MidCap® Growth Index(2) | 4.18% | 9.45% | 18.69% | 9.69% | 6.18% |
(1) | For the period from December 29, 2000 (inception date) through June 30, 2015. |
(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 12
Baird MidCap Fund
Schedule of Investments, June 30, 2015 (Unaudited)
Common Stocks
% of | ||||||||||||
Shares | Value | Net Assets | ||||||||||
Banks | ||||||||||||
East West Bancorp, Inc. | 602,731 | $ | 27,014,403 | 2.0 | % | |||||||
Building Products | ||||||||||||
AO Smith Corporation | 407,760 | 29,350,565 | 2.2 | % | ||||||||
Fortune Brands Home & Security, Inc. | 292,984 | 13,424,527 | 1.0 | % | ||||||||
42,775,092 | 3.2 | % | ||||||||||
Capital Markets | ||||||||||||
Affiliated Managers Group, Inc.* | 150,461 | 32,890,775 | 2.4 | % | ||||||||
Greenhill & Co., Inc. | 506,664 | 20,940,423 | 1.5 | % | ||||||||
Invesco Limited f | 283,965 | 10,645,848 | 0.8 | % | ||||||||
Northern Trust Corporation | 133,225 | 10,186,383 | 0.8 | % | ||||||||
74,663,429 | 5.5 | % | ||||||||||
Chemicals | ||||||||||||
Airgas, Inc. | 181,523 | 19,201,503 | 1.4 | % | ||||||||
Commercial Services & Supplies | ||||||||||||
Stericycle, Inc.* | 240,448 | 32,198,392 | 2.4 | % | ||||||||
Distributors | ||||||||||||
LKQ Corporation* | 1,138,864 | 34,444,942 | 2.5 | % | ||||||||
Electrical Equipment | ||||||||||||
Acuity Brands, Inc. | 186,066 | 33,488,159 | 2.5 | % | ||||||||
Rockwell Automation, Inc. | 185,805 | 23,158,735 | 1.7 | % | ||||||||
56,646,894 | 4.2 | % | ||||||||||
Electronic Equipment, Instruments & Components | ||||||||||||
Trimble Navigation Limited* | 681,799 | 15,995,005 | 1.2 | % | ||||||||
Energy Equipment & Services | ||||||||||||
Oceaneering International, Inc. | 341,880 | 15,928,189 | 1.2 | % | ||||||||
Food & Staples Retailing | ||||||||||||
United Natural Foods, Inc.* | 312,382 | 19,892,486 | 1.5 | % | ||||||||
Food Products | ||||||||||||
Mccormick & Co, Inc. | 296,353 | 23,989,776 | 1.8 | % | ||||||||
Mead Johnson Nutrition Company | 147,028 | 13,264,866 | 1.0 | % | ||||||||
37,254,642 | 2.8 | % | ||||||||||
Health Care Equipment & Supplies | ||||||||||||
The Cooper Companies, Inc. | 77,286 | 13,754,590 | 1.0 | % | ||||||||
Globus Medical, Inc.* | 518,808 | 13,317,801 | 1.0 | % | ||||||||
27,072,391 | 2.0 | % |
The accompanying notes are an integral part of these financial statements.
Page 13
Baird MidCap Fund
Schedule of Investments, June 30, 2015 (Unaudited)
Common Stocks (cont.)
% of | ||||||||||||
Shares | Value | Net Assets | ||||||||||
Health Care Providers & Services | ||||||||||||
Acadia Healthcare Company, Inc.* | 402,365 | $ | 31,517,251 | 2.3 | % | |||||||
Envision Healthcare Holdings, Inc.* | 529,077 | 20,887,960 | 1.6 | % | ||||||||
Laboratory Corporation of America Holdings* | 170,997 | 20,728,256 | 1.5 | % | ||||||||
73,133,467 | 5.4 | % | ||||||||||
Health Care Technology | ||||||||||||
Cerner Corporation* | 328,891 | 22,713,212 | 1.7 | % | ||||||||
Hotels Restaurants & Leisure | ||||||||||||
Buffalo Wild Wings, Inc.* | 148,058 | 23,199,208 | 1.7 | % | ||||||||
Household Durables | ||||||||||||
Harman International Industries, Inc. | 198,859 | 23,652,289 | 1.7 | % | ||||||||
Household Products | ||||||||||||
Church & Dwight Co., Inc. | 337,357 | 27,369,773 | 2.0 | % | ||||||||
Internet & Catalog Retail | ||||||||||||
HomeAway, Inc.* | 704,326 | 21,918,625 | 1.6 | % | ||||||||
Internet Software & Services | ||||||||||||
Envestnet, Inc.* | 304,380 | 12,306,083 | 0.9 | % | ||||||||
IT Services | ||||||||||||
Alliance Data Systems Corporation* | 104,349 | 30,463,647 | 2.3 | % | ||||||||
Fiserv, Inc.* | 328,763 | 27,231,439 | 2.0 | % | ||||||||
Gartner, Inc.* | 329,124 | 28,232,257 | 2.1 | % | ||||||||
Genpact Ltd.*f | 1,091,134 | 23,273,888 | 1.7 | % | ||||||||
109,201,231 | 8.1 | % | ||||||||||
Leisure Products | ||||||||||||
Hasbro, Inc. | 366,481 | 27,409,114 | 2.0 | % | ||||||||
Polaris Industries, Inc. | 166,381 | 24,642,690 | 1.8 | % | ||||||||
52,051,804 | 3.8 | % | ||||||||||
Machinery | ||||||||||||
The Middleby Corporation* | 225,393 | 25,295,857 | 1.8 | % | ||||||||
WABCO Holdings, Inc.* | 192,849 | 23,859,278 | 1.8 | % | ||||||||
49,155,135 | 3.6 | % | ||||||||||
Multiline Retail | ||||||||||||
Burlington Stores, Inc.* | 463,577 | 23,735,142 | 1.8 | % | ||||||||
Oil, Gas & Consumable Fuels | ||||||||||||
Concho Resources, Inc.* | 199,293 | 22,691,501 | 1.7 | % | ||||||||
Southwestern Energy Company* | 764,543 | 17,378,062 | 1.3 | % | ||||||||
40,069,563 | 3.0 | % |
The accompanying notes are an integral part of these financial statements.
Page 14
Baird MidCap Fund
Schedule of Investments, June 30, 2015 (Unaudited)
Common Stocks (cont.)
% of | ||||||||||||
Shares | Value | Net Assets | ||||||||||
Pharmaceuticals | ||||||||||||
Akorn, Inc.* | 223,892 | $ | 9,775,125 | 0.7 | % | |||||||
Perrigo Company PLC f | 169,141 | 31,262,331 | 2.3 | % | ||||||||
41,037,456 | 3.0 | % | ||||||||||
Road & Rail | ||||||||||||
J.B. Hunt Transport Services, Inc. | 323,460 | 26,552,831 | 2.0 | % | ||||||||
Semiconductors & Semiconductor Equipment | ||||||||||||
Integrated Device Technology, Inc.* | 1,301,583 | 28,244,351 | 2.1 | % | ||||||||
Skyworks Solutions, Inc. | 139,903 | 14,563,902 | 1.1 | % | ||||||||
42,808,253 | 3.2 | % | ||||||||||
Software | ||||||||||||
ANSYS, Inc.* | 182,023 | 16,607,779 | 1.2 | % | ||||||||
Fortinet, Inc.* | 821,930 | 33,970,367 | 2.5 | % | ||||||||
ServiceNow, Inc.* | 267,711 | 19,893,604 | 1.5 | % | ||||||||
Synopsys, Inc.* | 283,750 | 14,371,938 | 1.1 | % | ||||||||
The Ultimate Software Group, Inc.* | 149,595 | 24,584,442 | 1.8 | % | ||||||||
109,428,130 | 8.1 | % | ||||||||||
Specialty Retail | ||||||||||||
Dick’s Sporting Goods, Inc. | 227,620 | 11,783,888 | 0.9 | % | ||||||||
O’Reilly Automotive, Inc.* | 122,328 | 27,643,682 | 2.0 | % | ||||||||
Sally Beauty Holdings, Inc.* | 428,043 | 13,517,598 | 1.0 | % | ||||||||
Tiffany & Co. | 270,293 | 24,812,897 | 1.8 | % | ||||||||
Tractor Supply Company | 373,077 | 33,554,545 | 2.5 | % | ||||||||
111,312,610 | 8.2 | % | ||||||||||
Textiles, Apparel & Luxury Goods | ||||||||||||
Under Armour, Inc. – Class A* | 269,788 | 22,511,111 | 1.7 | % | ||||||||
Trading Companies & Distributors | ||||||||||||
Fastenal Company | 573,959 | 24,209,591 | 1.8 | % | ||||||||
United Rentals, Inc.* | 240,047 | 21,032,918 | 1.5 | % | ||||||||
Watsco, Inc. | 161,148 | 19,940,453 | 1.5 | % | ||||||||
65,182,962 | 4.8 | % | ||||||||||
Total Common Stocks | ||||||||||||
(Cost $1,121,618,947) | 1,300,426,253 | 96.2 | % |
The accompanying notes are an integral part of these financial statements.
Page 15
Baird MidCap Fund
Schedule of Investments, June 30, 2015 (Unaudited)
Short-Term Investments
% of | ||||||||||||
Shares | Value | Net Assets | ||||||||||
Money Market Mutual Funds | ||||||||||||
Dreyfus Institutional Cash Advantage Fund, 0.08%« | 27,988,344 | $ | 27,988,344 | 2.1 | % | |||||||
Short-Term Investments Trust – | ||||||||||||
Liquid Assets Portfolio, 0.10%« | 26,000,000 | 26,000,000 | 1.9 | % | ||||||||
Total Short-Term Investments | ||||||||||||
(Cost $53,988,344) | 53,988,344 | 4.0 | % | |||||||||
Total Investments | ||||||||||||
(Cost $1,175,607,291) | 1,354,414,597 | 100.2 | % | |||||||||
Liabilities in Excess of Other Assets | (2,025,184 | ) | (0.2 | )% | ||||||||
TOTAL NET ASSETS | $ | 1,352,389,413 | 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 an integral part of these financial statements.
Page 16
Baird MidCap Fund
Schedule of Investments, June 30, 2015 (Unaudited)
Summary of Fair Value Exposure at June 30, 2015 (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. 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, 2015:
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Equity | ||||||||||||||||
Common Stocks | $ | 1,300,426,253 | $ | — | $ | — | $ | 1,300,426,253 | ||||||||
Total Equity | 1,300,426,253 | — | — | 1,300,426,253 | ||||||||||||
Short-Term Investments | ||||||||||||||||
Money Market Mutual Funds | 53,988,344 | — | — | 53,988,344 | ||||||||||||
Total Short-Term Investments | 53,988,344 | — | — | 53,988,344 | ||||||||||||
Total Investments* | $ | 1,354,414,597 | $ | — | $ | — | $ | 1,354,414,597 |
* | 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 assigned levels within the fair value 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 an integral part of these financial statements.
Page 17
Baird SmallCap Value Fund
June 30, 2015 (Unaudited)
Portfolio Characteristics
A June 30, 2015 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** | ||
Integrated Device Technology, Inc. | 4.9% | ||
Pinnacle Foods, Inc. | 4.7% | ||
Qorvo, Inc. | 4.4% | ||
Motorcar Parts of America, Inc. | 4.1% | ||
Diamond Hill Investment Group, Inc. | 4.1% | ||
Bofi Holding, Inc. | 3.7% | ||
Hilltop Holdings, Inc. | 3.4% | ||
LTC Properties, Inc. | 3.2% | ||
PrivateBancorp, Inc. | 3.0% | ||
j2 Global, Inc. | 2.9% | ||
Net Assets: | $26,715,351 | ||
Portfolio Turnover Rate: | 10.7% | † | |
Number of Equity Holdings: | 41 | ||
Annualized Portfolio Expense Ratio:*** | |||
Gross | |||
Institutional Class: | 1.55% | ||
Investor Class: | 1.80% | **** | |
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, 2015. | |
** | Percentages shown in parentheses relate to the Fund’s total market value of investments as of June 30, 2015, 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, 2016. | |
**** | Includes 0.25% 12b-1 fee. | |
† | Not annualized. |
Page 18
Baird SmallCap Value Fund
June 30, 2015 (Unaudited)
Total Returns
Average Annual | ||||
Since | ||||
For the Periods Ended June 30, 2015 | Six Months | One Year | Three Year | Inception(1) |
Institutional Class Shares | 2.46% | -0.17% | 15.02% | 13.41% |
Investor Class Shares | 2.32% | -0.46% | 14.75% | 13.12% |
Russell 2000® Value Index(2) | 0.76% | 0.78% | 15.50% | 14.05% |
(1) | For the period from May 1, 2012 (inception date) through June 30, 2015. |
(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 19
Baird SmallCap Value Fund
Schedule of Investments, June 30, 2015 (Unaudited)
Common Stocks
% of | ||||||||||||
Shares | Value | Net Assets | ||||||||||
Aerospace & Defense | ||||||||||||
Hexcel Corporation | 12,456 | $ | 619,561 | 2.3 | % | |||||||
Auto Components | ||||||||||||
Drew Industries, Inc.* | 4,937 | 286,445 | 1.1 | % | ||||||||
Motorcar Parts of America, Inc.* | 36,700 | 1,104,303 | 4.1 | % | ||||||||
1,390,748 | 5.2 | % | ||||||||||
Banks | ||||||||||||
Hilltop Holdings, Inc.* | 37,565 | 904,941 | 3.4 | % | ||||||||
PrivateBancorp, Inc. | 20,102 | 800,461 | 3.0 | % | ||||||||
Texas Capital Bancshares, Inc.* | 9,632 | 599,496 | 2.2 | % | ||||||||
2,304,898 | 8.6 | % | ||||||||||
Building Products | ||||||||||||
Patrick Industries, Inc.* | 10,378 | 394,883 | 1.5 | % | ||||||||
Capital Markets | ||||||||||||
Diamond Hill Investment Group, Inc. | 5,466 | 1,091,342 | 4.1 | % | ||||||||
Commercial Services & Supplies | ||||||||||||
Deluxe Corporation | 5,969 | 370,078 | 1.4 | % | ||||||||
Construction & Engineering | ||||||||||||
Quanta Services, Inc.* | 18,456 | 531,902 | 2.0 | % | ||||||||
Consumer Finance | ||||||||||||
Encore Capital Group, Inc.* | 12,178 | 520,488 | 1.9 | % | ||||||||
PRA Group, Inc.* | 9,514 | 592,817 | 2.2 | % | ||||||||
1,113,305 | 4.1 | % | ||||||||||
Diversified Consumer Services | ||||||||||||
Steiner Leisure Ltd.*f | 8,585 | 461,701 | 1.7 | % | ||||||||
Electric Utilities | ||||||||||||
UIL Holdings Corporation | 13,846 | 634,424 | 2.4 | % | ||||||||
Electrical Equipment | ||||||||||||
Generac Holdings, Inc.* | 10,598 | 421,270 | 1.6 | % | ||||||||
Electronic Equipment, Instruments & Components | ||||||||||||
Knowles Corporation* | 29,105 | 526,800 | 2.0 | % | ||||||||
Energy Equipment & Services | ||||||||||||
Pacific Drilling SA*f | 56,960 | 159,488 | 0.6 | % | ||||||||
Food Products | ||||||||||||
Pinnacle Foods, Inc. | 27,514 | 1,252,988 | 4.7 | % | ||||||||
Gas Utilities | ||||||||||||
South Jersey Industries, Inc. | 17,258 | 426,790 | 1.6 | % |
The accompanying notes are an integral part of these financial statements.
Page 20
Baird SmallCap Value Fund
Schedule of Investments, June 30, 2015 (Unaudited)
Common Stocks (cont.)
% of | ||||||||||||
Shares | Value | Net Assets | ||||||||||
Health Care Equipment & Supplies | ||||||||||||
Alere, Inc.* | 8,482 | $ | 447,426 | 1.7 | % | |||||||
ICU Medical, Inc.* | 7,108 | 679,951 | 2.5 | % | ||||||||
1,127,377 | 4.2 | % | ||||||||||
Hotels, Restaurants & Leisure | ||||||||||||
Diamond Resorts International, Inc.* | 17,227 | 543,512 | 2.0 | % | ||||||||
Internet & Catalog Retail | ||||||||||||
Lands’ End, Inc.* | 23,535 | 584,374 | 2.2 | % | ||||||||
Internet Software & Services | ||||||||||||
j2 Global, Inc. | 11,391 | 773,905 | 2.9 | % | ||||||||
Oil, Gas & Consumable Fuels | ||||||||||||
Dorian LPG Ltd.*f | 27,386 | 456,799 | 1.7 | % | ||||||||
Navigator Holdings Ltd.*f | 20,816 | 394,255 | 1.5 | % | ||||||||
Targa Resources Corporation | 7,092 | 632,748 | 2.4 | % | ||||||||
1,483,802 | 5.6 | % | ||||||||||
Real Estate Investment Trusts (REITs) | ||||||||||||
BioMed Realty Trust, Inc. | 23,229 | 449,249 | 1.7 | % | ||||||||
Blackstone Mortgage Trust, Inc. | 22,846 | 635,576 | 2.4 | % | ||||||||
Capstead Mortgage Corporation | 29,275 | 324,952 | 1.2 | % | ||||||||
DiamondRock Hospitality Co. | 44,186 | 566,023 | 2.1 | % | ||||||||
Hatteras Financial Corporation | 19,975 | 325,593 | 1.2 | % | ||||||||
Hersha Hospitality Trust | 17,797 | 456,321 | 1.7 | % | ||||||||
LTC Properties, Inc. | 20,350 | 846,560 | 3.2 | % | ||||||||
3,604,274 | 13.5 | % | ||||||||||
Road & Rail | ||||||||||||
Universal Truckload Services, Inc. | 25,972 | 570,345 | 2.1 | % | ||||||||
Semiconductors & Semiconductor Equipment | ||||||||||||
Integrated Device Technology, Inc.* | 60,293 | 1,308,358 | 4.9 | % | ||||||||
Qorvo, Inc.* | 14,774 | 1,185,909 | 4.4 | % | ||||||||
Synaptics, Inc.* | 7,996 | 693,533 | 2.6 | % | ||||||||
3,187,800 | 11.9 | % | ||||||||||
Specialty Retail | ||||||||||||
Lithia Motors, Inc. | 5,914 | 669,228 | 2.5 | % | ||||||||
Thrifts & Mortgage Finance | ||||||||||||
Bofi Holding, Inc.* | 9,212 | 973,800 | 3.7 | % | ||||||||
Capitol Federal Financial, Inc. | 20,442 | 246,122 | 0.9 | % | ||||||||
1,219,922 | 4.6 | % | ||||||||||
Total Common Stocks | ||||||||||||
(Cost $20,915,852) | 25,464,717 | 95.3 | % |
The accompanying notes are an integral part of these financial statements.
Page 21
Baird SmallCap Value Fund
Schedule of Investments, June 30, 2015 (Unaudited)
Short-Term Investments
% of | ||||||||||||
Shares | Value | Net Assets | ||||||||||
Money Market Mutual Funds | ||||||||||||
Dreyfus Institutional Cash Advantage Fund, 0.08%« | 688,143 | $ | 688,143 | 2.6 | % | |||||||
Short-Term Investments Trust – | ||||||||||||
Liquid Assets Portfolio, 0.10%« | 500,000 | 500,000 | 1.9 | % | ||||||||
Total Short-Term Investments | ||||||||||||
(Cost $1,188,143) | 1,188,143 | 4.5 | % | |||||||||
Total Investments | ||||||||||||
(Cost $22,103,995) | 26,652,860 | 99.8 | % | |||||||||
Other Assets in Excess of Liabilities | 62,491 | 0.2 | % | |||||||||
TOTAL NET ASSETS | $ | 26,715,351 | 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 an integral part of these financial statements.
Page 22
Baird SmallCap Value Fund
Schedule of Investments, June 30, 2015 (Unaudited)
Summary of Fair Value Exposure at June 30, 2015 (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. 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, 2015:
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Equity | ||||||||||||||||
Common Stocks | $ | 25,464,717 | $ | — | $ | — | $ | 25,464,717 | ||||||||
Total Equity | 25,464,717 | — | — | 25,464,717 | ||||||||||||
Short-Term Investments | ||||||||||||||||
Money Market Mutual Funds | 1,188,143 | — | — | 1,188,143 | ||||||||||||
Total Short-Term Investments | 1,188,143 | — | — | 1,188,143 | ||||||||||||
Total Investments* | $ | 26,652,860 | $ | — | $ | — | $ | 26,652,860 |
* | 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 assigned levels within the fair value 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 an integral part of these financial statements.
Page 23
Additional Information on Fund Expenses
June 30, 2015 (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 (1/1/15 – 6/30/15).
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 24
Additional Information on Fund Expenses
June 30, 2015 (Unaudited)
Actual vs. Hypothetical Returns
For the Six Months Ended June 30, 2015
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) | 1/1/15 | 6/30/15 | Period(1) | 6/30/15 | Period(1) | |
Baird LargeCap Fund | ||||||
Institutional Class | 0.75% | $1,000.00 | $ 998.90 | $3.72 | $1,021.08 | $3.76 |
Investor Class | 1.00% | $1,000.00 | $ 996.60 | $4.95 | $1,019.84 | $5.01 |
Baird MidCap Fund | ||||||
Institutional Class | 0.85% | $1,000.00 | $1,040.50 | $4.30 | $1,020.58 | $4.26 |
Investor Class | 1.10% | $1,000.00 | $1,039.40 | $5.56 | $1,019.34 | $5.51 |
Baird SmallCap Value Fund | ||||||
Institutional Class | 1.00% | $1,000.00 | $1,024.60 | $5.02 | $1,019.84 | $5.01 |
Investor Class | 1.25% | $1,000.00 | $1,023.20 | $6.27 | $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 25
Statements of Assets and Liabilities
June 30, 2015 (Unaudited)
Baird | Baird | Baird | ||||||||||
LargeCap | MidCap | SmallCap | ||||||||||
Fund | Fund | Value Fund | ||||||||||
ASSETS: | ||||||||||||
Investments, at value (cost $37,817,603, | ||||||||||||
$1,175,607,291 and $22,103,995, respectively) | $ | 40,548,556 | $ | 1,354,414,597 | $ | 26,652,860 | ||||||
Dividends receivable | 40,229 | 168,766 | 64,272 | |||||||||
Interest receivable | 46 | 3,926 | 74 | |||||||||
Receivable for investments sold | – | 13,750,921 | – | |||||||||
Receivable for Fund shares sold | 27,500 | 8,814,854 | 31,025 | |||||||||
Prepaid expenses and other assets | 26,605 | 23,108 | 18,604 | |||||||||
Total assets | 40,642,936 | 1,377,176,172 | 26,766,835 | |||||||||
LIABILITIES: | ||||||||||||
Payable for securities purchased | – | 21,892,382 | – | |||||||||
Payable for Fund shares repurchased | 1,558 | 1,524,339 | 12,065 | |||||||||
Payable to Advisor and Distributor | 11,240 | 1,031,082 | 13,108 | |||||||||
Accrued expenses and other liabilities | 33,418 | 338,956 | 26,311 | |||||||||
Total liabilities | 46,216 | 24,786,759 | 51,484 | |||||||||
NET ASSETS | $ | 40,596,720 | $ | 1,352,389,413 | $ | 26,715,351 | ||||||
NET ASSETS CONSIST OF: | ||||||||||||
Capital stock | $ | 36,176,678 | $ | 1,176,992,210 | $ | 22,276,386 | ||||||
Accumulated undistributed net investment income (loss) | 239,896 | ( 1,765,770 | ) | 68,380 | ||||||||
Accumulated net realized gain (loss) on investments sold | 1,449,193 | (1,644,333 | ) | (178,280 | ) | |||||||
Net unrealized appreciation on investments | 2,730,953 | 178,807,306 | 4,548,865 | |||||||||
NET ASSETS | $ | 40,596,720 | $ | 1,352,389,413 | $ | 26,715,351 | ||||||
INSTITUTIONAL CLASS SHARES | ||||||||||||
Net Assets | $ | 39,226,894 | $ | 1,140,882,836 | $ | 24,427,742 | ||||||
Shares outstanding ($0.01 par value, | ||||||||||||
unlimited shares authorized) | 4,400,032 | 70,409,814 | 1,724,980 | |||||||||
Net asset value, offering and | ||||||||||||
redemption price per share | $ | 8.92 | $ | 16.20 | $ | 14.16 | ||||||
INVESTOR CLASS SHARES | ||||||||||||
Net Assets | $ | 1,369,826 | $ | 211,506,577 | $ | 2,287,609 | ||||||
Shares outstanding ($0.01 par value, | ||||||||||||
unlimited shares authorized) | 154,908 | 13,604,106 | 162,210 | |||||||||
Net asset value, offering and | ||||||||||||
redemption price per share | $ | 8.84 | $ | 15.55 | $ | 14.10 |
The accompanying notes are an integral part of these financial statements.
Page 26
Statements of Operations
Six Months Ended June 30, 2015 (Unaudited)
Baird | Baird | Baird | ||||||||||
LargeCap | MidCap | SmallCap | ||||||||||
Fund | Fund | Value Fund | ||||||||||
INVESTMENT INCOME: | ||||||||||||
Dividends (net of foreign taxes withheld | ||||||||||||
of $0, $4,378 and $0, respectively) | $ | 389,926 | $ | 3,731,826 | $ | 198,874 | ||||||
Interest | 310 | 18,425 | 403 | |||||||||
Other income | 3,443 | 11,894 | — | |||||||||
Total investment income | 393,679 | 3,762,145 | 199,277 | |||||||||
EXPENSES: | ||||||||||||
Investment advisory fees | 131,704 | 4,649,121 | 108,963 | |||||||||
Administration fees | 2,207 | 54,818 | 1,364 | |||||||||
Shareholder servicing fees | 8,019 | 357,960 | 7,557 | |||||||||
Fund accounting fees | 8,407 | 39,032 | 7,800 | |||||||||
Professional fees | 19,424 | 20,949 | 19,374 | |||||||||
Federal and state registration | 26,154 | 78,128 | 20,153 | |||||||||
Directors fees | 24,629 | 25,129 | 24,429 | |||||||||
Custody fees | 3,767 | 19,794 | 2,249 | |||||||||
Reports to shareholders | 1,086 | 43,471 | 930 | |||||||||
Miscellaneous expenses | 420 | 1,758 | 408 | |||||||||
Distribution expense – Investor Class Shares (Note 8) | 1,660 | 258,911 | 2,706 | |||||||||
Total expenses | 227,477 | 5,549,071 | 195,933 | |||||||||
Fee waiver by Advisor (Note 5) | (73,694 | ) | (21,156 | ) | (65,036 | ) | ||||||
Net expenses | 153,783 | 5,527,915 | 130,897 | |||||||||
NET INVESTMENT INCOME (LOSS) | 239,896 | (1,765,770 | ) | 68,380 | ||||||||
REALIZED AND UNREALIZED | ||||||||||||
GAIN (LOSS) ON INVESTMENTS: | ||||||||||||
Net realized gain (loss) on investments | 1,084,709 | (2,284,898 | ) | (72,415 | ) | |||||||
Change in unrealized appreciation/depreciation | ||||||||||||
on investments | (1,426,505 | ) | 49,962,492 | 642,809 | ||||||||
Net realized and unrealized gain (loss) on investments | (341,796 | ) | 47,677,594 | 570,394 | ||||||||
NET INCREASE (DECREASE) IN NET ASSETS | ||||||||||||
RESULTING FROM OPERATIONS | $ | (101,900 | ) | $ | 45,911,824 | $ | 638,774 |
The accompanying notes are an integral part of these financial statements.
Page 27
Statement of Changes in Net Assets
Baird LargeCap Fund
Six Months Ended | ||||||||
June 30, 2015 | Year Ended | |||||||
(Unaudited) | December 31, 2014 | |||||||
OPERATIONS: | ||||||||
Net investment income | $ | 239,896 | $ | 361,522 | ||||
Net realized gain on investments | 1,084,709 | 837,245 | ||||||
Change in unrealized appreciation/depreciation | ||||||||
on investments | (1,426,505 | ) | 3,634,313 | |||||
Net increase (decrease) in net assets resulting from operations | (101,900 | ) | 4,833,080 | |||||
CAPITAL SHARE TRANSACTIONS: | ||||||||
Proceeds from shares sold | 5,404,973 | 13,065,266 | ||||||
Shares issued to holders in reinvestment of dividends | — | 824,279 | ||||||
Cost of shares redeemed | (4,881,855 | ) | (5,923,052 | ) | ||||
Net increase in net assets resulting | ||||||||
from capital share transactions | 523,118 | 7,966,493 | ||||||
DISTRIBUTIONS TO | ||||||||
INSTITUTIONAL CLASS SHAREHOLDERS: | ||||||||
From net investment income | — | (354,933 | ) | |||||
From net realized gains | — | (446,433 | ) | |||||
Total Distributions | — | (801,366 | ) | |||||
DISTRIBUTIONS TO | ||||||||
INVESTOR CLASS SHAREHOLDERS: | ||||||||
From net investment income | — | (9,164 | ) | |||||
From net realized gains | — | (13,750 | ) | |||||
Total Distributions | — | (22,914 | ) | |||||
TOTAL INCREASE IN NET ASSETS | 421,218 | 11,975,293 | ||||||
NET ASSETS: | ||||||||
Beginning of period | 40,175,502 | 28,200,209 | ||||||
End of period (including accumulated undistributed net | ||||||||
investment income of $239,896 and $0, respectively) | $ | 40,596,720 | $ | 40,175,502 |
The accompanying notes are an integral part of these financial statements.
Page 28
Statement of Changes in Net Assets
Baird MidCap Fund
Six Months Ended | ||||||||
June 30, 2015 | Year Ended | |||||||
(Unaudited) | December 31, 2014 | |||||||
OPERATIONS: | ||||||||
Net investment loss | $ | (1,765,770 | ) | $ | (2,059,677 | ) | ||
Net realized gain (loss) on investments | (2,284,898 | ) | 11,854,713 | |||||
Change in unrealized appreciation on investments | 49,962,492 | 31,922,782 | ||||||
Net increase in net assets resulting from operations | 45,911,824 | 41,717,818 | ||||||
CAPITAL SHARE TRANSACTIONS: | ||||||||
Proceeds from shares sold | 338,241,352 | 963,929,395 | ||||||
Shares issued to holders in reinvestment of dividends | — | 10,127,896 | ||||||
Cost of shares redeemed | (148,027,994 | ) | (317,272,798 | ) | ||||
Net increase in net assets resulting | ||||||||
from capital share transactions | 190,213,358 | 656,784,493 | ||||||
DISTRIBUTIONS TO | ||||||||
INSTITUTIONAL CLASS SHAREHOLDERS: | ||||||||
From net realized gains | — | (9,261,206 | ) | |||||
Total Distributions | — | (9,261,206 | ) | |||||
DISTRIBUTIONS TO | ||||||||
INVESTOR CLASS SHAREHOLDERS: | ||||||||
From net realized gains | — | (2,129,486 | ) | |||||
Total Distributions | — | (2,129,486 | ) | |||||
TOTAL INCREASE IN NET ASSETS | 236,125,182 | 687,111,619 | ||||||
NET ASSETS: | ||||||||
Beginning of period | 1,116,264,231 | 429,152,612 | ||||||
End of period (including accumulated net investment loss | ||||||||
of $(1,765,770) and $0, respectively) | $ | 1,352,389,413 | $ | 1,116,264,231 |
The accompanying notes are an integral part of these financial statements.
Page 29
Statement of Changes in Net Assets
Baird SmallCap Value Fund
Six Months Ended | ||||||||
June 30, 2015 | Year Ended | |||||||
(Unaudited) | December 31, 2014 | |||||||
OPERATIONS: | ||||||||
Net investment income | $ | 68,380 | $ | 82,969 | ||||
Net realized gain (loss) on investments | (72,415 | ) | 280,519 | |||||
Change in unrealized appreciation/depreciation | ||||||||
on investments | 642,809 | (211,518 | ) | |||||
Net increase in net assets resulting from operations | 638,774 | 151,970 | ||||||
CAPITAL SHARE TRANSACTIONS: | ||||||||
Proceeds from shares sold | 2,947,845 | 9,218,037 | ||||||
Shares issued to holders in reinvestment of dividends | — | 399,253 | ||||||
Cost of shares redeemed | (2,424,699 | ) | (3,881,622 | ) | ||||
Net increase in net assets resulting | ||||||||
from capital share transactions | 523,146 | 5,735,668 | ||||||
DISTRIBUTIONS TO | ||||||||
INSTITUTIONAL CLASS SHAREHOLDERS: | ||||||||
From net investment income | — | (76,463 | ) | |||||
From net realized gains | — | (340,398 | ) | |||||
Total Distributions | — | (416,861 | ) | |||||
DISTRIBUTIONS TO | ||||||||
INVESTOR CLASS SHAREHOLDERS: | ||||||||
From net investment income | — | (2,430 | ) | |||||
From net realized gains | — | (30,893 | ) | |||||
Total Distributions | — | (33,323 | ) | |||||
TOTAL INCREASE IN NET ASSETS | 1,161,920 | 5,437,454 | ||||||
NET ASSETS: | ||||||||
Beginning of period | 25,553,431 | 20,115,977 | ||||||
End of period (including accumulated undistributed net | ||||||||
investment income of $68,380 and $0, respectively) | $ | 26,715,351 | $ | 25,553,431 |
The accompanying notes are an integral part of these financial statements.
Page 30
Financial Highlights
Baird LargeCap Fund – Institutional Class
Six Months | ||||||||||||||||||||||||
Ended | ||||||||||||||||||||||||
June 30, 2015 | Year Ended December 31, | |||||||||||||||||||||||
(Unaudited) | 2014 | 2013(1) | 2012 | 2011 | 2010 | |||||||||||||||||||
Per Share Data: | ||||||||||||||||||||||||
Net asset value, | ||||||||||||||||||||||||
beginning of period | $ | 8.93 | $ | 7.92 | $ | 9.86 | $ | 8.71 | $ | 8.93 | $ | 7.57 | ||||||||||||
Income from | ||||||||||||||||||||||||
investment operations: | ||||||||||||||||||||||||
Net investment income | 0.05 | 0.09 | (2) | 0.03 | (2) | 0.04 | (2) | 0.01 | 0.01 | |||||||||||||||
Net realized and unrealized | ||||||||||||||||||||||||
gains (losses) on investments | (0.06 | ) | 1.10 | 3.16 | 1.15 | (0.22 | ) | 1.36 | ||||||||||||||||
Total from | ||||||||||||||||||||||||
investment operations | (0.01 | ) | 1.19 | 3.19 | 1.19 | (0.21 | ) | 1.37 | ||||||||||||||||
Less distributions: | ||||||||||||||||||||||||
Distributions from net | ||||||||||||||||||||||||
investment income | — | (0.08 | ) | (0.04 | ) | (0.04 | ) | (0.01 | ) | (0.01 | ) | |||||||||||||
Distributions from net | ||||||||||||||||||||||||
realized gains | — | (0.10 | ) | (5.09 | ) | — | — | — | ||||||||||||||||
Total distributions | — | (0.18 | ) | (5.13 | ) | (0.04 | ) | (0.01 | ) | (0.01 | ) | |||||||||||||
Net asset value, end of period | $ | 8.92 | $ | 8.93 | $ | 7.92 | $ | 9.86 | $ | 8.71 | $ | 8.93 | ||||||||||||
Total return | (0.11 | )%(3) | 15.09 | % | 32.68 | % | 13.62 | % | (2.34 | )% | 18.06 | % | ||||||||||||
Supplemental data and ratios: | ||||||||||||||||||||||||
Net assets, | ||||||||||||||||||||||||
end of period (millions) | $ | 39.2 | $ | 39.0 | $ | 28.0 | $ | 24.0 | $ | 20.5 | $ | 23.4 | ||||||||||||
Ratio of net expenses | ||||||||||||||||||||||||
to average net assets | 0.75 | %(4) | 0.75 | % | 0.75 | % | 0.75 | % | 0.75 | % | 0.75 | % | ||||||||||||
Ratio of net expenses | ||||||||||||||||||||||||
to average net assets | ||||||||||||||||||||||||
(before waivers) | 1.11 | %(4) | 1.17 | % | 1.24 | % | 1.34 | % | 1.35 | % | 1.40 | % | ||||||||||||
Ratio of net | ||||||||||||||||||||||||
investment income | ||||||||||||||||||||||||
to average net assets | 1.19 | %(4) | 1.08 | % | 0.28 | % | 0.37 | % | 0.12 | % | 0.14 | % | ||||||||||||
Ratio of net | ||||||||||||||||||||||||
investment income (loss) | ||||||||||||||||||||||||
to average net assets | ||||||||||||||||||||||||
(before waivers) | 0.83 | %(4) | 0.66 | % | (0.21 | )% | (0.22 | )% | (0.48 | )% | (0.51 | )% | ||||||||||||
Portfolio turnover rate(5) | 39.0 | %(3) | 88.2 | % | 127.7 | % | 39.2 | % | 38.2 | % | 52.0 | % |
(1) | Effective December 23, 2013, Baird Kailash Group, LLC became the Fund’s subadviser. |
(2) | Calculated using average shares outstanding during the year. |
(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 Baird LargeCap Fund’s portfolio turnover rate in 2013 was higher than previous years primarily due to the implementation of a new investment strategy for the Fund by Baird Kailash Group, LLC, the Fund’s subadviser. |
The accompanying notes are an integral part of these financial statements.
Page 31
Financial Highlights
Baird LargeCap Fund – Investor Class
Six Months | ||||||||||||||||||||||||
Ended | ||||||||||||||||||||||||
June 30, 2015 | Year Ended December 31, | |||||||||||||||||||||||
(Unaudited) | 2014 | 2013(1) | 2012 | 2011 | 2010 | |||||||||||||||||||
Per Share Data: | ||||||||||||||||||||||||
Net asset value, | ||||||||||||||||||||||||
beginning of period | $ | 8.87 | $ | 7.87 | $ | 9.82 | $ | 8.68 | $ | 8.91 | $ | 7.56 | ||||||||||||
Income from | ||||||||||||||||||||||||
investment operations: | ||||||||||||||||||||||||
Net investment income (loss) | 0.04 | 0.05 | (2) | 0.00 | (2)(3) | 0.01 | (2) | (0.01 | ) | (0.02 | ) | |||||||||||||
Net realized and unrealized | ||||||||||||||||||||||||
gains (losses) on investments | (0.07 | ) | 1.12 | 3.14 | 1.15 | (0.22 | ) | 1.37 | ||||||||||||||||
Total from | ||||||||||||||||||||||||
investment operations | (0.03 | ) | 1.17 | 3.14 | 1.16 | (0.23 | ) | 1.35 | ||||||||||||||||
Less distributions: | ||||||||||||||||||||||||
Distributions from net | ||||||||||||||||||||||||
investment income | — | (0.07 | ) | — | (0.02 | ) | — | — | ||||||||||||||||
Distributions from net | ||||||||||||||||||||||||
realized gains | — | (0.10 | ) | (5.09 | ) | — | — | — | ||||||||||||||||
Total distributions | — | (0.17 | ) | (5.09 | ) | (0.02 | ) | — | — | |||||||||||||||
Net asset value, end of period | $ | 8.84 | $ | 8.87 | $ | 7.87 | $ | 9.82 | $ | 8.68 | $ | 8.91 | ||||||||||||
Total return | (0.34 | )%(4) | 14.89 | % | 32.34 | % | 13.32 | % | (2.58 | )% | 17.86 | % | ||||||||||||
Supplemental data and ratios: | ||||||||||||||||||||||||
Net assets, | ||||||||||||||||||||||||
end of period (millions) | $ | 1.4 | $ | 1.2 | $ | 0.2 | $ | 0.4 | $ | 0.2 | $ | 0.1 | ||||||||||||
Ratio of net expenses | ||||||||||||||||||||||||
to average net assets | 1.00 | %(5) | 1.00 | % | 1.00 | % | 1.00 | % | 1.00 | % | 1.00 | % | ||||||||||||
Ratio of net expenses | ||||||||||||||||||||||||
to average net assets | ||||||||||||||||||||||||
(before waivers) | 1.36 | %(5) | 1.42 | % | 1.49 | % | 1.59 | % | 1.60 | % | 1.65 | % | ||||||||||||
Ratio of net | ||||||||||||||||||||||||
investment income (loss) | ||||||||||||||||||||||||
to average net assets | 0.94 | %(5) | 0.83 | % | 0.03 | % | 0.12 | % | (0.13 | )% | (0.11 | )% | ||||||||||||
Ratio of net | ||||||||||||||||||||||||
investment income (loss) | ||||||||||||||||||||||||
to average net assets | ||||||||||||||||||||||||
(before waivers) | 0.58 | %(5) | 0.41 | % | (0.46 | )% | (0.47 | )% | (0.73 | )% | (0.76 | )% | ||||||||||||
Portfolio turnover rate(6) | 39.0 | %(4) | 88.2 | % | 127.7 | % | 39.2 | % | 38.2 | % | 52.0 | % |
(1) | Effective December 23, 2013, Baird Kailash Group, LLC became the Fund’s subadviser. |
(2) | Calculated using average shares outstanding during the year. |
(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 Baird LargeCap Fund’s portfolio turnover rate in 2013 was higher than previous years primarily due to the implementation of a new investment strategy for the Fund by Baird Kailash Group, LLC, the Fund’s subadviser. |
The accompanying notes are an integral part of these financial statements.
Page 32
Financial Highlights
Baird MidCap Fund – Institutional Class
Six Months | ||||||||||||||||||||||||
Ended | ||||||||||||||||||||||||
June 30, 2015 | Year Ended December 31, | |||||||||||||||||||||||
(Unaudited) | 2014 | 2013 | 2012 | 2011 | 2010 | |||||||||||||||||||
Per Share Data: | ||||||||||||||||||||||||
Net asset value, | ||||||||||||||||||||||||
beginning of period | $ | 15.57 | $ | 15.00 | $ | 11.52 | $ | 9.98 | $ | 10.04 | $ | 7.90 | ||||||||||||
Income from | ||||||||||||||||||||||||
investment operations: | ||||||||||||||||||||||||
Net investment income (loss) | (0.02 | ) | (0.03 | )(1) | (0.01 | ) | 0.07 | (1) | (0.01 | )(1) | (0.01 | )(1) | ||||||||||||
Net realized and unrealized | ||||||||||||||||||||||||
gain on investments | 0.65 | 0.76 | 3.80 | 1.57 | 0.54 | 2.15 | ||||||||||||||||||
Total from | ||||||||||||||||||||||||
investment operations | 0.63 | 0.73 | 3.79 | 1.64 | 0.53 | 2.14 | ||||||||||||||||||
Less distributions: | ||||||||||||||||||||||||
Distributions from net | ||||||||||||||||||||||||
investment income | — | — | — | (0.04 | ) | — | — | |||||||||||||||||
Distributions from net | ||||||||||||||||||||||||
realized gains | — | (0.16 | ) | (0.31 | ) | (0.06 | ) | (0.59 | ) | — | ||||||||||||||
Total distributions | — | (0.16 | ) | (0.31 | ) | (0.10 | ) | (0.59 | ) | — | ||||||||||||||
Net asset value, end of period | $ | 16.20 | $ | 15.57 | $ | 15.00 | $ | 11.52 | $ | 9.98 | $ | 10.04 | ||||||||||||
Total return | 4.05 | %(2) | 4.85 | % | 32.90 | % | 16.49 | % | 5.19 | % | 27.09 | % | ||||||||||||
Supplemental data and ratios: | ||||||||||||||||||||||||
Net assets, | ||||||||||||||||||||||||
end of period (millions) | $ | 1,140.9 | $ | 910.9 | $ | 286.1 | $ | 137.2 | $ | 40.9 | $ | 33.4 | ||||||||||||
Ratio of net expenses | ||||||||||||||||||||||||
to average net assets | 0.85 | %(3) | 0.85 | % | 0.85 | % | 0.85 | % | 0.85 | % | 0.85 | % | ||||||||||||
Ratio of net expenses | ||||||||||||||||||||||||
to average net assets | ||||||||||||||||||||||||
(before waivers) | 0.85 | %(3) | 0.87 | % | 0.87 | % | 0.97 | % | 1.21 | % | 1.30 | % | ||||||||||||
Ratio of net | ||||||||||||||||||||||||
investment income (loss) | ||||||||||||||||||||||||
to average net assets | (0.24 | )%(3) | (0.17 | )% | (0.04 | )% | 0.65 | % | (0.10 | )% | (0.10 | )% | ||||||||||||
Ratio of net | ||||||||||||||||||||||||
investment income (loss) | ||||||||||||||||||||||||
to average net assets | ||||||||||||||||||||||||
(before waivers) | (0.24 | )%(3) | (0.19 | )% | (0.06 | )% | 0.53 | % | (0.46 | )% | (0.55 | )% | ||||||||||||
Portfolio turnover rate(4) | 25.3 | %(2) | 37.3 | % | 36.3 | % | 29.5 | % | 44.8 | % | 62.7 | % |
(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 an integral part of these financial statements.
Page 33
Financial Highlights
Baird MidCap Fund – Investor Class
Six Months | ||||||||||||||||||||||||
Ended | ||||||||||||||||||||||||
June 30, 2015 | Year Ended December 31, | |||||||||||||||||||||||
(Unaudited) | 2014 | 2013 | 2012 | 2011 | 2010 | |||||||||||||||||||
Per Share Data: | ||||||||||||||||||||||||
Net asset value, | ||||||||||||||||||||||||
beginning of period | $ | 14.96 | $ | 14.45 | $ | 11.13 | $ | 9.66 | $ | 9.76 | $ | 7.69 | ||||||||||||
Income from | ||||||||||||||||||||||||
investment operations: | ||||||||||||||||||||||||
Net investment income (loss) | (0.04 | ) | (0.06 | )(1) | (0.03 | ) | 0.04 | (1) | (0.03 | )(1) | (0.03 | )(1) | ||||||||||||
Net realized and unrealized | ||||||||||||||||||||||||
gain on investments | 0.63 | 0.73 | 3.66 | 1.52 | 0.52 | 2.10 | ||||||||||||||||||
Total from | ||||||||||||||||||||||||
investment operations | 0.59 | 0.67 | 3.63 | 1.56 | 0.49 | 2.07 | ||||||||||||||||||
Less distributions: | ||||||||||||||||||||||||
Distributions from net | ||||||||||||||||||||||||
investment income | — | — | — | (0.03 | ) | — | — | |||||||||||||||||
Distributions from net | ||||||||||||||||||||||||
realized gains | — | (0.16 | ) | (0.31 | ) | (0.06 | ) | (0.59 | ) | — | ||||||||||||||
Total distributions | — | (0.16 | ) | (0.31 | ) | (0.09 | ) | (0.59 | ) | — | ||||||||||||||
Net asset value, end of period | $ | 15.55 | $ | 14.96 | $ | 14.45 | $ | 11.13 | $ | 9.66 | $ | 9.76 | ||||||||||||
Total return | 3.94 | %(2) | 4.62 | % | 32.62 | % | 16.16 | % | 4.93 | % | 26.92 | % | ||||||||||||
Supplemental data and ratios: | ||||||||||||||||||||||||
Net assets, | ||||||||||||||||||||||||
end of period (millions) | $ | 211.5 | $ | 205.4 | $ | 143.1 | $ | 84.1 | $ | 2.6 | $ | 1.1 | ||||||||||||
Ratio of net expenses | ||||||||||||||||||||||||
to average net assets | 1.10 | %(3) | 1.10 | % | 1.10 | % | 1.10 | % | 1.10 | % | 1.10 | % | ||||||||||||
Ratio of net expenses | ||||||||||||||||||||||||
to average net assets | ||||||||||||||||||||||||
(before waivers) | 1.10 | %(3) | 1.12 | % | 1.12 | % | 1.22 | % | 1.46 | % | 1.55 | % | ||||||||||||
Ratio of net | ||||||||||||||||||||||||
investment income (loss) | ||||||||||||||||||||||||
to average net assets | (0.49 | )%(3) | (0.42 | )% | (0.29 | )% | 0.40 | % | (0.35 | )% | (0.35 | )% | ||||||||||||
Ratio of net | ||||||||||||||||||||||||
investment income (loss) | ||||||||||||||||||||||||
to average net assets | ||||||||||||||||||||||||
(before waivers) | (0.49 | )%(3) | (0.44 | )% | (0.31 | )% | 0.28 | % | (0.71 | )% | (0.80 | )% | ||||||||||||
Portfolio turnover rate(4) | 25.3 | %(2) | 37.3 | % | 36.3 | % | 29.5 | % | 44.8 | % | 62.7 | % |
(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 an integral part of these financial statements.
Page 34
Financial Highlights
Baird SmallCap Value Fund – Institutional Class
Six Months | May 1, 2012^ | |||||||||||||||
Ended | Year Ended | through | ||||||||||||||
June 30, 2015 | December 31, | December 31, | ||||||||||||||
(Unaudited) | 2014 | 2013 | 2012 | |||||||||||||
Per Share Data: | ||||||||||||||||
Net asset value, beginning of period | $ | 13.82 | $ | 14.01 | $ | 10.20 | $ | 10.00 | ||||||||
Income from investment operations: | ||||||||||||||||
Net investment income | 0.04 | 0.05 | (1) | 0.07 | (1) | 0.15 | (1) | |||||||||
Net realized and unrealized gain | ||||||||||||||||
on investments | 0.30 | 0.01 | 3.99 | 0.20 | ||||||||||||
Total from investment operations | 0.34 | 0.06 | 4.06 | 0.35 | ||||||||||||
Less distributions: | ||||||||||||||||
Distributions from net investment income | — | (0.05 | ) | (0.05 | ) | (0.12 | ) | |||||||||
Distributions from net realized gains | — | (0.20 | ) | (0.20 | ) | (0.03 | ) | |||||||||
Total distributions | — | (0.25 | ) | (0.25 | ) | (0.15 | ) | |||||||||
Net asset value, end of period | $ | 14.16 | $ | 13.82 | $ | 14.01 | $ | 10.20 | ||||||||
Total return | 2.46 | %(2) | 0.42 | % | 39.85 | % | 3.52 | %(2) | ||||||||
Supplemental data and ratios: | ||||||||||||||||
Net assets, end of period (millions) | $ | 24.4 | $ | 23.5 | $ | 19.0 | $ | 8.1 | ||||||||
Ratio of net expenses to average net assets | 1.00 | %(3) | 1.00 | % | 1.00 | % | 1.00 | %(3) | ||||||||
Ratio of net expenses to | ||||||||||||||||
average net assets (before waivers) | 1.51 | %(3) | 1.55 | % | 2.02 | % | 3.06 | %(3) | ||||||||
Ratio of net investment income to | ||||||||||||||||
average net assets | 0.55 | %(3) | 0.36 | % | 0.71 | % | 2.32 | %(3) | ||||||||
Ratio of net investment income (loss) to | ||||||||||||||||
average net assets (before waivers) | 0.04 | %(3) | (0.19 | )% | (0.31 | )% | 0.26 | %(3) | ||||||||
Portfolio turnover rate(4) | 10.7 | %(2) | 41.9 | % | 36.9 | % | 24.6 | %(2) |
^ | Inception Date. |
(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 an integral part of these financial statements.
Page 35
Financial Highlights
Baird SmallCap Value Fund – Investor Class
Six Months | May 1, 2012^ | |||||||||||||||
Ended | Year Ended | through | ||||||||||||||
June 30, 2015 | December 31, | December 31, | ||||||||||||||
(Unaudited) | 2014 | 2013 | 2012 | |||||||||||||
Per Share Data: | ||||||||||||||||
Net asset value, beginning of period | $ | 13.78 | $ | 13.98 | $ | 10.19 | $ | 10.00 | ||||||||
Income from investment operations: | ||||||||||||||||
Net investment income | 0.02 | 0.02 | (1) | 0.04 | (1) | 0.14 | (1) | |||||||||
Net realized and unrealized gain on investments | 0.30 | 0.00 | (2) | 3.99 | 0.19 | |||||||||||
Total from investment operations | 0.32 | 0.02 | 4.03 | 0.33 | ||||||||||||
Less distributions: | ||||||||||||||||
Distributions from net investment income | — | (0.02 | ) | (0.04 | ) | (0.11 | ) | |||||||||
Distributions from net realized gains | — | (0.20 | ) | (0.20 | ) | (0.03 | ) | |||||||||
Total distributions | — | (0.22 | ) | (0.24 | ) | (0.14 | ) | |||||||||
Net asset value, end of period | $ | 14.10 | $ | 13.78 | $ | 13.98 | $ | 10.19 | ||||||||
Total return | 2.32 | %(3) | 0.13 | % | 39.58 | % | 3.32 | %(3) | ||||||||
Supplemental data and ratios: | ||||||||||||||||
Net assets, end of period (millions) | $ | 2.3 | $ | 2.1 | $ | 1.1 | $ | 0.2 | ||||||||
Ratio of net expenses to average net assets | 1.25 | %(4) | 1.25 | % | 1.25 | % | 1.25 | %(4) | ||||||||
Ratio of net expenses to | ||||||||||||||||
average net assets (before waivers) | 1.76 | %(4) | 1.80 | % | 2.27 | % | 3.31 | %(4) | ||||||||
Ratio of net investment income to | ||||||||||||||||
average net assets | 0.30 | %(4) | 0.11 | % | 0.46 | % | 2.07 | %(4) | ||||||||
Ratio of net investment income (loss) to | ||||||||||||||||
average net assets (before waivers) | (0.21 | )%(4) | (0.44 | )% | (0.56 | )% | 0.01 | %(4) | ||||||||
Portfolio turnover rate(5) | 10.7 | %(3) | 41.9 | % | 36.9 | % | 24.6 | %(3) |
^ | Inception Date. |
(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 an integral part of these financial statements.
Page 36
Notes to the Financial Statements
June 30, 2015 (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 nine 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 with the sale of both Institutional and Investor Class Shares on September 29, 2000. The Baird MidCap Fund commenced with the sale of both Institutional and Investor Class Shares on December 29, 2000. The Baird SmallCap Value Fund commenced 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.
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, 2015, shareholders affiliated with the Advisor held 89% of the Institutional Class shares of the Baird LargeCap Fund, 3% of the Institutional Class shares of the Baird MidCap Fund and 53% 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 37
Notes to the Financial Statements
June 30, 2015 (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 evaluated bid prices as provided 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 maturities of 60 days or less are valued as described above unless an evaluated price is not available, in which case such security is valued at acquisition cost, plus or minus any amortized discount or premium (“amortized cost”), or, if the Advisor does not believe amortized cost is reflective of the value of the security, the security is priced at fair value as described below. 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. | |
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, 2015 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 expense 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, 2014, or for any other tax years which are open for exam. As of June 30, 2015, open tax years include the tax years ended December 31, 2011 through 2014. 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. |
Page 38
Notes to the Financial Statements
June 30, 2015 (Unaudited)
2. | Significant Accounting Policies (cont.) |
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 in proportion to their assets or are divided equally amongst the Funds. |
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 net of withholding taxes, if any, and interest income is recognized on an accrual basis. |
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 June 2014, the FASB issued ASU No. 2014-11 “Repurchase-to-Maturity Transactions, Repurchase Financings, and Disclosures.” ASU No. 2014-11 makes limited changes to the accounting for repurchase agreements, clarifies when repurchase agreements and securities lending transactions should be accounted for as secured borrowings, and requires additional disclosures regarding these types of transactions. The effective date of this ASU is for fiscal years beginning on or after December 15, 2014, and for interim periods within those fiscal years. Management is currently evaluating the impact these changes will have on the Fund’s financial statement disclosures. |
Page 39
Notes to the Financial Statements
June 30, 2015 (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, 2015 | June 30, 2015 | |||||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||||
Shares sold | 564,765 | $ | 5,037,028 | Shares sold | 41,632 | $ | 367,945 | |||||||||||
Shares redeemed | (525,908 | ) | (4,672,418 | ) | Shares redeemed | (23,556 | ) | (209,437 | ) | |||||||||
Net increase | 38,857 | $ | 364,610 | Net increase | 18,076 | $ | 158,508 | |||||||||||
Shares Outstanding: | Shares Outstanding: | |||||||||||||||||
Beginning of period | 4,361,175 | Beginning of period | 136,832 | |||||||||||||||
End of period | 4,400,032 | End of period | 154,908 | |||||||||||||||
Institutional Class Shares | Investor Class Shares | |||||||||||||||||
Year Ended | Year Ended | |||||||||||||||||
December 31, 2014 | December 31, 2014 | |||||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||||
Shares sold | 1,328,086 | $ | 11,158,768 | Shares sold | 227,284 | $ | 1,906,498 | |||||||||||
Shares issued to | Shares issued to | |||||||||||||||||
shareholders in | shareholders in | |||||||||||||||||
reinvestment | reinvestment | |||||||||||||||||
of dividends | 88,451 | 801,365 | of dividends | 2,546 | 22,914 | |||||||||||||
Shares redeemed | (597,146 | ) | (4,981,546 | ) | Shares redeemed | (112,615 | ) | (941,506 | ) | |||||||||
Net increase | 819,391 | $ | 6,978,587 | Net increase | 117,215 | $ | 987,906 | |||||||||||
Shares Outstanding: | Shares Outstanding: | |||||||||||||||||
Beginning of year | 3,541,784 | Beginning of year | 19,617 | |||||||||||||||
End of year | 4,361,175 | End of year | 136,832 |
Page 40
Notes to the Financial Statements
June 30, 2015 (Unaudited)
3. | Capital Share Transactions (cont.) |
Baird MidCap Fund | ||||||||||||||||||
Institutional Class Shares | Investor Class Shares | |||||||||||||||||
Six Months Ended | Six Months Ended | |||||||||||||||||
June 30, 2015 | June 30, 2015 | |||||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||||
Shares sold | 18,827,778 | $ | 302,925,740 | Shares sold | 2,292,937 | $ | 35,315,612 | |||||||||||
Shares redeemed | (6,918,485 | ) | (111,007,838 | ) | Shares redeemed | (2,418,353 | ) | (37,020,156 | ) | |||||||||
Net increase | 11,909,293 | $ | 191,917,902 | Net decrease | (125,416 | ) | $ | (1,704,544 | ) | |||||||||
Shares Outstanding: | Shares Outstanding: | |||||||||||||||||
Beginning of period | 58,500,521 | Beginning of period | 13,729,522 | |||||||||||||||
End of period | 70,409,814 | End of period | 13,604,106 | |||||||||||||||
Institutional Class Shares | Investor Class Shares | |||||||||||||||||
Year Ended | Year Ended | |||||||||||||||||
December 31, 2014 | December 31, 2014 | |||||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||||
Shares sold | 47,418,737 | $ | 720,729,467 | Shares sold | 16,548,473 | $ | 243,199,928 | |||||||||||
Shares issued to | Shares issued to | |||||||||||||||||
shareholders in | shareholders in | |||||||||||||||||
reinvestment | reinvestment | |||||||||||||||||
of dividends | 515,098 | 8,107,643 | of dividends | 133,615 | 2,020,253 | |||||||||||||
Shares redeemed | (8,506,966 | ) | (130,128,454 | ) | Shares redeemed | (12,855,423 | ) | (187,144,344 | ) | |||||||||
Net increase | 39,426,869 | $ | 598,708,656 | Net increase | 3,826,665 | $ | 58,075,837 | |||||||||||
Shares Outstanding: | Shares Outstanding: | |||||||||||||||||
Beginning of year | 19,073,652 | Beginning of year | 9,902,857 | |||||||||||||||
End of year | 58,500,521 | End of year | 13,729,522 |
Page 41
Notes to the Financial Statements
June 30, 2015 (Unaudited)
3. | Capital Share Transactions (cont.) |
Baird SmallCap Value Fund | |||||||||||||||||
Institutional Class Shares | Investor Class Shares | ||||||||||||||||
Six Months Ended | Six Months Ended | ||||||||||||||||
June 30, 2015 | June 30, 2015 | ||||||||||||||||
Shares | Amount | Shares | Amount | ||||||||||||||
Shares sold | 191,372 | $ | 2,623,956 | Shares sold | 23,554 | $ | 323,889 | ||||||||||
Shares redeemed | (163,599 | ) | (2,236,923 | ) | Shares redeemed | (13,761 | ) | (187,776 | ) | ||||||||
Net increase | 27,773 | $ | 387,033 | Net increase | 9,793 | $ | 136,113 | ||||||||||
Shares Outstanding: | Shares Outstanding: | ||||||||||||||||
Beginning of period | 1,697,207 | Beginning of period | 152,417 | ||||||||||||||
End of period | 1,724,980 | End of period | 162,210 | ||||||||||||||
Institutional Class Shares | Investor Class Shares | ||||||||||||||||
Year Ended | Year Ended | ||||||||||||||||
December 31, 2014 | December 31, 2014 | ||||||||||||||||
Shares | Amount | Shares | Amount | ||||||||||||||
Shares sold | 575,554 | $ | 7,984,672 | Shares sold | 89,753 | $ | 1,233,365 | ||||||||||
Shares issued to | Shares issued to | ||||||||||||||||
shareholders in | shareholders in | ||||||||||||||||
reinvestment | reinvestment | ||||||||||||||||
of dividends | 27,353 | 381,575 | of dividends | 1,270 | 17,678 | ||||||||||||
Shares redeemed | (264,424 | ) | (3,666,171 | ) | Shares redeemed | (15,479 | ) | (215,451 | ) | ||||||||
Net increase | 338,483 | $ | 4,700,076 | Net increase | 75,544 | $ | 1,035,592 | ||||||||||
Shares Outstanding: | Shares Outstanding: | ||||||||||||||||
Beginning of year | 1,358,724 | Beginning of year | 76,873 | ||||||||||||||
End of year | 1,697,207 | End of year | 152,417 |
4. | Investment Transactions and Income Tax Information |
During the six months ended June 30, 2015, purchases and sales of investment securities (excluding short-term investments) were as follows:
Baird | Baird | Baird | |
LargeCap Fund | MidCap Fund | SmallCap Value Fund | |
Purchases: | $17,418,921 | $484,298,996 | $3,033,029 |
Sales: | $15,407,108 | $302,069,148 | $2,627,815 |
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, 2015.
Page 42
Notes to the Financial Statements
June 30, 2015 (Unaudited)
4. | Investment Transactions and Income Tax Information (cont.) |
At December 31, 2014, accumulated earnings/losses on a tax basis were as follows:
Baird | Baird | Baird | ||||||||||
LargeCap | MidCap | SmallCap | ||||||||||
Fund | Fund | Value Fund | ||||||||||
Cost of Investments | $ | 36,021,682 | $ | 986,120,823 | $ | 21,558,762 | ||||||
Gross unrealized appreciation | 4,847,959 | 174,862,351 | 5,066,368 | |||||||||
Gross unrealized depreciation | (730,091 | ) | (47,140,198 | ) | (1,170,859 | ) | ||||||
Net unrealized appreciation | $ | 4,117,868 | $ | 127,722,153 | $ | 3,895,509 | ||||||
Undistributed ordinary income | 404,074 | — | — | |||||||||
Undistributed long-term capital gain | — | 1,763,226 | — | |||||||||
Total distributable earnings | $ | 404,074 | $ | 1,763,226 | $ | — | ||||||
Other accumulated losses | — | — | (95,318 | ) | ||||||||
Total accumulated earnings | $ | 4,521,942 | $ | 129,485,379 | $ | 3,800,191 |
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, 2014, Baird SmallCap Value Fund elected to defer capital losses occurring between November 1, 2014 and December 31, 2014 in the amount of $95,318.
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, 2014, the Baird LargeCap Fund, Baird MidCap Fund and Baird SmallCap Value Fund did not use any capital loss carryovers.
During the six months ended June 30, 2015, the Funds did not pay any dividends.
During the year ended December 31, 2014, the Funds paid the following dividends:
Ordinary Income Dividends | Long-Term Capital Gain | |||||||||
Baird LargeCap Fund | $ | 780,172 | $ | 44,108 | ||||||
Baird MidCap Fund | 990,315 | 10,400,377 | ||||||||
Baird SmallCap Value Fund | 107,742 | 342,442 |
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, 2014. To the extent necessary to fully distribute such capital gains, the Baird MidCap Fund and Baird SmallCap Value Fund also designated earnings and profits distributed to shareholders on the redemption of shares.
Page 43
Notes to the Financial Statements
June 30, 2015 (Unaudited)
5. | Investment Advisory and Other Agreements |
The Funds have entered into Investment Advisory Agreements with Baird for the provision of investment advisory services. Pursuant to the Investment Advisory Agreements, 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.
Baird has entered into a Sub-Advisory Agreement with Baird Kailash Group, LLC (“BKG”), pursuant to which BKG acts as subadvisor to the Baird LargeCap Fund (the “Sub-Advisory Agreement”). Baird is responsible for paying BKG a subadvisory fee, which is calculated daily and paid monthly at the annual rate of 0.45% of the average daily net assets of the Baird LargeCap Fund, out of the advisory fee that the Baird LargeCap Fund pays to Baird. BKG is an affiliate of Baird and certain officers of BKG are also officers of the Funds.
For the six months ended June 30, 2015 and through April 30, 2016, 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.
Six Months | |||||
Ended | |||||
June 30, | Fiscal Year Ended December 31, | ||||
2015 | 2014 | 2013 | 2012 | ||
Reimbursed/Absorbed Expenses Subject | |||||
to Recovery by Advisor Until: | 2018 | 2017 | 2016 | 2015 | |
Baird LargeCap Fund | $73,694 | $141,765 | $136,777 | $141,680 | |
Baird MidCap Fund | $21,156 | $143,779 | $ 73,919 | $153,676 | |
Baird SmallCap Value Fund | $65,036 | $132,231 | $133,527 | $ 91,176(1) |
(1) | Amount shown reflects expense reimbursements made by the Advisor from May 1, 2012 (inception date) through December 31, 2012. |
U.S. Bancorp Fund Services, LLC (“USBFS”) serves as transfer agent, administrator, and accounting services agent for the Funds. U.S. Bank, N.A. (“U.S. Bank”) serves as custodian for the Funds. As of June 30, 2015, U.S. Bank was considered an “affiliated person” of the Funds for purposes of the 1940 Act, as a result of U.S. Bank’s fiduciary accounts for which it has investment authority and/or voting authority collectively acquiring 5% or more of the shares of the Baird Aggregate Bond Fund, a separate series of the Company. As a result, USBFS was an affiliated person of an affiliated person (or a “second tier” affiliate) of the Funds. Effective August 4, 2015, U.S. Bank is no longer considered an “affiliated person” of the Funds for purposes of the 1940 Act, as a result of U.S. Bank’s fiduciary accounts for which it has investment authority and/or voting authority collectively representing less than 5% of the shares of the Baird Aggregate Bond Fund.
Robert W. Baird & Co. Incorporated (the “Distributor”) is the sole distributor of the Funds pursuant to a distribution agreement.
Page 44
Notes to the Financial Statements
June 30, 2015 (Unaudited)
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, 2015.
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 affiliated person of the Funds (for the period June 20, 2014 through August 3, 2015), and an affiliate of USBFS, 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, 2015, 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.
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).
The interest income earned by the Funds, if any, 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. The Funds did not participate in the securities lending program during the six months ended June 30, 2015.
7. | Line of Credit |
The Corporation maintains an uncommitted, senior secured and unsecured line of credit (“LOC”) with U.S. Bank, N.A. (the “Bank”) to provide the Funds a temporary liquidity source to meet unanticipated redemptions. The unsecured line of credit is available to the Funds for any period during which U.S. Bank is an affiliate of the Funds. 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 2015). For the six months ended June 30, 2015, the Funds 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 $1,660, $258,911 and $2,706, respectively, in fees pursuant to the Plan during the six months ended June 30, 2015.
Page 45
Notes to the Financial Statements
June 30, 2015 (Unaudited)
9. | Subsequent Event |
In preparing these financial statements, the Corporation has evaluated subsequent events after June 30, 2015 through the date the financial statements were issued. There were no subsequent events since June 30, 2015 that would require adjustment to or additional disclosure in these financial statements.
Page 46
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 47
(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 Ultra Short Bond Fund | ||||||||
Schedule of Investments | ||||||||
June 30, 2015 (Unaudited) | ||||||||
Principal | % of | |||||||
Amount | Value | Net Assets | ||||||
LONG-TERM INVESTMENTS | ||||||||
U.S. Treasury Security | ||||||||
U.S. Treasury Bond, | ||||||||
2.375%, 03/31/2016 @ | $ | 27,750,000 | $ | 28,192,280 | ||||
28,192,280 | 18.3% | |||||||
Corporate Bonds | ||||||||
Finance | ||||||||
ABN AMRO Bank NV, | ||||||||
1.079%, 10/28/2016 (Acquired 01/03/2014 through 10/03/2014, Cost $325,813) * f | 325,000 | 326,440 | ||||||
Ally Financial, Inc., | ||||||||
3.125%, 01/15/2016 | 500,000 | 501,875 | ||||||
American Express Co., | ||||||||
0.874%, 05/22/2018 | 1,500,000 | 1,495,308 | ||||||
Ameriprise Financial, Inc., | ||||||||
5.650%, 11/15/2015 | 325,000 | 330,799 | ||||||
Aon Corp., | ||||||||
3.125%, 05/27/2016 f | 850,000 | 866,965 | ||||||
Australia and New Zealand Banking Group Ltd., | ||||||||
0.716%, 01/16/2018 (Acquired 01/12/2015, Cost $1,000,000) * f | 1,000,000 | 1,001,747 | ||||||
Banco Santander-Chile, | ||||||||
1.176%, 04/11/2017 (Acquired 04/08/2014, Cost $200,000) * f | 200,000 | 199,472 | ||||||
BB&T Corp.: | ||||||||
5.200%, 12/23/2015 | 41,000 | 41,829 | ||||||
0.938%, 02/01/2019 | 880,000 | 879,349 | ||||||
BNP Paribas, | ||||||||
0.736%, 05/07/2017 f | 1,000,000 | 1,000,653 | ||||||
BPCE, | ||||||||
1.129%, 02/10/2017 f | 500,000 | 502,755 | ||||||
Caisse Centrale Desjardins, | ||||||||
0.944%, 01/29/2018 (Acquired 01/26/2015, Cost $1,000,000) * f | 1,000,000 | 1,004,177 | ||||||
Capital One Financial Corp., | ||||||||
3.150%, 07/15/2016 | 1,015,000 | 1,034,094 | ||||||
Capital One NA, | ||||||||
0.959%, 02/05/2018 | 500,000 | 500,113 | ||||||
Citigroup, Inc., | ||||||||
0.551%, 06/09/2016 | 950,000 | 945,678 | ||||||
CNA Financial Corp., | ||||||||
6.500%, 08/15/2016 | 1,300,000 | 1,375,033 | ||||||
Commonwealth Bank of Australia, | ||||||||
0.874%, 10/08/2015 (Acquired 01/03/2014, Cost $199,800) * f | 200,000 | 199,986 | ||||||
Countrywide Financial Corp., | ||||||||
6.250%, 05/15/2016 | 400,000 | 415,706 | ||||||
Credit Agricole SA: | ||||||||
1.132%, 10/03/2016 (Acquired 01/03/2014, Cost $250,280) * f | 250,000 | 251,243 | ||||||
1.252%, 06/10/2020 (Acquired 06/03/2015, Cost $1,000,000) * f | 1,000,000 | 998,620 | ||||||
Credit Suisse: | ||||||||
0.772%, 05/26/2017 f | 500,000 | 498,550 | ||||||
0.959%, 04/27/2018 f | 1,000,000 | 999,997 | ||||||
Deutsche Bank AG, | ||||||||
0.957%, 02/13/2018 f | 1,000,000 | 996,108 | ||||||
Deutsche Bank Aktiengesellschaft, | ||||||||
0.887%, 02/13/2017 f | 150,000 | 149,776 | ||||||
Dresdner Bank AG, | ||||||||
7.250%, 09/15/2015 f | 857,000 | 865,947 | ||||||
Fifth Third Bancorp: | ||||||||
1.150%, 11/18/2016 | 540,000 | 538,797 | ||||||
0.701%, 12/20/2016 | 1,000,000 | 994,807 | ||||||
First Horizon National Corp., | ||||||||
5.375%, 12/15/2015 | 550,000 | 558,432 | ||||||
First Tennessee Bank National Association, | ||||||||
5.650%, 04/01/2016 | 1,000,000 | 1,031,325 | ||||||
General Electric Capital Corp., | ||||||||
0.787%, 01/14/2019 | 2,000,000 | 2,000,670 | ||||||
HSBC Finance Corp., | ||||||||
5.500%, 01/19/2016 | 300,000 | 307,278 | ||||||
HSBC USA, Inc., | ||||||||
0.887%, 11/13/2019 | 250,000 | 249,026 | ||||||
ING Bank NV, | ||||||||
4.000%, 03/15/2016 (Acquired 11/04/2014, Cost $510,586) * f | 500,000 | 510,690 | ||||||
J.P. Morgan Chase & Co.: | ||||||||
Series 1, 0.909%, 01/28/2019 | 250,000 | 249,554 | ||||||
1.232%, 01/23/2020 | 1,000,000 | 1,009,089 | ||||||
KeyBank National Association, | ||||||||
4.950%, 09/15/2015 | 1,000,000 | 1,006,482 | ||||||
Kookmin Bank, | ||||||||
1.152%, 01/27/2017 (Acquired 01/21/2014, Cost $250,000) * f | 250,000 | 251,257 | ||||||
Lloyds Bank PLC, | ||||||||
0.825%, 05/14/2018 f | 1,500,000 | 1,502,099 | ||||||
Macquarie Bank Ltd., | ||||||||
1.045%, 03/24/2017 (Acquired 03/18/2014, Cost $200,000) * f | 200,000 | 200,969 | ||||||
Mizuho Bank Ltd.: | ||||||||
0.706%, 04/16/2017 (Acquired 04/09/2014, Cost $200,000) * f | 200,000 | 199,677 | ||||||
0.731%, 09/25/2017 (Acquired 09/18/2014 through 01/14/2015, Cost $799,361) * f | 800,000 | 798,492 | ||||||
0.921%, 03/26/2018 (Acquired 03/19/2015, Cost $250,000) * f | 250,000 | 250,532 | ||||||
Morgan Stanley: | ||||||||
1.022%, 01/05/2018 | 500,000 | 500,449 | ||||||
1.128%, 01/24/2019 | 250,000 | 249,906 | ||||||
1.417%, 01/27/2020 | 500,000 | 506,881 | ||||||
National Australia Bank Ltd., | ||||||||
0.774%, 10/08/2015 (Acquired 01/03/2014, Cost $199,860) * f | 200,000 | 199,991 | ||||||
Nomura Holdings, Inc.: | ||||||||
1.736%, 09/13/2016 f | 700,000 | 705,138 | ||||||
2.000%, 09/13/2016 f | 700,000 | 705,100 | ||||||
PNC Funding Corp., | ||||||||
5.250%, 11/15/2015 | 730,000 | 741,927 | ||||||
Prudential Covered Trust, | ||||||||
2.997%, 09/30/2015 (Acquired 01/20/2015, Cost $632,923) * | 630,000 | 633,296 | ||||||
Raymond James Financial, Inc., | ||||||||
4.250%, 04/15/2016 | 400,000 | 409,997 | ||||||
Royal Bank of Canada, | ||||||||
0.536%, 10/13/2017 f | 1,000,000 | 999,982 | ||||||
Royal Bank of Scotland Group PLC, | ||||||||
2.550%, 09/18/2015 f | 1,300,000 | 1,303,635 | ||||||
Santander Bank NA, | ||||||||
1.206%, 01/12/2018 | 1,400,000 | 1,398,599 | ||||||
Santander Financial Issuances Ltd., | ||||||||
7.250%, 11/01/2015 f | 100,000 | 101,658 | ||||||
Societe Generale, | ||||||||
1.364%, 10/01/2018 f | 1,500,000 | 1,523,004 | ||||||
Standard Chartered PLC, | ||||||||
0.914%, 04/17/2018 (Acquired 04/13/2015, Cost $1,200,000) * f | 1,200,000 | 1,199,339 | ||||||
Sumitomo Mitsui Banking Corp., | ||||||||
0.900%, 01/18/2016 f | 400,000 | 400,291 | ||||||
SunTrust Banks, Inc., | ||||||||
3.600%, 04/15/2016 | 400,000 | 407,577 | ||||||
Symetra Financial Corp., | ||||||||
6.125%, 04/01/2016 (Acquired 04/23/2014 through 11/24/2014, Cost $578,581) * | 560,000 | 576,670 | ||||||
Synchrony Financial, | ||||||||
1.509%, 02/03/2020 | 1,000,000 | 1,004,403 | ||||||
The Bank of New York Mellon Corp., | ||||||||
0.838%, 08/01/2018 | 1,000,000 | 1,003,614 | ||||||
The Bank Of Nova Scotia, | ||||||||
0.756%, 06/11/2018 f | 1,500,000 | 1,498,684 | ||||||
The Bank of Tokyo-Mitsubishi UFJ, Ltd., | ||||||||
0.589%, 09/08/2017 (Acquired 09/30/2014, Cost $998,890) * f | 1,000,000 | 996,878 | ||||||
The Bear Stearns Companies LLC, | ||||||||
5.300%, 10/30/2015 | 294,000 | 298,204 | ||||||
The Goldman Sachs Group, Inc.: | ||||||||
5.350%, 01/15/2016 | 555,000 | 568,237 | ||||||
1.374%, 11/15/2018 | 500,000 | 504,429 | ||||||
The Huntington National Bank, | ||||||||
1.350%, 08/02/2016 | 850,000 | 850,586 | ||||||
The Toronto-Dominion Bank, | ||||||||
0.839%, 11/05/2019 f | 1,200,000 | 1,207,116 | ||||||
UBS AG, | ||||||||
0.981%, 03/26/2018 f | 1,000,000 | 999,701 | ||||||
Wells Fargo & Co., | ||||||||
Class N, 0.958%, 01/30/2020 | 1,000,000 | 995,068 | ||||||
Wells Fargo Bank, National Association, | ||||||||
0.486%, 05/16/2016 | 250,000 | 249,321 | ||||||
Westpac Banking Corp., | ||||||||
0.712%, 05/25/2018 f | 1,500,000 | 1,499,993 | ||||||
Willis North America, Inc., | ||||||||
5.625%, 07/15/2015 | 237,000 | 237,283 | ||||||
53,518,353 | 34.7% |
Utility | ||||||||
Orange and Rockland Utilities, Inc., | ||||||||
2.500%, 08/15/2015 (Acquired 03/19/2014, Cost $100,142) * | 100,000 | 100,205 | ||||||
PPL Energy Supply LLC, | ||||||||
Series A, 5.700%, 10/15/2015 | 1,000,000 | 1,000,000 | ||||||
TECO Finance, Inc., | ||||||||
4.000%, 03/15/2016 | 100,000 | 102,129 | ||||||
Tri-State Pass Through Trust, | ||||||||
Series 2003, 6.040%, 01/31/2018 (Acquired 09/18/2014, Cost $131,682) * | 126,715 | 131,799 | ||||||
W3A Funding Corp., | ||||||||
8.090%, 01/02/2017 | 31,545 | 31,544 | ||||||
1,365,677 | 0.9% | |||||||
Industrials | ||||||||
Actavis Funding SCS, | ||||||||
1.543%, 03/12/2020 f | 1,500,000 | 1,516,622 | ||||||
Alibaba Group Holding Limited, | ||||||||
0.806%, 11/28/2017 (Acquired 11/20/2014, Cost $500,000) * f | 500,000 | 497,352 | ||||||
Amgen, Inc., | ||||||||
0.664%, 05/22/2017 | 250,000 | 249,888 | ||||||
Anglo American Capital PLC, | ||||||||
1.225%, 04/15/2016 (Acquired 04/08/2014 through 11/13/2014, Cost $801,475) * f | 800,000 | 798,120 | ||||||
AT&T, Inc., | ||||||||
1.212%, 06/30/2020 | 1,000,000 | 1,003,874 | ||||||
Baxalta, Inc., | ||||||||
1.061%, 06/22/2018 (Acquired 06/18/2015, Cost $1,500,000) * | 1,500,000 | 1,499,550 | ||||||
Becton, Dickinson and Co., | ||||||||
0.736%, 06/15/2016 | 1,000,000 | 1,000,462 | ||||||
Bunge Limited Finance Corp.: | ||||||||
5.100%, 07/15/2015 | 405,000 | 405,365 | ||||||
4.100%, 03/15/2016 | 1,000,000 | 1,019,540 | ||||||
Canadian Natural Resources Ltd., | ||||||||
0.657%, 03/30/2016 f | 1,115,000 | 1,112,983 | ||||||
Chesapeake Energy Corp., | ||||||||
3.525%, 04/15/2019 | 500,000 | 457,500 | ||||||
Chevron Phillips Chemical Co. LLC, | ||||||||
1.030%, 05/01/2020 (Acquired 05/07/2015, Cost $1,500,000) * | 1,500,000 | 1,502,802 | ||||||
Computer Sciences Corp., | ||||||||
2.500%, 09/15/2015 | 390,000 | 391,162 | ||||||
ConAgra Foods, Inc.: | ||||||||
1.300%, 01/25/2016 | 600,000 | 600,084 | ||||||
0.646%, 07/21/2016 | 875,000 | 872,507 | ||||||
D.R. Horton, Inc., | ||||||||
6.500%, 04/15/2016 | 390,000 | 402,675 | ||||||
Daimler Finance North America LLC, | ||||||||
0.618%, 08/01/2017 (Acquired 01/13/2015, Cost $498,615) * | 500,000 | 499,361 | ||||||
Deutsche Telekom International Finance BV, | ||||||||
3.125%, 04/11/2016 (Acquired 09/17/2014, Cost $508,678) * f | 500,000 | 508,504 | ||||||
Enbridge, Inc.: | ||||||||
0.934%, 10/01/2016 f | 750,000 | 748,796 | ||||||
0.734%, 06/02/2017 f | 450,000 | 444,613 | ||||||
Enterprise Products Operating LLC, | ||||||||
3.200%, 02/01/2016 | 1,000,000 | 1,012,186 | ||||||
Express Scripts Holding Co., | ||||||||
3.125%, 05/15/2016 | 1,000,000 | 1,016,428 | ||||||
Fiserv, Inc., | ||||||||
3.125%, 10/01/2015 | 364,000 | 365,936 | ||||||
Ford Motor Credit Co. LLC: | ||||||||
2.500%, 01/15/2016 | 200,000 | 201,616 | ||||||
4.207%, 04/15/2016 | 750,000 | 767,052 | ||||||
Glencore Canada Corp., | ||||||||
6.000%, 10/15/2015 f | 200,000 | 202,606 | ||||||
Glencore Funding LLC, | ||||||||
1.336%, 04/16/2018 (Acquired 04/08/2015, Cost $1,000,000) * | 1,000,000 | 999,452 | ||||||
Hanson Ltd., | ||||||||
6.125%, 08/15/2016 f | 800,000 | 833,200 | ||||||
Hewlett-Packard Co., | ||||||||
1.217%, 01/14/2019 | 461,000 | 454,522 | ||||||
Hyundai Capital Services, Inc.: | ||||||||
4.375%, 07/27/2016 (Acquired 05/28/2015, Cost $413,402) * f | 400,000 | 412,660 | ||||||
1.086%, 03/18/2017 (Acquired 01/13/2015, Cost $200,190) * f | 200,000 | 200,520 | ||||||
Kinder Morgan Finance Co. LLC, | ||||||||
5.700%, 01/05/2016 | 650,000 | 664,385 | ||||||
Laboratory Corporation of America Holdings, | ||||||||
5.625%, 12/15/2015 | 1,000,000 | 1,020,138 | ||||||
Lafarge SA, | ||||||||
6.500%, 07/15/2016 f | 100,000 | 104,750 | ||||||
Marathon Petroleum Corp., | ||||||||
3.500%, 03/01/2016 | 1,000,000 | 1,016,885 | ||||||
Masco Corp., | ||||||||
6.125%, 10/03/2016 | 550,000 | 578,875 | ||||||
McKesson Corp., | ||||||||
0.682%, 09/10/2015 | 400,000 | 399,968 | ||||||
Medtronic, Inc., | ||||||||
1.086%, 03/15/2020 (Acquired 12/01/2014, Cost $750,000) * | 750,000 | 757,522 | ||||||
Mondelez International, Inc., | ||||||||
0.798%, 02/01/2019 | 500,000 | 494,380 | ||||||
Noble Holding International Ltd., | ||||||||
3.450%, 08/01/2015 f | 500,000 | 500,509 | ||||||
ONEOK Partners LP, | ||||||||
3.250%, 02/01/2016 | 1,000,000 | 1,009,437 | ||||||
PCCW-HKT Capital No. 3 Ltd., | ||||||||
5.250%, 07/20/2015 (Acquired 02/04/2015, Cost $751,660) * f | 750,000 | 751,279 | ||||||
Plum Creek Timberlands LP, | ||||||||
5.875%, 11/15/2015 | 1,200,000 | 1,220,480 | ||||||
Qualcomm, Inc., | ||||||||
0.826%, 05/20/2020 | 1,500,000 | 1,503,561 | ||||||
Telefonica Emisiones SAU, | ||||||||
0.931%, 06/23/2017 f | 1,000,000 | 997,348 | ||||||
Total Capital International, | ||||||||
0.636%, 06/19/2019 f | 250,000 | 248,996 | ||||||
Toyota Motor Credit Corp., | ||||||||
0.596%, 01/12/2018 | 900,000 | 900,218 | ||||||
TransCanada PipeLines Ltd., | ||||||||
1.066%, 01/12/2018 f | 1,000,000 | 1,002,233 | ||||||
TSMC Global Ltd., | ||||||||
0.950%, 04/03/2016 (Acquired 04/29/2015, Cost $999,479) * f | 1,000,000 | 997,295 | ||||||
Verizon Communications, Inc., | ||||||||
2.036%, 09/14/2018 | 1,563,000 | 1,616,994 | ||||||
Vodafone Group PLC, | ||||||||
0.662%, 02/19/2016 f | 926,000 | 925,521 | ||||||
Volkswagen Group of America Finance LLC: | ||||||||
0.652%, 05/23/2017 (Acquired 05/15/2014, Cost $250,000) * | 250,000 | 249,978 | ||||||
0.716%, 11/20/2017 (Acquired 11/12/2014, Cost $500,000) * | 500,000 | 500,792 | ||||||
Weatherford International Ltd., | ||||||||
5.500%, 02/15/2016 f | 400,000 | 408,559 | ||||||
Xerox Corp.: | ||||||||
6.400%, 03/15/2016 | 843,000 | 874,373 | ||||||
7.200%, 04/01/2016 | 261,000 | 272,902 | ||||||
41,015,316 | 26.6% | |||||||
Total Corporate Bonds | 95,899,346 | 62.2% | ||||||
Other Government Related Securities | ||||||||
CNOOC Finance 2013 Ltd., | ||||||||
1.125%, 05/09/2016 f | 1,000,000 | 999,165 | ||||||
CNPC General Capital Ltd., | ||||||||
1.175%, 05/14/2017 (Acquired 05/07/2014, Cost $250,000) * f | 250,000 | 249,614 | ||||||
Corp Andina de Fomento, | ||||||||
3.750%, 01/15/2016 f | 375,000 | 378,781 | ||||||
Eksportfinans ASA, | ||||||||
2.000%, 09/15/2015 f | 540,000 | 540,270 | ||||||
Electricite de France SA, | ||||||||
0.735%, 01/20/2017 (Acquired 01/13/2014, Cost $250,000) * f | 250,000 | 250,248 | ||||||
Export-Import Bank of Korea, | ||||||||
1.027%, 01/14/2017 f | 250,000 | 251,023 | ||||||
Petrobras Global Finance BV, | ||||||||
2.643%, 03/17/2017 f | 250,000 | 245,550 | ||||||
Portigon AG, | ||||||||
4.796%, 07/15/2015 f | 411,000 | 411,013 | ||||||
3,325,664 | 2.1% | |||||||
Taxable Municipal Bonds | ||||||||
City of Erie PA, | ||||||||
6.700%, 11/15/2016 | 630,000 | 682,605 | ||||||
Consolidated Municipalities Electric Power Systems Joint Powers Board, | ||||||||
1.000%, 06/01/2016 | 300,000 | 299,403 | ||||||
Cook County School District No 144 Prairie Hills: | ||||||||
1.000%, 12/01/2015 | 150,000 | 149,902 | ||||||
1.500%, 12/01/2016 | 250,000 | 249,440 | ||||||
Madison County Community Unit School District No 12 Madison, | ||||||||
1.950%, 01/01/2017 | 200,000 | 199,718 | ||||||
Plano Special Service Areas No 1 & 2, | ||||||||
2.000%, 03/01/2016 | 150,000 | 151,563 | ||||||
State of Illinois, | ||||||||
4.961%, 03/01/2016 | 350,000 | 358,232 | ||||||
University of Illinois, | ||||||||
1.308%, 02/15/2016 | 700,000 | 700,021 | ||||||
2,790,884 | 1.8% | |||||||
Residential Mortgage-Backed Securities | ||||||||
U.S. Government Agency Issues | ||||||||
Federal Gold Loan Mortgage Corporation (FGLMC), | ||||||||
5.000%, 12/01/2017 | 100,633 | 105,071 | ||||||
Federal National Mortgage Association (FNMA): | ||||||||
5.000%, 10/01/2017 | 97,969 | 102,556 | ||||||
5.000%, 11/01/2017 | 80,470 | 84,237 | ||||||
5.500%, 11/01/2017 | 162,037 | 168,361 | ||||||
5.000%, 12/01/2017 | 70,380 | 73,675 | ||||||
533,900 | 0.3% | |||||||
Non-U.S. Government Agency Issues | ||||||||
Banc of America Alternative Loan Trust: | ||||||||
Series 2003-4, Class 2A1, 5.000%, 06/25/2018 | 63,879 | 65,214 | ||||||
Series 2004-1, Class 5A2, 5.500%, 02/25/2019 | 54,633 | 56,159 | ||||||
MASTR Alternative Loan Trust, | ||||||||
Series 2004-13, Class 8A1, 5.500%, 01/25/2025 | 92,607 | 93,463 | ||||||
Morgan Stanley Mortgage Loan Trust, | ||||||||
Series 2004-4, Class 1A10, 5.000%, 08/25/2034 | 35,146 | 35,367 | ||||||
250,203 | 0.2% |
Asset Backed Securities | ||||||||
Accredited Mortgage Loan Trust: | ||||||||
Series 2005-3, Class A1, 0.420%, 09/25/2035 | 104,900 | 104,655 | ||||||
Series 2005-4, Class A2D, 0.507%, 12/25/2035 | 724,483 | 688,770 | ||||||
Series 2006-2, Class A3, 0.337%, 09/25/2036 | 1,174,520 | 1,159,079 | ||||||
ACE Securities Corp. Home Equity Loan Trust, | ||||||||
Series 2006-HE1, Class A1A, 0.387%, 02/25/2036 | 264,417 | 262,017 | ||||||
Asset Backed Securities Corp. Home Equity Loan Trust, | ||||||||
Series 2004-HE6, Class A1, 0.737%, 09/25/2034 | 390,780 | 390,757 | ||||||
Conseco Financial Corp., | ||||||||
Series 1998-4, Class A6, 6.530%, 04/01/2030 | 743,329 | 801,982 | ||||||
Countrywide Asset-Backed Certificates: | ||||||||
Series 2005-1, Class AF4, 5.147%, 02/25/2033 | 65,816 | 65,798 | ||||||
Series 2005-13, Class 3AV3, 0.435%, 04/25/2036 | 188,180 | 186,980 | ||||||
Series 2007-2, Class 2A2, 0.287%, 08/25/2037 | 9,165 | 9,139 | ||||||
Dell Equipment Finance Trust, | ||||||||
Series 2015-1, Class A2, 1.010%, 07/24/2017 (Acquired 04/15/2015, Cost $1,499,946) * | 1,500,000 | 1,500,982 | ||||||
First Franklin Mortgage Loan Trust, | ||||||||
Series 2004-FF7, Class A1, 0.827%, 09/25/2034 | 136,392 | 136,127 | ||||||
First National Master Note Trust, | ||||||||
Series 2013-2, Class A, 0.716%, 10/15/2019 | 1,000,000 | 1,001,583 | ||||||
Ford Credit Floorplan Master Owner Trust, | ||||||||
Series 2013-1, Class A2, 0.566%, 01/15/2018 | 400,000 | 400,187 | ||||||
Golden Credit Card Trust, | ||||||||
Series 2013-1A, Class A, 0.436%, 02/15/2018 (Acquired 04/24/2015 through 05/05/2015, Cost $1,719,057) * f | 1,720,000 | 1,719,219 | ||||||
GSAMP Trust, | ||||||||
Series 2006-HE1, Class A2C, 0.397%, 01/25/2036 | 349,152 | 343,040 | ||||||
HSI Asset Securitization Corp. Trust, | ||||||||
Series 2007-WF1, Class 2A3, 0.357%, 05/25/2037 | 587,144 | 569,597 | ||||||
Hyundai Auto Lease Securitization Trust, | ||||||||
Series 2015-A, Class A3, 1.420%, 09/17/2018 (Acquired 03/04/2015, Cost $1,199,756) * | 1,200,000 | 1,204,110 | ||||||
J.P. Morgan Mortgage Acquisition Trust: | ||||||||
Series 2007-CH1, Class AV4, 0.315%, 11/25/2036 | 135,695 | 135,301 | ||||||
Series 2007-CH3, Class A3, 0.337%, 03/25/2037 | 157,456 | 155,524 | ||||||
Leaf Receivables Funding 10 LLC, | ||||||||
Series 2015-1, Class A3, 1.490%, 03/15/2018 (Acquired 04/23/2015, Cost $749,862) * | 750,000 | 749,476 | ||||||
Long Beach Mortgage Loan Trust, | ||||||||
Series 2006-WL2, Class 2A3, 0.387%, 01/25/2036 | 42,831 | 41,265 | ||||||
Louisiana Local Government Environmental Facilities & Community Development Auth., | ||||||||
1.520%, 02/01/2018 | 139,117 | 139,384 | ||||||
Master Credit Card Trust II, | ||||||||
Series 2012-2A, Class A, 0.780%, 04/21/2017 (Acquired 10/08/2014, Cost $1,000,399) * f | 1,000,000 | 1,000,336 | ||||||
Morgan Stanley Home Equity Loan Trust, | ||||||||
Series 2006-2, Class A3, 0.357%, 02/25/2036 | 35,677 | 35,570 | ||||||
Nationstar Home Equity Loan Trust, | ||||||||
Series 2007-C, Class 2AV2, 0.317%, 06/25/2037 | 57,426 | 55,384 | ||||||
New Century Home Equity Loan Trust, | ||||||||
Series 2005-B, Class A2C, 0.467%, 10/25/2035 | 836,728 | 833,794 | ||||||
Park Place Securities Inc. Asset-Backed Pass-Through Certificates, | ||||||||
Series 2005-WCW2, Class A2D, 0.557%, 07/25/2035 | 377,048 | 375,882 | ||||||
RAMP Series Trust: | ||||||||
Series 2003-RS7, Class AI6, 5.340%, 08/25/2033 | 71,259 | 71,467 | ||||||
Series 2006-NC1, Class A2, 0.377%, 01/25/2036 | 924,933 | 920,456 | ||||||
RASC Series Trust: | ||||||||
Series 2003-KS2, Class AI6, 3.990%, 04/25/2033 | 44,173 | 44,130 | ||||||
Series 2006-KS1, Class A4, 0.487%, 02/25/2036 | 419,520 | 414,743 | ||||||
Specialty Underwriting & Residential Finance Trust, | ||||||||
Series 2006-BC1, Class A2C, 0.387%, 12/25/2036 | 521,941 | 518,139 | ||||||
Springleaf Funding Trust, | ||||||||
Series 2014-AA, Class A, 2.410%, 12/15/2022 (Acquired 05/13/2015, Cost $1,069,339) * | 1,065,000 | 1,066,331 | ||||||
Springleaf Mortgage Loan Trust, | ||||||||
Series 2012-2A, Class A, 2.220%, 10/25/2057 (Acquired 08/20/2014 through 10/22/2014, Cost $396,886) * | 393,024 | 393,997 | ||||||
Synchrony Credit Card Master Note Trust, | ||||||||
Series 2012-3, Class A, 0.636%, 03/15/2020 | 750,000 | 750,709 | ||||||
TCF Auto Receivables Owner Trust, | ||||||||
Series 2015-1A, Class A2, 1.020%, 08/15/2018 (Acquired 06/03/2015, Cost $774,955) * | 775,000 | 775,260 | ||||||
19,021,170 | 12.3% | |||||||
Commercial Mortgage Backed Securities | ||||||||
Bear Stearns Commercial Mortgage Securities Trust, | ||||||||
Series 2005-PWR9, Class A4A, 4.871%, 09/11/2042 | 71,475 | 71,418 | ||||||
COMM Mortgage Trust, | ||||||||
Series 2005-C6, Class A5A, 5.116%, 06/10/2044 | 105,459 | 105,399 | ||||||
J.P. Morgan Chase Commercial Mortgage Securities Trust, | ||||||||
Series 2005-CB12, Class A4, 4.895%, 09/12/2037 | 14,808 | 14,799 | ||||||
Wachovia Bank Commercial Mortgage Trust, | ||||||||
Series 2005-C22, Class A4, 5.448%, 12/15/2044 | 596,615 | 597,357 | ||||||
788,973 | 0.5% | |||||||
Total Long-Term Investments (Cost $150,903,491) | 150,802,420 | 97.7% | ||||||
Shares | ||||||||
SHORT-TERM INVESTMENT | ||||||||
Money Market Mutual Fund | ||||||||
Dreyfus Cash Advantage Fund, 0.08% « | 1,845,667 | 1,845,667 | ||||||
Total Short-Term Investment (Cost $1,845,667) | 1,845,667 | 1.2% | ||||||
INVESTMENTS PURCHASED WITH CASH PROCEEDS FROM | ||||||||
SECURITIES LENDING | ||||||||
Investment Companies | ||||||||
Mount Vernon Securities Lending Trust Prime Portfolio, 0.25% « | 26,093,750 | 26,093,750 | ||||||
Total Investment Companies (Cost $26,093,750) | 26,093,750 | 16.9% | ||||||
Total Investments (Cost $178,842,908) | 178,741,837 | 115.8% | ||||||
Liabilities in Excess of Other Assets | (24,342,929) | (15.8)% | ||||||
TOTAL NET ASSETS | $ 154,398,908 | 100.0% |
Notes to Schedule of Investments | ||
* | Restricted security as defined in Rule 144(a) under the Securities Act of 1933 and determined to be liquid. Purchased in a private placement transaction; resale to the public may require registration or or may extend only to qualified institutional buyers. At June 30, 2015, the value of these securities total $29,116,240, which represents 18.86% of total net assets. | |
@ | This security or portion of this security is out on loan at June 30, 2015. | |
f | Foreign Security | |
« | 7-Day Yield |
Baird Short-Term Bond Fund | ||||||||
Schedule of Investments | ||||||||
June 30, 2015 (Unaudited) | ||||||||
Principal | % of | |||||||
Amount | Value | Net Assets | ||||||
LONG-TERM INVESTMENTS | ||||||||
U.S. Treasury Security | ||||||||
U.S. Treasury Bond, | ||||||||
1.250%, 04/30/2019 @ | $ 292,000,000 | $ 291,338,328 | ||||||
291,338,328 | 10.1% | |||||||
Corporate Bonds | ||||||||
Finance | ||||||||
ABN AMRO Bank NV: | ||||||||
1.079%, 10/28/2016 (Acquired 10/23/2013 through 05/19/2014, Cost $11,056,283) * f | 11,050,000 | 11,098,951 | ||||||
4.250%, 02/02/2017 (Acquired 08/23/2013 through 11/21/2014, Cost $3,810,333) * f | 3,675,000 | 3,840,059 | ||||||
2.500%, 10/30/2018 (Acquired 03/04/2014 through 04/29/2015, Cost $1,159,748) * f | 1,150,000 | 1,168,191 | ||||||
American Express Bank, FSB, | ||||||||
0.489%, 06/12/2017 | 750,000 | 745,380 | ||||||
American Express Co.: | ||||||||
5.500%, 09/12/2016 | 1,213,000 | 1,276,147 | ||||||
7.000%, 03/19/2018 | 2,661,000 | 3,017,848 | ||||||
0.874%, 05/22/2018 | 1,155,000 | 1,151,387 | ||||||
American Express Credit Corp.: | ||||||||
0.789%, 07/29/2016 | 5,000,000 | 5,007,390 | ||||||
0.764%, 08/15/2019 | 2,000,000 | 1,975,744 | ||||||
American International Group, Inc.: | ||||||||
2.375%, 08/24/2015 | 1,100,000 | 1,102,135 | ||||||
5.600%, 10/18/2016 | 5,120,000 | 5,402,117 | ||||||
ANZ New Zealand (Int'l) Ltd.: | ||||||||
1.125%, 03/24/2016 (Acquired 03/20/2013 through 01/16/2014, Cost $5,322,582) * f | 5,324,000 | 5,340,547 | ||||||
2.600%, 09/23/2019 (Acquired 09/16/2014, Cost $3,347,822) * @ f | 3,350,000 | 3,377,765 | ||||||
Aon Corp., | ||||||||
3.125%, 05/27/2016 f | 1,582,000 | 1,613,575 | ||||||
Associates Corp. of North America, | ||||||||
6.950%, 11/01/2018 | 817,000 | 939,945 | ||||||
Australia and New Zealand Banking Group Ltd.: | ||||||||
0.651%, 01/10/2017 (Acquired 01/06/2014, Cost $750,000) * f | 750,000 | 750,901 | ||||||
1.875%, 10/06/2017 f | 750,000 | 758,539 | ||||||
2.250%, 06/13/2019 f | 1,000,000 | 1,004,285 | ||||||
Banco Santander-Chile: | ||||||||
3.750%, 09/22/2015 (Acquired 11/21/2013 through 03/25/2015, Cost $1,834,248) * f | 1,825,000 | 1,831,890 | ||||||
1.176%, 04/11/2017 (Acquired 04/08/2014, Cost $1,800,000) * f | 1,800,000 | 1,795,246 | ||||||
Bank of America Corp.: | ||||||||
10.200%, 07/15/2015 | 4,045,000 | 4,054,372 | ||||||
5.750%, 12/01/2017 | 5,000,000 | 5,446,895 | ||||||
Bank of Montreal, | ||||||||
0.874%, 04/09/2018 f | 1,325,000 | 1,332,256 | ||||||
Barclays Bank PLC: | ||||||||
Series 1, 5.000%, 09/22/2016 f | 5,630,000 | 5,892,319 | ||||||
0.856%, 02/17/2017 f | 4,000,000 | 3,986,284 | ||||||
Barclays PLC, | ||||||||
2.000%, 03/16/2018 f | 4,000,000 | 3,991,228 | ||||||
BB&T Corporation, | ||||||||
1.146%, 06/15/2018 | 4,150,000 | 4,176,431 | ||||||
BBVA U.S. Senior, S.A. Unipersonal, | ||||||||
4.664%, 10/09/2015 f | 10,000,000 | 10,095,800 | ||||||
BNP Paribas: | ||||||||
0.878%, 12/12/2016 f | 4,540,000 | 4,548,817 | ||||||
2.375%, 09/14/2017 f | 3,000,000 | 3,044,934 | ||||||
BNP Paribas SA, | ||||||||
2.375%, 05/21/2020 f | 3,225,000 | 3,192,421 | ||||||
BNZ International Funding Limited, | ||||||||
1.900%, 02/26/2018 (Acquired 02/23/2015, Cost $1,704,647) * f | 1,700,000 | 1,707,589 | ||||||
BNZ International Funding Ltd., | ||||||||
2.350%, 03/04/2019 (Acquired 09/03/2014 through 11/13/2014, Cost $7,239,168) * f | 7,250,000 | 7,259,831 | ||||||
BPCE: | ||||||||
1.129%, 02/10/2017 f | 9,650,000 | 9,703,181 | ||||||
2.500%, 12/10/2018 f | 3,525,000 | 3,576,529 | ||||||
Branch Banking and Trust Co., | ||||||||
0.582%, 05/23/2017 | 9,620,000 | 9,574,642 | ||||||
Caisse Centrale Desjardins: | ||||||||
0.944%, 01/29/2018 (Acquired 01/26/2015, Cost $10,000,000) * f | 10,000,000 | 10,041,770 | ||||||
1.750%, 01/29/2018 (Acquired 04/06/2015, Cost $4,020,117) * f | 4,000,000 | 3,995,400 | ||||||
Canadian Imperial Bank of Commerce, | ||||||||
1.350%, 07/18/2016 @ f | 5,000,000 | 5,029,065 | ||||||
Capital One Bank, (USA), National Association, | ||||||||
2.250%, 02/13/2019 | 1,500,000 | 1,491,409 | ||||||
Capital One Financial Corp.: | ||||||||
6.150%, 09/01/2016 | 1,403,000 | 1,480,847 | ||||||
5.250%, 02/21/2017 | 1,100,000 | 1,167,408 | ||||||
Capital One NA: | ||||||||
1.500%, 09/05/2017 | 5,000,000 | 4,978,810 | ||||||
0.959%, 02/05/2018 | 2,000,000 | 2,000,452 | ||||||
2.400%, 09/05/2019 @ | 5,300,000 | 5,252,825 | ||||||
CIGNA Corp., | ||||||||
5.375%, 03/15/2017 | 2,300,000 | 2,457,311 | ||||||
Citigroup, Inc.: | ||||||||
0.954%, 11/15/2016 | 2,000,000 | 2,003,230 | ||||||
1.550%, 08/14/2017 @ | 2,400,000 | 2,395,795 | ||||||
1.850%, 11/24/2017 @ | 5,000,000 | 5,012,200 | ||||||
1.700%, 04/27/2018 | 2,000,000 | 1,987,144 | ||||||
6.125%, 05/15/2018 | 3,920,000 | 4,374,367 | ||||||
Citizens Bank, National Association, | ||||||||
1.600%, 12/04/2017 | 13,900,000 | 13,877,121 | ||||||
CNA Financial Corp.: | ||||||||
6.500%, 08/15/2016 | 4,995,000 | 5,283,301 | ||||||
7.350%, 11/15/2019 | 10,200,000 | 12,056,533 | ||||||
Comerica Bank: | ||||||||
5.750%, 11/21/2016 | 1,425,000 | 1,519,205 | ||||||
5.200%, 08/22/2017 | 5,325,000 | 5,679,741 | ||||||
2.500%, 06/02/2020 | 7,000,000 | 7,004,214 | ||||||
Commonwealth Bank of Australia, | ||||||||
0.874%, 10/08/2015 (Acquired 12/05/2013, Cost $1,198,800) * f | 1,200,000 | 1,199,916 | ||||||
Compass Bank: | ||||||||
1.850%, 09/29/2017 | 10,505,000 | 10,492,394 | ||||||
2.750%, 09/29/2019 | 3,400,000 | 3,391,599 | ||||||
Countrywide Financial Corp., | ||||||||
6.250%, 05/15/2016 | 4,250,000 | 4,416,876 | ||||||
Credit Agricole SA, | ||||||||
1.132%, 10/03/2016 (Acquired 09/26/2013, Cost $10,000,000) * f | 10,000,000 | 10,049,730 | ||||||
Credit Suisse: | ||||||||
0.772%, 05/26/2017 f | 2,000,000 | 1,994,202 | ||||||
6.000%, 02/15/2018 f | 8,440,000 | 9,262,892 | ||||||
1.700%, 04/27/2018 f | 2,500,000 | 2,482,577 | ||||||
Deutsche Bank Aktiengesellschaft: | ||||||||
0.887%, 02/13/2017 f | 3,850,000 | 3,844,240 | ||||||
Series 3FXD, 1.400%, 02/13/2017 f | 3,000,000 | 2,991,015 | ||||||
0.754%, 05/30/2017 f | 2,640,000 | 2,623,833 | ||||||
6.000%, 09/01/2017 f | 3,467,000 | 3,772,280 | ||||||
Discover Bank, | ||||||||
8.700%, 11/18/2019 | 5,395,000 | 6,562,057 | ||||||
Dresdner Bank AG, | ||||||||
7.250%, 09/15/2015 f | 12,322,000 | 12,450,642 | ||||||
Fifth Third Bancorp: | ||||||||
3.625%, 01/25/2016 | 1,305,000 | 1,324,235 | ||||||
0.701%, 12/20/2016 | 6,135,000 | 6,103,141 | ||||||
5.450%, 01/15/2017 | 619,000 | 656,180 | ||||||
First Horizon National Corp., | ||||||||
5.375%, 12/15/2015 | 3,079,000 | 3,126,204 | ||||||
First Tennessee Bank National Association: | ||||||||
5.650%, 04/01/2016 | 7,219,000 | 7,445,135 | ||||||
2.950%, 12/01/2019 | 2,000,000 | 1,999,006 | ||||||
General Electric Capital Corp.: | ||||||||
5.625%, 09/15/2017 | 9,080,000 | 9,887,503 | ||||||
5.625%, 05/01/2018 | 175,000 | 193,694 | ||||||
0.787%, 01/14/2019 | 1,750,000 | 1,750,586 | ||||||
Genworth Holdings, Inc., | ||||||||
8.625%, 12/15/2016 | 1,000,000 | 1,075,000 | ||||||
Hana Bank, | ||||||||
1.404%, 11/09/2016 (Acquired 11/05/2013, Cost $7,003,496) * f | 7,000,000 | 7,028,301 | ||||||
HSBC Bank USA, National Association, | ||||||||
6.000%, 08/09/2017 | 925,000 | 1,005,888 | ||||||
HSBC Finance Corp.: | ||||||||
5.500%, 01/19/2016 | 556,000 | 569,488 | ||||||
6.676%, 01/15/2021 | 221,000 | 255,676 | ||||||
HSBC USA, Inc.: | ||||||||
1.162%, 09/24/2018 @ | 1,000,000 | 1,004,044 | ||||||
0.887%, 11/13/2019 | 9,750,000 | 9,712,004 | ||||||
Huntington Bancshares Inc., | ||||||||
2.600%, 08/02/2018 | 3,250,000 | 3,290,843 | ||||||
Huntington National Bank, | ||||||||
2.000%, 06/30/2018 | 5,500,000 | 5,505,395 | ||||||
ING Bank NV: | ||||||||
4.000%, 03/15/2016 (Acquired 03/08/2012 through 07/15/2013, Cost $5,859,615) * f | 5,783,000 | 5,906,640 | ||||||
3.750%, 03/07/2017 (Acquired 05/30/2013 through 01/13/2014, Cost $3,296,863) * f | 3,200,000 | 3,324,909 | ||||||
J.P. Morgan Chase & Co.: | ||||||||
0.827%, 04/25/2018 | 3,500,000 | 3,501,831 | ||||||
Series 1, 0.909%, 01/28/2019 @ | 750,000 | 748,663 | ||||||
2.250%, 01/23/2020 @ | 8,100,000 | 7,959,740 | ||||||
Kemper Corp., | ||||||||
6.000%, 05/15/2017 | 4,565,000 | 4,867,577 | ||||||
KeyBank National Association: | ||||||||
4.950%, 09/15/2015 | 920,000 | 925,963 | ||||||
2.500%, 12/15/2019 | 5,325,000 | 5,348,020 | ||||||
Kookmin Bank: | ||||||||
1.152%, 01/27/2017 (Acquired 01/21/2014 through 02/20/2014, Cost $4,751,954) * f | 4,750,000 | 4,773,878 | ||||||
1.625%, 07/14/2017 (Acquired 07/07/2014, Cost $5,983,080) * f | 6,000,000 | 5,991,720 | ||||||
LeasePlan Corp. NV, | ||||||||
2.500%, 05/16/2018 (Acquired 05/07/2013 through 10/20/2014, Cost $14,714,441) * f | 14,785,000 | 14,806,734 | ||||||
Lloyds Bank PLC: | ||||||||
4.875%, 01/21/2016 f | 1,775,000 | 1,813,952 | ||||||
1.750%, 05/14/2018 f | 5,825,000 | 5,819,152 | ||||||
M&I Marshall & Ilsley Bank, | ||||||||
5.000%, 01/17/2017 | 2,488,000 | 2,610,770 | ||||||
Macquarie Bank Ltd.: | ||||||||
2.000%, 08/15/2016 (Acquired 08/07/2013 through 04/29/2015, Cost $10,161,486) * f | 10,150,000 | 10,251,703 | ||||||
0.907%, 10/27/2017 (Acquired 10/22/2014, Cost $5,000,000) * f | 5,000,000 | 5,008,990 | ||||||
Macquarie Group Ltd., | ||||||||
4.875%, 08/10/2017 (Acquired 10/29/2014 through 11/25/2014, Cost $2,921,367) * f | 2,750,000 | 2,906,172 | ||||||
Manufacturers And Traders Trust Co.: | ||||||||
0.579%, 03/07/2016 | 8,150,000 | 8,149,813 | ||||||
0.577%, 07/25/2017 | 1,000,000 | 993,847 | ||||||
6.625%, 12/04/2017 | 1,000,000 | 1,117,682 | ||||||
Marsh & McLennan Cos., Inc., | ||||||||
2.300%, 04/01/2017 | 1,297,000 | �� 1,318,175 | ||||||
Metropolitan Life Global Funding I, | ||||||||
0.651%, 04/10/2017 (Acquired 04/07/2014, Cost $8,500,000) * | 8,500,000 | 8,526,851 | ||||||
Mizuho Bank Ltd., | ||||||||
0.706%, 04/16/2017 (Acquired 04/09/2014, Cost $2,800,000) * f | 2,800,000 | 2,795,481 | ||||||
Mizuho Bank, Ltd., | ||||||||
2.550%, 03/17/2017 (Acquired 05/30/2013 through 05/30/2013, Cost $6,991,681) * f | 6,900,000 | 7,020,336 | ||||||
Morgan Stanley: | ||||||||
1.750%, 02/25/2016 | 2,000,000 | 2,008,140 | ||||||
5.450%, 01/09/2017 | 2,950,000 | 3,126,115 | ||||||
1.022%, 01/05/2018 | 1,500,000 | 1,501,347 | ||||||
6.625%, 04/01/2018 | 2,000,000 | 2,244,112 | ||||||
1.128%, 01/24/2019 | 4,750,000 | 4,748,223 | ||||||
1.417%, 01/27/2020 | 4,000,000 | 4,055,044 | ||||||
MUFG Union Bank, National Association: | ||||||||
3.000%, 06/06/2016 | 6,300,000 | 6,410,823 | ||||||
2.125%, 06/16/2017 | 3,500,000 | 3,550,201 | ||||||
National Australia Bank Ltd., | ||||||||
0.774%, 10/08/2015 (Acquired 03/26/2013 through 08/26/2014, Cost $1,198,889) * f | 1,200,000 | 1,199,946 | ||||||
National City Bank, | ||||||||
5.800%, 06/07/2017 | 2,525,000 | 2,719,440 | ||||||
Nomura Holdings, Inc., | ||||||||
2.000%, 09/13/2016 f | 10,205,000 | 10,279,354 | ||||||
Nordea Bank AB: | ||||||||
3.125%, 03/20/2017 (Acquired 10/03/2012 through 08/21/2013, Cost $5,243,215) * f | 5,140,000 | 5,305,189 | ||||||
1.250%, 04/04/2017 (Acquired 03/31/2014, Cost $3,988,880) * f | 4,000,000 | 3,998,620 | ||||||
Orange Cogen Funding Corp., | ||||||||
8.175%, 03/15/2022 (Acquired 02/10/2015 through 06/16/2015, Cost $8,573,464) * | 7,248,120 | 7,981,789 | ||||||
Paine Webber Group, Inc., | ||||||||
7.990%, 06/09/2017 | 300,000 | 315,448 | ||||||
Principal Financial Group, Inc.: | ||||||||
1.850%, 11/15/2017 @ | 3,500,000 | 3,525,060 | ||||||
8.875%, 05/15/2019 | 7,435,000 | 9,152,864 | ||||||
Prudential Covered Trust, | ||||||||
2.997%, 09/30/2015 (Acquired 10/16/2012 through 04/29/2015, Cost $2,406,389) * | 2,397,500 | 2,410,041 | ||||||
Prudential Financial, Inc., | ||||||||
6.100%, 06/15/2017 | 4,720,000 | 5,128,813 | ||||||
Rabobank Nederland, | ||||||||
3.375%, 01/19/2017 f | 1,092,000 | 1,127,960 | ||||||
Raymond James Financial, Inc., | ||||||||
4.250%, 04/15/2016 | 5,600,000 | 5,739,961 | ||||||
Regions Bank, | ||||||||
7.500%, 05/15/2018 | 4,670,000 | 5,360,357 | ||||||
Reliance Standard Life Global Funding II, | ||||||||
2.500%, 01/15/2020 (Acquired 01/07/2015, Cost $5,979,540) * | 6,000,000 | 5,966,448 | ||||||
Royal Bank of Canada, | ||||||||
1.400%, 10/13/2017 f | 8,450,000 | 8,472,621 | ||||||
Royal Bank of Scotland Group PLC, | ||||||||
2.550%, 09/18/2015 f | 4,430,000 | 4,442,386 | ||||||
Santander Bank NA, | ||||||||
8.750%, 05/30/2018 | 2,238,000 | 2,608,646 | ||||||
Santander Holdings USA, Inc., | ||||||||
3.000%, 09/24/2015 | 2,975,000 | 2,983,211 | ||||||
Skandinaviska Enskilda Banken AB, | ||||||||
2.450%, 05/27/2020 (Acquired 05/19/2015, Cost $4,692,762) * f | 4,700,000 | 4,660,962 | ||||||
Societe Generale: | ||||||||
3.100%, 09/14/2015 (Acquired 02/06/2013 through 06/19/2013, Cost $3,486,593) * f | 3,475,000 | 3,489,247 | ||||||
5.750%, 04/20/2016 (Acquired 07/08/2014, Cost $1,955,255) * f | 1,890,000 | 1,949,318 | ||||||
1.364%, 10/01/2018 f | 6,000,000 | 6,092,016 | ||||||
2.625%, 10/01/2018 f | 1,000,000 | 1,021,229 | ||||||
Standard Chartered PLC: | ||||||||
0.619%, 09/08/2017 (Acquired 09/03/2014, Cost $10,000,000) * f | 10,000,000 | 9,923,620 | ||||||
0.914%, 04/17/2018 (Acquired 04/13/2015, Cost $2,000,000) * f | 2,000,000 | 1,998,898 | ||||||
2.400%, 09/08/2019 (Acquired 09/03/2014 through 04/29/2015, Cost $2,223,584) * @ f | 2,225,000 | 2,222,486 | ||||||
Sumitomo Mitsui Banking Corp.: | ||||||||
1.450%, 07/19/2016 @ f | 4,000,000 | 4,014,816 | ||||||
0.701%, 01/10/2017 f | 2,075,000 | 2,074,983 | ||||||
2.450%, 01/16/2020 f | 4,500,000 | 4,510,229 | ||||||
SunTrust Bank: | ||||||||
0.572%, 08/24/2015 | 1,000,000 | 999,845 | ||||||
5.000%, 09/01/2015 | 2,396,000 | 2,411,641 | ||||||
7.250%, 03/15/2018 | 154,000 | 175,147 | ||||||
SunTrust Banks, Inc., | ||||||||
6.000%, 09/11/2017 | 780,000 | 851,482 | ||||||
SUSA Partnership LP, | ||||||||
8.200%, 06/01/2017 | 714,000 | 797,789 | ||||||
Svenska Handelsbanken AB: | ||||||||
3.125%, 07/12/2016 f | 175,000 | 179,124 | ||||||
2.875%, 04/04/2017 f | 275,000 | 283,113 | ||||||
1.625%, 03/21/2018 f | 1,100,000 | 1,101,999 | ||||||
0.773%, 06/17/2019 f | 2,000,000 | 1,999,004 | ||||||
Symetra Financial Corp., | ||||||||
6.125%, 04/01/2016 (Acquired 11/24/2014, Cost $2,718,531) * | 2,630,000 | 2,708,287 | ||||||
Synchrony Financial, | ||||||||
3.000%, 08/15/2019 @ | 13,350,000 | 13,445,025 | ||||||
The Bank of New York Mellon Corp., | ||||||||
0.838%, 08/01/2018 | 1,000,000 | 1,003,614 | ||||||
The Bank Of Nova Scotia, | ||||||||
0.756%, 06/11/2018 f | 3,500,000 | 3,496,930 | ||||||
The Bank of Tokyo-Mitsubishi UFJ Ltd.: | ||||||||
0.655%, 07/15/2016 f | 5,000,000 | 4,998,860 | ||||||
0.692%, 03/10/2017 (Acquired 11/24/2014, Cost $3,296,337) * f | 3,300,000 | 3,297,525 | ||||||
The Bear Stearns Companies LLC: | ||||||||
6.400%, 10/02/2017 | 7,700,000 | 8,474,512 | ||||||
7.250%, 02/01/2018 | 450,000 | 509,772 | ||||||
The Goldman Sachs Group, Inc.: | ||||||||
6.250%, 09/01/2017 | 4,583,000 | 5,017,267 | ||||||
1.382%, 12/10/2017 | 1,000,000 | 996,339 | ||||||
5.950%, 01/18/2018 | 1,045,000 | 1,148,752 | ||||||
6.150%, 04/01/2018 | 4,775,000 | 5,309,227 | ||||||
2.900%, 07/19/2018 | 1,000,000 | 1,023,528 | ||||||
7.500%, 02/15/2019 | 3,000,000 | 3,523,827 | ||||||
The Hartford Financial Services Group, Inc.: | ||||||||
5.500%, 10/15/2016 | 3,150,000 | 3,312,924 | ||||||
5.375%, 03/15/2017 | 3,145,000 | 3,342,034 | ||||||
6.300%, 03/15/2018 | 1,825,000 | 2,029,789 | ||||||
6.000%, 01/15/2019 | 455,000 | 508,422 | ||||||
The Huntington National Bank, | ||||||||
1.350%, 08/02/2016 | 5,000,000 | 5,003,445 | ||||||
UBS AG: | ||||||||
5.875%, 12/20/2017 f | 1,000,000 | 1,100,118 | ||||||
1.800%, 03/26/2018 f | 8,825,000 | 8,811,869 | ||||||
5.750%, 04/25/2018 f | 3,351,000 | 3,712,472 | ||||||
Voya Financial, Inc., | ||||||||
2.900%, 02/15/2018 | 14,708,000 | 15,093,291 | ||||||
Wells Fargo Bank, National Association: | ||||||||
0.486%, 05/16/2016 | 7,000,000 | 6,980,995 | ||||||
6.000%, 11/15/2017 | 610,000 | 671,940 | ||||||
Westpac Banking Corp.: | ||||||||
2.000%, 08/14/2017 f | 2,000,000 | 2,027,766 | ||||||
0.653%, 12/01/2017 f | 10,000,000 | 9,996,750 | ||||||
Willis North America, Inc., | ||||||||
5.625%, 07/15/2015 | 6,650,000 | 6,657,953 | ||||||
779,147,234 | 26.9% |
Utility | ||||||||
Beaver Valley II Funding Corp., | ||||||||
9.000%, 06/01/2017 | 245,000 | 264,600 | ||||||
Commonwealth Edison Co.: | ||||||||
Series 104, 5.950%, 08/15/2016 | 550,000 | 580,065 | ||||||
6.150%, 09/15/2017 | 100,000 | 110,182 | ||||||
Dominion Resources, Inc.: | ||||||||
6.400%, 06/15/2018 | 3,550,000 | 4,003,154 | ||||||
2.500%, 12/01/2019 | 9,500,000 | 9,528,395 | ||||||
Entergy Corporation, | ||||||||
4.700%, 01/15/2017 | 8,750,000 | 9,106,107 | ||||||
Exelon Corp.: | ||||||||
1.550%, 06/09/2017 | 2,000,000 | 2,002,842 | ||||||
2.850%, 06/15/2020 | 2,275,000 | 2,288,202 | ||||||
National Rural Utilities Cooperative Finance Corp., | ||||||||
10.375%, 11/01/2018 | 675,000 | 859,004 | ||||||
NextEra Energy Capital Holdings, Inc., | ||||||||
1.339%, 09/01/2015 | 5,100,000 | 5,104,753 | ||||||
Pacific Gas and Electric Co., | ||||||||
8.250%, 10/15/2018 | 8,320,000 | 9,974,931 | ||||||
Pepco Holdings, Inc., | ||||||||
2.700%, 10/01/2015 | 1,395,000 | 1,400,505 | ||||||
PPL Energy Supply LLC: | ||||||||
Series A, 5.700%, 10/15/2015 | 6,127,000 | 6,127,000 | ||||||
6.200%, 05/15/2016 | 4,041,000 | 4,151,869 | ||||||
PSEG Power LLC, | ||||||||
5.320%, 09/15/2016 | 4,905,000 | 5,136,060 | ||||||
Public Service Co. of New Mexico, | ||||||||
7.950%, 05/15/2018 | 1,431,000 | 1,665,220 | ||||||
Sempra Energy: | ||||||||
2.300%, 04/01/2017 | 1,300,000 | 1,319,123 | ||||||
9.800%, 02/15/2019 | 2,575,000 | 3,234,133 | ||||||
Southwestern Public Service Co., | ||||||||
5.600%, 10/01/2016 | 3,000,000 | 3,181,005 | ||||||
70,037,150 | 2.4% | |||||||
Industrials | ||||||||
A.P. Meoller - Maersk A/S, | ||||||||
2.550%, 09/22/2019 (Acquired 09/15/2014, Cost $4,540,673) * f | 4,550,000 | 4,581,349 | ||||||
AbbVie, Inc.: | ||||||||
1.750%, 11/06/2017 | 5,049,000 | 5,062,233 | ||||||
1.800%, 05/14/2018 | 9,450,000 | 9,422,227 | ||||||
Actavis Funding SCS: | ||||||||
2.450%, 06/15/2019 f | 3,000,000 | 2,988,036 | ||||||
1.543%, 03/12/2020 f | 1,000,000 | 1,011,081 | ||||||
3.000%, 03/12/2020 @ f | 3,900,000 | 3,908,845 | ||||||
ACTAVIS, Inc., | ||||||||
1.875%, 10/01/2017 | 1,392,000 | 1,393,665 | ||||||
Agrium, Inc., | ||||||||
7.700%, 02/01/2017 f | 5,000,000 | 5,426,315 | ||||||
Alibaba Group Holding Limited, | ||||||||
0.806%, 11/28/2017 (Acquired 11/20/2014, Cost $2,500,000) * f | 2,500,000 | 2,486,760 | ||||||
Altera Corp., | ||||||||
2.500%, 11/15/2018 | 3,000,000 | 3,064,563 | ||||||
America Movil, SAB de CV, | ||||||||
1.288%, 09/12/2016 f | 9,000,000 | 9,019,368 | ||||||
Amgen, Inc.: | ||||||||
0.664%, 05/22/2017 | 2,750,000 | 2,748,771 | ||||||
5.700%, 02/01/2019 @ | 10,000,000 | 11,170,710 | ||||||
Anadarko Petroleum Corp.: | ||||||||
5.950%, 09/15/2016 | 5,705,000 | 6,018,284 | ||||||
6.375%, 09/15/2017 | 2,400,000 | 2,633,770 | ||||||
8.700%, 03/15/2019 @ | 2,970,000 | 3,591,021 | ||||||
Anglo American Capital PLC, | ||||||||
1.225%, 04/15/2016 (Acquired 04/08/2014 through 11/13/2014, Cost $2,045,602) * f | 2,045,000 | 2,040,194 | ||||||
ArcelorMittal SA, | ||||||||
4.500%, 08/05/2015 f | 1,525,000 | 1,525,473 | ||||||
AT&T, Inc., | ||||||||
1.212%, 06/30/2020 | 4,000,000 | 4,015,496 | ||||||
Avon Products, Inc., | ||||||||
3.125%, 03/15/2016 | 2,000,000 | 2,000,000 | ||||||
Baxalta, Inc.: | ||||||||
1.061%, 06/22/2018 (Acquired 06/18/2015, Cost $3,500,000) * | 3,500,000 | 3,498,953 | ||||||
2.000%, 06/22/2018 (Acquired 06/18/2015 through 06/30/2015, Cost $9,199,934) * | 9,200,000 | 9,187,893 | ||||||
Beam Suntory, Inc.: | ||||||||
5.375%, 01/15/2016 | 1,269,000 | 1,299,873 | ||||||
1.875%, 05/15/2017 | 8,000,000 | 8,070,928 | ||||||
Becton Dickinson & Co., | ||||||||
1.450%, 05/15/2017 | 5,315,000 | 5,311,109 | ||||||
Boardwalk Pipelines LP, | ||||||||
5.500%, 02/01/2017 | 13,384,000 | 13,877,321 | ||||||
Boston Scientific Corp.: | ||||||||
5.125%, 01/12/2017 | 3,000,000 | 3,158,523 | ||||||
2.650%, 10/01/2018 | 7,077,000 | 7,178,944 | ||||||
BP Capital Markets: | ||||||||
0.789%, 05/10/2018 f | 1,575,000 | 1,569,678 | ||||||
0.911%, 09/26/2018 f | 7,085,000 | 7,102,507 | ||||||
Bunge Limited Finance Corp.: | ||||||||
5.100%, 07/15/2015 | 2,335,000 | 2,337,104 | ||||||
3.200%, 06/15/2017 | 500,000 | 514,818 | ||||||
8.500%, 06/15/2019 | 3,808,000 | 4,603,369 | ||||||
Bunge NA Finance LP, | ||||||||
5.900%, 04/01/2017 | 1,945,000 | 2,077,742 | ||||||
CF Industries, Inc., | ||||||||
6.875%, 05/01/2018 | 11,182,000 | 12,588,036 | ||||||
Chevron Phillips Chemical Co. LLC, | ||||||||
1.030%, 05/01/2020 (Acquired 05/07/2015, Cost $5,050,000) * | 5,050,000 | 5,059,438 | ||||||
Coca-Cola FEMSA, S.A.B. de C.V., | ||||||||
2.375%, 11/26/2018 f | 4,000,000 | 4,056,400 | ||||||
Colorado Interstate Gas Co., L.L.C., | ||||||||
6.800%, 11/15/2015 | 2,000,000 | 2,042,248 | ||||||
Columbia Pipeline Group, Inc., | ||||||||
2.450%, 06/01/2018 (Acquired 05/19/2015, Cost $4,998,800) * | 5,000,000 | 5,038,610 | ||||||
Computer Sciences Corp., | ||||||||
2.500%, 09/15/2015 | 9,864,000 | 9,893,385 | ||||||
ConAgra Foods, Inc.: | ||||||||
5.819%, 06/15/2017 | 6,234,000 | 6,696,893 | ||||||
1.900%, 01/25/2018 | 9,290,000 | 9,151,588 | ||||||
Cox Communications, Inc.: | ||||||||
6.250%, 06/01/2018 (Acquired 06/24/2015, Cost $10,007,613) * | 9,000,000 | 10,006,983 | ||||||
9.375%, 01/15/2019 (Acquired 02/10/2015, Cost $402,141) * | 325,000 | 396,770 | ||||||
Crane Co., | ||||||||
2.750%, 12/15/2018 | 7,585,000 | 7,734,910 | ||||||
CSX Corp., | ||||||||
7.900%, 05/01/2017 | 2,221,000 | 2,479,782 | ||||||
Daimler Finance North America LLC: | ||||||||
1.250%, 01/11/2016 (Acquired 01/07/2013, Cost $2,846,494) * | 2,850,000 | 2,858,368 | ||||||
0.958%, 08/01/2016 (Acquired 07/24/2013 through 08/26/2014, Cost $2,281,360) * | 2,280,000 | 2,289,523 | ||||||
0.632%, 03/10/2017 (Acquired 03/03/2014, Cost $2,000,000) * | 2,000,000 | 1,999,132 | ||||||
0.618%, 08/01/2017 (Acquired 07/24/2014, Cost $2,000,000) * | 2,000,000 | 1,997,444 | ||||||
1.138%, 08/01/2018 (Acquired 11/14/2014, Cost $2,020,546) * | 2,000,000 | 2,016,970 | ||||||
DCP Midstream LLC, | ||||||||
5.375%, 10/15/2015 (Acquired 01/13/2012, Cost $1,721,918) * | 1,708,000 | 1,708,000 | ||||||
DCP Midstream Operating LP, | ||||||||
2.500%, 12/01/2017 | 400,000 | 387,162 | ||||||
Deutsche Telekom International Finance BV: | ||||||||
5.750%, 03/23/2016 f | 400,000 | 413,487 | ||||||
3.125%, 04/11/2016 (Acquired 03/14/2012 through 06/25/2013, Cost $5,820,053) * f | 5,775,000 | 5,873,221 | ||||||
6.750%, 08/20/2018 f | 3,900,000 | 4,473,733 | ||||||
DIRECTV Holdings LLC / DIRECTV Financing Co., Inc., | ||||||||
3.500%, 03/01/2016 | 400,000 | 406,232 | ||||||
Dollar General Corp., | ||||||||
4.125%, 07/15/2017 | 17,321,000 | 18,112,258 | ||||||
Eaton Corp., | ||||||||
1.500%, 11/02/2017 | 5,000,000 | 4,996,585 | ||||||
El Paso Natural Gas Co. LLC, | ||||||||
5.950%, 04/15/2017 | 2,050,000 | 2,192,631 | ||||||
El Paso Pipeline Partners Operating Co. LLC, | ||||||||
4.100%, 11/15/2015 | 5,286,000 | 5,340,974 | ||||||
Enable Midstream Partners LP, | ||||||||
2.400%, 05/15/2019 (Acquired 05/19/2014, Cost $2,997,780) * | 3,000,000 | 2,898,924 | ||||||
Enbridge, Inc.: | ||||||||
0.934%, 10/01/2016 f | 2,100,000 | 2,096,630 | ||||||
5.600%, 04/01/2017 f | 5,125,000 | 5,452,190 | ||||||
Energy Transfer Partners LP: | ||||||||
6.125%, 02/15/2017 | 645,000 | 689,943 | ||||||
2.500%, 06/15/2018 | 4,000,000 | 4,006,096 | ||||||
9.700%, 03/15/2019 | 6,994,000 | 8,622,889 | ||||||
Enterprise Products Operating LLC: | ||||||||
1.250%, 08/13/2015 | 3,000,000 | 3,001,413 | ||||||
6.650%, 04/15/2018 | 5,000,000 | 5,641,785 | ||||||
1.650%, 05/07/2018 @ | 2,000,000 | 1,998,004 | ||||||
ERAC USA Finance LLC, | ||||||||
2.350%, 10/15/2019 (Acquired 01/21/2015, Cost $5,030,932) * | 5,000,000 | 4,967,305 | ||||||
Express Scripts Holding Co.: | ||||||||
3.125%, 05/15/2016 | 3,000,000 | 3,049,284 | ||||||
2.650%, 02/15/2017 | 1,259,000 | 1,281,551 | ||||||
Federal Express Corp 2012 Pass Through Trust, | ||||||||
2.625%, 01/15/2018 (Acquired 01/20/2012 through 05/07/2012, Cost $1,028,322) * | 1,027,290 | 1,037,092 | ||||||
Federal Express Corp. 1998 Pass Through Trust, | ||||||||
Series 981B, 6.845%, 01/15/2019 | 2,761,722 | 3,011,418 | ||||||
FedEx Corp., | ||||||||
2.300%, 02/01/2020 @ | 2,000,000 | 1,987,802 | ||||||
Fidelity National Information Services, Inc.: | ||||||||
1.450%, 06/05/2017 | 3,000,000 | 2,993,232 | ||||||
2.000%, 04/15/2018 | 2,295,000 | 2,292,877 | ||||||
Fiserv, Inc.: | ||||||||
3.125%, 10/01/2015 | 2,736,000 | 2,750,553 | ||||||
2.700%, 06/01/2020 | 3,500,000 | 3,493,283 | ||||||
Florida Gas Transmission Co. LLC, | ||||||||
4.000%, 07/15/2015 (Acquired 09/12/2012 through 10/15/2013, Cost $3,453,559) * | 3,450,000 | 3,452,757 | ||||||
Ford Motor Credit Co. LLC: | ||||||||
2.500%, 01/15/2016 | 800,000 | 806,464 | ||||||
6.625%, 08/15/2017 | 9,100,000 | 9,983,455 | ||||||
1.724%, 12/06/2017 | 1,250,000 | 1,243,510 | ||||||
Forest Laboratories, Inc., | ||||||||
4.375%, 02/01/2019 (Acquired 08/13/2014 through 04/29/2015, Cost $10,246,072) * | 9,675,000 | 10,239,507 | ||||||
Freeport-McMoRan, Inc.: | ||||||||
2.150%, 03/01/2017 | 2,000,000 | 2,002,898 | ||||||
2.300%, 11/14/2017 | 11,444,000 | 11,408,752 | ||||||
Georgia-Pacific LLC, | ||||||||
5.400%, 11/01/2020 (Acquired 03/12/2015, Cost $4,022,188) * | 3,570,000 | 3,985,116 | ||||||
Glencore Canada Corp., | ||||||||
6.000%, 10/15/2015 f | 2,245,000 | 2,274,248 | ||||||
Glencore Finance (Canada) Ltd., | ||||||||
2.050%, 10/23/2015 (Acquired 10/18/2012, Cost $2,999,040) * f | 3,000,000 | 3,007,683 | ||||||
Glencore Funding LLC: | ||||||||
1.700%, 05/27/2016 (Acquired 05/22/2013, Cost $2,998,770) * | 3,000,000 | 3,003,372 | ||||||
1.635%, 01/15/2019 (Acquired 06/17/2014, Cost $5,037,077) * | 5,000,000 | 4,994,825 | ||||||
2.500%, 01/15/2019 (Acquired 05/22/2013, Cost $597,012) * | 600,000 | 593,267 | ||||||
GTE Corporation, | ||||||||
6.840%, 04/15/2018 | 140,000 | 159,077 | ||||||
Gulfstream Natural Gas System LLC, | ||||||||
6.950%, 06/01/2016 (Acquired 07/22/2013 through 08/27/2013, Cost $8,028,664) * | 7,646,000 | 7,981,415 | ||||||
Harris Corp., | ||||||||
1.999%, 04/27/2018 | 5,000,000 | 4,985,435 | ||||||
Heineken NV, | ||||||||
1.400%, 10/01/2017 (Acquired 10/02/2012, Cost $1,993,400) * f | 2,000,000 | 2,000,220 | ||||||
Hess Corp., | ||||||||
8.125%, 02/15/2019 @ | 3,982,000 | 4,714,278 | ||||||
Hewlett Packard Co., | ||||||||
2.600%, 09/15/2017 | 500,000 | 509,041 | ||||||
Hewlett-Packard Co.: | ||||||||
3.000%, 09/15/2016 | 550,000 | 561,173 | ||||||
1.217%, 01/14/2019 | 5,700,000 | 5,619,903 | ||||||
2.750%, 01/14/2019 | 1,119,000 | 1,131,141 | ||||||
HJ Heinz Co., | ||||||||
2.000%, 07/02/2018 (Acquired 06/23/2015, Cost $9,980,000) * | 10,000,000 | 9,996,840 | ||||||
Hospira, Inc., | ||||||||
6.050%, 03/30/2017 | 9,654,000 | 10,387,299 | ||||||
Husky Energy, Inc., | ||||||||
6.200%, 09/15/2017 f | 1,000,000 | 1,085,875 | ||||||
Husky Oil Ltd., | ||||||||
7.550%, 11/15/2016 f | 2,500,000 | 2,688,120 | ||||||
Hutchison Whampoa International (09/16) Ltd., | ||||||||
4.625%, 09/11/2015 (Acquired 09/24/2012 through 06/25/2013, Cost $9,143,497) * f | 9,090,000 | 9,156,175 | ||||||
Hutchison Whampoa International (14) Ltd., | ||||||||
1.625%, 10/31/2017 (Acquired 10/28/2014, Cost $4,988,500) * f | 5,000,000 | 4,985,000 | ||||||
Hyundai Capital Services, Inc.: | ||||||||
4.375%, 07/27/2016 (Acquired 05/11/2012 through 12/05/2013, Cost $6,358,292) * f | 6,230,000 | 6,427,180 | ||||||
3.500%, 09/13/2017 (Acquired 06/04/2014 through 04/29/2015, Cost $2,281,814) * f | 2,200,000 | 2,277,970 | ||||||
Ingersoll-Rand Global Holding Co. Ltd., | ||||||||
6.875%, 08/15/2018 | 7,250,000 | 8,242,576 | ||||||
Ingredion, Inc., | ||||||||
1.800%, 09/25/2017 | 9,100,000 | 9,095,423 | ||||||
Johnson Controls, Inc., | ||||||||
5.500%, 01/15/2016 @ | 7,370,000 | 7,555,127 | ||||||
Kia Motors Corp., | ||||||||
3.625%, 06/14/2016 (Acquired 02/18/2014, Cost $1,427,412) * f | 1,400,000 | 1,429,898 | ||||||
Kinder Morgan Energy Partners LP: | ||||||||
6.000%, 02/01/2017 | 250,000 | 266,242 | ||||||
5.950%, 02/15/2018 @ | 1,710,000 | 1,868,638 | ||||||
Kinder Morgan, Inc., | ||||||||
2.000%, 12/01/2017 @ | 3,000,000 | 2,990,895 | ||||||
L-3 Communications Corp., | ||||||||
1.500%, 05/28/2017 | 2,000,000 | 1,986,268 | ||||||
Laboratory Corporation of America Holdings: | ||||||||
5.625%, 12/15/2015 | 2,491,000 | 2,541,164 | ||||||
3.125%, 05/15/2016 | 2,000,000 | 2,033,116 | ||||||
2.625%, 02/01/2020 | 2,000,000 | 1,984,500 | ||||||
Marathon Oil Corp., | ||||||||
6.000%, 10/01/2017 | 7,805,000 | 8,531,794 | ||||||
Marathon Petroleum Corp., | ||||||||
3.500%, 03/01/2016 | 1,503,000 | 1,528,378 | ||||||
Masco Corp., | ||||||||
6.125%, 10/03/2016 | 9,779,000 | 10,292,398 | ||||||
McKesson Corp., | ||||||||
0.682%, 09/10/2015 | 435,000 | 434,965 | ||||||
Medco Health Solutions, Inc., | ||||||||
2.750%, 09/15/2015 | 375,000 | 376,547 | ||||||
Medtronic, Inc., | ||||||||
1.086%, 03/15/2020 (Acquired 12/01/2014, Cost $2,250,000) * | 2,250,000 | 2,272,565 | ||||||
Mondelez International, Inc., | ||||||||
0.798%, 02/01/2019 | 9,337,000 | 9,232,052 | ||||||
Murphy Oil Corp., | ||||||||
2.500%, 12/01/2017 | 10,281,000 | 10,261,877 | ||||||
Mylan, Inc.: | ||||||||
1.800%, 06/24/2016 | 1,500,000 | 1,500,752 | ||||||
2.600%, 06/24/2018 | 1,150,000 | 1,158,321 | ||||||
7.875%, 07/15/2020 (Acquired 07/16/2013 through 09/16/2013, Cost $6,250,080) * | 6,000,000 | 6,250,350 | ||||||
Nabors Industries, Inc., | ||||||||
2.350%, 09/15/2016 | 2,000,000 | 2,005,842 | ||||||
National Oilwell Varco, Inc., | ||||||||
Series B, 6.125%, 08/15/2015 | 4,700,000 | 4,703,158 | ||||||
Nationwide Building Society, | ||||||||
2.350%, 01/21/2020 (Acquired 01/12/2015, Cost $4,998,350) * f | 5,000,000 | 4,982,495 | ||||||
NBCUniversal Enterprise, Inc., | ||||||||
0.812%, 04/15/2016 (Acquired 07/03/2013 through 10/21/2013, Cost $2,262,591) * | 2,260,000 | 2,266,482 | ||||||
NiSource Finance Corp., | ||||||||
6.400%, 03/15/2018 | 199,000 | 223,019 | ||||||
Nissan Motor Acceptance Corp.: | ||||||||
0.981%, 09/26/2016 (Acquired 09/19/2013, Cost $5,000,000) * | 5,000,000 | 5,023,895 | ||||||
0.833%, 03/03/2017 (Acquired 02/25/2014, Cost $3,000,000) * | 3,000,000 | 3,010,914 | ||||||
2.650%, 09/26/2018 (Acquired 07/29/2014 through 11/05/2014, Cost $4,446,355) * | 4,365,000 | 4,477,002 | ||||||
Noble Holding International Ltd.: | ||||||||
3.450%, 08/01/2015 f | 4,552,000 | 4,556,629 | ||||||
2.500%, 03/15/2017 f | 5,510,000 | 5,503,124 | ||||||
4.000%, 03/16/2018 f | 1,848,000 | 1,892,008 | ||||||
ONEOK Partners LP: | ||||||||
3.250%, 02/01/2016 | 1,000,000 | 1,009,437 | ||||||
6.150%, 10/01/2016 | 5,289,000 | 5,587,003 | ||||||
2.000%, 10/01/2017 | 2,858,000 | 2,864,008 | ||||||
8.625%, 03/01/2019 | 1,500,000 | 1,784,226 | ||||||
Pentair Finance SA, | ||||||||
1.875%, 09/15/2017 f | 4,000,000 | 4,015,000 | ||||||
Petrofac Ltd., | ||||||||
3.400%, 10/10/2018 (Acquired 10/03/2013 through 04/29/2015, Cost $12,113,492) * f | 11,925,000 | 11,799,000 | ||||||
PetroLogistics LP / PetroLogistics Finance Corp., | ||||||||
6.250%, 04/01/2020 | 11,755,000 | 12,568,328 | ||||||
Phillips 66, | ||||||||
2.950%, 05/01/2017 | 3,000,000 | 3,083,625 | ||||||
Phillips 66 Partners LP, | ||||||||
2.646%, 02/15/2020 | 2,000,000 | 1,967,454 | ||||||
Pioneer Natural Resources Co.: | ||||||||
5.875%, 07/15/2016 | 10,133,000 | 10,589,684 | ||||||
6.650%, 03/15/2017 | 1,260,000 | 1,362,598 | ||||||
6.875%, 05/01/2018 | 1,000,000 | 1,122,822 | ||||||
Plum Creek Timberlands LP, | ||||||||
5.875%, 11/15/2015 | 9,700,000 | 9,865,550 | ||||||
PPG Industries, Inc., | ||||||||
1.900%, 01/15/2016 | 1,552,000 | 1,562,437 | ||||||
Quest Diagnostics, Inc., | ||||||||
3.200%, 04/01/2016 | 2,525,000 | 2,567,948 | ||||||
Republic Services, Inc.: | ||||||||
3.800%, 05/15/2018 | 7,990,000 | 8,411,209 | ||||||
5.500%, 09/15/2019 | 6,446,000 | 7,199,885 | ||||||
Rockwood Specialties Group, Inc., | ||||||||
4.625%, 10/15/2020 | 4,250,000 | 4,425,313 | ||||||
Rohm and Haas Co., | ||||||||
6.000%, 09/15/2017 | 646,000 | 705,717 | ||||||
RPM International, Inc., | ||||||||
6.500%, 02/15/2018 | 3,870,000 | 4,277,488 | ||||||
SABMiller Holdings, Inc., | ||||||||
0.968%, 08/01/2018 (Acquired 08/06/2013 through 11/14/2014, Cost $7,203,557) * | 7,180,000 | 7,199,415 | ||||||
Southwestern Bell Telephone LP, | ||||||||
7.000%, 07/01/2015 | 875,000 | 875,000 | ||||||
Sunoco, Inc., | ||||||||
5.750%, 01/15/2017 | 600,000 | 632,093 | ||||||
Teck Resources Ltd., | ||||||||
3.850%, 08/15/2017 f | 12,236,000 | 12,617,604 | ||||||
Telecom Italia Capital, | ||||||||
5.250%, 10/01/2015 f | 10,960,000 | 11,051,516 | ||||||
Telefonica Emisiones SAU: | ||||||||
6.421%, 06/20/2016 f | 7,290,000 | 7,622,395 | ||||||
6.221%, 07/03/2017 f | 1,344,000 | 1,460,843 | ||||||
Telefonica Moviles Chile SA, | ||||||||
2.875%, 11/09/2015 (Acquired 11/03/2010 through 04/04/2012, Cost $1,017,164) * f | 1,020,000 | 1,024,835 | ||||||
Temple-Inland, Inc., | ||||||||
6.625%, 01/15/2018 | 4,676,000 | 5,187,676 | ||||||
Tennessee Gas Pipeline Company LLC, | ||||||||
8.000%, 02/01/2016 | 1,000,000 | 1,037,570 | ||||||
Texas Eastern Transmission LP, | ||||||||
6.000%, 09/15/2017 (Acquired 05/21/2015, Cost $4,054,494) * | 3,705,000 | 4,047,650 | ||||||
The ADT Corp., | ||||||||
2.250%, 07/15/2017 @ | 6,700,000 | 6,634,340 | ||||||
The Dow Chemical Co., | ||||||||
8.550%, 05/15/2019 | 11,427,000 | 13,932,175 | ||||||
The JM Smucker Co.: | ||||||||
1.750%, 03/15/2018 (Acquired 03/12/2015, Cost $2,546,175) * @ | 2,550,000 | 2,548,248 | ||||||
2.500%, 03/15/2020 (Acquired 03/12/2015, Cost $2,713,337) * | 2,725,000 | 2,709,201 | ||||||
The Valspar Corp., | ||||||||
5.100%, 08/01/2015 | 10,450,000 | 10,481,225 | ||||||
Thermo Fisher Scientific, Inc., | ||||||||
1.850%, 01/15/2018 | 12,000,000 | 11,983,512 | ||||||
Thomson Reuters Corp.: | ||||||||
0.875%, 05/23/2016 f | 4,650,000 | 4,640,584 | ||||||
1.650%, 09/29/2017 f | 7,000,000 | 6,997,711 | ||||||
Time Warner Cable, Inc.: | ||||||||
5.850%, 05/01/2017 | 2,355,000 | 2,514,829 | ||||||
8.750%, 02/14/2019 | 4,395,000 | 5,219,731 | ||||||
8.250%, 04/01/2019 | 1,000,000 | 1,176,095 | ||||||
Time Warner Co., Inc., | ||||||||
7.250%, 10/15/2017 | 7,831,000 | 8,827,863 | ||||||
Total Capital International: | ||||||||
0.849%, 08/10/2018 @ f | 4,350,000 | 4,365,934 | ||||||
0.636%, 06/19/2019 f | 7,700,000 | 7,669,077 | ||||||
TransCanada PipeLines Ltd.: | ||||||||
0.962%, 06/30/2016 f | 2,575,000 | 2,577,032 | ||||||
1.875%, 01/12/2018 f | 4,000,000 | 4,026,440 | ||||||
Transocean, Inc.: | ||||||||
5.500%, 12/15/2016 f | 400,000 | 413,988 | ||||||
3.000%, 10/15/2017 @ f | 7,400,000 | 7,178,000 | ||||||
TSMC Global Ltd.: | ||||||||
0.950%, 04/03/2016 (Acquired 03/27/2013, Cost $1,999,760) * f | 2,000,000 | 1,994,590 | ||||||
1.625%, 04/03/2018 (Acquired 08/05/2014 through 06/24/2015, Cost $9,594,706) * f | 9,712,000 | 9,600,885 | ||||||
Tyco Electronics Group SA, | ||||||||
6.550%, 10/01/2017 f | 860,000 | 954,241 | ||||||
Vale Overseas Ltd., | ||||||||
6.250%, 01/23/2017 @ f | 8,890,000 | 9,401,886 | ||||||
Valero Energy Corp.: | ||||||||
6.125%, 06/15/2017 | 1,120,000 | 1,217,315 | ||||||
9.375%, 03/15/2019 | 10,349,000 | 12,736,369 | ||||||
Verizon Communications, Inc.: | ||||||||
2.500%, 09/15/2016 | 2,057,000 | 2,090,377 | ||||||
3.650%, 09/14/2018 @ | 14,000,000 | 14,725,018 | ||||||
Viacom, Inc., | ||||||||
6.250%, 04/30/2016 | 2,255,000 | 2,354,031 | ||||||
Vodafone Group Public Ltd. Co., | ||||||||
5.625%, 02/27/2017 f | 2,000,000 | 2,125,046 | ||||||
Volkswagen Group of America Finance LLC: | ||||||||
0.652%, 05/23/2017 (Acquired 05/15/2014, Cost $2,750,000) * | 2,750,000 | 2,749,758 | ||||||
0.716%, 11/20/2017 (Acquired 11/12/2014, Cost $4,500,000) * | 4,500,000 | 4,507,124 | ||||||
Walgreen Co., | ||||||||
5.250%, 01/15/2019 @ | 9,392,000 | 10,298,272 | ||||||
Walgreens Boots Alliance, Inc., | ||||||||
1.750%, 11/17/2017 | 1,150,000 | 1,154,518 | ||||||
WEA Finance LLC / Westfield UK & Europe Finance PLC, | ||||||||
2.700%, 09/17/2019 (Acquired 09/10/2014, Cost $6,986,000) * @ | 7,000,000 | 7,010,311 | ||||||
Weatherford International Ltd., | ||||||||
5.500%, 02/15/2016 f | 600,000 | 612,839 | ||||||
Williams Partners LP, | ||||||||
7.250%, 02/01/2017 | 935,000 | 1,013,114 | ||||||
Xerox Corp.: | ||||||||
6.400%, 03/15/2016 | 2,893,000 | 3,000,666 | ||||||
6.750%, 02/01/2017 | 2,626,000 | 2,828,703 | ||||||
Yara International ASA, | ||||||||
7.875%, 06/11/2019 (Acquired 10/02/2014, Cost $591,053) * f | 500,000 | 583,381 | ||||||
Yum! Brands, Inc.: | ||||||||
4.250%, 09/15/2015 | 8,425,000 | 8,471,405 | ||||||
6.250%, 04/15/2016 | 2,000,000 | 2,077,540 | ||||||
Zimmer Holdings, Inc., | ||||||||
2.700%, 04/01/2020 | 4,725,000 | 4,701,625 | ||||||
Zoetis, Inc., | ||||||||
1.150%, 02/01/2016 | 1,000,000 | 1,000,220 | ||||||
968,150,915 | 33.5% | |||||||
Total Corporate Bonds | 1,817,335,299 | 62.8% | ||||||
Other Government Related Securities | ||||||||
Centrais Eletricas Brasileiras SA, | ||||||||
7.750%, 11/30/2015 (Acquired 12/06/2012 through 12/06/2012, Cost $3,069,357) * f | 3,000,000 | 3,030,000 | ||||||
CNOOC Finance 2013 Ltd.: | ||||||||
1.125%, 05/09/2016 f | 2,575,000 | 2,572,850 | ||||||
1.750%, 05/09/2018 f | 1,000,000 | 995,973 | ||||||
CNOOC Nexen Finance (2014) ULC, | ||||||||
1.625%, 04/30/2017 f | 5,000,000 | 5,007,130 | ||||||
CNPC General Capital Ltd., | ||||||||
1.175%, 05/14/2017 (Acquired 05/07/2014, Cost $4,750,000) * f | 4,750,000 | 4,742,666 | ||||||
CNPC HK Overseas Capital Ltd., | ||||||||
3.125%, 04/28/2016 (Acquired 12/18/2012 through 07/23/2014, Cost $2,401,398) * f | 2,375,000 | 2,409,627 | ||||||
Corp Andina de Fomento, | ||||||||
5.750%, 01/12/2017 f | 250,000 | 265,686 | ||||||
Electricite de France SA, | ||||||||
0.735%, 01/20/2017 (Acquired 01/13/2014, Cost $9,750,000) * f | 9,750,000 | 9,759,653 | ||||||
Export-Import Bank of Korea, | ||||||||
1.027%, 01/14/2017 f | 1,570,000 | 1,576,423 | ||||||
Korea Expressway Corp., | ||||||||
1.625%, 04/28/2017 (Acquired 06/23/2014, Cost $3,989,480) * f | 4,000,000 | 3,998,568 | ||||||
Korea Hydro & Nuclear Power Co., Ltd., | ||||||||
2.875%, 10/02/2018 (Acquired 09/25/2013, Cost $2,982,150) * f | 3,000,000 | 3,075,930 | ||||||
Nexen Energy ULC, | ||||||||
6.200%, 07/30/2019 f | 2,065,000 | 2,336,469 | ||||||
Petrobras Global Finance BV, | ||||||||
2.643%, 03/17/2017 f | 4,000,000 | 3,928,800 | ||||||
Petrobras International Finance Co. SA, | ||||||||
3.875%, 01/27/2016 f | 6,975,000 | 7,004,783 | ||||||
Petroleos Mexicanos, | ||||||||
8.000%, 05/03/2019 f | 5,000,000 | 5,858,000 | ||||||
Sinopec Capital (2013) Ltd., | ||||||||
1.250%, 04/24/2016 (Acquired 01/10/2014, Cost $4,250,069) * f | 4,250,000 | 4,249,065 | ||||||
Sinopec Group Overseas Development [2014] Ltd., | ||||||||
1.750%, 04/10/2017 (Acquired 04/02/2014, Cost $6,984,110) * f | 7,000,000 | 7,003,990 | ||||||
Sinopec Group Overseas Development [2015] Ltd., | ||||||||
2.500%, 04/28/2020 (Acquired 04/21/2015, Cost $2,987,280) * f | 3,000,000 | 2,954,820 | ||||||
The Korea Development Bank: | ||||||||
0.901%, 01/22/2017 f | 5,000,000 | 4,997,975 | ||||||
3.875%, 05/04/2017 f | 2,350,000 | 2,445,363 | ||||||
3.000%, 03/17/2019 f | 2,475,000 | 2,545,684 | ||||||
80,759,455 | 2.8% | |||||||
Taxable Municipal Bonds | ||||||||
Chippewa Valley Schools, | ||||||||
1.180%, 05/01/2017 | 7,175,000 | 7,152,829 | ||||||
City of Cuyahoga Falls OH, | ||||||||
1.000%, 08/13/2015 | 6,600,000 | 6,602,970 | ||||||
City of Passaic NJ, | ||||||||
1.882%, 02/01/2016 | 1,020,000 | 1,021,520 | ||||||
City of Trenton NJ, | ||||||||
1.722%, 04/01/2016 | 1,470,000 | 1,476,218 | ||||||
City of Williston ND, | ||||||||
3.100%, 07/15/2025 (Callable 07/15/2016) | 8,000,000 | 7,986,320 | ||||||
Consolidated Municipalities Electric Power Systems Joint Powers Board, | ||||||||
1.550%, 06/01/2017 | 590,000 | 588,271 | ||||||
Cook County School District No 144 Prairie Hills: | ||||||||
2.000%, 12/01/2017 | 930,000 | 928,326 | ||||||
2.500%, 12/01/2018 | 745,000 | 748,092 | ||||||
County of Dauphin PA, | ||||||||
1.194%, 03/01/2016 | 1,200,000 | 1,197,252 | ||||||
County of Miami-Dade FL Aviation Revenue, | ||||||||
5.000%, 10/01/2016 | 6,200,000 | 6,522,772 | ||||||
Government Development Bank for Puerto Rico, | ||||||||
4.704%, 05/01/2016 | 725,000 | 420,515 | ||||||
Indiana Bond Bank, | ||||||||
1.689%, 01/15/2017 | 1,000,000 | 1,005,220 | ||||||
Iowa Tobacco Settlement Authority, | ||||||||
6.500%, 06/01/2023 (Callable 07/31/2015) | 240,000 | 236,640 | ||||||
New Hampshire Housing Finance Authority: | ||||||||
1.250%, 07/01/2016 | 865,000 | 863,590 | ||||||
1.500%, 01/01/2017 | 830,000 | 832,042 | ||||||
1.650%, 07/01/2017 | 790,000 | 790,734 | ||||||
4.000%, 07/01/2036 (Callable 07/10/2024) | 10,380,000 | 10,635,971 | ||||||
New Jersey Economic Development Authority: | ||||||||
0.000%, 02/15/2016^ | 2,500,000 | 2,466,050 | ||||||
2.421%, 06/15/2018 | 10,000,000 | 10,057,700 | ||||||
Ohio Air Quality Development Authority, | ||||||||
5.750%, 06/01/2033 | 3,000,000 | 3,120,780 | ||||||
Rhode Island Housing & Mortgage Finance Corp./RI: | ||||||||
1.150%, 04/01/2016 | 1,175,000 | 1,173,214 | ||||||
1.930%, 04/01/2017 | 600,000 | 604,194 | ||||||
3.000%, 10/01/2034 (Callable 10/01/2022) | 10,575,000 | 10,828,800 | ||||||
Schenectady Metroplex Development Authority/NY: | ||||||||
0.979%, 08/01/2015 | 375,000 | 374,996 | ||||||
2.232%, 08/01/2017 | 200,000 | 201,008 | ||||||
South Carolina State Public Service Authority, | ||||||||
1.284%, 06/01/2016 (Callable 12/01/2015) | 6,800,000 | 6,810,540 | ||||||
State of Illinois: | ||||||||
4.961%, 03/01/2016 | 1,760,000 | 1,801,395 | ||||||
5.090%, 04/01/2017 | 2,785,000 | 2,901,998 | ||||||
Tulsa Airports Improvement Trust: | ||||||||
2.592%, 06/01/2017 | 115,000 | 115,059 | ||||||
3.042%, 06/01/2018 | 100,000 | 100,901 | ||||||
89,565,917 | 3.1% | |||||||
Residential Mortgage-Backed Securities | ||||||||
U.S. Government Agency Issues | ||||||||
Fannie Mae REMIC Trust, | ||||||||
Series 2004-W6, Class 1A6, 5.500%, 07/25/2034 | 201,340 | 204,883 | ||||||
Federal Home Loan Mortgage Corp. (FHLMC), | ||||||||
Series 5, Class B, 0.886%, 05/15/2019 | �� 4,596 | 4,621 | ||||||
209,504 | 0.0% | |||||||
Non-U.S. Government Agency Issues | ||||||||
Alternative Loan Trust: | ||||||||
Series 2005-50CB, Class 4A1, 5.000%, 11/25/2020 § | 263,892 | 264,280 | ||||||
Series 2005-73CB, Class 1A7, 5.500%, 01/25/2036 § | 133,871 | 126,480 | ||||||
Series 2006-28CB, Class A17, 6.000%, 10/25/2036 § | 1,029,381 | 843,582 | ||||||
Banc of America Alternative Loan Trust: | ||||||||
Series 2003-4, Class 2A1, 5.000%, 06/25/2018 | 97,947 | 99,994 | ||||||
Series 2004-2, Class 5A1, 5.500%, 03/25/2019 | 466,041 | 474,744 | ||||||
Series 2003-3, Class A1, 5.500%, 05/25/2033 | 1,328,214 | 1,379,324 | ||||||
Series 2004-B, Class 2A2, 2.687%, 03/25/2034 | 3,344,182 | 3,373,845 | ||||||
Banc of America Mortgage Trust, | ||||||||
Series 2003-10, Class 3A1, 5.000%, 01/25/2019 | 720,486 | 740,334 | ||||||
Countrywide Alternative Loan Trust: | ||||||||
Series 2004-12CB, Class 1A1, 5.000%, 07/25/2019 | 1,234,269 | 1,278,788 | ||||||
Series 2004-J2, Class 3A3, 5.500%, 04/25/2034 | 265,712 | 271,520 | ||||||
HSI Asset Securitization Corp. Trust, | ||||||||
Series 2005-NC1, Class 2A3, 0.547%, 07/25/2035 | 67,936 | 67,914 | ||||||
J.P. Morgan Mortgage Trust, | ||||||||
Series 2005-A4, Class 1A1, 2.927%, 07/25/2035 | 1,712,814 | 1,693,581 | ||||||
MASTR Alternative Loan Trust: | ||||||||
Series 2003-5, Class 7A1, 5.000%, 07/25/2018 | 6,375,063 | 6,435,052 | ||||||
Series 2003-9, Class 3A1, 4.750%, 11/25/2018 | 3,248,386 | 3,312,113 | ||||||
Series 2003-5, Class 4A1, 5.500%, 07/25/2033 | 7,040,146 | 7,483,140 | ||||||
Morgan Stanley Mortgage Loan Trust, | ||||||||
Series 2004-4, Class 1A10, 5.000%, 08/25/2034 | 630,282 | 634,248 | ||||||
Structured Asset Securities Corp., | ||||||||
Series 2004-4XS, Class 1A6, 4.550%, 02/25/2034 | 486,381 | 496,231 | ||||||
Structured Asset Securities Corp. Mortgage Pass-Through Certificates, | ||||||||
Series 2004-22, Class A2, 5.056%, 01/25/2035 | 9,541,828 | 9,845,287 | ||||||
Thornburg Mortgage Securities Trust, | ||||||||
Series 2003-5, Class 3A, 2.161%, 10/25/2043 | 13,338,005 | 13,391,624 | ||||||
WaMu Mortgage Pass-Through Certificates: | ||||||||
Series 2004-CB4, Class 21A, 5.500%, 12/25/2019 | 93,316 | 96,370 | ||||||
Series 2004-CB4, Class 22A, 6.000%, 12/25/2019 | 225,277 | 234,372 | ||||||
Series 2004-AR3, Class A1, 2.459%, 06/25/2034 | 10,010,528 | 10,114,638 | ||||||
62,657,461 | 2.2% | |||||||
Asset Backed Securities | ||||||||
Accredited Mortgage Loan Trust: | ||||||||
Series 2005-3, Class A1, 0.420%, 09/25/2035 | 99,131 | 98,899 | ||||||
Series 2006-1, Class A3, 0.365%, 04/25/2036 | 8,066,902 | 8,008,126 | ||||||
Series 2006-2, Class A3, 0.337%, 09/25/2036 | 16,182,875 | 15,970,103 | ||||||
Aegis Asset Backed Securities Trust, | ||||||||
Series 2005-5, Class 1A3, 0.457%, 12/25/2035 | 6,344,182 | 6,246,380 | ||||||
Ally Auto Receivables Trust, | ||||||||
Series 2014-SN2, Class A2B, 0.487%, 03/20/2017 | 11,711,148 | 11,710,738 | ||||||
Ameriquest Mortgage Securities Inc Asset-Backed Pass-Through Ctfs, | ||||||||
Series 2005-R8, Class A2D, 0.547%, 10/25/2035 | 7,922,374 | 7,895,509 | ||||||
Argent Securities Inc Asset-Backed Pass-Through Certificates, | ||||||||
Series 2005-W3, Class A2D, 0.527%, 11/25/2035 | 12,888,831 | 12,500,387 | ||||||
Barclays Dryrock Issuance Trust: | ||||||||
Series 2014-4, Class A, 0.564%, 09/15/2020 | 3,925,000 | 3,924,117 | ||||||
Series 2015-1, Class A, 2.200%, 12/15/2022 | 6,750,000 | 6,776,122 | ||||||
Capital Auto Receivables Asset Trust: | ||||||||
Series 2014-2, Class A2, 0.910%, 04/20/2017 | 12,000,000 | 12,000,744 | ||||||
Series 2014-3, Class A2, 1.180%, 12/20/2017 | 25,685,000 | 25,718,981 | ||||||
Carrington Mortgage Loan Trust, | ||||||||
Series 2006-OPT1, Class A3, 0.367%, 02/25/2036 | 5,853,099 | 5,671,033 | ||||||
Conseco Financial Corp.: | ||||||||
Series 1998-2, Class A5, 6.240%, 12/01/2028 | 18,707 | 19,254 | ||||||
Series 1998-3, Class A5, 6.220%, 03/01/2030 | 249,647 | 264,570 | ||||||
Countrywide Asset-Backed Certificates: | ||||||||
Series 2006-13, Class 1AF3, 4.828%, 01/25/2037 § | 1,330,336 | 1,694,565 | ||||||
Series 2006-9, Class 1AF3, 5.033%, 10/25/2046 § | 1,169,398 | 1,067,725 | ||||||
Credit-Based Asset Servicing and Securitization LLC, | ||||||||
Series 2005-CB8, Class AF2, 4.156%, 12/25/2035 | 280,128 | 277,440 | ||||||
Dell Equipment Finance Trust, | ||||||||
Series 2015-1, Class A2, 1.010%, 07/24/2017 (Acquired 04/15/2015, Cost $28,423,977) * | 28,425,000 | 28,443,618 | ||||||
First Franklin Mortgage Loan Trust, | ||||||||
Series 2004-FF7, Class A1, 0.827%, 09/25/2034 | 5,990,653 | 5,979,013 | ||||||
Ford Credit Auto Owner Trust: | ||||||||
Series 2014-1, Class A, 2.260%, 11/15/2025 (Acquired 05/06/2014 through 11/18/2014, Cost $17,951,746) * | 17,894,000 | 18,115,331 | ||||||
Series 2015-1, Class A, 2.120%, 07/15/2026 (Acquired 01/13/2015, Cost $7,422,355) * | 7,425,000 | 7,428,816 | ||||||
GE-WMC Asset-Backed Pass Through Certificates, | ||||||||
Series 2005-1, Class A2C, 0.907%, 10/25/2035 | 4,373,818 | 4,339,230 | ||||||
GMF Floorplan Owner Revolving Trust, | ||||||||
Series 2015-1, Class A1, 1.650%, 05/15/2020 (Acquired 05/13/2015, Cost $14,699,441) * | 14,700,000 | 14,696,898 | ||||||
GSAA Trust, | ||||||||
Series 2005-8, Class A4, 0.457%, 06/25/2035 | 19,465,141 | 18,904,097 | ||||||
GSAMP Trust, | ||||||||
Series 2006-HE1, Class A2C, 0.397%, 01/25/2036 | 2,863,046 | 2,812,928 | ||||||
Home Equity Asset Trust, | ||||||||
Series 2006-4, Class 2A3, 0.357%, 08/25/2036 | 3,225,807 | 3,168,511 | ||||||
J.P. Morgan Mortgage Acquisition Trust: | ||||||||
Series 2006-CH1, Class A1, 0.315%, 07/25/2036 | 9,382,609 | 9,019,567 | ||||||
Series 2007-CH1, Class AV4, 0.315%, 11/25/2036 | 3,595,911 | 3,585,480 | ||||||
Kubota Credit Owner Trust, | ||||||||
Series 2015-1A, Class A3, 1.540%, 03/15/2019 (Acquired 01/22/2015, Cost $17,572,546) * | 17,575,000 | 17,594,262 | ||||||
Leaf Receivables Funding 10 LLC, | ||||||||
Series 2015-1, Class A3, 1.490%, 03/15/2018 (Acquired 04/23/2015, Cost $5,249,036) * | 5,250,000 | 5,246,330 | ||||||
Master Credit Card Trust II: | ||||||||
Series 2012-2A, Class A, 0.780%, 04/21/2017 (Acquired 10/08/2014, Cost $1,700,679) * f | 1,700,000 | 1,700,571 | ||||||
Series 2013-3A, Class A, 0.617%, 01/22/2018 (Acquired 07/25/2013 through 11/05/2014, Cost $8,950,536) * f | 8,950,000 | 8,955,317 | ||||||
MASTR Asset Backed Securities Trust, | ||||||||
Series 2006-AB1, Class A2, 0.417%, 02/25/2036 | 1,009,267 | 1,000,965 | ||||||
Morgan Stanley ABS Capital I, Inc. Trust, | ||||||||
Series 2005-HE2, Class A3B, 0.627%, 01/25/2035 | 8,206,362 | 8,103,257 | ||||||
Nationstar Home Equity Loan Trust, | ||||||||
Series 2006-B, Class AV3, 0.357%, 09/25/2036 | 13,177,252 | 13,159,410 | ||||||
New Century Home Equity Loan Trust, | ||||||||
Series 2005-B, Class A2C, 0.467%, 10/25/2035 | 4,183,640 | 4,168,972 | ||||||
Nomura Holdings, Inc., | ||||||||
Series 2006-HE2, Class A3, 0.357%, 03/25/2036 | 5,630,538 | 5,436,549 | ||||||
Option One Mortgage Loan Trust Asset-Backed Certificates, | ||||||||
Series 2005-5, Class A3, 0.397%, 12/25/2035 | 8,484,558 | 8,413,712 | ||||||
RAMP Series Trust: | ||||||||
Series 2003-RS7, Class AI6, 5.340%, 08/25/2033 | 43,520 | 43,647 | ||||||
Series 2003-RS11, Class AI7, 4.828%, 12/25/2033 | 362,126 | 367,492 | ||||||
RASC Series Trust: | ||||||||
Series 2005-AHL2, Class A3, 0.537%, 10/25/2035 | 10,626,230 | 10,469,323 | ||||||
Series 2006-KS1, Class A4, 0.487%, 02/25/2036 | 7,529,247 | 7,443,504 | ||||||
Renaissance Home Equity Loan Trust, | ||||||||
Series 2007-2, Class AF2, 5.675%, 06/25/2037 | 1,961,305 | 1,022,842 | ||||||
Securitized Asset Backed Receivables LLC Trust, | ||||||||
Series 2005-OP2, Class A1, 0.512%, 10/25/2035 (Acquired 03/13/2014, Cost $11,734,396) * | 11,879,174 | 11,746,614 | ||||||
Soundview Home Loan Trust, | ||||||||
Series 2005-OPT4, Class 2A3, 0.447%, 12/25/2035 | 2,433,902 | 2,390,254 | ||||||
Specialty Underwriting & Residential Finance Trust, | ||||||||
Series 2006-BC1, Class A2C, 0.387%, 12/25/2036 | 3,008,095 | 2,986,184 | ||||||
Springleaf Funding Trust, | ||||||||
Series 2013-AA, Class A, 2.580%, 09/15/2021 (Acquired 01/09/2014 through 11/18/2014, Cost $13,591,737) * | 13,537,160 | 13,587,816 | ||||||
Springleaf Mortgage Loan Trust, | ||||||||
Series 2012-2A, Class A, 2.220%, 10/25/2057 (Acquired 07/31/2012 through 08/20/2014, Cost $4,050,398) * | 4,022,873 | 4,032,833 | ||||||
Structured Asset Investment Loan Trust, | ||||||||
Series 2004-9, Class A5, 1.187%, 10/25/2034 | 14,893,581 | 14,833,516 | ||||||
Structured Asset Securities Corp. Mortgage Loan Trust: | ||||||||
Series 2007-BC2, Class A3, 0.317%, 03/25/2037 | 6,193,243 | 6,168,625 | ||||||
Series 2007-BC3, Class 2A2, 0.327%, 05/25/2047 | 1,513,131 | 1,460,953 | ||||||
Synchrony Credit Card Master Note Trust: | ||||||||
Series 2014-1, Class A, 1.610%, 11/15/2020 | 11,700,000 | 11,739,698 | ||||||
Series 2012-2, Class A, 2.220%, 01/15/2022 | 9,243,000 | 9,358,371 | ||||||
407,769,199 | 14.1% | |||||||
Commercial Mortgage Backed Securities | ||||||||
Bear Stearns Commercial Mortgage Securities Trust, | ||||||||
Series 2005-PWR9, Class A4A, 4.871%, 09/11/2042 | 1,768,862 | 1,767,465 | ||||||
CD Commercial Mortgage Trust, | ||||||||
Series 2005-CD1, Class A4, 5.380%, 07/15/2044 | 9,686,521 | 9,694,144 | ||||||
Citigroup Commercial Mortgage Trust, | ||||||||
Series 2006-C4, Class A3, 5.969%, 03/15/2049 | 7,448,593 | 7,608,596 | ||||||
COMM Mortgage Trust, | ||||||||
Series 2005-C6, Class A5A, 5.116%, 06/10/2044 | 1,735,397 | 1,734,404 | ||||||
Credit Suisse First Boston Mortgage Securities Corp., | ||||||||
Series 2005-C5, Class A4, 5.100%, 08/15/2038 | 515,759 | 515,072 | ||||||
DBUBS Mortgage Trust, | ||||||||
Series 2011-LC3A, Class A2, 3.642%, 08/10/2044 | 17,193,134 | 17,499,051 | ||||||
J.P. Morgan Chase Commercial Mortgage Securities Trust: | ||||||||
Series 2005-CB12, Class A4, 4.895%, 09/12/2037 | 922,473 | 921,915 | ||||||
Series 2012-C8, Class ASB, 2.379%, 10/15/2045 | 16,100,000 | 16,134,841 | ||||||
Morgan Stanley Capital I Trust, | ||||||||
Series 2005-HQ7, Class A4, 5.362%, 11/14/2042 | 7,927,582 | 7,930,475 | ||||||
Wachovia Bank Commercial Mortgage Trust, | ||||||||
Series 2005-C22, Class A4, 5.448%, 12/15/2044 | 12,198,155 | 12,213,317 | ||||||
WFRBS Commercial Mortgage Trust, | ||||||||
Series 2012-C6, Class A4, 3.440%, 04/15/2045 | 7,050,000 | 7,340,968 | ||||||
83,360,248 | 2.9% | |||||||
Total Long-Term Investments (Cost $2,832,981,475) | 2,832,995,411 | 98.0% | ||||||
Shares | ||||||||
SHORT-TERM INVESTMENTS | ||||||||
Money Market Mutual Funds | ||||||||
Dreyfus Cash Advantage Fund, 0.08% « | 34,535,387 | 34,535,387 | ||||||
Short-Term Investments Trust - Liquid Assets Portfolio, 0.10% « | 56,000,000 | 56,000,000 | ||||||
Total Short-Term Investments (Cost $90,535,387) | 90,535,387 | 3.1% | ||||||
INVESTMENTS PURCHASED WITH CASH PROCEEDS FROM | ||||||||
SECURITIES LENDING | ||||||||
Investment Companies | ||||||||
Mount Vernon Securities Lending Trust Prime Portfolio, 0.25% « | 184,399,411 | 184,399,411 | ||||||
Total Investment Companies (Cost $184,399,411) | 184,399,411 | 6.4% | ||||||
Total Investments Purchased With Cash Proceeds From | ||||||||
Securities Lending (Cost $184,399,411) | 184,399,411 | 6.4% | ||||||
Total Investments (Cost $3,107,916,273) | 3,107,930,209 | 107.5% | ||||||
Liabilities in Excess of Other Assets | (216,054,254) | (7.5)% | ||||||
TOTAL NET ASSETS | $ 2,891,875,955 | 100.0% |
Notes to Schedule of Investments | |
* | Restricted security as defined in Rule 144(a) under the Securities Act of 1933 and determined to be liquid. Purchased in a private placement transaction; resale to the public may require registration or or may extend only to qualified institutional buyers. At June 30, 2015, the value of these securities total $599,216,857, which represents 20.72% of total net assets. |
@ | This security or portion of this security is out on loan at June 30, 2015. |
f | Foreign Security |
« | 7-Day Yield |
§ | Security in Default |
^ | Non-Income Producing |
Baird Intermediate Bond Fund | ||||||||
Schedule of Investments | ||||||||
June 30, 2015 (Unaudited) | ||||||||
Principal | % of | |||||||
Amount | Value | Net Assets | ||||||
LONG-TERM INVESTMENTS | ||||||||
U.S. Treasury Securities | ||||||||
U.S. Treasury Bonds: | ||||||||
1.250%, 04/30/2019 @ | $ 75,350,000 | $ 75,179,257 | ||||||
2.625%, 08/15/2020 | 347,350,000 | 363,224,937 | ||||||
2.500%, 05/15/2024 | 97,500,000 | 99,168,128 | ||||||
537,572,322 | 31.2% | |||||||
Corporate Bonds | ||||||||
Finance | ||||||||
Abbey National Treasury Services PLC, | ||||||||
3.050%, 08/23/2018 f | 1,050,000 | 1,086,325 | ||||||
ABN AMRO Bank NV: | ||||||||
4.250%, 02/02/2017 (Acquired 11/22/2013, Cost $4,684,103) * f | 4,500,000 | 4,702,113 | ||||||
2.500%, 10/30/2018 (Acquired 10/23/2013 through 04/17/2014, Cost $1,200,372) * f | 1,200,000 | 1,218,981 | ||||||
2.450%, 06/04/2020 (Acquired 05/28/2015, Cost $2,644,170) * f | 2,650,000 | 2,634,548 | ||||||
AgriBank FCB, | ||||||||
Series AI, 9.125%, 07/15/2019 (Acquired 02/24/2014, Cost $3,500,016) * | 2,850,000 | 3,543,109 | ||||||
AIA Group Ltd., | ||||||||
3.200%, 03/11/2025 (Acquired 03/04/2015, Cost $2,996,190) * f | 3,000,000 | 2,890,287 | ||||||
Ally Financial, Inc., | ||||||||
8.000%, 12/31/2018 | 96,000 | 107,160 | ||||||
American International Group, Inc., | ||||||||
4.875%, 06/01/2022 | 3,000,000 | 3,290,751 | ||||||
AmSouth Bancorporation, | ||||||||
6.750%, 11/01/2025 | 630,000 | 741,860 | ||||||
ANZ New Zealand (Int'l) Ltd., | ||||||||
2.600%, 09/23/2019 (Acquired 09/16/2014 through 03/19/2015, Cost $4,159,651) * @ f | 4,140,000 | 4,174,312 | ||||||
Associates Corp. of North America, | ||||||||
6.950%, 11/01/2018 | 2,579,000 | 2,967,098 | ||||||
Bank of America Corp.: | ||||||||
10.200%, 07/15/2015 | 1,035,000 | 1,037,398 | ||||||
5.700%, 05/02/2017 | 1,100,000 | 1,173,576 | ||||||
6.875%, 04/25/2018 | 1,000,000 | 1,129,681 | ||||||
3.300%, 01/11/2023 | 3,350,000 | 3,299,204 | ||||||
4.000%, 04/01/2024 @ | 2,750,000 | 2,798,331 | ||||||
BanPonce Trust I, | ||||||||
Series A, 8.327%, 02/01/2027 | 2,500,000 | 2,357,560 | ||||||
Barclays Bank PLC: | ||||||||
Series 1, 5.000%, 09/22/2016 f | 2,565,000 | 2,684,511 | ||||||
6.750%, 05/22/2019 f | 2,000,000 | 2,319,304 | ||||||
Barclays PLC, | ||||||||
2.000%, 03/16/2018 f | 2,600,000 | 2,594,298 | ||||||
BB&T Corp., | ||||||||
6.850%, 04/30/2019 | 2,322,000 | 2,717,539 | ||||||
Berkshire Hathaway Finance Corp., | ||||||||
1.600%, 05/15/2017 | 3,800,000 | 3,840,827 | ||||||
BNZ International Funding Ltd., | ||||||||
2.350%, 03/04/2019 (Acquired 09/03/2014, Cost $2,789,836) * f | 2,800,000 | 2,803,797 | ||||||
BPCE: | ||||||||
5.700%, 10/22/2023 (Acquired 11/10/2014, Cost $3,733,466) * f | 3,500,000 | 3,689,406 | ||||||
4.000%, 04/15/2024 f | 3,500,000 | 3,533,390 | ||||||
Caisse Centrale Desjardins, | ||||||||
0.944%, 01/29/2018 (Acquired 01/26/2015, Cost $8,000,000) * f | 8,000,000 | 8,033,416 | ||||||
Capital One Bank, (USA), National Association, | ||||||||
2.250%, 02/13/2019 | 3,500,000 | 3,479,955 | ||||||
Capital One Financial Corp., | ||||||||
3.150%, 07/15/2016 | 2,596,000 | 2,644,836 | ||||||
Capital One N.A., | ||||||||
0.731%, 03/22/2016 | 2,100,000 | 2,098,933 | ||||||
Capital One NA, | ||||||||
0.959%, 02/05/2018 | 2,000,000 | 2,000,452 | ||||||
Citigroup, Inc.: | ||||||||
4.450%, 01/10/2017 | 1,800,000 | 1,880,568 | ||||||
1.550%, 08/14/2017 @ | 1,000,000 | 998,248 | ||||||
6.125%, 11/21/2017 | 635,000 | 698,482 | ||||||
1.700%, 04/27/2018 | 1,500,000 | 1,490,358 | ||||||
3.750%, 06/16/2024 | 500,000 | 502,963 | ||||||
Citizens Bank, National Association, | ||||||||
2.450%, 12/04/2019 | 8,000,000 | 7,948,016 | ||||||
CNA Financial Corp.: | ||||||||
6.500%, 08/15/2016 | 2,000,000 | 2,115,436 | ||||||
7.350%, 11/15/2019 | 2,395,000 | 2,830,921 | ||||||
5.750%, 08/15/2021 | 1,260,000 | 1,426,737 | ||||||
Comerica Bank, | ||||||||
5.200%, 08/22/2017 | 5,570,000 | 5,941,062 | ||||||
Commonwealth Bank of Australia, | ||||||||
5.000%, 10/15/2019 (Acquired 03/02/2012 through 10/03/2014, Cost $4,571,094) * f | 4,335,000 | 4,829,381 | ||||||
Compass Bank, | ||||||||
2.750%, 09/29/2019 | 3,000,000 | 2,992,587 | ||||||
Countrywide Financial Corp., | ||||||||
6.250%, 05/15/2016 | 2,200,000 | 2,286,383 | ||||||
Credit Agricole S.A., | ||||||||
2.750%, 06/10/2020 (Acquired 06/03/2015, Cost $2,994,570) * f | 3,000,000 | 2,998,047 | ||||||
Credit Suisse: | ||||||||
2.300%, 05/28/2019 @ f | 2,450,000 | 2,445,744 | ||||||
5.300%, 08/13/2019 f | 3,220,000 | 3,586,047 | ||||||
Credit Suisse Group Funding Guernsey Ltd., | ||||||||
2.750%, 03/26/2020 (Acquired 03/23/2015, Cost $6,246,812) * f | 6,250,000 | 6,171,581 | ||||||
Deutsche Bank Aktiengesellschaft, | ||||||||
3.250%, 01/11/2016 f | 4,250,000 | 4,300,328 | ||||||
Dresdner Bank AG, | ||||||||
7.250%, 09/15/2015 f | 2,652,000 | 2,679,687 | ||||||
First Tennessee Bank National Association, | ||||||||
5.650%, 04/01/2016 | 4,263,000 | 4,396,538 | ||||||
General Electric Capital Corp.: | ||||||||
6.000%, 08/07/2019 | 2,700,000 | 3,086,340 | ||||||
5.500%, 01/08/2020 | 2,550,000 | 2,890,731 | ||||||
5.550%, 05/04/2020 | 2,850,000 | 3,249,844 | ||||||
Genworth Holdings, Inc., | ||||||||
4.900%, 08/15/2023 | 1,500,000 | 1,327,965 | ||||||
Great-West Life & Annuity Insurance Capital LP II, | ||||||||
7.153%, 05/16/2046 (Acquired 05/16/2006 through 11/08/2007, Cost $1,792,736) * | 1,800,000 | 1,836,000 | ||||||
Highmark, Inc., | ||||||||
4.750%, 05/15/2021 (Acquired 07/30/2014, Cost $2,013,842) * | 2,000,000 | 2,049,200 | ||||||
HSBC Finance Corp., | ||||||||
6.676%, 01/15/2021 | 4,559,000 | 5,274,325 | ||||||
HSBC USA, Inc., | ||||||||
2.350%, 03/05/2020 | 3,500,000 | 3,471,381 | ||||||
Humana, Inc., | ||||||||
7.200%, 06/15/2018 | 2,000,000 | 2,301,244 | ||||||
ING Bank N.V., | ||||||||
3.000%, 09/01/2015 (Acquired 08/17/2010 through 09/14/2012, Cost $2,299,628) * f | 2,300,000 | 2,307,774 | ||||||
ING Bank NV: | ||||||||
2.500%, 10/01/2019 (Acquired 09/23/2014, Cost $2,461,635) * f | 2,475,000 | 2,490,847 | ||||||
5.000%, 06/09/2021 (Acquired 06/12/2013, Cost $2,149,299) * f | 2,000,000 | 2,231,514 | ||||||
Invesco Finance PLC, | ||||||||
3.125%, 11/30/2022 f | 4,225,000 | 4,176,320 | ||||||
iStar Financial, Inc., | ||||||||
5.850%, 03/15/2017 | 75,000 | 76,969 | ||||||
J.P. Morgan Chase & Co.: | ||||||||
2.250%, 01/23/2020 | 7,875,000 | 7,738,637 | ||||||
4.500%, 01/24/2022 | 3,000,000 | 3,215,019 | ||||||
Jefferies Group LLC, | ||||||||
6.875%, 04/15/2021 | 2,000,000 | 2,289,230 | ||||||
John Hancock Life Insurance Co., | ||||||||
7.375%, 02/15/2024 (Acquired 04/10/2013 through 04/11/2013, Cost $2,903,507) * | 2,325,000 | 2,851,352 | ||||||
Kemper Corp., | ||||||||
6.000%, 05/15/2017 | 600,000 | 639,769 | ||||||
Keybank National Association, | ||||||||
0.803%, 06/01/2018 | 8,000,000 | 8,004,560 | ||||||
Korea Housing Finance Corp., | ||||||||
1.625%, 09/15/2018 (Acquired 02/26/2013 through 08/28/2014, Cost $1,040,307) * f | 1,050,000 | 1,035,437 | ||||||
LeasePlan Corp. NV: | ||||||||
3.000%, 10/23/2017 (Acquired 02/07/2013, Cost $4,029,038) * f | 4,000,000 | 4,083,084 | ||||||
2.500%, 05/16/2018 (Acquired 05/29/2013 through 10/20/2014, Cost $5,023,042) * f | 5,000,000 | 5,007,350 | ||||||
Liberty Mutual Group, Inc., | ||||||||
4.250%, 06/15/2023 (Acquired 06/13/2013, Cost $1,987,300) * | 2,000,000 | 2,056,810 | ||||||
Lloyds Bank PLC: | ||||||||
4.875%, 01/21/2016 f | 225,000 | 229,937 | ||||||
5.800%, 01/13/2020 (Acquired 02/09/2010 through 03/16/2012, Cost $2,903,637) * f | 2,900,000 | 3,313,230 | ||||||
M&I Marshall & Ilsley Bank, | ||||||||
5.000%, 01/17/2017 | 1,000,000 | 1,049,345 | ||||||
Macquarie Bank Ltd.: | ||||||||
2.000%, 08/15/2016 (Acquired 08/07/2013, Cost $4,998,250) * f | 5,000,000 | 5,050,100 | ||||||
1.600%, 10/27/2017 (Acquired 10/22/2014, Cost $2,498,475) * f | 2,500,000 | 2,498,868 | ||||||
2.400%, 01/21/2020 (Acquired 01/14/2015, Cost $997,800) * f | 1,000,000 | 995,661 | ||||||
Manulife Financial Corp., | ||||||||
4.900%, 09/17/2020 @ f | 2,300,000 | 2,549,552 | ||||||
Marsh & McLennan Co., Inc., | ||||||||
2.550%, 10/15/2018 | 1,000,000 | 1,017,976 | ||||||
MassMutual Global Funding II, | ||||||||
2.000%, 04/05/2017 (Acquired 03/29/2012, Cost $3,783,470) * | 3,800,000 | 3,849,829 | ||||||
MBIA Insurance Corp., | ||||||||
11.535%, 01/15/2033 (Acquired 01/11/2008, Cost $500,000) * | 500,000 | 237,500 | ||||||
Metropolitan Life Global Funding I, | ||||||||
3.000%, 01/10/2023 (Acquired 01/03/2013, Cost $1,299,337) * | 1,300,000 | 1,277,514 | ||||||
Metropolitan Life Insurance Co., | ||||||||
7.700%, 11/01/2015 (Acquired 11/21/2013, Cost $2,042,739) * | 2,000,000 | 2,040,676 | ||||||
Morgan Stanley: | ||||||||
6.625%, 04/01/2018 | 1,600,000 | 1,795,289 | ||||||
7.300%, 05/13/2019 | 2,700,000 | 3,176,491 | ||||||
2.375%, 07/23/2019 @ | 1,000,000 | 993,433 | ||||||
MUFG Americas Holdings Corp., | ||||||||
3.500%, 06/18/2022 | 225,000 | 228,041 | ||||||
MUFG Union Bank, National Association, | ||||||||
2.125%, 06/16/2017 | 1,800,000 | 1,825,817 | ||||||
National Australia Bank Ltd., | ||||||||
0.774%, 10/08/2015 (Acquired 02/19/2013, Cost $3,100,200) * f | 3,100,000 | 3,099,861 | ||||||
Nationwide Financial Services, Inc., | ||||||||
5.375%, 03/25/2021 (Acquired 10/07/2013, Cost $880,926) * | 828,000 | 908,654 | ||||||
Nomura Holdings, Inc.: | ||||||||
2.000%, 09/13/2016 f | 2,450,000 | 2,467,851 | ||||||
6.700%, 03/04/2020 f | 1,000,000 | 1,172,885 | ||||||
NYSE Euronext, | ||||||||
2.000%, 10/05/2017 | 800,000 | 809,614 | ||||||
Peachtree Corners Funding Trust, | ||||||||
3.976%, 02/15/2025 (Acquired 03/10/2015, Cost $6,000,000) * | 6,000,000 | 5,950,008 | ||||||
PNC Bank, National Association, | ||||||||
2.950%, 01/30/2023 | 4,000,000 | 3,869,960 | ||||||
Principal Life Global Funding II, | ||||||||
2.200%, 04/08/2020 (Acquired 03/31/2015, Cost $1,997,360) * | 2,000,000 | 1,975,270 | ||||||
Protective Life Corp., | ||||||||
7.375%, 10/15/2019 | 1,925,000 | 2,279,498 | ||||||
Prudential Covered Trust, | ||||||||
2.997%, 09/30/2015 (Acquired 11/06/2012 through 07/23/2013, Cost $2,107,859) * | 2,100,000 | 2,110,985 | ||||||
Prudential Financial, Inc., | ||||||||
7.375%, 06/15/2019 | 850,000 | 1,007,814 | ||||||
Regions Bank, | ||||||||
7.500%, 05/15/2018 | 2,475,000 | 2,840,874 | ||||||
Regions Financial Corp., | ||||||||
2.000%, 05/15/2018 | 2,000,000 | 1,998,656 | ||||||
Royal Bank of Scotland Group PLC, | ||||||||
2.550%, 09/18/2015 f | 200,000 | 200,559 | ||||||
Santander Bank NA, | ||||||||
8.750%, 05/30/2018 | 4,415,000 | 5,146,190 | ||||||
Santander UK PLC, | ||||||||
5.000%, 11/07/2023 (Acquired 10/31/2013, Cost $996,810) * f | 1,000,000 | 1,023,284 | ||||||
Skandinaviska Enskilda Banken AB, | ||||||||
2.450%, 05/27/2020 (Acquired 05/19/2015, Cost $8,486,910) * f | 8,500,000 | 8,429,399 | ||||||
Societe Generale: | ||||||||
1.364%, 10/01/2018 f | 2,000,000 | 2,030,672 | ||||||
2.625%, 10/01/2018 f | 1,000,000 | 1,021,229 | ||||||
5.200%, 04/15/2021 (Acquired 01/28/2013, Cost $1,365,200) * f | 1,250,000 | 1,402,461 | ||||||
5.000%, 01/17/2024 (Acquired 01/14/2014 through 02/18/2014, Cost $3,127,849) * f | 3,150,000 | 3,154,272 | ||||||
Standard Chartered PLC, | ||||||||
0.914%, 04/17/2018 (Acquired 04/13/2015, Cost $8,500,000) * f | 8,500,000 | 8,495,317 | ||||||
Sumitomo Mitsui Banking Corp.: | ||||||||
2.500%, 07/19/2018 f | 3,000,000 | 3,057,666 | ||||||
2.250%, 07/11/2019 f | 2,000,000 | 1,993,758 | ||||||
SunTrust Bank: | ||||||||
5.450%, 12/01/2017 | 500,000 | 539,452 | ||||||
7.250%, 03/15/2018 | 1,506,000 | 1,712,798 | ||||||
SunTrust Banks, Inc., | ||||||||
3.600%, 04/15/2016 | 2,600,000 | 2,649,249 | ||||||
SUSA Partnership LP, | ||||||||
8.200%, 06/01/2017 | 2,800,000 | 3,128,583 | ||||||
Svenska Handelsbanken AB: | ||||||||
3.125%, 07/12/2016 f | 275,000 | 281,481 | ||||||
2.875%, 04/04/2017 f | 1,500,000 | 1,544,253 | ||||||
2.500%, 01/25/2019 @ f | 1,000,000 | 1,016,181 | ||||||
Swedbank AB: | ||||||||
1.750%, 03/12/2018 (Acquired 03/05/2013, Cost $3,236,383) * f | 3,250,000 | 3,254,563 | ||||||
2.375%, 02/27/2019 (Acquired 02/20/2014, Cost $2,595,606) * f | 2,600,000 | 2,618,197 | ||||||
Symetra Financial Corp., | ||||||||
6.125%, 04/01/2016 (Acquired 08/12/2011 through 12/02/2013, Cost $1,289,965) * | 1,269,000 | 1,306,774 | ||||||
Synchrony Financial: | ||||||||
3.750%, 08/15/2021 | 5,000,000 | 5,038,040 | ||||||
4.250%, 08/15/2024 @ | 4,000,000 | 4,017,180 | ||||||
The Bank of Nova Scotia, | ||||||||
2.550%, 01/12/2017 f | 150,000 | 153,208 | ||||||
The Bank of Tokyo-Mitsubishi UFJ Ltd.: | ||||||||
2.700%, 09/09/2018 (Acquired 09/03/2013, Cost $2,547,756) * f | 2,550,000 | 2,610,190 | ||||||
2.300%, 03/10/2019 (Acquired 03/04/2014, Cost $998,400) * f | 1,000,000 | 999,573 | ||||||
2.300%, 03/05/2020 (Acquired 02/25/2015, Cost $2,998,020) * f | 3,000,000 | 2,987,217 | ||||||
The Bear Stearns Companies LLC: | ||||||||
6.400%, 10/02/2017 | 1,450,000 | 1,595,850 | ||||||
7.250%, 02/01/2018 | 2,275,000 | 2,577,179 | ||||||
The Charles Schwab Corp., | ||||||||
6.375%, 09/01/2017 | 325,000 | 360,310 | ||||||
The Goldman Sachs Group, Inc.: | ||||||||
6.150%, 04/01/2018 | 3,900,000 | 4,336,332 | ||||||
2.900%, 07/19/2018 | 1,000,000 | 1,023,528 | ||||||
7.500%, 02/15/2019 | 865,000 | 1,016,037 | ||||||
2.550%, 10/23/2019 | 2,000,000 | 2,004,688 | ||||||
3.500%, 01/23/2025 | 2,000,000 | 1,939,588 | ||||||
The Hartford Financial Services Group, Inc.: | ||||||||
5.500%, 10/15/2016 | 1,500,000 | 1,577,583 | ||||||
5.125%, 04/15/2022 | 500,000 | 554,514 | ||||||
The Huntington National Bank, | ||||||||
1.300%, 11/20/2016 | 4,850,000 | 4,842,095 | ||||||
The Royal Bank of Scotland PLC: | ||||||||
5.625%, 08/24/2020 f | 3,300,000 | 3,714,741 | ||||||
6.125%, 01/11/2021 f | 1,300,000 | 1,491,755 | ||||||
UBS AG, | ||||||||
5.875%, 12/20/2017 f | 2,000,000 | 2,200,236 | ||||||
Voya Financial, Inc., | ||||||||
2.900%, 02/15/2018 | 2,000,000 | 2,052,392 | ||||||
Wells Fargo & Co., | ||||||||
Series N, 2.150%, 01/30/2020 @ | 7,000,000 | 6,933,178 | ||||||
Wells Fargo Bank, National Association, | ||||||||
6.000%, 11/15/2017 | 1,479,000 | 1,629,179 | ||||||
Westpac Banking Corp.: | ||||||||
1.600%, 01/12/2018 f | 1,250,000 | 1,253,816 | ||||||
4.875%, 11/19/2019 f | 2,775,000 | 3,076,432 | ||||||
Willis Group Holdings PLC, | ||||||||
5.750%, 03/15/2021 f | 3,250,000 | 3,645,951 | ||||||
398,062,093 | 23.1% |
Utility | |||||||
Commonwealth Edison Co., | |||||||
Series 104, 5.950%, 08/15/2016 | 375,000 | 395,499 | |||||
National Rural Utilities Cooperative Finance Corp.: | |||||||
10.375%, 11/01/2018 | 3,619,000 | 4,605,532 | |||||
2.000%, 01/27/2020 | 3,000,000 | 2,956,554 | |||||
PPL Capital Funding, Inc., | |||||||
3.400%, 06/01/2023 | 2,475,000 | 2,466,199 | |||||
PPL Energy Supply LLC, | |||||||
Series A, 5.700%, 10/15/2015 | 1,950,000 | 1,950,000 | |||||
PSEG Power LLC: | |||||||
2.750%, 09/15/2016 | 75,000 | 76,505 | |||||
5.320%, 09/15/2016 | 994,000 | 1,040,824 | |||||
5.125%, 04/15/2020 | 220,000 | 242,898 | |||||
Public Service Co. of New Mexico, | |||||||
7.950%, 05/15/2018 | 2,820,000 | 3,281,566 | |||||
RGS I&M Funding Corp., | |||||||
Series F*, 9.820%, 06/07/2022 | 431,265 | 508,415 | |||||
Talent Yield Investments Ltd., | |||||||
4.500%, 04/25/2022 (Acquired 04/18/2012, Cost $3,774,008) * f | 3,800,000 | 3,917,800 | |||||
West Penn Power Co., | |||||||
5.875%, 08/15/2016 (Acquired 10/25/2010, Cost $2,060,710) * | 2,000,000 | 2,099,432 | |||||
23,541,224 | 1.4% | ||||||
Industrials | |||||||
21st Century Fox America, Inc., | |||||||
8.000%, 10/17/2016 | 5,575,000 | 6,050,938 | |||||
Agrium, Inc., | |||||||
3.150%, 10/01/2022 f | 1,306,000 | 1,266,256 | |||||
Altera Corp., | |||||||
2.500%, 11/15/2018 | 2,000,000 | 2,043,042 | |||||
America Movil, SAB de CV, | |||||||
1.288%, 09/12/2016 f | 3,200,000 | 3,206,886 | |||||
Ameritech Capital Funding Corp.: | |||||||
9.100%, 06/01/2016 | 363,000 | 383,137 | |||||
6.450%, 01/15/2018 | 2,758,000 | 3,061,267 | |||||
Anadarko Petroleum Corp.: | |||||||
5.950%, 09/15/2016 | 2,270,000 | 2,394,655 | |||||
6.375%, 09/15/2017 | 2,000,000 | 2,194,808 | |||||
6.950%, 06/15/2019 | 1,000,000 | 1,161,580 | |||||
Anglo American Capital PLC, | |||||||
9.375%, 04/08/2019 (Acquired 07/11/2012, Cost $2,400,450) * f | 2,000,000 | 2,435,434 | |||||
Apple, Inc., | |||||||
2.400%, 05/03/2023 | 2,000,000 | 1,913,242 | |||||
Boardwalk Pipelines LP, | |||||||
5.200%, 06/01/2018 | 2,500,000 | 2,606,735 | |||||
Boston Scientific Corp., | |||||||
4.125%, 10/01/2023 | 3,000,000 | 3,045,597 | |||||
BP Capital Markets: | |||||||
4.750%, 03/10/2019 @ f | 2,500,000 | 2,735,405 | |||||
2.521%, 01/15/2020 @ f | 2,650,000 | 2,668,582 | |||||
3.245%, 05/06/2022 f | 1,000,000 | 1,002,545 | |||||
British Telecommunications PLC, | |||||||
5.950%, 01/15/2018 @ f | 2,000,000 | 2,208,370 | |||||
Bunge Limited Finance Corp.: | |||||||
4.100%, 03/15/2016 | 5,242,000 | 5,344,428 | |||||
3.200%, 06/15/2017 | 1,300,000 | 1,338,527 | |||||
Bunge NA Finance LP, | |||||||
5.900%, 04/01/2017 | 575,000 | 614,243 | |||||
Cardinal Health, Inc., | |||||||
1.950%, 06/15/2018 | 5,600,000 | 5,609,419 | |||||
Celgene Corporation, | |||||||
4.000%, 08/15/2023 | 2,000,000 | 2,045,658 | |||||
Chevron Phillips Chemical Co. LLC, | |||||||
2.450%, 05/01/2020 (Acquired 05/07/2015, Cost $4,123,680) * | 4,125,000 | 4,098,641 | |||||
Coca-Cola FEMSA, S.A.B. de C.V., | |||||||
2.375%, 11/26/2018 f | 3,425,000 | 3,473,292 | |||||
Comcast Cable Communications, LLC, | |||||||
8.875%, 05/01/2017 | 550,000 | 624,390 | |||||
Comcast Corp., | |||||||
2.850%, 01/15/2023 @ | 1,475,000 | 1,433,342 | |||||
Computer Sciences Corp., | |||||||
2.500%, 09/15/2015 | 4,500,000 | 4,513,405 | |||||
ConAgra Foods, Inc.: | |||||||
0.646%, 07/21/2016 | 2,125,000 | 2,118,946 | |||||
7.000%, 04/15/2019 | 1,583,000 | 1,807,966 | |||||
Cox Communications, Inc.: | |||||||
3.250%, 12/15/2022 (Acquired 11/26/2012, Cost $3,594,456) * | 3,600,000 | 3,431,779 | |||||
3.850%, 02/01/2025 (Acquired 12/01/2014, Cost $4,492,215) * | 4,500,000 | 4,324,720 | |||||
CVS Health Corp.: | |||||||
2.250%, 08/12/2019 | 3,375,000 | 3,359,671 | |||||
4.000%, 12/05/2023 | 4,425,000 | 4,570,972 | |||||
D.R. Horton, Inc., | |||||||
6.500%, 04/15/2016 @ | 1,000,000 | 1,032,500 | |||||
Daimler Finance North America LLC, | |||||||
2.250%, 07/31/2019 (Acquired 07/25/2012, Cost $2,285,234) * | 2,300,000 | 2,291,840 | |||||
DCP Midstream LLC, | |||||||
9.750%, 03/15/2019 (Acquired 10/15/2012, Cost $1,908,755) * | 1,600,000 | 1,856,670 | |||||
Deutsche Telekom International Finance B.V.: | |||||||
2.250%, 03/06/2017 (Acquired 03/24/2015, Cost $1,422,162) * f | 1,400,000 | 1,416,171 | |||||
6.000%, 07/08/2019 f | 1,700,000 | 1,945,727 | |||||
Deutsche Telekom International Finance BV, | |||||||
6.750%, 08/20/2018 f | 2,850,000 | 3,269,266 | |||||
Devon Energy Corp., | |||||||
6.300%, 01/15/2019 | 910,000 | 1,027,979 | |||||
DIRECTV Holdings LLC / DIRECTV Financing Co., Inc., | |||||||
3.500%, 03/01/2016 | 250,000 | 253,895 | |||||
Ecolab, Inc., | |||||||
1.450%, 12/08/2017 | 4,000,000 | 3,964,624 | |||||
El Paso Pipeline Partners Operating Co. LLC, | |||||||
4.100%, 11/15/2015 | 3,000,000 | 3,031,200 | |||||
Energy Transfer Partners LP, | |||||||
9.700%, 03/15/2019 | 2,457,000 | 3,029,230 | |||||
Enterprise Products Operating LLC, | |||||||
2.550%, 10/15/2019 | 3,000,000 | 2,999,139 | |||||
ERAC USA Finance LLC, | |||||||
2.350%, 10/15/2019 (Acquired 06/30/2014 through 01/08/2015, Cost $4,644,303) * | 4,650,000 | 4,619,594 | |||||
Express Scripts Holding Co.: | |||||||
2.650%, 02/15/2017 | 2,000,000 | 2,035,824 | |||||
7.250%, 06/15/2019 | 1,000,000 | 1,179,542 | |||||
Federal Express Corp. 1998 Pass Through Trust, | |||||||
Series 981B, 6.845%, 01/15/2019 | 1,715,917 | 1,871,058 | |||||
Fidelity National Information Services, Inc., | |||||||
3.875%, 06/05/2024 | 3,900,000 | 3,848,832 | |||||
Fiserv, Inc.: | |||||||
4.750%, 06/15/2021 | 1,630,000 | 1,782,082 | |||||
3.500%, 10/01/2022 | 2,850,000 | 2,837,004 | |||||
FMC Corp., | |||||||
4.100%, 02/01/2024 @ | 2,000,000 | 2,037,976 | |||||
Ford Motor Credit Co. LLC: | |||||||
2.500%, 01/15/2016 | 3,000,000 | 3,024,240 | |||||
1.724%, 12/06/2017 | 3,300,000 | 3,282,866 | |||||
5.750%, 02/01/2021 | 2,000,000 | 2,244,502 | |||||
Freeport-McMoran Oil & Gas LLC / FCX Oil & Gas, Inc., | |||||||
6.750%, 02/01/2022 | 1,649,000 | 1,747,940 | |||||
Freeport-McMoRan, Inc.: | |||||||
3.100%, 03/15/2020 @ | 2,000,000 | 1,971,846 | |||||
3.875%, 03/15/2023 @ | 1,100,000 | 999,270 | |||||
Glencore Canada Corp., | |||||||
6.000%, 10/15/2015 f | 1,024,000 | 1,037,341 | |||||
Glencore Funding LLC: | |||||||
2.500%, 01/15/2019 (Acquired 05/22/2013 through 10/29/2013, Cost $4,320,872) * | 4,400,000 | 4,350,628 | |||||
4.125%, 05/30/2023 (Acquired 04/03/2014, Cost $1,455,282) * | 1,500,000 | 1,451,122 | |||||
4.625%, 04/29/2024 (Acquired 10/08/2014, Cost $1,027,731) * | 1,000,000 | 991,104 | |||||
Grupo Bimbo, SAB de CV, | |||||||
3.875%, 06/27/2024 (Acquired 06/24/2014, Cost $2,987,700) * f | 3,000,000 | 2,990,010 | |||||
GTE Corp., | |||||||
8.750%, 11/01/2021 | 2,150,000 | 2,752,114 | |||||
Hanson Ltd., | |||||||
6.125%, 08/15/2016 f | 650,000 | 676,975 | |||||
Hess Corp., | |||||||
8.125%, 02/15/2019 @ | 1,200,000 | 1,420,676 | |||||
Hewlett-Packard Co.: | |||||||
3.300%, 12/09/2016 | 3,500,000 | 3,592,662 | |||||
2.750%, 01/14/2019 | 2,550,000 | 2,577,668 | |||||
Historic TW, Inc., | |||||||
6.875%, 06/15/2018 | 392,000 | 447,051 | |||||
Hutchison Whampoa International (09) Ltd., | |||||||
7.625%, 04/09/2019 (Acquired 10/16/2009 through 04/16/2014, Cost $6,056,112) * f | 5,400,000 | 6,385,149 | |||||
Hutchison Whampoa International (14) Ltd., | |||||||
1.625%, 10/31/2017 (Acquired 10/28/2014, Cost $1,995,400) * f | 2,000,000 | 1,994,000 | |||||
Hyundai Capital Services, Inc., | |||||||
3.500%, 09/13/2017 (Acquired 08/04/2014 through 09/30/2014, Cost $6,373,046) * f | 6,150,000 | 6,367,962 | |||||
Ingersoll-Rand Co., | |||||||
6.391%, 11/15/2027 f | 1,195,000 | 1,412,154 | |||||
Ingersoll-Rand Global Holding Co. Ltd., | |||||||
2.875%, 01/15/2019 | 3,000,000 | 3,050,283 | |||||
Ingredion, Inc., | |||||||
1.800%, 09/25/2017 | 1,275,000 | 1,274,359 | |||||
Johnson Controls, Inc.: | |||||||
5.500%, 01/15/2016 | 1,625,000 | 1,665,818 | |||||
4.250%, 03/01/2021 | 2,000,000 | 2,112,906 | |||||
Kinder Morgan Finance Co. LLC, | |||||||
5.700%, 01/05/2016 @ | 2,500,000 | 2,555,325 | |||||
Kraft Foods Group, Inc., | |||||||
3.500%, 06/06/2022 @ | 2,000,000 | 2,004,904 | |||||
Laboratory Corporation of America Holdings, | |||||||
4.625%, 11/15/2020 | 400,000 | 432,744 | |||||
Lafarge SA: | |||||||
6.200%, 07/09/2015 (Acquired 07/06/2010, Cost $999,140) * f | 1,000,000 | 999,550 | |||||
6.500%, 07/15/2016 f | 625,000 | 654,687 | |||||
Martin Marietta Materials, Inc., | |||||||
6.600%, 04/15/2018 | 75,000 | 83,950 | |||||
Masco Corp., | |||||||
6.125%, 10/03/2016 | 2,200,000 | 2,315,500 | |||||
MeadWestvaco Corp., | |||||||
7.375%, 09/01/2019 | 2,033,000 | 2,382,145 | |||||
Medco Health Solutions, Inc.: | |||||||
2.750%, 09/15/2015 | 215,000 | 215,887 | |||||
7.125%, 03/15/2018 | 1,850,000 | 2,105,851 | |||||
Merey Sweeny LP, | |||||||
8.850%, 12/18/2019 (Acquired 06/11/2013, Cost $1,510,379) * | 1,335,549 | 1,537,019 | |||||
Midcontinent Express Pipeline LLC, | |||||||
6.700%, 09/15/2019 (Acquired 09/30/2014, Cost $1,116,245) * | 1,000,000 | 1,084,244 | |||||
Murphy Oil Corp., | |||||||
3.700%, 12/01/2022 | 5,000,000 | 4,575,150 | |||||
Mylan, Inc., | |||||||
7.875%, 07/15/2020 (Acquired 07/22/2013, Cost $1,041,678) * | 1,000,000 | 1,041,725 | |||||
Nabors Industries, Inc., | |||||||
6.150%, 02/15/2018 | 825,000 | 890,868 | |||||
Nationwide Building Society, | |||||||
2.350%, 01/21/2020 (Acquired 01/12/2015, Cost $2,999,010) * f | 3,000,000 | 2,989,497 | |||||
Noble Energy, Inc.: | |||||||
8.250%, 03/01/2019 @ | 1,000,000 | 1,191,452 | |||||
4.150%, 12/15/2021 | 450,000 | 468,795 | |||||
ONEOK Partners LP, | |||||||
3.375%, 10/01/2022 | 6,000,000 | 5,519,766 | |||||
Pearson Funding Two PLC, | |||||||
4.000%, 05/17/2016 (Acquired 10/03/2014, Cost $6,147,538) * f | 6,000,000 | 6,141,102 | |||||
Petrofac Ltd., | |||||||
3.400%, 10/10/2018 (Acquired 10/03/2013 through 09/19/2014, Cost $6,947,799) * f | 6,880,000 | 6,807,306 | |||||
Phillips 66 Partners L.P., | |||||||
3.605%, 02/15/2025 | 2,000,000 | 1,882,220 | |||||
Pioneer Natural Resources Co., | |||||||
6.875%, 05/01/2018 | 1,225,000 | 1,375,457 | |||||
Plum Creek Timberlands LP, | |||||||
5.875%, 11/15/2015 | 2,445,000 | 2,486,729 | |||||
POSCO, | |||||||
5.250%, 04/14/2021 (Acquired 04/08/2011 through 09/22/2011, Cost $2,977,626) * @ f | 3,000,000 | 3,378,393 | |||||
R.R. Donnelley & Sons Co.: | |||||||
8.600%, 08/15/2016 | 1,000,000 | 1,075,000 | |||||
6.125%, 01/15/2017 | 43,000 | 44,290 | |||||
7.625%, 06/15/2020 @ | 1,000,000 | 1,125,000 | |||||
Rio Tinto Finance (USA) Ltd.: | |||||||
9.000%, 05/01/2019 f | 2,975,000 | 3,713,594 | |||||
3.750%, 09/20/2021 f | 500,000 | 518,161 | |||||
Rockies Express Pipeline LLC, | |||||||
5.625%, 04/15/2020 (Acquired 03/17/2010, Cost $999,110) * | 1,000,000 | 1,022,500 | |||||
Rockwell Automation, Inc., | |||||||
2.875%, 03/01/2025 | 3,000,000 | 2,909,409 | |||||
SABMiller Holdings, Inc., | |||||||
0.968%, 08/01/2018 (Acquired 10/28/2014, Cost $3,996,166) * | 3,980,000 | 3,990,762 | |||||
Samarco Mineracao SA, | |||||||
5.375%, 09/26/2024 (Acquired 09/23/2014, Cost $1,670,511) * f | 1,675,000 | 1,599,625 | |||||
Schneider Electric SE, | |||||||
2.950%, 09/27/2022 (Acquired 09/20/2012, Cost $1,994,680) * f | 2,000,000 | 1,977,914 | |||||
Southwestern Bell Telephone LP, | |||||||
7.000%, 07/01/2015 | 125,000 | 125,000 | |||||
Sprint Communications, Inc., | |||||||
6.000%, 12/01/2016 | 500,000 | 513,750 | |||||
Sunoco, Inc., | |||||||
5.750%, 01/15/2017 | 1,275,000 | 1,343,197 | |||||
Sysco Corp.: | |||||||
3.000%, 10/02/2021 | 2,550,000 | 2,575,500 | |||||
2.600%, 06/12/2022 | 150,000 | 146,545 | |||||
TC PipeLines LP, | |||||||
4.375%, 03/13/2025 | 2,500,000 | 2,469,463 | |||||
Teck Resources Limited, | |||||||
3.150%, 01/15/2017 f | 1,000,000 | 1,011,030 | |||||
Telecom Italia Capital, | |||||||
5.250%, 10/01/2015 f | 4,425,000 | 4,461,949 | |||||
Telefonica Emisiones S.A.U., | |||||||
3.192%, 04/27/2018 @ f | 1,000,000 | 1,027,240 | |||||
Telefonica Emisiones SAU: | |||||||
6.421%, 06/20/2016 f | 3,450,000 | 3,607,306 | |||||
6.221%, 07/03/2017 f | 1,000,000 | 1,086,937 | |||||
Telstra Corp. Ltd., | |||||||
3.125%, 04/07/2025 (Acquired 03/30/2015, Cost $5,640,395) * f | 5,650,000 | 5,518,790 | |||||
Teva Pharmaceutical Finance IV, LLC, | |||||||
2.250%, 03/18/2020 | 1,250,000 | 1,227,914 | |||||
Texas Eastern Transmission LP, | |||||||
6.000%, 09/15/2017 (Acquired 11/07/2013 through 11/14/2014, Cost $2,252,882) * | 2,073,000 | 2,264,717 | |||||
The Dow Chemical Co., | |||||||
8.550%, 05/15/2019 | 2,800,000 | 3,413,852 | |||||
The Mosaic Co., | |||||||
4.250%, 11/15/2023 | 2,000,000 | 2,056,458 | |||||
Time Warner Cable, Inc., | |||||||
5.850%, 05/01/2017 | 1,000,000 | 1,067,868 | |||||
Time Warner, Inc.: | |||||||
4.700%, 01/15/2021 | 1,325,000 | 1,431,810 | |||||
4.750%, 03/29/2021 | 2,000,000 | 2,162,022 | |||||
3.600%, 07/15/2025 | 4,000,000 | 3,890,724 | |||||
TransCanada PipeLines Ltd.: | |||||||
1.875%, 01/12/2018 @ f | 3,000,000 | 3,019,830 | |||||
9.875%, 01/01/2021 f | 150,000 | 199,931 | |||||
TSMC Global Ltd., | |||||||
1.625%, 04/03/2018 (Acquired 03/27/2013, Cost $3,297,789) * f | 3,300,000 | 3,262,245 | |||||
Tyco Electronics Group SA, | |||||||
6.550%, 10/01/2017 f | 1,245,000 | 1,381,430 | |||||
United AirLines, Inc. Pass Through Trust, | |||||||
Series 91A2, 10.020%, 03/22/2014 ** § † | 65,722 | 19,060 | |||||
Vale Overseas Ltd.: | |||||||
6.250%, 01/23/2017 @ f | 1,650,000 | 1,745,007 | |||||
4.375%, 01/11/2022 @ f | 2,425,000 | 2,369,109 | |||||
Valero Energy Corp., | |||||||
9.375%, 03/15/2019 | 5,898,000 | 7,258,586 | |||||
Verizon Communications, Inc.: | |||||||
5.150%, 09/15/2023 | 6,100,000 | 6,678,530 | |||||
4.150%, 03/15/2024 @ | 2,000,000 | 2,052,824 | |||||
Viacom, Inc., | |||||||
6.250%, 04/30/2016 | 500,000 | 521,958 | |||||
Vulcan Materials Co., | |||||||
7.000%, 06/15/2018 | 2,000,000 | 2,260,000 | |||||
Wabtec Corp., | |||||||
4.375%, 08/15/2023 | 3,000,000 | 3,118,020 | |||||
Walgreen Co., | |||||||
5.250%, 01/15/2019 @ | 637,000 | 698,467 | |||||
Waste Management, Inc., | |||||||
3.125%, 03/01/2025 | 1,975,000 | 1,916,060 | |||||
Wesfarmers Ltd., | |||||||
1.874%, 03/20/2018 (Acquired 03/13/2013, Cost $3,900,000) * f | 3,900,000 | 3,906,942 | |||||
Williams Partners LP: | |||||||
5.250%, 03/15/2020 | 1,000,000 | 1,086,938 | |||||
4.125%, 11/15/2020 @ | 1,475,000 | 1,529,907 | |||||
4.300%, 03/04/2024 @ | 2,500,000 | 2,458,795 | |||||
355,220,909 | 20.6% | ||||||
Total Corporate Bonds | 776,824,226 | 45.1% |
Other Government Related Securities | |||||||
CDP Financial, Inc., | |||||||
4.400%, 11/25/2019 (Acquired 11/20/2009, Cost $997,520) * f | 1,000,000 | 1,094,098 | |||||
Centrais Eletricas Brasileiras SA, | |||||||
5.750%, 10/27/2021 (Acquired 10/20/2011 through 10/25/2011, Cost $1,151,717) * f | 1,150,000 | 1,063,750 | |||||
CNOOC Finance 2013 Ltd., | |||||||
3.000%, 05/09/2023 f | 2,000,000 | 1,894,732 | |||||
CNOOC Nexen Finance (2014) ULC, | |||||||
4.250%, 04/30/2024 f | 5,150,000 | 5,259,427 | |||||
Corp Andina de Fomento, | |||||||
4.375%, 06/15/2022 f | 680,000 | 735,193 | |||||
Export-Import Bank of Korea, | |||||||
2.250%, 01/21/2020 f | 3,200,000 | 3,169,027 | |||||
Federal Home Loan Mortgage Corp. (FHLMC): | |||||||
1.375%, 05/01/2020 @ | 10,000,000 | 9,857,890 | |||||
2.375%, 01/13/2022 | 300,000 | 303,741 | |||||
KFW, | |||||||
4.875%, 06/17/2019 f | 3,250,000 | 3,668,633 | |||||
Korea Electric Power Corp., | |||||||
6.750%, 08/01/2027 f | 300,000 | 373,996 | |||||
Korea Gas Corp., | |||||||
2.875%, 07/29/2018 (Acquired 07/22/2013, Cost $994,790) * f | 1,000,000 | 1,028,591 | |||||
Mexico Government International Bond, | |||||||
5.125%, 01/15/2020 f | 2,650,000 | 2,921,625 | |||||
Petrobras Global Finance BV, | |||||||
2.643%, 03/17/2017 @ f | 1,700,000 | 1,669,740 | |||||
Petrobras International Finance Co. SA, | |||||||
3.875%, 01/27/2016 f | 4,175,000 | 4,192,827 | |||||
Petroleos Mexicanos: | |||||||
3.125%, 01/23/2019 f | 2,000,000 | 2,019,000 | |||||
5.500%, 01/21/2021 f | 2,000,000 | 2,169,000 | |||||
Portigon AG, | |||||||
4.796%, 07/15/2015 f | 1,811,000 | 1,811,058 | |||||
Sinopec Group Overseas Development [2015] Ltd., | |||||||
2.500%, 04/28/2020 (Acquired 04/21/2015, Cost $2,987,280) * f | 3,000,000 | 2,954,820 | |||||
The Korea Development Bank, | |||||||
3.875%, 05/04/2017 f | 2,150,000 | 2,237,247 | |||||
48,424,395 | 2.8% | ||||||
Taxable Municipal Bonds | |||||||
Alaska Municipal Bond Bank Authority: | |||||||
4.309%, 08/01/2018 | 1,000,000 | 1,070,800 | |||||
4.459%, 08/01/2019 | 1,340,000 | 1,455,200 | |||||
California Qualified School Bond Joint Powers Authority, | |||||||
5.955%, 03/01/2019 | 3,375,000 | 3,722,119 | |||||
California School Finance Authority, | |||||||
4.426%, 07/01/2020 | 2,500,000 | 2,658,875 | |||||
Central Valley Support Joint Powers Agency, | |||||||
5.326%, 09/01/2022 | 2,000,000 | 2,196,540 | |||||
County of Contra Costa CA, | |||||||
5.140%, 06/01/2017 | 2,500,000 | 2,621,275 | |||||
Dallas Independent School District, | |||||||
4.950%, 02/15/2022 (Callable 02/15/2021) | 1,965,000 | 2,217,738 | |||||
Davie Florida Water & Sewer Revenue, | |||||||
6.062%, 10/01/2025 (Callable 10/01/2020) | 1,000,000 | 1,149,170 | |||||
Government Development Bank for Puerto Rico, | |||||||
4.704%, 05/01/2016 | 3,525,000 | 2,044,571 | |||||
Iowa Tobacco Settlement Authority, | |||||||
6.500%, 06/01/2023 (Callable 07/31/2015) | 880,000 | 867,680 | |||||
New Hampshire Housing Finance Authority, | |||||||
2.600%, 01/01/2020 | 1,820,000 | 1,845,880 | |||||
New Jersey Economic Development Authority, | |||||||
1.802%, 06/15/2017 | 5,000,000 | 4,969,050 | |||||
North Carolina Housing Finance Agency, | |||||||
4.000%, 01/01/2030 (Callable 07/01/2021) | 380,000 | 384,875 | |||||
North East Independent School District/TX, | |||||||
5.240%, 08/01/2027 | 2,100,000 | 2,371,005 | |||||
State of California, | |||||||
5.500%, 03/01/2016 | 500,000 | 516,060 | |||||
30,090,838 | 1.8% | ||||||
Residential Mortgage-Backed Securities | |||||||
U.S. Government Agency Issues | |||||||
Fannie Mae REMIC Trust, | |||||||
Series 2004-W6, Class 1A6, 5.500%, 07/25/2034 | 388,740 | 395,582 | |||||
Federal Gold Loan Mortgage Corp. (FGLMC): | |||||||
6.000%, 06/01/2021 | 114,960 | 126,121 | |||||
6.000%, 07/01/2028 | 8,367 | 9,546 | |||||
Federal Home Loan Mortgage Corp. (FHLMC): | |||||||
Series 74, Class F, 6.000%, 10/15/2020 | 1,267 | 1,345 | |||||
Series 1395, Class G, 6.000%, 10/15/2022 | 10,027 | 10,906 | |||||
Federal National Mortgage Association (FNMA): | |||||||
Series 1989-2, Class D, 8.800%, 01/25/2019 | 4,426 | 4,783 | |||||
Series 1990-108, Class G, 7.000%, 09/25/2020 | 4,724 | 5,158 | |||||
Series G-29, Class O, 8.500%, 09/25/2021 | 571 | 651 | |||||
Series 1991-137, Class H, 7.000%, 10/25/2021 | 30,286 | 33,549 | |||||
Series 1993-32, Class H, 6.000%, 03/25/2023 | 18,420 | 20,035 | |||||
Government National Mortgage Association (GNMA), | |||||||
Series 1999-4, Class ZB, 6.000%, 02/20/2029 | 108,107 | 121,921 | |||||
729,597 | 0.0% | ||||||
Non-U.S. Government Agency Issues | |||||||
Alternative Loan Trust: | |||||||
Series 2005-50CB, Class 4A1, 5.000%, 11/25/2020 § | 303,475 | 303,923 | |||||
Series 2005-85CB, Class 3A1, 5.250%, 02/25/2021 (Acquired 09/26/2007 through 01/28/2009, Cost $264,728) * | 267,698 | 260,308 | |||||
Series 2006-7CB, Class 3A1, 5.250%, 05/25/2021 § | 480,541 | 467,376 | |||||
Series 2005-11CB, Class 2A1, 5.500%, 06/25/2035 § | 72,904 | 73,061 | |||||
Banc of America Alternative Loan Trust: | |||||||
Series 2003-11, Class 4A1, 4.750%, 01/25/2019 | 73,274 | 73,861 | |||||
Series 2004-2, Class 5A1, 5.500%, 03/25/2019 | 230,904 | 235,216 | |||||
Series 2004-11, Class 4A1, 5.500%, 12/25/2019 | 352,657 | 362,006 | |||||
Series 2005-6, Class 7A1, 5.500%, 07/25/2020 | 15,756 | 15,714 | |||||
Series 2006-2, Class 7A1, 6.000%, 03/25/2021 § | 252,987 | 251,082 | |||||
Series 2006-3, Class 6A1, 6.000%, 04/25/2036 | 304,002 | 311,872 | |||||
Series 2006-4, Class 3CB4, 6.000%, 05/25/2046 § | 429,397 | 360,859 | |||||
Banc of America Funding Trust, | |||||||
Series 2004-2, Class 1CB1, 5.750%, 09/20/2034 | 4,587,410 | 4,942,989 | |||||
Bear Stearns ARM Trust, | |||||||
Series 2004-5, Class 2A, 3.082%, 07/25/2034 | 2,709,108 | 2,713,139 | |||||
Credit Suisse First Boston Mortgage Securities Corp., | |||||||
Series 2005-3, Class 3A27, 5.500%, 07/25/2035 | 11,300 | 11,386 | |||||
J.P. Morgan Alternative Loan Trust: | |||||||
Series 2005-S1, Class 3A1, 5.500%, 10/25/2020 | 572,739 | 569,050 | |||||
Series 2006-A1, Class 2A1, 2.524%, 03/25/2036 § | 570,581 | 466,100 | |||||
Lehman Mortgage Trust, | |||||||
Series 2006-4, Class 3A1, 5.000%, 08/25/2021 § | 110,082 | 106,610 | |||||
MASTR Alternative Loan Trust: | |||||||
Series 2004-1, Class 1A1, 5.000%, 01/25/2019 | 312,873 | 317,300 | |||||
Series 2004-3, Class 1A1, 5.000%, 03/25/2019 | 83,267 | 85,031 | |||||
Series 2005-3, Class 4A1, 5.500%, 03/25/2020 | 77,904 | 80,514 | |||||
RALI Series Trust, | |||||||
Series 2004-QS6, Class A1, 5.000%, 05/25/2019 | 30,447 | 30,840 | |||||
Salomon Brothers Mortgage Securities VII, Inc., | |||||||
Series 2003-UP2, Class A2, 7.000%, 06/25/2033 | 91,052 | 98,214 | |||||
Structured Asset Securities Corp. Mortgage Pass-Through Certificates, | |||||||
Series 2004-22, Class A2, 5.056%, 01/25/2035 | 6,361,219 | 6,563,525 | |||||
Thornburg Mortgage Securities Trust, | |||||||
Series 2003-5, Class 3A, 2.161%, 10/25/2043 | 8,002,803 | 8,034,974 | |||||
WaMu Mortgage Pass-Through Certificates: | |||||||
Series 2004-CB1, Class 5A, 5.000%, 06/25/2019 | 402,299 | 411,731 | |||||
Series 2004-CB3, Class 3A, 5.500%, 10/25/2019 | 654,887 | 677,203 | |||||
Series 2004-CB3, Class 4A, 6.000%, 10/25/2019 | 230,338 | 240,658 | |||||
Series 2004-CB4, Class 21A, 5.500%, 12/25/2019 | 223,959 | 231,287 | |||||
Series 2004-CB4, Class 22A, 6.000%, 12/25/2019 | 154,036 | 160,255 | |||||
Series 2004-AR3, Class A1, 2.459%, 06/25/2034 | 5,872,843 | 5,933,921 | |||||
Series 2004-CB2, Class 3A, 6.000%, 08/25/2034 | 4,492,959 | 4,800,987 | |||||
39,190,992 | 2.3% | ||||||
Asset Backed Securities | |||||||
Amresco Residential Securities Mortgage Loan Trust, | |||||||
Series 1998-1, Class A6, 6.510%, 08/25/2027 | 13,545 | 14,549 | |||||
Argent Securities Inc Asset-Backed Pass-Through Certificates, | |||||||
Series 2005-W3, Class A2D, 0.527%, 11/25/2035 | 2,472,677 | 2,398,156 | |||||
Capital Auto Receivables Asset Trust: | |||||||
Series 2014-2, Class A2, 0.910%, 04/20/2017 | 5,575,000 | 5,575,346 | |||||
Series 2015-2, Class A2, 1.390%, 09/20/2018 | 8,050,000 | 8,049,758 | |||||
Cityscape Home Equity Loan Trust, | |||||||
Series 1997-C, Class A4, 7.000%, 07/25/2028 § | 3,921 | 3,947 | |||||
Conseco Financial Corp.: | |||||||
Series 1993-4, Class A5, 7.050%, 01/15/2019 | 5,061 | 5,182 | |||||
Series 1998-2, Class A5, 6.240%, 12/01/2028 | 291,328 | 299,845 | |||||
Series 1998-3, Class A5, 6.220%, 03/01/2030 | 456,021 | 483,280 | |||||
Series 1998-4, Class A5, 6.180%, 04/01/2030 | 179,775 | 192,329 | |||||
Countrywide Asset-Backed Certificates: | |||||||
Series 2006-S3, Class A2, 6.085%, 06/25/2021 § | 128,219 | 339,892 | |||||
Series 2004-12, Class AF6, 4.634%, 03/25/2035 | 21,707 | 22,313 | |||||
Series 2005-1, Class AF6, 5.030%, 07/25/2035 | 968,421 | 985,432 | |||||
Series 2006-13, Class 1AF3, 4.828%, 01/25/2037 § | 199,950 | 254,694 | |||||
Series 2006-9, Class 1AF3, 5.033%, 10/25/2046 § | 1,075,846 | 982,307 | |||||
Dell Equipment Finance Trust, | |||||||
Series 2015-1, Class A2, 1.010%, 07/24/2017 (Acquired 04/15/2015, Cost $17,999,352) * | 18,000,000 | 18,011,790 | |||||
Delta Funding Home Equity Loan Trust: | |||||||
Series 1997-2, Class A6, 7.040%, 06/25/2027 | 3,494 | 3,519 | |||||
Series 1999-1, Class A6F, 6.340%, 12/15/2028 | 6 | 6 | |||||
Series 1999-2, Class A7F, 7.030%, 08/15/2030 | 398,138 | 417,344 | |||||
First Franklin Mortgage Loan Trust, | |||||||
Series 2004-FF7, Class A1, 0.827%, 09/25/2034 | 3,729,181 | 3,721,936 | |||||
Ford Credit Auto Owner Trust: | |||||||
Series 2014-1, Class A, 2.260%, 11/15/2025 (Acquired 10/07/2014 through 10/09/2014, Cost $10,907,955) * | 10,859,000 | 10,993,315 | |||||
Series 2014-2, Class A, 2.310%, 04/15/2026 (Acquired 10/07/2014, Cost $11,745,689) * | 11,750,000 | 11,880,014 | |||||
IMC Home Equity Loan Trust, | |||||||
Series 1998-1, Class A6, 7.020%, 06/20/2029 | 4,330 | 4,332 | |||||
J.P. Morgan Mortgage Acquisition Trust, | |||||||
Series 2006-CH1, Class A1, 0.315%, 07/25/2036 | 4,503,652 | 4,329,392 | |||||
Kubota Credit Owner Trust, | |||||||
Series 2015-1A, Class A3, 1.540%, 03/15/2019 (Acquired 01/22/2015, Cost $10,048,597) * | 10,050,000 | 10,061,015 | |||||
New Century Home Equity Loan Trust, | |||||||
Series 2005-B, Class A2C, 0.467%, 10/25/2035 | 819,993 | 817,118 | |||||
Nomura Holdings, Inc., | |||||||
Series 2006-HE2, Class A3, 0.357%, 03/25/2036 | 7,507,384 | 7,248,732 | |||||
Oakwood Mortgage Investors, Inc., | |||||||
Series 1999-B, Class A3, 6.450%, 11/15/2017 | 82,827 | 84,826 | |||||
RAAC Series Trust, | |||||||
Series 2004-SP1, Class AI4, 5.285%, 08/25/2027 | 7,878 | 8,006 | |||||
RAMP Series Trust: | |||||||
Series 2005-RS1, Class AI6, 4.713%, 01/25/2035 | 83,912 | 84,871 | |||||
Series 2006-NC1, Class A2, 0.377%, 01/25/2036 | 1,424,397 | 1,417,502 | |||||
Saxon Asset Securities Trust, | |||||||
Series 2005-4, Class A1B, 0.567%, 11/25/2037 | 4,205,803 | 4,077,547 | |||||
Securitized Asset Backed Receivables LLC Trust, | |||||||
Series 2005-OP2, Class A1, 0.512%, 10/25/2035 (Acquired 03/13/2014, Cost $6,499,050) * | 6,579,235 | 6,505,817 | |||||
Soundview Home Loan Trust, | |||||||
Series 2003-2, Class A2, 1.487%, 11/25/2033 | 3,608,281 | 3,571,718 | |||||
Specialty Underwriting & Residential Finance Trust: | |||||||
Series 2004-BC4, Class A1A, 0.857%, 10/25/2035 | 3,432,510 | 3,340,358 | |||||
Series 2006-BC1, Class A2D, 0.487%, 12/25/2036 | 7,617,879 | 7,383,286 | |||||
Springleaf Funding Trust, | |||||||
Series 2013-AA, Class A, 2.580%, 09/15/2021 (Acquired 02/14/2014, Cost $2,941,083) * | 2,930,121 | 2,941,086 | |||||
Structured Asset Investment Loan Trust, | |||||||
Series 2004-9, Class A5, 1.187%, 10/25/2034 | 6,940,159 | 6,912,169 | |||||
Synchrony Credit Card Master Note Trust: | |||||||
Series 2014-1, Class A, 1.610%, 11/15/2020 | 3,825,000 | 3,837,978 | |||||
Series 2012-2, Class A, 2.220%, 01/15/2022 | 8,250,000 | 8,352,977 | |||||
TCF Auto Receivables Owner Trust, | |||||||
Series 2014-1A, Class A4, 1.560%, 01/15/2020 (Acquired 05/29/2015 through 06/12/2015, Cost $15,621,858) * | 15,575,000 | 15,618,657 | |||||
Wells Fargo Home Equity Asset-Backed Securities, | |||||||
Series 2004-2, Class A33, 0.687%, 10/25/2034 | 3,473,159 | 3,367,321 | |||||
154,599,662 | 9.0% | ||||||
Commercial Mortgage Backed Securities | |||||||
Bear Stearns Commercial Mortgage Securities Trust, | |||||||
Series 2005-PWR9, Class A4A, 4.871%, 09/11/2042 | 388,252 | 387,945 | |||||
CD Commercial Mortgage Trust, | |||||||
Series 2005-CD1, Class A4, 5.380%, 07/15/2044 | 3,297,163 | 3,299,758 | |||||
Credit Suisse First Boston Mortgage Securities Corp., | |||||||
Series 2005-C5, Class A4, 5.100%, 08/15/2038 | 149,436 | 149,237 | |||||
DBUBS Mortgage Trust, | |||||||
Series 2011-LC3A, Class A2, 3.642%, 08/10/2044 | 8,610,545 | 8,763,752 | |||||
Federal National Mortgage Association (FNMA): | |||||||
Series 2013-M1, Class ASQ2, 1.074%, 11/25/2016 | 2,342,810 | 2,351,417 | |||||
Series 2012-M9, Class ASQ2, 1.513%, 12/25/2017 | 1,090,205 | 1,098,469 | |||||
FHLMC Multifamily Structured Pass Through Certificates: | |||||||
Series K702, Class A2, 3.154%, 02/25/2018 | 305,108 | 318,958 | |||||
Series K704, Class A2, 2.412%, 08/25/2018 | 300,000 | 308,656 | |||||
Series K705, Class A2, 2.303%, 09/25/2018 | 3,000,000 | 3,077,058 | |||||
Series K708, Class A2, 2.130%, 01/25/2019 | 8,300,000 | 8,456,762 | |||||
Series K003, Class A4, 5.053%, 01/25/2019 | 9,000,000 | 9,992,196 | |||||
Series K004, Class A2, 4.186%, 08/25/2019 | 5,875,000 | 6,387,817 | |||||
Series K005, Class A2, 4.317%, 11/25/2019 | 4,975,000 | 5,446,705 | |||||
Series K006, Class A2, 4.251%, 01/25/2020 | 2,643,000 | 2,890,615 | |||||
Series KF02, Class A3, 0.811%, 07/25/2020 | 4,599,260 | 4,629,587 | |||||
J.P. Morgan Chase Commercial Mortgage Securities Corp., | |||||||
Series 2011-C5, Class A3, 4.171%, 08/15/2046 | 5,000,000 | 5,425,120 | |||||
J.P. Morgan Chase Commercial Mortgage Securities Trust: | |||||||
Series 2005-CB12, Class A4, 4.895%, 09/12/2037 | 231,370 | 231,230 | |||||
Series 2012-C8, Class ASB, 2.379%, 10/15/2045 | 8,004,000 | 8,021,321 | |||||
NCUA Guaranteed Notes Trust, | |||||||
Series 2010-C1, Class A2, 2.900%, 10/29/2020 | 2,150,000 | 2,205,952 | |||||
Wachovia Bank Commercial Mortgage Trust, | |||||||
Series 2005-C22, Class A4, 5.448%, 12/15/2044 | 6,182,542 | 6,190,227 | |||||
Wells Fargo Commercial Mortgage Trust, | |||||||
Series 2014-LC18, Class ASB, 3.244%, 12/15/2047 | 16,400,000 | 16,756,962 | |||||
WFRBS Commercial Mortgage Trust: | |||||||
Series 2012-C6, Class A4, 3.440%, 04/15/2045 | 8,000,000 | 8,330,176 | |||||
Series 2014-C21, Class A2, 2.917%, 08/15/2047 | 2,435,234 | 2,514,123 | |||||
Series 2014-C24, Class ASB, 3.324%, 11/15/2047 | 8,275,000 | 8,516,713 | |||||
115,750,756 | 6.7% | ||||||
Total Long-Term Investments (Cost $1,689,693,517) | 1,703,182,788 | 98.9% |
Shares | |||||||
SHORT-TERM INVESTMENT | |||||||
Money Market Mutual Fund | |||||||
Short-Term Investments Trust - Liquid Assets Portfolio, 0.10% « | 26,005,249 | 26,005,249 | |||||
Total Short-Term Investment (Cost $26,005,249) | 26,005,249 | 1.5% | |||||
INVESTMENTS PURCHASED WITH CASH PROCEEDS FROM | |||||||
SECURITIES LENDING | |||||||
Investment Companies | |||||||
Mount Vernon Securities Lending Trust Prime Portfolio, 0.25% « | 65,136,677 | 65,136,677 | |||||
Total Investment Companies (Cost $65,136,677) | 65,136,677 | 3.8% | |||||
Total Investments Purchased With Cash Proceeds From | |||||||
Securities Lending (Cost $65,136,677) | 65,136,677 | 3.8% | |||||
Total Investments (Cost $1,780,835,443) | 1,794,324,714 | 104.2% | |||||
Liabilities in Excess of Other Assets | (72,335,847) | (4.2)% | |||||
TOTAL NET ASSETS | $ 1,721,988,867 | 100.0% |
Notes to Schedule of Investments | |
* | Restricted security as defined in Rule 144(a) under the Securities Act of 1933 and determined to be liquid. Purchased in a private placement transaction; resale to the public may require registration or or may extend only to qualified institutional buyers. At June 30, 2015, the value of these securities total $328,185,396, which represents 19.06% of total net assets. |
** | Illiquid Security |
@ | This security or portion of this security is out on loan at June 30, 2015. |
f | Foreign Security |
« | 7-Day Yield |
§ | Security in Default |
† | Priced at Fair Value by the Valuation Committee as delegated by the Baird Funds' Board of Directors. |
Baird Intermediate Municipal Bond Fund | ||||||||
Schedule of Investments | ||||||||
June 30, 2015 (Unaudited) | ||||||||
Principal | % of | |||||||
Amount | Value | Net Assets | ||||||
Municipal Bonds | ||||||||
Alabama | ||||||||
Alabama State Public School & College Authority, | ||||||||
5.000%, 05/01/2019 | $ 1,000,000 | $ 1,137,010 | ||||||
Gulf Shores Alabama, | ||||||||
5.000%, 12/15/2018 (Callable 12/15/2017)(Insured by AGM) | 1,080,000 | 1,190,290 | ||||||
2,327,300 | 0.2% | |||||||
Arizona | ||||||||
Gila County Arizona Unified School District Bonds, | ||||||||
5.250%, 07/01/2027 (Pre-refunded to 07/01/2017) | 1,000,000 | 1,088,960 | ||||||
Maricopa County Arizona University School District No. 48 Scottsdale, | ||||||||
4.000%, 07/01/2026 (Pre-refunded to 07/01/2016) | 1,860,000 | 1,926,216 | ||||||
3,015,176 | 0.3% | |||||||
Arkansas | ||||||||
Arkansas Development Finance Authority, | ||||||||
5.500%, 12/01/2018 (ETM) | 1,000,000 | 1,112,610 | 0.1% | |||||
California | ||||||||
Bakersfield California Certificates Participation, | ||||||||
0.000%, 04/15/2021 (ETM) | 12,380,000 | 11,099,165 | ||||||
Commerce Community Development Commission, | ||||||||
0.000%, 08/01/2021 (ETM) | 815,000 | 598,552 | ||||||
Pittsburg California Redevelopment Agency Residential Mortgage Revenue, | ||||||||
9.600%, 06/01/2016 (ETM) | 3,725,000 | 4,022,777 | ||||||
Port Oakland California Revenue, | ||||||||
5.000%, 11/01/2017 (Insured by NPFGC) | 1,800,000 | 1,969,002 | ||||||
San Joaquin Hills California Transportation Corridor Agency Toll Road Revenue: | ||||||||
0.000%, 01/01/2020 (ETM) | 6,865,000 | 6,439,919 | ||||||
0.000%, 01/01/2023 (ETM) | 14,000,000 | 11,867,240 | ||||||
San Marcos California Public Facilities Authority Revenue, | ||||||||
0.000%, 09/01/2019 (ETM) | 17,295,000 | 16,328,210 | ||||||
Woodside California Elementary School District Government School Bonds, | ||||||||
5.000%, 10/01/2023 (Pre-refunded to 10/01/2016) | 1,130,000 | 1,194,749 | ||||||
53,519,614 | 4.7% | |||||||
Colorado | ||||||||
Colorado Health Facilities Authority, | ||||||||
0.000%, 07/15/2022 (ETM) | 4,540,000 | 3,828,809 | ||||||
Colorado Springs Colorado Hospital Revenue Bonds, | ||||||||
5.000%, 12/15/2032 (Pre-refunded to 12/15/2018) | 1,300,000 | 1,468,883 | ||||||
Colorado Springs Colorado Utilities Revenue Bonds, | ||||||||
5.875%, 11/15/2017 (ETM) | 4,720,000 | 5,034,399 | ||||||
County of El Paso Colorado Mortgage Revenue Bonds, | ||||||||
0.000%, 09/01/2015 (ETM) | 2,230,000 | 2,229,286 | ||||||
Dawson Ridge Metropolitan District No. 1 Colorado: | ||||||||
0.000%, 10/01/2022 (ETM) | 26,895,000 | 22,891,142 | ||||||
0.000%, 10/01/2022 (ETM) | 17,540,000 | 14,928,820 | ||||||
Regional Transportation District Colorado Sales Tax Revenue, | ||||||||
5.000%, 11/01/2036 (Pre-refunded to 11/01/2016) | 6,785,000 | 7,183,212 | ||||||
57,564,551 | 5.0% | |||||||
Connecticut | ||||||||
State of Connecticut, | ||||||||
5.000%, 10/15/2020 | 4,390,000 | 5,096,219 | 0.4% | |||||
Delaware | ||||||||
State of Delaware, | ||||||||
5.000%, 03/01/2020 | 2,000,000 | 2,333,020 | 0.2% | |||||
Florida | ||||||||
Brevard County School District, | ||||||||
5.000%, 07/01/2020 (Callable 07/01/2017)(Insured by AMBAC) | 1,925,000 | 2,076,055 | ||||||
Broward County Florida School Board: | ||||||||
5.250%, 07/01/2022 (Callable 07/01/2021) | 8,390,000 | 9,782,069 | ||||||
5.250%, 07/01/2023 (Callable 07/01/2021) | 4,915,000 | 5,676,923 | ||||||
County of Palm Beach FL, | ||||||||
5.000%, 11/01/2018 (Pre-refunded to 11/01/2017) | 1,000,000 | 1,094,370 | ||||||
County of St. Lucie Florida, | ||||||||
6.000%, 10/01/2020 (ETM) | 6,420,000 | 7,609,626 | ||||||
Dade County Florida Health Facility Authority Hospital Revenue, | ||||||||
5.750%, 05/01/2021 (ETM) | 1,380,000 | 1,528,488 | ||||||
Escambia County Florida Housing Finance Authority Multifamily Housing Revenue, | ||||||||
0.000%, 10/15/2018 (ETM) | 4,130,000 | 3,928,910 | ||||||
Florida State Board of Education, | ||||||||
5.000%, 06/01/2022 (Callable 06/01/2019) | 13,800,000 | 15,624,084 | ||||||
Florida State Department of Management Services, | ||||||||
5.000%, 08/01/2018 | 2,500,000 | 2,792,650 | ||||||
Florida State Mid-Bay Bridge Authority Revenue: | ||||||||
6.875%, 10/01/2022 (ETM) | 4,675,000 | 5,785,219 | ||||||
6.875%, 10/01/2022 (ETM) | 3,175,000 | 3,928,999 | ||||||
Florida State Municipal Power Agency Revenue, | ||||||||
5.000%, 10/01/2017 (Callable 07/31/2015)(ETM) | 1,590,000 | 1,740,287 | ||||||
Gulf Environmental Services Inc. Florida Revenue Bonds, | ||||||||
5.000%, 10/01/2018 (ETM) | 1,065,000 | 1,144,928 | ||||||
Hillsborough County Industrial Development Authority: | ||||||||
5.625%, 08/15/2029 (Pre-refunded to 08/15/2018) | 2,950,000 | 3,358,722 | ||||||
8.000%, 08/15/2032 (Pre-refunded to 08/15/2019) | 1,940,000 | 2,468,631 | ||||||
Hillsborough County School Board, | ||||||||
5.500%, 07/01/2018 (Insured by NPFGC) | 2,000,000 | 2,254,020 | ||||||
Miami Beach Florida Resort Tax Revenue, | ||||||||
6.250%, 10/01/2022 (ETM) | 1,470,000 | 1,751,005 | ||||||
Miami-Dade County Florida, | ||||||||
4.500%, 10/01/2020 | 7,100,000 | 8,038,478 | ||||||
Miami-Dade County Florida Entitlement Revenue Bonds, | ||||||||
5.000%, 08/01/2015 (Insured by NPFGC) | 3,000,000 | 3,011,730 | ||||||
Miami-Dade County Florida School Board, | ||||||||
5.000%, 05/01/2016 (Insured by NPFGC) | 3,000,000 | 3,110,760 | ||||||
Miami-Dade County Florida Water & Sewer Revenue, | ||||||||
5.250%, 10/01/2022 | 1,125,000 | 1,335,128 | ||||||
Orlando Utilities Commission, | ||||||||
6.750%, 10/01/2017 (ETM) | 1,635,000 | 1,755,123 | ||||||
Pinellas County Housing Finance Authority, | ||||||||
4.250%, 03/01/2027 (Callable 09/01/2019) | 1,350,000 | 1,361,111 | ||||||
Sarasota County Florida School Board, | ||||||||
5.000%, 07/01/2015 (Insured by NPFGC) | 1,000,000 | 1,000,000 | ||||||
Seminole County Florida Water & Sewage Revenue, | ||||||||
6.000%, 10/01/2019 (ETM) | 5,200,000 | 5,736,328 | ||||||
Sunrise Florida Utility System Revenue, | ||||||||
5.500%, 10/01/2018 (ETM) | 2,750,000 | 2,978,883 | ||||||
Tampa Bay Water, | ||||||||
5.000%, 10/01/2019 (ETM) | 1,630,000 | 1,874,842 | ||||||
102,747,369 | 9.0% | |||||||
Georgia | ||||||||
Atlanta Development Authority, | ||||||||
5.000%, 09/01/2023 (ETM) | 1,825,000 | 2,184,854 | ||||||
Atlanta Georgia Water & Wastewater Revenue, | ||||||||
5.500%, 11/01/2017 (Insured by AGM) | 8,445,000 | 9,330,458 | ||||||
Forsyth County Georgia Hospital Authority Revenue Anticipation Certificates, | ||||||||
6.375%, 10/01/2028 (ETM) | 8,050,000 | 10,062,500 | ||||||
Georgia Municipal Electric Authority Power Revenue, | ||||||||
6.500%, 01/01/2017 (Insured by AGM) | 1,905,000 | 1,993,506 | ||||||
Gwinnett County Georgia School District, | ||||||||
5.000%, 02/01/2026 (Pre-refunded to 02/01/2018) | 7,400,000 | 8,156,946 | ||||||
Richmond County Development Authority: | ||||||||
0.000%, 12/01/2021 (ETM) | 720,000 | 637,085 | ||||||
0.000%, 12/01/2021 (ETM) | 3,510,000 | 3,105,788 | ||||||
State of Georgia, | ||||||||
5.000%, 07/01/2020 (Callable 07/01/2017) | 12,570,000 | 13,631,662 | ||||||
Walton County School District, | ||||||||
5.000%, 08/01/2024 (Pre-refunded to 08/01/2015) | 1,000,000 | 1,003,390 | ||||||
50,106,189 | 4.4% | |||||||
Illinois | ||||||||
Chicago Illinois, | ||||||||
5.000%, 01/01/2017 (Callable 01/01/2016)(Insured by AGM) | 2,360,000 | 2,411,023 | ||||||
Chicago Illinois Board of Education: | ||||||||
5.000%, 12/01/2017 (Callable 12/01/2016)(Insured by AGM) | 4,345,000 | 4,488,863 | ||||||
5.000%, 12/01/2017 (Insured by AMBAC) | 2,100,000 | 2,160,669 | ||||||
6.000%, 01/01/2020 (Insured by NPFGC) | 14,745,000 | 16,046,099 | ||||||
Chicago Public Building Commission, | ||||||||
7.000%, 01/01/2020 (ETM) | 1,555,000 | 1,881,488 | ||||||
Cook County Community High School District No. 233, | ||||||||
4.000%, 12/01/2026 (Callable 06/01/2022) | 3,695,000 | 4,036,972 | ||||||
Cook County Illinois School District No. 097, | ||||||||
9.000%, 12/01/2015 (Insured by NPFGC) | 2,605,000 | 2,694,846 | ||||||
Cook County Illinois School District No. 100, | ||||||||
8.100%, 12/01/2016 (ETM) | 1,430,000 | 1,578,934 | ||||||
Cook County Illinois School District No. 159, | ||||||||
0.000%, 12/01/2022 (ETM) | 2,000,000 | 1,661,560 | ||||||
County of Du Page IL, | ||||||||
5.600%, 01/01/2021 | 860,000 | 964,026 | ||||||
Illinois Finance Authority: | ||||||||
0.000%, 07/15/2023 (ETM) | 21,475,000 | 17,691,105 | ||||||
0.000%, 07/15/2025 (ETM) | 12,625,000 | 9,525,436 | ||||||
6.625%, 11/01/2039 (Pre-refunded to 05/01/2019) | 395,000 | 472,953 | ||||||
Illinois Municipal Electric Agency, | ||||||||
5.250%, 02/01/2016 (Insured by NPFGC) | 1,000,000 | 1,026,910 | ||||||
Illinois State Toll Highway Authority: | ||||||||
5.500%, 01/01/2016 (Insured by AGM) | 2,100,000 | 2,152,164 | ||||||
5.000%, 01/01/2026 (Pre-refunded to 07/01/2016) | 1,065,000 | 1,113,383 | ||||||
5.000%, 01/01/2031 (Pre-refunded to 07/01/2016) | 2,055,000 | 2,147,311 | ||||||
Kane County Community Unit School District, | ||||||||
9.000%, 01/01/2023 (Insured by AGM) | 2,000,000 | 2,847,180 | ||||||
Kane McHenry Cook & De Kalb Counties Illinois School District No. 300: | ||||||||
7.750%, 01/01/2017 (ETM) | 1,835,000 | 2,025,638 | ||||||
7.000%, 01/01/2018 (ETM) | 5,775,000 | 6,622,193 | ||||||
7.000%, 01/01/2018 (ETM) | 365,000 | 418,546 | ||||||
7.000%, 01/01/2019 (ETM) | 1,755,000 | 2,097,523 | ||||||
Kendall Kane & Will Counties Community Unit School District No. 308, | ||||||||
0.000%, 02/01/2021 | 13,625,000 | 11,818,734 | ||||||
Lake County Illinois Community High School District No. 124 Grant, | ||||||||
5.000%, 12/01/2017 | 1,050,000 | 1,154,202 | ||||||
McHenry & Kane Counties Illinois Community School District No. 158: | ||||||||
0.000%, 01/01/2016 (ETM) | 1,245,000 | 1,242,759 | ||||||
0.000%, 01/01/2016 | 725,000 | 720,520 | ||||||
Metropolitan Pier & Exposition Authority Illinois: | ||||||||
5.500%, 06/15/2016 (ETM) | 1,805,000 | 1,890,900 | ||||||
5.500%, 12/15/2023 (ETM) | 2,250,000 | 2,658,082 | ||||||
Regional Transportation Authority Illinois: | ||||||||
7.750%, 06/01/2020 | 865,000 | 997,457 | ||||||
6.700%, 11/01/2021 | 1,200,000 | 1,383,876 | ||||||
6.000%, 07/01/2022 (Insured by NPFGC) | 4,705,000 | 5,785,033 | ||||||
Southern Illinois University Revenue: | ||||||||
5.250%, 04/01/2018 (Insured by NPFGC) | 1,075,000 | 1,155,625 | ||||||
5.250%, 04/01/2019 (Insured by NPFGC) | 1,390,000 | 1,519,242 | ||||||
State of Illinois: | ||||||||
5.000%, 01/01/2019 (Insured by AGM) | 1,000,000 | 1,077,760 | ||||||
4.000%, 09/01/2019 (Callable 09/01/2018)(Insured by AGM) | 5,000,000 | 5,202,750 | ||||||
6.000%, 11/01/2026 (Insured by NPFGC) | 3,000,000 | 3,562,260 | ||||||
Village of Schaumburg IL, | ||||||||
4.000%, 12/01/2024 (Callable 12/01/2022) | 5,750,000 | 6,296,883 | ||||||
Winnebago County Illinois School District No. 122 Harlam-Loves Park: | ||||||||
0.000%, 01/01/2018 (ETM) | 155,000 | 150,979 | ||||||
0.000%, 01/01/2018 (Insured by AGM) | 1,205,000 | 1,128,109 | ||||||
133,809,993 | 11.7% | |||||||
Indiana | ||||||||
Franklin Community Multi-School Building Corp., | ||||||||
5.000%, 07/15/2020 | 1,990,000 | 2,197,796 | ||||||
Hammond Indiana Multi-School Building Corporation Revenue Bonds: | ||||||||
6.000%, 01/15/2018 (ETM) | 635,000 | 668,890 | ||||||
5.000%, 07/15/2018 (Insured by NPFGC) | 1,330,000 | 1,472,988 | ||||||
Indiana State Office Building Commission, | ||||||||
5.250%, 07/01/2017 | 1,115,000 | 1,209,340 | ||||||
Indianapolis Local Public Improvement Bond Bank: | ||||||||
5.500%, 07/01/2018 (Insured by NPFGC) | 3,460,000 | 3,857,312 | ||||||
5.500%, 01/01/2019 (Insured by NPFGC) | 1,155,000 | 1,300,022 | ||||||
Perry Township Multi School Building Corporation, | ||||||||
5.000%, 07/10/2018 (Callable 08/12/2015) | 1,000,000 | 1,003,310 | ||||||
Pike County Multi-School Building Corp., | ||||||||
5.000%, 07/15/2021 | 1,125,000 | 1,304,257 | ||||||
Purdue University Indiana Revenue, | ||||||||
5.000%, 07/01/2015 | 1,650,000 | 1,650,000 | ||||||
South Bend Indiana Community School Building Corporation, | ||||||||
5.000%, 07/15/2017 (Insured by NPFGC) | 1,000,000 | 1,068,820 | ||||||
15,732,735 | 1.4% | |||||||
Kansas | ||||||||
City of Wichita KS: | ||||||||
5.000%, 11/15/2029 (Pre-refunded to 11/15/2021) | 40,000 | 47,843 | ||||||
5.000%, 11/15/2034 (Pre-refunded to 11/15/2019) | 1,055,000 | 1,220,350 | ||||||
Wyandotte County Kansas Revenue, | ||||||||
5.000%, 09/01/2019 (Callable 03/01/2019)(Insured by BHAC) | 1,865,000 | 2,100,400 | ||||||
3,368,593 | 0.3% | |||||||
Kentucky | ||||||||
Jefferson County School District Finance Corp., | ||||||||
5.500%, 01/01/2018 (Insured by AGM) | 3,340,000 | 3,706,398 | ||||||
Louisville & Jefferson County Metropolitan Government, | ||||||||
6.125%, 02/01/2037 (Pre-refunded to 02/01/2018) | 13,730,000 | 15,544,282 | ||||||
19,250,680 | 1.7% | |||||||
Louisiana | ||||||||
Louisiana Public Facilities Authority, | ||||||||
6.750%, 07/01/2039 (Pre-refunded to 07/01/2019) | 2,620,000 | 3,162,707 | ||||||
Louisiana Public Facilities Authority Revenue: | ||||||||
5.500%, 05/15/2027 (Pre-refunded to 05/15/2026) | 9,965,000 | 12,458,741 | ||||||
5.500%, 05/15/2032 (Pre-refunded to 05/15/2026) | 21,355,000 | 26,926,306 | ||||||
State of Louisiana: | ||||||||
5.000%, 11/15/2018 | 1,775,000 | 1,994,461 | ||||||
5.000%, 11/15/2020 (Callable 05/15/2020) | 10,000,000 | 11,577,900 | ||||||
56,120,115 | 4.9% | |||||||
Maryland | ||||||||
City of Baltimore MD, | ||||||||
5.000%, 07/01/2024 (ETM) | 1,195,000 | 1,420,484 | ||||||
State of Maryland: | ||||||||
5.000%, 03/15/2019 (Pre-refunded to 03/15/2017) | 1,135,000 | 1,217,719 | ||||||
5.000%, 03/01/2021 (Callable 03/01/2020) | 1,000,000 | 1,156,220 | ||||||
3,794,423 | 0.3% | |||||||
Massachusetts | ||||||||
Massachusetts Clean Water Trust, | ||||||||
5.000%, 08/01/2018 (Callable 08/01/2016)(Partially Pre-refunded) | 2,115,000 | 2,219,418 | ||||||
Massachusetts Department of Transportation, | ||||||||
5.000%, 01/01/2020 (ETM) | 1,770,000 | 1,933,760 | ||||||
Massachusetts State: | ||||||||
5.000%, 08/01/2020 (Pre-refunded to 08/01/2016) | 5,820,000 | 6,106,693 | ||||||
4.000%, 12/01/2022 (Callable 12/01/2019) | 15,000,000 | 16,430,550 | ||||||
Massachusetts State Water Resources Authority: | ||||||||
5.250%, 12/01/2015 (ETM) | 1,115,000 | 1,137,746 | ||||||
6.500%, 07/15/2019 (ETM) | 2,395,000 | 2,627,076 | ||||||
30,455,243 | 2.7% | |||||||
Michigan | ||||||||
Brighton Area School District/MI: | ||||||||
5.000%, 05/01/2020 (Insured by Q-SBLF) | 1,300,000 | 1,469,988 | ||||||
5.000%, 05/01/2021 (Insured by Q-SBLF) | 500,000 | 567,580 | ||||||
Chippewa Valley Schools, | ||||||||
5.000%, 05/01/2023 | 4,505,000 | 5,289,771 | ||||||
Fraser Public School District: | ||||||||
5.000%, 05/01/2024 (Insured by Q-SBLF) | 1,000,000 | 1,164,040 | ||||||
5.000%, 05/01/2026 (Callable 05/01/2025)(Insured by Q-SBLF) | 1,140,000 | 1,326,310 | ||||||
Garden City Hospital Finance Authority, | ||||||||
4.875%, 08/15/2027 (Pre-refunded to 08/15/2017) | 1,000,000 | 1,083,260 | ||||||
Harper Creek Michigan Community School District, | ||||||||
5.000%, 05/01/2016 (Callable 07/31/2015)(Insured by AGM) | 1,550,000 | 1,555,022 | ||||||
Lakeview Public School District, | ||||||||
5.000%, 05/01/2017 (Insured by NPFGC and Q-SBLF) | 2,275,000 | 2,434,364 | ||||||
Michigan Finance Authority, | ||||||||
5.000%, 01/01/2019 | 7,000,000 | 7,926,030 | ||||||
Michigan State Housing Development Authority, | ||||||||
4.750%, 06/01/2016 | 4,000,000 | 4,074,000 | ||||||
Pinckney Community Schools: | ||||||||
5.000%, 05/01/2022 (Insured by Q-SBLF) | 1,935,000 | 2,202,688 | ||||||
5.000%, 05/01/2023 (Insured by Q-SBLF) | 2,200,000 | 2,522,718 | ||||||
St Johns Public Schools, | ||||||||
5.000%, 05/01/2021 (Insured by Q-SBLF) | 5,040,000 | 5,842,570 | ||||||
State of Michigan, | ||||||||
0.000%, 06/01/2022 (ETM) | 2,000,000 | 1,726,700 | ||||||
Wayne-Westland Community Schools, | ||||||||
5.000%, 05/01/2019 (Insured by Q-SBLF) | 2,060,000 | 2,316,820 | ||||||
41,501,861 | 3.6% |
Minnesota | ||||||||
Minnesota State Housing Finance Agency Homeownership Finance Bond: | ||||||||
4.250%, 07/01/2028 (Callable 01/01/2020) | 545,000 | 568,424 | ||||||
4.500%, 07/01/2034 (Callable 07/01/2021) | 1,165,000 | 1,240,795 | ||||||
University of Minnesota, | ||||||||
5.500%, 07/01/2021 (ETM) | 9,980,000 | 11,782,288 | ||||||
Western Minnesota Municipal Power Agency, | ||||||||
6.375%, 01/01/2016 (ETM) | 420,000 | 432,554 | ||||||
14,024,061 | 1.2% | |||||||
Missouri | ||||||||
St. Charles County Missouri Francis Howell School District, | ||||||||
4.500%, 03/01/2018 | 1,000,000 | 1,090,290 | 0.1% | |||||
Nebraska | ||||||||
Omaha Public Power District, | ||||||||
6.200%, 02/01/2017 (ETM) | 3,875,000 | 4,093,899 | 0.4% | |||||
Nevada | ||||||||
Las Vegas Clark County Nevada Library District, | ||||||||
5.000%, 01/01/2017 | 2,080,000 | 2,204,010 | 0.2% | |||||
New Hampshire | ||||||||
New Hampshire Housing Finance Authority, | ||||||||
5.250%, 07/01/2028 (Callable 01/01/2021) | 2,295,000 | 2,348,634 | ||||||
State of New Hampshire, | ||||||||
5.000%, 07/01/2021 (Callable 07/01/2020) | 1,000,000 | 1,163,880 | ||||||
3,512,514 | 0.3% | |||||||
New Jersey | ||||||||
County of Hudson NJ, | ||||||||
3.000%, 03/15/2021 | 1,140,000 | 1,203,543 | ||||||
New Jersey Educational Facilities Authority, | ||||||||
7.500%, 12/01/2032 (Pre-refunded to 06/01/2019) | 3,635,000 | 4,491,406 | ||||||
New Jersey Health Care Facilities Financing Authority, | ||||||||
5.750%, 07/01/2039 (Pre-refunded to 07/01/2019) | 1,370,000 | 1,606,654 | ||||||
New Jersey State Housing & Mortgage Finance Agency Bonds, | ||||||||
4.500%, 10/01/2029 (Callable 04/01/2021) | 6,080,000 | 6,240,330 | ||||||
New Jersey State Transportation Trust Fund Authority: | ||||||||
5.500%, 12/15/2015 (Insured by AMBAC) | 2,595,000 | 2,642,826 | ||||||
5.250%, 12/15/2020 | 5,000,000 | 5,505,450 | ||||||
New Jersey State Turnpike Authority: | ||||||||
6.500%, 01/01/2016 (ETM) | 170,000 | 175,141 | ||||||
6.500%, 01/01/2016 (ETM) | 5,000 | 5,151 | ||||||
5.500%, 01/01/2025 | 2,100,000 | 2,601,081 | ||||||
24,471,582 | 2.1% | |||||||
New Mexico | ||||||||
New Mexico Hospital Equipment Loan Council, | ||||||||
5.250%, 07/01/2025 (Pre-refunded to 07/01/2015) | 1,000,000 | 1,000,000 | ||||||
New Mexico Mortgage Financial Authority: | ||||||||
4.625%, 09/01/2025 (Callable 03/01/2020) | 910,000 | 950,022 | ||||||
4.500%, 09/01/2028 (Callable 03/01/2020) | 660,000 | 689,079 | ||||||
2,639,101 | 0.2% | |||||||
New York | ||||||||
Cattaraugus-Little Valley Central School District: | ||||||||
3.125%, 06/15/2016 (Insured by AGM) | 1,520,000 | 1,552,209 | ||||||
3.125%, 06/15/2017 (Insured by AGM) | 1,000,000 | 1,044,110 | ||||||
Churchville-Chili Central School District: | ||||||||
3.000%, 06/15/2017 | 1,045,000 | 1,090,646 | ||||||
3.000%, 06/15/2018 | 1,070,000 | 1,131,878 | ||||||
City of New York NY: | ||||||||
5.250%, 08/15/2021 (Callable 08/15/2018) | 1,125,000 | 1,263,589 | ||||||
5.000%, 08/01/2022 | 5,000,000 | 5,883,250 | ||||||
Long Island Power Authority and Electric System Revenue, | ||||||||
5.000%, 12/01/2017 (Callable 12/01/2016)(Insured by NPFGC) | 2,000,000 | 2,118,660 | ||||||
Metropolitan Transit Authority New York, | ||||||||
6.000%, 04/01/2020 (ETM) | 13,430,000 | 15,434,159 | ||||||
New York State Dormitory Authority, | ||||||||
5.000%, 12/15/2023 (Callable 12/15/2022) | 11,685,000 | 13,910,642 | ||||||
New York State Thruway Authority, | ||||||||
5.000%, 03/15/2022 (Callable 03/15/2019) | 4,040,000 | 4,591,096 | ||||||
New York State Urban Development Corp., | ||||||||
5.000%, 03/15/2022 | 2,000,000 | 2,357,520 | ||||||
Suffolk County Water Authority, | ||||||||
6.000%, 06/01/2017 (ETM) | 3,415,000 | 3,578,339 | ||||||
Susquehanna Valley Central School District: | ||||||||
3.125%, 06/15/2017 (Insured by AGM) | 1,155,000 | 1,205,947 | ||||||
3.125%, 06/15/2019 (Insured by AGM) | 1,375,000 | 1,427,511 | ||||||
TSASC Inc. New York, | ||||||||
4.750%, 06/01/2022 (Callable 06/01/2016) | 145,000 | 147,382 | ||||||
Westchester Tobacco Asset Securitization/NY, | ||||||||
6.950%, 07/15/2039 (Pre-refunded to 07/15/2017) | 13,075,000 | 14,829,927 | ||||||
71,566,865 | 6.3% | |||||||
North Carolina | ||||||||
North Carolina Eastern Municipal Power Agency: | ||||||||
5.000%, 01/01/2017 (ETM) | 5,710,000 | 5,891,635 | ||||||
5.000%, 01/01/2021 (ETM) | 10,120,000 | 11,743,855 | ||||||
6.400%, 01/01/2021 (ETM) | 4,732,000 | 5,368,643 | ||||||
4.500%, 01/01/2024 (Pre-refunded to 01/01/2022) | 7,665,000 | 8,801,030 | ||||||
6.000%, 01/01/2026 (Pre-refunded to 01/01/2022) | 2,285,000 | 2,857,324 | ||||||
North Carolina Medical Care Commission, | ||||||||
5.750%, 01/01/2035 (Pre-refunded to 01/01/2021) | 345,000 | 417,892 | ||||||
35,080,379 | 3.1% | |||||||
Ohio | ||||||||
Cincinnati City School District, | ||||||||
5.000%, 12/01/2016 (Insured by AGM) | 2,000,000 | 2,123,600 | ||||||
Cleveland Municipal School District: | ||||||||
4.000%, 12/01/2017 | 1,790,000 | 1,912,740 | ||||||
4.000%, 12/01/2018 | 1,865,000 | 2,025,558 | ||||||
4.000%, 12/01/2019 | 1,940,000 | 2,133,690 | ||||||
5.000%, 12/01/2020 | 2,015,000 | 2,329,783 | ||||||
Miamisburg Ohio Water Revenue, | ||||||||
7.000%, 11/15/2016 (Callable 07/31/2015)(ETM) | 60,000 | 61,368 | ||||||
Ohio Housing Finance Agency, | ||||||||
5.000%, 11/01/2028 (Callable 05/01/2020) | 1,430,000 | 1,508,107 | ||||||
State of Ohio: | ||||||||
5.000%, 03/01/2019 | 1,220,000 | 1,385,176 | ||||||
5.500%, 02/01/2020 | 1,195,000 | 1,409,383 | ||||||
5.000%, 06/15/2021 | 6,740,000 | 7,962,636 | ||||||
22,852,041 | 2.0% | |||||||
Pennsylvania | ||||||||
Central Dauphin School District, | ||||||||
6.750%, 02/01/2024 (Pre-refunded to 02/01/2016) | 1,275,000 | 1,321,971 | ||||||
Erie Pennsylvania Sewer Authority Revenue, | ||||||||
5.125%, 06/01/2020 (ETM) | 1,410,000 | 1,576,719 | ||||||
Lampeter Strasburg School District, | ||||||||
4.000%, 06/01/2019 | 1,715,000 | 1,874,186 | ||||||
Pennsylvania Convention Center Authority Revenue Bonds, | ||||||||
6.000%, 09/01/2019 (ETM) | 12,225,000 | 14,015,351 | ||||||
Pennsylvania Housing Finance Agency: | ||||||||
3.700%, 04/01/2018 | 2,130,000 | 2,235,201 | ||||||
3.750%, 10/01/2018 | 1,760,000 | 1,865,107 | ||||||
3.900%, 04/01/2019 | 1,025,000 | 1,095,130 | ||||||
3.900%, 10/01/2019 (Callable 04/01/2019) | 1,675,000 | 1,789,604 | ||||||
Philadelphia Hospitals & Higher Education Facilities Authority: | ||||||||
5.000%, 05/15/2020 (ETM) | 1,575,000 | 1,824,322 | ||||||
5.250%, 05/15/2023 (Pre-refunded to 05/15/2020) | 2,675,000 | 3,129,590 | ||||||
Philadelphia Pennsylvania Authority For Industrial Development Revenue, | ||||||||
5.250%, 01/01/2027 (Pre-refunded to 01/01/2017) | 1,790,000 | 1,909,930 | ||||||
Philadelphia Pennsylvania Gas Works, | ||||||||
7.000%, 05/15/2020 (ETM) | 1,820,000 | 2,074,691 | ||||||
South Fork Municipal Authority: | ||||||||
5.500%, 07/01/2029 (Pre-refunded to 07/01/2020) | 450,000 | 535,450 | ||||||
5.375%, 07/01/2035 (Pre-refunded to 07/01/2020) | 750,000 | 889,913 | ||||||
36,137,165 | 3.2% | |||||||
Puerto Rico | ||||||||
Commonwealth of Puerto Rico, | ||||||||
5.000%, 07/01/2021 | 6,000,000 | 4,007,880 | ||||||
Puerto Rico Electric Power Authority: | ||||||||
0.000%, 07/01/2017 (ETM) | 5,010,000 | 4,610,252 | ||||||
0.000%, 07/01/2017 (Pre-refunded to various dates)(ETM) | 3,000,000 | 2,715,000 | ||||||
Puerto Rico Public Finance Corp., | ||||||||
6.000%, 08/01/2026 (ETM) | 1,080,000 | 1,379,722 | ||||||
12,712,854 | 1.1% | |||||||
South Carolina | ||||||||
Charleston Educational Excellence Finance Corp., | ||||||||
5.000%, 12/01/2026 (Callable 12/01/2023) | 4,580,000 | 5,359,562 | ||||||
Piedmont Municipal Power Agency South Carolina Electric Revenue, | ||||||||
6.750%, 01/01/2020 (ETM) | 6,450,000 | 7,898,089 | ||||||
13,257,651 | 1.2% | |||||||
South Dakota | ||||||||
Heartland Consumers Power District, | ||||||||
7.000%, 01/01/2016 (ETM) | 235,000 | 242,736 | 0.0% | |||||
Tennessee | ||||||||
County of Rutherford TN, | ||||||||
5.000%, 04/01/2021 | 1,955,000 | 2,304,945 | ||||||
Metropolitan Government Nashville & Davidson County Tennessee H&E, | ||||||||
0.000%, 06/01/2021 (ETM) | 1,050,000 | 937,450 | ||||||
Shelby County Tennessee Health Educational & Housing Facilities Revenue, | ||||||||
5.500%, 08/15/2019 (ETM) | 3,755,000 | 3,929,345 | ||||||
Tennessee Housing Development Agency, | ||||||||
4.500%, 07/01/2028 (Callable 01/01/2020) | 2,575,000 | 2,607,110 | ||||||
9,778,850 | 0.8% | |||||||
Texas | ||||||||
Amarillo Independent School District, | ||||||||
5.000%, 02/01/2026 (Callable 02/01/2024)(PSF Guaranteed) | 1,370,000 | 1,630,368 | ||||||
Arlington Higher Education Finance Corp., | ||||||||
5.000%, 08/15/2024 (PSF Guaranteed) | 1,000,000 | 1,175,760 | ||||||
Central Texas Housing Finance Corp., | ||||||||
0.000%, 09/01/2016 (ETM) | 1,500,000 | 1,490,025 | ||||||
City of Austin TX Water & Wastewater System Revenue, | ||||||||
5.000%, 11/15/2024 (Callable 11/15/2022) | 3,000,000 | 3,561,000 | ||||||
City of El Paso TX, | ||||||||
5.000%, 08/15/2018 | 1,355,000 | 1,519,578 | ||||||
City of Houston TX Combined Utility System Revenue: | ||||||||
0.000%, 12/01/2019 (ETM) | 13,355,000 | 12,515,505 | ||||||
5.500%, 12/01/2024 (ETM) | 1,735,000 | 2,157,993 | ||||||
5.500%, 12/01/2029 (ETM) | 16,050,000 | 20,875,914 | ||||||
Conroe Independent School District: | ||||||||
5.000%, 02/15/2022 (Callable 02/15/2021)(PSF Guaranteed) | 1,000,000 | 1,172,290 | ||||||
5.000%, 02/15/2023 (Callable 02/15/2021)(PSF Guaranteed) | 2,680,000 | 3,132,384 | ||||||
Cypress-Fairbanks Independent School District: | ||||||||
5.000%, 02/15/2017 (Pre-refunded to 02/15/2016) | 1,085,000 | 1,115,489 | ||||||
5.000%, 02/15/2017 (Callable 02/15/2016)(PSF Guaranteed) | 415,000 | 426,458 | ||||||
Dallas Texas Independent School District, | ||||||||
5.000%, 02/15/2020 (PSF Guaranteed) | 2,410,000 | 2,787,671 | ||||||
Frisco Texas Independent School District, | ||||||||
6.000%, 08/15/2018 (Callable 08/15/2016)(PSF Guaranteed) | 1,625,000 | 1,726,091 | ||||||
Georgetown Independent School District, | ||||||||
4.000%, 02/15/2020 (PSF Guaranteed) | 1,900,000 | 2,120,590 | ||||||
Godley Independent School District, | ||||||||
5.000%, 02/15/2023 | 1,445,000 | 1,719,189 | ||||||
Goose Creek Consolidated Independent School District, | ||||||||
5.000%, 02/15/2021 (PSF Guaranteed) | 1,050,000 | 1,233,361 | ||||||
Harlingen Consolidated Independent School District: | ||||||||
5.000%, 08/15/2024 | 2,810,000 | 3,391,726 | ||||||
5.000%, 08/15/2025 | 1,430,000 | 1,737,565 | ||||||
Harris County Health Facilities Development Corp., | ||||||||
5.500%, 10/01/2019 (ETM) | 4,780,000 | 5,327,023 | ||||||
Harris County Texas: | ||||||||
5.000%, 10/01/2019 | 1,525,000 | 1,757,471 | ||||||
5.750%, 10/01/2020 (Pre-refunded to 10/01/2018) | 175,000 | 200,917 | ||||||
5.750%, 10/01/2028 (Pre-refunded to 10/01/2018) | 6,930,000 | 7,956,333 | ||||||
Houston Higher Education Finance Corp.: | ||||||||
5.000%, 02/15/2020 | 1,000,000 | 1,143,270 | ||||||
5.000%, 02/15/2026 (Callable 02/15/2024) | 1,030,000 | 1,204,822 | ||||||
Humble Texas Independent School District, | ||||||||
5.000%, 02/15/2021 (PSF Guaranteed) | 1,500,000 | 1,755,810 | ||||||
Irving Independent School District, | ||||||||
5.000%, 02/15/2025 (Callable 08/15/2024) | 1,250,000 | 1,507,638 | ||||||
Katy Independent School District, | ||||||||
5.000%, 02/15/2020 | 4,635,000 | 5,359,126 | ||||||
Keller Independent School District/TX: | ||||||||
5.000%, 02/15/2022 | 1,370,000 | 1,623,203 | ||||||
5.000%, 02/15/2023 | 3,340,000 | 4,002,155 | ||||||
Killeen Independent School District, | ||||||||
4.000%, 02/15/2024 (Callable 02/15/2021)(PSF Guaranteed) | 1,145,000 | 1,239,325 | ||||||
Llano Independent School District, | ||||||||
5.000%, 02/15/2024 (Callable 02/15/2023)(PSF Guaranteed) | 1,265,000 | 1,503,086 | ||||||
Lower Colorado River Authority, | ||||||||
4.750%, 01/01/2028 (ETM) | 1,200,000 | 1,416,336 | ||||||
Lubbock Texas, | ||||||||
5.000%, 02/15/2021 (Pre-refunded to 02/15/2018)(Insured by AGM) | 3,425,000 | 3,780,549 | ||||||
Lubbock Texas Housing Finance Corp., | ||||||||
8.000%, 10/01/2021 (ETM) | 1,780,000 | 2,374,769 | ||||||
Lubbock Texas Independent School District, | ||||||||
4.000%, 02/15/2022 (Callable 02/15/2020)(PSF Guaranteed) | 1,000,000 | 1,086,230 | ||||||
Magnolia Texas Independent School District, | ||||||||
5.000%, 08/15/2016 (PSF Guaranteed) | 1,475,000 | 1,549,281 | ||||||
Mansfield Independent School District: | ||||||||
5.000%, 02/15/2023 (PSF Guaranteed) | 1,725,000 | 2,060,305 | ||||||
5.000%, 02/15/2024 (PSF Guaranteed) | 1,905,000 | 2,294,668 | ||||||
Mesquite Independent School District: | ||||||||
5.000%, 08/15/2024 | 1,425,000 | 1,725,176 | ||||||
5.000%, 08/15/2025 | 2,600,000 | 3,169,582 | ||||||
5.000%, 08/15/2025 | 1,500,000 | 1,828,605 | ||||||
New Caney Independent School District: | ||||||||
5.000%, 02/15/2023 | 1,000,000 | 1,194,380 | ||||||
5.000%, 02/15/2024 | 1,030,000 | 1,240,687 | ||||||
North East Independent School District/TX: | ||||||||
5.000%, 08/01/2021 (PSF Guaranteed) | 6,095,000 | 7,177,045 | ||||||
5.000%, 08/01/2023 | 5,805,000 | 6,948,527 | ||||||
5.000%, 02/01/2024 | 2,930,000 | 3,519,370 | ||||||
Pasadena Independent School District, | ||||||||
5.000%, 02/15/2022 (Callable 02/15/2021)(PSF Guaranteed) | 1,115,000 | 1,301,919 | ||||||
Pflugerville Independent School District, | ||||||||
5.000%, 02/15/2025 (Callable 02/15/2024)(PSF Guaranteed) | 1,000,000 | 1,197,660 | ||||||
Port Arthur Independent School District, | ||||||||
5.000%, 02/15/2024 | 1,000,000 | 1,199,380 | ||||||
Retama Texas Development Corporation Special Facilities Revenue, | ||||||||
8.750%, 12/15/2018 (ETM) | 2,035,000 | 2,524,947 | ||||||
San Antonio Texas Electric & Gas Revenue, | ||||||||
5.650%, 02/01/2019 (ETM) | 11,665,000 | 12,915,255 | ||||||
San Antonio Texas Hotel Occupancy Tax Revenue Bonds, | ||||||||
0.000%, 08/15/2015 (ETM) | 2,100,000 | 2,099,412 | ||||||
San Antonio Texas Independent School District, | ||||||||
5.000%, 08/15/2017 (Callable 08/15/2015)(PSF Guaranteed) | 2,000,000 | 2,010,700 | ||||||
Sherman Independent School District/TX, | ||||||||
5.000%, 02/15/2026 (Callable 02/15/2024)(PSF Guaranteed) | 1,775,000 | 2,113,706 | ||||||
Spring Texas Independent School District, | ||||||||
5.000%, 08/15/2019 (Callable 08/15/2018)(PSF Guaranteed) | 1,020,000 | 1,147,225 | ||||||
Tarrant County Texas Health Facilities Revenue, | ||||||||
6.000%, 09/01/2024 (ETM) | 7,990,000 | 9,458,882 | ||||||
Tarrant County Texas Housing Finance Corporation Revenue Bonds, | ||||||||
0.000%, 09/15/2016 (ETM) | 1,800,000 | 1,787,616 | ||||||
Temple Independent School District, | ||||||||
4.000%, 02/01/2022 (Callable 02/01/2021)(PSF Guaranteed) | 1,120,000 | 1,243,726 | ||||||
Texas State: | ||||||||
5.000%, 10/01/2018 | 6,285,000 | 7,064,214 | ||||||
5.000%, 04/01/2020 (Pre-refunded to 04/01/2016) | 3,965,000 | 4,102,824 | ||||||
5.000%, 08/01/2021 | 1,205,000 | 1,426,515 | ||||||
Tomball Hospital Authority, | ||||||||
5.000%, 07/01/2020 (Pre-refunded to 07/01/2015) | 2,200,000 | 2,200,000 | ||||||
University of Texas Revenue Bonds, | ||||||||
5.000%, 08/15/2018 (Pre-refunded to 08/15/2016) | 1,225,000 | 1,287,524 | ||||||
University of Texas System, | ||||||||
5.000%, 08/15/2022 | 9,530,000 | 11,359,760 | ||||||
Waco Independent School District: | ||||||||
0.000%, 08/15/2018 | 3,245,000 | 3,109,197 | ||||||
5.000%, 08/15/2022 | 3,085,000 | 3,661,648 | ||||||
5.000%, 08/15/2023 | 3,090,000 | 3,703,859 | ||||||
Wichita Falls Independent School District, | ||||||||
5.000%, 02/01/2024 | 1,670,000 | 2,010,212 | ||||||
Ysleta Independent School District: | ||||||||
5.000%, 08/15/2023 (Callable 08/15/2021)(PSF Guaranteed) | 1,020,000 | 1,198,306 | ||||||
5.000%, 08/15/2025 (Callable 08/15/2024)(PSF Guaranteed) | 1,545,000 | 1,864,846 | ||||||
223,423,979 | 19.5% |
Utah | ||||||||
Granite School District Board of Education: | ||||||||
5.000%, 06/01/2022 (Callable 06/01/2021) | 3,900,000 | 4,600,635 | ||||||
5.000%, 06/01/2023 (Callable 06/01/2021) | 1,750,000 | 2,059,015 | ||||||
6,659,650 | 0.6% | |||||||
Virginia | ||||||||
City of Bristol VA, | ||||||||
5.500%, 11/01/2018 (ETM) | 1,095,000 | 1,212,691 | ||||||
County of Fairfax VA, | ||||||||
4.000%, 10/01/2016 | 2,500,000 | 2,609,900 | ||||||
Danville Industrial Development Authority, | ||||||||
5.250%, 10/01/2028 (ETM) | 1,500,000 | 1,790,295 | ||||||
Virginia Public School Authority, | ||||||||
6.250%, 12/01/2028 (Pre-refunded to 12/01/2018) | 1,285,000 | 1,503,527 | ||||||
7,116,413 | 0.6% | |||||||
Washington | ||||||||
Snohomish County School District No. 201, | ||||||||
4.000%, 12/01/2021 (Callable 12/01/2020) | 4,500,000 | 5,007,465 | ||||||
Snohomish County Washington Public Utilities Revenue, | ||||||||
6.800%, 01/01/2020 (Callable 07/31/2015)(ETM) | 3,605,000 | 4,151,446 | ||||||
Thurston & Pierce Counties Washington Community Schools, | ||||||||
4.250%, 12/01/2021 (Callable 12/01/2020) | 2,755,000 | 3,129,873 | ||||||
Walla Walla County School District No. 250 College Place, | ||||||||
5.000%, 12/01/2019 | 1,290,000 | 1,446,516 | ||||||
Washington Health Care Facilities Authority: | ||||||||
6.250%, 08/01/2028 (Pre-refunded to 08/01/2018) | 1,305,000 | 1,505,996 | ||||||
6.125%, 11/15/2031 (Pre-refunded to 05/15/2021) | 610,000 | 759,889 | ||||||
6.250%, 08/01/2036 (Pre-refunded to 08/01/2018) | 8,100,000 | 9,347,562 | ||||||
6.250%, 11/15/2041 (Pre-refunded to 05/15/2021) | 4,605,000 | 5,768,499 | ||||||
Washington State: | ||||||||
5.000%, 01/01/2021 | 10,000,000 | 11,715,800 | ||||||
5.500%, 07/01/2023 | 5,000,000 | 6,053,650 | ||||||
48,886,696 | 4.3% | |||||||
West Virginia | ||||||||
Ohio County Board of Education, | ||||||||
5.250%, 06/01/2018 (ETM) | 1,130,000 | 1,264,289 | 0.1% | |||||
Wisconsin | ||||||||
Ladysmith School District/WI: | ||||||||
5.200%, 04/01/2018 (Callable 04/01/2016) | 1,900,000 | 1,961,921 | ||||||
5.200%, 04/01/2018 (Callable 04/01/2016) | 420,000 | 433,881 | ||||||
2,395,802 | 0.2% | |||||||
Total Municipal Bonds (Cost $1,093,336,463) | 1,125,266,518 | 98.4% | ||||||
Shares | ||||||||
SHORT-TERM INVESTMENT | ||||||||
Money Market Mutual Fund | ||||||||
Goldman Sachs Financial Square Funds, 0.01% « | 3,009,094 | 3,009,094 | ||||||
Total Short-Term Investment (Cost $3,009,094) | 3,009,094 | 0.3% | ||||||
Total Investments (Cost $1,096,345,557) | 1,128,275,612 | 98.7% | ||||||
Other Assets in Excess of Liabilities | 15,257,279 | 1.3% | ||||||
TOTAL NET ASSETS | $ 1,143,532,891 | 100.0% |
Notes to Schedule of Investments | |
AGM - Assured Guaranty Municipal | |
AMBAC - Ambac Assurance Corporation | |
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 | |
Q-SBLF - Qualified School Building Loan Fund | |
« 7-Day Yield |
Baird Aggregate Bond Fund | ||||||||
Schedule of Investments | ||||||||
June 30, 2015 (Unaudited) | ||||||||
Principal | % of | |||||||
Amount | Value | Net Assets | ||||||
LONG-TERM INVESTMENTS | ||||||||
U.S. Treasury Securities | ||||||||
U.S. Treasury Bonds: | ||||||||
1.250%, 04/30/2019 @ | $ 92,575,000 | $ 92,365,225 | ||||||
2.625%, 08/15/2020 | 347,675,000 | 363,564,791 | ||||||
2.500%, 05/15/2024 | 20,900,000 | 21,257,578 | ||||||
5.250%, 11/15/2028 @ | 88,726,500 | 115,649,492 | ||||||
3.500%, 02/15/2039 | 353,280,900 | 380,825,858 | ||||||
973,662,944 | 16.8% | |||||||
Corporate Bonds | ||||||||
Finance | ||||||||
ABN AMRO Bank NV: | ||||||||
2.500%, 10/30/2018 (Acquired 10/23/2013 through 01/13/2014, Cost $11,026,418) * f | 11,033,000 | 11,207,520 | ||||||
2.450%, 06/04/2020 (Acquired 05/28/2015, Cost $8,980,200) * f | 9,000,000 | 8,947,521 | ||||||
AIA Group Ltd., | ||||||||
3.200%, 03/11/2025 (Acquired 03/04/2015, Cost $5,992,380) * f | 6,000,000 | 5,780,574 | ||||||
Ally Financial, Inc., | ||||||||
8.000%, 12/31/2018 | 360,000 | 401,850 | ||||||
American International Group, Inc.: | ||||||||
6.400%, 12/15/2020 | 830,000 | 986,741 | ||||||
4.875%, 06/01/2022 | 4,903,000 | 5,378,184 | ||||||
4.125%, 02/15/2024 @ | 893,000 | 926,643 | ||||||
3.875%, 01/15/2035 | 4,875,000 | 4,403,261 | ||||||
8.175%, 05/15/2058 | 893,000 | 1,182,332 | ||||||
Ameriprise Financial, Inc., | ||||||||
7.300%, 06/28/2019 | 1,785,000 | 2,122,813 | ||||||
AmSouth Bancorporation, | ||||||||
6.750%, 11/01/2025 | 223,000 | 262,595 | ||||||
ANZ New Zealand (Int'l) Ltd., | ||||||||
1.750%, 03/29/2018 (Acquired 03/24/2015 through 06/15/2015, Cost $2,434,251) * f | 2,435,000 | 2,434,593 | ||||||
Aon PLC, | ||||||||
4.000%, 11/27/2023 f | 6,150,000 | 6,328,713 | ||||||
Associates Corp. of North America, | ||||||||
6.950%, 11/01/2018 | 4,764,000 | 5,480,906 | ||||||
Australia and New Zealand Banking Group Ltd., | ||||||||
4.500%, 03/19/2024 (Acquired 03/12/2014, Cost $5,991,840) * @ f | 6,000,000 | 6,033,378 | ||||||
BAC Capital Trust VI, | ||||||||
5.625%, 03/08/2035 ^ | 357,000 | 382,581 | ||||||
Bank of America Corp.: | ||||||||
10.200%, 07/15/2015 | 1,531,000 | 1,534,548 | ||||||
6.400%, 08/28/2017 | 893,000 | 979,119 | ||||||
6.875%, 04/25/2018 | 3,162,000 | 3,572,051 | ||||||
7.750%, 05/14/2038 | 1,138,000 | 1,515,231 | ||||||
BanPonce Trust I, | ||||||||
Series A, 8.327%, 02/01/2027 | 1,941,000 | 1,830,410 | ||||||
Barclays Bank PLC: | ||||||||
6.050%, 12/04/2017 (Acquired 05/27/2015, Cost $10,910,805) * f | 10,000,000 | 10,880,390 | ||||||
2.500%, 02/20/2019 @ f | 2,000,000 | 2,013,340 | ||||||
6.750%, 05/22/2019 f | 3,570,000 | 4,139,958 | ||||||
3.750%, 05/15/2024 f | 1,450,000 | 1,456,313 | ||||||
Barclays PLC, | ||||||||
3.650%, 03/16/2025 f | 8,100,000 | 7,660,964 | ||||||
BB&T Corp., | ||||||||
2.625%, 06/29/2020 | 5,000,000 | 5,011,095 | ||||||
BNP Paribas, | ||||||||
3.250%, 03/03/2023 @ f | 3,570,000 | 3,543,225 | ||||||
BNP Paribas SA, | ||||||||
2.375%, 05/21/2020 f | 10,000,000 | 9,898,980 | ||||||
BNZ International Funding Ltd., | ||||||||
2.350%, 03/04/2019 (Acquired 09/03/2014 through 04/17/2015, Cost $7,349,494) * f | 7,300,000 | 7,309,899 | ||||||
BPCE: | ||||||||
1.129%, 02/10/2017 f | 2,544,000 | 2,558,020 | ||||||
2.500%, 07/15/2019 @ f | 1,925,000 | 1,940,519 | ||||||
2.250%, 01/27/2020 @ f | 6,000,000 | 5,942,472 | ||||||
5.700%, 10/22/2023 (Acquired 10/15/2013 through 09/30/2014, Cost $8,222,399) * f | 8,055,000 | 8,490,905 | ||||||
4.000%, 04/15/2024 @ f | 2,500,000 | 2,523,850 | ||||||
4.625%, 07/11/2024 (Acquired 04/24/2015, Cost $5,753,776) * f | 5,625,000 | 5,500,721 | ||||||
Caisse Centrale Desjardins, | ||||||||
0.944%, 01/29/2018 (Acquired 01/26/2015, Cost $19,000,000) * f | 19,000,000 | 19,079,363 | ||||||
Capital One Bank (USA) National Association, | ||||||||
3.375%, 02/15/2023 | 8,150,000 | 7,916,755 | ||||||
Capital One NA: | ||||||||
0.959%, 02/05/2018 | 3,625,000 | 3,625,819 | ||||||
2.400%, 09/05/2019 @ | 12,000,000 | 11,893,188 | ||||||
Citigroup, Inc.: | ||||||||
4.450%, 01/10/2017 @ | 893,000 | 932,971 | ||||||
6.125%, 11/21/2017 | 2,477,000 | 2,724,630 | ||||||
1.850%, 11/24/2017 | 6,100,000 | 6,114,884 | ||||||
1.700%, 04/27/2018 | 13,000,000 | 12,916,436 | ||||||
3.750%, 06/16/2024 | 1,000,000 | 1,005,925 | ||||||
Citizens Bank, National Association, | ||||||||
2.450%, 12/04/2019 | 19,300,000 | 19,174,589 | ||||||
CNA Financial Corp.: | ||||||||
6.500%, 08/15/2016 | 11,069,000 | 11,707,880 | ||||||
5.750%, 08/15/2021 | 7,199,000 | 8,151,651 | ||||||
7.250%, 11/15/2023 | 4,000,000 | 4,826,664 | ||||||
Comerica Bank, | ||||||||
2.500%, 06/02/2020 @ | 14,000,000 | 14,008,428 | ||||||
Commonwealth Bank of Australia, | ||||||||
0.874%, 10/08/2015 (Acquired 01/09/2013, Cost $4,263,265) * f | 4,263,000 | 4,262,702 | ||||||
Compass Bank: | ||||||||
2.750%, 09/29/2019 | 16,216,000 | 16,175,930 | ||||||
3.875%, 04/10/2025 | 13,000,000 | 12,238,902 | ||||||
Countrywide Financial Corp., | ||||||||
6.250%, 05/15/2016 | 4,757,000 | 4,943,784 | ||||||
Credit Agricole SA: | ||||||||
1.132%, 10/03/2016 (Acquired 09/26/2013, Cost $1,500,000) * f | 1,500,000 | 1,507,459 | ||||||
6.637%, 05/29/2049 (Acquired 05/23/2007, Cost $893,000) * f | 893,000 | 928,720 | ||||||
Credit Suisse: | ||||||||
1.700%, 04/27/2018 f | 6,000,000 | 5,958,186 | ||||||
5.300%, 08/13/2019 f | 1,406,000 | 1,565,833 | ||||||
5.400%, 01/14/2020 f | 5,000,000 | 5,528,325 | ||||||
3.000%, 10/29/2021 f | 7,000,000 | 6,945,414 | ||||||
3.625%, 09/09/2024 f | 4,325,000 | 4,299,305 | ||||||
Credit Suisse Group Funding Guernsey Ltd., | ||||||||
2.750%, 03/26/2020 (Acquired 03/23/2015, Cost $4,547,680) * f | 4,550,000 | 4,492,911 | ||||||
Deutsche Bank Aktiengesellschaft, | ||||||||
3.700%, 05/30/2024 f | 10,000,000 | 9,875,370 | ||||||
Discover Financial Services, | ||||||||
3.950%, 11/06/2024 | 5,000,000 | 4,858,350 | ||||||
Dresdner Bank AG, | ||||||||
7.250%, 09/15/2015 f | 5,475,000 | 5,532,159 | ||||||
First Horizon National Corp., | ||||||||
5.375%, 12/15/2015 | 2,872,000 | 2,916,031 | ||||||
First Tennessee Bank National Association: | ||||||||
5.650%, 04/01/2016 | 500,000 | 515,662 | ||||||
2.950%, 12/01/2019 | 5,612,000 | 5,609,211 | ||||||
FMR LLC, | ||||||||
4.950%, 02/01/2033 (Acquired 01/29/2013, Cost $1,747,795) * | 1,750,000 | 1,813,906 | ||||||
General Electric Capital Corp.: | ||||||||
2.200%, 01/09/2020 | 5,000,000 | 4,998,580 | ||||||
5.550%, 05/04/2020 | 5,534,000 | 6,310,398 | ||||||
4.650%, 10/17/2021 | 5,355,000 | 5,867,233 | ||||||
Genworth Holdings, Inc., | ||||||||
4.900%, 08/15/2023 | 1,339,000 | 1,185,430 | ||||||
Goldman Sachs Capital I, | ||||||||
6.345%, 02/15/2034 | 1,053,000 | 1,221,312 | ||||||
Great-West Life & Annuity Insurance Capital LP II, | ||||||||
7.153%, 05/16/2046 (Acquired 05/16/2006 through 11/08/2007, Cost $2,482,656) * | 2,499,000 | 2,548,980 | ||||||
Highmark, Inc., | ||||||||
4.750%, 05/15/2021 (Acquired 05/03/2011 through 07/30/2014, Cost $4,378,947) * | 4,378,000 | 4,485,699 | ||||||
HSBC Bank PLC, | ||||||||
0.914%, 05/15/2018 (Acquired 12/17/2014, Cost $4,970,347) * f | 4,950,000 | 4,970,953 | ||||||
HSBC Finance Corp.: | ||||||||
0.713%, 06/01/2016 | 5,000,000 | 4,991,875 | ||||||
6.676%, 01/15/2021 | 7,500,000 | 8,676,780 | ||||||
HSBC Holdings PLC, | ||||||||
6.500%, 09/15/2037 f | 1,874,000 | 2,261,397 | ||||||
HSBC USA, Inc.: | ||||||||
2.350%, 03/05/2020 | 3,000,000 | 2,975,469 | ||||||
5.000%, 09/27/2020 | 3,716,000 | 4,123,891 | ||||||
9.125%, 05/15/2021 | 625,000 | 810,456 | ||||||
Humana, Inc., | ||||||||
7.200%, 06/15/2018 | 1,870,000 | 2,151,663 | ||||||
Huntington National Bank, | ||||||||
2.000%, 06/30/2018 | 9,000,000 | 9,008,829 | ||||||
ING Bank NV: | ||||||||
4.000%, 03/15/2016 (Acquired 03/08/2011, Cost $3,256,241) * f | 3,258,000 | 3,327,656 | ||||||
3.750%, 03/07/2017 (Acquired 03/28/2012, Cost $1,903,782) * f | 1,919,000 | 1,993,906 | ||||||
2.500%, 10/01/2019 (Acquired 09/23/2014, Cost $3,481,100) * f | 3,500,000 | 3,522,411 | ||||||
2.450%, 03/16/2020 (Acquired 03/10/2015 through 04/29/2015, Cost $9,210,789) * f | 9,225,000 | 9,224,142 | ||||||
5.800%, 09/25/2023 (Acquired 01/14/2014 through 04/07/2014, Cost $2,579,637) * f | 2,450,000 | 2,675,165 | ||||||
Invesco Finance PLC, | ||||||||
3.125%, 11/30/2022 f | 5,902,000 | 5,833,997 | ||||||
J.P. Morgan Chase & Co.: | ||||||||
2.200%, 10/22/2019 | 3,675,000 | 3,642,619 | ||||||
4.250%, 10/15/2020 | 886,000 | 947,367 | ||||||
3.125%, 01/23/2025 @ | 14,000,000 | 13,366,584 | ||||||
5.600%, 07/15/2041 | 4,106,000 | 4,655,223 | ||||||
J.P. Morgan Chase Bank, National Association, | ||||||||
6.000%, 10/01/2017 | 500,000 | 545,176 | ||||||
Jefferies Group LLC: | ||||||||
6.875%, 04/15/2021 | 3,570,000 | 4,086,276 | ||||||
6.250%, 01/15/2036 | 1,390,000 | 1,378,328 | ||||||
John Hancock Life Insurance Co., | ||||||||
7.375%, 02/15/2024 (Acquired 08/26/2010, Cost $6,667,277) * | 6,069,000 | 7,442,949 | ||||||
KeyBank National Association, | ||||||||
0.803%, 06/01/2018 | 10,600,000 | 10,606,042 | ||||||
2.250%, 03/16/2020 | 5,000,000 | 4,957,570 | ||||||
Kookmin Bank, | ||||||||
1.625%, 07/14/2017 (Acquired 07/07/2014, Cost $3,988,720) * f | 4,000,000 | 3,994,480 | ||||||
LeasePlan Corp. NV: | ||||||||
3.000%, 10/23/2017 (Acquired 12/03/2013 through 04/29/2015, Cost $966,091) * f | 950,000 | 969,733 | ||||||
2.500%, 05/16/2018 (Acquired 08/02/2013 through 04/27/2015, Cost $18,620,095) * f | 18,658,000 | 18,685,427 | ||||||
Liberty Mutual Group, Inc.: | ||||||||
4.250%, 06/15/2023 (Acquired 06/13/2013, Cost $2,660,995) * | 2,678,000 | 2,754,069 | ||||||
10.750%, 06/15/2058 (Acquired 05/21/2008, Cost $2,182,029) * | 2,231,000 | 3,368,810 | ||||||
Liberty Mutual Insurance Co., | ||||||||
7.697%, 10/15/2097 (Acquired 03/26/2003, Cost $297,701) * | 465,000 | 568,005 | ||||||
Lincoln National Corp.: | ||||||||
8.750%, 07/01/2019 | 5,218,000 | 6,397,513 | ||||||
6.050%, 04/20/2067 | 1,004,000 | 908,620 | ||||||
Lloyds Bank PLC: | ||||||||
1.750%, 05/14/2018 f | 7,775,000 | 7,767,194 | ||||||
5.800%, 01/13/2020 (Acquired 02/10/2010, Cost $1,405,409) * f | 1,428,000 | 1,631,480 | ||||||
2.400%, 03/17/2020 f | 20,000,000 | 19,945,180 | ||||||
Macquarie Bank Ltd.: | ||||||||
1.600%, 10/27/2017 (Acquired 10/22/2014, Cost $4,996,950) * f | 5,000,000 | 4,997,735 | ||||||
2.400%, 01/21/2020 (Acquired 01/14/2015, Cost $4,989,000) * f | 5,000,000 | 4,978,305 | ||||||
Macquarie Group Ltd., | ||||||||
3.000%, 12/03/2018 (Acquired 11/25/2013, Cost $8,490,900) * f | 8,525,000 | 8,673,182 | ||||||
7.625%, 08/13/2019 (Acquired 02/12/2014 through 05/18/2015, Cost $4,654,129) * f | 3,944,000 | 4,610,157 | ||||||
Manufacturers & Traders Trust Co., | ||||||||
2.100%, 02/06/2020 | 10,850,000 | 10,689,962 | ||||||
Marsh & McLennan Cos., Inc., | ||||||||
2.300%, 04/01/2017 | 2,231,000 | 2,267,423 | ||||||
Massachusetts Mutual Life Insurance Co.: | ||||||||
8.875%, 06/01/2039 (Acquired 05/27/2009 through 06/03/2015, Cost $24,746,735) * | 16,575,000 | 24,843,207 | ||||||
4.500%, 04/15/2065 (Acquired 04/08/2015, Cost $2,945,520) * | 3,000,000 | 2,664,183 | ||||||
MBIA Insurance Corp., | ||||||||
11.535%, 01/15/2033 (Acquired 01/11/2008, Cost $714,000) * § | 714,000 | 339,150 | ||||||
MetLife, Inc.: | ||||||||
7.717%, 02/15/2019 | 982,000 | 1,171,298 | ||||||
6.500%, 12/15/2032 | 466,000 | 579,508 | ||||||
4.050%, 03/01/2045 @ | 10,000,000 | 9,184,910 | ||||||
Metropolitan Life Global Funding I, | ||||||||
3.000%, 01/10/2023 (Acquired 04/27/2015, Cost $2,046,052) * | 2,004,000 | 1,969,337 | ||||||
Mizuho Bank Ltd.: | ||||||||
1.850%, 03/21/2018 (Acquired 03/14/2013 through 04/29/2015, Cost $3,345,543) * f | 3,349,000 | 3,353,842 | ||||||
2.450%, 04/16/2019 (Acquired 04/09/2014, Cost $2,096,262) * f | 2,100,000 | 2,117,256 | ||||||
Morgan Stanley: | ||||||||
7.300%, 05/13/2019 | 15,110,000 | 17,776,582 | ||||||
2.375%, 07/23/2019 @ | 1,000,000 | 993,433 | ||||||
5.625%, 09/23/2019 | 1,941,000 | 2,175,073 | ||||||
2.650%, 01/27/2020 | 4,200,000 | 4,192,507 | ||||||
2.800%, 06/16/2020 | 5,000,000 | 5,005,315 | ||||||
Series F, 3.875%, 04/29/2024 | 1,650,000 | 1,667,581 | ||||||
3.700%, 10/23/2024 @ | 4,000,000 | 3,983,804 | ||||||
MUFG Americas Holdings Corp., | ||||||||
2.250%, 02/10/2020 | 5,000,000 | 4,940,300 | ||||||
National Australia Bank Ltd., | ||||||||
0.774%, 10/08/2015 (Acquired 01/16/2013, Cost $8,701,085) * f | 8,700,000 | 8,699,608 | ||||||
National City Bank, | ||||||||
5.800%, 06/07/2017 | 1,750,000 | 1,884,760 | ||||||
Nationwide Financial Services, Inc., | ||||||||
5.375%, 03/25/2021 (Acquired 02/05/2015 through 05/08/2015, Cost $19,046,249) * | 16,905,000 | 18,551,682 | ||||||
Navient LLC, | ||||||||
5.625%, 08/01/2033 | 446,000 | 361,260 | ||||||
Nomura Holdings, Inc.: | ||||||||
2.000%, 09/13/2016 f | 6,248,000 | 6,293,523 | ||||||
2.750%, 03/19/2019 f | 1,625,000 | 1,640,017 | ||||||
6.700%, 03/04/2020 f | 1,667,000 | 1,955,199 | ||||||
Peachtree Corners Funding Trust, | ||||||||
3.976%, 02/15/2025 (Acquired 03/10/2015 through 04/24/2015, Cost $8,130,029) * | 8,000,000 | 7,933,344 | ||||||
PNC Bank, National Association, | ||||||||
4.200%, 11/01/2025 | 2,678,000 | 2,810,636 | ||||||
PNC Funding Corp., | ||||||||
5.250%, 11/15/2015 | 2,500,000 | 2,540,845 | ||||||
Principal Financial Group, Inc.: | ||||||||
8.875%, 05/15/2019 | 2,215,000 | 2,726,778 | ||||||
3.400%, 05/15/2025 | 16,000,000 | 15,629,824 | ||||||
Principal Life Global Funding II, | ||||||||
2.200%, 04/08/2020 (Acquired 03/31/2015, Cost $3,994,720) * | 4,000,000 | 3,950,540 | ||||||
Protective Life Corp., | ||||||||
7.375%, 10/15/2019 | 7,096,000 | 8,402,764 | ||||||
Prudential Covered Trust, | ||||||||
2.997%, 09/30/2015 (Acquired 12/19/2012 through 07/23/2013, Cost $5,596,944) * | 5,576,200 | 5,605,369 | ||||||
Raymond James Financial, Inc., | ||||||||
8.600%, 08/15/2019 | 5,000,000 | 6,105,095 | ||||||
Regions Bank, | ||||||||
7.500%, 05/15/2018 | 7,108,000 | 8,158,761 | ||||||
Reliance Standard Life Global Funding II: | ||||||||
2.500%, 01/15/2020 (Acquired 04/14/2015, Cost $7,021,603) * | 6,940,000 | 6,901,192 | ||||||
2.375%, 05/04/2020 (Acquired 04/27/2015, Cost $20,936,160) * | 21,000,000 | 20,794,263 | ||||||
Santander Bank NA, | ||||||||
8.750%, 05/30/2018 | 8,802,000 | 10,259,743 | ||||||
Santander UK PLC: | ||||||||
2.650%, 04/17/2020 | 7,000,000 | 6,881,770 | ||||||
5.000%, 11/07/2023 (Acquired 10/31/2013 through 12/02/2014, Cost $10,297,843) * f | 9,880,000 | 10,110,046 | ||||||
Skandinaviska Enskilda Banken AB: | ||||||||
2.375%, 11/20/2018 (Acquired 11/13/2013 through 05/07/2015, Cost $6,858,881) * f | 6,835,000 | 6,942,610 | ||||||
2.375%, 03/25/2019 (Acquired 03/18/2014 through 04/29/2015, Cost $1,727,821) * f | 1,725,000 | 1,741,905 | ||||||
2.450%, 05/27/2020 (Acquired 05/19/2015, Cost $14,976,900) * @ f | 15,000,000 | 14,875,410 | ||||||
Societe Generale: | ||||||||
1.364%, 10/01/2018 f | 6,000,000 | 6,092,016 | ||||||
4.250%, 04/14/2025 (Acquired 04/08/2015, Cost $7,875,120) * f | 8,000,000 | 7,522,080 | ||||||
SpareBank 1 Boligkreditt AS, | ||||||||
1.750%, 11/15/2019 (Acquired 11/07/2012, Cost $4,428,323) * f | 4,463,000 | 4,406,329 | ||||||
Springleaf Finance Corp., | ||||||||
6.900%, 12/15/2017 @ | 400,000 | 424,000 | ||||||
Standard Chartered PLC: | ||||||||
0.914%, 04/17/2018 (Acquired 04/13/2015, Cost $3,000,000) * f | 3,000,000 | 2,998,347 | ||||||
1.700%, 04/17/2018 (Acquired 04/13/2015 through 04/24/2015, Cost $11,588,924) * f | 11,600,000 | 11,552,208 | ||||||
5.700%, 03/26/2044 (Acquired 03/21/2014, Cost $5,988,000) * @ f | 6,000,000 | 6,220,032 | ||||||
Sumitomo Mitsui Banking Corp.: | ||||||||
2.450%, 01/16/2020 f | 20,500,000 | 20,546,596 | ||||||
3.950%, 07/19/2023 f | 1,850,000 | 1,924,814 | ||||||
SunTrust Bank, | ||||||||
7.250%, 03/15/2018 | 1,874,000 | 2,131,330 | ||||||
SUSA Partnership LP, | ||||||||
8.200%, 06/01/2017 | 921,000 | 1,029,080 | ||||||
Swedbank AB: | ||||||||
2.125%, 09/29/2017 (Acquired 09/24/2012, Cost $1,782,305) * f | 1,785,000 | 1,805,643 | ||||||
2.375%, 02/27/2019 (Acquired 02/20/2014, Cost $7,287,663) * f | 7,300,000 | 7,351,093 | ||||||
2.200%, 03/04/2020 (Acquired 02/25/2015 through 04/29/2015, Cost $9,569,644) * f | 9,575,000 | 9,511,058 | ||||||
Symetra Financial Corp., | ||||||||
6.125%, 04/01/2016 (Acquired 03/23/2006, Cost $889,044) * | 893,000 | 919,582 | ||||||
Synchrony Financial: | ||||||||
3.000%, 08/15/2019 | 2,000,000 | 2,014,236 | ||||||
3.750%, 08/15/2021 | 10,225,000 | 10,302,792 | ||||||
4.250%, 08/15/2024 @ | 14,464,000 | 14,526,123 | ||||||
TD Ameritrade Holding Corp.: | ||||||||
5.600%, 12/01/2019 | 2,945,000 | 3,348,344 | ||||||
2.950%, 04/01/2022 | 4,625,000 | 4,585,720 | ||||||
3.625%, 04/01/2025 | 7,000,000 | 7,108,829 | ||||||
The Bank Of Nova Scotia, | ||||||||
1.700%, 06/11/2018 f | 15,000,000 | 15,005,850 | ||||||
The Bank of Tokyo-Mitsubishi UFJ Ltd.: | ||||||||
0.655%, 07/15/2016 f | 4,600,000 | 4,598,951 | ||||||
4.100%, 09/09/2023 (Acquired 09/03/2013 through 03/26/2014, Cost $2,938,533) * f | 2,911,000 | 3,061,982 | ||||||
3.750%, 03/10/2024 (Acquired 03/04/2014 through 04/29/2015, Cost $2,805,038) * f | 2,800,000 | 2,855,796 | ||||||
The Bear Stearns Companies LLC, | ||||||||
7.250%, 02/01/2018 | 5,547,000 | 6,283,786 | ||||||
The Goldman Sachs Group, Inc.: | ||||||||
6.250%, 09/01/2017 | 893,000 | 977,617 | ||||||
6.150%, 04/01/2018 | 5,634,000 | 6,264,332 | ||||||
7.500%, 02/15/2019 | 1,964,000 | 2,306,932 | ||||||
2.550%, 10/23/2019 | 2,700,000 | 2,706,329 | ||||||
1.884%, 11/29/2023 | 5,000,000 | 5,081,815 | ||||||
3.850%, 07/08/2024 | 3,000,000 | 2,997,399 | ||||||
3.500%, 01/23/2025 | 3,000,000 | 2,909,382 | ||||||
3.750%, 05/22/2025 | 5,000,000 | 4,934,210 | ||||||
The Guardian Life Insurance Co. of America, | ||||||||
4.875%, 06/19/2064 (Acquired 06/16/2014, Cost $1,993,300) * | 2,000,000 | 1,946,072 | ||||||
The Hartford Financial Services Group, Inc.: | ||||||||
5.125%, 04/15/2022 | 1,538,000 | 1,705,684 | ||||||
8.125%, 06/15/2038 | 1,964,000 | 2,207,045 | ||||||
The Royal Bank of Scotland PLC, | ||||||||
6.125%, 01/11/2021 f | 3,012,000 | 3,456,282 | ||||||
Torchmark Corp., | ||||||||
3.800%, 09/15/2022 | 12,475,000 | 12,729,690 | ||||||
UBS AG: | ||||||||
1.375%, 08/14/2017 f | 7,000,000 | 6,974,695 | ||||||
0.981%, 03/26/2018 f | 8,250,000 | 8,247,533 | ||||||
5.750%, 04/25/2018 f | 2,678,000 | 2,966,876 | ||||||
1.133%, 06/01/2020 f | 11,000,000 | 10,968,496 | ||||||
Voya Financial, Inc., | ||||||||
5.500%, 07/15/2022 | 18,350,000 | 20,604,096 | ||||||
WellPoint, Inc., | ||||||||
5.100%, 01/15/2044 | 1,584,000 | 1,548,259 | ||||||
Wells Fargo & Co.: | ||||||||
Series N, 2.150%, 01/30/2020 @ | 2,750,000 | 2,723,749 | ||||||
3.000%, 02/19/2025 | 5,000,000 | 4,788,695 | ||||||
3.900%, 05/01/2045 @ | 15,000,000 | 13,499,295 | ||||||
Wells Fargo Bank, National Association, | ||||||||
6.000%, 11/15/2017 | 3,789,000 | 4,173,739 | ||||||
Westpac Banking Corp., | ||||||||
1.600%, 01/12/2018 f | 7,229,000 | 7,251,070 | ||||||
Willis Group Holdings PLC, | ||||||||
5.750%, 03/15/2021 f | 8,511,000 | 9,547,904 | ||||||
Willis North America, Inc.: | ||||||||
5.625%, 07/15/2015 | 669,000 | 669,800 | ||||||
7.000%, 09/29/2019 | 4,463,000 | 5,085,285 | ||||||
1,198,724,317 | 20.6% |
Utility | ||||||||
Arizona Public Service Co., | ||||||||
8.750%, 03/01/2019 | 759,000 | 930,539 | ||||||
Beaver Valley II Funding Corp., | ||||||||
9.000%, 06/01/2017 | 124,000 | 133,920 | ||||||
Berkshire Hathaway Energy Co., | ||||||||
2.400%, 02/01/2020 | 5,000,000 | 4,978,110 | ||||||
ENEL Finance International NV: | ||||||||
5.125%, 10/07/2019 (Acquired 09/30/2009, Cost $2,199,280) * f | 2,209,000 | 2,421,711 | ||||||
6.800%, 09/15/2037 (Acquired 09/13/2007, Cost $1,691,506) * f | 1,696,000 | 2,044,715 | ||||||
Exelon Generation Co. LLC: | ||||||||
6.200%, 10/01/2017 | 1,964,000 | 2,147,290 | ||||||
4.950%, 06/15/2035 | 3,500,000 | 3,533,292 | ||||||
Mega Advance Investments Ltd., | ||||||||
5.000%, 05/12/2021 (Acquired 05/09/2011, Cost $4,858,830) * f | 4,909,000 | 5,270,793 | ||||||
National Rural Utilities Cooperative Finance Corp.: | ||||||||
10.375%, 11/01/2018 | 547,000 | 696,111 | ||||||
2.000%, 01/27/2020 | 2,000,000 | 1,971,036 | ||||||
8.000%, 03/01/2032 | 2,834,000 | 3,904,195 | ||||||
NextEra Energy Capital Holdings Inc., | ||||||||
1.586%, 06/01/2017 | 5,375,000 | 5,386,674 | ||||||
NextEra Energy Capital Holdings, Inc., | ||||||||
Series D, 7.300%, 09/01/2067 | 2,455,000 | 2,548,597 | ||||||
PPL Energy Supply LLC, | ||||||||
Series A, 5.700%, 10/15/2015 | 1,839,000 | 1,839,000 | ||||||
PSEG Power LLC: | ||||||||
5.320%, 09/15/2016 | 2,877,000 | 3,012,527 | ||||||
5.125%, 04/15/2020 | 3,575,000 | 3,947,100 | ||||||
RGS I&M Funding Corp., | ||||||||
Series F*, 9.820%, 06/07/2022 | 747,359 | 881,056 | ||||||
Talent Yield Investments Ltd., | ||||||||
4.500%, 04/25/2022 (Acquired 04/18/2012, Cost $1,772,791) * f | 1,785,000 | 1,840,335 | ||||||
47,487,001 | 0.8% | |||||||
Industrials | ||||||||
21st Century Fox America, Inc., | ||||||||
6.150%, 03/01/2037 | 2,570,000 | 2,971,676 | ||||||
AbbVie, Inc., | ||||||||
2.500%, 05/14/2020 | 9,500,000 | 9,402,539 | ||||||
Actavis Funding SCS, | ||||||||
3.850%, 06/15/2024 f | 3,000,000 | 2,963,844 | ||||||
Acuity Brands Lighting, Inc., | ||||||||
6.000%, 12/15/2019 | 3,749,000 | 4,118,366 | ||||||
Agrium, Inc., | ||||||||
3.375%, 03/15/2025 f | 2,625,000 | 2,495,866 | ||||||
Altera Corp., | ||||||||
4.100%, 11/15/2023 | 2,000,000 | 2,103,806 | ||||||
Ameritech Capital Funding Corp.: | ||||||||
9.100%, 06/01/2016 | 693,330 | 731,791 | ||||||
6.450%, 01/15/2018 | 2,668,000 | 2,961,371 | ||||||
Amgen, Inc., | ||||||||
4.400%, 05/01/2045 | 5,300,000 | 4,883,886 | ||||||
Anadarko Finance Co., | ||||||||
Class B, 7.500%, 05/01/2031 f | 7,170,000 | 8,978,733 | ||||||
Anadarko Petroleum Corp.: | ||||||||
6.375%, 09/15/2017 | 5,355,000 | 5,876,599 | ||||||
8.700%, 03/15/2019 | 2,432,000 | 2,940,526 | ||||||
Anglo American Capital PLC, | ||||||||
9.375%, 04/08/2019 (Acquired 04/02/2009, Cost $1,785,000) * f | 1,785,000 | 2,173,625 | ||||||
Apple, Inc., | ||||||||
2.400%, 05/03/2023 | 2,678,000 | 2,561,831 | ||||||
AT&T, Inc.: | ||||||||
3.400%, 05/15/2025 | 18,200,000 | 17,357,486 | ||||||
4.750%, 05/15/2046 | 5,000,000 | 4,549,870 | ||||||
Baxalta, Inc., | ||||||||
2.875%, 06/23/2020 (Acquired 06/18/2015, Cost $4,998,400) * | 5,000,000 | 4,992,705 | ||||||
Bayer US Finance LLC, | ||||||||
2.375%, 10/08/2019 (Acquired 10/01/2014, Cost $9,954,200) * | 10,000,000 | 10,035,470 | ||||||
Beam Suntory, Inc., | ||||||||
1.875%, 05/15/2017 | 2,000,000 | 2,017,732 | ||||||
Becton Dickinson and Co.: | ||||||||
2.675%, 12/15/2019 | 4,600,000 | 4,603,478 | ||||||
3.250%, 11/12/2020 | 7,000,000 | 7,186,410 | ||||||
Boston Scientific Corp.: | ||||||||
2.650%, 10/01/2018 | 10,000,000 | 10,144,050 | ||||||
2.850%, 05/15/2020 | 7,000,000 | 6,950,615 | ||||||
Bunge Limited Finance Corp., | ||||||||
8.500%, 06/15/2019 | 6,933,000 | 8,381,082 | ||||||
Bunge NA Finance LP, | ||||||||
5.900%, 04/01/2017 | 3,392,000 | 3,623,497 | ||||||
Burlington Northern Santa Fe LLC, | ||||||||
4.150%, 04/01/2045 | 3,000,000 | 2,766,915 | ||||||
Canadian Natural Resources Ltd.: | ||||||||
5.700%, 05/15/2017 f | 2,550,000 | 2,743,843 | ||||||
6.500%, 02/15/2037 f | 982,000 | 1,115,528 | ||||||
Celgene Corporation, | ||||||||
4.000%, 08/15/2023 | 2,477,000 | 2,533,547 | ||||||
CenturyLink, Inc., | ||||||||
Series R, 5.150%, 06/15/2017 | 2,678,000 | 2,778,425 | ||||||
CF Industries, Inc.: | ||||||||
3.450%, 06/01/2023 | 6,000,000 | 5,809,200 | ||||||
5.150%, 03/15/2034 | 3,000,000 | 2,963,115 | ||||||
Chevron Phillips Chemical Co. LLC, | ||||||||
1.030%, 05/01/2020 (Acquired 05/07/2015, Cost $25,000,000) * | 25,000,000 | 25,046,725 | ||||||
Columbia Pipeline Group, Inc., | ||||||||
3.300%, 06/01/2020 (Acquired 05/19/2015 through 06/11/2015, Cost $14,555,719) * | 14,575,000 | 14,631,857 | ||||||
Comcast Corp.: | ||||||||
4.250%, 01/15/2033 | 5,712,000 | 5,578,408 | ||||||
6.950%, 08/15/2037 | 893,000 | 1,161,001 | ||||||
Computer Sciences Corp., | ||||||||
2.500%, 09/15/2015 | 4,986,000 | 5,000,853 | ||||||
ConAgra Foods, Inc.: | ||||||||
0.646%, 07/21/2016 | 4,000,000 | 3,988,604 | ||||||
5.819%, 06/15/2017 | 1,506,000 | 1,617,825 | ||||||
1.900%, 01/25/2018 | 11,635,000 | 11,461,650 | ||||||
7.000%, 04/15/2019 | 4,127,000 | 4,713,505 | ||||||
4.950%, 08/15/2020 | 1,785,000 | 1,935,013 | ||||||
9.750%, 03/01/2021 | 4,548,000 | 5,747,126 | ||||||
ConocoPhillips Co., | ||||||||
1.176%, 05/15/2022 | 8,350,000 | 8,410,579 | ||||||
Continental Airlines Pass Through Trust, | ||||||||
Series 974A, 6.900%, 01/02/2018 | 124,037 | 129,619 | ||||||
Cox Communications, Inc.: | ||||||||
3.850%, 02/01/2025 (Acquired 12/01/2014, Cost $4,991,350) * | 5,000,000 | 4,805,245 | ||||||
4.800%, 02/01/2035 (Acquired 12/01/2014, Cost $8,996,760) * | 9,000,000 | 8,307,513 | ||||||
8.375%, 03/01/2039 (Acquired 10/08/2014, Cost $2,872,932) * | 2,000,000 | 2,549,608 | ||||||
Crane Co., | ||||||||
2.750%, 12/15/2018 | 10,000,000 | 10,197,640 | ||||||
D.R. Horton, Inc., | ||||||||
6.500%, 04/15/2016 @ | 893,000 | 922,022 | ||||||
DCP Midstream LLC, | ||||||||
9.750%, 03/15/2019 (Acquired 02/29/2012 through 10/15/2012, Cost $5,995,022) * | 5,065,000 | 5,877,522 | ||||||
Deutsche Telekom International Finance BV, | ||||||||
8.750%, 06/15/2030 f | 511,000 | 718,941 | ||||||
El Paso Pipeline Partners Operating Co. LLC, | ||||||||
7.500%, 11/15/2040 | 4,017,000 | 4,497,100 | ||||||
Enable Midstream Partners LP, | ||||||||
3.900%, 05/15/2024 (Acquired 05/19/2014, Cost $4,994,350) * | 5,000,000 | 4,633,210 | ||||||
Energy Transfer Partners LP: | ||||||||
9.700%, 03/15/2019 | 893,000 | 1,100,978 | ||||||
4.050%, 03/15/2025 | 16,585,000 | 15,639,489 | ||||||
Ensco PLC, | ||||||||
5.200%, 03/15/2025 @ f | 4,000,000 | 3,960,260 | ||||||
Enterprise Products Operating LLC, | ||||||||
3.700%, 02/15/2026 | 8,350,000 | 8,084,996 | ||||||
EQT Midstream Partners LP, | ||||||||
4.000%, 08/01/2024 | 3,000,000 | 2,839,605 | ||||||
Express Scripts Holding Co.: | ||||||||
2.650%, 02/15/2017 | 2,678,000 | 2,725,968 | ||||||
4.750%, 11/15/2021 | 5,000,000 | 5,425,530 | ||||||
3.900%, 02/15/2022 | 10,000,000 | 10,268,690 | ||||||
3.500%, 06/15/2024 @ | 9,000,000 | 8,802,486 | ||||||
Federal Express Corp. 1998 Pass Through Trust, | ||||||||
Series 981B, 6.845%, 01/15/2019 | 1,653,061 | 1,802,519 | ||||||
FedEx Corp., | ||||||||
3.200%, 02/01/2025 | 6,000,000 | 5,844,330 | ||||||
Fidelity National Information Services, Inc.: | ||||||||
3.500%, 04/15/2023 | 17,845,000 | 17,321,089 | ||||||
3.875%, 06/05/2024 | 2,150,000 | 2,121,792 | ||||||
Fiserv, Inc.: | ||||||||
2.700%, 06/01/2020 | 10,000,000 | 9,980,810 | ||||||
4.625%, 10/01/2020 | 1,785,000 | 1,929,374 | ||||||
3.500%, 10/01/2022 | 5,410,000 | 5,385,331 | ||||||
FMC Corp., | ||||||||
4.100%, 02/01/2024 | 3,000,000 | 3,056,964 | ||||||
Fomento Economico Mexicano SAB de CV: | ||||||||
2.875%, 05/10/2023 f | 5,000,000 | 4,717,200 | ||||||
4.375%, 05/10/2043 f | 4,374,000 | 4,056,841 | ||||||
Ford Motor Credit Co. LLC: | ||||||||
2.145%, 01/09/2018 | 1,800,000 | 1,807,411 | ||||||
2.240%, 06/15/2018 | 6,250,000 | 6,254,225 | ||||||
Ford Motor Credit Company LLC: | ||||||||
2.375%, 03/12/2019 @ | 6,806,000 | 6,784,057 | ||||||
2.597%, 11/04/2019 | 10,000,000 | 9,927,020 | ||||||
Forest Laboratories, Inc., | ||||||||
5.000%, 12/15/2021 (Acquired 08/26/2014 through 04/24/2015, Cost $26,278,162) * | 24,000,000 | 26,043,168 | ||||||
Freeport-McMoran Oil & Gas LLC / FCX Oil & Gas, Inc.: | ||||||||
6.500%, 11/15/2020 | 3,221,000 | 3,406,208 | ||||||
6.625%, 05/01/2021 | 1,447,000 | 1,520,073 | ||||||
6.750%, 02/01/2022 | 2,649,000 | 2,807,940 | ||||||
Georgia-Pacific LLC, | ||||||||
2.539%, 11/15/2019 (Acquired 11/03/2014 through 06/09/2015, Cost $14,232,862) * | 14,250,000 | 14,236,491 | ||||||
Glencore Finance (Canada) Ltd., | ||||||||
5.800%, 11/15/2016 (Acquired 12/06/2011, Cost $631,127) * f | 616,000 | 648,370 | ||||||
Glencore Funding LLC: | ||||||||
2.500%, 01/15/2019 (Acquired 05/22/2013, Cost $4,440,774) * | 4,463,000 | 4,412,921 | ||||||
4.125%, 05/30/2023 (Acquired 07/22/2013 through 04/20/2015, Cost $6,676,251) * | 6,746,000 | 6,526,181 | ||||||
4.625%, 04/29/2024 (Acquired 04/22/2014 through 04/29/2015, Cost $4,984,909) * | 4,900,000 | 4,856,410 | ||||||
4.000%, 04/16/2025 (Acquired 04/08/2015, Cost $4,411,285) * | 4,450,000 | 4,139,408 | ||||||
GTE Corp., | ||||||||
8.750%, 11/01/2021 | 89,000 | 113,925 | ||||||
Gulf South Pipeline Co. LP, | ||||||||
4.000%, 06/15/2022 | 3,633,000 | 3,493,188 | ||||||
Harris Corp.: | ||||||||
2.700%, 04/27/2020 | 4,000,000 | 3,948,904 | ||||||
3.832%, 04/27/2025 @ | 5,000,000 | 4,860,355 | ||||||
Heinz HJ Co., | ||||||||
2.800%, 07/02/2020 (Acquired 06/23/2015, Cost $3,990,920) * | 4,000,000 | 4,003,112 | ||||||
Hess Corp., | ||||||||
8.125%, 02/15/2019 @ | 4,376,000 | 5,180,733 | ||||||
Hewlett-Packard Co.: | ||||||||
3.300%, 12/09/2016 | 5,369,000 | 5,511,145 | ||||||
4.650%, 12/09/2021 @ | 6,645,000 | 7,053,129 | ||||||
Historic TW, Inc., | ||||||||
9.150%, 02/01/2023 | 5,535,000 | 7,311,873 | ||||||
Holcim US Finance S. a r.l. & Cie S.C.S., | ||||||||
6.000%, 12/30/2019 (Acquired 09/24/2009 through 09/04/2013, Cost $1,245,791) * f | 1,232,000 | 1,391,474 | ||||||
Hospira, Inc.: | ||||||||
6.050%, 03/30/2017 | 6,663,000 | 7,169,108 | ||||||
5.800%, 08/12/2023 | 6,000,000 | 6,983,508 | ||||||
Hutchison Whampoa International (09) Ltd., | ||||||||
7.625%, 04/09/2019 (Acquired 10/22/2009 through 04/16/2014, Cost $9,141,288) * f | 8,288,000 | 9,800,021 | ||||||
Hutchison Whampoa International (09/19) Ltd., | ||||||||
5.750%, 09/11/2019 (Acquired 04/27/2015, Cost $10,442,791) * f | 9,150,000 | 10,322,335 | ||||||
Hutchison Whampoa International (14) Ltd., | ||||||||
3.625%, 10/31/2024 (Acquired 10/28/2014, Cost $4,994,200) * f | 5,000,000 | 4,918,815 | ||||||
Hyundai Capital Services, Inc.: | ||||||||
4.375%, 07/27/2016 (Acquired 04/23/2013, Cost $2,062,003) * f | 2,008,000 | 2,071,553 | ||||||
1.086%, 03/18/2017 (Acquired 03/11/2014, Cost $2,000,000) * f | 2,000,000 | 2,005,196 | ||||||
3.500%, 09/13/2017 (Acquired 03/07/2012 through 08/21/2014, Cost $7,676,064) * f | 7,458,000 | 7,722,319 | ||||||
2.625%, 09/29/2020 (Acquired 03/23/2015, Cost $5,142,172) * @ f | 5,150,000 | 5,128,241 | ||||||
Ingersoll-Rand Luxembourg Finance S.A., | ||||||||
2.625%, 05/01/2020 f | 2,650,000 | 2,638,438 | ||||||
Johnson Controls, Inc.: | ||||||||
6.000%, 01/15/2036 | 1,093,000 | 1,253,577 | ||||||
4.950%, 07/02/2064 | 2,400,000 | 2,280,360 | ||||||
Kinder Morgan Energy Partners LP: | ||||||||
9.000%, 02/01/2019 | 893,000 | 1,072,792 | ||||||
6.950%, 01/15/2038 | 2,008,000 | 2,157,970 | ||||||
6.500%, 09/01/2039 | 893,000 | 915,656 | ||||||
Kinder Morgan Finance Co. LLC, | ||||||||
5.700%, 01/05/2016 @ | 803,000 | 820,770 | ||||||
Kinder Morgan, Inc., | ||||||||
5.000%, 02/15/2021 (Acquired 05/26/2015, Cost $4,453,958) * | 4,155,000 | 4,395,674 | ||||||
Laboratory Corp. of America Holdings, | ||||||||
3.200%, 02/01/2022 | 2,400,000 | 2,366,146 | ||||||
Lafarge SA, | ||||||||
7.125%, 07/15/2036 f | 893,000 | 1,069,367 | ||||||
Magellan Midstream Partners LP, | ||||||||
3.200%, 03/15/2025 | 5,000,000 | 4,801,105 | ||||||
Marathon Petroleum Corp.: | ||||||||
3.625%, 09/15/2024 | 1,600,000 | 1,570,893 | ||||||
4.750%, 09/15/2044 @ | 1,500,000 | 1,369,044 | ||||||
Martin Marietta Materials, Inc., | ||||||||
6.250%, 05/01/2037 | 893,000 | 902,911 | ||||||
Masco Corp., | ||||||||
6.125%, 10/03/2016 | 1,450,000 | 1,526,125 | ||||||
Medtronic, Inc.: | ||||||||
3.150%, 03/15/2022 (Acquired 12/01/2014, Cost $3,966,692) * | 3,975,000 | 3,992,808 | ||||||
4.375%, 03/15/2035 (Acquired 12/01/2014, Cost $2,973,510) * | 3,000,000 | 2,976,975 | ||||||
Murphy Oil Corp., | ||||||||
4.000%, 06/01/2022 | 4,463,000 | 4,218,057 | ||||||
Mylan, Inc., | ||||||||
7.875%, 07/15/2020 (Acquired 04/25/2014, Cost $3,126,031) * | 3,000,000 | 3,125,175 | ||||||
Nabors Industries, Inc., | ||||||||
6.150%, 02/15/2018 | 982,000 | 1,060,403 | ||||||
National Oilwell Varco, Inc., | ||||||||
Series B, 6.125%, 08/15/2015 | 6,288,000 | 6,292,226 | ||||||
New Cingular Wireless Services, Inc., | ||||||||
8.750%, 03/01/2031 | 1,360,000 | 1,888,235 | ||||||
Nissan Motor Acceptance Corp., | ||||||||
1.500%, 03/02/2018 (Acquired 02/24/2015, Cost $5,897,404) * | 5,900,000 | 5,885,303 | ||||||
Noble Energy, Inc., | ||||||||
8.250%, 03/01/2019 @ | 2,684,000 | 3,197,857 | ||||||
Noble Holding International Ltd., | ||||||||
4.000%, 03/16/2018 f | 4,000,000 | 4,095,256 | ||||||
ONEOK Partners LP: | ||||||||
6.150%, 10/01/2016 | 3,036,000 | 3,207,060 | ||||||
8.625%, 03/01/2019 | 7,627,000 | 9,072,195 | ||||||
3.375%, 10/01/2022 | 1,130,000 | 1,039,556 | ||||||
Oracle Corp.: | ||||||||
3.400%, 07/08/2024 @ | 3,000,000 | 3,007,650 | ||||||
2.950%, 05/15/2025 | 6,025,000 | 5,798,580 | ||||||
Pactiv LLC, | ||||||||
7.950%, 12/15/2025 | 286,000 | 283,140 | ||||||
Petrofac Ltd., | ||||||||
3.400%, 10/10/2018 (Acquired 10/03/2013 through 12/03/2014, Cost $15,565,802) * f | 15,546,000 | 15,381,741 | ||||||
PetroLogistics LP / PetroLogistics Finance Corp., | ||||||||
6.250%, 04/01/2020 | 7,041,000 | 7,528,167 | ||||||
Phillips 66, | ||||||||
4.875%, 11/15/2044 | 21,130,000 | 20,181,960 | ||||||
Plum Creek Timberlands LP, | ||||||||
5.875%, 11/15/2015 | 3,887,000 | 3,953,339 | ||||||
POSCO, | ||||||||
4.250%, 10/28/2020 (Acquired 12/18/2014, Cost $1,037,683) * f | 975,000 | 1,040,519 | ||||||
QEP Resources, Inc., | ||||||||
6.800%, 03/01/2020 | 893,000 | 920,906 | ||||||
Qualcomm, Inc.: | ||||||||
0.826%, 05/20/2020 | 7,450,000 | 7,467,686 | ||||||
2.250%, 05/20/2020 @ | 3,600,000 | 3,581,561 | ||||||
R.R. Donnelley & Sons Co.: | ||||||||
8.600%, 08/15/2016 | 2,231,000 | 2,398,325 | ||||||
6.125%, 01/15/2017 | 88,000 | 90,640 | ||||||
7.625%, 06/15/2020 @ | 893,000 | �� 1,004,625 | ||||||
Republic Services, Inc.: | ||||||||
5.500%, 09/15/2019 | 7,400,000 | 8,265,460 | ||||||
3.550%, 06/01/2022 | 3,000,000 | 3,038,880 | ||||||
Rio Tinto Alcan, Inc., | ||||||||
5.750%, 06/01/2035 f | 446,000 | 492,413 | ||||||
Rio Tinto Finance (USA) Ltd., | ||||||||
9.000%, 05/01/2019 f | 4,909,000 | 6,127,743 | ||||||
Rockies Express Pipeline LLC, | ||||||||
5.625%, 04/15/2020 (Acquired 03/17/2010, Cost $1,783,411) * | 1,785,000 | 1,825,162 | ||||||
SABMiller Holdings, Inc., | ||||||||
0.968%, 08/01/2018 (Acquired 10/21/2014, Cost $10,043,846) * | 10,000,000 | 10,027,040 | ||||||
Samarco Mineracao SA, | ||||||||
5.750%, 10/24/2023 (Acquired 10/22/2013, Cost $4,476,572) * f | 4,463,000 | 4,418,370 | ||||||
Shell International Finance BV: | ||||||||
3.250%, 05/11/2025 @ f | 5,725,000 | 5,669,347 | ||||||
4.125%, 05/11/2035 f | 10,000,000 | 9,789,190 | ||||||
SK Telecom Co. Ltd., | ||||||||
6.625%, 07/20/2027 (Acquired 07/13/2007, Cost $1,322,945) * f | 1,339,000 | 1,705,752 | ||||||
Southern Natural Gas Company LLC, | ||||||||
5.900%, 04/01/2017 (Acquired 03/14/2007, Cost $1,247,925) * | 1,250,000 | 1,331,314 | ||||||
Spectra Energy Partners LP, | ||||||||
4.500%, 03/15/2045 | 7,000,000 | 6,201,307 | ||||||
Sprint Capital Corp.: | ||||||||
6.900%, 05/01/2019 | 2,499,000 | 2,548,980 | ||||||
8.750%, 03/15/2032 | 320,000 | 311,200 | ||||||
Talisman Energy, Inc., | ||||||||
7.750%, 06/01/2019 f | 1,071,000 | 1,228,211 | ||||||
TC PipeLines LP, | ||||||||
4.375%, 03/13/2025 | 9,000,000 | 8,890,065 | ||||||
Telecom Italia Capital: | ||||||||
7.175%, 06/18/2019 f | 1,785,000 | 2,005,894 | ||||||
7.200%, 07/18/2036 f | 5,475,000 | 5,981,437 | ||||||
Telefonica Emisiones SAU: | ||||||||
6.421%, 06/20/2016 f | 1,930,000 | 2,018,000 | ||||||
6.221%, 07/03/2017 f | 4,530,000 | 4,923,825 | ||||||
5.462%, 02/16/2021 @ f | 8,830,000 | 9,763,746 | ||||||
The Dow Chemical Co., | ||||||||
8.550%, 05/15/2019 | 8,000,000 | 9,753,864 | ||||||
The JM Smucker Co., | ||||||||
3.500%, 03/15/2025 (Acquired 03/12/2015, Cost $4,998,750) * | 5,000,000 | 4,898,450 | ||||||
The Mosaic Co., | ||||||||
5.450%, 11/15/2033 | 2,000,000 | 2,128,950 | ||||||
The Williams Companies, Inc., | ||||||||
4.550%, 06/24/2024 | 5,000,000 | 4,845,420 | ||||||
Thermo Fisher Scientific, Inc., | ||||||||
1.850%, 01/15/2018 | 4,925,000 | 4,918,233 | ||||||
Time Warner Cable, Inc.: | ||||||||
6.550%, 05/01/2037 | 893,000 | 929,634 | ||||||
6.750%, 06/15/2039 | 2,767,000 | 2,954,188 | ||||||
Time Warner, Inc.: | ||||||||
3.600%, 07/15/2025 @ | 2,200,000 | 2,139,898 | ||||||
7.625%, 04/15/2031 @ | 5,207,000 | 6,770,839 | ||||||
7.700%, 05/01/2032 | 8,418,000 | 11,058,037 | ||||||
Timken Co., | ||||||||
3.875%, 09/01/2024 | 2,000,000 | 1,935,940 | ||||||
Transocean, Inc., | ||||||||
6.500%, 11/15/2020 @ f | 4,000,000 | 3,705,000 | ||||||
TSMC Global Ltd.: | ||||||||
0.950%, 04/03/2016 (Acquired 04/29/2015, Cost $1,239,354) * f | 1,240,000 | 1,236,646 | ||||||
1.625%, 04/03/2018 (Acquired 12/03/2013 through 04/29/2015, Cost $9,744,998) * f | 9,865,000 | 9,752,134 | ||||||
TTX Co.: | ||||||||
3.600%, 01/15/2025 (Acquired 11/13/2014, Cost $4,999,250) * | 5,000,000 | 5,019,405 | ||||||
3.900%, 02/01/2045 (Acquired 01/26/2015 through 04/29/2015, Cost $10,151,754) * | 10,250,000 | 8,978,774 | ||||||
Tyco Electronics Group SA, | ||||||||
6.550%, 10/01/2017 f | 6,248,000 | 6,932,668 | ||||||
Union Pacific Corp., | ||||||||
3.375%, 02/01/2035 | 3,000,000 | 2,666,958 | ||||||
US Airways Pass Through Trust, | ||||||||
Series 981A, 6.850%, 01/30/2018 | 207,944 | 220,680 | ||||||
Vale Overseas Ltd.: | ||||||||
8.250%, 01/17/2034 f | 8,526,000 | 9,475,882 | ||||||
6.875%, 11/21/2036 f | 1,483,000 | 1,433,779 | ||||||
6.875%, 11/10/2039 f | 2,893,000 | 2,784,223 | ||||||
Valero Energy Corp.: | ||||||||
9.375%, 03/15/2019 | 15,578,000 | 19,171,627 | ||||||
6.625%, 06/15/2037 | 2,100,000 | 2,371,763 | ||||||
Verizon Communications, Inc.: | ||||||||
4.150%, 03/15/2024 @ | 3,000,000 | 3,079,236 | ||||||
6.400%, 09/15/2033 | 14,140,000 | 16,203,592 | ||||||
4.272%, 01/15/2036 (Acquired 10/22/2014 through 04/29/2015, Cost $7,880,770) * | 8,148,000 | 7,350,058 | ||||||
Viacom, Inc., | ||||||||
2.500%, 09/01/2018 | 7,628,000 | 7,707,476 | ||||||
Vulcan Materials Co.: | ||||||||
7.000%, 06/15/2018 | 1,785,000 | 2,017,050 | ||||||
7.150%, 11/30/2037 | 446,000 | 486,140 | ||||||
Wabtec Corp., | ||||||||
4.375%, 08/15/2023 | 2,678,000 | 2,783,353 | ||||||
Walgreens Boots Alliance, Inc.: | ||||||||
3.300%, 11/18/2021 | 2,000,000 | 1,986,124 | ||||||
3.800%, 11/18/2024 @ | 5,934,000 | 5,811,629 | ||||||
Weatherford International Ltd., | ||||||||
9.625%, 03/01/2019 f | 3,120,000 | 3,642,831 | ||||||
Western Gas Partners LP, | ||||||||
5.375%, 06/01/2021 | 8,701,000 | 9,391,877 | ||||||
Westvaco Corp.: | ||||||||
9.750%, 06/15/2020 | 143,000 | 180,965 | ||||||
8.200%, 01/15/2030 | 4,463,000 | 6,019,154 | ||||||
Williams Partners LP, | ||||||||
6.300%, 04/15/2040 | 2,767,000 | 2,810,832 | ||||||
Woodside Finance Ltd., | ||||||||
3.650%, 03/05/2025 (Acquired 02/26/2015 through 04/14/2015, Cost $12,292,106) * f | 12,300,000 | 11,812,576 | ||||||
Zimmer Holdings, Inc., | ||||||||
3.150%, 04/01/2022 | 9,500,000 | 9,344,732 | ||||||
1,060,176,788 | 18.3% | |||||||
Total Corporate Bonds | 2,306,388,106 | 39.7% |
Other Government Related Securities | ||||||||
CNOOC Finance 2015 Australia Pty Ltd., | ||||||||
2.625%, 05/05/2020 f | 14,500,000 | 14,310,441 | ||||||
CNPC General Capital Ltd., | ||||||||
2.750%, 05/14/2019 (Acquired 05/07/2014, Cost $1,983,740) * f | 2,000,000 | 1,999,464 | ||||||
Comision Federal de Electricidad, | ||||||||
4.875%, 01/15/2024 (Acquired 10/17/2013, Cost $2,662,655) * f | 2,678,000 | 2,738,255 | ||||||
Corp Andina de Fomento, | ||||||||
4.375%, 06/15/2022 f | 6,107,000 | 6,602,681 | ||||||
Export-Import Bank of Korea: | ||||||||
4.000%, 01/11/2017 f | 1,400,000 | 1,454,877 | ||||||
2.250%, 01/21/2020 f | 11,000,000 | 10,893,531 | ||||||
Industrial Bank of Korea, | ||||||||
2.000%, 04/23/2020 (Acquired 04/16/2015, Cost $6,972,210) * f | 7,000,000 | 6,893,551 | ||||||
Korea Electric Power Corp., | ||||||||
6.750%, 08/01/2027 f | 1,932,000 | 2,408,533 | ||||||
Korea Gas Corp., | ||||||||
4.250%, 11/02/2020 (Acquired 10/26/2010, Cost $2,309,418) * @ f | 2,321,000 | 2,520,966 | ||||||
Nexen Energy ULC: | ||||||||
6.400%, 05/15/2037 f | 3,392,000 | 4,064,196 | ||||||
7.500%, 07/30/2039 f | 4,175,000 | 5,560,094 | ||||||
Pemex Finance Ltd., | ||||||||
10.610%, 08/15/2017 f | 1,506,375 | 1,656,078 | ||||||
Petrobras Global Finance BV: | ||||||||
2.643%, 03/17/2017 f | 3,000,000 | 2,946,600 | ||||||
4.375%, 05/20/2023 @ f | 1,785,000 | 1,555,110 | ||||||
Petrobras International Finance Company SA: | ||||||||
3.500%, 02/06/2017 f | 4,463,000 | 4,414,934 | ||||||
5.750%, 01/20/2020 f | 893,000 | 884,820 | ||||||
Petroleos Mexicanos: | ||||||||
5.750%, 03/01/2018 f | 2,499,000 | 2,718,487 | ||||||
8.000%, 05/03/2019 f | 1,500,000 | 1,757,400 | ||||||
5.500%, 01/21/2021 f | 5,600,000 | 6,073,200 | ||||||
4.875%, 01/24/2022 f | 4,000,000 | 4,159,480 | ||||||
4.500%, 01/23/2026 (Acquired 01/15/2015, Cost $2,495,500) * @ f | 2,500,000 | 2,443,500 | ||||||
6.625%, 06/15/2035 f | 893,000 | 953,278 | ||||||
Portigon AG, | ||||||||
4.796%, 07/15/2015 f | 2,488,000 | 2,488,080 | ||||||
Sinopec Group Overseas Development [2014] Ltd., | ||||||||
4.375%, 04/10/2024 (Acquired 04/02/2014, Cost $1,496,505) * f | 1,500,000 | 1,573,230 | ||||||
Sinopec Group Overseas Development [2015] Ltd.: | ||||||||
2.500%, 04/28/2020 (Acquired 04/21/2015, Cost $14,936,400) * f | 15,000,000 | 14,774,100 | ||||||
3.250%, 04/28/2025 (Acquired 04/21/2015, Cost $9,902,200) * @ f | 10,000,000 | 9,610,130 | ||||||
The Korea Development Bank: | ||||||||
0.901%, 01/22/2017 f | 2,000,000 | 1,999,190 | ||||||
2.250%, 05/18/2020 f | 2,000,000 | 1,987,166 | ||||||
121,441,372 | 2.1% | |||||||
Taxable Municipal Bonds | ||||||||
Atlanta Independent School System, | ||||||||
5.557%, 03/01/2026 | 4,465,000 | 5,048,129 | ||||||
California Qualified School Bond Joint Powers Authority, | ||||||||
7.155%, 03/01/2027 | 6,695,000 | 7,854,574 | ||||||
California School Finance Authority: | ||||||||
5.041%, 07/01/2020 | 2,230,000 | 2,435,784 | ||||||
5.043%, 01/01/2021 (Callable 12/31/2015) | 1,785,000 | 1,799,102 | ||||||
County of Contra Costa CA, | ||||||||
5.140%, 06/01/2017 | 5,335,000 | 5,593,801 | ||||||
County of Cuyahoga OH, | ||||||||
9.125%, 10/01/2023 | 895,000 | 869,242 | ||||||
Eaton Community City School District, | ||||||||
5.390%, 08/25/2027 (Callable 06/01/2020) | 2,305,000 | 2,424,030 | ||||||
Elgin Local School District, | ||||||||
5.499%, 08/31/2027 (Callable 12/01/2019) | 4,440,000 | 4,741,343 | ||||||
Iowa Tobacco Settlement Authority, | ||||||||
6.500%, 06/01/2023 (Callable 07/31/2015) | 4,610,000 | 4,545,460 | ||||||
New Hampshire Housing Finance Authority: | ||||||||
3.050%, 01/01/2021 | 970,000 | 997,286 | ||||||
3.750%, 07/01/2034 (Callable 07/01/2023) | 2,480,000 | 2,612,605 | ||||||
New Jersey Economic Development Authority, | ||||||||
2.421%, 06/15/2018 | 7,000,000 | 7,040,390 | ||||||
North Carolina Housing Finance Agency, | ||||||||
2.812%, 07/01/2035 (Callable 01/01/2024) | 4,545,000 | 4,674,896 | ||||||
San Dieguito Public Facilities Authority, | ||||||||
6.459%, 05/01/2027 | 5,675,000 | 6,916,009 | ||||||
State Public School Building Authority, | ||||||||
5.000%, 09/15/2027 | 4,458,000 | 4,690,351 | ||||||
Three Rivers Local School District, | ||||||||
5.209%, 09/15/2027 (Callable 12/01/2020) | 2,365,000 | 2,477,976 | ||||||
West Contra Costa Unified School District, | ||||||||
6.250%, 08/01/2030 | 1,785,000 | 2,057,391 | ||||||
Westlake City School District, | ||||||||
5.227%, 12/01/2026 (Callable 12/01/2020) | 3,570,000 | 3,690,809 | ||||||
70,469,178 | 1.2% | |||||||
Residential Mortgage-Backed Securities | ||||||||
U.S. Government Agency Issues | ||||||||
Fannie Mae REMIC Trust, | ||||||||
Series 2004-W6, Class 1A6, 5.500%, 07/25/2034 | 735,418 | 748,360 | ||||||
Federal Gold Loan Mortgage Corp. (FGLMC): | ||||||||
6.000%, 06/01/2020 | 117,314 | 124,047 | ||||||
5.500%, 11/01/2022 | 78,124 | 87,417 | ||||||
5.500%, 07/01/2023 | 90,062 | 100,828 | ||||||
3.500%, 11/01/2025 | 6,612,341 | 6,984,405 | ||||||
2.500%, 04/01/2028 | 5,262,190 | 5,375,788 | ||||||
6.500%, 06/01/2029 | 274,282 | 321,105 | ||||||
5.000%, 08/01/2033 | 11,305,733 | 12,609,114 | ||||||
5.500%, 01/01/2036 | 474,506 | 532,023 | ||||||
5.000%, 03/01/2036 | 11,478,017 | 12,688,574 | ||||||
6.000%, 12/01/2036 | 380,726 | 433,232 | ||||||
5.000%, 03/01/2038 | 3,614,151 | 3,980,999 | ||||||
5.500%, 05/01/2038 | 1,561,298 | 1,747,475 | ||||||
4.500%, 11/01/2039 | 5,100,969 | 5,519,996 | ||||||
4.500%, 11/01/2039 | 8,960,259 | 9,696,260 | ||||||
5.000%, 03/01/2040 | 2,465,970 | 2,729,958 | ||||||
4.500%, 08/01/2040 | 1,972,296 | 2,134,804 | ||||||
4.500%, 09/01/2040 | 7,115,747 | 7,694,430 | ||||||
4.500%, 03/01/2041 | 5,172,900 | 5,597,643 | ||||||
4.000%, 03/01/2042 | 14,609,595 | 15,507,027 | ||||||
3.500%, 06/01/2042 | 9,094,118 | 9,377,980 | ||||||
3.500%, 07/01/2042 | 23,446,129 | 24,177,347 | ||||||
3.000%, 08/01/2042 | 28,150,971 | 28,073,755 | ||||||
3.000%, 10/01/2042 | 10,523,055 | 10,494,175 | ||||||
3.000%, 01/01/2043 | 22,211,651 | 22,126,298 | ||||||
3.000%, 02/01/2043 | 5,702,806 | 5,687,150 | ||||||
3.000%, 04/01/2043 | 9,498,532 | 9,470,274 | ||||||
3.000%, 06/01/2043 | 29,402,942 | 29,305,201 | ||||||
3.000%, 08/01/2043 | 9,003,532 | 8,971,437 | ||||||
4.000%, 03/01/2044 | 14,710,333 | 15,558,512 | ||||||
3.500%, 07/01/2044 | 22,501,741 | 23,174,768 | ||||||
4.000%, 07/01/2044 | 12,320,964 | 13,037,322 | ||||||
3.500%, 08/01/2044 | 851,297 | 876,759 | ||||||
3.500%, 10/01/2044 | 21,250,427 | 21,886,028 | ||||||
4.000%, 10/01/2044 | 22,758,678 | 24,188,272 | ||||||
Federal Home Loan Mortgage Corp. (FHLMC): | ||||||||
Series 206, Class E, 0.000%, 07/15/2019 ^ | 19,356 | 19,274 | ||||||
Series 141, Class D, 5.000%, 05/15/2021 | 14,952 | 15,608 | ||||||
Series 1074, Class I, 6.750%, 05/15/2021 | 14,226 | 15,218 | ||||||
Series 1081, Class K, 7.000%, 05/15/2021 | 93,946 | 103,636 | ||||||
Series 163, Class F, 6.000%, 07/15/2021 | 15,128 | 16,319 | ||||||
Series 188, Class H, 7.000%, 09/15/2021 | 34,301 | 37,348 | ||||||
Series 1286, Class A, 6.000%, 05/15/2022 | 10,233 | 10,945 | ||||||
Federal National Mortgage Association (FNMA): | ||||||||
Series 1989-37, Class G, 8.000%, 07/25/2019 | 74,782 | 81,031 | ||||||
5.000%, 12/01/2019 | 253,133 | 269,076 | ||||||
Series 1989-94, Class G, 7.500%, 12/25/2019 | 26,558 | 28,735 | ||||||
Series 1990-58, Class J, 7.000%, 05/25/2020 | 3,766 | 4,098 | ||||||
Series 1990-76, Class G, 7.000%, 07/25/2020 | 29,088 | 31,567 | ||||||
Series 1990-105, Class J, 6.500%, 09/25/2020 | 16,900 | 18,056 | ||||||
Series 1990-108, Class G, 7.000%, 09/25/2020 | 5,448 | 5,948 | ||||||
Series 1991-1, Class G, 7.000%, 01/25/2021 | 7,628 | 8,348 | ||||||
Series 1991-86, Class Z, 6.500%, 07/25/2021 | 13,263 | 14,322 | ||||||
5.000%, 11/01/2021 | 2,176,995 | 2,319,168 | ||||||
5.500%, 01/01/2023 § | 3,864,660 | 4,334,875 | ||||||
Series 1993-58, Class H, 5.500%, 04/25/2023 | 164,005 | 179,894 | ||||||
5.500%, 07/01/2023 | 316,946 | 355,552 | ||||||
6.000%, 03/01/2026 | 299,292 | 339,426 | ||||||
6.000%, 05/01/2026 | 656,188 | 744,198 | ||||||
3.000%, 04/01/2027 | 10,553,517 | 10,959,721 | ||||||
2.500%, 12/01/2027 | 16,962,845 | 17,296,079 | ||||||
5.000%, 05/01/2028 | 456,288 | 503,313 | ||||||
Series 1998-66, Class C, 6.000%, 12/25/2028 | 103,051 | 114,684 | ||||||
4.500%, 08/01/2029 | 3,468,275 | 3,749,587 | ||||||
4.500%, 09/01/2029 | 3,927,304 | 4,247,931 | ||||||
2.500%, 05/01/2030 | 24,734,331 | 25,061,335 | ||||||
6.000%, 03/01/2033 | 93,905 | 107,471 | ||||||
4.500%, 10/01/2033 | 40,016,135 | 43,595,786 | ||||||
5.000%, 10/01/2033 | 41,952,026 | 46,657,508 | ||||||
5.000%, 11/01/2033 | 110,695 | 122,575 | ||||||
4.000%, 01/01/2034 | 14,754,060 | 15,796,861 | ||||||
5.500%, 04/01/2034 | 1,902,097 | 2,141,962 | ||||||
4.000%, 06/01/2034 | 19,724,491 | 21,106,799 | ||||||
4.000%, 09/01/2034 | 22,000,565 | 23,550,494 | ||||||
5.500%, 09/01/2034 | 368,107 | 415,092 | ||||||
6.000%, 11/01/2034 | 96,676 | 110,522 | ||||||
5.500%, 02/01/2035 | 1,288,397 | 1,450,937 | ||||||
5.000%, 07/01/2035 | 10,937,259 | 12,126,382 | ||||||
5.000%, 10/01/2035 | 5,849,590 | 6,469,481 | ||||||
5.000%, 11/01/2035 | 2,289,939 | 2,530,886 | ||||||
5.500%, 11/01/2036 | 576,648 | 646,966 | ||||||
5.500%, 04/01/2037 | 3,050,141 | 3,439,943 | ||||||
6.000%, 08/01/2037 | 98,965 | 108,839 | ||||||
5.000%, 06/01/2039 | 26,126,734 | 28,879,861 | ||||||
4.500%, 11/01/2039 | 537,270 | 581,964 | ||||||
4.000%, 08/01/2040 | 3,597,207 | 3,822,623 | ||||||
3.500%, 12/01/2040 | 18,281,672 | 18,888,015 | ||||||
3.500%, 02/01/2041 | 28,314,811 | 29,253,438 | ||||||
4.000%, 02/01/2041 | 26,533,935 | 28,290,919 | ||||||
3.500%, 03/01/2041 | 40,574,134 | 41,919,268 | ||||||
4.500%, 07/01/2041 | 22,928,040 | 24,848,620 | ||||||
4.000%, 09/01/2041 | 5,825,812 | 6,202,615 | ||||||
4.000%, 10/01/2041 | 13,079,353 | 13,926,885 | ||||||
3.500%, 11/01/2041 | 19,400,444 | 20,050,822 | ||||||
4.000%, 12/01/2041 | 18,622,764 | 19,820,779 | ||||||
4.000%, 01/01/2042 | 26,659,363 | 28,366,247 | ||||||
4.500%, 01/01/2042 | 26,930,300 | 29,168,147 | ||||||
3.000%, 05/01/2042 | 8,538,366 | 8,552,461 | ||||||
3.500%, 08/01/2042 | 15,307,050 | 15,824,229 | ||||||
4.000%, 08/01/2042 | 35,142,376 | 37,446,842 | ||||||
3.000%, 05/01/2043 | 34,205,536 | 34,235,443 | ||||||
3.000%, 06/01/2043 | 14,300,522 | 14,310,843 | ||||||
3.000%, 08/01/2043 | 8,487,654 | 8,489,833 | ||||||
4.500%, 09/01/2043 | 29,724,516 | 32,180,719 | ||||||
4.000%, 01/01/2045 | 19,031,778 | 20,240,710 | ||||||
3.500%, 04/01/2045 | 52,841,359 | 54,646,886 | ||||||
Government National Mortgage Association (GNMA): | ||||||||
6.000%, 11/20/2033 | 85,979 | 98,852 | ||||||
5.000%, 07/20/2040 | 4,972,681 | 5,538,512 | ||||||
4.000%, 06/20/2042 | 23,004,510 | 24,501,746 | ||||||
3.500%, 09/20/2042 | 9,489,596 | 9,876,658 | ||||||
3.000%, 04/20/2045 | 56,007,059 | 56,626,156 | ||||||
3.500%, 04/20/2045 | 41,278,316 | 43,062,749 | ||||||
1,251,935,401 | 21.6% | |||||||
Non-U.S. Government Agency Issues | ||||||||
Alternative Loan Trust: | ||||||||
Series 2005-50CB, Class 4A1, 5.000%, 11/25/2020 § | 294,371 | 294,805 | ||||||
Series 2006-7CB, Class 3A1, 5.250%, 05/25/2021 § | 1,370,651 | 1,333,100 | ||||||
Series 2006-43CB, Class 2A1, 6.000%, 02/25/2022 § | 310,843 | 337,963 | ||||||
Series 2006-28CB, Class A17, 6.000%, 10/25/2036 § | 1,033,631 | 847,065 | ||||||
Banc of America Alternative Loan Trust: | ||||||||
Series 2003-4, Class 2A1, 5.000%, 06/25/2018 | 66,518 | 67,908 | ||||||
Series 2003-11, Class 4A1, 4.750%, 01/25/2019 | 128,985 | 130,020 | ||||||
Series 2004-11, Class 4A1, 5.500%, 12/25/2019 | 111,532 | 114,489 | ||||||
Series 2005-2, Class 4A1, 5.500%, 03/25/2020 | 167,646 | 172,538 | ||||||
Series 2005-4, Class 3A1, 5.500%, 05/25/2020 | 852,726 | 862,968 | ||||||
Series 2007-1, Class 1A1, 5.937%, 04/25/2022 | 861,865 | 864,041 | ||||||
Series 2005-2, Class 1CB2, 5.500%, 03/25/2035 § | 140,619 | 130,353 | ||||||
Series 2006-5, Class CB7, 6.000%, 06/25/2046 § | 759,077 | 647,238 | ||||||
Bank of America Alternative Loan Trust: | ||||||||
Series 2003-5, Class 2A1, 5.000%, 07/25/2018 | 849,845 | 865,080 | ||||||
Series 2004-7, Class 4A1, 5.000%, 08/25/2019 | 2,082,121 | 2,138,599 | ||||||
Series 2005-10, Class 5A1, 5.250%, 11/25/2020 | 420,212 | 428,629 | ||||||
Series 2003-11, Class 2A1, 6.000%, 01/25/2034 | 515,380 | 536,540 | ||||||
Series 2005-9, Class 1CB3, 5.500%, 10/25/2035 § | 327,660 | 299,406 | ||||||
Series 2005-11, Class 1CB4, 5.500%, 12/25/2035 § | 198,430 | 180,210 | ||||||
Bear Stearns Asset Backed Securities I Trust, | ||||||||
Series 2004-AC2, Class 2A, 5.000%, 05/25/2034 | 859,492 | 865,180 | ||||||
Chase Mortgage Finance Trust, | ||||||||
Series 2006-A1, Class 2A3, 2.525%, 09/25/2036 § | 2,690,484 | 2,380,465 | ||||||
Citigroup Mortgage Loan Trust, Inc., | ||||||||
Series 2005-9, Class 2A2, 5.500%, 11/25/2035 § | 247,499 | 245,364 | ||||||
Countrywide Alternative Loan Trust: | ||||||||
Series 2006-J5, Class 3A1, 4.969%, 07/25/2021 | 253,346 | 251,781 | ||||||
Series 2002-11, Class A4, 6.250%, 10/25/2032 | 30,828 | 31,512 | ||||||
Series 2003-20CB, Class 1A1, 5.500%, 10/25/2033 | 5,143,355 | 5,246,443 | ||||||
Credit Suisse First Boston Mortgage Securities Corp., | ||||||||
Series 2003-AR26, Class 8A1, 2.479%, 11/25/2033 | 15,661,962 | 15,825,848 | ||||||
Deutsche Alt-A Securities Mortgage Loan Trust, | ||||||||
Series 2006-AR5, Class 21A, 6.000%, 10/25/2021 § | 440,104 | 384,739 | ||||||
First Horizon Alternative Mortgage Securities Trust: | ||||||||
Series 2005-FA7, Class 2A1, 5.000%, 09/25/2020 | 170,386 | 173,580 | ||||||
Series 2006-FA6, Class 3A1, 5.750%, 11/25/2021 | 267,549 | 267,857 | ||||||
Series 2006-FA8, Class 2A1, 5.750%, 02/25/2037 § | 952,723 | 822,624 | ||||||
Impac CMB Trust, | ||||||||
Series 2004-4, Class 2A2, 4.969%, 09/25/2034 | 138,951 | 139,728 | ||||||
J.P. Morgan Alternative Loan Trust, | ||||||||
Series 2006-A1, Class 2A1, 2.524%, 03/25/2036 § | 509,277 | 416,022 | ||||||
J.P. Morgan Mortgage Trust: | ||||||||
Series 2007-A1, Class 5A5, 2.555%, 07/25/2035 | 10,612,539 | 10,776,895 | ||||||
Series 2007-A1, Class 5A2, 2.556%, 07/25/2035 | 7,008,854 | 7,106,676 | ||||||
Series 2005-A4, Class 1A1, 2.927%, 07/25/2035 | 3,091,493 | 3,056,779 | ||||||
Series 2006-A7, Class 2A4R, 2.559%, 01/25/2037 § | 1,326,999 | 1,217,276 | ||||||
Series 2006-A7, Class 2A2, 2.559%, 01/25/2037 § | 310,595 | 284,913 | ||||||
Series 2007-A2, Class 2A3, 2.565%, 04/25/2037 § | 3,434,456 | 3,075,390 | ||||||
MASTR Alternative Loan Trust: | ||||||||
Series 2004-2, Class 6A1, 5.250%, 12/25/2018 | 2,848,525 | 2,948,297 | ||||||
Series 2004-1, Class 1A1, 5.000%, 01/25/2019 | 390,961 | 396,493 | ||||||
Series 2004-2, Class 4A1, 5.000%, 02/25/2019 | 23,035 | 23,581 | ||||||
Series 2004-4, Class 4A1, 5.000%, 04/25/2019 | 319,206 | 325,256 | ||||||
Series 2003-5, Class 6A1, 6.000%, 08/25/2033 | 394,817 | 420,566 | ||||||
Merrill Lynch Mortgage Investors Trust: | ||||||||
Series 2004-F, Class A1A, 1.832%, 12/25/2029 | 12,873,868 | 12,954,175 | ||||||
Series 2005-A10, Class A, 0.397%, 02/25/2036 | 31,598,823 | 28,894,059 | ||||||
RALI Series Trust, | ||||||||
Series 2004-QS6, Class A1, 5.000%, 05/25/2019 | 158,258 | 160,301 | ||||||
RFMSI Series Trust, | ||||||||
Series 2003-S11, Class A2, 4.000%, 06/25/2018 | 8,936 | 8,859 | ||||||
Salomon Brothers Mortgage Securities VII, Inc., | ||||||||
Series 2003-UP2, Class A2, 7.000%, 06/25/2033 | 327,785 | 353,568 | ||||||
Structured Adjustable Rate Mortgage Loan Trust: | ||||||||
Series 2004-12, Class 3A1, 2.445%, 09/25/2034 | 10,038,056 | 10,100,171 | ||||||
Series 2004-16, Class 1A2, 2.523%, 11/25/2034 | 14,480,884 | 14,554,317 | ||||||
Structured Asset Securities Corp. Mortgage Loan Trust, | ||||||||
Series 2005-7XS, Class 1A4B, 5.440%, 04/25/2035 | 255,678 | 269,103 | ||||||
Thornburg Mortgage Securities Trust, | ||||||||
Series 2003-5, Class 3A, 2.161%, 10/25/2043 | 31,015,036 | 31,139,717 | ||||||
WaMu Mortgage Pass-Through Certificates: | ||||||||
Series 2004-CB1, Class 5A, 5.000%, 06/25/2019 | 392,722 | 401,929 | ||||||
Series 2004-CB2, Class 7A, 5.500%, 08/25/2019 | 736,932 | 756,105 | ||||||
Series 2004-CB3, Class 3A, 5.500%, 10/25/2019 | 69,246 | 71,605 | ||||||
Series 2004-CB3, Class 4A, 6.000%, 10/25/2019 | 235,015 | 245,545 | ||||||
Series 2004-CB4, Class 21A, 5.500%, 12/25/2019 | 167,753 | 173,242 | ||||||
Series 2004-CB2, Class 3A, 6.000%, 08/25/2034 | 11,108,719 | 11,870,311 | ||||||
Series 2004-CB3, Class 2A, 6.500%, 10/25/2034 | 6,568,973 | 7,167,256 | ||||||
Series 2004-AR14, Class A1, 2.393%, 01/25/2035 | 14,443,469 | 14,553,456 | ||||||
200,607,936 | 3.4% |
Asset Backed Securities | ||||||||
Accredited Mortgage Loan Trust: | ||||||||
Series 2006-1, Class A3, 0.365%, 04/25/2036 | 7,974,179 | 7,916,079 | ||||||
Series 2006-2, Class A3, 0.337%, 09/25/2036 | 21,151,431 | 20,873,332 | ||||||
Argent Securities Inc Asset-Backed Pass-Through Certificates, | ||||||||
Series 2005-W3, Class A2D, 0.527%, 11/25/2035 | 7,788,934 | 7,554,191 | ||||||
Bayview Financial Acquisition Trust, | ||||||||
Series 2007-A, Class 1A2, 6.205%, 05/28/2037 | 121,238 | 127,656 | ||||||
Bayview Financial Mortgage Pass-Through Trust: | ||||||||
Series 2006-A, Class 1A2, 5.483%, 02/28/2041 § | 203,946 | 212,651 | ||||||
Series 2007-B, Class 1A2, 6.831%, 08/28/2047 | 2,231,398 | 1,998,344 | ||||||
Bear Stearns ALT-A Trust: | ||||||||
Series 2004-4, Class A1, 0.787%, 06/25/2034 | 4,597,873 | 4,402,059 | ||||||
Series 2005-4, Class 1A1, 0.627%, 04/25/2035 | 11,118,671 | 10,715,797 | ||||||
Capital Auto Receivables Asset Trust: | ||||||||
Series 2013-1, Class A3, 0.790%, 06/20/2017 | 20,648,492 | 20,654,728 | ||||||
Series 2013-4, Class A3, 1.090%, 03/20/2018 | 36,338,000 | 36,378,698 | ||||||
Series 2014-1, Class A3, 1.320%, 06/20/2018 | 11,905,000 | 11,938,358 | ||||||
Citibank Credit Card Issuance Trust, | ||||||||
Series 2007-A3, Class A3, 6.150%, 06/15/2039 | 4,166,000 | 5,395,303 | ||||||
Citigroup Mortgage Loan Trust, Inc., | ||||||||
Series 2005-HE4, Class A2D, 0.547%, 10/25/2035 | 11,619,431 | 11,472,108 | ||||||
Conseco Financial Corp.: | ||||||||
Series 1993-3, Class A7, 6.400%, 10/15/2018 | 53,602 | 54,459 | ||||||
Series 1993-4, Class A5, 7.050%, 01/15/2019 | 24,151 | 24,730 | ||||||
Series 1998-2, Class A5, 6.240%, 12/01/2028 | 582,361 | 599,386 | ||||||
Series 1997-6, Class A8, 7.070%, 01/15/2029 | 3,541 | 3,578 | ||||||
Series 1998-3, Class A5, 6.220%, 03/01/2030 | 614,214 | 650,929 | ||||||
Series 1998-4, Class A5, 6.180%, 04/01/2030 | 3,360,854 | 3,595,550 | ||||||
Contimortgage Home Equity Loan Trust, | ||||||||
Series 1997-2, Class A9, 7.090%, 04/15/2028 | 12 | 12 | ||||||
Countrywide Asset-Backed Certificates: | ||||||||
Series 2004-13, Class AF4, 4.583%, 01/25/2033 | 207,936 | 207,843 | ||||||
Series 2004-S1, Class A3, 5.115%, 02/25/2035 | 950,320 | 967,801 | ||||||
Series 2004-15, Class AF6, 4.613%, 04/25/2035 | 1,318,593 | 1,325,967 | ||||||
Series 2005-1, Class AF6, 5.030%, 07/25/2035 | 2,083,075 | 2,119,664 | ||||||
Series 2005-10, Class AF6, 4.758%, 02/25/2036 | 1,600,241 | 1,636,933 | ||||||
Series 2005-11, Class AF3, 4.778%, 02/25/2036 | 5,971,805 | 6,125,185 | ||||||
Series 2005-13, Class AF3, 4.948%, 04/25/2036 | 2,760,952 | 2,496,892 | ||||||
Series 2005-17, Class 1AF5, 4.889%, 05/25/2036 § | 707,487 | 864,839 | ||||||
Series 2005-17, Class 1AF2, 4.889%, 05/25/2036 § | 189,496 | 265,634 | ||||||
Series 2006-10, Class 1AF3, 4.929%, 09/25/2046 § | 1,233,761 | 1,107,031 | ||||||
Credit-Based Asset Servicing and Securitization LLC, | ||||||||
Series 2005-CB8, Class AF2, 4.156%, 12/25/2035 | 266,700 | 264,140 | ||||||
CWHEQ Home Equity Loan Trust, | ||||||||
Series 2007-S1, Class A6, 5.693%, 11/25/2036 | 520,653 | 501,827 | ||||||
Deutsche Mortgage Securities Inc Mortgage Loan Trust, | ||||||||
Series 2004-4, Class 1A6, 6.000%, 04/25/2034 | 35,928 | 36,802 | ||||||
First Franklin Mortgage Loan Trust, | ||||||||
Series 2006-FFH1, Class A4, 0.487%, 01/25/2036 | 4,701,128 | 4,561,241 | ||||||
Ford Credit Auto Owner Trust, | ||||||||
Series 2014-2, Class A, 2.310%, 04/15/2026 (Acquired 02/20/2015 through 02/23/2015, Cost $18,216,459) * | 18,085,000 | 18,285,111 | ||||||
GE Capital Mortgage Services Inc. Trust, | ||||||||
Series 1999-HE1, Class A7, 6.265%, 04/25/2029 | 1,902 | 1,917 | ||||||
GE Mortgage Services LLC, | ||||||||
Series 1997-HE4, Class A7, 6.735%, 12/25/2028 | 79 | 79 | ||||||
GMACM Mortgage Loan Trust, | ||||||||
Series 2004-GH1, Class A6, 4.810%, 07/25/2035 | 16,622 | 16,576 | ||||||
GSAA Home Equity Trust, | ||||||||
Series 2004-6, Class A1, 0.987%, 06/25/2034 | 3,595,547 | 3,491,129 | ||||||
GSAMP Trust, | ||||||||
Series 2005-WMC2, Class A2C, 0.537%, 11/25/2035 | 11,855,565 | 11,521,084 | ||||||
Imc Home Equity Loan Trust, | ||||||||
Series 1997-5, Class A10, 6.880%, 11/20/2028 | 4,087 | 4,078 | ||||||
Impac CMB Trust, | ||||||||
Series 2004-5, Class 1A2, 0.887%, 10/25/2034 | 9,849,482 | 9,523,858 | ||||||
J.P. Morgan Mortgage Acquisition Trust: | ||||||||
Series 2006-CH1, Class A1, 0.315%, 07/25/2036 | 8,617,926 | 8,284,473 | ||||||
Series 2007-CH1, Class AV4, 0.315%, 11/25/2036 | 1,256,272 | 1,252,627 | ||||||
Leaf Receivables Funding 10 LLC, | ||||||||
Series 2015-1, Class A3, 1.490%, 03/15/2018 (Acquired 04/23/2015, Cost $13,997,428) * | 14,000,000 | 13,990,214 | ||||||
Long Beach Mortgage Loan Trust, | ||||||||
Series 2006-WL2, Class 2A3, 0.387%, 01/25/2036 | 5,894,127 | 5,678,650 | ||||||
MortgageIT Trust, | ||||||||
Series 2005-2, Class 1A1, 0.447%, 05/25/2035 | 4,257,411 | 4,057,287 | ||||||
Nationstar Home Equity Loan Trust, | ||||||||
Series 2006-B, Class AV3, 0.357%, 09/25/2036 | 4,082,311 | 4,076,783 | ||||||
Oakwood Mortgage Investors, Inc., | ||||||||
Series 1999-B, Class A3, 6.450%, 11/15/2017 | 36,964 | 37,856 | ||||||
RAAC Series Trust, | ||||||||
Series 2004-SP1, Class AI4, 5.285%, 08/25/2027 | 22,148 | 22,508 | ||||||
RAMP Series Trust: | ||||||||
Series 2003-RS7, Class AI6, 5.340%, 08/25/2033 | 281,515 | 282,337 | ||||||
Series 2003-RS10, Class AI7, 4.850%, 11/25/2033 | 7,751 | 7,794 | ||||||
Series 2005-RS1, Class AI6, 4.713%, 01/25/2035 | 130,970 | 132,466 | ||||||
RASC Series Trust: | ||||||||
Series 2003-KS2, Class AI6, 3.990%, 04/25/2033 | 417,265 | 416,866 | ||||||
Series 2003-KS5, Class AI6, 3.620%, 07/25/2033 | 24,561 | 23,872 | ||||||
Series 2004-KS2, Class AI6, 4.300%, 03/25/2034 | 51,483 | 52,029 | ||||||
Renaissance Home Equity Loan Trust, | ||||||||
Series 2007-1, Class AF3, 5.612%, 04/25/2037 | 2,586,688 | 1,432,880 | ||||||
Republic Services, Inc., | ||||||||
Series 2006-KS4, Class A4, 0.427%, 06/25/2036 | 26,038,000 | 25,266,416 | ||||||
Securitized Asset Backed Receivables LLC Trust, | ||||||||
Series 2005-OP2, Class A1, 0.512%, 10/25/2035 (Acquired 03/13/2014, Cost $2,493,144) * | 2,523,904 | 2,495,740 | ||||||
Specialty Underwriting & Residential Finance Trust: | ||||||||
Series 2004-BC4, Class A1A, 0.857%, 10/25/2035 | 3,623,153 | 3,525,882 | ||||||
Series 2006-BC1, Class A2D, 0.487%, 12/25/2036 | 4,436,698 | 4,300,070 | ||||||
Springleaf Funding Trust, | ||||||||
Series 2014-AA, Class A, 2.410%, 12/15/2022 (Acquired 02/10/2015 through 06/09/2015, Cost $8,854,720) * | 8,842,000 | 8,853,053 | ||||||
Structured Asset Securities Corp., | ||||||||
Series 2005-WF1, Class A3, 0.847%, 02/25/2035 | 10,844,871 | 10,763,307 | ||||||
Synchrony Credit Card Master Note Trust: | ||||||||
Series 2012-3, Class A, 0.636%, 03/15/2020 | 57,900,000 | 57,954,716 | ||||||
Series 2015-2, Class A, 1.600%, 04/15/2021 | 8,625,000 | 8,619,756 | ||||||
Series 2015-1, Class A, 2.370%, 03/15/2023 | 12,600,000 | 12,707,289 | ||||||
TCF Auto Receivables Owner Trust, | ||||||||
Series 2015-1A, Class A2, 1.020%, 08/15/2018 (Acquired 06/03/2015, Cost $25,598,525) * | 25,600,000 | 25,608,576 | ||||||
409,737,026 | 7.1% | |||||||
Commercial Mortgage Backed Securities | ||||||||
Bear Stearns Commercial Mortgage Securities Trust, | ||||||||
Series 2005-PWR9, Class A4A, 4.871%, 09/11/2042 | 641,747 | 641,240 | ||||||
CD Commercial Mortgage Trust, | ||||||||
Series 2005-CD1, Class A4, 5.380%, 07/15/2044 | 5,770,035 | 5,774,575 | ||||||
Citigroup Commercial Mortgage Trust, | ||||||||
Series 2014-GC19, Class A3, 3.753%, 03/10/2047 | 11,025,000 | 11,425,042 | ||||||
COMM Mortgage Trust: | ||||||||
Series 2005-C6, Class A5A, 5.116%, 06/10/2044 | 2,885,265 | 2,883,614 | ||||||
Series 2012-CR1, Class A3, 3.391%, 05/15/2045 | 7,813,462 | 8,094,403 | ||||||
Series 2013-CR9, Class A3, 4.022%, 07/10/2045 | 11,900,000 | 12,733,464 | ||||||
Series 2012-CR2, Class A4, 3.147%, 08/15/2045 | 19,660,536 | 20,029,073 | ||||||
Series 2013-CR10, Class A3, 3.923%, 08/10/2046 | 13,875,000 | 14,749,722 | ||||||
Credit Suisse First Boston Mortgage Securities Corp., | ||||||||
Series 2005-C5, Class A4, 5.100%, 08/15/2038 | 436,202 | 435,620 | ||||||
FHLMC Multifamily Structured Pass Through Certificates, | ||||||||
Series K003, Class A4, 5.053%, 01/25/2019 | 13,175,000 | 14,627,465 | ||||||
GE Capital Commercial Mortgage Corp., | ||||||||
Series 2005-C4, Class A4, 5.495%, 11/10/2045 | 9,732,123 | 9,754,653 | ||||||
GS Mortgage Securities Corp. II, | ||||||||
Series 2012-GCJ9, Class A3, 2.773%, 11/10/2045 | 23,297,320 | 23,116,556 | ||||||
J.P. Morgan Chase Commercial Mortgage Securities Corp., | ||||||||
Series 2012-LC9, Class A5, 2.840%, 12/15/2047 | 8,325,059 | 8,298,594 | ||||||
J.P. Morgan Chase Commercial Mortgage Securities Trust: | ||||||||
Series 2005-CB12, Class A4, 4.895%, 09/12/2037 | 481,216 | 480,925 | ||||||
Series 2012-C8, Class ASB, 2.379%, 10/15/2045 | 9,965,000 | 9,986,564 | ||||||
Series 2013-LC11, Class A5, 2.960%, 04/15/2046 | 11,802,913 | 11,761,343 | ||||||
JPMBB Commercial Mortgage Securities Trust: | ||||||||
Series 2013-C17, Class A3, 3.928%, 01/15/2047 | 8,450,000 | 8,958,031 | ||||||
Series 2014-C25, Class ASB, 3.407%, 11/15/2047 | 7,138,000 | 7,342,760 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust: | ||||||||
Series 2012-C5, Class A4, 3.176%, 08/15/2045 | 27,615,000 | 28,071,393 | ||||||
Series 2012-C6, Class A4, 2.858%, 11/15/2045 | 23,235,945 | 23,116,466 | ||||||
Series 2013-C11, Class A3, 3.960%, 08/15/2046 | 12,100,000 | 12,897,378 | ||||||
Series 2013-C12, Class A3, 3.973%, 10/15/2046 | 22,850,000 | 24,387,873 | ||||||
Wachovia Bank Commercial Mortgage Trust, | ||||||||
Series 2005-C22, Class A4, 5.448%, 12/15/2044 | 7,232,078 | 7,241,068 | ||||||
Wells Fargo Commercial Mortgage Trust: | ||||||||
Series 2013-LC12, Class A3, 3.986%, 07/15/2046 | 9,300,000 | 9,936,520 | ||||||
Series 2015-C27, Class ASB, 3.278%, 02/15/2048 | 18,000,000 | 18,388,710 | ||||||
WFRBS Commercial Mortgage Trust: | ||||||||
Series 2012-C6, Class A4, 3.440%, 04/15/2045 | 22,864,220 | 23,807,872 | ||||||
Series 2013-C18, Class A4, 3.896%, 12/15/2046 | 11,800,000 | 12,516,260 | ||||||
Series 2014-C21, Class A5, 3.678%, 08/15/2047 | 11,254,000 | 11,626,553 | ||||||
Series 2014-C24, Class A4, 3.343%, 11/15/2047 | 10,330,000 | 10,424,850 | ||||||
Series 2014-C23, Class ASB, 3.636%, 10/15/2057 | 6,400,000 | 6,711,232 | ||||||
360,219,819 | 6.2% | |||||||
Total Long-Term Investments (Cost $5,719,824,691) | 5,694,461,782 | 98.1% | ||||||
Shares | ||||||||
SHORT-TERM INVESTMENTS | ||||||||
Money Market Mutual Funds | ||||||||
Dreyfus Cash Advantage Fund, 0.09% « | 86,155,139 | 86,155,139 | ||||||
Short-Term Investments Trust - Liquid Assets Portfolio, 0.10% « | 114,000,000 | 114,000,000 | ||||||
Total Short-Term Investments (Cost $200,155,139) | 200,155,139 | 3.4% | ||||||
INVESTMENTS PURCHASED WITH CASH PROCEEDS FROM | ||||||||
SECURITIES LENDING | ||||||||
Investment Companies | ||||||||
Mount Vernon Securities Lending Trust Prime Portfolio, 0.25% « | 142,466,701 | 142,466,701 | ||||||
Total Investment Companies (Cost $142,466,701) | 142,466,701 | 2.5% | ||||||
Total Investments Purchased With Cash Proceeds From | ||||||||
Securities Lending (Cost $142,466,701) | 142,466,701 | 2.5% | ||||||
Total Investments (Cost $6,062,446,531) | 6,037,083,622 | 104.0% | ||||||
Liabilities in Excess of Other Assets | (232,923,210) | (4.0)% | ||||||
TOTAL NET ASSETS | $ 5,804,160,412 | 100.0% |
Notes to Schedule of Investments | ||
* | Restricted security as defined in Rule 144(a) under the Securities Act of 1933 and determined to be liquid. Purchased in a private placement transaction; resale to the public may require registration or or may extend only to qualified institutional buyers. At June 30, 2015, the value of these securities total $815,433,787, which represents 14.05% of total net assets. | |
@ | This security or portion of this security is out on loan at June 30, 2015. | |
^ | Non-Income Producing | |
« | 7-Day Yield | |
f | Foreign Security | |
§ | Security in Default |
Baird Core Plus Bond Fund | ||||||||
Schedule of Investments | ||||||||
June 30, 2015 (Unaudited) | ||||||||
Principal | % of | |||||||
Amount | Value | Net Assets | ||||||
LONG-TERM INVESTMENTS | ||||||||
U.S. Treasury Securities | ||||||||
U.S. Treasury Bonds: | ||||||||
1.250%, 04/30/2019 @ | $ 307,075,000 | $ 306,379,168 | ||||||
2.625%, 08/15/2020 | 304,675,000 | 318,599,562 | ||||||
5.250%, 11/15/2028 | 10,575,000 | 13,783,857 | ||||||
3.500%, 02/15/2039 | 423,795,000 | 456,837,872 | ||||||
1,095,600,459 | 12.8% | |||||||
Corporate Bonds | ||||||||
Finance | ||||||||
Abbey National Treasury Services PLC, | ||||||||
4.000%, 03/13/2024 @ f | 7,700,000 | 7,944,244 | ||||||
ABN AMRO Bank NV: | ||||||||
4.250%, 02/02/2017 (Acquired 01/30/2012, Cost $4,995,100) * f | 5,000,000 | 5,224,570 | ||||||
2.500%, 10/30/2018 (Acquired 10/23/2013 through 10/24/2014, Cost $6,817,914) * f | 6,750,000 | 6,856,772 | ||||||
2.450%, 06/04/2020 (Acquired 05/28/2015, Cost $12,771,840) * f | 12,800,000 | 12,725,363 | ||||||
AIA Group Ltd., | ||||||||
3.200%, 03/11/2025 (Acquired 03/04/2015, Cost $8,988,570) * f | 9,000,000 | 8,670,861 | ||||||
AIG SunAmerica Global Financing X, | ||||||||
6.900%, 03/15/2032 (Acquired 11/10/2011, Cost $2,125,034) * | 2,000,000 | 2,563,546 | ||||||
Ally Financial, Inc.: | ||||||||
5.500%, 02/15/2017 | 7,275,000 | 7,584,188 | ||||||
3.600%, 05/21/2018 | 7,000,000 | 7,008,750 | ||||||
8.000%, 12/31/2018 | 1,206,000 | 1,346,197 | ||||||
3.750%, 11/18/2019 | 18,200,000 | 18,063,500 | ||||||
5.125%, 09/30/2024 | 3,000,000 | 3,007,500 | ||||||
American Express Credit Corp., | ||||||||
0.764%, 08/15/2019 | 7,450,000 | 7,359,646 | ||||||
American International Group, Inc.: | ||||||||
6.400%, 12/15/2020 | 3,500,000 | 4,160,958 | ||||||
4.875%, 06/01/2022 | 10,625,000 | 11,654,743 | ||||||
3.875%, 01/15/2035 | 5,000,000 | 4,516,165 | ||||||
6.820%, 11/15/2037 | 4,173,000 | 5,172,888 | ||||||
AmSouth Bancorporation, | ||||||||
6.750%, 11/01/2025 | 710,000 | 836,064 | ||||||
ANZ New Zealand (Int'l) Ltd., | ||||||||
1.750%, 03/29/2018 (Acquired 03/24/2015, Cost $6,149,262) * f | 6,150,000 | 6,148,973 | ||||||
Associates Corp. of North America, | ||||||||
6.950%, 11/01/2018 | 12,038,000 | 13,849,526 | ||||||
Australia and New Zealand Banking Group Ltd., | ||||||||
4.500%, 03/19/2024 (Acquired 03/12/2014, Cost $8,987,760) * @ f | 9,000,000 | 9,050,067 | ||||||
Banco Santander (Brasil) SA, | ||||||||
4.625%, 02/13/2017 (Acquired 02/06/2012, Cost $994,140) * f | 1,000,000 | 1,027,300 | ||||||
Bank of America Corp.: | ||||||||
10.200%, 07/15/2015 | 2,675,000 | 2,681,198 | ||||||
6.875%, 04/25/2018 | 1,250,000 | 1,412,101 | ||||||
7.625%, 06/01/2019 | 7,735,000 | 9,178,947 | ||||||
3.300%, 01/11/2023 @ | 9,450,000 | 9,306,710 | ||||||
7.750%, 05/14/2038 | 725,000 | 965,327 | ||||||
BanPonce Trust I, | ||||||||
Series A, 8.327%, 02/01/2027 | 2,310,000 | 2,178,385 | ||||||
Barclays Bank PLC: | ||||||||
6.750%, 05/22/2019 f | 9,850,000 | 11,422,572 | ||||||
3.750%, 05/15/2024 @ f | 1,450,000 | 1,456,313 | ||||||
Barclays PLC: | ||||||||
2.750%, 11/08/2019 @ f | 7,000,000 | 6,949,572 | ||||||
3.650%, 03/16/2025 f | 8,000,000 | 7,566,384 | ||||||
BB&T Corp.: | ||||||||
2.450%, 01/15/2020 | 15,000,000 | 15,033,600 | ||||||
2.625%, 06/29/2020 | 13,000,000 | 13,028,847 | ||||||
Berkshire Hathaway Finance Corp., | ||||||||
4.400%, 05/15/2042 | 3,500,000 | 3,446,443 | ||||||
BNP Paribas: | ||||||||
0.736%, 05/07/2017 f | 6,500,000 | 6,504,244 | ||||||
2.375%, 09/14/2017 f | 3,000,000 | 3,044,934 | ||||||
5.000%, 01/15/2021 f | 5,000,000 | 5,523,940 | ||||||
3.250%, 03/03/2023 @ f | 4,000,000 | 3,970,000 | ||||||
BNZ International Funding Ltd., | ||||||||
2.350%, 03/04/2019 (Acquired 09/03/2014 through 11/03/2014, Cost $13,753,645) * f | 13,775,000 | 13,793,679 | ||||||
BOKF N.A., | ||||||||
0.964%, 05/15/2017 | 3,000,000 | 2,961,630 | ||||||
BPCE: | ||||||||
2.500%, 12/10/2018 f | 5,500,000 | 5,580,399 | ||||||
2.250%, 01/27/2020 @ f | 4,000,000 | 3,961,648 | ||||||
5.700%, 10/22/2023 (Acquired 10/15/2013 through 11/10/2014, Cost $30,042,257) * f | 28,500,000 | 30,042,306 | ||||||
Caisse Centrale Desjardins, | ||||||||
0.944%, 01/29/2018 (Acquired 01/26/2015, Cost $28,875,000) * f | 28,875,000 | 28,995,611 | ||||||
Capital One Bank (USA) National Association, | ||||||||
3.375%, 02/15/2023 | 22,082,000 | ��21,450,035 | ||||||
Capital One Financial Corp.: | ||||||||
6.150%, 09/01/2016 | 4,425,000 | 4,670,526 | ||||||
2.450%, 04/24/2019 | 3,975,000 | 3,975,413 | ||||||
Capital One NA, | ||||||||
1.650%, 02/05/2018 | 8,400,000 | 8,335,589 | ||||||
CIT Group, Inc.: | ||||||||
4.250%, 08/15/2017 | 1,000,000 | 1,015,000 | ||||||
5.500%, 02/15/2019 (Acquired 02/02/2012, Cost $500,000) * @ | 500,000 | 521,250 | ||||||
5.000%, 08/01/2023 | 5,000,000 | 4,925,000 | ||||||
Citigroup, Inc.: | ||||||||
4.450%, 01/10/2017 | 1,800,000 | 1,880,568 | ||||||
1.850%, 11/24/2017 @ | 11,500,000 | 11,528,060 | ||||||
1.700%, 04/27/2018 | 12,650,000 | 12,568,686 | ||||||
8.500%, 05/22/2019 | 1,389,000 | 1,694,159 | ||||||
2.400%, 02/18/2020 | 8,000,000 | 7,900,944 | ||||||
Citizens Bank, National Association, | ||||||||
2.450%, 12/04/2019 | 36,000,000 | 35,766,072 | ||||||
CNA Financial Corp.: | ||||||||
7.350%, 11/15/2019 | 1,175,000 | 1,388,865 | ||||||
5.875%, 08/15/2020 | 6,839,000 | 7,791,255 | ||||||
5.750%, 08/15/2021 | 4,477,000 | 5,069,446 | ||||||
7.250%, 11/15/2023 | 5,300,000 | 6,395,330 | ||||||
CNO Financial Group, Inc.: | ||||||||
4.500%, 05/30/2020 | 5,000,000 | 5,075,000 | ||||||
5.250%, 05/30/2025 | 10,000,000 | 10,162,000 | ||||||
Comerica Bank, | ||||||||
5.200%, 08/22/2017 | 5,980,000 | 6,378,376 | ||||||
Commonwealth Bank of Australia, | ||||||||
5.000%, 10/15/2019 (Acquired 03/02/2012 through 08/16/2012, Cost $6,220,229) * f | 5,900,000 | 6,572,860 | ||||||
Compass Bank: | ||||||||
2.750%, 09/29/2019 | 30,470,000 | 30,394,708 | ||||||
3.875%, 04/10/2025 | 10,200,000 | 9,602,831 | ||||||
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA, | ||||||||
1.700%, 03/19/2018 f | 5,250,000 | 5,262,968 | ||||||
Countrywide Financial Corp., | ||||||||
6.250%, 05/15/2016 | 2,100,000 | 2,182,457 | ||||||
Credit Mutuel-CIC Home Loan SFH, | ||||||||
1.500%, 11/16/2017 (Acquired 11/08/2012, Cost $4,981,300) * f | 5,000,000 | 5,021,715 | ||||||
Credit Suisse: | ||||||||
0.602%, 08/24/2015 f | 5,000,000 | 4,999,835 | ||||||
1.700%, 04/27/2018 f | 5,800,000 | 5,759,580 | ||||||
5.300%, 08/13/2019 f | 6,966,000 | 7,757,888 | ||||||
3.000%, 10/29/2021 f | 12,600,000 | 12,501,745 | ||||||
Credit Suisse Group Funding Guernsey Ltd., | ||||||||
3.750%, 03/26/2025 (Acquired 03/23/2015, Cost $14,964,000) * f | 15,000,000 | 14,440,095 | ||||||
Deutsche Bank AG: | ||||||||
0.957%, 02/13/2018 f | 9,000,000 | 8,964,972 | ||||||
1.875%, 02/13/2018 f | 8,000,000 | 7,975,520 | ||||||
Deutsche Bank Aktiengesellschaft, | ||||||||
3.250%, 01/11/2016 f | 2,000,000 | 2,023,684 | ||||||
Discover Bank: | ||||||||
8.700%, 11/18/2019 | 3,237,000 | 3,937,234 | ||||||
3.100%, 06/04/2020 | 12,000,000 | 11,988,060 | ||||||
Discover Financial Services, | ||||||||
3.950%, 11/06/2024 | 25,000,000 | 24,291,750 | ||||||
Dresdner Bank AG, | ||||||||
7.250%, 09/15/2015 f | 10,425,000 | 10,533,837 | ||||||
Fifth Third Bancorp, | ||||||||
0.701%, 12/20/2016 | 9,585,000 | 9,535,225 | ||||||
First Horizon National Corp., | ||||||||
5.375%, 12/15/2015 | 12,420,000 | 12,610,411 | ||||||
First Tennessee Bank National Association, | ||||||||
2.950%, 12/01/2019 | 12,000,000 | 11,994,036 | ||||||
FMR LLC: | ||||||||
4.950%, 02/01/2033 (Acquired 01/29/2013 through 12/23/2014, Cost $4,402,119) * | 4,235,000 | 4,389,654 | ||||||
6.500%, 12/14/2040 (Acquired 04/04/2013 through 10/28/2013, Cost $2,274,017) * @ | 1,820,000 | 2,236,667 | ||||||
General Electric Capital Corp.: | ||||||||
3.800%, 06/18/2019 (Acquired 01/07/2015, Cost $7,922,475) * | 7,500,000 | 7,930,920 | ||||||
5.500%, 01/08/2020 | 1,875,000 | 2,125,537 | ||||||
2.200%, 01/09/2020 @ | 10,000,000 | 9,997,160 | ||||||
5.550%, 05/04/2020 | 4,185,000 | 4,772,139 | ||||||
4.375%, 09/16/2020 | 2,925,000 | 3,185,062 | ||||||
5.300%, 02/11/2021 | 3,000,000 | 3,373,296 | ||||||
4.650%, 10/17/2021 | 8,450,000 | 9,258,285 | ||||||
Genworth Holdings, Inc., | ||||||||
7.625%, 09/24/2021 | 1,000,000 | 1,052,500 | ||||||
Goldman Sachs Capital I, | ||||||||
6.345%, 02/15/2034 | 125,000 | �� 144,980 | ||||||
Highmark, Inc., | ||||||||
4.750%, 05/15/2021 (Acquired 07/30/2014, Cost $7,853,984) * | 7,800,000 | 7,991,880 | ||||||
HSBC Bank USA, National Association, | ||||||||
6.000%, 08/09/2017 | 2,720,000 | 2,957,853 | ||||||
HSBC Finance Corp.: | ||||||||
5.500%, 01/19/2016 | 2,420,000 | 2,478,707 | ||||||
6.676%, 01/15/2021 | 24,693,000 | 28,567,430 | ||||||
HSBC USA, Inc., | ||||||||
2.350%, 03/05/2020 | 2,750,000 | 2,727,513 | ||||||
Humana, Inc., | ||||||||
7.200%, 06/15/2018 | 800,000 | 920,498 | ||||||
Huntington National Bank, | ||||||||
2.000%, 06/30/2018 | 13,000,000 | 13,012,753 | ||||||
ING Bank NV: | ||||||||
4.000%, 03/15/2016 (Acquired 03/08/2011 through 09/20/2011, Cost $1,599,574) * f | 1,600,000 | 1,634,208 | ||||||
3.750%, 03/07/2017 (Acquired 02/29/2012 through 04/24/2013, Cost $4,982,141) * f | 5,000,000 | 5,195,170 | ||||||
2.450%, 03/16/2020 (Acquired 03/10/2015, Cost $9,257,656) * f | 9,275,000 | 9,274,137 | ||||||
5.000%, 06/09/2021 (Acquired 10/12/2011, Cost $2,468,800) * f | 2,500,000 | 2,789,393 | ||||||
5.800%, 09/25/2023 (Acquired 01/14/2014, Cost $2,938,489) * f | 2,800,000 | 3,057,331 | ||||||
Invesco Finance PLC, | ||||||||
3.125%, 11/30/2022 f | 5,500,000 | 5,436,629 | ||||||
iStar Financial, Inc., | ||||||||
5.850%, 03/15/2017 | 500,000 | 513,125 | ||||||
J.P. Morgan Chase & Co.: | ||||||||
0.827%, 04/25/2018 | 2,300,000 | 2,301,203 | ||||||
2.200%, 10/22/2019 | 3,500,000 | 3,469,162 | ||||||
4.250%, 10/15/2020 | 8,100,000 | 8,661,030 | ||||||
4.350%, 08/15/2021 | 2,400,000 | 2,568,938 | ||||||
4.500%, 01/24/2022 | 4,400,000 | 4,715,361 | ||||||
3.200%, 01/25/2023 | 5,350,000 | 5,247,189 | ||||||
3.125%, 01/23/2025 | 21,850,000 | 20,861,419 | ||||||
Jefferies Group LLC, | ||||||||
6.450%, 06/08/2027 | 1,000,000 | 1,085,733 | ||||||
John Hancock Life Insurance Co., | ||||||||
7.375%, 02/15/2024 (Acquired 08/26/2010 through 04/11/2013, Cost $11,831,106) * | 9,765,000 | 11,975,679 | ||||||
Kemper Corp., | ||||||||
6.000%, 05/15/2017 | 1,000,000 | 1,066,282 | ||||||
KeyBank National Association: | ||||||||
5.450%, 03/03/2016 | 1,279,000 | 1,318,208 | ||||||
4.625%, 06/15/2018 | 2,670,000 | 2,762,596 | ||||||
2.250%, 03/16/2020 | 9,425,000 | 9,345,019 | ||||||
Kookmin Bank, | ||||||||
1.625%, 07/14/2017 (Acquired 07/07/2014, Cost $4,985,900) * f | 5,000,000 | 4,993,100 | ||||||
LeasePlan Corp. NV: | ||||||||
3.000%, 10/23/2017 (Acquired 10/15/2012 through 02/07/2013, Cost $10,033,047) * f | 10,000,000 | 10,207,710 | ||||||
2.500%, 05/16/2018 (Acquired 05/07/2013 through 04/15/2015, Cost $28,800,826) * f | 28,622,000 | 28,664,074 | ||||||
Liberty Mutual Group, Inc.: | ||||||||
6.500%, 03/15/2035 (Acquired 09/29/2008 through 04/16/2013, Cost $700,007) * | 700,000 | 818,557 | ||||||
10.750%, 06/15/2058 (Acquired 05/21/2008 through 05/06/2009, Cost $751,339) * | 900,000 | 1,359,000 | ||||||
Liberty Mutual Insurance Co., | ||||||||
7.697%, 10/15/2097 (Acquired 03/26/2003, Cost $240,082) * | 375,000 | 458,069 | ||||||
Lincoln National Corp.: | ||||||||
8.750%, 07/01/2019 | 7,801,000 | 9,564,393 | ||||||
6.050%, 04/20/2067 | 930,000 | 841,650 | ||||||
Lloyds Bank PLC: | ||||||||
4.200%, 03/28/2017 f | 2,000,000 | 2,098,930 | ||||||
0.825%, 05/14/2018 f | 3,200,000 | 3,204,477 | ||||||
5.800%, 01/13/2020 (Acquired 01/05/2010 through 01/19/2012, Cost $6,393,634) * f | 6,350,000 | 7,254,831 | ||||||
2.400%, 03/17/2020 f | 6,700,000 | 6,681,635 | ||||||
Macquarie Bank Ltd.: | ||||||||
2.000%, 08/15/2016 (Acquired 09/27/2013, Cost $3,508,143) * f | 3,500,000 | 3,535,070 | ||||||
0.907%, 10/27/2017 (Acquired 10/22/2014, Cost $8,000,000) * f | 8,000,000 | 8,014,384 | ||||||
1.600%, 10/27/2017 (Acquired 10/22/2014, Cost $7,595,364) * f | 7,600,000 | 7,596,557 | ||||||
2.400%, 01/21/2020 (Acquired 01/14/2015, Cost $12,971,400) * f | 13,000,000 | 12,943,593 | ||||||
Macquarie Group Ltd.: | ||||||||
4.875%, 08/10/2017 (Acquired 10/30/2014, Cost $1,061,268) * f | 1,000,000 | 1,056,790 | ||||||
7.625%, 08/13/2019 (Acquired 12/15/2014, Cost $2,921,467) * f | 2,467,000 | 2,883,686 | ||||||
Manufacturers & Traders Trust Co., | ||||||||
2.100%, 02/06/2020 | 8,000,000 | 7,882,000 | ||||||
Manufacturers And Traders Trust Co.: | ||||||||
6.625%, 12/04/2017 | 1,120,000 | 1,251,804 | ||||||
5.585%, 12/28/2020 | 7,114,000 | 7,233,508 | ||||||
Manulife Financial Corp., | ||||||||
4.900%, 09/17/2020 f | 2,784,000 | 3,086,067 | ||||||
Marsh & McLennan Companies, Inc., | ||||||||
4.800%, 07/15/2021 | 1,000,000 | 1,105,381 | ||||||
Massachusetts Mutual Life Insurance Co.: | ||||||||
7.625%, 11/15/2023 (Acquired 10/10/2012, Cost $4,109,621) * | 3,184,000 | 3,980,140 | ||||||
8.875%, 06/01/2039 (Acquired 10/03/2012 through 10/21/2014, Cost $39,124,530) * | 25,440,000 | 38,130,388 | ||||||
MBIA Insurance Corp., | ||||||||
11.535%, 01/15/2033 (Acquired 01/11/2008, Cost $700,000) * § | 700,000 | 332,500 | ||||||
MetLife Capital Trust IV, | ||||||||
7.875%, 12/15/2037 (Acquired 03/26/2012 through 04/05/2013, Cost $1,045,388) * | 900,000 | 1,130,400 | ||||||
MetLife, Inc.: | ||||||||
7.717%, 02/15/2019 | 1,157,000 | 1,380,033 | ||||||
4.050%, 03/01/2045 | 6,400,000 | 5,878,342 | ||||||
Metropolitan Life Global Funding I, | ||||||||
3.875%, 04/11/2022 (Acquired 12/18/2012, Cost $1,598,544) * | 1,500,000 | 1,576,190 | ||||||
Mizuho Bank Ltd.: | ||||||||
1.850%, 03/21/2018 (Acquired 03/14/2013, Cost $1,847,447) * f | 1,850,000 | 1,852,675 | ||||||
2.650%, 09/25/2019 (Acquired 09/18/2014, Cost $4,991,400) * f | 5,000,000 | 5,060,150 | ||||||
2.400%, 03/26/2020 (Acquired 03/19/2015, Cost $19,974,800) * f | 20,000,000 | 20,024,800 | ||||||
Morgan Stanley: | ||||||||
5.450%, 01/09/2017 | 2,000,000 | 2,119,400 | ||||||
6.625%, 04/01/2018 | 1,275,000 | 1,430,621 | ||||||
7.300%, 05/13/2019 | 4,675,000 | 5,500,035 | ||||||
2.375%, 07/23/2019 @ | 2,000,000 | 1,986,866 | ||||||
5.625%, 09/23/2019 | 10,100,000 | 11,317,999 | ||||||
2.650%, 01/27/2020 | 7,000,000 | 6,987,512 | ||||||
3.750%, 02/25/2023 | 1,000,000 | 1,011,140 | ||||||
3.700%, 10/23/2024 | 5,000,000 | 4,979,755 | ||||||
MUFG Americas Holdings Corp.: | ||||||||
2.250%, 02/10/2020 | 7,000,000 | 6,916,420 | ||||||
3.500%, 06/18/2022 | 1,150,000 | 1,165,541 | ||||||
National Australia Bank Ltd., | ||||||||
2.750%, 03/09/2017 @ f | 6,000,000 | 6,169,170 | ||||||
National City Bank, | ||||||||
5.800%, 06/07/2017 | 6,170,000 | 6,645,127 | ||||||
Nationwide Financial Services, Inc., | ||||||||
5.375%, 03/25/2021 (Acquired 02/05/2015 through 05/08/2015, Cost $16,659,688) * | 14,788,000 | 16,228,470 | ||||||
Nationwide Mutual Insurance Co., | ||||||||
7.875%, 04/01/2033 (Acquired 10/13/2009, Cost $90,929) * | 100,000 | 129,587 | ||||||
Navient LLC, | ||||||||
5.625%, 08/01/2033 | 50,000 | 40,500 | ||||||
New England Mutual Life Insurance Co., | ||||||||
7.875%, 02/15/2024 (Acquired 11/07/2012, Cost $4,157,515) * | 3,200,000 | 4,130,122 | ||||||
Nippon Life Insurance Co., | ||||||||
5.000%, 10/18/2042 (Acquired 10/11/2012, Cost $2,000,000) * f | 2,000,000 | 2,077,500 | ||||||
Nomura Holdings, Inc.: | ||||||||
2.000%, 09/13/2016 f | 3,000,000 | 3,021,858 | ||||||
2.750%, 03/19/2019 @ f | 11,268,000 | 11,372,127 | ||||||
6.700%, 03/04/2020 f | 2,525,000 | 2,961,535 | ||||||
Nordea Bank AB, | ||||||||
3.125%, 03/20/2017 (Acquired 03/14/2012 through 05/09/2012, Cost $8,017,239) * f | 8,000,000 | 8,257,104 | ||||||
Peachtree Corners Funding Trust, | ||||||||
3.976%, 02/15/2025 (Acquired 03/10/2015, Cost $16,000,000) * | 16,000,000 | 15,866,688 | ||||||
Principal Financial Group, Inc.: | ||||||||
3.300%, 09/15/2022 | 1,000,000 | 991,651 | ||||||
3.125%, 05/15/2023 | 3,550,000 | 3,446,880 | ||||||
Principal Life Global Funding II, | ||||||||
2.200%, 04/08/2020 (Acquired 03/31/2015, Cost $7,989,440) * | 8,000,000 | 7,901,080 | ||||||
Prudential Financial, Inc., | ||||||||
6.000%, 12/01/2017 | 2,000,000 | 2,206,832 | ||||||
Rabobank Nederland: | ||||||||
3.375%, 01/19/2017 f | 2,000,000 | 2,065,860 | ||||||
3.875%, 02/08/2022 f | 4,150,000 | 4,317,274 | ||||||
Raymond James Financial, Inc., | ||||||||
8.600%, 08/15/2019 | 14,527,000 | 17,737,743 | ||||||
Regions Bank, | ||||||||
7.500%, 05/15/2018 | 15,864,000 | 18,209,143 | ||||||
Reliance Standard Life Global Funding II: | ||||||||
2.500%, 01/15/2020 (Acquired 01/07/2015, Cost $13,952,260) * | 14,000,000 | 13,921,712 | ||||||
2.375%, 05/04/2020 (Acquired 04/27/2015, Cost $14,356,224) * | 14,400,000 | 14,258,923 | ||||||
Royal Bank of Canada, | ||||||||
0.536%, 10/13/2017 f | 9,000,000 | 8,999,838 | ||||||
Royal Bank of Scotland Group PLC, | ||||||||
2.550%, 09/18/2015 f | 4,225,000 | 4,236,813 | ||||||
Santander Bank NA, | ||||||||
8.750%, 05/30/2018 | 7,034,000 | 8,198,936 | ||||||
Santander Financial Issuances Ltd., | ||||||||
7.250%, 11/01/2015 f | 300,000 | 304,974 | ||||||
Santander UK PLC, | ||||||||
5.000%, 11/07/2023 (Acquired 10/31/2013 through 01/27/2015, Cost $24,426,042) * f | 22,975,000 | 23,509,950 | ||||||
Simon Property Group LP, | ||||||||
1.500%, 02/01/2018 (Acquired 12/10/2012, Cost $11,962,200) * | 12,000,000 | 11,977,104 | ||||||
Societe Generale: | ||||||||
5.200%, 04/15/2021 (Acquired 09/20/2011 through 02/13/2013, Cost $9,993,766) * @ f | 10,100,000 | 11,331,887 | ||||||
5.000%, 01/17/2024 (Acquired 01/14/2014, Cost $2,972,790) * f | 3,000,000 | 3,004,068 | ||||||
4.250%, 04/14/2025 (Acquired 04/08/2015, Cost $11,812,680) * f | 12,000,000 | 11,283,120 | ||||||
SpareBank 1 Boligkreditt AS, | ||||||||
1.750%, 11/15/2019 (Acquired 11/07/2012, Cost $4,961,150) * f | 5,000,000 | 4,936,510 | ||||||
Springleaf Finance Corp., | ||||||||
6.900%, 12/15/2017 @ | 1,000,000 | 1,060,000 | ||||||
Standard Chartered PLC: | ||||||||
1.700%, 04/17/2018 (Acquired 04/13/2015, Cost $9,988,900) * f | 10,000,000 | 9,958,800 | ||||||
5.700%, 03/26/2044 (Acquired 03/21/2014 through 05/01/2014, Cost $14,103,629) * f | 14,000,000 | 14,513,408 | ||||||
Stifel Financial Corp., | ||||||||
4.250%, 07/18/2024 | 13,115,000 | 12,958,433 | ||||||
Sumitomo Mitsui Banking Corp.: | ||||||||
2.250%, 07/11/2019 f | 12,050,000 | 12,012,392 | ||||||
2.450%, 01/16/2020 f | 12,200,000 | 12,227,731 | ||||||
3.000%, 01/18/2023 f | 2,500,000 | 2,441,662 | ||||||
SunTrust Bank: | ||||||||
0.572%, 08/24/2015 | 10,000,000 | 9,998,450 | ||||||
7.250%, 03/15/2018 | 5,682,000 | 6,462,230 | ||||||
SunTrust Banks, Inc., | ||||||||
3.500%, 01/20/2017 | 4,750,000 | 4,891,526 | ||||||
SUSA Partnership LP, | ||||||||
8.200%, 06/01/2017 | 1,000,000 | 1,117,351 | ||||||
Svenska Handelsbanken AB, | ||||||||
2.875%, 04/04/2017 @ f | 2,425,000 | 2,496,542 | ||||||
Swedbank AB, | ||||||||
2.125%, 09/29/2017 (Acquired 09/24/2012, Cost $2,995,470) * f | 3,000,000 | 3,034,695 | ||||||
Symetra Financial Corp., | ||||||||
6.125%, 04/01/2016 (Acquired 10/12/2010 through 12/12/2014, Cost $7,278,815) * | 7,127,000 | 7,339,149 | ||||||
Synchrony Financial: | ||||||||
3.750%, 08/15/2021 | 16,650,000 | 16,776,673 | ||||||
4.250%, 08/15/2024 | 24,225,000 | 24,329,047 | ||||||
TD Ameritrade Holding Corp., | ||||||||
5.600%, 12/01/2019 | 1,000,000 | 1,136,959 | ||||||
The Bank Of Nova Scotia, | ||||||||
1.700%, 06/11/2018 f | 15,325,000 | 15,330,977 | ||||||
The Bank of Tokyo-Mitsubishi UFJ Ltd.: | ||||||||
0.655%, 07/15/2016 f | 10,000,000 | 9,997,720 | ||||||
2.350%, 02/23/2017 (Acquired 02/14/2012, Cost $5,996,640) * f | 6,000,000 | 6,081,030 | ||||||
0.692%, 03/10/2017 (Acquired 10/08/2014 through 11/12/2014, Cost $7,257,734) * f | 7,250,000 | 7,244,563 | ||||||
2.300%, 03/05/2020 (Acquired 02/25/2015, Cost $7,844,819) * f | 7,850,000 | 7,816,551 | ||||||
The Bear Stearns Companies LLC, | ||||||||
7.250%, 02/01/2018 | 2,250,000 | 2,548,858 | ||||||
The Chubb Corp., | ||||||||
6.375%, 03/29/2067 | 1,320,000 | 1,384,680 | ||||||
The Goldman Sachs Group, Inc.: | ||||||||
5.950%, 01/18/2018 | 3,000,000 | 3,297,852 | ||||||
6.150%, 04/01/2018 | 6,500,000 | 7,227,220 | ||||||
7.500%, 02/15/2019 | 1,825,000 | 2,143,661 | ||||||
2.550%, 10/23/2019 | 4,000,000 | 4,009,376 | ||||||
5.250%, 07/27/2021 | 1,000,000 | 1,110,518 | ||||||
5.750%, 01/24/2022 | 8,100,000 | 9,213,499 | ||||||
1.884%, 11/29/2023 | 10,000,000 | 10,163,630 | ||||||
3.500%, 01/23/2025 | 9,250,000 | 8,970,595 | ||||||
6.750%, 10/01/2037 | 300,000 | 351,884 | ||||||
The Guardian Life Insurance Co. of America, | ||||||||
4.875%, 06/19/2064 (Acquired 06/16/2014, Cost $2,989,950) * | 3,000,000 | 2,919,108 | ||||||
The Hartford Financial Services Group, Inc.: | ||||||||
5.375%, 03/15/2017 | 2,913,000 | 3,095,499 | ||||||
5.125%, 04/15/2022 | 6,097,000 | 6,761,738 | ||||||
8.125%, 06/15/2038 | 1,365,000 | 1,533,919 | ||||||
The Royal Bank of Scotland PLC, | ||||||||
6.125%, 01/11/2021 f | 7,850,000 | 9,007,906 | ||||||
Torchmark Corp., | ||||||||
3.800%, 09/15/2022 | 1,275,000 | 1,301,030 | ||||||
UBS AG: | ||||||||
1.375%, 08/14/2017 f | 3,000,000 | 2,989,155 | ||||||
1.800%, 03/26/2018 f | 14,500,000 | 14,478,424 | ||||||
UnitedHealth Group, Inc., | ||||||||
6.000%, 02/15/2018 | 1,000,000 | 1,111,786 | ||||||
Voya Financial, Inc., | ||||||||
5.500%, 07/15/2022 | 22,944,000 | 25,762,418 | ||||||
Wells Fargo & Co.: | ||||||||
Series N, 2.150%, 01/30/2020 @ | 7,000,000 | 6,933,178 | ||||||
3.000%, 02/19/2025 | 5,000,000 | 4,788,695 | ||||||
Wells Fargo Bank, National Association, | ||||||||
6.000%, 11/15/2017 | 8,322,000 | 9,167,024 | ||||||
Westpac Banking Corp.: | ||||||||
2.000%, 08/14/2017 f | 8,000,000 | 8,111,064 | ||||||
4.875%, 11/19/2019 f | 636,000 | 705,085 | ||||||
Willis Group Holdings PLC, | ||||||||
5.750%, 03/15/2021 f | 12,475,000 | 13,994,842 | ||||||
Willis North America, Inc.: | ||||||||
5.625%, 07/15/2015 | 2,600,000 | 2,603,110 | ||||||
7.000%, 09/29/2019 | 16,003,000 | 18,234,330 | ||||||
1,789,402,474 | 21.0% |
Utility | ||||||||
Appalachian Power Co., | ||||||||
Series P, 6.700%, 08/15/2037 | 1,150,000 | 1,432,291 | ||||||
Arizona Public Service Co., | ||||||||
8.750%, 03/01/2019 | 1,150,000 | 1,409,907 | ||||||
Berkshire Hathaway Energy Co., | ||||||||
3.500%, 02/01/2025 | 7,000,000 | 6,970,768 | ||||||
CMS Energy Corp., | ||||||||
5.050%, 03/15/2022 | 1,000,000 | 1,100,463 | ||||||
Consolidated Edison Co. of New York, Inc., | ||||||||
4.625%, 12/01/2054 | 7,600,000 | 7,400,219 | ||||||
Dominion Resources Inc., | ||||||||
Series B, 5.950%, 06/15/2035 | 1,880,000 | 2,128,481 | ||||||
Dominion Resources, Inc., | ||||||||
2.500%, 12/01/2019 | 5,225,000 | 5,240,618 | ||||||
EDP Finance BV: | ||||||||
4.900%, 10/01/2019 (Acquired 02/04/2015, Cost $1,657,077) * f | 1,564,000 | 1,628,568 | ||||||
4.125%, 01/15/2020 (Acquired 03/03/2015 through 03/04/2015, Cost $9,150,049) * f | 8,816,000 | 8,901,568 | ||||||
ENEL Finance International NV, | ||||||||
6.800%, 09/15/2037 (Acquired 09/13/2007 through 09/29/2008, Cost $498,897) * f | 500,000 | 602,805 | ||||||
Exelon Corp.: | ||||||||
3.950%, 06/15/2025 | 6,050,000 | 6,085,695 | ||||||
5.100%, 06/15/2045 | 5,875,000 | 5,898,488 | ||||||
Exelon Generation Co. LLC: | ||||||||
6.200%, 10/01/2017 | 4,350,000 | 4,755,964 | ||||||
5.600%, 06/15/2042 | 6,100,000 | 6,207,012 | ||||||
IPALCO Enterprises, Inc., | ||||||||
5.000%, 05/01/2018 | 1,000,000 | 1,055,000 | ||||||
KeySpan Corp., | ||||||||
8.000%, 11/15/2030 | 1,875,000 | 2,531,044 | ||||||
Mega Advance Investments Ltd., | ||||||||
5.000%, 05/12/2021 (Acquired 05/09/2011 through 05/23/2012, Cost $2,810,323) * f | 2,800,000 | 3,006,360 | ||||||
National Rural Utilities Cooperative Finance Corp.: | ||||||||
10.375%, 11/01/2018 | 6,673,000 | 8,492,046 | ||||||
2.300%, 11/15/2019 | 5,000,000 | 5,024,005 | ||||||
2.850%, 01/27/2025 | 12,875,000 | 12,370,970 | ||||||
NextEra Energy Capital Holdings, Inc., | ||||||||
Series D, 7.300%, 09/01/2067 | 2,600,000 | 2,699,125 | ||||||
ONEOK, Inc., | ||||||||
4.250%, 02/01/2022 | 6,150,000 | 5,937,634 | ||||||
PPL Energy Supply LLC: | ||||||||
Series A, 5.700%, 10/15/2015 | 2,000,000 | 2,000,000 | ||||||
6.200%, 05/15/2016 | 3,070,000 | 3,154,229 | ||||||
PSEG Power LLC, | ||||||||
5.320%, 09/15/2016 | 3,077,000 | 3,221,948 | ||||||
Public Service Co. of New Mexico, | ||||||||
7.950%, 05/15/2018 | 6,553,000 | 7,625,569 | ||||||
RGS I&M Funding Corp., | ||||||||
Series F*, 9.820%, 06/07/2022 | 152,211 | 179,440 | ||||||
Talent Yield Investments Ltd., | ||||||||
4.500%, 04/25/2022 (Acquired 04/18/2012, Cost $5,958,960) * f | 6,000,000 | 6,186,000 | ||||||
123,246,217 | 1.4% | |||||||
Industrials | ||||||||
21st Century Fox America, Inc.: | ||||||||
6.900%, 03/01/2019 | 6,659,000 | 7,731,965 | ||||||
3.700%, 09/15/2024 @ | 4,025,000 | 4,055,055 | ||||||
6.150%, 03/01/2037 | 9,000,000 | 10,406,646 | ||||||
4.750%, 09/15/2044 @ | 1,950,000 | 1,906,655 | ||||||
A.P. Meoller - Maersk A/S: | ||||||||
2.550%, 09/22/2019 (Acquired 11/24/2014, Cost $10,059,155) * f | 10,000,000 | 10,068,900 | ||||||
3.750%, 09/22/2024 (Acquired 09/15/2014, Cost $4,459,830) * @ f | 4,475,000 | 4,566,782 | ||||||
AbbVie, Inc.: | ||||||||
1.750%, 11/06/2017 | 7,450,000 | 7,469,526 | ||||||
2.000%, 11/06/2018 | 10,835,000 | 10,839,778 | ||||||
3.200%, 11/06/2022 @ | 3,000,000 | 2,970,609 | ||||||
3.600%, 05/14/2025 @ | 2,500,000 | 2,470,988 | ||||||
Access Midstream Partners LP / ACMP Finance Corp., | ||||||||
6.125%, 07/15/2022 | 300,000 | 318,750 | ||||||
Acuity Brands Lighting, Inc., | ||||||||
6.000%, 12/15/2019 | 700,000 | 768,967 | ||||||
Agrium, Inc., | ||||||||
4.125%, 03/15/2035 f | 6,550,000 | 5,856,846 | ||||||
Alibaba Group Holding Ltd., | ||||||||
3.125%, 11/28/2021 (Acquired 11/20/2014, Cost $9,955,800) * f | 10,000,000 | 9,876,640 | ||||||
Altera Corp., | ||||||||
4.100%, 11/15/2023 | 3,000,000 | 3,155,709 | ||||||
Ameritech Capital Funding Corp., | ||||||||
6.450%, 01/15/2018 | 3,175,000 | 3,524,120 | ||||||
Amgen, Inc., | ||||||||
4.400%, 05/01/2045 | 8,000,000 | 7,371,904 | ||||||
Anadarko Petroleum Corp.: | ||||||||
5.950%, 09/15/2016 | 2,792,000 | 2,945,320 | ||||||
6.375%, 09/15/2017 | 968,000 | 1,062,287 | ||||||
8.700%, 03/15/2019 @ | 4,380,000 | 5,295,849 | ||||||
6.450%, 09/15/2036 @ | 4,025,000 | 4,644,367 | ||||||
Anglo American Capital PLC, | ||||||||
9.375%, 04/08/2019 (Acquired 09/20/2011 through 12/29/2014, Cost $6,641,262) * f | 5,600,000 | 6,819,215 | ||||||
ANR Pipeline Co., | ||||||||
9.625%, 11/01/2021 | 4,650,000 | 6,127,933 | ||||||
Apple, Inc., | ||||||||
2.150%, 02/09/2022 @ | 3,550,000 | 3,391,262 | ||||||
ArcelorMittal SA: | ||||||||
5.250%, 02/25/2017 f | 5,000,000 | 5,193,750 | ||||||
7.000%, 02/25/2022 @ f | 2,000,000 | 2,155,000 | ||||||
AT&T, Inc.: | ||||||||
6.300%, 01/15/2038 | 11,000,000 | 12,214,466 | ||||||
5.550%, 08/15/2041 @ | 1,000,000 | 1,024,570 | ||||||
Atlas Air Inc. Pass Through Trust, | ||||||||
Series 00-1, 8.707%, 01/02/2019 | 86,817 | 88,770 | ||||||
Ball Corp., | ||||||||
5.250%, 07/01/2025 | 25,000,000 | 24,718,750 | ||||||
Bayer US Finance LLC, | ||||||||
2.375%, 10/08/2019 (Acquired 10/01/2014, Cost $14,657,559) * | 14,725,000 | 14,777,230 | ||||||
Beam Suntory, Inc., | ||||||||
3.250%, 05/15/2022 | 2,000,000 | 1,967,116 | ||||||
Becton Dickinson and Co.: | ||||||||
6.375%, 08/01/2019 | 5,000,000 | 5,760,965 | ||||||
3.250%, 11/12/2020 | 13,000,000 | 13,346,190 | ||||||
3.875%, 05/15/2024 | 7,500,000 | 7,529,190 | ||||||
3.734%, 12/15/2024 @ | 4,900,000 | 4,883,516 | ||||||
Bemis Co., Inc., | ||||||||
4.500%, 10/15/2021 | 1,000,000 | 1,074,057 | ||||||
Boardwalk Pipelines LP, | ||||||||
4.950%, 12/15/2024 | 13,875,000 | 13,606,699 | ||||||
Boston Scientific Corp., | ||||||||
2.650%, 10/01/2018 | 10,000,000 | 10,144,050 | ||||||
BP Capital Markets: | ||||||||
0.911%, 09/26/2018 f | 5,000,000 | 5,012,355 | ||||||
4.750%, 03/10/2019 @ f | 1,500,000 | 1,641,243 | ||||||
Browning-Ferris Industries, Inc., | ||||||||
9.250%, 05/01/2021 | 1,600,000 | 2,072,835 | ||||||
Bunge Limited Finance Corp., | ||||||||
8.500%, 06/15/2019 | 13,690,000 | 16,549,403 | ||||||
Bunge NA Finance LP, | ||||||||
5.900%, 04/01/2017 | 4,024,000 | 4,298,630 | ||||||
Burlington Northern Santa Fe LLC, | ||||||||
4.150%, 04/01/2045 | 3,100,000 | 2,859,145 | ||||||
CenturyLink, Inc., | ||||||||
Series R, 5.150%, 06/15/2017 | 2,000,000 | 2,075,000 | ||||||
CF Industries, Inc.: | ||||||||
6.875%, 05/01/2018 | 5,000,000 | 5,628,705 | ||||||
3.450%, 06/01/2023 | 14,745,000 | 14,276,109 | ||||||
5.375%, 03/15/2044 | 5,000,000 | 4,971,765 | ||||||
Chesapeake Energy Corp.: | ||||||||
6.500%, 08/15/2017 @ | 3,544,000 | 3,628,170 | ||||||
3.525%, 04/15/2019 @ | 4,500,000 | 4,117,500 | ||||||
Cliffs Natural Resources, Inc., | ||||||||
5.950%, 01/15/2018 @ | 11,579,000 | 8,423,722 | ||||||
Columbia Pipeline Group, Inc.: | ||||||||
3.300%, 06/01/2020 (Acquired 06/10/2015, Cost $6,237,125) * | 6,250,000 | 6,274,381 | ||||||
4.500%, 06/01/2025 (Acquired 05/19/2015, Cost $9,984,700) * | 10,000,000 | 9,837,450 | ||||||
Comcast Cable Communications Holdings Inc., | ||||||||
9.455%, 11/15/2022 | 2,030,000 | 2,789,575 | ||||||
Comcast Corp.: | ||||||||
4.250%, 01/15/2033 | 5,900,000 | 5,762,011 | ||||||
4.400%, 08/15/2035 @ | 13,450,000 | 13,355,473 | ||||||
4.650%, 07/15/2042 | 2,000,000 | 2,005,060 | ||||||
Computer Sciences Corp., | ||||||||
4.450%, 09/15/2022 @ | 2,000,000 | 2,052,962 | ||||||
ConAgra Foods, Inc.: | ||||||||
5.819%, 06/15/2017 | 8,417,000 | 9,041,988 | ||||||
1.900%, 01/25/2018 | 13,569,000 | 13,366,835 | ||||||
7.000%, 04/15/2019 | 6,350,000 | 7,252,424 | ||||||
ConocoPhillips Canada Funding Co. I, | ||||||||
5.950%, 10/15/2036 f | 845,000 | 986,535 | ||||||
Constellation Brands, Inc., | ||||||||
4.750%, 11/15/2024 @ | 100,000 | 100,250 | ||||||
Continental Airlines Pass Through Trust, | ||||||||
Series 974A, 6.900%, 01/02/2018 | 21,308 | 22,267 | ||||||
Cox Communications, Inc.: | ||||||||
9.375%, 01/15/2019 (Acquired 10/06/2014, Cost $9,466,593) * | 7,670,000 | 9,363,774 | ||||||
2.950%, 06/30/2023 (Acquired 04/24/2013 through 12/29/2014, Cost $5,440,723) * @ | 5,475,000 | 5,045,930 | ||||||
3.850%, 02/01/2025 (Acquired 12/01/2014, Cost $4,616,999) * | 4,625,000 | 4,444,851 | ||||||
4.800%, 02/01/2035 (Acquired 12/01/2014, Cost $9,996,400) * | 10,000,000 | 9,230,570 | ||||||
4.700%, 12/15/2042 (Acquired 11/26/2012, Cost $4,999,050) * | 5,000,000 | 4,277,405 | ||||||
CSX Corp., | ||||||||
6.220%, 04/30/2040 | 175,000 | 213,907 | ||||||
D.R. Horton, Inc., | ||||||||
4.750%, 05/15/2017 | 1,447,000 | 1,501,262 | ||||||
Daimler Finance North America LLC, | ||||||||
1.875%, 01/11/2018 (Acquired 01/07/2013, Cost $2,116,139) * | 2,125,000 | 2,129,630 | ||||||
Danone, | ||||||||
3.000%, 06/15/2022 (Acquired 05/29/2012, Cost $3,489,465) * f | 3,500,000 | 3,462,781 | ||||||
DCP Midstream LLC: | ||||||||
9.750%, 03/15/2019 (Acquired 02/29/2012 through 06/25/2015, Cost $11,387,450) * | 9,655,000 | 11,203,846 | ||||||
4.750%, 09/30/2021 (Acquired 09/14/2011 through 11/18/2011, Cost $2,250,071) * | 2,245,000 | 2,218,291 | ||||||
Deutsche Telekom International Finance BV: | ||||||||
6.750%, 08/20/2018 f | 1,250,000 | 1,433,889 | ||||||
8.750%, 06/15/2030 f | 825,000 | 1,160,716 | ||||||
Devon Energy Corp., | ||||||||
6.300%, 01/15/2019 | 5,220,000 | 5,896,757 | ||||||
Devon Financing Corp. LLC, | ||||||||
7.875%, 09/30/2031 | 5,000,000 | 6,445,005 | ||||||
DISH DBS Corp., | ||||||||
5.000%, 03/15/2023 | 2,500,000 | 2,312,500 | ||||||
Dollar General Corp.: | ||||||||
4.125%, 07/15/2017 | 275,000 | 287,563 | ||||||
1.875%, 04/15/2018 | 2,100,000 | 2,090,340 | ||||||
Dominion Gas Holdings LLC, | ||||||||
3.600%, 12/15/2024 | 6,100,000 | 6,075,014 | ||||||
Eaton Corp.: | ||||||||
2.750%, 11/02/2022 | 2,500,000 | 2,431,570 | ||||||
4.000%, 11/02/2032 | 3,660,000 | 3,542,587 | ||||||
Ecolab, Inc., | ||||||||
1.450%, 12/08/2017 | 5,200,000 | 5,154,011 | ||||||
El Paso Pipeline Partners Operating Co. LLC, | ||||||||
7.500%, 11/15/2040 | 2,500,000 | 2,798,792 | ||||||
Encana Corp., | ||||||||
6.500%, 05/15/2019 f | 500,000 | 567,650 | ||||||
Energy Transfer Partners LP: | ||||||||
2.500%, 06/15/2018 | 5,700,000 | 5,708,687 | ||||||
9.700%, 03/15/2019 | 1,189,000 | 1,465,916 | ||||||
5.200%, 02/01/2022 | 1,000,000 | 1,047,026 | ||||||
3.600%, 02/01/2023 | 5,000,000 | 4,735,000 | ||||||
5.150%, 03/15/2045 | 5,000,000 | 4,417,770 | ||||||
EnLink Midstream Partners LP, | ||||||||
4.400%, 04/01/2024 | 7,000,000 | 7,018,837 | ||||||
Enogex LLC, | ||||||||
6.250%, 03/15/2020 (Acquired 10/25/2012 through 05/10/2013, Cost $3,527,049) * | 3,190,000 | 3,525,939 | ||||||
Ensco PLC, | ||||||||
5.200%, 03/15/2025 @ f | 6,000,000 | 5,940,390 | ||||||
Enterprise Products Operating LLC: | ||||||||
3.350%, 03/15/2023 | 10,000,000 | 9,766,240 | ||||||
3.750%, 02/15/2025 | 7,000,000 | 6,860,504 | ||||||
Express Scripts Holding Co.: | ||||||||
7.250%, 06/15/2019 | 4,600,000 | 5,425,893 | ||||||
4.750%, 11/15/2021 | 14,700,000 | 15,951,058 | ||||||
3.500%, 06/15/2024 @ | 7,500,000 | 7,335,405 | ||||||
FedEx Corp.: | ||||||||
8.000%, 01/15/2019 | 6,100,000 | 7,291,855 | ||||||
3.900%, 02/01/2035 @ | 7,000,000 | 6,471,388 | ||||||
Fidelity National Information Services, Inc.: | ||||||||
5.000%, 03/15/2022 | 9,345,000 | 9,864,311 | ||||||
3.500%, 04/15/2023 | 5,850,000 | 5,678,250 | ||||||
3.875%, 06/05/2024 | 23,522,000 | 23,213,391 | ||||||
Fiserv, Inc.: | ||||||||
4.625%, 10/01/2020 | 3,000,000 | 3,242,646 | ||||||
3.500%, 10/01/2022 | 11,500,000 | 11,447,560 | ||||||
3.850%, 06/01/2025 @ | 8,000,000 | 8,011,776 | ||||||
Florida Gas Transmission Co. LLC, | ||||||||
3.875%, 07/15/2022 (Acquired 06/12/2012, Cost $2,996,190) * | 3,000,000 | 3,030,183 | ||||||
Fomento Economico Mexicano SAB de CV: | ||||||||
2.875%, 05/10/2023 f | 11,700,000 | 11,038,248 | ||||||
4.375%, 05/10/2043 f | 4,000,000 | 3,709,960 | ||||||
Ford Motor Credit Co. LLC: | ||||||||
2.500%, 01/15/2016 | 2,000,000 | 2,016,160 | ||||||
4.207%, 04/15/2016 | 4,710,000 | 4,817,087 | ||||||
8.000%, 12/15/2016 | 2,000,000 | 2,178,818 | ||||||
3.000%, 06/12/2017 @ | 3,000,000 | 3,068,670 | ||||||
6.625%, 08/15/2017 | 1,063,000 | 1,166,199 | ||||||
2.145%, 01/09/2018 @ | 5,375,000 | 5,397,129 | ||||||
5.750%, 02/01/2021 | 13,000,000 | 14,589,263 | ||||||
Forest Laboratories, Inc.: | ||||||||
4.375%, 02/01/2019 (Acquired 10/20/2014, Cost $4,197,171) * | 4,000,000 | 4,233,388 | ||||||
5.000%, 12/15/2021 (Acquired 08/26/2014 through 01/22/2015, Cost $33,664,094) * | 31,212,000 | 33,869,140 | ||||||
Freeport-McMoran Oil & Gas LLC / FCX Oil & Gas, Inc.: | ||||||||
6.500%, 11/15/2020 | 6,337,000 | 6,701,378 | ||||||
6.625%, 05/01/2021 | 6,447,000 | 6,772,573 | ||||||
6.750%, 02/01/2022 | 2,649,000 | 2,807,940 | ||||||
Freeport-McMoRan, Inc.: | ||||||||
3.100%, 03/15/2020 @ | 3,800,000 | 3,746,507 | ||||||
3.550%, 03/01/2022 @ | 5,000,000 | 4,628,140 | ||||||
3.875%, 03/15/2023 @ | 8,000,000 | 7,267,416 | ||||||
General Mills, Inc., | ||||||||
2.200%, 10/21/2019 | 12,000,000 | 11,930,808 | ||||||
Georgia-Pacific LLC: | ||||||||
5.400%, 11/01/2020 (Acquired 10/27/2010, Cost $994,130) * | 1,000,000 | 1,116,279 | ||||||
3.163%, 11/15/2021 (Acquired 11/03/2014, Cost $19,999,800) * | 20,000,000 | 20,243,280 | ||||||
Glencore Finance (Canada) Ltd.: | ||||||||
4.950%, 11/15/2021 (Acquired 11/03/2011, Cost $1,997,480) * f | 2,000,000 | 2,100,302 | ||||||
4.250%, 10/25/2022 (Acquired 10/18/2012 through 05/22/2013, Cost $7,113,232) * f | 7,000,000 | 6,878,263 | ||||||
Glencore Funding LLC: | ||||||||
4.125%, 05/30/2023 (Acquired 05/22/2013 through 04/03/2014, Cost $15,416,213) * | 15,450,000 | 14,946,562 | ||||||
4.625%, 04/29/2024 (Acquired 10/08/2014, Cost $5,138,654) * | 5,000,000 | 4,955,520 | ||||||
Grupo Bimbo, SAB de CV, | ||||||||
3.875%, 06/27/2024 (Acquired 06/27/2014, Cost $7,010,552) * f | 7,000,000 | 6,976,690 | ||||||
GTE Corp., | ||||||||
8.750%, 11/01/2021 | 975,000 | 1,248,052 | ||||||
Gulf South Pipeline Co. LP, | ||||||||
4.000%, 06/15/2022 | 3,000,000 | 2,884,548 | ||||||
H. J. Heinz Co.: | ||||||||
4.250%, 10/15/2020 | 35,000,000 | 35,743,750 | ||||||
3.500%, 07/15/2022 (Acquired 06/23/2015 through 06/24/2015, Cost $16,982,780) * | 17,000,000 | 17,039,882 | ||||||
5.000%, 07/15/2035 (Acquired 06/23/2015, Cost $6,735,332) * | 6,800,000 | 6,881,736 | ||||||
H. J. Heinz Finance Co., | ||||||||
6.750%, 03/15/2032 | 10,000,000 | 11,750,000 | ||||||
Hanson Ltd., | ||||||||
6.125%, 08/15/2016 f | 15,157,000 | 15,786,016 | ||||||
HCA, Inc.: | ||||||||
4.250%, 10/15/2019 | 10,900,000 | 11,158,875 | ||||||
6.500%, 02/15/2020 @ | 5,000,000 | 5,587,500 | ||||||
5.000%, 03/15/2024 | 8,366,000 | 8,512,405 | ||||||
5.375%, 02/01/2025 | 24,950,000 | 25,356,685 | ||||||
Hess Corp., | ||||||||
8.125%, 02/15/2019 @ | 1,262,000 | 1,494,078 | ||||||
Hewlett-Packard Co.: | ||||||||
4.375%, 09/15/2021 | 10,000,000 | 10,383,120 | ||||||
4.650%, 12/09/2021 @ | 22,500,000 | 23,881,928 | ||||||
Hospira, Inc.: | ||||||||
6.050%, 03/30/2017 | 25,000,000 | 26,898,950 | ||||||
5.800%, 08/12/2023 | 7,938,000 | 9,239,181 | ||||||
Husky Energy, Inc., | ||||||||
4.000%, 04/15/2024 f | 1,605,000 | 1,580,233 | ||||||
Hutchison Whampoa International (09) Ltd., | ||||||||
7.625%, 04/09/2019 (Acquired 01/20/2015, Cost $2,394,833) * f | 2,000,000 | 2,364,870 | ||||||
Hutchison Whampoa International (09/16) Ltd., | ||||||||
4.625%, 09/11/2015 (Acquired 08/19/2010 through 12/28/2011, Cost $3,572,847) * f | 3,563,000 | 3,588,939 | ||||||
Hutchison Whampoa International (11) Ltd., | ||||||||
3.500%, 01/13/2017 (Acquired 01/10/2012 through 12/11/2014, Cost $4,050,907) * f | 4,000,000 | 4,122,400 | ||||||
Hutchison Whampoa International (12) (II) Ltd., | ||||||||
3.250%, 11/08/2022 (Acquired 11/05/2012 through 12/18/2014, Cost $4,603,093) * @ f | 4,625,000 | 4,601,403 | ||||||
Hutchison Whampoa International (14) Ltd., | ||||||||
3.625%, 10/31/2024 (Acquired 10/28/2014, Cost $14,982,600) * f | 15,000,000 | 14,756,445 | ||||||
Hyundai Capital Services, Inc.: | ||||||||
1.086%, 03/18/2017 (Acquired 03/11/2014, Cost $2,400,000) * f | 2,400,000 | 2,406,235 | ||||||
3.500%, 09/13/2017 (Acquired 03/06/2012 through 12/30/2014, Cost $12,834,121) * f | 12,470,000 | 12,911,949 | ||||||
2.625%, 09/29/2020 (Acquired 03/23/2015, Cost $8,986,320) * @ f | 9,000,000 | 8,961,975 | ||||||
Ingersoll-Rand Luxembourg Finance SA: | ||||||||
3.550%, 11/01/2024 f | 3,200,000 | 3,131,072 | ||||||
4.650%, 11/01/2044 @ f | 1,300,000 | 1,254,847 | ||||||
Ingredion, Inc., | ||||||||
1.800%, 09/25/2017 | 5,650,000 | 5,647,158 | ||||||
Johnson Controls, Inc., | ||||||||
5.250%, 12/01/2041 | 1,150,000 | 1,205,872 | ||||||
Kerr-McGee Corp., | ||||||||
7.875%, 09/15/2031 | 12,790,000 | 16,381,867 | ||||||
Keysight Technologies, Inc., | ||||||||
3.300%, 10/30/2019 (Acquired 10/06/2014, Cost $4,995,100) * | 5,000,000 | 5,017,280 | ||||||
Kinder Morgan Energy Partners LP: | ||||||||
9.000%, 02/01/2019 | 1,658,000 | 1,991,814 | ||||||
6.850%, 02/15/2020 @ | 4,645,000 | 5,363,753 | ||||||
6.500%, 02/01/2037 | 400,000 | 412,532 | ||||||
6.950%, 01/15/2038 | 350,000 | 376,140 | ||||||
Kinder Morgan Finance Co. LLC: | ||||||||
5.700%, 01/05/2016 @ | 2,536,000 | 2,592,122 | ||||||
6.000%, 01/15/2018 (Acquired 12/06/2010, Cost $999,930) * | 1,000,000 | 1,083,435 | ||||||
Kinder Morgan, Inc.: | ||||||||
3.050%, 12/01/2019 | 7,000,000 | 6,992,251 | ||||||
5.000%, 02/15/2021 (Acquired 05/26/2015, Cost $5,359,757) * | 5,000,000 | 5,289,620 | ||||||
Kinross Gold Corp., | ||||||||
6.875%, 09/01/2041 f | 5,500,000 | 4,950,083 | ||||||
Kraft Foods Group, Inc., | ||||||||
5.000%, 06/04/2042 | 5,000,000 | 4,982,610 | ||||||
Lafarge SA: | ||||||||
6.200%, 07/09/2015 (Acquired 10/01/2013, Cost $500,421) * f | 500,000 | 499,775 | ||||||
6.500%, 07/15/2016 f | 4,843,000 | 5,073,042 | ||||||
7.125%, 07/15/2036 f | 1,325,000 | 1,586,688 | ||||||
Lear Corp., | ||||||||
5.250%, 01/15/2025 | 20,000,000 | 19,650,000 | ||||||
Magellan Midstream Partners LP, | ||||||||
4.200%, 03/15/2045 | 3,000,000 | 2,666,151 | ||||||
Marathon Oil Corp., | ||||||||
2.800%, 11/01/2022 @ | 10,175,000 | 9,644,638 | ||||||
Marathon Petroleum Corp.: | ||||||||
3.625%, 09/15/2024 @ | 2,500,000 | 2,454,520 | ||||||
4.750%, 09/15/2044 | 2,375,000 | 2,167,653 | ||||||
Martin Marietta Materials, Inc.: | ||||||||
6.600%, 04/15/2018 | 475,000 | 531,685 | ||||||
6.250%, 05/01/2037 | 450,000 | 454,994 | ||||||
Masco Corp.: | ||||||||
6.125%, 10/03/2016 | 10,900,000 | 11,472,250 | ||||||
7.125%, 03/15/2020 | 1,800,000 | 2,088,000 | ||||||
MeadWestvaco Corp., | ||||||||
7.375%, 09/01/2019 @ | 6,650,000 | 7,792,064 | ||||||
Medtronic, Inc.: | ||||||||
2.500%, 03/15/2020 (Acquired 12/01/2014, Cost $4,994,950) * | 5,000,000 | 5,008,350 | ||||||
4.375%, 03/15/2035 (Acquired 12/01/2014, Cost $6,938,190) * | 7,000,000 | 6,946,275 | ||||||
Molex Electronic Technologies LLC, | ||||||||
2.878%, 04/15/2020 (Acquired 04/01/2015, Cost $5,000,000) * | 5,000,000 | 4,923,260 | ||||||
MPLX LP, | ||||||||
4.000%, 02/15/2025 | 3,000,000 | 2,927,013 | ||||||
Murphy Oil Corp., | ||||||||
4.000%, 06/01/2022 | 12,600,000 | 11,908,474 | ||||||
Mylan, Inc.: | ||||||||
7.875%, 07/15/2020 (Acquired 07/16/2013, Cost $5,208,296) * | 5,000,000 | 5,208,625 | ||||||
4.200%, 11/29/2023 | 4,525,000 | 4,618,527 | ||||||
Nabors Industries, Inc., | ||||||||
6.150%, 02/15/2018 | �� 250,000 | 269,960 | ||||||
National Oilwell Varco, Inc., | ||||||||
Series B, 6.125%, 08/15/2015 | 2,655,000 | 2,656,784 | ||||||
Nationwide Building Society, | ||||||||
2.350%, 01/21/2020 (Acquired 01/12/2015, Cost $13,770,454) * f | 13,775,000 | 13,726,774 | ||||||
New Cingular Wireless Services, Inc., | ||||||||
8.750%, 03/01/2031 | 3,300,000 | 4,581,746 | ||||||
Noble Energy, Inc.: | ||||||||
3.900%, 11/15/2024 | 3,000,000 | 2,957,886 | ||||||
5.050%, 11/15/2044 | 3,000,000 | 2,874,381 | ||||||
Noble Holding International Ltd., | ||||||||
4.000%, 03/16/2018 f | 7,000,000 | 7,166,698 | ||||||
Northern Tier Energy LLC / Northern Tier Finance Corp., | ||||||||
7.125%, 11/15/2020 | 15,935,000 | 16,413,050 | ||||||
NuStar Logistics LP: | ||||||||
4.800%, 09/01/2020 | 4,275,000 | 4,317,750 | ||||||
6.750%, 02/01/2021 | 3,000,000 | 3,232,500 | ||||||
Oi SA, | ||||||||
5.750%, 02/10/2022 (Acquired 02/06/2012, Cost $3,000,000) * @ f | 3,000,000 | 2,598,750 | ||||||
ONEOK Partners LP: | ||||||||
3.375%, 10/01/2022 | 9,500,000 | 8,739,630 | ||||||
5.000%, 09/15/2023 @ | 5,800,000 | 5,871,363 | ||||||
Oracle Corp.: | ||||||||
3.400%, 07/08/2024 | 8,850,000 | 8,872,567 | ||||||
3.900%, 05/15/2035 | 7,425,000 | 6,905,191 | ||||||
Owens Corning, | ||||||||
4.200%, 12/01/2024 | 10,000,000 | 9,815,680 | ||||||
Packaging Corporation of America, | ||||||||
4.500%, 11/01/2023 | 4,700,000 | 4,847,091 | ||||||
Pactiv LLC, | ||||||||
7.950%, 12/15/2025 | 1,338,000 | 1,324,620 | ||||||
PCCW-HKT Capital No. 3 Ltd., | ||||||||
5.250%, 07/20/2015 (Acquired 09/29/2008 through 12/20/2010, Cost $775,181) * f | 775,000 | 776,321 | ||||||
Pearson Funding Two PLC, | ||||||||
4.000%, 05/17/2016 (Acquired 10/03/2014, Cost $2,766,392) * f | 2,700,000 | 2,763,496 | ||||||
Pentair Finance S.A., | ||||||||
2.650%, 12/01/2019 f | 5,000,000 | 4,955,700 | ||||||
Pepsico, Inc., | ||||||||
4.250%, 10/22/2044 | 2,850,000 | 2,794,377 | ||||||
Petrofac Ltd., | ||||||||
3.400%, 10/10/2018 (Acquired 10/03/2013 through 04/17/2015, Cost $31,233,181) * f | 31,200,000 | 30,870,341 | ||||||
PetroLogistics LP / PetroLogistics Finance Corp., | ||||||||
6.250%, 04/01/2020 | 2,225,000 | 2,378,948 | ||||||
Phillips 66: | ||||||||
4.300%, 04/01/2022 | 6,168,000 | 6,473,100 | ||||||
4.650%, 11/15/2034 @ | 13,000,000 | 12,717,666 | ||||||
4.875%, 11/15/2044 | 15,000,000 | 14,326,995 | ||||||
Phillips 66 Partners LP, | ||||||||
4.680%, 02/15/2045 | 2,000,000 | 1,760,636 | ||||||
Pioneer Natural Resources Co., | ||||||||
6.875%, 05/01/2018 | 14,075,000 | 15,803,720 | ||||||
Plum Creek Timberlands LP: | ||||||||
5.875%, 11/15/2015 | 4,775,000 | 4,856,495 | ||||||
4.700%, 03/15/2021 | 1,200,000 | 1,284,612 | ||||||
3.250%, 03/15/2023 | 8,375,000 | 8,069,170 | ||||||
POSCO, | ||||||||
4.250%, 10/28/2020 (Acquired 10/21/2010, Cost $2,165,365) * f | 2,175,000 | 2,321,158 | ||||||
Qualcomm, Inc., | ||||||||
3.000%, 05/20/2022 | 5,500,000 | 5,462,721 | ||||||
Qwest Capital Funding, Inc., | ||||||||
7.625%, 08/03/2021 | 200,000 | 215,000 | ||||||
R.R. Donnelley & Sons Co.: | ||||||||
8.600%, 08/15/2016 | 1,250,000 | 1,343,750 | ||||||
6.125%, 01/15/2017 | 76,000 | 78,280 | ||||||
Reliance Holding USA, Inc.: | ||||||||
4.500%, 10/19/2020 (Acquired 10/14/2010 through 10/18/2010, Cost $1,988,700) * | 2,000,000 | 2,118,334 | ||||||
5.400%, 02/14/2022 (Acquired 02/09/2012 through 02/23/2012, Cost $3,513,190) * | 3,500,000 | 3,774,148 | ||||||
Republic Services, Inc.: | ||||||||
5.500%, 09/15/2019 | 13,000,000 | 14,520,402 | ||||||
3.550%, 06/01/2022 | 4,000,000 | 4,051,840 | ||||||
4.750%, 05/15/2023 | 13,459,000 | 14,572,867 | ||||||
Rio Tinto Finance (USA) Ltd., | ||||||||
9.000%, 05/01/2019 f | 11,000,000 | 13,730,937 | ||||||
Rockies Express Pipeline LLC: | ||||||||
6.850%, 07/15/2018 (Acquired 12/21/2011, Cost $2,020,989) * | 2,000,000 | 2,132,500 | ||||||
5.625%, 04/15/2020 (Acquired 12/10/2010 through 12/29/2011, Cost $2,699,654) * | 2,695,000 | 2,755,638 | ||||||
Rockwood Specialties Group, Inc., | ||||||||
4.625%, 10/15/2020 | 31,454,000 | 32,751,478 | ||||||
SABMiller Holdings, Inc., | ||||||||
0.968%, 08/01/2018 (Acquired 10/16/2014, Cost $15,065,839) * | 15,000,000 | 15,040,560 | ||||||
Samarco Mineracao SA: | ||||||||
5.750%, 10/24/2023 (Acquired 10/21/2013 through 12/09/2014, Cost $5,319,197) * f | 5,475,000 | 5,420,250 | ||||||
5.375%, 09/26/2024 (Acquired 09/23/2014 through 12/09/2014, Cost $4,846,597) * f | 5,125,000 | 4,894,375 | ||||||
Schneider Electric SE, | ||||||||
2.950%, 09/27/2022 (Acquired 09/20/2012, Cost $4,986,700) * f | 5,000,000 | 4,944,785 | ||||||
SK Telecom Co. Ltd., | ||||||||
6.625%, 07/20/2027 (Acquired 07/13/2007 through 04/30/2013, Cost $994,429) * f | 960,000 | 1,222,944 | ||||||
Sonoco Products Co., | ||||||||
4.375%, 11/01/2021 | 1,000,000 | 1,057,991 | ||||||
Spectra Energy Partners LP, | ||||||||
3.500%, 03/15/2025 | 15,000,000 | 14,365,005 | ||||||
Sprint Capital Corp.: | ||||||||
6.900%, 05/01/2019 | 675,000 | 688,500 | ||||||
8.750%, 03/15/2032 | 325,000 | 316,063 | ||||||
Sprint Communications, Inc., | ||||||||
6.000%, 12/01/2016 | 200,000 | 205,500 | ||||||
Sunoco Logistics Partners Operations LP: | ||||||||
3.450%, 01/15/2023 | 2,000,000 | 1,892,728 | ||||||
6.100%, 02/15/2042 | 1,000,000 | 1,024,786 | ||||||
Sunoco, Inc., | ||||||||
5.750%, 01/15/2017 | 701,000 | 738,495 | ||||||
Targa Resources Partners LP, | ||||||||
4.125%, 11/15/2019 (Acquired 10/23/2014 through 10/27/2014, Cost $7,031,250) * | 7,000,000 | 6,930,000 | ||||||
TC PipeLines LP, | ||||||||
4.375%, 03/13/2025 | 15,000,000 | 14,816,775 | ||||||
Telecom Italia Capital: | ||||||||
5.250%, 10/01/2015 f | 4,250,000 | 4,285,488 | ||||||
7.175%, 06/18/2019 f | 500,000 | 561,875 | ||||||
7.200%, 07/18/2036 f | 2,900,000 | 3,168,250 | ||||||
Telecom Italia SPA, | ||||||||
5.303%, 05/30/2024 (Acquired 05/22/2014 through 01/06/2015, Cost $20,179,342) * @ f | 20,000,000 | 19,925,000 | ||||||
Telefonica Emisiones SAU: | ||||||||
6.421%, 06/20/2016 f | 3,950,000 | 4,130,104 | ||||||
6.221%, 07/03/2017 f | 8,942,000 | 9,719,391 | ||||||
5.462%, 02/16/2021 f | 2,402,000 | 2,656,004 | ||||||
4.570%, 04/27/2023 f | 1,000,000 | 1,050,074 | ||||||
7.045%, 06/20/2036 f | 4,925,000 | 6,048,599 | ||||||
Tenet Healthcare Corp., | ||||||||
6.750%, 06/15/2023 (Acquired 06/02/2015, Cost $995,000) * | 1,000,000 | 1,020,000 | ||||||
The ADT Corp.: | ||||||||
2.250%, 07/15/2017 | 22,960,000 | 22,734,992 | ||||||
4.125%, 04/15/2019 @ | 3,000,000 | 3,045,000 | ||||||
3.500%, 07/15/2022 @ | 1,900,000 | 1,719,500 | ||||||
The Dow Chemical Co.: | ||||||||
8.550%, 05/15/2019 | 14,800,000 | 18,044,648 | ||||||
4.125%, 11/15/2021 | 835,000 | 875,830 | ||||||
The Williams Companies, Inc.: | ||||||||
7.875%, 09/01/2021 | 1,335,000 | 1,567,127 | ||||||
3.700%, 01/15/2023 | 3,000,000 | 2,793,330 | ||||||
Series A, 7.500%, 01/15/2031 | 120,000 | 131,330 | ||||||
7.750%, 06/15/2031 | 3,500,000 | 3,906,528 | ||||||
5.750%, 06/24/2044 | 2,500,000 | 2,319,933 | ||||||
Thermo Fisher Scientific, Inc., | ||||||||
3.300%, 02/15/2022 | 7,000,000 | 6,917,274 | ||||||
Time Warner Cable, Inc.: | ||||||||
8.750%, 02/14/2019 | 1,132,000 | 1,344,422 | ||||||
8.250%, 04/01/2019 | 35,000 | 41,163 | ||||||
Time Warner Co., Inc., | ||||||||
7.250%, 10/15/2017 | 2,300,000 | 2,592,783 | ||||||
Time Warner, Inc.: | ||||||||
7.625%, 04/15/2031 @ | 13,375,000 | 17,391,967 | ||||||
7.700%, 05/01/2032 | 7,908,000 | 10,388,091 | ||||||
4.850%, 07/15/2045 @ | 12,000,000 | 11,641,440 | ||||||
Timken Co., | ||||||||
3.875%, 09/01/2024 | 18,500,000 | 17,907,445 | ||||||
Transcontinental Gas Pipe Line Co. LLC, | ||||||||
4.450%, 08/01/2042 | 2,600,000 | 2,178,283 | ||||||
Transocean, Inc.: | ||||||||
6.500%, 11/15/2020 @ f | 9,500,000 | 8,799,375 | ||||||
6.875%, 12/15/2021 @ f | 5,500,000 | 4,950,000 | ||||||
4.300%, 10/15/2022 @ f | 5,000,000 | 3,762,500 | ||||||
6.800%, 03/15/2038 @ f | 878,000 | 656,305 | ||||||
TSMC Global Ltd., | ||||||||
1.625%, 04/03/2018 (Acquired 03/27/2013 through 01/05/2015, Cost $20,123,530) * f | 20,330,000 | 20,097,404 | ||||||
TTX Co., | ||||||||
3.900%, 02/01/2045 (Acquired 01/26/2015, Cost $25,121,134) * | 25,325,000 | 22,184,143 | ||||||
Tyco Electronics Group SA: | ||||||||
6.550%, 10/01/2017 f | 5,243,000 | 5,817,538 | ||||||
7.125%, 10/01/2037 f | 500,000 | 643,701 | ||||||
Ultramar Diamond Shamrock Corp., | ||||||||
7.200%, 10/15/2017 | 7,100,000 | 7,851,208 | ||||||
Union Pacific Corp., | ||||||||
3.375%, 02/01/2035 | 6,000,000 | 5,333,916 | ||||||
United AirLines, Inc. Pass Through Trust, | ||||||||
Series 91A2, 10.020%, 03/22/2014 ** § † | 54,769 | 15,883 | ||||||
US Airways Pass Through Trust, | ||||||||
Series 981B, 7.350%, 01/30/2018 | 281,258 | 300,243 | ||||||
Vale Overseas Ltd.: | ||||||||
6.250%, 01/23/2017 @ f | 3,850,000 | 4,071,683 | ||||||
4.375%, 01/11/2022 @ f | 2,700,000 | 2,637,771 | ||||||
8.250%, 01/17/2034 f | 425,000 | 472,349 | ||||||
6.875%, 11/10/2039 f | 13,425,000 | 12,920,220 | ||||||
Valero Energy Corp.: | ||||||||
9.375%, 03/15/2019 | 19,606,000 | 24,128,830 | ||||||
6.625%, 06/15/2037 | 5,000,000 | 5,647,055 | ||||||
Verisk Analytics, Inc., | ||||||||
4.000%, 06/15/2025 | 10,000,000 | 9,793,040 | ||||||
Verizon Communications, Inc.: | ||||||||
6.400%, 09/15/2033 | 25,675,000 | 29,422,009 | ||||||
4.272%, 01/15/2036 (Acquired 09/11/2013 through 10/22/2014, Cost $17,804,678) * | 19,649,000 | 17,724,754 | ||||||
Viacom, Inc., | ||||||||
2.750%, 12/15/2019 | 10,000,000 | 9,999,200 | ||||||
Viterra, Inc., | ||||||||
5.950%, 08/01/2020 (Acquired 03/18/2015, Cost $7,733,968) * f | 7,000,000 | 7,695,730 | ||||||
Vodafone Group PLC, | ||||||||
6.150%, 02/27/2037 f | 500,000 | 533,981 | ||||||
Vrx Escrow Corp., | ||||||||
5.875%, 05/15/2023 (Acquired 05/12/2015, Cost $5,105,135) * f | 5,000,000 | 5,125,000 | ||||||
Vulcan Materials Co.: | ||||||||
7.000%, 06/15/2018 | 2,435,000 | 2,751,550 | ||||||
4.500%, 04/01/2025 | 3,000,000 | 2,992,500 | ||||||
7.150%, 11/30/2037 | 500,000 | 545,000 | ||||||
Walgreen Co., | ||||||||
5.250%, 01/15/2019 @ | 10,000,000 | 10,964,940 | ||||||
Walgreens Boots Alliance, Inc., | ||||||||
3.800%, 11/18/2024 @ | 10,000,000 | 9,793,780 | ||||||
Wal-Mart Stores, Inc., | ||||||||
3.300%, 04/22/2024 | 12,000,000 | 12,141,516 | ||||||
Waste Management, Inc., | ||||||||
3.900%, 03/01/2035 | 5,000,000 | 4,584,525 | ||||||
Weatherford International Ltd.: | ||||||||
4.500%, 04/15/2022 f | 5,020,000 | 4,714,111 | ||||||
6.750%, 09/15/2040 f | 1,250,000 | 1,155,835 | ||||||
Western Gas Partners LP, | ||||||||
5.375%, 06/01/2021 | 18,000,000 | 19,429,236 | ||||||
Westvaco Corp.: | ||||||||
9.750%, 06/15/2020 | 930,000 | 1,176,904 | ||||||
8.200%, 01/15/2030 | 2,790,000 | 3,762,814 | ||||||
Weyerhaeuser Co., | ||||||||
7.375%, 10/01/2019 | 11,865,000 | 14,044,909 | ||||||
Williams Partners LP: | ||||||||
5.250%, 03/15/2020 | 2,000,000 | 2,173,876 | ||||||
6.300%, 04/15/2040 | 1,590,000 | 1,615,187 | ||||||
Woodside Finance Ltd., | ||||||||
3.650%, 03/05/2025 (Acquired 02/26/2015, Cost $14,991,300) * f | 15,000,000 | 14,405,580 | ||||||
WPX Energy, Inc., | ||||||||
6.000%, 01/15/2022 @ | 4,000,000 | 3,950,000 | ||||||
Wynn Las Vegas LLC / Wynn Las Vegas Capital Corp., | ||||||||
4.250%, 05/30/2023 (Acquired 05/15/2013, Cost $4,000,000) * | 4,000,000 | 3,680,000 | ||||||
Xerox Corp., | ||||||||
6.750%, 02/01/2017 | 3,953,000 | 4,258,136 | ||||||
Yara International ASA, | ||||||||
7.875%, 06/11/2019 (Acquired 12/03/2012 through 10/31/2013, Cost $6,973,678) * f | 5,880,000 | 6,860,555 | ||||||
2,177,944,637 | 25.5% | |||||||
Total Corporate Bonds | 4,090,593,328 | 47.9% |
Other Government Related Securities | ||||||||
Centrais Eletricas Brasileiras SA: | ||||||||
6.875%, 07/30/2019 (Acquired 12/06/2012, Cost $3,330,035) * @ f | 3,000,000 | 3,051,000 | ||||||
5.750%, 10/27/2021 (Acquired 10/20/2011, Cost $4,000,000) * f | 4,000,000 | 3,700,000 | ||||||
CNOOC Curtis Funding No.1 Pty Ltd., | ||||||||
4.500%, 10/03/2023 (Acquired 02/26/2014, Cost $5,037,055) * @ f | 5,000,000 | 5,253,915 | ||||||
CNOOC Finance 2013 Ltd., | ||||||||
3.000%, 05/09/2023 f | 2,415,000 | 2,287,889 | ||||||
CNOOC Ltd., | ||||||||
3.500%, 05/05/2025 | 21,075,000 | 20,272,000 | ||||||
CNOOC Nexen Finance (2014) ULC, | ||||||||
4.250%, 04/30/2024 f | 4,450,000 | 4,544,554 | ||||||
CNPC General Capital Ltd., | ||||||||
2.750%, 05/14/2019 (Acquired 05/07/2014, Cost $1,983,740) * f | 2,000,000 | 1,999,464 | ||||||
CNPC HK Overseas Capital Ltd., | ||||||||
5.950%, 04/28/2041 (Acquired 04/20/2011, Cost $978,120) * f | 1,000,000 | 1,165,229 | ||||||
Comision Federal de Electricidad, | ||||||||
5.750%, 02/14/2042 (Acquired 02/08/2012, Cost $5,116,800) * f | 5,200,000 | 5,078,216 | ||||||
Corp Andina de Fomento, | ||||||||
4.375%, 06/15/2022 f | 3,956,000 | 4,277,093 | ||||||
Eksportfinans ASA, | ||||||||
2.000%, 09/15/2015 f | 12,813,000 | 12,819,406 | ||||||
Export-Import Bank of Korea: | ||||||||
2.250%, 01/21/2020 f | 14,000,000 | 13,864,494 | ||||||
4.000%, 01/29/2021 f | 2,400,000 | 2,555,467 | ||||||
Korea Electric Power Corp., | ||||||||
6.750%, 08/01/2027 f | 490,000 | 610,860 | ||||||
Korea Expressway Corp., | ||||||||
1.625%, 04/28/2017 (Acquired 04/22/2014 through 02/12/2015, Cost $2,942,070) * f | 2,950,000 | 2,948,944 | ||||||
Korea Hydro & Nuclear Power Co. Ltd., | ||||||||
3.125%, 09/16/2015 (Acquired 09/09/2010, Cost $493,770) * f | 500,000 | 502,360 | ||||||
Korea National Oil Corp., | ||||||||
3.125%, 04/03/2017 (Acquired 02/18/2015, Cost $8,287,863) * f | 8,100,000 | 8,309,134 | ||||||
Nexen Energy ULC, | ||||||||
7.500%, 07/30/2039 f | 6,175,000 | 8,223,612 | ||||||
Petrobras Global Finance BV, | ||||||||
3.000%, 01/15/2019 f | 3,000,000 | 2,772,480 | ||||||
Petrobras International Finance Co. SA: | ||||||||
3.875%, 01/27/2016 f | 5,800,000 | 5,824,766 | ||||||
7.875%, 03/15/2019 @ f | 5,000,000 | 5,311,050 | ||||||
5.375%, 01/27/2021 f | 3,200,000 | 3,077,760 | ||||||
Petroleos Mexicanos: | ||||||||
4.875%, 01/24/2022 @ f | 6,500,000 | 6,759,155 | ||||||
4.250%, 01/15/2025 (Acquired 10/06/2014 through 10/24/2014, Cost $14,998,413) * f | 15,000,000 | 14,608,500 | ||||||
4.500%, 01/23/2026 (Acquired 01/15/2015, Cost $4,491,900) * f | 4,500,000 | 4,398,300 | ||||||
6.500%, 06/02/2041 @ f | 4,000,000 | 4,160,000 | ||||||
Portigon AG, | ||||||||
4.796%, 07/15/2015 f | 1,885,000 | 1,885,060 | ||||||
PTT PCL, | ||||||||
3.375%, 10/25/2022 (Acquired 10/19/2012, Cost $4,958,500) * f | 5,000,000 | 4,885,380 | ||||||
Sinopec Group Overseas Development [2014] Ltd., | ||||||||
4.375%, 04/10/2024 (Acquired 04/02/2014, Cost $1,496,505) * f | 1,500,000 | 1,573,230 | ||||||
Sinopec Group Overseas Development [2015] Ltd.: | ||||||||
2.500%, 04/28/2020 (Acquired 04/21/2015, Cost $19,915,200) * f | 20,000,000 | 19,698,800 | ||||||
3.250%, 04/28/2025 (Acquired 04/21/2015, Cost $19,804,400) * @ f | 20,000,000 | 19,220,260 | ||||||
State Bank of India, | ||||||||
4.125%, 08/01/2017 (Acquired 07/25/2012, Cost $6,939,800) * f | 7,000,000 | 7,273,280 | ||||||
The Korea Development Bank: | ||||||||
2.250%, 05/18/2020 @ f | 7,200,000 | 7,153,798 | ||||||
3.000%, 09/14/2022 f | 4,400,000 | 4,388,181 | ||||||
214,453,637 | 2.5% |
Taxable Municipal Bonds | ||||||||
Bellevue Union School District, | ||||||||
5.000%, 08/01/2028 | 625,000 | 655,925 | ||||||
California Qualified School Bond Joint Powers Authority: | ||||||||
6.739%, 09/01/2026 | 2,415,000 | 2,772,275 | ||||||
7.155%, 03/01/2027 | 1,700,000 | 1,994,440 | ||||||
California School Finance Authority, | ||||||||
5.041%, 07/01/2020 | 1,500,000 | 1,638,420 | ||||||
Central Valley Support Joint Powers Agency, | ||||||||
5.676%, 09/01/2024 | 1,500,000 | 1,686,210 | ||||||
City of Weyauwega WI Sewerage System Revenue, | ||||||||
3.150%, 05/01/2017 (Callable 05/01/2016) | 5,700,000 | 5,693,844 | ||||||
City of Williston ND, | ||||||||
3.100%, 07/15/2025 (Callable 07/15/2016) | 12,000,000 | 11,979,480 | ||||||
Colton Joint Unified School District, | ||||||||
6.008%, 08/01/2026 | 1,250,000 | 1,442,937 | ||||||
County of Contra Costa CA, | ||||||||
5.140%, 06/01/2017 | 1,300,000 | 1,363,063 | ||||||
Elgin Local School District, | ||||||||
5.499%, 08/31/2027 (Callable 12/01/2019) | 1,000,000 | 1,067,870 | ||||||
Government Development Bank for Puerto Rico, | ||||||||
4.704%, 05/01/2016 | 875,000 | 507,518 | ||||||
Iowa Tobacco Settlement Authority, | ||||||||
6.500%, 06/01/2023 (Callable 06/01/2015) | 2,535,000 | 2,499,510 | ||||||
New Hampshire Housing Finance Authority: | ||||||||
3.100%, 07/01/2021 | 1,825,000 | 1,874,604 | ||||||
3.750%, 07/01/2034 (Callable 07/01/2023) | 6,915,000 | 7,284,745 | ||||||
New Jersey Economic Development Authority, | ||||||||
1.802%, 06/15/2017 | 15,000,000 | 14,907,150 | ||||||
North Carolina Housing Finance Agency: | ||||||||
2.870%, 07/01/2032 (Callable 01/01/2024) | 6,115,000 | 6,253,077 | ||||||
2.812%, 07/01/2035 (Callable 01/01/2024) | 8,125,000 | 8,357,212 | ||||||
North East Independent School District/TX, | ||||||||
5.240%, 08/01/2027 | 3,000,000 | 3,387,150 | ||||||
Port of Oakland, | ||||||||
5.000%, 11/01/2020 (Callable 11/01/2017) | 2,900,000 | 3,149,197 | ||||||
Rhode Island Housing & Mortgage Finance Corp., | ||||||||
2.913%, 10/01/2039 (Callable 10/01/2023) | 3,125,000 | 3,078,531 | ||||||
San Dieguito Public Facilities Authority, | ||||||||
6.459%, 05/01/2027 | 1,825,000 | 2,224,091 | ||||||
State of Illinois: | ||||||||
4.961%, 03/01/2016 | 2,000,000 | 2,047,040 | ||||||
5.163%, 02/01/2018 | 3,000,000 | 3,153,690 | ||||||
State Public School Building Authority, | ||||||||
5.000%, 09/15/2027 | 1,998,000 | 2,102,136 | ||||||
Three Rivers Local School District, | ||||||||
5.209%, 09/15/2027 (Callable 12/01/2020) | 1,350,000 | 1,414,490 | ||||||
Town of Davie FL Water & Sewer Revenue, | ||||||||
6.599%, 10/01/2030 (Callable 10/01/2020) | 1,000,000 | 1,172,130 | ||||||
West Contra Costa Unified School District, | ||||||||
6.250%, 08/01/2030 | 4,320,000 | 4,979,232 | ||||||
Westlake City School District, | ||||||||
5.227%, 12/01/2026 (Callable 12/01/2020) | 1,160,000 | 1,199,254 | ||||||
99,885,221 | 1.2% | |||||||
Residential Mortgage-Backed Securities | ||||||||
U.S. Government Agency Issues | ||||||||
Fannie Mae REMIC Trust, | ||||||||
Series 2004-W6, Class 1A6, 5.500%, 07/25/2034 | 120,804 | 122,929 | ||||||
Federal Gold Loan Mortgage Corp. (FGLMC): | ||||||||
5.000%, 12/01/2020 | 53,127 | 56,582 | ||||||
5.000%, 05/01/2021 | 98,462 | 104,979 | ||||||
6.000%, 06/01/2021 | 19,993 | 21,934 | ||||||
3.000%, 05/01/2027 | 10,794,590 | 11,194,461 | ||||||
6.500%, 12/01/2028 | 30,717 | 35,179 | ||||||
6.500%, 06/01/2029 | 13,565 | 15,881 | ||||||
5.000%, 03/01/2036 | 8,882,215 | 9,819,000 | ||||||
5.500%, 04/01/2037 | 279,057 | 312,212 | ||||||
5.500%, 04/01/2038 | 156,302 | 174,872 | ||||||
5.500%, 05/01/2038 | 324,601 | 363,308 | ||||||
4.500%, 11/01/2039 | 1,644,915 | 1,780,039 | ||||||
4.500%, 11/01/2039 | 5,199,438 | 5,626,523 | ||||||
4.500%, 08/01/2040 | 5,290,268 | 5,725,920 | ||||||
4.500%, 08/01/2040 | 7,592,345 | 8,217,918 | ||||||
3.500%, 06/01/2042 | 11,662,873 | 12,026,916 | ||||||
3.500%, 07/01/2042 | 41,104,174 | 42,386,096 | ||||||
3.000%, 08/01/2042 | 33,379,168 | 33,287,612 | ||||||
3.000%, 02/01/2043 | 10,648,793 | 10,619,559 | ||||||
3.000%, 04/01/2043 | 20,170,569 | 20,110,563 | ||||||
3.000%, 06/01/2043 | 17,755,283 | 17,696,261 | ||||||
3.000%, 08/01/2043 | 27,146,328 | 27,049,560 | ||||||
3.500%, 07/01/2044 | 29,791,630 | 30,682,699 | ||||||
3.500%, 08/01/2044 | 50,639,480 | 52,154,108 | ||||||
4.000%, 09/01/2044 | 32,750,266 | 34,658,504 | ||||||
4.000%, 10/01/2044 | 39,594,053 | 42,081,166 | ||||||
4.000%, 02/01/2045 | 34,179,077 | 36,225,024 | ||||||
3.500%, 06/01/2045 | 23,757,227 | 24,537,667 | ||||||
Federal Home Loan Mortgage Corp. (FHLMC): | ||||||||
Series 1053, Class G, 7.000%, 03/15/2021 | 2,790 | 3,175 | ||||||
Series 136, Class E, 6.000%, 04/15/2021 | 6,173 | 6,553 | ||||||
Series 1122, Class G, 7.000%, 08/15/2021 | 7,628 | 8,318 | ||||||
Series 1186, Class I, 7.000%, 12/15/2021 | 15,029 | 16,866 | ||||||
Federal National Mortgage Association (FNMA): | ||||||||
Series 1989-94, Class G, 7.500%, 12/25/2019 | 3,815 | 4,127 | ||||||
Series 1990-15, Class J, 7.000%, 02/25/2020 | 9,646 | 10,247 | ||||||
Series 1991-21, Class J, 7.000%, 03/25/2021 | 2,602 | 2,842 | ||||||
Series 1991-43, Class J, 7.000%, 05/25/2021 | 42,929 | 47,397 | ||||||
Series 1991-65, Class Z, 6.500%, 06/25/2021 | 43,503 | 46,314 | ||||||
Series 2804, Class VC, 5.000%, 07/15/2021 | 135,751 | 144,921 | ||||||
5.000%, 11/01/2021 | 353,284 | 376,355 | ||||||
Series 1992-129, Class L, 6.000%, 07/25/2022 | 91,167 | 98,760 | ||||||
5.500%, 03/01/2023 | 215,812 | 242,042 | ||||||
Series 1993-32, Class H, 6.000%, 03/25/2023 | 21,298 | 23,166 | ||||||
Series 1993-58, Class H, 5.500%, 04/25/2023 | 103,800 | 113,856 | ||||||
5.500%, 07/01/2023 | 108,122 | 121,291 | ||||||
5.500%, 12/01/2023 | 155,213 | 174,145 | ||||||
6.000%, 03/01/2026 | 33,532 | 38,028 | ||||||
5.000%, 06/01/2026 | 7,936,091 | 8,555,106 | ||||||
3.000%, 04/01/2027 | 20,078,298 | 20,851,111 | ||||||
2.500%, 12/01/2027 | 29,212,567 | 29,786,446 | ||||||
5.000%, 05/01/2028 | 92,351 | 101,869 | ||||||
6.500%, 09/01/2028 | 23,273 | 26,727 | ||||||
6.500%, 02/01/2029 | 50,988 | 59,114 | ||||||
4.500%, 07/01/2030 | 9,978,246 | 10,792,903 | ||||||
4.000%, 11/01/2031 | 39,443,779 | 42,208,206 | ||||||
5.500%, 01/01/2032 | 20,698 | 23,342 | ||||||
5.000%, 09/01/2033 | 27,897,156 | 30,894,104 | ||||||
4.500%, 10/01/2033 | 55,189,352 | 60,126,326 | ||||||
4.000%, 01/01/2034 | 25,604,877 | 27,414,602 | ||||||
5.500%, 04/01/2034 | 1,598,963 | 1,803,146 | ||||||
5.500%, 04/01/2034 | 1,517,698 | 1,709,088 | ||||||
Series 2004-90, Class LH, 5.000%, 04/25/2034 | 2,418,000 | 2,551,072 | ||||||
4.000%, 09/01/2034 | 35,561,945 | 38,067,267 | ||||||
5.500%, 09/01/2034 | 49,986 | 56,366 | ||||||
5.000%, 02/01/2035 | 35,509,039 | 39,323,913 | ||||||
5.000%, 02/01/2035 | 40,204,676 | 44,563,608 | ||||||
5.500%, 02/01/2035 | 24,697 | 27,813 | ||||||
5.000%, 04/01/2035 | 2,905,719 | 3,218,243 | ||||||
5.000%, 07/01/2035 | 8,487,313 | 9,410,073 | ||||||
5.000%, 02/01/2036 | 5,432,274 | 6,008,357 | ||||||
5.000%, 03/01/2036 | 2,447,240 | 2,703,024 | ||||||
5.500%, 04/01/2036 | 8,182,966 | 9,177,145 | ||||||
6.000%, 08/01/2037 | 110,878 | 121,941 | ||||||
6.000%, 05/01/2038 | 14,539,046 | 16,522,787 | ||||||
5.000%, 06/01/2040 | 34,300,696 | 37,909,132 | ||||||
4.000%, 08/01/2040 | 2,253,691 | 2,394,917 | ||||||
4.500%, 08/01/2040 | 29,399,263 | 31,856,587 | ||||||
4.500%, 08/01/2040 | 11,200,397 | 12,136,875 | ||||||
4.000%, 10/01/2040 | 1,563,762 | 1,661,989 | ||||||
4.000%, 12/01/2040 | 6,433,150 | 6,878,913 | ||||||
3.500%, 01/01/2041 | 3,652,665 | 3,773,987 | ||||||
4.000%, 01/01/2041 | 8,447,860 | 8,997,928 | ||||||
3.500%, 02/01/2041 | 4,042,048 | 4,176,041 | ||||||
3.500%, 03/01/2041 | 30,872,443 | 31,895,942 | ||||||
4.500%, 07/01/2041 | 14,620,552 | 15,845,250 | ||||||
3.500%, 09/01/2041 | 63,612,458 | 65,723,225 | ||||||
4.000%, 09/01/2041 | 7,365,207 | 7,841,576 | ||||||
3.500%, 11/01/2041 | 35,251,946 | 36,433,728 | ||||||
4.000%, 12/01/2041 | 30,955,982 | 32,947,401 | ||||||
4.500%, 01/01/2042 | 24,584,826 | 26,627,770 | ||||||
3.000%, 05/01/2042 | 5,572,712 | 5,581,911 | ||||||
3.500%, 06/01/2042 | 11,919,217 | 12,320,953 | ||||||
3.500%, 08/01/2042 | 19,287,320 | 19,938,980 | ||||||
3.000%, 03/01/2043 | 10,610,549 | 10,624,759 | ||||||
3.000%, 05/01/2043 | 44,778,047 | 44,817,197 | ||||||
3.000%, 06/01/2043 | 45,761,440 | 45,794,469 | ||||||
3.000%, 08/01/2043 | 12,731,482 | 12,734,751 | ||||||
4.500%, 09/01/2043 | 17,270,289 | 18,697,372 | ||||||
4.000%, 01/01/2045 | 32,471,698 | 34,534,357 | ||||||
Government National Mortgage Association (GNMA): | ||||||||
6.000%, 12/20/2028 | 34,476 | 39,419 | ||||||
6.500%, 01/20/2029 | 16,670 | 19,660 | ||||||
6.000%, 11/20/2033 | 25,688 | 29,534 | ||||||
5.000%, 07/20/2040 | 1,626,070 | 1,811,098 | ||||||
4.000%, 06/20/2042 | 29,292,299 | 31,198,772 | ||||||
3.500%, 09/20/2042 | 16,828,192 | 17,514,580 | ||||||
3.500%, 04/20/2045 | 56,668,209 | 59,117,935 | ||||||
4.000%, 05/20/2045 | 48,478,076 | 51,691,585 | ||||||
1,528,238,167 | 17.9% |
Non-U.S. Government Agency Issues | ||||||||
Alternative Loan Trust: | ||||||||
Series 2005-3CB, Class 2A1, 5.000%, 03/25/2020 | 2,047,032 | 2,069,392 | ||||||
Series 2005-50CB, Class 4A1, 5.000%, 11/25/2020 § | 517,887 | 518,651 | ||||||
Series 2005-85CB, Class 3A1, 5.250%, 02/25/2021 (Acquired 06/29/2015, Cost $20,418) * | 20,996 | 20,416 | ||||||
Series 2006-7CB, Class 3A1, 5.250%, 05/25/2021 § | 608,237 | 591,574 | ||||||
Series 2006-43CB, Class 2A1, 6.000%, 02/25/2022 § | 453,667 | 493,248 | ||||||
Series 2004-18CB, Class 1A1, 6.000%, 09/25/2034 | 12,252,045 | 12,870,822 | ||||||
Series 2005-11CB, Class 2A6, 5.500%, 06/25/2035 § | 12,789,844 | 12,817,547 | ||||||
Series 2005-49CB, Class A5, 5.500%, 11/25/2035 § | 5,724,807 | 5,485,974 | ||||||
Series 2005-73CB, Class 1A7, 5.500%, 01/25/2036 § | 806,438 | 761,917 | ||||||
Series 2005-85CB, Class 2A2, 5.500%, 02/25/2036 § | 6,771,106 | 6,443,127 | ||||||
Series 2006-28CB, Class A17, 6.000%, 10/25/2036 § | 881,407 | 722,317 | ||||||
Banc of America Alternative Loan Trust: | ||||||||
Series 2003-11, Class 4A1, 4.750%, 01/25/2019 | 16,283 | 16,414 | ||||||
Series 2004-1, Class 5A2, 5.500%, 02/25/2019 | 780,936 | 802,749 | ||||||
Series 2004-2, Class 5A1, 5.500%, 03/25/2019 | 178,951 | 182,292 | ||||||
Series 2004-8, Class 3A1, 5.500%, 09/25/2019 § | 1,060,373 | 1,039,353 | ||||||
Series 2004-11, Class 4A1, 5.500%, 12/25/2019 | 8,330 | 8,551 | ||||||
Series 2005-2, Class 4A1, 5.500%, 03/25/2020 | 745,783 | 767,545 | ||||||
Series 2005-4, Class 3A1, 5.500%, 05/25/2020 | 576,761 | 583,689 | ||||||
Series 2005-8, Class 5A1, 5.500%, 09/25/2020 § | 146,011 | 145,592 | ||||||
Series 2006-2, Class 6A1, 5.500%, 03/25/2021 | 148,944 | 152,734 | ||||||
Series 2007-1, Class 1A1, 5.937%, 04/25/2022 | 627,648 | 629,232 | ||||||
Series 2004-2, Class 1A1, 6.000%, 03/25/2034 | 3,960,636 | 4,140,798 | ||||||
Series 2005-2, Class 1CB2, 5.500%, 03/25/2035 § | 1,811,777 | 1,679,512 | ||||||
Series 2005-9, Class 2CB1, 6.000%, 10/25/2035 § | 12,046,169 | 11,613,555 | ||||||
Series 2006-3, Class 6A1, 6.000%, 04/25/2036 | 214,321 | 219,869 | ||||||
Series 2007-C, Class 1A3, 5.308%, 05/20/2036 | 6,962,362 | 6,483,483 | ||||||
Series 2006-4, Class 3CB4, 6.000%, 05/25/2046 | 53,675 | 45,108 | ||||||
Series 2006-5, Class CB7, 6.000%, 06/25/2046 § | 524,444 | 447,175 | ||||||
Series 2007-C, Class 7A5, 0.487%, 05/20/2047 | 6,490,740 | 5,390,313 | ||||||
Banc of America Mortgage Trust, | ||||||||
Series 2003-L, Class 2A1, 2.664%, 01/25/2034 | 4,727,996 | 4,723,897 | ||||||
Bank of America Alternative Loan Trust: | ||||||||
Series 2004-6, Class 4A1, 5.000%, 07/25/2019 | 5,339,157 | 5,486,133 | ||||||
Series 2005-9, Class 1CB3, 5.500%, 10/25/2035 | 35,690 | 32,613 | ||||||
Chase Mortgage Finance Trust: | ||||||||
Series 2006-A1, Class 2A3, 2.525%, 09/25/2036 § | 1,557,516 | 1,378,047 | ||||||
Series 2007-A1, Class 3A1, 2.543%, 02/25/2037 | 5,217,407 | 5,207,500 | ||||||
Series 2007-A1, Class 2A3, 2.642%, 02/25/2037 | 4,738,669 | 4,745,308 | ||||||
CHL Mortgage Pass-Through Trust, | ||||||||
Series 2005-6, Class 2A1, 5.500%, 04/25/2035 | 1,069,666 | 1,057,475 | ||||||
Citicorp Mortgage Securities Trust, | ||||||||
Series 2007-2, Class 1A3, 6.000%, 02/25/2037 | 2,342,744 | 2,400,701 | ||||||
Citicorp Residential Mortgage Trust, | ||||||||
Series 2007-1, Class A6, 5.702%, 03/25/2037 | 384,354 | 400,734 | ||||||
Citigroup Mortgage Loan Trust, Inc.: | ||||||||
Series 2006-AR1, Class 1A1, 2.570%, 10/25/2035 § | 35,840,219 | 35,359,207 | ||||||
Series 2005-9, Class 2A2, 5.500%, 11/25/2035 § | 128,843 | 127,731 | ||||||
Series 2005-9, Class 22A2, 6.000%, 11/25/2035 § | 7,618,223 | 7,249,806 | ||||||
Countrywide Alternative Loan Trust, | ||||||||
Series 2006-J5, Class 3A1, 4.969%, 07/25/2021 | 28,384 | 28,209 | ||||||
Credit Suisse First Boston Mortgage Securities Corp., | ||||||||
Series 2005-7, Class 3A1, 5.000%, 08/25/2020 | 429,681 | 428,822 | ||||||
Deutsche Alt-A Securities Inc Mortgage Loan Trust, | ||||||||
Series 2005-3, Class 4A5, 5.250%, 06/25/2035 | 2,975,751 | 3,023,503 | ||||||
Deutsche Alt-A Securities Mortgage Loan Trust: | ||||||||
Series 2006-AR5, Class 21A, 6.000%, 10/25/2021 | 452,623 | 395,682 | ||||||
Series 2006-AF1, Class A3, 0.367%, 04/25/2036 § | 5,113,802 | 5,040,746 | ||||||
First Frankin Mortgage Loan Trust: | ||||||||
Series 2006-FF3, Class A2B, 0.387%, 02/25/2036 | 19,742,904 | 18,981,874 | ||||||
Series 2006-FF4, Class A2, 0.375%, 03/25/2036 | 7,028,611 | 6,764,497 | ||||||
First Horizon Alternative Mortgage Securities Trust: | ||||||||
Series 2006-FA6, Class 3A1, 5.750%, 11/25/2021 | 194,581 | 194,805 | ||||||
Series 2004-AA1, Class A1, 2.219%, 06/25/2034 | 10,714,589 | 10,495,486 | ||||||
Series 2005-AA2, Class 2A1, 2.298%, 04/25/2035 | 5,221,914 | 5,134,437 | ||||||
Series 2006-FA8, Class 2A1, 5.750%, 02/25/2037 § | 673,244 | 581,309 | ||||||
GSAA Home Equity Trust, | ||||||||
Series 2007-8, Class A3, 0.637%, 08/25/2037 | 13,623,243 | 12,328,490 | ||||||
GSR Mortgage Loan Trust: | ||||||||
Series 2004-15F, Class 5A1, 5.500%, 01/25/2020 | 1,143,358 | 1,170,026 | ||||||
Series 2005-3F, Class 2A4, 6.000%, 03/25/2035 | 6,241,324 | 6,441,514 | ||||||
Series 2005-AR2, Class 2A1, 2.719%, 04/25/2035 | 8,591,969 | 8,540,581 | ||||||
J.P. Morgan Alternative Loan Trust: | ||||||||
Series 2005-S1, Class 3A1, 5.500%, 10/25/2020 | 2,069,114 | 2,055,787 | ||||||
Series 2006-A1, Class 2A1, 2.524%, 03/25/2036 § | 156,910 | 128,178 | ||||||
Series 2006-S3, Class A3A, 6.000%, 08/25/2036 § | 1,225,470 | 1,166,750 | ||||||
Series 2007-S1, Class A1, 0.467%, 04/25/2047 | 12,958,028 | 11,668,523 | ||||||
J.P. Morgan Mortgage Trust: | ||||||||
Series 2006-S3, Class 2A3, 5.000%, 08/25/2021 | 291,270 | 290,087 | ||||||
Series 2006-A2, Class 2A1, 2.631%, 04/25/2036 § | 3,428,284 | 3,122,299 | ||||||
Series 2006-A2, Class 3A3, 5.192%, 04/25/2036 § | 4,118,006 | 3,812,735 | ||||||
Series 2006-A7, Class 2A2, 2.559%, 01/25/2037 § | 5,194,206 | 4,764,723 | ||||||
Series 2006-A7, Class 2A4R, 2.559%, 01/25/2037 § | 4,668,827 | 4,282,785 | ||||||
Series 2007-A2, Class 2A3, 2.565%, 04/25/2037 § | 9,963,473 | 8,921,812 | ||||||
Series 2007-A4, Class 2A3, 2.773%, 06/25/2037 § | 11,276,881 | 10,352,865 | ||||||
MASTR Alternative Loan Trust: | ||||||||
Series 2004-1, Class 1A1, 5.000%, 01/25/2019 | 125,149 | 126,920 | ||||||
Series 2004-5, Class 4A1, 5.500%, 07/25/2019 | 375,789 | 389,084 | ||||||
Series 2005-3, Class 4A1, 5.500%, 03/25/2020 | 746,385 | 771,389 | ||||||
Series 2003-5, Class 6A1, 6.000%, 08/25/2033 | 59,901 | 63,807 | ||||||
Series 2004-2, Class 2A1, 6.000%, 02/25/2034 | 5,640,191 | 6,039,922 | ||||||
Series 2004-8, Class 2A1, 6.000%, 09/25/2034 | 4,613,103 | 4,722,489 | ||||||
Series 2005-6, Class 1A5, 5.500%, 12/25/2035 § | 5,649,124 | 4,998,610 | ||||||
Merrill Lynch Mortgage Investors Trust, | ||||||||
Series 2004-F, Class A1B, 0.807%, 12/25/2029 | 16,607,098 | 15,967,476 | ||||||
RALI Series Trust: | ||||||||
Series 2004-QS3, Class CB, 5.000%, 03/25/2019 | 1,360,167 | 1,391,082 | ||||||
Series 2004-QS13, Class CB, 5.000%, 09/25/2019 | 1,200,900 | 1,212,657 | ||||||
Series 2004-QS5, Class A5, 4.750%, 04/25/2034 | 5,772 | 5,882 | ||||||
Series 2004-QS16, Class 1A1, 5.500%, 12/25/2034 | 3,045,336 | 3,087,359 | ||||||
Series 2005-QS2, Class A1, 5.500%, 02/25/2035 | 460,027 | 460,669 | ||||||
Series 2005-QS5, Class A1, 0.587%, 04/25/2035 § | 4,707,117 | 3,542,755 | ||||||
Series 2005-QS9, Class A2, 0.687%, 06/25/2035 § | 2,214,471 | 1,769,132 | ||||||
Series 2005-QS11, Class A2, 0.687%, 07/25/2035 | 8,461,608 | 7,128,126 | ||||||
Sequoia Mortgage Trust, | ||||||||
Series 2013-6, Class A2, 3.000%, 05/25/2043 | 17,034,881 | 16,434,402 | ||||||
Structured Asset Securities Corp., | ||||||||
Series 2003-31A, Class 2A7, 2.438%, 10/25/2033 | 3,485,157 | 3,426,436 | ||||||
Structured Asset Securities Corp. Mortgage Loan Trust, | ||||||||
Series 2005-7XS, Class 1A4B, 5.440%, 04/25/2035 | 449,037 | 472,615 | ||||||
WaMu Mortgage Pass-Through Certificates: | ||||||||
Series 2004-CB1, Class 5A, 5.000%, 06/25/2019 | 56,503 | 57,827 | ||||||
Series 2004-CB2, Class 5A, 5.000%, 07/25/2019 | 50,080 | 51,029 | ||||||
Series 2004-CB2, Class 7A, 5.500%, 08/25/2019 | 115,791 | 118,803 | ||||||
Series 2004-CB3, Class 4A, 6.000%, 10/25/2019 | 34,251 | 35,786 | ||||||
Series 2004-CB4, Class 22A, 6.000%, 12/25/2019 | 154,036 | 160,255 | ||||||
Series 2004-CB3, Class 1A, 6.000%, 10/25/2034 | 8,865,760 | 9,429,817 | ||||||
Series 2004-CB3, Class 2A, 6.500%, 10/25/2034 | 7,359,569 | 8,029,856 | ||||||
Series 2005-3, Class 1CB3, 0.637%, 05/25/2035 § | 11,345,829 | 9,017,189 | ||||||
Series 2005-6, Class 2A4, 5.500%, 08/25/2035 § | 15,642,719 | 14,999,615 | ||||||
Wells Fargo Alternative Loan Trust, | ||||||||
Series 2007-PA1, Class A4, 6.000%, 03/25/2037 § | 108,067 | 94,754 | ||||||
Wells Fargo Mortgage Backed Securities: | ||||||||
Series 2005-AR16, Class 4A2, 2.686%, 10/25/2035 | 7,078,414 | 7,076,885 | ||||||
Series 2006-AR14, Class 2A3, 2.629%, 10/25/2036 § | 7,050,244 | 6,535,985 | ||||||
403,047,239 | 4.7% |
Asset Backed Securities | ||||||||
ABFC Trust, | ||||||||
Series 2006-OPT1, Class A3C2, 0.337%, 09/25/2036 | 13,174,695 | 11,308,670 | ||||||
Accredited Mortgage Loan Trust: | ||||||||
Series 2005-4, Class A2D, 0.507%, 12/25/2035 | 14,489,662 | 13,775,408 | ||||||
Series 2007-1, Class A3, 0.317%, 02/25/2037 | 3,300,632 | 3,138,539 | ||||||
ACE Securities Corp. Home Equity Loan Trust, | ||||||||
Series 2006-OP1, Class A2C, 0.337%, 04/25/2036 | 17,934,045 | 16,934,078 | ||||||
AMRESCO Residential Securities Corp. Mortgage Loan Trust, | ||||||||
Series 1998-2, Class A6, 6.405%, 12/25/2027 | 3,647 | 3,584 | ||||||
Banc of America Funding Trust, | ||||||||
Series 2005-C, Class A1, 0.427%, 05/20/2035 | 17,361,356 | 16,061,320 | ||||||
Bayview Financial Acquisition Trust, | ||||||||
Series 2007-A, Class 1A2, 6.205%, 05/28/2037 | 727,430 | 765,938 | ||||||
Bayview Financial Mortgage Pass-Through Trust, | ||||||||
Series 2007-B, Class 1A2, 6.831%, 08/28/2047 | 150,000 | 134,334 | ||||||
Bear Stearns Asset Backed Securities I Trust: | ||||||||
Series 2006-HE8, Class 21A2, 0.357%, 10/25/2036 | 13,005,819 | 12,328,866 | ||||||
Series 2007-HE5, Class 1A2, 0.367%, 06/25/2047 | 15,721,538 | 15,183,516 | ||||||
Carrington Mortgage Loan Trust: | ||||||||
Series 2005-FRE1, Class A6, 0.567%, 12/25/2035 | 21,604,225 | 20,820,186 | ||||||
Series 2006-NC1, Class A3, 0.397%, 01/25/2036 | 8,550,394 | 8,225,368 | ||||||
Series 2006-OPT1, Class A3, 0.367%, 02/25/2036 | 11,033,770 | 10,690,553 | ||||||
Series 2006-NC2, Class A2, 0.277%, 06/25/2036 | 4,418,463 | 4,365,703 | ||||||
Citibank Credit Card Issuance Trust, | ||||||||
Series 2007-A3, Class A3, 6.150%, 06/15/2039 | 6,100,000 | 7,899,988 | ||||||
Citicorp Residential Mortgage Trust: | ||||||||
Series 2006-2, Class A4, 5.775%, 09/25/2036 | 2,459,873 | 2,579,865 | ||||||
Series 2006-3, Class A4, 5.703%, 11/25/2036 | 4,272,070 | 4,464,412 | ||||||
Series 2007-2, Class A4, 5.520%, 06/25/2037 | 4,268,234 | 4,453,813 | ||||||
Citigroup Mortgage Loan Trust, Inc., | ||||||||
Series 2007-WFH1, Class A3, 0.337%, 01/25/2037 | 5,643,368 | 5,546,663 | ||||||
Cityscape Home Equity Loan Trust, | ||||||||
Series 1997-C, Class A4, 7.000%, 07/25/2028 | 7,057 | 7,104 | ||||||
Conseco Financial Corp.: | ||||||||
Series 1993-4, Class A5, 7.050%, 01/15/2019 | 2,725 | 2,790 | ||||||
Series 1997-4, Class A5, 6.880%, 02/15/2029 | 6,307 | 6,401 | ||||||
Series 1998-3, Class A5, 6.220%, 03/01/2030 | 353,833 | 374,983 | ||||||
Series 1998-4, Class A5, 6.180%, 04/01/2030 | 155,056 | 165,884 | ||||||
Countrywide Asset-Backed Certificates: | ||||||||
Series 2005-1, Class AF4, 5.147%, 02/25/2033 | 171,853 | 171,807 | ||||||
Series 2004-12, Class AF6, 4.634%, 03/25/2035 | 390,727 | 401,640 | ||||||
Series 2004-15, Class AF6, 4.613%, 04/25/2035 | 331,791 | 333,646 | ||||||
Series 2005-7, Class AF6, 4.693%, 10/25/2035 | 1,017,754 | 1,039,482 | ||||||
Series 2005-10, Class AF6, 4.758%, 02/25/2036 | 2,549,369 | 2,607,823 | ||||||
Series 2005-11, Class AF3, 4.778%, 02/25/2036 | 1,226,159 | 1,257,652 | ||||||
Series 2005-13, Class 3AV3, 0.435%, 04/25/2036 | 2,571,800 | 2,555,389 | ||||||
Series 2005-13, Class AF3, 4.948%, 04/25/2036 | 1,802,119 | 1,629,762 | ||||||
Series 2006-S9, Class A3, 5.728%, 08/25/2036 | 124,382 | 124,512 | ||||||
Series 2006-13, Class 1AF3, 4.828%, 01/25/2037 § | 133,300 | 169,796 | ||||||
Series 2006-10, Class 1AF3, 4.929%, 09/25/2046 § | 1,197,970 | 1,074,917 | ||||||
Series 2006-9, Class 1AF3, 5.033%, 10/25/2046 § | 480,233 | 438,479 | ||||||
Series 2007-4, Class A3, 5.542%, 04/25/2047 § | 737,350 | 626,673 | ||||||
Credit-Based Asset Servicing and Securitization LLC, | ||||||||
Series 2005-CB8, Class AF2, 4.156%, 12/25/2035 | 1,446,508 | 1,432,625 | ||||||
CWHEQ Home Equity Loan Trust, | ||||||||
Series 2007-S1, Class A6, 5.693%, 11/25/2036 | 56,451 | 54,410 | ||||||
GE Capital Mortgage Services Inc. Trust, | ||||||||
Series 1999-HE1, Class A7, 6.265%, 04/25/2029 | 1,148 | 1,157 | ||||||
GSAA Home Equity Trust, | ||||||||
Series 2004-6, Class A1, 0.987%, 06/25/2034 | 5,277,606 | 5,124,339 | ||||||
Home Equity Asset Trust, | ||||||||
Series 2006-4, Class 2A3, 0.357%, 08/25/2036 | 807,115 | 792,779 | ||||||
HomeBanc Mortgage Trust, | ||||||||
Series 2005-4, Class A1, 0.457%, 10/25/2035 | 17,054,637 | 15,082,780 | ||||||
HSI Asset Securitization Corp. Trust: | ||||||||
Series 2006-OPT4, Class 2A3, 0.347%, 03/25/2036 | 6,263,267 | 5,760,070 | ||||||
Series 2007-WF1, Class 2A3, 0.357%, 05/25/2037 | 19,755,624 | 19,165,227 | ||||||
J.P. Morgan Mortgage Acquisition Trust: | ||||||||
Series 2007-CH1, Class AV5, 0.425%, 11/25/2036 | 10,000,000 | 9,608,020 | ||||||
Series 2007-CH3, Class A3, 0.337%, 03/25/2037 | 11,227,831 | 11,090,088 | ||||||
Long Beach Mortgage Loan Trust, | ||||||||
Series 2006-WL2, Class 2A3, 0.387%, 01/25/2036 | 2,437,025 | 2,347,932 | ||||||
Luminent Mortgage Trust, | ||||||||
Series 2005-1, Class A1, 0.447%, 11/25/2035 | 18,655,799 | 16,799,770 | ||||||
MASTR Asset Backed Securities Trust, | ||||||||
Series 2006-NC1, Class A4, 0.487%, 01/25/2036 | 7,175,000 | 6,880,466 | ||||||
Morgan Stanley Capital I Inc. Trust, | ||||||||
Series 2006-HE1, Class A3, 0.367%, 01/25/2036 | 837,414 | 835,386 | ||||||
Morgan Stanley Home Equity Loan Trust, | ||||||||
Series 2006-2, Class A3, 0.357%, 02/25/2036 | 1,830,814 | 1,825,348 | ||||||
MortgageIT Trust, | ||||||||
Series 2005-5, Class A1, 0.447%, 12/25/2035 | 10,695,713 | 9,673,620 | ||||||
Nationstar Home Equity Loan Trust: | ||||||||
Series 2006-B, Class AV3, 0.357%, 09/25/2036 | 2,495,796 | 2,492,416 | ||||||
Series 2007-C, Class 2AV2, 0.317%, 06/25/2037 | 16,911,021 | 16,309,530 | ||||||
Oakwood Mortgage Investors, Inc., | ||||||||
Series 1999-B, Class A3, 6.450%, 11/15/2017 | 23,665 | 24,236 | ||||||
Option One Mortgage Loan Trust Asset-Backed Certificates, | ||||||||
Series 2005-4, Class A3, 0.447%, 11/25/2035 | 382,372 | 378,105 | ||||||
RAMP Series Trust: | ||||||||
Series 2002-RS3, Class AI5, 5.572%, 06/25/2032 | 2,743,840 | 2,702,227 | ||||||
Series 2003-RS10, Class AI7, 4.850%, 11/25/2033 | 23,254 | 23,382 | ||||||
Series 2004-RS4, Class AI6, 5.072%, 04/25/2034 | 1,376,385 | 1,407,266 | ||||||
Series 2006-NC2, Class A2, 0.377%, 02/25/2036 | 10,760,802 | 10,554,087 | ||||||
RASC Series Trust: | ||||||||
Series 2003-KS5, Class AI6, 3.620%, 07/25/2033 | 35,380 | 34,388 | ||||||
Series 2003-KS9, Class AI6, 4.710%, 11/25/2033 | 67,435 | 65,090 | ||||||
Series 2006-EMX2, Class A2, 0.387%, 02/25/2036 | 5,559,486 | 5,494,312 | ||||||
Renaissance Home Equity Loan Trust: | ||||||||
Series 2005-1, Class AF6, 4.970%, 05/25/2035 | 105,702 | 107,267 | ||||||
Series 2005-2, Class AF6, 4.781%, 08/25/2035 | 4,800,802 | 4,918,426 | ||||||
Series 2005-3, Class AF3, 4.814%, 11/25/2035 | 1,631,138 | 1,650,155 | ||||||
Series 2006-2, Class AF3, 5.797%, 08/25/2036 | 16,562,842 | 10,587,631 | ||||||
Series 2006-3, Class AF2, 5.580%, 11/25/2036 | 10,939,337 | 6,543,758 | ||||||
Series 2007-1, Class AF2, 5.512%, 04/25/2037 | 483,010 | 254,789 | ||||||
Series 2007-1, Class AF3, 5.612%, 04/25/2037 | 289,806 | 160,536 | ||||||
Series 2007-2, Class AF2, 5.675%, 06/25/2037 | 1,470,979 | 767,132 | ||||||
Security National Mortgage Co., | ||||||||
Series 2005-1, 4.670%, 02/25/2035 (Acquired 06/29/2015, Cost $4,029) * | 4,031 | 4,029 | ||||||
Soundview Home Loan Trust: | ||||||||
Series 2005-OPT4, Class 2A3, 0.447%, 12/25/2035 | 10,803,206 | 10,609,472 | ||||||
Series 2006-OPT4, Class 2A3, 0.324%, 06/25/2036 | 6,806,141 | 6,301,493 | ||||||
Specialty Underwriting & Residential Finance Trust, | ||||||||
Series 2004-BC4, Class A1A, 0.857%, 10/25/2035 | 4,059,287 | 3,950,307 | ||||||
Springleaf Funding Trust, | ||||||||
Series 2014-AA, Class A, 2.410%, 12/15/2022 (Acquired 06/11/2015 through 06/18/2015, Cost $20,071,237) * | 20,000,000 | 20,025,000 | ||||||
Springleaf Mortgage Loan Trust, | ||||||||
Series 2012-2A, Class A, 2.220%, 10/25/2057 (Acquired 07/31/2012, Cost $2,050,329) * | 2,050,561 | 2,055,638 | ||||||
TCF Auto Receivables Owner Trust, | ||||||||
Series 2015-1A, Class A3, 1.490%, 12/16/2019 (Acquired 06/03/2015, Cost $16,074,878) * | 16,075,000 | 16,082,652 | ||||||
401,646,885 | 4.7% | |||||||
Commercial Mortgage Backed Securities | ||||||||
Bear Stearns Commercial Mortgage Securities Trust, | ||||||||
Series 2005-PWR9, Class A4A, 4.871%, 09/11/2042 | 1,134,165 | 1,133,269 | ||||||
CD Commercial Mortgage Trust, | ||||||||
Series 2005-CD1, Class A4, 5.380%, 07/15/2044 | 8,867,586 | 8,874,565 | ||||||
Citigroup Commercial Mortgage Trust, | ||||||||
Series 2014-GC19, Class A3, 3.753%, 03/10/2047 | 5,000,000 | 5,181,425 | ||||||
COMM Mortgage Trust: | ||||||||
Series 2005-C6, Class A5A, 5.116%, 06/10/2044 | 2,094,987 | 2,093,789 | ||||||
Series 2012-CR1, Class A3, 3.391%, 05/15/2045 | 25,842,000 | 26,771,175 | ||||||
Series 2013-CR9, Class A3, 4.022%, 07/10/2045 | 23,325,000 | 24,958,659 | ||||||
Series 2012-CR2, Class A4, 3.147%, 08/15/2045 | 30,063,000 | 30,626,531 | ||||||
Series 2014-CR18, Class A4, 3.550%, 07/15/2047 | 5,000,000 | 5,134,450 | ||||||
Credit Suisse First Boston Mortgage Securities Corp., | ||||||||
Series 2005-C5, Class A4, 5.100%, 08/15/2038 | 363,578 | 363,093 | ||||||
DBUBS Mortgage Trust, | ||||||||
Series 2011-LC3A, Class A4, 4.551%, 08/10/2044 | 2,275,000 | 2,500,482 | ||||||
GE Capital Commercial Mortgage Corp., | ||||||||
Series 2005-C4, Class A4, 5.495%, 11/10/2045 | 12,769,957 | 12,799,520 | ||||||
GMAC Commercial Mortgage Securities Inc. Trust, | ||||||||
Series 2004-C2, Class A4, 5.301%, 08/10/2038 | 44,684 | 44,716 | ||||||
GS Mortgage Securities Corp. II, | ||||||||
Series 2012-GCJ9, Class A3, 2.773%, 11/10/2045 | 40,164,000 | 39,852,368 | ||||||
GS Mortgage Securities Trust: | ||||||||
Series 2011-GC5, Class A4, 3.707%, 08/10/2044 | 14,524,873 | 15,342,246 | ||||||
Series 2014-GC20, Class AAB, 3.655%, 04/10/2047 | 14,620,000 | 15,324,508 | ||||||
J.P. Morgan Chase Commercial Mortgage Securities Corp., | ||||||||
Series 2012-LC9, Class ASB, 2.437%, 12/15/2047 | 3,450,000 | 3,461,399 | ||||||
J.P. Morgan Chase Commercial Mortgage Securities Trust: | ||||||||
Series 2005-CB12, Class A4, 4.895%, 09/12/2037 | 1,155,232 | 1,154,533 | ||||||
Series 2013-LC11, Class A4, 2.694%, 04/15/2046 | 10,150,000 | 9,953,506 | ||||||
Series 2013-LC11, Class A5, 2.960%, 04/15/2046 | 22,075,000 | 21,997,252 | ||||||
Series 2013-C10, Class ASB, 2.702%, 12/15/2047 | 19,900,000 | 20,121,248 | ||||||
JPMBB Commercial Mortgage Securities Trust: | ||||||||
Series 2013-C17, Class A3, 3.928%, 01/15/2047 | 23,700,000 | 25,124,891 | ||||||
Series 2014-C25, Class A5, 3.672%, 11/15/2047 | 33,300,000 | 34,194,205 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust: | ||||||||
Series 2012-C5, Class A4, 3.176%, 08/15/2045 | 30,940,000 | 31,451,345 | ||||||
Series 2012-C6, Class A4, 2.858%, 11/15/2045 | 32,035,000 | 31,870,276 | ||||||
Series 2013-C10, Class A3, 4.103%, 07/15/2046 | 43,985,000 | 47,142,595 | ||||||
Series 2013-C11, Class A3, 3.960%, 08/15/2046 | 19,100,000 | 20,358,671 | ||||||
Morgan Stanley Capital I Trust, | ||||||||
Series 2005-HQ7, Class A4, 5.362%, 11/14/2042 | 11,349,291 | 11,353,434 | ||||||
Wachovia Bank Commercial Mortgage Trust, | ||||||||
Series 2005-C22, Class A4, 5.448%, 12/15/2044 | 11,808,655 | 11,823,333 | ||||||
Wells Fargo Commercial Mortgage Trust: | ||||||||
Series 2013-LC12, Class A3, 3.986%, 07/15/2046 | 13,600,000 | 14,530,825 | ||||||
Series 2015-C26, Class ASB, 2.991%, 02/15/2048 | 15,049,000 | 15,102,740 | ||||||
WFRBS Commercial Mortgage Trust: | ||||||||
Series 2013-C11, Class A5, 3.071%, 03/15/2045 | 12,000,000 | 12,052,452 | ||||||
Series 2012-C6, Class A4, 3.440%, 04/15/2045 | 19,016,000 | 19,800,828 | ||||||
Series 2013-C18, Class A4, 3.896%, 12/15/2046 | 21,950,000 | 23,282,365 | ||||||
Series 2014-C24, Class A5, 3.607%, 11/15/2047 | 20,000,000 | 20,547,540 | ||||||
Series 2014-C23, Class ASB, 3.636%, 10/15/2057 | 10,500,000 | 11,010,615 | ||||||
577,334,849 | 6.8% | |||||||
Total Long-Term Investments (Cost $8,464,107,885) | 8,410,799,785 | 98.5% | ||||||
Shares | ||||||||
SHORT-TERM INVESTMENTS | ||||||||
Money Market Mutual Funds | ||||||||
Dreyfus Cash Advantage Fund, 0.09% « | 221,379,425 | 221,379,425 | ||||||
Short-Term Investments Trust - Liquid Assets Portfolio, 0.10% « | 167,000,000 | 167,000,000 | ||||||
Total Short-Term Investments (Cost $388,379,425) | 388,379,425 | 4.5% | ||||||
INVESTMENTS PURCHASED WITH CASH PROCEEDS FROM | ||||||||
SECURITIES LENDING | ||||||||
Investment Companies | ||||||||
Mount Vernon Securities Lending Trust Prime Portfolio, 0.25% « | 183,742,150 | 183,742,150 | ||||||
Total Investment Companies (Cost $183,742,150) | 183,742,150 | 2.1% | ||||||
Total Investments Purchased With Cash Proceeds From | ||||||||
Securities Lending (Cost $183,742,150) | 183,742,150 | 2.1% | ||||||
Total Investments (Cost $9,036,229,460) | 8,982,921,360 | 105.1% | ||||||
Liabilities in Excess of Other Assets | (439,504,260) | (5.1)% | ||||||
TOTAL NET ASSETS | $ 8,543,417,100 | 100.0% |
Notes to Schedule of Investments | |
* | Restricted security as defined in Rule 144(a) under the Securities Act of 1933 and determined to be liquid. Purchased in a private placement transaction; resale to the public may require registration or or may extend only to qualified institutional buyers. At June 30, 2015, the value of these securities total $1,287,997,061, which represents 15.08% of total net assets. |
** | Illiquid Security |
@ | This security or portion of this security is out on loan at June 30, 2015. |
f | Foreign Security |
« | 7-Day Yield |
§ | Security in Default |
† | Priced at Fair Value by the Valuation Committee as delegated by the Baird Funds' Board of Directors. |
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 4, 2015
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 4, 2015
By: /s/Terrance Maxwell
Terrance Maxwell, Treasurer
Date: September 4, 2015