UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
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)
(Exact name of Registrant as specified in charter)
777 East Wisconsin Avenue
Milwaukee, WI 53202
(Address of principal executive offices) (Zip code)
(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)
(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: December 31, 2015
Item 1. Reports to Stockholders.
Annual Report –
Baird Funds
December 31, 2015
Taxable Bond Funds
Baird Ultra Short Bond Fund
Baird Short-Term Bond Fund
Baird Intermediate Bond Fund
Baird Aggregate Bond Fund
Baird Core Plus Bond Fund
Municipal Bond Funds
Baird Short-Term Municipal Bond Fund
Baird Quality Intermediate Municipal Bond Fund
Baird Core Intermediate Municipal Bond Fund
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Table of Contents
Letter to Shareholders | 1 |
2015 Bond Market Overview | 2 |
Baird Ultra Short Bond Fund | 6 |
Baird Short-Term Bond Fund | 16 |
Baird Intermediate Bond Fund | 26 |
Baird Aggregate Bond Fund | 36 |
Baird Core Plus Bond Fund | 45 |
2015 Municipal Bond Market Overview | 55 |
Baird Short-Term Municipal Bond Fund | 59 |
Baird Quality Intermediate Municipal Bond Fund | 71 |
Baird Core Intermediate Municipal Bond Fund | 83 |
Additional Information on Fund Expenses | 96 |
Statements of Assets and Liabilities | 98 |
Statements of Operations | 101 |
Statements of Changes in Net Assets | 104 |
Financial Highlights | 112 |
Notes to the Financial Statements | 128 |
Report of Independent Registered Public Accounting Firm | 143 |
Directors and Officers | 144 |
Disclosure Regarding the Board of Directors’ Approval | |
of the Investment Advisory Agreement for Baird Bond Funds | 147 |
Disclosure Regarding the Board of Directors’ Approval of the | |
Investment Advisory Agreement for the Baird Short-Term Municipal | |
Bond Fund and Core Intermediate Municipal Bond Fund | 150 |
Additional Information | 152 |
Privacy Notice | A-1 |
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 Funds
1-866-442-2473
www.bairdfunds.com
February 25, 2016
Dear Shareholder,
We have built the Baird Funds to be a value priced, no-load fund family that delivers institutional investment management capabilities to our fund shareholders, which includes competitive, risk-adjusted returns over complete market cycles and outstanding service. Our portfolio management team brings extensive investment experience and has managed portfolios through multiple market cycles. This seasoned team emphasizes in-depth research and a disciplined, risk-controlled approach to meet our clients’ investment needs.
We continue to invest in the business to achieve these goals through enhancing our technology platform and hiring strong investment and business talent. In 2015 we hired the nationally recognized municipal bond team of Duane McAllister CFA, Eric Schleicher and Joe Czechowicz to expand our expertise in the municipal bond sector. After their arrival, we introduced the Baird Core Intermediate Municipal Bond Fund and Baird Short-Term Municipal Bond Fund to complement our existing Baird Quality Intermediate Municipal Bond Fund. This strong addition to our team has added immediate value and we are excited to offer our investors these additional municipal bond fund options. We will continue to build our team over time to effectively meet our investors’ needs.
Our long term success rests on being capable stewards of our investors’ assets through the implementation of our shareholder-focused strategy. We are privileged to provide you with fixed income investment management services and appreciate the confidence and trust you have placed in our experienced investment team.
On the following pages, we review the bond market in 2015 and the performance and composition of each of the Baird Bond Funds.
Sincerely,
Mary Ellen Stanek, CFA
President
Baird Funds
Page 1
2015 Bond Market Overview
Fed Ends Zero-Rate Policy, Yields Rise Modestly, Volatility Increases
The U.S. economy grew at a moderate pace in 2015 (3Q GDP +2.1% YoY) which was enough to drive the unemployment rate from 5.7% to 5.0%, spurring the Fed to raise rates by 25 bps after 7 years of maintaining a zero interest rate policy. In anticipation of additional Fed action in 2016, the 1-year and 2-year Treasury yields rose 38 bps, while intermediate and long yields rose by lesser amounts (see table below) as U.S. inflation remained subdued (Nov. CPI +0.5% YoY, Nov. average hourly earnings +2.3% YoY). The year was marked by significant volatility, with the 10-year Treasury trading in an 81 bp range from 1.67% to 2.48% (see graph below right). In addition to anticipated Fed actions, market volatility throughout the year was also heightened by global macro uncertainty, escalating geopolitical tension, and further divergence in global central bank policies: the Bank of Japan carried on QE purchases through 2015, the ECB began a quantitative easing (QE) program in March, Greece reached a last-minute bailout agreement in July, Chinese equity markets fell by more than 40% this summer, and the People’s Bank of China (PBOC) unexpectedly devalued its currency against the dollar in August.
Treasury Yields
1 Year | 4Q | ||||
Maturity | 12/31/14 | 9/30/15 | 12/31/15 | Change | Change |
1 | 0.22% | 0.31% | 0.60% | 0.38% | 0.29% |
2 | 0.67% | 0.64% | 1.05% | 0.38% | 0.41% |
3 | 1.07% | 0.92% | 1.31% | 0.24% | 0.39% |
5 | 1.65% | 1.37% | 1.76% | 0.11% | 0.39% |
7 | 1.97% | 1.75% | 2.09% | 0.12% | 0.34% |
10 | 2.17% | 2.06% | 2.27% | 0.10% | 0.21% |
30 | 2.75% | 2.88% | 3.02% | 0.27% | 0.14% |
Weak Global Demand: Oil & Commodities Drop Further in 2015, US Dollar Appreciates
The PBOC’s unexpected currency devaluation raised worries that a slowdown in the world’s second largest economy was worse than previously thought, putting further downward pressure on global energy and commodity prices. With China being the largest consumer of many commodities (see table below left), a slowdown in the Chinese economy helped drive copper prices nearly 25 % lower, while iron ore and oil each fell more than 30% in 2015. The easing of monetary policy at the PBOC and ECB in contrast to tightening in the U.S. increased global capital flows into U.S. markets, contributing to a 9% appreciation of the U.S. Dollar against a basket of global currencies (see graph below right).
Global Commodity Consumption | ||||
2015 Demand Estimates | ||||
Developed | Emerging | |||
China | Countries | Countries | ||
Thermal Coal | 77% | 13% | 10% | |
Oil | 12% | 49% | 39% | |
Copper | 45% | 34% | 21% | |
Iron Ore | 73% | 22% | 5% | |
Aluminum | 50% | 36% | 14% | |
Source: Macquarie Research, International Energy Agency | ||||
Page 2
2015 Bond Market Overview
Spreads Widen on Heavy Issuance and Fundamental Credit Concerns in Energy and Commodity Sectors
Global growth concerns and falling energy and commodity prices pushed yield spreads wider across all major sectors this year. Investment grade credit ended the year 34 bps wider at 165 bps as 2015 supply exceeded $1.3 trillion (surpassing 2014’s $1.1 trillion record – see chart, next page right). Within investment grade credit, industrials (+43 bps) widened the most, as profitability and operating cash flow at energy and basic materials companies fell with lower oil and commodity prices. Financials were the best performing corporate sub-sector (widening a more modest 17 bps to 134 bps) as fundamentals remained strong and regulatory-related issuance needs were less than expected. Spread widening was more modest in high quality securitized sectors such as agency mortgage pass-throughs and asset-backed securities as supply was benign and the Fed continued to reinvest principal and interest payments from QE holdings into agency MBS. U.S. high yield widened 177 bps to 660 bps as company fundamentals weakened and the sector saw large industry outflows (e.g. Third Avenue liquidation).
Option-Adjusted Spreads (in bps) | |||||||
Dec | 4Q | 2015 | |||||
12/31/14 | 9/30/15 | 11/30/15 | 12/31/15 | Chg | Chg | Chg | |
U.S. Aggregate Index | 48 | 59 | 53 | 56 | 3 | -3 | 8 |
U.S. Agency (non-mortgage) | 16 | 17 | 14 | 21 | 7 | 4 | 5 |
Mortgage and ABS Sectors | |||||||
U.S. Agency Pass-throughs | 27 | 31 | 23 | 24 | 1 | -7 | -3 |
Asset-Backed Securities | 58 | 69 | 65 | 72 | 7 | 3 | 14 |
CMBS | 98 | 108 | 102 | 121 | 19 | 13 | 23 |
Corporate Sectors | |||||||
U.S. Investment Grade | 131 | 169 | 155 | 165 | 10 | -4 | 34 |
Industrial | 140 | 184 | 170 | 183 | 13 | -1 | 43 |
Utility | 119 | 152 | 145 | 150 | 5 | -2 | 31 |
Financial Institutions | 117 | 145 | 129 | 134 | 5 | -11 | 17 |
U.S. High Yield | 483 | 630 | 602 | 660 | 58 | 30 | 177 |
Source: Barclays
Taxable Sectors Negative for the Quarter, Mixed for the Year, Municipals Outperform
Rising yields and wider spreads translated to negative total returns across all major taxable sectors for the quarter, although many stayed positive for the year. Shorter duration sectors/indices (1-3 Yr. Gov’t/Credit Index -0.36% in 4Q) and agency MBS (-0.10%) managed to post less negative quarterly returns. High yield was the hardest hit sector by a wide margin in the quarter (-2.07%) and year (-4.47%) as both the energy and metals & mining components of the index dropped nearly 25% in 2015. In contrast, tax-exempt municipals outperformed taxable sectors significantly for the quarter (+1.50%) and year (+3.30%) as limited supply was met with robust demand. Moreover, in spite of negative headlines (e.g. PR, IL, Chicago) general credit conditions for most municipalities actually improved in 2015, driving additional outperformance.
Page 3
2015 Bond Market Overview
Total Returns of Selected Barclays Indices and Subsectors | |||
Barclays Index/Sector | December | 4th Quarter | 2015 |
U.S. Aggregate Index | -0.32% | -0.57% | 0.55% |
U.S. Gov’t/Credit Index | -0.43% | -0.74% | 0.15% |
U.S. Intermediate Gov’t/Credit Index | -0.33% | -0.69% | 1.07% |
U.S. 1-3 Yr. Gov’t/Credit Index | -0.13% | -0.36% | 0.65% |
U.S. Treasury | -0.16% | -0.94% | 0.84% |
U.S. Agency | -0.27% | -0.64% | 1.01% |
MBS (Mortgage Backed Securities) | -0.03% | -0.10% | 1.51% |
CMBS (Commercial Mortgage Backed Securities) | -0.89% | -1.24% | 0.97% |
ABS (Asset Backed Securities) | -0.19% | -0.57% | 1.25% |
U.S. Corporate - Investment Grade | -0.78% | -0.58% | -0.68% |
Corporate High Yield | -2.52% | -2.07% | -4.47% |
Municipal Bond Index | 0.70% | 1.50% | 3.30% |
TIPS (Treasury Inflation Protected Securities) | -0.79% | -0.64% | -1.44% |
Outlook
We expect the modest pace of U.S. economic growth to continue and inflation to remain contained in 2016, although uncertainties around global central bank policies and fragile global growth create a wide distribution of possibilities. Recent inflation data (November average hourly earnings +2.3% YoY) could portend a modest pickup in wage inflation, although we expect that low oil and commodity prices will help limit overall inflation for some time. Additional federal funds rate hikes in 2016 will likely put upward pressure on rates with a curve flattening bias; however, the magnitude will be limited as we expect the Fed will move much more slowly than in previous cycles. Moreover, low interest rates abroad (due in part to accommodative foreign central bank policies) will continue to hold down U.S. Treasury yields and limit the magnitude of any move higher as foreign capital continues to flow into U.S. markets. We see good potential for tighter spreads and outperformance from several non-government sectors where spreads widened in 2015. In particular we see good potential for investment grade corporates to outperform. We also see select relative value in senior CMBS structures with superior credit enhancement as well as many short-duration asset-backed sectors (e.g. cards, autos, equipment). We remain cautious on agency MBS as the Fed will discontinue MBS reinvestment purchases once policy normalization is “well underway” and wider spreads may be required to absorb any material increase in supply. Non-agency RMBS continues to offer attractive relative value as new issuance is very limited and housing fundamentals continue to improve. Even after a second year of wider high yield spreads, we remain cautious of the sector, finding value only selectively. Municipal market valuations are less compelling than they were at the start of last year, given the strong outperformance of the sector in 2015. That said, the diverse nature of the municipal market will likely continue to offer select pockets of value from both taxable and tax-free issuers (see the Baird Municipal Fixed Income Market Comments for more detail on this sector).
Disclosures
This is not a complete analysis of every material fact regarding any company, industry or security. The information has been obtained from sources we consider to be reliable, but we cannot guarantee the accuracy.
Fixed income is generally considered to be a more conservative investment than stocks, but bonds and other fixed income investments still carry a variety of risks such as interest rate risk, credit risk, inflation risk, and liquidity risk. In a rising interest rate environment, the value of fixed-income securities generally decline and conversely, in a falling interest rate environment, the value of fixed-income securities generally increase. High yield securities may be subject to heightened market, interest rate or credit risk and should not be purchased solely because of the stated yield.
Indices are unmanaged, and are not available for direct investment. Past performance is not a guarantee of future results.
The Barclays Aggregate Bond Index is an index comprised of approximately 6000 publicly traded bonds including U.S. Government, mortgage backed, corporate, and Yankee bonds with an average maturity of approximately 10 years.
Page 4
2015 Bond Market Overview
The Barclays Government/Credit Index is a combination of the Government Index which measures government-bond general and Treasury funds, and the Credit Bond Index, which is a market value-weighted index which tracks the returns of all publicly issued, fixed-rate, nonconvertible, dollar-denominated, SEC registered, investment grade Corporate Debt.
The Barclays Intermediate Government/Credit Index is a combination of the Government Index which measures government-bond general and Treasury funds, and the Credit Bond Index, which is a market value-weighted index which tracks the returns of all publicly issued, fixed-rate, nonconvertible, dollar-denominated, SEC registered, investment grade Corporate Debt with maturities between one and ten years.
The Barclays Government/Credit Intermediate Index (1 – 3 yr.) is a combination of the Government Index which measures government-bond general and Treasury funds, and the Credit Bond Index, which is a market value-weighted index which tracks the returns of all publicly issued, fixed-rate, nonconvertible, dollar-denominated, SEC registered, investment grade Corporate Debt with maturities between zero and three years.
The Barclays U.S. Treasury Index includes public obligations of the U.S. Treasury. Treasury bills are excluded by the maturity constraint of at least one year but are part of a separate Short Treasury Index. In addition, certain special issues, such as state and local government series bonds (SLGs), as well as U.S. Treasury TIPS, are excluded. STRIPS are excluded from the index because their inclusion would result in double-counting. Securities in the Index roll up to the U.S. Aggregate, U.S. Universal, and Global Aggregate Indices. The U.S. Treasury Index was launched on January 1, 1973.
U.S. Agency: This index is the U.S. Agency component of the U.S. Government/Credit index. Publicly issued debt of U.S. Government agencies, quasi-federal corporations, and corporate or foreign debt guaranteed by the U.S. Government (such as USAID securities). The largest issues are Fannie Mae, Freddie Mac, and the Federal Home Loan Bank System (FHLB). The index includes both callable and non-callable agency securities.
U.S Corporate – Investment Grade: This index is the Corporate component of the U.S. Credit index. It includes publicly issued U.S. corporate and specified foreign debentures and secured notes that meet the specified maturity, liquidity, and quality requirements. To qualify, bonds must be SEC-registered.
CMBS (Commercial Mortgage Backed Securities): This index is the CMBS component of the U.S. Aggregate index. The Barclays CMBS ERISA-Eligible Index is the ERISA-eligible component of the Barclays CMBS Index. This index, which includes investment grade securities that are ERISA eligible under the underwriter’s exemption, is the only CMBS sector that is included in the U.S. Aggregate Index.
MBS (Mortgage Backed Securities): This index is the U.S. MBS component of the U.S. Aggregate index. The MBS Index covers the mortgage-backed pass-through securities of Ginnie Mae (GNMA), Fannie Mae (FNMA), and Freddie Mac (FHLMC). The MBS Index is formed by grouping the universe of over 600,000 individual fixed rate MBS pools into approximately 3,500 generic aggregates.
ABS (Asset Backed Securities): This index is the ABS component of the U.S. Aggregate index. The ABS index has three subsectors: credit and charge cards, autos, and utility. The index includes pass-through, bullet, and controlled amortization structures. The ABS Index includes only the senior class of each ABS issue and the ERISA-eligible B and C tranche. The Manufactured Housing sector was removed as of January 1, 2008, and the Home Equity Loan sector was removed as of October 1, 2009.
Corporate High Yield: The Barclays U.S. High Yield Index covers the universe of fixed rate, non-investment grade debt. Eurobonds and debt issues from countries designated as emerging markets (sovereign rating of Baa1/BBB+/BBB+ and below using the middle of Moody’s, S&P, and Fitch) are excluded, but Canadian and global bonds (SEC registered) of issuers in non-EMG countries are included. Original issue zeroes, step-up coupon structures, 144-As and pay-in-kind bonds (PIKs, as of October 1, 2009) are also included.
The Barclays Municipal Bond Index is a broad-based, total-return index. The bonds are all investment-grade, tax-exempt, and fixed-rate securities with long-term maturities (greater than 2 years). They are selected from issues larger than $50 million.
The Barclays TIPS Index consists of Treasury Inflation Protected Securities (TIPS). TIPS are securities whose principal is tied to the Consumer Price Index. TIPS pay interest semi-annually, based on the fixed rate applied to the adjusted principal.
Page 5
Baird Ultra Short Bond Fund
December 31, 2015
The Baird Ultra Short Bond Fund seeks current income consistent with preservation of capital. The Fund’s primary benchmark index against which it measures performance is the Barclays U.S. Short-Term Government/Corporate 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 of less than one year.
The Fund generated attractive absolute and relative returns versus its benchmark in 2015. Our long-term commitment to duration neutrality once again proved to be a prudent strategy as the bond market experienced heightened volatility during the year. The primary factors contributing to the Fund’s relative outperformance in 2015 are described below.
• | Credit positioning overall was a positive for the year. Drivers include the Fund’s overweight to investment grade credit and Financials in particular, which was the best performing sector in credit. This was partially offset by positioning in commodity sensitive sectors including Energy and Metals & Mining due to the significant spread widening that occurred in these industry sectors in reaction to the sharp drop in energy and other commodity prices. | |
• | Exposure to select, non-Agency residential mortgage-backed securities (RMBS) was a positive for the year resulting from strong continued supply/demand technicals and ongoing broad improvements in the housing market. Exposure to consumer asset-backed securities (such as, automobile, credit card and equipment receivables) was also a modest positive contributor to annual performance, resulting from continued strength in U.S. consumer fundamentals. | |
• | The Fund benefited from its yield curve positioning during the year as the yield curve flattened. |
The start of any new year is always filled with excitement and uncertainty and 2016 certainly qualifies on both of those accounts. We will be tracking the economic data and Fed guidance with the same diligence as always, knowing there will be both challenges and opportunities as the Fed’s policy rate normalization process unfolds. Global market influences are likely to add to market volatility, as may the political environment in the U.S. leading up to the November elections. As a reminder, we have only purchased U.S. dollar denominated securities in the cash bond market (no derivatives). We believe the Fund is well positioned to add value relative to its benchmark.
Page 6
Baird Ultra Short Bond Fund
December 31, 2015 (Unaudited)
Portfolio Characteristics
Quality Distribution(1)(2)
Net Assets | $190,523,428 | ||||
SEC 30-Day | |||||
Yield(3) | |||||
Institutional Class | |||||
(Subsidized) | 1.22% | ||||
Institutional Class | |||||
(Unsubsidized) | 1.07% | ||||
Investor Class | |||||
(Subsidized) | 0.97% | ||||
Investor Class | |||||
(Unsubsidized) | 0.82% | ||||
Average | |||||
Effective | |||||
Duration | 0.44 years | ||||
Sector Weightings(1) | |||||
Average | |||||
Effective | |||||
Maturity | 0.46 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 | 65.5% | ||||
Number of | |||||
Holdings | 214 | ||||
(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) | SEC yields are based on SEC guidelines and are calculated for the 30 days ended December 31, 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, 2017. 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. |
Page 7
Baird Ultra Short Bond Fund
December 31, 2015 (Unaudited)
Institutional Class
Value of a $25,000 Investment
Growth of a hypothetical investment of $25,000 made on the Fund’s inception date (12/31/13), assuming reinvestment of all distributions.
Investor Class
Value of a $10,000 Investment
Growth of a hypothetical investment of $10,000 made on the Fund’s inception date (12/31/13), assuming reinvestment of all distributions.
Page 8
Baird Ultra Short Bond Fund
December 31, 2015 (Unaudited)
Total Returns
Average | ||
Annual | ||
One | Since | |
For the Periods Ended December 31, 2015 | Year | Inception(1) |
Institutional Class Shares | 0.30% | 0.76% |
Investor Class Shares | 0.16% | 0.52% |
Barclays U.S. Short-Term Government/Corporate Index(2) | 0.26% | 0.22% |
(1) | For the period from December 31, 2013 (commencement of operations) through December 31, 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 line graph on the previous page and 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 9
Baird Ultra Short Bond Fund
Summary Schedule of Investments, December 31, 2015
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, | ||||||||||||
0.500%, 03/31/2017 | $ | 30,200,000 | $ | 30,061,986 | 15.8 | % | ||||||
Total U.S. Treasury Security | ||||||||||||
(Cost $30,146,652) | 30,061,986 | 15.8 | % | |||||||||
Corporate Bonds | ||||||||||||
Finance | ||||||||||||
American Express Co., | ||||||||||||
0.968%, 05/22/2018 | 1,500,000 | 1,490,709 | 0.8 | % | ||||||||
American International Group, Inc., | ||||||||||||
5.600%, 10/18/2016 | 1,500,000 | 1,548,117 | 0.8 | % | ||||||||
Barclays Bank PLC, | ||||||||||||
Series 1, 5.000%, 09/22/2016 f | 1,200,000 | 1,230,792 | 0.6 | % | ||||||||
Capital One Financial Corp., | ||||||||||||
3.150%, 07/15/2016 | 1,015,000 | 1,024,381 | 0.5 | % | ||||||||
Citigroup, Inc., | ||||||||||||
0.747%, 06/09/2016 | 1,050,000 | 1,046,907 | 0.5 | % | ||||||||
CNA Financial Corp., | ||||||||||||
6.500%, 08/15/2016 | 1,300,000 | 1,338,557 | 0.7 | % | ||||||||
Comerica Bank, | ||||||||||||
5.750%, 11/21/2016 | 1,500,000 | 1,553,717 | 0.8 | % | ||||||||
Countrywide Financial Corp., | ||||||||||||
6.250%, 05/15/2016 | 1,400,000 | 1,423,598 | 0.7 | % | ||||||||
GE Capital International Funding Co., | ||||||||||||
0.964%, 04/15/2016 (Acquired 01/06/2015, | ||||||||||||
Cost $2,008,163)* f | 2,015,000 | 2,015,909 | 1.1 | % | ||||||||
Lloyds Bank PLC, | ||||||||||||
0.912%, 05/14/2018 f | 1,500,000 | 1,489,119 | 0.8 | % | ||||||||
Macquarie Bank Ltd., | ||||||||||||
1.384%, 03/24/2017 (Acquired 03/18/2014 | ||||||||||||
through 09/17/2015, Cost $1,202,113)* f | 1,200,000 | 1,199,587 | 0.6 | % | ||||||||
Santander Bank NA, | ||||||||||||
1.251%, 01/12/2018 | 1,400,000 | 1,389,966 | 0.7 | % |
The accompanying notes are an integral part of these financial statements.
Page 10
Baird Ultra Short Bond Fund
Summary Schedule of Investments, December 31, 2015
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
Societe Generale, | ||||||||||||
1.692%, 10/01/2018 f | $ | 1,500,000 | $ | 1,512,060 | 0.8 | % | ||||||
Standard Chartered PLC, | ||||||||||||
0.955%, 04/17/2018 (Acquired 04/13/2015, | ||||||||||||
Cost $1,200,000)* f | 1,200,000 | 1,192,897 | 0.6 | % | ||||||||
Symetra Financial Corp., | ||||||||||||
6.125%, 04/01/2016 (Acquired 04/23/2014 | ||||||||||||
through 12/16/2015, Cost $2,042,062)* | 2,020,000 | 2,040,818 | 1.1 | % | ||||||||
The Bank of Nova Scotia, | ||||||||||||
0.962%, 06/11/2018 f | 1,500,000 | 1,496,230 | 0.8 | % | ||||||||
The Huntington National Bank, | ||||||||||||
1.350%, 08/02/2016 | 1,725,000 | 1,725,109 | 0.9 | % | ||||||||
The Toronto-Dominion Bank, | ||||||||||||
0.894%, 11/05/2019 f | 1,200,000 | 1,192,918 | 0.6 | % | ||||||||
US Bancorp, | ||||||||||||
0.720%, 04/25/2019^ | 1,440,000 | 1,431,806 | 0.8 | % | ||||||||
Westpac Banking Corp., | ||||||||||||
0.823%, 05/25/2018 f | 1,500,000 | 1,490,511 | 0.8 | % | ||||||||
Other Finance#~ | 34,921,026 | 18.4 | % | |||||||||
Total Finance | ||||||||||||
(Cost $63,938,401) | 63,754,734 | 33.4 | % | |||||||||
Utility | ||||||||||||
Other Utility#~ | 1,267,056 | 0.7 | % | |||||||||
Total Utility | ||||||||||||
(Cost $1,272,329) | 1,267,056 | 0.7 | % | |||||||||
Industrials | ||||||||||||
Actavis Funding SCS, | ||||||||||||
1.757%, 03/12/2020 f | 1,500,000 | 1,505,358 | 0.8 | % | ||||||||
Amgen, Inc., | ||||||||||||
2.300%, 06/15/2016 | 1,500,000 | 1,508,631 | 0.8 | % | ||||||||
Baxalta, Inc., | ||||||||||||
1.366%, 06/22/2018 (Acquired 06/18/2015, | ||||||||||||
Cost $1,500,000)* | 1,500,000 | 1,495,320 | 0.8 | % | ||||||||
Canadian Natural Resources Ltd., | ||||||||||||
0.978%, 03/30/2016 f | 1,115,000 | 1,112,526 | 0.6 | % | ||||||||
Chevron Phillips Chemical Co. LLC, | ||||||||||||
1.079%, 05/01/2020 (Acquired 05/07/2015, | ||||||||||||
Cost $1,500,000)* | 1,500,000 | 1,508,310 | 0.8 | % | ||||||||
Daimler Finance North America LLC, | ||||||||||||
1.044%, 08/03/2017 (Acquired 07/28/2015, | ||||||||||||
Cost $1,050,000)* | 1,050,000 | 1,048,774 | 0.5 | % | ||||||||
Deutsche Telekom International Finance BV, | ||||||||||||
5.750%, 03/23/2016 f | 1,300,000 | 1,312,011 | 0.7 | % |
The accompanying notes are an integral part of these financial statements.
Page 11
Baird Ultra Short Bond Fund
Summary Schedule of Investments, December 31, 2015
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
Express Scripts Holding Co., | ||||||||||||
3.125%, 05/15/2016 | $ | 1,130,000 | $ | 1,137,540 | 0.6 | % | ||||||
Ford Motor Credit Co. LLC, | ||||||||||||
4.207%, 04/15/2016 | 1,245,000 | 1,254,969 | 0.7 | % | ||||||||
Hyundai Capital Services, Inc., | ||||||||||||
4.375%, 07/27/2016 (Acquired 05/28/2015 | ||||||||||||
through 07/28/2015, Cost $1,424,471)* f | 1,400,000 | 1,419,492 | 0.8 | % | ||||||||
Johnson Controls, Inc., | ||||||||||||
2.600%, 12/01/2016 | 1,250,000 | 1,262,257 | 0.6 | % | ||||||||
Kinder Morgan Finance Co. LLC, | ||||||||||||
5.700%, 01/05/2016 | 1,453,000 | 1,453,000 | 0.8 | % | ||||||||
Lafarge SA, | ||||||||||||
6.500%, 07/15/2016 f | 1,100,000 | 1,127,765 | 0.6 | % | ||||||||
Marathon Petroleum Corp., | ||||||||||||
3.500%, 03/01/2016 | 1,750,000 | 1,754,931 | 0.9 | % | ||||||||
Masco Corp., | ||||||||||||
6.125%, 10/03/2016 | 1,050,000 | 1,081,479 | 0.6 | % | ||||||||
Qualcomm, Inc., | ||||||||||||
0.920%, 05/20/2020 | 1,500,000 | 1,469,057 | 0.8 | % | ||||||||
Thermo Fisher Scientific, Inc., | ||||||||||||
2.250%, 08/15/2016 | 1,350,000 | 1,357,391 | 0.7 | % | ||||||||
TTX Co., | ||||||||||||
6.050%, 06/15/2016 (Acquired 09/18/2015, | ||||||||||||
Cost $1,532,802)* | 1,500,000 | 1,529,481 | 0.8 | % | ||||||||
Vale Overseas Ltd., | ||||||||||||
6.250%, 01/11/2016 f | 1,080,000 | 1,079,838 | 0.6 | % | ||||||||
Verizon Communications, Inc., | ||||||||||||
2.252%, 09/14/2018 | 1,563,000 | 1,600,412 | 0.8 | % | ||||||||
Other Industrials#~ | 27,229,420 | 14.2 | % | |||||||||
Total Industrials | ||||||||||||
(Cost $54,938,909) | 54,247,962 | 28.5 | % | |||||||||
Total Corporate Bonds | ||||||||||||
(Cost $120,149,639) | 119,269,752 | 62.6 | % | |||||||||
Other Government Related Securities | ||||||||||||
Other Government Related Securities#~ | 3,062,906 | 1.6 | % | |||||||||
Total Other Government Related Securities | ||||||||||||
(Cost $3,086,210) | 3,062,906 | 1.6 | % | |||||||||
Taxable Municipal Bonds | ||||||||||||
Other Taxable Municipal Bonds# | 3,672,056 | 1.9 | % | |||||||||
Total Taxable Municipal Bonds | ||||||||||||
(Cost $3,669,796) | 3,672,056 | 1.9 | % |
The accompanying notes are an integral part of these financial statements.
Page 12
Baird Ultra Short Bond Fund
Summary Schedule of Investments, December 31, 2015
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# | $ | 993,869 | 0.5 | % | ||||||||
Total U.S. Government Agency Issues | ||||||||||||
(Cost $982,019) | 993,869 | 0.5 | % | |||||||||
Non-U.S. Government Agency Issues | ||||||||||||
Other Non-U.S. Government Agency Issues# | 178,811 | 0.1 | % | |||||||||
Total Non-U.S. Government Agency Issues | ||||||||||||
(Cost $176,644) | 178,811 | 0.1 | % | |||||||||
Asset Backed Securities | ||||||||||||
Capital Auto Receivables Asset Trust: | ||||||||||||
Series 2014-3, Class A2, 1.180%, 12/20/2017 | $ | 1,300,000 | 1,298,747 | 0.7 | % | |||||||
Series 2014-1, Class A3, 1.320%, 06/20/2018 | 1,300,000 | 1,299,511 | 0.7 | % | ||||||||
Series 2013-1, Class A3, 0.790%, 06/20/2017 | 78,053 | 78,031 | 0.0 | % | ||||||||
Citibank Credit Card Issuance Trust, | ||||||||||||
Series 2013-A3, Class A3, 1.110%, 07/23/2018 | 1,700,000 | 1,701,017 | 0.9 | % | ||||||||
Dell Equipment Finance Trust, | ||||||||||||
Series 2015-1, Class A2, 1.010%, 07/24/2017 | ||||||||||||
(Acquired 04/15/2015 through 09/22/2015, | ||||||||||||
Cost $1,799,805)* | 1,800,000 | 1,796,593 | 0.9 | % | ||||||||
Golden Credit Card Trust, | ||||||||||||
Series 2013-1A, Class A, 0.581%, 02/15/2018 | ||||||||||||
(Acquired 04/24/2015 through 05/05/2015, | ||||||||||||
Cost $1,719,057)* f | 1,720,000 | 1,719,574 | 0.9 | % | ||||||||
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 | 1,198,614 | 0.6 | % | ||||||||
J.P. Morgan Mortgage Acquisition Trust: | ||||||||||||
0.532%-0.592%, 04/25/2036-5/25/2037 | 2,418,869 | 2,387,791 | 1.3 | % | ||||||||
Saxon Asset Securities Trust 2006-1, | ||||||||||||
Series 2006-1, Class A2C, 0.742%, 03/25/2036 | 1,144,688 | 1,122,012 | 0.6 | % | ||||||||
Springleaf Funding Trust, | ||||||||||||
Series 2014-AA, Class A, 2.410%, 12/15/2022 | ||||||||||||
(Acquired 05/13/2015 through 07/28/2015, | ||||||||||||
Cost $1,219,180)* | 1,215,000 | 1,211,549 | 0.6 | % | ||||||||
Other Asset Backed Securities#~ | 13,432,131 | 7.1 | % | |||||||||
Total Asset Backed Securities | ||||||||||||
(Cost $27,250,314) | 27,245,570 | 14.3 | % | |||||||||
Total Long-Term Investments | ||||||||||||
(Cost $185,461,274) | 184,484,950 | 96.8 | % |
The accompanying notes are an integral part of these financial statements.
Page 13
Baird Ultra Short Bond Fund
Summary Schedule of Investments, December 31, 2015
Short-Term Investment
% of | ||||||||||||
Shares | Value | Net Assets | ||||||||||
Money Market Mutual Fund | ||||||||||||
Dreyfus Cash Advantage Fund, 0.26%« | 9,149,837 | $ | 9,149,837 | 4.8 | % | |||||||
Total Short-Term Investment | ||||||||||||
(Cost $9,149,837) | 9,149,837 | 4.8 | % | |||||||||
Total Investments | ||||||||||||
(Cost $194,611,111) | 193,634,787 | 101.6 | % | |||||||||
Liabilities in Excess of Other Assets | (3,111,359 | ) | (1.6 | )% | ||||||||
TOTAL NET ASSETS | $ | 190,523,428 | 100.0 | % |
Notes to Summary 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 may extend only to qualified institutional buyers. At December 31, 2015, the value of these securities total $19,376,918, which represents 10.17% of total net assets. | |
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 $19,424,659 representing 10.20% of net assets. | |
^ | As of December 31, 2015, US Bancorp (the parent company of U.S. Bank, N.A.) is considered an “affiliated person” of an “affiilated person” of the Fund for purposes of the 1940 Act. Please see Note 5 for additional information. |
Summary of Fair Value Exposure at December 31, 2015
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 14
Baird Ultra Short Bond Fund
Summary Schedule of Investments, December 31, 2015
Summary of Fair Value Exposure at December 31, 2015 (cont.)
The following is a summary of the inputs used to value the Fund’s investments as of December 31, 2015:
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Long-Term Investments | ||||||||||||||||
U.S. Treasury Security | $ | — | $ | 30,061,986 | $ | — | $ | 30,061,986 | ||||||||
Corporate Bonds | — | 119,269,752 | — | 119,269,752 | ||||||||||||
Other Government Related Securities | — | 3,062,906 | — | 3,062,906 | ||||||||||||
Taxable Municipal Bonds | — | 3,672,056 | — | 3,672,056 | ||||||||||||
Residential Mortgage-Backed Securities – | ||||||||||||||||
U.S. Government Agency Issues | — | 993,869 | — | 993,869 | ||||||||||||
Residential Mortgage-Backed Securities – | ||||||||||||||||
Non-U.S. Government Agency Issues | — | 178,811 | — | 178,811 | ||||||||||||
Asset Backed Securities | — | 27,245,570 | — | 27,245,570 | ||||||||||||
Total Long-Term Investments | — | 184,484,950 | — | 184,484,950 | ||||||||||||
Short-Term Investment | ||||||||||||||||
Money Market Mutual Fund | 9,149,837 | — | — | 9,149,837 | ||||||||||||
Total Short-Term Investment | 9,149,837 | — | — | 9,149,837 | ||||||||||||
Total Investments | $ | 9,149,837 | $ | 184,484,950 | $ | — | $ | 193,634,787 |
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 15
Baird Short-Term Bond Fund
December 31, 2015
The Baird Short-Term Bond Fund seeks an annual rate of total return, before Fund expenses, greater than the annual rate of total return of the Barclays 1-3 Year U.S. Government/Credit Bond Index. The Barclays 1-3 Year U.S. Government/Credit Bond Index is an unmanaged, market value weighted index of investment grade, fixed rate debt issues, including government and credit securities, with maturities between one and three years.
The Fund generated attractive absolute and relative returns versus its benchmark in 2015. Our long-term commitment to duration neutrality once again proved to be a prudent strategy as the bond market experienced heightened volatility during the year. The primary factors contributing to the Fund’s relative outperformance in 2015 are described below.
• | Credit positioning overall was a positive for the year. Drivers include the Fund’s overweight to investment grade credit and Financials in particular, which was the best performing sector in credit. This was partially offset by positioning in commodity sensitive sectors including Energy and Metals & Mining due to the significant spread widening that occurred in these industry sectors in reaction to the sharp drop in energy and other commodity prices. | |
• | Exposure to select, non-Agency residential mortgage-backed securities (RMBS) was a positive for the year resulting from strong continued supply/demand technicals and ongoing broad improvements in the housing market. | |
• | Exposure to consumer asset-backed securities (such as, automobile, credit card and equipment receivables) was a modest positive contributor to annual performance resulting from continued strength in U.S. consumer fundamentals. | |
• | The Fund benefited from its yield curve positioning during the year as the yield curve flattened. |
The start of any new year is always filled with excitement and uncertainty and 2016 certainly qualifies on both of those accounts. We will be tracking the economic data and Fed guidance with the same diligence as always, knowing there will be both challenges and opportunities as the Fed’s policy rate normalization process unfolds. Global market influences are likely to add to market volatility, as may the political environment in the U.S. leading up to the November elections. As a reminder, we have only purchased investment grade, U.S. dollar denominated securities in the cash bond market (no derivatives). The Fund remains duration neutral to its benchmark and we believe it is well positioned to add value relative to its benchmark.
Page 16
Baird Short-Term Bond Fund
December 31, 2015 (Unaudited)
Portfolio Characteristics
Quality Distribution(1)(2) | |||||
Net Assets | $3,016,609,155 | ||||
SEC 30-Day | |||||
Yield(3) | |||||
Institutional Class | 1.84% | ||||
Investor Class | 1.59% | ||||
Average | |||||
Effective | |||||
Duration | 1.88 years | ||||
Average | |||||
Effective | |||||
Maturity | 1.91 years | ||||
Annualized | |||||
Expense | |||||
Ratio | |||||
Sector Weightings(1) | Institutional Class | 0.30% | |||
Investor Class | 0.55% | (4) | |||
Portfolio | |||||
Turnover Rate | 37.8% | ||||
Number of | |||||
Holdings | 550 | ||||
(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 December 31, 2015. |
(4) | Includes 0.25% 12b-1 fee. |
Page 17
Baird Short-Term Bond Fund
December 31, 2015 (Unaudited)
Institutional Class
Value of a $25,000 Investment
Growth of a hypothetical investment of $25,000 made on the Fund’s inception date (8/31/04), assuming reinvestment of all distributions.
Investor Class
Value of a $10,000 Investment
Growth of a hypothetical investment of $10,000 made on the Fund’s inception date (9/19/12), assuming reinvestment of all distributions.
Page 18
Baird Short-Term Bond Fund
December 31, 2015 (Unaudited)
Total Returns
Average Annual | |||||
Since | Since | ||||
One | Five | Ten | Inception | Inception | |
For the Periods Ended December 31, 2015 | Year | Years | Years | (8/31/04) | (9/19/12) |
Institutional Class Shares | 0.89% | 1.98% | 3.11% | 2.91% | N/A |
Investor Class Shares | 0.64% | N/A | N/A | N/A | 1.12% |
Barclays 1-3 Year U.S. | |||||
Government/Credit Bond Index(1) | 0.65% | 0.98% | 2.74% | 2.58% | 0.70% |
(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 line graph on the previous page and 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 19
Baird Short-Term Bond Fund
Summary Schedule of Investments, December 31, 2015
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@ | $ | 435,125,000 | $ | 432,354,559 | 14.3 | % | ||||||
Total U.S. Treasury Security | ||||||||||||
(Cost $434,003,661) | 432,354,559 | 14.3 | % | |||||||||
Corporate Bonds | ||||||||||||
Finance | ||||||||||||
ABN AMRO Bank NV, | ||||||||||||
1.123%, 10/28/2016 (Acquired 10/23/2013 | ||||||||||||
through 05/19/2014, Cost $11,053,879)* f | 11,050,000 | 11,080,940 | 0.4 | % | ||||||||
Citizens Bank, National Association, | ||||||||||||
1.600%, 12/04/2017 | 14,300,000 | 14,166,695 | 0.5 | % | ||||||||
CNA Financial Corp., | ||||||||||||
7.350%, 11/15/2019 | 10,200,000 | 11,743,535 | 0.4 | % | ||||||||
Commonwealth Bank of Australia/New York NY, | ||||||||||||
1.750%, 11/02/2018 f | 15,000,000 | 14,891,175 | 0.5 | % | ||||||||
Compass Bank, | ||||||||||||
1.850%, 09/29/2017 | 10,505,000 | 10,415,193 | 0.4 | % | ||||||||
GE Capital International Funding Co., | ||||||||||||
0.964%, 04/15/2016 (Acquired 01/08/2013 | ||||||||||||
through 11/13/2014, Cost $11,554,535)* f | 11,700,000 | 11,705,277 | 0.4 | % | ||||||||
LeasePlan Corp. NV, | ||||||||||||
2.500%, 05/16/2018 (Acquired 05/07/2013 | ||||||||||||
through 10/20/2014, Cost $14,718,403)* f | 14,785,000 | 14,561,347 | 0.5 | % | ||||||||
Macquarie Bank Ltd., | ||||||||||||
2.000%, 08/15/2016 (Acquired 08/07/2013 | ||||||||||||
through 04/29/2015, Cost $10,155,606)* f | 10,150,000 | 10,188,621 | 0.3 | % | ||||||||
Nomura Holdings, Inc., | ||||||||||||
2.000%, 09/13/2016 f | 10,205,000 | 10,246,024 | 0.4 | % | ||||||||
Orange Cogen Funding Corp., | ||||||||||||
8.175%, 03/15/2022 (Acquired 02/10/2015 | ||||||||||||
through 09/16/2015, Cost $12,135,987)* | 10,370,040 | 12,030,263 | 0.4 | % |
The accompanying notes are an integral part of these financial statements.
Page 20
Baird Short-Term Bond Fund
Summary Schedule of Investments, December 31, 2015
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
Synchrony Financial, | ||||||||||||
3.000%, 08/15/2019@ | $ | 13,350,000 | $ | 13,331,470 | 0.4 | % | ||||||
Voya Financial, Inc., | ||||||||||||
2.900%, 02/15/2018 | 14,708,000 | 14,866,993 | 0.5 | % | ||||||||
Other Finance#~ | 690,374,629 | 22.8 | % | |||||||||
Total Finance | ||||||||||||
(Cost $841,254,796) | 839,602,162 | 27.9 | % | |||||||||
Utility | ||||||||||||
Other Utility# | 63,943,657 | 2.1 | % | |||||||||
Total Utility | ||||||||||||
(Cost $64,095,002) | 63,943,657 | 2.1 | % | |||||||||
Industrials | ||||||||||||
Amgen, Inc., | ||||||||||||
5.700%, 02/01/2019@ | 10,000,000 | 11,024,830 | 0.4 | % | ||||||||
Boardwalk Pipelines LP, | ||||||||||||
5.500%, 02/01/2017 | 13,384,000 | 13,561,097 | 0.5 | % | ||||||||
CF Industries, Inc., | ||||||||||||
6.875%, 05/01/2018 | 11,182,000 | 12,115,932 | 0.4 | % | ||||||||
Dollar General Corp., | ||||||||||||
4.125%, 07/15/2017 | 17,321,000 | 17,786,710 | 0.6 | % | ||||||||
Marathon Petroleum Corp., | ||||||||||||
2.700%, 12/14/2018 | 14,100,000 | 13,942,686 | 0.4 | % | ||||||||
Pentair Finance SA, | ||||||||||||
2.900%, 09/15/2018 f | 13,075,000 | 13,016,476 | 0.5 | % | ||||||||
Petrofac Ltd., | ||||||||||||
3.400%, 10/10/2018 (Acquired 10/03/2013 | ||||||||||||
through 09/25/2015, Cost $12,207,947)* f | 12,050,000 | 11,445,283 | 0.4 | % | ||||||||
PetroLogistics LP / PetroLogistics Finance Corp., | ||||||||||||
6.250%, 04/01/2020 | 11,755,000 | 12,283,975 | 0.4 | % | ||||||||
Pfizer, Inc., | ||||||||||||
6.050%, 03/30/2017 | 9,654,000 | 10,234,032 | 0.3 | % | ||||||||
Pioneer Natural Resources Co., | ||||||||||||
5.875%, 07/15/2016 | 10,133,000 | 10,291,359 | 0.3 | % | ||||||||
Teck Resources Ltd., | ||||||||||||
3.850%, 08/15/2017 f | 12,236,000 | 10,278,240 | 0.3 | % | ||||||||
The Dow Chemical Co., | ||||||||||||
8.550%, 05/15/2019 | 11,427,000 | 13,468,422 | 0.4 | % | ||||||||
Thermo Fisher Scientific, Inc., | ||||||||||||
1.850%, 01/15/2018 | 12,000,000 | 11,961,504 | 0.4 | % | ||||||||
TSMC Global Ltd., | ||||||||||||
1.625%, 04/03/2018 (Acquired 08/05/2014 | ||||||||||||
through 11/03/2015, Cost $13,287,312)* f | 13,419,000 | 13,152,297 | 0.4 | % | ||||||||
Vale Overseas Ltd., | ||||||||||||
6.250%, 01/23/2017@ f | 15,250,000 | 15,221,025 | 0.5 | % |
The accompanying notes are an integral part of these financial statements.
Page 21
Baird Short-Term Bond Fund
Summary Schedule of Investments, December 31, 2015
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
Valero Energy Corp., | ||||||||||||
9.375%, 03/15/2019 | $ | 10,349,000 | $ | 12,226,619 | 0.4 | % | ||||||
Verizon Communications, Inc., | ||||||||||||
3.650%, 09/14/2018 | 14,000,000 | 14,639,674 | 0.5 | % | ||||||||
Viacom, Inc., | ||||||||||||
2.500%, 09/01/2018 | 11,005,000 | 10,977,509 | 0.4 | % | ||||||||
Other Industrials#~ | 726,025,833 | 24.1 | % | |||||||||
Total Industrials | ||||||||||||
(Cost $969,355,895) | 953,653,503 | 31.6 | % | |||||||||
Total Corporate Bonds | ||||||||||||
(Cost $1,874,705,693) | 1,857,199,322 | 61.6 | % | |||||||||
Other Government Related Securities | ||||||||||||
Other Government Related Securities#~ | 76,758,290 | 2.5 | % | |||||||||
Total Other Government Related Securities | ||||||||||||
(Cost $77,420,373) | 76,758,290 | 2.5 | % | |||||||||
Taxable Municipal Bonds | ||||||||||||
New Hampshire Housing Finance Authority, | ||||||||||||
4.000%, 07/01/2036 (Callable 07/10/2024) | 11,855,000 | 12,175,559 | 0.4 | % | ||||||||
Other Taxable Municipal Bonds# | 68,639,706 | 2.3 | % | |||||||||
Total Taxable Municipal Bonds | ||||||||||||
(Cost $81,492,243) | 80,815,265 | 2.7 | % | |||||||||
Residential Mortgage-Backed Securities | ||||||||||||
U.S. Government Agency Issues | ||||||||||||
Other U.S. Government Agency Issues# | 127,790 | 0.0 | % | |||||||||
Total U.S. Government Agency Issues | ||||||||||||
(Cost $123,793) | 127,790 | 0.0 | % | |||||||||
Non-U.S. Government Agency Issues | ||||||||||||
Thornburg Mortgage Securities Trust, | ||||||||||||
Series 2003-5, Class 3A, 2.363%, 10/25/2043 | 12,206,014 | 12,287,458 | 0.4 | % | ||||||||
Other Non-U.S. Government Agency Issues# | 40,495,651 | 1.4 | % | |||||||||
Total Non-U.S. Government Agency Issues | ||||||||||||
(Cost $52,932,626) | 52,783,109 | 1.8 | % | |||||||||
Asset Backed Securities | ||||||||||||
Accredited Mortgage Loan Trust, | ||||||||||||
Series 2006-2, Class A3, 0.572%, 09/25/2036 | 12,472,133 | 12,327,658 | 0.4 | % | ||||||||
Argent Securities Inc Asset-Backed | ||||||||||||
Pass-Through Certificates, | ||||||||||||
Series 2005-W3, Class A2D, 0.762%, 11/25/2035 | 11,663,061 | 11,314,881 | 0.4 | % | ||||||||
California Republic Auto Receivables Trust, | ||||||||||||
Series 2015-3, Class A3, 1.620%, 11/15/2019 | 17,500,000 | 17,362,942 | 0.6 | % |
The accompanying notes are an integral part of these financial statements.
Page 22
Baird Short-Term Bond Fund
Summary Schedule of Investments, December 31, 2015
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
Capital Auto Receivables Asset Trust: | ||||||||||||
Series 2014-3, Class A2, 1.180%, 12/20/2017 | $ | 25,685,000 | $ | 25,660,232 | 0.9 | % | ||||||
Series 2014-2, Class A2, 0.910%, 04/20/2017 | 6,377,200 | 6,373,293 | 0.2 | % | ||||||||
Chase Issuance Trust: | ||||||||||||
Series 2014-A1, Class A1, 1.150%, 01/15/2019 | 23,435,000 | 23,416,880 | 0.8 | % | ||||||||
Series 2015-A5, Class A5, 1.360%, 04/15/2020 | 13,300,000 | 13,223,936 | 0.4 | % | ||||||||
Dell Equipment Finance Trust, | ||||||||||||
Series 2015-1, Class A2, 1.010%, 07/24/2017 | ||||||||||||
(Acquired 04/15/2015 through 09/22/2015, | ||||||||||||
Cost $29,923,274)* | 29,925,000 | 29,868,364 | 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 $17,945,278)* | 17,894,000 | 18,038,346 | 0.6 | % | ||||||||
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 | 14,543,843 | 0.5 | % | ||||||||
GSAA Trust, | ||||||||||||
Series 2005-8, Class A4, 0.692%, 06/25/2035 | 16,943,274 | 16,462,895 | 0.5 | % | ||||||||
Kubota Credit Owner Trust, | ||||||||||||
Series 2015-1A, Class A3, 1.540%, 03/15/2019 | ||||||||||||
(Acquired 01/22/2015, Cost $17,572,547)* | 17,575,000 | 17,462,601 | 0.6 | % | ||||||||
RASC Series Trust, | ||||||||||||
Series 2005-AHL2, Class A3, 0.772%, 10/25/2035 | 10,398,345 | 10,250,094 | 0.3 | % | ||||||||
Structured Asset Investment Loan Trust, | ||||||||||||
Series 2004-9, Class A5, 1.422%, 10/25/2034 | 13,063,014 | 12,982,397 | 0.4 | % | ||||||||
Synchrony Credit Card Master Note Trust, | ||||||||||||
Series 2014-1, Class A, 1.610%, 11/15/2020 | 11,700,000 | 11,662,616 | 0.4 | % | ||||||||
Other Asset Backed Securities#~ | 177,719,530 | 5.9 | % | |||||||||
Total Asset Backed Securities | ||||||||||||
(Cost $419,191,700) | 418,670,508 | 13.9 | % | |||||||||
Commercial Mortgage-Backed Securities | ||||||||||||
DBUBS Mortgage Trust, | ||||||||||||
Series 2011-LC3A, Class A2, 3.642%, 08/10/2044 | 14,389,396 | 14,444,486 | 0.5 | % | ||||||||
J.P. Morgan Chase Commercial Mortgage Securities Trust, | ||||||||||||
Series 2012-C8, Class ASB, 2.379%, 10/15/2045 | 16,100,000 | 15,937,210 | 0.5 | % | ||||||||
Other Commercial Mortgage Backed Securities# | 15,956,072 | 0.5 | % | |||||||||
Total Commercial Mortgage Backed Securities | ||||||||||||
(Cost $47,896,026) | 46,337,768 | 1.5 | % | |||||||||
Total Long-Term Investments | ||||||||||||
(Cost $2,987,766,115) | 2,965,046,611 | 98.3 | % |
The accompanying notes are an integral part of these financial statements.
Page 23
Baird Short-Term Bond Fund
Summary Schedule of Investments, December 31, 2015
Short-Term Investments
% of | ||||||||||||
Shares | Value | Net Assets | ||||||||||
Money Market Mutual Funds | ||||||||||||
Dreyfus Cash Advantage Fund, 0.26%« | 4,841,562 | $ | 4,841,562 | 0.1 | % | |||||||
Short-Term Investments Trust – | ||||||||||||
Liquid Assets Portfolio, 0.29%« | 59,589,773 | 59,589,773 | 2.0 | % | ||||||||
Total Short-Term Investments | ||||||||||||
(Cost $64,431,335) | 64,431,335 | 2.1 | % | |||||||||
Investment Purchased with Cash | ||||||||||||
Proceeds from Securities Lending | ||||||||||||
Investment Company | ||||||||||||
Mount Vernon Securities Lending | ||||||||||||
Trust Prime Portfolio, 0.49%« | 47,134,707 | 47,134,707 | 1.6 | % | ||||||||
Total Investment Company | ||||||||||||
(Cost $47,134,707) | 47,134,707 | 1.6 | % | |||||||||
Total Investment Purchased with | ||||||||||||
Cash Proceeds from Securities Lending | ||||||||||||
(Cost $47,134,707) | 47,134,707 | 47,134,707 | 1.6 | % | ||||||||
Total Investments | ||||||||||||
(Cost $3,099,332,157) | 3,076,612,653 | 102.0 | % | |||||||||
Liabilities in Excess of Other Assets | (60,003,498 | ) | (2.0 | )% | ||||||||
TOTAL NET ASSETS | $ | 3,016,609,155 | 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 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 may extend only to qualified institutional buyers. At December 31, 2015, the value of these securities total $164,077,182, which represents 5.44% of total net assets. | |
@ | This security or portion of this security is out on loan at December 31, 2015. | |
f | Foreign Security | |
« | 7-Day Yield | |
~ | Groupings contain, in aggregate, restricted securities totaling $476,971,328 representing 15.81% of net assets. |
Summary of Fair Value Exposure at December 31, 2015
The Fund has adopted authoritative fair valuation accounting standards which establish a definition of fair value and set out a hierarchy for measuring fair value. These standards require additional disclosures about the various inputs and valuation techniques used to develop the measurements of fair value and a discussion on changes in valuation techniques and related inputs during the period. These standards define fair value as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date.
The accompanying notes are an integral part of these financial statements.
Page 24
Baird Short-Term Bond Fund
Summary Schedule of Investments, December 31, 2015
Summary of Fair Value Exposure at December 31, 2015 (cont.)
The fair value hierarchy is organized into three levels based upon the assumptions (referred to as “inputs”) used in pricing the asset or liability. These standards state that “observable inputs” reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from independent sources and “unobservable inputs” reflect an entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability. These inputs are summarized into three broad levels and described below:
Level 1 – | Unadjusted quoted prices in active markets for identical unrestricted securities. |
Level 2 – | Other significant observable inputs (including quoted prices for similar securities, quoted prices in inactive markets, dealer indications, interest rates, yield curves, prepayment speeds, credit risk, default rates, inputs corroborated by observable market data, etc.). |
Level 3 – | Significant unobservable inputs (including the Fund’s own assumptions about the factors that market participants would use in valuing the security) based on the best information available. |
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used to value the Fund’s investments as of December 31, 2015:
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Long-Term Investments | ||||||||||||||||
U.S. Treasury Security | $ | — | $ | 432,354,559 | $ | — | $ | 432,354,559 | ||||||||
Corporate Bonds | — | 1,857,199,322 | — | 1,857,199,322 | ||||||||||||
Other Government Related Securities | — | 76,758,290 | — | 76,758,290 | ||||||||||||
Taxable Municipal Bonds | — | 80,815,265 | — | 80,815,265 | ||||||||||||
Residential Mortgage-Backed Securities – | ||||||||||||||||
U.S. Government Agency Issues | — | 127,790 | — | 127,790 | ||||||||||||
Residential Mortgage-Backed Securities – | ||||||||||||||||
Non-U.S. Government Agency Issues | — | 52,783,109 | — | 52,783,109 | ||||||||||||
Asset Backed Securities | — | 418,670,508 | — | 418,670,508 | ||||||||||||
Commercial Mortgage-Backed Securities | — | 46,337,768 | — | 46,337,768 | ||||||||||||
Total Long-Term Investments | — | 2,965,046,611 | — | 2,965,046,611 | ||||||||||||
Short-Term Investments | ||||||||||||||||
Money Market Mutual Funds | 64,431,335 | — | — | 64,431,335 | ||||||||||||
Total Short-Term Investments | 64,431,335 | — | — | 64,431,335 | ||||||||||||
Investment Purchased with Cash | ||||||||||||||||
Proceeds from Securities Lending | ||||||||||||||||
Investment Company | 47,134,707 | — | — | 47,134,707 | ||||||||||||
Total Investment Purchased | ||||||||||||||||
with Cash Proceeds from | ||||||||||||||||
Securities Lending | 47,134,707 | — | — | 47,134,707 | ||||||||||||
Total Investments | $ | 111,566,042 | $ | 2,965,046,611 | $ | — | $ | 3,076,612,653 |
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 25
Baird Intermediate Bond Fund
December 31, 2015
The Baird Intermediate Bond Fund seeks an annual rate of total return, before Fund expenses, greater than the annual rate of total return of the Barclays Intermediate U.S. Government/Credit Bond Index. The Barclays Intermediate U.S. Government/Credit Bond Index is an unmanaged, market value weighted index of investment grade, fixed-rate debt issues, including government and credit securities, with maturities between one and ten years.
The Fund generated positive absolute returns but modestly lagged its benchmark in 2015. Our long-term commitment to duration neutrality once again proved to be a prudent strategy as the bond market experienced heightened volatility during the year. The primary factors contributing to the Fund’s relative performance in 2015 are described below.
• | Overall positioning in credit detracted from performance primarily due to the overweight to investment grade credit as spreads widened. Also detracting from performance was the positioning in commodity sensitive sectors including Energy and Metals & Mining due to the significant spread widening that occurred in these industry sectors in reaction to the sharp drop in energy and other commodity prices. Partially offsetting this was the positive contribution provided from an overweight to Financials, the best performing credit sector in the year. Positioning of the Fund’s credit exposure generally shorter than the exposure in the benchmark also proved beneficial. | |
• | Exposure to select, non-Agency residential mortgage-backed securities (RMBS) was a positive contributor to annual performance. The sector outperformed on continued favorable supply/demand technicals and ongoing broad fundamental improvement in the housing market. | |
• | Exposure to commercial mortgage-backed securities (CMBS) was a modest detractor for the year as spreads widened. This was mitigated by the Fund’s high quality bias in this sector (including Agency CMBS and non-Agency super senior AAA rated tranches with 30% loss protection). | |
• | The Fund benefited from its yield curve positioning during the year as the yield curve flattened. |
The start of any new year is always filled with excitement and uncertainty and 2016 certainly qualifies on both of those accounts. We will be tracking the economic data and Fed guidance with the same diligence as always, knowing there will be both challenges and opportunities as the Fed’s policy rate normalization process unfolds. Global market influences are likely to add to market volatility, as may the political environment in the U.S. leading up to the November elections. As a reminder, we have only purchased investment grade, U.S. dollar denominated securities in the cash bond market (no derivatives). The Fund remains duration neutral to its benchmark and we believe it is well positioned to add value relative to its benchmark.
Page 26
Baird Intermediate Bond Fund
December 31, 2015 (Unaudited)
Portfolio Characteristics
Quality Distribution(1)(2)
Net Assets | $1,890,327,767 | ||||
SEC 30-Day | |||||
Yield(3) | |||||
Institutional Class | 2.21% | ||||
Investor Class | 1.96% | ||||
Average | |||||
Effective | |||||
Duration | 3.97 years | ||||
Average | |||||
Effective | |||||
Maturity | 4.41 years | ||||
Annualized | |||||
Expense | |||||
Sector Weightings(1) | Ratio | ||||
Institutional Class | 0.30% | ||||
Investor Class | 0.55% | (4) | |||
Portfolio | |||||
Turnover Rate | 39.0% | ||||
Number of | |||||
Holdings | 457 | ||||
(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 December 31, 2015. |
(4) | Includes 0.25% 12b-1 fee. |
Page 27
Baird Intermediate Bond Fund
December 31, 2015 (Unaudited)
Institutional Class
Value of a $25,000 Investment
Growth of a hypothetical investment of $25,000 made on the Fund’s inception date (9/29/00), assuming reinvestment of all distributions.
Investor Class
Value of a $10,000 Investment
Growth of a hypothetical investment of $10,000 made on the Fund’s inception date (9/29/00), assuming reinvestment of all distributions.
Page 28
Baird Intermediate Bond Fund
December 31, 2015 (Unaudited)
Total Returns
Average Annual | ||||
One | Five | Ten | Since | |
For the Periods Ended December 31, 2015 | Year | Years | Years | Inception(1) |
Institutional Class Shares | 0.99% | 3.36% | 4.57% | 5.15% |
Investor Class Shares | 0.79% | 3.11% | 4.29% | 4.89% |
Barclays Intermediate | ||||
U.S. Government/Credit Bond Index(2) | 1.07% | 2.58% | 4.04% | 4.70% |
(1) | For the period from September 29, 2000 (inception date) through December 31, 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 line graph on the previous page and 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 29
Baird Intermediate Bond Fund
Summary Schedule of Investments, December 31, 2015
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: | ||||||||||||
2.625%, 08/15/2020 | $ | 281,075,000 | $ | 91,977,618 | 15.5 | % | ||||||
1.750%, 03/31/2022 | 114,950,000 | 113,180,805 | 6.0 | % | ||||||||
2.500%, 05/15/2024 | 185,500,000 | 189,550,578 | 10.0 | % | ||||||||
Total U.S. Treasury Securities | ||||||||||||
(Cost $596,051,693) | 594,709,001 | 31.5 | % | |||||||||
Corporate Bonds | ||||||||||||
Finance | ||||||||||||
Caisse Centrale Desjardins, | ||||||||||||
0.989%, 01/29/2018 (Acquired 01/26/2015, | ||||||||||||
Cost $8,000,000)* f | 8,000,000 | 7,984,360 | 0.4 | % | ||||||||
Citizens Bank, National Association, | ||||||||||||
2.450%, 12/04/2019 | 8,000,000 | 7,870,088 | 0.4 | % | ||||||||
Credit Suisse Group Funding Guernsey Ltd., | ||||||||||||
2.750%, 03/26/2020 (Acquired 03/23/2015, | ||||||||||||
Cost $6,246,812)* f | 6,250,000 | 6,190,756 | 0.3 | % | ||||||||
GE Capital International Funding Co., | ||||||||||||
2.342%, 11/15/2020 (Acquired 02/11/2010 | ||||||||||||
through 12/24/2014, Cost $6,154,361)* f | 6,730,000 | 6,673,872 | 0.4 | % | ||||||||
J.P. Morgan Chase & Co., | ||||||||||||
2.250%, 01/23/2020 | 7,875,000 | 7,747,275 | 0.4 | % | ||||||||
Keybank National Association, | ||||||||||||
0.934%, 06/01/2018 | 8,000,000 | 7,980,816 | 0.4 | % | ||||||||
Skandinaviska Enskilda Banken AB, | ||||||||||||
2.450%, 05/27/2020 (Acquired 05/19/2015, | ||||||||||||
Cost $8,486,910)*@ f | 8,500,000 | 8,443,382 | 0.4 | % | ||||||||
Standard Chartered PLC, | ||||||||||||
0.955%, 04/17/2018 (Acquired 04/13/2015, | ||||||||||||
Cost $8,500,000)* f | 8,500,000 | 8,449,689 | 0.5 | % | ||||||||
UBS AG, | ||||||||||||
2.950%, 09/24/2020 (Acquired 09/21/2015, | ||||||||||||
Cost $6,214,355)*@ f | 6,225,000 | 6,166,890 | 0.3 | % | ||||||||
WEA Finance LLC / Westfield UK & Europe Finance PLC, | ||||||||||||
3.250%, 10/05/2020 (Acquired 09/28/2015, | ||||||||||||
Cost $7,474,275)* | 7,500,000 | 7,528,703 | 0.4 | % |
The accompanying notes are an integral part of these financial statements.
Page 30
Baird Intermediate Bond Fund
Summary Schedule of Investments, December 31, 2015
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
Wells Fargo & Co., | ||||||||||||
Series N, 2.150%, 01/30/2020 | $ | 7,000,000 | $ | 6,938,673 | 0.4 | % | ||||||
Other Finance#~ | 353,387,174 | 18.7 | % | |||||||||
Total Finance | ||||||||||||
(Cost $432,220,299) | 435,361,678 | 23.0 | % | |||||||||
Utility | ||||||||||||
Other Utility#~ | 23,342,954 | 1.2 | % | |||||||||
Total Utility | ||||||||||||
(Cost $23,018,687) | 23,342,954 | 1.2 | % | |||||||||
Industrials | ||||||||||||
Charter Communications, Inc., | ||||||||||||
4.464%, 07/23/2022 (Acquired 07/09/2015, | ||||||||||||
Cost $7,150,000)* | 7,150,000 | 7,125,046 | 0.4 | % | ||||||||
Hutchison Whampoa International (09) Ltd., | ||||||||||||
7.625%, 04/09/2019 (Acquired 10/16/2009 | ||||||||||||
through 04/16/2014, Cost $5,973,598)* f | 5,400,000 | 6,241,520 | 0.3 | % | ||||||||
Hyundai Capital Services, Inc., | ||||||||||||
3.500%, 09/13/2017 (Acquired 08/04/2014 | ||||||||||||
through 09/30/2014, Cost $6,322,811)* f | 6,150,000 | 6,264,138 | 0.3 | % | ||||||||
Petrofac Ltd., | ||||||||||||
3.400%, 10/10/2018 (Acquired 10/03/2013 | ||||||||||||
through 09/19/2014, Cost $6,935,833)* f | 6,880,000 | 6,534,734 | 0.3 | % | ||||||||
Sysco Corp., | ||||||||||||
2.600%, 10/01/2020 | 7,600,000 | 7,612,023 | 0.4 | % | ||||||||
The Mosaic Co., | ||||||||||||
4.250%, 11/15/2023@ | 8,606,000 | 8,523,598 | 0.5 | % | ||||||||
Valero Energy Corp., | ||||||||||||
9.375%, 03/15/2019 | 5,898,000 | 6,968,074 | 0.4 | % | ||||||||
Verizon Communications, Inc., | ||||||||||||
5.150%, 09/15/2023 | 6,100,000 | 6,705,889 | 0.4 | % | ||||||||
Other Industrials#~ | 307,199,982 | 16.2 | % | |||||||||
Total Industrials | ||||||||||||
(Cost $373,225,067) | 363,175,004 | 19.2 | % | |||||||||
Total Corporate Bonds | ||||||||||||
(Cost $828,464,053) | �� | 821,879,636 | 43.4 | % | ||||||||
Other Government Related Securities | ||||||||||||
Electricite de France SA, | ||||||||||||
2.350%, 10/13/2020 (Acquired 10/07/2015, | ||||||||||||
Cost $8,800,006)* f | 8,875,000 | 8,736,994 | 0.5 | % | ||||||||
Other Government Related Securities#~ | 40,680,756 | 2.1 | % | |||||||||
Total Other Government Related Securities | ||||||||||||
(Cost $49,322,849) | 49,417,750 | 2.6 | % |
The accompanying notes are an integral part of these financial statements.
Page 31
Baird Intermediate Bond Fund
Summary Schedule of Investments, December 31, 2015
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
Taxable Municipal Bonds | ||||||||||||
City of Bristol VA, | ||||||||||||
3.668%, 10/01/2022 (Callable 10/01/2020) | $ | 7,500,000 | $ | 7,551,300 | 0.4 | % | ||||||
Other Taxable Municipal Bonds# | 34,167,129 | 1.8 | % | |||||||||
Total Taxable Municipal Bonds | ||||||||||||
(Cost $42,454,247) | 41,718,429 | 2.2 | % | |||||||||
Residential Mortgage-Backed Securities | ||||||||||||
U.S. Government Agency Issues | ||||||||||||
Federal Home Loan Mortgage Corp. (FHLMC), | ||||||||||||
1.375%, 05/01/2020@ | 10,000,000 | 9,845,710 | 0.5 | % | ||||||||
Other U.S. Government Agency Issues# | 833,984 | 0.1 | % | |||||||||
Total U.S. Government Agency Issues | ||||||||||||
(Cost $10,377,632) | 10,679,694 | 0.6 | % | |||||||||
Non-U.S. Government Agency Issues | ||||||||||||
MortgageIT Trust, | ||||||||||||
Series 2005-3, Class A1, 0.722%, 08/25/2035 | 10,128,796 | 9,375,861 | 0.5 | % | ||||||||
Thornburg Mortgage Securities Trust, | ||||||||||||
Series 2003-5, Class 3A, 2.363%, 10/25/2043 | 7,323,608 | 7,372,475 | 0.4 | % | ||||||||
Wells Fargo Mortgage Backed Securities, | ||||||||||||
Series 2005-AR10, Class 2A17, 2.738%, 06/25/2035 | 7,985,622 | 8,121,288 | 0.4 | % | ||||||||
Other Non-U.S. Government Agency Issues# | 27,165,499 | 1.4 | % | |||||||||
Total Non-U.S. Government Agency Issues | ||||||||||||
(Cost $51,862,555) | 52,035,123 | 2.7 | % | |||||||||
Asset Backed Securities | ||||||||||||
Capital Auto Receivables Asset Trust: | ||||||||||||
Series 2014-2, Class A2, 0.910%, 04/20/2017 | 3,042,456 | 3,040,592 | 0.2 | % | ||||||||
Series 2015-2, Class A2, 1.390%, 09/20/2018 | 10,125,000 | 10,081,162 | 0.5 | % | ||||||||
Series 2015-3, Class A2, 1.720%, 01/22/2019 | 6,875,000 | 6,860,904 | 0.4 | % | ||||||||
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 | 17,965,933 | 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 $10,902,702)* | 10,859,000 | �� | 10,946,596 | 0.6 | % | |||||||
Series 2014-2, Class A, 2.310%, 04/15/2026 | ||||||||||||
(Acquired 10/07/2014, Cost $11,745,689)* | 11,750,000 | 11,730,709 | 0.6 | % | ||||||||
Home Equity Asset Trust, | ||||||||||||
Series 2006-8, Class 2A2, 0.532%, 03/25/2037 | 9,915,279 | 9,836,640 | 0.5 | % | ||||||||
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 | 9,985,726 | 0.5 | % | ||||||||
Specialty Underwriting & Residential Finance Trust, | ||||||||||||
Series 2006-BC1, Class A2D, 0.722%, 12/25/2036 | 7,617,879 | 7,395,540 | 0.4 | % |
The accompanying notes are an integral part of these financial statements.
Page 32
Baird Intermediate Bond Fund
Summary Schedule of Investments, December 31, 2015
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
Springleaf Funding Trust, | ||||||||||||
Series 2014-AA, Class A, 2.410%, 12/15/2022 | ||||||||||||
(Acquired 10/26/2015, Cost $10,646,307)* | $ | 10,640,000 | $ | 10,609,777 | 0.6 | % | ||||||
Synchrony Credit Card Master Note Trust, | ||||||||||||
Series 2012-2, Class A, 2.220%, 01/15/2022 | 8,250,000 | 8,272,105 | 0.4 | % | ||||||||
TCF Auto Receivables Owner Trust, | ||||||||||||
Series 2014-1A, Class A4, 1.560%, 01/15/2020 | ||||||||||||
(Acquired 05/29/2015 through 06/12/2015, | ||||||||||||
Cost $15,609,612)* | 15,575,000 | 15,492,144 | 0.8 | % | ||||||||
Other Asset Backed Securities#~ | 53,301,656 | 2.8 | % | |||||||||
Total Asset Backed Securities | ||||||||||||
(Cost $175,641,937) | 175,519,484 | 9.3 | % | |||||||||
Commercial Mortgage-Backed Securities | ||||||||||||
DBUBS Mortgage Trust, | ||||||||||||
Series 2011-LC3A, Class A2, 3.642%, 08/10/2044 | 7,206,397 | 7,233,986 | 0.4 | % | ||||||||
FHLMC Multifamily Structured Pass Through Certificates: | ||||||||||||
Series K708, Class A2, 2.130%, 01/25/2019 | 8,300,000 | 8,369,946 | 0.4 | % | ||||||||
Series K003, Class A4, 5.053%, 01/25/2019 | 9,000,000 | 9,796,344 | 0.5 | % | ||||||||
Series K004, Class A2, 4.186%, 08/25/2019 | 5,875,000 | 6,305,216 | 0.3 | % | ||||||||
1.052%-4.317%, 02/25/2018-07/25/2020 | 13,889,835 | 14,576,926 | 0.8 | % | ||||||||
J.P. Morgan Chase Commercial Mortgage Securities Trust, | ||||||||||||
Series 2012-C8, Class ASB, 2.379%, 10/15/2045 | 8,004,000 | 7,923,070 | 0.4 | % | ||||||||
Wells Fargo Commercial Mortgage Trust: | ||||||||||||
Series 2014-LC18, Class ASB, 3.244%, 12/15/2047 | 16,400,000 | 16,493,967 | 0.9 | % | ||||||||
Series 2015-P2, Class ASB, 3.656%, 12/15/2048 | 10,400,000 | 10,671,350 | 0.6 | % | ||||||||
WFRBS Commercial Mortgage Trust: | ||||||||||||
Series 2012-C6, Class A4, 3.440%, 04/15/2045 | 8,000,000 | 8,216,164 | 0.4 | % | ||||||||
Series 2014-C24, Class ASB, 3.324%, 11/15/2047 | 8,275,000 | 8,376,581 | 0.5 | % | ||||||||
Other Commercial Mortgage Backed Securities# | 9,013,483 | 0.5 | % | |||||||||
Total Commercial Mortgage Backed Securities | ||||||||||||
(Cost $107,398,188) | 106,977,033 | 5.7 | % | |||||||||
Total Long-Term Investments | ||||||||||||
(Cost $1,861,573,154) | 1,852,936,150 | 98.0 | % | |||||||||
Short-Term Investments | ||||||||||||
Shares | ||||||||||||
Money Market Mutual Funds | ||||||||||||
Dreyfus Cash Advantage Fund, 0.26%« | 18,669,841 | 18,669,841 | 1.0 | % | ||||||||
Short-Term Investments Trust – | ||||||||||||
Liquid Assets Portfolio, 0.29%« | 37,000,000 | 37,000,000 | 2.0 | % | ||||||||
Total Short-Term Investments | ||||||||||||
(Cost $55,669,841) | 55,669,841 | 3.0 | % |
The accompanying notes are an integral part of these financial statements.
Page 33
Baird Intermediate Bond Fund
Summary Schedule of Investments, December 31, 2015
Investments Purchased with Cash
Proceeds from Securities Lending
% of | ||||||||||||
Shares | Value | Net Assets | ||||||||||
Investment Company | ||||||||||||
Mount Vernon Securities Lending | ||||||||||||
Trust Prime Portfolio, 0.49%« | 47,247,814 | $ | 47,247,814 | 2.5 | % | |||||||
Total Investment Company | ||||||||||||
(Cost $47,247,814) | 47,247,814 | 2.5 | % | |||||||||
Total Investment Purchased With | ||||||||||||
Cash Proceeds From Securities Lending | ||||||||||||
(Cost $47,247,814) | 47,247,814 | 2.5 | % | |||||||||
Total Investments | ||||||||||||
(Cost $1,964,490,809) | 1,955,853,805 | 103.5 | % | |||||||||
Liabilities in Excess of Other Assets | (65,526,038 | ) | (3.5 | )% | ||||||||
TOTAL NET ASSETS | $ | 1,890,327,767 | 100.0 | % |
Notes to Summary 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 may extend only to qualified institutional buyers. At December 31, 2015, the value of these securities total $163,070,969, which represents 8.63% of total net assets. | |
@ | This security or portion of this security is out on loan at December 31, 2015. | |
f | Foreign Security | |
# | 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 $216,921,081 representing 11.47% of net assets. | |
« | 7-Day Yield |
Summary of Fair Value Exposure at December 31, 2015
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 34
Baird Intermediate Bond Fund
Summary Schedule of Investments, December 31, 201
Summary of Fair Value Exposure at December 31, 2015 (cont.)
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used to value the Fund’s investments as of December 31, 2015:
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Long-Term Investments | ||||||||||||||||
U.S. Treasury Securities | $ | — | $ | 594,709,001 | $ | — | $ | 594,709,001 | ||||||||
Corporate Bonds | — | 821,861,963 | 17,673 | 821,879,636 | ||||||||||||
Other Government Related Securities | — | 59,567,628 | — | 59,567,628 | ||||||||||||
Taxable Municipal Bonds | — | 41,718,429 | — | 41,718,429 | ||||||||||||
Residential Mortgage-Backed Securities – | ||||||||||||||||
U.S. Government Agency Issues | — | 529,816 | — | 529,816 | ||||||||||||
Residential Mortgage-Backed Securities – | ||||||||||||||||
Non-U.S. Government Agency Issues | — | 52,035,123 | — | 52,035,123 | ||||||||||||
Asset Backed Securities | — | 175,519,484 | — | 175,519,484 | ||||||||||||
Commercial Mortgage-Backed Securities | — | 106,977,033 | — | 106,977,033 | ||||||||||||
Total Long-Term Investments | — | 1,852,918,477 | 17,673 | 1,852,936,150 | ||||||||||||
Short-Term Investments | ||||||||||||||||
Money Market Mutual Funds | 55,669,841 | — | — | 55,669,841 | ||||||||||||
Total Short-Term Investments | 55,669,841 | — | — | 55,669,841 | ||||||||||||
Investment Purchased with Cash | ||||||||||||||||
Proceeds from Securities Lending | ||||||||||||||||
Investment Company | 47,247,814 | — | — | 47,247,814 | ||||||||||||
Total Investment Purchased with | ||||||||||||||||
Cash Proceeds from Securities Lending | 47,247,814 | — | — | 47,247,814 | ||||||||||||
Total Investments | $ | 102,917,655 | $ | 1,852,918,477 | $ | 17,673 | $ | 1,955,853,805 |
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 in accordance with the Fund’s policies and procedures. 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) | (2,058 | ) | ||
Change in unrealized appreciation (depreciation) | 9,006 | |||
Purchases | — | |||
Sales | (9,786 | ) | ||
Transfers in and/or out of Level 3* | — | |||
Balance as of December 31, 2015 | $ | 17,673 |
* Transfers between levels are recognized at the end of the reporting period.
The accompanying notes are an integral part of these financial statements.
Page 35
Baird Aggregate Bond Fund
December 31, 2015
The Baird Aggregate Bond Fund seeks an annual rate of total return, before Fund expenses, greater than the annual rate of total return of the Barclays U.S. Aggregate Bond Index. The Barclays U.S. Aggregate Bond Index is an unmanaged, market value weighted index of investment grade, fixed-rate debt issues, including government, credit, asset-backed (ABS), mortgage-backed (MBS) and commercial mortgage-backed (CMBS) securities with maturities of at least one year.
The Fund generated positive absolute returns and tracked its benchmark in 2015. Our long-term commitment to duration neutrality once again proved to be a prudent strategy as the bond market experienced heightened volatility during the year. The primary factors contributing to the Fund’s relative performance in 2015 are described below.
• | The Fund benefited from an overweight to Financials, the best performing credit sector for the year. Positioning of the Fund’s credit exposure generally shorter than the exposure in the benchmark also proved beneficial. Partially offsetting this was the Fund’s overweight to investment grade credit as spreads widened. Also detracting from performance was the positioning in commodity sensitive sectors including Energy and Metals & Mining due to the significant spread widening that occurred in these industry sectors in reaction to the sharp drop in energy and other commodity prices. | |
• | Exposure to select, non-Agency residential mortgage-backed securities (RMBS) was a positive contributor to performance. The sector outperformed on continued favorable supply/demand technicals and ongoing broad fundamental improvement in the housing market. | |
• | An underweight to Government Agency MBS was a modest positive contributor as the sector underperformed equal duration U.S. Treasuries. | |
• | The Fund’s overweight to CMBS was a modest detractor for the year as spreads widened. This was mitigated by the Fund’s high quality bias in this sector (such as super senior AAA rated tranches with 30% loss protection). | |
• | The Fund benefited from its yield curve positioning during the year as the yield curve flattened. |
The start of any new year is always filled with excitement and uncertainty, and 2016 certainly qualifies on both of those accounts. We will be tracking the economic data and Fed guidance with the same diligence as always, knowing there will be both challenges and opportunities as the Fed’s policy rate normalization process unfolds. Global market influences are likely to add to market volatility, as may the political environment in the U.S. leading up to the November elections. As a reminder, we have only purchased investment grade, U.S. dollar denominated securities in the cash bond market (no derivatives). The Fund remains duration neutral to its benchmark and we believe it is well positioned to add value relative to its benchmark.
Page 36
Baird Aggregate Bond Fund
December 31, 2015 (Unaudited)
Portfolio Characteristics
Quality Distribution(1)(2)
Net Assets | $6,748,062,820 | ||||
SEC 30-Day | |||||
Yield(3) | |||||
Institutional Class | 2.67% | ||||
Investor Class | 2.42% | ||||
Average | |||||
Effective | |||||
Duration | 5.68 years | ||||
Average | |||||
Effective | |||||
Maturity | 7.36 years | ||||
Annualized | |||||
Expense | |||||
Sector Weightings(1) | Ratio | ||||
Institutional Class | 0.30% | ||||
Investor Class | 0.55% | (4) | |||
Portfolio | |||||
Turnover Rate | 39.6% | ||||
Number of | |||||
Holdings | 799 | ||||
(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 December 31, 2015. |
(4) | Includes 0.25% 12b-1 fee. |
Page 37
Baird Aggregate Bond Fund
December 31, 2015 (Unaudited)
Institutional Class
Value of a $25,000 Investment
Growth of a hypothetical investment of $25,000 made on the Fund’s inception date (9/29/00), assuming reinvestment of all distributions.
Investor Class
Value of a $10,000 Investment
Growth of a hypothetical investment of $10,000 made on the Fund’s inception date (9/29/00), assuming reinvestment of all distributions.
Page 38
Baird Aggregate Bond Fund
December 31, 2015 (Unaudited)
Total Returns
Average Annual | ||||
One | Five | Ten | Since | |
For the Periods Ended December 31, 2015 | Year | Years | Years | Inception(1) |
Institutional Class Shares | 0.55% | 4.32% | 4.84% | 5.65% |
Investor Class Shares | 0.21% | 4.04% | 4.58% | 5.40% |
Barclays U.S. Aggregate Bond Index(2) | 0.55% | 3.25% | 4.51% | 5.16% |
(1) | For the period from September 29, 2000 (inception date) through December 31, 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 line graph on the previous page and 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 39
Baird Aggregate Bond Fund
Summary Schedule of Investments, December 31, 2015
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: | ||||||||||||
2.625%, 08/15/2020 | $ | 317,175,000 | $ | 329,477,901 | 4.9 | % | ||||||
1.750%, 03/31/2022 | 102,475,000 | 100,897,807 | 1.5 | % | ||||||||
2.500%, 05/15/2024 | 186,475,000 | 190,546,868 | 2.8 | % | ||||||||
5.250%, 11/15/2028@ | 77,676,500 | 101,486,134 | 1.5 | % | ||||||||
3.500%, 02/15/2039@ | 484,080,900 | 535,438,979 | 7.9 | % | ||||||||
2.500%, 02/15/2045 | 18,875,000 | 16,940,313 | 0.3 | % | ||||||||
Total U.S. Treasury Securities | ||||||||||||
(Cost $1,289,467,876) | 1,274,788,002 | 18.9 | % | |||||||||
Corporate Bonds | ||||||||||||
Finance | ||||||||||||
Comerica Bank, | ||||||||||||
2.500%, 06/02/2020@ | 29,000,000 | 28,845,053 | 0.4 | % | ||||||||
Massachusetts Mutual Life Insurance Co., | ||||||||||||
8.875%, 06/01/2039 (Acquired 05/27/2009 | ||||||||||||
through 07/24/2015, Cost $24,807,058)* | 16,675,000 | 24,213,768 | 0.4 | % | ||||||||
Other Finance#~ | 1,314,284,641 | 19.5 | % | |||||||||
Total Finance | ||||||||||||
(Cost $1,371,073,974) | 1,367,343,462 | 20.3 | % | |||||||||
Utility | ||||||||||||
Other Utility#~ | 54,864,785 | 0.8 | % | |||||||||
Total Utility | ||||||||||||
(Cost $54,288,169) | 54,864,785 | 0.8 | % | |||||||||
Industrials | ||||||||||||
AT&T, Inc., | ||||||||||||
3.400%, 05/15/2025 | 28,200,000 | 27,102,738 | 0.4 | % | ||||||||
Chevron Phillips Chemical Co. LLC, | ||||||||||||
1.079%, 05/01/2020 (Acquired 05/07/2015, | ||||||||||||
Cost $25,000,000)* | 25,000,000 | 25,138,500 | 0.4 | % | ||||||||
Forest Laboratories, Inc., | ||||||||||||
5.000%, 12/15/2021 (Acquired 08/26/2014 | ||||||||||||
through 04/24/2015, Cost $26,110,406)* | 24,000,000 | 26,078,496 | 0.4 | % |
The accompanying notes are an integral part of these financial statements.
Page 40
Baird Aggregate Bond Fund
Summary Schedule of Investments, December 31, 2015
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
Verizon Communications, Inc., | ||||||||||||
6.400%, 09/15/2033 | $ | 29,640,000 | $ | 33,768,200 | 0.5 | % | ||||||
Other Industrials#~ | 1,131,663,282 | 16.7 | % | |||||||||
Total Industrials | ||||||||||||
(Cost $1,302,474,445) | 1,243,751,216 | 18.4 | % | |||||||||
Total Corporate Bonds | ||||||||||||
(Cost $2,727,836,588) | 2,665,959,463 | 39.5 | % | |||||||||
Other Government Related Securities | ||||||||||||
Other Government Related Securities#~ | 115,063,957 | 1.7 | % | |||||||||
Total Other Government Related Securities | ||||||||||||
(Cost $117,700,463) | 115,063,957 | 1.7 | % | |||||||||
Taxable Municipal Bonds | ||||||||||||
Other Taxable Municipal Bonds# | 130,429,654 | 1.9 | % | |||||||||
Total Taxable Municipal Bonds | ||||||||||||
(Cost $125,711,619) | 130,429,654 | 1.9 | % | |||||||||
Residential Mortgage-Backed Securities | ||||||||||||
U.S. Government Agency Issues | ||||||||||||
Federal Gold Loan Mortgage Corp. (FGLMC): | ||||||||||||
4.000%, 01/01/2041 | 28,815,481 | 30,528,118 | 0.5 | % | ||||||||
3.000%, 08/01/2042 | 26,547,116 | 26,565,058 | 0.4 | % | ||||||||
3.000%, 06/01/2043 | 27,951,486 | 27,963,152 | 0.4 | % | ||||||||
3.500%, 05/01/2044 | 39,786,642 | 41,107,171 | 0.6 | % | ||||||||
4.000%, 10/01/2044 | 21,491,526 | 22,799,474 | 0.3 | % | ||||||||
2.500%-6.500%, 06/01/2020-06/01/2045 | 284,521,350 | 297,365,185 | 4.4 | % | ||||||||
Federal National Mortgage Association (FNMA): | ||||||||||||
4.500%, 01/01/2020 | 30,589,337 | 31,718,657 | 0.5 | % | ||||||||
2.500%, 05/01/2030 | 23,669,215 | 23,886,713 | 0.4 | % | ||||||||
4.500%, 10/01/2033 | 35,064,777 | 38,168,605 | 0.6 | % | ||||||||
5.000%, 10/01/2033 | 36,991,033 | 40,916,485 | 0.6 | % | ||||||||
5.000%, 06/01/2039 | 22,752,858 | 25,094,269 | 0.4 | % | ||||||||
3.500%, 02/01/2041 | 26,227,956 | 27,123,091 | 0.4 | % | ||||||||
4.000%, 02/01/2041 | 24,063,583 | 25,542,114 | 0.4 | % | ||||||||
3.500%, 03/01/2041 | 37,344,817 | 38,619,309 | 0.6 | % | ||||||||
4.000%, 06/01/2041 | 33,050,348 | 35,035,000 | 0.5 | % | ||||||||
4.000%, 01/01/2042 | 23,932,771 | 25,380,886 | 0.4 | % | ||||||||
4.500%, 01/01/2042 | 23,734,203 | 25,675,269 | 0.4 | % | ||||||||
4.000%, 08/01/2042 | 32,193,830 | 34,175,641 | 0.5 | % | ||||||||
3.000%, 05/01/2043 | 32,290,220 | 32,360,129 | 0.5 | % | ||||||||
4.500%, 09/01/2043 | 26,195,664 | 28,341,829 | 0.4 | % | ||||||||
3.500%, 04/01/2045 | 51,077,046 | 52,796,169 | 0.8 | % | ||||||||
2.500%-8.000%, 07/25/2019-10/01/2045 | 294,037,364 | 310,483,981 | 4.4 | % | ||||||||
Government National Mortgage Association (GNMA): | ||||||||||||
3.000%, 04/20/2045 | 54,099,144 | 54,906,331 | 0.8 | % | ||||||||
3.500%, 04/20/2045 | 57,677,455 | 60,214,778 | 0.9 | % |
The accompanying notes are an integral part of these financial statements.
Page 41
Baird Aggregate Bond Fund
Summary Schedule of Investments, December 31, 2015
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
Government National Mortgage Association (GNMA): (cont.) | ||||||||||||
4.000%, 08/20/2045 | $ | 31,859,556 | $ | 33,853,213 | 0.5 | % | ||||||
3.500%-6.000%, 11/20/2033-09/20/2042 | 31,338,230 | 33,477,630 | 0.5 | % | ||||||||
Other U.S. Government Agency Issues# | 627,744 | 0.0 | % | |||||||||
Total U.S. Government Agency Issues | ||||||||||||
(Cost $1,419,263,933) | 1,424,726,001 | 21.1 | % | |||||||||
Non-U.S. Government Agency Issues | ||||||||||||
Merrill Lynch Mortgage Investors Trust, | ||||||||||||
Series 2005-A10, Class A, 0.632%, 02/25/2036 | 28,096,310 | 25,921,341 | 0.4 | % | ||||||||
Thornburg Mortgage Securities Trust, | ||||||||||||
Series 2003-5, Class 3A, 2.363%, 10/25/2043 | 28,382,802 | 28,572,187 | 0.4 | % | ||||||||
Wells Fargo Mortgage Backed Securities, | ||||||||||||
Series 2005-AR10, Class 2A17, 2.738%, 06/25/2035 | 29,781,739 | 30,287,695 | 0.5 | % | ||||||||
Other Non-U.S. Government Agency Issues# | 160,991,134 | 2.4 | % | |||||||||
Total Non-U.S. Government Agency Issues | ||||||||||||
(Cost $246,388,133) | 245,772,357 | 3.7 | % | |||||||||
Asset Backed Securities | ||||||||||||
Capital Auto Receivables Asset Trust, | ||||||||||||
Series 2013-4, Class A3, 1.090%, 03/20/2018 | 35,867,612 | 35,825,335 | 0.6 | % | ||||||||
OneMain Financial Issuance Trust, | ||||||||||||
Series 2014-2A, Class A, 2.470%, 09/18/2024 | ||||||||||||
(Acquired 11/16/2015, Cost $27,911,697)* | 27,997,000 | 27,941,846 | 0.4 | % | ||||||||
Republic Services, Inc., | ||||||||||||
Series 2006-KS4, Class A4, 0.662%, 06/25/2036 | 24,861,643 | 24,160,124 | 0.4 | % | ||||||||
Synchrony Credit Card Master Note Trust: | ||||||||||||
Series 2012-3, Class A, 0.781%, 03/15/2020 | 58,340,000 | 58,244,929 | 0.9 | % | ||||||||
1.600%-2.370%, 04/15/2021-03/15/2023 | 21,466,000 | 21,348,792 | 0.3 | % | ||||||||
TCF Auto Receivables Owner Trust, | ||||||||||||
Series 2015-1A, Class A2, 1.020%, 08/15/2018 | ||||||||||||
(Acquired 06/03/2015, Cost $22,852,924)* | 22,854,240 | 22,812,682 | 0.4 | % | ||||||||
Other Asset Backed Securities#~ | 273,615,016 | 3.9 | % | |||||||||
Total Asset Backed Securities | ||||||||||||
(Cost $464,863,079) | 463,948,724 | 6.9 | % | |||||||||
Commercial Mortgage-Backed Securities | ||||||||||||
Federal National Mortgage Association (FNMA), | ||||||||||||
Series 2011-M4, Class A2, 3.726%, 06/25/2021 | 20,000,000 | 21,311,958 | 0.3 | % | ||||||||
GS Mortgage Securities Corp. II, | ||||||||||||
Series 2012-GCJ9, Class A3, 2.773%, 11/10/2045 | 23,297,320 | 22,917,441 | 0.3 | % | ||||||||
Morgan Stanley Bank of America Merrill Lynch Trust: | ||||||||||||
Series 2012-C5, Class A4, 3.176%, 08/15/2045 | 27,615,000 | 28,035,701 | 0.4 | % | ||||||||
Series 2012-C6, Class A4, 2.858%, 11/15/2045 | 23,670,945 | 23,564,679 | 0.3 | % | ||||||||
Series 2013-C12, Class A3, 3.973%, 10/15/2046 | 22,850,000 | 24,247,917 | 0.4 | % | ||||||||
Series 2013-C11, Class A3, 3.960%, 08/15/2046 | 12,100,000 | 12,746,253 | 0.2 | % |
The accompanying notes are an integral part of these financial statements.
Page 42
Baird Aggregate Bond Fund
Summary Schedule of Investments, December 31, 2015
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
Wells Fargo Commercial Mortgage Trust, | ||||||||||||
Series 2015-P2, Class A3, 3.541%, 12/15/2048 | $ | 31,100,000 | $ | 31,198,755 | 0.5 | % | ||||||
WFRBS Commercial Mortgage Trust, | ||||||||||||
Series 2012-C6, Class A4, 3.440%, 04/15/2045 | 22,864,220 | 23,482,023 | 0.3 | % | ||||||||
Other Commercial Mortgage Backed Securities# | 206,144,347 | 3.1 | % | |||||||||
Total Commercial Mortgage Backed Securities | ||||||||||||
(Cost $397,436,143) | 393,649,074 | 5.8 | % | |||||||||
Total Long-Term Investments | ||||||||||||
(Cost $6,788,667,834) | 6,714,337,232 | 99.5 | % | |||||||||
Short-Term Investments | ||||||||||||
Shares | ||||||||||||
Money Market Mutual Funds | ||||||||||||
Dreyfus Cash Advantage Fund, 0.26%« | 26,346,923 | 26,346,923 | 0.4 | % | ||||||||
Short-Term Investments Trust – | ||||||||||||
Liquid Assets Portfolio, 0.29%« | 134,000,000 | 134,000,000 | 2.0 | % | ||||||||
Total Short-Term Investments | ||||||||||||
(Cost $160,346,923) | 160,346,923 | 2.4 | % | |||||||||
Investment Purchased with Cash | ||||||||||||
Proceeds from Securities Lending | ||||||||||||
Investment Company | ||||||||||||
Mount Vernon Securities Lending | ||||||||||||
Trust Prime Portfolio, 0.49%« | 182,206,644 | 182,206,644 | 2.7 | % | ||||||||
Total Investment Company | ||||||||||||
(Cost $182,206,644) | 182,206,644 | 2.7 | % | |||||||||
Total Investment Purchased With | ||||||||||||
Cash Proceeds From Securities Lending | ||||||||||||
(Cost $182,206,644) | 182,206,644 | 2.7 | % | |||||||||
Total Investments | ||||||||||||
(Cost $7,131,221,401) | 7,056,890,799 | 104.6 | % | |||||||||
Liabilities in Excess of Other Assets | (308,827,979 | ) | (4.6 | )% | ||||||||
TOTAL NET ASSETS | $ | 6,748,062,820 | 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 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 may extend only to qualified institutional buyers. At December 31, 2015, the value of these securities total $126,185,292, which represents 1.87% of total net assets. | |
@ | This security or portion of this security is out on loan at December 31, 2015. | |
« | 7-Day Yield | |
~ | Groupings contain, in aggregate, restricted securities totaling $865,859,000 representing 12.83% of net assets. |
The accompanying notes are an integral part of these financial statements.
Page 43
Baird Aggregate Bond Fund
Summary Schedule of Investments, December 31, 2015
Summary of Fair Value Exposure at December 31, 2015
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 December 31, 2015:
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Long-Term Investments | ||||||||||||||||
U.S. Treasury Securities | $ | — | $ | 1,274,788,002 | $ | — | $ | 1,274,788,002 | ||||||||
Corporate Bonds | — | 2,665,959,463 | — | 2,665,959,463 | ||||||||||||
Other Government Related Securities | — | 115,063,957 | — | 115,063,957 | ||||||||||||
Taxable Municipal Bonds | — | 130,429,654 | — | 130,429,654 | ||||||||||||
Residential Mortgage-Backed Securities – | ||||||||||||||||
U.S. Government Agency Issues | — | 1,424,726,001 | — | 1,424,726,001 | ||||||||||||
Residential Mortgage-Backed Securities – | ||||||||||||||||
Non-U.S. Government Agency Issues | — | 245,772,357 | — | 245,772,357 | ||||||||||||
Asset Backed Securities | — | 463,948,724 | — | 463,948,724 | ||||||||||||
Commercial Mortgage-Backed Securities | — | 393,649,074 | — | 393,649,074 | ||||||||||||
Total Long-Term Investments | — | 6,714,337,232 | — | 6,714,337,232 | ||||||||||||
Short-Term Investments | ||||||||||||||||
Money Market Mutual Funds | 160,346,923 | — | — | 160,346,923 | ||||||||||||
Total Short-Term Investments | 160,346,923 | — | — | 160,346,923 | ||||||||||||
Investment Purchased with Cash | ||||||||||||||||
Proceeds from Securities Lending | ||||||||||||||||
Investment Company | 182,206,644 | — | — | 182,206,644 | ||||||||||||
Total Investment Purchased with | ||||||||||||||||
Cash Proceeds from Securities Lending | 182,206,644 | — | — | 182,206,644 | ||||||||||||
Total Investments | $ | 342,553,567 | $ | 6,714,337,232 | $ | — | $ | 7,056,890,799 |
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 44
Baird Core Plus Bond Fund
December 31, 2015
The Baird Core Plus Bond Fund seeks an annual rate of total return, before Fund expenses, greater than the annual rate of total return of the Barclays U.S. Universal Bond Index. The Barclays U.S. Universal Bond Index is an unmanaged, market value weighted index of fixed income securities issued in U.S. dollars, including U.S. government, investment grade and non-investment grade credit, emerging market debt, asset-backed and mortgage-backed securities, Eurobonds, 144A securities and commercial mortgage-backed securities (CMBS) with maturities of at least one year.
The Fund generated positive absolute returns but lagged its benchmark in 2015. Our long-term commitment to duration neutrality once again proved to be a prudent strategy as the bond market experienced heightened volatility during the year. The primary factors contributing to the Fund’s relative performance in 2015 are described below.
• | Overall positioning in credit detracted from performance primarily due to the overweight to investment grade credit as spreads widened. Also detracting from performance was the positioning in commodity sensitive sectors including Energy and Metals & Mining due to the significant spread widening that occurred in these industry sectors in reaction to the sharp drop in energy and other commodity prices. Partially offsetting this was the positive contribution provided from an overweight to Financials, the best performing credit sector in the year. Positioning of the Fund’s credit exposure generally shorter than the exposure in the benchmark also proved beneficial. Finally, an underweight to High Yield credit was also a positive contributor given its significant underperformance versus investment-grade credit. | |
• | An underweight to U.S. dollar denominated emerging market debt was a detractor for the year. While the sector ended the year with positive relative performance, it experienced high volatility due to the heightened global macro uncertainty and escalating geopolitical tensions. | |
• | Exposure to select, non-Agency residential mortgage-backed securities (RMBS) was a positive contributor to annual performance. The sector outperformed on continued favorable supply/demand technicals and ongoing broad fundamental improvement in the housing market. | |
• | The Fund’s overweight to CMBS was a modest detractor for the year as spreads widened. This was mitigated by the Fund’s high quality bias in this sector (such as super senior AAA rated tranches with 30% loss protection). | |
• | An underweight to Government Agency MBS was a modest positive contributor as the sector underperformed equal duration U.S. Treasuries. | |
• | The Fund benefited from its yield curve positioning during the year as the yield curve flattened. |
The start of any new year is always filled with excitement, and uncertainty and 2016 certainly qualifies on both of those accounts. We will be tracking the economic data and Fed guidance with the same diligence as always, knowing there will be both challenges and opportunities as the Fed’s policy rate normalization process unfolds. Global market influences are likely to add to market volatility, as may the political environment in the U.S. leading up to the November elections. As a reminder, we have only purchased U.S. dollar denominated securities in the cash bond market (no derivatives). The Fund remains duration neutral to its benchmark and we believe it is well positioned to add value relative to its benchmark.
Page 45
Baird Core Plus Bond Fund
December 31, 2015 (Unaudited)
Portfolio Characteristics
Quality Distribution(1)(2)
Net Assets | $9,383,329,496 | ||||
SEC 30-Day | |||||
Yield(3) | |||||
Institutional Class | 3.03% | ||||
Investor Class | 2.78% | ||||
Average | |||||
Effective | |||||
Duration | 5.51 years | ||||
Average | |||||
Effective | |||||
Maturity | 7.13 years | ||||
Annualized | |||||
Sector Weightings(1) | Expense Ratio | ||||
Institutional Class | 0.30% | ||||
Investor Class | 0.55% | (4) | |||
Portfolio | |||||
Turnover Rate | 34.2% | ||||
Number of | |||||
Holdings | 1,028 | ||||
(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 December 31, 2015. |
(4) | Includes 0.25% 12b-1 fee. |
Page 46
Baird Core Plus Bond Fund
December 31, 2015 (Unaudited)
Institutional Class
Value of a $25,000 Investment
Growth of a hypothetical investment of $25,000 made on the Fund’s inception date (9/29/00), assuming reinvestment of all distributions.
Investor Class
Value of a $10,000 Investment
Growth of a hypothetical investment of $10,000 made on the Fund’s inception date (9/29/00), assuming reinvestment of all distributions.
Page 47
Baird Core Plus Bond Fund
December 31, 2015 (Unaudited)
Total Returns
Average Annual | ||||
One | Five | Ten | Since | |
For the Periods Ended December 31, 2015 | Year | Years | Years | Inception(1) |
Institutional Class Shares | 0.14% | 4.17% | 5.60% | 6.10% |
Investor Class Shares | -0.11% | 3.91% | 5.34% | 5.84% |
Barclays U.S. Universal Bond Index(2) | 0.43% | 3.46% | 4.67% | 5.36% |
(1) | For the period from September 29, 2000 (inception date) through December 31, 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 line graph on the previous page and 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 48
Baird Core Plus Bond Fund
Summary Schedule of Investments, December 31, 2015
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 | $ | 54,125,000 | $ | 53,780,386 | 0.6 | % | ||||||
2.625%, 08/15/2020 | 395,825,000 | 411,178,656 | 4.4 | % | ||||||||
1.750%, 03/31/2022@ | 104,975,000 | 103,359,330 | 1.1 | % | ||||||||
2.500%, 05/15/2024 | 143,950,000 | 147,093,292 | 1.6 | % | ||||||||
3.500%, 02/15/2039@ | 534,645,000 | 591,367,627 | 6.3 | % | ||||||||
2.500%, 02/15/2045 | 26,550,000 | 23,828,625 | 0.2 | % | ||||||||
Total U.S. Treasury Securities | ||||||||||||
(Cost $1,347,419,897) | 1,330,607,916 | 14.2 | % | |||||||||
Corporate Bonds | ||||||||||||
Finance | ||||||||||||
BPCE, | ||||||||||||
5.700%, 10/22/2023 (Acquired 10/15/2013 | ||||||||||||
through 11/10/2014, Cost $29,964,323)* f | 28,500,000 | 29,923,432 | 0.3 | % | ||||||||
Citizens Bank, National Association, | ||||||||||||
2.450%, 12/04/2019 | 36,000,000 | 35,415,396 | 0.4 | % | ||||||||
Compass Bank, | ||||||||||||
2.750%, 09/29/2019 | 32,720,000 | 32,392,669 | 0.3 | % | ||||||||
LeasePlan Corp. NV, | ||||||||||||
2.500%, 05/16/2018 (Acquired 05/07/2013 | ||||||||||||
through 08/27/2015, Cost $35,345,389)* f | 35,204,000 | 34,671,469 | 0.4 | % | ||||||||
Massachusetts Mutual Life Insurance Co., | ||||||||||||
8.875%, 06/01/2039 (Acquired 10/03/2012 | ||||||||||||
through 07/21/2015, Cost $41,922,855)* | 27,415,000 | 39,809,321 | 0.4 | % | ||||||||
Other Finance#~ | 1,882,093,701 | 20.1 | % | |||||||||
Total Finance | ||||||||||||
(Cost $2,055,300,414) | 2,054,305,988 | 21.9 | % | |||||||||
Utility | ||||||||||||
Other Utility#~ | 117,974,062 | 1.3 | % | |||||||||
Total Utility | ||||||||||||
(Cost $119,650,536) | 117,974,062 | 1.3 | % |
The accompanying notes are an integral part of these financial statements.
Page 49
Baird Core Plus Bond Fund
Summary Schedule of Investments, December 31, 2015
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
Industrials | ||||||||||||
Forest Laboratories, Inc., | ||||||||||||
5.000%, 12/15/2021 (Acquired 08/26/2014 | ||||||||||||
through 01/22/2015, Cost $33,485,072)* | $ | 31,212,000 | $ | 33,915,084 | 0.4 | % | ||||||
Petrofac Ltd., | ||||||||||||
3.400%, 10/10/2018 (Acquired 10/03/2013 | ||||||||||||
through 04/17/2015, Cost $31,223,318)* f | 31,200,000 | 29,634,259 | 0.3 | % | ||||||||
Verizon Communications, Inc., | ||||||||||||
6.400%, 09/15/2033 | 30,175,000 | 34,377,714 | 0.4 | % | ||||||||
Other Industrials#~ | 2,137,685,826 | 22.7 | % | |||||||||
Total Industrials | ||||||||||||
(Cost $2,387,104,216) | 2,235,612,883 | 23.8 | % | |||||||||
Total Corporate Bonds | ||||||||||||
(Cost $4,562,055,166) | 4,407,892,933 | 47.0 | % | |||||||||
Other Government Related Securities | ||||||||||||
Other Government Related Securities#~ | 201,356,712 | 2.1 | % | |||||||||
Total Other Government Related Securities | ||||||||||||
(Cost $210,665,817) | 201,356,712 | 2.1 | % | |||||||||
Taxable Municipal Bonds | ||||||||||||
Other Taxable Municipal Bonds# | 118,457,498 | 1.2 | % | |||||||||
Total Taxable Municipal Bonds | ||||||||||||
(Cost $115,600,594) | 118,457,498 | 1.2 | % | |||||||||
Residential Mortgage-Backed Securities | ||||||||||||
U.S. Government Agency Issues | ||||||||||||
Federal Gold Loan Mortgage Corp. (FGLMC): | ||||||||||||
3.000%, 10/01/2030 | 57,875,373 | 59,760,561 | 0.6 | % | ||||||||
3.500%, 07/01/2042 | 37,971,055 | 39,135,347 | 0.4 | % | ||||||||
3.000%, 08/01/2042 | 31,477,445 | 31,498,719 | 0.3 | % | ||||||||
3.500%, 08/01/2044 | 47,746,459 | 49,189,651 | 0.5 | % | ||||||||
4.000%, 09/01/2044 | 29,923,640 | 31,637,991 | 0.3 | % | ||||||||
4.000%, 10/01/2044 | 37,389,545 | 39,665,026 | 0.4 | % | ||||||||
4.000%, 02/01/2045 | 31,227,891 | 33,021,433 | 0.4 | % | ||||||||
3.500%, 06/01/2045 | 41,347,011 | 42,694,004 | 0.5 | % | ||||||||
3.000%-6.500%, 12/01/2020-07/01/2044 | 158,083,364 | 161,787,476 | 1.8 | % | ||||||||
Federal National Mortgage Association (FNMA): | ||||||||||||
3.000%, 08/01/2030 | 46,183,810 | 47,670,202 | 0.5 | % | ||||||||
4.000%, 11/01/2031 | 35,457,448 | 37,938,395 | 0.4 | % | ||||||||
4.500%, 10/01/2033 | 48,360,551 | 52,641,281 | 0.6 | % | ||||||||
4.000%, 09/01/2034 | 33,696,474 | 36,053,660 | 0.4 | % | ||||||||
5.000%, 02/01/2035 | 31,491,779 | 34,820,374 | 0.4 | % | ||||||||
5.000%, 02/01/2035 | 34,747,304 | 38,434,171 | 0.4 | % | ||||||||
5.000%, 06/01/2040 | 29,073,972 | 32,036,822 | 0.3 | % | ||||||||
3.500%, 09/01/2041 | 58,429,922 | 60,424,853 | 0.6 | % | ||||||||
3.500%, 11/01/2041 | 32,584,417 | 33,701,486 | 0.4 | % | ||||||||
4.000%, 12/01/2041 | 27,960,351 | 29,664,012 | 0.3 | % |
The accompanying notes are an integral part of these financial statements.
Page 50
Baird Core Plus Bond Fund
Summary Schedule of Investments, December 31, 2015
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
Federal National Mortgage Association (FNMA): (cont.) | ||||||||||||
3.000%, 05/01/2043 | $ | 42,270,729 | $ | 42,362,247 | 0.5 | % | ||||||
3.000%, 06/01/2043 | 43,418,284 | 43,512,313 | 0.5 | % | ||||||||
4.000%, 01/01/2045 | 30,300,381 | 32,157,733 | 0.3 | % | ||||||||
4.000%, 02/01/2045 | 40,931,889 | 43,504,015 | 0.5 | % | ||||||||
2.500%-7.500%, 12/25/2019-03/01/2045 | 387,595,695 | 410,270,093 | 4.3 | % | ||||||||
Government National Mortgage Association (GNMA): | ||||||||||||
3.500%, 04/20/2045 | 53,755,273 | 56,120,053 | 0.6 | % | ||||||||
4.000%, 05/20/2045 | 44,792,025 | 47,598,827 | 0.5 | % | ||||||||
3.500%, 06/20/2045 | 43,397,643 | 45,306,775 | 0.5 | % | ||||||||
3.000%-6.500%, 12/20/2028-04/20/2045 | 65,580,219 | 68,518,584 | 0.7 | % | ||||||||
Other U.S. Government Agency Issues# | 104,884 | 0.0 | % | |||||||||
Total U.S. Government Agency Issues | ||||||||||||
(Cost $1,672,655,159) | 1,681,230,988 | 17.9 | % | |||||||||
Non-U.S. Government Agency Issues | ||||||||||||
Citigroup Mortgage Loan Trust, Inc., | ||||||||||||
Series 2006-AR1, Class 1A1, 2.570%, 10/25/2035 | 31,494,476 | 31,184,536 | 0.3 | % | ||||||||
Other Non-U.S. Government Agency Issues#~ | 359,712,724 | 3.9 | % | |||||||||
Total Non-U.S. Government Agency Issues | ||||||||||||
(Cost $394,876,587) | 390,897,260 | 4.2 | % | |||||||||
Asset Backed Securities | ||||||||||||
Chase Issuance Trust, | ||||||||||||
Series 2015-A5, Class A5, 1.360%, 04/15/2020 | 35,796,000 | 35,591,279 | 0.4 | % | ||||||||
Citicorp Residential Mortgage Trust, | ||||||||||||
Series 2007-2, Class A4, 5.469%, 06/25/2037 | 55,037,628 | 57,099,469 | 0.6 | % | ||||||||
Navistar Financial Dealer Note Master Owner Trust II, | ||||||||||||
Series 2015-1, Class A, 1.822%, 06/25/2020 | ||||||||||||
(Acquired 07/22/2015 through 08/26/2015, | ||||||||||||
Cost $32,067,008)* | 32,070,000 | 32,057,602 | 0.3 | % | ||||||||
Springleaf Funding Trust, | ||||||||||||
Series 2014-AA, Class A, 2.410%, 12/15/2022 | ||||||||||||
(Acquired 06/11/2015 through 12/03/2015, | ||||||||||||
Cost $35,707,566)* | 35,630,000 | 35,528,793 | 0.4 | % | ||||||||
Other Asset Backed Securities#~ | 412,825,905 | 4.4 | % | |||||||||
Total Asset Backed Securities | ||||||||||||
(Cost $577,074,228) | 573,103,048 | 6.1 | % | |||||||||
Commercial Mortgage-Backed Securities | ||||||||||||
COMM Mortgage Trust, | ||||||||||||
Series 2012-CR2, Class A4, 3.147%, 08/15/2045 | 30,063,000 | 30,342,153 | 0.3 | % | ||||||||
GS Mortgage Securities Corp. II, | ||||||||||||
Series 2012-GCJ9, Class A3, 2.773%, 11/10/2045 | 40,164,000 | 39,509,098 | 0.4 | % | ||||||||
JPMBB Commercial Mortgage Securities Trust, | ||||||||||||
Series 2014-C25, Class A5, 3.672%, 11/15/2047 | 33,300,000 | 33,888,871 | 0.3 | % |
The accompanying notes are an integral part of these financial statements.
Page 51
Baird Core Plus Bond Fund
Summary Schedule of Investments, December 31, 2015
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 | $ | 30,940,000 | $ | 31,411,356 | 0.3 | % | ||||||
Series 2012-C6, Class A4, 2.858%, 11/15/2045 | 32,035,000 | 31,891,185 | 0.4 | % | ||||||||
Series 2013-C10, Class A3, 3.966%, 07/15/2046 | 43,985,000 | 46,648,872 | 0.5 | % | ||||||||
Series 2013-C11, Class A3, 3.960%, 08/15/2046 | 19,100,000 | 20,120,118 | 0.2 | % | ||||||||
Other Commercial Mortgage Backed Securities# | 289,021,484 | 3.2 | % | |||||||||
Total Commercial Mortgage Backed Securities | ||||||||||||
(Cost $530,351,489) | 522,833,137 | 5.6 | % | |||||||||
Total Long-Term Investments | ||||||||||||
(Cost $9,410,698,937) | 9,226,379,492 | 98.3 | % | |||||||||
Short-Term Investment | ||||||||||||
Shares | ||||||||||||
Money Market Mutual Fund | ||||||||||||
Short-Term Investments Trust – | ||||||||||||
Liquid Assets Portfolio, 0.29%« | 166,487,464 | 166,487,464 | 1.8 | % | ||||||||
Total Short-Term Investment | ||||||||||||
(Cost $166,487,464) | 166,487,464 | 1.8 | % | |||||||||
Investment Purchased with Cash | ||||||||||||
Proceeds from Securities Lending | ||||||||||||
Investment Company | ||||||||||||
Mount Vernon Securities Lending | ||||||||||||
Trust Prime Portfolio, 0.49%« | 198,041,000 | 198,041,000 | 2.1 | % | ||||||||
Total Investment Company | ||||||||||||
(Cost $198,041,000) | 198,041,000 | 2.1 | % | |||||||||
Total Investment Purchased With | ||||||||||||
Cash Proceeds From Securities Lending | ||||||||||||
(Cost $198,041,000) | 198,041,000 | 2.1 | % | |||||||||
Total Investments | ||||||||||||
(Cost $9,775,227,401) | 9,590,907,956 | 102.2 | % | |||||||||
Liabilities in Excess of Other Assets | (207,578,460 | ) | (2.2 | )% | ||||||||
TOTAL NET ASSETS | $ | 9,383,329,496 | 100.0 | % |
Notes to Summary 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 may extend only to qualified institutional buyers. At December 31, 2015, the value of these securities total $235,539,960, which represents 2.51% of total net assets. | |
@ | This security or portion of this security is out on loan at December 31, 2015. | |
f | Foreign Security | |
# | 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 $1,314,166,392 representing 14.01% of net assets. | |
« | 7-Day Yield |
The accompanying notes are an integral part of these financial statements.
Page 52
Baird Core Plus Bond Fund
Summary Schedule of Investments, December 31, 2015
Summary of Fair Value Exposure at December 31, 2015
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 December 31, 2015:
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Fixed Income | ||||||||||||||||
U.S. Treasury Securities | $ | — | $ | 1,330,607,916 | $ | — | $ | 1,330,607,916 | ||||||||
Corporate Bonds | — | 4,407,878,206 | 14,727 | 4,407,892,933 | ||||||||||||
Other Government Related Securities | — | 201,356,712 | — | 201,356,712 | ||||||||||||
Taxable Municipal Bonds | — | 118,457,498 | — | 118,457,498 | ||||||||||||
Residential Mortgage-Backed Securities – | ||||||||||||||||
U.S. Government Agency Issues | — | 1,681,230,988 | — | 1,681,230,988 | ||||||||||||
Residential Mortgage-Backed Securities – | ||||||||||||||||
Non-U.S. Government Agency Issues | — | 390,897,260 | — | 390,897,260 | ||||||||||||
Asset Backed Securities | — | 573,103,048 | — | 573,103,048 | ||||||||||||
Commercial Mortgage-Backed Securities | — | 522,833,137 | — | 522,833,137 | ||||||||||||
Total Fixed Income | — | 9,226,364,765 | 14,727 | 9,226,379,492 | ||||||||||||
Short-Term Investment | ||||||||||||||||
Money Market Mutual Fund | 166,487,464 | — | — | 166,487,464 | ||||||||||||
Total Short-Term Investment | 166,487,464 | — | — | 166,487,464 | ||||||||||||
Investment Purchased with Cash | ||||||||||||||||
Proceeds from Securities Lending | ||||||||||||||||
Investment Company | 198,041,000 | — | — | 198,041,000 | ||||||||||||
Total Investment Purchased with | ||||||||||||||||
Cash Proceeds from Securities Lending | 198,041,000 | — | — | 198,041,000 | ||||||||||||
Total Investments | $ | 364,528,464 | $ | 9,226,364,765 | $ | 14,727 | $ | 9,590,907,956 |
The accompanying notes are an integral part of these financial statements.
Page 53
Baird Core Plus Bond Fund
Summary Schedule of Investments, December 31, 2015
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 in accordance with the Fund’s policies and procedures. 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) | 4,444 | |||
Change in unrealized appreciation (depreciation) | 1,346 | |||
Purchases | — | |||
Sales | (8,155 | ) | ||
Transfers in and/or out of Level 3* | — | |||
Balance as of December 31, 2015 | $ | 14,727 |
* Transfers between levels are recognized at the end of the reporting period.
The accompanying notes are an integral part of these financial statements.
Page 54
2015 Municipal Bond Market Overview
The Fed and Favorable Technicals Flatten the Curve
The municipal market closed out 2015 with the strong tone it held for much of the year. The tax-free municipal market was the best performing sector of the U.S. fixed income markets for both the quarter and the full calendar year. Even more impressive was that this performance occurred in the midst of the first increase in the federal funds rate in over nine years. Credit the Fed, particularly Chair Janet Yellen, with adequately preparing the markets for this long-awaited move. The fact that tax-free yields at year end were unchanged or lower at all maturities than they were on December 16th, the day of the Fed announcement, shows that even the retail-oriented nature of the municipal market had fully priced in the 25 bps of rate adjustment.
AAA Municipal Yields
1 Mo | 3 Mo | YTD | |||||
Maturity | 12/31/14 | 9/30/15 | 11/30/15 | 12/31/15 | Change | Change | Change |
1 | 0.16% | 0.23% | 0.34% | 0.50% | 0.16% | 0.27% | 0.34% |
2 | 0.48% | 0.55% | 0.72% | 0.77% | 0.05% | 0.22% | 0.29% |
3 | 0.78% | 0.79% | 0.92% | 0.99% | 0.07% | 0.20% | 0.21% |
5 | 1.33% | 1.27% | 1.26% | 1.26% | 0.00% | -0.01% | -0.07% |
7 | 1.71% | 1.65% | 1.60% | 1.54% | -0.06% | -0.11% | -0.17% |
10 | 2.06% | 2.03% | 2.02% | 1.92% | -0.10% | -0.11% | -0.14% |
30 | 2.88% | 3.03% | 2.96% | 2.82% | -0.14% | -0.21% | -0.06% |
The tax-free curve underwent a dramatic flattening trend in the quarter, as short-term rates rose while intermediate and longer yields fell. The fulcrum of the curve shift this quarter was the five-year maturity, where yields were essentially unchanged. Surrounding the fulcrum, yields on maturities shorter than five years rose as much as 27 bps and longer rates fell a nearly equivalent 21 bps. Chart 1 to the right illustrates the flattening trend for the full calendar year, as measured by the yield difference between 2-year and 10-year AAA tax-free rates. Through June the slope of the curve was little changed, but as the probability of the Fed rate hike grew, the curve flattened from a peak of +163 bps in June to +115 bps at year end. The primary reason for the strong relative performance of the municipal market for the quarter was an improving technical backdrop. The pace of tax-free issuance slowed, falling approximately 10% from the third quarter pace, as refunding activity declined. Total 2015 issuance, particularly the refunding supply, was front-loaded into the first half of the year as municipalities sought to lock in savings prior to the anticipated Fed rate hike(s); issuers were likely not expecting that intermediate and long yields would fall, as they did surrounding the Fed move. While the pace of refinancing slowed late in the year, the volume of new money borrowings remained steady, but below its long term average and well off the recent peak levels of 2009 and 2010 when |
Page 55
2015 Municipal Bond Market Overview
the Build America Bond (BAB) issuance was active (Chart 2). Despite low nominal yields and the significant infrastructure needs across the country, municipal borrowings to fund these necessary projects are relatively low. A frugal mentality on the part of municipalities and tax payers is partially responsible for the modest borrowing level. Rising health care and pension-related costs are another concern. Yet, demand for municipal debt was strong, more than matching the modest supply in the fourth quarter. Municipal mutual funds closed the year with thirteen consecutive weeks of inflows and a total over $13B of inflows in 2015. |
Source: JPMorgan Securities
Municipal Credit Improves and Bankruptcy Filings Decline
Puerto Rico dominated the credit headlines once again in the fourth quarter. After making full payment on debt service due on December 1st, accomplished only by activating their constitutional authority to clawback revenues targeted for other entities and purposes, Governor Padilla announced they would fall $37 million short on interest payments due on January 1 to public corporation bondholders. The U.S. Congress began working toward a solution in December that could provide federal guidance, if not financial assistance, and House Speaker Paul Ryan instructed committees under his jurisdiction to come up with a “responsible solution” to Puerto Rico’s fiscal crisis by the end of the first quarter. Adding to the confusion for investors, the U.S. Supreme Court agreed to review a lower court decision which ruled that Puerto Rico’s public corporation restructuring law was unconstitutional. While not expected to rule before June, if the lower court decision were overturned it would at least provide a partial solution for restructuring outstanding debt. Virtually all of Puerto Rico credits are trading at depressed prices, reflecting both the complexity of the situation and the growing probability of less than full repayment on at least some of the island’s debt. That said, the market may be pricing in more pain than will actually be realized by bondholders, creating pockets of opportunity. Case in point, the Puerto Rico Electric Authority (PREPA) recently reached agreement with its creditors that, if fully implemented, would result in a 15% haircut to bondholders, a less painful outcome than the market had expected. Stay tuned.
Source: Bloomberg
The less-reported but more important credit story this year has been the general improvement in conditions for most municipalities. State and local revenues have been rising for four years and, according to the National League of Cities 2015 Survey, city finance officers are the most optimistic they’ve been in a quarter century. Surprising to many, perhaps, is that the number of Chapter 9 bankruptcy filings also continues to fall (Chart 3). After peaking at a post-financial crisis high of twelve in 2011 and 2012, there were just three filings in 2015. This is a favorable sign for investors as well as an indication that municipalities may have realized that a bankruptcy filing is costly and quite time consuming. It should remain the last resort for most fiscally stressed municipalities. |
Strong Quarter, Solid Year
The municipal market logged its second consecutive quarter of strong returns, both nominally and relative to the taxable fixed market. A consistent theme for the quarter was that investors were rewarded for taking risk.
Page 56
2015 Municipal Bond Market Overview
Longer maturities outperformed short maturities due to the flattening of the yield curve. Lower quality investment grade issues outperformed higher quality issues. The high yield municipal market posted positive returns, even with Puerto Rico as 25% of the sector, and was relatively unaffected by challenges in the taxable corporate high yield market. The risk-on theme proved consistent across sectors of the municipal market as well. For example, the pre-refunded sector lagged all other municipal sectors, given their close trading relationship to the Treasury market, while Tobacco, Housing, Hospitals, and Transportation were among the best performers.
Total Returns of Selected Barclays Municipal Indices and Subsectors
Barclays Index/Sector | Dec | 3Mo | YTD | Barclays Quality | Dec | 3Mo | YTD | |
Municipal Bond Index | 0.70% | 1.50% | 3.30% | AAA | 0.52% | 1.06% | 2.73% | |
General Obligation bonds | 0.67% | 1.40% | 3.09% | AA | 0.65% | 1.29% | 3.16% | |
Revenue bonds | 0.79% | 1.71% | 3.62% | A | 0.89% | 1.99% | 3.71% | |
Prerefunded bonds | -0.01% | 0.00% | 1.00% | BBB | 0.77% | 2.36% | 4.25% | |
Long maturities (22+ yrs.) | 1.10% | 2.44% | 4.52% | High Yield | 0.15% | 1.78% | 1.81% | |
Intermediate | HY, ex- | |||||||
maturities (1 - 17 yrs.) | 0.52% | 1.12% | 2.83% | Puerto Rico | 0.82% | 2.85% | 7.50% | |
Short maturities (1 - 5 yrs.) | -0.01% | 0.08% | 1.21% |
Outlook
The municipal market will likely carry the solid year-end momentum into the new year. Total supply in 2016 may slip a bit from the nearly $400B issued in 2015 simply because the amount of debt with favorable refunding characteristics is less than at the start of last year. We do expect that new money financings will increase modestly, given both the favorable rate environment and the nation’s significant infrastructure needs, but the increase will likely be insufficient to fully offset the decline in refunding volume. That said, we expect the traditional municipal seasonal pattern, in which supply/demand imbalances typically occur, to provide variations in relative value throughout the year. It would not be surprising, for example, to see supply outstrip demand in late-Spring, as reinvestment demand typically declines, but both the pre- and post-Spring environment are likely to see more demand than supply. The Fed once again plays a significant role in the market outlook, particularly regarding the yield curve. The market currently expects less upward change in the federal funds rate than does the Fed’s own forecast, so tracking economic data and Fed guidance will remain critical to proper curve positioning. Yet, our base case outlook remains one of further flattening of the yield curve. While we expect to see higher rates at all points along the curve, with more pronounced increases among shorter maturities, if inflation remains in-check and the Fed remains sufficiently transparent, then intermediate and longer term rates may not rise much, if at all. Accepting a modest amount of credit risk should continue to be a rewarding posture for investors. Expectations for continued economic growth, even if modest, and the desire to maintain a structurally balanced budget, imply a favorable credit backdrop. Pension risk awareness will continue to grow, thanks to new government accounting rules which require greater disclosure of unfunded liabilities and given the significant impact on stakeholders, including investors, politicians as well as current and retired public employees. Therefore, continuing the trend of 2015, investors will likely continue to favor revenue-backed issues over general obligation debt, the latter of which typically carries a higher pension burden. Within the general obligation sector, we expect trading divergences to grow between municipal issuers based on pension funding status. Finally, with 2016 being a Presidential election year, a focus on the potential for tax reform is likely. If tax platforms focus on limiting exemptions, then tax-free market volatility may rise. If so, we would look for opportunities to add exposure to the municipal market at potentially attractive valuations.
Disclosures
This is not a complete analysis of every material fact regarding any company, industry or security. The information has been obtained from sources we consider to be reliable, but we cannot guarantee the accuracy.
Page 57
2015 Municipal Bond Market Overview
Fixed income is generally considered to be a more conservative investment than stocks, but bonds and other fixed income investments still carry a variety of risks such as interest rate risk, credit risk, inflation risk, and liquidity risk. In a rising interest rate environment, the value of fixed-income securities generally decline and conversely, in a falling interest rate environment, the value of fixed-income securities generally increase. High yield securities may be subject to heightened market, interest rate or credit risk and should not be purchased solely because of the stated yield.
Indices are unmanaged, and are not available for direct investment. Past performance is not a guarantee of future results.
The Barclays Municipal Bond Index is a broad-based, total-return index. The bonds are all investment-grade, tax-exempt, and fixed-rate securities with long-term maturities (greater than 2 years). They are selected from issues larger than $50 million. The components listed below the Municipal Bond Index (long maturities, intermediate maturities, short maturities, prefunded bonds, general obligation bonds and revenue bonds) are subsectors of the Barclays Municipal Bond Index and do not represent separate indices.
The Barclays High Yield Municipal Index includes bonds with a par value of at least $3 million and must be issued as part of a transaction of at least $20 million. The maximum rating for inclusion is Ba1/BB+/BB+ using the middle rating.
For more information about the Barclays Municipal Bond Index or Barclays High Yield Municipal Index, please visit https://index.barcap.com/Home/Guides_and_Factsheets.
Municipal securities investments are not appropriate for all investors, especially those taxed at lower rates. The alternative minimum tax (AMT) may be applicable, even for securities identified as tax exempt. Past performance is not a guarantee of future results.
Page 58
Baird Short-Term Municipal Bond Fund
December 31, 2015
The Baird Short-Term Municipal Bond Fund seeks current income that is exempt from federal income tax and is consistent with the preservation of capital.
Since inception (August 31, 2015), the Fund has generated positive absolute returns and outperformed its benchmark.
Positive contributors to the Fund’s relative performance include:
• | A barbelled yield curve allocation in which the Fund was underweight maturities in the 3- to 5-year segment of the curve, and overweight maturities both shorter and longer. | |
• | An overweight allocation to both A and BBB rated securities which benefited from a compression of credit spreads during the quarter. | |
• | An overweight allocation to the Revenue-backed sector, relative to General Obligation and Pre-refunded issues. | |
• | Within the Revenue sector, an overweight to Hospitals, Housing, and Water/ Sewer issues. | |
• | Individual security selection, particularly through the use of floating rate securities. |
Detractors from the Fund’s relative performance include:
• | An underweight to Transportation and corporate-backed issues. |
Looking forward, the Fund intends to focus on three key objectives to enhance shareholder value. The first is to identify and capture broad market inefficiencies, specifically as it relates to the yield curve, credit weighting, sector allocation and security selection, while maintaining a neutral duration target relative to the benchmark. The Fund expects to maintain a barbelled curve allocation in anticipation of the ongoing normalization of monetary policy. The Fund also intends to maintain a modest credit overweight, which should benefit the Fund due to expected ongoing economic expansion and rising tax revenues. It is expected that an overweight in Revenue-backed bonds will also be maintained in order to benefit both from the anticipated cyclical expansion but also to help minimize exposure to pension risk among municipalities. The second objective is to achieve and maintain a yield advantage over the benchmark. The Fund will attempt to achieve this objective by capturing both structural and credit opportunities in the security selection process. Finally, the third objective is to manage risk across the Fund in a controlled and prudent manner. Risk management is crucial to consistency of ongoing performance.
Page 59
Baird Short-Term Municipal Bond Fund
December 31, 2015 (Unaudited)
Portfolio Characteristics
Quality Distribution(1)(2) | |||||
Net Assets | $12,406,614 | ||||
SEC 30-Day | |||||
Yield(4) | |||||
Institutional Class | 1.08% | ||||
Investor Class | 0.85% | ||||
Average | |||||
Effective | |||||
Duration | 2.30 years | ||||
Average | |||||
Effective | |||||
Maturity | 2.76 years | ||||
Annualized | |||||
Expense | |||||
Sector Weightings(1) | Ratio | ||||
Institutional Class | 0.30% | ||||
Investor Class | 0.55% | (5) | |||
Portfolio | |||||
Turnover Rate | 41.4% | (6) | |||
Number of | |||||
Holdings | 183 | ||||
(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 December 31, 2015. |
(5) | Includes 0.25% 12b-1 fee. |
(6) | Not annualized. |
Page 60
Baird Short-Term Municipal Bond Fund
December 31, 2015 (Unaudited)
Institutional Class
Value of a $25,000 Investment
Growth of a hypothetical investment of $25,000 made on the Fund’s inception date (8/31/15), assuming reinvestment of all distributions.
Investor Class
Value of a $10,000 Investment
Growth of a hypothetical investment of $10,000 made on the Fund’s inception date (8/31/15), assuming reinvestment of all distributions.
Page 61
Baird Short-Term Municipal Bond Fund
December 31, 2015 (Unaudited)
Total Returns
Since | |
For the Periods Ended December 31, 2015 | Inception(1) |
Institutional Class Shares | 0.94% |
Investor Class Shares | 0.86% |
Barclays Short (1-5 Year) Municipal Bond Index(2) | 0.39% |
(1) | For the period from August 31, 2015 (inception date) through December 31, 2015. |
(2) | The Barclays Short (1-5 Year) Municipal Bond Index is an unmanaged, market value weighted index that measures the performance of investment-grade, tax-exempt, and fixed-rated municipal securities with time to maturity of more than one year and less than five years. Securities must have an outstanding par value of at least $7 million and be issued as part of a transaction of at least $75 million. The bonds must be fixed rate, have a dated-date after December 31, 1990, and must be at least one year from their maturity date. This Index does not reflect any deduction for fees, expenses or taxes. A direct investment in an index is not possible. |
The line graph on the previous page and 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 62
Baird Short-Term Municipal Bond Fund
Summary Schedule of Investments, December 31, 2015
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 | ||||||||||||
Alaska | ||||||||||||
Total Alaska | ||||||||||||
(Cost $130,171)# | $ | 130,083 | 1.1 | % | ||||||||
Arizona | ||||||||||||
Arizona Transportation Board | ||||||||||||
5.000%, 07/01/2025 | $ | 250,000 | 283,073 | 2.3 | % | |||||||
5.000%, 07/01/2017 | 25,000 | 26,567 | 0.2 | % | ||||||||
Vistancia Community Facilities District | ||||||||||||
5.000%, 07/15/2021 (Callable 07/15/2020) | 150,000 | 171,260 | 1.4 | % | ||||||||
Other Arizona# | 110,351 | 0.9 | % | |||||||||
Total Arizona | ||||||||||||
(Cost $586,572) | 591,251 | 4.8 | % | |||||||||
Arkansas | ||||||||||||
City of Rogers AR | ||||||||||||
2.125%, 11/01/2029 (Callable 11/01/2021) | 90,000 | 89,983 | 0.7 | % | ||||||||
Other Arkansas# | 142,629 | 1.2 | % | |||||||||
Total Arkansas | ||||||||||||
(Cost $232,506) | 232,612 | 1.9 | % | |||||||||
California | ||||||||||||
Northern California Gas Authority No. 1 | ||||||||||||
0.848%, 07/01/2019(1) | 100,000 | 97,724 | 0.8 | % | ||||||||
Twin Rivers Unified School District | ||||||||||||
3.200%, 06/01/2035 (Callable 02/01/2016) | ||||||||||||
(Mandatory Tender Date 06/01/2020) | ||||||||||||
(Insured by AGM)(1) | 100,000 | 100,170 | 0.8 | % | ||||||||
Other California# | 373,820 | 3.0 | % | |||||||||
Total California | ||||||||||||
(Cost $571,931) | 571,714 | 4.6 | % | |||||||||
Colorado | ||||||||||||
Regional Transportation District | ||||||||||||
5.000%, 06/01/2025 (Callable 06/01/2020) | 100,000 | 114,351 | 0.9 | % |
The accompanying notes are an integral part of these financial statements.
Page 63
Baird Short-Term Municipal Bond Fund
Summary Schedule of Investments, December 31, 2015
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
Other Colorado# | $ | 86,684 | 0.7 | % | ||||||||
Total Colorado | ||||||||||||
(Cost $199,910) | 201,035 | 1.6 | % | |||||||||
Connecticut | ||||||||||||
Regional School District No. 8 | ||||||||||||
5.000%, 05/01/2019 (Callable 05/01/2017) | $ | 75,000 | 79,115 | 0.6 | % | |||||||
Total Connecticut | ||||||||||||
(Cost $78,960) | 79,115 | 0.6 | % | |||||||||
District of Columbia | ||||||||||||
District of Columbia | ||||||||||||
5.250%, 07/15/2038 (Pre-refunded to 07/15/2018) | 295,000 | 325,715 | 2.6 | % | ||||||||
5.250%, 07/15/2045 (Pre-refunded to 07/15/2018) | ||||||||||||
(Insured by AGM) | 75,000 | 82,809 | 0.7 | % | ||||||||
Other District of Columbia# | 25,898 | 0.2 | % | |||||||||
Total District of Columbia | ||||||||||||
(Cost $432,887) | 434,422 | 3.5 | % | |||||||||
Florida | ||||||||||||
City of Port St Lucie FL | ||||||||||||
5.250%, 09/01/2022(2) | 100,000 | 119,460 | 0.9 | % | ||||||||
Other Florida# | 344,217 | 2.8 | % | |||||||||
Total Florida | ||||||||||||
(Cost $462,261) | 463,677 | 3.7 | % | |||||||||
Georgia | ||||||||||||
Burke County Development Authority | ||||||||||||
0.220%, 07/01/2049 | ||||||||||||
(Optional Put Date 01/04/2016) | ||||||||||||
(Callable 12/31/2015)(1) | 150,000 | 150,000 | 1.2 | % | ||||||||
Other Georgia# | 137,020 | 1.1 | % | |||||||||
Total Georgia | ||||||||||||
(Cost $287,147) | 287,020 | 2.3 | % | |||||||||
Idaho | ||||||||||||
Total Idaho | ||||||||||||
(Cost $27,363)# | 27,290 | 0.2 | % | |||||||||
Illinois | ||||||||||||
Cook County Community College District No. 508 | ||||||||||||
4.000%, 12/01/2016 | 100,000 | 102,992 | 0.8 | % | ||||||||
DeWitt Ford & Livingston Etc Counties | ||||||||||||
Community College Dist No. 540 Heartland | ||||||||||||
5.000%, 12/01/2016 (Insured by AGM) | 100,000 | 103,890 | 0.9 | % | ||||||||
Lake County Community High School | ||||||||||||
District No. 127 Grayslake | ||||||||||||
0.000%, 02/01/2020 | 150,000 | 139,620 | 1.1 | % |
The accompanying notes are an integral part of these financial statements.
Page 64
Baird Short-Term Municipal Bond Fund
Summary Schedule of Investments, December 31, 2015
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
Public Building Commission of Chicago | ||||||||||||
5.000%, 03/01/2020 (Callable 03/01/2017) | ||||||||||||
(Insured by AMBAC) | $ | 100,000 | $ | 103,132 | 0.8 | % | ||||||
White County Community Unit | ||||||||||||
School District No. 5 Carmi-White | ||||||||||||
4.300%, 12/01/2021 (Insured by AGM) | 100,000 | 108,333 | 0.9 | % | ||||||||
Other Illinois# | 825,088 | 6.7 | % | |||||||||
Total Illinois | ||||||||||||
(Cost $1,377,876) | 1,383,055 | 11.2 | % | |||||||||
Indiana | ||||||||||||
Indiana Finance Authority | ||||||||||||
4.000%-4.500%, 08/15/2016-02/01/2018 | 155,000 | 162,093 | 1.3 | % | ||||||||
Other Indiana# | 151,221 | 1.2 | % | |||||||||
Total Indiana | ||||||||||||
(Cost $313,794) | 313,314 | 2.5 | % | |||||||||
Iowa | ||||||||||||
Total Iowa | ||||||||||||
(Cost $25,311)# | 25,369 | 0.2 | % | |||||||||
Kansas | ||||||||||||
State of Kansas Department of Transportation | ||||||||||||
0.563%, 09/01/2019(1) | 125,000 | 124,307 | 1.0 | % | ||||||||
Total Kansas | ||||||||||||
(Cost $123,407) | 124,307 | 1.0 | % | |||||||||
Kentucky | ||||||||||||
Total Kentucky | ||||||||||||
(Cost $50,053)# | 50,058 | 0.4 | % | |||||||||
Maine | ||||||||||||
Total Maine | ||||||||||||
(Cost $52,999)# | 53,184 | 0.4 | % | |||||||||
Maryland | ||||||||||||
Total Maryland | ||||||||||||
(Cost $73,965)# | 73,975 | 0.6 | % | |||||||||
Massachusetts | ||||||||||||
Commonwealth of Massachusetts | ||||||||||||
0.680%, 11/01/2020 (Callable 11/01/2017)(1) | 100,000 | 100,098 | 0.8 | % | ||||||||
Eaton Vance Municipal Bond Fund II | ||||||||||||
1.060%, 07/01/2019 (Callable 01/01/2017)(1) | 100,000 | 99,966 | 0.8 | % | ||||||||
Other Massachusetts# | 50,556 | 0.4 | % | |||||||||
Total Massachusetts | ||||||||||||
(Cost $248,274) | 250,620 | 2.0 | % |
The accompanying notes are an integral part of these financial statements.
Page 65
Baird Short-Term Municipal Bond Fund
Summary Schedule of Investments, December 31, 2015
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
Michigan | ||||||||||||
City of Wyandotte MI Electric System Revenue | ||||||||||||
5.000%, 10/01/2023 (Insured by BAM) | $ | 100,000 | $ | 113,712 | 0.9 | % | ||||||
Michigan Finance Authority | ||||||||||||
3.400%, 10/01/2020 | 100,000 | 103,090 | 0.8 | % | ||||||||
Saginaw MI City School District | ||||||||||||
5.000%, 05/01/2024 (Insured by Q-SBLF) | 100,000 | 119,250 | 1.0 | % | ||||||||
Other Michigan# | 244,103 | 2.0 | % | |||||||||
Total Michigan | ||||||||||||
(Cost $572,234) | 580,155 | 4.7 | % | |||||||||
Minnesota | ||||||||||||
Minnesota Housing Finance Agency | ||||||||||||
2.900%, 01/01/2025 | 100,000 | 101,267 | 0.8 | % | ||||||||
Other Minnesota# | 49,841 | 0.4 | % | |||||||||
Total Minnesota | ||||||||||||
(Cost $151,856) | 151,108 | 1.2 | % | |||||||||
Mississippi | ||||||||||||
Mississippi Development Bank | ||||||||||||
5.500%, 10/01/2019 | 75,000 | 82,947 | 0.7 | % | ||||||||
5.000%, 03/01/2024 (Insured by AGM) | 50,000 | 58,683 | 0.5 | % | ||||||||
Total Mississippi | ||||||||||||
(Cost $140,410) | 141,630 | 1.2 | % | |||||||||
Nebraska | ||||||||||||
Total Nebraska | ||||||||||||
(Cost $50,944)# | 50,913 | 0.4 | % | |||||||||
New Jersey | ||||||||||||
New Jersey Economic Development Authority | ||||||||||||
1.810%-5.000%, 06/15/2017-06/15/2023 | 150,000 | 157,582 | 1.2 | % | ||||||||
New Jersey State Turnpike Authority | ||||||||||||
0.445%, 01/01/2030 (Callable 01/07/2016)(1)(2) | 130,000 | 120,721 | 1.0 | % | ||||||||
New Jersey Transportation Trust Fund Authority | ||||||||||||
5.500%, 12/15/2021 | 75,000 | 86,234 | 0.7 | % | ||||||||
Other New Jersey# | 135,312 | 1.1 | % | |||||||||
Total New Jersey | ||||||||||||
(Cost $494,004) | 499,849 | 4.0 | % | |||||||||
New Mexico | ||||||||||||
Total New Mexico | ||||||||||||
(Cost $99,530)# | 99,399 | 0.8 | % | |||||||||
New York | ||||||||||||
City of New York NY | ||||||||||||
0.700%, 08/01/2026(1)(2) | 100,000 | 100,000 | 0.8 | % | ||||||||
Metropolitan Transportation Authority, 0.843%, 11/01/2022 | ||||||||||||
(Callable 01/21/2016) (Insured by AGM)(1)(2) | 250,000 | 240,867 | 1.9 | % |
The accompanying notes are an integral part of these financial statements.
Page 66
Baird Short-Term Municipal Bond Fund
Summary Schedule of Investments, December 31, 2015
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
Other New York# | $ | 163,191 | 1.4 | % | ||||||||
Total New York | ||||||||||||
(Cost $512,747) | 504,058 | 4.1 | % | |||||||||
North Carolina | ||||||||||||
North Carolina Capital Facilities Finance Agency | ||||||||||||
5.000%, 06/01/2022 | $ | 100,000 | 115,152 | 0.9 | % | |||||||
Other North Carolina# | 174,673 | 1.4 | % | |||||||||
Total North Carolina | ||||||||||||
(Cost $289,636) | 289,825 | 2.3 | % | |||||||||
North Dakota | ||||||||||||
City of Hazen ND | ||||||||||||
2.500%, 07/01/2017 (Callable 01/01/2017) | 100,000 | 100,000 | 0.8 | % | ||||||||
Other North Dakota# | 113,784 | 0.9 | % | |||||||||
Total North Dakota | ||||||||||||
(Cost $213,163) | 213,784 | 1.7 | % | |||||||||
Ohio | ||||||||||||
County of Crawford OH | ||||||||||||
1.430%, 11/01/2017 (Callable 05/01/2017) | 100,000 | 99,696 | 0.8 | % | ||||||||
Other Ohio# | 286,243 | 2.3 | % | |||||||||
Total Ohio | ||||||||||||
(Cost $385,750) | 385,939 | 3.1 | % | |||||||||
Oklahoma | ||||||||||||
Oklahoma City Industrial & Cultural Facilities Trust | ||||||||||||
0.421%, 06/01/2019 (Callable 12/31/2015)(1)(2) | 100,000 | 96,764 | 0.8 | % | ||||||||
Other Oklahoma# | 49,917 | 0.4 | % | |||||||||
Total Oklahoma | ||||||||||||
(Cost $146,567) | 146,681 | 1.2 | % | |||||||||
Oregon | ||||||||||||
Total Oregon | ||||||||||||
(Cost $68,794)# | 69,239 | 0.6 | % | |||||||||
Pennsylvania | ||||||||||||
Bethlehem Parking Authority | ||||||||||||
2.000%, 10/01/2018 | 100,000 | 100,824 | 0.8 | % | ||||||||
Pennsylvania Higher Educational Facilities Authority | ||||||||||||
5.000%, 08/15/2024 (Callable 08/15/2021) | 100,000 | 116,590 | 1.0 | % | ||||||||
5.000%, 07/01/2037 (Callable 02/01/2016) | 100,000 | 100,207 | 0.8 | % | ||||||||
Other Pennsylvania# | 127,268 | 1.0 | % | |||||||||
Total Pennsylvania | ||||||||||||
(Cost $443,005) | 444,889 | 3.6 | % | |||||||||
Puerto Rico | ||||||||||||
Total Puerto Rico | ||||||||||||
(Cost $41,869)# | 42,559 | 0.4 | % |
The accompanying notes are an integral part of these financial statements.
Page 67
Baird Short-Term Municipal Bond Fund
Summary Schedule of Investments, December 31, 2015
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
Rhode Island | ||||||||||||
Providence Public Buildings Authority | ||||||||||||
5.125%, 06/15/2021 (Insured by AGM) | $ | 100,000 | $ | 109,836 | 0.9 | % | ||||||
Rhode Island Student Loan Authority | ||||||||||||
3.000%, 12/01/2016 | 100,000 | 101,701 | 0.8 | % | ||||||||
Total Rhode Island | ||||||||||||
(Cost $210,741) | 211,537 | 1.7 | % | |||||||||
South Carolina | ||||||||||||
Scago Educational Facilities Corp for Union School District | ||||||||||||
4.000%, 12/01/2017 | 100,000 | 105,523 | 0.8 | % | ||||||||
Other South Carolina# | 170,756 | 1.4 | % | |||||||||
Total South Carolina | ||||||||||||
(Cost $274,788) | 276,279 | 2.2 | % | |||||||||
Tennessee | ||||||||||||
Total Tennessee | ||||||||||||
(Cost $32,517)# | 33,014 | 0.3 | % | |||||||||
Texas | ||||||||||||
Central Texas Turnpike System | ||||||||||||
5.000%, 08/15/2042 (Callable 04/01/2020) | ||||||||||||
(Mandatory Tender Date 04/01/2020)(1) | 100,000 | 113,299 | 0.9 | % | ||||||||
Harlingen Consolidated Independent School District | ||||||||||||
5.000%, 08/15/2021 (PSF Guaranteed) | 100,000 | 118,876 | 1.0 | % | ||||||||
Kerrville Health Facilities Development Corp. | ||||||||||||
5.450%, 08/15/2035 (Callable 02/15/2016) | 90,000 | 90,504 | 0.7 | % | ||||||||
Port of Port Arthur Navigation District | ||||||||||||
0.270%, 04/01/2040 (Optional Put Date 01/04/2016) | ||||||||||||
(Callable 12/31/2015)(1) | 100,000 | 100,000 | 0.8 | % | ||||||||
SA Energy Acquisition Public Facility Corp. | ||||||||||||
5.500%, 08/01/2022 | 100,000 | 118,136 | 1.0 | % | ||||||||
Texas Municipal Gas Acquisition & Supply Corp I | ||||||||||||
5.250%, 12/15/2018 | 105,000 | 116,160 | 0.9 | % | ||||||||
5.250%, 12/15/2021 | 50,000 | 58,147 | 0.5 | % | ||||||||
Other Texas# | 796,034 | 6.4 | % | |||||||||
Total Texas | ||||||||||||
(Cost $1,503,343) | 1,511,156 | 12.2 | % | |||||||||
Utah | ||||||||||||
Utah Housing Corp. | ||||||||||||
4.000%, 01/01/2045 (Callable 01/01/2026) | 100,000 | 107,765 | 0.9 | % | ||||||||
Total Utah | ||||||||||||
(Cost $107,618) | 107,765 | 0.9 | % |
The accompanying notes are an integral part of these financial statements.
Page 68
Baird Short-Term Municipal Bond Fund
Summary Schedule of Investments, December 31, 2015
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
Virgin Islands | ||||||||||||
Virgin Islands Public Finance Authority | ||||||||||||
4.000%, 10/01/2017 | $ | 110,000 | $ | 114,558 | 0.9 | % | ||||||
5.000%, 09/01/2020 | 100,000 | 112,823 | 0.9 | % | ||||||||
Total Virgin Islands | ||||||||||||
(Cost $227,314) | 227,381 | 1.8 | % | |||||||||
Virginia | ||||||||||||
Total Virginia | ||||||||||||
(Cost $50,416)# | 50,030 | 0.4 | % | |||||||||
Washington | ||||||||||||
Total Washington | ||||||||||||
(Cost $196,570)# | 196,345 | 1.6 | % | |||||||||
Wisconsin | ||||||||||||
Wisconsin Health & Educational Facilities Authority | ||||||||||||
3.000%, 07/01/2017 | 100,000 | 103,304 | 0.8 | % | ||||||||
4.000%-5.250%, 08/15/2017-04/15/2024 | 125,000 | 135,202 | 1.1 | % | ||||||||
Other Wisconsin# | 26,610 | 0.2 | % | |||||||||
Total Wisconsin | ||||||||||||
(Cost $264,465) | 265,116 | 2.1 | % | |||||||||
Total Long-Term Investments | ||||||||||||
(Cost $11,753,668) | 11,790,752 | 95.1 | % | |||||||||
Short-Term Investments | ||||||||||||
Shares | ||||||||||||
Money Market Mutual Funds | ||||||||||||
Fidelity Institutional Money Market Funds – | ||||||||||||
Tax-Exempt Portfolio, 0.01%« | 148,641 | 148,641 | 1.2 | % | ||||||||
Goldman Sachs Financial Square Funds, 0.01%« | 500,000 | 500,000 | 4.0 | % | ||||||||
Total Short-Term Investments | ||||||||||||
(Cost $648,641) | 648,641 | 5.2 | % | |||||||||
Total Investments | ||||||||||||
(Cost $12,402,309) | 12,439,393 | 100.3 | % | |||||||||
Liabilities in Excess of Other Assets | (32,779 | ) | (0.3 | )% | ||||||||
TOTAL NET ASSETS | $ | 12,406,614 | 100.0 | % |
Notes to Summary Schedule of Investments
AGM – Assured Guaranty Municipal
AMBAC – Ambac Assurance Corporation
BAM – Build America Mutual
PSF – Texas Permanent School Fund
Q-SBLF – Qualified School Building Loan Fund
(1) | Variable or floating rate security. Floating rate securities are securities whose yields vary with a designated index rate. These securities rates are as of December 31, 2015. |
The accompanying notes are an integral part of these financial statements.
Page 69
Baird Short-Term Municipal Bond Fund
Summary Schedule of Investments, December 31, 2015
(2) | Auction Rate Security. An Auction Rate Security is a debt instrument with a long nominal maturity for which the interest rate is regularly reset through a Dutch auction. The rate presented is either the rate set through the auction or the maximum interest rate provided for in the security issuance provision. | |
« | 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 December 31, 2015
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 December 31, 2015:
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Municipal Bonds | ||||||||||||||||
Municipal Bonds | $ | — | $ | 11,790,752 | $ | — | $ | 11,790,752 | ||||||||
Total Municipal Bonds | — | 11,790,752 | — | 11,790,752 | ||||||||||||
Short-Term Investments | ||||||||||||||||
Money Market Mutual Funds | 648,641 | — | — | 648,641 | ||||||||||||
Total Short-Term Investments | 648,641 | — | — | 648,641 | ||||||||||||
Total Investments | $ | 648,641 | $ | 11,790,752 | $ | — | $ | 12,439,393 |
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. 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 70
Baird Quality Intermediate Municipal Bond Fund
December 31, 2015
The Baird Quality Intermediate Municipal Bond Fund seeks current income that is substantially exempt from federal income tax. A secondary objective is to provide total return with relatively low volatility of principal. The Fund uses the Barclays Quality Intermediate Municipal Bond Index as its benchmark. The Barclays Quality Intermediate Municipal Bond Index tracks the performance of municipal bonds issued after December 31, 1990 with remaining maturities between 2 and 12 years and at least $5 million in principal outstanding.
* | Effective September 1, 2015, the Baird Intermediate Municipal Bond Fund was renamed the “Baird Quality Intermediate Municipal Bond Fund.” |
During the year, the Fund generated positive absolute performance and lagged its benchmark.
Positive contributors to the Portfolio’s relative performance include:
• | A modest barbell yield curve allocation with an underweight in the 3- to 5-year maturity segment. | |
• | An overweight in the cash to 1-year maturity segment. |
Detractors from the Fund’s relative performance include:
• | An overweight to AAA rated issues. | |
• | An overweight to Pre-refunded issues. |
There are several key strategies employed in the Fund on an ongoing basis that help differentiate it from others in the intermediate municipal fund space. The first differentiator is a consistent overweight among higher quality issues, with particular emphasis on AAA rated securities. For example, as of December 31, 2015 the Fund held 72% of its assets in AAA (or equivalent) issues, compared to a 17% allocation in the benchmark. A second important Fund strategy, consistent with the quality focus, is a persistent overweight to U.S. government backed issues. Finally, a third key focus is the minimization of maturity extension risk should interest rates rise sharply. The Fund attempts to accomplish this objective by limiting the exposure to callable securities and, when callable securities are held, to keep the difference between the call date and the final maturity date to a minimum.
The fundamental strategies outlined above are differentiating factors that the Fund continues to follow, and they are particularly important during periods of heightened market volatility. The Fund intends to continue to maintain an effective duration of approximately 4.5 years. Finally, even if the yield curve flattens further as the Fed normalizes monetary policy, the benefits of rolling down the intermediate maturity segment should continue to accrue to shareholders.
Page 71
Baird Quality Intermediate Municipal Bond Fund
December 31, 2015 (Unaudited)
Portfolio Characteristics
Quality Distribution(1)(2)
Net Assets | $1,148,783,504 | ||||
SEC 30-Day | |||||
Yield(4) | |||||
Institutional Class | 1.55% | ||||
Investor Class | 1.30% | ||||
Average | |||||
Effective | |||||
Duration | 4.36 years | ||||
Average | |||||
Effective | |||||
Maturity | 4.80 years | ||||
Annualized | |||||
Sector Weightings(1) | Expense | ||||
Ratio | |||||
Institutional Class | 0.30% | ||||
Investor Class | 0.55% | (5) | |||
Portfolio | |||||
Turnover Rate | 9.3% | ||||
Number of | |||||
Holdings | 303 | ||||
(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 December 31, 2015. |
(5) | Includes 0.25% 12b-1 fee. |
Page 72
Baird Quality Intermediate Municipal Bond Fund
December 31, 2015 (Unaudited)
Institutional Class
Value of a $25,000 Investment
Growth of a hypothetical investment of $25,000 made on the Fund’s inception date (3/30/01), assuming reinvestment of all distributions.
Investor Class
Value of a $10,000 Investment
Growth of a hypothetical investment of $10,000 made on the Fund’s inception date (3/30/01), assuming reinvestment of all distributions.
Page 73
Baird Quality Intermediate Municipal Bond Fund(1)
December 31, 2015 (Unaudited)
Total Returns
Average Annual | ||||
One | Five | Ten | Since | |
For the Periods Ended December 31, 2015 | Year | Years | Years | Inception(2) |
Institutional Class Shares | 2.19% | 3.39% | 4.05% | 4.40% |
Investor Class Shares | 1.89% | 3.14% | 3.78% | 4.13% |
Barclays Quality Intermediate | ||||
Municipal Bond Index(3) | 2.71% | 3.93% | 4.33% | 4.38% |
Barclays 7-Year General Obligation Bond Index(4) | 3.18% | 4.34% | 4.74% | 4.78% |
(1) | Effective September 1, 2015, the Fund changed its name from the Baird Intermediate Municipal Bond Fund to the Baird Quality Intermediate Municipal Bond Fund. |
(2) | For the period from March 30, 2001 (inception date) through December 31, 2015. |
(3) | The Barclays Quality Intermediate Municipal Bond Index is an unmanaged, market value weighted index consisting of tax-exempt, fixed-rate securities that are rated A3 or better, with maturities between 2 and 12 years. Securities must have an outstanding par value of at least $7 million and be issued as part of a transaction of at least $75 million. The bonds must be fixed rate, have a dated-date after December 31, 1990. This Index does not reflect any deduction for fees, expenses or taxes. A direct investment in an index is not possible. The Fund changed its benchmark from the Barclays 7-Year General Obligation Bond Index to the Barclays Quality Intermediate Municipal Bond Index effective September 1, 2015 because the Fund’s investment advisor believes that the Barclays Quality Intermediate Municipal Bond Index is more representative of the investment approach used to manage the Fund. |
(4) | 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 $5 million, have been issued in the last 5 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 line graph on the previous page and 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 74
Baird Quality Intermediate Municipal Bond Fund
Summary Schedule of Investments, December 31, 2015
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 | ||||||||||||
Total Alabama | ||||||||||||
(Cost $2,152,240)# | $ | 2,291,365 | 0.2 | % | ||||||||
Arizona | ||||||||||||
Total Arizona | ||||||||||||
(Cost $1,009,587)# | 1,066,690 | 0.1 | % | |||||||||
Arkansas | ||||||||||||
Total Arkansas | ||||||||||||
(Cost $1,103,551)# | 1,094,730 | 0.1 | % | |||||||||
California | ||||||||||||
Bakersfield California Certificates Participation | ||||||||||||
0.000%, 04/15/2021 (ETM) | $ | 12,380,000 | 11,363,973 | 1.0 | % | |||||||
San Joaquin Hills California Transportation | ||||||||||||
Corridor Agency Toll Road Revenue | ||||||||||||
0.000%, 01/01/2020 (ETM) | 6,865,000 | 6,529,782 | 0.6 | % | ||||||||
0.000%, 01/01/2023 (ETM) | 14,000,000 | 12,464,340 | 1.1 | % | ||||||||
San Marcos California Public | ||||||||||||
Facilities Authority Revenue | ||||||||||||
0.000%, 09/01/2019 (ETM) | 17,295,000 | 16,513,439 | 1.4 | % | ||||||||
Other California# | 7,479,735 | 0.6 | % | |||||||||
Total California | ||||||||||||
(Cost $49,797,094) | 54,351,269 | 4.7 | % | |||||||||
Colorado | ||||||||||||
Dawson Ridge Metropolitan District No. 1 Colorado | ||||||||||||
0.000%, 10/01/2022 (ETM) | 27,895,000 | 24,574,937 | 2.1 | % | ||||||||
0.000%, 10/01/2022 (ETM) | 17,540,000 | 15,452,389 | 1.4 | % | ||||||||
Regional Transportation District | ||||||||||||
Colorado Sales Tax Revenue | ||||||||||||
5.000%, 11/01/2036 (Pre-refunded to 11/01/2016) | ||||||||||||
(Insured by AMBAC) | 6,785,000 | 7,037,741 | 0.6 | % |
The accompanying notes are an integral part of these financial statements.
Page 75
Baird Quality Intermediate Municipal Bond Fund
Summary Schedule of Investments, December 31, 2015
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
Other Colorado# | $ | 8,870,633 | 0.8 | % | ||||||||
Total Colorado | ||||||||||||
(Cost $53,201,885) | 55,935,700 | 4.9 | % | |||||||||
Connecticut | ||||||||||||
Total Connecticut | ||||||||||||
(Cost $4,917,895)# | 5,084,410 | 0.4 | % | |||||||||
Delaware | ||||||||||||
Total Delaware | ||||||||||||
(Cost $2,298,143)# | 2,311,340 | 0.2 | % | |||||||||
District of Columbia | ||||||||||||
Total District of Columbia | ||||||||||||
(Cost $165,576)# | 165,618 | 0.0 | % | |||||||||
Florida | ||||||||||||
Broward County Florida School Board | ||||||||||||
5.250%, 07/01/2022 (Callable 07/01/2021) | $ | 8,390,000 | 9,833,415 | 0.9 | % | |||||||
5.250%, 07/01/2023 (Callable 07/01/2021) | 4,915,000 | 5,710,542 | 0.5 | % | ||||||||
County of St. Lucie Florida | ||||||||||||
6.000%, 10/01/2020 (ETM) | 6,420,000 | 7,502,027 | 0.7 | % | ||||||||
Florida State Board of Education | ||||||||||||
5.000%, 06/01/2022 (Callable 06/01/2019) | 13,800,000 | 15,494,088 | 1.4 | % | ||||||||
Miami-Dade County Florida | ||||||||||||
4.500%, 10/01/2020 | 7,100,000 | 8,021,509 | 0.7 | % | ||||||||
Other Florida# | 49,671,590 | 4.2 | % | |||||||||
Total Florida | ||||||||||||
(Cost $90,411,433) | 96,233,171 | 8.4 | % | |||||||||
Georgia | ||||||||||||
Forsyth County Georgia Hospital | ||||||||||||
Authority Revenue Anticipation Certificates | ||||||||||||
6.375%, 10/01/2028 (ETM) | 8,050,000 | 10,250,145 | 0.9 | % | ||||||||
Gwinnett County Georgia School District | ||||||||||||
5.000%, 02/01/2026 (Pre-refunded to 02/01/2018) | 7,500,000 | 8,127,375 | 0.7 | % | ||||||||
State of Georgia | ||||||||||||
5.000%, 07/01/2020 (Callable 07/01/2017) | 12,570,000 | 13,383,153 | 1.2 | % | ||||||||
Other Georgia# | 8,006,460 | 0.7 | % | |||||||||
Total Georgia | ||||||||||||
(Cost $39,002,920) | 39,767,133 | 3.5 | % | |||||||||
Illinois | ||||||||||||
Chicago Illinois Board of Education | ||||||||||||
6.000%, 01/01/2020 (Insured by NPFGC) | 14,745,000 | 15,886,705 | 1.3 | % | ||||||||
5.000%, 12/01/2017 | 6,445,000 | 6,580,484 | 0.6 | % |
The accompanying notes are an integral part of these financial statements.
Page 76
Baird Quality Intermediate Municipal Bond Fund
Summary Schedule of Investments, December 31, 2015
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
Illinois Finance Authority | ||||||||||||
0.000%, 07/15/2023 (ETM) | $ | 21,475,000 | $ | 18,296,485 | 1.6 | % | ||||||
0.000%, 07/15/2025 (ETM) | 12,625,000 | 10,039,779 | 0.9 | % | ||||||||
6.625%, 11/01/2039 (Pre-refunded to 05/01/2019) | 395,000 | 464,236 | 0.0 | % | ||||||||
Kane McHenry Cook & De Kalb Counties | ||||||||||||
Illinois School District No. 300 | ||||||||||||
7.000%, 01/01/2018 (ETM) | 5,775,000 | 6,459,569 | 0.5 | % | ||||||||
Kendall Kane & Will Counties | ||||||||||||
Community Unit School District No. 308 | ||||||||||||
0.000%, 02/01/2021 (Insured by AGM) | 13,625,000 | 12,157,860 | 1.1 | % | ||||||||
Village of Schaumburg IL | ||||||||||||
4.000%, 12/01/2024 (Callable 12/01/2022) | 5,750,000 | 6,424,992 | 0.6 | % | ||||||||
Other Illinois# | 58,611,808 | 5.2 | % | |||||||||
Total Illinois | ||||||||||||
(Cost $130,345,955) | 134,921,918 | 11.8 | % | |||||||||
Indiana | ||||||||||||
Total Indiana | ||||||||||||
(Cost $12,389,664)# | 13,023,189 | 1.1 | % | |||||||||
Kansas | ||||||||||||
Total Kansas | ||||||||||||
(Cost $3,165,045)# | 3,332,522 | 0.3 | % | |||||||||
Kentucky | ||||||||||||
Louisville & Jefferson County Metropolitan Government | ||||||||||||
6.125%, 02/01/2037 (Pre-refunded to 02/01/2018) | 13,980,000 | 15,471,107 | 1.4 | % | ||||||||
Other Kentucky# | 3,634,822 | 0.3 | % | |||||||||
Total Kentucky | ||||||||||||
(Cost $18,961,451) | 19,105,929 | 1.7 | % | |||||||||
Louisiana | ||||||||||||
Louisiana Public Facilities Authority | ||||||||||||
6.750%, 07/01/2039 (Pre-refunded to 07/01/2019) | 5,695,000 | 6,766,685 | 0.6 | % | ||||||||
Louisiana Public Facilities Authority Revenue | ||||||||||||
5.500%, 05/15/2027 (Pre-refunded to 05/15/2026) | 10,145,000 | 13,132,398 | 1.1 | % | ||||||||
5.500%, 05/15/2032 (Pre-refunded to 05/15/2026) | 21,680,000 | 28,699,117 | 2.5 | % | ||||||||
State of Louisiana | ||||||||||||
5.000%, 11/15/2020 (Callable 05/15/2020) | 10,000,000 | 11,539,700 | 1.0 | % | ||||||||
5.000%, 11/15/2018 | 1,775,000 | 1,968,706 | 0.2 | % | ||||||||
Other Louisiana# | 3,322,238 | 0.3 | % | |||||||||
Total Louisiana | ||||||||||||
(Cost $59,329,292) | 65,428,844 | 5.7 | % | |||||||||
Maryland | ||||||||||||
Total Maryland | ||||||||||||
(Cost $3,744,767)# | 3,787,025 | 0.3 | % |
The accompanying notes are an integral part of these financial statements.
Page 77
Baird Quality Intermediate Municipal Bond Fund
Summary Schedule of Investments, December 31, 2015
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
Massachusetts | ||||||||||||
Massachusetts State | ||||||||||||
4.000%, 12/01/2022 (Callable 12/01/2019) | $ | 15,000,000 | �� | $ | 16,500,150 | 1.4 | % | |||||
Other Massachusetts# | 6,224,382 | 0.6 | % | |||||||||
Total Massachusetts | ||||||||||||
(Cost $22,206,507) | 22,724,532 | 2.0 | % | |||||||||
Michigan | ||||||||||||
Michigan Finance Authority | ||||||||||||
5.000%, 01/01/2019 | 7,000,000 | 7,806,330 | 0.7 | % | ||||||||
Other Michigan# | 32,425,233 | 2.8 | % | |||||||||
Total Michigan | ||||||||||||
(Cost $39,137,491) | 40,231,563 | 3.5 | % | |||||||||
Minnesota | ||||||||||||
University of Minnesota | ||||||||||||
5.500%, 07/01/2021 (ETM) | 9,980,000 | 11,705,742 | 1.0 | % | ||||||||
Other Minnesota# | 1,992,860 | 0.2 | % | |||||||||
Total Minnesota | ||||||||||||
(Cost $13,404,787) | 13,698,602 | 1.2 | % | |||||||||
Missouri | ||||||||||||
Total Missouri | ||||||||||||
(Cost $2,289,286)# | 2,330,470 | 0.2 | % | |||||||||
Nebraska | ||||||||||||
Total Nebraska | ||||||||||||
(Cost $3,968,817)# | 3,988,770 | 0.4 | % | |||||||||
Nevada | ||||||||||||
Total Nevada | ||||||||||||
(Cost $2,085,982)# | 2,160,808 | 0.2 | % | |||||||||
New Hampshire | ||||||||||||
Total New Hampshire | ||||||||||||
(Cost $3,409,858)# | 3,398,325 | 0.3 | % | |||||||||
New Jersey | ||||||||||||
Total New Jersey | ||||||||||||
(Cost $20,825,615)# | 21,149,236 | 1.8 | % | |||||||||
New Mexico | ||||||||||||
Total New Mexico | ||||||||||||
(Cost $1,472,560)# | 1,477,397 | 0.1 | % | |||||||||
New York | ||||||||||||
Metropolitan Transit Authority New York | ||||||||||||
6.000%, 04/01/2020 (ETM) | 13,615,000 | 15,353,635 | 1.3 | % | ||||||||
New York State Dormitory Authority | ||||||||||||
5.000%, 12/15/2023 (Callable 12/15/2022) | 11,685,000 | 14,225,319 | 1.3 | % |
The accompanying notes are an integral part of these financial statements.
Page 78
Baird Quality Intermediate Municipal Bond Fund
Summary Schedule of Investments, December 31, 2015
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
Westchester Tobacco Asset Securitization/NY | ||||||||||||
6.950%, 07/15/2039 (Pre-refunded to 07/15/2017) | $ | 13,075,000 | $ | 14,431,139 | 1.3 | % | ||||||
Other New York# | 25,282,049 | 2.1 | % | |||||||||
Total New York | ||||||||||||
(Cost $67,038,789) | 69,292,142 | 6.0 | % | |||||||||
North Carolina | ||||||||||||
North Carolina Eastern Municipal Power Agency | ||||||||||||
5.000%, 01/01/2021 (ETM) | 10,120,000 | 11,686,879 | 1.0 | % | ||||||||
4.500%, 01/01/2024 (Pre-refunded to 01/01/2022) | 11,465,000 | 13,252,279 | 1.2 | % | ||||||||
5.000%-6.400%, 01/01/2017-01/01/2026 | 12,727,000 | 13,971,032 | 1.2 | % | ||||||||
Other North Carolina# | 520,240 | 0.0 | % | |||||||||
Total North Carolina | ||||||||||||
(Cost $38,740,438) | 39,430,430 | 3.4 | % | |||||||||
Ohio | ||||||||||||
State of Ohio | ||||||||||||
5.000%, 06/15/2021 | 6,740,000 | 8,006,985 | 0.7 | % | ||||||||
Other Ohio# | 14,594,531 | 1.3 | % | |||||||||
Total Ohio | ||||||||||||
(Cost $21,768,294) | 22,601,516 | 2.0 | % | |||||||||
Oregon | ||||||||||||
Total Oregon | ||||||||||||
(Cost $5,425,659)# | 5,406,150 | 0.5 | % | |||||||||
Pennsylvania | ||||||||||||
Pennsylvania Convention Center | ||||||||||||
Authority Revenue Bonds | ||||||||||||
6.000%, 09/01/2019 (ETM) | 13,755,000 | 15,467,085 | 1.3 | % | ||||||||
Other Pennsylvania# | 23,606,410 | 2.1 | % | |||||||||
Total Pennsylvania | ||||||||||||
(Cost $38,385,131) | 39,073,495 | 3.4 | % | |||||||||
Puerto Rico | ||||||||||||
Total Puerto Rico | ||||||||||||
(Cost $11,780,827)# | 9,634,259 | 0.8 | % | |||||||||
Rhode Island | ||||||||||||
Total Rhode Island | ||||||||||||
(Cost $5,943,250)# | 6,083,550 | 0.5 | % | |||||||||
South Carolina | ||||||||||||
Piedmont Municipal Power Agency | ||||||||||||
South Carolina Electric Revenue | ||||||||||||
6.750%, 01/01/2020 (ETM) | 6,450,000 | 7,794,438 | 0.7 | % | ||||||||
Other South Carolina# | 5,487,115 | 0.5 | % | |||||||||
Total South Carolina | ||||||||||||
(Cost $12,571,357) | 13,281,553 | 1.2 | % |
The accompanying notes are an integral part of these financial statements.
Page 79
Baird Quality Intermediate Municipal Bond Fund
Summary Schedule of Investments, December 31, 2015
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
South Dakota | ||||||||||||
Total South Dakota | ||||||||||||
(Cost $235,000)# | $ | 235,000 | 0.0 | % | ||||||||
Tennessee | ||||||||||||
Total Tennessee | ||||||||||||
(Cost $8,652,284)# | 8,955,014 | 0.8 | % | |||||||||
Texas | ||||||||||||
City of Houston TX Combined Utility System Revenue | ||||||||||||
0.000%, 12/01/2019 (ETM) | $ | 13,355,000 | 12,671,758 | 1.1 | % | |||||||
5.500%, 12/01/2029 (ETM) | 16,050,000 | 21,652,413 | 1.9 | % | ||||||||
5.500%, 12/01/2024 (ETM) | 1,735,000 | 2,194,289 | 0.2 | % | ||||||||
Harris County Texas | ||||||||||||
5.750%, 10/01/2028 (Pre-refunded to 10/01/2018) | 6,930,000 | 7,804,081 | 0.7 | % | ||||||||
5.000%-5.750%, 10/01/2019-10/01/2026 | 5,855,000 | 7,096,720 | 0.6 | % | ||||||||
Lamar Consolidated Independent School District | ||||||||||||
5.000%, 02/15/2026 (PSF Guaranteed) | 5,860,000 | 7,400,653 | 0.6 | % | ||||||||
North East Independent School District/TX | ||||||||||||
5.000%, 08/01/2021 (PSF Guaranteed) | 6,095,000 | 7,223,489 | 0.7 | % | ||||||||
5.000%, 08/01/2023 (PSF Guaranteed) | 5,805,000 | 7,100,154 | 0.6 | % | ||||||||
5.000%, 02/01/2024 (PSF Guaranteed) | 2,930,000 | 3,604,046 | 0.3 | % | ||||||||
San Antonio Texas Electric & Gas Revenue | ||||||||||||
5.650%, 02/01/2019 (ETM) | 11,665,000 | 12,671,923 | 1.1 | % | ||||||||
Tarrant County Texas Health Facilities Revenue | ||||||||||||
6.000%, 09/01/2024 (ETM) | 7,385,000 | 8,865,028 | 0.8 | % | ||||||||
Texas State | ||||||||||||
5.000%, 10/01/2018 | 6,285,000 | 6,954,541 | 0.6 | % | ||||||||
Tomball Independent School District | ||||||||||||
5.000%, 02/15/2025 (PSF Guaranteed) | 5,865,000 | 7,301,221 | 0.6 | % | ||||||||
University of Texas System | ||||||||||||
5.000%, 08/15/2022 | 9,530,000 | 11,520,817 | 1.0 | % | ||||||||
Other Texas# | 115,813,957 | 10.1 | % | |||||||||
Total Texas | ||||||||||||
(Cost $231,973,560) | 239,875,090 | 20.9 | % | |||||||||
Utah | ||||||||||||
Total Utah | ||||||||||||
(Cost $8,850,408)# | 9,379,716 | 0.8 | % | |||||||||
Virginia | ||||||||||||
Total Virginia | ||||||||||||
(Cost $4,416,215)# | 4,484,539 | 0.4 | % | |||||||||
Washington | ||||||||||||
Washington Health Care Facilities Authority | ||||||||||||
6.250%, 08/01/2036 (Pre-refunded to 08/01/2018) | 8,100,000 | 9,140,688 | 0.8 | % | ||||||||
6.125%-6.250%, 08/01/2028-11/15/2041 | 6,520,000 | 7,991,040 | 0.7 | % |
The accompanying notes are an integral part of these financial statements.
Page 80
Baird Quality Intermediate Municipal Bond Fund
Summary Schedule of Investments, December 31, 2015
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
Washington State | ||||||||||||
5.000%, 01/01/2021 | $ | 10,000,000 | $ | 11,743,700 | 1.0 | % | ||||||
5.500%, 07/01/2023 | 5,000,000 | 6,119,850 | 0.6 | % | ||||||||
Other Washington# | 13,646,449 | 1.1 | % | |||||||||
Total Washington | ||||||||||||
(Cost $46,941,245) | 48,641,727 | 4.2 | % | |||||||||
West Virginia | ||||||||||||
Total West Virginia | ||||||||||||
(Cost $1,228,729)# | 1,243,441 | 0.1 | % | |||||||||
Wisconsin | ||||||||||||
Total Wisconsin | ||||||||||||
(Cost $2,273,600)# | 2,343,282 | 0.2 | % | |||||||||
Total Long-Term Investments | ||||||||||||
(Cost $1,087,022,187) | 1,129,021,460 | 98.3 | % | |||||||||
Short-Term Investment | ||||||||||||
Shares | ||||||||||||
Money Market Mutual Fund | ||||||||||||
Goldman Sachs Financial Square Funds, 0.01%« | 3,943,030 | 3,943,030 | 0.3 | % | ||||||||
Total Short-Term Investment | ||||||||||||
(Cost $3,943,030) | 3,943,030 | 0.3 | % | |||||||||
Total Investments | ||||||||||||
(Cost $1,090,965,217) | 1,132,964,490 | 98.6 | % | |||||||||
Other Assets in Excess of Liabilities | 15,819,014 | 1.4 | % | |||||||||
TOTAL NET ASSETS | $ | 1,148,783,504 | 100.0 | % |
Notes to Summary Schedule of Investments
AGM – Assured Guaranty Municipal
AMBAC – Ambac Assurance Corporation
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. |
The accompanying notes are an integral part of these financial statements.
Page 81
Baird Quality Intermediate Municipal Bond Fund
Summary Schedule of Investments, December 31, 2015
Summary of Fair Value Exposure at December 31, 2015
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 December 31, 2015:
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Municipal Bonds | ||||||||||||||||
Municipal Bonds | $ | — | $ | 1,129,021,460 | $ | — | $ | 1,129,021,460 | ||||||||
Total Municipal Bonds | — | 1,129,021,460 | — | 1,129,021,460 | ||||||||||||
Short-Term Investment | ||||||||||||||||
Money Market Mutual Fund | 3,943,030 | — | — | 3,943,030 | ||||||||||||
Total Short-Term Investment | 3,943,030 | — | — | 3,943,030 | ||||||||||||
Total Investments | $ | 3,943,030 | $ | 1,129,021,460 | $ | — | $ | 1,132,964,490 |
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 82
Baird Core Intermediate Municipal Bond Fund
December 31, 2015
The Baird Core Intermediate Municipal Bond Fund seeks a high level of current income that is exempt from federal income tax and is consistent with preservation of capital.
Since inception (August 31, 2015) the Fund has generated positive absolute returns and outperformed its benchmark.
Positive contributors to the Fund’s relative performance include:
• | A barbelled yield curve allocation in which the Fund was underweight maturities in the 3- to 5-year segment of the curve, and overweight maturities both shorter and longer. | |
• | An overweight allocation to BBB rated securities which benefited from a compression of credit spreads during the quarter. | |
• | An overweight allocation to the Revenue-backed sector, relative to General Obligation and Pre-refunded issues. | |
• | Within the Revenue sector, an overweight to Hospitals, Housing, and Water/Sewer issues. | |
• | Individual security selection, particularly through the use of floating rate securities. |
Detractors from the Fund’s relative performance include:
• | An underweight to the 10- to 13-year maturity segment of the yield curve. | |
• | An underweight to A rated securities. | |
• | Within the Revenue sector, an underweight to Transportation and corporate-backed issues. |
Looking forward, the Fund intends to focus on three key objectives to enhance shareholder value. The first is to identify and capture broad market inefficiencies, specifically as it relates to the yield curve, credit weighting, sector allocation and security selection, while maintaining a neutral duration target relative to the benchmark. The Fund expects to maintain a barbelled curve allocation in anticipation of the ongoing normalization of monetary policy. The Fund also intends to maintain a modest credit overweight, which should benefit the Fund due to expected ongoing economic expansion and rising tax revenues. It is expected that an overweight in Revenue-backed bonds will also be maintained in order to benefit both from the anticipated cyclical expansion but also to help minimize exposure to pension risk among municipalities. The second objective is to achieve and maintain a yield advantage over the benchmark. The Fund will attempt to achieve this objective by capturing both structural and credit opportunities in the security selection process. Finally, the third objective is to manage risk across the Fund in a controlled and prudent manner. Risk management is crucial to consistency of ongoing performance.
Page 83
Baird Core Intermediate Municipal Bond Fund
December 31, 2015 (Unaudited)
Portfolio Characteristics
Quality Distribution(1)(2)
Net Assets | $51,062,409 | ||||
SEC 30-Day | |||||
Yield(4) | |||||
Institutional Class | 1.59% | ||||
Investor Class | 1.29% | ||||
Average | |||||
Effective | |||||
Duration | 4.61 years | ||||
Average | |||||
Effective | |||||
Maturity | 4.83 years | ||||
Annualized | |||||
Sector Weightings(1) | Expense | ||||
Ratio | |||||
Institutional Class | 0.30% | ||||
Investor Class | 0.55% | (5) | |||
Portfolio | |||||
Turnover Rate | 108.3% | (6) | |||
Number of | |||||
Holdings | 189 | ||||
(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 December 31, 2015. |
(5) | Includes 0.25% 12b-1 fee. |
(6) | Not annualized. |
Page 84
Baird Core Intermediate Municipal Bond Fund
December 31, 2015 (Unaudited)
Institutional Class
Value of a $25,000 Investment
Growth of a hypothetical investment of $25,000 made on the Fund’s inception date (8/31/15), assuming reinvestment of all distributions.
Investor Class
Value of a $10,000 Investment
Growth of a hypothetical investment of $10,000 made on the Fund’s inception date (8/31/15), assuming reinvestment of all distributions.
Page 85
Baird Core Intermediate Municipal Bond Fund
December 31, 2015 (Unaudited)
Total Returns
Since | |
For the Periods Ended December 31, 2015 | Inception(1) |
Institutional Class Shares | 1.98% |
Investor Class Shares | 1.91% |
Barclays Municipal Bond (1-15 Year) Index(2) | 1.84% |
(1) | For the period from August 31, 2015 (inception date) through December 31, 2015. |
(2) | The Barclays Municipal Bond (1-15 Year) Index is an unmanaged, market value weighted index of investment-grade, tax-exempt, and fixed-rate securities with maturities between 1 and 17 years. Securities must have an outstanding par value of at least $7 million and be issued as part of a transaction of at least $75 million. The bonds must be fixed rate, have a dated-date after December 31, 1990, and must be at least one year from their maturity date. This Index does not reflect any deduction for fees, expenses or taxes. A direct investment in an index is not possible. |
The line graph on the previous page and 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 86
Baird Core Intermediate Municipal Bond Fund
Summary Schedule of Investments, December 31, 2015
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 | ||||||||||||
Total Alabama | ||||||||||||
(Cost $691,677)# | $ | 693,321 | 1.4 | % | ||||||||
Alaska | ||||||||||||
Alaska Municipal Bond Bank Authority | ||||||||||||
5.000%, 08/01/2027 (Callable 08/01/2023) | $ | 500,000 | 597,890 | 1.1 | % | |||||||
City of Valdez AK | ||||||||||||
5.000%, 01/01/2021 | 435,000 | 497,971 | 1.0 | % | ||||||||
Other Alaska# | 102,724 | 0.2 | % | |||||||||
Total Alaska | ||||||||||||
(Cost $1,166,998) | 1,198,585 | 2.3 | % | |||||||||
Arizona | ||||||||||||
Arizona Transportation Board | ||||||||||||
5.000%, 07/01/2025 (Callable 07/01/2019) | 350,000 | 396,301 | 0.8 | % | ||||||||
City of El Mirage AZ | ||||||||||||
5.000%, 07/01/2026 (Callable 07/01/2020) | 450,000 | 511,376 | 1.0 | % | ||||||||
City of Tucson AZ Water System Revenue | ||||||||||||
5.000%, 07/01/2032 (Callable 07/01/2025) | 500,000 | 600,305 | 1.2 | % | ||||||||
Other Arizona# | 110,704 | 0.2 | % | |||||||||
Total Arizona | ||||||||||||
(Cost $1,581,413) | 1,618,686 | 3.2 | % | |||||||||
Arkansas | ||||||||||||
Pulaski County Public Facilities Board | ||||||||||||
4.000%, 07/01/2017 | 380,000 | 392,943 | 0.8 | % | ||||||||
Other Arkansas# | 579,308 | 1.1 | % | |||||||||
Total Arkansas | ||||||||||||
(Cost $969,483) | 972,251 | 1.9 | % | |||||||||
California | ||||||||||||
California Health Facilities Financing Authority | ||||||||||||
5.000%, 04/01/2020 | 350,000 | 382,298 | 0.8 | % |
The accompanying notes are an integral part of these financial statements.
Page 87
Baird Core Intermediate Municipal Bond Fund
Summary Schedule of Investments, December 31, 2015
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
Dinuba Redevelopment Agency | ||||||||||||
5.000%, 09/01/2028 (Callable 09/01/2024) | $ | 330,000 | $ | 384,882 | 0.8 | % | ||||||
East Bay Municipal Utility | ||||||||||||
District Water System Revenue | ||||||||||||
5.000%, 06/01/2033 (Callable 06/01/2024) | 475,000 | 565,278 | 1.1 | % | ||||||||
San Bernardino City Unified School District | ||||||||||||
5.000%, 08/01/2027 (Callable 08/01/2023) | ||||||||||||
(Insured by AGM) | 450,000 | 530,195 | 1.0 | % | ||||||||
Southern California Public Power Authority | ||||||||||||
0.130%, 07/01/2031 | ||||||||||||
(Optional Put Date 01/08/2016) | ||||||||||||
(Callable 07/01/2021)(1) | 600,000 | 600,000 | 1.2 | % | ||||||||
Westlands Water District | ||||||||||||
5.000%, 09/01/2030 (Callable 09/01/2022) | ||||||||||||
(Insured by AGM) | 500,000 | 589,580 | 1.2 | % | ||||||||
Other California# | 2,450,362 | 4.7 | % | |||||||||
Total California | ||||||||||||
(Cost $5,437,086) | 5,502,595 | 10.8 | % | |||||||||
Colorado | ||||||||||||
Bromley Park Metropolitan District No. 2 | ||||||||||||
4.250%, 12/01/2022 (Callable 12/01/2017) | 400,000 | 405,908 | 0.8 | % | ||||||||
Other Colorado# | 258,892 | 0.5 | % | |||||||||
Total Colorado | ||||||||||||
(Cost $665,730) | 664,800 | 1.3 | % | |||||||||
District of Columbia | ||||||||||||
Total District of Columbia | ||||||||||||
(Cost $166,462)# | 166,957 | 0.3 | % | |||||||||
Florida | ||||||||||||
City of Orlando FL | ||||||||||||
5.250%, 11/01/2026 (Callable 05/01/2024) | 500,000 | 617,055 | 1.2 | % | ||||||||
5.000%, 10/01/2027 (Callable 10/01/2020) | 100,000 | 116,589 | 0.2 | % | ||||||||
Deutsche Bank Spears/Lifers Trust | ||||||||||||
0.180%, 10/01/2041 (Optional Put Date 01/08/2016) | ||||||||||||
(Callable 10/01/2020)(1) | 600,000 | 600,000 | 1.2 | % | ||||||||
0.260%, 09/01/2042 (Optional Put Date 01/08/2016) | ||||||||||||
(Callable 09/01/2017)(1) | 500,000 | 500,000 | 1.0 | % | ||||||||
Other Florida# | 1,596,453 | 3.1 | % | |||||||||
Total Florida | ||||||||||||
(Cost $3,409,186) | 3,430,097 | 6.7 | % | |||||||||
Georgia | ||||||||||||
Burke County Development Authority | ||||||||||||
0.220%, 07/01/2049 (Optional Put Date 01/04/2016) | ||||||||||||
(Callable 12/31/2015)(1) | 500,000 | 500,000 | 1.0 | % |
The accompanying notes are an integral part of these financial statements.
Page 88
Baird Core Intermediate Municipal Bond Fund
Summary Schedule of Investments, December 31, 2015
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
Other Georgia# | $ | 1,185,962 | 2.3 | % | ||||||||
Total Georgia | ||||||||||||
(Cost $1,675,011) | 1,685,962 | 3.3 | % | |||||||||
Illinois | ||||||||||||
Chicago O’Hare International Airport | ||||||||||||
5.500%, 01/01/2031 (Callable 01/01/2021) | $ | 500,000 | 578,025 | 1.1 | % | |||||||
5.000%, 01/01/2020 (Callable 01/01/2017) | ||||||||||||
(Insured by AGM) | 100,000 | 104,168 | 0.2 | % | ||||||||
City of Chicago IL | ||||||||||||
5.000%, 01/01/2026 (Callable 02/01/2016) | ||||||||||||
(Insured by AGM) | 500,000 | 504,455 | 1.0 | % | ||||||||
4.250%, 01/01/2019 | 225,000 | 234,414 | 0.5 | % | ||||||||
City of Chicago IL Motor Fuel Tax Revenue | ||||||||||||
5.000%, 01/01/2026 (Callable 01/01/2024) | 500,000 | 529,335 | 1.0 | % | ||||||||
City of Chicago IL Waterworks Revenue | ||||||||||||
5.000%, 11/01/2028 (Callable 11/01/2018) | ||||||||||||
(Insured by AGM) | 450,000 | 477,144 | 0.9 | % | ||||||||
Town of Cicero IL | ||||||||||||
5.000%, 01/01/2019 (Insured by AGM) | 400,000 | 433,284 | 0.9 | % | ||||||||
Village of Franklin Park IL | ||||||||||||
5.000%, 04/01/2023 | 400,000 | 457,264 | 0.9 | % | ||||||||
Other Illinois# | 1,422,305 | 2.8 | % | |||||||||
Total Illinois | ||||||||||||
(Cost $4,698,898) | 4,740,394 | 9.3 | % | |||||||||
Indiana | ||||||||||||
Total Indiana | ||||||||||||
(Cost $852,664)# | 858,575 | 1.7 | % | |||||||||
Iowa | ||||||||||||
Total Iowa | ||||||||||||
(Cost $589,530)# | 591,550 | 1.2 | % | |||||||||
Kansas | ||||||||||||
Total Kansas | ||||||||||||
(Cost $113,539)# | 114,363 | 0.2 | % | |||||||||
Louisiana | ||||||||||||
Total Louisiana | ||||||||||||
(Cost $307,547)# | 306,179 | 0.6 | % | |||||||||
Maine | ||||||||||||
Total Maine | ||||||||||||
(Cost $317,994)# | 319,101 | 0.6 | % | |||||||||
Maryland | ||||||||||||
Maryland Health & Higher Educational Facilities Authority | ||||||||||||
5.000%, 05/15/2028 (Callable 05/15/2023) | 460,000 | 539,879 | 1.1 | % |
The accompanying notes are an integral part of these financial statements.
Page 89
Baird Core Intermediate Municipal Bond Fund
Summary Schedule of Investments, December 31, 2015
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
Other Maryland# | $ | 25,518 | 0.0 | % | ||||||||
Total Maryland | ||||||||||||
(Cost $560,096) | 565,397 | 1.1 | % | |||||||||
Massachusetts | ||||||||||||
Total Massachusetts | ||||||||||||
(Cost $699,767)# | 705,108 | 1.4 | % | |||||||||
Michigan | ||||||||||||
Total Michigan | ||||||||||||
(Cost $1,409,261)# | 1,424,822 | 2.8 | % | |||||||||
Minnesota | ||||||||||||
Western Minnesota Municipal Power Agency | ||||||||||||
5.000%, 01/01/2033 (Callable 01/01/2024) | $ | 500,000 | 584,465 | 1.1 | % | |||||||
Other Minnesota# | 49,841 | 0.1 | % | |||||||||
Total Minnesota | ||||||||||||
(Cost $626,281) | 634,306 | 1.2 | % | |||||||||
Mississippi | ||||||||||||
Mississippi Development Bank | ||||||||||||
5.500%, 10/01/2019 | 550,000 | 608,278 | 1.2 | % | ||||||||
6.750%, 12/01/2033 (Callable 12/01/2023) | ||||||||||||
(Insured by AGM) | 200,000 | 263,802 | 0.5 | % | ||||||||
Total Mississippi | ||||||||||||
(Cost $862,676) | 872,080 | 1.7 | % | |||||||||
Missouri | ||||||||||||
Total Missouri | ||||||||||||
(Cost $514,141)# | 517,363 | 1.0 | % | |||||||||
Montana | ||||||||||||
Montana Board of Housing | ||||||||||||
3.600%, 12/01/2030 (Callable 06/01/2022) | 520,000 | 531,034 | 1.0 | % | ||||||||
Total Montana | ||||||||||||
(Cost $538,956) | 531,034 | 1.0 | % | |||||||||
Nevada | ||||||||||||
Las Vegas Valley Water District | ||||||||||||
0.250%, 06/01/2036 (Optional Put Date 01/04/2016) | ||||||||||||
(Callable 12/31/2015)(1) | 500,000 | 500,000 | 1.0 | % | ||||||||
Total Nevada | ||||||||||||
(Cost $500,000) | 500,000 | 1.0 | % | |||||||||
New Jersey | ||||||||||||
New Jersey Economic Development Authority | ||||||||||||
4.000%, 06/15/2017 | 375,000 | 386,250 | 0.8 | % | ||||||||
5.000%, 06/15/2023 | 275,000 | 310,065 | 0.6 | % |
The accompanying notes are an integral part of these financial statements.
Page 90
Baird Core Intermediate Municipal Bond Fund
Summary Schedule of Investments, December 31, 2015
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
New Jersey Health Care Facilities Financing Authority | ||||||||||||
4.500%-5.000%, 07/01/2025-07/01/2026 | $ | 575,000 | $ | 662,568 | 1.3 | % | ||||||
New Jersey Transportation Trust Fund Authority | ||||||||||||
5.250%, 12/15/2019 | 345,000 | 376,464 | 0.7 | % | ||||||||
New Jersey Turnpike Authority | ||||||||||||
5.000%, 01/01/2026 (Callable 01/01/2023) | 500,000 | 586,665 | 1.2 | % | ||||||||
Other New Jersey# | 522,295 | 1.0 | % | |||||||||
Total New Jersey | ||||||||||||
(Cost $2,806,673) | 2,844,307 | 5.6 | % | |||||||||
New York | ||||||||||||
Metropolitan Transportation Authority | ||||||||||||
0.843%, 11/01/2022 (Callable 01/21/2016) | ||||||||||||
(Insured by AGM)(1)(2) | 475,000 | 457,648 | 0.9 | % | ||||||||
New York City Municipal Water Finance Authority | ||||||||||||
0.300%, 06/15/2032 (Optional Put Date 01/04/2016) | ||||||||||||
(Callable 01/15/2016)(1) | 600,000 | 600,000 | 1.2 | % | ||||||||
Other New York# | 1,743,880 | 3.4 | % | |||||||||
Total New York | ||||||||||||
(Cost $2,798,760) | 2,801,528 | 5.5 | % | |||||||||
North Carolina | ||||||||||||
Total North Carolina | ||||||||||||
(Cost $541,096)# | 541,822 | 1.1 | % | |||||||||
North Dakota | ||||||||||||
City of Hazen ND | ||||||||||||
2.500%, 07/01/2017 (Callable 01/01/2017) | 400,000 | 400,000 | 0.8 | % | ||||||||
Other North Dakota# | 361,059 | 0.7 | % | |||||||||
Total North Dakota | ||||||||||||
(Cost $758,692) | 761,059 | 1.5 | % | |||||||||
Ohio | ||||||||||||
City of Cleveland OH | ||||||||||||
5.000%, 10/01/2023 | 430,000 | 517,918 | 1.0 | % | ||||||||
City of Dayton OH Airport Revenue | ||||||||||||
5.000%, 12/01/2034 (Callable 12/01/2023) | ||||||||||||
(Insured by AGM) | 400,000 | 449,616 | 0.9 | % | ||||||||
Other Ohio# | 1,513,408 | 3.0 | % | |||||||||
Total Ohio | ||||||||||||
(Cost $2,451,536) | 2,480,942 | 4.9 | % | |||||||||
Oklahoma | ||||||||||||
Total Oklahoma | ||||||||||||
(Cost $502,666)# | 508,551 | 1.0 | % |
The accompanying notes are an integral part of these financial statements.
Page 91
Baird Core Intermediate Municipal Bond Fund
Summary Schedule of Investments, December 31, 2015
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
Pennsylvania | ||||||||||||
Total Pennsylvania | ||||||||||||
(Cost $1,350,799)# | $ | 1,354,093 | 2.6 | % | ||||||||
Puerto Rico | ||||||||||||
Total Puerto Rico | ||||||||||||
(Cost $35,263)# | 35,906 | 0.1 | % | |||||||||
Rhode Island | ||||||||||||
Total Rhode Island | ||||||||||||
(Cost $108,924)# | 109,836 | 0.2 | % | |||||||||
South Carolina | ||||||||||||
Scago Educational Facilities Corp | ||||||||||||
for Union School District | ||||||||||||
5.000%, 12/01/2023 | $ | 500,000 | 593,460 | 1.2 | % | |||||||
Other South Carolina# | 884,396 | 1.7 | % | |||||||||
Total South Carolina | ||||||||||||
(Cost $1,436,691) | 1,477,856 | 2.9 | % | |||||||||
South Dakota | ||||||||||||
South Dakota Health & Educational Facilities Authority | ||||||||||||
5.000%, 09/01/2028 (Callable 09/01/2020) | 325,000 | 368,105 | 0.7 | % | ||||||||
Total South Dakota | ||||||||||||
(Cost $362,833) | 368,105 | 0.7 | % | |||||||||
Tennessee | ||||||||||||
Total Tennessee | ||||||||||||
(Cost $220,929)# | 225,213 | 0.4 | % | |||||||||
Texas | �� | |||||||||||
Harris County Cultural ED FA | ||||||||||||
5.000%, 12/01/2035 (Callable 12/01/2022) | 350,000 | 389,672 | 0.8 | % | ||||||||
Mesquite Independent School District | ||||||||||||
5.000%, 08/15/2029 (Callable 08/15/2025) | ||||||||||||
(PSF Guaranteed) | 500,000 | 614,320 | 1.2 | % | ||||||||
Port of Port Arthur Navigation District | ||||||||||||
0.270%, 04/01/2040 (Optional Put Date 01/04/2016) | ||||||||||||
(Callable 12/31/2015)(1) | 500,000 | 500,000 | 1.0 | % | ||||||||
Trophy Club Public Improvement District No. 1 | ||||||||||||
0.000%, 06/01/2017 (Insured by AGM) | 370,000 | 362,730 | 0.7 | % | ||||||||
Other Texas# | 2,471,208 | 4.8 | % | |||||||||
Total Texas | ||||||||||||
(Cost $4,280,480) | 4,337,930 | 8.5 | % | |||||||||
Utah | ||||||||||||
Utah Charter School Finance Authority | ||||||||||||
5.000%, 10/15/2035 (Callable 10/15/2025) | 400,000 | 453,184 | 0.9 | % |
The accompanying notes are an integral part of these financial statements.
Page 92
Baird Core Intermediate Municipal Bond Fund
Summary Schedule of Investments, December 31, 2015
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
Utah Housing Corp. | ||||||||||||
4.000%, 01/01/2045 (Callable 01/01/2026) | $ | 500,000 | $ | 538,825 | 1.1 | % | ||||||
Other Utah# | 225,719 | 0.4 | % | |||||||||
Total Utah | ||||||||||||
(Cost $1,212,778) | 1,217,728 | 2.4 | % | |||||||||
Virgin Islands | ||||||||||||
Virgin Islands Public Finance Authority | ||||||||||||
5.000%, 09/01/2020 | 400,000 | 451,292 | 0.9 | % | ||||||||
Other Virgin Islands# | 21,170 | 0.0 | % | |||||||||
Total Virgin Islands | ||||||||||||
(Cost $473,154) | 472,462 | 0.9 | % | |||||||||
Virginia | ||||||||||||
Fredericksburg Economic Development Authority | ||||||||||||
1.910%, 08/01/2038 (Callable 08/01/2016) | ||||||||||||
(Mandatory Tender Date 02/01/2017)(1) | 430,000 | 430,262 | 0.8 | % | ||||||||
Total Virginia | ||||||||||||
(Cost $431,110) | 430,262 | 0.8 | % | |||||||||
Washington | ||||||||||||
Total Washington | ||||||||||||
(Cost $250,000)# | 249,927 | 0.5 | % | |||||||||
Wisconsin | ||||||||||||
State of Wisconsin | ||||||||||||
5.000%, 05/01/2029 (Callable 05/01/2024) | 350,000 | 419,706 | 0.8 | % | ||||||||
Wisconsin Center District | ||||||||||||
5.000%, 12/15/2030 (Callable 12/15/2022) | 395,000 | 442,064 | 0.9 | % | ||||||||
Wisconsin Health & Educational Facilities Authority | ||||||||||||
5.000%, 12/15/2030 (Callable 12/15/2024) | 350,000 | 402,465 | 0.8 | % | ||||||||
5.000%-5.000%, 09/01/2018-09/15/2037 | 425,000 | 450,190 | 0.9 | % | ||||||||
Total Wisconsin | ||||||||||||
(Cost $1,693,912) | 1,714,425 | 3.4 | % | |||||||||
Total Long-Term Investments | ||||||||||||
(Cost $50,070,692) | 50,545,478 | 99.0 | % |
The accompanying notes are an integral part of these financial statements.
Page 93
Baird Core Intermediate Municipal Bond Fund
Summary Schedule of Investments, December 31, 2015
Short-Term Investments
% of | ||||||||||||
Shares | Value | Net Assets | ||||||||||
Money Market Mutual Fund | ||||||||||||
Goldman Sachs Financial Square Funds, 0.01%« | 701,024 | $ | 701,024 | 1.4 | % | |||||||
Total Short-Term Investment | ||||||||||||
(Cost $701,024) | 701,024 | 1.4 | % | |||||||||
Total Investments | ||||||||||||
(Cost $50,771,716) | 51,246,502 | 100.4 | % | |||||||||
Liabilities in Excess of Other Assets | (184,093 | ) | (0.4 | )% | ||||||||
TOTAL NET ASSETS | $ | 51,062,409 | 100.0 | % |
Notes to Summary Schedule of Investments
AGM – Assured Guaranty Municipal
PSF – Texas Permanent School Fund
(1) | Variable or floating rate security. Floating rate securities are securities whose yields vary with a designated index rate. These securities rates are as of December 31, 2015. | |
(2) | Auction Rate Security. An Auction Rate Security is a debt instrument with a long nominal maturity for which the interest rate is regularly reset through a Dutch auction. The rate presented is either the rate set through the auction or the maximum interest rate provided for in the security issuance provision. | |
« | 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 December 31, 2015
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 94
Baird Core Intermediate Municipal Bond Fund
Summary Schedule of Investments, December 31, 2015
Summary of Fair Value Exposure at December 31, 2015 (cont.)
The following is a summary of the inputs used to value the Fund’s investments as of December 31, 2015:
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Municipal Bonds | ||||||||||||||||
Municipal Bonds | $ | — | $ | 50,545,478 | $ | — | $ | 50,545,478 | ||||||||
Total Municipal Bonds | — | 50,545,478 | — | 50,545,478 | ||||||||||||
Short-Term Investment | ||||||||||||||||
Money Market Mutual Fund | 701,024 | — | — | 701,024 | ||||||||||||
Total Short-Term Investment | 701,024 | — | — | 701,024 | ||||||||||||
Total Investments | $ | 701,024 | $ | 50,545,478 | $ | — | $ | 51,246,502 |
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. 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 95
Additional Information on Fund Expenses
December 31, 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 (7/1/15 – 12/31/15).
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 96
Additional Information on Fund Expenses
December 31, 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) | 7/1/15 | 12/31/15 | Period(1)(2) | 12/31/15 | Period(1)(2) | ||||||
Baird Ultra Short | |||||||||||
Bond Fund | |||||||||||
Institutional Class | 0.15% | $1,000.00 | $ 998.50 | $0.76 | $1,024.45 | $0.77 | |||||
Investor Class | 0.40% | $1,000.00 | $ 997.40 | $2.01 | $1,023.19 | $2.04 | |||||
Baird Short-Term | |||||||||||
Bond Fund | |||||||||||
Institutional Class | 0.30% | $1,000.00 | $1,000.20 | $1.51 | $1,023.69 | $1.53 | |||||
Investor Class | 0.55% | $1,000.00 | $ 998.90 | $2.77 | $1,022.43 | $2.80 | |||||
Baird Short-Term | |||||||||||
Municipal Bond Fund | |||||||||||
Institutional Class | 0.30% | $1,000.00 | $1,009.40 | $1.01 | $1,015.71 | $1.01 | |||||
Investor Class | 0.55% | $1,000.00 | $1,008.60 | $1.85 | $1,014.87 | $1.85 | |||||
Baird Intermediate | |||||||||||
Bond Fund | |||||||||||
Institutional Class | 0.30% | $1,000.00 | $1,000.00 | $1.51 | $1,023.69 | $1.53 | |||||
Investor Class | 0.55% | $1,000.00 | $ 999.60 | $2.77 | $1,022.43 | $2.80 | |||||
Baird Quality Intermediate | |||||||||||
Municipal Bond Fund | |||||||||||
Institutional Class | 0.30% | $1,000.00 | $1,021.90 | $1.53 | $1,023.69 | $1.53 | |||||
Investor Class | 0.55% | $1,000.00 | $1,020.20 | $2.80 | $1,022.43 | $2.80 | |||||
Baird Core Intermediate | |||||||||||
Municipal Bond Fund | |||||||||||
Institutional Class | 0.30% | $1,000.00 | $1,019.80 | $1.01 | $1,015.71 | $1.01 | |||||
Investor Class | 0.55% | $1,000.00 | $1,019.10 | $1.86 | $1,014.87 | $1.85 | |||||
Baird Aggregate | |||||||||||
Bond Fund | |||||||||||
Institutional Class | 0.30% | $1,000.00 | $1,004.30 | $1.52 | $1,023.69 | $1.53 | |||||
Investor Class | 0.55% | $1,000.00 | $1,002.90 | $2.78 | $1,022.43 | $2.80 | |||||
Baird Core Plus | |||||||||||
Bond Fund | |||||||||||
Institutional Class | 0.30% | $1,000.00 | $ 999.30 | $1.51 | $1,023.69 | $1.53 | |||||
Investor Class | 0.55% | $1,000.00 | $ 997.20 | $2.77 | $1,022.43 | $2.80 |
(1) | Expenses are equal to the Fund’s annualized net expense ratio multiplied by the average account value over the period, multiplied by 184 days and divided by 365 to reflect the one-half year period. |
(2) | Expenses are equal to the annualized net expense ratio for the Baird Short-Term Municipal Bond Fund and the Baird Core Intermediate Municipal Bond Fund multiplied by the average account value over the period, multiplied by 122/365 to reflect the period since each Fund’s inception on August 31, 2015. |
Page 97
Statements of Assets and Liabilities
December 31, 2015
Baird | ||||||||||||
Baird | Baird | Short-Term | ||||||||||
Ultra Short | Short-Term | Municipal | ||||||||||
Bond Fund | Bond Fund | Bond Fund | ||||||||||
ASSETS: | ||||||||||||
Investments, at value | ||||||||||||
(cost $194,611,111, $3,099,332,157 | ||||||||||||
and $12,402,309, respectively)* | $ | 193,634,787 | $ | 3,076,612,653 | $ | 12,439,393 | ||||||
Interest receivable | 812,150 | 18,159,451 | 96,919 | |||||||||
Receivable for Fund shares sold | 1,376,906 | 8,925,329 | 319,600 | |||||||||
Uninvested cash | — | — | 9 | |||||||||
Receivable for securities lending | 213 | 11,196 | — | |||||||||
Total assets | 195,824,056 | 3,103,708,629 | 12,855,921 | |||||||||
LIABILITIES: | ||||||||||||
Payable for collateral received | ||||||||||||
for securities loaned (Note 6) | — | 47,134,707 | — | |||||||||
Payable for securities purchased | 4,291,335 | 37,380,176 | 446,596 | |||||||||
Payable for Fund shares repurchased | — | 1,750,765 | — | |||||||||
Payable to Advisor and Distributor, net | 24,003 | 778,821 | 2,711 | |||||||||
Other liabilities | 985,290 | 55,005 | — | |||||||||
Total liabilities | 5,300,628 | 87,099,474 | 449,307 | |||||||||
NET ASSETS | $ | 190,523,428 | $ | 3,016,609,155 | $ | 12,406,614 | ||||||
NET ASSETS CONSIST OF: | ||||||||||||
Capital stock | $ | 191,577,556 | $ | 3,042,179,253 | $ | 12,350,166 | ||||||
Accumulated undistributed | ||||||||||||
net investment income | 17,379 | 202,243 | 8,605 | |||||||||
Accumulated net realized | ||||||||||||
gain (loss) on investments sold | (95,183 | ) | (3,052,837 | ) | 10,759 | |||||||
Net unrealized appreciation (depreciation) | ||||||||||||
on investments | (976,324 | ) | (22,719,504 | ) | 37,084 | |||||||
NET ASSETS | $ | 190,523,428 | $ | 3,016,609,155 | $ | 12,406,614 | ||||||
INSTITUTIONAL CLASS SHARES | ||||||||||||
Net Assets | $ | 189,324,379 | $ | 2,975,993,279 | $ | 12,278,663 | ||||||
Shares outstanding ($0.01 par value, | ||||||||||||
unlimited shares authorized) | 18,962,183 | 310,076,475 | 1,222,493 | |||||||||
Net asset value, offering and | ||||||||||||
redemption price per share | $ | 9.98 | $ | 9.60 | $ | 10.04 | ||||||
INVESTOR CLASS SHARES | ||||||||||||
Net Assets | $ | 1,199,049 | $ | 40,615,876 | $ | 127,951 | ||||||
Shares outstanding ($0.01 par value, | ||||||||||||
unlimited shares authorized) | 120,095 | 4,232,180 | 12,742 | |||||||||
Net asset value, offering and | ||||||||||||
redemption price per share | $ | 9.98 | $ | 9.60 | $ | 10.04 |
* | Includes securities out on loan to brokers with a market value of $0, $46,067,092 and $0, respectively. |
The accompanying notes are an integral part of these financial statements.
Page 98
Statements of Assets and Liabilities
December 31, 2015
Baird | Baird | |||||||||||
Quality | Core | |||||||||||
Baird | Intermediate | Intermediate | ||||||||||
Intermediate | Municipal | Municipal | ||||||||||
Bond Fund | Bond Fund | Bond Fund | ||||||||||
ASSETS: | ||||||||||||
Investments, at value | ||||||||||||
(cost $1,964,490,809, $1,090,965,217 | ||||||||||||
and $50,771,716, respectively)* | $ | 1,955,853,805 | $ | 1,132,964,490 | $ | 51,246,502 | ||||||
Interest receivable | 13,685,432 | 13,384,337 | 420,840 | |||||||||
Receivable for investments sold | 26 | — | — | |||||||||
Receivable for Fund shares sold | 3,456,534 | 3,914,266 | 98,683 | |||||||||
Receivable for securities lending | 322 | — | — | |||||||||
Other assets | 14,497 | — | 4 | |||||||||
Total assets | 1,973,010,616 | 1,150,263,093 | 51,766,029 | |||||||||
LIABILITIES: | ||||||||||||
Payable for collateral received | ||||||||||||
for securities loaned (Note 6) | 47,247,814 | — | — | |||||||||
Payable for securities purchased | 32,389,313 | 492,923 | 691,316 | |||||||||
Payable for Fund shares repurchased | 2,519,168 | 603,609 | — | |||||||||
Payable to Advisor and Distributor, net | 526,232 | 383,057 | 12,304 | |||||||||
Other liabilities | 322 | — | — | |||||||||
Total liabilities | 82,682,849 | 1,479,589 | 703,620 | |||||||||
NET ASSETS | $ | 1,890,327,767 | $ | 1,148,783,504 | $ | 51,062,409 | ||||||
NET ASSETS CONSIST OF: | ||||||||||||
Capital stock | $ | 1,899,510,272 | $ | 1,108,027,815 | $ | 50,483,868 | ||||||
Accumulated undistributed | ||||||||||||
net investment income | 155,059 | 22,182 | — | |||||||||
Accumulated net realized | ||||||||||||
gain (loss) on investments sold | (700,560 | ) | (1,265,766 | ) | 103,755 | |||||||
Net unrealized appreciation (depreciation) | ||||||||||||
on investments | (8,637,004 | ) | 41,999,273 | 474,786 | ||||||||
NET ASSETS | $ | 1,890,327,767 | $ | 1,148,783,504 | $ | 51,062,409 | ||||||
INSTITUTIONAL CLASS SHARES | ||||||||||||
Net Assets | $ | 1,786,952,423 | $ | 988,433,609 | $ | 50,836,849 | ||||||
Shares outstanding ($0.01 par value, | ||||||||||||
unlimited shares authorized) | 163,490,427 | 84,225,298 | 5,016,280 | |||||||||
Net asset value, offering and | ||||||||||||
redemption price per share | $ | 10.93 | $ | 11.74 | $ | 10.13 | ||||||
INVESTOR CLASS SHARES | ||||||||||||
Net Assets | $ | 103,375,344 | $ | 160,349,895 | $ | 225,560 | ||||||
Shares outstanding ($0.01 par value, | ||||||||||||
unlimited shares authorized) | 9,079,935 | 13,361,547 | 22,259 | |||||||||
Net asset value, offering and | ||||||||||||
redemption price per share | $ | 11.39 | $ | 12.00 | $ | 10.13 |
* | Includes securities out on loan to brokers with a market value of $46,108,268, $0 and $0, respectively. |
The accompanying notes are an integral part of these financial statements.
Page 99
Statements of Assets and Liabilities
December 31, 2015
Baird | Baird | |||||||
Aggregate | Core Plus | |||||||
Bond Fund | Bond Fund | |||||||
ASSETS: | ||||||||
Investments, at value | ||||||||
(cost $7,131,221,401 | ||||||||
and $9,775,227,401, respectively)* | $ | 7,056,890,799 | $ | 9,590,907,956 | ||||
Interest receivable | 44,889,814 | 72,272,434 | ||||||
Receivable for investments sold | 5,173 | 164 | ||||||
Receivable for Fund shares sold | 16,433,016 | 42,768,385 | ||||||
Receivable for securities lending | 35,316 | 67,633 | ||||||
Total assets | 7,118,254,118 | 9,706,016,572 | ||||||
LIABILITIES: | ||||||||
Payable for collateral received | ||||||||
for securities loaned (Note 6) | 182,206,644 | 198,041,000 | ||||||
Payable for securities purchased | 116,871,887 | 108,102,711 | ||||||
Payable for Fund shares repurchased | 68,950,716 | 12,806,110 | ||||||
Payable to Advisor and Distributor | 2,071,874 | 3,604,600 | ||||||
Other liabilities | 90,177 | 132,655 | ||||||
Total liabilities | 370,191,298 | 322,687,076 | ||||||
NET ASSETS | $ | 6,748,062,820 | $ | 9,383,329,496 | ||||
NET ASSETS CONSIST OF: | ||||||||
Capital stock | $ | 6,824,324,827 | $ | 9,571,083,772 | ||||
Accumulated undistributed | ||||||||
net investment income | 206,498 | 396,055 | ||||||
Accumulated net realized | ||||||||
loss on investments sold | (2,137,903 | ) | (3,830,886 | ) | ||||
Net unrealized depreciation | ||||||||
on investments | (74,330,602 | ) | (184,319,445 | ) | ||||
NET ASSETS | $ | 6,748,062,820 | $ | 9,383,329,496 | ||||
INSTITUTIONAL CLASS SHARES | ||||||||
Net Assets | $ | 6,318,443,271 | $ | 7,199,790,672 | ||||
Shares outstanding ($0.01 par value, | ||||||||
unlimited shares authorized) | 595,731,513 | 663,605,778 | ||||||
Net asset value, offering and | ||||||||
redemption price per share | $ | 10.61 | $ | 10.85 | ||||
INVESTOR CLASS SHARES | ||||||||
Net Assets | $ | 429,619,549 | $ | 2,183,538,824 | ||||
Shares outstanding ($0.01 par value, | ||||||||
unlimited shares authorized) | 39,260,014 | 193,850,233 | ||||||
Net asset value, offering and | ||||||||
redemption price per share | $ | 10.94 | $ | 11.26 |
* | Includes securities out on loan to brokers with a market value of $178,233,376 and $193,054,923, respectively. |
The accompanying notes are an integral part of these financial statements.
Page 100
Statement of Operations
Period Ended December 31, 2015
Baird | ||||||||||||
Baird | Baird | Short-Term | ||||||||||
Ultra Short | Short-Term | Municipal | ||||||||||
Bond Fund | Bond Fund | Bond Fund^ | ||||||||||
INVESTMENT INCOME: | ||||||||||||
Interest income, net of paydowns | $ | 1,426,717 | $ | 45,599,609 | $ | 53,630 | ||||||
Dividends | — | — | 906 | |||||||||
Income from securities lending (Note 6) | 4,825 | 142,942 | — | |||||||||
Other income | — | 21,450 | — | |||||||||
Total investment income | 1,431,542 | 45,764,001 | 54,536 | |||||||||
EXPENSES: | ||||||||||||
Investment advisory fees | 382,813 | 7,158,726 | 7,871 | |||||||||
Administration fees | 76,562 | 1,431,745 | 1,574 | |||||||||
Distribution expense – | ||||||||||||
Investor Class Shares (Note 8) | 2,359 | 94,439 | 42 | |||||||||
Total expenses | 461,734 | 8,684,910 | 9,487 | |||||||||
Fee waiver by Advisor (Note 5) | (229,687 | ) | — | — | ||||||||
Net expenses | 232,047 | 8,684,910 | 9,487 | |||||||||
NET INVESTMENT INCOME | 1,199,495 | 37,079,091 | 45,049 | |||||||||
REALIZED AND UNREALIZED GAIN (LOSS) | ||||||||||||
ON INVESTMENTS: | ||||||||||||
Net realized gain on investments | 20,975 | 4,894,794 | 13,112 | |||||||||
Change in unrealized appreciation/ | ||||||||||||
depreciation on investments | (791,398 | ) | (17,981,848 | ) | 37,084 | |||||||
Net realized and unrealized | ||||||||||||
gain (loss) on investments | (770,423 | ) | (13,087,054 | ) | 50,196 | |||||||
NET INCREASE IN NET ASSETS | ||||||||||||
RESULTING FROM OPERATIONS | $ | 429,072 | $ | 23,992,037 | $ | 95,245 |
^ | Inception was the close of business on August 31, 2015. |
The accompanying notes are an integral part of these financial statements.
Page 101
Statement of Operations
Period Ended December 31, 2015
Baird | Baird | |||||||||||
Quality | Core | |||||||||||
Baird | Intermediate | Intermediate | ||||||||||
Intermediate | Municipal | Municipal | ||||||||||
Bond Fund | Bond Fund | Bond Fund^ | ||||||||||
INVESTMENT INCOME: | ||||||||||||
Interest income, net of paydowns | $ | 42,415,263 | $ | 30,986,381 | $ | 278,659 | ||||||
Dividends | — | — | 23,826 | |||||||||
Income from securities lending (Note 6) | 187,818 | — | — | |||||||||
Other income | 2,501 | 115 | 1,088 | |||||||||
Total investment income | 42,605,582 | 30,986,496 | 303,573 | |||||||||
EXPENSES: | ||||||||||||
Investment advisory fees | 4,363,595 | 2,848,817 | 36,577 | |||||||||
Administration fees | 872,719 | 569,763 | 7,315 | |||||||||
Distribution expense – | ||||||||||||
Investor Class Shares (Note 8) | 270,401 | 437,668 | 65 | |||||||||
Total expenses | 5,506,715 | 3,856,248 | 43,957 | |||||||||
NET INVESTMENT INCOME | 37,098,867 | 27,130,248 | 259,616 | |||||||||
REALIZED AND UNREALIZED GAIN (LOSS) | ||||||||||||
ON INVESTMENTS: | ||||||||||||
Net realized gain (loss) on investments | 6,368,705 | (364,295 | ) | 153,970 | ||||||||
Change in unrealized appreciation/ | ||||||||||||
depreciation on investments | (29,926,270 | ) | (2,897,788 | ) | 474,786 | |||||||
Net realized and unrealized | ||||||||||||
gain (loss) on investments | (23,557,565 | ) | (3,262,083 | ) | 628,756 | |||||||
NET INCREASE IN NET ASSETS | ||||||||||||
RESULTING FROM OPERATIONS | $ | 13,541,302 | $ | 23,868,165 | $ | 888,372 |
^ | Inception was the close of business on August 31, 2015. |
The accompanying notes are an integral part of these financial statements.
Page 102
Statement of Operations
Year Ended December 31, 2015
Baird | Baird | |||||||
Aggregate | Core Plus | |||||||
Bond Fund | Bond Fund | |||||||
INVESTMENT INCOME: | ||||||||
Interest income, net of paydowns | $ | 138,949,859 | $ | 238,821,908 | ||||
Income from securities lending (Note 6) | 331,264 | 874,206 | ||||||
Other income | 8,935 | 97,797 | ||||||
Total investment income | 139,290,058 | 239,793,911 | ||||||
EXPENSES: | ||||||||
Investment advisory fees | 13,707,483 | 21,394,969 | ||||||
Administration fees | 2,741,497 | 4,278,994 | ||||||
Distribution expense – | ||||||||
Investor Class Shares (Note 8) | 1,155,884 | 5,820,649 | ||||||
Total expenses | 17,604,864 | 31,494,612 | ||||||
NET INVESTMENT INCOME | 121,685,194 | 208,299,299 | ||||||
REALIZED AND UNREALIZED GAIN (LOSS) | ||||||||
ON INVESTMENTS: | ||||||||
Net realized gain on investments | 21,969,042 | 33,091,952 | ||||||
Change in unrealized | ||||||||
depreciation on investments | (152,187,244 | ) | (263,684,236 | ) | ||||
Net realized and unrealized | ||||||||
loss on investments | (130,218,202 | ) | (230,592,284 | ) | ||||
NET DECREASE IN NET ASSETS | ||||||||
RESULTING FROM OPERATIONS | $ | (8,533,008 | ) | $ | (22,292,985 | ) |
The accompanying notes are an integral part of these financial statements.
Page 103
Statement of Changes in Net Assets
Baird Ultra Short Bond Fund
Year Ended | Year Ended | |||||||
December 31, 2015 | December 31, 2014 | |||||||
OPERATIONS: | ||||||||
Net investment income | $ | 1,199,495 | $ | 248,134 | ||||
Net realized gain on investments | 20,975 | 13,668 | ||||||
Change in unrealized depreciation on investments | (791,398 | ) | (184,926 | ) | ||||
Net increase in net assets resulting from operations | 429,072 | 76,876 | ||||||
CAPITAL SHARE TRANSACTIONS: | ||||||||
Proceeds from shares sold | 184,101,859 | 93,172,532 | ||||||
Shares issued to holders in | ||||||||
reinvestment of distributions | 1,160,831 | 226,670 | ||||||
Cost of shares redeemed | (79,248,259 | ) | (7,836,077 | ) | ||||
Net increase in net assets resulting | ||||||||
from capital share transactions | 106,014,431 | 85,563,125 | ||||||
DISTRIBUTIONS TO | ||||||||
INSTITUTIONAL CLASS SHAREHOLDERS: | ||||||||
From net investment income | (1,283,032 | ) | (269,807 | ) | ||||
Total Distributions | (1,283,032 | ) | (269,807 | ) | ||||
DISTRIBUTIONS TO | ||||||||
INVESTOR CLASS SHAREHOLDERS: | ||||||||
From net investment income | (5,607 | ) | (1,630 | ) | ||||
Total Distributions | (5,607 | ) | (1,630 | ) | ||||
TOTAL INCREASE IN NET ASSETS | 105,154,864 | 85,368,564 | ||||||
NET ASSETS: | ||||||||
Beginning of year | 85,368,564 | — | ||||||
End of year (including accumulated | ||||||||
undistributed net investment income of | ||||||||
$17,379 and $3,769) | $ | 190,523,428 | $ | 85,368,564 |
The accompanying notes are an integral part of these financial statements.
Page 104
Statement of Changes in Net Assets
Baird Short-Term Bond Fund
Year Ended | Year Ended | |||||||
December 31, 2015 | December 31, 2014 | |||||||
OPERATIONS: | ||||||||
Net investment income | $ | 37,079,091 | $ | 35,666,863 | ||||
Net realized gain on investments | 4,894,794 | 4,753,146 | ||||||
Change in unrealized depreciation on investments | (17,981,848 | ) | (9,498,528 | ) | ||||
Net increase in net assets resulting from operations | 23,992,037 | 30,921,481 | ||||||
CAPITAL SHARE TRANSACTIONS: | ||||||||
Proceeds from shares sold | 1,344,761,825 | 1,376,961,950 | ||||||
Shares issued to holders in | ||||||||
reinvestment of distributions | 39,526,909 | 34,127,758 | ||||||
Cost of shares redeemed | (1,022,131,532 | ) | (734,856,529 | ) | ||||
Net increase in net assets resulting | ||||||||
from capital share transactions | 362,157,202 | 676,233,179 | ||||||
DISTRIBUTIONS TO | ||||||||
INSTITUTIONAL CLASS SHAREHOLDERS: | ||||||||
From net investment income | (44,451,797 | ) | (37,504,235 | ) | ||||
From net realized gains | (1,279,663 | ) | (1,473,635 | ) | ||||
Total Distributions | (45,731,460 | ) | (38,977,870 | ) | ||||
DISTRIBUTIONS TO | ||||||||
INVESTOR CLASS SHAREHOLDERS: | ||||||||
From net investment income | (499,196 | ) | (413,795 | ) | ||||
From net realized gains | (17,313 | ) | (19,699 | ) | ||||
Total Distributions | (516,509 | ) | (433,494 | ) | ||||
TOTAL INCREASE IN NET ASSETS | 339,901,270 | 667,743,296 | ||||||
NET ASSETS: | ||||||||
Beginning of year | 2,676,707,885 | 2,008,964,589 | ||||||
End of year (including accumulated | ||||||||
undistributed net investment income of | ||||||||
$202,243 and $151,789) | $ | 3,016,609,155 | $ | 2,676,707,885 |
The accompanying notes are an integral part of these financial statements.
Page 105
Statement of Changes in Net Assets
Baird Short-Term Municipal Bond Fund
August 31, 2015^ | ||||
through | ||||
December 31, 2015 | ||||
OPERATIONS: | ||||
Net investment income | $ | 45,049 | ||
Net realized gain on investments | 13,112 | |||
Change in unrealized appreciation on investments | 37,084 | |||
Net increase in net assets resulting from operations | 95,245 | |||
CAPITAL SHARE TRANSACTIONS: | ||||
Proceeds from shares sold | 12,347,906 | |||
Shares issued to holders in reinvestment of distributions | 32,065 | |||
Cost of shares redeemed | (13,607 | ) | ||
Net increase in net assets resulting from capital share transactions | 12,366,364 | |||
DISTRIBUTIONS TO INSTITUTIONAL CLASS SHAREHOLDERS: | ||||
From net investment income | (44,658 | ) | ||
From net realized gains | (10,100 | ) | ||
Total Distributions | (54,758 | ) | ||
DISTRIBUTIONS TO INVESTOR CLASS SHAREHOLDERS: | ||||
From net investment income | (190 | ) | ||
From net realized gains | (47 | ) | ||
Total Distributions | (237 | ) | ||
TOTAL INCREASE IN NET ASSETS | 12,406,614 | |||
NET ASSETS: | ||||
Beginning of period | — | |||
End of period (including accumulated | ||||
undistributed net investment income of $8,605) | $ | 12,406,614 |
^ | Inception was the close of business on August 31, 2015. |
The accompanying notes are an integral part of these financial statements.
Page 106
Statement of Changes in Net Assets
Baird Intermediate Bond Fund
Year Ended | Year Ended | |||||||
December 31, 2015 | December 31, 2014 | |||||||
OPERATIONS: | ||||||||
Net investment income | $ | 37,098,867 | $ | 31,311,535 | ||||
Net realized gain on investments | 6,368,705 | 3,224,796 | ||||||
Change in unrealized | ||||||||
appreciation/depreciation on investments | (29,926,270 | ) | 9,181,636 | |||||
Net increase in net assets resulting from operations | 13,541,302 | 43,717,967 | ||||||
CAPITAL SHARE TRANSACTIONS: | ||||||||
Proceeds from shares sold | 579,672,473 | 579,006,584 | ||||||
Shares issued to holders in | ||||||||
reinvestment of distributions | 38,528,099 | 29,350,298 | ||||||
Cost of shares redeemed | (280,699,940 | ) | (189,933,013 | ) | ||||
Net increase in net assets resulting | ||||||||
from capital share transactions | 337,500,632 | 418,423,869 | ||||||
DISTRIBUTIONS TO | ||||||||
INSTITUTIONAL CLASS SHAREHOLDERS: | ||||||||
From net investment income | (36,711,858 | ) | (30,366,524 | ) | ||||
From net realized gains | (5,444,825 | ) | (2,154,632 | ) | ||||
Total Distributions | (42,156,683 | ) | (32,521,156 | ) | ||||
DISTRIBUTIONS TO | ||||||||
INVESTOR CLASS SHAREHOLDERS: | ||||||||
From net investment income | (2,032,634 | ) | (1,383,958 | ) | ||||
From net realized gains | (303,761 | ) | (163,736 | ) | ||||
Total Distributions | (2,336,395 | ) | (1,547,694 | ) | ||||
TOTAL INCREASE IN NET ASSETS | 306,548,856 | 428,072,986 | ||||||
NET ASSETS: | ||||||||
Beginning of year | 1,583,778,911 | 1,155,705,925 | ||||||
End of year (including accumulated | ||||||||
undistributed net investment income of | ||||||||
$155,059 and $143,749) | $ | 1,890,327,767 | $ | 1,583,778,911 |
The accompanying notes are an integral part of these financial statements.
Page 107
Statement of Changes in Net Assets
Baird Quality Intermediate Municipal Bond Fund
Year Ended | Year Ended | |||||||
December 31, 2015 | December 31, 2014 | |||||||
OPERATIONS: | ||||||||
Net investment income | $ | 27,130,248 | $ | 26,972,655 | ||||
Net realized loss on investments | (364,295 | ) | (530,835 | ) | ||||
Change in unrealized | ||||||||
appreciation/depreciation on investments | (2,897,788 | ) | 19,389,924 | |||||
Net increase in net assets resulting from operations | 23,868,165 | 45,831,744 | ||||||
CAPITAL SHARE TRANSACTIONS: | ||||||||
Proceeds from shares sold | 350,569,939 | 323,804,525 | ||||||
Shares issued to holders in | ||||||||
reinvestment of distributions | 23,964,903 | 23,414,513 | ||||||
Cost of shares redeemed | (328,099,203 | ) | (267,484,959 | ) | ||||
Net increase in net assets resulting | ||||||||
from capital share transactions | 46,435,639 | 79,734,079 | ||||||
DISTRIBUTIONS TO | ||||||||
INSTITUTIONAL CLASS SHAREHOLDERS: | ||||||||
From net investment income | (23,455,666 | ) | (22,257,987 | ) | ||||
Total Distributions | (23,455,666 | ) | (22,257,987 | ) | ||||
DISTRIBUTIONS TO | ||||||||
INVESTOR CLASS SHAREHOLDERS: | ||||||||
From net investment income | (3,677,285 | ) | (4,689,783 | ) | ||||
Total Distributions | (3,677,285 | ) | (4,689,783 | ) | ||||
TOTAL INCREASE IN NET ASSETS | 43,170,853 | 98,618,053 | ||||||
NET ASSETS: | ||||||||
Beginning of year | 1,105,612,651 | 1,006,994,598 | ||||||
End of year (including accumulated undistributed | ||||||||
net investment income of $22,182 and $24,885) | $ | 1,148,783,504 | $ | 1,105,612,651 |
The accompanying notes are an integral part of these financial statements.
Page 108
Statement of Changes in Net Assets
Baird Core Intermediate Municipal Bond Fund
August 31, 2015^ | ||||
through | ||||
December 31, 2015 | ||||
OPERATIONS: | ||||
Net investment income | $ | 259,616 | ||
Net realized gain on investments | 153,970 | |||
Change in unrealized appreciation on investments | 474,786 | |||
Net increase in net assets resulting from operations | 888,372 | |||
CAPITAL SHARE TRANSACTIONS: | ||||
Proceeds from shares sold | 52,495,493 | |||
Shares issued to holders in reinvestment of distributions | 126,064 | |||
Cost of shares redeemed | (2,137,689 | ) | ||
Net increase in net assets resulting from capital share transactions | 50,483,868 | |||
DISTRIBUTIONS TO INSTITUTIONAL CLASS SHAREHOLDERS: | ||||
From net investment income | (262,655 | ) | ||
From net realized gains | (46,564 | ) | ||
Total Distributions | (309,219 | ) | ||
DISTRIBUTIONS TO INVESTOR CLASS SHAREHOLDERS: | ||||
From net investment income | (450 | ) | ||
From net realized gains | (162 | ) | ||
Total Distributions | (612 | ) | ||
TOTAL INCREASE IN NET ASSETS | 51,062,409 | |||
NET ASSETS: | ||||
Beginning of period | — | |||
End of period | $ | 51,062,409 |
^ | Inception was the close of business on August 31, 2015. |
The accompanying notes are an integral part of these financial statements.
Page 109
Statement of Changes in Net Assets
Baird Aggregate Bond Fund
Year Ended | Year Ended | |||||||
December 31, 2015 | December 31, 2014 | |||||||
OPERATIONS: | ||||||||
Net investment income | $ | 121,685,194 | $ | 66,925,160 | ||||
Net realized gain on investments | 21,969,042 | 4,517,863 | ||||||
Change in unrealized | ||||||||
appreciation/depreciation on investments | (152,187,244 | ) | 77,563,931 | |||||
Net increase (decrease) in net assets | ||||||||
resulting from operations | (8,533,008 | ) | 149,006,954 | |||||
CAPITAL SHARE TRANSACTIONS: | ||||||||
Proceeds from shares sold | 4,245,682,244 | 2,221,120,686 | ||||||
Shares issued to holders in | ||||||||
reinvestment of distributions | 111,982,131 | 60,169,930 | ||||||
Cost of shares redeemed | (1,155,475,332 | ) | (476,225,763 | ) | ||||
Net increase in net assets resulting | ||||||||
from capital share transactions | 3,202,189,043 | 1,805,064,853 | ||||||
DISTRIBUTIONS TO | ||||||||
INSTITUTIONAL CLASS SHAREHOLDERS: | ||||||||
From net investment income | (125,932,125 | ) | (65,793,639 | ) | ||||
Total Distributions | (125,932,125 | ) | (65,793,639 | ) | ||||
DISTRIBUTIONS TO | ||||||||
INVESTOR CLASS SHAREHOLDERS: | ||||||||
From net investment income | (9,901,008 | ) | (4,963,419 | ) | ||||
Total Distributions | (9,901,008 | ) | (4,963,419 | ) | ||||
TOTAL INCREASE IN NET ASSETS | 3,057,822,902 | 1,883,314,749 | ||||||
NET ASSETS: | ||||||||
Beginning of year | 3,690,239,918 | 1,806,925,169 | ||||||
End of year (including accumulated | ||||||||
undistributed net investment income of | ||||||||
$206,498 and $63,990) | $ | 6,748,062,820 | $ | 3,690,239,918 |
The accompanying notes are an integral part of these financial statements.
Page 110
Statement of Changes in Net Assets
Baird Core Plus Bond Fund
Year Ended | Year Ended | |||||||
December 31, 2015 | December 31, 2014 | |||||||
OPERATIONS: | ||||||||
Net investment income | $ | 208,299,299 | $ | 107,789,477 | ||||
Net realized gain on investments | 33,091,952 | 8,760,815 | ||||||
Change in unrealized | ||||||||
appreciation/depreciation on investments | (263,684,236 | ) | 107,099,217 | |||||
Net increase (decrease) in net assets | ||||||||
resulting from operations | (22,292,985 | ) | 223,649,509 | |||||
CAPITAL SHARE TRANSACTIONS: | ||||||||
Proceeds from shares sold | 4,831,257,948 | 4,327,319,011 | ||||||
Shares issued to holders in | ||||||||
reinvestment of distributions | 220,307,283 | 110,692,074 | ||||||
Cost of shares redeemed | (2,128,911,254 | ) | (664,302,496 | ) | ||||
Net increase in net assets resulting | ||||||||
from capital share transactions | 2,922,653,977 | 3,773,708,589 | ||||||
DISTRIBUTIONS TO | ||||||||
INSTITUTIONAL CLASS SHAREHOLDERS: | ||||||||
From net investment income | (177,376,139 | ) | (78,483,997 | ) | ||||
Total Distributions | (177,376,139 | ) | (78,483,997 | ) | ||||
DISTRIBUTIONS TO | ||||||||
INVESTOR CLASS SHAREHOLDERS: | ||||||||
From net investment income | (56,262,268 | ) | (36,081,493 | ) | ||||
Total Distributions | (56,262,268 | ) | (36,081,493 | ) | ||||
TOTAL INCREASE IN NET ASSETS | 2,666,722,585 | 3,882,792,608 | ||||||
NET ASSETS: | ||||||||
Beginning of year | 6,716,606,911 | 2,833,814,303 | ||||||
End of year (including accumulated | ||||||||
undistributed net investment income of | ||||||||
$396,055 and $402,605) | $ | 9,383,329,496 | $ | 6,716,606,911 |
The accompanying notes are an integral part of these financial statements.
Page 111
Financial Highlights
Baird Ultra Short Bond Fund – Institutional Class
Year Ended December 31, | ||||||||
2015 | 2014^ | |||||||
Per Share Data: | ||||||||
Net asset value, beginning of year | $ | 10.03 | $ | 10.00 | ||||
Income from investment operations: | ||||||||
Net investment income | 0.08 | (1) | 0.09 | |||||
Net realized and unrealized gains (losses) on investments | (0.05 | ) | 0.03 | (2) | ||||
Total from investment operations | 0.03 | 0.12 | ||||||
Less distributions: | ||||||||
Distributions from net investment income | (0.08 | ) | (0.09 | ) | ||||
Total distributions | (0.08 | ) | (0.09 | ) | ||||
Net asset value, end of year | $ | 9.98 | $ | 10.03 | ||||
Total return | 0.30 | % | 1.21 | % | ||||
Supplemental data and ratios: | ||||||||
Net assets, end of year (millions) | $ | 189.3 | $ | 84.5 | ||||
Ratio of expenses to average net assets | 0.15 | % | 0.15 | % | ||||
Ratio of expenses to average net assets (before waivers) | 0.30 | % | 0.30 | % | ||||
Ratio of net investment income to average net assets | 0.78 | % | 0.93 | % | ||||
Ratio of net investment income to | ||||||||
average net assets (before waivers) | 0.63 | % | 0.78 | % | ||||
Portfolio turnover rate(3) | 65.5 | % | 57.6 | % |
^ | Inception was the close of business on December 31, 2013. |
(1) | Calculated using average shares outstanding during the year. |
(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) | 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 112
Financial Highlights
Baird Ultra Short Bond Fund – Investor Class
Year Ended December 31, | ||||||||
2015 | 2014^ | |||||||
Per Share Data: | ||||||||
Net asset value, beginning of year | $ | 10.02 | $ | 10.00 | ||||
Income from investment operations: | ||||||||
Net investment income | 0.05 | (1) | 0.07 | |||||
Net realized and unrealized gains (losses) on investments | (0.03 | ) | 0.02 | (2) | ||||
Total from investment operations | 0.02 | 0.09 | ||||||
Less distributions: | ||||||||
Distributions from net investment income | (0.06 | ) | (0.07 | ) | ||||
Total distributions | (0.06 | ) | (0.07 | ) | ||||
Net asset value, end of year | $ | 9.98 | $ | 10.02 | ||||
Total return | 0.16 | % | 0.88 | % | ||||
Supplemental data and ratios: | ||||||||
Net assets, end of year (millions) | $ | 1.2 | $ | 0.9 | ||||
Ratio of expenses to average net assets | 0.40 | % | 0.40 | % | ||||
Ratio of expenses to average net assets (before waivers) | 0.55 | % | 0.55 | % | ||||
Ratio of net investment income to average net assets | 0.53 | % | 0.68 | % | ||||
Ratio of net investment income to | ||||||||
average net assets (before waivers) | 0.38 | % | 0.53 | % | ||||
Portfolio turnover rate(3) | 65.5 | % | 57.6 | % |
^ | Inception was the close of business on December 31, 2013. |
(1) | Calculated using average shares outstanding during the year. |
(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) | 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 113
Financial Highlights
Baird Short-Term Bond Fund – Institutional Class
Year Ended December 31, | ||||||||||||||||||||
2015 | 2014 | 2013 | 2012 | 2011 | ||||||||||||||||
Per Share Data: | ||||||||||||||||||||
Net asset value, beginning of year | $ | 9.67 | $ | 9.69 | $ | 9.75 | $ | 9.59 | $ | 9.68 | ||||||||||
Income from investment operations: | ||||||||||||||||||||
Net investment income | 0.13 | (1) | 0.16 | 0.17 | (1) | 0.22 | 0.23 | |||||||||||||
Net realized and unrealized | ||||||||||||||||||||
gains (losses) on investments | (0.05 | ) | (0.01 | ) | (0.04 | ) | 0.17 | (0.03 | ) | |||||||||||
Total from investment operations | 0.08 | 0.15 | 0.13 | 0.39 | 0.20 | |||||||||||||||
Less distributions: | ||||||||||||||||||||
Distributions from | ||||||||||||||||||||
net investment income | (0.15 | ) | (0.16 | ) | (0.17 | ) | (0.22 | ) | (0.23 | ) | ||||||||||
Distributions from net realized gains | (0.00 | )(2) | (0.01 | ) | (0.02 | ) | (0.01 | ) | (0.06 | ) | ||||||||||
Total distributions | (0.15 | ) | (0.17 | ) | (0.19 | ) | (0.23 | ) | (0.29 | ) | ||||||||||
Net asset value, end of year | $ | 9.60 | $ | 9.67 | $ | 9.69 | $ | 9.75 | $ | 9.59 | ||||||||||
Total return | 0.89 | % | 1.49 | % | 1.33 | % | 4.16 | % | 2.08 | % | ||||||||||
Supplemental data and ratios: | ||||||||||||||||||||
Net assets, end of year (millions) | $ | 2,976.0 | $ | 2,640.9 | $ | 1,985.0 | $ | 1,295.7 | $ | 1,017.2 | ||||||||||
Ratio of expenses to average net assets | 0.30 | % | 0.30 | % | 0.30 | % | 0.30 | % | 0.30 | % | ||||||||||
Ratio of net investment income | ||||||||||||||||||||
to average net assets | 1.30 | % | 1.56 | % | 1.71 | % | 2.23 | % | 2.40 | % | ||||||||||
Portfolio turnover rate(3) | 37.8 | % | 51.2 | % | 45.1 | % | 40.1 | % | 61.1 | % |
(1) | Calculated using average shares outstanding during the year. |
(2) | Amount is less than $0.005. |
(3) | Portfolio turnover is calculated on the basis of the Fund as a whole without distinguishing between the classes of shares issued. |
The accompanying notes are an integral part of these financial statements.
Page 114
Financial Highlights
Baird Short-Term Bond Fund – Investor Class
September 19, 2012^ | ||||||||||||||||
through | ||||||||||||||||
Year Ended December 31, | December 31, | |||||||||||||||
2015 | 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 | 0.10 | (1) | 0.14 | 0.15 | (1) | 0.06 | ||||||||||
Net realized and unrealized | ||||||||||||||||
gains (losses) on investments | (0.04 | ) | (0.02 | ) | (0.04 | ) | 0.00 | (2) | ||||||||
Total from investment operations | 0.06 | 0.12 | 0.11 | 0.06 | ||||||||||||
Less distributions: | ||||||||||||||||
Distributions from | ||||||||||||||||
net investment income | (0.13 | ) | (0.13 | ) | (0.15 | ) | (0.07 | ) | ||||||||
Distributions from net realized gains | (0.00 | )(2) | (0.01 | ) | (0.02 | ) | (0.01 | ) | ||||||||
Total distributions | (0.13 | ) | (0.14 | ) | (0.17 | ) | (0.08 | ) | ||||||||
Net asset value, end of period | $ | 9.60 | $ | 9.67 | $ | 9.69 | $ | 9.75 | ||||||||
Total return | 0.64 | % | 1.25 | % | 1.11 | % | 0.68 | %(3) | ||||||||
Supplemental data and ratios: | ||||||||||||||||
Net assets, end of period (millions) | $ | 40.6 | $ | 35.8 | $ | 2.5 | $ | 1.5 | ||||||||
Ratio of expenses to average net assets | 0.55 | % | 0.55 | % | 0.55 | % | 0.55 | %(4) | ||||||||
Ratio of net investment income | ||||||||||||||||
to average net assets | 1.05 | % | 1.31 | % | 1.46 | % | 1.98 | %(4) | ||||||||
Portfolio turnover rate(5) | 37.8 | % | 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 115
Financial Highlights
Baird Short-Term Municipal Bond Fund – Institutional Class
Period Ended | ||||
December 31, 2015^ | ||||
Per Share Data: | ||||
Net asset value, beginning of period | $ | 10.00 | ||
Income from investment operations: | ||||
Net investment income | 0.05 | (1) | ||
Net realized and unrealized gains on investments | 0.04 | |||
Total from investment operations | 0.09 | |||
Less distributions: | ||||
Distributions from net investment income | (0.04 | ) | ||
Distributions from net realized gains | (0.01 | ) | ||
Total distributions | (0.05 | ) | ||
Net asset value, end of period | $ | 10.04 | ||
Total return | 0.94 | %(2) | ||
Supplemental data and ratios: | ||||
Net assets, end of period (millions) | $ | 12.3 | ||
Ratio of expenses to average net assets | 0.30 | %(3) | ||
Ratio of net investment income to average net assets | 1.42 | %(3) | ||
Portfolio turnover rate(4) | 41.4 | %(2) |
^ | Inception was close of business on August 31, 2015. |
(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 116
Financial Highlights
Baird Short-Term Municipal Bond Fund – Investor Class
Period Ended | ||||
December 31, 2015^ | ||||
Per Share Data: | ||||
Net asset value, beginning of period | $ | 10.00 | ||
Income from investment operations: | ||||
Net investment income | 0.04 | (1) | ||
Net realized and unrealized gain on investments | 0.05 | |||
Total from investment operations | 0.09 | |||
Less distributions: | ||||
Distributions from net investment income | (0.04 | ) | ||
Distributions from net realized gains | (0.01 | ) | ||
Total distributions | (0.05 | ) | ||
Net asset value, end of period | $ | 10.04 | ||
Total return | 0.86 | %(2) | ||
Supplemental data and ratios: | ||||
Net assets, end of period (millions) | $ | 0.1 | ||
Ratio of expenses to average net assets | 0.55 | %(3) | ||
Ratio of net investment income to average net assets | 1.17 | %(3) | ||
Portfolio turnover rate(4) | 41.4 | %(2) |
^ | Inception was close of business on August 31, 2015. |
(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 117
Financial Highlights
Baird Intermediate Bond Fund – Institutional Class
Year Ended December 31, | ||||||||||||||||||||
2015 | 2014 | 2013 | 2012 | 2011 | ||||||||||||||||
Per Share Data: | ||||||||||||||||||||
Net asset value, beginning of year | $ | 11.10 | $ | 11.00 | $ | 11.31 | $ | 11.06 | $ | 10.87 | ||||||||||
Income from investment operations: | ||||||||||||||||||||
Net investment income | 0.24 | (1) | 0.26 | (1) | 0.27 | 0.33 | (1) | 0.39 | ||||||||||||
Net realized and unrealized | ||||||||||||||||||||
gains (losses) on investments | (0.13 | ) | 0.13 | (0.29 | ) | 0.38 | 0.27 | |||||||||||||
Total from investment operations | 0.11 | 0.39 | (0.02 | ) | 0.71 | 0.66 | ||||||||||||||
Less distributions: | ||||||||||||||||||||
Distributions from | ||||||||||||||||||||
net investment income | (0.25 | ) | (0.27 | ) | (0.27 | ) | (0.33 | ) | (0.39 | ) | ||||||||||
Distributions from net realized gains | (0.03 | ) | (0.02 | ) | (0.02 | ) | (0.13 | ) | (0.08 | ) | ||||||||||
Total distributions | (0.28 | ) | (0.29 | ) | (0.29 | ) | (0.46 | ) | (0.47 | ) | ||||||||||
Net asset value, end of year | $ | 10.93 | $ | 11.10 | $ | 11.00 | $ | 11.31 | $ | 11.06 | ||||||||||
Total return | 0.99 | % | 3.50 | % | (0.17 | )% | 6.52 | % | 6.14 | % | ||||||||||
Supplemental data and ratios: | ||||||||||||||||||||
Net assets, end of year (millions) | $ | 1,787.0 | $ | 1,468.2 | $ | 1,113.7 | $ | 867.5 | $ | 703.2 | ||||||||||
Ratio of expenses to average net assets | 0.30 | % | 0.30 | % | 0.30 | % | 0.30 | % | 0.30 | % | ||||||||||
Ratio of net investment income | ||||||||||||||||||||
to average net assets | 2.14 | % | 2.37 | % | 2.45 | % | 2.95 | % | 3.49 | % | ||||||||||
Portfolio turnover rate(2) | 39.0 | % | 29.2 | % | 45.1 | % | 45.1 | % | 24.1 | % |
(1) | Calculated using average shares outstanding during the year. |
(2) | 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 118
Financial Highlights
Baird Intermediate Bond Fund – Investor Class
Year Ended December 31, | ||||||||||||||||||||
2015 | 2014 | 2013 | 2012 | 2011 | ||||||||||||||||
Per Share Data: | ||||||||||||||||||||
Net asset value, beginning of year | $ | 11.56 | $ | 11.43 | $ | 11.74 | $ | 11.47 | $ | 11.26 | ||||||||||
Income from investment operations: | ||||||||||||||||||||
Net investment income | 0.22 | (1) | 0.25 | (1) | 0.25 | 0.32 | (1) | 0.37 | ||||||||||||
Net realized and unrealized | ||||||||||||||||||||
gains (losses) on investments | (0.14 | ) | 0.14 | (0.29 | ) | 0.39 | 0.28 | |||||||||||||
Total from investment operations | 0.08 | 0.39 | (0.04 | ) | 0.71 | 0.65 | ||||||||||||||
Less distributions: | ||||||||||||||||||||
Distributions from | ||||||||||||||||||||
net investment income | (0.22 | ) | (0.24 | ) | (0.25 | ) | (0.31 | ) | (0.36 | ) | ||||||||||
Distributions from net realized gains | (0.03 | ) | (0.02 | ) | (0.02 | ) | (0.13 | ) | (0.08 | ) | ||||||||||
Total distributions | (0.25 | ) | (0.26 | ) | (0.27 | ) | (0.44 | ) | (0.44 | ) | ||||||||||
Net asset value, end of year | $ | 11.39 | $ | 11.56 | $ | 11.43 | $ | 11.74 | $ | 11.47 | ||||||||||
Total return | 0.79 | % | 3.29 | % | (0.41 | )% | 6.20 | % | 5.84 | % | ||||||||||
Supplemental data and ratios: | ||||||||||||||||||||
Net assets, end of year (millions) | $ | 103.4 | $ | 115.6 | $ | 42.1 | $ | 26.7 | $ | 14.7 | ||||||||||
Ratio of expenses to average net assets | 0.55 | % | 0.55 | % | 0.55 | % | 0.55 | % | 0.55 | % | ||||||||||
Ratio of net investment income | ||||||||||||||||||||
to average net assets | 1.89 | % | 2.12 | % | 2.20 | % | 2.70 | % | 3.24 | % | ||||||||||
Portfolio turnover rate(2) | 39.0 | % | 29.2 | % | 45.1 | % | 45.1 | % | 24.1 | % |
(1) | Calculated using average shares outstanding during the year. |
(2) | 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 119
Financial Highlights
Baird Quality Intermediate Municipal Bond Fund – Institutional Class
Year Ended December 31, | ||||||||||||||||||||
2015 | 2014 | 2013 | 2012 | 2011 | ||||||||||||||||
Per Share Data: | ||||||||||||||||||||
Net asset value, beginning of year | $ | 11.77 | $ | 11.55 | $ | 12.01 | $ | 11.94 | $ | 11.31 | ||||||||||
Income from investment operations: | ||||||||||||||||||||
Net investment income | 0.28 | (1) | 0.30 | 0.32 | (1) | 0.30 | 0.32 | |||||||||||||
Net realized and unrealized | ||||||||||||||||||||
gains (losses) on investments | (0.03 | ) | 0.22 | (0.46 | ) | 0.07 | 0.64 | |||||||||||||
Total from investment operations | 0.25 | 0.52 | (0.14 | ) | 0.37 | 0.96 | ||||||||||||||
Less distributions: | ||||||||||||||||||||
Distributions from | ||||||||||||||||||||
net investment income | (0.28 | ) | (0.30 | ) | (0.32 | ) | (0.30 | ) | (0.32 | ) | ||||||||||
Distributions from net realized gains | — | — | — | — | (0.01 | ) | ||||||||||||||
Total distributions | (0.28 | ) | (0.30 | ) | (0.32 | ) | (0.30 | ) | (0.33 | ) | ||||||||||
Net asset value, end of year | $ | 11.74 | $ | 11.77 | $ | 11.55 | $ | 12.01 | $ | 11.94 | ||||||||||
Total return | 2.19 | % | 4.54 | % | (1.19 | )% | 3.12 | % | 8.55 | % | ||||||||||
Supplemental data and ratios: | ||||||||||||||||||||
Net assets, end of year (millions) | $ | 988.4 | $ | 918.9 | $ | 801.4 | $ | 963.1 | $ | 836.1 | ||||||||||
Ratio of expenses to average net assets | 0.30 | % | 0.30 | % | 0.30 | % | 0.30 | % | 0.30 | % | ||||||||||
Ratio of net investment income | ||||||||||||||||||||
to average net assets | 2.42 | % | 2.56 | % | 2.65 | % | 2.48 | % | 2.74 | % | ||||||||||
Portfolio turnover rate(2) | 9.3 | % | 4.7 | % | 9.0 | % | 5.1 | % | 8.0 | % |
(1) | Calculated using average shares outstanding during the year. |
(2) | 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 120
Financial Highlights
Baird Quality Intermediate Municipal Bond Fund – Investor Class
Year Ended December 31, | ||||||||||||||||||||
2015 | 2014 | 2013 | 2012 | 2011 | ||||||||||||||||
Per Share Data: | ||||||||||||||||||||
Net asset value, beginning of year | $ | 12.03 | $ | 11.80 | $ | 12.26 | $ | 12.18 | $ | 11.53 | ||||||||||
Income from investment operations: | ||||||||||||||||||||
Net investment income | 0.26 | (1) | 0.28 | 0.29 | (1) | 0.27 | 0.29 | |||||||||||||
Net realized and unrealized | ||||||||||||||||||||
gains (losses) on investments | (0.04 | ) | 0.22 | (0.46 | ) | 0.08 | 0.66 | |||||||||||||
Total from investment operations | 0.22 | 0.50 | (0.17 | ) | 0.35 | 0.95 | ||||||||||||||
Less distributions: | ||||||||||||||||||||
Distributions from | ||||||||||||||||||||
net investment income | (0.25 | ) | (0.27 | ) | (0.29 | ) | (0.27 | ) | (0.29 | ) | ||||||||||
Distributions from net realized gains | — | — | — | — | (0.01 | ) | ||||||||||||||
Total distributions | (0.25 | ) | (0.27 | ) | (0.29 | ) | (0.27 | ) | (0.30 | ) | ||||||||||
Net asset value, end of year | $ | 12.00 | $ | 12.03 | $ | 11.80 | $ | 12.26 | $ | 12.18 | ||||||||||
Total return | 1.89 | % | 4.27 | % | (1.42 | )% | 2.88 | % | 8.30 | % | ||||||||||
Supplemental data and ratios: | ||||||||||||||||||||
Net assets, end of year (millions) | $ | 160.3 | $ | 186.7 | $ | 205.6 | $ | 258.5 | $ | 257.9 | ||||||||||
Ratio of expenses to average net assets | 0.55 | % | 0.55 | % | 0.55 | % | 0.55 | % | 0.55 | % | ||||||||||
Ratio of net investment income | ||||||||||||||||||||
to average net assets | 2.17 | % | 2.31 | % | 2.40 | % | 2.23 | % | 2.49 | % | ||||||||||
Portfolio turnover rate(2) | 9.3 | % | 4.7 | % | 9.0 | % | 5.1 | % | 8.0 | % |
(1) | Calculated using average shares outstanding during the year. |
(2) | 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 121
Financial Highlights
Baird Core Intermediate Municipal Bond Fund – Institutional Class
Period Ended | ||||
December 31, 2015^ | ||||
Per Share Data: | ||||
Net asset value, beginning of period | $ | 10.00 | ||
Income from investment operations: | ||||
Net investment income | 0.06 | (1) | ||
Net realized and unrealized gains on investments | 0.14 | |||
Total from investment operations | 0.20 | |||
Less distributions: | ||||
Distributions from net investment income | (0.06 | ) | ||
Distributions from net realized gains | (0.01 | ) | ||
Total distributions | (0.07 | ) | ||
Net asset value, end of period | $ | 10.13 | ||
Total return | 1.98 | %(2) | ||
Supplemental data and ratios: | ||||
Net assets, end of period (millions) | $ | 50.8 | ||
Ratio of expenses to average net assets | 0.30 | %(3) | ||
Ratio of net investment income to average net assets | 1.75 | %(3) | ||
Portfolio turnover rate(4) | 108.3 | %(2) |
^ | Inception was close of business on August 31, 2015. |
(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 122
Financial Highlights
Baird Core Intermediate Municipal Bond Fund – Investor Class
Period Ended | ||||
December 31, 2015^ | ||||
Per Share Data: | ||||
Net asset value, beginning of period | $ | 10.00 | ||
Income from investment operations: | ||||
Net investment income | 0.05 | (1) | ||
Net realized and unrealized gains on investments | 0.14 | |||
Total from investment operations | 0.19 | |||
Less distributions: | ||||
Distributions from net investment income | (0.05 | ) | ||
Distributions from net realized gains | (0.01 | ) | ||
Total distributions | (0.06 | ) | ||
Net asset value, end of period | $ | 10.13 | ||
Total return | 1.91 | %(2) | ||
Supplemental data and ratios: | ||||
Net assets, end of period (millions) | $ | 0.2 | ||
Ratio of expenses to average net assets | 0.55 | %(3) | ||
Ratio of net investment income to average net assets | 1.50 | %(3) | ||
Portfolio turnover rate(4) | 108.3 | %(2) |
^ | Inception was close of business on August 31, 2015. |
(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 123
Financial Highlights
Baird Aggregate Bond Fund – Institutional Class
Year Ended December 31, | ||||||||||||||||||||
2015 | 2014 | 2013 | 2012 | 2011 | ||||||||||||||||
Per Share Data: | ||||||||||||||||||||
Net asset value, beginning of year | $ | 10.81 | $ | 10.41 | $ | 10.89 | $ | 10.65 | $ | 10.52 | ||||||||||
Income from investment operations: | ||||||||||||||||||||
Net investment income | 0.24 | (1) | 0.30 | (2) | 0.32 | (1) | 0.38 | (1) | 0.44 | (1) | ||||||||||
Net realized and unrealized | ||||||||||||||||||||
gains (losses) on investments | (0.18 | ) | 0.41 | (0.45 | ) | 0.45 | 0.36 | |||||||||||||
Total from investment operations | 0.06 | 0.71 | (0.13 | ) | 0.83 | 0.80 | ||||||||||||||
Less distributions: | ||||||||||||||||||||
Distributions from | ||||||||||||||||||||
net investment income | (0.26 | ) | (0.31 | ) | (0.35 | ) | (0.43 | ) | (0.46 | ) | ||||||||||
Distributions from net realized gains | — | — | — | (0.16 | ) | (0.21 | ) | |||||||||||||
Total distributions | (0.26 | ) | (0.31 | ) | (0.35 | ) | (0.59 | ) | (0.67 | ) | ||||||||||
Net asset value, end of year | $ | 10.61 | $ | 10.81 | $ | 10.41 | $ | 10.89 | $ | 10.65 | ||||||||||
Total return | 0.55 | % | 6.89 | % | (1.25 | )% | 7.92 | % | 7.85 | % | ||||||||||
Supplemental data and ratios: | ||||||||||||||||||||
Net assets, end of year (millions) | $ | 6,318.4 | $ | 3,448.6 | $ | 1,665.0 | $ | 1,495.4 | $ | 1,480.3 | ||||||||||
Ratio of expenses to average net assets | 0.30 | % | 0.30 | % | 0.30 | % | 0.30 | % | 0.30 | % | ||||||||||
Ratio of net investment income | ||||||||||||||||||||
to average net assets | 2.24 | % | 2.81 | % | 3.01 | % | 3.51 | % | 4.10 | % | ||||||||||
Portfolio turnover rate(3) | 39.6 | % | 32.1 | % | 28.4 | % | 64.4 | % | 45.9 | % |
(1) | Calculated using average shares outstanding during the year. |
(2) | Net investment income per share is calculated using ending balance prior to consideration of adjustments for permanent book and tax differences. |
(3) | Portfolio turnover is calculated on the basis of the Fund as a whole without distinguishing between the classes of shares issued. |
The accompanying notes are an integral part of these financial statements.
Page 124
Financial Highlights
Baird Aggregate Bond Fund – Investor Class
Year Ended December 31, | ||||||||||||||||||||
2015 | 2014 | 2013 | 2012 | 2011 | ||||||||||||||||
Per Share Data: | ||||||||||||||||||||
Net asset value, beginning of year | $ | 11.15 | $ | 10.72 | $ | 11.21 | $ | 10.94 | $ | 10.80 | ||||||||||
Income from investment operations: | ||||||||||||||||||||
Net investment income | 0.22 | (1) | 0.28 | (2) | 0.29 | (1) | 0.37 | (1) | 0.42 | (1) | ||||||||||
Net realized and unrealized | ||||||||||||||||||||
gains (losses) on investments | (0.20 | ) | 0.43 | (0.46 | ) | 0.46 | 0.37 | |||||||||||||
Total from investment operations | 0.02 | 0.71 | (0.17 | ) | 0.83 | 0.79 | ||||||||||||||
Less distributions: | ||||||||||||||||||||
Distributions from | ||||||||||||||||||||
net investment income | (0.23 | ) | (0.28 | ) | (0.32 | ) | (0.40 | ) | (0.44 | ) | ||||||||||
Distributions from net realized gains | — | — | — | (0.16 | ) | (0.21 | ) | |||||||||||||
Total distributions | (0.23 | ) | (0.28 | ) | (0.32 | ) | (0.56 | ) | (0.65 | ) | ||||||||||
Net asset value, end of year | $ | 10.94 | $ | 11.15 | $ | 10.72 | $ | 11.21 | $ | 10.94 | ||||||||||
Total return | 0.21 | % | 6.71 | % | (1.54 | )% | 7.72 | % | 7.46 | % | ||||||||||
Supplemental data and ratios: | ||||||||||||||||||||
Net assets, end of year (millions) | $ | 429.6 | $ | 241.7 | $ | 141.9 | $ | 49.4 | $ | 26.1 | ||||||||||
Ratio of expenses to average net assets | 0.55 | % | 0.55 | % | 0.55 | % | 0.55 | % | 0.55 | % | ||||||||||
Ratio of net investment income | ||||||||||||||||||||
to average net assets | 1.99 | % | 2.56 | % | 2.76 | % | 3.26 | % | 3.85 | % | ||||||||||
Portfolio turnover rate(3) | 39.6 | % | 32.1 | % | 28.4 | % | 64.4 | % | 45.9 | % |
(1) | Calculated using average shares outstanding during the year. |
(2) | Net investment income per share is calculated using ending balance prior to consideration of adjustments for permanent book and tax differences. |
(3) | Portfolio turnover is calculated on the basis of the Fund as a whole without distinguishing between the classes of shares issued. |
The accompanying notes are an integral part of these financial statements.
Page 125
Financial Highlights
Baird Core Plus Bond Fund – Institutional Class
Year Ended December 31, | ||||||||||||||||||||
2015 | 2014 | 2013 | 2012 | 2011 | ||||||||||||||||
Per Share Data: | ||||||||||||||||||||
Net asset value, beginning of year | $ | 11.14 | $ | 10.77 | $ | 11.27 | $ | 10.82 | $ | 10.51 | ||||||||||
Income from investment operations: | ||||||||||||||||||||
Net investment income | 0.28 | (1) | 0.32 | (2) | 0.31 | (2) | 0.35 | (1) | 0.45 | (1) | ||||||||||
Net realized and unrealized | ||||||||||||||||||||
gains (losses) on investments | (0.26 | ) | 0.38 | (0.46 | ) | 0.50 | 0.36 | |||||||||||||
Total from investment operations | 0.02 | 0.70 | (0.15 | ) | 0.85 | 0.81 | ||||||||||||||
Less distributions: | ||||||||||||||||||||
Distributions from | ||||||||||||||||||||
net investment income | (0.31 | ) | (0.33 | ) | (0.34 | ) | (0.38 | ) | (0.46 | ) | ||||||||||
Distributions from net realized gains | — | — | (0.01 | ) | (0.02 | ) | (0.04 | ) | ||||||||||||
Total distributions | (0.31 | ) | (0.33 | ) | (0.35 | ) | (0.40 | ) | (0.50 | ) | ||||||||||
Net asset value, end of year | $ | 10.85 | $ | 11.14 | $ | 10.77 | $ | 11.27 | $ | 10.82 | ||||||||||
Total return | 0.14 | % | 6.59 | % | (1.32 | )% | 7.95 | % | 7.89 | % | ||||||||||
Supplemental data and ratios: | ||||||||||||||||||||
Net assets, end of year (millions) | $ | 7,199.8 | $ | 4,520.9 | $ | 1,789.7 | $ | 1,573.4 | $ | 768.9 | ||||||||||
Ratio of expenses to average net assets | 0.30 | % | 0.30 | % | 0.30 | % | 0.30 | % | 0.30 | % | ||||||||||
Ratio of net investment income | ||||||||||||||||||||
to average net assets | 2.50 | % | 2.89 | % | 2.83 | % | 3.12 | % | 4.22 | % | ||||||||||
Portfolio turnover rate(3) | 34.2 | % | 35.0 | % | 35.5 | % | 36.7 | % | 34.6 | % |
(1) | Calculated using average shares outstanding during the year. |
(2) | Net investment income per share is calculated using ending balance prior to consideration of adjustments for permanent book and tax differences. |
(3) | Portfolio turnover is calculated on the basis of the Fund as a whole without distinguishing between the classes of shares issued. |
The accompanying notes are an integral part of these financial statements.
Page 126
Financial Highlights
Baird Core Plus Bond Fund – Investor Class
Year Ended December 31, | ||||||||||||||||||||
2015 | 2014 | 2013 | 2012 | 2011 | ||||||||||||||||
Per Share Data: | ||||||||||||||||||||
Net asset value, beginning of year | $ | 11.55 | $ | 11.16 | $ | 11.67 | $ | 11.18 | $ | 10.85 | ||||||||||
Income from investment operations: | ||||||||||||||||||||
Net investment income | 0.26 | (1) | 0.29 | (2) | 0.29 | (2) | 0.33 | (1) | 0.44 | (1) | ||||||||||
Net realized and unrealized | ||||||||||||||||||||
gains (losses) on investments | (0.27 | ) | 0.40 | (0.48 | ) | 0.53 | 0.37 | |||||||||||||
Total from investment operations | (0.01 | ) | 0.69 | (0.19 | ) | 0.86 | 0.81 | |||||||||||||
Less distributions: | ||||||||||||||||||||
Distributions from | ||||||||||||||||||||
net investment income | (0.28 | ) | (0.30 | ) | (0.31 | ) | (0.35 | ) | (0.44 | ) | ||||||||||
Distributions from net realized gains | — | — | (0.01 | ) | (0.02 | ) | (0.04 | ) | ||||||||||||
Total distributions | (0.28 | ) | (0.30 | ) | (0.32 | ) | (0.37 | ) | (0.48 | ) | ||||||||||
Net asset value, end of year | $ | 11.26 | $ | 11.55 | $ | 11.16 | $ | 11.67 | $ | 11.18 | ||||||||||
Total return | (0.11 | )% | 6.27 | % | (1.61 | )% | 7.80 | % | 7.57 | % | ||||||||||
Supplemental data and ratios: | ||||||||||||||||||||
Net assets, end of year (millions) | $ | 2,183.5 | $ | 2,195.7 | $ | 1,044.1 | $ | 1,036.0 | $ | 331.9 | ||||||||||
Ratio of expenses to average net assets | 0.55 | % | 0.55 | % | 0.55 | % | 0.55 | % | 0.55 | % | ||||||||||
Ratio of net investment income | ||||||||||||||||||||
to average net assets | 2.25 | % | 2.64 | % | 2.58 | % | 2.87 | % | 3.97 | % | ||||||||||
Portfolio turnover rate(3) | 34.2 | % | 35.0 | % | 35.5 | % | 36.7 | % | 34.6 | % |
(1) | Calculated using average shares outstanding during the year. |
(2) | Net investment income per share is calculated using ending balance prior to consideration of adjustments for permanent book and tax differences. |
(3) | Portfolio turnover is calculated on the basis of the Fund as a whole without distinguishing between the classes of shares issued. |
The accompanying notes are an integral part of these financial statements.
Page 127
Notes to the Financial Statements
December 31, 2015
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 Short-Term Municipal Bond Fund, Baird Intermediate Bond Fund, Baird Quality Intermediate Municipal Bond Fund, Baird Core Intermediate Municipal Bond Fund, Baird Aggregate Bond Fund and Baird Core Plus Bond Fund (each, a “Fund” and collectively, the “Funds”), eight of the thirteen 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 Short-Term Municipal Bond Fund and Core Intermediate Municipal Bond Fund commenced with the sale of both Institutional and Investor Class shares on August 31, 2015. The Baird Quality 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. Institutional Class shares are not subject to a distribution and service (12b-1) fee, while 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 Short-Term Municipal Bond Fund is to seek current income that is exempt from federal income tax and is consistent with the preservation of capital.
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 Quality 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 Core Intermediate Municipal Bond Fund is to seek a high level of current income that is exempt from federal income tax and is consistent with preservation of capital.
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.
Page 128
Notes to the Financial Statements
December 31, 2015
1. | Organization (cont.) |
The investment objective of the Baird Core Plus Bond Fund is to provide an annual rate of total return, before Fund expenses, greater than the annual rate of total return of the Barclays U.S. Universal Bond Index. The Barclays U.S. Universal Bond Index is an unmanaged, market value weighted index of fixed income securities issued in U.S. dollars, including U.S. government and investment grade debt, non-investment grade debt, asset-backed and mortgage-backed securities, Eurobonds, 144A securities and emerging market debt, with maturities of at least one year.
2. | Significant Accounting Policies |
The following is a summary of significant accounting policies consistently followed by the Funds in the preparation of their financial statements. These policies are in conformity with accounting principles generally accepted in the United States of America.
a) | Investment Valuation – Section 2(a)(41) of the 1940 Act, together with the rules and interpretations of the Securities and Exchange Commission, 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 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 |
Page 129
Notes to the Financial Statements
December 31, 2015
2. | Significant Accounting Policies (cont.) |
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 $38,801,577 (20.37% of net assets), $641,048,510 (21.25% of net assets), $379,992,050 (20.10% of net assets), $992,044,292 (14.70% of net assets), and $1,549,706,352 (16.52% of net assets), respectively, at December 31, 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 December 31, 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, 2015, or for any other tax years which are open for exam. As of December 31, 2015, open tax years include the tax years ended December 31, 2012 through 2015. 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. |
Page 130
Notes to the Financial Statements
December 31, 2015
2. | Significant Accounting Policies (cont.) |
g) | Use of Estimates – The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates. |
h) | Securities Transactions and Investment Income – Investment and shareholder transactions are recorded on the trade date. The Funds determine the gain or loss realized from investment transactions by comparing the original cost of the security lot sold with the net sales proceeds. Dividend income is recognized on the ex-dividend date and interest income is recognized on an accrual basis. Premiums and discounts on the purchase of securities are amortized/accreted using the effective interest method. Paydown gains and losses 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. See Note 6 for additional information. In May 2015, the Financial Accounting Standards Board (“FASB”) issued Accounting Standards Update (“ASU”) No. 2015-07 “Disclosure for Investments in Certain Entities that Calculate Net Asset Value per Share (or Its Equivalent)”. The amendments in ASU No. 2015-07 remove the requirement to categorize within the fair value hierarchy investments measured using the NAV practical expedient. The ASU also removes certain disclosure requirements for investments that qualify, but do not utilize, the NAV practical expedient. The amendments in the ASU are effective for fiscal years beginning after December 15, 2015, and interim periods within those fiscal years. Management is currently evaluating the impact these changes will have on the Funds’ financial statements and related disclosures. |
Page 131
Notes to the Financial Statements
December 31, 2015
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 | ||||||||||||||||
Year Ended | Year Ended | ||||||||||||||||
December 31, 2015 | December 31, 2015 | ||||||||||||||||
Shares | Amount | Shares | Amount | ||||||||||||||
Shares sold | 18,194,582 | $ | 182,496,800 | Shares sold | 160,110 | $ | 1,605,059 | ||||||||||
Shares issued to | Shares issued to | ||||||||||||||||
shareholders in | shareholders in | ||||||||||||||||
reinvestment of | reinvestment of | ||||||||||||||||
dividends | 115,607 | 1,158,204 | dividends | 262 | 2,627 | ||||||||||||
Shares redeemed | (7,772,290 | ) | (77,953,294 | ) | Shares redeemed | (129,177 | ) | (1,294,965 | ) | ||||||||
Net increase | 10,537,899 | $ | 105,701,710 | Net increase | 31,195 | $ | 312,721 | ||||||||||
Shares Outstanding: | Shares Outstanding: | ||||||||||||||||
Beginning of year | 8,424,284 | Beginning of year | 88,900 | ||||||||||||||
End of year | 18,962,183 | End of year | 120,095 | ||||||||||||||
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 | ||||||||||||||||
Year Ended | Year Ended | ||||||||||||||||
December 31, 2015 | December 31, 2015 | ||||||||||||||||
Shares | Amount | Shares | Amount | ||||||||||||||
Shares sold | 135,569,368 | $ | 1,312,782,673 | Shares sold | 3,300,557 | $ | 31,979,152 | ||||||||||
Shares issued to | Shares issued to | ||||||||||||||||
shareholders in | shareholders in | ||||||||||||||||
reinvestment of | reinvestment of | ||||||||||||||||
dividends | 4,045,771 | 39,128,874 | dividends | 41,160 | 398,035 | ||||||||||||
Shares redeemed | (102,702,980 | ) | (994,845,046 | ) | Shares redeemed | (2,814,301 | ) | (27,286,486 | ) | ||||||||
Net increase | 36,912,159 | $ | 357,066,501 | Net increase | 527,416 | $ | 5,090,701 | ||||||||||
Shares Outstanding: | Shares Outstanding: | ||||||||||||||||
Beginning of year | 273,164,316 | Beginning of year | 3,704,764 | ||||||||||||||
End of year | 310,076,475 | End of year | 4,232,180 |
Page 132
Notes to the Financial Statements
December 31, 2015
3. | Capital Share Transactions (cont.) |
Baird Short-Term 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 | 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 | ||||||||||||||
Baird Short-Term Municipal Bond Fund^ | |||||||||||||||||
Institutional Class Shares | Investor Class Shares | ||||||||||||||||
Period Ended | Period Ended | ||||||||||||||||
December 31, 2015 | December 31, 2015 | ||||||||||||||||
Shares | Amount | Shares | Amount | ||||||||||||||
Shares sold | 1,220,676 | $ | 12,220,406 | Shares sold | 12,719 | $ | 127,500 | ||||||||||
Shares issued to | Shares issued to | ||||||||||||||||
shareholders in | shareholders in | ||||||||||||||||
reinvestment of | reinvestment of | ||||||||||||||||
dividends | 3,170 | 31,828 | dividends | 24 | 237 | ||||||||||||
Shares redeemed | (1,353 | ) | (13,600 | ) | Shares redeemed | (1 | ) | (7 | ) | ||||||||
Net increase | 1,222,493 | $ | 12,238,634 | Net increase | 12,742 | $ | 127,730 | ||||||||||
Shares Outstanding: | Shares Outstanding: | ||||||||||||||||
Beginning of period | — | Beginning of period | — | ||||||||||||||
End of period | 1,222,493 | End of period | 12,742 | ||||||||||||||
^ Inception was the close of business on August 31, 2015. | |||||||||||||||||
Baird Intermediate Bond Fund | |||||||||||||||||
Institutional Class Shares | Investor Class Shares | ||||||||||||||||
Year Ended | Year Ended | ||||||||||||||||
December 31, 2015 | December 31, 2015 | ||||||||||||||||
Shares | Amount | Shares | Amount | ||||||||||||||
Shares sold | 50,507,223 | $ | 562,212,364 | Shares sold | 1,510,863 | $ | 17,460,109 | ||||||||||
Shares issued to | Shares issued to | ||||||||||||||||
shareholders in | shareholders in | ||||||||||||||||
reinvestment of | reinvestment of | ||||||||||||||||
dividends | 3,265,821 | 36,214,342 | dividends | 200,312 | 2,313,757 | ||||||||||||
Shares redeemed | (22,506,173 | ) | (250,191,862 | ) | Shares redeemed | (2,632,587 | ) | (30,508,078 | ) | ||||||||
Net increase | 31,266,871 | $ | 348,234,844 | Net decrease | (921,412 | ) | $ | (10,734,212 | ) | ||||||||
Shares Outstanding: | Shares Outstanding: | ||||||||||||||||
Beginning of year | 132,223,556 | Beginning of year | 10,001,347 | ||||||||||||||
End of year | 163,490,427 | End of year | 9,079,935 |
Page 133
Notes to the Financial Statements
December 31, 2015
3. | Capital Share Transactions (cont.) |
Baird Intermediate 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 | 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 Quality Intermediate Municipal Bond Fund | |||||||||||||||||
Institutional Class Shares | Investor Class Shares | ||||||||||||||||
Year Ended | Year Ended | ||||||||||||||||
December 31, 2015 | December 31, 2015 | ||||||||||||||||
Shares | Amount | Shares | Amount | ||||||||||||||
Shares sold | 26,646,569 | $ | 312,714,221 | Shares sold | 3,150,812 | $ | 37,855,718 | ||||||||||
Shares issued to | Shares issued to | ||||||||||||||||
shareholders in | shareholders in | ||||||||||||||||
reinvestment of | reinvestment of | ||||||||||||||||
dividends | 1,741,307 | 20,418,954 | dividends | 295,661 | 3,545,949 | ||||||||||||
Shares redeemed | (22,266,810 | ) | (260,976,248 | ) | Shares redeemed | (5,607,213 | ) | (67,122,955 | ) | ||||||||
Net increase | 6,121,066 | $ | 72,156,927 | Net decrease | (2,160,740 | ) | $ | (25,721,288 | ) | ||||||||
Shares Outstanding: | Shares Outstanding: | ||||||||||||||||
Beginning of year | 78,104,232 | Beginning of year | 15,522,287 | ||||||||||||||
End of year | 84,225,298 | End of year | 13,361,547 | ||||||||||||||
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 |
Page 134
Notes to the Financial Statements
December 31, 2015
3. | Capital Share Transactions (cont.) |
Baird Core Intermediate Municipal Bond Fund^
Institutional Class Shares | Investor Class Shares | ||||||||||||||||
Period Ended | Period Ended | ||||||||||||||||
December 31, 2015 | December 31, 2015 | ||||||||||||||||
Shares | Amount | Shares | Amount | ||||||||||||||
Shares sold | 5,216,078 | $ | 52,271,310 | Shares sold | 22,221 | $ | 224,183 | ||||||||||
Shares issued to | Shares issued to | ||||||||||||||||
shareholders in | shareholders in | ||||||||||||||||
reinvestment of | reinvestment of | ||||||||||||||||
dividends | 12,426 | 125,453 | dividends | 60 | 611 | ||||||||||||
Shares redeemed | (212,224 | ) | (2,137,467 | ) | Shares redeemed | (22 | ) | (222 | ) | ||||||||
Net increase | 5,016,280 | $ | 50,259,296 | Net increase | 22,259 | $ | 224,572 | ||||||||||
Shares Outstanding: | Shares Outstanding: | ||||||||||||||||
Beginning of period | — | Beginning of period | — | ||||||||||||||
End of period | 5,016,280 | End of period | 22,259 | ||||||||||||||
^ Inception was the close of business on August 31, 2015. | |||||||||||||||||
Baird Aggregate Bond Fund | |||||||||||||||||
Institutional Class Shares | Investor Class Shares | ||||||||||||||||
Year Ended | Year Ended | ||||||||||||||||
December 31, 2015 | December 31, 2015 | ||||||||||||||||
Shares | Amount | Shares | Amount | ||||||||||||||
Shares sold | 356,830,993 | $ | 3,865,220,032 | Shares sold | 33,925,649 | $ | 380,462,212 | ||||||||||
Shares issued to | Shares issued to | ||||||||||||||||
shareholders in | shareholders in | ||||||||||||||||
reinvestment of | reinvestment of | ||||||||||||||||
dividends | 9,544,951 | 102,735,825 | dividends | 832,114 | 9,246,306 | ||||||||||||
Shares redeemed | (89,632,870 | ) | (965,571,353 | ) | Shares redeemed | (17,180,037 | ) | (189,903,979 | ) | ||||||||
Net increase | 276,743,074 | $ | 3,002,384,504 | Net increase | 17,577,726 | $ | 199,804,539 | ||||||||||
Shares Outstanding: | Shares Outstanding: | ||||||||||||||||
Beginning of year | 318,988,439 | Beginning of year | 21,682,288 | ||||||||||||||
End of year | 595,731,513 | End of year | 39,260,014 | ||||||||||||||
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 135
Notes to the Financial Statements
December 31, 2015
3. | Capital Share Transactions (cont.) |
Baird Core Plus Bond Fund
Institutional Class Shares | Investor Class Shares | ||||||||||||||||
Year Ended | Year Ended | ||||||||||||||||
December 31, 2015 | December 31, 2015 | ||||||||||||||||
Shares | Amount | Shares | Amount | ||||||||||||||
Shares sold | 338,402,581 | $ | 3,765,813,087 | Shares sold | 92,075,541 | $ | 1,065,444,861 | ||||||||||
Shares issued to | Shares issued to | ||||||||||||||||
shareholders in | shareholders in | ||||||||||||||||
reinvestment of | reinvestment of | ||||||||||||||||
dividends | 14,978,062 | 165,809,786 | dividends | 4,736,958 | 54,497,497 | ||||||||||||
Shares redeemed | (95,670,704 | ) | (1,059,277,984 | ) | Shares redeemed | (93,017,178 | ) | (1,069,633,270 | ) | ||||||||
Net increase | 257,709,939 | $ | 2,872,344,889 | Net increase | 3,795,321 | $ | 50,309,088 | ||||||||||
Shares Outstanding: | Shares Outstanding: | ||||||||||||||||
Beginning of year | 405,895,839 | Beginning of year | 190,054,912 | ||||||||||||||
End of year | 663,605,778 | End of year | 193,850,233 | ||||||||||||||
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 year ended December 31, 2015, purchases and sales of investment securities (excluding short-term investments) were as follows:
Baird | ||||||||||||
Baird | Baird | Short-Term | ||||||||||
Ultra Short | Short-Term | Municipal | ||||||||||
Bond Fund | Bond Fund | Bond Fund | ||||||||||
Purchases: | ||||||||||||
U.S. Government | $ | — | $ | — | $ | — | ||||||
Other | $ | 167,766,712 | $ | 1,353,179,760 | $ | 10,452,949 | ||||||
Sales: | ||||||||||||
U.S. Government | $ | — | $ | — | $ | — | ||||||
Other | $ | 77,084,021 | $ | 1,044,050,453 | $ | 4,055,167 |
Page 136
Notes to the Financial Statements
December 31, 2015
4. | Investment Transactions and Income Tax Information (cont.) |
Baird Quality | Baird Core | |||||||||||
Baird | Intermediate | Intermediate | ||||||||||
Intermediate | Municipal | Municipal | ||||||||||
Bond Fund | Bond Fund | Bond Fund | ||||||||||
Purchases: | ||||||||||||
U.S. Government | $ | — | $ | — | $ | — | ||||||
Other | $ | 988,983,450 | $ | 141,485,190 | $ | 96,970,436 | ||||||
Sales: | ||||||||||||
U.S. Government | $ | 20,041 | $ | — | $ | — | ||||||
Other | $ | 660,957,653 | $ | 103,657,672 | $ | 47,506,551 | ||||||
Baird | Baird | |||||||||||
Aggregate | Core Plus | |||||||||||
Bond Fund | Bond Fund | |||||||||||
Purchases: | ||||||||||||
U.S. Government | $ | 163,531,020 | $ | 182,088,327 | ||||||||
Other | $ | 5,374,044,354 | $ | 5,767,449,855 | ||||||||
Sales: | ||||||||||||
U.S. Government | $ | 48,132,920 | $ | 119,766,079 | ||||||||
Other | $ | 2,112,191,311 | $ | 2,814,353,982 |
At December 31, 2015, 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 | Short-Term | ||||||||||
Ultra Short | Short-Term | Municipal | ||||||||||
Bond Fund | Bond Fund | Bond Fund | ||||||||||
Cost of Investments | $ | 194,611,111 | $ | 3,099,443,684 | $ | 12,382,945 | ||||||
Gross unrealized appreciation | 96,128 | 4,813,823 | 77,567 | |||||||||
Gross unrealized depreciation | (1,072,452 | ) | (27,644,854 | ) | (21,119 | ) | ||||||
Net unrealized appreciation (depreciation) | $ | (976,324 | ) | $ | (22,831,031 | ) | $ | 56,448 | ||||
Undistributed ordinary income | 17,379 | 202,243 | — | |||||||||
Undistributed long-term capital gain | — | — | — | |||||||||
Undistributed tax-exempt income | — | — | — | |||||||||
Total distributable earnings | $ | 17,379 | $ | 202,243 | $ | — | ||||||
Other accumulated losses | (95,183 | ) | (2,941,310 | ) | — | |||||||
Total accumulated earnings (losses) | $ | (1,054,128 | ) | $ | (25,570,098 | ) | $ | 56,448 |
Page 137
Notes to the Financial Statements
December 31, 2015
4. | Investment Transactions and Income Tax Information (cont.) |
Baird Quality | Baird Core | |||||||||||
Baird | Intermediate | Intermediate | ||||||||||
Intermediate | Municipal | Municipal | ||||||||||
Bond Fund | Bond Fund | Bond Fund | ||||||||||
Cost of Investments | $ | 1,965,120,976 | $ | 1,091,002,914 | $ | 50,771,716 | ||||||
Gross unrealized appreciation | 16,111,626 | 45,616,699 | 551,583 | |||||||||
Gross unrealized depreciation | (25,378,797 | ) | (3,655,123 | ) | (76,797 | ) | ||||||
Net unrealized appreciation (depreciation) | $ | (9,267,171 | ) | $ | 41,961,576 | $ | 474,786 | |||||
Undistributed ordinary income | 155,059 | — | 103,686 | |||||||||
Undistributed long-term capital gain | — | — | 69 | |||||||||
Undistributed tax-exempt income | — | 22,182 | — | |||||||||
Total distributable earnings | $ | 155,059 | $ | 22,182 | $ | 103,755 | ||||||
Other accumulated losses | (70,393 | ) | (1,228,069 | ) | — | |||||||
Total accumulated earnings (losses) | $ | (9,182,505 | ) | $ | 40,755,689 | $ | 578,541 | |||||
Baird | Baird | |||||||||||
Aggregate | Core Plus | |||||||||||
Bond Fund | Bond Fund | |||||||||||
Cost of Investments | $ | 7,133,256,261 | $ | 9,776,697,957 | ||||||||
Gross unrealized appreciation | 49,297,807 | 63,986,465 | ||||||||||
Gross unrealized depreciation | (125,663,269 | ) | (249,776,466 | ) | ||||||||
Net unrealized depreciation | $ | (76,365,462 | ) | $ | (185,790,001 | ) | ||||||
Undistributed ordinary income | 206,498 | 396,055 | ||||||||||
Undistributed long-term capital gain | — | — | ||||||||||
Total distributable earnings | $ | 206,498 | $ | 396,055 | ||||||||
Other accumulated losses | (103,043 | ) | (2,360,330 | ) | ||||||||
Total accumulated losses | $ | (76,262,007 | ) | $ | (187,754,276 | ) |
Undistributed income or net realized gains for financial statement purposes may differ from amounts recognized for federal income tax purposes due to differences in the recognition and characterization of income, expense and capital gain items. The difference between book-basis and tax-basis unrealized appreciation is attributed primarily to the tax deferral of losses on wash sales.
Page 138
Notes to the Financial Statements
December 31, 2015
4. | Investment Transactions and Income Tax Information (cont.) |
Additionally, U.S. generally accepted accounting principles require that certain components of net assets relating to permanent differences be reclassified between financial and tax reporting. These reclassifications are primarily due to differing treatments for losses deferred due to wash sales and non-deductible expenses. These reclassifications have no effect on net assets or net asset value per share. For the year ended December 31, 2015, the following table shows the reclassifications made:
Undistributed Net | Accumulated Net | Paid In | ||||||||||||
Investment Income (Loss) | Realized Gain (Loss) | Capital | ||||||||||||
Baird Ultra Short Bond Fund | $ | 102,754 | $ | (102,754 | ) | $ | — | |||||||
Baird Short-Term Bond Fund | 7,922,356 | (7,922,356 | ) | — | ||||||||||
Baird Short-Term Municipal Bond Fund | 8,404 | 7,794 | (16,198 | ) | ||||||||||
Baird Intermediate Bond Fund | 1,656,935 | (1,656,935 | ) | — | ||||||||||
Baird Quality Intermediate | ||||||||||||||
Municipal Bond Fund | — | — | — | |||||||||||
Baird Core Intermediate | ||||||||||||||
Municipal Bond Fund | 3,489 | (3,489 | ) | — | ||||||||||
Baird Aggregate Bond Fund | 14,290,444 | (14,290,444 | ) | — | ||||||||||
Baird Core Plus Bond Fund | 25,332,558 | (25,332,558 | ) | — |
The tax components of dividends paid during the periods shown below were as follows:
Year Ended | Year Ended | |||||||||||||||
December 31, 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 | $ | 1,288,639 | $ | — | $ | 271,437 | $ | — | ||||||||
Baird Short-Term Bond Fund | $ | 45,056,387 | $ | 1,191,582 | $ | 38,351,400 | $ | 1,059,964 | ||||||||
Baird Short-Term Municipal Bond Fund | $ | 18,089 | $ | — | $ | — | $ | — | ||||||||
Baird Intermediate Bond Fund | $ | 40,089,420 | $ | 4,403,658 | $ | 31,870,518 | $ | 2,198,332 | ||||||||
Baird Quality Intermediate | ||||||||||||||||
Municipal Bond Fund | $ | 216,080 | $ | — | $ | 199,334 | $ | — | ||||||||
Baird Core Intermediate | ||||||||||||||||
Municipal Bond Fund | $ | 75,435 | $ | — | $ | — | $ | — | ||||||||
Baird Aggregate Bond Fund | $ | 135,833,133 | $ | — | $ | 70,757,058 | $ | — | ||||||||
Baird Core Plus Bond Fund | $ | 233,638,407 | $ | — | $ | 114,565,490 | $ | — |
For the year ended December 31, 2015 and the year ended December 31, 2014, distributions of $26,916,871 and $26,748,436, respectively, from the Baird Quality Intermediate Municipal Bond Fund were tax-exempt.
For the period August 31, 2015 (inception) through December 31, 2015 the Baird Short-Term Municipal Bond Fund and Baird Core Intermediate Municipal Bond Fund made distributions of tax-exempt income of $36,906 and $234,396, respectively.
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, 2015.
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, 2015, the Baird Intermediate Bond Fund elected to defer capital losses occurring between November 1, 2015 and December 31, 2015 in the amount of $70,393.
Page 139
Notes to the Financial Statements
December 31, 2015
4. | Investment Transactions and Income Tax Information (cont.) |
At December 31, 2015, 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 | $ | 85,608 | Short-Term | Indefinitely | ||
9,575 | Long-Term | Indefinitely | ||||
Baird Short-Term Bond Fund | 2,941,310 | Long-Term | Indefinitely | |||
Baird Quality Intermediate Municipal Bond Fund | 387,722 | Short-Term | Indefinitely | |||
840,347 | Long-Term | Indefinitely | ||||
Baird Aggregate Bond Fund | 103,043 | Short-Term | Indefinitely | |||
Baird Core Plus Bond Fund | 2,360,330 | Long-Term | Indefinitely |
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 year ended December 31, 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 | $229,687 |
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. U.S. Bank is 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 is an affiliated person of an affiliated person (or a “second tier” affiliate) of the Funds. At December 31, 2015, the Baird Ultra Short Bond Fund held an investment in U.S. Bancorp, which is reflected in the Fund’s schedule of investments.
Baird (the “Distributor”) is the distributor of the Funds pursuant to a distribution agreement.
6. | Securities Lending |
Each Fund (other than the Short-Term Municipal Bond Fund, Quality Intermediate Municipal Bond Fund and Core 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, and an affiliate of USBFS, the Funds’ transfer agent and administrator and a second-tier affiliate of the Funds. 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.
Page 140
Notes to the Financial Statements
December 31, 2015
6. | Securities Lending (cont.) |
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 December 31, 2015, the Baird Short-Term Bond Fund, Baird Intermediate Bond Fund, Baird Aggregate Bond Fund and Baird Core Plus Bond Fund had loaned securities that were collateralized by cash equivalents. The cash collateral is invested by the custodian in accordance with approved investment guidelines. Those guidelines require the cash collateral to be invested in readily marketable, high quality, short-term obligations; however, such investments are subject to risk of payment delays or default on the part of the issuer or counterparty or otherwise may not generate sufficient interest to support the costs associated with securities lending. A Fund could also experience delays in recovering its securities and possible loss of income or value if the borrower fails to return the borrowed securities, although the Funds are indemnified from this risk by contract with the securities lending agent.
As of December 31, 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 Bond Fund | $ | — | $ | — | |||||
Baird Short-Term Bond Fund | 46,067,092 | 47,134,707 | |||||||
Baird Intermediate Bond Fund | 46,108,268 | 47,247,814 | |||||||
Baird Aggregate Bond Fund | 178,233,376 | 182,206,644 | |||||||
Baird Core Plus Bond Fund | 193,054,923 | 198,041,000 |
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 December 31, 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 year ended December 31, 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 $4,825, $142,942, $187,818, $331,264, and $874,206, respectively.
Page 141
Notes to the Financial Statements
December 31, 2015
6. | Securities Lending (cont.) |
The Funds recently adopted guidance requiring entities to present gross obligations for secured borrowings by the type of collateral pledged and remaining time to maturity. The table below outlines the nature of these obligations at December 31, 2015.
Overnight and | Up to | Greater Than | ||||||||||||||||||
Continuous | 30 Days | 30-90 Days | 90 Days | Total | ||||||||||||||||
Securities lending transactions | ||||||||||||||||||||
Money Market Fund^ | ||||||||||||||||||||
Baird Short-Term Bond Fund | $ | 47,134,707 | — | — | — | $ | 47,134,707 | |||||||||||||
Baird Intermediate Bond Fund | 47,247,814 | — | — | — | 47,247,814 | |||||||||||||||
Baird Aggregate Bond Fund | 182,206,644 | — | — | — | 182,206,644 | |||||||||||||||
Baird Core Plus Bond Fund | 198,041,000 | — | — | — | 198,041,000 | |||||||||||||||
Total borrowings | $ | 474,630,165 | — | — | — | $ | 474,630,165 |
^ | Represents an interest in Mount Vernon Securities Lending Prime Portfolio, an investment purchased with cash proceeds from securities lending collateral received. |
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 2015). During the year ended December 31, 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 Short-Term Municipal Bond Fund, Baird Intermediate Bond, Baird Quality Intermediate Municipal Bond, Baird Core Intermediate Municipal Bond Fund, Baird Aggregate Bond and Baird Core Plus Bond Funds incurred $2,359, $94,439, $42, $270,401, $437,668, $65, $1,155,884 and $5,820,649, respectively, in fees pursuant to the Plan during the year ended December 31, 2015.
9. | Subsequent Event |
In preparing these financial statements, the Corporation has evaluated events after December 31, 2015. There were no subsequent events since December 31, 2015 through the date the financial statements were issued that would require adjustment to or additional disclosure in these financial statements.
Page 142
Report of Independent Registered Public
Accounting Firm
Board of Directors and Shareholders
Baird Funds, Inc.
We have audited the accompanying statements of assets and liabilities of Baird Ultra Short Bond Fund, Baird Short-Term Bond Fund, Baird Short-Term Municipal Bond Fund, Baird Intermediate Bond Fund, Baird Quality Intermediate Municipal Bond Fund (formerly the Baird Intermediate Municipal Bond Fund), Baird Core Intermediate Municipal Bond Fund, Baird Aggregate Bond Fund and Baird Core Plus Bond Fund (eight of the funds constituting Baird Funds, Inc.) (collectively, “the Funds”), including the summary schedules of investments, as of December 31, 2015, and the related statements of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended for the Baird Short-Term Bond Fund, Baird Intermediate Bond Fund, Baird Quality Intermediate Municipal Bond Fund, Baird Aggregate Bond Fund and Baird Core Plus Bond Fund; the related statement of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended and the financial highlights for each of the two years in the period then ended for the Baird Ultra Short Bond Fund; the related statements of operations, the statements of changes in net assets, and the financial highlights for the period August 31, 2015 (date of inception) through December 31, 2015, for the Baird Short-Term Municipal Bond Fund and Baird Core Intermediate Municipal Bond Fund. These financial statements are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these financial statements based on our audits.
We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audits to obtain reasonable assurance about whether the financial statements are free of material misstatement. We were not engaged to perform an audit of the Funds’ internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Funds’ internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of December 31, 2015, by correspondence with the custodian or brokers, or by other appropriate auditing procedures where replies from brokers were not received. An audit also includes assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements referred to above present fairly, in all material respects, the financial position of the aforementioned Funds of Baird Funds, Inc. as of December 31, 2015, and the results of their operations, changes in their net assets, and the financial highlights for the periods indicated above, in conformity with accounting principles generally accepted in the United States of America.
Chicago, Illinois
February 25, 2016
Page 143
Directors & Officers
As of December 31, 2015
Independent Directors
G. Frederick Kasten, Jr.
Independent Director and Chairman
Term of Office: Indefinite
Length of Time Served: Since September 2000
Age: 76
c/o Robert W. Baird & Co. Incorporated
777 East Wisconsin Avenue
Milwaukee, WI 53202
Principal Occupation(s) During the Past 5 Years: Retired; Chairman, the Advisor (January 2000-December 2005); Chairman and CEO, the Advisor (January 1998-January 2000); President, Chairman and CEO, the Advisor (June 1983-January 1998); President, the Advisor (January 1979-January 1983)
Number of Portfolios in Complex Overseen by Director: 12
Other Directorships Held by Director: None
John W. Feldt
Independent Director
Term of Office: Indefinite
Length of Time Served: Since September 2000
Age: 73
c/o Robert W. Baird & Co. Incorporated
777 East Wisconsin Avenue
Milwaukee, WI 53202
Principal Occupation(s) During the Past 5 Years: Retired; Senior Vice President-Finance, University of Wisconsin Foundation (1985-2006); Vice President-Finance, University of Wisconsin Foundation (1980-1985); Associate Director, University of Wisconsin Foundation (1967-1980)
Number of Portfolios in Complex Overseen by Director: 12
Other Directorships Held by Director: Director of Thompson Plumb Funds, Inc., a mutual fund complex (3 portfolios)
Frederick P. Stratton, Jr.
Independent Director
Term of Office: Indefinite
Length of Time Served: Since May 2004
Age: 76
c/o Robert W. Baird & Co. Incorporated
777 East Wisconsin Avenue
Milwaukee, WI 53202
Principal Occupation(s) During the Past 5 Years: Retired; Chairman Emeritus, Briggs & Stratton Corporation, a manufacturing company, since 2003; Chairman of the Board, Briggs & Stratton Corporation (2001-2002); Chairman and CEO, Briggs & Stratton Corporation (1986-2001)
Number of Portfolios in Complex Overseen by Director: 12
Other Directorships Held by Director: Director of Weyco Group, Inc., a men’s footwear distributor
Marlyn J. Spear, CFA
Independent Director
Term of Office: Indefinite
Length of Time Served: Since January 2008
Age: 62
c/o Robert W. Baird & Co. Incorporated
777 East Wisconsin Avenue
Milwaukee, WI 53202
Principal Occupation(s) During the Past 5 Years: Chief Investment Officer, Building Trades United Pension Trust Fund, since July 1989; Investment Officer, Northwestern Mutual Financial Network (1988-1989); Assistant Vice-President, Firstar Trust Company (1978-1987); Financial Analyst, Harco Holdings, Inc. (1976-1978)
Number of Portfolios in Complex Overseen by Director: 12
Other Directorships Held by Director: Management Trustee of AFL-CIO Housing Investment Trust, a mutual fund complex (1 portfolio)
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Directors & Officers
As of December 31, 2015
Interested Directors and Officers
Cory L. Nettles*
Interested Director
Term of Office: Indefinite
Length of Time Served: Since January 2008
Age: 45
c/o Generation Growth Capital, Inc.
411 East Wisconsin Avenue, Suite 1710
Milwaukee, WI 53202
Principal Occupation(s) During the Past 5 Years: Managing Director, Generation Growth Capital, Inc., a private equity fund, since March 2007; Of Counsel, Quarles & Brady LLP, a law firm, since January 2005; Secretary, Wisconsin Department of Commerce (January 2003-January 2005)
Number of Portfolios in Complex Overseen by Director: 12
Other Directorships Held by Director: Director of Weyco Group, Inc., a men’s footwear distributor;
Director of Associated Banc-Corp
Mary Ellen Stanek
President
Term of Office: Re-elected by Board annually
Length of Time Served: Since September 2000
Age: 59
777 East Wisconsin Avenue
Milwaukee, WI 53202
Principal Occupation(s) During the Past 5 Years: Managing Director, the Advisor, and Chief Investment Officer, Baird Advisors, a department of the Advisor, since March 2000
Charles B. Groeschell
Vice President
Term of Office: Re-elected by Board annually
Length of Time Served: Since January 2010
Age: 62
777 East Wisconsin Avenue
Milwaukee, WI 53202
Principal Occupation(s) During the Past 5 Years: Managing Director, the Advisor, and Senior Portfolio Manager, Baird Advisors, a department of the Advisor, since February 2000
Angela Palmer
Chief Compliance Officer
and AML Compliance Officer
Term of Office: Re-elected by Board annually
Length of Time Served: Since March 2014
Age: 44
777 East Wisconsin Ave
Milwaukee, WI 53202
Principal Occupation(s) During the Past 5 Years:
Chief Compliance Officer, the Advisor, since March 2014; Director, the Advisor, since July 2014; Senior Vice President, the Advisor (March 2014-June 2014); Chief Compliance Officer, RIAs US, BMO Financial Group (January 2013-March 2014); Chief Compliance Officer, Institutional RIAs, BMO Financial Group (March 2012-January 2013); Vice President, BMO Harris Bank, N.A. (July 2011-March 2014); Chief Compliance Officer, Taplin, Canida & Habacht, LLC (December 2008-March 2014); Chief Compliance Officer and Vice President, M&I Investment Management Corp. (June 2006-May 2012); Assistant Secretary, M&I Investment Management Corp. (April 2010-May 2012); Vice President, Marshall & Ilsley Trust Company N.A. (June 2006-August 2012).
Terrance P. Maxwell
Treasurer
Term of Office: Re-elected by Board annually
Length of Time Served: Since March 2015
Age: 55
777 East Wisconsin Ave
Milwaukee, WI 53202
Principal Occupation(s) During the Past 5 Years: Chief Financial Officer, the Advisor, since March 2015; Member of the Board of Managers, Greenhouse Funds, LP, an affiliate of the Advisor, since April 2014; Trustee, Investors Real Estate Trust, since November 2013; Director of Corporate Development and Strategic Investment, the Advisor, (May 2014-March 2015); Lecturer at University of Wisconsin-Madison (August 2006-May 2010 and August 2011-May 2014); Co-CEO of The Art Commission, LLC, an online start-up company focused on commissioned art and design, from January 2012-September 2013 and Member of the Board from January 2012-July 2015; consultant and Director of Flatirons Solutions, a portfolio company of Baird Capital Partners, (April 2011-June 2012).
Page 145
Directors & Officers
As of December 31, 2015
Interested Directors and Officers
Charles M. Weber
Secretary
Term of Office: Re-elected by Board annually
Length of Time Served: Since September 2005
Age: 52
777 East Wisconsin Avenue
Milwaukee, WI 53202
Principal Occupation(s) During the Past 5 Years: Senior Associate General Counsel, the Advisor, since January 2013; Managing Director, the Advisor since January 2009; Chief Compliance Officer and Secretary, Baird Kailash Group, LLC since July 2013; Associate General Counsel, the Advisor (July 2005-December 2012)
Peter J. Hammond
Vice President
Term of Office: Re-elected by Board annually
Length of Time Served: Since August 2012
Age: 52
777 East Wisconsin Avenue
Milwaukee, WI 53202
Principal Occupation(s) During the Past 5 Years:
Senior Vice President, the Advisor, since March 2012; Vice President, Baird Kailash Group, LLC since July 2013; Executive VP and Chief Administrative Officer, UMB Fund Services (September 1996 to March 2012)
Dustin J. Hutter
Assistant Treasurer
Term of Office: Re-elected by Board annually
Length of Time Served: Since February 2011
Age: 39
777 East Wisconsin Avenue
Milwaukee, WI 53202
Principal Occupation(s) During the Past 5 Years: Director of Finance Services, the Advisor, since August 2015; Director of Reporting and Analysis, Capital Markets Finance, the Advisor (February 2013-August 2015); Senior Vice President, the Advisor (January 2011-January 2013); Treasurer, Baird Kailash Group, LLC since July 2013; First Vice President, the Advisor (January 2008-December 2010); Vice President, the Advisor (January 2006-December 2007); Assistant Controller, the Advisor (January 2006-January 2013)
Andrew D. Ketter
Assistant Secretary
Term of Office: Re-elected by Board annually
Length of Time Served: Since February 2011
Age: 41
777 East Wisconsin Avenue
Milwaukee, WI 53202
Principal Occupation(s) During the Past 5 Years: Associate General Counsel, the Advisor, since September 2010; Director, the Advisor, since July 2014; Senior Vice President, the Advisor (January 2014-June 2014); First Vice President, the Advisor (September 2010 to December 2013); Associate, Quarles & Brady LLP, a law firm (September 2002-August 2010)
* | Mr. Nettles is considered an “interested person” of the Corporation (as defined in the 1940 Act) because of his association with the law firm, Quarles & Brady LLP, which provides legal services to the Advisor. The legal services that Quarles & Brady LLP has provided to the Advisor include litigation, real estate, trademark and miscellaneous securities related matters that did not relate to the Corporation or the Funds. The Advisor has invested in and may in the future invest in private equity funds managed by Generation Growth Capital, Inc., a company of which Mr. Nettles is affiliated, through its division, Baird Capital. |
Additional information about the Funds’ directors is available in the Statement of Additional Information which may be obtained without charge, upon request, by calling 1-866-44BAIRD, or at www.bairdfunds.com.
Page 146
Baird Funds, Inc.
Disclosure Regarding the Board of Directors’ Approval of the Investment Advisory Agreement for Baird Bond Funds
The Board of Directors (the “Board”) of Baird Funds, Inc. (the “Corporation”), including the directors who are not “interested persons” of the Corporation within the meaning of the Investment Company Act of 1940 (the “Independent Directors”), met on August 20 and August 27, 2015 to consider the annual renewal of the investment advisory agreement between Robert W. Baird & Co. Incorporated (“Baird” or the “Advisor”) and the Corporation on behalf of the Baird Ultra Short Bond, Short-Term Bond, Intermediate Bond, Quality Intermediate Municipal Bond, Aggregate Bond and Core Plus Bond Funds (collectively, the “Funds”). The Board, including the Independent Directors, approved the investment advisory agreement through a process that concluded at the August 27, 2015 meeting. In connection with its consideration of the investment advisory agreement, the Board reviewed and discussed various information that had been provided prior to the meeting, including the investment advisory agreement, a memorandum provided by legal counsel summarizing the guidelines relevant to the Board’s consideration of the renewal of the investment advisory agreement, a memorandum and other information provided in response to requests from the Board, from the Advisor (including the Advisor’s Form ADV brochure and brochure supplements, annual report and financial information), a profitability analysis, comparative information about the Funds’ performance for periods ended June 30, 2015, management fees and expense ratios, and other pertinent information.
The Board met in executive session with the Funds’ legal counsel to consider the investment advisory agreement. The Board discussed the Advisor’s 15(c) response at the August 20, 2015 meeting and discussed various questions and information with the President of the Funds at the August 20, 2015 meeting and during executive session earlier in the meeting. The Board also took into account information reviewed periodically throughout the year that was relevant to its consideration of the investment advisory agreement, including performance, management fee and other expense information and discussions with the Funds’ portfolio managers. Based on its evaluation of this information, the Board, including a majority of the Independent Directors, approved the continuation of the investment advisory agreement for an additional one-year period.
In considering the investment advisory agreement and reaching its conclusions, the Board reviewed and analyzed various factors that it determined were relevant, including the factors below. In deciding to approve the investment advisory agreement for each Fund, the Board did not identify any single factor as determinative but considered all factors together.
Nature, Extent and Quality of Services Provided to the Funds
The Board analyzed the nature, extent and quality of the services provided by the Advisor to the Funds. The Board noted the depth of the Advisor’s personnel, resources and commitment to the Funds and the experience and credentials of the portfolio management teams employed to manage the Funds’ investments. The Board considered the consistency and continuity of the portfolio management teams for the Bond Funds. The Board noted that the Funds provide an opportunity for smaller institutional and retail accounts to receive the same professional advice from the Advisor that it offers to its larger institutional clients. However, the Board noted that the provision of investment advisory services to the Funds requires more effort than it does for separately managed accounts due to daily sales and redemption activity and additional regulatory and compliance requirements. The Board considered that the Advisor has made significant investments that benefit the Funds, including research, technology, trading systems and personnel.
The Board considered the Advisor’s disciplined investment decision-making process used for the Funds. The Board also considered other services that the Advisor provides the Funds in its capacity as their investment advisor, such as making some of its key personnel available to serve as officers of the Funds, selecting broker-dealers for execution of portfolio transactions, ensuring adherence to the Funds’ investment policies and restrictions, compliance, risk management services, valuation, providing support services to the Board and the committees of the Board and overseeing the Funds’ other service providers. In addition, the Board considered
Page 147
Baird Funds, Inc.
Disclosure Regarding the Board of Directors’ Approval of the Investment Advisory Agreement for Baird Bond Funds (cont.)
that the Advisor provides administrative services to each of the Bond Funds at an annual rate of 0.05% of each Fund’s average daily net assets, and is responsible for paying each Fund’s custody, transfer agency, accounting, printing, auditing, legal and director fees and other ordinary expenses (except for advisory and 12b-1 fees and certain other costs), which has the effect of capping the Funds’ expense ratios at 0.55% and 0.30% for Investor and Institutional Class Shares, respectively. The Board also considered the strength of the Advisor’s compliance department, including the Funds’ chief compliance officer, and the fact that the Advisor has not experienced any significant legal, compliance or regulatory difficulties since the Funds were launched. The Board reviewed a summary of the Advisor’s risk management tools and process. The Board concluded that the nature, extent and quality of the services provided by the Advisor to the Funds were appropriate and that each Fund was likely to continue to benefit from services provided under the investment advisory agreement.
Investment Performance of the Advisor and the Funds
In considering the investment performance of each of the Bond Funds, the Board reviewed information as of June 30, 2015 regarding the Fund’s performance in comparison to its benchmark index and its peer groups as determined by Lipper. The Board concluded that the Ultra Short Bond Fund, the Short-Term Bond Fund, the Aggregate Bond Fund and the Core Plus Bond Funds had performed extremely well over all time periods, exceeding the returns of the respective benchmark index, and the Institutional Class shares had achieved returns in the top quartile of the Fund’s Lipper peer group. The Institutional Class shares of the Intermediate Bond Fund also exceeded the Lipper peer group average and benchmark index for all time periods, and the Investor Class shares of the Fund exceeded the peer group average and benchmark index for the three-, five-, ten-year and since inception periods. While the Quality Intermediate Municipal Bond Fund has trailed its benchmark index and Lipper peer group average over recent periods, the Board noted that the Fund’s high quality bias and emphasis on intermediate maturity holdings have detracted from relative returns and referred to the Advisor’s commentary in this regard.
The Board also considered the Advisor’s quarterly portfolio commentaries and reviews explaining the Funds’ performance, the Advisor’s consistent and disciplined investment decision process and the investment strategies it employs for the Funds. After considering all of the information, the Board concluded that, although past performance is not a guarantee of future results, each Fund and its shareholders were likely to benefit from the continued management by the Advisor.
Costs of Services Provided and Profits Realized by the Advisor
The Board examined the fee and expense information for each of the Funds, including a comparison of such information to comparable mutual funds as determined by Morningstar. The Board noted that each Fund’s advisory fee and total expense ratio (for both its Investor Class and Institutional Class Shares) were significantly lower than the average and median advisory fees and expense ratios for all mutual funds in its Morningstar category.
The Board also reviewed and considered investment management fees charged by the Advisor to other investment advisory clients and found that the fee paid by the Funds (0.25%) was less than the fee that the Advisor charges on the first $25 million (0.30%) of a separately managed account and the same as the fee that the Advisor charges on the next $25 million. The Board noted the extent of the significant additional services provided to the Funds that the Advisor did not provide in the other advisory relationships. Those services included contract administration, valuation services, oversight of the Funds’ other service providers, director support, preparation of regulatory filings, implementation of the Funds’ compliance program and various other services. The Board noted that the Advisor maintains a subadvisory arrangement with an unaffiliated fixed income mutual fund but did not consider the subadvisory fee to be a material factor given that the subadvisory services were limited to asset management.
Page 148
Baird Funds, Inc.
Disclosure Regarding the Board of Directors’ Approval of the Investment Advisory Agreement for Baird Bond Funds (cont.)
The Board considered the fees realized, and the costs incurred, by the Advisor in providing investment management services to the Funds and a profitability analysis with respect to each Fund. The Board noted the unique expense structure of the Funds whereby the Institutional Class shareholders were charged only a management fee and an administration fee, Investor Class shareholders incurred the same expenses as the Institutional Class shareholders plus a 0.25% 12b-1 fee, and the Advisor assumes almost all of the other expenses on behalf of each Fund. The Board noted that for the past fiscal year, the Advisor had incurred more in expenses under the Administration Agreement than it received in administrative fees.
The Board concluded that the profits realized by the Advisor from its relationship with the Funds were appropriate. The Board noted that the Advisor’s profitability information does not reflect certain internal resources provided by the Advisor to the Funds, such as legal and compliance support. The Board reviewed and considered the general financial condition of the Advisor and determined it to be sound. The Board also noted that all marketing and distribution fees other than the Rule 12b-1 fee payable by the Investor Class shares of the Funds were paid by the Advisor from its profits. In light of all of the information that it received and considered, the Board concluded that the management fee and total expense ratio of each Fund were reasonable.
Economies of Scale and Fee Levels Reflecting Those Economies
The Board reviewed the extent to which economies of scale may be realized as the Funds increase in size, noting that the Bond Funds have experienced strong growth in assets over recent years. The Board noted that the Funds’ advisory fee structure does not contain any breakpoint reductions as the Funds grow in size. However the Board recognized that the Advisor bears almost all of the Funds’ expenses other than management, 12b-1 and administration fees. The Board also recognized that the advisory fee rates paid by the Funds were designed to be lower than the fees otherwise charged by the Advisor to its separately managed account clients and to be comparable to the second or third breakpoint advisory fee levels paid by other comparable mutual funds. The directors concluded that the current fee structure of each Fund was reasonable.
Benefits Derived from the Relationship with the Funds
The Board considered other benefits to the Advisor from serving as advisor to the Funds (in addition to the advisory fee). The Board considered the administration fees received by the Advisor under the Administration Agreement, noting that historically the Advisor has paid more in Fund expenses under the agreement than it has received in administration fees. The Board also noted that the Distributor and its financial advisors receive 12b-1 payments for selling Investor Class shares of the Funds. The Board noted that the Advisor’s asset management business may experience indirect benefits from the Advisor’s association with the Funds. The Board concluded that the other benefits realized by the Advisor from their relationship with the Funds were appropriate.
Based on its evaluation of the above factors, as well as other factors relevant to their consideration of the investment advisory agreement, the directors, including all of the Independent Directors, concluded that the continuation of the investment advisory agreement was in the best interest of each Fund and its shareholders.
Page 149
Baird Funds, Inc.
Disclosure Regarding the Board of Directors’ Approval of the Investment Advisory Agreement for the Baird Short-Term Municipal Bond Fund and Core Intermediate Municipal Bond Fund
The Board of Directors (the “Board”) of Baird Funds, Inc. (the “Corporation”), including the Directors who are not “interested persons” of the Corporation as defined in the Investment Company Act of 1940, as amended (the “Independent Directors”), met on August 20 and August 27, 2015 to consider the approval of the investment advisory agreement between Robert W. Baird & Co. Incorporated (the “Advisor”) and the Corporation on behalf of the Baird Short-Term Municipal Bond Fund and the Baird Core Intermediate Municipal Bond Fund (the “Short-Term Muni Fund” and “Core Muni Fund”), two new portfolios of the Corporation (the “New Funds”).
The Board met with the President of the Corporation and the Funds’ portfolio management team to discuss the New Funds’ proposed investment strategies, policies, risks, fees and expenses, among other information. The Board also met separately with the Funds’ legal counsel to review and consider the information provided by the Advisor regarding the proposed investment advisory agreement for the Funds. The Board considered, among other factors, the quality and consistency of services the Advisor provides for other Funds of the Corporation. The Board reviewed and discussed various information, including the investment advisory agreement, a memorandum prepared by legal counsel summarizing the guidelines relevant to the Board’s consideration of the investment advisory agreement with respect to the Funds and the Advisor’s 15(c) response to the request for information from the Directors, including a memorandum from the Advisor. The Board also reviewed the fee that would be payable by the Funds under the advisory agreement, and comparative fee and expense information provided by an independent third party.
In considering the investment advisory agreement and reaching its conclusions, the Board reviewed and analyzed various factors that it determined were relevant, including the factors below. In deciding to approve the investment advisory agreement for the New Funds, the Board did not identify any single factor as determinative but considered all factors together.
Nature, Extent and Quality of Services to be Provided to the Funds
The Board analyzed the nature, extent and quality of the services to be provided by the Advisor to the New Funds. The Board considered the depth of the Advisor’s personnel and resources, including the experience and credentials of the portfolio management team for the New Funds. The Board considered the enhancement of the Advisor’s municipal bond capabilities with the addition of the nationally-recognized portfolio management team. The Board discussed the Advisor’s responsibilities for monitoring each Fund’s compliance with applicable requirements under the securities laws. The Board also considered other services the Advisor would provide the New Funds, such as providing compliance support and overseeing each Fund’s other service providers. The Board concluded that the nature, extent and quality of the services to be provided by the Advisor to the New Funds were appropriate and that each Fund was likely to benefit from services provided under the investment advisory agreement.
Investment Performance
Because the New Funds had not yet commenced operations, the Board did not consider any performance information with respect to the Funds. The Board noted that the Funds’ portfolio management team had managed similar strategies at a predecessor firm, including a short-term municipal bond portfolio of a registered investment company. The Board concluded that although past performance is not a guarantee of future results, each Fund and its shareholders were likely to benefit from the Advisor’s management.
Page 150
Baird Funds, Inc.
Disclosure Regarding the Board of Directors’ Approval of the Investment Advisory Agreement for the Baird Short-Term Municipal Bond Fund and Core Intermediate Municipal Bond Fund (cont.)
Costs of Services Provided and Profitability
The Board examined the proposed fee and expense information for the New Funds, including a comparison of such information to other similarly situated mutual funds as determined by Morningstar. The Board noted that each Fund’s advisory fee was well below the industry average and category median and that each Fund’s total expense ratio for both the Institutional Class and the Investor Class was also below the average and median expense ratio for all mutual funds in the Fund’s Morningstar category. The Board considered the general financial condition of the Advisor and determined it to be sound. The Board did not consider any information regarding the costs of services to be provided or the profits the Advisor might realize because the Funds had not yet commenced operations. The Board noted that under the terms of the Administration Agreement, the Advisor would pay almost all of the Funds’ expenses other than the advisory fee and, with respect to the Investor Class shares, the Rule 12b-1 fee. In light of all of the information that it received and considered, the Board concluded that the proposed management fee and total expense ratio of the Funds were reasonable.
Economies of Scale and Fee Levels Reflecting Those Economies
Because the Funds had not yet commenced operations, the Board did not consider whether any alternative fee structures, such as breakpoint fees, would be appropriate to reflect any economies of scale that may result from increases in the Funds’ assets.
Benefits to be Derived from the Relationship with the Funds
The Board considered other potential benefits to the Advisor from serving as advisor to the Funds (in addition to the advisory fee). The Board noted that the Advisor would receive fees under the proposed Administration Agreement with the Funds but was also obligated to pay most of the Fund’s expenses under the agreement. The Board considered that the Advisor’s asset management business may experience some ancillary benefits from its association with the New Funds. The Board concluded that other benefits that may be realized by the Advisor from its relationship with the Funds were appropriate.
Based on its evaluation of the above factors, as well as other factors relevant to their consideration of the investment advisory agreement, the directors, including all of the Independent Directors, concluded that the approval of the investment advisory agreement was in the best interest of each of the Short-Term Muni Fund and the Core Muni Fund.
Page 151
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.
Tax Information
The percentage of taxable ordinary income distributions that are designated as short-term capital gain distributions under Internal Revenue Section 871(k)(2)(c) for the Baird Short-Term Bond Fund, Baird Short-Term Municipal Bond Fund, Baird Intermediate Bond Fund, and Baird Core Intermediate Municipal Bond Fund were 0.22%, 56.76%, 3.35% and 66.57%, respectively.
Page 152
Baird Funds, Inc. Privacy Policy
Protecting the privacy of Fund shareholders is important to us. The following is a description of the practices and policies through which Baird Funds, Inc. protects the privacy and security of your non-public personal information.
What Information We Collect
We collect and maintain information about you so that we can open and maintain your account in the Funds and provide various services to you. We may collect and maintain the following personal information about you:
• | Information we receive from you or your financial advisor on account applications or other forms, correspondence, or conversations, such as your name, address, e-mail address, phone number, social security number, assets, income and date of birth; and | |
• | Information about your transactions with us, our affiliates, or others, such as your account number and balance, positions, activity, history, cost basis information, and other financial information. |
What Information We Disclose
We do not sell any non-public personal information about our current or former shareholders to third parties. We do not disclose any non-public personal information about our current or former shareholders to anyone, except as permitted or required by law. We are permitted by law to share any of the information we collect, as described above, with our affiliates. In addition, we may share such information with nonaffiliated third parties to the extent necessary to effect, process, administer or enforce a transaction that the shareholder requests or authorizes, in connection with maintaining or servicing the shareholder’s account, as requested by regulatory authorities or as otherwise permitted or required by law. For example, we are permitted by law to disclose all of the information we collect, as described above, to our transfer agent to process your transactions. We may also provide your name and address to third party service providers who send account statements and other Fund-related material to you.
How We Protect Your Information
We restrict access to your non-public personal information to those persons who require such information to provide products or services to you. We maintain physical, electronic, and procedural safeguards that comply with federal standards to protect the confidentiality, integrity and security of your non-public personal information.
We will continue to adhere to the privacy policies and practices in this notice even after your account is closed or becomes inactive.
In the event that you hold shares of the Fund(s) through a financial intermediary, including, but not limited to, a broker-dealer, bank, or trust company, the privacy policy of your financial intermediary would govern how your non-public personal information would be shared with nonaffiliated third parties.
Page A-1
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
Grant Thornton Tower
171 N. Clark Street, Suite 200
Chicago, IL 60601
Annual Report –
Baird Funds
December 31, 2015
Baird LargeCap Fund
Baird MidCap Fund
Baird Small/Mid Cap Value Fund
Baird SmallCap Value Fund
Go Green. | Go Paperless. |
Sign up to receive your Baird Funds’ prospectuses and reports online.
Table of Contents
Letter to Shareholders | 1 |
Baird LargeCap Fund | 2 |
Baird MidCap Fund | 17 |
Baird Small/Mid Cap Value Fund | 28 |
Baird SmallCap Value Fund | 36 |
Additional Information on Fund Expenses | 45 |
Statements of Assets and Liabilities | 47 |
Statements of Operations | 48 |
Statements of Changes in Net Assets | 49 |
Financial Highlights | 53 |
Notes to the Financial Statements | 61 |
Report of Independent Registered Public Accounting Firm | 71 |
Directors and Officers | 73 |
Disclosure Regarding the Board of Directors’ Approval of the Investment | |
Advisory and Subadvisory Agreements for Baird Equity Funds | 75 |
Disclosure Regarding the Board of Directors’ Approval | |
of the Investment Advisory Agreement | |
for the Baird Small/Mid Cap Value Fund | 79 |
Additional Information | 81 |
Privacy Notice | A-1 |
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 Funds
1-866-442-2473
www.bairdfunds.com
February 25, 2016
Dear Shareholder,
We have built the Baird Funds to be a value priced, no-load fund family that delivers institutional investment management capabilities to our fund shareholders including competitive, risk-adjusted returns over complete market cycles and outstanding service. Our portfolio management team brings extensive investment experience and has managed portfolios through multiple market cycles. This seasoned team emphasizes in-depth research and a disciplined, risk-controlled approach to meet our clients’ investment needs.
We continue to invest in the business to achieve these goals through enhancing our technology platform and hiring strong investment and business talent. In 2015 we hired the nationally recognized municipal bond team of Duane McAllister CFA, Eric Schleicher and Joe Czechowicz to expand our expertise in the municipal bond sector. After their arrival, we introduced the Baird Core Intermediate Municipal Bond Fund and Baird Short-Term Municipal Bond Fund to complement our existing Baird Quality Intermediate Municipal Bond Fund. This strong addition to our team has added immediate value and we are excited to offer our investors these additional municipal bond fund options. We will continue to build our team over time to effectively meet our investors’ needs.
Our long term success rests on being capable stewards of our investors’ assets through the implementation of our shareholder-focused strategy. We are privileged to provide you with equity investment management services and appreciate the confidence and trust you have placed in our experienced investment team.
On the following pages, we review the equity market in 2015 and the performance and composition of each of the Baird Equity Funds.
Sincerely,
Mary Ellen Stanek, CFA
President
Baird Funds
Page 1
Baird LargeCap Fund
December 31, 2015
Portfolio Managers’ Commentary
Market Commentary
The S&P 500 ended the year up 1.37% but not before subjecting investors to a roller coaster ride that saw it peak at about +4% and trough at -8%. The relatively lackluster performance of the S&P 500 hid unusual underlying dynamics with 4 stocks, popularly called the FANG stocks consisting of Facebook, Amazon, Netflix and Google, contributing over 2% to the index’s return (i.e., the index would be about -0.60% without these stocks). On a sector level, Energy was by far the worst performer in the S&P 500 index with returns around -20%. The relatively low weight of the sector in the index, however, somewhat mitigated the contribution to return and energy detracted 170 bps from the index’s performance. Materials lost about 8%, with Industrials, Utilities and Financials being the other laggards. Health Care, Telecom and Staples all generated single digit positive returns, with Discretionary generating about 10%. During 2015, we were somewhat concerned about rising investor enthusiasm for equities this late in a bull market. This anxiety is exacerbated by a number of long-run valuation models that indicate equities may be expensive. In many ways the sharp correction of over 10% we have seen in the starting weeks of 2016 could be a healthy mechanism to better align fundamentals with equity prices. Unfortunately, we have been surprised to see that while some of the exorbitantly priced firms are finally experiencing a reckoning with fundamental reality, the market has been equally willing to assume the worst for even the market’s least expensive firms. We believe there is a bit of a “baby with the bathwater” syndrome underway and feel the opportunity set for a patient investor has rarely been as ripe as it is now.
Another feature that deserves some commentary is the steady re-rating (multiple expansion) of firms in the Staples sector. These firms form the bulwark of what is popularly known as low volatility strategies. In the last few years, these strategies have been sold in large quantities by almost every investment manager, including through ETFs, resulting in these firms trading at historically high multiples. While these firms have historically provided protection during cyclical downturns, their efficacy in the next downturn remains to be seen given their high current valuations.
The Baird LargeCap Fund underperformed the benchmark by 5.32% in 2015. Much of this underperformance occurred in the last four months of the year. However, we believe 2015 sends a message about focusing on the long-term and the importance of process in large-cap stock selection.
Investment Process
We are fundamental investors who look for firms whose growth is either mispriced or misunderstood, or firms of reasonable quality which suffer from unduly pessimistic market sentiment. These proclivities brought nothing but more relative pain in the latter half of the year as high growth firms experienced a stunning re-rating while more reasonably valued firms experienced a more modest but nonetheless significant simultaneous de-rating (multiple contraction). During periods when fear grips the markets, the horizon over which markets evaluate firms seems to shrink. Markets seem to focus more on short-term earnings and fail to fully recognize the long-term prospects for these firms, resulting in investors overreacting to any negative news. This can be partly explained by the myopia that pervades through all levels of the market structure. From the manager of a firm and the fund manager who invests in that firm, to the asset allocator who allocates resources to the fund, the pressure on short-term performance is intense. Real time access to performance data at all levels of the chain further exacerbates this pressure. This results in actions that are optimal from a survival standpoint but suboptimal from a long-term returns perspective. There is pressure to “hug” the bench during periods of underperformance, resulting in investors fleeing the very stocks they should be buying in periods of pain. The only way to break this chain is to focus on the long-term and to have a process. It is this overreaction during periods of fear that creates opportunities for long-term investors like us.
During the year, the emergence and rationale for our strategy’s notable value tilt, the bifurcation of high growth firms from the rest of the market, and our underweight position in growth stocks have hampered overall relative performance. The strategy’s disappointing results can be told in one simple concept:
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Baird LargeCap Fund
December 31, 2015
inexpensive firms (i.e. the companies comprising the Russell 1000 Value Index) de-rated and now are trading at over a 1 standard-deviation of cheapness below the S&P 500 (based on the free cash flow to enterprise value spread) while growth stocks (represented by the Russell 1000 Growth Index) experienced a stunning re-rating and now trade at nearly a 3-standard deviation premium to the S&P 500 (based on the free cash flow to enterprise value spread) for a ~4 sigma spread. We note that only at the depths of the 2008/2009 market crash has the value/growth divergence been wider.
We can see that recent events were as sudden as they were dramatic. This obviously had a meaningful negative impact on the strategy’s relative returns. While this has made recent months (and the start of 2016) fairly unpleasant, we believe that there are limits to all trends and that this one may be rapidly coming to a head if not already ripe for a reversal.
Capitalizing on an Unfavorable Environment for Commodities: Energy
The price of oil epitomizes a concept that we discussed in our last year-end commentary: the impossibility of accurately forecasting market direction. The price of oil witnessed a sustained decline from its peak in mid-2014 of over $100 down to prices in the $25-$30 range by the end of 2015. This resulted in a significant decline in the value of firms in the Energy space. That said, one group of firms in this sector remained unaffected by the strong negative fundamentals buffeting this space. While price of oil was declining, refiners continued to enjoy strong profits and margins. Unlike previous cycles, these firms have become excellent stewards of capital. Instead of recklessly wasting capital and resources during profitable times, these firms have focused on capital expenditures aimed at enhancing efficiency and thoughtful capacity expansion. Valero is an excellent example of an oil refiner who has taken full advantage of high margins.
Suffering from the Perception that Old is not Gold: Technology
The Fund was particularly hard hit in the Technology sector. The general theme that gained popularity in 2015 was that Old Tech companies (which were the high flyers in the previous bubble of 1999) were boring and headed for the graveyard. Two themes in particular stood out: the imminent demise of the PC and the rise of the Cloud. Seagate and Oracle were examples of firms that were the victims of these themes.
Seagate, a maker of hard disk drives (HDDs), had a very difficult year with the firm losing more than half its market capitalization in 2015. Detractors believe that HDDs are a thing of the past and will be replaced by solid state drives (SSDs). While it is true that SSDs are faster and more energy efficient than HDDs, the HDDs have intrinsic advantages and are evolving to compete effectively. The introduction of helium filled drives, higher HDD capacities, unlimited offline storage time and cost differences make HDDs effective in cloud usage. Given these facts, we believe that the pessimism has been overdone.
Oracle, the high-flyer of yesteryear, found itself to be an underdog in 2015 at the hands of Salesforce.com and Workday. The Cloud became the buzzword and firms that had anything to do with the Cloud were rewarded irrespective of profitability or potential profitability. All that mattered was revenue growth. Salesforce had total returns of over 30% in 2015 compared with Oracle’s -18%, even though Oracle is growing its Cloud business and doing so profitably while Salesforce and Workday are yet to be profitable and trading at market capitalizations of about $50 billion and $15 billion, respectively.
In a nutshell, Old Tech can do nothing right and New Tech can do nothing wrong. This pattern, reminiscent of 1999, usually ends in trouble for the owners of the unprofitable story firms. As in the past, the euphoria will pass. Cash is king and will always ultimately garner the respect it deserves. However, until that reckoning happens, the owners of boring cash generating Old Tech firms will have to suffer the pain that comes with being part of something that is currently out of favor.
Price of Omission: Consumer Discretionary
Amazon is another firm that has benefited greatly from the focus on the Cloud. Over the years, Amazon has been the beneficiary of extreme and extraordinary patience on the part of investors. Its profligacy has not only not been punished but has actually been rewarded, all in the hope that one day, investors patience will pay off.
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Baird LargeCap Fund
December 31, 2015
Amazon saw an amazing 117% increase in stock price in 2015, which translates to approximately a $170 billion increase in market capitalization in one year (from $140 billion to $310 billion). This was primarily driven by the fact that investors were excited that Amazon finally eked out meager profits ($73 million in Q3 of 2015) and that Amazon Web Services which has revenues $2 billion in Q3 will grow rapidly and generate profits. At the same time Walmart, which has nearly five times Amazon’s revenues and generates over $15 billion in profit, saw its stock price cut by about -25% to about $190 billion. However, Amazon’s lack of focus on being profitable does not seem to end. Its potential foray into brick and mortar book stores and logistics raises the question of whether and when it will turn a profit. Will investors stop buying the story and start selling on the facts? We think they will.
Discussion of Fund’s Performance in 2015
In 2015, the Baird LargeCap Fund generated a total return of -3.94% compared to a 1.38% return for the S&P 500 index, the Fund’s benchmark. Below we discuss sectors and companies that were key contributors and detractors from the Fund’s performance relative to the S&P 500.
Key Contributors To Relative Returns:
o | Energy as a sector dropped approximately 20%. The Fund benefited from being underweight the sector and also from strong stock selection within the sector. Significant overweights in refiners Valero Energy and Marathon Petroleum added the most to the Fund’s relative returns as the group continues to benefit from excellent capital allocation and management decisions. |
o | Materials also helped the Fund’s returns with stock selection being the primary contributor. While LyondellBasell put in a strong showing the Fund was hurt by its overweight in this sector which trailed the benchmark. |
Key Detractors From Relative Returns:
o | Information Technology was the biggest detractor to Fund performance. The Fund was slightly overweight this sector, which underperformed the benchmark. This underperformance plagued the Fund throughout the year and was primarily attributable both to the positions we owned and those we did not own. Among positions we owned, Sandisk and Seagate were two of the biggest detractors, while among the stocks we did not own, Facebook and Google, which were up over 30% in the year, were the biggest detractors. |
o | Despite being neutral the Consumer Discretionary sector, this group detracted from the Fund’s performance. The biggest detractor in this sector was Amazon, in which the Fund did not have a position. Amazon had returns of over 100% during the year. Being underweight such a large position in the index with such strong performance had a significant effect on Fund performance. Among stocks we owned, Harley Davidson was the biggest detractor while Expedia contributed the most to the sector. |
o | Despite being neutral the sector, Financials dragged results down as our holdings were down 4.93% compared to the S&P 500 Financial sector, which was down 1.98%. Our positions in credit card companies (American Express and Discover) combined with a weak showing from our asset managers led to negative returns in the group. |
Conclusion
As the second year of managing the LargeCap Fund comes to a close, we would like to thank every one of our investors for your faith in us. We understand that a new manager represents an unknown and are deeply grateful for your support. My money is invested alongside yours in the belief that it is not just common sense that a fund manager “eat his/her own cooking” but that it also provides a healthy dose of professional alignment. While there are many products that attempt to time markets or sectors, we believe these behaviors are more destructive in the long term than finding the under-appreciated growth firms and inexpensive value opportunities that are a part of our strategy. By maintaining a balanced approach and systematic process to stock selection, we hope to minimize our own (and hopefully our investors’!) behavioral errors. We believe this
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Baird LargeCap Fund
December 31, 2015
is the key to compounding wealth at better than market rates. We understand that track records are built over years and that even the best managers will experience challenging moments. That said, we would like to make it clear that in our view, the investors in the Fund are not just our customers, rather they are our partners.
Thank you for your support.
Sincerely,
Matt Malgari
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Baird LargeCap Fund
December 31, 2015
Portfolio Characteristics
A December 31, 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** | ||
Amgen, Inc. | 3.0% | ||
American Express Co. | 2.6% | ||
Waters Corp. | 2.6% | ||
Apple, Inc. | 2.5% | ||
Oracle Corp. | 2.2% | ||
PepsiCo, Inc. | 2.2% | ||
Caterpillar, Inc. | 2.2% | ||
Ameriprise Financial, Inc. | 2.1% | ||
Microsoft Corp. | 2.1% | ||
Intel Corp. | 2.1% | ||
Net Assets: | $36,250,971 | ||
Portfolio Turnover Rate: | 86.5% | ||
Number of Equity Holdings: | 107 | ||
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 December 31, 2015. | |
** | Percentages shown in parentheses relate to the Fund’s total market value of investments as of December 31, 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, 2017. | |
**** | Includes 0.25% 12b-1 fee. |
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Baird LargeCap Fund
December 31, 2015 (Unaudited)
Institutional Class
Value of a $25,000 Investment
Growth of a hypothetical investment of $25,000 made on the Fund’s inception date (9/29/00), assuming reinvestment of all distributions.
Investor Class
Value of a $10,000 Investment
Growth of a hypothetical investment of $10,000 made on the Fund’s inception date (9/29/00), assuming reinvestment of all distributions.
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Baird LargeCap Fund
December 31, 2015 (Unaudited)
Total Returns
Average Annual | ||||
Since | ||||
For the Periods Ended December 31, 2015 | One Year | Five Years | Ten Years | Inception(1) |
Institutional Class Shares | -3.94% | 10.24% | 5.91% | 2.75% |
Investor Class Shares | -4.18% | 9.97% | 5.66% | 2.50% |
S&P 500® Index(2) | 1.38% | 12.57% | 7.31% | 4.36% |
(1) | For the period from September 29, 2000 (inception date) through December 31, 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 and line graphs on the previous page 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.
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Baird LargeCap Fund
Schedule of Investments, December 31, 2015
Common Stocks
% of | ||||||||||||
Shares | Value | Net Assets | ||||||||||
Aerospace & Defense | ||||||||||||
The Boeing Co. | 3,354 | $ | 484,955 | 1.4 | % | |||||||
General Dynamics Corp. | 1,812 | 248,896 | 0.7 | % | ||||||||
Spirit AeroSystems Holdings, Inc. – Class A* | 3,153 | 157,871 | 0.4 | % | ||||||||
891,722 | 2.5 | % | ||||||||||
Airlines | ||||||||||||
Alaska Air Group, Inc. | 8,289 | 667,347 | 1.8 | % | ||||||||
American Airlines Group, Inc. | 1,674 | 70,894 | 0.2 | % | ||||||||
United Continental Holdings, Inc.* | 1,299 | 74,433 | 0.2 | % | ||||||||
812,674 | 2.2 | % | ||||||||||
Auto Components | ||||||||||||
Delphi Automotive PLC f | 4,067 | 348,664 | 1.0 | % | ||||||||
Lear Corp. | 2,085 | 256,100 | 0.7 | % | ||||||||
604,764 | 1.7 | % | ||||||||||
Automobiles | ||||||||||||
Ford Motor Co. | 28,249 | 398,028 | 1.1 | % | ||||||||
Harley-Davidson, Inc. | 10,895 | 494,524 | 1.4 | % | ||||||||
892,552 | 2.5 | % | ||||||||||
Banks | ||||||||||||
Wells Fargo & Co. | 7,309 | 397,317 | 1.1 | % | ||||||||
Beverages | ||||||||||||
The Coca-Cola Co. | 9,676 | 415,681 | 1.1 | % | ||||||||
Coca-Cola Enterprises, Inc. | 3,535 | 174,064 | 0.5 | % | ||||||||
Dr Pepper Snapple Group, Inc. | 1,156 | 107,739 | 0.3 | % | ||||||||
PepsiCo, Inc. | 7,936 | 792,965 | 2.2 | % | ||||||||
1,490,449 | 4.1 | % | ||||||||||
Biotechnology | ||||||||||||
AbbVie, Inc. | 12,058 | 714,316 | 2.0 | % | ||||||||
Amgen, Inc. | 6,750 | 1,095,727 | 3.0 | % | ||||||||
Biogen, Inc.* | 491 | 150,418 | 0.4 | % | ||||||||
Celgene Corp.* | 4,592 | 549,938 | 1.5 | % | ||||||||
United Therapeutics Corp.* | 982 | 153,791 | 0.4 | % | ||||||||
2,664,190 | 7.3 | % | ||||||||||
Building Products | ||||||||||||
Masco Corp. | 10,475 | 296,443 | 0.8 | % | ||||||||
Capital Markets | ||||||||||||
Ameriprise Financial, Inc. | 7,251 | 771,651 | 2.1 | % | ||||||||
The Blackstone Group LP | 18,295 | 534,946 | 1.5 | % | ||||||||
SEI Investments Co. | 13,143 | 688,693 | 1.9 | % | ||||||||
1,995,290 | 5.5 | % |
The accompanying notes are an integral part of these financial statements.
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Baird LargeCap Fund
Schedule of Investments, December 31, 2015
Common Stocks (cont.)
% of | ||||||||||||
Shares | Value | Net Assets | ||||||||||
Chemicals | ||||||||||||
Celanese Corp. – Series A | 2,865 | $ | 192,901 | 0.5 | % | |||||||
CF Industries Holdings, Inc. | 13,025 | 531,550 | 1.5 | % | ||||||||
LyondellBasell Industries NV – Class A f | 6,962 | 604,998 | 1.7 | % | ||||||||
Monsanto Company | 864 | 85,121 | 0.2 | % | ||||||||
The Mosaic Co. | 2,488 | 68,644 | 0.2 | % | ||||||||
Westlake Chemical Corp. | 1,485 | 80,665 | 0.2 | % | ||||||||
1,563,879 | 4.3 | % | ||||||||||
Communications Equipment | ||||||||||||
F5 Networks, Inc.* | 2,000 | 193,920 | 0.5 | % | ||||||||
Consumer Finance | ||||||||||||
American Express Co. | 13,421 | 933,431 | 2.6 | % | ||||||||
Discover Financial Services | 8,396 | 450,194 | 1.2 | % | ||||||||
Synchrony Financial* | 25,050 | 761,770 | 2.1 | % | ||||||||
2,145,395 | 5.9 | % | ||||||||||
Containers & Packaging | ||||||||||||
Ball Corp. | 1,333 | 96,949 | 0.3 | % | ||||||||
Crown Holdings, Inc.* | 3,073 | 155,801 | 0.4 | % | ||||||||
Sealed Air Corp. | 1,757 | 78,362 | 0.2 | % | ||||||||
331,112 | 0.9 | % | ||||||||||
Diversified Financial Services | ||||||||||||
Moody’s Corp. | 2,596 | 260,483 | 0.7 | % | ||||||||
Diversified Telecommunication Services | ||||||||||||
CenturyLink, Inc. | 1,078 | 27,123 | 0.1 | % | ||||||||
Electric Utilities | ||||||||||||
Entergy Corp. | 1,042 | 71,231 | 0.2 | % | ||||||||
Electrical Equipment | ||||||||||||
Rockwell Automation, Inc. | 3,681 | 377,707 | 1.0 | % | ||||||||
Electronic Equipment, Instruments & Components | ||||||||||||
Corning, Inc. | 18,808 | 343,810 | 0.9 | % | ||||||||
Energy Equipment & Services | ||||||||||||
FMC Technologies, Inc.* | 4,693 | 136,144 | 0.4 | % | ||||||||
Food & Staples Retailing | ||||||||||||
The Kroger Co. | 4,424 | 185,056 | 0.5 | % | ||||||||
Rite Aid Corp.* | 8,115 | 63,622 | 0.2 | % | ||||||||
248,678 | 0.7 | % |
The accompanying notes are an integral part of these financial statements.
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Baird LargeCap Fund
Schedule of Investments, December 31, 2015
Common Stocks (cont.)
% of | ||||||||||||
Shares | Value | Net Assets | ||||||||||
Food Products | ||||||||||||
Archer-Daniels-Midland Co. | 5,159 | $ | 189,232 | 0.5 | % | |||||||
Bunge Ltd. f | 805 | 54,966 | 0.2 | % | ||||||||
Campbell Soup Company | 1,586 | 83,344 | 0.2 | % | ||||||||
Ingredion, Inc. | 2,517 | 241,229 | 0.7 | % | ||||||||
568,771 | 1.6 | % | ||||||||||
Health Care Equipment & Supplies | ||||||||||||
Becton, Dickson & Co. | 2,251 | 346,857 | 1.0 | % | ||||||||
C.R. Bard, Inc. | 958 | 181,483 | 0.5 | % | ||||||||
Medtronic PLC f | 4,449 | 342,217 | 0.9 | % | ||||||||
St. Jude Medical, Inc. | 3,645 | 225,152 | 0.6 | % | ||||||||
1,095,709 | 3.0 | % | ||||||||||
Health Care Providers & Services | ||||||||||||
Anthem, Inc. | 1,840 | 256,570 | 0.7 | % | ||||||||
Centene Corp.* | 3,525 | 231,980 | 0.6 | % | ||||||||
488,550 | 1.3 | % | ||||||||||
Hotels, Restaurants & Leisure | ||||||||||||
Wyndham Worldwide Corp. | 8,952 | 650,363 | 1.8 | % | ||||||||
Household Products | ||||||||||||
The Clorox Co. | 762 | 96,644 | 0.3 | % | ||||||||
Independent Power and Renewable Electricity Producers | ||||||||||||
Calpine Corp.* | 1,946 | 28,159 | 0.1 | % | ||||||||
Insurance | ||||||||||||
Aflac, Inc. | 5,277 | 316,092 | 0.9 | % | ||||||||
The Hartford Financial Services Group, Inc. | 2,123 | 92,266 | 0.2 | % | ||||||||
The Progressive Corp. | 22,454 | 714,037 | 2.0 | % | ||||||||
The Travelers Companies, Inc. | 820 | 92,545 | 0.3 | % | ||||||||
1,214,940 | 3.4 | % | ||||||||||
Internet & Catalog Retail | ||||||||||||
Expedia, Inc. | 4,920 | 611,556 | 1.7 | % | ||||||||
Internet Software & Services | ||||||||||||
Alphabet, Inc. – Class C* | 553 | 419,661 | 1.2 | % | ||||||||
IT Services | ||||||||||||
Amdocs Ltd. f | 1,594 | 86,985 | 0.2 | % | ||||||||
Global Payments, Inc. | 3,727 | 240,429 | 0.7 | % | ||||||||
MasterCard, Inc. – Class A | 2,114 | 205,819 | 0.6 | % | ||||||||
Visa, Inc. – Class A | 4,141 | 321,134 | 0.9 | % | ||||||||
The Western Union Co. | 40,941 | 733,253 | 2.0 | % | ||||||||
1,587,620 | 4.4 | % |
The accompanying notes are an integral part of these financial statements.
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Baird LargeCap Fund
Schedule of Investments, December 31, 2015
Common Stocks (cont.)
% of | ||||||||||||
Shares | Value | Net Assets | ||||||||||
Leisure Products | ||||||||||||
Hasbro, Inc. | 7,866 | $ | 529,854 | 1.5 | % | |||||||
Life Sciences Tools & Services | ||||||||||||
Waters Corp.* | 6,904 | 929,140 | 2.6 | % | ||||||||
Machinery | ||||||||||||
Caterpillar, Inc. | 11,547 | 784,734 | 2.2 | % | ||||||||
Deere & Co. | 8,329 | 635,253 | 1.7 | % | ||||||||
1,419,987 | 3.9 | % | ||||||||||
Media | ||||||||||||
DISH Network Corp. – Class A* | 2,143 | 122,537 | 0.3 | % | ||||||||
Omnicom Group, Inc. | 6,546 | 495,270 | 1.4 | % | ||||||||
Scripps Networks Interactive, Inc. – Class A | 4,374 | 241,489 | 0.7 | % | ||||||||
859,296 | 2.4 | % | ||||||||||
Multiline Retail | ||||||||||||
Kohl’s Corp. | 1,378 | 65,634 | 0.2 | % | ||||||||
Macy’s, Inc. | 1,955 | 68,386 | 0.2 | % | ||||||||
134,020 | 0.4 | % | ||||||||||
Oil, Gas & Consumable Fuels | ||||||||||||
Chevron Corp. | 893 | 80,334 | 0.2 | % | ||||||||
Exxon Mobil Corp. | 3,274 | 255,209 | 0.7 | % | ||||||||
Marathon Petroleum Corp. | 8,820 | 457,229 | 1.3 | % | ||||||||
Tesoro Corp. | 2,269 | 239,085 | 0.7 | % | ||||||||
Valero Energy Corp. | 6,875 | 486,131 | 1.3 | % | ||||||||
1,517,988 | 4.2 | % | ||||||||||
Personal Products | ||||||||||||
Coty, Inc. | 5,983 | 153,344 | 0.4 | % | ||||||||
Pharmaceuticals | ||||||||||||
Johnson & Johnson | 1,529 | 157,059 | 0.4 | % | ||||||||
Merck & Co., Inc. | 8,528 | 450,449 | 1.2 | % | ||||||||
Pfizer, Inc. | 19,555 | 631,235 | 1.8 | % | ||||||||
1,238,743 | 3.4 | % | ||||||||||
Semiconductors & Semiconductor Equipment | ||||||||||||
Intel Corp. | 22,176 | 763,963 | 2.1 | % | ||||||||
Microchip Technology, Inc. | 5,725 | 266,441 | 0.7 | % | ||||||||
NVIDIA Corporation | 2,431 | 80,126 | 0.2 | % | ||||||||
NXP Semiconductors NV* f | 6,958 | 586,212 | 1.6 | % | ||||||||
Xilinx, Inc. | 12,899 | 605,866 | 1.7 | % | ||||||||
2,302,608 | 6.3 | % |
The accompanying notes are an integral part of these financial statements.
Page 12
Baird LargeCap Fund
Schedule of Investments, December 31, 2015
Common Stocks (cont.)
% of | ||||||||||||
Shares | Value | Net Assets | ||||||||||
Software | ||||||||||||
Cadence Design System, Inc.* | 7,111 | $ | 147,980 | 0.4 | % | |||||||
Citrix Systems, Inc.* | 1,024 | 77,466 | 0.2 | % | ||||||||
Electronic Arts, Inc.* | 5,860 | 402,699 | 1.1 | % | ||||||||
Microsoft Corp. | 13,901 | 771,227 | 2.1 | % | ||||||||
Oracle Corp. | 21,776 | 795,477 | 2.2 | % | ||||||||
2,194,849 | 6.0 | % | ||||||||||
Specialty Retail | ||||||||||||
L Brands, Inc. | 1,759 | 168,548 | 0.4 | % | ||||||||
Lowe’s Companies, Inc. | 1,230 | 93,529 | 0.3 | % | ||||||||
262,077 | 0.7 | % | ||||||||||
Technology Hardware, Storage & Peripherals | ||||||||||||
Apple, Inc. | 8,477 | 892,289 | 2.5 | % | ||||||||
Hewlett Packard Enterprise Co. | 11,324 | 172,125 | 0.5 | % | ||||||||
HP, Inc. | 11,388 | 134,834 | 0.4 | % | ||||||||
NetApp, Inc. | 6,082 | 161,355 | 0.4 | % | ||||||||
Seagate Technology PLC f | 17,428 | 638,910 | 1.8 | % | ||||||||
Western Digital Corp. | 851 | 51,103 | 0.1 | % | ||||||||
2,050,616 | 5.7 | % | ||||||||||
Total Common Stocks | ||||||||||||
(Cost $35,228,573) | 36,099,378 | 99.6 | % | |||||||||
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 | % |
The accompanying notes are an integral part of these financial statements.
Page 13
Baird LargeCap Fund
Schedule of Investments, December 31, 2015
Short-Term Investment
% of | ||||||||||||
Shares | Value | Net Assets | ||||||||||
Money Market Mutual Fund | ||||||||||||
Short-Term Investments Trust – | ||||||||||||
Liquid Assets Portfolio, 0.29%« | 155,944 | $ | 155,944 | 0.4 | % | |||||||
Total Short-Term Investment | ||||||||||||
(Cost $155,944) | 155,944 | 0.4 | % | |||||||||
Total Investments | ||||||||||||
(Cost $35,384,517) | 36,257,679 | 100.0 | % | |||||||||
Liabilities in Excess of Other Assets | (6,708 | ) | 0.0 | % | ||||||||
TOTAL NET ASSETS | $ | 36,250,971 | 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 14
Baird LargeCap Fund
Schedule of Investments, December 31, 2015
Summary of Fair Value Exposure at December 31, 2015
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 Fund’s 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 December 31, 2015:
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Equity | ||||||||||||||||
Common Stocks | $ | 36,099,378 | $ | — | $ | — | $ | 36,099,378 | ||||||||
Total Equity | 36,099,378 | — | — | 36,099,378 | ||||||||||||
Contingent Value Rights | ||||||||||||||||
Contingent Value Rights | — | — | 2,357 | 2,357 | ||||||||||||
Total Contingent Value Rights | — | — | 2,357 | 2,357 | ||||||||||||
Short-Term Investment | ||||||||||||||||
Money Market Mutual Fund | 155,944 | — | — | 155,944 | ||||||||||||
Total Short-Term Investment | 155,944 | — | — | 155,944 | ||||||||||||
Total Investments* | $ | 36,255,322 | $ | — | $ | 2,357 | $ | 36,257,679 |
* | 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 15
Baird LargeCap Fund
Schedule of Investments, December 31, 2015
Summary of Fair Value Exposure at December 31, 2015 (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 Fund’s Valuation Committee instead of the Fund’s pricing vendor in accordance with the Fund’s policies and procedures and 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. See the Fund’s valuation policy in Note 2a to the financial statements. 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 December 31, 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 16
Baird MidCap Fund
December 31, 2015
2015 Economic and Stock Market Commentary
U.S. equity markets absorbed two meaningful bouts of downward volatility, first in the late summer and then again in fall, managing to finish the year modestly higher. Certainly, a notable event during 2015 was the 25 basis point increase in the Fed funds rate by the Federal Reserve which came in December, several months later than originally expected, and nearly a decade since the last interest rate hike by the Fed. The broad-based S&P 500 index advanced 1.38% for the year, while the Dow Jones Industrial Average inched higher by 0.21%. Market returns were influenced by size as larger companies tended to fare better. For the year, the Russell 1000® Growth Index rose 5.67%, the Russell Midcap Growth® Index moderated by -0.20%, and the Russell 2000® Value Index fell 7.47%.
Sector performance within the broad S&P 500 index reflected the health of broad end markets as Consumer Discretionary along with Staples were relatively strong, and Healthcare and Technology also outperformed. The Energy sector, taking its cue from the price of oil, declined the most, and the Materials, Industrials, Utilities, and Financials sectors also underperformed.
As the year progressed, questions about the sustainability of domestic growth increased as weakness in China and a malaise in industrial activity were at work. The global inflation picture remained benign and oil prices captured much attention as a sustained rebound in prices never materialized and the per barrel price dropped meaningfully by year end.
Economic Outlook
We begin 2016 much as we did a year ago – concerned about the pace of U.S. economic growth, a possible Chinese recession, energy prices, corporate profits, etc. When we layer in questions regarding the future path for interest rates, the November presidential election and uncertain earnings growth in 2016, it is quite easy to paint a challenging backdrop for the market. Recognizing higher uncertainty and potential risks, we have positioned the Fund to be more defensive than in prior years.
There are, however, both bright spots and potential changes that require a balanced view towards the equity markets. Employment trends and, importantly, wages continue to rise, while energy costs fall, establishing a solid starting point for the consumer-driven part of the economy. Record levels of merger and acquisition activity reflect business confidence, and both residential and non-residential construction markets are progressing. There is anecdotal evidence that Europe is finding its economic footing. Additionally, the Chinese central bank and government have become more aggressive in fighting the slowdown in their economy which, if successful, should reduce a significant market overhang. We will adjust the Fund’s positioning as our fundamental work on companies dictates.
Portfolio Managers’ Commentary
For the year ended December 31, 2015, the Baird MidCap Fund Institutional Class posted a total return of -3.59% (-3.80% for the Investor Class), as compared to -0.20% for the Russell MidCap® Growth Index, the MidCap Fund’s benchmark index.
Shareholders of the Baird MidCap Fund experienced performance that tracked a bit ahead of the primary benchmark through the first three quarters of the year, but sharp negative price action in a handful of long-held stocks hurt performance in the fourth quarter and put a damper on relative performance for the year.
The Fund’s sector weights remained relatively balanced compared to its benchmark during 2015. However, as the year progressed, it became increasingly apparent that global economies were being pressured by low commodity prices, weak end markets and slowing earnings growth. As a result, adjustments were made within the Fund to reduce cyclicality, namely lowering weight in manufacturing-related companies, energy and, in some cases, businesses with outsized foreign exposure. Additionally, the Fund’s exposure to the Consumer Discretionary sector was moderated, following several years of meaningful gains and higher valuations. This harvesting of gains continues to be an important part of our long-term investment strategy of balancing risk
Page 17
Baird MidCap Fund
December 31, 2015
and reward. Those gains were invested into less cyclical, mostly domestic businesses that possess the return profile and balance sheet standards we admire.
Stocks in the basic Materials sector provided the strongest positive contribution to relative performance during the year. Holding companies with exposure to construction activity proved beneficial as fundamentals remained strong. In addition, consolidation within the industrial gas supply industry aided the Fund. The general avoidance of pure commodity-oriented business models in this sector also helped relative performance.
The Fund’s technology holdings made a solid contribution to relative performance. Stock selection across the software and services industry helped Fund holdings significantly outpace the industry. In addition, holdings in the semiconductor area delivered positive absolute returns in contrast to a modest decline for the industry as a whole. The combined strength from key areas described above was able to offset weakness exhibited by the Fund’s holding in the three dimensional printing industry, exposure that was eliminated when we determined end market growth was likely impaired. The Fund remains in a modest overweight position with good end market diversification. Despite the sluggish economic environment, we believe the sector offers plenty of good secular growth opportunities.
Producer durable holdings fought off several macro-related headwinds and performed in-line with the benchmark returns. Reflecting the challenging macro growth environment, the services-related companies in this sector fared better than businesses exposed to transportation, manufacturing, or other more cyclical industries.
Fund holdings in the Healthcare sector underperformed meaningfully. Performance from the pharmaceutical industry suffered as Fund holdings experienced price declines amid an industry advance. In addition, the Fund’s exposure in the healthcare services industry did not distinguish itself during a general pullback in the sector occurring in the second half of the year. Our overall strategy of investing to obtain exposure to multiple end markets and working to identify companies down the market cap spectrum that provide long growth opportunities did not work. Certainly, mistakes were made, but our focus on company profitability has limited the opportunity set in this sector as the strongest performance was often found in many higher risk, less profitable biotech and pharmaceutical companies. We do not plan to compromise key tenets of our investment philosophy and will continue to seek attractive growth businesses.
The Fund’s Energy stocks detracted from relative performance. Fund performance was hurt on a relative basis by a modest overweight amid significant stock price declines. During the course of the year, we lowered the Fund’s exposure to the sector based on fundamental growth challenges and a reduction in benchmark weight. The Fund’s exposure to the sector at year end was modest, represented by a single company focused on oil and gas production.
In the Consumer Staples sector, performance of the Fund’s holdings fell short of corresponding benchmark sector returns. Like last year, overall returns from the staples sector significantly outpaced the market. Fund performance was negatively impacted by exposure to weakness in the grocery industry and a related distribution company. While we introduced exposure to the beverage industry in the second half, the Fund’s relatively lower exposure to this well-performing industry compared to its benchmark created a performance drag.
The Consumer Discretionary sector provided a favorable contribution to relative performance. Key strength came from holdings touching several industries including housing, automotive parts retail, apparel, and toys and entertainment. We believe the outlook for consumer spending remains favorable due to continued job growth, signs of wage inflation, and low energy costs. However, mindful of the meaningful duration of outperformance among key industries in the sector, we took a fair amount of weight out of the sector during the course of the year, trimming several holdings, particularly in specialty retail, and finished the year underweight.
The Fund’s financial services holdings were a drag on relative performance during the year. The volatile market environment kept long interest rates low, despite action by the Fed, which enabled REITs to continue
Page 18
Baird MidCap Fund
December 31, 2015
their advance; REITs comprised approximately 20% of the financial services sector weight, but none in the Fund. In addition, performance from the Fund’s asset manager holdings detracted from performance due to choppy markets and a tougher fund flow environment. Changes made to the Fund’s exposure to the Financials sector included lifting the Fund weight in the financial and data processing industry.
The investment process underlying the Baird MidCap Fund remains focused on identifying high-quality companies that deliver attractive returns and above average growth relative to peers. Seeking to control risk at the sector and position level is also a priority of our process, with the goal of providing lower volatility of returns for the Fund compared to its benchmark index.
Portfolio Managers:
Charles F. Severson
Kenneth M. Hemauer
Page 19
Baird MidCap Fund
December 31, 2015 (Unaudited)
Portfolio Characteristics
A December 31, 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** | ||
Fiserv, Inc. | 3.3% | ||
Stericycle, Inc. | 2.9% | ||
LKQ Corp. | 2.7% | ||
Genpact Ltd. | 2.6% | ||
Alliance Data Systems Corp. | 2.6% | ||
Perrigo Co. PLC | 2.5% | ||
Fortune Brands Home & Security, Inc. | 2.5% | ||
Hasbro, Inc. | 2.5% | ||
Gartner, Inc. | 2.4% | ||
Church & Dwight Co., Inc. | 2.3% | ||
Net Assets: | $1,219,125,331 | ||
Portfolio Turnover Rate: | 52.8% | ||
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 December 31, 2015. | |
** | Percentages shown in parentheses relate to the Fund’s total market value of investments as of December 31, 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, 2017. | |
**** | Includes 0.25% 12b-1 fee. |
Page 20
Baird MidCap Fund
December 31, 2015 (Unaudited)
Institutional Class
Value of a $25,000 Investment
Growth of a hypothetical investment of $25,000 made on the Fund’s inception date (12/29/00), assuming reinvestment of all distributions.
Investor Class
Value of a $10,000 Investment
Growth of a hypothetical investment of $10,000 made on the Fund’s inception date (12/29/00), assuming reinvestment of all distributions.
Page 21
Baird MidCap Fund
December 31, 2015 (Unaudited)
Total Returns
Average Annual | ||||
Since | ||||
For the Periods Ended December 31, 2015 | One Year | Five Years | Ten Years | Inception(1) |
Institutional Class Shares | -3.59% | 10.48% | 8.03% | 6.29% |
Investor Class Shares | -3.80% | 10.22% | 7.78% | 6.05% |
Russell MidCap® Growth Index(2) | -0.20% | 11.54% | 8.16% | 5.66% |
(1) | For the period from December 29, 2000 (inception date) through December 31, 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 and the line graphs on the previous page 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 22
Baird MidCap Fund
Schedule of Investments, December 31, 2015
Common Stocks
% of | ||||||||||||
Shares | Value | Net Assets | ||||||||||
Banks | ||||||||||||
East West Bancorp, Inc. | 594,696 | $ | 24,715,566 | 2.0 | % | |||||||
Beverages | ||||||||||||
Constellation Brands, Inc. | 131,265 | 18,697,387 | 1.5 | % | ||||||||
Building Products | ||||||||||||
AO Smith Corp. | 363,790 | 27,869,952 | 2.3 | % | ||||||||
Fortune Brands Home & Security, Inc. | 547,459 | 30,383,974 | 2.5 | % | ||||||||
58,253,926 | 4.8 | % | ||||||||||
Capital Markets | ||||||||||||
Affiliated Managers Group, Inc.* | 148,482 | 23,721,484 | 1.9 | % | ||||||||
Invesco Ltd. f | 280,020 | 9,375,070 | 0.8 | % | ||||||||
Northern Trust Corp. | 269,025 | 19,394,012 | 1.6 | % | ||||||||
52,490,566 | 4.3 | % | ||||||||||
Commercial Services & Supplies | ||||||||||||
Stericycle, Inc.* | 294,704 | 35,541,302 | 2.9 | % | ||||||||
Distributors | ||||||||||||
LKQ Corp.* | 1,118,019 | 33,126,903 | 2.7 | % | ||||||||
Electrical Equipment | ||||||||||||
Acuity Brands, Inc. | 88,311 | 20,647,112 | 1.7 | % | ||||||||
Rockwell Automation, Inc. | 116,565 | 11,960,734 | 1.0 | % | ||||||||
32,607,846 | 2.7 | % | ||||||||||
Electronic Equipment, Instruments & Components | ||||||||||||
CDW Corp. | 577,234 | 24,266,917 | 2.0 | % | ||||||||
Trimble Navigation Ltd.* | 694,619 | 14,899,578 | 1.2 | % | ||||||||
39,166,495 | 3.2 | % | ||||||||||
Food & Staples Retailing | ||||||||||||
United Natural Foods, Inc.* | 308,602 | 12,146,575 | 1.0 | % | ||||||||
Food Products | ||||||||||||
Mccormick & Co, Inc. | 291,573 | 24,946,986 | 2.0 | % | ||||||||
Mead Johnson Nutrition Co. | 147,883 | 11,675,363 | 1.0 | % | ||||||||
36,622,349 | 3.0 | % | ||||||||||
Health Care Equipment & Supplies | ||||||||||||
The Cooper Cos, Inc. | 75,995 | 10,198,529 | 0.9 | % | ||||||||
Globus Medical, Inc.* | 776,043 | 21,589,516 | 1.8 | % | ||||||||
IDEXX Laboratories, Inc.* | 288,980 | 21,072,422 | 1.7 | % | ||||||||
52,860,467 | 4.4 | % |
The accompanying notes are an integral part of these financial statements.
Page 23
Baird MidCap Fund
Schedule of Investments, December 31, 2015
Common Stocks (cont.)
% of | ||||||||||||
Shares | Value | Net Assets | ||||||||||
Health Care Providers & Services | ||||||||||||
Acadia Healthcare Co., Inc.* | 207,350 | $ | 12,951,081 | 1.1 | % | |||||||
Envision Healthcare Holdings, Inc.* | 521,867 | 13,552,886 | 1.1 | % | ||||||||
Laboratory Corp. of America Holdings* | 196,804 | 24,332,847 | 2.0 | % | ||||||||
50,836,814 | 4.2 | % | ||||||||||
Health Care Technology | ||||||||||||
Cerner Corp.* | 382,286 | 23,002,149 | 1.9 | % | ||||||||
Hotels Restaurants & Leisure | ||||||||||||
Buffalo Wild Wings, Inc.* | 78,021 | 12,456,053 | 1.0 | % | ||||||||
Household Durables | ||||||||||||
Harman International Industries, Inc. | 266,435 | 25,100,841 | 2.1 | % | ||||||||
Household Products | ||||||||||||
Church & Dwight Co., Inc. | 332,992 | 28,264,361 | 2.3 | % | ||||||||
IT Services | ||||||||||||
Alliance Data Systems Corp.* | 114,354 | 31,626,886 | 2.6 | % | ||||||||
Euronet Worldwide, Inc.* | 212,340 | 15,379,786 | 1.3 | % | ||||||||
Fiserv, Inc.* | 443,638 | 40,575,131 | 3.3 | % | ||||||||
Gartner, Inc.* | 325,289 | 29,503,712 | 2.4 | % | ||||||||
Genpact Ltd.* f | 1,271,121 | 31,752,603 | 2.6 | % | ||||||||
148,838,118 | 12.2 | % | ||||||||||
Leisure Products | ||||||||||||
Hasbro, Inc. | 442,881 | 29,832,464 | 2.5 | % | ||||||||
Polaris Industries, Inc. | 117,989 | 10,141,155 | 0.8 | % | ||||||||
39,973,619 | 3.3 | % | ||||||||||
Machinery | ||||||||||||
The Middleby Corp.* | 222,765 | 24,029,661 | 1.9 | % | ||||||||
Snap On, Inc. | 77,249 | 13,242,796 | 1.1 | % | ||||||||
WABCO Holdings, Inc.* | 190,673 | 19,498,221 | 1.6 | % | ||||||||
Wabtec Corp. | 133,504 | 9,494,804 | 0.8 | % | ||||||||
66,265,482 | 5.4 | % | ||||||||||
Media | ||||||||||||
Lions Gate Entertainment Corp. f | 333,340 | 10,796,883 | 0.9 | % | ||||||||
Multiline Retail | ||||||||||||
Burlington Stores, Inc.* | 424,454 | 18,209,076 | 1.5 | % | ||||||||
Dollar General Corporation | 344,240 | 24,740,529 | 2.0 | % | ||||||||
42,949,605 | 3.5 | % | ||||||||||
Oil, Gas & Consumable Fuels | ||||||||||||
Concho Resources, Inc.* | 195,524 | 18,156,359 | 1.5 | % |
The accompanying notes are an integral part of these financial statements.
Page 24
Baird MidCap Fund
Schedule of Investments, December 31, 2015
Common Stocks (cont.)
% of | ||||||||||||
Shares | Value | Net Assets | ||||||||||
Pharmaceuticals | ||||||||||||
Akorn, Inc.* | 351,507 | $ | 13,114,726 | 1.1 | % | |||||||
Perrigo Co. PLC f | 215,254 | 31,147,254 | 2.5 | % | ||||||||
44,261,980 | 3.6 | % | ||||||||||
Road & Rail | ||||||||||||
J.B. Hunt Transport Services, Inc. | 214,365 | 15,725,816 | 1.3 | % | ||||||||
Semiconductors & Semiconductor Equipment | ||||||||||||
Integrated Device Technology, Inc.* | 681,563 | 17,959,185 | 1.5 | % | ||||||||
Skyworks Solutions, Inc. | 138,383 | 10,631,966 | 0.9 | % | ||||||||
28,591,151 | 2.4 | % | ||||||||||
Software | ||||||||||||
Akamai Technologies, Inc.* | 182,375 | 9,598,396 | 0.8 | % | ||||||||
ANSYS, Inc.* | 289,948 | 26,820,190 | 2.2 | % | ||||||||
Fortinet, Inc.* | 664,170 | 20,702,179 | 1.7 | % | ||||||||
Synopsys, Inc.* | 413,611 | 18,864,798 | 1.6 | % | ||||||||
Tyler Technologies, Inc.* | 98,161 | 17,111,425 | 1.4 | % | ||||||||
The Ultimate Software Group, Inc.* | 113,384 | 22,167,706 | 1.8 | % | ||||||||
115,264,694 | 9.5 | % | ||||||||||
Specialty Retail | ||||||||||||
O’Reilly Automotive, Inc.* | 97,302 | 24,658,273 | 2.0 | % | ||||||||
Tiffany & Co. | 165,978 | 12,662,462 | 1.1 | % | ||||||||
Tractor Supply Co. | 260,877 | 22,304,983 | 1.8 | % | ||||||||
59,625,718 | 4.9 | % | ||||||||||
Textiles, Apparel & Luxury Goods | ||||||||||||
Under Armour, Inc. – Class A* | 107,973 | 8,703,703 | 0.7 | % | ||||||||
Trading Companies & Distributors | ||||||||||||
Fastenal Co. | 567,529 | 23,166,534 | 1.9 | % | ||||||||
Watsco, Inc. | 211,163 | 24,733,522 | 2.0 | % | ||||||||
47,900,056 | 3.9 | % | ||||||||||
Total Common Stocks | ||||||||||||
(Cost $1,076,613,781) | 1,182,942,784 | 97.1 | % |
The accompanying notes are an integral part of these financial statements.
Page 25
Baird MidCap Fund
Schedule of Investments, December 31, 2015
Short-Term Investments
% of | ||||||||||||
Shares | Value | Net Assets | ||||||||||
Money Market Mutual Funds | ||||||||||||
Dreyfus Institutional Cash Advantage Fund, 0.26%« | 16,668,259 | $ | 16,668,259 | 1.3 | % | |||||||
Short-Term Investments Trust – | ||||||||||||
Liquid Assets Portfolio, 0.29%« | 24,000,000 | 24,000,000 | 2.0 | % | ||||||||
Total Short-Term Investments | ||||||||||||
(Cost $40,668,259) | 40,668,259 | 3.3 | % | |||||||||
Total Investments | ||||||||||||
(Cost $1,117,282,040) | 1,223,611,043 | 100.4 | % | |||||||||
Liabilities in Excess of Other Assets | (4,485,712 | ) | (0.4 | )% | ||||||||
TOTAL NET ASSETS | $ | 1,219,125,331 | 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 26
Baird MidCap Fund
Schedule of Investments, December 31, 2015
Summary of Fair Value Exposure at December 31, 2015
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 Fund’s 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 December 31, 2015:
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Equity | ||||||||||||||||
Common Stocks | $ | 1,182,942,784 | $ | — | $ | — | $ | 1,182,942,784 | ||||||||
Total Equity | 1,182,942,784 | — | — | 1,182,942,784 | ||||||||||||
Short-Term Investments | ||||||||||||||||
Money Market Mutual Funds | 40,668,259 | — | — | 40,668,259 | ||||||||||||
Total Short-Term Investments | 40,668,259 | — | — | 40,668,259 | ||||||||||||
Total Investments* | $ | 1,223,611,043 | $ | — | $ | — | $ | 1,223,611,043 |
* | 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. 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 27
Baird Small/Mid Cap Value Fund
December 31, 2015
Portfolio Manager Commentary
The Baird Small/Mid Cap Value Fund’s date of inception was November 30, 2015. For the time period beginning November 30, 2015 through year-end, the Baird Small/Mid Cap Value Fund Institutional Class generated a total return of -4.7% compared to a -4.6% return for the Russell 2500 Value Index, the Fund’s benchmark. Following is a discussion of key contributors and detractors for the Fund’s performance relative to its benchmark during 2015.
Key Contributors to Relative Returns:
• | The Fund’s meaningful underweight to Energy, the worst performing sector for the period, was the most significant contributor to relative returns. |
• | The Fund’s underweight to Materials and strong performance from the one position the Fund holds, Orchids Paper Products, added value on both an absolute and relative basis. |
• | Outside of sector-related performance, strong absolute gains were posted by REITs including LTC Properties, Mid-America Apartment Communities and Omega Healthcare Investors. J2 Global and Dollar Tree were also nice winners for the period. |
Key Detractors from Relative Returns:
• | Industrials struggled in 2015 given a slowing manufacturing environment both domestically and overseas. Despite the Fund’s underweighted exposure to the sector , it was still the largest detractor from overall returns for the period. Teekay and Ryder Systems were among the disappointing performers. |
• | The Fund’s underweight to Utilities was a slight detractor during a period of strong performance for defensive stocks |
• | Within Consumer Discretionary, Lithia Motors and Motorcar Parts of America were laggards on concerns of a potential slowdown in auto sales. |
Looking Forward
Our strongest macroeconomic conviction lies in the belief that China’s economic growth rate will not only continue to slow, but disappoint expectations and remain a headwind for global commodity prices and trading partners, particularly in Europe and Southeast Asia. Continued moves to devalue the yuan will only serve to export deflation and put pressure on corporate profits for countries that compete with China’s exports. As a result of this outlook, our bias remains toward companies with predominately domestic revenue bases and those whose profits we have the conviction can best weather a potential economic slowdown.
Consistent with our investment philosophy and process, we continue to expect the Small/Mid Cap Value Fund to be comprised of high quality businesses with better than benchmark growth rates purchased at below market valuations. We believe that this discipline, consistently applied in all market environments, will yield superior returns for investors.
Portfolio Manager:
Michelle Stevens
Page 28
Baird Small/Mid Cap Value Fund
December 31, 2015 (Unaudited)
Portfolio Characteristics
A December 31, 2015 summary of the Fund’s top 10 holdings and equity sector analysis compared to the Russell 2500® Value Index is shown below.
Top 10 Holdings* | Equity Sector Analysis** | ||
Dreyfus Institutional Cash | |||
Advantage Fund | 5.3% | ||
Mid-America Apartment | |||
Communities, Inc. | 3.5% | ||
j2 Global, Inc. | 3.4% | ||
Aceto Corp. | 3.3% | ||
LTC Properties, Inc. | 3.3% | ||
Omega Healthcare Investors, Inc. | 3.2% | ||
Dollar Tree, Inc. | 3.1% | ||
Hilltop Holdings, Inc. | 3.1% | ||
Motorcar Parts of America, Inc. | 3.0% | ||
Integrated Device Technology, Inc. | 3.0% | ||
Net Assets: | $4,733,417 | ||
Portfolio Turnover Rate: | 14.7%† | ||
Number of Equity Holdings: | 40 | ||
Annualized Portfolio Expense Ratio:*** | |||
Gross | |||
Institutional Class: | 2.15% | ||
Investor Class: | 2.40% | **** | |
Net | |||
Institutional Class: | 0.95% | ||
Investor Class: | 1.20% | **** |
* | 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 December 31, 2015. | |
** | Percentages shown in parentheses relate to the Fund’s total market value of investments as of December 31, 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 0.95% of average daily net assets for the Institutional Class shares and 1.20% of average daily net assets for the Investor Class shares, at least through April 30, 2017. | |
**** | Includes 0.25% 12b-1 fee. | |
† | Not annualized. |
Page 29
Baird Small/Mid Cap Value Fund
December 31, 2015
Institutional Class
Value of a $25,000 Investment
Growth of a hypothetical investment of $25,000 made on the Fund’s inception date (11/30/15), assuming reinvestment of all distributions.
Investor Class
Value of a $10,000 Investment
Growth of a hypothetical investment of $10,000 made on the Fund’s inception date (11/30/15), assuming reinvestment of all distributions.
Page 30
Baird Small/Mid Cap Value Fund
December 31, 2015 (Unaudited)
Total Returns
Since | |
For the Period Ended December 31, 2015 | Inception(1) |
Institutional Class Shares | -4.66% |
Investor Class Shares | -4.67% |
Russell 2500® Value Index(2) | -4.58% |
(1) | For the period from November 30, 2015 (inception date) through December 31, 2015. |
(2) | The Russell 2500® Value Index measures the performance of the small cap value segment of the U.S. equity universe. It includes those Russell 2500® 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 and the line graphs on the previous page 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 to mid 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 31
Baird Small/Mid Cap Value Fund
Schedule of Investments, December 31, 2015
Common Stocks
% of | ||||||||||||
Shares | Value | Net Assets | ||||||||||
Aerospace & Defense | ||||||||||||
Hexcel Corp. | 2,535 | $ | 117,751 | 2.5 | % | |||||||
Auto Components | ||||||||||||
Motorcar Parts of America, Inc.* | 4,225 | 142,847 | 3.0 | % | ||||||||
Banks | ||||||||||||
Hilltop Holdings, Inc.* | 7,705 | 148,090 | 3.1 | % | ||||||||
PrivateBancorp, Inc. | 2,985 | 122,445 | 2.6 | % | ||||||||
Renasant Corp. | 4,017 | 138,225 | 2.9 | % | ||||||||
408,760 | 8.6 | % | ||||||||||
Commercial Services & Supplies | ||||||||||||
Deluxe Corp. | 1,530 | 83,446 | 1.8 | % | ||||||||
Consumer Finance | ||||||||||||
PRA Group, Inc.* | 1,740 | 60,361 | 1.3 | % | ||||||||
Distributors | ||||||||||||
LKQ Corp.* | 3,405 | 100,890 | 2.1 | % | ||||||||
Diversified Consumer Services | ||||||||||||
H&R Block, Inc. | 3,300 | 109,923 | 2.3 | % | ||||||||
Electric Utilities | ||||||||||||
Avangrid, Inc.* | 3,140 | 120,576 | 2.6 | % | ||||||||
Pinnacle West Capital Corp. | 1,125 | 72,540 | 1.5 | % | ||||||||
193,116 | 4.1 | % | ||||||||||
Food Products | ||||||||||||
B&G Foods Inc. | 3,995 | 139,905 | 2.9 | % | ||||||||
Pinnacle Foods, Inc. | 2,985 | 126,743 | 2.7 | % | ||||||||
266,648 | 5.6 | % | ||||||||||
Health Care Equipment & Supplies | ||||||||||||
Alere, Inc.* | 2,005 | 78,375 | 1.7 | % | ||||||||
ICU Medical, Inc.* | 1,005 | 113,344 | 2.4 | % | ||||||||
191,719 | 4.1 | % | ||||||||||
Health Care Providers & Services | ||||||||||||
Aceto Corp. | 5,805 | 156,619 | 3.3 | % | ||||||||
MEDNAX, Inc.* | 1,650 | 118,239 | 2.5 | % | ||||||||
274,858 | 5.8 | % | ||||||||||
Hotels, Restaurants & Leisure | ||||||||||||
Norwegian Cruise Line Holdings Ltd.* f | 2,060 | 120,716 | 2.6 | % | ||||||||
Household Durables | ||||||||||||
Harman International Industries, Inc. | 950 | 89,500 | 1.9 | % | ||||||||
Household Products | ||||||||||||
Orchids Paper Products Co. | 3,695 | 114,249 | 2.4 | % |
The accompanying notes are an integral part of these financial statements.
Page 32
Baird Small/Mid Cap Value Fund
Schedule of Investments, December 31, 2015
Common Stocks (cont.)
% of | ||||||||||||
Shares | Value | Net Assets | ||||||||||
Insurance | ||||||||||||
American Financial Group, Inc. | 1,900 | $ | 136,952 | 2.9 | % | |||||||
Atlas Financial Holdings, Inc.* f | 5,280 | 105,072 | 2.2 | % | ||||||||
242,024 | 5.1 | % | ||||||||||
Internet Software & Services | ||||||||||||
j2 Global, Inc. | 1,925 | 158,467 | 3.4 | % | ||||||||
VeriSign, Inc.* | 1,240 | 108,326 | 2.3 | % | ||||||||
266,793 | 5.7 | % | ||||||||||
Multiline Retail | ||||||||||||
Dollar Tree, Inc.* | 1,925 | 148,648 | 3.1 | % | ||||||||
Multi-Utilities | ||||||||||||
Alliant Energy Corp. | 1,165 | 72,754 | 1.5 | % | ||||||||
CMS Energy Corp. | 3,565 | 128,625 | 2.7 | % | ||||||||
201,379 | 4.2 | % | ||||||||||
Oil, Gas & Consumable Fuels | ||||||||||||
Navigator Holdings Ltd.* f | 3,485 | 47,570 | 1.0 | % | ||||||||
Targa Resources Corp. | 1,265 | 34,231 | 0.7 | % | ||||||||
81,801 | 1.7 | % | ||||||||||
Real Estate Investment Trusts (REITs) | ||||||||||||
BioMed Realty Trust, Inc. | 4,010 | 94,997 | 2.0 | % | ||||||||
Blackstone Mortgage Trust, Inc. | 4,700 | 125,772 | 2.7 | % | ||||||||
Hersha Hospitality Trust | 2,410 | 52,442 | 1.1 | % | ||||||||
LTC Properties, Inc. | 3,615 | 155,951 | 3.3 | % | ||||||||
Mid-America Apartment Communities, Inc. | 1,820 | 165,274 | 3.5 | % | ||||||||
Omega Healthcare Investors, Inc. | 4,355 | 152,338 | 3.2 | % | ||||||||
746,774 | 15.8 | % | ||||||||||
Road & Rail | ||||||||||||
Ryder System, Inc. | 845 | 48,021 | 1.0 | % | ||||||||
Semiconductors & Semiconductor Equipment | ||||||||||||
Integrated Device Technology, Inc.* | 5,330 | 140,445 | 3.0 | % | ||||||||
Skyworks Solutions, Inc. | 1,030 | 79,135 | 1.6 | % | ||||||||
219,580 | 4.6 | % | ||||||||||
Specialty Retail | ||||||||||||
Lithia Motors, Inc. | 871 | 92,910 | 2.0 | % | ||||||||
Thrifts & Mortgage Finance | ||||||||||||
Bofi Holding, Inc.* | 3,167 | 66,665 | 1.4 | % | ||||||||
Total Common Stocks | ||||||||||||
(Cost $4,584,081) | 4,389,379 | 92.7 | % |
The accompanying notes are an integral part of these financial statements.
Page 33
Baird Small/Mid Cap Value Fund
Schedule of Investments, December 31, 2015
Short-Term Investments
% of | ||||||||||||
Shares | Value | Net Assets | ||||||||||
Money Market Mutual Funds | ||||||||||||
Dreyfus Institutional Cash Advantage Fund, 0.26%« | 251,354 | $ | 251,354 | 5.3 | % | |||||||
Short-Term Investments Trust – | ||||||||||||
Liquid Assets Portfolio, 0.29%« | 90,000 | 90,000 | 1.9 | % | ||||||||
Total Short-Term Investments | ||||||||||||
(Cost $341,354) | 341,354 | 7.2 | % | |||||||||
Total Investments | ||||||||||||
(Cost $4,925,435) | 4,730,733 | 99.9 | % | |||||||||
Other Assets in Excess of Liabilities | 2,684 | 0.1 | % | |||||||||
TOTAL NET ASSETS | $ | 4,733,417 | 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 34
Baird Small/Mid Cap Value Fund
Schedule of Investments, December 31, 2015
Summary of Fair Value Exposure at December 31, 2015
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 Fund’s 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 December 31, 2015:
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Equity | ||||||||||||||||
Common Stocks | $ | 4,389,379 | $ | — | $ | — | $ | 4,389,379 | ||||||||
Total Equity | 4,389,379 | — | — | 4,389,379 | ||||||||||||
Short-Term Investments | ||||||||||||||||
Money Market Mutual Funds | 341,354 | — | — | 341,354 | ||||||||||||
Total Short-Term Investments | 341,354 | — | — | 341,354 | ||||||||||||
Total Investments* | $ | 4,730,733 | $ | — | $ | — | $ | 4,730,733 |
* | 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. 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 SmallCap Value Fund
December 31, 2015
Portfolio Manager’s Commentary
Despite a wary eye on the slowing global economy for much of 2014, particularly China and emerging markets, we began 2015 bullish on the U.S. economy. Domestically, a solid labor market, stable manufacturing conditions, and an improving consumer profile appeared immune to sluggish trends overseas. As such, the Fund enjoyed strong performance relative to its benchmark in the first half of the year fueled primarily by the Fund’s overweight to Information Technology, positioning in Financials, and superior security selection.
However, global growth concerns came home to roost in the third quarter beginning with Greece’s near exit from the Euro and ending with the Federal Reserve’s decision not to raise the Federal Fund’s rate at its September meeting. We believe what really mattered, however, happened between these events. July’s breathtaking decline in the Chinese stock market following its meteoric rise earlier in the year shone the spotlight where attention was due. As readers of past commentary will recall, it’s not the equity market in China that has concerned us; it is the rapid weakening of economic conditions and corporate profits. While nearly every indicator of Chinese economic activity moved significantly lower during the summer, it was the move on August 11 by the People’s Bank of China to devalue the yuan by nearly 2% against the US dollar that, in our mind, waved the red flag that the deteriorating conditions in that country are likely worse than the publicly-released data would indicate.
As a result, we felt it prudent to reassess our holdings in light of the potential for a meaningful slowdown beyond our current expectations for Chinese and global growth. This scenario could lead to another leg down in energy markets and ultimately have a negative impact on domestic growth, as well. Additionally, such an event would likely lead to a continuation of low interest rates for longer than the market anticipated. With that in mind, we made a number of portfolio changes in 2015 to harvest some profits and increase our downside protection.
The most significant change to the Fund’s portfolio during the third quarter was the reduction in exposure to Information Technology by more than 1000 bps. The majority of the positions we sold or trimmed were semiconductor producers levered to the burgeoning demand for 4G smartphones. We began significantly trimming in the first week of July on concerns of slowing demand growth in China and inventory builds. These same stocks were many of our top performers over the past 18 months contributing meaningfully to returns.
With a watchful eye, we continued to monitor the trend in U.S. economic indicators for signs that deteriorating global growth along with stressed conditions in emerging market currencies and credit markets had begun to impact domestic activity. Weak industrial production data and regional economic surveys, deteriorating transportation trends, and disappointing retail sales during the fourth quarter raised enough uncertainty in our estimation to prompt additional changes to the Fund’s portfolio in order to provide downside protection. Furthermore, now that oil has made a second leg down in price, we believe that this will further pinch capital spending in that sector along with secondary and tertiary related industries domestically. These changes in trend for many economic and monetary conditions appear to have not been fully reflected in consensus GDP and earnings estimates and present risk to equities exposed to a slowdown.
On a positive note, our research has uncovered new investment opportunities with catalysts for better than expected profits and with less cyclical end markets. For example, we made an investment during the year in B&G Foods, which was trading at a historical low valuation due to slowing growth. It was our thesis that, although the timing was unknown, the company had the balance sheet and plans to make additional accretive acquisitions. They have, in fact, since purchased the Green Giant brand from General Mills which catapulted the stock 20% higher. We also initiated a new position in Aceto Corporation, a company transitioning from a specialty chemical producer to a generic pharmaceutical distributor. The company’s new business model now represents more than two-thirds of profits with double the margins, and should ultimately lead the business to be revalued higher.
In 2015, the Baird SmallCap Value Fund Institutional Class generated a total return of -5.11% compared to a -7.5% return for the Russell 2000 Value Index, the Fund’s benchmark. Security selection was superior across 9
Page 36
Baird SmallCap Value Fund
December 31, 2015
out of 11 economic sectors and our repositioning of the Fund’s portfolio mid-year had a favorable impact upon performance. During a year of great dispersion of returns among economic sectors, allocation played an important role for portfolio managers in 2015. Following is a discussion of key contributors and detractors for the Fund’s performance relative to its benchmark during 2015.
Key Contributors to Relative Returns:
• | Very strong stock selection and an overweighted position in Consumer Staples, including B&G Foods and Pinnacle Foods, contributed the greatest to positive returns. |
• | Our conscious choice to underweight the Materials sector given flagging global economic growth provided downside protection as Materials in the Fund’s benchmark was the worst performing sector (-30%), second only to Energy. |
• | The Fund’s overweight exposure to Information Technology companies, which meaningfully outperformed the benchmark, boosted relative returns. J2 Global and Integrated Device Technology were among the best performers. |
• | The Fund’s Consumer Discretionary, Healthcare and Utility holdings all helped the Fund beat its benchmark for the year. Some of the best performing names include ICU Medical, Lithia Motors, Steiner Leisure and Avangrid. |
Key Detractors from Relative Returns:
• | Industrials struggled in 2015 given a slowing manufacturing environment both domestically and overseas. Despite reducing the Fund’s exposure to the sector throughout the year, it was still the largest detractor from overall returns. Universal Truckload Services, Generac Holdings and Navigator Holdings were among the disappointing performers. |
• | Despite superior stock selection for the sector, our underweight to Financials created a small detraction from relative returns for the year. Bank positions including Bofi HOLDINGS and Private Bancorp along with asset manager Diamond Hill Investment Group posted robust returns. On the other hand, debt collectors Portfolio Recovery and Encore Capital Group underperformed. |
• | Outside of sector-related performance, individual stocks that were significant detractors include Lands’ End and Targa Resources. |
Looking Forward
Our strongest macroeconomic conviction lies in the belief that China’s economic growth rate will not only continue to slow, but disappoint expectations and remain a headwind for global commodity prices and trading partners, particularly in Europe and Southeast Asia. Continued moves to devalue the yuan will only serve to export deflation and put pressure on corporate profits for countries that compete with China’s exports. As a result of this outlook, our bias remains toward companies with predominately domestic revenue bases and those whose profits we have the conviction can best weather a potential economic slowdown.
Consistent with our investment philosophy and process, we continue to expect the SmallCap Value Fund to be comprised of high quality businesses with better than benchmark growth rates purchased at below market valuations. We believe that this discipline, consistently applied in all market environments, will yield superior returns for investors.
Portfolio Manager:
Michelle Stevens
Page 37
Baird SmallCap Value Fund
December 31, 2015 (Unaudited)
Portfolio Characteristics
A December 31, 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** | ||
Dreyfus Institutional Cash | |||
Advantage Fund | 5.8% | ||
Pinnacle Foods, Inc. | 4.8% | ||
Diamond Hill Investment Group, Inc. | 4.2% | ||
Motorcar Parts of America, Inc. | 3.9% | ||
j2 Global, Inc. | 3.8% | ||
LTC Properties, Inc. | 3.6% | ||
PrivateBancorp, Inc. | 3.4% | ||
Aceto Corp. | 3.4% | ||
ICU Medical, Inc. | 3.3% | ||
Integrated Device Technology, Inc. | 3.1% | ||
Net Assets: | $25,126,568 | ||
Portfolio Turnover Rate: | 42.1% | ||
Number of Equity Holdings: | 38 | ||
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 December 31, 2015. | |
** | Percentages shown in parentheses relate to the Fund’s total market value of investments as of December 31, 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, 2017. | |
**** | Includes 0.25% 12b-1 fee. |
Page 38
Baird SmallCap Value Fund
December 31, 2015 (Unaudited)
Institutional Class
Value of a $25,000 Investment
Growth of a hypothetical investment of $25,000 made on the Fund’s inception date (5/1/12), assuming reinvestment of all distributions.
Investor Class
Value of a $10,000 Investment
Growth of a hypothetical investment of $10,000 made on the Fund’s inception date (5/1/12), assuming reinvestment of all distributions.
Page 39
Baird SmallCap Value Fund
December 31, 2015 (Unaudited)
Total Returns
Average Annual | |||
Since | |||
For the Periods Ended December 31, 2015 | One Year | Three Year | Inception(1) |
Institutional Class Shares | -5.11% | 10.04% | 9.16% |
Investor Class Shares | -5.37% | 9.77% | 8.88% |
Russell 2000® Value Index(2) | -7.47% | 9.06% | 9.44% |
(1) | For the period from May 1, 2012 (inception date) through December 31, 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 and the line graphs on the previous page 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 40
Baird SmallCap Value Fund
Schedule of Investments, December 31, 2015
Common Stocks
% of | ||||||||||||
Shares | Value | Net Assets | ||||||||||
Aerospace & Defense | ||||||||||||
Hexcel Corp. | 12,646 | $ | 587,407 | 2.3 | % | |||||||
Auto Components | ||||||||||||
Drew Industries, Inc. | 6,712 | 408,694 | 1.6 | % | ||||||||
Motorcar Parts of America, Inc.* | 28,725 | 971,192 | 3.9 | % | ||||||||
1,379,886 | 5.5 | % | ||||||||||
Banks | ||||||||||||
Hilltop Holdings, Inc.* | 38,405 | 738,144 | 2.9 | % | ||||||||
PrivateBancorp, Inc. | 20,762 | 851,657 | 3.4 | % | ||||||||
Renasant Corp. | 22,011 | 757,399 | 3.0 | % | ||||||||
2,347,200 | 9.3 | % | ||||||||||
Building Products | ||||||||||||
Patrick Industries, Inc.* | 10,538 | 458,403 | 1.8 | % | ||||||||
Capital Markets | ||||||||||||
Diamond Hill Investment Group, Inc. | 5,620 | 1,062,180 | 4.2 | % | ||||||||
Commercial Services & Supplies | ||||||||||||
Deluxe Corp. | 9,992 | 544,964 | 2.2 | % | ||||||||
Consumer Finance | ||||||||||||
Encore Capital Group, Inc.* | 12,488 | 363,151 | 1.5 | % | ||||||||
PRA Group, Inc.* | 9,679 | 335,764 | 1.3 | % | ||||||||
698,915 | 2.8 | % | ||||||||||
Electric Utilities | ||||||||||||
Avangrid, Inc.* | 16,101 | 618,278 | 2.5 | % | ||||||||
Food Products | ||||||||||||
B&G Foods Inc. | 21,855 | 765,362 | 3.0 | % | ||||||||
Pinnacle Foods, Inc. | 28,099 | 1,193,084 | 4.8 | % | ||||||||
1,958,446 | 7.8 | % | ||||||||||
Gas Utilities | ||||||||||||
South Jersey Industries, Inc. | 32,628 | 767,411 | 3.1 | % | ||||||||
Health Care Equipment & Supplies | ||||||||||||
Alere, Inc.* | 16,392 | 640,763 | 2.5 | % | ||||||||
ICU Medical, Inc.* | 7,338 | 827,580 | 3.3 | % | ||||||||
1,468,343 | 5.8 | % | ||||||||||
Health Care Providers & Services | ||||||||||||
Aceto Corp. | 31,220 | 842,316 | 3.4 | % | ||||||||
Hotels, Restaurants & Leisure | ||||||||||||
Diamond Resorts International, Inc.* | 17,227 | 439,461 | 1.7 | % |
The accompanying notes are an integral part of these financial statements.
Page 41
Baird SmallCap Value Fund
Schedule of Investments, December 31, 2015
Common Stocks (cont.)
% of | ||||||||||||
Shares | Value | Net Assets | ||||||||||
Household Products | ||||||||||||
Orchids Paper Products Co. | 21,075 | $ | 651,639 | 2.6 | % | |||||||
Insurance | ||||||||||||
Atlas Financial Holdings, Inc.* f | 29,660 | 590,234 | 2.3 | % | ||||||||
Internet Software & Services | ||||||||||||
j2 Global, Inc. | 11,551 | 950,878 | 3.8 | % | ||||||||
Multi-Utilities | ||||||||||||
Alliant Energy Corp. | 10,930 | 682,578 | 2.7 | % | ||||||||
Oil, Gas & Consumable Fuels | ||||||||||||
Navigator Holdings Ltd.* f | 21,231 | 289,803 | 1.1 | % | ||||||||
Targa Resources Corp. | 7,092 | 191,910 | 0.8 | % | ||||||||
481,713 | 1.9 | % | ||||||||||
Real Estate Investment Trusts (REITs) | ||||||||||||
BioMed Realty Trust, Inc. | 23,884 | 565,812 | 2.2 | % | ||||||||
Blackstone Mortgage Trust, Inc. | 23,416 | 626,612 | 2.5 | % | ||||||||
Capstead Mortgage Corp. | 30,440 | 266,046 | 1.1 | % | ||||||||
DiamondRock Hospitality Co. | 45,116 | 435,369 | 1.7 | % | ||||||||
Hatteras Financial Corp. | 20,450 | 268,917 | 1.1 | % | ||||||||
Hersha Hospitality Trust | 18,342 | 399,122 | 1.6 | % | ||||||||
LTC Properties, Inc. | 20,765 | 895,802 | 3.6 | % | ||||||||
Omega Healthcare Investors, Inc. | 21,855 | 764,488 | 3.0 | % | ||||||||
4,222,168 | 16.8 | % | ||||||||||
Semiconductors & Semiconductor Equipment | ||||||||||||
Integrated Device Technology, Inc.* | 29,348 | 773,320 | 3.1 | % | ||||||||
Specialty Retail | ||||||||||||
Lithia Motors, Inc. | 4,839 | 516,176 | 2.1 | % | ||||||||
�� | ||||||||||||
Thrifts & Mortgage Finance | ||||||||||||
Bofi Holding, Inc.* | 17,484 | 368,038 | 1.5 | % | ||||||||
Capitol Federal Financial, Inc. | 20,917 | 262,717 | 1.1 | % | ||||||||
Meta Financial Group, Inc. | 11,220 | 515,335 | 2.0 | % | ||||||||
1,146,090 | 4.6 | % | ||||||||||
Total Common Stocks | ||||||||||||
(Cost $20,108,433) | 23,188,006 | 92.3 | % |
The accompanying notes are an integral part of these financial statements.
Page 42
Baird SmallCap Value Fund
Schedule of Investments, December 31, 2015
Short-Term Investments
% of | ||||||||||||
Shares | Value | Net Assets | ||||||||||
Money Market Mutual Funds | ||||||||||||
Dreyfus Institutional Cash Advantage Fund, 0.26%« | 1,465,794 | $ | 1,465,794 | 5.8 | % | |||||||
Short-Term Investments Trust – | ||||||||||||
Liquid Assets Portfolio, 0.29%« | 450,000 | 450,000 | 1.8 | % | ||||||||
Total Short-Term Investments | ||||||||||||
(Cost $1,915,794) | 1,915,794 | 7.6 | % | |||||||||
Total Investments | ||||||||||||
(Cost $22,024,227) | 25,103,800 | 99.9 | % | |||||||||
Other Assets in Excess of Liabilities | 22,768 | 0.1 | % | |||||||||
TOTAL NET ASSETS | $ | 25,126,568 | 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 43
Baird SmallCap Value Fund
Schedule of Investments, December 31, 2015
Summary of Fair Value Exposure at December 31, 2015
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 Fund’s 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 December 31, 2015:
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Equity | ||||||||||||||||
Common Stocks | $ | 23,188,006 | $ | — | $ | — | $ | 23,188,006 | ||||||||
Total Equity | 23,188,006 | — | — | 23,188,006 | ||||||||||||
Short-Term Investments | ||||||||||||||||
Money Market Mutual Funds | 1,915,794 | — | — | $ | 1,915,794 | |||||||||||
Total Short-Term Investments | 1,915,794 | — | — | 1,915,794 | ||||||||||||
Total Investments* | $ | 25,103,800 | $ | — | $ | — | $ | 25,103,800 |
* | 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. 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 44
Additional Information on Fund Expenses
December 31, 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 (7/1/15 – 12/31/15).
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 45
Additional Information on Fund Expenses
December 31, 2015 (Unaudited)
Actual vs. Hypothetical Returns
For the Six Months Ended December 31, 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)(2) | 7/1/15 | 12/31/15 | Period(1)(2) | 12/31/15 | Period(1)(2) | |
Baird LargeCap Fund | ||||||
Institutional Class | 0.75% | $1,000.00 | $961.70 | $3.71 | $1,021.42 | $3.82 |
Investor Class | 1.00% | $1,000.00 | $961.50 | $4.94 | $1,020.16 | $5.09 |
Baird MidCap Fund | ||||||
Institutional Class | 0.75% | $1,000.00 | $926.60 | $3.64 | $1,021.42 | $3.82 |
Investor Class | 1.00% | $1,000.00 | $925.50 | $4.85 | $1,020.16 | $5.09 |
Baird Small/Mid Cap Value Fund | ||||||
Institutional Class | 0.95% | $1,000.00 | $953.40 | $0.81 | $1,003.55 | $0.83 |
Investor Class | 1.20% | $1,000.00 | $953.30 | $1.03 | $1,003.33 | $1.05 |
Baird SmallCap Value Fund | ||||||
Institutional Class | 1.00% | $1,000.00 | $926.10 | $4.85 | $1,020.16 | $5.09 |
Investor Class | 1.25% | $1,000.00 | $924.80 | $6.06 | $1,018.90 | $6.36 |
(1) | Expenses are equal to the Fund’s annualized net expense ratio multiplied by the average account value over the period, multiplied by 184 days and divided by 365 to reflect the one-half year period. |
(2) | Expenses are equal to the Baird Small/Mid Cap Value Fund’s annualized net expense ratio multiplied by the average account value over the period, multiplied by 31/365 to reflect the period since the Fund’s inception on November 30, 2015. |
Page 46
Statements of Assets and Liabilities
December 31, 2015
Baird | |||||||||||||||||
Baird | Baird | Small/Mid | Baird | ||||||||||||||
LargeCap | MidCap | Cap Value | SmallCap | ||||||||||||||
Fund | Fund | Fund | Value Fund | ||||||||||||||
ASSETS: | |||||||||||||||||
Investments, at value (cost $35,384,517, | |||||||||||||||||
$1,117,282,040, $4,925,435 | |||||||||||||||||
and $22,024,227, respectively) | $ | 36,257,679 | $ | 1,223,611,043 | $ | 4,730,733 | $ | 25,103,800 | |||||||||
Dividends receivable | 29,502 | 450,852 | 7,751 | 62,843 | |||||||||||||
Interest receivable | 75 | 9,221 | 86 | 390 | |||||||||||||
Receivable for Fund shares sold | — | 3,517,377 | — | 660 | |||||||||||||
Receivable from Advisor and Distributor | — | — | 20,458 | — | |||||||||||||
Prepaid expenses and other assets | 11,503 | 2,543 | — | 3,941 | |||||||||||||
Total assets | 36,298,759 | 1,227,591,036 | 4,759,028 | 25,171,634 | |||||||||||||
LIABILITIES: | |||||||||||||||||
Payable for Fund shares repurchased | 6,687 | 7,292,703 | — | 1,234 | |||||||||||||
Payable to Advisor and Distributor | 6,676 | 1,012,349 | — | 7,667 | |||||||||||||
Accrued expenses and other liabilities | 34,425 | 160,653 | 25,611 | 36,165 | |||||||||||||
Total liabilities | 47,788 | 8,465,705 | 25,611 | 45,066 | |||||||||||||
NET ASSETS | $ | 36,250,971 | $ | 1,219,125,331 | $ | 4,733,417 | $ | 25,126,568 | |||||||||
NET ASSETS CONSIST OF: | |||||||||||||||||
Capital stock | $ | 36,015,946 | $ | 1,141,663,324 | $ | 4,967,184 | $ | 22,799,623 | |||||||||
Accumulated undistributed | |||||||||||||||||
net investment income | — | — | 289 | 7,487 | |||||||||||||
Accumulated net realized loss | |||||||||||||||||
on investments sold | (638,137 | ) | (28,866,996 | ) | (39,354 | ) | (760,115 | ) | |||||||||
Net unrealized appreciation | |||||||||||||||||
(depreciation) on investments | 873,162 | 106,329,003 | (194,702 | ) | 3,079,573 | ||||||||||||
NET ASSETS | $ | 36,250,971 | $ | 1,219,125,331 | $ | 4,733,417 | $ | 25,126,568 | |||||||||
INSTITUTIONAL CLASS SHARES | |||||||||||||||||
Net Assets | $ | 35,649,412 | $ | 1,035,004,553 | $ | 4,714,356 | $ | 23,139,732 | |||||||||
Shares outstanding ($0.01 par value, | |||||||||||||||||
unlimited shares authorized) | 4,449,336 | 69,041,053 | 495,306 | 1,775,679 | |||||||||||||
Net asset value, offering and | |||||||||||||||||
redemption price per share | $ | 8.01 | $ | 14.99 | $ | 9.52 | $ | 13.03 | |||||||||
INVESTOR CLASS SHARES | |||||||||||||||||
Net Assets | $ | 601,559 | $ | 184,120,778 | $ | 19,061 | $ | 1,986,836 | |||||||||
Shares outstanding ($0.01 par value, | |||||||||||||||||
unlimited shares authorized) | 75,481 | 12,817,360 | 2,003 | 152,902 | |||||||||||||
Net asset value, offering and | |||||||||||||||||
redemption price per share | $ | 7.97 | $ | 14.36 | $ | 9.52 | $ | 12.99 |
The accompanying notes are an integral part of these financial statements.
Page 47
Statements of Operations
Period Ended December 31, 2015
Baird | ||||||||||||||||
Baird | Baird | Small/Mid | Baird | |||||||||||||
LargeCap | MidCap | Cap Value | SmallCap | |||||||||||||
Fund | Fund | Fund^ | Value Fund | |||||||||||||
INVESTMENT INCOME: | ||||||||||||||||
Dividends (net of foreign taxes withheld | ||||||||||||||||
of $0, $8,878, $0 and $0, respectively) | $ | 766,751 | $ | 7,833,809 | $ | 11,413 | $ | 447,337 | ||||||||
Interest | 750 | 51,676 | 86 | 1,580 | ||||||||||||
Other income | 3,443 | 11,980 | — | 1 | ||||||||||||
Total investment income | 770,944 | 7,897,465 | 11,499 | 448,918 | ||||||||||||
EXPENSES: | ||||||||||||||||
Investment advisory fees | 259,924 | 9,525,399 | 3,196 | 218,718 | ||||||||||||
Administration fees | 5,396 | 99,916 | 48 | 3,689 | ||||||||||||
Shareholder servicing fees | 15,442 | 125,018 | 3,300 | 15,251 | ||||||||||||
Fund accounting fees | 16,147 | 68,474 | 246 | 15,259 | ||||||||||||
Professional fees | 39,580 | 40,376 | 11,800 | 40,630 | ||||||||||||
Federal and state registration | 49,197 | 90,679 | 3,474 | 40,509 | ||||||||||||
Directors fees | 47,575 | 47,748 | 4,000 | 47,627 | ||||||||||||
Custody fees | 7,378 | 29,350 | 82 | 4,257 | ||||||||||||
Reports to shareholders | 1,949 | 83,723 | 1,300 | 1,750 | ||||||||||||
Miscellaneous expenses | 1,018 | 4,532 | 5 | 995 | ||||||||||||
Distribution expense – | ||||||||||||||||
Investor Class Shares (Note 8) | 3,185 | 508,632 | 4 | 5,494 | ||||||||||||
Total expenses | 446,791 | 10,623,847 | 27,455 | 394,179 | ||||||||||||
Fee waiver/recoupment by Advisor (Note 5) | (143,538 | ) | 41,882 | (23,659 | ) | (131,370 | ) | |||||||||
Net expenses | 303,253 | 10,665,729 | 3,796 | 262,809 | ||||||||||||
NET INVESTMENT INCOME (LOSS) | 467,691 | (2,768,264 | ) | 7,703 | 186,109 | |||||||||||
REALIZED AND UNREALIZED | ||||||||||||||||
GAIN (LOSS) ON INVESTMENTS: | ||||||||||||||||
Net realized gain (loss) on investments | 1,215,765 | (27,744,335 | ) | (39,584 | ) | (676,064 | ) | |||||||||
Change in unrealized depreciation | ||||||||||||||||
on investments | (3,284,296 | ) | (22,515,811 | ) | (194,702 | ) | (826,483 | ) | ||||||||
Net realized and unrealized loss | ||||||||||||||||
on investments | (2,068,531 | ) | (50,260,146 | ) | (234,286 | ) | (1,502,547 | ) | ||||||||
NET DECREASE IN NET ASSETS | ||||||||||||||||
RESULTING FROM OPERATIONS | $ | (1,600,840 | ) | $ | (53,028,410 | ) | $ | (226,583 | ) | $ | (1,316,438 | ) |
^ | Inception of the Baird Small/Mid Cap Value Fund was the close of business on November 30, 2015. |
The accompanying notes are an integral part of these financial statements.
Page 48
Statement of Changes in Net Assets
Baird LargeCap Fund
Year Ended | Year Ended | |||||||
December 31, 2015 | December 31, 2014 | |||||||
OPERATIONS: | ||||||||
Net investment income | $ | 467,691 | $ | 361,522 | ||||
Net realized gain on investments | 1,215,765 | 837,245 | ||||||
Change in unrealized appreciation/depreciation | ||||||||
on investments | (3,284,296 | ) | 3,634,313 | |||||
Net increase (decrease) in net assets resulting from operations | (1,600,840 | ) | 4,833,080 | |||||
CAPITAL SHARE TRANSACTIONS: | ||||||||
Proceeds from shares sold | 7,717,424 | 13,065,266 | ||||||
Shares issued to holders in reinvestment of distributions | 2,431,224 | 824,279 | ||||||
Cost of shares redeemed | (10,040,992 | ) | (5,923,052 | ) | ||||
Net increase in net assets resulting | ||||||||
from capital share transactions | 107,656 | 7,966,493 | ||||||
DISTRIBUTIONS TO | ||||||||
INSTITUTIONAL CLASS SHAREHOLDERS: | ||||||||
From net investment income | (469,154 | ) | (354,933 | ) | ||||
From net realized gains | (1,918,299 | ) | (446,433 | ) | ||||
Total Distributions | (2,387,453 | ) | (801,366 | ) | ||||
DISTRIBUTIONS TO | ||||||||
INVESTOR CLASS SHAREHOLDERS: | ||||||||
From net investment income | (6,047 | ) | (9,164 | ) | ||||
From net realized gains | (37,847 | ) | (13,750 | ) | ||||
Total Distributions | (43,894 | ) | (22,914 | ) | ||||
TOTAL INCREASE (DECREASE) IN NET ASSETS | (3,924,531 | ) | 11,975,293 | |||||
NET ASSETS: | ||||||||
Beginning of year | 40,175,502 | 28,200,209 | ||||||
End of year | $ | 36,250,971 | $ | 40,175,502 |
The accompanying notes are an integral part of these financial statements.
Page 49
Statement of Changes in Net Assets
Baird MidCap Fund
Year Ended | Year Ended | |||||||
December 31, 2015 | December 31, 2014 | |||||||
OPERATIONS: | ||||||||
Net investment loss | $ | (2,768,264 | ) | $ | (2,059,677 | ) | ||
Net realized gain (loss) on investments | (27,744,335 | ) | 11,854,713 | |||||
Change in unrealized appreciation/depreciation | ||||||||
on investments | (22,515,811 | ) | 31,922,782 | |||||
Net increase (decrease) in net assets resulting from operations | (53,028,410 | ) | 41,717,818 | |||||
CAPITAL SHARE TRANSACTIONS: | ||||||||
Proceeds from shares sold | 449,697,294 | 963,929,395 | ||||||
Shares issued to holders in reinvestment of distributions | 1,614,082 | 10,127,896 | ||||||
Cost of shares redeemed | (293,658,295 | ) | (317,272,798 | ) | ||||
Net increase in net assets resulting | ||||||||
from capital share transactions | 157,653,081 | 656,784,493 | ||||||
DISTRIBUTIONS TO | ||||||||
INSTITUTIONAL CLASS SHAREHOLDERS: | ||||||||
From net realized gains | (1,484,630 | ) | (9,261,206 | ) | ||||
Total Distributions | (1,484,630 | ) | (9,261,206 | ) | ||||
DISTRIBUTIONS TO | ||||||||
INVESTOR CLASS SHAREHOLDERS: | ||||||||
From net realized gains | (278,941 | ) | (2,129,486 | ) | ||||
Total Distributions | (278,941 | ) | (2,129,486 | ) | ||||
TOTAL INCREASE IN NET ASSETS | 102,861,100 | 687,111,619 | ||||||
NET ASSETS: | ||||||||
Beginning of year | 1,116,264,231 | 429,152,612 | ||||||
End of year | $ | 1,219,125,331 | $ | 1,116,264,231 |
The accompanying notes are an integral part of these financial statements.
Page 50
Statement of Changes in Net Assets
Baird Small/Mid Cap Value Fund
November 30, 2015^ | ||||
through | ||||
December 31, 2015 | ||||
OPERATIONS: | ||||
Net investment income | $ | 7,703 | ||
Net realized loss on investments | (39,584 | ) | ||
Change in unrealized depreciation on investments | (194,702 | ) | ||
Net decrease in net assets resulting from operations | (226,583 | ) | ||
CAPITAL SHARE TRANSACTIONS: | ||||
Proceeds from shares sold | 4,960,000 | |||
Shares issued to holders in reinvestment of distributions | 7,184 | |||
Net increase in net assets resulting from capital share transactions | 4,967,184 | |||
DISTRIBUTIONS TO INSTITUTIONAL CLASS SHAREHOLDERS: | ||||
From net investment income | (7,158 | ) | ||
Total Distributions | (7,158 | ) | ||
DISTRIBUTIONS TO INVESTOR CLASS SHAREHOLDERS: | ||||
From net investment income | (26 | ) | ||
Total Distributions | (26 | ) | ||
TOTAL INCREASE IN NET ASSETS | 4,733,417 | |||
NET ASSETS: | ||||
Beginning of period | — | |||
End of period (including undistributed net investment income of $289) | $ | 4,733,417 |
^ | Inception was the close of business on November 30, 2015. |
The accompanying notes are an integral part of these financial statements.
Page 51
Statement of Changes in Net Assets
Baird SmallCap Value Fund
Year Ended | Year Ended | |||||||
December 31, 2015 | December 31, 2014 | |||||||
OPERATIONS: | ||||||||
Net investment income | $ | 186,109 | $ | 82,969 | ||||
Net realized gain (loss) on investments | (676,064 | ) | 280,519 | |||||
Change in unrealized depreciation on investments | (826,483 | ) | (211,518 | ) | ||||
Net increase (decrease) in net assets resulting from operations | (1,316,438 | ) | 151,970 | |||||
CAPITAL SHARE TRANSACTIONS: | ||||||||
Proceeds from shares sold | 5,084,558 | 9,218,037 | ||||||
Shares issued to holders in reinvestment of distributions | 133,162 | 399,253 | ||||||
Cost of shares redeemed | (4,171,336 | ) | (3,881,622 | ) | ||||
Net increase in net assets resulting | ||||||||
from capital share transactions | 1,046,384 | 5,735,668 | ||||||
DISTRIBUTIONS TO | ||||||||
INSTITUTIONAL CLASS SHAREHOLDERS: | ||||||||
From net investment income | (148,738 | ) | (76,463 | ) | ||||
From net realized gains | — | (340,398 | ) | |||||
Total Distributions | (148,738 | ) | (416,861 | ) | ||||
DISTRIBUTIONS TO | ||||||||
INVESTOR CLASS SHAREHOLDERS: | ||||||||
From net investment income | (8,071 | ) | (2,430 | ) | ||||
From net realized gains | — | (30,893 | ) | |||||
Total Distributions | (8,071 | ) | (33,323 | ) | ||||
TOTAL INCREASE (DECREASE) IN NET ASSETS | (426,863 | ) | 5,437,454 | |||||
NET ASSETS: | ||||||||
Beginning of year | 25,553,431 | 20,115,977 | ||||||
End of year (including undistributed net investment | ||||||||
income of $7,487 and $0, respectively) | $ | 25,126,568 | $ | 25,553,431 |
The accompanying notes are an integral part of these financial statements.
Page 52
Financial Highlights
Baird LargeCap Fund – Institutional Class
Year Ended December 31, | ||||||||||||||||||||
2015 | 2014 | 2013(1) | 2012 | 2011 | ||||||||||||||||
Per Share Data: | ||||||||||||||||||||
Net asset value, beginning of year | $ | 8.93 | $ | 7.92 | $ | 9.86 | $ | 8.71 | $ | 8.93 | ||||||||||
Income from | ||||||||||||||||||||
investment operations: | ||||||||||||||||||||
Net investment income | 0.10 | (2) | 0.09 | (2) | 0.03 | (2) | 0.04 | (2) | 0.01 | |||||||||||
Net realized and unrealized | ||||||||||||||||||||
gains (losses) on investments | (0.45 | ) | 1.10 | 3.16 | 1.15 | (0.22 | ) | |||||||||||||
Total from investment operations | (0.35 | ) | 1.19 | 3.19 | 1.19 | (0.21 | ) | |||||||||||||
Less distributions: | ||||||||||||||||||||
Distributions from | ||||||||||||||||||||
net investment income | (0.11 | ) | (0.08 | ) | (0.04 | ) | (0.04 | ) | (0.01 | ) | ||||||||||
Distributions from | ||||||||||||||||||||
net realized gains | (0.46 | ) | (0.10 | ) | (5.09 | ) | — | — | ||||||||||||
Total distributions | (0.57 | ) | (0.18 | ) | (5.13 | ) | (0.04 | ) | (0.01 | ) | ||||||||||
Net asset value, end of year | $ | 8.01 | $ | 8.93 | $ | 7.92 | $ | 9.86 | $ | 8.71 | ||||||||||
Total return | (3.94 | )% | 15.09 | % | 32.68 | % | 13.62 | % | (2.34 | )% | ||||||||||
Supplemental data and ratios: | ||||||||||||||||||||
Net assets, end of year (millions) | $ | 35.6 | $ | 39.0 | $ | 28.0 | $ | 24.0 | $ | 20.5 | ||||||||||
Ratio of expenses to | ||||||||||||||||||||
average net assets | 0.75 | % | 0.75 | % | 0.75 | % | 0.75 | % | 0.75 | % | ||||||||||
Ratio of expenses to average | ||||||||||||||||||||
net assets (before waivers) | 1.11 | % | 1.17 | % | 1.24 | % | 1.34 | % | 1.35 | % | ||||||||||
Ratio of net investment income | ||||||||||||||||||||
to average net assets | 1.18 | % | 1.08 | % | 0.28 | % | 0.37 | % | 0.12 | % | ||||||||||
Ratio of net investment income (loss) | ||||||||||||||||||||
to average net assets (before waivers) | 0.82 | % | 0.66 | % | (0.21 | )% | (0.22 | )% | (0.48 | )% | ||||||||||
Portfolio turnover rate(3) | 86.5 | % | 88.2 | % | 127.7 | % | 39.2 | % | 38.2 | % |
(1) | Effective December 23, 2013, Baird Kailash Group, LLC became the Fund’s subadviser. |
(2) | Calculated using average shares outstanding during the year. |
(3) | 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 53
Financial Highlights
Baird LargeCap Fund – Investor Class
Year Ended December 31, | ||||||||||||||||||||
2015 | 2014 | 2013(1) | 2012 | 2011 | ||||||||||||||||
Per Share Data: | ||||||||||||||||||||
Net asset value, beginning of year | $ | 8.87 | $ | 7.87 | $ | 9.82 | $ | 8.68 | $ | 8.91 | ||||||||||
Income from | ||||||||||||||||||||
investment operations: | ||||||||||||||||||||
Net investment income (loss) | 0.08 | (2) | 0.05 | (2) | 0.00 | (2)(3) | 0.01 | (2) | (0.01 | ) | ||||||||||
Net realized and unrealized | ||||||||||||||||||||
gains (losses) on investments | (0.45 | ) | 1.12 | 3.14 | 1.15 | (0.22 | ) | |||||||||||||
Total from investment operations | (0.37 | ) | 1.17 | 3.14 | 1.16 | (0.23 | ) | |||||||||||||
Less distributions: | ||||||||||||||||||||
Distributions from | ||||||||||||||||||||
net investment income | (0.07 | ) | (0.07 | ) | — | (0.02 | ) | — | ||||||||||||
Distributions from | ||||||||||||||||||||
net realized gains | (0.46 | ) | (0.10 | ) | (5.09 | ) | — | — | ||||||||||||
Total distributions | (0.53 | ) | (0.17 | ) | (5.09 | ) | (0.02 | ) | — | |||||||||||
Net asset value, end of year | $ | 7.97 | $ | 8.87 | $ | 7.87 | $ | 9.82 | $ | 8.68 | ||||||||||
Total return | (4.18 | )% | 14.89 | % | 32.34 | % | 13.32 | % | (2.58 | )% | ||||||||||
Supplemental data and ratios: | ||||||||||||||||||||
Net assets, end of year (millions) | $ | 0.6 | $ | 1.2 | $ | 0.2 | $ | 0.4 | $ | 0.2 | ||||||||||
Ratio of expenses to | ||||||||||||||||||||
average net assets | 1.00 | % | 1.00 | % | 1.00 | % | 1.00 | % | 1.00 | % | ||||||||||
Ratio of expenses to average | ||||||||||||||||||||
net assets (before waivers) | 1.36 | % | 1.42 | % | 1.49 | % | 1.59 | % | 1.60 | % | ||||||||||
Ratio of net investment income (loss) | ||||||||||||||||||||
to average net assets | 0.93 | % | 0.83 | % | 0.03 | % | 0.12 | % | (0.13 | )% | ||||||||||
Ratio of net investment income (loss) | ||||||||||||||||||||
to average net assets (before waivers) | 0.57 | % | 0.41 | % | (0.46 | )% | (0.47 | )% | (0.73 | )% | ||||||||||
Portfolio turnover rate(4) | 86.5 | % | 88.2 | % | 127.7 | % | 39.2 | % | 38.2 | % |
(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) | 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 54
Financial Highlights
Baird MidCap Fund – Institutional Class
Year Ended December 31, | ||||||||||||||||||||
2015 | 2014 | 2013 | 2012 | 2011 | ||||||||||||||||
Per Share Data: | ||||||||||||||||||||
Net asset value, beginning of year | $ | 15.57 | $ | 15.00 | $ | 11.52 | $ | 9.98 | $ | 10.04 | ||||||||||
Income from | ||||||||||||||||||||
investment operations: | ||||||||||||||||||||
Net investment income (loss) | (0.03 | )(1) | (0.03 | )(1) | (0.01 | ) | 0.07 | (1) | (0.01 | )(1) | ||||||||||
Net realized and unrealized | ||||||||||||||||||||
gains (losses) on investments | (0.53 | ) | 0.76 | 3.80 | 1.57 | 0.54 | ||||||||||||||
Total from investment operations | (0.56 | ) | 0.73 | 3.79 | 1.64 | 0.53 | ||||||||||||||
Less distributions: | ||||||||||||||||||||
Distributions from | ||||||||||||||||||||
net investment income | — | — | — | (0.04 | ) | — | ||||||||||||||
Distributions from | ||||||||||||||||||||
net realized gains | (0.02 | ) | (0.16 | ) | (0.31 | ) | (0.06 | ) | (0.59 | ) | ||||||||||
Total distributions | (0.02 | ) | (0.16 | ) | (0.31 | ) | (0.10 | ) | (0.59 | ) | ||||||||||
Net asset value, end of year | $ | 14.99 | $ | 15.57 | $ | 15.00 | $ | 11.52 | $ | 9.98 | ||||||||||
Total return | (3.59 | )% | 4.85 | % | 32.90 | % | 16.49 | % | 5.19 | % | ||||||||||
Supplemental data and ratios: | ||||||||||||||||||||
Net assets, end of year (millions) | $ | 1,035.0 | $ | 910.9 | $ | 286.1 | $ | 137.2 | $ | 40.9 | ||||||||||
Ratio of expenses to | ||||||||||||||||||||
average net assets | 0.80 | % | 0.85 | % | 0.85 | % | 0.85 | % | 0.85 | % | ||||||||||
Ratio of expenses to average | ||||||||||||||||||||
net assets (before waivers/recoupments) | 0.80 | % | 0.87 | % | 0.87 | % | 0.97 | % | 1.21 | % | ||||||||||
Ratio of net investment income (loss) | ||||||||||||||||||||
to average net assets | (0.18 | )% | (0.17 | )% | (0.04 | )% | 0.65 | % | (0.10 | )% | ||||||||||
Ratio of net investment income (loss) | ||||||||||||||||||||
to average net assets (before waivers) | (0.18 | )% | (0.19 | )% | (0.06 | )% | 0.53 | % | (0.46 | )% | ||||||||||
Portfolio turnover rate(2) | 52.8 | % | 37.3 | % | 36.3 | % | 29.5 | % | 44.8 | % |
(1) | Calculated using average shares outstanding during the year. |
(2) | 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 55
Financial Highlights
Baird MidCap Fund – Investor Class
Year Ended December 31, | ||||||||||||||||||||
2015 | 2014 | 2013 | 2012 | 2011 | ||||||||||||||||
Per Share Data: | ||||||||||||||||||||
Net asset value, beginning of year | $ | 14.96 | $ | 14.45 | $ | 11.13 | $ | 9.66 | $ | 9.76 | ||||||||||
Income from | ||||||||||||||||||||
investment operations: | ||||||||||||||||||||
Net investment income (loss) | (0.06 | )(1) | (0.06 | )(1) | (0.03 | ) | 0.04 | (1) | (0.03 | )(1) | ||||||||||
Net realized and unrealized | ||||||||||||||||||||
gains (losses) on investments | (0.52 | ) | 0.73 | 3.66 | 1.52 | 0.52 | ||||||||||||||
Total from investment operations | (0.58 | ) | 0.67 | 3.63 | 1.56 | 0.49 | ||||||||||||||
Less distributions: | ||||||||||||||||||||
Distributions from net | ||||||||||||||||||||
investment income | — | — | — | (0.03 | ) | — | ||||||||||||||
Distributions from | ||||||||||||||||||||
net realized gains | (0.02 | ) | (0.16 | ) | (0.31 | ) | (0.06 | ) | (0.59 | ) | ||||||||||
Total distributions | (0.02 | ) | (0.16 | ) | (0.31 | ) | (0.09 | ) | (0.59 | ) | ||||||||||
Net asset value, end of year | $ | 14.36 | $ | 14.96 | $ | 14.45 | $ | 11.13 | $ | 9.66 | ||||||||||
Total return | (3.80 | )% | 4.62 | % | 32.62 | % | 16.16 | % | 4.93 | % | ||||||||||
Supplemental data and ratios: | ||||||||||||||||||||
Net assets, end of year (millions) | $ | 184.1 | $ | 205.4 | $ | 143.1 | $ | 84.1 | $ | 2.6 | ||||||||||
Ratio of expenses to | ||||||||||||||||||||
average net assets | 1.05 | % | 1.10 | % | 1.10 | % | 1.10 | % | 1.10 | % | ||||||||||
Ratio of expenses to average | ||||||||||||||||||||
net assets (before waivers/recoupments) | 1.05 | % | 1.12 | % | 1.12 | % | 1.22 | % | 1.46 | % | ||||||||||
Ratio of net investment income (loss) | ||||||||||||||||||||
to average net assets | (0.43 | )% | (0.42 | )% | (0.29 | )% | 0.40 | % | (0.35 | )% | ||||||||||
Ratio of net investment income (loss) | ||||||||||||||||||||
to average net assets (before waivers) | (0.43 | )% | (0.44 | )% | (0.31 | )% | 0.28 | % | (0.71 | )% | ||||||||||
Portfolio turnover rate(2) | 52.8 | % | 37.3 | % | 36.3 | % | 29.5 | % | 44.8 | % |
(1) | Calculated using average shares outstanding during the year. |
(2) | 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 56
Financial Highlights
Baird Small/Mid Cap Value Fund – Institutional Class
November 30, 2015^ | ||||
through | ||||
December 31, 2015 | ||||
Per Share Data: | ||||
Net asset value, beginning of period | $ | 10.00 | ||
Income from investment operations: | ||||
Net investment income | 0.02 | (1) | ||
Net realized and unrealized loss on investments | (0.49 | ) | ||
Total from investment operations | (0.47 | ) | ||
Less distributions: | ||||
Distributions from net investment income | (0.01 | ) | ||
Total distributions | (0.01 | ) | ||
Net asset value, end of period | $ | 9.52 | ||
Total return | (4.66 | )%(2) | ||
Supplemental data and ratios: | ||||
Net assets, end of period (millions) | $ | 4.7 | ||
Ratio of expenses to average net assets | 0.95 | %(3) | ||
Ratio of expenses to average net assets (before waivers) | 6.88 | %(3) | ||
Ratio of net investment income to average net assets | 1.96 | %(3) | ||
Ratio of net investment loss to average net assets (before waivers) | (3.97 | )%(3) | ||
Portfolio turnover rate(4) | 14.7 | %(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 57
Financial Highlights
Baird Small/Mid Cap Value Fund – Investor Class
November 30, 2015^ | ||||
through | ||||
December 31, 2015 | ||||
Per Share Data: | ||||
Net asset value, beginning of period | $ | 10.00 | ||
Income from investment operations: | ||||
Net investment income | 0.01 | (1) | ||
Net realized and unrealized gain on investments | (0.48 | ) | ||
Total from investment operations | (0.47 | ) | ||
Less distributions: | ||||
Distributions from net investment income | (0.01 | ) | ||
Total distributions | (0.01 | ) | ||
Net asset value, end of period | $ | 9.52 | ||
Total return | (4.67 | )%(2) | ||
Supplemental data and ratios: | ||||
Net assets, end of period (thousands) | $ | 19.0 | ||
Ratio of expenses to average net assets | 1.20 | %(3) | ||
Ratio of expenses to average net assets (before waivers) | 7.13 | %(3) | ||
Ratio of net investment income to average net assets | 1.71 | %(3) | ||
Ratio of net investment loss to average net assets (before waivers) | (4.22 | )%(3) | ||
Portfolio turnover rate(4) | 14.7 | %(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 58
Financial Highlights
Baird SmallCap Value Fund – Institutional Class
May 1, 2012^ | ||||||||||||||||
through | ||||||||||||||||
Year Ended December 31, | December 31, | |||||||||||||||
2015 | 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(1) | 0.11 | 0.05 | 0.07 | 0.15 | ||||||||||||
Net realized and unrealized | ||||||||||||||||
gains (losses) on investments | (0.82 | ) | 0.01 | 3.99 | 0.20 | |||||||||||
Total from investment operations | (0.71 | ) | 0.06 | 4.06 | 0.35 | |||||||||||
Less distributions: | ||||||||||||||||
Distributions from net investment income | (0.08 | ) | (0.05 | ) | (0.05 | ) | (0.12 | ) | ||||||||
Distributions from net realized gains | — | (0.20 | ) | (0.20 | ) | (0.03 | ) | |||||||||
Total distributions | (0.08 | ) | (0.25 | ) | (0.25 | ) | (0.15 | ) | ||||||||
Net asset value, end of period | $ | 13.03 | $ | 13.82 | $ | 14.01 | $ | 10.20 | ||||||||
Total return | (5.11 | )% | 0.42 | % | 39.85 | % | 3.52 | %(2) | ||||||||
Supplemental data and ratios: | ||||||||||||||||
Net assets, end of period (millions) | $ | 23.1 | $ | 23.5 | $ | 19.0 | $ | 8.1 | ||||||||
Ratio of expenses to average net assets | 1.00 | % | 1.00 | % | 1.00 | % | 1.00 | %(3) | ||||||||
Ratio of expenses to average | ||||||||||||||||
net assets (before waivers) | 1.51 | % | 1.55 | % | 2.02 | % | 3.06 | %(3) | ||||||||
Ratio of net investment income | ||||||||||||||||
to average net assets | 0.79 | % | 0.36 | % | 0.71 | % | 2.32 | %(3) | ||||||||
Ratio of net investment income (loss) | ||||||||||||||||
to average net assets (before waivers) | 0.28 | % | (0.19 | )% | (0.31 | )% | 0.26 | %(3) | ||||||||
Portfolio turnover rate(4) | 42.1 | % | 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 59
Financial Highlights
Baird SmallCap Value Fund – Investor Class
May 1, 2012^ | ||||||||||||||||
through | ||||||||||||||||
Year Ended December 31, | December 31, | |||||||||||||||
2015 | 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(1) | 0.07 | 0.02 | 0.04 | 0.14 | ||||||||||||
Net realized and unrealized | ||||||||||||||||
gains (losses) on investments | (0.81 | ) | 0.00 | (2) | 3.99 | 0.19 | ||||||||||
Total from investment operations | (0.74 | ) | 0.02 | 4.03 | 0.33 | |||||||||||
Less distributions: | ||||||||||||||||
Distributions from net investment income | (0.05 | ) | (0.02 | ) | (0.04 | ) | (0.11 | ) | ||||||||
Distributions from net realized gains | — | (0.20 | ) | (0.20 | ) | (0.03 | ) | |||||||||
Total distributions | (0.05 | ) | (0.22 | ) | (0.24 | ) | (0.14 | ) | ||||||||
Net asset value, end of period | $ | 12.99 | $ | 13.78 | $ | 13.98 | $ | 10.19 | ||||||||
Total return | (5.37 | )% | 0.13 | % | 39.58 | % | 3.32 | %(3) | ||||||||
Supplemental data and ratios: | ||||||||||||||||
Net assets, end of period (millions) | $ | 2.0 | $ | 2.1 | $ | 1.1 | $ | 0.2 | ||||||||
Ratio of expenses to average net assets | 1.25 | % | 1.25 | % | 1.25 | % | 1.25 | %(4) | ||||||||
Ratio of expenses to average | ||||||||||||||||
net assets (before waivers) | 1.76 | % | 1.80 | % | 2.27 | % | 3.31 | %(4) | ||||||||
Ratio of net investment income | ||||||||||||||||
to average net assets | 0.54 | % | 0.11 | % | 0.46 | % | 2.07 | %(4) | ||||||||
Ratio of net investment income (loss) | ||||||||||||||||
to average net assets (before waivers) | 0.03 | % | (0.44 | )% | (0.56 | )% | 0.01 | %(4) | ||||||||
Portfolio turnover rate(5) | 42.1 | % | 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 60
Notes to the Financial Statements
December 31, 2015
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, the Baird Small/Mid Cap Value Fund and the Baird SmallCap Value Fund (each a “Fund” and collectively the “Funds”), four of the thirteen 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 Small/Mid Cap Value Fund commenced with the sale of both Institutional and Investor Class Shares on November 30, 2015. The Baird SmallCap Value Fund commenced with the sale of both Institutional and Investor Class Shares on May 1, 2012. Institutional Class shares are not subject to a distribution and service (12b-1) fee, while 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 Small/Mid Cap Value Fund seeks long-term growth of capital through investments in equity securities of small- to mid-capitalization companies.
The Baird SmallCap Value Fund seeks long-term growth of capital through investments in equity securities of small-capitalization companies.
On December 31, 2015, shareholders affiliated with the Advisor held 90% of the Institutional Class shares of the Baird LargeCap Fund, 96% of the Institutional Class shares of the Baird Small/Mid Cap Value Fund and 52% 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). |
Page 61
Notes to the Financial Statements
December 31, 2015
2. | Significant Accounting Policies (cont.) |
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 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 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 December 31, 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, 2015, or for any other tax years which are open for exam. As of December 31, 2015, open tax years include the |
Page 62
Notes to the Financial Statements
December 31, 2015
2. | Significant Accounting Policies (cont.) |
tax years ended December 31, 2012 through 2015. The Funds are not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next 12 months. The Funds recognize interest and penalties, if any, related to unrecognized tax benefits as interest expense and other expense, respectively, in the Statement of Operations. During the year, the Funds did not incur any interest or penalties. | |
d) | Distributions to Shareholders – Dividends from net investment income, if any, are declared and paid annually. Distributions of net realized capital gains, if any, are declared and paid at least annually. The book basis character of distributions may differ from their ultimate characterization for Federal income tax purposes. |
e) | Allocation of Income and Expenses – Each Fund is charged for those expenses directly attributable to it. Expenses directly attributable to a class of shares, such as Rule 12b-1 distribution fees, are charged to that class of shares. Income, expenses and realized and unrealized gains and losses are allocated to the classes based on their respective net assets. Expenses that are not directly attributable to a Fund are allocated among the Funds in the series 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 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. See Note 6 for additional information. |
In May 2015, the Financial Accounting Standards Board (“FASB”) issued Accounting Standards Update (“ASU”) No. 2015-07 “Disclosure for Investments in Certain Entities that Calculate Net Asset Value per Share (or Its Equivalent)”. The amendments in ASU No. 2015-07 remove the requirement to categorize within the fair value hierarchy investments measured using the NAV practical expedient. The ASU also removes certain disclosure requirements for investments that qualify, but do not utilize, the NAV practical expedient. The amendments in the ASU are effective for fiscal years beginning after December 15, 2015, and interim periods within those fiscal years. Management is currently evaluating the impact these changes will have on the Funds’ financial statements and related disclosures. |
Page 63
Notes to the Financial Statements
December 31, 2015
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 | ||||||||||||||||
Year Ended | Year Ended | ||||||||||||||||
December 31, 2015 | December 31, 2015 | ||||||||||||||||
Shares | Amount | Shares | Amount | ||||||||||||||
Shares sold | 741,344 | $ | 6,555,160 | Shares sold | 129,900 | $ | 1,162,264 | ||||||||||
Shares issued to | Shares issued to | ||||||||||||||||
shareholders in | shareholders in | ||||||||||||||||
reinvestment | reinvestment | ||||||||||||||||
of dividends | 295,843 | 2,387,452 | of dividends | 5,451 | 43,772 | ||||||||||||
Shares redeemed | (949,026 | ) | (8,371,963 | ) | Shares redeemed | (196,702 | ) | (1,669,029 | ) | ||||||||
Net increase | 88,161 | $ | 570,649 | Net decrease | (61,351 | ) | $ | (462,993 | ) | ||||||||
Shares Outstanding: | Shares Outstanding: | ||||||||||||||||
Beginning of year | 4,361,175 | Beginning of year | 136,832 | ||||||||||||||
End of year | 4,449,336 | End of year | 75,481 | ||||||||||||||
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 64
Notes to the Financial Statements
December 31, 2015
3. | Capital Share Transactions (cont.) |
Baird MidCap Fund
Institutional Class Shares | Investor Class Shares | ||||||||||||||||
Year Ended | Year Ended | ||||||||||||||||
December 31, 2015 | December 31, 2015 | ||||||||||||||||
Shares | Amount | Shares | Amount | ||||||||||||||
Shares sold | 24,895,673 | $ | 397,319,033 | Shares sold | 3,431,190 | $ | 52,378,261 | ||||||||||
Shares issued to | Shares issued to | ||||||||||||||||
shareholders in | shareholders in | ||||||||||||||||
reinvestment | reinvestment | ||||||||||||||||
of dividends | 88,675 | 1,340,418 | of dividends | 18,891 | 273,664 | ||||||||||||
Shares redeemed | (14,443,816 | ) | (227,556,679 | ) | Shares redeemed | (4,362,243 | ) | (66,101,616 | ) | ||||||||
Net increase | 10,540,532 | $ | 171,102,772 | Net decrease | (912,162 | ) | $ | (13,449,691 | ) | ||||||||
Shares Outstanding: | Shares Outstanding: | ||||||||||||||||
Beginning of year | 58,500,521 | Beginning of year | 13,729,522 | ||||||||||||||
End of year | 69,041,053 | End of year | 12,817,360 | ||||||||||||||
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 | ||||||||||||||
Baird Small/Mid Cap Value Fund^ | |||||||||||||||||
Institutional Class Shares | Investor Class Shares | ||||||||||||||||
Period Ended | Period Ended | ||||||||||||||||
December 31, 2015 | December 31, 2015 | ||||||||||||||||
Shares | Amount | Shares | Amount | ||||||||||||||
Shares sold | 494,559 | $ | 4,940,000 | Shares sold | 2,000 | $ | 20,000 | ||||||||||
Shares issued to | Shares issued to | ||||||||||||||||
shareholders in | shareholders in | ||||||||||||||||
reinvestment | reinvestment | ||||||||||||||||
of dividends | 747 | 7,158 | of dividends | 3 | 26 | ||||||||||||
Net increase | 495,306 | $ | 4,947,158 | Net increase | 2,003 | $ | 20,026 | ||||||||||
Shares Outstanding: | Shares Outstanding: | ||||||||||||||||
Beginning of period | — | Beginning of period | — | ||||||||||||||
End of period | 495,306 | End of period | 2,003 |
^ Inception was the close of business on November 30, 2015.
Page 65
Notes to the Financial Statements
December 31, 2015
3. | Capital Share Transactions (cont.) |
Baird SmallCap Value Fund
Institutional Class Shares | Investor Class Shares | ||||||||||||||||
Year Ended | Year Ended | ||||||||||||||||
December 31, 2015 | December 31, 2015 | ||||||||||||||||
Shares | Amount | Shares | Amount | ||||||||||||||
Shares sold | 340,633 | $ | 4,606,208 | Shares sold | 35,000 | $ | 478,350 | ||||||||||
Shares issued to | Shares issued to | ||||||||||||||||
shareholders in | shareholders in | ||||||||||||||||
reinvestment | reinvestment | ||||||||||||||||
of dividends | 9,857 | 129,529 | of dividends | 277 | 3,633 | ||||||||||||
Shares redeemed | (272,018 | ) | (3,706,223 | ) | Shares redeemed | (34,792 | ) | (465,113 | ) | ||||||||
Net increase | 78,472 | $ | 1,029,514 | Net increase | 485 | $ | 16,870 | ||||||||||
Shares Outstanding: | Shares Outstanding: | ||||||||||||||||
Beginning of year | 1,697,207 | Beginning of year | 152,417 | ||||||||||||||
End of year | 1,775,679 | End of year | 152,902 | ||||||||||||||
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 year ended December 31, 2015, purchases and sales of investment securities (excluding short-term investments) were as follows:
Baird | Baird | Baird Small/Mid | Baird SmallCap | ||
LargeCap Fund | MidCap Fund | Cap Value Fund^ | Value Fund | ||
Purchases: | $33,527,697 | $802,502,678 | $4,979,311 | $10,282,472 | |
Sales: | $33,784,268 | $639,818,558 | $ 322,563 | $10,154,441 |
^ Inception was the close of business on November 30, 2015.
The Baird LargeCap Fund, Baird MidCap Fund and Baird SmallCap Value Fund did not purchase or sell U.S. Government securities during the year ended December 31, 2015. The Baird Small/Mid Cap Value Fund did not purchase or sell U.S. Government securities during the period November 30, 2015 through December 31, 2015.
Page 66
Notes to the Financial Statements
December 31, 2015
4. | Investment Transactions and Income Tax Information (cont.) |
At December 31, 2015, accumulated earnings/losses on a tax basis were as follows:
Baird | ||||||||||||||||
Baird | Baird | Small/Mid | Baird | |||||||||||||
LargeCap | MidCap | Cap | SmallCap | |||||||||||||
Fund | Fund | Value Fund | Value Fund | |||||||||||||
Cost of Investments | $ | 35,712,019 | $ | 1,117,935,880 | $ | 4,925,435 | $ | 22,030,410 | ||||||||
Gross unrealized appreciation | 2,943,658 | 181,880,311 | 29,694 | 4,551,108 | ||||||||||||
Gross unrealized depreciation | (2,397,998 | ) | (76,205,148 | ) | (224,396 | ) | (1,477,718 | ) | ||||||||
Net unrealized | ||||||||||||||||
appreciation (depreciation) | $ | 545,660 | $ | 105,675,163 | $ | (194,702 | ) | $ | 3,073,390 | |||||||
Undistributed ordinary income | — | — | 289 | 7,487 | ||||||||||||
Total distributable earnings | $ | — | $ | — | $ | 289 | $ | 7,487 | ||||||||
Other accumulated losses | (310,635 | ) | (28,213,156 | ) | (39,354 | ) | (753,932 | ) | ||||||||
Total accumulated earnings (losses) | $ | 235,025 | $ | 77,462,007 | $ | (233,767 | ) | $ | 2,326,945 |
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. For the year ended December 31, 2015, the following table shows the reclassifications made:
Undistributed Net | Accumulated Net | |||||||||||||
Investment Income/(Loss) | Realized Gain/(Loss) | Paid In Capital | ||||||||||||
Baird LargeCap Fund | $ | 7,510 | $ | (262,240 | ) | $ | 254,730 | |||||||
Baird MidCap Fund | 2,768,264 | 345 | (2,768,609 | ) | ||||||||||
Baird Small/Mid Cap Value Fund | (230 | ) | 230 | — | ||||||||||
Baird SmallCap Value Fund | (21,814 | ) | 21,814 | — |
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, 2015, Baird LargeCap Fund elected to defer capital losses occurring between November 1, 2015 and December 31, 2015 in the amount of $181,372.
To the extent the Funds realize future net capital gains, those gains will be offset by any unused capital loss carryovers. At December 31, 2015, 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 MidCap Fund | $ | 28,213,156 | Short-Term | Indefinitely | ||
Baird Small/Mid Cap Value Fund | 39,354 | Short-Term | Indefinitely | |||
Baird SmallCap Value Fund | 528,085 | Short-Term | Indefinitely | |||
225,847 | Long-Term | Indefinitely |
Page 67
Notes to the Financial Statements
December 31, 2015
4. | Investment Transactions and Income Tax Information (cont.) |
During the year ended December 31, 2015, the Funds paid the following dividends:
Ordinary Income Dividends | Long-Term Capital Gain | ||||||||
Baird LargeCap Fund | $ | 1,286,082 | $ | 1,145,265 | |||||
Baird MidCap Fund | 1,763,571 | — | |||||||
Baird Small/Mid Cap Value Fund | 7,184 | — | |||||||
Baird SmallCap Value Fund | 156,809 | — |
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, 2015. To the extent necessary to fully distribute such capital gains, the Baird LargeCap Fund designated earnings and profits distributed to shareholders on the redemption of shares.
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.
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, 0.80% for the Baird Small/Mid Cap Value 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. Certain officers of BKG are also officers of the Funds.
For the year ended December 31, 2015 and through April 30, 2017, 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 Small/Mid Cap Value Fund | 0.95% | 1.20% |
Baird SmallCap Value Fund | 1.00% | 1.25% |
Page 68
Notes to the Financial Statements
December 31, 2015
5. | Investment Advisory and Other Agreements (cont.) |
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.
Fiscal Year Ended December 31, | ||||||||||||
2015 | 2014 | 2013 | ||||||||||
Reimbursed/Absorbed Expenses Subject | ||||||||||||
to Recovered by Advisor Until: | 2018 | 2017 | 2016 | |||||||||
Baird LargeCap Fund | $ | 143,538 | $ | 140,955 | $ | 136,768 | ||||||
Baird Small/MidCap Value Fund | $ | 23,659 | N/A | N/A | ||||||||
Baird SmallCap Value Fund | $ | 131,370 | $ | 131,933 | $ | 133,188 |
The Advisor recouped $41,882 of previously waived management fees from the Baird MidCap Fund in 2015.
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. U.S. Bank is 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 is an affiliated person of an affiliated person (or a “second tier” affiliate) of the Funds.
Robert W. Baird & Co. Incorporated (the “Distributor”) is the sole distributor of the Funds pursuant to a distribution agreement.
No commissions were earned by the Distributor for services rendered as a registered broker-dealer in securities transactions for the Baird LargeCap Fund, Baird MidCap Fund and Baird SmallCap Value Fund for the year ended December 31, 2015 and the Baird Small/Mid Cap Value Fund from November 30, 2015 through December 31, 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, and an affiliate of USBFS, the Funds’ transfer agent and administrator, and a second-tier affiliate of the Funds. 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 December 31, 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.
Page 69
Notes to the Financial Statements
December 31, 2015
6. | Securities Lending (cont.) |
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 year ended December 31, 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% during 2015). For the year ended December 31, 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, Baird Small/Mid Cap Value Fund and Baird SmallCap Value Fund incurred $3,185, $508,632, $4 and $5,494, respectively, in fees pursuant to the Plan during the year ended December 31, 2015.
9. | Subsequent Event |
On February 23, 2016, the Board of Directors (the “Board”) of the Corporation approved the replacement of Baird Kailash Group, LLC (“BKG”) with L2 Asset Management, LLC (“L2”) as the subadviser to the Baird LargeCap Fund (the “LargeCap Fund”), subject to approval by shareholders of the LargeCap Fund at a special meeting to be held in April 2016. The Advisor will remain the investment advisor to the LargeCap Fund, and Matthew Malgari will remain the LargeCap Fund’s lead portfolio manager.
L2 is an SEC-registered adviser principally owned by Mr. Malgari and Sanjeev Bhojraj, Ph.D., who is proposed to be added as a co-portfolio manager for the Fund. If the new subadvisory agreement is approved by shareholders, L2 will provide the day-to-day portfolio management services to the LargeCap Fund in accordance with the LargeCap Fund’s investment objective and policies. L2 will employ the same quantitative methodology that BKG currently uses to manage the LargeCap Fund. There will be no change to the LargeCap Fund’s investment objective, strategy, fees or expenses. The LargeCap Fund will continue to pursue an investment objective of long-term growth of capital.
Additional details regarding the special meeting will be contained in a proxy statement to be mailed to the LargeCap Fund’s shareholders in advance of the meeting. L2 will begin managing the LargeCap Fund on or about May 1, 2016, subject to shareholder approval of the new subadvisory agreement.
There were no additional subsequent events since December 31, 2015 through the date the financial statements were issued that would require adjustment to or additional disclosure in these financial statements.
Page 70
Report of Independent Registered Public
Accounting Firm
Board of Directors and Shareholders
Baird Funds, Inc.
We have audited the accompanying statements of assets and liabilities of Baird LargeCap Fund, Baird MidCap Fund, Baird Small/Mid Cap Value Fund and Baird SmallCap Value Fund (four of the funds constituting Baird Funds, Inc.) (collectively, “the Funds”), including the schedules of investments, as of December 31, 2015, and the related statements of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended for the Baird LargeCap Fund and the Baird MidCap Fund; the related statement of operations, the statement of changes in net assets and the financial highlights for the period from November 30, 2015 (date of inception) through December 31, 2015 for the Baird Small/Mid Cap Value Fund; the related statement of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, and the financial highlights for each of the three years in the period then ended and for the period from May 1, 2012 (date of inception) through December 31, 2012 for the Baird SmallCap Value Fund. These financial statements are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these financial statements based on our audits.
We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audits to obtain reasonable assurance about whether the financial statements are free of material misstatement. We were not engaged to perform an audit of the Funds’ internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Funds’ internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of December 31, 2015, by correspondence with the custodian or brokers. An audit also includes assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements referred to above present fairly, in all material respects, the financial position of the aforementioned Funds of Baird Funds, Inc. as of December 31, 2015, and the results of their operations, changes in their net assets, and the financial highlights for the periods indicated above, in conformity with accounting principles generally accepted in the United States of America.
Chicago, IL
February 25, 2016
Page 71
Directors & Officers
As of December 31, 2015
Independent Directors
G. Frederick Kasten, Jr.
Independent Director and Chairman
Term of Office: Indefinite
Length of Time Served: Since September 2000
Age: 76
c/o Robert W. Baird & Co. Incorporated
777 East Wisconsin Avenue
Milwaukee, WI 53202
Principal Occupation(s) During the Past 5 Years: Retired; Chairman, the Advisor (January 2000-December 2005); Chairman and CEO, the Advisor (January 1998-January 2000); President, Chairman and CEO, the Advisor (June 1983-January 1998); President, the Advisor (January 1979-January 1983)
Number of Portfolios in Complex Overseen by Director: 12
Other Directorships Held by Director: None
John W. Feldt
Independent Director
Term of Office: Indefinite
Length of Time Served: Since September 2000
Age: 73
c/o Robert W. Baird & Co. Incorporated
777 East Wisconsin Avenue
Milwaukee, WI 53202
Principal Occupation(s) During the Past 5 Years: Retired; Senior Vice President-Finance, University of Wisconsin Foundation (1985-2006); Vice President-Finance, University of Wisconsin Foundation (1980-1985); Associate Director, University of Wisconsin Foundation (1967-1980)
Number of Portfolios in Complex Overseen by Director: 12
Other Directorships Held by Director: Director of Thompson Plumb Funds, Inc., a mutual fund complex (3 portfolios)
Frederick P. Stratton, Jr.
Independent Director
Term of Office: Indefinite
Length of Time Served: Since May 2004
Age: 76
c/o Robert W. Baird & Co. Incorporated
777 East Wisconsin Avenue
Milwaukee, WI 53202
Principal Occupation(s) During the Past 5 Years: Retired; Chairman Emeritus, Briggs & Stratton Corporation, a manufacturing company, since 2003; Chairman of the Board, Briggs & Stratton Corporation (2001-2002); Chairman and CEO, Briggs & Stratton Corporation (1986-2001)
Number of Portfolios in Complex Overseen by Director: 12
Other Directorships Held by Director: Director of Weyco Group, Inc., a men’s footwear distributor.
Marlyn J. Spear, CFA
Independent Director
Term of Office: Indefinite
Length of Time Served: Since January 2008
Age: 62
c/o Robert W. Baird & Co. Incorporated
777 East Wisconsin Avenue
Milwaukee, WI 53202
Principal Occupation(s) During the Past 5 Years: Chief Investment Officer, Building Trades United Pension Trust Fund, since July 1989; Investment Officer, Northwestern Mutual Financial Network (1988-1989); Assistant Vice-President, Firstar Trust Company (1978-1987); Financial Analyst, Harco Holdings, Inc. (1976-1978)
Number of Portfolios in Complex Overseen by Director: 12
Other Directorships Held by Director: Management Trustee of AFL-CIO Housing Investment Trust, a mutual fund complex (1 portfolio)
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Directors & Officers
As of December 31, 2015
Interested Directors and Officers
Cory L. Nettles*
Interested Director
Term of Office: Indefinite
Length of Time Served: Since January 2008
Age: 45
c/o Generation Growth Capital, Inc.
411 East Wisconsin Avenue, Suite 1710
Milwaukee, WI 53202
Principal Occupation(s) During the Past 5 Years: Managing Director, Generation Growth Capital, Inc., a private equity fund, since March 2007; Of Counsel, Quarles & Brady LLP, a law firm, since January 2005; Secretary, Wisconsin Department of Commerce (January 2003-January 2005)
Number of Portfolios in Complex Overseen by Director: 12
Other Directorships Held by Director: Director of Weyco Group, Inc., a men’s footwear distributor;
Director of Associated Banc-Corp
Mary Ellen Stanek
President
Term of Office: Re-elected by Board annually
Length of Time Served: Since September 2000
Age: 59
777 East Wisconsin Avenue
Milwaukee, WI 53202
Principal Occupation(s) During the Past 5 Years: Managing Director, the Advisor, and Chief Investment Officer, Baird Advisors, a department of the Advisor, since March 2000
Charles B. Groeschell
Vice President
Term of Office: Re-elected by Board annually
Length of Time Served: Since January 2010
Age: 62
777 East Wisconsin Avenue
Milwaukee, WI 53202
Principal Occupation(s) During the Past 5 Years: Managing Director, the Advisor, and Senior Portfolio Manager, Baird Advisors, a department of the Advisor, since February 2000
Angela M. Palmer
Chief Compliance Officer and
AML Compliance Officer
Term of Office: Re-elected by Board annually
Length of Time Served: Since March 2014
Age: 44
777 East Wisconsin Ave
Milwaukee, WI 53202
Chief Compliance Officer, the Advisor, since March 2014; Director, the Advisor, since July 2014; Senior Vice President, the Advisor (March 2014-June 2014); Chief Compliance Officer, RIAs US, BMO Financial Group (January 2013-March 2014); Chief Compliance Officer, Institutional RIAs, BMO Financial Group (March 2012-January 2013); Vice President, BMO Harris Bank, N.A. (July 2011-March 2014); Chief Compliance Officer, Taplin, Canida & Habacht, LLC (December 2008-March 2014); Chief Compliance Officer and Vice President, M&I Investment Management Corp. (June 2006-May 2012); Assistant Secretary, M&I Investment Management Corp. (April 2010-May 2012); Vice President, Marshall & Ilsley Trust Company N.A. (June 2006-August 2012).
Terrance P. Maxwell
Treasurer
Term of Office: Re-elected by Board annually
Length of Time Served: Since March 2015
Age: 55
777 East Wisconsin Ave
Milwaukee, WI 53202
Principal Occupation(s) During the Past 5 Years: Chief Financial Officer, the Advisor, since March 2015; Member of the Board of Managers, Greenhouse Funds, LP, an affiliate of the Advisor, since April 2014; Trustee, Investors Real Estate Trust, since November 2013; Director of Corporate Development and Strategic Investment, the Advisor (May 2014-March 2015); Lecturer at University of Wisconsin – Madison (August 2006-May 2010 and August 2011-May 2014); Co-CEO of The Art Commission, LLC, an online start-up company focused on commissioned art and design from January 2012-September 2013 and Member of the Board from January 2012-July 2015; consultant and Director of Flatirons Solutions, a portfolio company of Baird Capital Partners (April 2011-June 2012).
Page 73
Directors & Officers
As of December 31, 2015
Interested Directors and Officers
Charles M. Weber
Secretary
Term of Office: Re-elected by Board annually
Length of Time Served: Since September 2005
Age: 52
777 East Wisconsin Avenue
Milwaukee, WI 53202
Principal Occupation(s) During the Past 5 Years: Senior Associate General Counsel, the Advisor, since January 2013; Managing Director, the Advisor since January 2009; Chief Compliance Officer and Secretary, Baird Kailash Group, LLC, since July 2013; Associate General Counsel, the Advisor (July 2005-December 2012)
Peter J. Hammond
Vice President
Term of Office: Re-elected by Board annually
Length of Time Served: Since August 2012
Age: 52
777 East Wisconsin Avenue
Milwaukee, WI 53202
Principal Occupation(s) During the Past 5 Years:
Senior Vice President, the Advisor, since March 2012; Vice President, Baird Kailash Group, LLC since July 2013; Executive VP and Chief Administrative Officer, UMB Fund Services (September 1996-March 2012)
Dustin J. Hutter
Assistant Treasurer
Term of Office: Re-elected by Board annually
Length of Time Served: Since February 2011
Age: 39
777 East Wisconsin Avenue
Milwaukee, WI 53202
Principal Occupation(s) During the Past 5 Years: Director of Finance Services, the Advisor, since August 2015; Director of Reporting and Analysis, Capital Markets Finance, the Advisor (February 2013-August 2015); Senior Vice President, the Advisor (January 2011-January 2013); Treasurer, Baird Kailash Group, LLC since July 2013; First Vice President, the Advisor (January 2008-December 2010); Vice President, the Advisor (January 2006-December 2007); Assistant Controller, the Advisor (January 2006-January 2013)
Andrew D. Ketter
Assistant Secretary
Term of Office: Re-elected by Board annually
Length of Time Served: Since February 2011
Age: 41
777 East Wisconsin Avenue
Milwaukee, WI 53202
Principal Occupation(s) During the Past 5 Years: Associate General Counsel, the Advisor, since September 2010; Director, the Advisor, since July 2014; Senior Vice President, the Advisor, (January 2014-June 2014); First Vice President, the Advisor September 2010 to December 2013; Associate, Quarles & Brady LLP, a law firm (September 2002-August 2010)
* | Mr. Nettles is considered an “interested person” of the Corporation (as defined in the 1940 Act) because of his association with the law firm, Quarles & Brady LLP, which provides legal services to the Advisor. The legal services that Quarles & Brady LLP has provided to the Advisor include litigation, real estate, trademark and miscellaneous securities related matters that did not relate to the Corporation or the Funds.. The Advisor has invested in and may in the future invest in private equity funds managed by Generation Growth Capital, Inc., a company of which Mr. Nettles is affiliated, through its division, Baird Capital. |
Additional information about the Funds’ directors is available in the Statement of Additional Information which may be obtained without charge, upon request, by calling 1-866-44BAIRD, or at www.bairdfunds.com.
Page 74
Baird Funds, Inc.
Disclosure Regarding the Board of Directors’ Approval of the Investment Advisory and Subadvisory Agreements for Baird Equity Funds
The Board of Directors (the “Board”) of Baird Funds, Inc. (the “Corporation”), including the directors who are not “interested persons” of the Corporation within the meaning of the Investment Company Act of 1940 (the “Independent Directors”), met on August 20 and August 27, 2015 to consider the annual renewal of the investment advisory agreements between Robert W. Baird & Co. Incorporated (“Baird” or the “Advisor”) and the Corporation on behalf of the Baird LargeCap, Baird MidCap and SmallCap Value Funds (the “Funds”) as well as the renewal of the subadvisory agreement with respect to the LargeCap Fund. The Board, including the Independent Directors, approved the investment advisory and subadvisory agreements through a process that concluded at the August 27, 2015 meeting. In connection with its consideration of the investment advisory and subadvisory agreements, the Board reviewed and discussed various information that had been provided prior to the meeting, including the investment advisory and subadvisory agreements, a memorandum provided by legal counsel summarizing the guidelines relevant to the Board’s consideration of the renewal of the investment advisory and subadvisory agreements, a memorandum and other information provided in response to requests from the Board from the Advisor (including the Advisor’s Form ADV brochure and brochure supplements, annual report and financial information), a profitability analysis, comparative information about the Funds’ performance for periods ended June 30, 2015, management fees and expense ratios, and other pertinent information.
The Board met in executive session with the Funds’ legal counsel to consider the investment advisory agreement. The Board discussed the Advisor’s 15(c) response at the August 20, 2015 special meeting and discussed various questions and information with the President of the Funds at the August 20, 2015 meeting and during executive session earlier in the meeting. The Board also took into account information reviewed periodically throughout the year that was relevant to its consideration of the investment advisory and subadvisory agreements, including performance, management fee and other expense information and discussions with the Funds’ portfolio managers. Based on its evaluation of this information, the Board, including a majority of the Independent Directors, approved the continuation of the investment advisory and subadvisory agreements for an additional one-year period.
In considering the investment advisory and subadvisory agreements and reaching its conclusions, the Board reviewed and analyzed various factors that it determined were relevant, including the factors below. In deciding to approve the investment advisory and subavisory agreements for each Fund and the subadvisory agreement for the LargeCap Fund, the Board did not identify any single factor as determinative but considered all factors together.
Nature, Extent and Quality of Services Provided to the Funds
The Board analyzed the nature, extent and quality of the services provided by the Advisor to the Funds. The Board noted the depth of the Advisor’s personnel, resources and commitment to the Funds and the experience and credentials of the portfolio management teams employed to manage the Funds’ investments. The Board considered the consistency and continuity of the portfolio management teams for the MidCap and SmallCap Value Funds. With respect to the LargeCap Fund, the Board noted that the Advisor had selected Baird Kailash Group, LLC (“BKG”) as the Fund’s subadvisor and was responsible for supervising BKG. The Board noted that the Funds provide an opportunity for smaller institutional and retail accounts to receive the same professional advice from the Advisor that it offers to its larger institutional clients. However, the Board noted that the provision of investment advisory services to the Funds requires more effort than it does for separately managed accounts due to daily sales and redemption activity and additional regulatory and compliance requirements. The Board considered that the Advisor has made significant investments that benefit the Funds, including research, technology, trading systems and personnel.
The Board considered the Advisor’s disciplined investment decision-making process used for the Funds. The Board also considered other services that the Advisor provides the Funds in its capacity as their investment advisor, such as making some of its key personnel available to serve as officers of the Funds, selecting broker-
Page 75
Baird Funds, Inc.
Disclosure Regarding the Board of Directors’ Approval of the Investment Advisory and Subadvisory Agreements for Baird Equity Funds (cont.)
dealers for execution of portfolio transactions, ensuring adherence to the Funds’ investment policies and restrictions, compliance, risk management services, valuation, providing support services to the Board and the committees of the Board and overseeing the Funds’ other service providers. The Board also considered the strength of the Advisor’s compliance department, including the Funds’ chief compliance officer, and the fact that the Advisor has not experienced any significant legal, compliance or regulatory difficulties since the Funds were launched. The Board reviewed a summary of the Advisor’s risk management tools and process. With respect to the LargeCap Fund, the Board considered the quantitative methodologies developed by BKG’s affiliate, Kailash Capital, as well as the trading and investment management services provided by BKG. The Board concluded that the nature, extent and quality of the services provided by the Advisor to the Funds were appropriate and that each Fund was likely to continue to benefit from services provided under the respective investment advisory agreement. The Board also concluded that the nature, extent and quality of the services provided by BKG to the LargeCap Fund was appropriate and that the Fund was likely to benefit from services provided by BKG under the subadvisory agreement.
Investment Performance of the Advisor and the Funds
In considering the investment performance of each of the Equity Funds, the Board reviewed information as of June 30, 2015 regarding the Fund’s performance in comparison to its benchmark index and its peer group as determined by Lipper. The Board noted that the LargeCap Fund’s returns exceeded the peer group average for the one-year and five-year periods, but trailed the average for the three-year, ten-year and since inception periods and trailed the applicable benchmark returns for all periods. The Board noted that BKG has been the Fund’s subadvisor since December 23, 2013. The Board considered BKG’s and the Advisor’s commentary regarding the Fund’s performance challenges in the current market environment. The Board noted that the performance of the Baird MidCap Fund was in line with the Lipper peer group average for the five-year period, exceeded the peer group average for the ten-year and since inception periods but lagged the average for the one-year and three-year periods. The Fund’s performance was in line with or exceeded the benchmark index for the ten-year and since inception periods but lagged the index for the one-year, three-year and five-year periods. The Board considered the reasons for the Fund’s recent underperformance in the current equity environment. The Board noted that the SmallCap Value Fund had slightly underperformed its Lipper peer group average and benchmark index for the one-year, three-year and since inception periods but had delivered strong absolute performance for the three-year and since inception periods.
The Board also considered the Advisor’s quarterly portfolio commentaries and reviews explaining the Funds’ performance, the Advisor’s consistent and disciplined investment decision process and the investment strategies it employs for the Funds. With respect to the LargeCap Fund, the Board considered that the investment decisions are made by BKG and that performance is monitored by the Advisor. After considering all of the information, the Board concluded that, although past performance is not a guarantee of future results, each Fund and its shareholders were likely to benefit from the continued management by the Advisor.
Costs of Services Provided and Profits Realized by the Advisor
The Board examined the fee and expense information for each of the Funds, including a comparison of such information to other similarly situated mutual funds as determined by Morningstar. The Board noted that the advisory fee for the LargeCap Fund and the MidCap Fund was comparable to the average and median for all mutual funds in its Morningstar category while the advisory fee for the SmallCap Value Fund was slightly above the average and median for all funds in the Morningstar category. The Board also reviewed the subadvisory fee paid to BKG as compared to subadvisory fees paid with respect to other funds in the same Morningstar category. The Board also reviewed and considered investment management fees charged by the Advisor to other investment advisory clients and found that the fee paid by the LargeCap and MidCap Funds was 10 basis points (or 0.10%) less than what the Advisor charges on the first $10 million of a separately
Page 76
Baird Funds, Inc.
Disclosure Regarding the Board of Directors’ Approval of the Investment Advisory and Subadvisory Agreements for Baird Equity Funds (cont.)
managed account. With respect to the SmallCap Value Fund, the Fund’s investment management fee was 15 basis points (or 0.15%) less than what the Advisor charges on the first $20 million of a separately managed account. The Board noted the extent of the significant additional services provided to the Funds that the Advisor did not provide in the other advisory relationships. Those services included contract administration, valuation services, oversight of the Funds’ other service providers, director support, preparation of regulatory filings, implementation of the Funds’ compliance program and various other services. With respect to the LargeCap Fund, those services include oversight of the Fund’s subadvisor. The Board noted that the Advisor maintains a subadvisory arrangement with an unaffiliated equity mutual fund but did not consider the subadvisory fee to be a material factor given that the subadvisory services were limited to asset management.
The Board also examined the total expense ratio of each Fund relative to all other mutual funds in its Morningstar category. The Board noted that the total expense ratio for each of the LargeCap Fund and MidCap Fund (for both Institutional and Investor Class shares), after fee waivers and expense reimbursements by the Advisor, was lower than the average and median expense ratios for all funds in its Morningstar category and in the lowest or second lowest quartile. With respect to the SmallCap Value Fund, the total expense ratio for the Institutional Class, after fee waivers and expense reimbursements by the Advisor, was lower than the average and median expense ratios for all funds in its Morningstar category and the total expense ratio for the Investor Class, after fee waivers and expense reimbursements by the Advisor, was in line with the average and median expense ratios for its Morningstar category.
The Board considered the fees realized, and the costs incurred, by the Advisor in providing investment management services to the Funds and the profitability to the Advisor of having a relationship with the Funds. The Board also considered profitability information with respect to BKG. The Board noted that the Advisor had waived fees for each of the Funds under the expense cap agreement and that, with respect to the LargeCap Fund, the Advisor paid the subadvisory fee to BKG. In addition, BKG shares in the Fund’s expense cap commitment.
The Board concluded that the profits realized by the Advisor from its relationship with the Funds were appropriate. The Board noted that the Advisor’s profitability information does not reflect certain internal resources provided by the Advisor to the Funds, such as legal and compliance support. The Board reviewed and considered the general financial condition of the Advisor and BKG and determined it to be sound. The Board also noted that all marketing and distribution fees other than the Rule 12b-1 fee payable by the Investor Class shares of the Funds were paid by the Advisor from its profits. In light of all of the information that it received and considered, the Board concluded that the management fee and total expense ratio of each Fund were reasonable. With respect to the LargeCap Fund, the Board concluded that the subadvisory fee was reasonable.
Economies of Scale and Fee Levels Reflecting Those Economies
The Board reviewed the extent to which economies of scale may be realized as the Funds increase in size. The Board noted that the Funds’ advisory fee structure does not contain any breakpoint reductions as the Funds grow in size. However the Board recognized that the Advisor has committed to waive fees and/or reimburse expenses for the Funds pursuant to the expense cap agreement. With respect to the LargeCap Fund, the Board did not consider economies of scale to be a material factor due to the current asset size of the Fund and because the subadvisory fee is not paid by the Fund. The Board also recognized that the advisory fee rates paid by the Funds were designed to be lower than the fees otherwise charged by the Advisor to its separately managed account clients and to be comparable to the second or third breakpoint advisory fee levels paid by other comparable mutual funds. The directors concluded that the current fee structure of each Fund was reasonable.
Page 77
Baird Funds, Inc.
Disclosure Regarding the Board of Directors’ Approval of the Investment Advisory and Subadvisory Agreements for Baird Equity Funds (cont.)
Benefits Derived from the Relationship with the Funds
The Board considered other benefits to the Advisor from serving as advisor to the Funds (in addition to the advisory fee). The Board noted that the Advisor and BKG derive ancillary benefits from their association with the Equity Funds (the LargeCap Fund in the case of BKG) in the form of research products and services received from unaffiliated broker dealers who execute portfolio trades for the Funds. However, the Board determined such products and services have been used for legitimate purposes relating to the Funds by providing assistance in the investment decision-making process. The Board noted that the Advisor’s parent company indirectly shares in the subadvisory fee paid by BKG due to its ownership interest in BKG. The Board also noted that the Distributor and its financial advisors receive 12b-1 payments for selling Investor Class shares of the Funds. The Board noted that the Advisor’s asset management business may experience indirect benefits from the Advisor’s association with the Funds and that Kailash Capital, one of the owners of BKG, may receive name recognition due to its association with the LargeCap Fund. The Board concluded that the other benefits realized by the Advisor and BKG from their relationship with the Funds were appropriate.
Based on its evaluation of the above factors, as well as other factors relevant to their consideration of the investment advisory agreements, the directors, including all of the Independent Directors, concluded that (1) the continuation of the investment advisory agreements was in the best interest of each Fund and its shareholders and (2) the continuation of the subadvisory agreement was in the best interest of the LargeCap Fund and its shareholders.
Page 78
Baird Funds, Inc.
Disclosure Regarding the Board of Directors’ Approval of the Investment Advisory Agreement for Baird Small/Mid Cap Value Fund
The Board met on November 30, 2015 to consider the approval of the investment advisory agreement between the Advisor and the Corporation on behalf of the Baird Small/Mid Cap Value Fund (the “Small/Mid Cap Fund”), a new portfolio of the Corporation. The Board had previously discussed the Small/Mid Cap Fund with Michelle E. Stevens, the Fund’s portfolio manager, and discussed the Fund’s proposed strategy and expenses and the prior performance of the Advisor’s Small/Mid Cap Value strategy, among other information, with representatives of the Advisor at the August 27, 2015 Board meeting. At the November 30, 2015 meeting, the Board also met separately with the Funds’ legal counsel.
The Board considered, among other factors, the quality and consistency of services the Advisor provides for other Funds of the Corporation and their experience with Ms. Stevens as portfolio manager for the existing SmallCap Value Fund. The Board reviewed and discussed various information, including the investment advisory agreement, a memorandum prepared by legal counsel discussing the Board’s fiduciary obligations and factors the Board should assess in considering the approval of the investment advisory agreement, information in response to a request from the Independent Directors from the Advisor, the proposed advisory fee and expense ratios, and other pertinent information. The Board also reviewed the proposed expense cap/reimbursement agreement for the Fund and comparative fee and expense information provided by an independent third party. The Board also evaluated the advisory agreement in light of the Advisor’s 15(c) response and other information it considered in connection with the annual renewal of the advisory agreement with respect to the other portfolios of the Corporation at the August 20 and August 27, 2015 meetings. In considering the investment advisory agreement and reaching its conclusions, the Board reviewed and analyzed various factors that it determined were relevant, including the factors below. In deciding to approve the investment advisory agreement for the Small/Mid Cap Fund, the Board did not identify any single factor as determinative but considered all factors together.
Investment Performance
Because the Fund had not yet commenced operations, the Board did not consider any performance information with respect to the Fund. The Board reviewed the composite performance for the Small/MidCap Value strategy, and concluded that the Small/Mid Cap Value team appeared to have an effective investment process for this strategy.
Expense Information
The Board examined the proposed fee and expense information for the Fund, including a comparison of such information to other mutual funds in the mid-cap blend Morningstar category. The Board considered that the Advisor has agreed to a contractual expense limitation for the Fund through at least April 30, 2017. The Board noted that the Fund’s proposed advisory fee was slightly above the Morningstar category average and median and the Fund’s total expense ratio for the Institutional Class and Investor Class was below the category median and average, taking into effect the expense cap agreement.
The Board also reviewed and considered advisory fees charged by the Advisor to other investment advisory clients in the Small/Mid Cap Value strategy and found that the proposed advisory fee was 15 basis points (or 0.15%) less than what the Advisor charges on the first $20 million of a separately managed account. The Board recognized the extent of the significant additional services to be provided to the Fund that the Advisor does not provide to its other clients, such as certain administrative services, oversight of the Fund’s other service providers, director support, risk management, regulatory compliance and various other services.
Costs of Services Provided and Profitability
The Board reviewed updated information about the financial condition of the Advisor. As part of its review at the August 27, 2015 meeting, the Board had reviewed the Advisor’s annual report and determined that the
Page 79
Baird Funds, Inc.
Disclosure Regarding the Board of Directors’ Approval of the Investment Advisory Agreement for Baird Small/Mid Cap Value Fund (cont.)
financial condition was sound. The Board did not consider any specific information regarding the costs of services to be provided or the profits the Advisor might realize because the Fund had not yet commenced operations.
In light of all of the information that it received and considered, the Board concluded that the proposed advisory fee and total expense ratio of the Fund were reasonable.
Economies of Scale and Fee Levels Reflecting Those Economies
Because the Fund had not yet commenced operations, the Board did not consider whether any alternative fee structures, such as breakpoint fees, would be appropriate to reflect any economies of scale that may result from increases in the Fund’s assets.
Benefits to be Derived from the Relationship with the Fund
The Board considered other potential benefits to the Advisor from serving as advisor to the Fund (in addition to the advisory fee). The Board noted that the Advisor would derive ancillary benefits from its association with the Fund in the form of research products and services received from unaffiliated broker-dealers who execute portfolio trades for the Funds. However, the Board determined such products and services would be used for legitimate purposes relating to the Fund by providing assistance in the investment decision-making process. The Board noted that the “Baird” name may be more broadly disseminated given the national nature of the mutual fund business, which could result in growth in the Advisor’s asset management business. The Board concluded that other benefits that may be realized by the Advisor from its relationship with the Fund were appropriate.
Based on their evaluation of the above factors, as well as other factors relevant to their consideration of the investment advisory agreement, the directors, including all of the Independent Directors, concluded that the approval of the investment advisory agreement was in the best interest of Small/Mid Cap Fund.
Page 80
Additional Information
Proxy Voting
A description of the policies and procedures that the Funds use to determine how to vote proxies relating to portfolio securities is available without charge, upon request, by calling toll free, 1-866-44BAIRD, or by accessing the Funds’ website at www.bairdfunds.com; and by accessing the SEC’s website at www.sec.gov.
Each Fund’s proxy voting record for the most recent 12-month period ended June 30 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.
Qualified Dividend Income/Dividends Received Deduction
For the fiscal year ended December 31, 2015, certain dividends paid by the Funds may be subject to a maximum tax rate of 15%, as provided for by the Jobs and Growth Tax Relief Reconciliation Act of 2003. The percentage of dividends declared from ordinary income designated as qualified dividend income was as follows:
Baird LargeCap Fund | 84.68% | |
Baird Small/Mid Cap Value Fund | 100.00% | |
Baird SmallCap Value Fund | 100.00% |
For corporate shareholders, the percent of ordinary income distributions qualifying for the corporate dividends received deduction for the fiscal year ended December 31, 2015 was as follows:
Baird LargeCap Fund | 84.68% | |
Baird Small/Mid Cap Value Fund | 100.00% | |
Baird SmallCap Value Fund | 100.00% |
Other Tax Information
For the fiscal year ended December 31, 2015, the percentage of taxable ordinary income distributions that are designated as short-term capital gain distributions under Internal Revenue Section 871(k)(2)(C) for each Fund were as follows:
Baird LargeCap Fund | 63.06% |
Page 81
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Baird Funds, Inc. Privacy Policy
Protecting the privacy of Fund shareholders is important to us. The following is a description of the practices and policies through which Baird Funds, Inc. protects the privacy and security of your non-public personal information.
What Information We Collect
We collect and maintain information about you so that we can open and maintain your account in the Funds and provide various services to you. We may collect and maintain the following personal information about you:
• | Information we receive from you or your financial advisor on account applications or other forms, correspondence, or conversations, such as your name, address, e-mail address, phone number, social security number, assets, income and date of birth; and | |
• | Information about your transactions with us, our affiliates, or others, such as your account number and balance, positions, activity, history, cost basis information, and other financial information. |
What Information We Disclose
We do not sell any non-public personal information about our current or former shareholders to third parties. We do not disclose any non-public personal information about our current or former shareholders to anyone, except as permitted or required by law. We are permitted by law to share any of the information we collect, as described above, with our affiliates. In addition, we may share such information with nonaffiliated third parties to the extent necessary to effect, process, administer or enforce a transaction that the shareholder requests or authorizes, in connection with maintaining or servicing the shareholder’s account, as requested by regulatory authorities or as otherwise permitted or required by law. For example, we are permitted by law to disclose all of the information we collect, as described above, to our transfer agent to process your transactions. We may also provide your name and address to third party service providers who send account statements and other Fund-related material to you.
How We Protect Your Information
We restrict access to your non-public personal information to those persons who require such information to provide products or services to you. We maintain physical, electronic, and procedural safeguards that comply with federal standards to protect the confidentiality, integrity and security of your non-public personal information.
We will continue to adhere to the privacy policies and practices in this notice even after your account is closed or becomes inactive.
In the event that you hold shares of the Fund(s) through a financial intermediary, including, but not limited to, a broker-dealer, bank, or trust company, the privacy policy of your financial intermediary would govern how your non-public personal information would be shared with nonaffiliated third parties.
Page A-1
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
Grant Thornton Tower
171 N. Clark Street, Suite 200
Chicago, IL 60601
Item 2. Code of Ethics.
As of the end of the period covered by this report, the Registrant has adopted a code of ethics that applies to the President, Treasurer and Assistant Treasurer of the Registrant. The Registrant has not made any amendments to its code of ethics during the period covered by this report. The Registrant has not granted any waivers from any provisions of the code of ethics during the period covered by this report.
Item 3. Audit Committee Financial Expert.
The Registrant’s board of directors has determined that John W. Feldt, Frederick P. Stratton, Jr., and Marlyn J. Spear, members of the audit committee, each qualify as an “audit committee financial expert” as such term is defined in paragraph (b) of Item 3 of Form N-CSR. Mr. Feldt, Mr. Stratton, and Ms. Spear are each “independent” as such term is defined in paragraph (a)(2) of Item 3 of Form N‑CSR.
Item 4. Principal Accountant Fees and Services.
Fees Billed by Grant Thornton LLP. The aggregate fees billed for professional services by Grant Thornton LLP (“GT”) during the last two fiscal years were as follows:
FYE 12/31/2015 | FYE 12/31/2014 | |
Audit Fees | $145,464 | $113,400 |
Audit-Related Fees | $0 | $0 |
Tax Fees | $53,922 | $39,690 |
All Other Fees | $0 | $0 |
In the above table, “audit fees” are fees billed for professional services for the audit of the Registrant’s annual financial statements or for services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements. “Tax fees” are fees billed for professional services rendered for tax compliance, tax advice and tax planning, and specifically relate to GT’s review of the Registrant’s federal and state tax returns.
The audit committee has adopted pre-approval policies and procedures that require the audit committee to pre‑approve all audit and non‑audit services rendered to the Registrant, as well as all non-audit services provided to the Registrant’s investment adviser and any entity affiliated with the Registrant’s investment adviser with respect to any engagement that relates directly to the operations and financial reporting of the Registrant. In accordance with its policies and procedures, the audit committee pre-approved all audit and tax services provided by GT to the Registrant during fiscal 2015. During the past two fiscal years, the Registrant did not receive any non-audit services from GT pursuant to any waivers of the pre-approval requirement under paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X. All of GT’s hours spent on auditing the Registrant’s financial statements were attributed to work performed by full-time permanent employees of GT.
During the last two fiscal years, GT has served as the auditor to Robert W. Baird & Co. Incorporated (“RWB”), the Registrant’s investment adviser, and has rendered non-audit services to RWB. The non-audit services that GT provided to RWB in 2015 and 2014 consisted of a review of state and federal tax returns, tax and general consulting services and tax services for RWB associates working overseas. GT charged the following amounts for such non-audit services to RWB: $390,202 for 2015 and $326,302 for 2014. None of the non-audit services provided by GT to RWB directly related to the operations or financial reporting of the Registrant. During the last two fiscal years, GT has also provided audit and non-audit services to affiliates of RWB, but those affiliates do not provide ongoing services to the Registrant. The Audit Committee has concluded that the provision of these audit and non-audit services to RWB and RWB affiliates is compatible with GT’s independence.
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.
(a) | The complete Schedules of Investments in securities of unaffiliated issuers as of the close of the reporting period for the LargeCap Fund, MidCap Fund, Small/Mid Cap Value Fund and SmallCap Value Fund are included as part of the report to shareholders filed under Item 1. The Summary Schedules of Investments in securities of unaffiliated issuers as of the close of the reporting period for the Baird Ultra Short Bond Fund, Baird Short-Term Bond Fund, Baird Intermediate Bond Fund, Baird Aggregate Bond Fund, Baird Core Plus Bond, Baird Short-Term Municipal Bond Fund, Baird Quality Intermediate Municipal Bond Fund and Baird Core Intermediate Municipal Bond Fund are included as part of the report to shareholders filed under Item 1. The complete Schedule of Investments in securities of unaffiliated issuers as of the close of the reporting period for Baird Ultra Short Bond Fund, Baird Short-Term Bond Fund, Baird Intermediate Bond Fund, Baird Aggregate Bond Fund, Baird Core Plus Bond, Baird Short-Term Municipal Bond Fund, Baird Quality Intermediate Municipal Bond Fund and Baird Core Intermediate Municipal Bond Fund are listed below. |
Baird Ultra Short Bond Fund | ||||||||
Schedule of Investments | ||||||||
December 31, 2015 | ||||||||
Principal | % of | |||||||
Amount | Value | Net Assets | ||||||
LONG-TERM INVESTMENTS | ||||||||
U.S. Treasury Security | ||||||||
U.S. Treasury Bond, | ||||||||
0.500%, 03/31/2017 | $ 30,200,000 | $ 30,061,986 | ||||||
30,061,986 | 15.8% | |||||||
Corporate Bonds | ||||||||
Finance | ||||||||
ABN AMRO Bank NV: | ||||||||
1.123%, 10/28/2016 (Acquired 01/03/2014 through 10/03/2014, Cost $325,501) * f | 325,000 | 325,910 | ||||||
4.250%, 02/02/2017 (Acquired 11/16/2015, Cost $255,159) * f | 248,000 | 254,669 | ||||||
Ally Financial, Inc., | ||||||||
3.125%, 01/15/2016 | 500,000 | 500,000 | ||||||
American Express Co., | ||||||||
0.968%, 05/22/2018 | 1,500,000 | 1,490,709 | ||||||
American International Group, Inc., | ||||||||
5.600%, 10/18/2016 | 1,500,000 | 1,548,117 | ||||||
Aon Corp., | ||||||||
3.125%, 05/27/2016 f | 850,000 | 856,582 | ||||||
Australia and New Zealand Banking Group Ltd., | ||||||||
0.757%, 01/16/2018 (Acquired 01/12/2015, Cost $1,000,000) * f | 1,000,000 | 995,901 | ||||||
Banco Santander-Chile, | �� | |||||||
1.221%, 04/11/2017 (Acquired 04/08/2014, Cost $200,000) * f | 200,000 | 197,500 | ||||||
Barclays Bank PLC, | ||||||||
Series 1, 5.000%, 09/22/2016 f | 1,200,000 | 1,230,792 | ||||||
BB&T Corp., | ||||||||
0.989%, 02/01/2019 | 880,000 | 872,373 | ||||||
BNP Paribas SA, | ||||||||
0.804%, 05/07/2017 f | 1,000,000 | 998,930 | ||||||
BOKF NA, | ||||||||
1.052%, 05/15/2017 | 250,000 | 248,949 | ||||||
BPCE, | ||||||||
1.191%, 02/10/2017 f | 500,000 | 500,894 | ||||||
Caisse Centrale Desjardins, | ||||||||
0.989%, 01/29/2018 (Acquired 01/26/2015, Cost $1,000,000) * f | 1,000,000 | 998,045 | ||||||
Capital One Financial Corp.: | ||||||||
3.150%, 07/15/2016 | 1,015,000 | 1,024,381 | ||||||
6.150%, 09/01/2016 | 150,000 | 154,558 | ||||||
Capital One NA, | ||||||||
1.014%, 02/05/2018 | 500,000 | 496,790 | ||||||
Citigroup, Inc., | ||||||||
0.747%, 06/09/2016 | 1,050,000 | 1,046,907 | ||||||
CNA Financial Corp., | ||||||||
6.500%, 08/15/2016 | 1,300,000 | 1,338,557 | ||||||
Comerica Bank, | ||||||||
5.750%, 11/21/2016 | 1,500,000 | 1,553,717 | ||||||
Commonwealth Bank of Australia/New York NY, | ||||||||
1.119%, 11/02/2018 (Acquired 10/26/2015, Cost $1,000,000) * f | 1,000,000 | 1,001,448 | ||||||
Countrywide Financial Corp., | ||||||||
6.250%, 05/15/2016 | 1,400,000 | 1,423,598 | ||||||
Credit Agricole SA: | ||||||||
1.462%, 10/03/2016 (Acquired 01/03/2014, Cost $250,154) * f | 250,000 | 250,756 | ||||||
1.457%, 06/10/2020 (Acquired 06/03/2015, Cost $1,000,000) * f | 1,000,000 | 997,854 | ||||||
Credit Suisse: | ||||||||
0.897%, 05/26/2017 f | 500,000 | 498,145 | ||||||
1.003%, 04/27/2018 f | 1,000,000 | 995,258 | ||||||
Deutsche Bank AG: | ||||||||
0.969%, 02/13/2017 f | 850,000 | 844,665 | ||||||
1.039%, 02/13/2018 f | 1,000,000 | 995,289 | ||||||
Fifth Third Bancorp: | ||||||||
1.150%, 11/18/2016 | 540,000 | 539,391 | ||||||
0.990%, 12/20/2016 | 1,000,000 | 996,087 | ||||||
First Tennessee Bank National Association, | ||||||||
5.650%, 04/01/2016 | 1,000,000 | 1,007,540 | ||||||
GE Capital International Funding Co., | ||||||||
0.964%, 04/15/2016 (Acquired 01/06/2015, Cost $2,008,163) * f | 2,015,000 | 2,015,909 | ||||||
HSBC Finance Corp., | ||||||||
5.500%, 01/19/2016 | 300,000 | 300,492 | ||||||
HSBC USA, Inc.: | ||||||||
1.114%, 08/07/2018 | 1,000,000 | 999,232 | ||||||
0.969%, 11/13/2019 | 250,000 | 246,267 | ||||||
ING Bank NV, | ||||||||
4.000%, 03/15/2016 (Acquired 11/04/2014 through 08/12/2015, Cost $855,367) * f | 850,000 | 855,338 | ||||||
J.P. Morgan Chase & Co.: | ||||||||
Series 1, 0.953%, 01/28/2019 | 250,000 | 248,151 | ||||||
1.271%, 01/23/2020 | 1,000,000 | 1,000,805 | ||||||
Kookmin Bank, | ||||||||
1.198%, 01/27/2017 (Acquired 01/21/2014, Cost $250,000) * f | 250,000 | 250,800 | ||||||
Lloyds Bank PLC, | ||||||||
0.912%, 05/14/2018 f | 1,500,000 | 1,489,119 | ||||||
Macquarie Bank Ltd., | ||||||||
1.384%, 03/24/2017 (Acquired 03/18/2014 through 09/17/2015, Cost $1,202,113) * f | 1,200,000 | 1,199,587 | ||||||
Mizuho Bank Ltd.: | ||||||||
0.747%, 04/16/2017 (Acquired 04/09/2014, Cost $200,000) * f | 200,000 | 199,371 | ||||||
1.053%, 09/25/2017 (Acquired 09/18/2014 through 01/14/2015, Cost $799,361) * f | 800,000 | 794,854 | ||||||
1.243%, 03/26/2018 (Acquired 03/19/2015, Cost $250,000) * f | 250,000 | 248,937 | ||||||
1.507%, 10/20/2018 (Acquired 10/13/2015, Cost $500,000) * f | 500,000 | 504,580 | ||||||
Morgan Stanley: | ||||||||
1.347%, 01/05/2018 | 500,000 | 499,590 | ||||||
1.170%, 01/24/2019 | 250,000 | 249,359 | ||||||
1.463%, 01/27/2020 | 500,000 | 501,068 | ||||||
Nomura Holdings, Inc.: | ||||||||
1.952%, 09/13/2016 f | 700,000 | 702,813 | ||||||
2.000%, 09/13/2016 f | 700,000 | 702,814 | ||||||
Rabobank Nederland, | ||||||||
3.375%, 01/19/2017 f | 800,000 | 817,787 | ||||||
Raymond James Financial, Inc., | ||||||||
4.250%, 04/15/2016 | 400,000 | 403,040 | ||||||
Royal Bank of Canada, | ||||||||
0.581%, 10/13/2017 f | 1,000,000 | 996,578 | ||||||
Santander Bank NA, | ||||||||
1.251%, 01/12/2018 | 1,400,000 | 1,389,966 | ||||||
Societe Generale, | ||||||||
1.692%, 10/01/2018 f | 1,500,000 | 1,512,060 | ||||||
Standard Chartered PLC, | ||||||||
0.955%, 04/17/2018 (Acquired 04/13/2015, Cost $1,200,000) * f | 1,200,000 | 1,192,897 | ||||||
Sumitomo Mitsui Banking Corp.: | ||||||||
0.900%, 01/18/2016 f | 400,000 | 400,000 | ||||||
0.897%, 01/16/2018 f | 300,000 | 298,970 | ||||||
1.056%, 07/23/2018 f | 1,000,000 | 997,601 | ||||||
SunTrust Banks, Inc., | ||||||||
3.600%, 04/15/2016 | 400,000 | 402,054 | ||||||
Symetra Financial Corp., | ||||||||
6.125%, 04/01/2016 (Acquired 04/23/2014 through 12/16/2015, Cost $2,042,062) * | 2,020,000 | 2,040,818 | ||||||
Synchrony Financial, | ||||||||
1.564%, 02/03/2020 | 1,000,000 | 984,201 | ||||||
The Bank of New York Mellon Corp., | ||||||||
0.889%, 08/01/2018 | 1,000,000 | 997,468 | ||||||
The Bank of Nova Scotia, | ||||||||
0.962%, 06/11/2018 f | 1,500,000 | 1,496,230 | ||||||
The Bank of Tokyo-Mitsubishi UFJ, Ltd., | ||||||||
0.772%, 09/08/2017 (Acquired 09/30/2014, Cost $998,890) * f | 1,000,000 | 993,243 | ||||||
The Goldman Sachs Group, Inc.: | ||||||||
5.350%, 01/15/2016 | 555,000 | 555,581 | ||||||
1.462%, 11/15/2018 | 500,000 | 502,030 | ||||||
The Huntington National Bank, | ||||||||
1.350%, 08/02/2016 | 1,725,000 | 1,725,109 | ||||||
The Toronto-Dominion Bank, | ||||||||
0.894%, 11/05/2019 f | 1,200,000 | 1,192,918 | ||||||
UBS AG, | ||||||||
1.303%, 03/26/2018 f | 1,000,000 | 998,149 | ||||||
UBS Group Funding Jersey Ltd., | ||||||||
2.034%, 09/24/2020 (Acquired 09/21/2015, Cost $500,000) * f | 500,000 | 501,795 | ||||||
US Bancorp, | ||||||||
0.720%, 04/25/2019 ^ | 1,440,000 | 1,431,806 | ||||||
Wells Fargo & Co., | ||||||||
Class N, 1.002%, 01/30/2020 | 1,000,000 | 990,685 | ||||||
Wells Fargo Bank, National Association, | ||||||||
0.572%, 05/16/2016 | 250,000 | 249,839 | ||||||
Westpac Banking Corp., | ||||||||
0.823%, 05/25/2018 f | 1,500,000 | �� 1,490,511 | ||||||
63,754,734 | 33.4% | |||||||
Utility | ||||||||
Mississippi Power Co., | ||||||||
2.350%, 10/15/2016 | 1,000,000 | 1,005,718 | ||||||
TECO Finance, Inc., | ||||||||
4.000%, 03/15/2016 | 100,000 | 100,485 | ||||||
Tri-State Pass Through Trust, | ||||||||
6.040%, 01/31/2018 (Acquired 09/18/2014, Cost $130,761) * | 126,715 | 129,382 | ||||||
W3A Funding Corp., | ||||||||
8.090%, 01/02/2017 | 31,545 | 31,471 | ||||||
1,267,056 | 0.7% |
Industrials | ||||||||
Actavis Funding SCS, | ||||||||
1.757%, 03/12/2020 f | 1,500,000 | 1,505,358 | ||||||
Alibaba Group Holding Ltd., | ||||||||
0.932%, 11/28/2017 f | 500,000 | 495,806 | ||||||
Ameritech Capital Funding Corp., | ||||||||
9.100%, 06/01/2016 | 255,552 | 262,178 | ||||||
Amgen, Inc.: | ||||||||
2.300%, 06/15/2016 | 1,500,000 | 1,508,631 | ||||||
0.758%, 05/22/2017 | 250,000 | 249,366 | ||||||
Anglo American Capital PLC, | ||||||||
1.271%, 04/15/2016 (Acquired 04/08/2014 through 11/13/2014, Cost $800,528) * f | 800,000 | 792,173 | ||||||
AT&T, Inc., | ||||||||
1.533%, 06/30/2020 | 1,000,000 | 992,850 | ||||||
Baxalta, Inc., | ||||||||
1.366%, 06/22/2018 (Acquired 06/18/2015, Cost $1,500,000) * | 1,500,000 | 1,495,320 | ||||||
Becton, Dickinson and Co., | ||||||||
0.962%, 06/15/2016 | 1,000,000 | 999,533 | ||||||
Bunge Limited Finance Corp., | ||||||||
4.100%, 03/15/2016 | 1,000,000 | 1,005,133 | ||||||
Canadian Natural Resources Ltd., | ||||||||
0.978%, 03/30/2016 f | 1,115,000 | 1,112,526 | ||||||
Chesapeake Energy Corp., | ||||||||
3.571%, 04/15/2019 | 500,000 | 140,000 | ||||||
Chevron Phillips Chemical Co. LLC, | ||||||||
1.079%, 05/01/2020 (Acquired 05/07/2015, Cost $1,500,000) * | 1,500,000 | 1,508,310 | ||||||
ConAgra Foods, Inc.: | ||||||||
1.300%, 01/25/2016 | 600,000 | 600,087 | ||||||
0.687%, 07/21/2016 | 875,000 | 873,371 | ||||||
D.R. Horton, Inc., | ||||||||
6.500%, 04/15/2016 | 390,000 | 393,900 | ||||||
Daimler Finance North America LLC: | ||||||||
0.669%, 08/01/2017 (Acquired 01/13/2015, Cost $498,615) * | 500,000 | 496,535 | ||||||
1.044%, 08/03/2017 (Acquired 07/28/2015, Cost $1,050,000) * | 1,050,000 | 1,048,774 | ||||||
Deutsche Telekom International Finance BV: | ||||||||
5.750%, 03/23/2016 f | 1,300,000 | 1,312,011 | ||||||
3.125%, 04/11/2016 (Acquired 09/17/2014, Cost $503,080) * f | 500,000 | 502,793 | ||||||
Enbridge, Inc.: | ||||||||
1.262%, 10/01/2016 f | 750,000 | 744,377 | ||||||
0.866%, 06/02/2017 f | 450,000 | 440,740 | ||||||
Enterprise Products Operating LLC, | ||||||||
3.200%, 02/01/2016 | 1,000,000 | 1,000,319 | ||||||
Express Scripts Holding Co., | ||||||||
3.125%, 05/15/2016 | 1,130,000 | 1,137,540 | ||||||
Federal Express Corp. 2012 Pass Through Trust, | ||||||||
2.625%, 01/15/2018 (Acquired 08/19/2015, Cost $438,393) * | 433,936 | 435,941 | ||||||
Ford Motor Credit Co. LLC: | ||||||||
2.500%, 01/15/2016 | 200,000 | 200,045 | ||||||
4.207%, 04/15/2016 | 1,245,000 | 1,254,969 | ||||||
General Motors Financial Co., Inc., | ||||||||
2.750%, 05/15/2016 | 1,000,000 | 1,002,924 | ||||||
Glencore Funding LLC, | ||||||||
1.377%, 04/16/2018 (Acquired 04/08/2015, Cost $1,000,000) * | 1,000,000 | 843,803 | ||||||
Hanson Ltd., | ||||||||
6.125%, 08/15/2016 f | 800,000 | 821,000 | ||||||
Hewlett Packard Enterprise Co., | ||||||||
2.537%, 10/05/2018 (Acquired 09/30/2015, Cost $1,000,000) * | 1,000,000 | 1,002,625 | ||||||
Hewlett-Packard Co., | ||||||||
1.261%, 01/14/2019 | 461,000 | 461,370 | ||||||
Hyundai Capital Services, Inc.: | ||||||||
4.375%, 07/27/2016 (Acquired 05/28/2015 through 07/28/2015, Cost $1,424,471) * f | 1,400,000 | 1,419,492 | ||||||
1.333%, 03/18/2017 (Acquired 01/13/2015, Cost $200,133) * f | 200,000 | 199,421 | ||||||
Johnson Controls, Inc.: | ||||||||
5.500%, 01/15/2016 | 150,000 | 150,163 | ||||||
2.600%, 12/01/2016 | 1,250,000 | 1,262,257 | ||||||
Kinder Morgan Finance Co. LLC, | ||||||||
5.700%, 01/05/2016 | 1,453,000 | 1,453,000 | ||||||
Lafarge SA, | ||||||||
6.500%, 07/15/2016 f | 1,100,000 | 1,127,765 | ||||||
Marathon Petroleum Corp., | ||||||||
3.500%, 03/01/2016 | 1,750,000 | 1,754,931 | ||||||
Masco Corp., | ||||||||
6.125%, 10/03/2016 | 1,050,000 | 1,081,479 | ||||||
Medtronic, Inc., | ||||||||
1.312%, 03/15/2020 | 750,000 | 747,829 | ||||||
Mondelez International, Inc., | ||||||||
0.849%, 02/01/2019 | 500,000 | 491,217 | ||||||
ONEOK Partners LP, | ||||||||
3.250%, 02/01/2016 | 1,000,000 | 1,001,732 | ||||||
Pearson Funding Two PLC, | ||||||||
4.000%, 05/17/2016 (Acquired 08/11/2015, Cost $1,010,694) * f | 1,000,000 | 1,007,065 | ||||||
Qualcomm, Inc., | ||||||||
0.920%, 05/20/2020 | 1,500,000 | 1,469,057 | ||||||
Telefonica Emisiones SAU: | ||||||||
6.421%, 06/20/2016 f | 550,000 | 562,640 | ||||||
1.243%, 06/23/2017 f | 1,000,000 | 994,276 | ||||||
Thermo Fisher Scientific, Inc., | ||||||||
2.250%, 08/15/2016 | 1,350,000 | 1,357,391 | ||||||
Total Capital International, | ||||||||
0.920%, 06/19/2019 f | 250,000 | 246,932 | ||||||
Toyota Motor Credit Corp., | ||||||||
Class 2547, 0.641%, 01/12/2018 | 900,000 | 894,933 | ||||||
TransCanada PipeLines Ltd., | ||||||||
1.110%, 01/12/2018 f | 1,000,000 | 1,001,330 | ||||||
TSMC Global Ltd., | ||||||||
0.950%, 04/03/2016 (Acquired 04/29/2015, Cost $999,825) * f | 1,000,000 | 997,990 | ||||||
TTX Co., | ||||||||
6.050%, 06/15/2016 (Acquired 09/18/2015, Cost $1,532,802) * | 1,500,000 | 1,529,481 | ||||||
Vale Overseas Ltd., | ||||||||
6.250%, 01/11/2016 f | 1,080,000 | 1,079,838 | ||||||
Verizon Communications, Inc., | ||||||||
2.252%, 09/14/2018 | 1,563,000 | 1,600,412 | ||||||
Viacom, Inc., | ||||||||
6.250%, 04/30/2016 | 1,000,000 | 1,015,418 | ||||||
Vodafone Group PLC, | ||||||||
0.752%, 02/19/2016 f | 926,000 | 925,467 | ||||||
Volkswagen Group of America Finance LLC: | ||||||||
0.748%, 05/23/2017 (Acquired 05/15/2014, Cost $250,000) * | 250,000 | 242,541 | ||||||
0.810%, 11/20/2017 (Acquired 11/12/2014, Cost $500,000) * | 500,000 | 480,458 | ||||||
Weatherford International Ltd., | ||||||||
5.500%, 02/15/2016 f | 400,000 | 398,000 | ||||||
Xerox Corp.: | ||||||||
6.400%, 03/15/2016 | 843,000 | 850,766 | ||||||
7.200%, 04/01/2016 | 261,000 | 264,373 | ||||||
54,247,962 | 28.5% | |||||||
Total Corporate Bonds | 119,269,752 | 62.6% | ||||||
Other Government Related Securities | ||||||||
CNOOC Finance 2013 Ltd., | ||||||||
1.125%, 05/09/2016 f | 1,000,000 | 998,317 | ||||||
CNPC General Capital Ltd., | ||||||||
1.262%, 05/14/2017 (Acquired 05/07/2014, Cost $250,000) * f | 250,000 | 249,552 | ||||||
Corp Andina de Fomento, | ||||||||
3.750%, 01/15/2016 f | 375,000 | 375,266 | ||||||
Electricite de France SA, | ||||||||
0.777%, 01/20/2017 (Acquired 01/13/2014, Cost $250,000) * f | 250,000 | 249,606 | ||||||
Export-Import Bank of Korea, | ||||||||
1.071%, 01/14/2017 f | 250,000 | 250,360 | ||||||
Petrobras Global Finance BV, | ||||||||
2.886%, 03/17/2017 f | 250,000 | 229,062 | ||||||
Petrobras International Finance Co. SA, | ||||||||
3.875%, 01/27/2016 f | 100,000 | 99,600 | ||||||
The Korea Development Bank, | ||||||||
4.000%, 09/09/2016 f | 600,000 | 611,143 | ||||||
3,062,906 | 1.6% |
Taxable Municipal Bonds | ||||||||
City of Erie PA, | ||||||||
6.700%, 11/15/2016 | 630,000 | 664,070 | ||||||
City of Los Angeles Department of Airports, | ||||||||
5.175%, 05/15/2017 | 130,000 | 133,563 | ||||||
Consolidated Municipalities Electric Power Systems Joint Powers Board, | ||||||||
1.000%, 06/01/2016 | 300,000 | 299,889 | ||||||
Cook County School District No 144 Prairie Hills, | ||||||||
1.500%, 12/01/2016 | 250,000 | 249,928 | ||||||
Madison County Community Unit School District No 12 Madison, | ||||||||
1.950%, 01/01/2017 | 200,000 | 199,560 | ||||||
Ohio Air Quality Development Authority, | ||||||||
2.250%, 08/01/2029 | 590,000 | 591,569 | ||||||
Ohio Water Development Authority, | ||||||||
5.875%, 06/01/2033 | 325,000 | 330,694 | ||||||
Plano Special Service Areas No 1 & 2, | ||||||||
2.000%, 03/01/2016 | 150,000 | 150,392 | ||||||
State of Illinois, | ||||||||
4.961%, 03/01/2016 | 350,000 | 352,167 | ||||||
University of Illinois, | ||||||||
1.308%, 02/15/2016 | 700,000 | 700,224 | ||||||
3,672,056 | 1.9% | |||||||
Residential Mortgage-Backed Securities | ||||||||
U.S. Government Agency Issues | ||||||||
Federal Gold Loan Mortgage Corp. (FGLMC), | ||||||||
5.000%, 12/01/2017 | 70,879 | 73,305 | ||||||
Federal National Mortgage Association (FNMA): | ||||||||
5.000%, 10/01/2017 | 66,622 | 68,982 | ||||||
5.000%, 11/01/2017 | 54,573 | 56,506 | ||||||
5.500%, 11/01/2017 | 113,952 | 117,325 | ||||||
5.000%, 12/01/2017 | 48,949 | 50,684 | ||||||
5.000%, 12/01/2019 | 599,827 | 627,067 | ||||||
993,869 | 0.5% | |||||||
Non-U.S. Government Agency Issues | ||||||||
Banc of America Alternative Loan Trust: | ||||||||
Series 2003-4, Class 2A1, 5.000%, 06/25/2018 | 46,744 | 47,540 | ||||||
Series 2004-1, Class 5A2, 5.500%, 02/25/2019 | 42,087 | 43,097 | ||||||
MASTR Alternative Loan Trust, | ||||||||
Series 2004-13, Class 8A1, 5.500%, 01/25/2025 | 87,497 | 88,174 | ||||||
178,811 | 0.1% | |||||||
Asset Backed Securities | ||||||||
Accredited Mortgage Loan Trust: | ||||||||
Series 2005-3, Class A1, 0.460%, 09/25/2035 | 29,298 | 29,280 | ||||||
Series 2005-4, Class A2D, 0.742%, 12/25/2035 | 660,015 | 624,646 | ||||||
Series 2006-2, Class A3, 0.572%, 09/25/2036 | 905,202 | 894,716 | ||||||
ACE Securities Corp. Home Equity Loan Trust, | ||||||||
Series 2006-HE1, Class A1A, 0.622%, 02/25/2036 | 214,477 | 212,882 | ||||||
Asset Backed Securities Corp. Home Equity Loan Trust, | ||||||||
Series 2004-HE6, Class A1, 0.972%, 09/25/2034 | 30,696 | 30,699 | ||||||
Capital Auto Receivables Asset Trust: | ||||||||
Series 2013-1, Class A3, 0.790%, 06/20/2017 | 78,053 | 78,031 | ||||||
Series 2014-3, Class A2, 1.180%, 12/20/2017 | 1,300,000 | 1,298,747 | ||||||
Series 2014-1, Class A3, 1.320%, 06/20/2018 | 1,300,000 | 1,299,511 | ||||||
Chase Issuance Trust, | ||||||||
Series 2014-A1, Class A1, 1.150%, 01/15/2019 | 1,000,000 | 999,227 | ||||||
Citibank Credit Card Issuance Trust, | ||||||||
Series 2013-A3, Class A3, 1.110%, 07/23/2018 | 1,700,000 | 1,701,017 | ||||||
Conseco Financial Corp., | ||||||||
Series 1998-4, Class A6, 6.530%, 04/01/2030 | 674,000 | 723,678 | ||||||
Countrywide Asset-Backed Certificates, | ||||||||
Series 2005-13, Class 3AV3, 0.672%, 04/25/2036 | 122,239 | 121,639 | ||||||
Dell Equipment Finance Trust, | ||||||||
Series 2015-1, Class A2, 1.010%, 07/24/2017 (Acquired 04/15/2015 through 09/22/2015, Cost $1,799,805) * | 1,800,000 | 1,796,593 | ||||||
First Franklin Mortgage Loan Trust, | ||||||||
Series 2004-FF7, Class A1, 1.062%, 09/25/2034 | 85,792 | 85,710 | ||||||
First National Master Note Trust, | ||||||||
Series 2013-2, Class A, 0.861%, 10/15/2019 | 1,000,000 | 999,512 | ||||||
Ford Credit Floorplan Master Owner Trust, | ||||||||
Series 2013-1, Class A2, 0.711%, 01/15/2018 | 400,000 | 400,000 | ||||||
GM Financial Automobile Leasing Trust, | ||||||||
Series 2014-1A, Class A3, 1.010%, 05/22/2017 (Acquired 12/23/2015, Cost $985,184) * | 985,723 | 985,204 | ||||||
Golden Credit Card Trust, | ||||||||
Series 2013-1A, Class A, 0.581%, 02/15/2018 (Acquired 04/24/2015 through 05/05/2015, Cost $1,719,057) * f | 1,720,000 | 1,719,574 | ||||||
GSAMP Trust, | ||||||||
Series 2006-HE1, Class A2C, 0.632%, 01/25/2036 | 210,589 | 208,038 | ||||||
HSI Asset Securitization Corp. Trust, | ||||||||
Series 2007-WF1, Class 2A3, 0.592%, 05/25/2037 | 512,960 | 490,255 | ||||||
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 | 1,198,614 | ||||||
J.P. Morgan Mortgage Acquisition Trust: | ||||||||
Series 2006-NC1, Class A4, 0.592%, 04/25/2036 | 700,371 | 687,590 | ||||||
Series 2007-CH1, Class AV4, 0.552%, 11/25/2036 | 39,654 | 39,626 | ||||||
Series 2007-CH3, Class A3, 0.572%, 03/25/2037 | 1,021,025 | 1,011,339 | ||||||
Series 2007-CH5, Class A3, 0.532%, 05/25/2037 | 657,820 | 649,236 | ||||||
Leaf Receivables Funding 10 LLC, | ||||||||
Series 2015-1, Class A3, 1.490%, 03/15/2018 (Acquired 04/23/2015, Cost $749,862) * | 750,000 | 747,950 | ||||||
Long Beach Mortgage Loan Trust, | ||||||||
Series 2006-WL2, Class 2A3, 0.622%, 01/25/2036 | 37,038 | 35,747 | ||||||
Louisiana Local Government Environmental Facilities & Community Development Auth., | ||||||||
1.520%, 02/01/2018 | 46,948 | 46,967 | ||||||
Nationstar Home Equity Loan Trust, | ||||||||
Series 2007-C, Class 2AV2, 0.552%, 06/25/2037 | 40,619 | 39,506 | ||||||
New Century Home Equity Loan Trust, | ||||||||
Series 2005-B, Class A2C, 0.702%, 10/25/2035 | 357,074 | 356,661 | ||||||
Park Place Securities Inc. Asset-Backed Pass-Through Certificates, | ||||||||
Series 2005-WCW2, Class A2D, 0.792%, 07/25/2035 | 145,181 | 145,074 | ||||||
RAMP Series Trust: | ||||||||
Series 2003-RS7, Class AI6, 5.340%, 08/25/2033 | 47,372 | 47,490 | ||||||
Series 2006-NC1, Class A2, 0.612%, 01/25/2036 | 440,824 | 439,983 | ||||||
RASC Series 2007-KS2 Trust, | ||||||||
Series 2007-KS2, Class AI2, 0.542%, 02/25/2037 | 207,409 | 207,080 | ||||||
RASC Series 2007-KS3 Trust, | ||||||||
Series 2007-KS3, Class AI2, 0.602%, 04/25/2037 | 106,393 | 106,323 | ||||||
RASC Series Trust: | ||||||||
Series 2003-KS2, Class AI6, 3.990%, 04/25/2033 | 33,668 | 33,629 | ||||||
Series 2006-EMX2, Class A2, 0.622%, 02/25/2036 | 595,547 | 591,026 | ||||||
Series 2006-KS1, Class A4, 0.722%, 02/25/2036 | 351,525 | 348,188 | ||||||
Saxon Asset Securities Trust 2006-1, | ||||||||
Series 2006-1, Class A2C, 0.742%, 03/25/2036 | 1,144,688 | 1,122,012 | ||||||
Soundview Home Loan Trust, | ||||||||
Series 2005-OPT4, Class 2A3, 0.682%, 12/25/2035 | 782,289 | 769,044 | ||||||
Specialty Underwriting & Residential Finance Trust, | ||||||||
Series 2006-BC1, Class A2C, 0.622%, 12/25/2036 | 1,002,089 | 998,029 | ||||||
Springleaf Funding Trust, | ||||||||
Series 2014-AA, Class A, 2.410%, 12/15/2022 (Acquired 05/13/2015 through 07/28/2015, Cost $1,219,180) * | 1,215,000 | 1,211,549 | ||||||
Synchrony Credit Card Master Note Trust, | ||||||||
Series 2012-3, Class A, 0.781%, 03/15/2020 | 1,025,000 | 1,023,330 | ||||||
TCF Auto Receivables Owner Trust, | ||||||||
Series 2015-1A, Class A2, 1.020%, 08/15/2018 (Acquired 06/03/2015, Cost $691,837) * | 691,876 | 690,618 | ||||||
27,245,570 | 14.3% | |||||||
Total Long-Term Investments (Cost $185,461,274) | 184,484,950 | 96.8% |
Shares | ||||||||
SHORT-TERM INVESTMENT | ||||||||
Money Market Mutual Fund | ||||||||
Dreyfus Cash Advantage Fund, 0.26% « | 9,149,837 | 9,149,837 | ||||||
Total Short-Term Investment (Cost $9,149,837) | 9,149,837 | 4.8% | ||||||
Total Investments (Cost $194,611,111) | 193,634,787 | 101.6% | ||||||
Liabilities in Excess of Other Assets | (3,111,359) | (1.6)% | ||||||
TOTAL NET ASSETS | $ 190,523,428 | 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 December 31, 2015, the value of these securities total $38,801,577, which represents 20.37% of total net assets. |
f | Foreign Security |
« | 7-Day Yield |
^ | As of December 31,2015, US Bancorp (Parent to U.S. Bank, N.A.) is considered an "affiliated person" of the Fund for Purposes of the 1940 Act. Please see Note 5 for additional information. |
Baird Short-Term Bond Fund | ||||||||
Schedule of Investments | ||||||||
December 31, 2015 | ||||||||
Principal | % of | |||||||
Amount | Value | Net Assets | ||||||
LONG-TERM INVESTMENTS | ||||||||
U.S. Treasury Security | ||||||||
U.S. Treasury Bond, | ||||||||
1.250%, 04/30/2019 @ | $ 435,125,000 | $ 432,354,559 | ||||||
432,354,559 | 14.3% | |||||||
Corporate Bonds | ||||||||
Finance | ||||||||
ABN AMRO Bank NV: | ||||||||
1.123%, 10/28/2016 (Acquired 10/23/2013 through 05/19/2014, Cost $11,053,879) * f | 11,050,000 | 11,080,940 | ||||||
4.250%, 02/02/2017 (Acquired 08/23/2013 through 11/21/2014, Cost $3,768,026) * f | 3,675,000 | 3,773,824 | ||||||
2.500%, 10/30/2018 (Acquired 03/04/2014 through 04/29/2015, Cost $1,158,320) * f | 1,150,000 | 1,157,322 | ||||||
American Express Bank, FSB, | ||||||||
0.617%, 06/12/2017 | 750,000 | 745,389 | ||||||
American Express Co.: | ||||||||
5.500%, 09/12/2016 | 1,213,000 | 1,248,493 | ||||||
7.000%, 03/19/2018 | 2,661,000 | 2,951,028 | ||||||
0.968%, 05/22/2018 | 1,155,000 | 1,147,846 | ||||||
American Express Credit Corp.: | ||||||||
0.834%, 07/29/2016 | 5,000,000 | 5,000,840 | ||||||
0.852%, 08/15/2019 | 2,000,000 | 1,956,572 | ||||||
American International Group, Inc., | ||||||||
5.600%, 10/18/2016 | 5,120,000 | 5,284,239 | ||||||
ANZ New Zealand (Int'l) Ltd.: | ||||||||
1.125%, 03/24/2016 (Acquired 03/20/2013 through 01/16/2014, Cost $5,322,354) * f | 5,324,000 | 5,327,253 | ||||||
2.600%, 09/23/2019 (Acquired 09/16/2014, Cost $3,347,822) * f | 3,350,000 | 3,359,494 | ||||||
2.850%, 08/06/2020 (Acquired 07/30/2015, Cost $2,997,510) * f | 3,000,000 | 3,025,197 | ||||||
Aon Corp., | ||||||||
3.125%, 05/27/2016 f | 1,582,000 | 1,594,251 | ||||||
Australia and New Zealand Banking Group Ltd.: | ||||||||
0.701%, 01/10/2017 (Acquired 01/06/2014, Cost $750,000) * f | 750,000 | 750,572 | ||||||
1.875%, 10/06/2017 f | 750,000 | 751,740 | ||||||
2.250%, 06/13/2019 f | 1,000,000 | 998,005 | ||||||
Banco Santander-Chile, | ||||||||
1.221%, 04/11/2017 (Acquired 04/08/2014, Cost $1,800,000) * f | 1,800,000 | 1,777,500 | ||||||
Bank of America Corp., | ||||||||
5.750%, 12/01/2017 | 5,000,000 | 5,348,750 | ||||||
Bank of Montreal: | ||||||||
0.919%, 04/09/2018 @ f | 1,325,000 | 1,326,438 | ||||||
1.800%, 07/31/2018 f | 5,000,000 | 4,988,950 | ||||||
Barclays Bank PLC: | ||||||||
Series 1, 5.000%, 09/22/2016 f | 5,630,000 | 5,774,466 | ||||||
0.944%, 02/17/2017 f | 4,000,000 | 3,997,740 | ||||||
Barclays PLC, | ||||||||
2.000%, 03/16/2018 f | 4,000,000 | 3,976,128 | ||||||
BB&T Corp., | ||||||||
1.372%, 06/15/2018 | 4,150,000 | 4,158,229 | ||||||
BNP Paribas SA: | ||||||||
1.092%, 12/12/2016 f | 4,540,000 | 4,539,937 | ||||||
2.375%, 09/14/2017 f | 3,000,000 | 3,035,637 | ||||||
2.375%, 05/21/2020 f | 3,225,000 | 3,192,382 | ||||||
BNZ International Funding Ltd.: | ||||||||
1.900%, 02/26/2018 (Acquired 02/23/2015, Cost $1,703,784) * f | 1,700,000 | 1,693,210 | ||||||
2.350%, 03/04/2019 (Acquired 09/03/2014 through 11/13/2014, Cost $7,238,441) * f | 7,250,000 | 7,207,450 | ||||||
BPCE: | ||||||||
1.191%, 02/10/2017 f | 9,650,000 | 9,667,254 | ||||||
2.500%, 12/10/2018 f | 3,525,000 | 3,554,871 | ||||||
Branch Banking and Trust Co., | ||||||||
0.629%, 05/23/2017 | 9,620,000 | 9,573,862 | ||||||
Caisse Centrale Desjardins: | ||||||||
0.989%, 01/29/2018 (Acquired 01/26/2015, Cost $10,000,000) * f | 10,000,000 | 9,980,450 | ||||||
1.750%, 01/29/2018 (Acquired 04/06/2015, Cost $4,016,274) * f | 4,000,000 | 3,965,584 | ||||||
Canadian Imperial Bank of Commerce, | ||||||||
1.350%, 07/18/2016 f | 5,000,000 | 5,010,955 | ||||||
Capital One Bank (USA) National Association, | ||||||||
2.250%, 02/13/2019 | 1,500,000 | 1,493,408 | ||||||
Capital One Financial Corp.: | ||||||||
6.150%, 09/01/2016 | 1,403,000 | 1,445,630 | ||||||
5.250%, 02/21/2017 | 1,100,000 | 1,137,247 | ||||||
Capital One NA: | ||||||||
1.500%, 09/05/2017 | 5,000,000 | 4,960,155 | ||||||
1.014%, 02/05/2018 | 2,000,000 | 1,987,162 | ||||||
2.400%, 09/05/2019 | 5,300,000 | 5,243,767 | ||||||
CIGNA Corp., | ||||||||
5.375%, 03/15/2017 | 2,300,000 | 2,396,890 | ||||||
Citigroup, Inc.: | ||||||||
1.042%, 11/15/2016 | 2,000,000 | 2,002,092 | ||||||
1.550%, 08/14/2017 | 2,400,000 | 2,390,810 | ||||||
1.850%, 11/24/2017 | 5,000,000 | 4,992,620 | ||||||
1.700%, 04/27/2018 | 2,000,000 | 1,980,174 | ||||||
2.150%, 07/30/2018 | 3,975,000 | 3,972,055 | ||||||
2.050%, 12/07/2018 | 4,000,000 | 3,978,868 | ||||||
Citizens Bank, National Association, | ||||||||
1.600%, 12/04/2017 | 14,300,000 | 14,166,695 | ||||||
CNA Financial Corp.: | ||||||||
6.500%, 08/15/2016 | 4,995,000 | 5,143,147 | ||||||
7.350%, 11/15/2019 | 10,200,000 | 11,743,535 | ||||||
Comerica Bank: | ||||||||
5.750%, 11/21/2016 | 1,925,000 | 1,993,936 | ||||||
5.200%, 08/22/2017 | 5,325,000 | 5,586,357 | ||||||
2.500%, 06/02/2020 | 7,000,000 | 6,962,599 | ||||||
Commonwealth Bank of Australia/New York NY, | ||||||||
1.750%, 11/02/2018 f | 15,000,000 | 14,891,175 | ||||||
Compass Bank: | ||||||||
1.850%, 09/29/2017 | 10,505,000 | 10,415,193 | ||||||
2.750%, 09/29/2019 | 3,400,000 | 3,365,986 | ||||||
Countrywide Financial Corp., | ||||||||
6.250%, 05/15/2016 | 8,226,000 | 8,364,657 | ||||||
Credit Agricole SA, | ||||||||
1.462%, 10/03/2016 (Acquired 09/26/2013, Cost $10,000,000) * f | 10,000,000 | 10,030,250 | ||||||
Credit Suisse: | ||||||||
0.897%, 05/26/2017 f | 2,000,000 | 1,992,578 | ||||||
6.000%, 02/15/2018 f | 8,440,000 | 9,070,038 | ||||||
1.700%, 04/27/2018 f | 2,500,000 | 2,482,050 | ||||||
Deutsche Bank AG: | ||||||||
3.250%, 01/11/2016 f | 900,000 | 900,338 | ||||||
0.969%, 02/13/2017 f | 5,450,000 | 5,415,790 | ||||||
Deutsche Bank Aktiengesellschaft: | ||||||||
Series 3FXD, 1.400%, 02/13/2017 f | 3,000,000 | 2,983,041 | ||||||
0.882%, 05/30/2017 f | 2,640,000 | 2,623,101 | ||||||
6.000%, 09/01/2017 f | 3,467,000 | 3,672,174 | ||||||
Discover Bank, | ||||||||
8.700%, 11/18/2019 | 5,395,000 | 6,382,458 | ||||||
Discover Bank of Greenwood DE, | ||||||||
2.600%, 11/13/2018 | 8,000,000 | 7,993,608 | ||||||
Fifth Third Bancorp: | ||||||||
3.625%, 01/25/2016 | 1,305,000 | 1,307,307 | ||||||
0.990%, 12/20/2016 | 7,825,000 | 7,794,381 | ||||||
5.450%, 01/15/2017 | 919,000 | 952,718 | ||||||
2.150%, 08/20/2018 | 2,000,000 | 2,005,696 | ||||||
2.875%, 07/27/2020 | 5,000,000 | 4,994,450 | ||||||
First Tennessee Bank National Association: | ||||||||
5.650%, 04/01/2016 | 7,219,000 | 7,273,431 | ||||||
2.950%, 12/01/2019 | 2,000,000 | 1,984,786 | ||||||
GE Capital International Funding Co., | ||||||||
0.964%, 04/15/2016 (Acquired 01/08/2013 through 11/13/2014, Cost $11,554,535) * f | 11,700,000 | 11,705,277 | ||||||
Genworth Holdings, Inc., | ||||||||
8.625%, 12/15/2016 | 1,000,000 | 1,032,500 | ||||||
Hana Bank, | ||||||||
1.469%, 11/09/2016 (Acquired 11/05/2013, Cost $7,002,252) * f | 7,000,000 | 7,015,540 | ||||||
HSBC Bank USA, National Association, | ||||||||
6.000%, 08/09/2017 | 925,000 | 983,962 | ||||||
HSBC Finance Corp.: | ||||||||
5.500%, 01/19/2016 | 556,000 | 556,911 | ||||||
6.676%, 01/15/2021 | 221,000 | 253,637 | ||||||
HSBC USA, Inc.: | ||||||||
1.474%, 09/24/2018 | 1,000,000 | 1,000,814 | ||||||
0.969%, 11/13/2019 | 9,750,000 | 9,604,403 | ||||||
Humana, Inc., | ||||||||
7.200%, 06/15/2018 | 2,810,000 | 3,144,160 | ||||||
Huntington Bancshares Inc., | ||||||||
2.600%, 08/02/2018 | 3,375,000 | 3,378,898 | ||||||
ING Bank NV: | ||||||||
4.000%, 03/15/2016 (Acquired 03/08/2012 through 08/12/2015, Cost $7,466,026) * f | 7,433,000 | 7,479,679 | ||||||
3.750%, 03/07/2017 (Acquired 05/30/2013 through 01/13/2014, Cost $3,268,233) * f | 3,200,000 | 3,278,381 | ||||||
J.P. Morgan Chase & Co.: | ||||||||
0.870%, 04/25/2018 | 3,500,000 | 3,475,560 | ||||||
Series 1, 0.953%, 01/28/2019 | 750,000 | 744,452 | ||||||
2.250%, 01/23/2020 | 8,100,000 | 7,968,626 | ||||||
Kemper Corp., | ||||||||
6.000%, 05/15/2017 | 4,565,000 | 4,742,428 | ||||||
KeyBank National Association, | ||||||||
2.500%, 12/15/2019 | 5,325,000 | 5,332,396 | ||||||
Kookmin Bank: | ||||||||
1.198%, 01/27/2017 (Acquired 01/21/2014 through 02/20/2014, Cost $4,751,321) * f | 4,750,000 | 4,765,195 | ||||||
1.625%, 07/14/2017 (Acquired 07/07/2014, Cost $5,983,080) * f | 6,000,000 | 5,970,042 | ||||||
LeasePlan Corp. NV, | ||||||||
2.500%, 05/16/2018 (Acquired 05/07/2013 through 10/20/2014, Cost $14,718,403) * f | 14,785,000 | 14,561,347 | ||||||
Lloyds Bank PLC: | ||||||||
4.875%, 01/21/2016 f | 1,775,000 | 1,777,756 | ||||||
1.750%, 05/14/2018 f | 5,825,000 | 5,812,424 | ||||||
2.000%, 08/17/2018 f | 4,500,000 | 4,503,420 | ||||||
M&I Marshall & Ilsley Bank, | ||||||||
5.000%, 01/17/2017 | 2,488,000 | 2,564,546 | ||||||
Macquarie Bank Ltd.: | ||||||||
2.000%, 08/15/2016 (Acquired 08/07/2013 through 04/29/2015, Cost $10,155,606) * f | 10,150,000 | 10,188,621 | ||||||
0.953%, 10/27/2017 (Acquired 10/22/2014, Cost $5,000,000) * f | 5,000,000 | 4,976,625 | ||||||
Macquarie Group Ltd., | ||||||||
4.875%, 08/10/2017 (Acquired 10/29/2014 through 11/25/2014, Cost $2,881,216) * f | 2,750,000 | 2,846,231 | ||||||
Manufacturers And Traders Trust Co.: | ||||||||
0.752%, 03/07/2016 | 8,150,000 | 8,145,004 | ||||||
0.620%, 07/25/2017 | 1,000,000 | 996,877 | ||||||
6.625%, 12/04/2017 | 1,000,000 | 1,086,737 | ||||||
1.637%, 12/28/2020 | 282,000 | 281,664 | ||||||
Marsh & McLennan Cos., Inc., | ||||||||
2.300%, 04/01/2017 | 1,297,000 | 1,307,237 | ||||||
Metropolitan Life Global Funding I, | ||||||||
0.701%, 04/10/2017 (Acquired 04/07/2014, Cost $8,500,000) * | 8,500,000 | 8,507,089 | ||||||
Mizuho Bank Ltd.: | ||||||||
2.550%, 03/17/2017 (Acquired 05/30/2013, Cost $6,965,011) * f | 6,900,000 | 6,959,098 | ||||||
0.747%, 04/16/2017 (Acquired 04/09/2014, Cost $2,800,000) * f | 2,800,000 | 2,791,200 | ||||||
1.507%, 10/20/2018 (Acquired 10/13/2015, Cost $2,500,000) * f | 2,500,000 | 2,522,900 | ||||||
Morgan Stanley: | ||||||||
1.750%, 02/25/2016 @ | 2,000,000 | 2,002,310 | ||||||
5.450%, 01/09/2017 | 2,950,000 | 3,062,242 | ||||||
1.347%, 01/05/2018 | 1,500,000 | 1,498,768 | ||||||
6.625%, 04/01/2018 | 2,000,000 | 2,193,060 | ||||||
1.170%, 01/24/2019 | 4,750,000 | 4,737,816 | ||||||
1.463%, 01/27/2020 | 4,000,000 | 4,008,548 | ||||||
MUFG Union Bank, National Association: | ||||||||
3.000%, 06/06/2016 | 6,300,000 | 6,357,903 | ||||||
2.125%, 06/16/2017 | 3,500,000 | 3,521,655 | ||||||
National City Bank, | ||||||||
5.800%, 06/07/2017 | 2,525,000 | 2,662,052 | ||||||
Nationwide Building Society, | ||||||||
2.350%, 01/21/2020 (Acquired 01/12/2015, Cost $4,998,350) * f | 5,000,000 | 4,966,380 | ||||||
New York Life Global Funding, | ||||||||
1.550%, 11/02/2018 (Acquired 10/27/2015, Cost $9,486,415) * | 9,500,000 | 9,422,623 | ||||||
Nomura Holdings, Inc., | ||||||||
2.000%, 09/13/2016 f | 10,205,000 | 10,246,024 | ||||||
Nordea Bank AB: | ||||||||
3.125%, 03/20/2017 (Acquired 10/03/2012 through 08/21/2013, Cost $5,213,368) * f | 5,140,000 | 5,241,412 | ||||||
1.250%, 04/04/2017 (Acquired 03/31/2014, Cost $3,988,880) * f | 4,000,000 | 3,988,924 | ||||||
Orange Cogen Funding Corp., | ||||||||
8.175%, 03/15/2022 (Acquired 02/10/2015 through 09/16/2015, Cost $12,135,987) * | 10,370,040 | 12,030,263 | ||||||
Paine Webber Group, Inc., | ||||||||
7.990%, 06/09/2017 | 300,000 | 319,504 | ||||||
Principal Financial Group, Inc.: | ||||||||
1.850%, 11/15/2017 | 3,500,000 | 3,502,905 | ||||||
8.875%, 05/15/2019 | 7,435,000 | 8,896,282 | ||||||
Prudential Financial, Inc., | ||||||||
6.100%, 06/15/2017 | 4,720,000 | 5,000,415 | ||||||
Raymond James Financial, Inc., | ||||||||
4.250%, 04/15/2016 | 5,600,000 | 5,642,566 | ||||||
Regions Bank, | ||||||||
7.500%, 05/15/2018 | 4,670,000 | 5,189,024 | ||||||
Reliance Standard Life Global Funding II: | ||||||||
2.150%, 10/15/2018 (Acquired 10/13/2015, Cost $8,493,880) * | 8,500,000 | 8,449,782 | ||||||
2.500%, 01/15/2020 (Acquired 01/07/2015, Cost $5,979,540) * | 6,000,000 | 5,943,396 | ||||||
Royal Bank of Canada, | ||||||||
1.400%, 10/13/2017 @ f | 8,450,000 | 8,428,267 | ||||||
Santander Bank NA, | ||||||||
8.750%, 05/30/2018 | 2,238,000 | 2,525,908 | ||||||
Skandinaviska Enskilda Banken AB: | ||||||||
2.375%, 11/20/2018 (Acquired 08/05/2015, Cost $5,043,620) * f | 5,000,000 | 5,028,560 | ||||||
2.450%, 05/27/2020 (Acquired 05/19/2015, Cost $4,692,762) * f | 4,700,000 | 4,668,693 | ||||||
Societe Generale: | ||||||||
5.750%, 04/20/2016 (Acquired 07/08/2014 through 10/29/2015, Cost $2,015,746) * f | 1,990,000 | 2,015,349 | ||||||
1.692%, 10/01/2018 f | 6,000,000 | 6,048,240 | ||||||
2.625%, 10/01/2018 f | 1,000,000 | 1,011,059 | ||||||
Standard Chartered PLC: | ||||||||
0.802%, 09/08/2017 (Acquired 09/03/2014, Cost $10,000,000) * f | 10,000,000 | 9,901,140 | ||||||
0.955%, 04/17/2018 (Acquired 04/13/2015, Cost $2,000,000) * f | 2,000,000 | 1,988,162 | ||||||
2.400%, 09/08/2019 (Acquired 09/03/2014 through 04/29/2015, Cost $2,223,349) * @ f | 2,225,000 | 2,188,648 | ||||||
Sumitomo Mitsui Banking Corp.: | ||||||||
1.450%, 07/19/2016 f | 4,000,000 | 4,006,048 | ||||||
0.751%, 01/10/2017 f | 2,075,000 | 2,068,881 | ||||||
1.950%, 07/23/2018 f | 3,500,000 | 3,483,725 | ||||||
2.450%, 01/16/2020 f | 4,500,000 | 4,474,449 | ||||||
SunTrust Bank, | ||||||||
7.250%, 03/15/2018 | 154,000 | 170,265 | ||||||
SunTrust Banks, Inc., | ||||||||
6.000%, 09/11/2017 | 780,000 | 828,554 | ||||||
SUSA Partnership LP, | ||||||||
8.200%, 06/01/2017 | 714,000 | 772,467 | ||||||
Svenska Handelsbanken AB: | ||||||||
2.875%, 04/04/2017 f | 275,000 | 279,728 | ||||||
1.625%, 03/21/2018 f | 1,100,000 | 1,095,117 | ||||||
1.016%, 06/17/2019 f | 2,000,000 | 1,981,684 | ||||||
1.542%, 10/01/2020 f | 10,000,000 | 10,004,560 | ||||||
Symetra Financial Corp., | ||||||||
6.125%, 04/01/2016 (Acquired 11/24/2014, Cost $2,659,373) * | 2,630,000 | 2,657,105 | ||||||
Synchrony Financial: | ||||||||
2.600%, 01/15/2019 | 2,000,000 | 1,992,814 | ||||||
3.000%, 08/15/2019 @ | 13,350,000 | 13,331,470 | ||||||
The Bank of New York Mellon Corp., | ||||||||
0.889%, 08/01/2018 | 1,000,000 | 997,468 | ||||||
The Bank of Nova Scotia, | ||||||||
0.962%, 06/11/2018 f | 3,500,000 | 3,491,205 | ||||||
The Bank of Tokyo-Mitsubishi UFJ Ltd.: | ||||||||
0.701%, 07/15/2016 f | 5,000,000 | 5,003,025 | ||||||
0.897%, 03/10/2017 (Acquired 11/24/2014 through 12/03/2015, Cost $5,542,939) * f | 5,550,000 | 5,542,702 | ||||||
2.150%, 09/14/2018 (Acquired 09/08/2015, Cost $6,298,173) * f | 6,300,000 | 6,281,963 | ||||||
The Bear Stearns Companies LLC: | ||||||||
6.400%, 10/02/2017 | 7,700,000 | 8,292,338 | ||||||
7.250%, 02/01/2018 | 450,000 | 496,390 | ||||||
The Goldman Sachs Group, Inc.: | ||||||||
6.250%, 09/01/2017 @ | 4,583,000 | 4,908,113 | ||||||
1.587%, 12/10/2017 | 1,000,000 | 996,506 | ||||||
5.950%, 01/18/2018 | 1,045,000 | 1,125,441 | ||||||
6.150%, 04/01/2018 | 4,775,000 | 5,185,249 | ||||||
2.900%, 07/19/2018 | 1,000,000 | 1,019,546 | ||||||
7.500%, 02/15/2019 | 3,000,000 | 3,432,783 | ||||||
The Hartford Financial Services Group, Inc.: | ||||||||
5.500%, 10/15/2016 | 3,150,000 | 3,255,084 | ||||||
5.375%, 03/15/2017 | 3,145,000 | 3,280,204 | ||||||
6.300%, 03/15/2018 | 1,825,000 | 1,988,724 | ||||||
6.000%, 01/15/2019 | 455,000 | 500,396 | ||||||
The Huntington National Bank: | ||||||||
1.350%, 08/02/2016 | 5,000,000 | 5,000,315 | ||||||
2.000%, 06/30/2018 | 5,500,000 | 5,465,361 | ||||||
UBS AG: | ||||||||
1.800%, 03/26/2018 f | 8,825,000 | 8,810,227 | ||||||
5.750%, 04/25/2018 f | 3,351,000 | 3,631,800 | ||||||
UBS Group Funding Jersey Ltd., | ||||||||
2.034%, 09/24/2020 (Acquired 09/21/2015, Cost $2,000,000) * f | 2,000,000 | 2,007,180 | ||||||
Voya Financial, Inc., | ||||||||
2.900%, 02/15/2018 | 14,708,000 | 14,866,993 | ||||||
WEA Finance LLC / Westfield UK & Europe Finance PLC, | ||||||||
3.250%, 10/05/2020 (Acquired 09/28/2015, Cost $4,982,850) * | 5,000,000 | 5,019,135 | ||||||
Wells Fargo & Co., | ||||||||
2.600%, 07/22/2020 | 3,900,000 | 3,890,008 | ||||||
Wells Fargo Bank, National Association: | ||||||||
0.572%, 05/16/2016 | 7,000,000 | 6,995,478 | ||||||
6.000%, 11/15/2017 | 610,000 | 657,901 | ||||||
Westpac Banking Corp.: | ||||||||
2.000%, 08/14/2017 f | 2,000,000 | 2,012,492 | ||||||
0.784%, 12/01/2017 f | 10,000,000 | 9,956,600 | ||||||
839,602,162 | 27.9% |
Utility | ||||||||
Beaver Valley II Funding Corp., | ||||||||
9.000%, 06/01/2017 | 245,000 | 259,700 | ||||||
Commonwealth Edison Co.: | ||||||||
Series 104, 5.950%, 08/15/2016 | 550,000 | 565,092 | ||||||
6.150%, 09/15/2017 | 100,000 | 107,360 | ||||||
Dominion Resources, Inc.: | ||||||||
6.400%, 06/15/2018 | 3,550,000 | 3,886,870 | ||||||
2.500%, 12/01/2019 | 9,500,000 | 9,464,888 | ||||||
Entergy Corp., | ||||||||
4.700%, 01/15/2017 | 8,750,000 | 8,972,513 | ||||||
Exelon Corp.: | ||||||||
1.550%, 06/09/2017 | 2,000,000 | 1,991,566 | ||||||
2.850%, 06/15/2020 @ | 2,275,000 | 2,262,563 | ||||||
National Rural Utilities Cooperative Finance Corp., | ||||||||
10.375%, 11/01/2018 | 1,075,000 | 1,311,491 | ||||||
NextEra Energy Capital Holdings, Inc., | ||||||||
Class F, 2.056%, 09/01/2017 | 7,250,000 | 7,256,757 | ||||||
Pacific Gas and Electric Co., | ||||||||
8.250%, 10/15/2018 | 8,320,000 | 9,670,053 | ||||||
PPL Energy Supply LLC, | ||||||||
6.200%, 05/15/2016 | 4,041,000 | 4,035,949 | ||||||
PSEG Power LLC, | ||||||||
5.320%, 09/15/2016 | 4,905,000 | 5,039,647 | ||||||
Public Service Co. of New Mexico, | ||||||||
7.950%, 05/15/2018 | 1,431,000 | 1,601,366 | ||||||
Sempra Energy: | ||||||||
2.300%, 04/01/2017 | 1,300,000 | 1,307,559 | ||||||
9.800%, 02/15/2019 | 2,575,000 | 3,115,969 | ||||||
Southwestern Public Service Co., | ||||||||
5.600%, 10/01/2016 | 3,000,000 | 3,094,314 | ||||||
63,943,657 | 2.1% | |||||||
Industrials | ||||||||
A.P. Meoller - Maersk A/S, | ||||||||
2.550%, 09/22/2019 (Acquired 09/15/2014, Cost $4,540,672) * f | 4,550,000 | 4,502,857 | ||||||
AbbVie, Inc.: | ||||||||
1.750%, 11/06/2017 | 5,049,000 | 5,039,200 | ||||||
1.800%, 05/14/2018 | 9,450,000 | 9,406,492 | ||||||
Actavis Funding SCS: | ||||||||
2.450%, 06/15/2019 f | 3,000,000 | 2,967,564 | ||||||
1.757%, 03/12/2020 f | 1,000,000 | 1,003,572 | ||||||
3.000%, 03/12/2020 f | 3,900,000 | 3,896,899 | ||||||
ACTAVIS, Inc., | ||||||||
1.875%, 10/01/2017 | 1,392,000 | 1,390,342 | ||||||
Agrium, Inc., | ||||||||
7.700%, 02/01/2017 f | 5,000,000 | 5,257,485 | ||||||
Alibaba Group Holding Ltd., | ||||||||
0.932%, 11/28/2017 f | 2,500,000 | 2,479,032 | ||||||
Altera Corp., | ||||||||
2.500%, 11/15/2018 | 3,000,000 | 3,024,495 | ||||||
America Movil, SAB de CV, | ||||||||
1.502%, 09/12/2016 f | 9,000,000 | 8,999,883 | ||||||
American Honda Finance Corp., | ||||||||
1.600%, 07/13/2018 @ | 9,300,000 | 9,252,161 | ||||||
Amgen, Inc.: | ||||||||
0.758%, 05/22/2017 | 2,750,000 | 2,743,029 | ||||||
5.700%, 02/01/2019 @ | 10,000,000 | 11,024,830 | ||||||
Anadarko Petroleum Corp.: | ||||||||
5.950%, 09/15/2016 | 5,855,000 | 6,016,346 | ||||||
6.375%, 09/15/2017 | 2,400,000 | 2,516,693 | ||||||
8.700%, 03/15/2019 | 2,970,000 | 3,374,371 | ||||||
Anglo American Capital PLC, | ||||||||
1.271%, 04/15/2016 (Acquired 04/08/2014 through 11/13/2014, Cost $2,045,216) * f | 2,045,000 | �� 2,024,992 | ||||||
AT&T, Inc., | ||||||||
1.533%, 06/30/2020 | 4,000,000 | 3,971,400 | ||||||
Baxalta, Inc.: | ||||||||
1.366%, 06/22/2018 (Acquired 06/18/2015, Cost $3,500,000) * | 3,500,000 | 3,489,080 | ||||||
2.000%, 06/22/2018 (Acquired 06/18/2015 through 06/30/2015, Cost $9,199,515) * | 9,200,000 | 9,105,599 | ||||||
Beam Suntory, Inc.: | ||||||||
5.375%, 01/15/2016 | 1,269,000 | 1,270,324 | ||||||
1.875%, 05/15/2017 | 8,000,000 | 8,008,680 | ||||||
Becton Dickinson & Co., | ||||||||
1.450%, 05/15/2017 | 5,315,000 | 5,292,544 | ||||||
Bemis Co., Inc., | ||||||||
6.800%, 08/01/2019 | 3,825,000 | 4,330,615 | ||||||
Boardwalk Pipelines LP, | ||||||||
5.500%, 02/01/2017 | 13,384,000 | 13,561,097 | ||||||
Boston Scientific Corp.: | ||||||||
5.125%, 01/12/2017 | 3,000,000 | 3,095,679 | ||||||
2.650%, 10/01/2018 | 7,077,000 | 7,114,197 | ||||||
BP Capital Markets: | ||||||||
0.851%, 05/10/2018 f | 1,575,000 | 1,564,714 | ||||||
1.233%, 09/26/2018 f | 7,085,000 | 7,009,637 | ||||||
Bunge Limited Finance Corp.: | ||||||||
3.200%, 06/15/2017 | 500,000 | 504,900 | ||||||
8.500%, 06/15/2019 | 6,808,000 | 7,879,443 | ||||||
Bunge NA Finance LP, | ||||||||
5.900%, 04/01/2017 | 1,945,000 | 2,027,795 | ||||||
Celgene Corp., | ||||||||
2.125%, 08/15/2018 | 6,500,000 | 6,501,436 | ||||||
CF Industries, Inc., | ||||||||
6.875%, 05/01/2018 | 11,182,000 | 12,115,932 | ||||||
Charter Communications, Inc., | ||||||||
3.579%, 07/23/2020 (Acquired 07/09/2015, Cost $3,000,000) * | 3,000,000 | 2,982,027 | ||||||
Chevron Phillips Chemical Co. LLC, | ||||||||
1.079%, 05/01/2020 (Acquired 05/07/2015, Cost $5,050,000) * | 5,050,000 | 5,077,977 | ||||||
Coca-Cola FEMSA, S.A.B. de C.V., | ||||||||
2.375%, 11/26/2018 f | 4,000,000 | 3,994,188 | ||||||
Columbia Pipeline Group, Inc., | ||||||||
2.450%, 06/01/2018 (Acquired 05/19/2015, Cost $4,998,800) * | 5,000,000 | 4,888,590 | ||||||
ConAgra Foods, Inc.: | ||||||||
5.819%, 06/15/2017 | 6,234,000 | 6,576,396 | ||||||
1.900%, 01/25/2018 | 9,290,000 | 9,238,469 | ||||||
Cox Communications, Inc.: | ||||||||
6.250%, 06/01/2018 (Acquired 06/24/2015, Cost $9,839,090) * | 9,000,000 | 9,671,238 | ||||||
9.375%, 01/15/2019 (Acquired 02/10/2015, Cost $391,606) * | 325,000 | 376,556 | ||||||
Crane Co., | ||||||||
2.750%, 12/15/2018 | 7,585,000 | 7,561,433 | ||||||
CSX Corp., | ||||||||
7.900%, 05/01/2017 | 2,221,000 | 2,403,189 | ||||||
CVS Health Corp., | ||||||||
2.800%, 07/20/2020 | 6,725,000 | 6,755,209 | ||||||
Daimler Finance North America LLC: | ||||||||
1.250%, 01/11/2016 (Acquired 01/07/2013, Cost $2,846,494) * | 2,850,000 | 2,850,119 | ||||||
1.009%, 08/01/2016 (Acquired 07/24/2013 through 08/26/2014, Cost $2,280,728) * | 2,280,000 | 2,278,860 | ||||||
0.837%, 03/10/2017 (Acquired 03/03/2014, Cost $2,000,000) * | 2,000,000 | 1,989,314 | ||||||
0.669%, 08/01/2017 (Acquired 07/24/2014 through 11/10/2015, Cost $2,695,444) * | 2,700,000 | 2,681,289 | ||||||
0.836%, 03/02/2018 (Acquired 08/05/2015, Cost $744,668) * | 750,000 | 741,496 | ||||||
1.189%, 08/01/2018 (Acquired 11/14/2014, Cost $2,017,204) * | 2,000,000 | 1,990,986 | ||||||
DCP Midstream Operating LP, | ||||||||
2.500%, 12/01/2017 | 400,000 | 359,960 | ||||||
Deutsche Telekom International Finance BV: | ||||||||
5.750%, 03/23/2016 f | 400,000 | 403,696 | ||||||
3.125%, 04/11/2016 (Acquired 03/14/2012 through 06/25/2013, Cost $5,791,024) * f | 5,775,000 | 5,807,265 | ||||||
6.750%, 08/20/2018 f | 3,900,000 | 4,347,591 | ||||||
Dollar General Corp., | ||||||||
4.125%, 07/15/2017 | 17,321,000 | 17,786,710 | ||||||
Eaton Corp., | ||||||||
1.500%, 11/02/2017 | 5,000,000 | 4,968,435 | ||||||
El Paso Natural Gas Co. LLC, | ||||||||
5.950%, 04/15/2017 | 2,050,000 | 2,073,395 | ||||||
Enable Midstream Partners LP, | ||||||||
2.400%, 05/15/2019 | 3,000,000 | 2,665,422 | ||||||
Enbridge, Inc.: | ||||||||
1.262%, 10/01/2016 f | 2,100,000 | 2,084,254 | ||||||
5.600%, 04/01/2017 f | 5,125,000 | 5,271,596 | ||||||
Energy Transfer Partners LP: | ||||||||
6.125%, 02/15/2017 | 645,000 | 658,838 | ||||||
2.500%, 06/15/2018 | 4,000,000 | 3,831,384 | ||||||
9.700%, 03/15/2019 | 6,994,000 | 7,702,688 | ||||||
Enterprise Products Operating LLC: | ||||||||
6.650%, 04/15/2018 | 5,000,000 | 5,429,010 | ||||||
1.650%, 05/07/2018 | 2,000,000 | 1,951,098 | ||||||
ERAC USA Finance LLC, | ||||||||
2.350%, 10/15/2019 (Acquired 01/21/2015, Cost $5,027,454) * | 5,000,000 | 4,928,605 | ||||||
Express Scripts Holding Co.: | ||||||||
3.125%, 05/15/2016 | 3,000,000 | 3,020,019 | ||||||
2.650%, 02/15/2017 | 1,259,000 | 1,271,365 | ||||||
Federal Express Corp. 1998 Pass Through Trust, | ||||||||
Series 981B, 6.845%, 01/15/2019 | 2,761,722 | 2,959,150 | ||||||
Federal Express Corp. 2012 Pass Through Trust, | ||||||||
2.625%, 01/15/2018 (Acquired 01/20/2012 through 08/19/2015, Cost $1,227,920) * | 1,225,000 | 1,230,661 | ||||||
FedEx Corp., | ||||||||
2.300%, 02/01/2020 | 2,000,000 | 2,007,730 | ||||||
Fidelity National Information Services, Inc.: | ||||||||
1.450%, 06/05/2017 | 3,000,000 | 2,959,401 | ||||||
2.000%, 04/15/2018 | 2,295,000 | 2,256,515 | ||||||
2.850%, 10/15/2018 @ | 4,100,000 | 4,114,477 | ||||||
Fiserv, Inc., | ||||||||
2.700%, 06/01/2020 | 3,500,000 | 3,470,957 | ||||||
Ford Motor Credit Co. LLC: | ||||||||
2.500%, 01/15/2016 | 800,000 | 800,181 | ||||||
4.207%, 04/15/2016 | 1,375,000 | 1,386,009 | ||||||
8.000%, 12/15/2016 | 2,000,000 | 2,114,242 | ||||||
6.625%, 08/15/2017 | 9,100,000 | 9,699,490 | ||||||
1.724%, 12/06/2017 | 1,250,000 | 1,230,746 | ||||||
Forest Laboratories, Inc., | ||||||||
4.375%, 02/01/2019 (Acquired 08/13/2014 through 04/29/2015, Cost $10,169,363) * | 9,675,000 | 10,135,298 | ||||||
Freeport-McMoRan, Inc.: | ||||||||
2.150%, 03/01/2017 | 2,000,000 | 1,830,000 | ||||||
2.300%, 11/14/2017 | 11,469,000 | 9,777,322 | ||||||
General Electric Capital Corp., | ||||||||
5.625%, 05/01/2018 | 175,000 | 190,855 | ||||||
General Motors Financial Co., Inc., | ||||||||
2.750%, 05/15/2016 | 1,440,000 | 1,444,211 | ||||||
Georgia-Pacific LLC, | ||||||||
5.400%, 11/01/2020 (Acquired 03/12/2015, Cost $3,982,466) * | 3,570,000 | 3,937,917 | ||||||
Gilead Sciences, Inc., | ||||||||
2.550%, 09/01/2020 | 5,000,000 | 4,998,100 | ||||||
Glencore Funding LLC: | ||||||||
1.700%, 05/27/2016 (Acquired 05/22/2013, Cost $2,998,770) * @ | 3,000,000 | 2,970,000 | ||||||
1.681%, 01/15/2019 (Acquired 06/17/2014, Cost $5,031,719) * | 5,000,000 | 4,136,755 | ||||||
2.500%, 01/15/2019 (Acquired 05/22/2013, Cost $597,012) * | 600,000 | 501,000 | ||||||
GTE Corp., | ||||||||
6.840%, 04/15/2018 | 140,000 | 153,812 | ||||||
Gulfstream Natural Gas System LLC, | ||||||||
6.950%, 06/01/2016 (Acquired 07/22/2013 through 08/27/2013, Cost $7,819,676) * | 7,646,000 | 7,789,340 | ||||||
Harris Corp., | ||||||||
1.999%, 04/27/2018 | 5,000,000 | 4,943,830 | ||||||
Heineken NV, | ||||||||
1.400%, 10/01/2017 (Acquired 10/02/2012, Cost $1,993,400) * f | 2,000,000 | 1,992,138 | ||||||
Hess Corp., | ||||||||
8.125%, 02/15/2019 | 3,982,000 | 4,513,103 | ||||||
Hewlett Packard Enterprise Co., | ||||||||
2.537%, 10/05/2018 (Acquired 09/30/2015, Cost $9,000,000) * | 9,000,000 | 9,023,625 | ||||||
Hewlett-Packard Co., | ||||||||
1.261%, 01/14/2019 | 5,700,000 | 5,704,571 | ||||||
HJ Heinz Co., | ||||||||
2.000%, 07/02/2018 (Acquired 06/23/2015, Cost $9,980,000) * @ | 10,000,000 | 9,952,800 | ||||||
Husky Energy, Inc., | ||||||||
6.200%, 09/15/2017 f | 1,000,000 | 1,042,631 | ||||||
Husky Oil Ltd., | ||||||||
7.550%, 11/15/2016 f | 2,500,000 | 2,598,387 | ||||||
Hutchison Whampoa International (14) Ltd., | ||||||||
1.625%, 10/31/2017 (Acquired 10/28/2014, Cost $4,988,500) * f | 5,000,000 | 4,955,865 | ||||||
Hyundai Capital America, | ||||||||
2.400%, 10/30/2018 (Acquired 10/27/2015, Cost $8,124,025) * | 8,125,000 | 8,099,796 | ||||||
Hyundai Capital Services, Inc.: | ||||||||
4.375%, 07/27/2016 (Acquired 05/11/2012 through 07/28/2015, Cost $7,324,123) * f | 7,238,000 | 7,338,775 | ||||||
3.500%, 09/13/2017 (Acquired 06/04/2014 through 10/01/2015, Cost $5,187,136) * f | 5,050,000 | 5,143,723 | ||||||
Ingersoll-Rand Global Holding Co. Ltd.: | ||||||||
6.875%, 08/15/2018 | 7,250,000 | 8,002,557 | ||||||
2.875%, 01/15/2019 | 7,000,000 | 7,070,168 | ||||||
Ingredion, Inc., | ||||||||
1.800%, 09/25/2017 | 9,100,000 | 9,017,099 | ||||||
Johnson Controls, Inc., | ||||||||
5.500%, 01/15/2016 | 7,370,000 | 7,377,989 | ||||||
Kia Motors Corp., | ||||||||
3.625%, 06/14/2016 (Acquired 02/18/2014, Cost $1,413,007) * f | 1,400,000 | 1,411,466 | ||||||
Kinder Morgan Energy Partners LP, | ||||||||
6.000%, 02/01/2017 | 250,000 | 252,922 | ||||||
Kinder Morgan, Inc.: | ||||||||
2.000%, 12/01/2017 @ | 3,000,000 | 2,890,479 | ||||||
7.250%, 06/01/2018 | 1,710,000 | 1,775,625 | ||||||
L-3 Communications Corp., | ||||||||
1.500%, 05/28/2017 | 2,000,000 | 1,975,222 | ||||||
Laboratory Corporation of America Holdings: | ||||||||
3.125%, 05/15/2016 | 2,000,000 | 2,012,676 | ||||||
2.625%, 02/01/2020 | 2,000,000 | 1,974,506 | ||||||
Lafarge SA, | ||||||||
6.500%, 07/15/2016 f | 3,843,000 | 3,940,001 | ||||||
Marathon Oil Corp., | ||||||||
6.000%, 10/01/2017 | 7,805,000 | 7,955,839 | ||||||
Marathon Petroleum Corp.: | ||||||||
3.500%, 03/01/2016 | 2,353,000 | 2,359,631 | ||||||
2.700%, 12/14/2018 | 14,100,000 | 13,942,686 | ||||||
Masco Corp., | ||||||||
6.125%, 10/03/2016 | 9,779,000 | 10,072,174 | ||||||
McDonald's Corp., | ||||||||
2.100%, 12/07/2018 | 4,500,000 | 4,502,894 | ||||||
Medtronic, Inc., | �� | |||||||
1.312%, 03/15/2020 | 2,250,000 | 2,243,486 | ||||||
Merey Sweeny LP, | ||||||||
8.850%, 12/18/2019 (Acquired 11/16/2015, Cost $1,569,073) * | 1,390,884 | 1,572,997 | ||||||
Mondelez International, Inc., | ||||||||
0.849%, 02/01/2019 | 9,337,000 | 9,172,986 | ||||||
Murphy Oil Corp., | ||||||||
2.500%, 12/01/2017 | 10,281,000 | 9,429,312 | ||||||
Mylan, Inc.: | ||||||||
1.800%, 06/24/2016 | 1,500,000 | 1,499,035 | ||||||
2.600%, 06/24/2018 | 1,150,000 | 1,141,157 | ||||||
Nabors Industries, Inc., | ||||||||
2.350%, 09/15/2016 | 2,000,000 | 1,990,064 | ||||||
NBCUniversal Enterprise, Inc., | ||||||||
0.858%, 04/15/2016 (Acquired 07/03/2013 through 10/21/2013, Cost $2,260,917) * | 2,260,000 | 2,258,829 | ||||||
NiSource Finance Corp., | ||||||||
6.400%, 03/15/2018 | 199,000 | 216,825 | ||||||
Nissan Motor Acceptance Corp.: | ||||||||
1.303%, 09/26/2016 (Acquired 09/19/2013, Cost $5,000,000) * | 5,000,000 | 4,998,995 | ||||||
0.972%, 03/03/2017 (Acquired 02/25/2014, Cost $3,000,000) * | 3,000,000 | 2,992,341 | ||||||
2.650%, 09/26/2018 (Acquired 07/29/2014 through 10/08/2015, Cost $4,837,648) * | 4,760,000 | 4,819,838 | ||||||
Noble Holding International Ltd.: | ||||||||
2.500%, 03/15/2017 @ f | 5,510,000 | 5,198,261 | ||||||
4.000%, 03/16/2018 @ f | 1,848,000 | 1,673,399 | ||||||
ONEOK Partners LP: | ||||||||
3.250%, 02/01/2016 | 1,000,000 | 1,001,732 | ||||||
6.150%, 10/01/2016 | 5,289,000 | 5,429,444 | ||||||
2.000%, 10/01/2017 | 2,858,000 | 2,729,942 | ||||||
8.625%, 03/01/2019 | 1,500,000 | 1,654,021 | ||||||
Pentair Finance SA: | ||||||||
1.875%, 09/15/2017 f | 4,000,000 | 3,956,564 | ||||||
2.900%, 09/15/2018 f | 13,075,000 | 13,016,476 | ||||||
Petrofac Ltd., | ||||||||
3.400%, 10/10/2018 (Acquired 10/03/2013 through 09/25/2015, Cost $12,207,947) * f | 12,050,000 | 11,445,283 | ||||||
PetroLogistics LP / PetroLogistics Finance Corp., | ||||||||
6.250%, 04/01/2020 | 11,755,000 | 12,283,975 | ||||||
Pfizer, Inc., | ||||||||
6.050%, 03/30/2017 | 9,654,000 | 10,234,032 | ||||||
Phillips 66, | ||||||||
2.950%, 05/01/2017 | 3,000,000 | 3,040,776 | ||||||
Phillips 66 Partners LP, | ||||||||
2.646%, 02/15/2020 | 2,000,000 | 1,887,640 | ||||||
Pioneer Natural Resources Co.: | ||||||||
5.875%, 07/15/2016 | 10,133,000 | 10,291,359 | ||||||
6.650%, 03/15/2017 | 1,260,000 | 1,300,902 | ||||||
6.875%, 05/01/2018 | 1,000,000 | 1,062,354 | ||||||
PPG Industries, Inc., | ||||||||
1.900%, 01/15/2016 | 1,552,000 | 1,552,559 | ||||||
Quest Diagnostics, Inc., | ||||||||
3.200%, 04/01/2016 | 2,525,000 | 2,536,405 | ||||||
Republic Services, Inc.: | ||||||||
3.800%, 05/15/2018 | 7,990,000 | 8,276,458 | ||||||
5.500%, 09/15/2019 | 6,446,000 | 7,091,921 | ||||||
Rohm and Haas Co., | ||||||||
6.000%, 09/15/2017 | 646,000 | 687,585 | ||||||
RPM International, Inc., | ||||||||
6.500%, 02/15/2018 | 3,870,000 | 4,174,143 | ||||||
SABMiller Holdings, Inc., | ||||||||
1.019%, 08/01/2018 (Acquired 08/06/2013 through 11/14/2014, Cost $7,199,697) * | 7,180,000 | 7,123,285 | ||||||
Sunoco, Inc., | ||||||||
5.750%, 01/15/2017 | �� 600,000 | 603,091 | ||||||
Teck Resources Ltd., | ||||||||
3.850%, 08/15/2017 f | 12,236,000 | 10,278,240 | ||||||
Telefonica Emisiones SAU: | ||||||||
6.421%, 06/20/2016 f | 7,290,000 | 7,457,532 | ||||||
6.221%, 07/03/2017 f | 1,344,000 | 1,428,349 | ||||||
Temple-Inland, Inc., | ||||||||
6.625%, 01/15/2018 | 4,676,000 | 5,065,801 | ||||||
Tennessee Gas Pipeline Company LLC, | ||||||||
8.000%, 02/01/2016 | 1,000,000 | 1,003,654 | ||||||
Texas Eastern Transmission LP, | ||||||||
6.000%, 09/15/2017 (Acquired 05/21/2015, Cost $3,976,018) * | 3,705,000 | 3,907,163 | ||||||
The ADT Corp., | ||||||||
2.250%, 07/15/2017 | 6,700,000 | 6,666,500 | ||||||
The Dow Chemical Co., | ||||||||
8.550%, 05/15/2019 | 11,427,000 | 13,468,422 | ||||||
The JM Smucker Co.: | ||||||||
1.750%, 03/15/2018 | 2,550,000 | 2,538,005 | ||||||
2.500%, 03/15/2020 | 2,725,000 | 2,705,590 | ||||||
Thermo Fisher Scientific, Inc., | ||||||||
1.850%, 01/15/2018 | 12,000,000 | 11,961,504 | ||||||
Thomson Reuters Corp.: | ||||||||
0.875%, 05/23/2016 f | 4,650,000 | 4,646,373 | ||||||
1.650%, 09/29/2017 f | 7,000,000 | 6,964,048 | ||||||
Time Warner Cable, Inc.: | ||||||||
5.850%, 05/01/2017 | 2,355,000 | 2,463,624 | ||||||
8.750%, 02/14/2019 | 4,395,000 | 5,098,433 | ||||||
8.250%, 04/01/2019 | 1,000,000 | 1,148,300 | ||||||
Time Warner Co., Inc., | ||||||||
7.250%, 10/15/2017 | 7,831,000 | 8,573,136 | ||||||
Total Capital International: | ||||||||
0.911%, 08/10/2018 f | 4,350,000 | 4,330,795 | ||||||
0.920%, 06/19/2019 f | 7,700,000 | 7,605,490 | ||||||
TransCanada PipeLines Ltd.: | ||||||||
1.283%, 06/30/2016 f | 2,575,000 | 2,570,545 | ||||||
1.875%, 01/12/2018 f | 4,000,000 | 3,984,204 | ||||||
Transocean, Inc.: | ||||||||
5.800%, 12/15/2016 f | 400,000 | 388,000 | ||||||
3.000%, 10/15/2017 @ f | 7,400,000 | 6,562,875 | ||||||
TSMC Global Ltd.: | ||||||||
0.950%, 04/03/2016 (Acquired 03/27/2013, Cost $1,999,760) * f | 2,000,000 | 1,995,980 | ||||||
1.625%, 04/03/2018 (Acquired 08/05/2014 through 11/03/2015, Cost $13,287,312) * f | 13,419,000 | 13,152,297 | ||||||
TTX Co., | ||||||||
6.050%, 06/15/2016 (Acquired 09/18/2015, Cost $1,532,802) * | 1,500,000 | 1,529,481 | ||||||
Tyco Electronics Group SA, | ||||||||
6.550%, 10/01/2017 f | 860,000 | 926,808 | ||||||
Vale Overseas Ltd., | ||||||||
6.250%, 01/23/2017 @ f | 15,250,000 | 15,221,025 | ||||||
Valero Energy Corp.: | ||||||||
6.125%, 06/15/2017 | 1,120,000 | 1,179,203 | ||||||
9.375%, 03/15/2019 | 10,349,000 | 12,226,619 | ||||||
Verizon Communications, Inc., | ||||||||
3.650%, 09/14/2018 | 14,000,000 | 14,639,674 | ||||||
Viacom, Inc.: | ||||||||
6.250%, 04/30/2016 | 930,000 | 944,339 | ||||||
2.500%, 09/01/2018 | 11,005,000 | 10,977,509 | ||||||
Vodafone Group PLC: | ||||||||
0.752%, 02/19/2016 f | 2,000,000 | 1,998,848 | ||||||
5.625%, 02/27/2017 f | 2,000,000 | 2,088,076 | ||||||
Volkswagen Group of America Finance LLC: | ||||||||
0.748%, 05/23/2017 (Acquired 05/15/2014, Cost $2,750,000) * | 2,750,000 | 2,667,948 | ||||||
0.810%, 11/20/2017 (Acquired 11/12/2014, Cost $4,500,000) * | 4,500,000 | 4,324,127 | ||||||
Walgreen Co., | ||||||||
5.250%, 01/15/2019 | 2,330,000 | 2,489,978 | ||||||
Walgreens Boots Alliance, Inc., | ||||||||
1.750%, 11/17/2017 | 1,150,000 | 1,147,756 | ||||||
WEA Finance LLC / Westfield UK & Europe Finance PLC, | ||||||||
2.700%, 09/17/2019 (Acquired 09/10/2014, Cost $6,986,000) * | 7,000,000 | 6,942,334 | ||||||
Weatherford International Ltd., | ||||||||
5.500%, 02/15/2016 f | 600,000 | 597,000 | ||||||
Williams Partners LP, | ||||||||
7.250%, 02/01/2017 | 935,000 | 953,452 | ||||||
Xerox Corp.: | ||||||||
6.400%, 03/15/2016 | 2,893,000 | 2,919,653 | ||||||
6.750%, 02/01/2017 | 2,626,000 | 2,751,849 | ||||||
Yara International ASA, | ||||||||
7.875%, 06/11/2019 (Acquired 10/02/2014, Cost $580,026) * f | 500,000 | 565,693 | ||||||
Yum! Brands, Inc., | ||||||||
6.250%, 04/15/2016 | 2,000,000 | 2,025,032 | ||||||
Zimmer Holdings, Inc., | ||||||||
2.700%, 04/01/2020 | 4,725,000 | 4,665,616 | ||||||
Zoetis, Inc., | ||||||||
1.150%, 02/01/2016 | 1,000,000 | 999,822 | ||||||
953,653,503 | 31.6% | |||||||
Total Corporate Bonds | 1,857,199,322 | 61.6% |
Other Government Related Securities | ||||||||
CNOOC Finance 2013 Ltd.: | ||||||||
1.125%, 05/09/2016 f | 2,575,000 | 2,570,666 | ||||||
1.750%, 05/09/2018 f | 1,000,000 | 983,977 | ||||||
CNOOC Nexen Finance (2014) ULC, | ||||||||
1.625%, 04/30/2017 f | 5,000,000 | 4,971,075 | ||||||
CNPC General Capital Ltd., | ||||||||
1.262%, 05/14/2017 (Acquired 05/07/2014, Cost $4,750,000) * f | 4,750,000 | 4,741,488 | ||||||
CNPC HK Overseas Capital Ltd., | ||||||||
3.125%, 04/28/2016 (Acquired 12/18/2012 through 07/23/2014, Cost $2,385,350) * f | 2,375,000 | 2,387,407 | ||||||
Corp Andina de Fomento, | ||||||||
5.750%, 01/12/2017 f | 250,000 | 260,710 | ||||||
Electricite de France SA, | ||||||||
0.777%, 01/20/2017 (Acquired 01/13/2014, Cost $9,750,000) * f | 9,750,000 | 9,734,634 | ||||||
Export-Import Bank of Korea, | ||||||||
1.071%, 01/14/2017 f | 1,570,000 | 1,572,259 | ||||||
Korea Expressway Corp., | ||||||||
1.625%, 04/28/2017 (Acquired 06/23/2014, Cost $3,989,480) * f | 4,000,000 | 3,986,072 | ||||||
Korea Hydro & Nuclear Power Co., Ltd., | ||||||||
2.875%, 10/02/2018 (Acquired 09/25/2013, Cost $2,982,150) * f | 3,000,000 | 3,038,880 | ||||||
Nexen Energy ULC, | ||||||||
6.200%, 07/30/2019 f | 2,065,000 | 2,282,973 | ||||||
Petrobras Global Finance BV, | ||||||||
2.886%, 03/17/2017 f | 4,000,000 | 3,665,000 | ||||||
Petrobras International Finance Co. SA, | ||||||||
3.875%, 01/27/2016 f | 6,975,000 | 6,947,100 | ||||||
Petroleos Mexicanos, | ||||||||
8.000%, 05/03/2019 f | 5,000,000 | 5,504,350 | ||||||
Sinopec Capital (2013) Ltd., | ||||||||
1.250%, 04/24/2016 (Acquired 01/10/2014, Cost $4,250,026) * f | 4,250,000 | 4,244,237 | ||||||
Sinopec Group Overseas Development [2014] Ltd., | ||||||||
1.750%, 04/10/2017 (Acquired 04/02/2014, Cost $6,984,110) * f | 7,000,000 | 6,974,926 | ||||||
Sinopec Group Overseas Development [2015] Ltd., | ||||||||
2.500%, 04/28/2020 (Acquired 04/21/2015, Cost $2,987,280) * f | 3,000,000 | 2,951,253 | ||||||
The Korea Development Bank: | ||||||||
0.945%, 01/22/2017 f | 5,000,000 | 5,002,035 | ||||||
3.875%, 05/04/2017 f | 2,350,000 | 2,410,372 | ||||||
3.000%, 03/17/2019 f | 2,475,000 | 2,528,876 | ||||||
76,758,290 | 2.5% | |||||||
Taxable Municipal Bonds | ||||||||
Chippewa Valley Schools, | ||||||||
1.180%, 05/01/2017 | 7,175,000 | 7,148,309 | ||||||
City of Bristol VA, | ||||||||
3.002%, 10/01/2020 | 5,000,000 | 5,070,050 | ||||||
City of Passaic NJ, | ||||||||
1.882%, 02/01/2016 | 1,020,000 | 1,020,438 | ||||||
City of Trenton NJ, | ||||||||
1.722%, 04/01/2016 | 1,470,000 | 1,469,912 | ||||||
City of Williston ND, | ||||||||
3.100%, 07/15/2025 (Callable 07/15/2016) | 8,000,000 | 8,003,680 | ||||||
Consolidated Municipalities Electric Power Systems Joint Powers Board, | ||||||||
1.550%, 06/01/2017 | 590,000 | 587,663 | ||||||
Cook County School District No 144 Prairie Hills: | ||||||||
2.000%, 12/01/2017 | 930,000 | 926,773 | ||||||
2.500%, 12/01/2018 | 745,000 | 747,235 | ||||||
County of Dauphin PA, | ||||||||
1.194%, 03/01/2016 | 1,200,000 | 1,199,832 | ||||||
Government Development Bank for Puerto Rico, | ||||||||
4.704%, 05/01/2016 | 725,000 | 268,279 | ||||||
Indiana Bond Bank, | ||||||||
1.689%, 01/15/2017 | 1,000,000 | 1,004,970 | ||||||
Iowa Tobacco Settlement Authority, | ||||||||
6.500%, 06/01/2023 (Callable 02/01/2016) | 240,000 | 241,123 | ||||||
New Hampshire Housing Finance Authority: | ||||||||
1.250%, 07/01/2016 | 820,000 | 820,320 | ||||||
1.500%, 01/01/2017 | 785,000 | 784,349 | ||||||
1.650%, 07/01/2017 | 745,000 | 743,532 | ||||||
4.000%, 07/01/2036 (Callable 07/10/2024) | 11,855,000 | 12,175,559 | ||||||
New Jersey Economic Development Authority: | ||||||||
–%, 02/15/2016 | 2,500,000 | 2,496,525 | ||||||
3.375%, 06/15/2017 | 5,000,000 | 4,986,000 | ||||||
2.421%, 06/15/2018 | 10,000,000 | 9,946,600 | ||||||
Oakland Redevelopment Agency Successor Agency, | ||||||||
2.271%, 09/01/2018 | 1,675,000 | 1,670,260 | ||||||
Ohio Air Quality Development Authority, | ||||||||
5.750%, 06/01/2033 | 3,000,000 | 3,051,060 | ||||||
Rhode Island Housing & Mortgage Finance Corp./RI: | ||||||||
1.150%, 04/01/2016 | 1,175,000 | 1,176,633 | ||||||
1.930%, 04/01/2017 | 600,000 | 602,040 | ||||||
3.000%, 10/01/2034 (Callable 10/01/2022) | 9,455,000 | 9,616,019 | ||||||
Schenectady Metroplex Development Authority/NY, | ||||||||
2.232%, 08/01/2017 | 200,000 | 200,368 | ||||||
State of Illinois: | ||||||||
4.961%, 03/01/2016 | 1,760,000 | 1,770,895 | ||||||
5.090%, 04/01/2017 | 2,785,000 | 2,866,461 | ||||||
Tulsa Airports Improvement Trust: | ||||||||
2.592%, 06/01/2017 | 115,000 | 117,187 | ||||||
3.042%, 06/01/2018 | 100,000 | 103,193 | ||||||
80,815,265 | 2.7% | |||||||
Residential Mortgage-Backed Securities | ||||||||
U.S. Government Agency Issues | ||||||||
Fannie Mae REMIC Trust, | ||||||||
Series 2004-W6, Class 1A6, 5.500%, 07/25/2034 | 123,844 | 125,040 | ||||||
Federal Home Loan Mortgage Corp. (FHLMC), | ||||||||
Series 5, Class B, 1.031%, 05/15/2019 | �� 2,743 | 2,750 | ||||||
127,790 | 0.0% | |||||||
Non-U.S. Government Agency Issues | ||||||||
Alternative Loan Trust: | ||||||||
Series 2005-50CB, Class 4A1, 5.000%, 11/25/2020 § | 221,947 | 222,872 | ||||||
Series 2005-73CB, Class 1A7, 5.500%, 01/25/2036 § | 118,892 | 113,074 | ||||||
Series 2006-28CB, Class A17, 6.000%, 10/25/2036 § | 947,432 | 776,260 | ||||||
Banc of America Alternative Loan Trust: | ||||||||
Series 2003-4, Class 2A1, 5.000%, 06/25/2018 | 71,675 | 72,894 | ||||||
Series 2004-2, Class 5A1, 5.500%, 03/25/2019 | 382,856 | 389,038 | ||||||
Series 2003-3, Class A1, 5.500%, 05/25/2033 | 1,057,084 | 1,092,019 | ||||||
Series 2004-B, Class 2A2, 2.675%, 03/25/2034 | 3,060,844 | 3,054,363 | ||||||
Banc of America Mortgage Trust, | ||||||||
Series 2003-10, Class 3A1, 5.000%, 01/25/2019 | 476,230 | 487,397 | ||||||
Countrywide Alternative Loan Trust: | ||||||||
Series 2004-12CB, Class 1A1, 5.000%, 07/25/2019 | 1,018,093 | 1,050,560 | ||||||
Series 2004-J2, Class 3A3, 5.500%, 04/25/2034 | 241,938 | 246,880 | ||||||
J.P. Morgan Mortgage Trust, | ||||||||
Series 2005-A4, Class 1A1, 2.534%, 07/25/2035 | 1,350,540 | 1,333,797 | ||||||
MASTR Alternative Loan Trust: | ||||||||
Series 2003-5, Class 7A1, 5.000%, 07/25/2018 | 4,634,946 | 4,665,816 | ||||||
Series 2003-9, Class 3A1, 4.750%, 11/25/2018 | 2,490,581 | 2,531,204 | ||||||
Series 2003-5, Class 4A1, 5.500%, 07/25/2033 | 6,311,634 | 6,441,173 | ||||||
Structured Asset Securities Corp., | ||||||||
Series 2004-4XS, Class 1A6, 5.050%, 02/25/2034 | 398,136 | 407,036 | ||||||
Structured Asset Securities Corp. Mortgage Pass-Through Certificates, | ||||||||
Series 2004-22, Class A2, 5.027%, 01/25/2035 | 8,075,494 | 8,309,862 | ||||||
Thornburg Mortgage Securities Trust, | ||||||||
Series 2003-5, Class 3A, 2.363%, 10/25/2043 | 12,206,014 | 12,287,458 | ||||||
WaMu Mortgage Pass-Through Certificates: | ||||||||
Series 2004-CB4, Class 21A, 5.500%, 12/25/2019 | 76,547 | 78,641 | ||||||
Series 2004-CB4, Class 22A, 6.000%, 12/25/2019 | 182,746 | 188,926 | ||||||
Series 2004-AR3, Class A1, 2.460%, 06/25/2034 | 8,938,252 | 9,033,839 | ||||||
52,783,109 | 1.8% |
Asset Backed Securities | ||||||||
Accredited Mortgage Loan Trust: | ||||||||
Series 2005-3, Class A1, 0.460%, 09/25/2035 | 27,686 | 27,670 | ||||||
Series 2006-1, Class A3, 0.602%, 04/25/2036 | 5,977,310 | 5,941,175 | ||||||
Series 2006-2, Class A3, 0.572%, 09/25/2036 | 12,472,133 | 12,327,658 | ||||||
Aegis Asset Backed Securities Trust, | ||||||||
Series 2005-5, Class 1A3, 0.692%, 12/25/2035 | 4,851,673 | 4,775,788 | ||||||
Ally Auto Receivables Trust, | ||||||||
Series 2014-SN2, Class A2B, 0.702%, 03/20/2017 | 6,642,778 | 6,640,919 | ||||||
Ameriquest Mortgage Securities Inc Asset-Backed Pass-Through Ctfs, | ||||||||
Series 2005-R8, Class A2D, 0.782%, 10/25/2035 | 5,538,652 | 5,528,863 | ||||||
Argent Securities Inc Asset-Backed Pass-Through Certificates, | ||||||||
Series 2005-W3, Class A2D, 0.762%, 11/25/2035 | 11,663,061 | 11,314,881 | ||||||
Barclays Dryrock Issuance Trust, | ||||||||
Series 2015-1, Class A, 2.200%, 12/15/2022 | 6,750,000 | 6,723,742 | ||||||
California Republic Auto Receivables Trust, | ||||||||
Series 2015-3, Class A3, 1.620%, 11/15/2019 | 17,500,000 | 17,362,942 | ||||||
Capital Auto Receivables Asset Trust: | ||||||||
Series 2014-2, Class A2, 0.910%, 04/20/2017 | 6,377,200 | 6,373,293 | ||||||
Series 2014-3, Class A2, 1.180%, 12/20/2017 | 25,685,000 | 25,660,232 | ||||||
Carrington Mortgage Loan Trust, | ||||||||
Series 2006-OPT1, Class A3, 0.602%, 02/25/2036 | 4,969,567 | 4,844,310 | ||||||
Chase Issuance Trust: | ||||||||
Series 2014-A1, Class A1, 1.150%, 01/15/2019 | 23,435,000 | 23,416,880 | ||||||
Series 2015-A5, Class A5, 1.360%, 04/15/2020 | 13,300,000 | 13,223,936 | ||||||
Chrysler Capital Auto Receivables Trust: | ||||||||
Series 2015-BA, Class A2, 1.460%, 12/17/2018 (Acquired 11/12/2015, Cost $4,999,921) * | 5,000,000 | 4,993,234 | ||||||
Series 2013-BA, Class A4, 1.270%, 03/15/2019 (Acquired 11/12/2015 through 12/18/2015, Cost $5,302,988) * | 5,315,000 | 5,292,753 | ||||||
Conseco Financial Corp.: | ||||||||
Series 1998-2, Class A5, 6.240%, 12/01/2028 | 16,385 | 16,817 | ||||||
Series 1998-3, Class A5, 6.220%, 03/01/2030 | 221,647 | 231,220 | ||||||
Countrywide Asset-Backed Certificates: | ||||||||
Series 2006-13, Class 1AF3, 4.687%, 01/25/2037 § | 1,155,501 | 1,568,901 | ||||||
Series 2006-9, Class 1AF3, 4.896%, 10/25/2046 § | 1,100,923 | 998,210 | ||||||
Credit-Based Asset Servicing and Securitization LLC, | ||||||||
Series 2005-CB8, Class AF2, 4.122%, 12/25/2035 | 242,312 | 239,516 | ||||||
Dell Equipment Finance Trust, | ||||||||
Series 2015-1, Class A2, 1.010%, 07/24/2017 (Acquired 04/15/2015 through 09/22/2015, Cost $29,923,274) * | 29,925,000 | 29,868,364 | ||||||
First Franklin Mortgage Loan Trust: | ||||||||
Series 2004-FF7, Class A1, 1.062%, 09/25/2034 | 3,768,198 | 3,764,587 | ||||||
Series 2005-FF12, Class A2B, 0.682%, 11/25/2036 | 4,485,783 | 4,422,252 | ||||||
First National Master Note Trust, | ||||||||
Series 2015-1, Class A, 1.101%, 09/15/2020 | 6,000,000 | 6,012,028 | ||||||
Ford Credit Auto Owner Trust: | ||||||||
Series 2014-1, Class A, 2.260%, 11/15/2025 (Acquired 05/06/2014 through 11/18/2014, Cost $17,945,278) * | 17,894,000 | 18,038,346 | ||||||
Series 2015-1, Class A, 2.120%, 07/15/2026 (Acquired 01/13/2015, Cost $7,422,355) * | 7,425,000 | 7,331,352 | ||||||
GE-WMC Asset-Backed Pass Through Certificates, | ||||||||
Series 2005-1, Class A2C, 1.142%, 10/25/2035 | 4,362,285 | 4,323,216 | ||||||
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 | 14,543,843 | ||||||
GSAA Trust, | ||||||||
Series 2005-8, Class A4, 0.692%, 06/25/2035 | 16,943,274 | 16,462,895 | ||||||
GSAMP Trust, | ||||||||
Series 2006-HE1, Class A2C, 0.632%, 01/25/2036 | 1,726,831 | 1,705,912 | ||||||
Home Equity Asset Trust, | ||||||||
Series 2006-4, Class 2A3, 0.592%, 08/25/2036 | 2,362,096 | 2,327,634 | ||||||
J.P. Morgan Mortgage Acquisition Trust: | ||||||||
Series 2006-CH1, Class A1, 0.552%, 07/25/2036 | 8,145,326 | 7,836,844 | ||||||
Series 2007-CH1, Class AV4, 0.552%, 11/25/2036 | 1,050,819 | 1,050,099 | ||||||
Kubota Credit Owner Trust, | ||||||||
Series 2015-1A, Class A3, 1.540%, 03/15/2019 (Acquired 01/22/2015, Cost $17,572,547) * | 17,575,000 | 17,462,601 | ||||||
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 | 5,235,648 | ||||||
Master Credit Card Trust II, | ||||||||
Series 2013-3A, Class A, 0.832%, 01/22/2018 (Acquired 07/25/2013 through 11/05/2014, Cost $8,950,275) * f | 8,950,000 | 8,929,562 | ||||||
MASTR Asset Backed Securities Trust, | ||||||||
Series 2006-AB1, Class A2, 0.652%, 02/25/2036 | 810,581 | 804,134 | ||||||
Morgan Stanley ABS Capital I, Inc. Trust, | ||||||||
Series 2005-HE2, Class A3B, 0.862%, 01/25/2035 | 6,011,611 | 5,952,343 | ||||||
Nationstar Home Equity Loan Trust, | ||||||||
Series 2006-B, Class AV3, 0.592%, 09/25/2036 | 3,490,559 | 3,490,150 | ||||||
New Century Home Equity Loan Trust, | ||||||||
Series 2005-B, Class A2C, 0.702%, 10/25/2035 | 1,785,369 | 1,783,304 | ||||||
Nomura Holdings, Inc., | ||||||||
Series 2006-HE2, Class A3, 0.592%, 03/25/2036 | 4,717,670 | 4,566,314 | ||||||
Option One Mortgage Loan Trust Asset-Backed Certificates, | ||||||||
Series 2005-5, Class A3, 0.632%, 12/25/2035 | 7,057,744 | 7,006,212 | ||||||
RAMP Series Trust: | ||||||||
Series 2003-RS7, Class AI6, 5.340%, 08/25/2033 | 28,932 | 29,004 | ||||||
Series 2003-RS11, Class AI7, 4.828%, 12/25/2033 | 266,996 | 270,812 | ||||||
RASC Series Trust: | ||||||||
Series 2005-AHL2, Class A3, 0.772%, 10/25/2035 | 10,398,345 | 10,250,094 | ||||||
Series 2006-KS1, Class A4, 0.722%, 02/25/2036 | 6,308,913 | 6,249,033 | ||||||
Renaissance Home Equity Loan Trust, | ||||||||
Series 2007-2, Class AF2, 5.675%, 06/25/2037 | 1,952,501 | 951,086 | ||||||
Securitized Asset Backed Receivables LLC Trust, | ||||||||
Series 2005-OP2, Class A1, 0.747%, 10/25/2035 (Acquired 03/13/2014, Cost $9,743,708) * | 9,863,925 | 9,756,756 | ||||||
Soundview Home Loan Trust, | ||||||||
Series 2005-OPT4, Class 2A3, 0.682%, 12/25/2035 | 2,119,118 | 2,083,239 | ||||||
Specialty Underwriting & Residential Finance Trust: | ||||||||
Series 2005-BC4, Class A2C, 0.772%, 09/25/2036 | 4,571,705 | 4,529,940 | ||||||
Series 2006-BC1, Class A2C, 0.622%, 12/25/2036 | 2,381,215 | 2,371,569 | ||||||
Springleaf Funding Trust, | ||||||||
Series 2014-AA, Class A, 2.410%, 12/15/2022 (Acquired 09/11/2015, Cost $7,007,247) * | 7,000,000 | 6,980,116 | ||||||
Structured Asset Investment Loan Trust, | ||||||||
Series 2004-9, Class A5, 1.422%, 10/25/2034 | 13,063,014 | 12,982,397 | ||||||
Structured Asset Securities Corp. Mortgage Loan Trust: | ||||||||
Series 2007-BC2, Class A3, 0.552%, 03/25/2037 | 3,458,490 | 3,444,434 | ||||||
Series 2007-BC3, Class 2A2, 0.562%, 05/25/2047 | 1,243,465 | 1,204,315 | ||||||
Synchrony Credit Card Master Note Trust: | ||||||||
Series 2014-1, Class A, 1.610%, 11/15/2020 | 11,700,000 | 11,662,616 | ||||||
Series 2012-2, Class A, 2.220%, 01/15/2022 | 9,243,000 | 9,267,766 | ||||||
TCF Auto Receivables Owner Trust, | ||||||||
Series 2014-1A, Class A4, 1.560%, 01/15/2020 (Acquired 10/21/2015, Cost $6,252,599) * | 6,250,000 | 6,216,751 | ||||||
418,670,508 | 13.9% | |||||||
Commercial Mortgage-Backed Securities | ||||||||
Citigroup Commercial Mortgage Trust, | ||||||||
Series 2006-C4, Class A3, 5.811%, 03/15/2049 | 5,415,437 | 5,426,875 | ||||||
DBUBS Mortgage Trust, | ||||||||
Series 2011-LC3A, Class A2, 3.642%, 08/10/2044 | 14,389,396 | 14,444,486 | ||||||
J.P. Morgan Chase Commercial Mortgage Securities Trust: | ||||||||
Series 2012-C8, Class ASB, 2.379%, 10/15/2045 | 16,100,000 | 15,937,210 | ||||||
Series 2011-C5, Class ASB, 3.678%, 08/15/2046 | 3,173,000 | 3,288,702 | ||||||
WFRBS Commercial Mortgage Trust, | ||||||||
Series 2012-C6, Class A4, 3.440%, 04/15/2045 | 7,050,000 | 7,240,495 | ||||||
46,337,768 | 1.5% | |||||||
Total Long-Term Investments (Cost $2,987,766,115) | 2,965,046,611 | 98.3% | ||||||
Shares | ||||||||
SHORT-TERM INVESTMENTS | ||||||||
Money Market Mutual Funds | ||||||||
Dreyfus Cash Advantage Fund, 0.26% « | 4,841,562 | 4,841,562 | ||||||
Short-Term Investments Trust - Liquid Assets Portfolio, 0.29% « | 59,589,773 | 59,589,773 | ||||||
Total Short-Term Investments (Cost $64,431,335) | 64,431,335 | 2.1% | ||||||
INVESTMENT PURCHASED WITH CASH PROCEEDS FROM | ||||||||
SECURITIES LENDING | ||||||||
Investment Company | ||||||||
Mount Vernon Securities Lending Trust Prime Portfolio, 0.49% | 47,134,707 | 47,134,707 | ||||||
Total Investment Company (Cost $47,134,707) | 47,134,707 | 1.6% | ||||||
Total Investment Purchased with Cash Proceeds From | ||||||||
Securities Lending (Cost $47,134,707) | 47,134,707 | 1.6% | ||||||
Total Investments (Cost $3,099,332,157) | 3,076,612,653 | 102.0% | ||||||
Liabilities in Excess of Other Assets | (60,003,498) | (2.0)% | ||||||
TOTAL NET ASSETS | $ 3,016,609,155 | 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 December 31, 2015, the value of these securities total $641,048,510, which represents 21.25% of total net assets. | |
@ | This security or portion of this security is out on loan at December 31, 2015. | |
f | Foreign Security | |
§ | Security in Default | |
« | 7-Day Yield |
Baird Intermediate Bond Fund | ||||||||
Schedule of Investments | ||||||||
December 31, 2015 | ||||||||
Principal | % of | |||||||
Amount | Value | Net Assets | ||||||
LONG-TERM INVESTMENTS | ||||||||
U.S. Treasury Securities | ||||||||
U.S. Treasury Bonds: | ||||||||
2.625%, 08/15/2020 | $ 281,075,000 | $ 291,977,618 | ||||||
1.750%, 03/31/2022 | 114,950,000 | 113,180,805 | ||||||
2.500%, 05/15/2024 | 185,500,000 | 189,550,578 | ||||||
594,709,001 | 31.5% | |||||||
Corporate Bonds | ||||||||
Finance | ||||||||
Abbey National Treasury Services PLC, | ||||||||
3.050%, 08/23/2018 f | 1,050,000 | 1,077,396 | ||||||
ABN AMRO Bank NV: | ||||||||
4.250%, 02/02/2017 (Acquired 11/22/2013, Cost $4,626,485) * f | 4,500,000 | 4,621,010 | ||||||
2.500%, 10/30/2018 (Acquired 10/23/2013 through 04/17/2014, Cost $1,200,132) * f | 1,200,000 | 1,207,640 | ||||||
2.450%, 06/04/2020 (Acquired 05/28/2015, Cost $2,644,170) * f | 2,650,000 | 2,627,242 | ||||||
AgriBank FCB, | ||||||||
Series AI, 9.125%, 07/15/2019 (Acquired 02/24/2014, Cost $3,423,719) * | 2,850,000 | 3,455,548 | ||||||
AIA Group Ltd., | ||||||||
3.200%, 03/11/2025 (Acquired 03/04/2015, Cost $2,996,190) * f | 3,000,000 | 2,895,666 | ||||||
Ally Financial, Inc., | ||||||||
8.000%, 12/31/2018 | 96,000 | 105,120 | ||||||
American International Group, Inc., | ||||||||
4.875%, 06/01/2022 | 3,000,000 | 3,239,820 | ||||||
AmSouth Bancorporation, | ||||||||
6.750%, 11/01/2025 | 630,000 | 715,061 | ||||||
ANZ New Zealand (Int'l) Ltd.: | ||||||||
2.600%, 09/23/2019 (Acquired 09/16/2014 through 03/19/2015, Cost $4,157,181) * f | 4,140,000 | 4,151,733 | ||||||
2.850%, 08/06/2020 (Acquired 07/30/2015, Cost $3,996,680) * f | 4,000,000 | 4,033,596 | ||||||
Australia & New Zealand Banking Group Ltd./New York NY, | ||||||||
0.762%, 11/16/2025 f | 1,000,000 | 1,025,851 | ||||||
Bank of America Corp.: | ||||||||
5.700%, 05/02/2017 @ | 1,100,000 | 1,147,164 | ||||||
6.875%, 04/25/2018 | 1,000,000 | 1,103,257 | ||||||
2.625%, 10/19/2020 @ | 5,000,000 | 4,937,105 | ||||||
3.300%, 01/11/2023 | 3,350,000 | 3,297,489 | ||||||
4.000%, 04/01/2024 @ | 2,750,000 | 2,812,466 | ||||||
BanPonce Trust I, | ||||||||
Series A, 8.327%, 02/01/2027 | 2,500,000 | 2,364,212 | ||||||
Barclays Bank PLC: | ||||||||
Series 1, 5.000%, 09/22/2016 f | 2,565,000 | 2,630,818 | ||||||
6.750%, 05/22/2019 f | 2,000,000 | 2,273,746 | ||||||
Barclays PLC, | ||||||||
2.000%, 03/16/2018 f | 2,600,000 | 2,584,483 | ||||||
BB&T Corp., | ||||||||
6.850%, 04/30/2019 | 2,322,000 | 2,646,692 | ||||||
BNZ International Funding Ltd., | ||||||||
2.350%, 03/04/2019 (Acquired 09/03/2014, Cost $2,789,836) * f | 2,800,000 | 2,783,567 | ||||||
BPCE: | ||||||||
5.700%, 10/22/2023 (Acquired 11/10/2014, Cost $3,721,762) * f | 3,500,000 | 3,674,808 | ||||||
4.000%, 04/15/2024 f | 3,500,000 | 3,595,910 | ||||||
Caisse Centrale Desjardins, | ||||||||
0.989%, 01/29/2018 (Acquired 01/26/2015, Cost $8,000,000) * f | 8,000,000 | 7,984,360 | ||||||
Capital One Bank (USA) National Association, | ||||||||
2.250%, 02/13/2019 | 3,500,000 | 3,484,617 | ||||||
Capital One Financial Corp., | ||||||||
3.150%, 07/15/2016 | 2,596,000 | 2,619,995 | ||||||
Capital One NA: | ||||||||
1.036%, 03/22/2016 | 2,100,000 | 2,098,750 | ||||||
1.014%, 02/05/2018 | 2,000,000 | 1,987,162 | ||||||
Citigroup, Inc.: | ||||||||
1.550%, 08/14/2017 | 1,000,000 | 996,171 | ||||||
1.700%, 04/27/2018 @ | 1,500,000 | 1,485,130 | ||||||
2.050%, 12/07/2018 | 5,700,000 | 5,669,887 | ||||||
3.750%, 06/16/2024 | 500,000 | 508,977 | ||||||
Citizens Bank, National Association, | ||||||||
2.450%, 12/04/2019 | 8,000,000 | 7,870,088 | ||||||
CNA Financial Corp.: | ||||||||
6.500%, 08/15/2016 | 2,000,000 | 2,059,318 | ||||||
7.350%, 11/15/2019 | 2,395,000 | 2,757,428 | ||||||
5.750%, 08/15/2021 | 1,385,000 | 1,550,146 | ||||||
Comerica Bank: | ||||||||
5.200%, 08/22/2017 | 5,570,000 | 5,843,381 | ||||||
2.500%, 06/02/2020 | 3,375,000 | 3,356,968 | ||||||
Commonwealth Bank of Australia, | ||||||||
5.000%, 10/15/2019 (Acquired 03/02/2012 through 10/03/2014, Cost $4,545,215) * f | 4,335,000 | 4,732,962 | ||||||
Commonwealth Bank of Australia/New York NY, | ||||||||
1.750%, 11/02/2018 f | 4,500,000 | 4,467,352 | ||||||
Compass Bank: | ||||||||
2.750%, 09/29/2019 | 6,000,000 | 5,939,976 | ||||||
3.875%, 04/10/2025 | 2,700,000 | 2,474,739 | ||||||
Countrywide Financial Corp., | ||||||||
6.250%, 05/15/2016 | 2,200,000 | 2,237,083 | ||||||
Credit Agricole SA, | ||||||||
2.750%, 06/10/2020 (Acquired 06/03/2015, Cost $2,994,570) * f | 3,000,000 | 3,016,092 | ||||||
Credit Suisse: | ||||||||
2.300%, 05/28/2019 f | 2,450,000 | 2,452,107 | ||||||
5.300%, 08/13/2019 f | 3,220,000 | 3,555,782 | ||||||
Credit Suisse Group Funding Guernsey Ltd., | ||||||||
2.750%, 03/26/2020 (Acquired 03/23/2015, Cost $6,246,812) * f | 6,250,000 | 6,190,756 | ||||||
Deutsche Bank AG: | ||||||||
3.250%, 01/11/2016 f | 4,250,000 | 4,251,594 | ||||||
2.950%, 08/20/2020 f | 3,000,000 | 3,004,434 | ||||||
Discover Bank of Greenwood DE, | ||||||||
2.600%, 11/13/2018 | 2,500,000 | 2,498,002 | ||||||
First Tennessee Bank National Association, | ||||||||
5.650%, 04/01/2016 | 4,263,000 | 4,295,143 | ||||||
GE Capital International Funding Co., | ||||||||
2.342%, 11/15/2020 (Acquired 02/11/2010 through 12/24/2014, Cost $6,154,361) * f | 6,730,000 | 6,673,872 | ||||||
Genworth Holdings, Inc., | ||||||||
4.900%, 08/15/2023 | 1,500,000 | 997,500 | ||||||
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 | 1,818,000 | ||||||
Highmark, Inc., | ||||||||
4.750%, 05/15/2021 (Acquired 07/30/2014, Cost $2,012,799) * | 2,000,000 | 2,031,306 | ||||||
HSBC Finance Corp., | ||||||||
6.676%, 01/15/2021 | 4,559,000 | 5,232,255 | ||||||
HSBC USA, Inc., | ||||||||
2.350%, 03/05/2020 | 3,500,000 | 3,459,312 | ||||||
Humana, Inc., | ||||||||
7.200%, 06/15/2018 | 2,000,000 | 2,237,836 | ||||||
ING Bank NV: | ||||||||
2.500%, 10/01/2019 (Acquired 09/23/2014, Cost $2,461,635) * f | 2,475,000 | 2,479,871 | ||||||
5.000%, 06/09/2021 (Acquired 06/12/2013, Cost $2,137,849) * f | 2,000,000 | 2,201,288 | ||||||
5.800%, 09/25/2023 (Acquired 10/15/2015, Cost $4,179,512) * f | 3,810,000 | 4,139,450 | ||||||
Invesco Finance PLC, | ||||||||
3.125%, 11/30/2022 f | 4,225,000 | 4,165,187 | ||||||
iStar Financial, Inc., | ||||||||
5.850%, 03/15/2017 | 75,000 | 76,312 | ||||||
J.P. Morgan Chase & Co.: | ||||||||
2.250%, 01/23/2020 | 7,875,000 | 7,747,275 | ||||||
4.500%, 01/24/2022 | 3,000,000 | 3,235,818 | ||||||
Jefferies Group LLC, | ||||||||
6.875%, 04/15/2021 | 2,000,000 | 2,237,360 | ||||||
John Hancock Life Insurance Co., | ||||||||
7.375%, 02/15/2024 (Acquired 04/10/2013 through 04/11/2013, Cost $2,874,902) * | 2,325,000 | 2,760,021 | ||||||
Kemper Corp., | ||||||||
6.000%, 05/15/2017 | 600,000 | 623,320 | ||||||
Keybank National Association, | ||||||||
0.934%, 06/01/2018 | 8,000,000 | 7,980,816 | ||||||
Korea Housing Finance Corp., | ||||||||
1.625%, 09/15/2018 (Acquired 02/26/2013 through 08/28/2014, Cost $1,041,102) * f | 1,050,000 | 1,033,856 | ||||||
LeasePlan Corp. NV: | ||||||||
3.000%, 10/23/2017 (Acquired 02/07/2013, Cost $4,022,871) * f | 4,000,000 | 4,012,096 | ||||||
2.500%, 05/16/2018 (Acquired 05/29/2013 through 10/20/2014, Cost $5,019,113) * f | 5,000,000 | 4,924,365 | ||||||
Liberty Mutual Group, Inc., | ||||||||
4.250%, 06/15/2023 (Acquired 06/13/2013, Cost $1,987,300) * | 2,000,000 | 2,032,136 | ||||||
Lloyds Bank PLC: | ||||||||
4.875%, 01/21/2016 f | 225,000 | 225,349 | ||||||
5.800%, 01/13/2020 (Acquired 02/09/2010 through 03/16/2012, Cost $2,903,236) * f | 2,900,000 | 3,251,663 | ||||||
M&I Marshall & Ilsley Bank, | ||||||||
5.000%, 01/17/2017 | 1,000,000 | 1,030,766 | ||||||
Macquarie Bank Ltd.: | ||||||||
2.000%, 08/15/2016 (Acquired 08/07/2013, Cost $4,998,250) * f | 5,000,000 | 5,019,025 | ||||||
1.600%, 10/27/2017 (Acquired 10/22/2014, Cost $2,498,475) * f | 2,500,000 | 2,481,765 | ||||||
2.400%, 01/21/2020 (Acquired 01/14/2015, Cost $997,800) * f | 1,000,000 | 990,654 | ||||||
Manulife Financial Corp., | ||||||||
4.900%, 09/17/2020 f | 2,300,000 | 2,503,352 | ||||||
Marsh & McLennan Cos., Inc., | ||||||||
2.550%, 10/15/2018 | 1,000,000 | 1,009,525 | ||||||
MassMutual Global Funding II, | ||||||||
2.000%, 04/05/2017 (Acquired 03/29/2012, Cost $3,783,470) * | 3,800,000 | 3,826,342 | ||||||
MBIA Insurance Corp., | ||||||||
11.581%, 01/15/2033 (Acquired 01/11/2008, Cost $500,000) * | 500,000 | 93,750 | ||||||
Metropolitan Life Global Funding I, | ||||||||
3.000%, 01/10/2023 (Acquired 01/03/2013, Cost $1,299,337) * | 1,300,000 | 1,293,440 | ||||||
Mizuho Bank Ltd., | ||||||||
2.150%, 10/20/2018 (Acquired 10/13/2015, Cost $4,497,390) * f | 4,500,000 | 4,482,419 | ||||||
Morgan Stanley: | ||||||||
6.625%, 04/01/2018 | 1,600,000 | 1,754,448 | ||||||
7.300%, 05/13/2019 | 2,700,000 | 3,101,514 | ||||||
2.375%, 07/23/2019 | 1,000,000 | 996,649 | ||||||
MUFG Americas Holdings Corp., | ||||||||
3.500%, 06/18/2022 | 225,000 | 228,177 | ||||||
MUFG Union Bank, National Association, | ||||||||
2.125%, 06/16/2017 | 1,800,000 | 1,811,137 | ||||||
Nationwide Building Society, | ||||||||
2.350%, 01/21/2020 (Acquired 01/12/2015, Cost $2,999,010) * f | 3,000,000 | 2,979,828 | ||||||
Nationwide Financial Services, Inc., | ||||||||
5.375%, 03/25/2021 (Acquired 10/07/2013, Cost $876,761) * | 828,000 | 906,455 | ||||||
Nomura Holdings, Inc.: | ||||||||
2.000%, 09/13/2016 f | 2,450,000 | 2,459,849 | ||||||
6.700%, 03/04/2020 f | 1,000,000 | 1,153,156 | ||||||
NYSE Euronext, | ||||||||
2.000%, 10/05/2017 @ | 800,000 | 801,240 | ||||||
Peachtree Corners Funding Trust, | ||||||||
3.976%, 02/15/2025 (Acquired 03/10/2015, Cost $6,000,000) * | 6,000,000 | 5,956,674 | ||||||
PNC Bank, National Association, | ||||||||
2.950%, 01/30/2023 | 4,000,000 | 3,878,460 | ||||||
Principal Life Global Funding II, | ||||||||
2.200%, 04/08/2020 (Acquired 03/31/2015, Cost $1,997,360) * | 2,000,000 | 1,982,398 | ||||||
Protective Life Corp.: | ||||||||
7.375%, 10/15/2019 | 2,050,000 | 2,371,426 | ||||||
2.700%, 11/25/2020 (Acquired 11/19/2015, Cost $2,997,360) * | 3,000,000 | 2,998,293 | ||||||
Prudential Financial, Inc., | ||||||||
7.375%, 06/15/2019 | 850,000 | 986,439 | ||||||
Regions Bank, | ||||||||
7.500%, 05/15/2018 | 2,475,000 | 2,750,072 | ||||||
Regions Financial Corp., | ||||||||
2.000%, 05/15/2018 | 2,000,000 | 1,985,866 | ||||||
Santander Bank NA, | ||||||||
8.750%, 05/30/2018 | 4,415,000 | 4,982,968 | ||||||
Santander UK PLC, | ||||||||
5.000%, 11/07/2023 (Acquired 10/31/2013, Cost $996,810) * f | 1,000,000 | 1,040,951 | ||||||
Skandinaviska Enskilda Banken AB, | ||||||||
2.450%, 05/27/2020 (Acquired 05/19/2015, Cost $8,486,910) * @ f | 8,500,000 | 8,443,382 | ||||||
Societe Generale: | ||||||||
1.692%, 10/01/2018 f | 2,000,000 | 2,016,080 | ||||||
2.625%, 10/01/2018 f | 1,000,000 | 1,011,059 | ||||||
5.200%, 04/15/2021 (Acquired 01/28/2013, Cost $1,356,070) * f | 1,250,000 | 1,402,784 | ||||||
5.000%, 01/17/2024 (Acquired 01/14/2014 through 02/18/2014, Cost $3,127,715) * f | 3,150,000 | 3,210,807 | ||||||
Standard Chartered PLC, | ||||||||
0.955%, 04/17/2018 (Acquired 04/13/2015, Cost $8,500,000) * f | 8,500,000 | 8,449,689 | ||||||
Sumitomo Mitsui Banking Corp.: | ||||||||
2.500%, 07/19/2018 f | 3,000,000 | 3,039,540 | ||||||
2.250%, 07/11/2019 f | 2,000,000 | 1,986,498 | ||||||
SunTrust Bank: | ||||||||
5.450%, 12/01/2017 | 500,000 | 532,641 | ||||||
7.250%, 03/15/2018 | 1,506,000 | 1,665,058 | ||||||
SunTrust Banks, Inc., | ||||||||
3.600%, 04/15/2016 | 2,600,000 | 2,613,351 | ||||||
SUSA Partnership LP, | ||||||||
8.200%, 06/01/2017 | 2,800,000 | 3,029,284 | ||||||
Svenska Handelsbanken AB: | ||||||||
2.875%, 04/04/2017 f | 1,500,000 | 1,525,791 | ||||||
2.500%, 01/25/2019 f | 1,000,000 | 1,009,269 | ||||||
2.400%, 10/01/2020 f | 5,000,000 | 4,962,860 | ||||||
Swedbank AB: | ||||||||
1.750%, 03/12/2018 (Acquired 03/05/2013, Cost $3,236,383) * f | 3,250,000 | 3,231,511 | ||||||
2.375%, 02/27/2019 (Acquired 02/20/2014, Cost $2,595,606) * f | 2,600,000 | 2,603,338 | ||||||
Symetra Financial Corp., | ||||||||
6.125%, 04/01/2016 (Acquired 08/12/2011 through 12/02/2013, Cost $1,275,979) * | 1,269,000 | 1,282,078 | ||||||
Synchrony Financial: | ||||||||
3.750%, 08/15/2021 | 5,000,000 | 4,994,530 | ||||||
4.250%, 08/15/2024 | 4,000,000 | 3,945,848 | ||||||
The Bank of Nova Scotia, | ||||||||
2.550%, 01/12/2017 f | 150,000 | 151,992 | ||||||
The Bank of Tokyo-Mitsubishi UFJ Ltd.: | ||||||||
2.700%, 09/09/2018 (Acquired 09/03/2013, Cost $2,547,756) * f | 2,550,000 | 2,577,451 | ||||||
2.150%, 09/14/2018 (Acquired 09/08/2015, Cost $999,710) * f | 1,000,000 | 997,137 | ||||||
2.300%, 03/10/2019 (Acquired 03/04/2014, Cost $1,123,487) * f | 1,125,000 | 1,120,187 | ||||||
2.300%, 03/05/2020 (Acquired 02/25/2015, Cost $2,998,020) * f | 3,000,000 | 2,957,154 | ||||||
The Bear Stearns Companies LLC: | ||||||||
6.400%, 10/02/2017 | 1,450,000 | 1,561,544 | ||||||
7.250%, 02/01/2018 | 2,275,000 | 2,509,525 | ||||||
The Charles Schwab Corp., | ||||||||
6.375%, 09/01/2017 | 325,000 | 349,911 | ||||||
The Goldman Sachs Group, Inc.: | ||||||||
6.150%, 04/01/2018 | 3,900,000 | 4,235,072 | ||||||
2.900%, 07/19/2018 | 1,000,000 | 1,019,546 | ||||||
7.500%, 02/15/2019 | 865,000 | 989,786 | ||||||
2.550%, 10/23/2019 | 2,000,000 | 1,999,218 | ||||||
3.500%, 01/23/2025 | 2,000,000 | 1,965,626 | ||||||
The Hartford Financial Services Group, Inc.: | ||||||||
5.500%, 10/15/2016 | 1,500,000 | 1,550,040 | ||||||
5.125%, 04/15/2022 | 500,000 | 549,107 | ||||||
The Huntington National Bank: | ||||||||
1.300%, 11/20/2016 | 4,850,000 | 4,846,765 | ||||||
2.875%, 08/20/2020 | 3,500,000 | 3,473,197 | ||||||
UBS AG, | ||||||||
2.950%, 09/24/2020 (Acquired 09/21/2015, Cost $6,214,355) * @ f | 6,225,000 | 6,166,890 | ||||||
UnitedHealth Group, Inc., | ||||||||
3.350%, 07/15/2022 | 1,575,000 | 1,610,976 | ||||||
Voya Financial, Inc., | ||||||||
2.900%, 02/15/2018 | 2,000,000 | 2,021,620 | ||||||
WEA Finance LLC / Westfield UK & Europe Finance PLC, | ||||||||
3.250%, 10/05/2020 (Acquired 09/28/2015, Cost $7,474,275) * | 7,500,000 | 7,528,703 | ||||||
Wells Fargo & Co., | ||||||||
Series N, 2.150%, 01/30/2020 | 7,000,000 | 6,938,673 | ||||||
Wells Fargo Bank, National Association, | ||||||||
6.000%, 11/15/2017 | 1,479,000 | 1,595,140 | ||||||
Westpac Banking Corp.: | ||||||||
1.600%, 01/12/2018 f | 1,250,000 | 1,247,573 | ||||||
4.875%, 11/19/2019 f | 2,775,000 | 3,022,721 | ||||||
Willis Group Holdings PLC, | ||||||||
5.750%, 03/15/2021 f | 3,250,000 | 3,591,624 | ||||||
435,361,678 | 23.0% |
Utility | ||||||||
Commonwealth Edison Co., | ||||||||
Series 104, 5.950%, 08/15/2016 | 375,000 | 385,290 | ||||||
National Rural Utilities Cooperative Finance Corp.: | ||||||||
10.375%, 11/01/2018 | 3,619,000 | 4,415,151 | ||||||
2.000%, 01/27/2020 | 3,000,000 | 2,948,973 | ||||||
PPL Capital Funding, Inc., | ||||||||
3.400%, 06/01/2023 | 2,475,000 | 2,466,922 | ||||||
PSEG Power LLC: | ||||||||
2.750%, 09/15/2016 | 75,000 | 75,608 | ||||||
5.320%, 09/15/2016 | 994,000 | 1,021,286 | ||||||
5.125%, 04/15/2020 | 220,000 | 236,321 | ||||||
Public Service Co. of New Mexico, | ||||||||
7.950%, 05/15/2018 | 3,220,000 | 3,603,354 | ||||||
RGS I&M Funding Corp., | ||||||||
Series F*, 9.820%, 06/07/2022 | 423,831 | 432,279 | ||||||
Southern Power Co., | ||||||||
1.850%, 12/01/2017 | 1,775,000 | 1,774,231 | ||||||
Talent Yield Investments Ltd., | ||||||||
4.500%, 04/25/2022 (Acquired 04/18/2012, Cost $3,774,008) * f | 3,800,000 | 3,935,755 | ||||||
West Penn Power Co., | ||||||||
5.875%, 08/15/2016 (Acquired 10/25/2010, Cost $2,033,845) * | 2,000,000 | 2,047,784 | ||||||
23,342,954 | 1.2% | |||||||
Industrials | ||||||||
21st Century Fox America, Inc.: | ||||||||
8.000%, 10/17/2016 | 5,575,000 | 5,864,878 | ||||||
3.700%, 10/15/2025 (Acquired 10/14/2015, Cost $2,818,248) * | 2,825,000 | 2,817,997 | ||||||
Agrium, Inc., | ||||||||
3.150%, 10/01/2022 f | 1,306,000 | 1,249,389 | ||||||
Altera Corp., | ||||||||
2.500%, 11/15/2018 | 2,000,000 | 2,016,330 | ||||||
America Movil, SAB de CV, | ||||||||
1.502%, 09/12/2016 f | 3,200,000 | 3,199,958 | ||||||
Ameritech Capital Funding Corp.: | ||||||||
9.100%, 06/01/2016 | 275,154 | 282,288 | ||||||
6.450%, 01/15/2018 | 2,758,000 | 2,969,266 | ||||||
Anadarko Petroleum Corp.: | ||||||||
5.950%, 09/15/2016 @ | 2,270,000 | 2,332,554 | ||||||
6.375%, 09/15/2017 | 2,000,000 | 2,097,244 | ||||||
6.950%, 06/15/2019 | 1,000,000 | 1,092,343 | ||||||
Anglo American Capital PLC, | ||||||||
9.375%, 04/08/2019 (Acquired 07/11/2012, Cost $2,350,137) * f | 2,000,000 | 1,800,000 | ||||||
Apple, Inc., | ||||||||
2.400%, 05/03/2023 | 2,000,000 | 1,948,734 | ||||||
Boardwalk Pipelines LP, | ||||||||
5.200%, 06/01/2018 | 2,500,000 | 2,502,195 | ||||||
Boston Scientific Corp., | ||||||||
4.125%, 10/01/2023 | 3,000,000 | 3,035,409 | ||||||
BP Capital Markets: | ||||||||
4.750%, 03/10/2019 f | 2,500,000 | 2,673,290 | ||||||
2.521%, 01/15/2020 f | 2,650,000 | 2,641,382 | ||||||
3.245%, 05/06/2022 f | 1,000,000 | 987,537 | ||||||
British Telecommunications PLC, | ||||||||
5.950%, 01/15/2018 f | 2,000,000 | 2,156,452 | ||||||
Bunge Limited Finance Corp.: | ||||||||
4.100%, 03/15/2016 | 2,742,000 | 2,756,075 | ||||||
3.200%, 06/15/2017 | 1,300,000 | 1,312,739 | ||||||
3.500%, 11/24/2020 @ | 2,500,000 | 2,486,082 | ||||||
Bunge NA Finance LP, | ||||||||
5.900%, 04/01/2017 | 575,000 | 599,477 | ||||||
Cardinal Health, Inc., | ||||||||
1.950%, 06/15/2018 | 5,600,000 | 5,585,418 | ||||||
Charter Communications, Inc., | ||||||||
4.464%, 07/23/2022 (Acquired 07/09/2015, Cost $7,150,000) * | 7,150,000 | 7,125,046 | ||||||
Chevron Phillips Chemical Co. LLC, | ||||||||
2.450%, 05/01/2020 (Acquired 05/07/2015, Cost $4,123,680) * | 4,125,000 | 4,074,238 | ||||||
Coca-Cola FEMSA, S.A.B. de C.V., | ||||||||
2.375%, 11/26/2018 f | 3,425,000 | 3,420,023 | ||||||
Comcast Cable Communications, LLC, | ||||||||
8.875%, 05/01/2017 | 550,000 | 603,048 | ||||||
Comcast Corp., | ||||||||
2.850%, 01/15/2023 | 1,475,000 | 1,465,458 | ||||||
ConAgra Foods, Inc.: | ||||||||
0.687%, 07/21/2016 | 2,125,000 | 2,121,043 | ||||||
7.000%, 04/15/2019 | 1,583,000 | 1,779,523 | ||||||
Cox Communications, Inc.: | ||||||||
3.250%, 12/15/2022 (Acquired 11/26/2012, Cost $3,594,456) * | 3,600,000 | 3,271,367 | ||||||
3.850%, 02/01/2025 (Acquired 12/01/2014, Cost $4,492,215) * | 4,500,000 | 4,122,724 | ||||||
CVS Health Corp.: | ||||||||
2.250%, 08/12/2019 | 3,375,000 | 3,370,559 | ||||||
4.000%, 12/05/2023 | 4,425,000 | 4,598,544 | ||||||
D.R. Horton, Inc., | ||||||||
6.500%, 04/15/2016 | 1,000,000 | 1,010,000 | ||||||
Daimler Finance North America LLC, | ||||||||
2.250%, 07/31/2019 (Acquired 07/25/2012, Cost $2,285,234) * | 2,300,000 | 2,269,819 | ||||||
DCP Midstream LLC, | ||||||||
9.750%, 03/15/2019 (Acquired 10/15/2012, Cost $1,869,488) * | 1,600,000 | 1,629,198 | ||||||
Deutsche Telekom International Finance BV: | ||||||||
2.250%, 03/06/2017 (Acquired 03/24/2015, Cost $1,415,583) * f | 1,400,000 | 1,408,718 | ||||||
6.750%, 08/20/2018 f | 2,850,000 | 3,177,086 | ||||||
6.000%, 07/08/2019 f | 1,700,000 | 1,902,757 | ||||||
Devon Energy Corp., | ||||||||
6.300%, 01/15/2019 @ | 910,000 | 937,573 | ||||||
Ecolab, Inc., | ||||||||
1.450%, 12/08/2017 | 4,000,000 | 3,962,100 | ||||||
Energy Transfer Partners LP, | ||||||||
9.700%, 03/15/2019 | 2,457,000 | 2,705,963 | ||||||
Enterprise Products Operating LLC, | ||||||||
2.550%, 10/15/2019 | 3,000,000 | 2,876,139 | ||||||
ERAC USA Finance LLC, | ||||||||
2.350%, 10/15/2019 (Acquired 06/30/2014 through 01/08/2015, Cost $4,644,303) * | 4,650,000 | 4,583,603 | ||||||
Express Scripts Holding Co.: | ||||||||
2.650%, 02/15/2017 | 2,313,000 | 2,335,716 | ||||||
7.250%, 06/15/2019 | 1,000,000 | 1,150,409 | ||||||
Federal Express Corp. 1998 Pass Through Trust, | ||||||||
Series 981B, 6.845%, 01/15/2019 | 1,715,917 | 1,838,582 | ||||||
Fidelity National Information Services, Inc.: | ||||||||
3.500%, 04/15/2023 | 4,400,000 | 4,201,164 | ||||||
3.875%, 06/05/2024 | 3,900,000 | 3,764,292 | ||||||
Fiserv, Inc.: | ||||||||
4.750%, 06/15/2021 | 1,728,000 | 1,845,369 | ||||||
3.500%, 10/01/2022 | 2,850,000 | 2,844,132 | ||||||
FMC Corp., | ||||||||
4.100%, 02/01/2024 @ | 2,000,000 | 1,973,542 | ||||||
Ford Motor Credit Co. LLC: | ||||||||
2.500%, 01/15/2016 | 3,000,000 | 3,000,678 | ||||||
1.724%, 12/06/2017 | 3,300,000 | 3,249,170 | ||||||
5.750%, 02/01/2021 | 2,000,000 | 2,209,552 | ||||||
Freeport-McMoran Oil & Gas LLC / FCX Oil & Gas, Inc., | ||||||||
6.750%, 02/01/2022 | 1,649,000 | 1,014,135 | ||||||
Freeport-McMoRan, Inc.: | ||||||||
3.550%, 03/01/2022 @ | 2,000,000 | 1,160,000 | ||||||
3.875%, 03/15/2023 | 1,100,000 | 627,000 | ||||||
General Electric Capital Corp.: | ||||||||
6.000%, 08/07/2019 | 774,000 | 876,818 | ||||||
5.500%, 01/08/2020 | 731,000 | 819,869 | ||||||
5.550%, 05/04/2020 | 816,000 | 922,917 | ||||||
Glencore Funding LLC: | ||||||||
2.500%, 01/15/2019 (Acquired 05/22/2013 through 10/29/2013, Cost $4,330,615) * @ | 4,400,000 | 3,674,000 | ||||||
4.125%, 05/30/2023 (Acquired 04/03/2014, Cost $1,457,665) * | 1,500,000 | 1,106,265 | ||||||
4.625%, 04/29/2024 (Acquired 10/08/2014, Cost $1,026,412) * @ | 1,000,000 | 724,200 | ||||||
Grupo Bimbo, SAB de CV, | ||||||||
3.875%, 06/27/2024 (Acquired 06/24/2014, Cost $2,987,700) * f | 3,000,000 | 2,915,664 | ||||||
GTE Corp., | ||||||||
8.750%, 11/01/2021 | 2,150,000 | 2,656,542 | ||||||
Hanson Ltd., | ||||||||
6.125%, 08/15/2016 f | 650,000 | 667,062 | ||||||
Hess Corp., | ||||||||
8.125%, 02/15/2019 | 1,200,000 | 1,360,051 | ||||||
Historic TW, Inc., | ||||||||
6.875%, 06/15/2018 | 392,000 | 435,398 | ||||||
Hutchison Whampoa International (09) Ltd., | ||||||||
7.625%, 04/09/2019 (Acquired 10/16/2009 through 04/16/2014, Cost $5,973,598) * f | 5,400,000 | 6,241,520 | ||||||
Hutchison Whampoa International (14) Ltd., | ||||||||
1.625%, 10/31/2017 (Acquired 10/28/2014, Cost $1,995,400) * f | 2,000,000 | 1,982,346 | ||||||
Hyundai Capital Services, Inc., | ||||||||
3.500%, 09/13/2017 (Acquired 08/04/2014 through 09/30/2014, Cost $6,322,811) * f | 6,150,000 | 6,264,138 | ||||||
Ingersoll-Rand Co., | ||||||||
6.391%, 11/15/2027 f | 1,195,000 | 1,365,805 | ||||||
Ingersoll-Rand Global Holding Co. Ltd., | ||||||||
2.875%, 01/15/2019 | 5,000,000 | 5,050,120 | ||||||
Ingredion, Inc., | ||||||||
1.800%, 09/25/2017 | 1,275,000 | 1,263,385 | ||||||
Johnson Controls, Inc., | ||||||||
4.250%, 03/01/2021 | 2,000,000 | 2,055,834 | ||||||
Kinder Morgan Finance Co. LLC, | ||||||||
5.700%, 01/05/2016 | 2,500,000 | 2,500,000 | ||||||
Kraft Foods Group, Inc., | ||||||||
3.500%, 06/06/2022 @ | 2,000,000 | 2,021,892 | ||||||
Laboratory Corporation of America Holdings, | ||||||||
4.625%, 11/15/2020 | 400,000 | 421,237 | ||||||
Lafarge SA, | ||||||||
6.500%, 07/15/2016 f | 625,000 | 640,776 | ||||||
Martin Marietta Materials, Inc., | ||||||||
6.600%, 04/15/2018 | 75,000 | 80,806 | ||||||
Masco Corp., | ||||||||
6.125%, 10/03/2016 | 2,200,000 | 2,265,956 | ||||||
Mead Johnson Nutrition Co., | ||||||||
3.000%, 11/15/2020 @ | 5,400,000 | 5,398,369 | ||||||
MeadWestvaco Corp., | ||||||||
7.375%, 09/01/2019 | 2,033,000 | 2,316,760 | ||||||
Medco Health Solutions, Inc., | ||||||||
7.125%, 03/15/2018 | 1,850,000 | 2,045,058 | ||||||
Merey Sweeny LP, | ||||||||
8.850%, 12/18/2019 (Acquired 06/11/2013, Cost $1,353,995) * | 1,211,416 | 1,370,030 | ||||||
Midcontinent Express Pipeline LLC, | ||||||||
6.700%, 09/15/2019 (Acquired 09/30/2014, Cost $1,103,258) * | 1,000,000 | 935,000 | ||||||
Murphy Oil Corp., | ||||||||
3.700%, 12/01/2022 | 5,000,000 | 3,825,100 | ||||||
Nabors Industries, Inc., | ||||||||
6.150%, 02/15/2018 | 825,000 | 837,113 | ||||||
Noble Energy, Inc.: | ||||||||
8.250%, 03/01/2019 | 1,000,000 | 1,118,395 | ||||||
4.150%, 12/15/2021 | 450,000 | 436,113 | ||||||
ONEOK Partners LP, | ||||||||
3.375%, 10/01/2022 | 6,000,000 | 4,866,744 | ||||||
Pearson Funding Two PLC, | ||||||||
4.000%, 05/17/2016 (Acquired 10/03/2014, Cost $5,254,968) * f | 5,200,000 | 5,236,738 | ||||||
Pentair Finance SA: | ||||||||
2.900%, 09/15/2018 f | 3,175,000 | 3,160,789 | ||||||
3.625%, 09/15/2020 f | 5,500,000 | 5,494,577 | ||||||
Petrofac Ltd., | ||||||||
3.400%, 10/10/2018 (Acquired 10/03/2013 through 09/19/2014, Cost $6,935,833) * f | 6,880,000 | 6,534,734 | ||||||
Phillips 66 Partners LP, | ||||||||
3.605%, 02/15/2025 | 2,000,000 | 1,720,478 | ||||||
Pioneer Natural Resources Co., | ||||||||
6.875%, 05/01/2018 | 1,225,000 | 1,301,384 | ||||||
POSCO, | ||||||||
5.250%, 04/14/2021 (Acquired 04/08/2011 through 09/22/2011, Cost $2,977,519) * @ f | 3,000,000 | 3,286,887 | ||||||
R.R. Donnelley & Sons Co.: | ||||||||
8.600%, 08/15/2016 | 1,000,000 | 1,038,750 | ||||||
6.125%, 01/15/2017 | 43,000 | 44,075 | ||||||
7.625%, 06/15/2020 @ | 1,000,000 | 1,031,150 | ||||||
Rio Tinto Finance (USA) Ltd.: | ||||||||
9.000%, 05/01/2019 f | 2,975,000 | 3,473,048 | ||||||
3.750%, 09/20/2021 f | 500,000 | 486,016 | ||||||
Rockies Express Pipeline LLC, | ||||||||
5.625%, 04/15/2020 (Acquired 03/17/2010, Cost $999,110) * | 1,000,000 | 920,000 | ||||||
Rockwell Automation, Inc., | ||||||||
2.875%, 03/01/2025 | 3,000,000 | 2,925,729 | ||||||
SABMiller Holdings, Inc., | ||||||||
1.019%, 08/01/2018 (Acquired 10/28/2014, Cost $3,993,506) * | 3,980,000 | 3,948,562 | ||||||
Samarco Mineracao SA, | ||||||||
5.375%, 09/26/2024 (Acquired 09/23/2014, Cost $1,670,511) * f | 1,675,000 | 552,750 | ||||||
Schlumberger Holdings Corp., | ||||||||
2.350%, 12/21/2018 (Acquired 12/10/2015, Cost $4,499,460) * | 4,500,000 | 4,470,791 | ||||||
Schneider Electric SE, | ||||||||
2.950%, 09/27/2022 (Acquired 09/20/2012, Cost $1,994,680) * f | 2,000,000 | 1,980,214 | ||||||
Sprint Communications, Inc., | ||||||||
6.000%, 12/01/2016 | 500,000 | 499,063 | ||||||
Sunoco, Inc., | ||||||||
5.750%, 01/15/2017 | 1,275,000 | 1,281,568 | ||||||
Sysco Corp.: | ||||||||
2.600%, 10/01/2020 | 7,600,000 | 7,612,023 | ||||||
2.600%, 06/12/2022 | 150,000 | 145,696 | ||||||
TC PipeLines LP, | ||||||||
4.375%, 03/13/2025 | 2,500,000 | 2,195,655 | ||||||
Teck Resources Ltd., | ||||||||
3.150%, 01/15/2017 f | 1,000,000 | 900,000 | ||||||
Telefonica Emisiones SAU: | ||||||||
6.421%, 06/20/2016 f | 3,450,000 | 3,529,284 | ||||||
6.221%, 07/03/2017 f | 1,000,000 | 1,062,760 | ||||||
3.192%, 04/27/2018 f | 1,000,000 | 1,019,402 | ||||||
Telstra Corp. Ltd., | ||||||||
3.125%, 04/07/2025 (Acquired 03/30/2015, Cost $5,640,395) * f | 5,650,000 | 5,422,429 | ||||||
Texas Eastern Transmission LP, | ||||||||
6.000%, 09/15/2017 (Acquired 11/07/2013 through 11/14/2014, Cost $2,212,524) * | 2,073,000 | 2,186,113 | ||||||
The Dow Chemical Co., | ||||||||
8.550%, 05/15/2019 | 2,800,000 | 3,300,217 | ||||||
The Mosaic Co., | ||||||||
4.250%, 11/15/2023 @ | 8,606,000 | 8,523,598 | ||||||
Time Warner Cable, Inc., | ||||||||
5.850%, 05/01/2017 | 1,000,000 | 1,046,125 | ||||||
Time Warner, Inc.: | ||||||||
4.700%, 01/15/2021 | 1,325,000 | 1,426,045 | ||||||
4.750%, 03/29/2021 @ | 2,000,000 | 2,149,782 | ||||||
3.600%, 07/15/2025 | 4,000,000 | 3,893,916 | ||||||
TransCanada PipeLines Ltd.: | ||||||||
1.875%, 01/12/2018 f | 3,000,000 | 2,988,153 | ||||||
9.875%, 01/01/2021 f | 150,000 | 191,774 | ||||||
TSMC Global Ltd., | ||||||||
1.625%, 04/03/2018 (Acquired 03/27/2013, Cost $3,297,789) * f | 3,300,000 | 3,234,413 | ||||||
Tyco Electronics Group SA, | ||||||||
6.550%, 10/01/2017 f | 1,245,000 | 1,341,717 | ||||||
United AirLines, Inc. Pass Through Trust, | ||||||||
Series 91A2, 10.020%, 03/22/2024 ** § † | 60,940 | 17,673 | ||||||
Vale Overseas Ltd.: | ||||||||
6.250%, 01/23/2017 @ f | 1,650,000 | 1,646,865 | ||||||
4.375%, 01/11/2022 @ f | 2,425,000 | 1,835,310 | ||||||
Valero Energy Corp., | ||||||||
9.375%, 03/15/2019 | 5,898,000 | 6,968,074 | ||||||
Verizon Communications, Inc.: | ||||||||
5.150%, 09/15/2023 | 6,100,000 | 6,705,889 | ||||||
4.150%, 03/15/2024 | 2,000,000 | 2,055,324 | ||||||
Viacom, Inc., | ||||||||
6.250%, 04/30/2016 | 199,000 | 202,068 | ||||||
Visa, Inc., | ||||||||
3.150%, 12/14/2025 | 4,700,000 | 4,705,809 | ||||||
Vulcan Materials Co., | ||||||||
7.000%, 06/15/2018 | 2,000,000 | 2,220,000 | ||||||
Wabtec Corp., | ||||||||
4.375%, 08/15/2023 | 3,000,000 | 3,071,598 | ||||||
Walgreen Co., | ||||||||
5.250%, 01/15/2019 | 605,000 | 646,539 | ||||||
Waste Management, Inc., | ||||||||
3.125%, 03/01/2025 @ | 1,975,000 | 1,922,113 | ||||||
Wesfarmers Ltd., | ||||||||
1.874%, 03/20/2018 (Acquired 03/13/2013, Cost $3,900,000) * f | 3,900,000 | 3,871,136 | ||||||
Williams Partners LP: | ||||||||
5.250%, 03/15/2020 | 1,000,000 | 928,749 | ||||||
4.125%, 11/15/2020 @ | 1,475,000 | 1,316,853 | ||||||
4.300%, 03/04/2024 | 2,500,000 | 1,981,103 | ||||||
Zoetis, Inc., | ||||||||
4.500%, 11/13/2025 | 2,000,000 | 2,026,906 | ||||||
363,175,004 | 19.2% | |||||||
Total Corporate Bonds | 821,879,636 | 43.4% |
Other Government Related Securities | ||||||||
CDP Financial, Inc., | ||||||||
4.400%, 11/25/2019 (Acquired 11/20/2009, Cost $997,520) * f | 1,000,000 | 1,080,640 | ||||||
Centrais Eletricas Brasileiras SA, | ||||||||
5.750%, 10/27/2021 (Acquired 10/20/2011 through 10/25/2011, Cost $1,151,601) * f | 1,150,000 | 905,625 | ||||||
CNOOC Finance 2013 Ltd., | ||||||||
3.000%, 05/09/2023 f | 2,000,000 | 1,871,934 | ||||||
CNOOC Nexen Finance (2014) ULC, | ||||||||
4.250%, 04/30/2024 f | 5,150,000 | 5,190,809 | ||||||
Corp Andina de Fomento, | ||||||||
4.375%, 06/15/2022 f | 680,000 | 723,928 | ||||||
Electricite de France SA, | ||||||||
2.350%, 10/13/2020 (Acquired 10/07/2015, Cost $8,800,006) * f | 8,875,000 | 8,736,994 | ||||||
Export-Import Bank of Korea, | ||||||||
2.250%, 01/21/2020 f | 3,200,000 | 3,150,883 | ||||||
KFW, | ||||||||
4.875%, 06/17/2019 f | 3,250,000 | 3,599,287 | ||||||
Korea Electric Power Corp., | ||||||||
6.750%, 08/01/2027 f | 300,000 | 373,437 | ||||||
Korea Gas Corp., | ||||||||
2.875%, 07/29/2018 (Acquired 07/22/2013, Cost $994,790) * f | 1,000,000 | 1,014,272 | ||||||
Mexico Government International Bond, | ||||||||
5.125%, 01/15/2020 f | 2,650,000 | 2,888,500 | ||||||
North Carolina Housing Finance Agency, | ||||||||
3.000%, 01/01/2033 (Callable 01/01/2025) | 5,000,000 | 5,056,850 | ||||||
Petrobras Global Finance BV, | ||||||||
2.886%, 03/17/2017 f | 1,700,000 | 1,557,625 | ||||||
Petrobras International Finance Co. SA, | ||||||||
3.875%, 01/27/2016 f | 4,175,000 | 4,158,300 | ||||||
Petroleos Mexicanos: | ||||||||
3.125%, 01/23/2019 f | 2,000,000 | 1,934,780 | ||||||
5.500%, 01/21/2021 f | 2,000,000 | 2,017,400 | ||||||
Sinopec Group Overseas Development [2015] Ltd., | ||||||||
2.500%, 04/28/2020 (Acquired 04/21/2015, Cost $2,987,280) * f | 3,000,000 | 2,951,253 | ||||||
The Korea Development Bank, | ||||||||
3.875%, 05/04/2017 f | 2,150,000 | 2,205,233 | ||||||
49,417,750 | 2.6% | |||||||
Taxable Municipal Bonds | ||||||||
Alaska Municipal Bond Bank Authority: | ||||||||
4.309%, 08/01/2018 | 1,000,000 | 1,059,030 | ||||||
4.459%, 08/01/2019 | 1,340,000 | 1,442,778 | ||||||
California Qualified School Bond Joint Powers Authority, | ||||||||
5.955%, 03/01/2019 | 3,375,000 | 3,685,297 | ||||||
California School Finance Authority, | ||||||||
4.426%, 07/01/2020 | 2,500,000 | 2,694,025 | ||||||
Central Valley Support Joint Powers Agency, | ||||||||
5.326%, 09/01/2022 | 2,000,000 | 2,191,840 | ||||||
City of Berwyn IL, | ||||||||
5.790%, 12/01/2022 | 5,095,000 | 5,575,000 | ||||||
City of Bristol VA, | ||||||||
3.668%, 10/01/2022 (Callable 10/01/2020) | 7,500,000 | 7,551,300 | ||||||
County of Contra Costa CA, | ||||||||
5.140%, 06/01/2017 | 2,500,000 | 2,585,375 | ||||||
Dallas Independent School District, | ||||||||
4.950%, 02/15/2022 (Callable 02/15/2021) | 1,965,000 | 2,177,574 | ||||||
Davie Florida Water & Sewer Revenue, | ||||||||
6.062%, 10/01/2025 (Callable 10/01/2020) | 1,000,000 | 1,140,550 | ||||||
Government Development Bank for Puerto Rico, | ||||||||
4.704%, 05/01/2016 | 3,525,000 | 1,304,391 | ||||||
Iowa Tobacco Settlement Authority, | ||||||||
6.500%, 06/01/2023 (Callable 02/01/2016) | 880,000 | 884,118 | ||||||
New Hampshire Housing Finance Authority, | ||||||||
2.600%, 01/01/2020 | 1,720,000 | 1,710,970 | ||||||
New Jersey Economic Development Authority, | ||||||||
1.802%, 06/15/2017 | 5,000,000 | 4,974,900 | ||||||
North Carolina Housing Finance Agency, | ||||||||
4.000%, 01/01/2030 (Callable 07/01/2021) | 350,000 | 362,485 | ||||||
North East Independent School District/TX, | ||||||||
5.240%, 08/01/2027 | 2,100,000 | 2,378,796 | ||||||
41,718,429 | 2.2% | |||||||
Residential Mortgage-Backed Securities | ||||||||
U.S. Government Agency Issues | ||||||||
Fannie Mae REMIC Trust, | ||||||||
Series 2004-W6, Class 1A6, 5.500%, 07/25/2034 | 239,115 | 241,423 | ||||||
Federal Gold Loan Mortgage Corp. (FGLMC): | ||||||||
6.000%, 06/01/2021 | 96,451 | 103,773 | ||||||
6.000%, 07/01/2028 | 7,413 | 8,462 | ||||||
Federal Home Loan Mortgage Corp. (FHLMC): | ||||||||
1.375%, 05/01/2020 @ | 10,000,000 | 9,845,710 | ||||||
Series 74, Class F, 6.000%, 10/15/2020 | 1,028 | 1,077 | ||||||
2.375%, 01/13/2022 | 300,000 | 304,168 | ||||||
Series 1395, Class G, 6.000%, 10/15/2022 | 8,967 | 9,733 | ||||||
Federal National Mortgage Association (FNMA): | ||||||||
Series 1989-2, Class D, 8.800%, 01/25/2019 | 3,598 | 3,834 | ||||||
Series 1990-108, Class G, 7.000%, 09/25/2020 | 4,086 | 4,399 | ||||||
Series G-29, Class O, 8.500%, 09/25/2021 | 507 | 570 | ||||||
Series 1991-137, Class H, 7.000%, 10/25/2021 | 27,193 | 29,719 | ||||||
Series 1993-32, Class H, 6.000%, 03/25/2023 | 16,748 | 18,024 | ||||||
Government National Mortgage Association (GNMA), | ||||||||
Series 1999-4, Class ZB, 6.000%, 02/20/2029 | 97,545 | 108,802 | ||||||
10,679,694 | 0.6% | |||||||
Non-U.S. Government Agency Issues | ||||||||
Alternative Loan Trust: | ||||||||
Series 2005-50CB, Class 4A1, 5.000%, 11/25/2020 § | 255,239 | 256,303 | ||||||
Series 2005-85CB, Class 3A1, 5.250%, 02/25/2021 (Acquired 09/26/2007 through 01/28/2009, Cost $229,605) * § | 231,853 | 226,824 | ||||||
Series 2006-7CB, Class 3A1, 5.250%, 05/25/2021 | 422,376 | 412,377 | ||||||
Series 2005-11CB, Class 2A1, 5.500%, 06/25/2035 | 65,738 | 65,818 | ||||||
Banc of America Alternative Loan Trust: | ||||||||
Series 2003-11, Class 4A1, 4.750%, 01/25/2019 | 59,050 | 59,434 | ||||||
Series 2004-2, Class 5A1, 5.500%, 03/25/2019 | 189,689 | 192,752 | ||||||
Series 2004-11, Class 4A1, 5.500%, 12/25/2019 | 293,580 | 300,480 | ||||||
Series 2005-6, Class 7A1, 5.500%, 07/25/2020 § | 13,341 | 13,020 | ||||||
Series 2006-2, Class 7A1, 6.000%, 03/25/2021 § | 224,148 | 222,155 | ||||||
Series 2006-4, Class 3CB4, 6.000%, 05/25/2046 § | 399,946 | 333,444 | ||||||
Banc of America Funding Trust, | ||||||||
Series 2004-2, Class 1CB1, 5.750%, 09/20/2034 | 4,196,326 | 4,518,337 | ||||||
Bear Stearns ARM Trust, | ||||||||
Series 2004-5, Class 2A, 3.140%, 07/25/2034 | 2,451,688 | 2,453,477 | ||||||
Credit Suisse First Boston Mortgage Securities Corp., | ||||||||
Series 2005-3, Class 3A27, 5.500%, 07/25/2035 | 1,079 | 1,078 | ||||||
J.P. Morgan Alternative Loan Trust: | ||||||||
Series 2005-S1, Class 3A1, 5.500%, 10/25/2020 § | 467,241 | 463,994 | ||||||
Series 2006-A1, Class 2A1, 2.595%, 03/25/2036 § | 539,307 | 451,033 | ||||||
Lehman Mortgage Trust, | ||||||||
Series 2006-4, Class 3A1, 5.000%, 08/25/2021 § | 96,623 | 93,105 | ||||||
MASTR Alternative Loan Trust: | ||||||||
Series 2004-1, Class 1A1, 5.000%, 01/25/2019 | 250,672 | 253,658 | ||||||
Series 2004-3, Class 1A1, 5.000%, 03/25/2019 | 63,536 | 64,675 | ||||||
Series 2005-3, Class 4A1, 5.500%, 03/25/2020 | 65,337 | 67,258 | ||||||
MortgageIT Trust, | ||||||||
Series 2005-3, Class A1, 0.722%, 08/25/2035 | 10,128,796 | 9,375,861 | ||||||
RALI Series Trust, | ||||||||
Series 2004-QS6, Class A1, 5.000%, 05/25/2019 | 24,353 | 24,618 | ||||||
Salomon Brothers Mortgage Securities VII, Inc., | ||||||||
Series 2003-UP2, Class A2, 7.000%, 06/25/2033 | 75,258 | 77,155 | ||||||
Structured Asset Securities Corp. Mortgage Pass-Through Certificates, | ||||||||
Series 2004-22, Class A2, 5.027%, 01/25/2035 | 5,383,662 | 5,539,908 | ||||||
Thornburg Mortgage Securities Trust, | ||||||||
Series 2003-5, Class 3A, 2.363%, 10/25/2043 | 7,323,608 | 7,372,475 | ||||||
WaMu Mortgage Pass-Through Certificates: | ||||||||
Series 2004-CB1, Class 5A, 5.000%, 06/25/2019 | 330,356 | 336,994 | ||||||
Series 2004-CB3, Class 3A, 5.500%, 10/25/2019 | 498,519 | 513,474 | ||||||
Series 2004-CB3, Class 4A, 6.000%, 10/25/2019 | 191,439 | 199,029 | ||||||
Series 2004-CB4, Class 21A, 5.500%, 12/25/2019 | 183,712 | 188,740 | ||||||
Series 2004-CB4, Class 22A, 6.000%, 12/25/2019 | 124,954 | 129,180 | ||||||
Series 2004-AR3, Class A1, 2.460%, 06/25/2034 | 5,243,775 | 5,299,852 | ||||||
Series 2004-CB2, Class 3A, 6.000%, 08/25/2034 | 4,129,687 | 4,407,327 | ||||||
Wells Fargo Mortgage Backed Securities, | ||||||||
Series 2005-AR10, Class 2A17, 2.738%, 06/25/2035 | 7,985,622 | 8,121,288 | ||||||
52,035,123 | 2.7% | |||||||
Asset Backed Securities | ||||||||
Amresco Residential Securities Mortgage Loan Trust, | ||||||||
Series 1998-1, Class A6, 6.510%, 08/25/2027 | 10,221 | 10,924 | ||||||
Argent Securities Inc Asset-Backed Pass-Through Certificates, | ||||||||
Series 2005-W3, Class A2D, 0.762%, 11/25/2035 | 2,237,518 | 2,170,721 | ||||||
Capital Auto Receivables Asset Trust: | ||||||||
Series 2014-2, Class A2, 0.910%, 04/20/2017 | 3,042,456 | 3,040,592 | ||||||
Series 2015-2, Class A2, 1.390%, 09/20/2018 | 10,125,000 | 10,081,162 | ||||||
Series 2015-3, Class A2, 1.720%, 01/22/2019 | 6,875,000 | 6,860,904 | ||||||
Cityscape Home Equity Loan Trust, | ||||||||
Series 1997-C, Class A4, 7.000%, 07/25/2028 § | 3,921 | 3,552 | ||||||
Conseco Financial Corp.: | ||||||||
Series 1993-4, Class A5, 7.050%, 01/15/2019 | 3,413 | 3,482 | ||||||
Series 1998-2, Class A5, 6.240%, 12/01/2028 | 255,158 | 261,889 | ||||||
Series 1998-3, Class A5, 6.220%, 03/01/2030 | 404,875 | 422,363 | ||||||
Series 1998-4, Class A5, 6.180%, 04/01/2030 | 163,008 | 173,475 | ||||||
Countrywide Asset-Backed Certificates: | ||||||||
Series 2004-12, Class AF6, 4.634%, 03/25/2035 | 16,407 | 16,832 | ||||||
Series 2005-1, Class AF6, 5.030%, 07/25/2035 | 788,514 | 801,619 | ||||||
Series 2006-13, Class 1AF3, 4.687%, 01/25/2037 § | 173,672 | 235,807 | ||||||
Series 2006-9, Class 1AF3, 4.896%, 10/25/2046 § | 1,012,849 | 918,354 | ||||||
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 | 17,965,933 | ||||||
Delta Funding Home Equity Loan Trust: | ||||||||
Series 1997-2, Class A6, 7.040%, 06/25/2027 | 2,568 | 2,577 | ||||||
Series 1999-2, Class A7F, 7.030%, 08/15/2030 | 362,712 | 383,933 | ||||||
First Franklin Mortgage Loan Trust, | ||||||||
Series 2004-FF7, Class A1, 1.062%, 09/25/2034 | 2,345,703 | 2,343,455 | ||||||
Ford Credit Auto Owner Trust: | ||||||||
Series 2014-1, Class A, 2.260%, 11/15/2025 (Acquired 10/07/2014 through 10/09/2014, Cost $10,902,702) * | 10,859,000 | 10,946,596 | ||||||
Series 2014-2, Class A, 2.310%, 04/15/2026 (Acquired 10/07/2014, Cost $11,745,689) * | 11,750,000 | 11,730,709 | ||||||
Home Equity Asset Trust, | ||||||||
Series 2006-8, Class 2A2, 0.532%, 03/25/2037 | 9,915,279 | 9,836,640 | ||||||
IMC Home Equity Loan Trust, | ||||||||
Series 1998-1, Class A6, 7.020%, 06/20/2029 | 3,480 | 3,479 | ||||||
J.P. Morgan Mortgage Acquisition Trust, | ||||||||
Series 2006-CH1, Class A1, 0.552%, 07/25/2036 | 3,909,756 | 3,761,685 | ||||||
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 | 9,985,726 | ||||||
New Century Home Equity Loan Trust, | ||||||||
Series 2005-B, Class A2C, 0.702%, 10/25/2035 | 349,932 | 349,528 | ||||||
Nomura Holdings, Inc., | ||||||||
Series 2006-HE2, Class A3, 0.592%, 03/25/2036 | 6,290,227 | 6,088,419 | ||||||
Oakwood Mortgage Investors, Inc., | ||||||||
Series 1999-B, Class A3, 6.450%, 11/15/2017 | 76,747 | 81,486 | ||||||
OneMain Financial Issuance Trust, | ||||||||
Series 2014-2A, Class A, 2.470%, 09/18/2024 (Acquired 07/30/2015 through 07/31/2015, Cost $4,258,533) * | 4,250,000 | 4,241,627 | ||||||
RAAC Series Trust, | ||||||||
Series 2004-SP1, Class AI4, 5.285%, 08/25/2027 | 5,117 | 5,198 | ||||||
RAMP Series Trust: | ||||||||
Series 2005-RS1, Class AI6, 4.713%, 01/25/2035 | 58,912 | 59,552 | ||||||
Series 2006-NC1, Class A2, 0.612%, 01/25/2036 | 678,868 | 677,574 | ||||||
Saxon Asset Securities Trust, | ||||||||
Series 2005-4, Class A1B, 0.802%, 11/25/2037 | 4,205,803 | 4,085,804 | ||||||
Securitized Asset Backed Receivables LLC Trust, | ||||||||
Series 2005-OP2, Class A1, 0.747%, 10/25/2035 (Acquired 03/13/2014, Cost $5,396,515) * | 5,463,097 | 5,403,742 | ||||||
Soundview Home Loan Trust, | ||||||||
Series 2003-2, Class A2, 1.722%, 11/25/2033 | 3,062,490 | 3,025,907 | ||||||
Specialty Underwriting & Residential Finance Trust: | ||||||||
Series 2004-BC4, Class A1A, 1.092%, 10/25/2035 | 3,120,851 | 3,040,810 | ||||||
Series 2006-BC1, Class A2D, 0.722%, 12/25/2036 | 7,617,879 | 7,395,540 | ||||||
Springleaf Funding Trust, | ||||||||
Series 2014-AA, Class A, 2.410%, 12/15/2022 (Acquired 10/26/2015, Cost $10,646,307) * | 10,640,000 | 10,609,777 | ||||||
Structured Asset Investment Loan Trust, | ||||||||
Series 2004-9, Class A5, 1.422%, 10/25/2034 | 6,087,146 | 6,049,579 | ||||||
Synchrony Credit Card Master Note Trust: | ||||||||
Series 2014-1, Class A, 1.610%, 11/15/2020 | 5,325,000 | 5,307,986 | ||||||
Series 2012-2, Class A, 2.220%, 01/15/2022 | 8,250,000 | 8,272,105 | ||||||
TCF Auto Receivables Owner Trust, | ||||||||
Series 2014-1A, Class A4, 1.560%, 01/15/2020 (Acquired 05/29/2015 through 06/12/2015, Cost $15,609,612) * | 15,575,000 | 15,492,144 | ||||||
Wells Fargo Home Equity Asset-Backed Securities, | ||||||||
Series 2004-2, Class A33, 1.422%, 10/25/2034 | 3,473,159 | 3,370,297 | ||||||
175,519,484 | 9.3% | |||||||
Commercial Mortgage-Backed Securities | ||||||||
DBUBS Mortgage Trust, | ||||||||
Series 2011-LC3A, Class A2, 3.642%, 08/10/2044 | 7,206,397 | 7,233,986 | ||||||
FHLMC Multifamily Structured Pass Through Certificates: | ||||||||
Series K702, Class A2, 3.154%, 02/25/2018 | 302,012 | 311,204 | ||||||
Series K704, Class A2, 2.412%, 08/25/2018 | 300,000 | 305,151 | ||||||
Series K705, Class A2, 2.303%, 09/25/2018 | 3,000,000 | 3,043,400 | ||||||
Series K708, Class A2, 2.130%, 01/25/2019 | 8,300,000 | 8,369,946 | ||||||
Series K003, Class A4, 5.053%, 01/25/2019 | 9,000,000 | 9,796,344 | ||||||
Series K004, Class A2, 4.186%, 08/25/2019 | 5,875,000 | 6,305,216 | ||||||
Series K005, Class A2, 4.317%, 11/25/2019 | 4,975,000 | 5,389,104 | ||||||
Series K006, Class A2, 4.251%, 01/25/2020 | 2,643,000 | 2,846,308 | ||||||
Series KF02, Class A3, 1.052%, 07/25/2020 | 2,669,823 | 2,681,759 | ||||||
J.P. Morgan Chase Commercial Mortgage Securities Corp., | ||||||||
Series 2011-C5, Class A3, 4.171%, 08/15/2046 | 5,000,000 | 5,324,466 | ||||||
J.P. Morgan Chase Commercial Mortgage Securities Trust, | ||||||||
Series 2012-C8, Class ASB, 2.379%, 10/15/2045 | 8,004,000 | 7,923,070 | ||||||
NCUA Guaranteed Notes Trust, | ||||||||
Series 2010-C1, Class A2, 2.900%, 10/29/2020 | 1,211,727 | 1,208,770 | ||||||
Wells Fargo Commercial Mortgage Trust: | ||||||||
Series 2014-LC18, Class ASB, 3.244%, 12/15/2047 | 16,400,000 | 16,493,967 | ||||||
Series 2015-P2, Class ASB, 3.656%, 12/15/2048 | 10,400,000 | 10,671,350 | ||||||
WFRBS Commercial Mortgage Trust: | ||||||||
Series 2012-C6, Class A4, 3.440%, 04/15/2045 | 8,000,000 | 8,216,164 | ||||||
Series 2014-C21, Class A2, 2.917%, 08/15/2047 | 2,435,234 | 2,480,247 | ||||||
Series 2014-C24, Class ASB, 3.324%, 11/15/2047 | 8,275,000 | 8,376,581 | ||||||
106,977,033 | 5.7% | |||||||
Total Long-Term Investments (Cost $1,861,573,154) | 1,852,936,150 | 98.0% | ||||||
Shares | ||||||||
SHORT-TERM INVESTMENTS | ||||||||
Money Market Mutual Funds | ||||||||
Dreyfus Cash Advantage Fund, 0.26% « | 18,669,841 | 18,669,841 | ||||||
Short-Term Investments Trust - Liquid Assets Portfolio, 0.29% « | 37,000,000 | 37,000,000 | ||||||
Total Short-Term Investments (Cost $55,669,841) | 55,669,841 | 3.0% | ||||||
INVESTMENT PURCHASED WITH CASH PROCEEDS FROM | ||||||||
SECURITIES LENDING | ||||||||
Investment Company | ||||||||
Mount Vernon Securities Lending Trust Prime Portfolio, 0.49% « | 47,247,814 | 47,247,814 | ||||||
Total Investment Company (Cost $47,247,814) | 47,247,814 | 2.5% | ||||||
Total Investment Purchased With Cash Proceeds From | ||||||||
Securities Lending (Cost $47,247,814) | 47,247,814 | 2.5% | ||||||
Total Investments (Cost $1,964,490,809) | 1,955,853,805 | 103.5% | ||||||
Liabilities in Excess of Other Assets | (65,526,038) | (3.5)% | ||||||
TOTAL NET ASSETS | $ 1,890,327,767 | 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 December 31, 2015, the value of these securities total $379,992,050, which represents 20.10% of total net assets. | |
** | Illiquid Security | |
@ | This security or portion of this security is out on loan at December 31, 2015. | |
f | Foreign Security | |
§ | Security in Default | |
† | Priced at Fair Value by the Valuation Committee as delegated by the Baird Funds' Board of Directors. | |
« | 7-Day Yield |
Baird Aggregate Bond Fund | ||||||||
Schedule of Investments | ||||||||
December 31, 2015 | ||||||||
Principal | % of | |||||||
Amount | Value | Net Assets | ||||||
LONG-TERM INVESTMENTS | ||||||||
U.S. Treasury Securities | ||||||||
U.S. Treasury Bonds: | ||||||||
2.625%, 08/15/2020 | $ 317,175,000 | $ 329,477,901 | ||||||
1.750%, 03/31/2022 | 102,475,000 | 100,897,807 | ||||||
2.500%, 05/15/2024 | 186,475,000 | 190,546,868 | ||||||
5.250%, 11/15/2028 @ | 77,676,500 | 101,486,134 | ||||||
3.500%, 02/15/2039 @ | 484,080,900 | 535,438,979 | ||||||
2.500%, 02/15/2045 | 18,875,000 | 16,940,313 | ||||||
1,274,788,002 | 18.9% | |||||||
Corporate Bonds | ||||||||
Finance | ||||||||
ABN AMRO Bank NV: | ||||||||
2.500%, 10/30/2018 (Acquired 10/23/2013 through 01/13/2014, Cost $11,025,515) * f | 11,033,000 | 11,103,247 | ||||||
2.450%, 06/04/2020 (Acquired 05/28/2015, Cost $8,980,200) * f | 9,000,000 | 8,922,708 | ||||||
ACE INA Holdings, Inc., | ||||||||
2.875%, 11/03/2022 @ | 8,750,000 | 8,683,605 | ||||||
AIA Group Ltd., | ||||||||
3.200%, 03/11/2025 (Acquired 03/04/2015, Cost $5,992,380) * f | 6,000,000 | 5,791,332 | ||||||
Ally Financial, Inc., | ||||||||
8.000%, 12/31/2018 | 360,000 | 394,200 | ||||||
American International Group, Inc.: | ||||||||
6.400%, 12/15/2020 | 830,000 | 957,517 | ||||||
4.875%, 06/01/2022 | 4,903,000 | 5,294,946 | ||||||
4.125%, 02/15/2024 | 893,000 | 917,031 | ||||||
3.875%, 01/15/2035 | 4,875,000 | 4,299,906 | ||||||
8.175%, 05/15/2058 | 893,000 | 1,174,295 | ||||||
Ameriprise Financial, Inc., | ||||||||
7.300%, 06/28/2019 | 1,785,000 | 2,061,986 | ||||||
AmSouth Bancorporation, | ||||||||
6.750%, 11/01/2025 | 223,000 | 253,109 | ||||||
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 | 2,418,403 | ||||||
2.850%, 08/06/2020 (Acquired 07/30/2015, Cost $15,337,260) * @ f | 15,350,000 | 15,478,925 | ||||||
Aon PLC, | ||||||||
4.000%, 11/27/2023 f | 6,150,000 | 6,301,807 | ||||||
Australia & New Zealand Banking Group Ltd./New York NY, | ||||||||
0.762%, 11/16/2025 f | 6,500,000 | 6,668,032 | ||||||
Australia and New Zealand Banking Group Ltd., | ||||||||
4.500%, 03/19/2024 (Acquired 03/12/2014, Cost $5,991,840) * f | 6,000,000 | 6,021,312 | ||||||
BAC Capital Trust VI, | ||||||||
5.625%, 03/08/2035 ^ | 357,000 | 385,193 | ||||||
Bank of America Corp.: | ||||||||
6.400%, 08/28/2017 | 893,000 | 956,580 | ||||||
6.875%, 04/25/2018 | 3,162,000 | 3,488,498 | ||||||
2.625%, 10/19/2020 @ | 5,000,000 | 4,937,105 | ||||||
4.125%, 01/22/2024 | 15,000,000 | 15,492,750 | ||||||
7.750%, 05/14/2038 | 1,138,000 | 1,544,018 | ||||||
Bank of Montreal, | ||||||||
1.800%, 07/31/2018 @ f | 3,600,000 | 3,592,044 | ||||||
BanPonce Trust I, | ||||||||
Series A, 8.327%, 02/01/2027 | 1,941,000 | 1,835,575 | ||||||
Barclays Bank PLC: | ||||||||
6.050%, 12/04/2017 (Acquired 05/27/2015, Cost $10,725,956) * f | 10,000,000 | 10,666,660 | ||||||
2.500%, 02/20/2019 f | 2,000,000 | 2,004,528 | ||||||
6.750%, 05/22/2019 f | 3,570,000 | 4,058,636 | ||||||
3.750%, 05/15/2024 f | 1,450,000 | 1,477,946 | ||||||
Barclays PLC, | ||||||||
3.650%, 03/16/2025 f | 8,100,000 | 7,784,303 | ||||||
BB&T Corp., | ||||||||
2.625%, 06/29/2020 | 5,000,000 | 5,029,070 | ||||||
BNP Paribas SA: | ||||||||
2.375%, 05/21/2020 f | 10,000,000 | 9,898,860 | ||||||
3.250%, 03/03/2023 f | 3,570,000 | 3,565,398 | ||||||
BNZ International Funding Ltd., | ||||||||
2.350%, 03/04/2019 (Acquired 09/03/2014 through 04/17/2015, Cost $7,341,342) * f | 7,300,000 | 7,257,156 | ||||||
BPCE: | ||||||||
1.191%, 02/10/2017 f | 2,544,000 | 2,548,549 | ||||||
2.500%, 07/15/2019 @ f | 7,925,000 | 7,951,572 | ||||||
5.700%, 10/22/2023 (Acquired 10/15/2013 through 09/30/2014, Cost $8,213,568) * f | 8,055,000 | 8,457,307 | ||||||
4.000%, 04/15/2024 @ f | 2,500,000 | 2,568,507 | ||||||
4.625%, 07/11/2024 (Acquired 04/24/2015, Cost $5,747,905) * f | 5,625,000 | 5,472,439 | ||||||
Caisse Centrale Desjardins: | ||||||||
1.550%, 09/12/2017 (Acquired 07/07/2015, Cost $4,005,656) * f | 4,000,000 | 3,973,904 | ||||||
0.989%, 01/29/2018 (Acquired 01/26/2015, Cost $19,000,000) * f | 19,000,000 | 18,962,855 | ||||||
Capital One Bank (USA) National Association, | ||||||||
3.375%, 02/15/2023 | 8,150,000 | 7,975,403 | ||||||
Capital One NA: | ||||||||
1.014%, 02/05/2018 | 3,625,000 | 3,601,731 | ||||||
2.400%, 09/05/2019 @ | 12,000,000 | 11,872,680 | ||||||
Citigroup, Inc.: | ||||||||
1.850%, 11/24/2017 | 6,100,000 | 6,090,996 | ||||||
1.700%, 04/27/2018 | 13,000,000 | 12,871,131 | ||||||
2.050%, 12/07/2018 | 11,000,000 | 10,941,887 | ||||||
3.750%, 06/16/2024 | 1,000,000 | 1,017,954 | ||||||
Citizens Bank, National Association: | ||||||||
2.300%, 12/03/2018 | 4,000,000 | 3,995,276 | ||||||
2.450%, 12/04/2019 | 19,300,000 | 18,986,587 | ||||||
CNA Financial Corp.: | ||||||||
6.500%, 08/15/2016 | 11,069,000 | 11,397,295 | ||||||
5.750%, 08/15/2021 | 7,199,000 | 8,057,402 | ||||||
7.250%, 11/15/2023 | 4,000,000 | 4,727,704 | ||||||
Comerica Bank, | ||||||||
2.500%, 06/02/2020 @ | 29,000,000 | 28,845,053 | ||||||
Compass Bank: | ||||||||
2.750%, 09/29/2019 | 16,216,000 | 16,053,775 | ||||||
3.875%, 04/10/2025 | 13,000,000 | 11,915,410 | ||||||
Countrywide Financial Corp., | ||||||||
6.250%, 05/15/2016 @ | 4,757,000 | 4,837,184 | ||||||
Credit Agricole SA: | ||||||||
1.462%, 10/03/2016 (Acquired 09/26/2013, Cost $1,500,000) * f | 1,500,000 | 1,504,538 | ||||||
6.637%, 05/31/2017 (Acquired 05/23/2007, Cost $893,000) * f | 893,000 | 904,755 | ||||||
Credit Suisse: | ||||||||
1.700%, 04/27/2018 f | 6,000,000 | 5,956,920 | ||||||
5.300%, 08/13/2019 f | 1,406,000 | 1,552,617 | ||||||
5.400%, 01/14/2020 f | 5,000,000 | 5,474,565 | ||||||
3.000%, 10/29/2021 @ f | 7,000,000 | 6,972,147 | ||||||
3.625%, 09/09/2024 f | 4,325,000 | 4,359,012 | ||||||
Credit Suisse Group Funding Guernsey Ltd.: | ||||||||
2.750%, 03/26/2020 (Acquired 03/23/2015, Cost $4,547,679) * f | 4,550,000 | 4,506,871 | ||||||
3.800%, 09/15/2022 (Acquired 09/10/2015, Cost $2,994,870) * f | 3,000,000 | 2,997,633 | ||||||
Deutsche Bank AG: | ||||||||
0.969%, 02/13/2017 f | 9,000,000 | 8,943,507 | ||||||
2.950%, 08/20/2020 @ f | 4,500,000 | 4,506,651 | ||||||
Deutsche Bank Aktiengesellschaft, | ||||||||
3.700%, 05/30/2024 @ f | 10,000,000 | 9,959,800 | ||||||
Discover Bank of Greenwood DE, | ||||||||
2.600%, 11/13/2018 | 4,875,000 | 4,871,105 | ||||||
Discover Financial Services, | ||||||||
3.950%, 11/06/2024 | 5,000,000 | 4,928,790 | ||||||
Fifth Third Bancorp, | ||||||||
2.875%, 07/27/2020 | 6,000,000 | 5,993,340 | ||||||
First Horizon National Corp., | ||||||||
3.500%, 12/15/2020 | 16,949,000 | 16,801,815 | ||||||
First Tennessee Bank National Association: | ||||||||
5.650%, 04/01/2016 | 2,763,000 | 2,783,833 | ||||||
2.950%, 12/01/2019 | 5,612,000 | 5,569,310 | ||||||
FMR LLC, | ||||||||
4.950%, 02/01/2033 (Acquired 01/29/2013, Cost $1,747,795) * | 1,750,000 | 1,826,780 | ||||||
GE Capital International Funding Co., | ||||||||
2.342%, 11/15/2020 (Acquired 01/04/2012 through 01/06/2015, Cost $11,771,716) * f | 12,638,000 | 12,532,599 | ||||||
Genworth Holdings, Inc., | ||||||||
4.900%, 08/15/2023 | 1,339,000 | 890,435 | ||||||
Goldman Sachs Capital I, | ||||||||
6.345%, 02/15/2034 | 1,053,000 | 1,231,890 | ||||||
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 | 2,523,990 | ||||||
Highmark, Inc., | ||||||||
4.750%, 05/15/2021 (Acquired 05/03/2011 through 07/30/2014, Cost $4,378,060) * | 4,378,000 | 4,446,529 | ||||||
HSBC Bank PLC, | ||||||||
1.002%, 05/15/2018 (Acquired 12/17/2014, Cost $4,966,642) * f | 4,950,000 | 4,930,972 | ||||||
HSBC Finance Corp.: | ||||||||
0.844%, 06/01/2016 | 5,000,000 | 4,991,060 | ||||||
6.676%, 01/15/2021 | 8,925,000 | 10,243,008 | ||||||
HSBC Holdings PLC, | ||||||||
6.500%, 09/15/2037 f | 1,874,000 | 2,248,270 | ||||||
HSBC USA, Inc.: | ||||||||
2.350%, 03/05/2020 | 3,000,000 | 2,965,125 | ||||||
5.000%, 09/27/2020 | 3,716,000 | 4,052,317 | ||||||
9.125%, 05/15/2021 | 625,000 | 789,100 | ||||||
Humana, Inc., | ||||||||
7.200%, 06/15/2018 | 1,870,000 | 2,092,377 | ||||||
ING Bank NV: | ||||||||
3.750%, 03/07/2017 (Acquired 03/28/2012, Cost $1,903,782) * f | 1,919,000 | 1,966,004 | ||||||
2.050%, 08/17/2018 (Acquired 08/10/2015, Cost $7,270,562) * f | 7,275,000 | 7,268,212 | ||||||
2.000%, 11/26/2018 (Acquired 11/17/2015, Cost $5,984,160) * f | 6,000,000 | 5,975,334 | ||||||
2.500%, 10/01/2019 (Acquired 09/23/2014, Cost $3,481,100) * f | 3,500,000 | 3,506,888 | ||||||
2.450%, 03/16/2020 (Acquired 03/10/2015 through 04/29/2015, Cost $9,210,523) * f | 9,225,000 | 9,196,384 | ||||||
5.800%, 09/25/2023 (Acquired 01/14/2014 through 04/07/2014, Cost $2,573,136) * f | 2,450,000 | 2,661,852 | ||||||
Invesco Finance PLC: | ||||||||
3.125%, 11/30/2022 f | 5,902,000 | 5,818,445 | ||||||
3.750%, 01/15/2026 @ f | 4,900,000 | 4,934,761 | ||||||
J.P. Morgan Chase & Co.: | ||||||||
2.200%, 10/22/2019 | 3,675,000 | 3,645,236 | ||||||
4.250%, 10/15/2020 | 886,000 | 939,908 | ||||||
3.125%, 01/23/2025 | 14,000,000 | 13,619,214 | ||||||
5.600%, 07/15/2041 | 4,106,000 | 4,739,437 | ||||||
J.P. Morgan Chase Bank, National Association, | ||||||||
6.000%, 10/01/2017 | 500,000 | 534,580 | ||||||
Jefferies Group LLC: | ||||||||
6.875%, 04/15/2021 | 3,570,000 | 3,993,688 | ||||||
6.250%, 01/15/2036 | 1,390,000 | 1,284,030 | ||||||
John Hancock Life Insurance Co., | ||||||||
7.375%, 02/15/2024 (Acquired 08/26/2010, Cost $6,640,057) * | 6,069,000 | 7,204,546 | ||||||
Keybank National Association, | ||||||||
0.934%, 06/01/2018 | 10,600,000 | 10,574,581 | ||||||
KeyBank National Association, | ||||||||
2.250%, 03/16/2020 @ | 5,000,000 | 4,944,065 | ||||||
Kookmin Bank, | ||||||||
1.625%, 07/14/2017 (Acquired 07/07/2014, Cost $3,988,720) * f | 4,000,000 | 3,980,028 | ||||||
LeasePlan Corp. NV: | ||||||||
3.000%, 10/23/2017 (Acquired 12/03/2013 through 04/29/2015, Cost $962,657) * f | 950,000 | 952,873 | ||||||
2.500%, 05/16/2018 (Acquired 08/02/2013 through 04/27/2015, Cost $18,626,235) * f | 18,658,000 | 18,375,760 | ||||||
2.875%, 01/22/2019 (Acquired 10/14/2015, Cost $10,993,180) * f | 11,000,000 | 10,858,375 | ||||||
Liberty Mutual Group, Inc.: | ||||||||
4.250%, 06/15/2023 (Acquired 06/13/2013, Cost $2,660,995) * | 2,678,000 | 2,721,030 | ||||||
10.750%, 06/15/2058 (Acquired 05/21/2008, Cost $2,182,029) * | 2,231,000 | 3,324,190 | ||||||
Liberty Mutual Insurance Co., | ||||||||
7.697%, 10/15/2097 (Acquired 03/26/2003, Cost $297,702) * | 465,000 | 573,952 | ||||||
Lincoln National Corp.: | ||||||||
8.750%, 07/01/2019 | 5,218,000 | 6,266,896 | ||||||
6.050%, 04/20/2067 | 1,004,000 | 783,120 | ||||||
Lloyds Bank PLC: | ||||||||
1.750%, 05/14/2018 f | 7,775,000 | 7,758,214 | ||||||
5.800%, 01/13/2020 (Acquired 02/10/2010, Cost $1,407,610) * f | 1,428,000 | 1,601,163 | ||||||
2.400%, 03/17/2020 f | 20,000,000 | 19,867,080 | ||||||
Macquarie Bank Ltd.: | ||||||||
1.600%, 10/27/2017 (Acquired 10/22/2014, Cost $4,996,950) * f | 5,000,000 | 4,963,530 | ||||||
2.400%, 01/21/2020 (Acquired 01/14/2015, Cost $4,989,000) * @ f | 5,000,000 | 4,953,270 | ||||||
Macquarie Group Ltd.: | ||||||||
3.000%, 12/03/2018 (Acquired 11/25/2013, Cost $8,490,900) * f | 8,525,000 | 8,603,634 | ||||||
7.625%, 08/13/2019 (Acquired 02/12/2014 through 05/18/2015, Cost $4,572,275) * f | 3,944,000 | 4,516,606 | ||||||
Manufacturers & Traders Trust Co., | ||||||||
2.100%, 02/06/2020 | 10,850,000 | 10,656,013 | ||||||
Marsh & McLennan Cos., Inc., | ||||||||
2.300%, 04/01/2017 | 2,231,000 | 2,248,609 | ||||||
Massachusetts Mutual Life Insurance Co.: | ||||||||
8.875%, 06/01/2039 (Acquired 05/27/2009 through 07/24/2015, Cost $24,807,058) * | 16,675,000 | 24,213,768 | ||||||
4.500%, 04/15/2065 (Acquired 04/08/2015, Cost $2,945,520) * | 3,000,000 | 2,683,074 | ||||||
MBIA Insurance Corp., | ||||||||
11.581%, 01/15/2033 (Acquired 01/11/2008, Cost $714,000) * § | 714,000 | 133,875 | ||||||
MetLife, Inc.: | ||||||||
7.717%, 02/15/2019 | 982,000 | 1,140,898 | ||||||
6.500%, 12/15/2032 | 466,000 | 572,203 | ||||||
4.050%, 03/01/2045 | 10,000,000 | 9,279,910 | ||||||
4.600%, 05/13/2046 | 5,750,000 | 5,788,031 | ||||||
Metropolitan Life Global Funding I, | ||||||||
3.000%, 01/10/2023 (Acquired 04/27/2015, Cost $2,043,517) * | 2,004,000 | 1,993,888 | ||||||
Mizuho Bank Ltd.: | ||||||||
1.850%, 03/21/2018 (Acquired 03/14/2013 through 04/29/2015, Cost $3,345,389) * f | 3,349,000 | 3,330,986 | ||||||
2.450%, 04/16/2019 (Acquired 04/09/2014, Cost $2,096,262) * f | 2,100,000 | 2,100,934 | ||||||
Morgan Stanley: | ||||||||
7.300%, 05/13/2019 | 15,110,000 | 17,356,993 | ||||||
2.375%, 07/23/2019 | 1,000,000 | 996,649 | ||||||
5.625%, 09/23/2019 | 1,941,000 | 2,142,086 | ||||||
2.650%, 01/27/2020 | 4,200,000 | 4,188,580 | ||||||
2.800%, 06/16/2020 | 5,000,000 | 5,015,900 | ||||||
Series F, 3.875%, 04/29/2024 | 1,650,000 | 1,681,975 | ||||||
3.700%, 10/23/2024 | 4,000,000 | 4,019,236 | ||||||
MUFG Americas Holdings Corp., | ||||||||
2.250%, 02/10/2020 | 5,000,000 | 4,916,330 | ||||||
National City Bank, | ||||||||
5.800%, 06/07/2017 | 1,750,000 | 1,844,987 | ||||||
Nationwide Financial Services, Inc., | ||||||||
5.375%, 03/25/2021 (Acquired 02/05/2015 through 05/08/2015, Cost $18,872,588) * | 16,905,000 | 18,506,783 | ||||||
Navient LLC, | ||||||||
5.625%, 08/01/2033 | 446,000 | 298,820 | ||||||
Nomura Holdings, Inc.: | ||||||||
2.000%, 09/13/2016 f | 6,248,000 | 6,273,117 | ||||||
2.750%, 03/19/2019 f | 1,625,000 | 1,633,767 | ||||||
6.700%, 03/04/2020 f | 1,667,000 | 1,922,311 | ||||||
Peachtree Corners Funding Trust, | ||||||||
3.976%, 02/15/2025 (Acquired 03/10/2015 through 04/24/2015, Cost $8,124,332) * @ | 8,000,000 | 7,942,232 | ||||||
PNC Bank, National Association, | ||||||||
4.200%, 11/01/2025 | 2,678,000 | 2,839,765 | ||||||
Pricoa Global Funding I, | ||||||||
2.550%, 11/24/2020 (Acquired 11/17/2015, Cost $14,000,000) * | 14,000,000 | 13,933,416 | ||||||
Principal Financial Group, Inc.: | ||||||||
8.875%, 05/15/2019 | 2,215,000 | 2,650,338 | ||||||
3.400%, 05/15/2025 | 16,000,000 | 15,684,576 | ||||||
Principal Life Global Funding II, | ||||||||
2.200%, 04/08/2020 (Acquired 03/31/2015, Cost $3,994,720) * | 4,000,000 | 3,964,796 | ||||||
Protective Life Corp.: | ||||||||
7.375%, 10/15/2019 | 7,096,000 | 8,208,603 | ||||||
2.700%, 11/25/2020 (Acquired 11/19/2015, Cost $7,992,960) * | 8,000,000 | 7,995,448 | ||||||
8.450%, 10/15/2039 | 1,400,000 | 1,846,546 | ||||||
Raymond James Financial, Inc., | ||||||||
8.600%, 08/15/2019 | 5,000,000 | 5,962,110 | ||||||
Regions Bank, | ||||||||
7.500%, 05/15/2018 | 7,718,000 | 8,575,779 | ||||||
Reliance Standard Life Global Funding II: | ||||||||
2.500%, 01/15/2020 (Acquired 04/14/2015, Cost $7,013,018) * | 6,940,000 | 6,874,528 | ||||||
2.375%, 05/04/2020 (Acquired 04/27/2015, Cost $20,936,160) * | 21,000,000 | 20,544,972 | ||||||
Santander Bank NA, | ||||||||
8.750%, 05/30/2018 | 8,802,000 | 9,934,333 | ||||||
Santander Issuances SAU, | ||||||||
5.179%, 11/19/2025 f | 4,000,000 | 3,939,392 | ||||||
Santander UK PLC: | ||||||||
2.650%, 04/17/2020 | 7,000,000 | 6,867,476 | ||||||
5.000%, 11/07/2023 (Acquired 10/31/2013 through 12/02/2014, Cost $10,276,323) * f | 9,880,000 | 10,284,596 | ||||||
Skandinaviska Enskilda Banken AB: | ||||||||
2.375%, 11/20/2018 (Acquired 11/13/2013 through 05/07/2015, Cost $6,854,800) * f | 6,835,000 | 6,874,042 | ||||||
2.375%, 03/25/2019 (Acquired 03/18/2014 through 04/29/2015, Cost $1,727,306) * f | 1,725,000 | 1,732,935 | ||||||
2.450%, 05/27/2020 (Acquired 05/19/2015, Cost $14,976,900) * @ f | 15,000,000 | 14,900,085 | ||||||
Societe Generale: | ||||||||
1.692%, 10/01/2018 f | 6,000,000 | 6,048,240 | ||||||
4.250%, 04/14/2025 (Acquired 04/08/2015, Cost $7,875,120) * @ f | 8,000,000 | 7,549,704 | ||||||
Societe Generale SA, | ||||||||
4.750%, 11/24/2025 (Acquired 11/17/2015, Cost $11,954,640) * @ f | 12,000,000 | 11,611,632 | ||||||
SpareBank 1 Boligkreditt AS, | ||||||||
1.750%, 11/15/2019 (Acquired 11/07/2012, Cost $4,428,322) * f | 4,463,000 | 4,369,710 | ||||||
Springleaf Finance Corp., | ||||||||
6.900%, 12/15/2017 | 400,000 | 414,000 | ||||||
Standard Chartered PLC: | ||||||||
0.955%, 04/17/2018 (Acquired 04/13/2015, Cost $3,000,000) * f | 3,000,000 | 2,982,243 | ||||||
1.700%, 04/17/2018 (Acquired 04/13/2015 through 04/24/2015, Cost $11,588,924) * f | 11,600,000 | 11,482,608 | ||||||
5.700%, 03/26/2044 (Acquired 03/21/2014, Cost $5,988,000) * @ f | 6,000,000 | 6,004,842 | ||||||
Sumitomo Mitsui Banking Corp.: | ||||||||
2.450%, 01/16/2020 f | 20,500,000 | 20,383,601 | ||||||
3.950%, 07/19/2023 f | 1,850,000 | 1,927,108 | ||||||
SunTrust Bank, | ||||||||
7.250%, 03/15/2018 | 1,874,000 | 2,071,924 | ||||||
SUSA Partnership LP, | ||||||||
8.200%, 06/01/2017 | 921,000 | 996,418 | ||||||
Svenska Handelsbanken AB, | ||||||||
2.400%, 10/01/2020 f | 5,200,000 | 5,161,374 | ||||||
Swedbank AB: | ||||||||
2.125%, 09/29/2017 (Acquired 09/24/2012, Cost $1,782,304) * f | 1,785,000 | 1,793,304 | ||||||
2.375%, 02/27/2019 (Acquired 02/20/2014, Cost $7,287,663) * f | 7,300,000 | 7,309,373 | ||||||
2.200%, 03/04/2020 (Acquired 02/25/2015 through 04/29/2015, Cost $9,569,562) * f | 9,575,000 | 9,460,837 | ||||||
Symetra Financial Corp., | ||||||||
6.125%, 04/01/2016 (Acquired 03/23/2006, Cost $889,044) * | 893,000 | 902,203 | ||||||
Synchrony Financial: | ||||||||
3.000%, 08/15/2019 | 2,000,000 | 1,997,224 | ||||||
3.750%, 08/15/2021 | 10,225,000 | 10,213,814 | ||||||
4.250%, 08/15/2024 | 14,464,000 | 14,268,186 | ||||||
TD Ameritrade Holding Corp.: | ||||||||
5.600%, 12/01/2019 | 2,945,000 | 3,281,484 | ||||||
2.950%, 04/01/2022 | 4,625,000 | 4,581,252 | ||||||
3.625%, 04/01/2025 | 7,000,000 | 7,083,762 | ||||||
The Bank of Nova Scotia, | ||||||||
1.700%, 06/11/2018 @ f | 15,000,000 | 14,943,105 | ||||||
The Bank of Tokyo-Mitsubishi UFJ Ltd.: | ||||||||
0.701%, 07/15/2016 f | 4,600,000 | 4,602,783 | ||||||
4.100%, 09/09/2023 (Acquired 09/03/2013 through 03/26/2014, Cost $2,936,646) * f | 2,911,000 | 3,061,007 | ||||||
3.750%, 03/10/2024 (Acquired 03/04/2014 through 04/29/2015, Cost $2,804,499) * f | 2,800,000 | 2,868,493 | ||||||
The Bear Stearns Companies LLC, | ||||||||
7.250%, 02/01/2018 | 5,547,000 | 6,118,829 | ||||||
The Goldman Sachs Group, Inc.: | ||||||||
6.250%, 09/01/2017 @ | 893,000 | 956,348 | ||||||
6.150%, 04/01/2018 | 5,634,000 | 6,118,051 | ||||||
7.500%, 02/15/2019 | 1,964,000 | 2,247,329 | ||||||
2.550%, 10/23/2019 | 2,700,000 | 2,698,944 | ||||||
2.012%, 11/29/2023 | 5,000,000 | 5,044,375 | ||||||
3.850%, 07/08/2024 | 3,000,000 | 3,061,380 | ||||||
3.500%, 01/23/2025 | 3,000,000 | 2,948,439 | ||||||
3.750%, 05/22/2025 | 5,000,000 | 5,033,340 | ||||||
The Guardian Life Insurance Co. of America, | ||||||||
4.875%, 06/19/2064 (Acquired 06/16/2014, Cost $1,993,300) * | 2,000,000 | 1,898,730 | ||||||
The Hartford Financial Services Group, Inc.: | ||||||||
5.125%, 04/15/2022 | 1,538,000 | 1,689,053 | ||||||
8.125%, 06/15/2038 | 1,964,000 | 2,148,125 | ||||||
The Huntington National Bank: | ||||||||
2.000%, 06/30/2018 | 9,000,000 | 8,943,318 | ||||||
2.200%, 11/06/2018 | 4,825,000 | 4,811,664 | ||||||
Torchmark Corp., | ||||||||
3.800%, 09/15/2022 | 12,475,000 | 12,326,098 | ||||||
UBS AG: | ||||||||
1.375%, 08/14/2017 f | 7,000,000 | 6,956,810 | ||||||
1.303%, 03/26/2018 f | 8,250,000 | 8,234,729 | ||||||
5.750%, 04/25/2018 f | 2,678,000 | 2,902,406 | ||||||
1.264%, 06/01/2020 f | 11,000,000 | 10,957,771 | ||||||
Voya Financial, Inc., | ||||||||
5.500%, 07/15/2022 | 18,350,000 | 20,533,393 | ||||||
WEA Finance LLC / Westfield UK & Europe Finance PLC, | ||||||||
3.250%, 10/05/2020 (Acquired 09/28/2015, Cost $7,972,560) * | 8,000,000 | 8,030,616 | ||||||
WellPoint, Inc., | ||||||||
5.100%, 01/15/2044 | 1,584,000 | 1,590,241 | ||||||
Wells Fargo & Co.: | ||||||||
Series N, 2.150%, 01/30/2020 | 2,750,000 | 2,725,907 | ||||||
3.000%, 02/19/2025 @ | 5,000,000 | 4,863,295 | ||||||
3.900%, 05/01/2045 | 15,000,000 | 13,831,545 | ||||||
Wells Fargo Bank, National Association, | ||||||||
6.000%, 11/15/2017 | 3,789,000 | 4,086,535 | ||||||
Westpac Banking Corp., | ||||||||
1.600%, 01/12/2018 f | 7,229,000 | 7,214,961 | ||||||
Willis Group Holdings PLC, | ||||||||
5.750%, 03/15/2021 f | 8,511,000 | 9,405,634 | ||||||
Willis North America, Inc., | ||||||||
7.000%, 09/29/2019 | 4,463,000 | 5,001,845 | ||||||
1,367,343,462 | 20.3% |
Utility | ||||||||
Ameren Corp., | ||||||||
2.700%, 11/15/2020 | 10,000,000 | 9,961,920 | ||||||
Arizona Public Service Co., | ||||||||
8.750%, 03/01/2019 | 759,000 | 901,319 | ||||||
Beaver Valley II Funding Corp., | ||||||||
9.000%, 06/01/2017 | 124,000 | 131,440 | ||||||
Berkshire Hathaway Energy Co., | ||||||||
2.400%, 02/01/2020 | 5,000,000 | 4,953,360 | ||||||
ENEL Finance International NV: | ||||||||
5.125%, 10/07/2019 (Acquired 09/30/2009, Cost $2,199,280) * f | 2,209,000 | 2,386,721 | ||||||
6.800%, 09/15/2037 (Acquired 09/13/2007, Cost $1,691,506) * f | 1,696,000 | 2,070,792 | ||||||
Exelon Corp., | ||||||||
4.950%, 06/15/2035 (Acquired 06/08/2015, Cost $3,490,270) * | 3,500,000 | 3,528,504 | ||||||
Exelon Generation Co. LLC, | ||||||||
6.200%, 10/01/2017 | 1,964,000 | 2,095,433 | ||||||
Mega Advance Investments Ltd., | ||||||||
5.000%, 05/12/2021 (Acquired 05/09/2011, Cost $4,858,830) * f | 4,909,000 | 5,203,299 | ||||||
National Rural Utilities Cooperative Finance Corp.: | ||||||||
10.375%, 11/01/2018 | 547,000 | 667,336 | ||||||
2.000%, 01/27/2020 | 2,000,000 | 1,965,982 | ||||||
8.000%, 03/01/2032 | 2,834,000 | 3,902,599 | ||||||
NextEra Energy Capital Holdings, Inc.: | ||||||||
1.586%, 06/01/2017 | 5,375,000 | 5,355,758 | ||||||
Series D, 7.300%, 09/01/2067 | 2,455,000 | 2,346,243 | ||||||
PSEG Power LLC: | ||||||||
5.320%, 09/15/2016 | 2,877,000 | 2,955,976 | ||||||
5.125%, 04/15/2020 | 3,575,000 | 3,840,219 | ||||||
RGS I&M Funding Corp., | ||||||||
Series F*, 9.820%, 06/07/2022 | 734,477 | 749,115 | ||||||
Talent Yield Investments Ltd., | ||||||||
4.500%, 04/25/2022 (Acquired 04/18/2012, Cost $1,772,791) * f | 1,785,000 | 1,848,769 | ||||||
54,864,785 | 0.8% | |||||||
Industrials | ||||||||
21st Century Fox America, Inc., | ||||||||
6.150%, 03/01/2037 | 2,570,000 | 2,865,008 | ||||||
AbbVie, Inc., | ||||||||
2.500%, 05/14/2020 | 9,500,000 | 9,404,487 | ||||||
Actavis Funding SCS, | ||||||||
3.850%, 06/15/2024 f | 3,000,000 | 3,005,343 | ||||||
Acuity Brands Lighting, Inc., | ||||||||
6.000%, 12/15/2019 | 3,749,000 | 4,063,020 | ||||||
Agrium, Inc., | ||||||||
3.375%, 03/15/2025 @ f | 2,625,000 | 2,394,937 | ||||||
Altera Corp., | ||||||||
4.100%, 11/15/2023 @ | 2,000,000 | 2,082,650 | ||||||
Ameritech Capital Funding Corp.: | ||||||||
9.100%, 06/01/2016 | 525,624 | 539,252 | ||||||
6.450%, 01/15/2018 | 2,668,000 | 2,872,372 | ||||||
Amgen, Inc., | ||||||||
4.400%, 05/01/2045 @ | 5,300,000 | 4,910,567 | ||||||
Anadarko Finance Co., | ||||||||
Class B, 7.500%, 05/01/2031 f | 7,170,000 | 7,619,129 | ||||||
Anadarko Petroleum Corp.: | ||||||||
6.375%, 09/15/2017 | 5,355,000 | 5,615,371 | ||||||
8.700%, 03/15/2019 | 2,432,000 | 2,763,121 | ||||||
Anglo American Capital PLC, | ||||||||
9.375%, 04/08/2019 (Acquired 04/02/2009, Cost $1,785,000) * f | 1,785,000 | 1,606,500 | ||||||
Apple, Inc., | ||||||||
2.400%, 05/03/2023 @ | 2,678,000 | 2,609,355 | ||||||
AT&T, Inc.: | ||||||||
3.400%, 05/15/2025 | 28,200,000 | 27,102,738 | ||||||
4.750%, 05/15/2046 @ | 5,000,000 | 4,577,980 | ||||||
Baxalta, Inc., | ||||||||
2.875%, 06/23/2020 (Acquired 06/18/2015, Cost $4,998,400) * | 5,000,000 | 4,937,950 | ||||||
Bayer US Finance LLC, | ||||||||
2.375%, 10/08/2019 (Acquired 10/01/2014, Cost $9,954,200) * | 10,000,000 | 10,006,280 | ||||||
Beam Suntory, Inc., | ||||||||
1.875%, 05/15/2017 | 2,000,000 | 2,002,170 | ||||||
Becton Dickinson and Co.: | ||||||||
2.675%, 12/15/2019 | 4,600,000 | 4,625,042 | ||||||
3.250%, 11/12/2020 | 7,000,000 | 7,097,195 | ||||||
Boston Scientific Corp.: | ||||||||
2.650%, 10/01/2018 | 10,000,000 | 10,052,560 | ||||||
2.850%, 05/15/2020 | 7,000,000 | 6,963,537 | ||||||
Bunge Limited Finance Corp.: | ||||||||
8.500%, 06/15/2019 | 6,933,000 | 8,024,115 | ||||||
3.500%, 11/24/2020 @ | 10,000,000 | 9,944,330 | ||||||
Bunge NA Finance LP, | ||||||||
5.900%, 04/01/2017 | 3,392,000 | 3,536,391 | ||||||
Burlington Northern Santa Fe LLC, | ||||||||
4.150%, 04/01/2045 @ | 3,000,000 | 2,718,981 | ||||||
Canadian Natural Resources Ltd.: | ||||||||
5.700%, 05/15/2017 f | 2,550,000 | 2,604,465 | ||||||
6.500%, 02/15/2037 f | 982,000 | 914,841 | ||||||
Celgene Corp.: | ||||||||
3.550%, 08/15/2022 | 6,450,000 | 6,512,701 | ||||||
4.000%, 08/15/2023 @ | 2,477,000 | 2,541,523 | ||||||
CenturyLink, Inc., | ||||||||
Series R, 5.150%, 06/15/2017 | 2,678,000 | 2,751,645 | ||||||
CF Industries, Inc.: | ||||||||
3.450%, 06/01/2023 | 16,000,000 | 14,892,384 | ||||||
5.150%, 03/15/2034 | 3,000,000 | 2,639,142 | ||||||
Charter Communications, Inc., | ||||||||
6.384%, 10/23/2035 (Acquired 07/09/2015, Cost $5,800,000) * | 5,800,000 | 5,859,920 | ||||||
Chevron Phillips Chemical Co. LLC, | ||||||||
1.079%, 05/01/2020 (Acquired 05/07/2015, Cost $25,000,000) * | 25,000,000 | 25,138,500 | ||||||
Columbia Pipeline Group, Inc., | ||||||||
3.300%, 06/01/2020 (Acquired 05/19/2015 through 06/11/2015, Cost $14,555,719) * | 14,575,000 | 14,191,779 | ||||||
Comcast Corp.: | ||||||||
4.250%, 01/15/2033 | 5,712,000 | 5,612,754 | ||||||
6.950%, 08/15/2037 | 893,000 | 1,165,260 | ||||||
ConAgra Foods, Inc.: | ||||||||
0.687%, 07/21/2016 | 4,000,000 | 3,992,552 | ||||||
5.819%, 06/15/2017 | 1,506,000 | 1,588,715 | ||||||
1.900%, 01/25/2018 | 11,635,000 | 11,570,461 | ||||||
7.000%, 04/15/2019 | 4,127,000 | 4,639,350 | ||||||
4.950%, 08/15/2020 | 1,785,000 | 1,908,588 | ||||||
9.750%, 03/01/2021 | 4,548,000 | 5,689,189 | ||||||
ConocoPhillips Co., | ||||||||
1.262%, 05/15/2022 | 8,425,000 | 8,300,226 | ||||||
Continental Airlines Pass Through Trust, | ||||||||
Series 974A, 6.900%, 01/02/2018 | 117,485 | 119,835 | ||||||
Cox Communications, Inc.: | ||||||||
3.850%, 02/01/2025 (Acquired 12/01/2014, Cost $4,991,350) * | 5,000,000 | 4,580,805 | ||||||
4.800%, 02/01/2035 (Acquired 12/01/2014, Cost $8,996,760) * | 9,000,000 | 7,445,340 | ||||||
8.375%, 03/01/2039 (Acquired 10/08/2014, Cost $2,863,234) * | 2,000,000 | 2,203,914 | ||||||
Crane Co., | ||||||||
2.750%, 12/15/2018 | 10,000,000 | 9,968,930 | ||||||
CVS Health Corp., | ||||||||
3.500%, 07/20/2022 | 7,000,000 | 7,122,892 | ||||||
D.R. Horton, Inc., | ||||||||
6.500%, 04/15/2016 | 893,000 | 901,930 | ||||||
DCP Midstream LLC, | ||||||||
9.750%, 03/15/2019 (Acquired 02/29/2012 through 10/15/2012, Cost $5,877,199) * | 5,065,000 | 5,157,431 | ||||||
Deutsche Telekom International Finance BV, | ||||||||
8.750%, 06/15/2030 f | 511,000 | 708,471 | ||||||
Dominion Gas Holdings LLC, | ||||||||
2.800%, 11/15/2020 | 7,275,000 | 7,298,796 | ||||||
El Paso Pipeline Partners Operating Co. LLC, | ||||||||
7.500%, 11/15/2040 | 4,017,000 | 3,664,275 | ||||||
Enable Midstream Partners LP, | ||||||||
3.900%, 05/15/2024 | 5,000,000 | 3,822,190 | ||||||
Energy Transfer Partners LP: | ||||||||
9.700%, 03/15/2019 | 893,000 | 983,486 | ||||||
4.050%, 03/15/2025 | 16,585,000 | 13,620,597 | ||||||
Ensco PLC, | ||||||||
5.200%, 03/15/2025 @ f | 4,000,000 | 2,846,684 | ||||||
Enterprise Products Operating LLC, | ||||||||
3.700%, 02/15/2026 @ | 8,350,000 | 7,489,967 | ||||||
EQT Midstream Partners LP, | ||||||||
4.000%, 08/01/2024 | 3,000,000 | 2,473,188 | ||||||
Express Scripts Holding Co.: | ||||||||
2.650%, 02/15/2017 | 2,678,000 | 2,704,301 | ||||||
4.750%, 11/15/2021 | 5,000,000 | 5,361,300 | ||||||
3.900%, 02/15/2022 | 10,000,000 | 10,271,820 | ||||||
3.500%, 06/15/2024 @ | 9,000,000 | 8,866,719 | ||||||
Federal Express Corp. 1998 Pass Through Trust, | ||||||||
Series 981B, 6.845%, 01/15/2019 | 1,653,061 | 1,771,233 | ||||||
FedEx Corp., | ||||||||
3.200%, 02/01/2025 @ | 6,000,000 | 5,835,822 | ||||||
Fidelity National Information Services, Inc.: | ||||||||
3.625%, 10/15/2020 | 10,000,000 | 10,130,270 | ||||||
3.500%, 04/15/2023 @ | 23,125,000 | 22,079,981 | ||||||
3.875%, 06/05/2024 | 2,150,000 | 2,075,187 | ||||||
Fiserv, Inc.: | ||||||||
2.700%, 06/01/2020 | 10,000,000 | 9,917,020 | ||||||
4.625%, 10/01/2020 | 1,785,000 | 1,906,191 | ||||||
3.500%, 10/01/2022 | 5,410,000 | 5,398,861 | ||||||
FMC Corp., | ||||||||
4.100%, 02/01/2024 | 3,000,000 | 2,960,313 | ||||||
Fomento Economico Mexicano SAB de CV: | ||||||||
2.875%, 05/10/2023 f | 5,000,000 | 4,667,760 | ||||||
4.375%, 05/10/2043 f | 4,374,000 | 3,864,766 | ||||||
Ford Motor Credit Co. LLC: | ||||||||
2.145%, 01/09/2018 | 1,800,000 | 1,793,342 | ||||||
2.240%, 06/15/2018 | 6,250,000 | 6,193,175 | ||||||
2.375%, 03/12/2019 @ | 6,806,000 | 6,709,389 | ||||||
2.597%, 11/04/2019 | 10,000,000 | 9,818,380 | ||||||
3.200%, 01/15/2021 @ | 5,000,000 | 4,966,185 | ||||||
Forest Laboratories, Inc., | ||||||||
5.000%, 12/15/2021 (Acquired 08/26/2014 through 04/24/2015, Cost $26,110,406) * | 24,000,000 | 26,078,496 | ||||||
Freeport-McMoran Oil & Gas LLC / FCX Oil & Gas, Inc.: | ||||||||
6.500%, 11/15/2020 | 3,221,000 | 2,077,545 | ||||||
6.625%, 05/01/2021 | 1,447,000 | 882,670 | ||||||
6.750%, 02/01/2022 | 2,649,000 | 1,629,135 | ||||||
General Electric Capital Corp.: | ||||||||
2.200%, 01/09/2020 | 1,432,000 | 1,437,304 | ||||||
5.550%, 05/04/2020 | 1,585,000 | 1,792,676 | ||||||
4.650%, 10/17/2021 | 1,534,000 | 1,698,396 | ||||||
Georgia-Pacific LLC, | ||||||||
2.539%, 11/15/2019 (Acquired 11/03/2014 through 06/09/2015, Cost $14,232,662) * | 14,250,000 | 14,168,020 | ||||||
Glencore Finance (Canada) Ltd., | ||||||||
5.800%, 11/15/2016 (Acquired 12/06/2011, Cost $625,690) * f | 616,000 | 613,690 | ||||||
Glencore Funding LLC: | ||||||||
2.500%, 01/15/2019 (Acquired 05/22/2013, Cost $4,440,774) * | 4,463,000 | 3,726,605 | ||||||
4.125%, 05/30/2023 (Acquired 07/22/2013 through 04/20/2015, Cost $6,679,812) * | 6,746,000 | 4,975,242 | ||||||
4.625%, 04/29/2024 (Acquired 04/22/2014 through 10/15/2015, Cost $5,474,426) * @ | 5,500,000 | 3,983,100 | ||||||
4.000%, 04/16/2025 (Acquired 04/08/2015, Cost $4,411,285) * | 4,450,000 | 3,092,750 | ||||||
GTE Corp., | ||||||||
8.750%, 11/01/2021 | 89,000 | 109,968 | ||||||
Gulf South Pipeline Co. LP, | ||||||||
4.000%, 06/15/2022 | 3,633,000 | 3,244,531 | ||||||
Gulfstream Natural Gas System LLC, | ||||||||
4.600%, 09/15/2025 (Acquired 09/24/2015, Cost $5,040,309) * @ | 5,000,000 | 4,745,940 | ||||||
H. J. Heinz Co.: | ||||||||
2.800%, 07/02/2020 (Acquired 06/23/2015, Cost $3,990,920) * | 4,000,000 | 3,989,656 | ||||||
5.000%, 07/15/2035 (Acquired 11/16/2015 through 11/18/2015, Cost $15,192,413) * | 14,740,000 | 15,101,410 | ||||||
Halliburton Co., | ||||||||
3.800%, 11/15/2025 | 9,000,000 | 8,763,498 | ||||||
Harris Corp.: | ||||||||
2.700%, 04/27/2020 | 4,000,000 | 3,924,268 | ||||||
3.832%, 04/27/2025 | 5,000,000 | 4,924,645 | ||||||
Hess Corp., | ||||||||
8.125%, 02/15/2019 | 4,376,000 | 4,959,653 | ||||||
Hewlett Packard Enterprise Co.: | ||||||||
3.600%, 10/15/2020 (Acquired 11/17/2015, Cost $10,041,261) * @ | 10,000,000 | 10,022,950 | ||||||
4.400%, 10/15/2022 (Acquired 09/30/2015, Cost $15,120,003) * @ | 15,150,000 | 15,091,930 | ||||||
Hewlett-Packard Co., | ||||||||
4.650%, 12/09/2021 | 6,645,000 | 6,619,869 | ||||||
Historic TW, Inc., | ||||||||
9.150%, 02/01/2023 | 5,535,000 | 7,181,341 | ||||||
Holcim US Finance Sarl & Cie SCS, | ||||||||
6.000%, 12/30/2019 (Acquired 09/24/2009 through 09/04/2013, Cost $1,243,213) * f | 1,232,000 | 1,366,447 | ||||||
Hutchison Whampoa International (09) Ltd., | ||||||||
7.625%, 04/09/2019 (Acquired 10/22/2009 through 04/16/2014, Cost $9,034,554) * f | 8,288,000 | 9,579,577 | ||||||
Hutchison Whampoa International (09/19) Ltd., | ||||||||
5.750%, 09/11/2019 (Acquired 04/27/2015, Cost $10,293,973) * f | 9,150,000 | 10,154,048 | ||||||
Hutchison Whampoa International (14) Ltd., | ||||||||
3.625%, 10/31/2024 (Acquired 10/28/2014, Cost $4,994,200) * f | 5,000,000 | 4,960,910 | ||||||
Hyundai Capital Services, Inc.: | ||||||||
1.333%, 03/18/2017 (Acquired 03/11/2014, Cost $2,000,000) * f | 2,000,000 | 1,994,206 | ||||||
3.500%, 09/13/2017 (Acquired 03/07/2012 through 08/21/2014, Cost $7,626,955) * f | 7,458,000 | 7,596,413 | ||||||
2.625%, 09/29/2020 (Acquired 03/23/2015, Cost $5,142,172) * f | 5,150,000 | 5,067,430 | ||||||
Ingersoll-Rand Luxembourg Finance SA, | ||||||||
2.625%, 05/01/2020 f | 2,650,000 | 2,611,106 | ||||||
Johnson Controls, Inc.: | ||||||||
6.000%, 01/15/2036 | 1,168,000 | 1,219,181 | ||||||
4.950%, 07/02/2064 | 2,400,000 | 1,949,390 | ||||||
Kinder Morgan Energy Partners LP: | ||||||||
9.000%, 02/01/2019 | 893,000 | 960,482 | ||||||
6.950%, 01/15/2038 | 2,008,000 | 1,724,685 | ||||||
6.500%, 09/01/2039 | 893,000 | 735,256 | ||||||
Kinder Morgan, Inc., | ||||||||
5.000%, 02/15/2021 (Acquired 05/26/2015, Cost $4,429,423) * | 4,155,000 | 3,949,290 | ||||||
Laboratory Corp. of America Holdings, | ||||||||
3.200%, 02/01/2022 | 2,400,000 | 2,355,425 | ||||||
Lafarge SA, | ||||||||
7.125%, 07/15/2036 f | 893,000 | 1,024,233 | ||||||
Lockheed Martin Corp.: | ||||||||
3.100%, 01/15/2023 | 5,000,000 | 4,996,695 | ||||||
4.700%, 05/15/2046 @ | 1,000,000 | 1,024,371 | ||||||
Magellan Midstream Partners LP, | ||||||||
3.200%, 03/15/2025 | 5,000,000 | 4,365,210 | ||||||
Marathon Petroleum Corp.: | ||||||||
3.400%, 12/15/2020 | 10,825,000 | 10,631,059 | ||||||
3.625%, 09/15/2024 @ | 1,600,000 | 1,490,936 | ||||||
4.750%, 09/15/2044 @ | 1,500,000 | 1,226,094 | ||||||
Martin Marietta Materials, Inc., | ||||||||
6.250%, 05/01/2037 | 893,000 | 905,222 | ||||||
Masco Corp., | ||||||||
6.125%, 10/03/2016 | 1,450,000 | 1,493,471 | ||||||
Medtronic, Inc.: | ||||||||
3.150%, 03/15/2022 @ | 3,975,000 | 4,018,395 | ||||||
4.375%, 03/15/2035 | 3,000,000 | 3,032,526 | ||||||
Microsoft Corp., | ||||||||
4.450%, 11/03/2045 | 10,000,000 | 10,312,230 | ||||||
Molex Electronic Technologies LLC, | ||||||||
2.878%, 04/15/2020 (Acquired 10/23/2015, Cost $5,904,835) * @ | 6,000,000 | 5,845,860 | ||||||
Murphy Oil Corp., | ||||||||
4.000%, 06/01/2022 @ | 4,463,000 | 3,383,655 | ||||||
Nabors Industries, Inc., | ||||||||
6.150%, 02/15/2018 | 982,000 | 996,419 | ||||||
New Cingular Wireless Services, Inc., | ||||||||
8.750%, 03/01/2031 | 1,360,000 | 1,874,434 | ||||||
Nissan Motor Acceptance Corp., | ||||||||
1.500%, 03/02/2018 (Acquired 02/24/2015, Cost $5,897,404) * | 5,900,000 | 5,842,847 | ||||||
Noble Energy, Inc., | ||||||||
8.250%, 03/01/2019 | 2,684,000 | 3,001,772 | ||||||
Noble Holding International Ltd., | ||||||||
4.000%, 03/16/2018 f | 4,000,000 | 3,622,076 | ||||||
ONEOK Partners LP: | ||||||||
6.150%, 10/01/2016 | 3,036,000 | 3,116,618 | ||||||
8.625%, 03/01/2019 | 7,627,000 | 8,410,148 | ||||||
3.375%, 10/01/2022 | 1,130,000 | 916,570 | ||||||
Oracle Corp.: | ||||||||
3.400%, 07/08/2024 | 3,000,000 | 3,046,359 | ||||||
2.950%, 05/15/2025 @ | 6,025,000 | 5,869,495 | ||||||
Pactiv LLC, | ||||||||
7.950%, 12/15/2025 | 286,000 | 265,980 | ||||||
Pentair Finance SA, | ||||||||
3.625%, 09/15/2020 f | 11,200,000 | 11,188,957 | ||||||
Petrofac Ltd., | ||||||||
3.400%, 10/10/2018 (Acquired 10/03/2013 through 12/03/2014, Cost $15,558,160) * f | 15,546,000 | 14,765,839 | ||||||
PetroLogistics LP / PetroLogistics Finance Corp., | ||||||||
6.250%, 04/01/2020 | 7,041,000 | 7,357,845 | ||||||
Pfizer, Inc.: | ||||||||
6.050%, 03/30/2017 | 6,663,000 | 7,063,326 | ||||||
5.800%, 08/12/2023 | 6,000,000 | 7,016,358 | ||||||
Phillips 66: | ||||||||
4.300%, 04/01/2022 | 10,000,000 | 10,287,970 | ||||||
4.875%, 11/15/2044 | 21,130,000 | 18,851,404 | ||||||
POSCO, | ||||||||
4.250%, 10/28/2020 (Acquired 12/18/2014, Cost $1,032,172) * f | 975,000 | 1,020,199 | ||||||
QEP Resources, Inc., | ||||||||
6.800%, 03/01/2020 @ | 893,000 | 803,700 | ||||||
Qualcomm, Inc.: | ||||||||
0.920%, 05/20/2020 @ | 7,450,000 | 7,296,314 | ||||||
2.250%, 05/20/2020 | 3,600,000 | 3,565,011 | ||||||
R.R. Donnelley & Sons Co.: | ||||||||
8.600%, 08/15/2016 | 2,231,000 | 2,317,451 | ||||||
6.125%, 01/15/2017 | 88,000 | 90,200 | ||||||
7.625%, 06/15/2020 @ | 893,000 | 920,817 | ||||||
Republic Services, Inc.: | ||||||||
5.500%, 09/15/2019 | 7,400,000 | 8,141,517 | ||||||
3.550%, 06/01/2022 | 3,000,000 | 3,063,564 | ||||||
Rio Tinto Alcan, Inc., | ||||||||
5.750%, 06/01/2035 f | 446,000 | 432,973 | ||||||
Rio Tinto Finance (USA) Ltd., | ||||||||
9.000%, 05/01/2019 f | 4,909,000 | 5,730,821 | ||||||
Rockies Express Pipeline LLC, | ||||||||
5.625%, 04/15/2020 (Acquired 03/17/2010, Cost $1,783,411) * | 1,785,000 | 1,642,200 | ||||||
SABMiller Holdings, Inc., | ||||||||
1.019%, 08/01/2018 (Acquired 10/21/2014, Cost $10,036,642) * | 10,000,000 | 9,921,010 | ||||||
Samarco Mineracao SA, | ||||||||
5.750%, 10/24/2023 (Acquired 10/22/2013, Cost $4,475,919) * f | 4,463,000 | 1,428,160 | ||||||
Schlumberger Holdings Corp., | ||||||||
2.350%, 12/21/2018 (Acquired 12/10/2015, Cost $9,998,800) * | 10,000,000 | 9,935,090 | ||||||
Shell International Finance BV: | ||||||||
3.250%, 05/11/2025 @ f | 5,725,000 | 5,587,457 | ||||||
4.125%, 05/11/2035 @ f | 10,000,000 | 9,545,270 | ||||||
SK Telecom Co. Ltd., | ||||||||
6.625%, 07/20/2027 (Acquired 07/13/2007, Cost $1,322,945) * f | 1,339,000 | 1,713,920 | ||||||
Southern Natural Gas Company LLC, | ||||||||
5.900%, 04/01/2017 (Acquired 03/14/2007, Cost $1,247,925) * | 1,250,000 | 1,271,066 | ||||||
Spectra Energy Partners LP, | ||||||||
4.500%, 03/15/2045 | 7,000,000 | 5,379,325 | ||||||
Sprint Capital Corp.: | ||||||||
6.900%, 05/01/2019 | 2,499,000 | 2,036,685 | ||||||
8.750%, 03/15/2032 | 320,000 | 240,000 | ||||||
Talisman Energy, Inc., | ||||||||
7.750%, 06/01/2019 f | 1,071,000 | 1,154,113 | ||||||
TC PipeLines LP, | ||||||||
4.375%, 03/13/2025 | 9,000,000 | 7,904,358 | ||||||
Telecom Italia Capital: | ||||||||
7.175%, 06/18/2019 f | 1,785,000 | 1,967,998 | ||||||
7.200%, 07/18/2036 f | 5,475,000 | 5,529,750 | ||||||
Telefonica Emisiones SAU: | ||||||||
6.421%, 06/20/2016 f | 1,930,000 | 1,974,353 | ||||||
6.221%, 07/03/2017 f | 4,530,000 | 4,814,303 | ||||||
5.462%, 02/16/2021 f | 8,830,000 | 9,868,532 | ||||||
The Dow Chemical Co., | ||||||||
8.550%, 05/15/2019 | 8,000,000 | 9,429,192 | ||||||
The JM Smucker Co., | ||||||||
3.500%, 03/15/2025 | 5,000,000 | 4,972,920 | ||||||
The Mosaic Co., | ||||||||
5.450%, 11/15/2033 | 2,000,000 | 2,021,358 | ||||||
The Williams Companies, Inc., | ||||||||
4.550%, 06/24/2024 | 5,000,000 | 3,472,900 | ||||||
Thermo Fisher Scientific, Inc.: | ||||||||
1.850%, 01/15/2018 | 4,925,000 | 4,909,201 | ||||||
2.150%, 12/14/2018 | 4,000,000 | 3,996,992 | ||||||
Time Warner Cable, Inc.: | ||||||||
6.550%, 05/01/2037 | 893,000 | 903,703 | ||||||
6.750%, 06/15/2039 | 2,767,000 | 2,776,970 | ||||||
Time Warner, Inc.: | ||||||||
3.600%, 07/15/2025 | 2,200,000 | 2,141,654 | ||||||
3.875%, 01/15/2026 | 7,000,000 | 6,939,758 | ||||||
7.625%, 04/15/2031 | 5,207,000 | 6,442,886 | ||||||
7.700%, 05/01/2032 | 8,418,000 | 10,507,028 | ||||||
Timken Co., | ||||||||
3.875%, 09/01/2024 | 2,000,000 | 1,887,422 | ||||||
Transocean, Inc., | ||||||||
6.500%, 11/15/2020 @ f | 4,000,000 | 2,760,000 | ||||||
TSMC Global Ltd., | ||||||||
1.625%, 04/03/2018 (Acquired 12/03/2013 through 04/29/2015, Cost $9,766,387) * f | 9,865,000 | 9,668,933 | ||||||
TTX Co.: | ||||||||
3.600%, 01/15/2025 (Acquired 11/13/2014, Cost $4,999,250) * | 5,000,000 | 4,955,475 | ||||||
3.900%, 02/01/2045 (Acquired 01/26/2015 through 04/29/2015, Cost $10,151,754) * | 10,250,000 | 9,005,855 | ||||||
Tyco Electronics Group SA, | ||||||||
6.550%, 10/01/2017 f | 6,248,000 | 6,733,370 | ||||||
Union Pacific Corp., | ||||||||
3.375%, 02/01/2035 | 3,000,000 | 2,709,486 | ||||||
US Airways Pass Through Trust, | ||||||||
Series 981A, 6.850%, 01/30/2018 | 203,070 | 210,939 | ||||||
Vale Overseas Ltd.: | ||||||||
8.250%, 01/17/2034 f | 8,526,000 | 6,830,264 | ||||||
6.875%, 11/21/2036 @ f | 1,483,000 | 1,036,676 | ||||||
6.875%, 11/10/2039 f | 2,893,000 | 2,010,375 | ||||||
Valero Energy Corp.: | ||||||||
9.375%, 03/15/2019 | 15,578,000 | 18,404,316 | ||||||
6.625%, 06/15/2037 | 2,100,000 | 2,111,380 | ||||||
Verizon Communications, Inc.: | ||||||||
4.150%, 03/15/2024 | 3,000,000 | 3,082,986 | ||||||
6.400%, 09/15/2033 | 29,640,000 | 33,768,200 | ||||||
4.272%, 01/15/2036 @ | 8,148,000 | 7,355,998 | ||||||
Viacom, Inc., | ||||||||
2.500%, 09/01/2018 | 7,628,000 | 7,608,945 | ||||||
Visa, Inc., | ||||||||
4.150%, 12/14/2035 | 4,625,000 | 4,669,298 | ||||||
Vulcan Materials Co.: | ||||||||
7.000%, 06/15/2018 | 1,785,000 | 1,981,350 | ||||||
7.150%, 11/30/2037 | 446,000 | 468,300 | ||||||
Wabtec Corp., | ||||||||
4.375%, 08/15/2023 | 2,678,000 | 2,741,913 | ||||||
Walgreens Boots Alliance, Inc.: | ||||||||
3.300%, 11/18/2021 | 6,383,000 | 6,259,968 | ||||||
3.800%, 11/18/2024 | 5,934,000 | 5,756,977 | ||||||
Weatherford International Ltd., | ||||||||
9.625%, 03/01/2019 f | 3,120,000 | 3,038,100 | ||||||
Western Gas Partners LP, | ||||||||
5.375%, 06/01/2021 | 8,701,000 | 8,806,996 | ||||||
Westvaco Corp.: | ||||||||
9.750%, 06/15/2020 | 143,000 | 176,016 | ||||||
8.200%, 01/15/2030 | 4,463,000 | 5,783,227 | ||||||
Williams Partners LP, | ||||||||
6.300%, 04/15/2040 | 2,767,000 | 2,123,263 | ||||||
Woodside Finance Ltd., | ||||||||
3.650%, 03/05/2025 (Acquired 02/26/2015 through 04/14/2015, Cost $12,292,106) * f | 12,300,000 | 10,894,221 | ||||||
Zimmer Holdings, Inc., | ||||||||
3.150%, 04/01/2022 | 9,500,000 | 9,339,260 | ||||||
Zoetis, Inc.: | ||||||||
3.450%, 11/13/2020 | 4,100,000 | 4,104,777 | ||||||
3.250%, 02/01/2023 (100.000000, 11/01/2022) | 22,200,000 | 21,197,581 | ||||||
1,243,751,216 | 18.4% | |||||||
Total Corporate Bonds | 2,665,959,463 | 39.5% |
Other Government Related Securities | ||||||||
CNOOC Finance 2015 Australia Pty Ltd., | ||||||||
2.625%, 05/05/2020 f | 14,500,000 | 14,174,548 | ||||||
CNPC General Capital Ltd., | ||||||||
2.750%, 05/14/2019 (Acquired 05/07/2014, Cost $1,983,740) * f | 2,000,000 | 1,996,780 | ||||||
Comision Federal de Electricidad, | ||||||||
4.875%, 01/15/2024 (Acquired 10/17/2013, Cost $2,662,655) * f | 2,678,000 | 2,637,830 | ||||||
Corp Andina de Fomento, | ||||||||
4.375%, 06/15/2022 f | 6,107,000 | 6,501,512 | ||||||
Export-Import Bank of Korea: | ||||||||
4.000%, 01/11/2017 f | 1,400,000 | 1,430,139 | ||||||
2.250%, 01/21/2020 @ f | 11,000,000 | 10,831,161 | ||||||
Industrial Bank of Korea, | ||||||||
2.000%, 04/23/2020 (Acquired 04/16/2015, Cost $6,972,210) * f | 7,000,000 | 6,865,264 | ||||||
Korea Electric Power Corp., | ||||||||
6.750%, 08/01/2027 f | 1,932,000 | 2,404,934 | ||||||
Korea Gas Corp., | ||||||||
4.250%, 11/02/2020 (Acquired 10/26/2010, Cost $2,309,418) * f | 2,321,000 | 2,495,432 | ||||||
Nexen Energy ULC: | ||||||||
6.400%, 05/15/2037 f | 3,392,000 | 3,793,644 | ||||||
7.500%, 07/30/2039 f | 4,175,000 | 5,382,510 | ||||||
Pemex Finance Ltd., | ||||||||
10.610%, 08/15/2017 f | 1,171,625 | 1,253,280 | ||||||
Petrobras Global Finance BV: | ||||||||
2.886%, 03/17/2017 f | 3,000,000 | 2,748,750 | ||||||
4.375%, 05/20/2023 f | 1,785,000 | 1,178,100 | ||||||
Petrobras International Finance Company SA: | ||||||||
3.500%, 02/06/2017 @ f | 4,463,000 | 4,172,905 | ||||||
5.750%, 01/20/2020 f | 893,000 | 701,005 | ||||||
Petroleos Mexicanos: | ||||||||
5.750%, 03/01/2018 f | 2,499,000 | 2,601,459 | ||||||
8.000%, 05/03/2019 f | 1,500,000 | 1,651,305 | ||||||
5.500%, 01/21/2021 f | 5,600,000 | 5,648,720 | ||||||
4.875%, 01/24/2022 @ f | 4,000,000 | 3,850,000 | ||||||
4.500%, 01/23/2026 (Acquired 01/15/2015, Cost $2,495,500) * @ f | 2,500,000 | 2,196,250 | ||||||
6.625%, 06/15/2035 f | 893,000 | 798,119 | ||||||
Sinopec Group Overseas Development [2014] Ltd., | ||||||||
4.375%, 04/10/2024 (Acquired 04/02/2014, Cost $1,496,505) * f | 1,500,000 | 1,549,715 | ||||||
Sinopec Group Overseas Development [2015] Ltd.: | ||||||||
2.500%, 04/28/2020 (Acquired 04/21/2015, Cost $14,936,400) * f | 15,000,000 | 14,756,265 | ||||||
3.250%, 04/28/2025 (Acquired 04/21/2015, Cost $9,902,200) * f | 10,000,000 | 9,453,380 | ||||||
The Korea Development Bank: | ||||||||
0.945%, 01/22/2017 f | 2,000,000 | 2,000,814 | ||||||
2.250%, 05/18/2020 @ f | 2,000,000 | 1,990,136 | ||||||
115,063,957 | 1.7% | |||||||
Taxable Municipal Bonds | ||||||||
Atlanta Independent School System, | ||||||||
5.557%, 03/01/2026 | 4,465,000 | 5,057,639 | ||||||
California Qualified School Bond Joint Powers Authority, | ||||||||
7.155%, 03/01/2027 | 6,695,000 | 7,844,732 | ||||||
California School Finance Authority: | ||||||||
5.041%, 07/01/2020 | 2,230,000 | 2,419,238 | ||||||
5.043%, 01/01/2021 (Callable 02/01/2016) | 1,785,000 | 1,787,410 | ||||||
City of Berwyn IL, | ||||||||
5.790%, 12/01/2022 | 10,000,000 | 10,942,100 | ||||||
City of Vernon CA Electric System Revenue, | ||||||||
4.500%, 08/01/2022 | 7,265,000 | 7,465,587 | ||||||
County of Contra Costa CA, | ||||||||
5.140%, 06/01/2017 | 5,335,000 | 5,517,190 | ||||||
County of Cuyahoga OH, | ||||||||
9.125%, 10/01/2023 | 895,000 | 876,124 | ||||||
Eaton Community City School District, | ||||||||
5.390%, 08/25/2027 (Callable 06/01/2020) | 2,305,000 | 2,420,319 | ||||||
Elgin Local School District, | ||||||||
5.499%, 08/31/2027 (Callable 12/01/2019) | 4,440,000 | 4,701,383 | ||||||
Iowa Tobacco Settlement Authority, | ||||||||
6.500%, 06/01/2023 (Callable 02/01/2016) | 4,610,000 | 4,631,575 | ||||||
Maryland Community Development Administration Housing Revenue, | ||||||||
3.160%, 09/01/2041 (Callable 09/01/2025) | 21,480,000 | 21,493,747 | ||||||
New Hampshire Housing Finance Authority: | ||||||||
3.050%, 01/01/2021 | 920,000 | 926,293 | ||||||
3.750%, 07/01/2034 (Callable 07/01/2023) | 2,260,000 | 2,302,533 | ||||||
4.000%, 07/01/2036 (Callable 07/01/2025) | 11,115,000 | 11,525,922 | ||||||
New Jersey Economic Development Authority: | ||||||||
3.375%, 06/15/2017 | 9,000,000 | 8,974,800 | ||||||
2.421%, 06/15/2018 | 7,000,000 | 6,962,620 | ||||||
North Carolina Housing Finance Agency, | ||||||||
2.812%, 07/01/2035 (Callable 01/01/2024) | 4,545,000 | 4,653,307 | ||||||
San Dieguito Public Facilities Authority, | ||||||||
6.459%, 05/01/2027 | 5,675,000 | 6,920,663 | ||||||
State Public School Building Authority, | ||||||||
5.000%, 09/15/2027 | 4,458,000 | 4,789,720 | ||||||
Three Rivers Local School District, | ||||||||
5.209%, 09/15/2027 (Callable 12/01/2020) | 2,365,000 | 2,476,888 | ||||||
West Contra Costa Unified School District, | ||||||||
6.250%, 08/01/2030 | 1,785,000 | 2,055,160 | ||||||
Westlake City School District, | ||||||||
5.227%, 12/01/2026 (Callable 12/01/2020) | 3,570,000 | 3,684,704 | ||||||
130,429,654 | 1.9% | |||||||
Residential Mortgage-Backed Securities | ||||||||
U.S. Government Agency Issues | ||||||||
Fannie Mae REMIC Trust, | ||||||||
Series 2004-W6, Class 1A6, 5.500%, 07/25/2034 | 452,357 | 456,724 | ||||||
Federal Gold Loan Mortgage Corp. (FGLMC): | ||||||||
6.000%, 06/01/2020 | 93,599 | 98,635 | ||||||
3.500%, 11/01/2025 | 5,839,414 | 6,120,515 | ||||||
2.500%, 04/01/2028 | 4,872,187 | 4,953,813 | ||||||
6.500%, 06/01/2029 | 240,105 | 273,446 | ||||||
3.500%, 05/01/2032 | 14,563,589 | 15,229,825 | ||||||
5.000%, 08/01/2033 | 10,203,191 | 11,327,022 | ||||||
5.000%, 09/01/2035 | 20,330,693 | 22,360,080 | ||||||
5.500%, 01/01/2036 | 412,974 | 459,187 | ||||||
5.000%, 03/01/2036 | 9,738,941 | 10,691,606 | ||||||
6.000%, 12/01/2036 | 325,790 | 368,550 | ||||||
5.000%, 03/01/2038 | 3,085,641 | 3,376,171 | ||||||
5.500%, 05/01/2038 | 1,324,739 | 1,473,303 | ||||||
4.500%, 11/01/2039 | 7,927,540 | 8,550,602 | ||||||
4.500%, 11/01/2039 | 9,834,649 | 10,608,325 | ||||||
5.000%, 03/01/2040 | 2,106,800 | 2,311,658 | ||||||
4.500%, 08/01/2040 | 1,721,127 | 1,856,548 | ||||||
4.500%, 09/01/2040 | 6,217,045 | 6,705,816 | ||||||
4.000%, 01/01/2041 | 28,815,481 | 30,528,118 | ||||||
4.500%, 03/01/2041 | 4,615,840 | 4,979,429 | ||||||
4.000%, 03/01/2042 | 13,694,857 | 14,514,658 | ||||||
3.500%, 06/01/2042 | 8,363,425 | 8,619,861 | ||||||
3.500%, 07/01/2042 | 21,658,974 | 22,323,095 | ||||||
3.000%, 08/01/2042 | 26,547,116 | 26,565,058 | ||||||
3.000%, 10/01/2042 | 9,949,290 | 9,956,007 | ||||||
3.000%, 01/01/2043 | 21,010,502 | 21,005,145 | ||||||
3.000%, 02/01/2043 | 5,404,964 | 5,408,618 | ||||||
3.000%, 04/01/2043 | 8,930,291 | 8,935,740 | ||||||
3.000%, 04/01/2043 | 13,341,550 | 13,348,843 | ||||||
3.000%, 06/01/2043 | 27,951,486 | 27,963,152 | ||||||
3.000%, 08/01/2043 | 8,565,209 | 8,567,676 | ||||||
4.000%, 03/01/2044 | 13,150,075 | 13,907,315 | ||||||
3.500%, 05/01/2044 | 39,786,642 | 41,107,171 | ||||||
3.500%, 07/01/2044 | 21,004,581 | 21,639,469 | ||||||
4.000%, 07/01/2044 | 11,203,056 | 11,844,713 | ||||||
3.500%, 08/01/2044 | 802,663 | 826,924 | ||||||
3.500%, 10/01/2044 | 19,959,521 | 20,562,821 | ||||||
4.000%, 10/01/2044 | 21,491,526 | 22,799,474 | ||||||
3.500%, 06/01/2045 | 4,028,528 | 4,159,769 | ||||||
Federal Home Loan Mortgage Corp. (FHLMC): | ||||||||
Series 206, Class E, –%, 07/15/2019 | 11,686 | 11,577 | ||||||
Series 141, Class D, 5.000%, 05/15/2021 | 12,274 | 12,694 | ||||||
Series 1074, Class I, 6.750%, 05/15/2021 | 12,326 | 13,031 | ||||||
Series 1081, Class K, 7.000%, 05/15/2021 | 72,410 | 78,739 | ||||||
Series 163, Class F, 6.000%, 07/15/2021 | 11,901 | 12,693 | ||||||
Series 188, Class H, 7.000%, 09/15/2021 | 30,630 | 32,871 | ||||||
Series 1286, Class A, 6.000%, 05/15/2022 | 8,888 | 9,415 | ||||||
Federal National Mortgage Association (FNMA): | ||||||||
Series 1989-37, Class G, 8.000%, 07/25/2019 | 60,918 | 65,188 | ||||||
Series 1989-94, Class G, 7.500%, 12/25/2019 | 22,672 | 24,234 | ||||||
4.500%, 01/01/2020 | 30,589,337 | 31,718,657 | ||||||
Series 1990-58, Class J, 7.000%, 05/25/2020 | 2,679 | 2,906 | ||||||
Series 1990-76, Class G, 7.000%, 07/25/2020 | 24,003 | 25,678 | ||||||
Series 1990-105, Class J, 6.500%, 09/25/2020 | 14,138 | 14,949 | ||||||
Series 1990-108, Class G, 7.000%, 09/25/2020 | 4,711 | 5,073 | ||||||
Series 1991-1, Class G, 7.000%, 01/25/2021 | 5,478 | 5,888 | ||||||
Series 1991-86, Class Z, 6.500%, 07/25/2021 | 12,249 | 13,075 | ||||||
5.000%, 11/01/2021 | 1,707,556 | 1,789,225 | ||||||
Series 1993-58, Class H, 5.500%, 04/25/2023 | 144,851 | 155,824 | ||||||
3.000%, 04/01/2027 | 9,491,964 | 9,828,722 | ||||||
2.500%, 12/01/2027 | 15,420,716 | 15,669,384 | ||||||
5.000%, 05/01/2028 | 397,413 | 437,098 | ||||||
Series 1998-66, Class C, 6.000%, 12/25/2028 | 92,547 | 101,772 | ||||||
4.500%, 08/01/2029 | 2,975,162 | 3,213,256 | ||||||
4.500%, 09/01/2029 | 3,381,831 | 3,652,470 | ||||||
2.500%, 05/01/2030 | 23,669,215 | 23,886,713 | ||||||
6.000%, 03/01/2033 | 84,067 | 95,963 | ||||||
4.500%, 10/01/2033 | 35,064,777 | 38,168,605 | ||||||
5.000%, 10/01/2033 | 36,991,033 | 40,916,485 | ||||||
5.000%, 11/01/2033 | 97,772 | 108,148 | ||||||
4.000%, 01/01/2034 | 13,506,477 | 14,448,633 | ||||||
5.500%, 04/01/2034 | 1,653,522 | 1,859,436 | ||||||
4.000%, 06/01/2034 | 18,036,874 | 19,294,795 | ||||||
4.000%, 09/01/2034 | 20,846,482 | 22,304,766 | ||||||
5.500%, 09/01/2034 | 324,353 | 365,466 | ||||||
6.000%, 11/01/2034 | 85,641 | 97,544 | ||||||
5.500%, 02/01/2035 | 1,131,545 | 1,275,199 | ||||||
5.000%, 07/01/2035 | 9,563,154 | 10,570,005 | ||||||
5.000%, 10/01/2035 | 5,056,230 | 5,578,952 | ||||||
5.000%, 11/01/2035 | 1,941,570 | 2,141,230 | ||||||
5.500%, 11/01/2036 | 492,614 | 550,050 | ||||||
5.500%, 04/01/2037 | 2,689,500 | 3,025,130 | ||||||
5.000%, 06/01/2039 | 22,752,858 | 25,094,269 | ||||||
4.500%, 11/01/2039 | 473,808 | 512,695 | ||||||
4.000%, 08/01/2040 | 3,253,950 | 3,451,620 | ||||||
3.500%, 12/01/2040 | 16,851,070 | 17,426,194 | ||||||
3.500%, 02/01/2041 | 26,227,956 | 27,123,091 | ||||||
4.000%, 02/01/2041 | 24,063,583 | 25,542,114 | ||||||
3.500%, 03/01/2041 | 37,344,817 | 38,619,309 | ||||||
4.500%, 05/01/2041 | 16,424,641 | 17,777,342 | ||||||
4.000%, 06/01/2041 | 33,050,348 | 35,035,000 | ||||||
4.500%, 07/01/2041 | 19,873,590 | 21,505,335 | ||||||
4.000%, 09/01/2041 | 5,095,585 | 5,405,426 | ||||||
4.000%, 10/01/2041 | 11,941,810 | 12,668,808 | ||||||
3.500%, 11/01/2041 | 17,932,405 | 18,547,169 | ||||||
4.000%, 12/01/2041 | 17,674,482 | 18,751,412 | ||||||
4.000%, 01/01/2042 | 23,932,771 | 25,380,886 | ||||||
4.500%, 01/01/2042 | 23,734,203 | 25,675,269 | ||||||
3.000%, 05/01/2042 | 8,092,119 | 8,126,947 | ||||||
3.500%, 08/01/2042 | 14,506,652 | 14,996,972 | ||||||
4.000%, 08/01/2042 | 32,193,830 | 34,175,641 | ||||||
3.000%, 05/01/2043 | 32,290,220 | 32,360,129 | ||||||
3.000%, 06/01/2043 | 13,568,282 | 13,597,666 | ||||||
3.000%, 08/01/2043 | 8,087,930 | 8,104,201 | ||||||
4.500%, 09/01/2043 | 26,195,664 | 28,341,829 | ||||||
4.000%, 01/01/2045 | 17,759,161 | 18,847,762 | ||||||
3.500%, 04/01/2045 | 51,077,046 | 52,796,169 | ||||||
4.000%, 10/01/2045 | 13,233,188 | 14,044,373 | ||||||
Government National Mortgage Association (GNMA): | ||||||||
6.000%, 11/20/2033 | 76,506 | 86,989 | ||||||
5.000%, 07/20/2040 | 4,225,816 | 4,669,097 | ||||||
4.000%, 06/20/2042 | 20,029,075 | 21,395,040 | ||||||
3.500%, 09/20/2042 | 7,006,833 | 7,326,504 | ||||||
3.000%, 04/20/2045 | 54,099,144 | 54,906,331 | ||||||
3.500%, 04/20/2045 | 57,677,455 | 60,214,778 | ||||||
4.000%, 08/20/2045 | 31,859,556 | 33,853,213 | ||||||
1,424,726,001 | 21.1% |
Non-U.S. Government Agency Issues | ||||||||
Alternative Loan Trust: | ||||||||
Series 2005-50CB, Class 4A1, 5.000%, 11/25/2020 § | 247,582 | 248,614 | ||||||
Series 2006-7CB, Class 3A1, 5.250%, 05/25/2021 | 1,204,747 | 1,176,227 | ||||||
Series 2006-43CB, Class 2A1, 6.000%, 02/25/2022 | 277,588 | 304,227 | ||||||
Series 2006-28CB, Class A17, 6.000%, 10/25/2036 § | 951,344 | 779,465 | ||||||
Banc of America Alternative Loan Trust: | ||||||||
Series 2003-4, Class 2A1, 5.000%, 06/25/2018 | 48,676 | 49,504 | ||||||
Series 2003-11, Class 4A1, 4.750%, 01/25/2019 | 103,948 | 104,623 | ||||||
Series 2004-11, Class 4A1, 5.500%, 12/25/2019 | 92,848 | 95,030 | ||||||
Series 2005-2, Class 4A1, 5.500%, 03/25/2020 | 131,715 | 135,180 | ||||||
Series 2005-4, Class 3A1, 5.500%, 05/25/2020 | 753,670 | 759,055 | ||||||
Series 2007-1, Class 1A1, 5.846%, 04/25/2022 | 758,564 | 758,990 | ||||||
Series 2005-2, Class 1CB2, 5.500%, 03/25/2035 § | 119,025 | 110,079 | ||||||
Series 2005-9, Class 1CB3, 5.500%, 10/25/2035 § | 294,647 | 268,196 | ||||||
Series 2006-5, Class CB7, 6.000%, 06/25/2046 § | 668,711 | 567,426 | ||||||
Bank of America Alternative Loan Trust: | ||||||||
Series 2003-5, Class 2A1, 5.000%, 07/25/2018 | 653,221 | 661,207 | ||||||
Series 2004-7, Class 4A1, 5.000%, 08/25/2019 | 1,652,674 | 1,692,454 | ||||||
Series 2005-10, Class 5A1, 5.250%, 11/25/2020 | 366,790 | 373,499 | ||||||
Series 2003-11, Class 2A1, 6.000%, 01/25/2034 | 471,476 | 490,507 | ||||||
Series 2005-11, Class 1CB4, 5.500%, 12/25/2035 § | 177,240 | 160,836 | ||||||
Bear Stearns ALT-A Trust: | ||||||||
Series 2004-4, Class A1, 1.022%, 06/25/2034 | 3,806,788 | 3,645,444 | ||||||
Series 2005-4, Class 1A1, 0.862%, 04/25/2035 | 9,951,591 | 9,589,426 | ||||||
Bear Stearns Asset Backed Securities I Trust, | ||||||||
Series 2004-AC2, Class 2A, 5.000%, 05/25/2034 | 739,528 | 744,361 | ||||||
Chase Mortgage Finance Trust, | ||||||||
Series 2006-A1, Class 2A3, 2.656%, 09/25/2036 § | 2,498,635 | 2,222,914 | ||||||
Citigroup Mortgage Loan Trust, Inc., | ||||||||
Series 2005-9, Class 2A2, 5.500%, 11/25/2035 § | 213,405 | 204,271 | ||||||
Countrywide Alternative Loan Trust: | ||||||||
Series 2006-J5, Class 3A1, 4.810%, 07/25/2021 | 220,734 | 219,549 | ||||||
Series 2002-11, Class A4, 6.250%, 10/25/2032 | 30,236 | 30,895 | ||||||
Series 2003-20CB, Class 1A1, 5.500%, 10/25/2033 | 4,669,399 | 4,766,475 | ||||||
Credit Suisse First Boston Mortgage Securities Corp., | ||||||||
Series 2003-AR26, Class 8A1, 2.613%, 11/25/2033 | 14,762,694 | 14,938,295 | ||||||
First Horizon Alternative Mortgage Securities Trust: | ||||||||
Series 2005-FA7, Class 2A1, 5.000%, 09/25/2020 | 148,683 | 151,222 | ||||||
Series 2006-FA6, Class 3A1, 5.750%, 11/25/2021 | 226,711 | 228,026 | ||||||
Series 2006-FA8, Class 2A1, 5.750%, 02/25/2037 § | 824,215 | 713,386 | ||||||
GSAA Home Equity Trust, | ||||||||
Series 2004-6, Class A1, 1.222%, 06/25/2034 | 3,287,653 | 3,189,981 | ||||||
Impac CMB Trust: | ||||||||
Series 2004-4, Class 2A2, 4.987%, 09/25/2034 | 130,167 | 130,902 | ||||||
Series 2004-5, Class 1A2, 1.122%, 10/25/2034 | 8,564,429 | 8,286,715 | ||||||
J.P. Morgan Alternative Loan Trust, | ||||||||
Series 2006-A1, Class 2A1, 2.595%, 03/25/2036 § | 481,363 | 402,574 | ||||||
J.P. Morgan Mortgage Trust: | ||||||||
Series 2005-A4, Class 1A1, 2.534%, 07/25/2035 | 2,437,617 | 2,407,398 | ||||||
Series 2007-A1, Class 5A2, 2.726%, 07/25/2035 | 6,371,575 | 6,467,912 | ||||||
Series 2007-A1, Class 5A5, 2.726%, 07/25/2035 | 9,647,596 | 9,807,885 | ||||||
Series 2006-A7, Class 2A4R, 2.919%, 01/25/2037 | 1,244,926 | 1,093,005 | ||||||
Series 2006-A7, Class 2A2, 2.919%, 01/25/2037 | 291,385 | 255,826 | ||||||
Series 2007-A2, Class 2A3, 2.670%, 04/25/2037 § | 3,233,975 | 2,836,192 | ||||||
MASTR Alternative Loan Trust: | ||||||||
Series 2004-2, Class 6A1, 5.250%, 12/25/2018 | 2,134,784 | 2,199,480 | ||||||
Series 2004-1, Class 1A1, 5.000%, 01/25/2019 | 313,235 | 316,967 | ||||||
Series 2004-2, Class 4A1, 5.000%, 02/25/2019 | 17,348 | 17,708 | ||||||
Series 2004-4, Class 4A1, 5.000%, 04/25/2019 | 262,137 | 266,401 | ||||||
Series 2003-5, Class 6A1, 6.000%, 08/25/2033 | 366,064 | 388,490 | ||||||
Merrill Lynch Mortgage Investors Trust: | ||||||||
Series 2004-F, Class A1A, 1.936%, 12/25/2029 | 11,298,207 | 11,353,931 | ||||||
Series 2005-A10, Class A, 0.632%, 02/25/2036 | 28,096,310 | 25,921,341 | ||||||
MortgageIT Trust: | ||||||||
Series 2005-2, Class 1A1, 0.682%, 05/25/2035 | 3,775,595 | 3,604,714 | ||||||
Series 2005-3, Class A1, 0.722%, 08/25/2035 | 8,225,271 | 7,613,837 | ||||||
RALI Series Trust, | ||||||||
Series 2004-QS6, Class A1, 5.000%, 05/25/2019 | 126,584 | 127,960 | ||||||
RFMSI Series Trust, | ||||||||
Series 2003-S11, Class A2, 4.000%, 06/25/2018 | 5,596 | 5,559 | ||||||
Salomon Brothers Mortgage Securities VII, Inc., | ||||||||
Series 2003-UP2, Class A2, 7.000%, 06/25/2033 | 270,928 | 277,758 | ||||||
Structured Adjustable Rate Mortgage Loan Trust: | ||||||||
Series 2004-12, Class 3A1, 2.540%, 09/25/2034 | 8,944,574 | 8,871,961 | ||||||
Series 2004-16, Class 1A2, 2.609%, 11/25/2034 | 12,765,391 | 12,787,820 | ||||||
Structured Asset Securities Corp. Mortgage Loan Trust, | ||||||||
Series 2005-7XS, Class 1A4B, 5.440%, 04/25/2035 | 188,460 | 197,390 | ||||||
Thornburg Mortgage Securities Trust, | ||||||||
Series 2003-5, Class 3A, 2.363%, 10/25/2043 | 28,382,802 | 28,572,187 | ||||||
WaMu Mortgage Pass-Through Certificates: | ||||||||
Series 2004-CB1, Class 5A, 5.000%, 06/25/2019 | 322,492 | 328,972 | ||||||
Series 2004-CB2, Class 7A, 5.500%, 08/25/2019 | 581,573 | 594,793 | ||||||
Series 2004-CB3, Class 3A, 5.500%, 10/25/2019 | 52,712 | 54,293 | ||||||
Series 2004-CB3, Class 4A, 6.000%, 10/25/2019 | 195,326 | 203,070 | ||||||
Series 2004-CB4, Class 21A, 5.500%, 12/25/2019 | 137,606 | 141,372 | ||||||
Series 2004-CB2, Class 3A, 6.000%, 08/25/2034 | 10,210,541 | 10,896,996 | ||||||
Series 2004-CB3, Class 2A, 6.500%, 10/25/2034 | 6,125,791 | 6,677,838 | ||||||
Series 2004-AR14, Class A1, 2.582%, 01/25/2035 | 12,937,204 | 12,996,051 | ||||||
Wells Fargo Mortgage Backed Securities, | ||||||||
Series 2005-AR10, Class 2A17, 2.738%, 06/25/2035 | 29,781,739 | 30,287,695 | ||||||
245,772,357 | 3.7% | |||||||
Asset Backed Securities | ||||||||
Accredited Mortgage Loan Trust: | ||||||||
Series 2006-1, Class A3, 0.602%, 04/25/2036 | 5,908,605 | 5,872,885 | ||||||
Series 2006-2, Class A3, 0.572%, 09/25/2036 | 16,301,396 | 16,112,564 | ||||||
Argent Securities Inc Asset-Backed Pass-Through Certificates, | ||||||||
Series 2005-W3, Class A2D, 0.762%, 11/25/2035 | 7,048,181 | 6,837,770 | ||||||
Asset Backed Securities Corp. Home Equity Loan Trust, | ||||||||
Series 2006-HE1, Class A3, 0.622%, 01/25/2036 | 16,614,099 | 16,192,991 | ||||||
Bayview Financial Acquisition Trust, | ||||||||
Series 2007-A, Class 1A2, 6.205%, 05/28/2037 | 106,499 | 111,525 | ||||||
Bayview Financial Mortgage Pass-Through Trust, | ||||||||
Series 2007-B, Class 1A2, 6.831%, 08/28/2047 | 2,201,660 | 1,892,947 | ||||||
Capital Auto Receivables Asset Trust: | ||||||||
Series 2013-1, Class A3, 0.790%, 06/20/2017 | 1,935,850 | 1,935,312 | ||||||
Series 2013-4, Class A3, 1.090%, 03/20/2018 | 35,867,612 | 35,825,335 | ||||||
Series 2014-1, Class A3, 1.320%, 06/20/2018 | 12,605,000 | 12,600,262 | ||||||
Citibank Credit Card Issuance Trust, | ||||||||
Series 2007-A3, Class A3, 6.150%, 06/15/2039 | 4,166,000 | 5,289,772 | ||||||
Citigroup Mortgage Loan Trust, Inc., | ||||||||
Series 2005-HE4, Class A2D, 0.782%, 10/25/2035 | 9,660,285 | 9,537,971 | ||||||
Conseco Financial Corp.: | ||||||||
Series 1993-3, Class A7, 6.400%, 10/15/2018 | 41,616 | 41,609 | ||||||
Series 1993-4, Class A5, 7.050%, 01/15/2019 | 16,289 | 16,619 | ||||||
Series 1998-2, Class A5, 6.240%, 12/01/2028 | 510,058 | 523,513 | ||||||
Series 1997-6, Class A8, 7.070%, 01/15/2029 | 443 | 444 | ||||||
Series 1998-3, Class A5, 6.220%, 03/01/2030 | 545,325 | 568,879 | ||||||
Series 1998-4, Class A5, 6.180%, 04/01/2030 | 3,047,393 | 3,243,082 | ||||||
Contimortgage Home Equity Loan Trust, | ||||||||
Series 1997-2, Class A9, 7.090%, 04/15/2028 | 4 | 4 | ||||||
Countrywide Asset-Backed Certificates: | ||||||||
Series 2004-S1, Class A3, 5.115%, 02/25/2035 | 801,929 | 815,428 | ||||||
Series 2004-15, Class AF6, 4.613%, 04/25/2035 | 875,123 | 879,231 | ||||||
Series 2005-1, Class AF6, 5.030%, 07/25/2035 | 1,696,095 | 1,724,282 | ||||||
Series 2005-10, Class AF6, 4.579%, 02/25/2036 | 1,213,224 | 1,234,634 | ||||||
Series 2005-11, Class AF3, 4.778%, 02/25/2036 | 5,177,205 | 5,287,635 | ||||||
Series 2005-13, Class AF3, 4.874%, 04/25/2036 § | 2,560,300 | 2,275,303 | ||||||
Series 2005-17, Class 1AF5, 4.788%, 05/25/2036 § | 587,681 | 786,323 | ||||||
Series 2005-17, Class 1AF2, 4.788%, 05/25/2036 § | 83,686 | 180,087 | ||||||
Series 2006-10, Class 1AF3, 4.778%, 09/25/2046 § | 1,151,438 | 1,026,957 | ||||||
Credit-Based Asset Servicing and Securitization LLC, | ||||||||
Series 2005-CB8, Class AF2, 4.122%, 12/25/2035 | 230,696 | 228,035 | ||||||
CWHEQ Home Equity Loan Trust, | ||||||||
Series 2007-S1, Class A6, 5.693%, 11/25/2036 | 377,571 | 371,886 | ||||||
Deutsche Mortgage Securities Inc Mortgage Loan Trust, | ||||||||
Series 2004-4, Class 1A6, 6.000%, 04/25/2034 | 25,226 | 25,846 | ||||||
First Franklin Mortgage Loan Trust, | ||||||||
Series 2006-FFH1, Class A4, 0.722%, 01/25/2036 | 4,237,454 | 4,114,265 | ||||||
Ford Credit Auto Owner Trust, | ||||||||
Series 2014-2, Class A, 2.310%, 04/15/2026 (Acquired 02/20/2015 through 02/23/2015, Cost $18,202,814) * | 18,085,000 | 18,055,308 | ||||||
GE Capital Mortgage Services Inc. Trust, | ||||||||
Series 1999-HE1, Class A7, 6.265%, 04/25/2029 | 1,296 | 1,312 | ||||||
GE Mortgage Services LLC, | ||||||||
Series 1997-HE4, Class A7, 6.735%, 12/25/2028 § | 72 | 54 | ||||||
GMACM Mortgage Loan Trust, | ||||||||
Series 2004-GH1, Class A6, 4.810%, 07/25/2035 | 8,313 | 8,291 | ||||||
GSAMP Trust: | ||||||||
Series 2005-WMC2, Class A1B, 0.732%, 11/25/2035 | 14,858,838 | 14,260,559 | ||||||
Series 2005-WMC2, Class A2C, 0.772%, 11/25/2035 | 14,773,695 | 14,248,942 | ||||||
IMC Home Equity Loan Trust, | ||||||||
Series 1997-5, Class A10, 6.880%, 11/20/2028 | 3,170 | 3,162 | ||||||
J.P. Morgan Mortgage Acquisition Trust: | ||||||||
Series 2006-CH1, Class A1, 0.552%, 07/25/2036 | 7,481,482 | 7,198,141 | ||||||
Series 2007-CH1, Class AV4, 0.552%, 11/25/2036 | 367,115 | 366,864 | ||||||
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 | 13,961,727 | ||||||
Long Beach Mortgage Loan Trust, | ||||||||
Series 2006-WL2, Class 2A3, 0.622%, 01/25/2036 | 5,096,988 | 4,919,276 | ||||||
MASTR Asset Backed Securities Trust, | ||||||||
Series 2006-NC1, Class A4, 0.722%, 01/25/2036 | 13,000,000 | 12,492,742 | ||||||
Nationstar Home Equity Loan Trust, | ||||||||
Series 2006-B, Class AV3, 0.592%, 09/25/2036 | 1,081,375 | 1,081,248 | ||||||
Oakwood Mortgage Investors, Inc., | ||||||||
Series 1999-B, Class A3, 6.450%, 11/15/2017 | 34,251 | 36,366 | ||||||
OneMain Financial Issuance Trust, | ||||||||
Series 2014-2A, Class A, 2.470%, 09/18/2024 (Acquired 11/16/2015, Cost $27,911,697) * | 27,997,000 | 27,941,846 | ||||||
RAAC Series Trust, | ||||||||
Series 2004-SP1, Class AI4, 5.285%, 08/25/2027 | 14,386 | 14,614 | ||||||
RAMP Series Trust: | ||||||||
Series 2003-RS7, Class AI6, 5.340%, 08/25/2033 | 187,150 | 187,614 | ||||||
Series 2003-RS10, Class AI7, 4.850%, 11/25/2033 | 4,839 | 4,860 | ||||||
Series 2005-RS1, Class AI6, 4.713%, 01/25/2035 | 91,950 | 92,948 | ||||||
RASC Series Trust: | ||||||||
Series 2003-KS2, Class AI6, 3.990%, 04/25/2033 | 318,036 | 317,665 | ||||||
Series 2003-KS5, Class AI6, 3.620%, 07/25/2033 | 18,094 | 17,604 | ||||||
Series 2004-KS2, Class AI6, 4.300%, 03/25/2034 | 38,726 | 39,118 | ||||||
Renaissance Home Equity Loan Trust, | ||||||||
Series 2007-1, Class AF3, 5.612%, 04/25/2037 | 2,580,774 | 1,372,796 | ||||||
Republic Services, Inc., | ||||||||
Series 2006-KS4, Class A4, 0.662%, 06/25/2036 | 24,861,643 | 24,160,124 | ||||||
Securitized Asset Backed Receivables LLC Trust, | ||||||||
Series 2005-OP2, Class A1, 0.747%, 10/25/2035 (Acquired 03/13/2014, Cost $2,070,193) * | 2,095,735 | 2,072,965 | ||||||
Specialty Underwriting & Residential Finance Trust: | ||||||||
Series 2004-BC4, Class A1A, 1.092%, 10/25/2035 | 3,294,184 | 3,209,697 | ||||||
Series 2006-BC1, Class A2D, 0.722%, 12/25/2036 | 4,436,698 | 4,307,207 | ||||||
Springleaf Funding Trust: | ||||||||
Series 2014-AA, Class A, 2.410%, 12/15/2022 (Acquired 02/10/2015 through 09/03/2015, Cost $18,267,971) * | 18,244,000 | 18,192,178 | ||||||
Series 2013-BA, Class A, 3.920%, 01/16/2023 (Acquired 08/11/2015, Cost $19,996,875) * | 20,000,000 | 20,011,400 | ||||||
Structured Asset Securities Corp., | ||||||||
Series 2005-WF1, Class A3, 1.082%, 02/25/2035 | 16,465,865 | 15,942,524 | ||||||
Synchrony Credit Card Master Note Trust: | ||||||||
Series 2012-3, Class A, 0.781%, 03/15/2020 | 58,340,000 | 58,244,929 | ||||||
Series 2015-2, Class A, 1.600%, 04/15/2021 | 8,625,000 | 8,563,469 | ||||||
Series 2015-1, Class A, 2.370%, 03/15/2023 | 12,841,000 | 12,785,323 | ||||||
TCF Auto Receivables Owner Trust: | ||||||||
Series 2015-1A, Class A2, 1.020%, 08/15/2018 (Acquired 06/03/2015, Cost $22,852,924) * | 22,854,240 | 22,812,682 | ||||||
Series 2015-2A, Class A2, 1.640%, 01/15/2019 (Acquired 11/18/2015, Cost $21,499,925) * | 21,500,000 | 21,469,773 | ||||||
463,948,724 | 6.9% | |||||||
Commercial Mortgage-Backed Securities | ||||||||
Citigroup Commercial Mortgage Trust, | ||||||||
Series 2014-GC19, Class A3, 3.753%, 03/10/2047 | 11,025,000 | 11,384,244 | ||||||
COMM Mortgage Trust: | ||||||||
Series 2012-CR1, Class A3, 3.391%, 05/15/2045 | 7,813,462 | 8,026,499 | ||||||
Series 2013-CR9, Class A3, 4.022%, 07/10/2045 | 11,900,000 | 12,592,469 | ||||||
Series 2012-CR2, Class A4, 3.147%, 08/15/2045 | 19,660,536 | 19,843,096 | ||||||
Series 2013-CR10, Class A3, 3.923%, 08/10/2046 | 13,875,000 | 14,599,898 | ||||||
Federal National Mortgage Association (FNMA), | ||||||||
Series 2011-M4, Class A2, 3.726%, 06/25/2021 | 20,000,000 | 21,311,958 | ||||||
FHLMC Multifamily Structured Pass Through Certificates, | ||||||||
Series K003, Class A4, 5.053%, 01/25/2019 | 13,175,000 | 14,340,759 | ||||||
GS Mortgage Securities Corp. II, | ||||||||
Series 2012-GCJ9, Class A3, 2.773%, 11/10/2045 | 23,297,320 | 22,917,441 | ||||||
J.P. Morgan Chase Commercial Mortgage Securities Corp., | ||||||||
Series 2012-LC9, Class A5, 2.840%, 12/15/2047 | 8,625,059 | 8,500,620 | ||||||
J.P. Morgan Chase Commercial Mortgage Securities Trust: | ||||||||
Series 2012-C8, Class ASB, 2.379%, 10/15/2045 | 9,965,000 | 9,864,242 | ||||||
Series 2013-LC11, Class A5, 2.960%, 04/15/2046 | 11,802,913 | 11,618,205 | ||||||
Series 2013-C10, Class ASB, 2.702%, 12/15/2047 | 10,000,000 | 9,987,925 | ||||||
JPMBB Commercial Mortgage Securities Trust: | ||||||||
Series 2013-C17, Class A3, 3.928%, 01/15/2047 | 8,450,000 | 8,914,192 | ||||||
Series 2014-C25, Class ASB, 3.407%, 11/15/2047 | 7,138,000 | 7,248,139 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust: | ||||||||
Series 2012-C5, Class A4, 3.176%, 08/15/2045 | 27,615,000 | 28,035,701 | ||||||
Series 2012-C6, Class A4, 2.858%, 11/15/2045 | 23,670,945 | 23,564,679 | ||||||
Series 2013-C11, Class A3, 3.960%, 08/15/2046 | 12,100,000 | 12,746,253 | ||||||
Series 2013-C12, Class A3, 3.973%, 10/15/2046 | 22,850,000 | 24,247,917 | ||||||
Wells Fargo Commercial Mortgage Trust: | ||||||||
Series 2013-LC12, Class A3, 3.986%, 07/15/2046 | 9,300,000 | 9,874,444 | ||||||
Series 2015-C27, Class ASB, 3.278%, 02/15/2048 | 18,000,000 | 18,113,100 | ||||||
Series 2015-P2, Class A3, 3.541%, 12/15/2048 | 31,100,000 | 31,198,755 | ||||||
WFRBS Commercial Mortgage Trust: | ||||||||
Series 2012-C6, Class A4, 3.440%, 04/15/2045 | 22,864,220 | 23,482,023 | ||||||
Series 2013-C18, Class A4, 3.896%, 12/15/2046 | 11,800,000 | 12,313,283 | ||||||
Series 2014-C21, Class A5, 3.678%, 08/15/2047 | 11,254,000 | 11,512,089 | ||||||
Series 2014-C24, Class A4, 3.343%, 11/15/2047 | 10,330,000 | 10,285,799 | ||||||
Series 2014-C23, Class ASB, 3.636%, 10/15/2057 | 6,920,000 | 7,125,344 | ||||||
393,649,074 | 5.8% | |||||||
Total Long-Term Investments (Cost $6,788,667,834) | 6,714,337,232 | 99.5% | ||||||
Shares | ||||||||
SHORT-TERM INVESTMENTS | ||||||||
Money Market Mutual Funds | ||||||||
Dreyfus Cash Advantage Fund, 0.26% « | 26,346,923 | 26,346,923 | ||||||
Short-Term Investments Trust - Liquid Assets Portfolio, 0.29% « | 134,000,000 | 134,000,000 | ||||||
Total Short-Term Investments (Cost $160,346,923) | 160,346,923 | 2.4% | ||||||
INVESTMENT PURCHASED WITH CASH PROCEEDS FROM | ||||||||
SECURITIES LENDING | ||||||||
Investment Company | ||||||||
Mount Vernon Securities Lending Trust Prime Portfolio, 0.49% « | 182,206,644 | 182,206,644 | ||||||
Total Investment Company (Cost $182,206,644) | 182,206,644 | 2.7% | ||||||
Total Investment Purchased with Cash Proceeds From | ||||||||
Securities Lending (Cost $182,206,644) | 182,206,644 | 2.7% | ||||||
Total Investments (Cost $7,131,221,401) | 7,056,890,799 | 104.6% | ||||||
Liabilities in Excess of Other Assets | (308,827,979) | (4.6)% | ||||||
TOTAL NET ASSETS | $ 6,748,062,820 | 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 December 31, 2015, the value of these securities total $992,044,292, which represents 14.70% of total net assets. | |
@ | This security or portion of this security is out on loan at December 31, 2015. | |
f | Foreign Security | |
§ | Security in Default | |
^ | Non-Income Producing | |
« | 7-Day Yield |
Baird Core Plus Bond Fund | ||||||||
Schedule of Investments | ||||||||
December 31, 2015 | ||||||||
Principal | % of | |||||||
Amount | Value | Net Assets | ||||||
LONG-TERM INVESTMENTS | ||||||||
U.S. Treasury Securities | ||||||||
U.S. Treasury Bonds: | ||||||||
1.250%, 04/30/2019 | $ 54,125,000 | $ 53,780,386 | ||||||
2.625%, 08/15/2020 | 395,825,000 | 411,178,656 | ||||||
1.750%, 03/31/2022 @ | 104,975,000 | 103,359,330 | ||||||
2.500%, 05/15/2024 | 143,950,000 | 147,093,292 | ||||||
3.500%, 02/15/2039 @ | 534,645,000 | 591,367,627 | ||||||
2.500%, 02/15/2045 | 26,550,000 | 23,828,625 | ||||||
1,330,607,916 | 14.2% | |||||||
Corporate Bonds | ||||||||
Finance | ||||||||
Abbey National Treasury Services PLC, | ||||||||
4.000%, 03/13/2024 @ f | 7,700,000 | 8,030,191 | ||||||
ABN AMRO Bank NV: | ||||||||
4.250%, 02/02/2017 (Acquired 01/30/2012, Cost $4,995,100) * f | 5,000,000 | 5,134,455 | ||||||
2.500%, 10/30/2018 (Acquired 10/23/2013 through 10/24/2014, Cost $6,807,485) * f | 6,750,000 | 6,792,977 | ||||||
2.450%, 06/04/2020 (Acquired 05/28/2015, Cost $12,771,840) * f | 12,800,000 | 12,690,074 | ||||||
4.750%, 07/28/2025 (Acquired 07/21/2015, Cost $9,973,200) * f | 10,000,000 | 9,967,000 | ||||||
AIA Group Ltd., | ||||||||
3.200%, 03/11/2025 (Acquired 03/04/2015, Cost $8,988,570) * f | 9,000,000 | 8,686,998 | ||||||
AIG SunAmerica Global Financing X, | ||||||||
6.900%, 03/15/2032 (Acquired 11/10/2011, Cost $2,122,852) * | 2,000,000 | 2,567,086 | ||||||
Ally Financial, Inc.: | ||||||||
5.500%, 02/15/2017 | 7,275,000 | 7,493,250 | ||||||
3.600%, 05/21/2018 | 7,000,000 | 7,000,000 | ||||||
3.250%, 11/05/2018 | 8,000,000 | 7,850,000 | ||||||
8.000%, 12/31/2018 | 1,206,000 | 1,320,570 | ||||||
3.750%, 11/18/2019 @ | 18,200,000 | 17,949,750 | ||||||
5.125%, 09/30/2024 @ | 3,000,000 | 3,071,250 | ||||||
American Express Credit Corp., | ||||||||
0.852%, 08/15/2019 | 7,450,000 | 7,288,231 | ||||||
American International Group, Inc.: | ||||||||
6.400%, 12/15/2020 | 3,500,000 | 4,037,722 | ||||||
4.875%, 06/01/2022 | 10,625,000 | 11,474,363 | ||||||
3.750%, 07/10/2025 | 11,400,000 | 11,298,084 | ||||||
3.875%, 01/15/2035 | 5,000,000 | 4,410,160 | ||||||
6.820%, 11/15/2037 | 4,173,000 | 4,985,579 | ||||||
AmSouth Bancorporation, | ||||||||
6.750%, 11/01/2025 | 710,000 | 805,862 | ||||||
ANZ New Zealand (Int'l) Ltd., | ||||||||
1.750%, 03/29/2018 (Acquired 03/24/2015, Cost $6,149,262) * f | 6,150,000 | 6,108,082 | ||||||
Australia & New Zealand Banking Group Ltd./New York NY, | ||||||||
3.700%, 11/16/2025 f | 7,875,000 | 8,078,577 | ||||||
Australia and New Zealand Banking Group Ltd., | ||||||||
4.500%, 03/19/2024 (Acquired 03/12/2014, Cost $8,987,760) * @ f | 9,000,000 | 9,031,968 | ||||||
Banco Santander (Brasil) SA, | ||||||||
4.625%, 02/13/2017 (Acquired 02/06/2012, Cost $994,140) * f | 1,000,000 | 1,008,500 | ||||||
Bank of America Corp.: | ||||||||
6.875%, 04/25/2018 | 1,250,000 | 1,379,071 | ||||||
7.625%, 06/01/2019 | 7,735,000 | 8,959,590 | ||||||
2.625%, 10/19/2020 @ | 4,500,000 | 4,443,395 | ||||||
3.300%, 01/11/2023 | 9,450,000 | 9,301,871 | ||||||
7.750%, 05/14/2038 | 725,000 | 983,667 | ||||||
BanPonce Trust I, | ||||||||
Series A, 8.327%, 02/01/2027 | 2,310,000 | 2,184,532 | ||||||
Barclays Bank PLC: | ||||||||
6.750%, 05/22/2019 f | 9,850,000 | 11,198,199 | ||||||
3.750%, 05/15/2024 f | 1,450,000 | 1,477,946 | ||||||
Barclays PLC: | ||||||||
2.750%, 11/08/2019 f | 7,000,000 | 6,974,429 | ||||||
3.650%, 03/16/2025 f | 8,000,000 | 7,688,200 | ||||||
BB&T Corp.: | ||||||||
2.450%, 01/15/2020 | 15,000,000 | 15,100,515 | ||||||
2.625%, 06/29/2020 | 13,000,000 | 13,075,582 | ||||||
Berkshire Hathaway Finance Corp., | ||||||||
4.400%, 05/15/2042 | 3,500,000 | 3,465,430 | ||||||
BNP Paribas SA: | ||||||||
0.804%, 05/07/2017 f | 6,500,000 | 6,493,045 | ||||||
2.375%, 09/14/2017 f | 3,000,000 | 3,035,637 | ||||||
5.000%, 01/15/2021 f | 5,000,000 | 5,532,410 | ||||||
3.250%, 03/03/2023 f | 4,000,000 | 3,994,844 | ||||||
BNZ International Funding Ltd., | ||||||||
2.350%, 03/04/2019 (Acquired 09/03/2014 through 11/03/2014, Cost $13,752,630) * f | 13,775,000 | 13,694,155 | ||||||
BOKF NA, | ||||||||
1.052%, 05/15/2017 | 3,000,000 | 2,987,391 | ||||||
BPCE: | ||||||||
2.500%, 12/10/2018 f | 5,500,000 | 5,546,607 | ||||||
2.250%, 01/27/2020 @ f | 4,000,000 | 3,943,824 | ||||||
5.700%, 10/22/2023 (Acquired 10/15/2013 through 11/10/2014, Cost $29,964,323) * f | 28,500,000 | 29,923,432 | ||||||
Caisse Centrale Desjardins: | ||||||||
1.550%, 09/12/2017 (Acquired 07/07/2015, Cost $6,008,485) * f | 6,000,000 | 5,960,856 | ||||||
0.989%, 01/29/2018 (Acquired 01/26/2015, Cost $28,875,000) * f | 28,875,000 | 28,818,549 | ||||||
Capital One Bank (USA) National Association, | ||||||||
3.375%, 02/15/2023 @ | 22,082,000 | 21,608,937 | ||||||
Capital One Financial Corp.: | ||||||||
6.150%, 09/01/2016 | 4,425,000 | 4,559,454 | ||||||
2.450%, 04/24/2019 | 3,975,000 | 3,982,262 | ||||||
Capital One NA, | ||||||||
1.650%, 02/05/2018 | 8,400,000 | 8,316,890 | ||||||
CIT Group, Inc.: | ||||||||
4.250%, 08/15/2017 | 1,000,000 | 1,022,500 | ||||||
5.500%, 02/15/2019 (Acquired 02/02/2012, Cost $500,000) * @ | 500,000 | 522,500 | ||||||
5.000%, 08/01/2023 | 5,000,000 | 5,075,000 | ||||||
Citigroup, Inc.: | �� | |||||||
1.850%, 11/24/2017 | 11,500,000 | 11,483,026 | ||||||
1.700%, 04/27/2018 | 12,650,000 | 12,524,601 | ||||||
2.050%, 12/07/2018 | 12,550,000 | 12,483,698 | ||||||
2.400%, 02/18/2020 @ | 8,000,000 | 7,906,400 | ||||||
Citizens Bank, National Association, | ||||||||
2.450%, 12/04/2019 | 36,000,000 | 35,415,396 | ||||||
CNA Financial Corp.: | ||||||||
7.350%, 11/15/2019 | 1,175,000 | 1,352,809 | ||||||
5.875%, 08/15/2020 | 6,839,000 | 7,579,575 | ||||||
5.750%, 08/15/2021 | 9,177,000 | 10,271,256 | ||||||
7.250%, 11/15/2023 | 7,400,000 | 8,746,253 | ||||||
CNO Financial Group, Inc.: | ||||||||
4.500%, 05/30/2020 | 5,000,000 | 5,100,000 | ||||||
5.250%, 05/30/2025 | 18,640,000 | 18,966,200 | ||||||
Comerica Bank: | ||||||||
5.200%, 08/22/2017 | 5,980,000 | 6,273,504 | ||||||
4.000%, 07/27/2025 | 21,425,000 | 21,718,501 | ||||||
Commonwealth Bank of Australia, | ||||||||
5.000%, 10/15/2019 (Acquired 03/02/2012 through 08/16/2012, Cost $6,185,164) * f | 5,900,000 | 6,441,632 | ||||||
Compass Bank: | ||||||||
2.750%, 09/29/2019 | 32,720,000 | 32,392,669 | ||||||
3.875%, 04/10/2025 | 10,200,000 | 9,349,014 | ||||||
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA, | ||||||||
1.700%, 03/19/2018 f | 5,250,000 | 5,247,333 | ||||||
Countrywide Financial Corp., | ||||||||
6.250%, 05/15/2016 | 2,100,000 | 2,135,398 | ||||||
Credit Mutuel-CIC Home Loan SFH, | ||||||||
1.500%, 11/16/2017 (Acquired 11/08/2012, Cost $4,981,300) * f | 5,000,000 | 4,982,885 | ||||||
Credit Suisse: | ||||||||
1.700%, 04/27/2018 f | 5,800,000 | 5,758,356 | ||||||
5.300%, 08/13/2019 f | 6,966,000 | 7,692,414 | ||||||
3.000%, 10/29/2021 f | 12,600,000 | 12,549,865 | ||||||
Credit Suisse Group Funding Guernsey Ltd.: | ||||||||
3.800%, 09/15/2022 (Acquired 09/10/2015, Cost $8,485,465) * f | 8,500,000 | 8,493,293 | ||||||
3.750%, 03/26/2025 (Acquired 03/23/2015, Cost $14,964,000) * f | 15,000,000 | 14,509,260 | ||||||
Deutsche Bank AG: | ||||||||
3.250%, 01/11/2016 f | 2,000,000 | 2,000,750 | ||||||
0.969%, 02/13/2017 f | 9,729,000 | 9,667,931 | ||||||
1.039%, 02/13/2018 f | 9,000,000 | 8,957,601 | ||||||
1.875%, 02/13/2018 f | 8,494,000 | 8,421,775 | ||||||
2.950%, 08/20/2020 f | 8,625,000 | 8,637,748 | ||||||
Discover Bank: | ||||||||
8.700%, 11/18/2019 | 3,237,000 | 3,829,475 | ||||||
3.100%, 06/04/2020 | 12,000,000 | 12,027,228 | ||||||
Discover Financial Services, | ||||||||
3.950%, 11/06/2024 | 25,000,000 | 24,643,950 | ||||||
Fifth Third Bancorp: | ||||||||
0.990%, 12/20/2016 | 9,585,000 | 9,547,494 | ||||||
2.150%, 08/20/2018 | 7,200,000 | 7,220,506 | ||||||
2.875%, 07/27/2020 | 9,250,000 | 9,239,732 | ||||||
First Horizon National Corp., | ||||||||
3.500%, 12/15/2020 | 4,000,000 | 3,965,264 | ||||||
First Tennessee Bank National Association, | ||||||||
2.950%, 12/01/2019 | 12,000,000 | 11,908,716 | ||||||
FMR LLC: | ||||||||
4.950%, 02/01/2033 (Acquired 01/29/2013 through 12/23/2014, Cost $4,398,740) * | 4,235,000 | 4,420,807 | ||||||
6.500%, 12/14/2040 (Acquired 04/04/2013 through 10/28/2013, Cost $2,269,329) * | 1,820,000 | 2,266,697 | ||||||
GE Capital International Funding Co.: | ||||||||
0.964%, 04/15/2016 f | 8,111,000 | 8,114,658 | ||||||
2.342%, 11/15/2020 (Acquired 01/29/2010 through 01/06/2015, Cost $22,442,663) * f | 24,096,000 | 23,895,039 | ||||||
Genworth Holdings, Inc., | ||||||||
7.625%, 09/24/2021 | 1,000,000 | 830,450 | ||||||
Goldman Sachs Capital I, | ||||||||
6.345%, 02/15/2034 | 125,000 | 146,236 | ||||||
Highmark, Inc., | ||||||||
4.750%, 05/15/2021 (Acquired 07/30/2014, Cost $7,849,917) * | 7,800,000 | 7,922,093 | ||||||
HSBC Bank USA, National Association, | ||||||||
6.000%, 08/09/2017 | 2,720,000 | 2,893,381 | ||||||
HSBC Finance Corp.: | ||||||||
5.500%, 01/19/2016 | 2,420,000 | 2,423,966 | ||||||
6.676%, 01/15/2021 | 24,693,000 | 28,339,564 | ||||||
HSBC USA, Inc., | ||||||||
2.350%, 03/05/2020 | 2,750,000 | 2,718,031 | ||||||
Humana, Inc., | ||||||||
7.200%, 06/15/2018 | 800,000 | 895,134 | ||||||
ING Bank NV: | ||||||||
4.000%, 03/15/2016 (Acquired 03/08/2011 through 09/20/2011, Cost $1,599,301) * f | 1,600,000 | 1,610,048 | ||||||
3.750%, 03/07/2017 (Acquired 02/29/2012 through 04/24/2013, Cost $4,980,124) * f | 5,000,000 | 5,122,470 | ||||||
2.050%, 08/17/2018 (Acquired 08/10/2015, Cost $4,122,484) * f | 4,125,000 | 4,121,151 | ||||||
2.450%, 03/16/2020 (Acquired 03/10/2015, Cost $9,257,656) * f | 9,275,000 | 9,246,229 | ||||||
5.000%, 06/09/2021 (Acquired 10/12/2011, Cost $2,468,800) * f | 2,500,000 | 2,751,610 | ||||||
5.800%, 09/25/2023 (Acquired 01/14/2014, Cost $2,931,563) * f | 2,800,000 | 3,042,116 | ||||||
Invesco Finance PLC, | ||||||||
3.125%, 11/30/2022 f | 5,500,000 | 5,422,137 | ||||||
iStar Financial, Inc., | ||||||||
5.850%, 03/15/2017 | 500,000 | 508,750 | ||||||
J.P. Morgan Chase & Co.: | ||||||||
0.870%, 04/25/2018 | 2,300,000 | 2,283,939 | ||||||
2.200%, 10/22/2019 | 3,500,000 | 3,471,654 | ||||||
4.250%, 10/15/2020 | 8,100,000 | 8,592,837 | ||||||
4.350%, 08/15/2021 | 2,400,000 | 2,554,159 | ||||||
4.500%, 01/24/2022 | 4,400,000 | 4,745,866 | ||||||
3.200%, 01/25/2023 | 5,350,000 | 5,332,532 | ||||||
3.125%, 01/23/2025 | 21,850,000 | 21,255,702 | ||||||
Jefferies Group LLC, | ||||||||
6.450%, 06/08/2027 | 1,000,000 | 1,056,856 | ||||||
John Hancock Life Insurance Co., | ||||||||
7.375%, 02/15/2024 (Acquired 08/26/2010 through 04/11/2013, Cost $11,730,194) * | 9,765,000 | 11,592,090 | ||||||
Kemper Corp., | ||||||||
6.000%, 05/15/2017 | 1,000,000 | 1,038,867 | ||||||
KeyBank National Association: | ||||||||
4.625%, 06/15/2018 | 2,670,000 | 2,796,326 | ||||||
2.250%, 03/16/2020 | 9,425,000 | 9,319,562 | ||||||
KeyCorp, | ||||||||
2.900%, 09/15/2020 | 17,200,000 | 17,135,345 | ||||||
Kookmin Bank, | ||||||||
1.625%, 07/14/2017 (Acquired 07/07/2014, Cost $4,985,900) * f | 5,000,000 | 4,975,035 | ||||||
LeasePlan Corp. NV: | ||||||||
3.000%, 10/23/2017 (Acquired 10/15/2012 through 02/07/2013, Cost $10,025,338) * f | 10,000,000 | 10,030,240 | ||||||
2.500%, 05/16/2018 (Acquired 05/07/2013 through 08/27/2015, Cost $35,345,389) * f | 35,204,000 | 34,671,469 | ||||||
2.875%, 01/22/2019 (Acquired 10/14/2015, Cost $4,996,900) * f | 5,000,000 | 4,935,625 | ||||||
Liberty Mutual Group, Inc.: | ||||||||
6.500%, 03/15/2035 (Acquired 09/29/2008 through 04/16/2013, Cost $699,856) * | 700,000 | 826,068 | ||||||
10.750%, 06/15/2058 (Acquired 05/21/2008 through 05/06/2009, Cost $751,517) * | 900,000 | 1,341,000 | ||||||
Liberty Mutual Insurance Co., | ||||||||
7.697%, 10/15/2097 (Acquired 03/26/2003, Cost $240,082) * | 375,000 | 462,865 | ||||||
Lincoln National Corp.: | ||||||||
8.750%, 07/01/2019 | 11,378,000 | 13,665,149 | ||||||
6.050%, 04/20/2067 | 930,000 | 725,400 | ||||||
Lloyds Bank PLC: | ||||||||
4.200%, 03/28/2017 f | 2,000,000 | 2,061,460 | ||||||
0.912%, 05/14/2018 f | 3,200,000 | 3,176,787 | ||||||
5.800%, 01/13/2020 (Acquired 01/05/2010 through 01/19/2012, Cost $6,389,016) * f | 6,350,000 | 7,120,020 | ||||||
2.400%, 03/17/2020 f | 6,700,000 | 6,655,472 | ||||||
Macquarie Bank Ltd.: | ||||||||
2.000%, 08/15/2016 (Acquired 09/27/2013, Cost $3,504,526) * f | 3,500,000 | 3,513,317 | ||||||
0.953%, 10/27/2017 (Acquired 10/22/2014, Cost $8,000,000) * f | 8,000,000 | 7,962,600 | ||||||
1.600%, 10/27/2017 (Acquired 10/22/2014, Cost $7,595,364) * f | 7,600,000 | 7,544,566 | ||||||
2.400%, 01/21/2020 (Acquired 01/14/2015, Cost $12,971,400) * f | 13,000,000 | 12,878,502 | ||||||
Macquarie Group Ltd.: | ||||||||
4.875%, 08/10/2017 (Acquired 10/30/2014, Cost $1,046,919) * f | 1,000,000 | 1,034,993 | ||||||
7.625%, 08/13/2019 (Acquired 12/15/2014, Cost $2,868,870) * f | 2,467,000 | 2,825,169 | ||||||
Manufacturers & Traders Trust Co., | ||||||||
2.100%, 02/06/2020 | 8,000,000 | 7,856,968 | ||||||
Manufacturers And Traders Trust Co.: | ||||||||
6.625%, 12/04/2017 | 1,120,000 | 1,217,145 | ||||||
1.637%, 12/28/2020 | 9,483,000 | 9,471,687 | ||||||
Manulife Financial Corp., | ||||||||
4.900%, 09/17/2020 f | 2,784,000 | 3,030,145 | ||||||
Marsh & McLennan Cos., Inc.: | ||||||||
4.800%, 07/15/2021 | 1,000,000 | 1,088,495 | ||||||
3.750%, 03/14/2026 | 9,225,000 | 9,237,186 | ||||||
Massachusetts Mutual Life Insurance Co.: | ||||||||
7.625%, 11/15/2023 (Acquired 10/10/2012, Cost $4,061,574) * | 3,184,000 | 3,909,513 | ||||||
8.875%, 06/01/2039 (Acquired 10/03/2012 through 07/21/2015, Cost $41,922,855) * | 27,415,000 | 39,809,321 | ||||||
MBIA Insurance Corp., | ||||||||
11.581%, 01/15/2033 (Acquired 01/11/2008, Cost $700,000) * § | 700,000 | 131,250 | ||||||
MetLife Capital Trust IV, | ||||||||
7.875%, 12/15/2037 (Acquired 03/26/2012 through 04/05/2013, Cost $1,043,860) * | 900,000 | 1,098,000 | ||||||
MetLife, Inc.: | ||||||||
7.717%, 02/15/2019 | 1,157,000 | 1,344,215 | ||||||
4.050%, 03/01/2045 @ | 6,400,000 | 5,939,143 | ||||||
4.600%, 05/13/2046 | 6,000,000 | 6,039,684 | ||||||
Metropolitan Life Global Funding I, | ||||||||
3.875%, 04/11/2022 (Acquired 12/18/2012, Cost $1,591,856) * | 1,500,000 | 1,564,703 | ||||||
Mizuho Bank Ltd.: | ||||||||
1.850%, 03/21/2018 (Acquired 03/14/2013, Cost $1,847,447) * f | 1,850,000 | 1,840,049 | ||||||
2.650%, 09/25/2019 (Acquired 09/18/2014, Cost $4,991,400) * f | 5,000,000 | 5,024,745 | ||||||
2.400%, 03/26/2020 (Acquired 03/19/2015, Cost $19,974,800) * f | 20,000,000 | 19,794,460 | ||||||
Morgan Stanley: | ||||||||
5.450%, 01/09/2017 | 2,000,000 | 2,076,096 | ||||||
6.625%, 04/01/2018 | 1,275,000 | 1,398,076 | ||||||
7.300%, 05/13/2019 | 4,675,000 | 5,370,214 | ||||||
2.375%, 07/23/2019 | 2,000,000 | 1,993,298 | ||||||
5.625%, 09/23/2019 | 10,100,000 | 11,146,350 | ||||||
2.650%, 01/27/2020 | 7,000,000 | 6,980,967 | ||||||
3.750%, 02/25/2023 | 1,000,000 | 1,024,266 | ||||||
3.700%, 10/23/2024 | 5,000,000 | 5,024,045 | ||||||
4.000%, 07/23/2025 @ | 2,500,000 | 2,574,435 | ||||||
MUFG Americas Holdings Corp.: | ||||||||
2.250%, 02/10/2020 | 7,000,000 | 6,882,862 | ||||||
3.500%, 06/18/2022 | 1,150,000 | 1,166,236 | ||||||
National Australia Bank Ltd.: | ||||||||
2.750%, 03/09/2017 f | 6,000,000 | 6,100,566 | ||||||
1.875%, 07/23/2018 f | 6,000,000 | 5,981,574 | ||||||
National City Bank, | ||||||||
5.800%, 06/07/2017 | 6,170,000 | 6,504,895 | ||||||
Nationwide Building Society: | ||||||||
2.350%, 01/21/2020 (Acquired 01/12/2015, Cost $13,770,454) * f | 13,775,000 | 13,682,377 | ||||||
3.900%, 07/21/2025 (Acquired 07/14/2015, Cost $8,069,463) * f | 8,100,000 | 8,355,093 | ||||||
Nationwide Financial Services, Inc., | ||||||||
5.375%, 03/25/2021 (Acquired 02/05/2015 through 05/08/2015, Cost $16,507,892) * | 14,788,000 | 16,189,193 | ||||||
Nationwide Mutual Insurance Co.: | ||||||||
7.875%, 04/01/2033 (Acquired 10/13/2009, Cost $91,042) * | 100,000 | 128,530 | ||||||
9.375%, 08/15/2039 (Acquired 10/06/2015, Cost $8,589,816) * | 5,665,000 | 8,222,396 | ||||||
Navient LLC, | ||||||||
5.625%, 08/01/2033 | 50,000 | 33,500 | ||||||
New England Mutual Life Insurance Co., | ||||||||
7.875%, 02/15/2024 (Acquired 11/07/2012, Cost $4,109,837) * | 3,200,000 | 3,952,842 | ||||||
Nippon Life Insurance Co., | ||||||||
5.000%, 10/18/2042 (Acquired 10/11/2012, Cost $2,000,000) * f | 2,000,000 | 2,090,000 | ||||||
Nomura Holdings, Inc.: | ||||||||
2.000%, 09/13/2016 f | 3,000,000 | 3,012,060 | ||||||
2.750%, 03/19/2019 f | 11,268,000 | 11,328,791 | ||||||
6.700%, 03/04/2020 f | 2,525,000 | 2,911,719 | ||||||
Nordea Bank AB, | ||||||||
3.125%, 03/20/2017 (Acquired 03/14/2012 through 05/09/2012, Cost $8,011,429) * f | 8,000,000 | 8,157,840 | ||||||
Peachtree Corners Funding Trust, | ||||||||
3.976%, 02/15/2025 (Acquired 03/10/2015, Cost $16,000,000) * | 16,000,000 | 15,884,464 | ||||||
Principal Financial Group, Inc.: | ||||||||
3.300%, 09/15/2022 | 1,000,000 | 997,559 | ||||||
3.125%, 05/15/2023 @ | 3,550,000 | 3,478,056 | ||||||
Principal Life Global Funding II, | ||||||||
2.200%, 04/08/2020 (Acquired 03/31/2015, Cost $7,989,440) * | 8,000,000 | 7,929,592 | ||||||
Protective Life Corp., | ||||||||
2.700%, 11/25/2020 (Acquired 11/19/2015, Cost $10,715,562) * | 10,725,000 | 10,718,897 | ||||||
Prudential Financial, Inc., | ||||||||
6.000%, 12/01/2017 | 2,000,000 | 2,147,642 | ||||||
Rabobank Nederland, | ||||||||
3.875%, 02/08/2022 f | 4,150,000 | 4,379,844 | ||||||
Raymond James Financial, Inc., | ||||||||
8.600%, 08/15/2019 | 14,527,000 | 17,322,314 | ||||||
Regions Bank, | ||||||||
7.500%, 05/15/2018 | 15,864,000 | 17,627,125 | ||||||
Reliance Standard Life Global Funding II: | ||||||||
2.500%, 01/15/2020 (Acquired 01/07/2015, Cost $13,952,260) * | 14,000,000 | 13,867,924 | ||||||
2.375%, 05/04/2020 (Acquired 04/27/2015, Cost $14,356,224) * | 14,400,000 | 14,087,981 | ||||||
Royal Bank of Canada, | ||||||||
0.581%, 10/13/2017 f | 9,000,000 | 8,969,202 | ||||||
Santander Bank NA, | ||||||||
8.750%, 05/30/2018 | 7,034,000 | 7,938,889 | ||||||
Santander Issuances SAU, | ||||||||
5.179%, 11/19/2025 f | 6,150,000 | 6,056,815 | ||||||
Santander UK PLC, | ||||||||
5.000%, 11/07/2023 (Acquired 10/31/2013 through 01/27/2015, Cost $24,351,733) * f | 22,975,000 | 23,915,849 | ||||||
Simon Property Group LP, | ||||||||
1.500%, 02/01/2018 (Acquired 12/10/2012, Cost $11,962,200) * | 12,000,000 | 11,901,696 | ||||||
Societe Generale: | ||||||||
5.200%, 04/15/2021 (Acquired 09/20/2011 through 02/13/2013, Cost $9,998,053) * @ f | 10,100,000 | 11,334,493 | ||||||
5.000%, 01/17/2024 (Acquired 01/14/2014, Cost $2,972,790) * f | 3,000,000 | 3,057,912 | ||||||
4.250%, 04/14/2025 (Acquired 04/08/2015, Cost $11,812,680) * @ f | 12,000,000 | 11,324,556 | ||||||
Societe Generale SA, | ||||||||
4.750%, 11/24/2025 (Acquired 11/17/2015, Cost $10,759,176) * f | 10,800,000 | 10,450,469 | ||||||
SpareBank 1 Boligkreditt AS, | ||||||||
1.750%, 11/15/2019 (Acquired 11/07/2012, Cost $4,961,150) * f | 5,000,000 | 4,895,485 | ||||||
Springleaf Finance Corp., | ||||||||
6.900%, 12/15/2017 | 1,000,000 | 1,035,000 | ||||||
Standard Chartered PLC: | ||||||||
1.700%, 04/17/2018 (Acquired 04/13/2015, Cost $9,988,900) * f | 10,000,000 | 9,898,800 | ||||||
5.700%, 03/26/2044 (Acquired 03/21/2014 through 05/01/2014, Cost $14,102,738) * @ f | 14,000,000 | 14,011,298 | ||||||
Stifel Financial Corp.: | ||||||||
3.500%, 12/01/2020 | 5,000,000 | 4,942,475 | ||||||
4.250%, 07/18/2024 @ | 13,115,000 | 13,030,356 | ||||||
Sumitomo Mitsui Banking Corp.: | ||||||||
1.950%, 07/23/2018 f | 4,000,000 | 3,981,400 | ||||||
2.250%, 07/11/2019 f | 12,050,000 | 11,968,650 | ||||||
2.450%, 01/16/2020 f | 12,200,000 | 12,130,728 | ||||||
3.000%, 01/18/2023 f | 2,500,000 | 2,457,253 | ||||||
SunTrust Bank, | ||||||||
7.250%, 03/15/2018 | 5,682,000 | 6,282,110 | ||||||
SunTrust Banks, Inc., | ||||||||
3.500%, 01/20/2017 | 4,950,000 | 5,035,437 | ||||||
SUSA Partnership LP, | ||||||||
8.200%, 06/01/2017 | 1,000,000 | 1,081,887 | ||||||
Svenska Handelsbanken AB, | ||||||||
2.875%, 04/04/2017 f | 2,425,000 | 2,466,695 | ||||||
Swedbank AB, | ||||||||
2.125%, 09/29/2017 (Acquired 09/24/2012, Cost $2,995,470) * f | 3,000,000 | 3,013,956 | ||||||
Symetra Financial Corp., | ||||||||
6.125%, 04/01/2016 (Acquired 10/12/2010 through 12/12/2014, Cost $7,177,459) * | 7,127,000 | 7,200,451 | ||||||
Synchrony Financial: | ||||||||
3.750%, 08/15/2021 | 16,650,000 | 16,631,785 | ||||||
4.250%, 08/15/2024 | 24,225,000 | 23,897,042 | ||||||
4.500%, 07/23/2025 | 4,600,000 | 4,589,107 | ||||||
TD Ameritrade Holding Corp., | ||||||||
5.600%, 12/01/2019 | 1,000,000 | 1,114,256 | ||||||
The Bank of Nova Scotia, | ||||||||
1.700%, 06/11/2018 f | 15,325,000 | 15,266,872 | ||||||
The Bank of Tokyo-Mitsubishi UFJ Ltd.: | ||||||||
0.701%, 07/15/2016 f | 10,000,000 | 10,006,050 | ||||||
2.350%, 02/23/2017 (Acquired 02/14/2012, Cost $5,996,640) * f | 6,000,000 | 6,041,886 | ||||||
0.897%, 03/10/2017 (Acquired 11/12/2014, Cost $5,003,145) * f | 5,000,000 | 4,993,425 | ||||||
2.300%, 03/05/2020 (Acquired 02/25/2015, Cost $7,844,819) * f | 7,850,000 | 7,737,886 | ||||||
The Bear Stearns Companies LLC, | ||||||||
7.250%, 02/01/2018 | 2,250,000 | 2,481,948 | ||||||
The Chubb Corp., | ||||||||
6.375%, 04/15/2037 | 1,320,000 | 1,267,636 | ||||||
The Goldman Sachs Group, Inc.: | ||||||||
5.950%, 01/18/2018 | 3,000,000 | 3,230,931 | ||||||
6.150%, 04/01/2018 | 6,500,000 | 7,058,454 | ||||||
7.500%, 02/15/2019 | 1,825,000 | 2,088,276 | ||||||
2.550%, 10/23/2019 | 4,000,000 | 3,998,436 | ||||||
5.250%, 07/27/2021 | 1,000,000 | 1,105,620 | ||||||
5.750%, 01/24/2022 | 8,100,000 | 9,211,490 | ||||||
2.012%, 11/29/2023 | 10,000,000 | 10,088,750 | ||||||
3.500%, 01/23/2025 | 9,250,000 | 9,091,020 | ||||||
6.750%, 10/01/2037 | 300,000 | 350,681 | ||||||
The Guardian Life Insurance Co. of America: | ||||||||
7.375%, 09/30/2039 (Acquired 08/27/2015, Cost $8,456,327) * | 6,507,000 | 8,290,744 | ||||||
4.875%, 06/19/2064 (Acquired 06/16/2014, Cost $2,989,950) * | 3,000,000 | 2,848,095 | ||||||
The Hartford Financial Services Group, Inc.: | ||||||||
5.375%, 03/15/2017 | 2,913,000 | 3,038,230 | ||||||
5.125%, 04/15/2022 | 6,097,000 | 6,695,811 | ||||||
8.125%, 06/15/2038 | 1,365,000 | 1,492,968 | ||||||
The Huntington National Bank: | ||||||||
2.000%, 06/30/2018 | 13,000,000 | 12,918,126 | ||||||
2.200%, 11/06/2018 | 5,000,000 | 4,986,180 | ||||||
2.875%, 08/20/2020 | 12,000,000 | 11,908,104 | ||||||
Torchmark Corp., | ||||||||
3.800%, 09/15/2022 | 1,275,000 | 1,259,782 | ||||||
UBS AG: | ||||||||
1.375%, 08/14/2017 f | 3,000,000 | 2,981,490 | ||||||
1.800%, 03/26/2018 f | 14,500,000 | 14,475,727 | ||||||
UBS Group Funding Jersey Ltd., | ||||||||
2.034%, 09/24/2020 (Acquired 09/21/2015, Cost $26,350,000) * f | 26,350,000 | 26,444,597 | ||||||
UnitedHealth Group, Inc., | ||||||||
4.625%, 07/15/2035 | 12,175,000 | 12,639,087 | ||||||
Voya Financial, Inc., | ||||||||
5.500%, 07/15/2022 | 22,944,000 | 25,674,015 | ||||||
Wells Fargo & Co.: | ||||||||
Series N, 2.150%, 01/30/2020 | 7,000,000 | 6,938,673 | ||||||
2.600%, 07/22/2020 | 8,950,000 | 8,927,070 | ||||||
3.000%, 02/19/2025 | 5,000,000 | 4,863,295 | ||||||
Wells Fargo Bank, National Association, | ||||||||
6.000%, 11/15/2017 | 8,322,000 | 8,975,493 | ||||||
Westpac Banking Corp.: | ||||||||
2.000%, 08/14/2017 @ f | 8,000,000 | 8,049,968 | ||||||
4.875%, 11/19/2019 f | 636,000 | 692,775 | ||||||
Willis Group Holdings PLC, | ||||||||
5.750%, 03/15/2021 f | 20,329,000 | 22,465,883 | ||||||
Willis North America, Inc., | ||||||||
7.000%, 09/29/2019 | 16,003,000 | 17,935,138 | ||||||
2,054,305,988 | 21.9% |
Utility | ||||||||
Appalachian Power Co., | ||||||||
Series P, 6.700%, 08/15/2037 | 1,275,000 | 1,526,612 | ||||||
Arizona Public Service Co., | ||||||||
8.750%, 03/01/2019 | 1,150,000 | 1,365,634 | ||||||
Berkshire Hathaway Energy Co., | ||||||||
3.500%, 02/01/2025 | 7,000,000 | 6,941,431 | ||||||
CMS Energy Corp., | ||||||||
5.050%, 03/15/2022 | 1,000,000 | 1,087,541 | ||||||
Consolidated Edison Co. of New York, Inc., | ||||||||
4.625%, 12/01/2054 | 7,600,000 | 7,478,028 | ||||||
Dominion Resources, Inc.: | ||||||||
2.500%, 12/01/2019 | 5,225,000 | 5,205,688 | ||||||
Series B, 5.950%, 06/15/2035 | 1,880,000 | 2,087,184 | ||||||
EDP Finance BV: | ||||||||
4.900%, 10/01/2019 (Acquired 02/04/2015, Cost $1,646,747) * f | 1,564,000 | 1,610,613 | ||||||
4.125%, 01/15/2020 (Acquired 03/03/2015 through 03/04/2015, Cost $9,115,579) * f | 8,816,000 | 8,836,277 | ||||||
ENEL Finance International NV, | ||||||||
6.800%, 09/15/2037 (Acquired 09/13/2007 through 09/29/2008, Cost $498,897) * f | 500,000 | 610,493 | ||||||
Exelon Corp.: | ||||||||
3.950%, 06/15/2025 (Acquired 06/08/2015, Cost $6,022,472) * | 6,050,000 | 6,041,954 | ||||||
5.100%, 06/15/2045 (Acquired 06/08/2015, Cost $5,840,573) * | 5,875,000 | 5,917,852 | ||||||
Exelon Generation Co. LLC: | ||||||||
6.200%, 10/01/2017 | 4,350,000 | 4,641,106 | ||||||
5.600%, 06/15/2042 | 6,100,000 | 5,680,137 | ||||||
IPALCO Enterprises, Inc., | ||||||||
5.000%, 05/01/2018 | 1,000,000 | 1,047,500 | ||||||
KeySpan Corp., | ||||||||
8.000%, 11/15/2030 | 1,875,000 | 2,434,914 | ||||||
Mega Advance Investments Ltd., | ||||||||
5.000%, 05/12/2021 (Acquired 05/09/2011 through 05/23/2012, Cost $2,808,387) * f | 2,800,000 | 2,967,863 | ||||||
National Rural Utilities Cooperative Finance Corp.: | ||||||||
10.375%, 11/01/2018 | 6,673,000 | 8,141,007 | ||||||
2.300%, 11/15/2019 | 5,000,000 | 4,976,805 | ||||||
2.850%, 01/27/2025 | 12,875,000 | 12,534,894 | ||||||
NextEra Energy Capital Holdings, Inc., | ||||||||
Series D, 7.300%, 09/01/2067 | 2,600,000 | 2,484,820 | ||||||
ONEOK, Inc., | ||||||||
4.250%, 02/01/2022 | 6,150,000 | 4,428,000 | ||||||
PPL Energy Supply LLC, | ||||||||
6.200%, 05/15/2016 | 3,070,000 | 3,066,162 | ||||||
PSEG Power LLC, | ||||||||
5.320%, 09/15/2016 | 3,077,000 | 3,161,467 | ||||||
Public Service Co. of New Mexico, | ||||||||
7.950%, 05/15/2018 | 6,553,000 | 7,333,161 | ||||||
RGS I&M Funding Corp., | ||||||||
Series F*, 9.820%, 06/07/2022 | 149,587 | 152,569 | ||||||
Talent Yield Investments Ltd., | ||||||||
4.500%, 04/25/2022 (Acquired 04/18/2012, Cost $5,958,960) * f | 6,000,000 | 6,214,350 | ||||||
117,974,062 | 1.3% | |||||||
Industrials | ||||||||
21st Century Fox America, Inc.: | ||||||||
6.900%, 03/01/2019 | 6,659,000 | 7,563,532 | ||||||
3.700%, 09/15/2024 | 4,025,000 | 4,058,230 | ||||||
6.150%, 03/01/2037 | 9,000,000 | 10,033,101 | ||||||
4.750%, 09/15/2044 @ | 1,950,000 | 1,875,621 | ||||||
A.P. Meoller - Maersk A/S: | ||||||||
2.550%, 09/22/2019 (Acquired 11/24/2014, Cost $10,052,421) * f | 10,000,000 | 9,896,390 | ||||||
3.750%, 09/22/2024 (Acquired 09/15/2014, Cost $4,459,830) * f | 4,475,000 | 4,341,797 | ||||||
AbbVie, Inc.: | ||||||||
1.750%, 11/06/2017 | 7,450,000 | 7,435,540 | ||||||
2.000%, 11/06/2018 | 10,835,000 | 10,786,752 | ||||||
3.200%, 11/06/2022 @ | 3,000,000 | 2,952,999 | ||||||
3.600%, 05/14/2025 @ | 2,500,000 | 2,467,337 | ||||||
Access Midstream Partners LP / ACMP Finance Corp., | ||||||||
6.125%, 07/15/2022 | 300,000 | 283,790 | ||||||
Acuity Brands Lighting, Inc., | ||||||||
6.000%, 12/15/2019 | 700,000 | 758,633 | ||||||
Agrium, Inc., | ||||||||
4.125%, 03/15/2035 f | 6,550,000 | 5,571,744 | ||||||
Alibaba Group Holding Ltd., | ||||||||
3.125%, 11/28/2021 f | 10,000,000 | 9,698,750 | ||||||
Altera Corp., | ||||||||
4.100%, 11/15/2023 @ | 3,000,000 | 3,123,975 | ||||||
Ameritech Capital Funding Corp., | ||||||||
6.450%, 01/15/2018 | 3,175,000 | 3,418,208 | ||||||
Amgen, Inc., | ||||||||
4.400%, 05/01/2045 @ | 8,000,000 | 7,412,176 | ||||||
Anadarko Petroleum Corp.: | ||||||||
5.950%, 09/15/2016 | 2,792,000 | 2,868,939 | ||||||
6.375%, 09/15/2017 | 968,000 | 1,015,066 | ||||||
8.700%, 03/15/2019 | 4,380,000 | 4,976,346 | ||||||
6.450%, 09/15/2036 | 4,025,000 | 3,879,532 | ||||||
Anglo American Capital PLC, | ||||||||
9.375%, 04/08/2019 (Acquired 09/20/2011 through 12/29/2014, Cost $6,511,144) * f | 5,600,000 | 5,040,000 | ||||||
ANR Pipeline Co., | ||||||||
9.625%, 11/01/2021 | 9,150,000 | 11,844,135 | ||||||
Apple, Inc., | ||||||||
2.150%, 02/09/2022 | 3,500,000 | 3,397,191 | ||||||
ArcelorMittal SA: | ||||||||
5.500%, 02/25/2017 f | 5,000,000 | 4,829,500 | ||||||
7.250%, 02/25/2022 @ f | 2,000,000 | 1,610,000 | ||||||
AT&T, Inc.: | ||||||||
6.300%, 01/15/2038 | 11,000,000 | 12,037,476 | ||||||
5.550%, 08/15/2041 | 1,000,000 | 1,004,871 | ||||||
Ball Corp., | ||||||||
5.250%, 07/01/2025 @ | 25,000,000 | 25,562,500 | ||||||
Bayer US Finance LLC, | ||||||||
2.375%, 10/08/2019 (Acquired 10/01/2014, Cost $14,657,560) * | 14,725,000 | 14,734,247 | ||||||
Beam Suntory, Inc., | ||||||||
3.250%, 05/15/2022 @ | 2,000,000 | 1,966,330 | ||||||
Becton Dickinson and Co.: | ||||||||
6.375%, 08/01/2019 | 5,000,000 | 5,644,200 | ||||||
3.250%, 11/12/2020 | 13,000,000 | 13,180,505 | ||||||
3.875%, 05/15/2024 | 7,500,000 | 7,597,283 | ||||||
3.734%, 12/15/2024 | 4,900,000 | 4,941,777 | ||||||
Bemis Co., Inc., | ||||||||
4.500%, 10/15/2021 | 1,000,000 | 1,044,303 | ||||||
Boardwalk Pipelines LP: | ||||||||
5.500%, 02/01/2017 | 3,175,000 | 3,217,011 | ||||||
4.950%, 12/15/2024 | 13,875,000 | 12,064,729 | ||||||
Boston Scientific Corp., | ||||||||
2.650%, 10/01/2018 @ | 10,000,000 | 10,052,560 | ||||||
BP Capital Markets: | ||||||||
1.233%, 09/26/2018 f | 5,000,000 | 4,946,815 | ||||||
4.750%, 03/10/2019 f | 1,500,000 | 1,603,974 | ||||||
Browning-Ferris Industries, Inc., | ||||||||
9.250%, 05/01/2021 | 1,600,000 | 2,026,182 | ||||||
Bunge Limited Finance Corp., | ||||||||
8.500%, 06/15/2019 | 13,690,000 | 15,844,532 | ||||||
Bunge NA Finance LP, | ||||||||
5.900%, 04/01/2017 | 4,024,000 | 4,195,294 | ||||||
Burlington Northern Santa Fe LLC, | ||||||||
4.150%, 04/01/2045 @ | 3,100,000 | 2,809,614 | ||||||
Celgene Corp., | ||||||||
3.550%, 08/15/2022 @ | 5,730,000 | 5,785,701 | ||||||
CenturyLink, Inc., | ||||||||
Series R, 5.150%, 06/15/2017 | 2,000,000 | 2,055,000 | ||||||
CF Industries, Inc.: | ||||||||
6.875%, 05/01/2018 | 5,000,000 | 5,417,605 | ||||||
3.450%, 06/01/2023 | 14,745,000 | 13,724,263 | ||||||
5.375%, 03/15/2044 | 10,922,000 | 9,499,049 | ||||||
Charter Communications, Inc., | ||||||||
6.384%, 10/23/2035 (Acquired 07/09/2015, Cost $5,800,000) * | 5,800,000 | 5,859,920 | ||||||
Chesapeake Energy Corp.: | ||||||||
6.500%, 08/15/2017 | 4,044,000 | 2,022,000 | ||||||
3.571%, 04/15/2019 | 4,500,000 | 1,260,000 | ||||||
Cliffs Natural Resources, Inc., | ||||||||
5.950%, 01/15/2018 @ | 11,579,000 | 3,068,435 | ||||||
Columbia Pipeline Group, Inc.: | ||||||||
3.300%, 06/01/2020 (Acquired 06/10/2015 through 10/30/2015, Cost $9,949,931) * | 9,943,000 | 9,681,569 | ||||||
4.500%, 06/01/2025 (Acquired 05/19/2015 through 11/30/2015, Cost $13,573,815) * | 13,735,000 | 12,447,206 | ||||||
Comcast Cable Communications Holdings Inc., | ||||||||
9.455%, 11/15/2022 @ | 2,030,000 | 2,802,695 | ||||||
Comcast Corp.: | ||||||||
4.250%, 01/15/2033 @ | 5,900,000 | 5,797,488 | ||||||
4.400%, 08/15/2035 @ | 13,450,000 | 13,530,135 | ||||||
4.650%, 07/15/2042 | 2,000,000 | 2,035,200 | ||||||
Computer Sciences Corp., | ||||||||
4.450%, 09/15/2022 | 2,000,000 | 2,051,530 | ||||||
ConAgra Foods, Inc.: | ||||||||
5.819%, 06/15/2017 | 8,417,000 | 8,879,295 | ||||||
1.900%, 01/25/2018 | 13,569,000 | 13,493,733 | ||||||
7.000%, 04/15/2019 | 6,350,000 | 7,138,327 | ||||||
ConocoPhillips Canada Funding Co. I, | ||||||||
5.950%, 10/15/2036 f | 845,000 | 868,985 | ||||||
Constellation Brands, Inc.: | ||||||||
4.750%, 11/15/2024 | 100,000 | 102,000 | ||||||
4.750%, 12/01/2025 | 1,000,000 | 1,018,750 | ||||||
Continental Airlines Pass Through Trust, | ||||||||
Series 974A, 6.900%, 01/02/2018 | 20,183 | 20,586 | ||||||
Cox Communications, Inc.: | ||||||||
9.375%, 01/15/2019 (Acquired 10/06/2014, Cost $9,221,625) * | 7,670,000 | 8,886,715 | ||||||
2.950%, 06/30/2023 (Acquired 04/24/2013 through 12/29/2014, Cost $5,441,360) * | 5,475,000 | 4,823,009 | ||||||
3.850%, 02/01/2025 (Acquired 12/01/2014, Cost $4,616,999) * | 4,625,000 | 4,237,245 | ||||||
4.800%, 02/01/2035 (Acquired 12/01/2014, Cost $9,996,400) * | 10,000,000 | 8,272,600 | ||||||
4.700%, 12/15/2042 (Acquired 11/26/2012, Cost $4,999,050) * | 5,000,000 | 3,794,650 | ||||||
CSX Corp., | ||||||||
6.220%, 04/30/2040 | 175,000 | 206,139 | ||||||
CVS Health Corp.: | ||||||||
3.875%, 07/20/2025 @ | 2,600,000 | 2,653,508 | ||||||
4.875%, 07/20/2035 | 8,500,000 | 8,776,173 | ||||||
D.R. Horton, Inc., | ||||||||
4.750%, 05/15/2017 | 1,447,000 | 1,488,601 | ||||||
Daimler Finance North America LLC: | ||||||||
1.044%, 08/03/2017 (Acquired 07/28/2015, Cost $8,000,000) * | 8,000,000 | 7,990,656 | ||||||
1.875%, 01/11/2018 (Acquired 01/07/2013, Cost $2,116,139) * | 2,125,000 | 2,116,610 | ||||||
Danone, | ||||||||
3.000%, 06/15/2022 (Acquired 05/29/2012, Cost $3,489,465) * f | 3,500,000 | �� 3,469,662 | ||||||
DCP Midstream LLC: | ||||||||
9.750%, 03/15/2019 (Acquired 02/29/2012 through 06/25/2015, Cost $11,168,384) * | 9,655,000 | 9,831,194 | ||||||
4.750%, 09/30/2021 (Acquired 09/14/2011 through 11/18/2011, Cost $2,249,641) * | 2,245,000 | 1,745,777 | ||||||
Deutsche Telekom International Finance BV: | ||||||||
6.750%, 08/20/2018 f | 1,250,000 | 1,393,459 | ||||||
8.750%, 06/15/2030 f | 825,000 | 1,143,813 | ||||||
Devon Energy Corp., | ||||||||
6.300%, 01/15/2019 @ | 5,220,000 | 5,378,166 | ||||||
Devon Financing Corp. LLC, | ||||||||
7.875%, 09/30/2031 | 5,000,000 | 5,128,310 | ||||||
DISH DBS Corp., | ||||||||
5.000%, 03/15/2023 @ | 2,500,000 | 2,168,750 | ||||||
Dollar General Corp.: | ||||||||
4.125%, 07/15/2017 | 4,545,000 | 4,667,201 | ||||||
1.875%, 04/15/2018 | 2,100,000 | 2,079,773 | ||||||
Dominion Gas Holdings LLC, | ||||||||
3.600%, 12/15/2024 | 6,100,000 | 6,036,603 | ||||||
Eaton Corp.: | ||||||||
2.750%, 11/02/2022 | 2,500,000 | 2,419,105 | ||||||
4.000%, 11/02/2032 @ | 3,660,000 | 3,488,181 | ||||||
Ecolab, Inc., | ||||||||
1.450%, 12/08/2017 | 5,200,000 | 5,150,730 | ||||||
El Paso Pipeline Partners Operating Co. LLC, | ||||||||
7.500%, 11/15/2040 | 2,500,000 | 2,280,480 | ||||||
Encana Corp., | ||||||||
6.500%, 05/15/2019 f | 610,000 | 594,735 | ||||||
Energy Transfer Partners LP: | ||||||||
2.500%, 06/15/2018 | 5,700,000 | 5,459,722 | ||||||
9.700%, 03/15/2019 | 1,189,000 | 1,309,479 | ||||||
5.200%, 02/01/2022 | 1,000,000 | 934,255 | ||||||
3.600%, 02/01/2023 | 5,000,000 | 4,115,815 | ||||||
5.150%, 03/15/2045 | 5,000,000 | 3,534,095 | ||||||
EnLink Midstream Partners LP, | ||||||||
4.400%, 04/01/2024 | 7,000,000 | 5,542,586 | ||||||
Enogex LLC, | ||||||||
6.250%, 03/15/2020 (Acquired 10/25/2012 through 05/10/2013, Cost $3,493,770) * | 3,190,000 | 3,452,553 | ||||||
Ensco PLC, | ||||||||
5.200%, 03/15/2025 @ f | 6,000,000 | 4,270,026 | ||||||
Enterprise Products Operating LLC: | ||||||||
3.350%, 03/15/2023 @ | 10,000,000 | 9,042,590 | ||||||
3.750%, 02/15/2025 @ | 7,000,000 | 6,402,949 | ||||||
Express Scripts Holding Co.: | ||||||||
7.250%, 06/15/2019 | 4,600,000 | 5,291,881 | ||||||
4.750%, 11/15/2021 | 14,700,000 | 15,762,222 | ||||||
3.500%, 06/15/2024 | 7,500,000 | 7,388,933 | ||||||
FedEx Corp.: | ||||||||
8.000%, 01/15/2019 | 6,100,000 | 7,101,150 | ||||||
3.900%, 02/01/2035 | 7,000,000 | 6,372,030 | ||||||
Fidelity National Information Services, Inc.: | ||||||||
3.625%, 10/15/2020 | 5,000,000 | 5,065,135 | ||||||
5.000%, 03/15/2022 | 9,345,000 | 9,712,632 | ||||||
4.500%, 10/15/2022 | 3,100,000 | 3,155,437 | ||||||
3.500%, 04/15/2023 | 5,850,000 | 5,585,639 | ||||||
3.875%, 06/05/2024 | 23,522,000 | 22,703,505 | ||||||
Fiserv, Inc.: | ||||||||
4.625%, 10/01/2020 | 3,000,000 | 3,203,682 | ||||||
3.500%, 10/01/2022 | 11,500,000 | 11,476,321 | ||||||
3.850%, 06/01/2025 | 8,000,000 | 7,988,424 | ||||||
Florida Gas Transmission Co. LLC, | ||||||||
3.875%, 07/15/2022 (Acquired 06/12/2012, Cost $2,996,190) * | 3,000,000 | 2,898,831 | ||||||
Fomento Economico Mexicano SAB de CV: | ||||||||
2.875%, 05/10/2023 f | 11,700,000 | 10,922,558 | ||||||
4.375%, 05/10/2043 f | 4,000,000 | 3,534,308 | ||||||
Ford Motor Credit Co. LLC: | ||||||||
2.500%, 01/15/2016 | 2,000,000 | 2,000,452 | ||||||
4.207%, 04/15/2016 | 4,710,000 | 4,747,713 | ||||||
8.000%, 12/15/2016 | 2,000,000 | 2,114,242 | ||||||
3.000%, 06/12/2017 | 3,000,000 | 3,029,166 | ||||||
6.625%, 08/15/2017 | 1,063,000 | 1,133,028 | ||||||
2.145%, 01/09/2018 | 5,375,000 | 5,355,118 | ||||||
2.551%, 10/05/2018 @ | 8,500,000 | 8,439,642 | ||||||
3.200%, 01/15/2021 | 5,000,000 | 4,966,185 | ||||||
5.750%, 02/01/2021 | 13,000,000 | 14,362,088 | ||||||
Forest Laboratories, Inc.: | ||||||||
4.375%, 02/01/2019 (Acquired 10/20/2014, Cost $4,170,812) * | 4,000,000 | 4,190,304 | ||||||
5.000%, 12/15/2021 (Acquired 08/26/2014 through 01/22/2015, Cost $33,485,072) * | 31,212,000 | 33,915,084 | ||||||
Freeport-McMoran Oil & Gas LLC / FCX Oil & Gas, Inc.: | ||||||||
6.500%, 11/15/2020 | 6,337,000 | 4,087,365 | ||||||
6.625%, 05/01/2021 | 6,447,000 | 3,932,670 | ||||||
6.750%, 02/01/2022 | 2,649,000 | 1,629,135 | ||||||
Freeport-McMoRan, Inc.: | ||||||||
3.100%, 03/15/2020 @ | 3,775,000 | 2,416,000 | ||||||
3.550%, 03/01/2022 @ | 6,075,000 | 3,523,500 | ||||||
3.875%, 03/15/2023 @ | 8,000,000 | 4,560,000 | ||||||
Fresenius US Finance II, Inc., | ||||||||
4.500%, 01/15/2023 (Acquired 09/16/2015 through 09/24/2015, Cost $24,139,762) * | 24,000,000 | 24,240,000 | ||||||
General Electric Capital Corp.: | ||||||||
5.500%, 01/08/2020 | 537,000 | 602,284 | ||||||
2.200%, 01/09/2020 | 2,864,000 | 2,874,608 | ||||||
5.550%, 05/04/2020 | 1,199,000 | 1,356,100 | ||||||
4.375%, 09/16/2020 | 838,000 | 909,713 | ||||||
5.300%, 02/11/2021 | 859,000 | 968,626 | ||||||
4.650%, 10/17/2021 | 2,420,000 | 2,679,346 | ||||||
General Mills, Inc., | ||||||||
2.200%, 10/21/2019 | 12,000,000 | 12,002,664 | ||||||
General Motors Financial Co., Inc., | ||||||||
3.200%, 07/13/2020 @ | 10,000,000 | 9,846,030 | ||||||
Georgia-Pacific LLC: | ||||||||
5.400%, 11/01/2020 (Acquired 10/27/2010, Cost $994,130) * | 1,000,000 | 1,103,058 | ||||||
3.163%, 11/15/2021 (Acquired 11/03/2014, Cost $19,999,800) * | 20,000,000 | 19,969,560 | ||||||
Glencore Finance (Canada) Ltd.: | ||||||||
4.950%, 11/15/2021 (Acquired 11/03/2011, Cost $1,997,480) * f | 2,000,000 | 1,610,000 | ||||||
4.500%, 10/25/2022 (Acquired 10/18/2012 through 05/22/2013, Cost $7,106,123) * f | 7,000,000 | 5,285,000 | ||||||
Glencore Funding LLC: | ||||||||
4.125%, 05/30/2023 (Acquired 05/22/2013 through 04/20/2015, Cost $15,417,632) * | 15,450,000 | 11,394,529 | ||||||
4.625%, 04/29/2024 (Acquired 10/08/2014 through 11/09/2015, Cost $13,685,104) * | 15,484,000 | 11,213,513 | ||||||
Grupo Bimbo, SAB de CV, | ||||||||
3.875%, 06/27/2024 (Acquired 06/27/2014, Cost $7,010,053) * f | 7,000,000 | 6,803,216 | ||||||
GTE Corp., | ||||||||
8.750%, 11/01/2021 | 975,000 | 1,204,711 | ||||||
Gulf South Pipeline Co. LP, | ||||||||
4.000%, 06/15/2022 | 3,000,000 | 2,679,216 | ||||||
Gulfstream Natural Gas System LLC, | ||||||||
4.600%, 09/15/2025 (Acquired 09/21/2015, Cost $9,996,200) * | 10,000,000 | 9,491,880 | ||||||
H. J. Heinz Co.: | ||||||||
3.500%, 07/15/2022 (Acquired 06/23/2015 through 06/24/2015, Cost $16,982,780) * | 17,000,000 | 17,117,215 | ||||||
5.000%, 07/15/2035 (Acquired 06/23/2015, Cost $6,735,332) * | 6,800,000 | 6,966,729 | ||||||
H. J. Heinz Finance Co., | ||||||||
6.750%, 03/15/2032 | 10,000,000 | 11,572,860 | ||||||
Halliburton Co., | ||||||||
3.375%, 11/15/2022 | 4,500,000 | 4,428,603 | ||||||
Hanson Ltd., | ||||||||
6.125%, 08/15/2016 f | 15,157,000 | 15,554,871 | ||||||
HCA, Inc.: | ||||||||
4.250%, 10/15/2019 | 10,900,000 | 11,118,000 | ||||||
6.500%, 02/15/2020 | 5,000,000 | 5,447,500 | ||||||
5.000%, 03/15/2024 | 8,366,000 | 8,345,085 | ||||||
5.375%, 02/01/2025 @ | 24,950,000 | 24,638,125 | ||||||
Hess Corp., | ||||||||
8.125%, 02/15/2019 | 1,262,000 | 1,430,321 | ||||||
Hewlett Packard Enterprise Co., | ||||||||
3.600%, 10/15/2020 (Acquired 09/30/2015, Cost $7,272,963) * | 7,275,000 | 7,291,696 | ||||||
Hewlett-Packard Co.: | ||||||||
4.375%, 09/15/2021 | 10,000,000 | 9,839,450 | ||||||
4.650%, 12/09/2021 | 22,500,000 | 22,414,905 | ||||||
Husky Energy, Inc., | ||||||||
4.000%, 04/15/2024 f | 1,605,000 | 1,468,947 | ||||||
Hutchison Whampoa International (09) Ltd., | ||||||||
7.625%, 04/09/2019 (Acquired 01/20/2015, Cost $2,344,038) * f | 2,000,000 | 2,311,674 | ||||||
Hutchison Whampoa International (11) Ltd., | ||||||||
3.500%, 01/13/2017 (Acquired 12/11/2014, Cost $1,020,458) * f | 1,000,000 | 1,016,928 | ||||||
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 | 4,606,555 | ||||||
Hutchison Whampoa International (14) Ltd., | ||||||||
3.625%, 10/31/2024 (Acquired 10/28/2014, Cost $14,982,600) * f | 15,000,000 | 14,882,730 | ||||||
Hyundai Capital Services, Inc.: | ||||||||
1.333%, 03/18/2017 (Acquired 03/11/2014, Cost $2,400,000) * f | 2,400,000 | 2,393,047 | ||||||
3.500%, 09/13/2017 (Acquired 03/06/2012 through 12/30/2014, Cost $12,750,463) * f | 12,470,000 | 12,701,431 | ||||||
2.625%, 09/29/2020 (Acquired 03/23/2015, Cost $8,986,320) * f | 9,000,000 | 8,855,703 | ||||||
Ingersoll-Rand Luxembourg Finance SA: | ||||||||
3.550%, 11/01/2024 f | 3,200,000 | 3,131,302 | ||||||
4.650%, 11/01/2044 f | 1,300,000 | 1,244,211 | ||||||
Ingredion, Inc., | ||||||||
1.800%, 09/25/2017 | 5,650,000 | 5,598,528 | ||||||
Johnson Controls, Inc., | ||||||||
5.250%, 12/01/2041 | 1,150,000 | 1,053,846 | ||||||
Kerr-McGee Corp., | ||||||||
7.875%, 09/15/2031 | 12,790,000 | 13,798,773 | ||||||
Keysight Technologies, Inc., | ||||||||
3.300%, 10/30/2019 | 5,000,000 | 4,912,645 | ||||||
Kinder Morgan Energy Partners LP: | ||||||||
9.000%, 02/01/2019 | 1,658,000 | 1,783,292 | ||||||
6.850%, 02/15/2020 | 4,645,000 | 4,804,426 | ||||||
6.500%, 02/01/2037 | 400,000 | 343,618 | ||||||
6.950%, 01/15/2038 | 350,000 | 300,617 | ||||||
Kinder Morgan Finance Co. LLC: | ||||||||
5.700%, 01/05/2016 | 2,536,000 | 2,536,000 | ||||||
6.000%, 01/15/2018 (Acquired 12/06/2010, Cost $999,930) * | 1,000,000 | 1,008,262 | ||||||
Kinder Morgan, Inc.: | ||||||||
3.050%, 12/01/2019 | 7,000,000 | 6,478,591 | ||||||
5.000%, 02/15/2021 (Acquired 05/26/2015, Cost $5,330,232) * | 5,000,000 | 4,752,455 | ||||||
Kinross Gold Corp., | ||||||||
6.875%, 09/01/2041 f | 5,500,000 | 3,013,565 | ||||||
Kraft Foods Group, Inc., | ||||||||
5.000%, 06/04/2042 | 5,000,000 | 5,034,455 | ||||||
Lafarge SA, | ||||||||
7.125%, 07/15/2036 f | 1,425,000 | 1,634,414 | ||||||
Lear Corp., | ||||||||
5.250%, 01/15/2025 | 20,000,000 | 20,350,000 | ||||||
Magellan Midstream Partners LP, | ||||||||
4.200%, 03/15/2045 | 3,000,000 | 2,184,723 | ||||||
Marathon Oil Corp., | ||||||||
2.800%, 11/01/2022 @ | 10,175,000 | 8,110,594 | ||||||
Marathon Petroleum Corp.: | ||||||||
3.400%, 12/15/2020 | 20,000,000 | 19,641,680 | ||||||
3.625%, 09/15/2024 @ | 2,500,000 | 2,329,587 | ||||||
4.750%, 09/15/2044 @ | 2,375,000 | 1,941,316 | ||||||
Martin Marietta Materials, Inc.: | ||||||||
6.600%, 04/15/2018 | 475,000 | 511,771 | ||||||
6.250%, 05/01/2037 | 450,000 | 456,159 | ||||||
Masco Corp.: | ||||||||
6.125%, 10/03/2016 | 10,900,000 | 11,226,782 | ||||||
7.125%, 03/15/2020 | 1,800,000 | 2,079,000 | ||||||
McDonald's Corp., | ||||||||
3.700%, 01/30/2026 | 7,250,000 | 7,244,040 | ||||||
MeadWestvaco Corp., | ||||||||
7.375%, 09/01/2019 | 6,650,000 | 7,578,187 | ||||||
Medtronic, Inc.: | ||||||||
2.500%, 03/15/2020 @ | 5,000,000 | 5,035,475 | ||||||
4.375%, 03/15/2035 | 7,000,000 | 7,075,894 | ||||||
Microsoft Corp., | ||||||||
4.200%, 11/03/2035 | 5,650,000 | 5,769,543 | ||||||
Molex Electronic Technologies LLC, | ||||||||
2.878%, 04/15/2020 (Acquired 04/01/2015 through 10/23/2015, Cost $12,382,248) * | 12,497,000 | 12,175,952 | ||||||
MPLX LP, | ||||||||
4.000%, 02/15/2025 | 8,000,000 | 6,723,736 | ||||||
Murphy Oil Corp., | ||||||||
4.000%, 06/01/2022 @ | 12,600,000 | 9,552,778 | ||||||
Mylan, Inc.: | ||||||||
3.000%, 12/15/2018 (Acquired 12/04/2015, Cost $4,494,330) * f | 4,500,000 | 4,490,069 | ||||||
3.750%, 12/15/2020 (Acquired 12/04/2015, Cost $5,873,120) * @ f | 5,875,000 | 5,881,157 | ||||||
4.200%, 11/29/2023 | 4,525,000 | 4,487,044 | ||||||
Nabors Industries, Inc., | ||||||||
6.150%, 02/15/2018 | 250,000 | 253,671 | ||||||
New Cingular Wireless Services, Inc., | ||||||||
8.750%, 03/01/2031 | 3,300,000 | 4,548,258 | ||||||
Noble Energy, Inc.: | ||||||||
3.900%, 11/15/2024 | 3,000,000 | 2,670,066 | ||||||
5.050%, 11/15/2044 | 3,000,000 | 2,422,203 | ||||||
Noble Holding International Ltd., | ||||||||
4.000%, 03/16/2018 @ f | 7,000,000 | 6,338,633 | ||||||
Northern Tier Energy LLC / Northern Tier Finance Corp., | ||||||||
7.125%, 11/15/2020 | 15,935,000 | 16,094,350 | ||||||
NuStar Logistics LP: | ||||||||
4.800%, 09/01/2020 | 4,275,000 | 3,847,500 | ||||||
6.750%, 02/01/2021 | 3,000,000 | 2,820,000 | ||||||
Oi SA, | ||||||||
5.750%, 02/10/2022 (Acquired 02/06/2012, Cost $3,000,000) * f | 3,000,000 | 1,365,000 | ||||||
ONEOK Partners LP: | ||||||||
3.375%, 10/01/2022 | 9,500,000 | 7,705,678 | ||||||
5.000%, 09/15/2023 @ | 5,800,000 | 5,075,742 | ||||||
Oracle Corp.: | ||||||||
3.400%, 07/08/2024 | 8,850,000 | 8,986,759 | ||||||
3.900%, 05/15/2035 | 7,425,000 | 6,961,710 | ||||||
Owens Corning, | ||||||||
4.200%, 12/01/2024 | 10,000,000 | 9,732,500 | ||||||
Packaging Corp. of America, | ||||||||
4.500%, 11/01/2023 | 4,700,000 | 4,935,117 | ||||||
Pactiv LLC, | ||||||||
7.950%, 12/15/2025 | 1,338,000 | 1,244,340 | ||||||
Pentair Finance SA: | ||||||||
2.650%, 12/01/2019 f | 5,000,000 | 4,846,810 | ||||||
3.625%, 09/15/2020 f | 16,000,000 | 15,984,224 | ||||||
Pepsico, Inc., | ||||||||
4.250%, 10/22/2044 | 2,850,000 | 2,827,779 | ||||||
Petrofac Ltd., | ||||||||
3.400%, 10/10/2018 (Acquired 10/03/2013 through 04/17/2015, Cost $31,223,318) * f | 31,200,000 | 29,634,259 | ||||||
PetroLogistics LP / PetroLogistics Finance Corp., | ||||||||
6.250%, 04/01/2020 | 2,225,000 | 2,325,125 | ||||||
Pfizer, Inc.: | ||||||||
6.050%, 03/30/2017 | 25,000,000 | 26,502,050 | ||||||
5.800%, 08/12/2023 | 7,938,000 | 9,282,642 | ||||||
Phillips 66: | ||||||||
4.300%, 04/01/2022 @ | 6,168,000 | 6,345,620 | ||||||
4.650%, 11/15/2034 | 13,000,000 | 12,184,471 | ||||||
4.875%, 11/15/2044 | 15,000,000 | 13,382,445 | ||||||
Phillips 66 Partners LP, | ||||||||
4.680%, 02/15/2045 | 2,000,000 | 1,478,508 | ||||||
Pioneer Natural Resources Co., | ||||||||
6.875%, 05/01/2018 | 14,075,000 | 14,952,633 | ||||||
Plum Creek Timberlands LP: | ||||||||
4.700%, 03/15/2021 | 1,200,000 | 1,276,588 | ||||||
3.250%, 03/15/2023 | 8,375,000 | 8,044,045 | ||||||
POSCO, | ||||||||
4.250%, 10/28/2020 (Acquired 10/21/2010, Cost $2,165,365) * f | 2,175,000 | 2,275,829 | ||||||
Qualcomm, Inc., | ||||||||
3.000%, 05/20/2022 | 5,500,000 | 5,444,879 | ||||||
Qwest Capital Funding, Inc., | ||||||||
7.625%, 08/03/2021 | 200,000 | 205,000 | ||||||
R.R. Donnelley & Sons Co.: | ||||||||
8.600%, 08/15/2016 | 1,250,000 | 1,298,437 | ||||||
6.125%, 01/15/2017 | 76,000 | 77,900 | ||||||
Reliance Holding USA, Inc.: | ||||||||
4.500%, 10/19/2020 (Acquired 10/14/2010 through 10/18/2010, Cost $1,988,700) * | 2,000,000 | 2,118,094 | ||||||
5.400%, 02/14/2022 (Acquired 02/09/2012 through 02/23/2012, Cost $3,512,007) * | 3,500,000 | 3,785,058 | ||||||
Republic Services, Inc.: | ||||||||
5.500%, 09/15/2019 | 13,000,000 | 14,302,665 | ||||||
3.550%, 06/01/2022 | 4,000,000 | 4,084,752 | ||||||
4.750%, 05/15/2023 | 13,459,000 | 14,662,194 | ||||||
Rio Tinto Finance (USA) Ltd., | ||||||||
9.000%, 05/01/2019 f | 11,000,000 | 12,841,521 | ||||||
Rockies Express Pipeline LLC: | ||||||||
6.850%, 07/15/2018 (Acquired 12/21/2011, Cost $2,017,803) * | 2,000,000 | 1,960,000 | ||||||
5.625%, 04/15/2020 (Acquired 12/10/2010 through 12/29/2011, Cost $2,699,172) * | 2,695,000 | 2,479,400 | ||||||
SABMiller Holdings, Inc., | ||||||||
1.019%, 08/01/2018 (Acquired 10/16/2014, Cost $15,055,021) * | 15,000,000 | 14,881,515 | ||||||
Samarco Mineracao SA: | ||||||||
5.750%, 10/24/2023 (Acquired 10/21/2013 through 12/09/2014, Cost $5,325,226) * f | 5,475,000 | 1,752,000 | ||||||
5.375%, 09/26/2024 (Acquired 09/23/2014 through 12/09/2014, Cost $4,857,588) * f | 5,125,000 | 1,691,250 | ||||||
Schlumberger Holdings Corp., | ||||||||
3.000%, 12/21/2020 (Acquired 12/10/2015, Cost $10,975,140) * | 11,000,000 | 10,857,891 | ||||||
Schneider Electric SE, | ||||||||
2.950%, 09/27/2022 (Acquired 09/20/2012, Cost $4,986,700) * f | 5,000,000 | 4,950,535 | ||||||
SK Telecom Co. Ltd., | ||||||||
6.625%, 07/20/2027 (Acquired 07/13/2007 through 04/30/2013, Cost $992,709) * f | 960,000 | 1,228,800 | ||||||
Solvay Finance America LLC, | ||||||||
3.400%, 12/03/2020 (Acquired 11/30/2015 through 12/18/2015, Cost $21,832,130) * | 21,850,000 | 21,674,392 | ||||||
Sonoco Products Co., | ||||||||
4.375%, 11/01/2021 | 1,000,000 | 1,041,539 | ||||||
Spectra Energy Partners LP, | ||||||||
3.500%, 03/15/2025 | 15,000,000 | 13,120,395 | ||||||
Sprint Capital Corp.: | ||||||||
6.900%, 05/01/2019 | 675,000 | 550,125 | ||||||
8.750%, 03/15/2032 | 325,000 | 243,750 | ||||||
Sprint Communications, Inc., | ||||||||
6.000%, 12/01/2016 | 200,000 | 199,625 | ||||||
Sunoco Logistics Partners Operations LP: | ||||||||
3.450%, 01/15/2023 | 2,000,000 | 1,688,080 | ||||||
6.100%, 02/15/2042 | 1,000,000 | 798,655 | ||||||
Sunoco, Inc., | ||||||||
5.750%, 01/15/2017 | 701,000 | 704,611 | ||||||
Targa Resources Partners LP / Targa Resources Partners Finance Corp., | ||||||||
4.125%, 11/15/2019 @ | 7,000,000 | 5,827,500 | ||||||
TC PipeLines LP, | ||||||||
4.375%, 03/13/2025 | 15,005,000 | 13,178,321 | ||||||
Telecom Italia Capital: | ||||||||
7.175%, 06/18/2019 f | 500,000 | 551,260 | ||||||
7.200%, 07/18/2036 f | 3,050,000 | 3,080,500 | ||||||
Telecom Italia SPA, | ||||||||
5.303%, 05/30/2024 (Acquired 05/22/2014 through 09/23/2015, Cost $21,671,409) * f | 21,500,000 | 21,231,250 | ||||||
Telefonica Emisiones SAU: | ||||||||
6.421%, 06/20/2016 f | 3,950,000 | 4,040,775 | ||||||
6.221%, 07/03/2017 f | 8,942,000 | 9,503,200 | ||||||
5.462%, 02/16/2021 f | 2,402,000 | 2,684,509 | ||||||
4.570%, 04/27/2023 f | 1,000,000 | 1,048,327 | ||||||
7.045%, 06/20/2036 @ f | 4,925,000 | 5,918,609 | ||||||
Tenet Healthcare Corp., | ||||||||
6.750%, 06/15/2023 @ | 1,000,000 | 927,500 | ||||||
The ADT Corp.: | ||||||||
2.250%, 07/15/2017 | 22,960,000 | 22,845,200 | ||||||
4.125%, 04/15/2019 @ | 3,000,000 | 3,086,250 | ||||||
3.500%, 07/15/2022 @ | 6,900,000 | 6,175,500 | ||||||
The Dow Chemical Co.: | ||||||||
8.550%, 05/15/2019 | 14,800,000 | 17,444,005 | ||||||
4.125%, 11/15/2021 | 835,000 | 875,406 | ||||||
The Williams Companies, Inc.: | ||||||||
7.875%, 09/01/2021 | 1,335,000 | 1,201,511 | ||||||
3.700%, 01/15/2023 | 3,000,000 | 2,072,292 | ||||||
Series A, 7.500%, 01/15/2031 | 120,000 | 83,022 | ||||||
7.750%, 06/15/2031 | 3,500,000 | 2,478,724 | ||||||
5.750%, 06/24/2044 | 2,500,000 | 1,484,390 | ||||||
Thermo Fisher Scientific, Inc., | ||||||||
3.300%, 02/15/2022 @ | 7,000,000 | 6,982,801 | ||||||
Time Warner Cable, Inc.: | ||||||||
8.750%, 02/14/2019 | 1,132,000 | 1,313,180 | ||||||
8.250%, 04/01/2019 | 35,000 | 40,191 | ||||||
Time Warner Co., Inc., | ||||||||
7.250%, 10/15/2017 | 2,300,000 | 2,517,969 | ||||||
Time Warner, Inc.: | ||||||||
7.625%, 04/15/2031 | 13,375,000 | 16,549,570 | ||||||
7.700%, 05/01/2032 | 7,908,000 | 9,870,465 | ||||||
4.850%, 07/15/2045 @ | 12,000,000 | 11,426,988 | ||||||
Timken Co., | ||||||||
3.875%, 09/01/2024 | 18,500,000 | 17,458,654 | ||||||
Transcontinental Gas Pipe Line Co. LLC, | ||||||||
4.450%, 08/01/2042 | 2,600,000 | 1,739,871 | ||||||
Transocean, Inc.: | ||||||||
6.500%, 11/15/2020 @ f | 9,500,000 | 6,555,000 | ||||||
7.125%, 12/15/2021 @ f | 5,500,000 | 3,554,375 | ||||||
4.300%, 10/15/2022 f | 5,000,000 | 2,650,000 | ||||||
6.800%, 03/15/2038 f | 878,000 | 473,023 | ||||||
TSMC Global Ltd., | ||||||||
1.625%, 04/03/2018 (Acquired 03/27/2013 through 12/07/2015, Cost $24,389,803) * f | 24,630,000 | 24,140,479 | ||||||
TTX Co., | ||||||||
3.900%, 02/01/2045 (Acquired 01/26/2015, Cost $25,121,134) * | 25,325,000 | 22,251,052 | ||||||
Tyco Electronics Group SA: | ||||||||
6.550%, 10/01/2017 f | 5,243,000 | 5,650,297 | ||||||
3.900%, 02/14/2026 f | 10,000,000 | 10,022,290 | ||||||
7.125%, 10/01/2037 f | 500,000 | 637,630 | ||||||
Ultramar Diamond Shamrock Corp., | ||||||||
7.200%, 10/15/2017 | 7,100,000 | 7,627,054 | ||||||
Union Pacific Corp., | ||||||||
3.375%, 02/01/2035 | 6,000,000 | 5,418,972 | ||||||
United AirLines, Inc. Pass Through Trust, | ||||||||
Series 91A2, 10.020%, 03/22/2024 ** § † | 50,784 | 14,727 | ||||||
US Airways Pass Through Trust, | ||||||||
Series 981B, 7.350%, 01/30/2018 | 281,258 | 297,782 | ||||||
Vale Overseas Ltd.: | ||||||||
6.250%, 01/23/2017 @ f | 3,850,000 | 3,842,685 | ||||||
4.375%, 01/11/2022 @ f | 2,700,000 | 2,043,438 | ||||||
8.250%, 01/17/2034 f | 425,000 | 340,472 | ||||||
6.875%, 11/10/2039 f | 13,425,000 | 9,329,167 | ||||||
Valero Energy Corp.: | ||||||||
9.375%, 03/15/2019 | 19,606,000 | 23,163,117 | ||||||
6.625%, 06/15/2037 | 5,000,000 | 5,027,095 | ||||||
Verisk Analytics, Inc., | ||||||||
4.000%, 06/15/2025 | 10,000,000 | 9,713,020 | ||||||
Verizon Communications, Inc.: | ||||||||
6.400%, 09/15/2033 | 30,175,000 | 34,377,714 | ||||||
4.272%, 01/15/2036 | 19,649,000 | �� 17,739,078 | ||||||
Viacom, Inc., | ||||||||
2.750%, 12/15/2019 | 10,000,000 | 9,864,850 | ||||||
Visa, Inc., | ||||||||
4.300%, 12/14/2045 | 9,075,000 | 9,207,123 | ||||||
Viterra, Inc., | ||||||||
5.950%, 08/01/2020 (Acquired 03/18/2015, Cost $7,667,714) * f | 7,000,000 | 5,950,000 | ||||||
Vodafone Group PLC, | ||||||||
6.150%, 02/27/2037 f | 500,000 | 493,402 | ||||||
Vrx Escrow Corp., | ||||||||
5.875%, 05/15/2023 (Acquired 05/12/2015, Cost $5,100,966) * @ f | 5,000,000 | 4,462,500 | ||||||
Vulcan Materials Co.: | ||||||||
7.000%, 06/15/2018 | 2,435,000 | 2,702,850 | ||||||
4.500%, 04/01/2025 @ | 3,000,000 | 2,970,000 | ||||||
7.150%, 11/30/2037 | 500,000 | 525,000 | ||||||
Walgreen Co., | ||||||||
5.250%, 01/15/2019 | 2,482,000 | 2,652,414 | ||||||
Walgreens Boots Alliance, Inc., | ||||||||
3.800%, 11/18/2024 | 10,000,000 | 9,701,680 | ||||||
Wal-Mart Stores, Inc., | ||||||||
3.300%, 04/22/2024 | 12,000,000 | 12,383,088 | ||||||
Waste Management, Inc., | ||||||||
3.900%, 03/01/2035 @ | 5,000,000 | 4,655,905 | ||||||
Weatherford International Ltd.: | ||||||||
4.500%, 04/15/2022 f | 5,020,000 | 3,614,400 | ||||||
6.750%, 09/15/2040 f | 1,250,000 | 881,250 | ||||||
Western Gas Partners LP, | ||||||||
5.375%, 06/01/2021 | 18,000,000 | 18,219,276 | ||||||
Westvaco Corp.: | ||||||||
9.750%, 06/15/2020 | 1,060,000 | 1,304,739 | ||||||
8.200%, 01/15/2030 @ | 2,790,000 | 3,615,327 | ||||||
Weyerhaeuser Co., | ||||||||
7.375%, 10/01/2019 | 11,865,000 | 13,627,629 | ||||||
Williams Partners LP: | ||||||||
5.250%, 03/15/2020 | 2,000,000 | 1,857,498 | ||||||
6.300%, 04/15/2040 | 1,590,000 | 1,220,090 | ||||||
Woodside Finance Ltd., | ||||||||
3.650%, 03/05/2025 (Acquired 02/26/2015, Cost $14,991,300) * f | 15,000,000 | 13,285,635 | ||||||
WPX Energy, Inc., | ||||||||
6.000%, 01/15/2022 @ | 4,000,000 | 2,800,000 | ||||||
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 | 3,422,500 | ||||||
Xerox Corp., | ||||||||
6.750%, 02/01/2017 | 10,517,000 | 11,021,017 | ||||||
Yara International ASA, | ||||||||
7.875%, 06/11/2019 (Acquired 12/03/2012 through 10/31/2013, Cost $6,840,998) * f | 5,880,000 | 6,652,544 | ||||||
Zoetis, Inc., | ||||||||
4.500%, 11/13/2025 | 7,000,000 | 7,094,171 | ||||||
2,235,612,883 | 23.8% | |||||||
Total Corporate Bonds | 4,407,892,933 | 47.0% |
Other Government Related Securities | ||||||||
Centrais Eletricas Brasileiras SA: | ||||||||
6.875%, 07/30/2019 (Acquired 12/06/2012, Cost $3,292,246) * f | 3,000,000 | 2,699,100 | ||||||
5.750%, 10/27/2021 (Acquired 10/20/2011, Cost $4,000,000) * f | 4,000,000 | 3,150,000 | ||||||
CNOOC Curtis Funding No.1 Pty Ltd., | ||||||||
4.500%, 10/03/2023 (Acquired 02/26/2014, Cost $5,035,159) * f | 5,000,000 | 5,162,470 | ||||||
CNOOC Finance 2013 Ltd., | ||||||||
3.000%, 05/09/2023 f | 2,415,000 | 2,260,360 | ||||||
CNOOC Ltd., | ||||||||
3.500%, 05/05/2025 | 21,075,000 | 20,060,154 | ||||||
CNOOC Nexen Finance (2014) ULC, | ||||||||
4.250%, 04/30/2024 f | 4,450,000 | 4,485,262 | ||||||
CNPC General Capital Ltd., | ||||||||
2.750%, 05/14/2019 (Acquired 05/07/2014, Cost $1,983,740) * f | 2,000,000 | 1,996,780 | ||||||
CNPC HK Overseas Capital Ltd., | ||||||||
5.950%, 04/28/2041 (Acquired 04/20/2011, Cost $978,120) * f | 1,000,000 | 1,166,939 | ||||||
Comision Federal de Electricidad, | ||||||||
5.750%, 02/14/2042 (Acquired 02/08/2012, Cost $5,116,800) * f | 5,200,000 | 4,680,000 | ||||||
Corp Andina de Fomento, | ||||||||
4.375%, 06/15/2022 f | 3,956,000 | 4,211,558 | ||||||
Electricite de France SA, | ||||||||
4.750%, 10/13/2035 (Acquired 10/07/2015, Cost $9,790,200) * f | 10,000,000 | 9,883,110 | ||||||
Export-Import Bank of Korea: | ||||||||
2.250%, 01/21/2020 f | 14,000,000 | 13,785,114 | ||||||
4.000%, 01/29/2021 f | 2,400,000 | 2,556,096 | ||||||
Korea Electric Power Corp., | ||||||||
6.750%, 08/01/2027 f | 490,000 | 609,947 | ||||||
Korea Expressway Corp., | ||||||||
1.625%, 04/28/2017 (Acquired 04/22/2014 through 02/12/2015, Cost $2,942,070) * f | 2,950,000 | 2,939,728 | ||||||
Korea National Oil Corp., | ||||||||
3.125%, 04/03/2017 (Acquired 02/18/2015, Cost $8,234,683) * f | 8,100,000 | 8,224,335 | ||||||
Nexen Energy ULC, | ||||||||
7.500%, 07/30/2039 f | 6,175,000 | 7,960,958 | ||||||
Petrobras Global Finance BV, | ||||||||
3.000%, 01/15/2019 @ f | 3,000,000 | 2,280,000 | ||||||
Petrobras International Finance Co. SA: | ||||||||
3.875%, 01/27/2016 f | 5,800,000 | 5,776,800 | ||||||
7.875%, 03/15/2019 @ f | 5,000,000 | 4,425,000 | ||||||
5.375%, 01/27/2021 f | 3,200,000 | 2,384,000 | ||||||
Petroleos Mexicanos: | ||||||||
4.875%, 01/24/2022 @ f | 6,500,000 | 6,256,250 | ||||||
4.250%, 01/15/2025 (Acquired 10/06/2014 through 10/24/2014, Cost $14,995,978) * @ f | 15,000,000 | 13,125,000 | ||||||
4.500%, 01/23/2026 (Acquired 01/15/2015, Cost $4,491,900) * @ f | 4,500,000 | 3,953,250 | ||||||
6.500%, 06/02/2041 f | 4,000,000 | 3,458,000 | ||||||
PTT PCL, | ||||||||
3.375%, 10/25/2022 (Acquired 10/19/2012, Cost $4,958,500) * @ f | 5,000,000 | 4,933,905 | ||||||
Sinopec Group Overseas Development [2014] Ltd., | ||||||||
4.375%, 04/10/2024 (Acquired 04/02/2014, Cost $1,496,505) * f | 1,500,000 | 1,549,715 | ||||||
Sinopec Group Overseas Development [2015] Ltd.: | ||||||||
2.500%, 04/28/2020 (Acquired 04/21/2015, Cost $19,915,200) * f | 20,000,000 | 19,675,020 | ||||||
3.250%, 04/28/2025 (Acquired 04/21/2015, Cost $19,804,400) * f | 20,000,000 | 18,906,760 | ||||||
State Bank of India, | ||||||||
4.125%, 08/01/2017 (Acquired 07/25/2012, Cost $6,939,800) * f | 7,000,000 | 7,206,304 | ||||||
The Korea Development Bank: | ||||||||
2.250%, 05/18/2020 @ f | 7,200,000 | 7,164,490 | ||||||
3.000%, 09/14/2022 f | 4,400,000 | 4,430,307 | ||||||
201,356,712 | 2.1% | |||||||
Taxable Municipal Bonds | ||||||||
Bellevue Union School District, | ||||||||
5.000%, 08/01/2028 | 625,000 | 659,956 | ||||||
California Qualified School Bond Joint Powers Authority: | ||||||||
6.739%, 09/01/2026 | 2,415,000 | 2,771,212 | ||||||
7.155%, 03/01/2027 | 1,700,000 | 1,991,941 | ||||||
California School Finance Authority, | ||||||||
5.041%, 07/01/2020 | 1,500,000 | 1,627,290 | ||||||
Camden County Improvement Authority, | ||||||||
7.747%, 07/01/2034 (Callable 07/01/2020) | 1,100,000 | 1,306,976 | ||||||
Central Valley Support Joint Powers Agency, | ||||||||
5.676%, 09/01/2024 | 1,500,000 | 1,662,240 | ||||||
City of Vernon CA Electric System Revenue, | ||||||||
4.500%, 08/01/2022 | 7,000,000 | 7,193,270 | ||||||
City of Weyauwega WI Sewerage System Revenue, | ||||||||
3.150%, 05/01/2017 (Callable 05/01/2016) | 5,700,000 | 5,690,367 | ||||||
City of Williston ND, | ||||||||
3.100%, 07/15/2025 (Callable 07/15/2016) | 12,000,000 | 12,005,520 | ||||||
Colton Joint Unified School District, | ||||||||
6.008%, 08/01/2026 | 1,250,000 | 1,445,212 | ||||||
County of Contra Costa CA, | ||||||||
5.140%, 06/01/2017 | 1,300,000 | 1,344,395 | ||||||
Elgin Local School District, | ||||||||
5.499%, 08/31/2027 (Callable 12/01/2019) | 1,000,000 | 1,058,870 | ||||||
Government Development Bank for Puerto Rico, | ||||||||
4.704%, 05/01/2016 | 875,000 | 323,785 | ||||||
Iowa Tobacco Settlement Authority, | ||||||||
6.500%, 06/01/2023 (Callable 02/01/2016) | 2,535,000 | 2,546,864 | ||||||
New Hampshire Housing Finance Authority: | ||||||||
3.100%, 07/01/2021 | 1,725,000 | 1,729,330 | ||||||
3.750%, 07/01/2034 (Callable 07/01/2023) | 6,620,000 | 6,744,588 | ||||||
New Jersey Economic Development Authority: | ||||||||
1.802%, 06/15/2017 | 15,000,000 | 14,924,700 | ||||||
3.375%, 06/15/2017 | 13,000,000 | 12,963,600 | ||||||
North Carolina Housing Finance Agency: | ||||||||
2.870%, 07/01/2032 (Callable 01/01/2024) | 6,030,000 | 6,169,293 | ||||||
2.812%, 07/01/2035 (Callable 01/01/2024) | 8,125,000 | �� 8,318,619 | ||||||
North East Independent School District/TX, | ||||||||
5.240%, 08/01/2027 | 3,000,000 | 3,398,280 | ||||||
Port of Oakland, | ||||||||
5.000%, 11/01/2020 (Callable 11/01/2017) | 2,900,000 | 3,101,492 | ||||||
Rhode Island Housing & Mortgage Finance Corp./RI, | ||||||||
2.913%, 10/01/2039 (Callable 10/01/2023) | 3,280,000 | 3,236,737 | ||||||
San Dieguito Public Facilities Authority, | ||||||||
6.459%, 05/01/2027 | 1,825,000 | 2,225,588 | ||||||
State of Illinois, | ||||||||
5.163%, 02/01/2018 | 3,000,000 | 3,128,040 | ||||||
State Public School Building Authority, | ||||||||
5.000%, 09/15/2027 | 1,998,000 | 2,146,671 | ||||||
Three Rivers Local School District, | ||||||||
5.209%, 09/15/2027 (Callable 12/01/2020) | 1,350,000 | 1,413,869 | ||||||
Town of Davie FL Water & Sewer Revenue, | ||||||||
6.599%, 10/01/2030 (Callable 10/01/2020) | 1,000,000 | 1,157,690 | ||||||
West Contra Costa Unified School District, | ||||||||
6.250%, 08/01/2030 | 4,320,000 | 4,973,832 | ||||||
Westlake City School District, | ||||||||
5.227%, 12/01/2026 (Callable 12/01/2020) | 1,160,000 | 1,197,271 | ||||||
118,457,498 | 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 | 74,307 | 75,024 | ||||||
Federal Gold Loan Mortgage Corp. (FGLMC): | ||||||||
5.000%, 12/01/2020 | 44,157 | 46,792 | ||||||
5.000%, 05/01/2021 | 81,425 | 86,278 | ||||||
6.000%, 06/01/2021 | 16,774 | 18,048 | ||||||
3.000%, 05/01/2027 | 9,774,467 | 10,090,993 | ||||||
6.500%, 12/01/2028 | 27,382 | 31,204 | ||||||
6.500%, 06/01/2029 | 11,875 | 13,524 | ||||||
3.000%, 10/01/2030 | 57,875,373 | 59,760,561 | ||||||
5.000%, 03/01/2036 | 7,536,439 | 8,273,654 | ||||||
5.500%, 04/01/2037 | 240,539 | 267,671 | ||||||
5.500%, 04/01/2038 | 130,185 | 144,782 | ||||||
5.500%, 05/01/2038 | 275,419 | 306,306 | ||||||
4.500%, 11/01/2039 | 1,427,492 | 1,539,791 | ||||||
4.500%, 11/01/2039 | 4,600,174 | 4,961,723 | ||||||
4.500%, 08/01/2040 | 4,566,253 | 4,925,508 | ||||||
4.500%, 08/01/2040 | 6,625,471 | 7,146,772 | ||||||
3.500%, 06/01/2042 | 10,725,786 | 11,054,657 | ||||||
3.500%, 07/01/2042 | 37,971,055 | 39,135,347 | ||||||
3.000%, 08/01/2042 | 31,477,445 | 31,498,719 | ||||||
3.000%, 02/01/2043 | 10,092,635 | 10,099,458 | ||||||
3.000%, 04/01/2043 | 18,963,883 | 18,975,456 | ||||||
3.000%, 04/01/2043 | 12,430,015 | 12,436,810 | ||||||
3.000%, 06/01/2043 | 16,878,806 | 16,885,850 | ||||||
3.000%, 08/01/2043 | 25,824,751 | 25,832,190 | ||||||
3.500%, 07/01/2044 | 27,809,436 | 28,650,009 | ||||||
3.500%, 08/01/2044 | 47,746,459 | 49,189,651 | ||||||
4.000%, 09/01/2044 | 29,923,640 | 31,637,991 | ||||||
4.000%, 10/01/2044 | 37,389,545 | 39,665,026 | ||||||
4.000%, 02/01/2045 | 31,227,891 | 33,021,433 | ||||||
3.500%, 06/01/2045 | 41,347,011 | 42,694,004 | ||||||
Federal Home Loan Mortgage Corp. (FHLMC): | ||||||||
Series 1053, Class G, 7.000%, 03/15/2021 | 2,510 | 2,809 | ||||||
Series 136, Class E, 6.000%, 04/15/2021 | 5,205 | 5,471 | ||||||
Series 1122, Class G, 7.000%, 08/15/2021 | 6,846 | 7,373 | ||||||
Series 1186, Class I, 7.000%, 12/15/2021 | 12,825 | 14,207 | ||||||
Federal National Mortgage Association (FNMA): | ||||||||
Series 1989-94, Class G, 7.500%, 12/25/2019 | 3,257 | 3,481 | ||||||
Series 1990-15, Class J, 7.000%, 02/25/2020 | 8,088 | 8,487 | ||||||
Series 1991-21, Class J, 7.000%, 03/25/2021 | 2,340 | 2,519 | ||||||
Series 1991-43, Class J, 7.000%, 05/25/2021 | 39,309 | 42,827 | ||||||
Series 1991-65, Class Z, 6.500%, 06/25/2021 | 33,966 | 35,779 | ||||||
Series 2804, Class VC, 5.000%, 07/15/2021 | 125,928 | 132,275 | ||||||
5.000%, 11/01/2021 | 277,103 | 290,356 | ||||||
Series 1992-129, Class L, 6.000%, 07/25/2022 | 78,630 | 84,803 | ||||||
Series 1993-32, Class H, 6.000%, 03/25/2023 | 19,365 | 20,840 | ||||||
Series 1993-58, Class H, 5.500%, 04/25/2023 | 91,677 | 98,622 | ||||||
3.000%, 04/01/2027 | 18,058,670 | 18,699,360 | ||||||
2.500%, 12/01/2027 | 26,556,789 | 26,985,033 | ||||||
5.000%, 05/01/2028 | 80,435 | 88,468 | ||||||
6.500%, 09/01/2028 | 20,535 | 23,469 | ||||||
6.500%, 02/01/2029 | 45,396 | 51,880 | ||||||
4.500%, 07/01/2030 | 8,638,748 | 9,383,946 | ||||||
3.000%, 08/01/2030 | 46,183,810 | 47,670,202 | ||||||
4.000%, 11/01/2031 | 35,457,448 | 37,938,395 | ||||||
5.500%, 01/01/2032 | 17,869 | 20,025 | ||||||
5.000%, 09/01/2033 | 25,511,800 | 28,225,532 | ||||||
4.500%, 10/01/2033 | 48,360,551 | 52,641,281 | ||||||
4.000%, 01/01/2034 | 23,439,765 | 25,074,826 | ||||||
5.500%, 04/01/2034 | 1,319,358 | 1,483,659 | ||||||
5.500%, 04/01/2034 | 1,404,452 | 1,579,496 | ||||||
Series 2004-90, Class LH, 5.000%, 04/25/2034 | 1,918,147 | 2,008,104 | ||||||
4.000%, 09/01/2034 | 33,696,474 | 36,053,660 | ||||||
5.500%, 09/01/2034 | 44,044 | 49,627 | ||||||
5.000%, 02/01/2035 | 34,747,304 | 38,434,171 | ||||||
5.000%, 02/01/2035 | 31,491,779 | 34,820,374 | ||||||
5.500%, 02/01/2035 | 21,690 | 24,444 | ||||||
5.000%, 04/01/2035 | 2,522,449 | 2,785,647 | ||||||
5.000%, 07/01/2035 | 7,421,007 | 8,202,324 | ||||||
5.000%, 02/01/2036 | 4,708,150 | 5,194,690 | ||||||
5.000%, 03/01/2036 | 2,113,447 | 2,331,241 | ||||||
5.500%, 04/01/2036 | 7,153,117 | 8,021,558 | ||||||
6.000%, 05/01/2038 | 12,294,979 | 13,892,341 | ||||||
5.000%, 06/01/2040 | 29,073,972 | 32,036,822 | ||||||
4.000%, 08/01/2040 | 2,038,637 | 2,162,479 | ||||||
4.500%, 08/01/2040 | 9,675,311 | 10,472,788 | ||||||
4.500%, 08/01/2040 | 25,525,175 | 27,627,883 | ||||||
4.000%, 10/01/2040 | 1,398,055 | 1,482,980 | ||||||
4.000%, 12/01/2040 | 5,912,005 | 6,308,362 | ||||||
3.500%, 01/01/2041 | 3,351,830 | 3,466,409 | ||||||
4.000%, 01/01/2041 | 7,623,889 | 8,087,572 | ||||||
3.500%, 02/01/2041 | 3,744,141 | 3,871,925 | ||||||
3.500%, 03/01/2041 | 28,415,288 | 29,385,036 | ||||||
4.500%, 07/01/2041 | 12,672,817 | 13,713,333 | ||||||
3.500%, 09/01/2041 | 58,429,922 | 60,424,853 | ||||||
4.000%, 09/01/2041 | 6,442,028 | 6,833,740 | ||||||
3.500%, 11/01/2041 | 32,584,417 | 33,701,486 | ||||||
4.000%, 12/01/2041 | 27,960,351 | 29,664,012 | ||||||
4.500%, 01/01/2042 | 21,667,092 | 23,439,102 | ||||||
3.000%, 05/01/2042 | 5,281,461 | 5,304,192 | ||||||
3.500%, 06/01/2042 | 12,282,612 | 12,699,044 | ||||||
3.500%, 08/01/2042 | 18,278,796 | 18,896,612 | ||||||
3.000%, 03/01/2043 | 9,929,592 | 9,951,851 | ||||||
3.000%, 05/01/2043 | 42,270,729 | 42,362,247 | ||||||
3.000%, 06/01/2043 | 43,418,284 | 43,512,313 | ||||||
3.000%, 07/01/2043 | 25,976,512 | 26,030,769 | ||||||
3.000%, 08/01/2043 | 12,131,896 | 12,156,303 | ||||||
4.500%, 09/01/2043 | 15,219,985 | 16,466,932 | ||||||
4.000%, 01/01/2045 | 30,300,381 | 32,157,733 | ||||||
4.000%, 02/01/2045 | 40,931,889 | 43,504,015 | ||||||
4.000%, 03/01/2045 | 16,058,065 | 17,067,122 | ||||||
Government National Mortgage Association (GNMA): | ||||||||
6.000%, 12/20/2028 | 31,067 | 34,992 | ||||||
6.500%, 01/20/2029 | 15,455 | 18,047 | ||||||
6.000%, 11/20/2033 | 22,857 | 25,989 | ||||||
5.000%, 07/20/2040 | 1,381,845 | 1,526,798 | ||||||
4.000%, 06/20/2042 | 25,503,593 | 27,242,915 | ||||||
3.500%, 09/20/2042 | 15,247,374 | 15,943,003 | ||||||
3.000%, 04/20/2045 | 23,378,027 | 23,726,840 | ||||||
3.500%, 04/20/2045 | 53,755,273 | 56,120,053 | ||||||
4.000%, 05/20/2045 | 44,792,025 | 47,598,827 | ||||||
3.500%, 06/20/2045 | 43,397,643 | 45,306,775 | ||||||
1,681,230,988 | 17.9% | |||||||
Non-U.S. Government Agency Issues | ||||||||
Alternative Loan Trust: | ||||||||
Series 2005-3CB, Class 2A1, 5.000%, 03/25/2020 | 1,693,377 | 1,709,703 | ||||||
Series 2005-50CB, Class 4A1, 5.000%, 11/25/2020 § | 435,571 | 437,386 | ||||||
Series 2005-85CB, Class 3A1, 5.250%, 02/25/2021 (Acquired 06/29/2015, Cost $17,769) * § | 18,185 | 17,790 | ||||||
Series 2006-7CB, Class 3A1, 5.250%, 05/25/2021 | 534,616 | 521,960 | ||||||
Series 2006-43CB, Class 2A1, 6.000%, 02/25/2022 | 405,132 | 444,012 | ||||||
Series 2004-18CB, Class 1A1, 6.000%, 09/25/2034 | 9,956,939 | 10,436,165 | ||||||
Series 2005-11CB, Class 2A6, 5.500%, 06/25/2035 § | 11,532,664 | 11,546,839 | ||||||
Series 2005-49CB, Class A5, 5.500%, 11/25/2035 § | 5,199,184 | 4,912,693 | ||||||
Series 2005-73CB, Class 1A7, 5.500%, 01/25/2036 § | 716,208 | 681,156 | ||||||
Series 2005-85CB, Class 2A2, 5.500%, 02/25/2036 § | 6,239,253 | 5,911,766 | ||||||
Series 2006-28CB, Class A17, 6.000%, 10/25/2036 § | 811,239 | 664,672 | ||||||
Banc of America Alternative Loan Trust: | ||||||||
Series 2003-11, Class 4A1, 4.750%, 01/25/2019 | 13,122 | 13,208 | ||||||
Series 2004-1, Class 5A2, 5.500%, 02/25/2019 | 601,599 | 616,034 | ||||||
Series 2004-2, Class 5A1, 5.500%, 03/25/2019 | 147,009 | 149,383 | ||||||
Series 2004-6, Class 4A1, 5.000%, 07/25/2019 | 4,299,550 | 4,404,242 | ||||||
Series 2004-8, Class 3A1, 5.500%, 09/25/2019 § | 810,653 | 793,588 | ||||||
Series 2004-11, Class 4A1, 5.500%, 12/25/2019 | 6,935 | 7,098 | ||||||
Series 2005-2, Class 4A1, 5.500%, 03/25/2020 | 585,939 | 601,355 | ||||||
Series 2005-4, Class 3A1, 5.500%, 05/25/2020 | 509,762 | 513,405 | ||||||
Series 2005-8, Class 5A1, 5.500%, 09/25/2020 § | 123,062 | 122,654 | ||||||
Series 2007-1, Class 1A1, 5.846%, 04/25/2022 | 552,419 | 552,729 | ||||||
Series 2003-8, Class 1CB1, 5.500%, 10/25/2033 | 4,178,351 | 4,369,110 | ||||||
Series 2004-2, Class 1A1, 6.000%, 03/25/2034 | 3,574,516 | 3,733,893 | ||||||
Series 2005-2, Class 1CB2, 5.500%, 03/25/2035 § | 1,533,551 | 1,418,296 | ||||||
Series 2005-9, Class 1CB3, 5.500%, 10/25/2035 § | 32,094 | 29,213 | ||||||
Series 2005-9, Class 2CB1, 6.000%, 10/25/2035 § | 11,626,548 | 11,205,962 | ||||||
Series 2007-C, Class 1A3, 4.007%, 05/20/2036 § | 6,163,318 | 5,733,261 | ||||||
Series 2006-4, Class 3CB4, 6.000%, 05/25/2046 § | 49,993 | 41,680 | ||||||
Series 2006-5, Class CB7, 6.000%, 06/25/2046 § | 462,011 | 392,033 | ||||||
Series 2007-C, Class 7A5, 0.702%, 05/20/2047 | 5,862,451 | 4,820,019 | ||||||
Banc of America Mortgage Trust, | ||||||||
Series 2003-L, Class 2A1, 2.861%, 01/25/2034 | 4,106,978 | 4,096,162 | ||||||
Chase Mortgage Finance Trust: | ||||||||
Series 2006-A1, Class 2A3, 2.656%, 09/25/2036 § | 1,446,456 | 1,286,841 | ||||||
Series 2007-A1, Class 3A1, 2.641%, 02/25/2037 | 8,044,947 | 7,967,791 | ||||||
Series 2007-A1, Class 2A3, 2.656%, 02/25/2037 | 4,343,726 | 4,355,426 | ||||||
CHL Mortgage Pass-Through Trust, | ||||||||
Series 2005-6, Class 2A1, 5.500%, 04/25/2035 | 902,105 | 888,195 | ||||||
Citicorp Mortgage Securities Trust: | ||||||||
Series 2006-3, Class 1A4, 6.000%, 06/25/2036 | 10,562,853 | 11,031,404 | ||||||
Series 2007-2, Class 1A3, 6.000%, 02/25/2037 | 2,142,507 | 2,176,249 | ||||||
Citigroup Mortgage Loan Trust, Inc.: | ||||||||
Series 2006-AR1, Class 1A1, 2.570%, 10/25/2035 | 31,494,476 | 31,184,536 | ||||||
Series 2005-9, Class 2A2, 5.500%, 11/25/2035 § | 676,224 | 647,280 | ||||||
Series 2005-9, Class 22A2, 6.000%, 11/25/2035 § | 6,824,963 | 6,231,189 | ||||||
Countrywide Alternative Loan Trust, | ||||||||
Series 2006-J5, Class 3A1, 4.810%, 07/25/2021 | 24,730 | 24,598 | ||||||
Credit Suisse First Boston Mortgage Securities Corp., | ||||||||
Series 2005-7, Class 3A1, 5.000%, 08/25/2020 | 394,259 | 393,257 | ||||||
Deutsche Alt-A Securities Inc Mortgage Loan Trust, | ||||||||
Series 2005-3, Class 4A5, 5.250%, 06/25/2035 | 3,821,147 | 3,860,793 | ||||||
Deutsche Alt-A Securities Mortgage Loan Trust, | ||||||||
Series 2006-AF1, Class A3, 0.602%, 04/25/2036 § | 1,955,646 | 1,945,050 | ||||||
First Horizon Alternative Mortgage Securities Trust: | ||||||||
Series 2006-FA6, Class 3A1, 5.750%, 11/25/2021 | 164,881 | 165,837 | ||||||
Series 2004-AA1, Class A1, 2.345%, 06/25/2034 | 9,751,425 | 9,583,484 | ||||||
Series 2005-AA2, Class 2A1, 2.376%, 04/25/2035 | 4,599,537 | 4,521,448 | ||||||
Series 2006-FA8, Class 2A1, 5.750%, 02/25/2037 § | 582,434 | 504,116 | ||||||
GSAA Home Equity Trust, | ||||||||
Series 2004-6, Class A1, 1.222%, 06/25/2034 | 4,825,674 | 4,682,308 | ||||||
Series 2007-8, Class A3, 0.872%, 08/25/2037 | 12,792,988 | 11,561,999 | ||||||
GSR Mortgage Loan Trust: | ||||||||
Series 2004-15F, Class 5A1, 5.500%, 01/25/2020 | 851,494 | 869,443 | ||||||
Series 2005-3F, Class 2A4, 6.000%, 03/25/2035 | 5,756,433 | 6,078,201 | ||||||
Series 2005-AR2, Class 2A1, 2.771%, 04/25/2035 | 7,757,959 | 7,731,955 | ||||||
HomeBanc Mortgage Trust, | ||||||||
Series 2005-4, Class A1, 0.692%, 10/25/2035 | 15,163,181 | 14,007,555 | ||||||
J.P. Morgan Alternative Loan Trust: | ||||||||
Series 2005-S1, Class 3A1, 5.500%, 10/25/2020 § | 1,687,987 | 1,676,255 | ||||||
Series 2006-A1, Class 2A1, 2.595%, 03/25/2036 § | 148,309 | 124,034 | ||||||
Series 2006-S3, Class A3A, 6.000%, 08/25/2036 § | 1,052,437 | 1,010,522 | ||||||
Series 2007-S1, Class A1, 0.702%, 04/25/2047 | 12,164,313 | 10,988,285 | ||||||
J.P. Morgan Mortgage Trust: | ||||||||
Series 2006-S3, Class 2A3, 5.000%, 08/25/2021 § | 217,403 | 216,608 | ||||||
Series 2006-A2, Class 2A1, 2.566%, 04/25/2036 § | 3,071,629 | 2,807,319 | ||||||
Series 2006-A2, Class 3A3, 4.388%, 04/25/2036 § | 3,713,835 | 3,392,748 | ||||||
Series 2006-A7, Class 2A2, 2.919%, 01/25/2037 | 4,872,955 | 4,278,297 | ||||||
Series 2006-A7, Class 2A4R, 2.919%, 01/25/2037 | 4,436,310 | 3,894,938 | ||||||
Series 2007-A2, Class 2A3, 2.670%, 04/25/2037 § | 9,381,872 | 8,227,889 | ||||||
Series 2007-A4, Class 2A3, 2.931%, 06/25/2037 § | 10,820,874 | 9,960,529 | ||||||
MASTR Alternative Loan Trust: | ||||||||
Series 2004-1, Class 1A1, 5.000%, 01/25/2019 | 100,269 | 101,463 | ||||||
Series 2004-5, Class 4A1, 5.500%, 07/25/2019 | 280,809 | 289,410 | ||||||
Series 2005-3, Class 4A1, 5.500%, 03/25/2020 | 625,982 | 644,378 | ||||||
Series 2003-5, Class 6A1, 6.000%, 08/25/2033 | 55,538 | 58,941 | ||||||
Series 2004-2, Class 2A1, 6.000%, 02/25/2034 | 5,106,247 | 5,462,493 | ||||||
Series 2004-8, Class 2A1, 6.000%, 09/25/2034 | 4,034,704 | 4,230,340 | ||||||
Series 2005-6, Class 1A5, 5.500%, 12/25/2035 § | 5,022,219 | 4,483,757 | ||||||
Merrill Lynch Mortgage Investors Trust, | ||||||||
Series 2004-F, Class A1B, 1.042%, 12/25/2029 | 14,574,519 | 14,010,456 | ||||||
MortgageIT Trust, | ||||||||
Series 2005-5, Class A1, 0.682%, 12/25/2035 | 10,000,795 | 9,053,673 | ||||||
RALI Series Trust: | ||||||||
Series 2004-QS3, Class CB, 5.000%, 03/25/2019 | 1,063,519 | 1,065,968 | ||||||
Series 2004-QS13, Class CB, 5.000%, 09/25/2019 | 936,692 | 944,501 | ||||||
Series 2004-QS5, Class A5, 4.750%, 04/25/2034 | 4,261 | 4,341 | ||||||
Series 2004-QS16, Class 1A1, 5.500%, 12/25/2034 | 1,812,375 | 1,825,467 | ||||||
Series 2005-QS2, Class A1, 5.500%, 02/25/2035 | 399,162 | 398,898 | ||||||
Series 2005-QS5, Class A1, 0.822%, 04/25/2035 § | 4,266,064 | 3,206,565 | ||||||
Series 2005-QS9, Class A2, 0.922%, 06/25/2035 § | 1,881,500 | 1,506,099 | ||||||
Series 2005-QS11, Class A2, 0.922%, 07/25/2035 | 7,395,923 | 5,939,654 | ||||||
Sequoia Mortgage Trust, | ||||||||
Series 2013-6, Class A2, 3.000%, 05/25/2043 | 15,923,644 | 15,422,049 | ||||||
Structured Asset Securities Corp., | ||||||||
Series 2003-31A, Class 2A7, 2.527%, 10/25/2033 | 3,116,629 | 3,079,344 | ||||||
Structured Asset Securities Corp. Mortgage Loan Trust, | ||||||||
Series 2005-7XS, Class 1A4B, 5.440%, 04/25/2035 | 330,986 | 346,669 | ||||||
WaMu Mortgage Pass-Through Certificates: | ||||||||
Series 2004-CB1, Class 5A, 5.000%, 06/25/2019 | 46,398 | 47,331 | ||||||
Series 2004-CB2, Class 5A, 5.000%, 07/25/2019 | 40,121 | 40,771 | ||||||
Series 2004-CB2, Class 7A, 5.500%, 08/25/2019 | 91,380 | 93,457 | ||||||
Series 2004-CB3, Class 3A, 5.500%, 10/25/2019 | 9,618 | 9,906 | ||||||
Series 2004-CB3, Class 4A, 6.000%, 10/25/2019 | 28,467 | 29,595 | ||||||
Series 2004-CB4, Class 22A, 6.000%, 12/25/2019 | 124,954 | 129,180 | ||||||
Series 2004-CB3, Class 1A, 6.000%, 10/25/2034 | 7,556,019 | 8,024,756 | ||||||
Series 2004-CB3, Class 2A, 6.500%, 10/25/2034 | 6,863,049 | 7,481,535 | ||||||
Series 2005-3, Class 1CB3, 0.872%, 05/25/2035 § | 10,484,061 | 8,221,602 | ||||||
Series 2005-6, Class 2A4, 5.500%, 08/25/2035 § | 13,565,358 | 12,934,689 | ||||||
Wells Fargo Alternative Loan Trust, | ||||||||
Series 2007-PA1, Class A4, 6.000%, 03/25/2037 § | 97,300 | 88,162 | ||||||
Wells Fargo Mortgage Backed Securities: | ||||||||
Series 2005-AR16, Class 4A2, 2.738%, 10/25/2035 | 5,921,550 | 5,905,641 | ||||||
Series 2006-AR14, Class 2A3, 2.723%, 10/25/2036 § | 6,217,231 | 5,770,586 | ||||||
Wells Fargo Mortgage Backed Securities Trust, | ||||||||
Series 2007-4, Class A15, 6.000%, 04/25/2037 | 11,042,387 | 10,871,737 | ||||||
390,897,260 | 4.2% |
Asset Backed Securities | ||||||||
ABFC Trust, | ||||||||
Series 2006-OPT1, Class A3C2, 0.572%, 09/25/2036 | 12,270,767 | 11,002,284 | ||||||
Accredited Mortgage Loan Trust: | ||||||||
Series 2005-4, Class A2D, 0.742%, 12/25/2035 | 13,200,309 | 12,492,915 | ||||||
Series 2007-1, Class A3, 0.552%, 02/25/2037 | 8,808,531 | 8,397,729 | ||||||
ACE Securities Corp. Home Equity Loan Trust, | ||||||||
Series 2006-OP1, Class A2C, 0.572%, 04/25/2036 | 16,317,159 | 15,331,621 | ||||||
AMRESCO Residential Securities Corp. Mortgage Loan Trust, | ||||||||
Series 1998-2, Class A6, 6.405%, 12/25/2027 | 2,445 | 2,419 | ||||||
Banc of America Funding Trust, | ||||||||
Series 2005-C, Class A1, 0.642%, 05/20/2035 | 15,606,642 | 14,539,058 | ||||||
Bayview Financial Acquisition Trust, | ||||||||
Series 2007-A, Class 1A2, 6.205%, 05/28/2037 | 638,993 | 669,150 | ||||||
Bayview Financial Mortgage Pass-Through Trust, | ||||||||
Series 2007-B, Class 1A2, 6.831%, 08/28/2047 | 148,001 | 127,248 | ||||||
Bear Stearns Asset Backed Securities I Trust: | ||||||||
Series 2006-HE8, Class 21A2, 0.592%, 10/25/2036 | 11,927,962 | 11,324,171 | ||||||
Series 2007-HE5, Class 1A2, 0.602%, 06/25/2047 | 13,800,836 | 13,349,024 | ||||||
BMW Floorplan Master Owner Trust, | ||||||||
Series 2015-1A, Class A, 0.831%, 07/15/2020 (Acquired 07/15/2015, Cost $14,925,000) * | 14,925,000 | 14,831,631 | ||||||
Carrington Mortgage Loan Trust: | ||||||||
Series 2005-FRE1, Class A6, 0.802%, 12/25/2035 | 19,077,140 | 18,436,036 | ||||||
Series 2006-NC1, Class A3, 0.632%, 01/25/2036 | 7,260,365 | 7,004,945 | ||||||
Series 2006-OPT1, Class A3, 0.602%, 02/25/2036 | 9,368,210 | 9,132,086 | ||||||
Series 2006-NC2, Class A2, 0.512%, 06/25/2036 | 2,449,279 | 2,426,394 | ||||||
Chase Issuance Trust, | ||||||||
Series 2015-A5, Class A5, 1.360%, 04/15/2020 | 35,796,000 | 35,591,279 | ||||||
Citibank Credit Card Issuance Trust, | ||||||||
Series 2007-A3, Class A3, 6.150%, 06/15/2039 | 6,100,000 | 7,745,466 | ||||||
Citicorp Residential Mortgage Trust: | ||||||||
Series 2006-2, Class A4, 5.775%, 09/25/2036 | 7,456,381 | 7,729,692 | ||||||
Series 2006-3, Class A4, 5.703%, 11/25/2036 | 3,732,336 | 3,878,336 | ||||||
Series 2007-1, Class A6, 5.702%, 03/25/2037 | 291,081 | 302,522 | ||||||
Series 2007-2, Class A4, 5.469%, 06/25/2037 | 55,037,628 | 57,099,469 | ||||||
Citigroup Mortgage Loan Trust, Inc., | ||||||||
Series 2007-WFH1, Class A3, 0.572%, 01/25/2037 | 4,249,281 | 4,188,282 | ||||||
Cityscape Home Equity Loan Trust, | ||||||||
Series 1997-C, Class A4, 7.000%, 07/25/2028 § | 7,057 | 6,393 | ||||||
Conseco Financial Corp.: | ||||||||
Series 1993-4, Class A5, 7.050%, 01/15/2019 | 1,838 | 1,875 | ||||||
Series 1997-4, Class A5, 6.880%, 02/15/2029 | 1,546 | 1,551 | ||||||
Series 1998-3, Class A5, 6.220%, 03/01/2030 | 314,147 | 327,717 | ||||||
Series 1998-4, Class A5, 6.180%, 04/01/2030 | 140,594 | 149,622 | ||||||
Countrywide Asset-Backed Certificates: | ||||||||
Series 2007-4, Class A3, 5.397%, 10/25/2032 § | 705,774 | 609,829 | ||||||
Series 2004-12, Class AF6, 4.634%, 03/25/2035 | 295,329 | 302,984 | ||||||
Series 2004-15, Class AF6, 4.613%, 04/25/2035 | 220,203 | 221,236 | ||||||
Series 2005-7, Class AF6, 4.693%, 10/25/2035 | 731,352 | 745,966 | ||||||
Series 2005-10, Class AF6, 4.579%, 02/25/2036 | 1,932,806 | 1,966,915 | ||||||
Series 2005-11, Class AF3, 4.778%, 02/25/2036 | 1,063,008 | 1,085,682 | ||||||
Series 2005-13, Class 3AV3, 0.672%, 04/25/2036 | 1,670,596 | 1,662,393 | ||||||
Series 2005-13, Class AF3, 4.874%, 04/25/2036 § | 1,671,150 | 1,485,128 | ||||||
Series 2006-S9, Class A3, 5.728%, 08/25/2036 | 100,650 | 100,695 | ||||||
Series 2006-13, Class 1AF3, 4.687%, 01/25/2037 § | 115,782 | 157,204 | ||||||
Series 2006-10, Class 1AF3, 4.778%, 09/25/2046 § | 1,118,035 | 997,165 | ||||||
Series 2006-9, Class 1AF3, 4.896%, 10/25/2046 § | 452,112 | 409,932 | ||||||
Credit-Based Asset Servicing and Securitization LLC, | ||||||||
Series 2005-CB8, Class AF2, 4.122%, 12/25/2035 | 1,251,234 | 1,236,799 | ||||||
CWHEQ Home Equity Loan Trust, | ||||||||
Series 2007-S1, Class A6, 5.693%, 11/25/2036 | 40,937 | 40,321 | ||||||
Enterprise Fleet Financing LLC, | ||||||||
Series 2015-2, Class A2, 1.590%, 02/22/2021 (Acquired 07/22/2015 through 10/20/2015, Cost $10,672,295) * | 10,675,000 | 10,604,907 | ||||||
First Franklin Mortgage Loan Trust: | ||||||||
Series 2006-FF3, Class A2B, 0.622%, 02/25/2036 | 18,420,069 | 17,722,580 | ||||||
Series 2006-FF4, Class A2, 0.612%, 03/25/2036 | 6,019,820 | 5,803,372 | ||||||
GE Capital Mortgage Services Inc. Trust, | ||||||||
Series 1999-HE1, Class A7, 6.265%, 04/25/2029 | 782 | 792 | ||||||
Home Equity Asset Trust, | ||||||||
Series 2006-4, Class 2A3, 0.592%, 08/25/2036 | 591,009 | 582,387 | ||||||
HSI Asset Securitization Corp. Trust: | ||||||||
Series 2006-OPT4, Class 2A3, 0.582%, 03/25/2036 | 5,266,396 | 4,825,782 | ||||||
Series 2007-WF1, Class 2A3, 0.592%, 05/25/2037 | 20,121,878 | 19,231,225 | ||||||
J.P. Morgan Mortgage Acquisition Trust: | ||||||||
Series 2007-CH1, Class AV5, 0.662%, 11/25/2036 | 10,000,000 | 9,669,340 | ||||||
Series 2007-CH3, Class A3, 0.572%, 03/25/2037 | 13,557,042 | 13,428,426 | ||||||
Series 2007-CH5, Class A3, 0.532%, 05/25/2037 | 2,631,280 | 2,596,944 | ||||||
Long Beach Mortgage Loan Trust, | ||||||||
Series 2006-WL2, Class 2A3, 0.622%, 01/25/2036 | 2,107,434 | 2,033,957 | ||||||
Luminent Mortgage Trust, | ||||||||
Series 2005-1, Class A1, 0.682%, 11/25/2035 | 16,559,556 | 14,931,013 | ||||||
MASTR Asset Backed Securities Trust, | ||||||||
Series 2006-NC1, Class A4, 0.722%, 01/25/2036 | 7,175,000 | 6,895,033 | ||||||
Nationstar Home Equity Loan Trust: | ||||||||
Series 2006-B, Class AV3, 0.592%, 09/25/2036 | 661,118 | 661,041 | ||||||
Series 2007-C, Class 2AV2, 0.552%, 06/25/2037 | 11,961,666 | 11,633,926 | ||||||
Navistar Financial Dealer Note Master Owner Trust II, | ||||||||
Series 2015-1, Class A, 1.822%, 06/25/2020 (Acquired 07/22/2015 through 08/26/2015, Cost $32,067,008) * | 32,070,000 | 32,057,602 | ||||||
Oakwood Mortgage Investors, Inc., | ||||||||
Series 1999-B, Class A3, 6.450%, 11/15/2017 | 21,928 | 23,282 | ||||||
Option One Mortgage Loan Trust Asset-Backed Certificates, | ||||||||
Series 2005-4, Class A3, 0.682%, 11/25/2035 | 299,371 | 296,948 | ||||||
RAMP Series Trust: | ||||||||
Series 2002-RS3, Class AI5, 5.572%, 06/25/2032 | 2,557,946 | 2,537,711 | ||||||
Series 2003-RS10, Class AI7, 4.850%, 11/25/2033 | 14,516 | 14,578 | ||||||
Series 2006-NC2, Class A2, 0.612%, 02/25/2036 | 13,943,663 | 13,613,795 | ||||||
Series 2006-RS4, Class A3, 0.592%, 07/25/2036 | 7,273,389 | 7,074,564 | ||||||
RASC Series Trust: | ||||||||
Series 2003-KS5, Class AI6, 3.620%, 07/25/2033 | 26,064 | 25,358 | ||||||
Series 2003-KS9, Class AI6, 4.710%, 11/25/2033 | 57,871 | 55,758 | ||||||
Series 2006-EMX2, Class A2, 0.622%, 02/25/2036 | 3,552,186 | 3,525,223 | ||||||
Series 2006-EMX2, Class A3, 0.722%, 02/25/2036 | 11,596,000 | 11,091,865 | ||||||
Renaissance Home Equity Loan Trust: | ||||||||
Series 2005-1, Class AF6, 4.970%, 05/25/2035 | 87,917 | 89,203 | ||||||
Series 2005-2, Class AF6, 4.781%, 08/25/2035 | 3,945,529 | 4,036,585 | ||||||
Series 2005-3, Class AF3, 4.814%, 11/25/2035 | 1,408,472 | 1,421,358 | ||||||
Series 2006-2, Class AF3, 5.797%, 08/25/2036 | 16,398,757 | 10,136,022 | ||||||
Series 2006-3, Class AF2, 5.580%, 11/25/2036 | 10,850,880 | 5,661,641 | ||||||
Series 2007-1, Class AF2, 5.512%, 04/25/2037 | 481,905 | 246,364 | ||||||
Series 2007-1, Class AF3, 5.612%, 04/25/2037 | 289,143 | 153,805 | ||||||
Series 2007-2, Class AF2, 5.675%, 06/25/2037 | 1,464,376 | 713,315 | ||||||
Security National Mortgage Co., | ||||||||
Series 2005-1A, Class AF1, 4.670%, 02/25/2035 (Acquired 06/29/2015, Cost $2,512) * | 2,513 | 2,510 | ||||||
Soundview Home Loan Trust: | ||||||||
Series 2005-OPT4, Class 2A3, 0.682%, 12/25/2035 | 9,405,997 | 9,246,741 | ||||||
Series 2006-OPT4, Class 2A3, 0.572%, 06/25/2036 | 6,013,465 | 5,495,424 | ||||||
Specialty Underwriting & Residential Finance Trust, | ||||||||
Series 2004-BC4, Class A1A, 1.092%, 10/25/2035 | 3,690,719 | 3,596,061 | ||||||
Springleaf Funding Trust: | ||||||||
Series 2014-AA, Class A, 2.410%, 12/15/2022 (Acquired 06/11/2015 through 12/03/2015, Cost $35,707,566) * | 35,630,000 | 35,528,793 | ||||||
Series 2013-BA, Class A, 3.920%, 01/16/2023 (Acquired 08/11/2015, Cost $22,771,441) * | 22,775,000 | 22,787,982 | ||||||
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 | 15,938,671 | ||||||
573,103,048 | 6.1% | |||||||
Commercial Mortgage-Backed Securities | ||||||||
Citigroup Commercial Mortgage Trust, | ||||||||
Series 2014-GC19, Class A3, 3.753%, 03/10/2047 | 5,000,000 | 5,162,922 | ||||||
COMM Mortgage Trust: | ||||||||
Series 2012-CR1, Class A3, 3.391%, 05/15/2045 | 25,842,000 | 26,546,590 | ||||||
Series 2013-CR9, Class A3, 4.022%, 07/10/2045 | 23,325,000 | 24,682,298 | ||||||
Series 2012-CR2, Class A4, 3.147%, 08/15/2045 | 30,063,000 | 30,342,153 | ||||||
Series 2014-CR18, Class A4, 3.550%, 07/15/2047 | 5,000,000 | 5,109,456 | ||||||
DBUBS Mortgage Trust, | ||||||||
Series 2011-LC3A, Class A4, 4.551%, 08/10/2044 | 2,275,000 | 2,458,196 | ||||||
GS Mortgage Securities Corp. II, | ||||||||
Series 2012-GCJ9, Class A3, 2.773%, 11/10/2045 | 40,164,000 | 39,509,098 | ||||||
GS Mortgage Securities Trust: | ||||||||
Series 2011-GC5, Class A4, 3.707%, 08/10/2044 | 14,524,873 | 15,231,267 | ||||||
Series 2014-GC20, Class AAB, 3.655%, 04/10/2047 | 14,620,000 | 15,092,336 | ||||||
J.P. Morgan Chase Commercial Mortgage Securities Corp., | ||||||||
Series 2012-LC9, Class ASB, 2.437%, 12/15/2047 | 3,450,000 | 3,417,688 | ||||||
J.P. Morgan Chase Commercial Mortgage Securities Trust: | ||||||||
Series 2013-LC11, Class A4, 2.694%, 04/15/2046 | 10,150,000 | 9,833,451 | ||||||
Series 2013-LC11, Class A5, 2.960%, 04/15/2046 | 22,075,000 | 21,729,542 | ||||||
Series 2013-C10, Class ASB, 2.702%, 12/15/2047 | 19,950,000 | 19,925,910 | ||||||
JPMBB Commercial Mortgage Securities Trust: | ||||||||
Series 2013-C17, Class A3, 3.928%, 01/15/2047 | 23,700,000 | 25,001,933 | ||||||
Series 2014-C25, Class A5, 3.672%, 11/15/2047 | 33,300,000 | 33,888,871 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust: | ||||||||
Series 2012-C5, Class A4, 3.176%, 08/15/2045 | 30,940,000 | 31,411,356 | ||||||
Series 2012-C6, Class A4, 2.858%, 11/15/2045 | 32,035,000 | 31,891,185 | ||||||
Series 2013-C10, Class A3, 3.966%, 07/15/2046 | 43,985,000 | 46,648,872 | ||||||
Series 2013-C11, Class A3, 3.960%, 08/15/2046 | 19,100,000 | 20,120,118 | ||||||
Wells Fargo Commercial Mortgage Trust: | ||||||||
Series 2013-LC12, Class A3, 3.986%, 07/15/2046 | 13,600,000 | 14,440,047 | ||||||
Series 2015-C26, Class ASB, 2.991%, 02/15/2048 | 15,049,000 | 14,891,928 | ||||||
WFRBS Commercial Mortgage Trust: | ||||||||
Series 2013-C11, Class A5, 3.071%, 03/15/2045 | 12,000,000 | 11,963,995 | ||||||
Series 2012-C6, Class A4, 3.440%, 04/15/2045 | 19,016,000 | 19,529,822 | ||||||
Series 2013-C18, Class A4, 3.896%, 12/15/2046 | 21,950,000 | 22,904,794 | ||||||
Series 2014-C24, Class A5, 3.607%, 11/15/2047 | 20,000,000 | 20,287,732 | ||||||
Series 2014-C23, Class ASB, 3.636%, 10/15/2057 | 10,500,000 | 10,811,577 | ||||||
522,833,137 | 5.6% | |||||||
Total Long-Term Investments (Cost $9,410,698,937) | 9,226,379,492 | 98.3% | ||||||
Shares | ||||||||
SHORT-TERM INVESTMENT | ||||||||
Money Market Mutual Fund | ||||||||
Short-Term Investments Trust - Liquid Assets Portfolio, 0.29% « | 166,487,464 | 166,487,464 | ||||||
Total Short-Term Investment (Cost $166,487,464) | 166,487,464 | 1.8% | ||||||
INVESTMENT PURCHASED WITH CASH PROCEEDS FROM | ||||||||
SECURITIES LENDING | ||||||||
Investment Company | ||||||||
Mount Vernon Securities Lending Trust Prime Portfolio, 0.49% « | 198,041,000 | 198,041,000 | ||||||
Total Investment Company (Cost $198,041,000) | 198,041,000 | 2.1% | ||||||
Total Investment Purchased With Cash Proceeds From | ||||||||
Securities Lending (Cost $198,041,000) | 198,041,000 | 2.1% | ||||||
Total Investments (Cost $9,775,227,401) | 9,590,907,956 | 102.2% | ||||||
Liabilities in Excess of Other Assets | (207,578,460) | (2.2)% | ||||||
TOTAL NET ASSETS | $ 9,383,329,496 | 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 December 31, 2015, the value of these securities total $1,549,706,352, which represents 16.52% of total net assets. | |
** | Illiquid Security | |
@ | This security or portion of this security is out on loan at December 31, 2015. | |
f | Foreign Security | |
§ | Security in Default | |
† | Priced at Fair Value by the Valuation Committee as delegated by the Baird Funds' Board of Directors. | |
« | 7-Day Yield |
Baird Short-Term Municipal Bond Fund | ||||||||
Schedule of Investments | ||||||||
December 31, 2015 | ||||||||
LONG-TERM INVESTMENTS | ||||||||
Principal | % of | |||||||
Amount | Value | Net Assets | ||||||
Municipal Bonds | ||||||||
Alaska | ||||||||
Alaska Housing Finance Corp., | ||||||||
4.000%, 06/01/2040 (Callable 06/01/2021) | $ 70,000 | $ 71,907 | ||||||
Borough of North Slope AK, | ||||||||
5.000%, 06/30/2026 (Callable 06/30/2021) | 50,000 | 58,176 | ||||||
130,083 | 1.1% | |||||||
Arizona | ||||||||
Arizona Transportation Board: | ||||||||
5.000%, 07/01/2017 | 25,000 | 26,567 | ||||||
5.000%, 07/01/2025 | 250,000 | 283,073 | ||||||
City of El Mirage AZ, | ||||||||
5.000%, 07/01/2026 (Callable 07/01/2020) | 50,000 | 56,819 | ||||||
State of Arizona, | ||||||||
5.000%, 10/01/2017 | 50,000 | 53,532 | ||||||
Vistancia Community Facilities District, | ||||||||
5.000%, 07/15/2021 (Callable 07/15/2020) | 150,000 | 171,260 | ||||||
591,251 | 4.8% | |||||||
Arkansas | ||||||||
City of Little Rock AR, | ||||||||
2.000%, 03/01/2038 (Callable 03/01/2021) | 50,000 | 49,958 | ||||||
City of Rogers AR, | ||||||||
2.125%, 11/01/2029 (Callable 11/01/2021) | 90,000 | 89,983 | ||||||
Pulaski County Public Facilities Board, | ||||||||
4.000%, 07/01/2017 | 50,000 | 51,703 | ||||||
University of Central Arkansas, | ||||||||
2.500%, 09/01/2017 (Insured by AGM) | 40,000 | 40,968 | ||||||
232,612 | 1.9% | |||||||
California | ||||||||
California Health Facilities Financing Authority, | ||||||||
5.000%, 04/01/2020 | 65,000 | 70,998 | ||||||
California School Finance Authority, | ||||||||
3.000%, 08/01/2017 | 50,000 | 51,276 | ||||||
Jurupa Public Financing Authority, | ||||||||
4.000%, 09/01/2018 | 25,000 | 26,438 | ||||||
Los Angeles Unified School District/CA, | ||||||||
4.750%, 07/01/2019 (Callable 07/01/2016)(Insured by AGM) | 30,000 | 30,634 | ||||||
Menlo Park City School District, | ||||||||
0.000%, 07/01/2025 (Callable 07/01/2018) | 100,000 | 67,185 | ||||||
Northern Calif Transmission Ag Ref Rev Bds, | ||||||||
0.963%, 05/01/2024 (Callable 01/07/2016)(1)(2) | 50,000 | 47,657 | ||||||
Northern California Gas Authority No. 1, | ||||||||
0.848%, 07/01/2019 (1) | 100,000 | 97,724 | ||||||
San Diego Community Facilities District No. 3, | ||||||||
5.000%, 09/01/2018 | 25,000 | 27,009 | ||||||
Twin Rivers Unified School District, | ||||||||
3.200%, 06/01/2035 (Callable 02/01/2016)(Mandatory Tender Date 06/01/2020)(Insured by AGM)(1) | 100,000 | 100,170 | ||||||
Washington Township Health Care District, | ||||||||
5.000%, 07/01/2017 | 50,000 | 52,623 | ||||||
571,714 | 4.6% | |||||||
Colorado | ||||||||
Bromley Park Metropolitan District No. 2, | ||||||||
4.250%, 12/01/2022 (Callable 12/01/2017) | 60,000 | 60,886 | ||||||
City of Golden CO, | ||||||||
4.375%, 12/01/2020 (Callable 12/01/2016) | 25,000 | 25,798 | ||||||
Regional Transportation District, | ||||||||
5.000%, 06/01/2025 (Callable 06/01/2020) | 100,000 | 114,351 | ||||||
201,035 | 1.6% | |||||||
Connecticut | ||||||||
Regional School District No. 8, | ||||||||
5.000%, 05/01/2019 (Callable 05/01/2017) | 75,000 | 79,115 | 0.6% | |||||
District of Columbia | ||||||||
District of Columbia: | ||||||||
5.250%, 07/15/2038 (Pre-refunded to 07/15/2018) | 295,000 | 325,715 | ||||||
5.250%, 07/15/2045 (Pre-refunded to 07/15/2018)(Insured by AGM) | 75,000 | 82,809 | ||||||
Metropolitan Washington Airports Authority Dulles Toll Road Revenue, | ||||||||
0.000%, 10/01/2021 | 30,000 | 25,898 | ||||||
434,422 | 3.5% | |||||||
Florida | ||||||||
City of Cocoa FL Water & Sewer Revenue, | ||||||||
5.500%, 10/01/2016 (Insured by AMBAC) | 15,000 | 15,556 | ||||||
City of Jacksonville FL, | ||||||||
5.000%, 11/01/2022 | 50,000 | 58,097 | ||||||
City of North Port FL, | ||||||||
4.000%, 07/01/2018 (Insured by BAM) | 50,000 | 53,153 | ||||||
City of Port St Lucie FL, | ||||||||
5.250%, 09/01/2022 (2) | 100,000 | 119,460 | ||||||
County of Miami-Dade FL, | ||||||||
3.000%, 04/01/2016 | 10,000 | 10,065 | ||||||
Florida Municipal Power Agency, | ||||||||
0.445%, 10/01/2021 (Callable 01/07/2016)(Insured by AMBAC)(1)(2) | 50,000 | 47,137 | ||||||
Orange County Health Facilities Authority, | ||||||||
6.250%, 10/01/2021 | 50,000 | 58,166 | ||||||
Orange County School Board, | ||||||||
4.500%, 08/01/2020 (Pre-refunded to 08/01/2017) | 35,000 | 37,055 | ||||||
South Broward Hospital District, | ||||||||
4.000%, 05/01/2016 | 10,000 | 10,117 | ||||||
St Lucie County School Board, | ||||||||
5.000%, 10/01/2018 (Insured by AGM) | 50,000 | 54,871 | ||||||
463,677 | 3.7% | |||||||
Georgia | ||||||||
Burke County Development Authority, | ||||||||
0.220%, 07/01/2049 (Optional Put Date 01/04/2016)(Callable 12/31/2015)(1) | 150,000 | 150,000 | ||||||
City of Atlanta Department of Aviation, | ||||||||
5.000%, 01/01/2016 | 50,000 | 50,000 | ||||||
Georgia State Road & Tollway Authority, | ||||||||
5.000%, 06/01/2017 (Callable 06/01/2016) | 30,000 | 30,541 | ||||||
Private Colleges & Universities Authority, | ||||||||
5.000%, 10/01/2020 | 50,000 | 56,479 | ||||||
287,020 | 2.3% | |||||||
Idaho | ||||||||
Idaho Housing & Finance Association, | ||||||||
5.000%, 07/15/2018 | 25,000 | 27,290 | 0.2% | |||||
Illinois | ||||||||
Chicago O'Hare International Airport: | ||||||||
5.000%, 01/01/2020 (Callable 01/01/2017)(Insured by AGM) | 65,000 | 67,709 | ||||||
5.000%, 01/01/2020 | 50,000 | 56,788 | ||||||
Chicago Transit Authority, | ||||||||
5.250%, 12/01/2023 (Callable 12/01/2021) | 25,000 | 28,209 | ||||||
City of Chicago IL: | ||||||||
5.000%, 01/01/2017 | 50,000 | 51,058 | ||||||
5.000%, 01/01/2018 (Callable 02/01/2016)(Insured by AGM) | 75,000 | 75,232 | ||||||
City of Chicago IL Wastewater Transmission Revenue, | ||||||||
5.000%, 01/01/2020 | 50,000 | 55,174 | ||||||
City of Rockford IL, | ||||||||
4.700%, 12/15/2017 (Insured by AGM) | 25,000 | 26,221 | ||||||
City of Springfield IL Electric Revenue, | ||||||||
5.000%, 03/01/2027 (Pre-refunded to 03/01/16) | 25,000 | 25,182 | ||||||
Cook County Community College District No. 508, | ||||||||
4.000%, 12/01/2016 | 100,000 | 102,992 | ||||||
Cook County Township High School District No. 227 Rich Township, | ||||||||
4.000%, 12/01/2016 (Insured by AGM) | 75,000 | 77,189 | ||||||
DeWitt Ford & Livingston Etc Counties Community College Dist No. 540 Heartland, | ||||||||
5.000%, 12/01/2016 (Insured by AGM) | 100,000 | 103,890 | ||||||
Governors State University, | ||||||||
4.000%, 10/01/2020 (Callable 10/01/2017)(Insured by CIFG)(2) | 50,000 | 51,584 | ||||||
Illinois Finance Authority, | ||||||||
6.250%, 05/01/2022 (Callable 05/01/2020) | 45,000 | 52,287 | ||||||
Lake County Community High School District No. 127 Grayslake, | ||||||||
0.000%, 02/01/2020 | 150,000 | 139,620 | ||||||
Metropolitan Pier & Exposition Authority: | ||||||||
5.300%, 06/15/2018 (Pre-refunded to 06/15/17)(Insured by NPFGC) | 50,000 | 53,766 | ||||||
5.300%, 06/15/2018 (Callable 06/15/17)(Insured by NPFGC) | 50,000 | 53,159 | ||||||
Public Building Commission of Chicago, | ||||||||
5.000%, 03/01/2020 (Callable 03/01/2017)(Insured by AMBAC) | 100,000 | 103,132 | ||||||
The Illinois Sports Facilities Authority, | ||||||||
0.000%, 06/15/2017 (Insured by AMBAC) | 50,000 | 48,282 | ||||||
Village of Lyons IL, | ||||||||
5.000%, 12/01/2025 (Callable 12/01/2022)(Insured by BAM) | 25,000 | 28,514 | ||||||
Village of Oak Lawn IL, | ||||||||
4.250%, 12/01/2016 | 30,000 | 30,915 | ||||||
White County Community Unit School District No. 5 Carmi-White, | ||||||||
4.300%, 12/01/2021 (Insured by AGM) | 100,000 | 108,333 | ||||||
Will County School District No. 114 Manhattan, | ||||||||
0.000%, 12/01/2019 | 50,000 | 43,819 | ||||||
1,383,055 | 11.2% | |||||||
Indiana | ||||||||
East Porter County School Building Corp., | ||||||||
4.000%, 01/15/2018 | 50,000 | 52,896 | ||||||
Indiana Finance Authority: | ||||||||
4.500%, 08/15/2016 | 55,000 | 56,072 | ||||||
4.000%, 12/01/2017 | 50,000 | 52,839 | ||||||
4.000%, 02/01/2018 | 50,000 | 53,182 | ||||||
Indianapolis Local Public Improvement Bond Bank, | ||||||||
4.000%, 02/01/2017 | 45,000 | 46,614 | ||||||
Twin Lakes Regional Sewer District, | ||||||||
3.000%, 01/01/2018 (Insured by AGM) | 50,000 | 51,711 | ||||||
313,314 | 2.5% | |||||||
Iowa | ||||||||
County of Polk IA, | ||||||||
4.000%, 06/01/2016 | 25,000 | 25,369 | 0.2% | |||||
Kansas | ||||||||
State of Kansas Department of Transportation, | ||||||||
0.563%, 09/01/2019 (1) | 125,000 | 124,307 | 1.0% | |||||
Kentucky | ||||||||
Kentucky Municipal Power Agency, | ||||||||
1.410%, 09/01/2042 (Callable 03/01/2018)(Mandatory Tender Date 09/01/2018)(1) | 50,000 | 50,058 | 0.4% | |||||
Maine | ||||||||
Maine State Housing Authority, | ||||||||
3.500%, 11/15/2045 (Callable 05/15/2025) | 50,000 | 53,184 | 0.4% | |||||
Maryland | ||||||||
County of Baltimore MD, | ||||||||
5.000%, 09/01/2026 (Pre-refunded to 09/01/2016) | 15,000 | 15,430 | ||||||
Maryland Health & Higher Educational Facilities Authority, | ||||||||
5.000%, 07/01/2018 | 25,000 | 27,063 | ||||||
Maryland State Transportation Authority, | ||||||||
5.000%, 03/01/2018 (Callable 03/01/2017) | 30,000 | 31,482 | ||||||
73,975 | 0.6% | |||||||
Massachusetts | ||||||||
Commonwealth of Massachusetts, | ||||||||
0.680%, 11/01/2020 (Callable 11/01/2017)(1) | 100,000 | 100,098 | ||||||
Eaton Vance Municipal Bond Fund II, | ||||||||
1.060%, 07/01/2019 (Callable 01/01/2017)(1) | 100,000 | 99,966 | ||||||
Massachusetts Development Finance Agency, | ||||||||
2.250%, 12/01/2041 (Pre-refunded to 09/01/2016) | 50,000 | 50,556 | ||||||
250,620 | 2.0% | |||||||
Michigan | ||||||||
City of Detroit MI Water Supply System Revenue, | ||||||||
4.250%, 07/01/2017 | 55,000 | 57,273 | ||||||
City of Wyandotte MI Electric System Revenue, | ||||||||
5.000%, 10/01/2023 (Insured by BAM) | 100,000 | 113,712 | ||||||
Hudsonville Public Schools, | ||||||||
4.000%, 05/01/2017 (Insured by Q-SBLF) | 75,000 | 77,901 | ||||||
Michigan Finance Authority, | ||||||||
3.400%, 10/01/2020 | 100,000 | 103,090 | ||||||
Saginaw MI City School District, | ||||||||
5.000%, 05/01/2024 (Insured by Q-SBLF) | 100,000 | 119,250 | ||||||
South Haven Public Schools, | ||||||||
4.000%, 05/01/2020 (Insured by AGM) | 50,000 | 54,769 | ||||||
Ypsilanti School District/MI, | ||||||||
4.000%, 05/01/2020 (Insured by Q-SBLF) | 50,000 | 54,160 | ||||||
580,155 | 4.7% | |||||||
Minnesota | ||||||||
City of Norwood Young America MN, | ||||||||
1.500%, 08/01/2016 (Callable 02/01/2016) | 50,000 | 49,841 | ||||||
Minnesota Housing Finance Agency, | ||||||||
2.900%, 01/01/2025 | 100,000 | 101,267 | ||||||
151,108 | 1.2% | |||||||
Mississippi | ||||||||
Mississippi Development Bank: | ||||||||
5.500%, 10/01/2019 | 75,000 | 82,947 | ||||||
5.000%, 03/01/2024 (Insured by AGM) | 50,000 | 58,683 | ||||||
141,630 | 1.2% | |||||||
Nebraska | ||||||||
Douglas County Hospital Authority No. 3, | ||||||||
3.000%, 11/01/2016 | 50,000 | 50,913 | 0.4% | |||||
New Jersey | ||||||||
New Jersey Economic Development Authority: | ||||||||
4.000%, 06/15/2017 | 50,000 | 51,500 | ||||||
1.810%, 02/01/2018 (Callable 08/01/2017)(1) | 50,000 | 49,707 | ||||||
5.000%, 06/15/2023 (Insured by BAM) | 50,000 | 56,375 | ||||||
New Jersey Health Care Facilities Financing Authority, | ||||||||
5.000%, 07/01/2025 (Insured by AGM) | 50,000 | 58,562 | ||||||
New Jersey State Turnpike Authority, | ||||||||
0.445%, 01/01/2030 (Callable 01/07/2016)(1)(2) | 130,000 | 120,721 | ||||||
New Jersey Transportation Trust Fund Authority, | ||||||||
5.500%, 12/15/2021 | 75,000 | 86,234 | ||||||
Roselle Park School District, | ||||||||
3.000%, 02/15/2017 | 75,000 | 76,750 | ||||||
499,849 | 4.0% | |||||||
New Mexico | ||||||||
State of New Mexico Severance Tax Permanent Fund, | ||||||||
5.000%, 07/01/2017 | 40,000 | 42,495 | ||||||
Town of Clayton NM, | ||||||||
5.000%, 11/01/2021 | 50,000 | 56,904 | ||||||
99,399 | 0.8% | |||||||
New York | ||||||||
City of New York NY, | ||||||||
0.700%, 08/01/2026 (1)(2) | 100,000 | 100,000 | ||||||
Long Island Power Authority, | ||||||||
4.500%, 12/01/2024 (Callable 06/01/2016) | 25,000 | 25,360 | ||||||
Metropolitan Transportation Authority, | ||||||||
0.843%, 11/01/2022 (Callable 01/21/2016)(Insured by AGM)(1)(2) | 250,000 | 240,867 | ||||||
New York City Transitional Finance Authority Future Tax Secured Revenue, | ||||||||
5.000%, 11/01/2018 | 50,000 | 55,427 | ||||||
New York State Dormitory Authority: | ||||||||
4.000%, 05/15/2017 | 25,000 | 26,079 | ||||||
5.000%, 07/01/2017 | 25,000 | 26,494 | ||||||
5.000%, 12/15/2021 | 25,000 | 29,831 | ||||||
504,058 | 4.1% | |||||||
North Carolina | ||||||||
North Carolina Capital Facilities Finance Agency, | ||||||||
5.000%, 06/01/2022 | 100,000 | 115,152 | ||||||
North Carolina Medical Care Commission, | ||||||||
5.000%, 10/01/2019 (Callable 10/01/2017) | 55,000 | 58,905 | ||||||
Raleigh Durham Airport Authority, | ||||||||
5.000%, 05/01/2016 | 40,000 | 40,596 | ||||||
State of North Carolina, | ||||||||
4.000%, 03/01/2016 | 25,000 | 25,134 | ||||||
University of North Carolina at Chapel Hill, | ||||||||
0.913%, 12/01/2041 (Callable 06/01/2017)(Mandatory Tender Date 12/01/2017)(1) | 50,000 | 50,038 | ||||||
289,825 | 2.3% | |||||||
North Dakota | ||||||||
City of Hazen ND, | ||||||||
2.500%, 07/01/2017 (Callable 01/01/2017) | 100,000 | 100,000 | ||||||
City of Williston ND, | ||||||||
4.000%, 07/15/2018 | 50,000 | 53,085 | ||||||
Williston Parks & Recreation District, | ||||||||
3.250%, 03/01/2032 (Callable 01/19/2016) | 60,000 | 60,699 | ||||||
213,784 | 1.7% |
Ohio | ||||||||
City of Akron OH, | ||||||||
5.000%, 12/01/2016 | 5,000 | 5,188 | ||||||
City of Bowling Green OH, | ||||||||
4.500%, 06/01/2019 | 50,000 | 52,639 | ||||||
City of Toledo OH, | ||||||||
4.000%, 12/01/2017 (Insured by AGM) | 50,000 | 52,801 | ||||||
County of Crawford OH, | ||||||||
1.430%, 11/01/2017 (Callable 05/01/2017) | 100,000 | 99,696 | ||||||
County of Huron OH, | ||||||||
5.250%, 12/01/2017 (Callable 06/01/2017) | 50,000 | 52,228 | ||||||
Groveport-Madison Local School District, | ||||||||
4.000%, 12/01/2024 (Callable 12/01/2022)(Insured by BAM) | 50,000 | 54,067 | ||||||
Lancaster Port Authority, | ||||||||
0.783%, 08/01/2019 (Callable 02/01/2019)(1) | 70,000 | 69,320 | ||||||
385,939 | 3.1% | |||||||
Oklahoma | ||||||||
Mayes County Independent School District No. 1, | ||||||||
0.850%, 06/01/2017 | 50,000 | 49,917 | ||||||
Oklahoma City Industrial & Cultural Facilities Trust, | ||||||||
0.421%, 06/01/2019 (Callable 12/31/2015)(1)(2) | 100,000 | 96,764 | ||||||
146,681 | 1.2% | |||||||
Oregon | ||||||||
City of Portland OR, | ||||||||
4.000%, 02/01/2018 | 25,000 | 26,580 | ||||||
Oregon State Facilities Authority, | ||||||||
4.750%, 03/15/2024 (Callable 03/15/2020) | 15,000 | 16,740 | ||||||
State of Oregon Department of Administrative Services, | ||||||||
5.000%, 11/01/2016 | 25,000 | 25,919 | ||||||
69,239 | 0.6% | |||||||
Pennsylvania | ||||||||
Bethlehem Parking Authority, | ||||||||
2.000%, 10/01/2018 | 100,000 | 100,824 | ||||||
Montgomery County Industrial Development Authority/PA, | ||||||||
5.000%, 01/15/2018 | 50,000 | 53,095 | ||||||
Pennsylvania Higher Educational Facilities Authority: | ||||||||
5.000%, 08/15/2024 (Callable 08/15/2021) | 100,000 | 116,590 | ||||||
5.000%, 07/01/2037 (Callable 02/01/2016) | 100,000 | 100,207 | ||||||
Pennsylvania Turnpike Commission, | ||||||||
0.890%, 12/01/2020 (Callable 06/01/2020)(1) | 75,000 | 74,173 | ||||||
444,889 | 3.6% | |||||||
Puerto Rico | ||||||||
Commonwealth of Puerto Rico, | ||||||||
0.000%, 07/01/2019 | 50,000 | 42,559 | 0.4% | |||||
Rhode Island | ||||||||
Providence Public Buildings Authority, | ||||||||
5.125%, 06/15/2021 (Insured by AGM) | 100,000 | 109,836 | ||||||
Rhode Island Student Loan Authority, | ||||||||
3.000%, 12/01/2016 | 100,000 | 101,701 | ||||||
211,537 | 1.7% | |||||||
South Carolina | ||||||||
Easley Combined Utility System, | ||||||||
3.250%, 12/01/2017 | 50,000 | 52,144 | ||||||
Scago Educational Facilities Corp for Union School District, | ||||||||
4.000%, 12/01/2017 | 100,000 | 105,523 | ||||||
South Carolina Jobs-Economic Development Authority: | ||||||||
4.500%, 11/01/2017 | 40,000 | 42,480 | ||||||
5.000%, 11/01/2017 (Pre-refunded to 05/01/16)(Insured by CIFG) | 75,000 | 76,132 | ||||||
276,279 | 2.2% | |||||||
Tennessee | ||||||||
Tennessee Energy Acquisition Corp., | ||||||||
5.250%, 09/01/2018 | 30,000 | 33,014 | 0.3% | |||||
Texas | ||||||||
Barker Cypress Municipal Utility District, | ||||||||
2.000%, 04/01/2016 (Insured by BAM) | 35,000 | 35,148 | ||||||
Bexar Metropolitan Water District, | ||||||||
5.000%, 05/01/2017 | 45,000 | 47,457 | ||||||
Brownsville Improvement Corp., | ||||||||
3.000%, 02/15/2020 | 25,000 | 25,815 | ||||||
Central Texas Turnpike System, | ||||||||
5.000%, 08/15/2042 (Callable 04/01/2020)(Mandatory Tender Date 04/01/2020)(1) | 100,000 | 113,299 | ||||||
City of Houston TX, | ||||||||
5.000%, 03/01/2016 (Callable 02/01/2016)(Insured by AMBAC) | 25,000 | 25,092 | ||||||
City of San Antonio TX Water System Revenue, | ||||||||
0.690%, 05/01/2043 (Mandatory Tender Date 11/01/2016)(1) | 75,000 | 74,866 | ||||||
Coastal Water Authority, | ||||||||
4.000%, 12/15/2017 | 25,000 | 26,523 | ||||||
County of Denton TX, | ||||||||
2.625%, 07/15/2017 | 25,000 | 25,717 | ||||||
Crane County Water District, | ||||||||
3.000%, 02/15/2017 | 50,000 | 51,010 | ||||||
Cypress-Fairbanks Independent School District, | ||||||||
5.000%, 02/15/2017 (Callable 02/15/2016)(PSF Guaranteed) | 15,000 | 15,077 | ||||||
Harlingen Consolidated Independent School District, | ||||||||
5.000%, 08/15/2021 (PSF Guaranteed) | 100,000 | 118,876 | ||||||
Harris County Cultural Education Facilities Finance Corp., | ||||||||
0.590%, 12/01/2042 (Callable 06/01/2019)(Mandatory Tender Date 12/01/2019)(1) | 50,000 | 49,481 | ||||||
Harris County Municipal Utility District No. 419, | ||||||||
3.000%, 09/01/2017 (Insured by AGM) | 25,000 | 25,751 | ||||||
Harris County-Houston Sports Authority, | ||||||||
0.000%, 11/15/2017 | 25,000 | 24,324 | ||||||
Kerrville Health Facilities Development Corp., | ||||||||
5.450%, 08/15/2035 (Callable 02/15/2016) | 90,000 | 90,504 | ||||||
Metropolitan Transit Authority of Harris County, | ||||||||
5.000%, 11/01/2017 | 25,000 | 26,888 | ||||||
Mission Tex Economic Dev Corp Rev Bds, | ||||||||
1.800%, 12/01/2018 | 50,000 | 50,339 | ||||||
New Hope Cultural Education Facilities Corp., | ||||||||
4.000%, 04/01/2020 | 50,000 | 52,277 | ||||||
North Texas Higher Education Authority, Inc., | ||||||||
1.226%, 07/01/2030 (1) | 50,000 | 50,452 | ||||||
North Texas Tollway Authority, | ||||||||
5.000%, 01/01/2022 | 25,000 | 29,490 | ||||||
Port of Port Arthur Navigation District, | ||||||||
0.270%, 04/01/2040 (Optional Put Date 01/04/2016)(Callable 12/31/2015)(1) | 100,000 | 100,000 | ||||||
SA Energy Acquisition Public Facility Corp., | ||||||||
5.500%, 08/01/2022 | 100,000 | 118,136 | ||||||
Tarrant County Cultural Education Facilities Finance Corp., | ||||||||
2.100%, 11/15/2017 | 50,000 | 49,918 | ||||||
Texas Municipal Gas Acquisition & Supply Corp I: | ||||||||
5.250%, 12/15/2018 | 105,000 | 116,160 | ||||||
5.250%, 12/15/2021 | 50,000 | 58,147 | ||||||
Trophy Club Public Improvement District No. 1, | ||||||||
0.000%, 06/01/2017 (Insured by AGM) | 50,000 | 49,018 | ||||||
Viridian Municipal Management District, | ||||||||
6.000%, 12/01/2023 (Insured by BAM) | 50,000 | 61,391 | ||||||
1,511,156 | 12.2% | |||||||
Utah | ||||||||
Utah Housing Corp., | ||||||||
4.000%, 01/01/2045 (Callable 01/01/2026) | 100,000 | 107,765 | 0.9% | |||||
Virgin Islands | ||||||||
Virgin Islands Public Finance Authority: | ||||||||
4.000%, 10/01/2017 | 110,000 | 114,558 | ||||||
5.000%, 09/01/2020 | 100,000 | 112,823 | ||||||
227,381 | 1.8% | |||||||
Virginia | ||||||||
Fredericksburg Economic Development Authority, | ||||||||
1.910%, 08/01/2038 (Callable 08/01/2016)(Mandatory Tender Date 02/01/2017)(1) | 50,000 | 50,030 | 0.4% | |||||
Washington | ||||||||
Central Puget Sound Regional Transit Authority, | ||||||||
0.710%, 11/01/2045 (Callable 05/01/2018)(Mandatory Tender Date 11/01/2018)(1) | 50,000 | 49,985 | ||||||
Kittitas County School District No. 401 Ellensburg, | ||||||||
3.000%, 12/01/2016 | 30,000 | 30,647 | ||||||
Washington Health Care Facilities Authority, | ||||||||
4.000%, 01/01/2018 | 70,000 | 73,525 | ||||||
Washington State University, | ||||||||
4.000%, 10/01/2017 | 40,000 | 42,188 | ||||||
196,345 | 1.6% | |||||||
Wisconsin | ||||||||
Kaukauna Redevelopment Authority, | ||||||||
4.000%, 06/01/2018 | 25,000 | 26,610 | ||||||
Wisconsin Health & Educational Facilities Authority: | ||||||||
3.000%, 07/01/2017 | 100,000 | 103,304 | ||||||
5.250%, 08/15/2017 (Callable 08/15/2016) | 25,000 | 25,694 | ||||||
4.000%, 09/15/2023 (Callable 09/15/2022) | 50,000 | 52,575 | ||||||
5.250%, 04/15/2024 (Callable 04/15/2020) | 50,000 | 56,933 | ||||||
265,116 | 2.1% | |||||||
Total Municipal Bonds (Cost $11,753,668) | 11,790,752 | 95.1% | ||||||
Shares | ||||||||
SHORT-TERM INVESTMENTS | ||||||||
Money Market Mutual Funds | ||||||||
Fidelity Institutional Money Market Funds - Tax-Exempt Portfolio, 0.01% « | 148,641 | 148,641 | ||||||
Goldman Sachs Financial Square Funds, 0.01% « | 500,000 | 500,000 | ||||||
Total Short-Term Investments (Cost $648,641) | 648,641 | 5.2% | ||||||
Total Investments (Cost $12,402,309) | 12,439,393 | 100.3% | ||||||
Liabilities in Excess of Other Assets | (32,779) | (0.3)% | ||||||
TOTAL NET ASSETS | $ 12,406,614 | 100.0% |
Notes to Schedule of Investments | |
AGM | Assured Guaranty Municipal |
AMBAC | Ambac Assurance Corporation |
NPFGC | National Public Finance Guarantee Corp. |
BAM | Build America Mutual |
CIFG | CIFG Assurance North America, Inc. |
PSF | Texas Permanent School Fund |
ETM | Escrowed to Maturity |
Q-SBLF | Qualified School Building Loan Fund |
(1) | Variable or floating rate security. Floating rate securities are securities whose yields vary with a designated index rate. These securities rates are as of December 31, 2015. |
(2) | Auction Rate Security. An Auction Rate Security is a debt instrument with a long nominal maturity for which the interest rate is regularly reset through a Dutch auction. The rate presented is either the rate set through the auction or the maximum interest rate provided for in the security issuance provision. |
« | 7-Day Yield |
Baird Quality Intermediate Municipal Bond Fund | ||||||||
Schedule of Investments | ||||||||
December 31, 2015 | ||||||||
Principal | % of | |||||||
LONG-TERM INVESTMENTS | Amount | Value | Net Assets | |||||
Municipal Bonds | ||||||||
Alabama | ||||||||
Alabama State Public School & College Authority, | ||||||||
5.000%, 05/01/2019 | $ 1,000,000 | $ 1,123,280 | ||||||
Gulf Shores Alabama, | ||||||||
5.000%, 12/15/2018 (Callable 12/15/2017)(Insured by AGM) | 1,080,000 | 1,168,085 | ||||||
2,291,365 | 0.2% | |||||||
Arizona | ||||||||
Gila County Arizona Unified School District Bonds, | ||||||||
5.250%, 07/01/2027 (Pre-refunded to 07/01/2017)(Insured by AMBAC) | 1,000,000 | 1,066,690 | 0.1% | |||||
Arkansas | ||||||||
Arkansas Development Finance Authority, | ||||||||
5.500%, 12/01/2018 (ETM) | 1,000,000 | 1,094,730 | 0.1% | |||||
California | ||||||||
Bakersfield California Certificates Participation, | ||||||||
0.000%, 04/15/2021 (ETM) | 12,380,000 | 11,363,973 | ||||||
Commerce Community Development Commission, | ||||||||
0.000%, 08/01/2021 (ETM) | 670,000 | 520,128 | ||||||
Pittsburg California Redevelopment Agency Residential Mortgage Revenue, | ||||||||
9.600%, 06/01/2016 (ETM) | 3,725,000 | 3,857,908 | ||||||
Port Oakland California Revenue, | ||||||||
5.000%, 11/01/2017 (Insured by NPFGC) | 1,800,000 | 1,933,200 | ||||||
San Joaquin Hills California Transportation Corridor Agency Toll Road Revenue: | ||||||||
0.000%, 01/01/2020 (ETM) | 6,865,000 | 6,529,782 | ||||||
0.000%, 01/01/2023 (ETM) | 14,000,000 | 12,464,340 | ||||||
San Marcos California Public Facilities Authority Revenue, | ||||||||
0.000%, 09/01/2019 (ETM) | 17,295,000 | 16,513,439 | ||||||
Woodside California Elementary School District Government School Bonds, | ||||||||
5.000%, 10/01/2023 (Pre-refunded to 10/01/2016)(Insured by NPFGC) | 1,130,000 | 1,168,499 | ||||||
54,351,269 | 4.7% | |||||||
Colorado | ||||||||
Colorado Health Facilities Authority, | ||||||||
0.000%, 07/15/2022 (ETM) | 4,540,000 | 3,989,707 | ||||||
Colorado Springs Colorado Hospital Revenue Bonds, | ||||||||
5.000%, 12/15/2032 (Pre-refunded to 12/15/2018) | 1,300,000 | 1,447,953 | ||||||
Colorado Springs Colorado Utilities Revenue Bonds, | ||||||||
5.875%, 11/15/2017 (ETM) | 3,230,000 | 3,432,973 | ||||||
Dawson Ridge Metropolitan District No. 1 Colorado: | ||||||||
0.000%, 10/01/2022 (ETM) | 27,895,000 | 24,574,937 | ||||||
0.000%, 10/01/2022 (ETM) | 17,540,000 | 15,452,389 | ||||||
Regional Transportation District Colorado Sales Tax Revenue, | ||||||||
5.000%, 11/01/2036 (Pre-refunded to 11/01/2016)(Insured by AMBAC) | 6,785,000 | 7,037,741 | ||||||
55,935,700 | 4.9% | |||||||
Connecticut | ||||||||
State of Connecticut, | ||||||||
5.000%, 10/15/2020 | 4,390,000 | 5,084,410 | 0.4% | |||||
Delaware | ||||||||
State of Delaware, | ||||||||
5.000%, 03/01/2020 | 2,000,000 | 2,311,340 | 0.2% | |||||
District of Columbia | ||||||||
District of Columbia, | ||||||||
5.250%, 07/15/2038 (Pre-refunded to 07/15/2018) | 150,000 | 165,618 | 0.0% | |||||
Florida | ||||||||
Brevard County School District, | ||||||||
5.000%, 07/01/2020 (Callable 07/01/2017)(Insured by AMBAC) | 1,925,000 | 2,037,997 | ||||||
Broward County Florida School Board: | ||||||||
5.250%, 07/01/2022 (Callable 07/01/2021) | 8,390,000 | 9,833,415 | ||||||
5.250%, 07/01/2023 (Callable 07/01/2021) | 4,915,000 | 5,710,542 | ||||||
County of Palm Beach FL, | ||||||||
5.000%, 11/01/2018 (Pre-refunded to 11/01/2017) | 1,000,000 | 1,074,190 | ||||||
County of St. Lucie Florida, | ||||||||
6.000%, 10/01/2020 (ETM) | 6,420,000 | 7,502,027 | ||||||
Dade County Florida Health Facility Authority Hospital Revenue, | ||||||||
5.750%, 05/01/2021 (ETM) | 1,380,000 | 1,546,193 | ||||||
Escambia County Florida Housing Finance Authority Multifamily Housing Revenue, | ||||||||
0.000%, 10/15/2018 (ETM) | 4,130,000 | 3,972,069 | ||||||
Florida State Board of Education, | ||||||||
5.000%, 06/01/2022 (Callable 06/01/2019) | 13,800,000 | 15,494,088 | ||||||
Florida State Department of Management Services, | ||||||||
5.000%, 08/01/2018 | 2,500,000 | 2,743,650 | ||||||
Florida State Mid-Bay Bridge Authority Revenue: | ||||||||
6.875%, 10/01/2022 (ETM) | 4,675,000 | 5,736,879 | ||||||
6.875%, 10/01/2022 (ETM) | 3,175,000 | 3,896,170 | ||||||
Florida State Municipal Power Agency Revenue, | ||||||||
5.000%, 10/01/2017 (Callable 02/01/2016)(ETM) | 1,590,000 | 1,706,897 | ||||||
Gulf Environmental Services Inc. Florida Revenue Bonds, | ||||||||
5.000%, 10/01/2018 (ETM) | 830,000 | 884,888 | ||||||
Hillsborough County Industrial Development Authority: | ||||||||
5.625%, 08/15/2029 (Pre-refunded to 08/15/2018) | 2,950,000 | 3,307,688 | ||||||
8.000%, 08/15/2032 (Pre-refunded to 08/15/2019) | 1,940,000 | 2,417,550 | ||||||
Hillsborough County School Board, | ||||||||
5.500%, 07/01/2018 (Insured by NPFGC) | 2,000,000 | 2,207,420 | ||||||
Miami Beach Florida Resort Tax Revenue, | ||||||||
6.250%, 10/01/2022 (ETM) | 1,470,000 | 1,737,275 | ||||||
Miami-Dade County Florida, | ||||||||
4.500%, 10/01/2020 | 7,100,000 | 8,021,509 | ||||||
Miami-Dade County Florida School Board, | ||||||||
5.000%, 05/01/2016 (Insured by NPFGC) | 3,000,000 | 3,043,980 | ||||||
Miami-Dade County Florida Water & Sewer Revenue, | ||||||||
5.250%, 10/01/2022 (Insured by AGM) | 1,125,000 | 1,366,166 | ||||||
Orlando Utilities Commission, | ||||||||
6.750%, 10/01/2017 (ETM) | 1,125,000 | 1,201,939 | ||||||
Pinellas County Housing Finance Authority, | ||||||||
4.250%, 03/01/2027 (Callable 09/01/2019) | 1,105,000 | 1,127,443 | ||||||
Seminole County Florida Water & Sewage Revenue, | ||||||||
6.000%, 10/01/2019 (ETM) | 4,700,000 | 5,140,061 | ||||||
Sunrise Florida Utility System Revenue, | ||||||||
5.500%, 10/01/2018 (ETM) | 2,480,000 | 2,665,603 | ||||||
Tampa Bay Water, | ||||||||
5.000%, 10/01/2019 (ETM) | 1,630,000 | 1,857,532 | ||||||
96,233,171 | 8.4% | |||||||
Georgia | ||||||||
Atlanta Development Authority, | ||||||||
5.000%, 09/01/2023 (ETM) | 1,825,000 | 2,242,177 | ||||||
Forsyth County Georgia Hospital Authority Revenue Anticipation Certificates, | ||||||||
6.375%, 10/01/2028 (ETM) | 8,050,000 | 10,250,145 | ||||||
Georgia Municipal Electric Authority Power Revenue, | ||||||||
6.500%, 01/01/2017 (Insured by AGM) | 1,905,000 | 1,905,000 | ||||||
Gwinnett County Georgia School District, | ||||||||
5.000%, 02/01/2026 (Pre-refunded to 02/01/2018) | 7,500,000 | 8,127,375 | ||||||
Richmond County Development Authority: | ||||||||
0.000%, 12/01/2021 (ETM) | 720,000 | 656,899 | ||||||
0.000%, 12/01/2021 (ETM) | 3,510,000 | 3,202,384 | ||||||
State of Georgia, | ||||||||
5.000%, 07/01/2020 (Callable 07/01/2017) | 12,570,000 | 13,383,153 | ||||||
39,767,133 | 3.5% | |||||||
Illinois | ||||||||
Chicago Illinois, | ||||||||
5.000%, 01/01/2017 (Callable 02/01/2016)(Insured by AGM) | 2,360,000 | 2,367,151 | ||||||
Chicago Illinois Board of Education: | ||||||||
5.000%, 12/01/2017 (Callable 12/01/2016)(Insured by AGM) | 4,345,000 | 4,468,094 | ||||||
5.000%, 12/01/2017 (Insured by AMBAC) | 2,100,000 | 2,112,390 | ||||||
6.000%, 01/01/2020 (Insured by NPFGC) | 14,745,000 | 15,886,705 | ||||||
Chicago Public Building Commission, | ||||||||
7.000%, 01/01/2020 (ETM) | 1,555,000 | 1,848,413 | ||||||
Cook County Community High School District No. 233, | ||||||||
4.000%, 12/01/2026 (Callable 06/01/2022) | 3,695,000 | 4,111,131 | ||||||
Cook County Illinois School District No. 100, | ||||||||
8.100%, 12/01/2016 (ETM) | 1,430,000 | 1,526,411 | ||||||
Cook County Illinois School District No. 159, | ||||||||
0.000%, 12/01/2022 (ETM) | 2,000,000 | 1,736,160 | ||||||
County of Du Page IL, | ||||||||
5.600%, 01/01/2021 | 860,000 | 955,666 | ||||||
Illinois Finance Authority: | ||||||||
0.000%, 07/15/2023 (ETM) | 21,475,000 | 18,296,485 | ||||||
0.000%, 07/15/2025 (ETM) | 12,625,000 | 10,039,779 | ||||||
6.625%, 11/01/2039 (Pre-refunded to 05/01/2019) | 395,000 | 464,236 | ||||||
Illinois Municipal Electric Agency, | ||||||||
5.250%, 02/01/2016 (Insured by NPFGC) | 1,000,000 | 1,003,630 | ||||||
Illinois State Toll Highway Authority: | ||||||||
5.500%, 01/01/2016 (Insured by AGM) | 2,100,000 | 2,100,000 | ||||||
5.000%, 01/01/2026 (Pre-refunded to 07/01/2016)(Insured by AGM) | 1,065,000 | 1,088,824 | ||||||
5.000%, 01/01/2031 (Pre-refunded to 07/01/2016)(Insured by AGM) | 2,055,000 | 2,100,970 | ||||||
Kane County Community Unit School District, | ||||||||
9.000%, 01/01/2023 (Insured by AGM) | 3,000,000 | 4,283,190 | ||||||
Kane McHenry Cook & De Kalb Counties Illinois School District No. 300: | ||||||||
7.750%, 01/01/2017 (ETM) | 1,835,000 | 1,962,294 | ||||||
7.000%, 01/01/2018 (ETM) | 5,775,000 | 6,459,569 | ||||||
7.000%, 01/01/2018 (ETM) | 365,000 | 408,267 | ||||||
7.000%, 01/01/2019 (ETM) | 1,755,000 | 2,054,385 | ||||||
Kendall Kane & Will Counties Community Unit School District No. 308, | ||||||||
0.000%, 02/01/2021 (Insured by AGM) | 13,625,000 | 12,157,860 | ||||||
Lake County Community Consolidated School District No. 50 Woodland, | ||||||||
5.000%, 01/01/2021 | 1,375,000 | 1,587,479 | ||||||
Lake County Illinois Community High School District No. 124 Grant, | ||||||||
5.000%, 12/01/2017 | 1,050,000 | 1,126,272 | ||||||
McHenry & Kane Counties Illinois Community School District No. 158: | ||||||||
0.000%, 01/01/2016 (ETM) | 1,245,000 | 1,245,000 | ||||||
0.000%, 01/01/2016 (Insured by NPFGC) | 725,000 | 725,000 | ||||||
Metropolitan Pier & Exposition Authority Illinois: | ||||||||
5.500%, 06/15/2016 (ETM) | 1,805,000 | 1,845,251 | ||||||
5.500%, 12/15/2023 (ETM) | 2,250,000 | 2,694,713 | ||||||
Regional Transportation Authority Illinois: | ||||||||
7.750%, 06/01/2020 (Insured by NPFGC) | 865,000 | 975,045 | ||||||
6.700%, 11/01/2021 (Insured by NPFGC) | 1,060,000 | 1,232,028 | ||||||
6.000%, 07/01/2022 (Insured by NPFGC) | 4,705,000 | 5,847,703 | ||||||
Southern Illinois University Revenue: | ||||||||
5.250%, 04/01/2018 (Insured by NPFGC) | 1,075,000 | 1,141,758 | ||||||
5.250%, 04/01/2019 (Insured by NPFGC) | 1,390,000 | 1,506,718 | ||||||
State of Illinois: | ||||||||
5.000%, 01/01/2019 (Insured by AGM) | 1,000,000 | 1,080,790 | ||||||
4.000%, 09/01/2019 (Callable 09/01/2018) | 5,000,000 | 5,196,450 | ||||||
6.000%, 11/01/2026 (Insured by NPFGC) | 3,000,000 | 3,569,370 | ||||||
Village of Schaumburg IL, | ||||||||
4.000%, 12/01/2024 (Callable 12/01/2022) | 5,750,000 | 6,424,992 | ||||||
Winnebago County Illinois School District No. 122 Harlam-Loves Park: | ||||||||
0.000%, 01/01/2018 (ETM) | 155,000 | 151,929 | ||||||
0.000%, 01/01/2018 (Insured by AGM) | 1,205,000 | 1,139,810 | ||||||
134,921,918 | 11.8% | |||||||
Indiana | ||||||||
Franklin Community Multi-School Building Corp., | ||||||||
5.000%, 07/15/2020 | 1,990,000 | 2,279,505 | ||||||
Hammond Indiana Multi-School Building Corporation Revenue Bonds: | ||||||||
6.000%, 01/15/2018 (ETM) | 635,000 | 667,258 | ||||||
5.000%, 07/15/2018 (Insured by NPFGC) | 1,330,000 | 1,450,458 | ||||||
Indiana State Office Building Commission, | ||||||||
5.250%, 07/01/2017 (Insured by NPFGC) | 1,115,000 | 1,188,835 | ||||||
Indianapolis Local Public Improvement Bond Bank: | ||||||||
5.500%, 07/01/2018 (Insured by NPFGC) | 3,460,000 | 3,792,921 | ||||||
5.500%, 01/01/2019 (Insured by NPFGC) | 1,155,000 | 1,285,123 | ||||||
Pike County Multi-School Building Corp., | ||||||||
5.000%, 07/15/2021 | 1,125,000 | 1,309,759 | ||||||
South Bend Indiana Community School Building Corporation, | ||||||||
5.000%, 07/15/2017 (Insured by NPFGC) | 1,000,000 | 1,049,330 | ||||||
13,023,189 | 1.1% | |||||||
Kansas | ||||||||
City of Wichita KS: | ||||||||
5.000%, 11/15/2029 (Pre-refunded to 11/15/2021) | 40,000 | 48,097 | ||||||
5.000%, 11/15/2034 (Pre-refunded to 11/15/2019) | 1,055,000 | 1,206,983 | ||||||
Wyandotte County Kansas Revenue, | ||||||||
5.000%, 09/01/2019 (Callable 03/01/2019)(Insured by BHAC) | 1,865,000 | 2,077,442 | ||||||
3,332,522 | 0.3% | |||||||
Kentucky | ||||||||
Jefferson County School District Finance Corp., | ||||||||
5.500%, 01/01/2018 (Insured by AGM) | 3,340,000 | 3,634,822 | ||||||
Louisville & Jefferson County Metropolitan Government, | ||||||||
6.125%, 02/01/2037 (Pre-refunded to 02/01/2018) | 13,980,000 | 15,471,107 | ||||||
19,105,929 | 1.7% | |||||||
Louisiana | ||||||||
Jefferson Parish Hospital Service District No. 1: | ||||||||
6.000%, 01/01/2039 (Pre-refunded to 01/01/2021)(Insured by AGM) | 1,645,000 | 2,005,535 | ||||||
6.000%, 01/01/2039 (Pre-refunded to 01/01/2021)(Insured by AGM) | 1,080,000 | 1,316,703 | ||||||
Louisiana Public Facilities Authority, | ||||||||
6.750%, 07/01/2039 (Pre-refunded to 07/01/2019) | 5,695,000 | 6,766,685 | ||||||
Louisiana Public Facilities Authority Revenue: | ||||||||
5.500%, 05/15/2027 (Pre-refunded to 05/15/2026) | 10,145,000 | 13,132,398 | ||||||
5.500%, 05/15/2032 (Pre-refunded to 05/15/2026) | 21,680,000 | 28,699,117 | ||||||
State of Louisiana: | ||||||||
5.000%, 11/15/2018 | 1,775,000 | 1,968,706 | ||||||
5.000%, 11/15/2020 (Callable 05/15/2020) | 10,000,000 | 11,539,700 | ||||||
65,428,844 | 5.7% | |||||||
Maryland | ||||||||
City of Baltimore MD, | ||||||||
5.000%, 07/01/2024 (ETM) | 1,195,000 | 1,443,273 | ||||||
State of Maryland: | ||||||||
5.000%, 03/15/2019 (Pre-refunded to 03/15/2017) | 1,135,000 | 1,193,782 | ||||||
5.000%, 03/01/2021 (Callable 03/01/2020) | 1,000,000 | 1,149,970 | ||||||
3,787,025 | 0.3% | |||||||
Massachusetts | ||||||||
Massachusetts Clean Water Trust, | ||||||||
5.000%, 08/01/2018 (Callable 08/01/2016)(Partially Pre-refunded) | 2,115,000 | 2,170,519 | ||||||
Massachusetts Department of Transportation, | ||||||||
5.000%, 01/01/2020 (ETM) | 1,840,000 | 1,980,925 | ||||||
Massachusetts State, | ||||||||
4.000%, 12/01/2022 (Callable 12/01/2019) | 15,000,000 | 16,500,150 | ||||||
Massachusetts State Water Resources Authority, | ||||||||
6.500%, 07/15/2019 (ETM) | 1,900,000 | 2,072,938 | ||||||
22,724,532 | 2.0% | |||||||
Michigan | ||||||||
Brighton Area School District/MI: | ||||||||
5.000%, 05/01/2020 (Insured by Q-SBLF) | 1,300,000 | 1,492,530 | ||||||
5.000%, 05/01/2021 (Insured by Q-SBLF) | 500,000 | 584,955 | ||||||
Chippewa Valley Schools, | ||||||||
5.000%, 05/01/2023 (Insured by Q-SBLF) | 4,505,000 | 5,410,640 | ||||||
Fraser Public School District: | ||||||||
5.000%, 05/01/2024 (Insured by Q-SBLF) | 1,000,000 | 1,209,240 | ||||||
5.000%, 05/01/2026 (Callable 05/01/2025)(Insured by Q-SBLF) | 1,140,000 | 1,370,337 | ||||||
Garden City Hospital Finance Authority, | ||||||||
4.875%, 08/15/2027 (Pre-refunded to 08/15/2017) | 1,000,000 | 1,064,480 | ||||||
Lakeview Public School District, | ||||||||
5.000%, 05/01/2017 (Insured by NPFGC and Q-SBLF) | 2,275,000 | 2,392,709 | ||||||
Michigan Finance Authority, | ||||||||
5.000%, 01/01/2019 | 7,000,000 | 7,806,330 | ||||||
Michigan State Housing Development Authority, | ||||||||
4.750%, 06/01/2016 | 4,000,000 | 4,032,160 | ||||||
Pinckney Community Schools: | ||||||||
5.000%, 05/01/2022 (Insured by Q-SBLF) | 1,935,000 | 2,274,186 | ||||||
5.000%, 05/01/2023 (Insured by Q-SBLF) | 2,200,000 | 2,609,376 | ||||||
St Johns Public Schools, | ||||||||
5.000%, 05/01/2021 (Insured by Q-SBLF) | 5,040,000 | 5,896,346 | ||||||
State of Michigan, | ||||||||
0.000%, 06/01/2022 (ETM) | 2,000,000 | 1,795,700 | ||||||
Wayne-Westland Community Schools, | ||||||||
5.000%, 05/01/2019 (Insured by Q-SBLF) | 2,060,000 | 2,292,574 | ||||||
40,231,563 | 3.5% | |||||||
Minnesota | ||||||||
Minnesota State Housing Finance Agency Homeownership Finance Bond: | ||||||||
4.250%, 07/01/2028 (Callable 01/01/2020) | 470,000 | 488,847 | ||||||
4.500%, 07/01/2034 (Callable 07/01/2021) | 1,030,000 | 1,084,013 | ||||||
University of Minnesota, | ||||||||
5.500%, 07/01/2021 (ETM) | 9,980,000 | 11,705,742 | ||||||
Western Minnesota Municipal Power Agency, | ||||||||
6.375%, 01/01/2016 (ETM) | 420,000 | 420,000 | ||||||
13,698,602 | 1.2% | |||||||
Missouri | ||||||||
Missouri State Environmental Improvement & Energy Resources Authority, | ||||||||
5.000%, 01/01/2026 (Callable 07/01/2025) | 1,000,000 | 1,254,120 | ||||||
St. Charles County Missouri Francis Howell School District, | ||||||||
4.500%, 03/01/2018 | 1,000,000 | 1,076,350 | ||||||
2,330,470 | 0.2% | |||||||
Nebraska | ||||||||
Omaha Public Power District, | ||||||||
6.200%, 02/01/2017 (ETM) | 3,875,000 | 3,988,770 | 0.4% | |||||
Nevada | ||||||||
Las Vegas Clark County Nevada Library District, | ||||||||
5.000%, 01/01/2017 | 2,080,000 | 2,160,808 | 0.2% | |||||
New Hampshire | ||||||||
New Hampshire Housing Finance Authority, | ||||||||
5.250%, 07/01/2028 (Callable 01/01/2021) | 2,225,000 | 2,239,485 | ||||||
State of New Hampshire, | ||||||||
5.000%, 07/01/2021 (Callable 07/01/2020) | 1,000,000 | 1,158,840 | ||||||
3,398,325 | 0.3% |
New Jersey | ||||||||
County of Hudson NJ, | ||||||||
3.000%, 03/15/2021 | 1,140,000 | 1,223,311 | ||||||
New Jersey Educational Facilities Authority, | ||||||||
7.500%, 12/01/2032 (Pre-refunded to 06/01/2019) | 3,635,000 | 4,393,552 | ||||||
New Jersey Health Care Facilities Financing Authority, | ||||||||
5.750%, 07/01/2039 (Pre-refunded to 07/01/2019) | 2,230,000 | 2,561,378 | ||||||
New Jersey State Housing & Mortgage Finance Agency Bonds, | ||||||||
4.500%, 10/01/2029 (Callable 04/01/2021) | 4,545,000 | 4,607,221 | ||||||
New Jersey State Transportation Trust Fund Authority, | ||||||||
5.250%, 12/15/2020 | 5,000,000 | 5,532,400 | ||||||
New Jersey State Turnpike Authority: | ||||||||
6.500%, 01/01/2016 (ETM) | 170,000 | 170,000 | ||||||
6.500%, 01/01/2016 (ETM) | 5,000 | 5,000 | ||||||
5.500%, 01/01/2025 | 2,100,000 | 2,656,374 | ||||||
21,149,236 | 1.8% | |||||||
New Mexico | ||||||||
New Mexico Mortgage Financial Authority: | ||||||||
4.625%, 09/01/2025 (Callable 03/01/2020) | 855,000 | 881,950 | ||||||
4.500%, 09/01/2028 (Callable 03/01/2020) | 575,000 | 595,447 | ||||||
1,477,397 | 0.1% | |||||||
New York | ||||||||
Cattaraugus-Little Valley Central School District: | ||||||||
3.125%, 06/15/2016 (Insured by AGM) | 1,520,000 | 1,537,708 | ||||||
3.125%, 06/15/2017 (Insured by AGM) | 1,000,000 | 1,032,230 | ||||||
Churchville-Chili Central School District: | ||||||||
3.000%, 06/15/2017 | 1,045,000 | 1,078,346 | ||||||
3.000%, 06/15/2018 | 1,070,000 | 1,122,013 | ||||||
City of New York NY: | ||||||||
5.250%, 08/15/2021 (Callable 08/15/2018) | 1,125,000 | 1,245,015 | ||||||
5.000%, 08/01/2022 | 5,000,000 | 6,018,000 | ||||||
Metropolitan Transit Authority New York, | ||||||||
6.000%, 04/01/2020 (ETM) | 13,615,000 | 15,353,635 | ||||||
New York State Dormitory Authority, | ||||||||
5.000%, 12/15/2023 (Callable 12/15/2022) | 11,685,000 | 14,225,319 | ||||||
New York State Thruway Authority, | ||||||||
5.000%, 03/15/2022 (Callable 03/15/2019) | 4,040,000 | 4,517,892 | ||||||
New York State Urban Development Corp., | ||||||||
5.000%, 03/15/2022 | 2,000,000 | 2,394,080 | ||||||
Suffolk County Water Authority, | ||||||||
6.000%, 06/01/2017 (ETM) | 3,415,000 | 3,562,665 | ||||||
Susquehanna Valley Central School District: | ||||||||
3.125%, 06/15/2017 (Insured by AGM) | 1,155,000 | 1,192,226 | ||||||
3.125%, 06/15/2019 (Insured by AGM) | 1,375,000 | 1,435,527 | ||||||
TSASC, Inc. New York, | ||||||||
4.750%, 06/01/2022 (Callable 06/01/2016) | 145,000 | 146,347 | ||||||
Westchester Tobacco Asset Securitization/NY, | ||||||||
6.950%, 07/15/2039 (Pre-refunded to 07/15/2017) | 13,075,000 | 14,431,139 | ||||||
69,292,142 | 6.0% | |||||||
North Carolina | ||||||||
North Carolina Eastern Municipal Power Agency: | ||||||||
5.000%, 01/01/2017 (ETM) | 5,710,000 | 5,777,264 | ||||||
5.000%, 01/01/2021 (ETM) | 10,120,000 | 11,686,879 | ||||||
6.400%, 01/01/2021 (ETM) | 4,732,000 | 5,325,156 | ||||||
4.500%, 01/01/2024 (Pre-refunded to 01/01/2022) | 11,465,000 | 13,252,279 | ||||||
6.000%, 01/01/2026 (Pre-refunded to 01/01/2022) | 2,285,000 | 2,868,612 | ||||||
North Carolina Medical Care Commission, | ||||||||
5.750%, 01/01/2035 (Pre-refunded to 01/01/2021) | 430,000 | 520,240 | ||||||
39,430,430 | 3.4% | |||||||
Ohio | ||||||||
Cincinnati City School District, | ||||||||
5.000%, 12/01/2016 (Insured by AGM) | 2,000,000 | 2,078,720 | ||||||
Cleveland Municipal School District: | ||||||||
4.000%, 12/01/2017 | 1,790,000 | 1,888,504 | ||||||
4.000%, 12/01/2018 | 1,865,000 | 2,015,748 | ||||||
4.000%, 12/01/2019 | 1,940,000 | 2,136,347 | ||||||
5.000%, 12/01/2020 | 2,015,000 | 2,355,454 | ||||||
Miamisburg Ohio Water Revenue, | ||||||||
7.000%, 11/15/2016 (Callable 07/31/2015)(ETM) | 40,000 | 42,281 | ||||||
Ohio Housing Finance Agency, | ||||||||
5.000%, 11/01/2028 (Callable 05/01/2020) | 1,240,000 | 1,311,387 | ||||||
State of Ohio: | ||||||||
5.000%, 03/01/2019 | 1,220,000 | 1,368,645 | ||||||
5.500%, 02/01/2020 | 1,195,000 | 1,397,445 | ||||||
5.000%, 06/15/2021 | 6,740,000 | 8,006,985 | ||||||
22,601,516 | 2.0% | |||||||
Oregon | ||||||||
State of Oregon, | ||||||||
4.000%, 12/01/2045 (Callable 06/01/2025) | 5,000,000 | 5,406,150 | 0.5% | |||||
Pennsylvania | ||||||||
Erie Pennsylvania Sewer Authority Revenue, | ||||||||
5.125%, 06/01/2020 (ETM) | 1,410,000 | 1,559,700 | ||||||
Lampeter Strasburg School District, | ||||||||
4.000%, 06/01/2019 | 1,715,000 | 1,860,861 | ||||||
Pennsylvania Convention Center Authority Revenue Bonds, | ||||||||
6.000%, 09/01/2019 (ETM) | 13,755,000 | 15,467,085 | ||||||
Pennsylvania Housing Finance Agency: | ||||||||
3.700%, 04/01/2018 | 2,130,000 | 2,215,882 | ||||||
3.750%, 10/01/2018 | 1,760,000 | 1,848,774 | ||||||
3.900%, 04/01/2019 | 1,025,000 | 1,085,711 | ||||||
3.900%, 10/01/2019 (Callable 04/01/2019) | 1,675,000 | 1,774,210 | ||||||
Philadelphia Hospitals & Higher Education Facilities Authority: | ||||||||
5.000%, 05/15/2020 (ETM) | 1,575,000 | 1,813,172 | ||||||
5.250%, 05/15/2023 (Pre-refunded to 05/15/2020) | 2,675,000 | 3,107,681 | ||||||
Philadelphia Pennsylvania Authority For Industrial Development Revenue, | ||||||||
5.250%, 01/01/2027 (Pre-refunded to 01/01/2017) | 1,790,000 | 1,870,263 | ||||||
Philadelphia Pennsylvania Gas Works, | ||||||||
7.000%, 05/15/2020 (ETM) | 1,820,000 | 2,062,733 | ||||||
South Fork Municipal Authority: | ||||||||
5.500%, 07/01/2029 (Pre-refunded to 07/01/2020) | 2,450,000 | 2,895,827 | ||||||
5.375%, 07/01/2035 (Pre-refunded to 07/01/2020) | 1,290,000 | 1,511,596 | ||||||
39,073,495 | 3.4% | |||||||
Puerto Rico | ||||||||
Commonwealth of Puerto Rico, | ||||||||
5.000%, 07/01/2021 | 6,000,000 | 3,892,500 | ||||||
Puerto Rico Electric Power Authority: | ||||||||
0.000%, 07/01/2017 (ETM) | 3,225,000 | 3,077,908 | ||||||
0.000%, 07/01/2017 (Pre-refunded to various dates)(ETM) | 1,280,000 | 1,221,619 | ||||||
Puerto Rico Public Finance Corp., | ||||||||
6.000%, 08/01/2026 (ETM) | 1,080,000 | 1,442,232 | ||||||
9,634,259 | 0.8% | |||||||
Rhode Island | ||||||||
State of Rhode Island, | ||||||||
5.000%, 08/01/2024 | 5,000,000 | 6,083,550 | 0.5% | |||||
South Carolina | ||||||||
Charleston Educational Excellence Finance Corp., | ||||||||
5.000%, 12/01/2026 (Callable 12/01/2023) | 4,580,000 | 5,487,115 | ||||||
Piedmont Municipal Power Agency South Carolina Electric Revenue, | ||||||||
6.750%, 01/01/2020 (ETM) | 6,450,000 | 7,794,438 | ||||||
13,281,553 | 1.2% | |||||||
South Dakota | ||||||||
Heartland Consumers Power District, | ||||||||
7.000%, 01/01/2016 (ETM) | 235,000 | 235,000 | 0.0% | |||||
Tennessee | ||||||||
County of Rutherford TN, | ||||||||
5.000%, 04/01/2021 | 1,955,000 | 2,318,884 | ||||||
Metropolitan Government Nashville & Davidson County Tennessee H&E, | ||||||||
0.000%, 06/01/2021 (ETM) | 1,050,000 | 963,890 | ||||||
Shelby County Tennessee Health Educational & Housing Facilities Revenue, | ||||||||
5.500%, 08/15/2019 (ETM) | 3,080,000 | 3,350,208 | ||||||
Tennessee Housing Development Agency, | ||||||||
4.500%, 07/01/2028 (Callable 01/01/2020) | 2,230,000 | 2,322,032 | ||||||
8,955,014 | 0.8% | |||||||
Texas | ||||||||
Amarillo Independent School District, | ||||||||
5.000%, 02/01/2026 (Callable 02/01/2024)(PSF Guaranteed) | 1,370,000 | 1,669,153 | ||||||
Arlington Higher Education Finance Corp., | ||||||||
5.000%, 08/15/2024 (PSF Guaranteed) | 1,000,000 | 1,201,960 | ||||||
Burleson Independent School District, | ||||||||
5.000%, 08/01/2025 (PSF Guaranteed) | 1,240,000 | 1,547,818 | ||||||
Central Texas Housing Finance Corp., | ||||||||
0.000%, 09/01/2016 (ETM) | 1,500,000 | 1,494,240 | ||||||
City of Austin TX Water & Wastewater System Revenue, | ||||||||
5.000%, 11/15/2024 (Callable 11/15/2022) | 3,000,000 | 3,623,160 | ||||||
City of El Paso TX, | ||||||||
5.000%, 08/15/2018 | 1,355,000 | 1,492,709 | ||||||
City of Houston TX Combined Utility System Revenue: | ||||||||
0.000%, 12/01/2019 (ETM) | 13,355,000 | 12,671,758 | ||||||
5.500%, 12/01/2024 (ETM) | 1,735,000 | 2,194,289 | ||||||
5.500%, 12/01/2029 (ETM) | 16,050,000 | 21,652,413 | ||||||
Conroe Independent School District: | ||||||||
5.000%, 02/15/2022 (Callable 02/15/2021)(PSF Guaranteed) | 1,000,000 | 1,179,030 | ||||||
5.000%, 02/15/2023 (Callable 02/15/2021)(PSF Guaranteed) | 2,680,000 | 3,155,459 | ||||||
Cypress-Fairbanks Independent School District, | ||||||||
5.000%, 02/15/2017 (Callable 02/15/2016)(PSF Guaranteed) | 415,000 | 417,125 | ||||||
Dallas Texas Independent School District, | ||||||||
5.000%, 02/15/2020 (PSF Guaranteed) | 2,410,000 | 2,769,741 | ||||||
Ennis Independent School District, | ||||||||
5.000%, 08/15/2025 (PSF Guaranteed) | 1,145,000 | 1,430,277 | ||||||
Fort Bend Independent School District, | ||||||||
5.000%, 08/15/2024 (PSF Guaranteed) | 1,655,000 | 2,047,285 | ||||||
Frisco Texas Independent School District, | ||||||||
6.000%, 08/15/2018 (Callable 08/15/2016)(PSF Guaranteed) | 1,625,000 | 1,680,022 | ||||||
Georgetown Independent School District, | ||||||||
4.000%, 02/15/2020 (PSF Guaranteed) | 1,900,000 | 2,111,014 | ||||||
Godley Independent School District, | ||||||||
5.000%, 02/15/2023 (PSF Guaranteed) | 1,445,000 | 1,747,915 | ||||||
Goose Creek Consolidated Independent School District, | ||||||||
5.000%, 02/15/2021 (PSF Guaranteed) | 1,050,000 | 1,234,012 | ||||||
Harlingen Consolidated Independent School District: | ||||||||
5.000%, 08/15/2024 (PSF Guaranteed) | 2,810,000 | 3,473,553 | ||||||
5.000%, 08/15/2025 (PSF Guaranteed) | 1,430,000 | 1,786,285 | ||||||
Harris County Health Facilities Development Corp., | ||||||||
5.500%, 10/01/2019 (ETM) | 4,780,000 | 5,250,926 | ||||||
Harris County Texas: | ||||||||
5.000%, 10/01/2019 | 1,525,000 | 1,734,276 | ||||||
5.750%, 10/01/2020 (Pre-refunded to 10/01/2018) | 175,000 | 197,073 | ||||||
5.000%, 10/01/2026 | 4,155,000 | 5,165,371 | ||||||
5.750%, 10/01/2028 (Pre-refunded to 10/01/2018) | 6,930,000 | 7,804,081 | ||||||
Houston Higher Education Finance Corp.: | ||||||||
5.000%, 02/15/2020 (PSF Guaranteed) | 1,000,000 | 1,138,070 | ||||||
5.000%, 02/15/2026 (Callable 02/15/2024)(PSF Guaranteed) | 1,030,000 | 1,229,573 | ||||||
Humble Texas Independent School District, | ||||||||
5.000%, 02/15/2021 (PSF Guaranteed) | 1,500,000 | 1,760,445 | ||||||
Irving Independent School District, | ||||||||
5.000%, 02/15/2025 (Callable 08/15/2024)(PSF Guaranteed) | 1,250,000 | 1,539,625 | ||||||
Katy Independent School District, | ||||||||
5.000%, 02/15/2020 (PSF Guaranteed) | 4,635,000 | 5,318,848 | ||||||
Keller Independent School District/TX: | ||||||||
5.000%, 02/15/2022 (PSF Guaranteed) | 1,370,000 | 1,642,657 | ||||||
5.000%, 02/15/2023 (PSF Guaranteed) | 3,340,000 | 4,067,519 | ||||||
Killeen Independent School District, | ||||||||
4.000%, 02/15/2024 (Callable 02/15/2021)(PSF Guaranteed) | 1,145,000 | 1,266,221 | ||||||
La Porte Independent School District/TX, | ||||||||
5.000%, 02/15/2025 (PSF Guaranteed) | 1,080,000 | 1,342,451 | ||||||
Lamar Consolidated Independent School District, | ||||||||
5.000%, 02/15/2026 (PSF Guaranteed) | 5,860,000 | 7,400,653 | ||||||
Llano Independent School District, | ||||||||
5.000%, 02/15/2024 (Callable 02/15/2023)(PSF Guaranteed) | 1,265,000 | 1,527,374 | ||||||
Lower Colorado River Authority, | ||||||||
4.750%, 01/01/2028 (ETM) | 1,200,000 | 1,443,552 | ||||||
Lubbock Texas, | ||||||||
5.000%, 02/15/2021 (Pre-refunded to 02/15/2018)(Insured by AGM) | 3,425,000 | 3,716,844 | ||||||
Lubbock Texas Housing Finance Corp., | ||||||||
8.000%, 10/01/2021 (ETM) | 1,780,000 | 2,368,504 | ||||||
Lubbock Texas Independent School District, | ||||||||
4.000%, 02/15/2022 (Callable 02/15/2020)(PSF Guaranteed) | 1,000,000 | 1,094,630 | ||||||
Mansfield Independent School District: | ||||||||
5.000%, 02/15/2023 (PSF Guaranteed) | 1,725,000 | 2,094,305 | ||||||
5.000%, 02/15/2024 (PSF Guaranteed) | 1,905,000 | 2,340,369 | ||||||
Mesquite Independent School District: | ||||||||
5.000%, 08/15/2024 (PSF Guaranteed) | 1,425,000 | 1,761,499 | ||||||
5.000%, 08/15/2025 (PSF Guaranteed) | 2,600,000 | 3,247,790 | ||||||
5.000%, 08/15/2025 (PSF Guaranteed) | 1,500,000 | 1,873,725 | ||||||
New Caney Independent School District: | ||||||||
5.000%, 02/15/2023 (PSF Guaranteed) | 1,000,000 | 1,212,600 | ||||||
5.000%, 02/15/2024 (PSF Guaranteed) | 1,030,000 | 1,265,396 | ||||||
North East Independent School District/TX: | ||||||||
5.000%, 08/01/2021 (PSF Guaranteed) | 6,095,000 | 7,223,489 | ||||||
5.000%, 08/01/2023 (PSF Guaranteed) | 5,805,000 | 7,100,154 | ||||||
5.000%, 02/01/2024 (PSF Guaranteed) | 2,930,000 | 3,604,046 | ||||||
Northside Independent School District, | ||||||||
5.000%, 08/15/2025 (PSF Guaranteed) | 1,000,000 | 1,250,130 | ||||||
Pasadena Independent School District, | ||||||||
5.000%, 02/15/2022 (Callable 02/15/2021)(PSF Guaranteed) | 1,115,000 | 1,309,802 | ||||||
Pflugerville Independent School District, | ||||||||
5.000%, 02/15/2025 (Callable 02/15/2024)(PSF Guaranteed) | 1,000,000 | 1,221,830 | ||||||
Port Arthur Independent School District, | ||||||||
5.000%, 02/15/2024 (PSF Guaranteed) | 1,700,000 | 2,089,946 | ||||||
Retama Texas Development Corporation Special Facilities Revenue, | ||||||||
8.750%, 12/15/2018 (ETM) | 2,035,000 | 2,460,600 | ||||||
San Antonio Texas Electric & Gas Revenue, | ||||||||
5.650%, 02/01/2019 (ETM) | 11,665,000 | 12,671,923 | ||||||
Sherman Independent School District/TX, | ||||||||
5.000%, 02/15/2026 (Callable 02/15/2024)(PSF Guaranteed) | 1,775,000 | 2,159,855 | ||||||
Spring Texas Independent School District, | ||||||||
5.000%, 08/15/2019 (Callable 08/15/2018)(PSF Guaranteed) | 1,020,000 | 1,127,008 | ||||||
Tarrant County Texas Health Facilities Revenue, | ||||||||
6.000%, 09/01/2024 (ETM) | 7,385,000 | 8,865,028 | ||||||
Tarrant County Texas Housing Finance Corporation Revenue Bonds, | ||||||||
0.000%, 09/15/2016 (ETM) | 1,800,000 | 1,793,916 | ||||||
Temple Independent School District, | ||||||||
4.000%, 02/01/2022 (Callable 02/01/2021)(PSF Guaranteed) | 1,120,000 | 1,256,181 | ||||||
Texas State: | ||||||||
5.000%, 10/01/2018 | 6,285,000 | 6,954,541 | ||||||
5.000%, 08/01/2021 | 1,205,000 | 1,434,492 | ||||||
Tomball Independent School District, | ||||||||
5.000%, 02/15/2025 (PSF Guaranteed) | 5,865,000 | 7,301,221 | ||||||
University of Texas System, | ||||||||
5.000%, 08/15/2022 | 9,530,000 | 11,520,817 | ||||||
Waco Independent School District: | ||||||||
0.000%, 08/15/2018 (PSF Guaranteed) | 3,245,000 | 3,128,213 | ||||||
5.000%, 08/15/2022 (PSF Guaranteed) | 3,085,000 | 3,714,463 | ||||||
5.000%, 08/15/2023 (PSF Guaranteed) | 3,090,000 | 3,767,977 | ||||||
Wichita Falls Independent School District, | ||||||||
5.000%, 02/01/2024 (PSF Guaranteed) | 1,670,000 | 2,058,392 | ||||||
Wylie Independent School District/TX, | ||||||||
6.750%, 08/15/2023 (PSF Guaranteed) | 1,010,000 | 1,364,823 | ||||||
Ysleta Independent School District: | ||||||||
5.000%, 08/15/2023 (Callable 08/15/2021)(PSF Guaranteed) | 1,020,000 | 1,208,312 | ||||||
5.000%, 08/15/2025 (Callable 08/15/2024)(PSF Guaranteed) | 1,545,000 | 1,904,336 | ||||||
239,875,090 | 20.9% | |||||||
Utah | ||||||||
Granite School District Board of Education: | ||||||||
5.000%, 06/01/2022 (Callable 06/01/2021) | 3,900,000 | 4,616,898 | ||||||
5.000%, 06/01/2023 (Callable 06/01/2021) | 1,750,000 | 2,068,693 | ||||||
Utah Housing Corp., | ||||||||
4.000%, 01/01/2045 (Callable 01/01/2026) | 2,500,000 | 2,694,125 | ||||||
9,379,716 | 0.8% | |||||||
Virginia | ||||||||
City of Bristol VA, | ||||||||
5.500%, 11/01/2018 (ETM) | 1,095,000 | 1,192,926 | ||||||
Danville Industrial Development Authority, | ||||||||
5.250%, 10/01/2028 (ETM) | 1,500,000 | 1,816,485 | ||||||
Virginia Public School Authority, | ||||||||
6.250%, 12/01/2028 (Pre-refunded to 12/01/2018) | 1,285,000 | 1,475,128 | ||||||
4,484,539 | 0.4% | |||||||
Washington | ||||||||
Snohomish County School District No. 201, | ||||||||
4.000%, 12/01/2021 (Callable 12/01/2020) | 4,500,000 | 5,016,285 | ||||||
Snohomish County Washington Public Utilities Revenue, | ||||||||
6.800%, 01/01/2020 (Callable 02/01/2016)(ETM) | 3,605,000 | 4,068,062 | ||||||
Thurston & Pierce Counties Washington Community Schools, | ||||||||
4.250%, 12/01/2021 (Callable 12/01/2020) | 2,755,000 | 3,128,551 | ||||||
Walla Walla County School District No. 250 College Place, | ||||||||
5.000%, 12/01/2019 | 1,290,000 | 1,433,551 | ||||||
Washington Health Care Facilities Authority: | ||||||||
6.250%, 08/01/2028 (Pre-refunded to 08/01/2018) | 1,305,000 | 1,472,666 | ||||||
6.125%, 11/15/2031 (Pre-refunded to 05/15/2021) | 610,000 | 758,993 | ||||||
6.250%, 08/01/2036 (Pre-refunded to 08/01/2018) | 8,100,000 | 9,140,688 | ||||||
6.250%, 11/15/2041 (Pre-refunded to 05/15/2021) | 4,605,000 | 5,759,381 | ||||||
Washington State: | ||||||||
5.000%, 01/01/2021 | 10,000,000 | 11,743,700 | ||||||
5.500%, 07/01/2023 | 5,000,000 | 6,119,850 | ||||||
48,641,727 | 4.2% | |||||||
West Virginia | ||||||||
Ohio County Board of Education, | ||||||||
5.250%, 06/01/2018 (ETM) | 1,130,000 | 1,243,441 | 0.1% | |||||
Wisconsin | ||||||||
Ladysmith School District/WI: | ||||||||
5.200%, 04/01/2018 (Callable 04/01/2016)(Insured by NPFGC) | 1,900,000 | 1,919,019 | ||||||
5.200%, 04/01/2018 (Callable 04/01/2016)(Insured by NPFGC) | 420,000 | 424,263 | ||||||
2,343,282 | 0.2% | |||||||
Total Municipal Bonds (Cost $1,087,022,187) | 1,129,021,460 | 98.3% | ||||||
Shares | ||||||||
SHORT-TERM INVESTMENT | ||||||||
Money Market Mutual Fund | ||||||||
Goldman Sachs Financial Square Funds, 0.01% « | 3,943,030 | 3,943,030 | ||||||
Total Short-Term Investment (Cost $3,943,030) | 3,943,030 | 0.3% | ||||||
Total Investments (Cost $1,090,965,217) | 1,132,964,490 | 98.6% | ||||||
Assets in Excess of Other Liabilities | 15,819,014 | 1.4% | ||||||
TOTAL NET ASSETS | $ 1,148,783,504 | 100.0% |
Notes to Schedule of Investments | |
AGM | Assured Guaranty Municipal |
AMBAC | Ambac Assurance Corporation |
BHAC | Berkshire Hathaway Assurance Corp. |
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 Core Intermediate Municipal Bond Fund | ||||||||
Schedule of Investments | ||||||||
December 31, 2015 | ||||||||
Principal | % of | |||||||
LONG-TERM INVESTMENTS | Amount | Value | Net Assets | |||||
Municipal Bonds | ||||||||
Alabama | ||||||||
County of Cullman AL Water Revenue, | ||||||||
3.000%, 05/01/2017 | $ 280,000 | $ 286,056 | ||||||
Industrial Development Board of the City of Mobile Alabama, | ||||||||
1.625%, 07/15/2034 (Mandatory Tender Date 10/02/2018)(1) | 150,000 | 150,512 | ||||||
Jefferson County Alabama Ltd., | ||||||||
0.990%, 01/01/2027 (Callable 01/21/2016)(Insured by AMBAC)(1)(2) | 50,000 | 48,429 | ||||||
Town of Mulga AL, | ||||||||
3.000%, 08/15/2018 (Insured by AGM) | 200,000 | 208,324 | ||||||
693,321 | 1.4% | |||||||
Alaska | ||||||||
Alaska Housing Finance Corp., | ||||||||
4.000%, 06/01/2040 (Callable 06/01/2021) | 100,000 | 102,724 | ||||||
Alaska Municipal Bond Bank Authority, | ||||||||
5.000%, 08/01/2027 (Callable 08/01/2023) | 500,000 | 597,890 | ||||||
City of Valdez AK, | ||||||||
5.000%, 01/01/2021 | 435,000 | 497,971 | ||||||
1,198,585 | 2.3% | |||||||
Arizona | ||||||||
Arizona Transportation Board, | ||||||||
5.000%, 07/01/2025 (Callable 07/01/2019) | 350,000 | 396,301 | ||||||
City of El Mirage AZ, | ||||||||
5.000%, 07/01/2026 (Callable 07/01/2020) | 450,000 | 511,376 | ||||||
City of Tucson AZ Water System Revenue, | ||||||||
5.000%, 07/01/2032 (Callable 07/01/2025) | 500,000 | 600,305 | ||||||
Maricopa County Pollution Control Corp, | ||||||||
5.200%, 06/01/2043 (Mandatory Tender Date 06/01/2020)(1) | 100,000 | 110,704 | ||||||
1,618,686 | 3.2% | |||||||
Arkansas | ||||||||
City of Conway AR Wasterwater Department, | ||||||||
5.000%, 10/01/2035 (Callable 04/01/2024) | 300,000 | 339,507 | ||||||
City of Little Rock AR, | ||||||||
2.000%, 03/01/2038 (Callable 03/01/2021) | 240,000 | 239,801 | ||||||
Pulaski County Public Facilities Board, | ||||||||
4.000%, 07/01/2017 | 380,000 | 392,943 | ||||||
972,251 | 1.9% | |||||||
California | ||||||||
Bay Area Toll Authority, | ||||||||
0.710%, 04/01/2047 (Callable 04/01/2019)(Mandatory Tender Date 10/01/2019)(1) | 250,000 | 249,655 | ||||||
California Health Facilities Financing Authority, | ||||||||
5.000%, 04/01/2020 | 350,000 | 382,298 | ||||||
California School Finance Authority, | ||||||||
3.000%, 08/01/2017 | 50,000 | 51,276 | ||||||
California Statewide Communities Development Authority: | ||||||||
5.250%, 12/01/2027 (Pre-refunded to 12/01/2017) | 35,000 | 37,942 | ||||||
0.699%, 04/01/2028 (1)(2) | 250,000 | 222,696 | ||||||
City of Redding CA, | ||||||||
0.245%, 07/01/2022 (ETM)(1)(2) | 200,000 | 189,066 | ||||||
Dinuba Redevelopment Agency, | ||||||||
5.000%, 09/01/2028 (Callable 09/01/2024) | 330,000 | 384,882 | ||||||
East Bay Municipal Utility District Water System Revenue, | ||||||||
5.000%, 06/01/2033 (Callable 06/01/2024) | 475,000 | 565,278 | ||||||
East Side Union High School District, | ||||||||
5.100%, 02/01/2016 | 15,000 | 15,053 | ||||||
Encinitas Union School District/CA, | ||||||||
0.000%, 08/01/2030 (Callable 08/01/2025) | 300,000 | 169,608 | ||||||
Imperial Community College District, | ||||||||
0.000%, 08/01/2040 (Callable 08/01/2030)(Insured by AGM) | 100,000 | 107,339 | ||||||
Lake Elsinore Redevelopment Agency Successor Agency, | ||||||||
5.000%, 09/01/2027 (Callable 09/01/2025) | 275,000 | 327,649 | ||||||
Needles Unified School District, | ||||||||
3.979%, 08/01/2034 (Insured by AGM) | 70,000 | 54,877 | ||||||
Redondo Beach Unified School District, | ||||||||
3.250%, 08/01/2034 (Callable 08/01/2026) | 250,000 | 311,782 | ||||||
Riverside County Public Financing Authority, | ||||||||
5.000%, 10/01/2026 (Callable 10/01/2025)(Insured by AGM) | 250,000 | 298,223 | ||||||
San Bernardino City Unified School District, | ||||||||
5.000%, 08/01/2027 (Callable 08/01/2023)(Insured by AGM) | 450,000 | 530,195 | ||||||
San Diego Unified School District/CA, | ||||||||
3.979%, 07/01/2033 (Callable 07/01/2024) | 140,000 | 139,677 | ||||||
Southern California Public Power Authority, | ||||||||
0.130%, 07/01/2031 (Optional Put Date 01/08/2016)(Callable 07/01/2021)(1) | 600,000 | 600,000 | ||||||
State of California, | ||||||||
1.000%, 12/01/2029 (Callable 06/01/2018)(Mandatory Tender Date 12/03/2018)(1) | 125,000 | 125,264 | ||||||
Twin Rivers Unified School District, | ||||||||
3.200%, 06/01/2035 (Callable 02/01/2016)(Mandatory Tender Date 06/01/2020)(Insured by AGM)(1) | 150,000 | 150,255 | ||||||
Westlands Water District, | ||||||||
5.000%, 09/01/2030 (Callable 09/01/2022)(Insured by AGM) | 500,000 | 589,580 | ||||||
5,502,595 | 10.8% | |||||||
Colorado | ||||||||
Bromley Park Metropolitan District No. 2, | ||||||||
4.250%, 12/01/2022 (Callable 12/01/2017) | 400,000 | 405,908 | ||||||
Denver Health & Hospital Authority, | ||||||||
5.000%, 12/01/2017 (Callable 12/01/2016) | 250,000 | 258,892 | ||||||
664,800 | 1.3% | |||||||
District of Columbia | ||||||||
District of Columbia, | ||||||||
5.250%, 07/15/2045 (Pre-refunded to 07/15/2018)(Insured by AGM) | 100,000 | 110,412 | ||||||
Washington Metropolitan Area Transit Authority, | ||||||||
5.250%, 07/01/2024 (Callable 07/01/2019) | 50,000 | 56,545 | ||||||
166,957 | 0.3% | |||||||
Florida | ||||||||
City of Orlando FL: | ||||||||
5.250%, 11/01/2026 (Callable 05/01/2024) | 500,000 | 617,055 | ||||||
5.000%, 10/01/2027 (Callable 10/01/2020) | 100,000 | 116,589 | ||||||
City of Port St Lucie FL, | ||||||||
2.750%, 09/01/2017 (Insured by AGM) | 100,000 | 102,827 | ||||||
County of Bay FL Water and Sewer System Revenue, | ||||||||
4.000%, 09/01/2018 | 250,000 | 265,990 | ||||||
Deutsche Bank Spears/Lifers Trust: | ||||||||
0.180%, 10/01/2041 (Optional Put Date 01/08/2016)(Callable 10/01/2020)(1) | 600,000 | 600,000 | ||||||
0.260%, 09/01/2042 (Optional Put Date 01/08/2016)(Callable 09/01/2017)(1) | 500,000 | 500,000 | ||||||
Hollywood Community Redevelopment Agency, | ||||||||
5.000%, 03/01/2018 | 200,000 | 214,948 | ||||||
Martin County Health Facilities Authority, | ||||||||
5.000%, 11/15/2023 | 260,000 | 297,916 | ||||||
Palm Beach County Health Facilities Authority, | ||||||||
4.750%, 07/01/2025 (Callable 07/01/2020)(Insured by AGM) | 130,000 | 145,562 | ||||||
Putnam County Development Authority/FL, | ||||||||
0.010%, 09/01/2024 (Optional Put Date 01/04/2016)(Callable 12/31/2015)(1) | 300,000 | 300,000 | ||||||
Village Community Development District No. 7, | ||||||||
4.000%, 05/01/2021 | 250,000 | 269,210 | ||||||
3,430,097 | 6.7% | |||||||
Georgia | ||||||||
Burke County Development Authority, | ||||||||
0.220%, 07/01/2049 (Optional Put Date 01/04/2016)(Callable 12/31/2015)(1) | 500,000 | 500,000 | ||||||
Chatham County Hospital Authority, | ||||||||
5.000%, 01/01/2031 (Callable 01/01/2022) | 250,000 | 285,743 | ||||||
City of Dahlonega GA Water & Sewer Revenue, | ||||||||
4.000%, 09/01/2021 (Insured by AGM) | 200,000 | 222,860 | ||||||
Columbus Housing Authority, | ||||||||
4.250%, 12/01/2035 (Callable 12/01/2020) | 300,000 | 294,843 | ||||||
Murray County School District, | ||||||||
4.000%, 10/01/2017 | 240,000 | 252,614 | ||||||
Private Colleges & Universities Authority, | ||||||||
5.000%, 10/01/2020 | 115,000 | 129,902 | ||||||
1,685,962 | 3.3% | |||||||
Illinois | ||||||||
Chicago O'Hare International Airport: | ||||||||
5.000%, 01/01/2020 (Callable 01/01/2017)(Insured by AGM) | 100,000 | 104,168 | ||||||
5.500%, 01/01/2031 (Callable 01/01/2021) | 500,000 | 578,025 | ||||||
City of Chicago IL: | ||||||||
4.250%, 01/01/2019 | 225,000 | 234,414 | ||||||
5.000%, 01/01/2026 (Callable 02/01/2016)(Insured by AGM) | 500,000 | 504,455 | ||||||
City of Chicago IL Motor Fuel Tax Revenue, | ||||||||
5.000%, 01/01/2026 (Callable 01/01/2024) | 500,000 | 529,335 | ||||||
City of Chicago IL Wastewater Transmission Revenue: | ||||||||
5.000%, 01/01/2018 (Insured by BHAC) | 150,000 | 161,000 | ||||||
5.000%, 01/01/2023 | 170,000 | 192,773 | ||||||
5.000%, 01/01/2025 (Callable 01/01/2024) | 110,000 | 126,108 | ||||||
City of Chicago IL Waterworks Revenue, | ||||||||
5.000%, 11/01/2028 (Callable 11/01/2018)(Insured by AGM) | 450,000 | 477,144 | ||||||
Coles Cumberland Moultrie Etc Counties Community Unit School District No. 2, | ||||||||
4.000%, 12/01/2018 | 250,000 | 265,557 | ||||||
Cook County Community College District No. 508, | ||||||||
4.000%, 12/01/2016 | 130,000 | 133,890 | ||||||
DeKalb County Community Unit School District No. 428, | ||||||||
0.000%, 01/01/2030 (Callable 07/01/2020) | 300,000 | 148,047 | ||||||
Illinois Finance Authority: | ||||||||
4.000%, 11/15/2017 | 100,000 | 104,940 | ||||||
5.000%, 08/01/2030 (Callable 08/01/2024) | 250,000 | 289,990 | ||||||
Town of Cicero IL, | ||||||||
5.000%, 01/01/2019 (Insured by AGM) | 400,000 | 433,284 | ||||||
Village of Franklin Park IL, | ||||||||
5.000%, 04/01/2023 | 400,000 | 457,264 | ||||||
4,740,394 | 9.3% | |||||||
Indiana | ||||||||
Danville School Building Corp., | ||||||||
3.000%, 01/15/2016 | 40,000 | 40,032 | ||||||
Indiana Bond Bank, | ||||||||
0.670%, 10/15/2022 (1) | 100,000 | 94,443 | ||||||
Indiana Finance Authority: | ||||||||
4.500%, 08/15/2016 | 100,000 | 101,950 | ||||||
5.000%, 05/01/2028 (Callable 05/01/2023) | 150,000 | 169,788 | ||||||
Indiana Michigan Power Co., | ||||||||
1.750%, 06/01/2025 (Mandatory Tender Date 06/01/2018)(1) | 100,000 | 100,328 | ||||||
IPS Multi-School Building Corp., | ||||||||
4.500%, 07/15/2016 | 350,000 | 352,034 | ||||||
858,575 | 1.7% | |||||||
Iowa | ||||||||
City of Iowa City IA, | ||||||||
0.020%, 04/01/2032 (Optional Put Date 01/04/2016)(Callable 12/31/2015)(1)(2) | 300,000 | 300,000 | ||||||
Iowa State Board Regents Hospital Revenue, | ||||||||
4.000%, 09/01/2025 (Callable 09/01/2021) | 265,000 | 291,550 | ||||||
591,550 | 1.2% | |||||||
Kansas | ||||||||
State of Kansas Department of Transportation, | ||||||||
0.563%, 09/01/2019 (1) | 115,000 | 114,363 | 0.2% | |||||
Louisiana | ||||||||
Louisiana Public Facilities Authority, | ||||||||
5.000%, 07/01/2017 | 50,000 | 52,866 | ||||||
Parish of St John the Baptist LA, | ||||||||
5.125%, 06/01/2037 (Callable 06/01/2017) | 250,000 | 253,313 | ||||||
306,179 | 0.6% | |||||||
Maine | ||||||||
Maine State Housing Authority, | ||||||||
3.500%, 11/15/2045 (Callable 05/15/2025) | 300,000 | 319,101 | 0.6% | |||||
Maryland | ||||||||
Maryland Health & Higher Educational Facilities Authority, | ||||||||
5.000%, 05/15/2028 (Callable 05/15/2023) | 460,000 | 539,879 | ||||||
State of Maryland, | ||||||||
4.000%, 08/01/2016 | 25,000 | 25,518 | ||||||
565,397 | 1.1% | |||||||
Massachusetts | ||||||||
Commonwealth of Massachusetts, | ||||||||
0.680%, 11/01/2020 (Callable 11/01/2017)(1) | 200,000 | 200,196 | ||||||
Eaton Vance Municipal Bond Fund II, | ||||||||
1.060%, 07/01/2019 (Callable 01/01/2017)(1) | 150,000 | 149,949 | ||||||
Massachusetts Development Finance Agency, | ||||||||
5.000%, 07/01/2017 | 340,000 | 354,963 | ||||||
705,108 | 1.4% | |||||||
Michigan | ||||||||
City of Detroit MI Water Supply System Revenue, | ||||||||
4.250%, 07/01/2018 | 100,000 | 107,245 | ||||||
City of Wyandotte MI Electric System Revenue: | ||||||||
5.000%, 10/01/2016 | 105,000 | 107,890 | ||||||
5.000%, 10/01/2023 | 75,000 | 85,284 | ||||||
Farmington Public School District, | ||||||||
5.000%, 05/01/2028 (Callable 05/01/2025)(Insured by AGM) | 150,000 | 176,494 | ||||||
Hudsonville Public Schools, | ||||||||
4.000%, 05/01/2018 (Insured by Q-SBLF) | 100,000 | 106,551 | ||||||
Michigan Finance Authority, | ||||||||
5.000%, 07/01/2034 (Callable 07/01/2025) | 250,000 | 284,810 | ||||||
Saginaw MI City School District, | ||||||||
5.000%, 05/01/2024 (Insured by Q-SBLF) | 210,000 | 250,425 | ||||||
West Bloomfield School District, | ||||||||
4.000%, 05/01/2020 (Callable 05/01/2016)(Insured by AGM) | 250,000 | 251,962 | ||||||
Ypsilanti School District/MI, | ||||||||
4.000%, 05/01/2020 (Insured by Q-SBLF) | 50,000 | 54,161 | ||||||
1,424,822 | 2.8% | |||||||
Minnesota | ||||||||
City of Norwood Young America MN, | ||||||||
1.500%, 08/01/2016 (Callable 02/01/2016) | 50,000 | 49,841 | ||||||
Western Minnesota Municipal Power Agency, | ||||||||
5.000%, 01/01/2033 (Callable 01/01/2024) | 500,000 | 584,465 | ||||||
634,306 | 1.2% | |||||||
Mississippi | ||||||||
Mississippi Development Bank: | ||||||||
5.500%, 10/01/2019 | 550,000 | 608,278 | ||||||
6.750%, 12/01/2033 (Callable 12/01/2023)(Insured by AGM) | 200,000 | 263,802 | ||||||
872,080 | 1.7% | |||||||
Missouri | ||||||||
Health & Educational Facilities Authority of the State of Missouri: | ||||||||
4.000%, 08/01/2018 | 100,000 | 105,215 | ||||||
4.000%, 08/01/2019 | 150,000 | 159,006 | ||||||
Missouri Housing Development Commission, | ||||||||
3.700%, 11/01/2035 (Callable 05/01/2025) | 250,000 | 253,142 | ||||||
517,363 | 1.0% | |||||||
Montana | ||||||||
Montana Board of Housing, | ||||||||
3.600%, 12/01/2030 (Callable 06/01/2022) | 520,000 | 531,034 | 1.0% | |||||
Nevada | ||||||||
Las Vegas Valley Water District, | ||||||||
0.250%, 06/01/2036 (Optional Put Date 01/04/2016)(Callable 12/31/2015)(1) | 500,000 | 500,000 | 1.0% | |||||
New Jersey | ||||||||
New Jersey Economic Development Authority: | ||||||||
4.000%, 06/15/2017 | 375,000 | 386,250 | ||||||
5.000%, 06/15/2023 | 275,000 | 310,065 | ||||||
New Jersey Health Care Facilities Financing Authority: | ||||||||
5.000%, 07/01/2025 (Insured by AGM) | 200,000 | 234,250 | ||||||
4.500%, 11/15/2025 (Callable 11/15/2020) | 150,000 | 168,015 | ||||||
5.000%, 07/01/2026 (Callable 07/01/2025)(Insured by AGM) | 225,000 | 260,303 | ||||||
New Jersey Sports & Exposition Authority, | ||||||||
5.000%, 09/01/2016 | 210,000 | 215,296 | ||||||
New Jersey Transportation Trust Fund Authority, | ||||||||
5.250%, 12/15/2019 | 345,000 | 376,464 | ||||||
New Jersey Turnpike Authority, | ||||||||
5.000%, 01/01/2026 (Callable 01/01/2023) | 500,000 | 586,665 | ||||||
Roselle Park School District, | ||||||||
3.000%, 02/15/2017 | 300,000 | 306,999 | ||||||
2,844,307 | 5.6% | |||||||
New York | ||||||||
Build NYC Resource Corp., | ||||||||
5.000%, 08/01/2023 | 200,000 | 233,984 | ||||||
County of Nassau NY, | ||||||||
5.000%, 07/01/2022 (Callable 07/01/2018)(Insured by AGM) | 100,000 | 108,997 | ||||||
Metropolitan Transportation Authority, | ||||||||
0.843%, 11/01/2022 (Callable 01/21/2016)(Insured by AGM)(1)(2) | 475,000 | 457,648 | ||||||
New York City Municipal Water Finance Authority, | ||||||||
0.300%, 06/15/2032 (Optional Put Date 01/04/2016)(Callable 01/15/2016)(1) | 600,000 | 600,000 | ||||||
New York City Transit Authority: | ||||||||
0.872%, 01/01/2030 (Callable 01/15/2016)(Insured by AMBAC)(1)(2) | 75,000 | 69,423 | ||||||
1.136%, 01/01/2030 (Callable 01/25/2016)(Insured by AMBAC)(1)(2) | 75,000 | 69,632 | ||||||
New York Liberty Development Corp, | ||||||||
5.250%, 10/01/2035 | 250,000 | 299,610 | ||||||
New York State Dormitory Authority: | ||||||||
5.000%, 07/01/2023 | 150,000 | 179,299 | ||||||
5.000%, 12/15/2030 (Callable 12/15/2022) | 250,000 | 298,203 | ||||||
New York State Energy Research & Development Authority, | ||||||||
0.273%, 04/01/2020 (Callable 01/13/2016)(1)(2) | 200,000 | 188,942 | ||||||
Port Authority of New York & New Jersey, | ||||||||
5.000%, 09/01/2031 (Callable 09/01/2024) | 250,000 | 295,790 | ||||||
2,801,528 | 5.5% |
North Carolina | ||||||||
City of Raleigh NC, | ||||||||
5.000%, 02/01/2021 (Callable 02/01/2017) | 200,000 | 208,444 | ||||||
North Carolina Capital Facilities Finance Agency, | ||||||||
5.000%, 06/01/2022 | 150,000 | 172,728 | ||||||
North Carolina Medical Care Commission, | ||||||||
5.000%, 10/01/2019 (Callable 10/01/2017) | 150,000 | 160,650 | ||||||
541,822 | 1.1% | |||||||
North Dakota | ||||||||
City of Hazen ND, | ||||||||
2.500%, 07/01/2017 (Callable 01/01/2017) | 400,000 | 400,000 | ||||||
City of Williston ND, | ||||||||
4.000%, 05/01/2022 | 240,000 | 259,894 | ||||||
Williston Parks & Recreation District, | ||||||||
3.250%, 03/01/2032 (Callable 01/19/2016) | 100,000 | 101,165 | ||||||
761,059 | 1.5% | |||||||
Ohio | ||||||||
American Municipal Power, Inc., | ||||||||
5.250%, 02/15/2027 (Callable 02/15/2022) | 245,000 | 287,485 | ||||||
City of Bowling Green OH, | ||||||||
4.500%, 06/01/2019 | 150,000 | 157,917 | ||||||
City of Cleveland OH, | ||||||||
5.000%, 10/01/2023 | 430,000 | 517,918 | ||||||
City of Dayton OH Airport Revenue, | ||||||||
5.000%, 12/01/2034 (Callable 12/01/2023)(Insured by AGM) | 400,000 | 449,616 | ||||||
City of Toledo OH, | ||||||||
4.000%, 12/01/2017 (Insured by AGM) | 200,000 | 211,202 | ||||||
Clermont County Port Authority, | ||||||||
5.000%, 12/01/2023 | 300,000 | 359,658 | ||||||
County of Crawford OH, | ||||||||
1.430%, 11/01/2017 (Callable 05/01/2017) | 300,000 | 299,088 | ||||||
Lancaster Port Authority, | ||||||||
0.783%, 08/01/2019 (Callable 02/01/2019)(1) | 200,000 | 198,058 | ||||||
2,480,942 | 4.9% | |||||||
Oklahoma | ||||||||
Oklahoma City Industrial & Cultural Facilities Trust, | ||||||||
0.421%, 06/01/2019 (Callable 12/31/2015)(1)(2) | 300,000 | 290,292 | ||||||
Oklahoma Water Resources Board, | ||||||||
5.000%, 10/01/2028 (Callable 10/01/2024) | 180,000 | 218,259 | ||||||
508,551 | 1.0% | |||||||
Pennsylvania | ||||||||
Bethlehem Area School District, | ||||||||
5.000%, 10/15/2017 | 115,000 | 122,776 | ||||||
Bethlehem Parking Authority, | ||||||||
2.000%, 10/01/2018 | 250,000 | 252,060 | ||||||
New Castle Sanitation Authority, | ||||||||
2.000%, 06/01/2017 | 320,000 | 324,086 | ||||||
Northampton County General Purpose Authority, | ||||||||
1.410%, 08/15/2043 (Callable 02/15/2020)(Mandatory Tender Date 08/15/2020)(1) | 65,000 | 65,357 | ||||||
Pennsylvania Higher Educational Facilities Authority, | ||||||||
5.000%, 07/01/2037 (Callable 02/01/2016) | 100,000 | 100,207 | ||||||
Pennsylvania Turnpike Commission, | ||||||||
5.000%, 12/01/2023 (Callable 12/01/2019) | 200,000 | 223,692 | ||||||
Reading School District, | ||||||||
5.000%, 02/01/2023 | 230,000 | 265,915 | ||||||
1,354,093 | 2.6% | |||||||
Puerto Rico | ||||||||
Commonwealth of Puerto Rico, | ||||||||
4.750%, 07/01/2018 | 35,000 | 35,906 | 0.1% | |||||
Rhode Island | ||||||||
Providence Public Buildings Authority, | ||||||||
5.125%, 06/15/2021 (Insured by AGM) | 100,000 | 109,836 | 0.2% | |||||
South Carolina | ||||||||
County of Florence SC, | ||||||||
5.000%, 11/01/2033 (Callable 11/01/2024) | 250,000 | 286,397 | ||||||
Scago Educational Facilities Corp for Spartanburg School District No. 1, | ||||||||
2.000%, 06/01/2017 | 75,000 | 76,084 | ||||||
Scago Educational Facilities Corp for Union School District, | ||||||||
5.000%, 12/01/2023 | 500,000 | 593,460 | ||||||
South Carolina Jobs-Economic Development Authority, | ||||||||
6.500%, 08/01/2039 (Callable 08/01/2021)(Insured by AGM) | 290,000 | 352,817 | ||||||
University of South Carolina, | ||||||||
5.000%, 05/01/2023 | 140,000 | 169,098 | ||||||
1,477,856 | 2.9% | |||||||
South Dakota | ||||||||
South Dakota Health & Educational Facilities Authority, | ||||||||
5.000%, 09/01/2028 (Callable 09/01/2020) | 325,000 | 368,105 | 0.7% | |||||
Tennessee | ||||||||
Knox County Health Educational & Housing Facility Board, | ||||||||
5.000%, 01/01/2026 (Callable 01/01/2023) | 145,000 | 166,901 | ||||||
Tennessee Energy Acquisition Corp., | ||||||||
5.625%, 09/01/2026 | 50,000 | 58,312 | ||||||
225,213 | 0.4% | |||||||
Texas | ||||||||
Bexar Metropolitan Water District, | ||||||||
5.000%, 05/01/2017 | 100,000 | 105,460 | ||||||
County of Williamson TX, | ||||||||
5.000%, 02/15/2027 (Callable 02/15/2024) | 250,000 | 302,338 | ||||||
Crane County Water District, | ||||||||
5.000%, 02/15/2023 | 250,000 | 295,102 | ||||||
Dallas County Flood Control District No 1, | ||||||||
5.000%, 04/01/2017 | 250,000 | 259,510 | ||||||
Harris County Cultural ED FA, | ||||||||
5.000%, 12/01/2035 (Callable 12/01/2022) | 350,000 | 389,672 | ||||||
Harris County Municipal Utility District No. 419, | ||||||||
3.000%, 09/01/2017 (Insured by AGM) | 200,000 | 206,006 | ||||||
Lower Colorado River Authority, | ||||||||
5.000%, 05/15/2023 | 200,000 | 239,198 | ||||||
Mesquite Independent School District, | ||||||||
5.000%, 08/15/2029 (Callable 08/15/2025)(PSF Guaranteed) | 500,000 | 614,320 | ||||||
New Hope Cultural Education Facilities Corp., | ||||||||
4.000%, 04/01/2020 | 225,000 | 235,249 | ||||||
North Texas Tollway Authority, | ||||||||
5.000%, 01/01/2024 | 100,000 | 119,676 | ||||||
Port of Port Arthur Navigation District, | ||||||||
0.270%, 04/01/2040 (Optional Put Date 01/04/2016)(Callable 12/31/2015)(1) | 500,000 | 500,000 | ||||||
Tarrant County Cultural Education Facilities Finance Corp., | ||||||||
2.100%, 11/15/2017 | 200,000 | 199,672 | ||||||
Texas Municipal Gas Acquisition & Supply Corp. III, | ||||||||
5.000%, 12/15/2026 (Callable 12/15/2022) | 190,000 | 213,649 | ||||||
Trophy Club Public Improvement District No. 1, | ||||||||
0.000%, 06/01/2017 (Insured by AGM) | 370,000 | 362,730 | ||||||
Viridian Municipal Management District, | ||||||||
6.000%, 12/01/2035 (Callable 12/01/2024) | 250,000 | 295,348 | ||||||
4,337,930 | 8.5% | |||||||
Utah | ||||||||
Salt Lake County Housing Authority, | ||||||||
1.100%, 02/01/2017 | 125,000 | 125,719 | ||||||
Utah Charter School Finance Authority, | ||||||||
5.000%, 10/15/2035 (Callable 10/15/2025) | 400,000 | 453,184 | ||||||
Utah Housing Corp., | ||||||||
4.000%, 01/01/2045 (Callable 01/01/2026) | 500,000 | 538,825 | ||||||
Utah Transportation Authority, | ||||||||
0.130%, 06/15/2036 (Optional Put Date 01/08/2016)(Callable 06/15/2018)(Insured by AGM)(1) | 100,000 | 100,000 | ||||||
1,217,728 | 2.4% | |||||||
Virgin Islands | ||||||||
Virgin Islands Public Finance Authority: | ||||||||
5.000%, 10/01/2017 | 20,000 | 21,170 | ||||||
5.000%, 09/01/2020 | 400,000 | 451,292 | ||||||
472,462 | 0.9% | |||||||
Virginia | ||||||||
Fredericksburg Economic Development Authority, | ||||||||
1.910%, 08/01/2038 (Callable 08/01/2016)(Mandatory Tender Date 02/01/2017)(1) | 430,000 | 430,262 | 0.8% | |||||
Washington | ||||||||
Central Puget Sound Regional Transit Authority, | ||||||||
0.710%, 11/01/2045 (Callable 05/01/2018)(Mandatory Tender Date 11/01/2018)(1) | 250,000 | 249,927 | 0.5% | |||||
Wisconsin | ||||||||
State of Wisconsin, | ||||||||
5.000%, 05/01/2029 (Callable 05/01/2024) | 350,000 | 419,706 | ||||||
Wisconsin Center District, | ||||||||
5.000%, 12/15/2030 (Callable 12/15/2022) | 395,000 | 442,064 | ||||||
Wisconsin Health & Educational Facilities Authority: | ||||||||
5.000%, 09/01/2018 (Callable 09/01/2017) | 175,000 | 184,900 | ||||||
5.000%, 12/15/2030 (Callable 12/15/2024) | 350,000 | 402,465 | ||||||
5.000%, 09/15/2037 (Callable 09/15/2022) | 250,000 | 265,290 | ||||||
1,714,425 | 3.4% | |||||||
Total Municipal Bonds (Cost $50,070,692) | 50,545,478 | 99.0% | ||||||
Shares | ||||||||
SHORT-TERM INVESTMENT | ||||||||
Money Market Mutual Fund | ||||||||
Goldman Sachs Financial Square Funds, 0.01% « | 701,024 | 701,024 | ||||||
Total Short-Term Investment (Cost $701,024) | 701,024 | 1.4% | ||||||
Total Investments (Cost $50,771,716) | 51,246,502 | 100.4% | ||||||
Liabilities in Excess of Other Assets | (184,093) | (0.4)% | ||||||
TOTAL NET ASSETS | $ 51,062,409 | 100.0% |
Notes to Schedule of Investments | |
AGM | Assured Guaranty Municipal |
AMBAC | Ambac Assurance Corporation |
BHAC | Berkshire Hathaway Assurance Corp. |
PSF | Texas Permanent School Fund |
ETM | Escrowed to Maturity |
Q-SBLF | Qualified School Building Loan Fund |
(1) | Variable or floating rate security. Floating rate securities are securities whose yields vary with a designated index rate. These securities rates are as of December 31, 2015. |
(2) | Auction Rate Security. An Auction Rate Security is a debt instrument with a long nominal maturity for which the interest rate is regularly reset through a Dutch auction. The rate presented is either the rate set through the auction or the maximum interest rate provided for in the security issuance provision. |
« | 7-Day Yield |
[LOGO OMITTED]
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
Board of Directors and Shareholders
Baird Funds, Inc.
We have audited the financial statements of Baird Funds, Inc. (including the Baird LargeCap Fund, Baird MidCap Fund, Baird Small/Mid Cap Value Fund, Baird SmallCap Value Fund, Baird Ultra Short Bond Fund, Baird Short-Term Bond Fund, Baird Short-Term Municipal Bond Fund, Baird Intermediate Bond Fund, Baird Quality Intermediate Municipal Bond Fund (formerly the Baird Intermediate Municipal Bond Fund), Baird Core Intermediate Municipal Bond Fund, Baird Aggregate Bond Fund and Baird Core Plus Bond Fund) (the Funds) as of December 31, 2015, and for the year then ended and have issued our unqualified reports thereon dated February 25, 2016 (which reports and financial statements are included in Item 1 of this Certified Shareholder Report on Form N-CSR). We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Our audits included an audit of Baird Funds, Inc.’s schedules of investments in securities (the Schedules) as of December 31, 2015, appearing in Item 6 of this Form N-CSR. These Schedules are the responsibility of the Funds’ management. Our responsibility is to express an opinion on the Schedules based on our audits.
In our opinion, the Schedules referred to above, when read in conjunction with the financial statements of the Funds referred to above, present fairly, in all material respects, the information set forth therein.
Chicago, Illinois
March 7, 2016
(b) Not applicable
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable to open-end investment companies.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable to open-end investment companies.
Item 9. Purchases of Equity Securities by Closed‑End Management Investment Company and Affiliated Purchasers.
Not applicable to open-end investment companies.
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) | Certifications 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: March 7, 2016
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: March 7, 2016
By: /s/Terrance Maxwell
Terrance Maxwell, Treasurer
Date: March 7, 2016