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, 2017
Date of reporting period: December 31, 2017
Item 1. Reports to Stockholders.
Annual Report –
Baird Funds
December 31, 2017
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 |
2017 Bond Market Overview | 2 |
Baird Ultra Short Bond Fund | 7 |
Baird Short-Term Bond Fund | 17 |
Baird Intermediate Bond Fund | 27 |
Baird Aggregate Bond Fund | 37 |
Baird Core Plus Bond Fund | 46 |
2017 Municipal Bond Market Overview | 55 |
Baird Short-Term Municipal Bond Fund | 59 |
Baird Quality Intermediate Municipal Bond Fund | 72 |
Baird Core Intermediate Municipal Bond Fund | 84 |
Additional Information on Fund Expenses | 97 |
Statements of Assets and Liabilities | 99 |
Statements of Operations | 102 |
Statements of Changes in Net Assets | 105 |
Financial Highlights | 113 |
Notes to the Financial Statements | 129 |
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 |
Additional Information | 150 |
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
March 1, 2018
Dear Shareholder,
2017 proved to be both a challenging and exciting year in the markets as the successful investor needed to navigate through substantial market uncertainty and remain focused on the critical factors that supported a relatively stable bond market. The market’s focus on abundant global liquidity, synchronous global growth with moderate inflation and higher levels of both business and consumer confidence resulted in muted interest rate volatility. This favorable fundamental and technical backdrop helped to contain the 10-year Treasury yield to a relatively narrow 60 bps range in 2017.
The Baird Bond Funds’ risk-conscious strategy generated consistent and attractive results versus capital market benchmarks for the year, reinforcing our belief that our bottom-up investment approach, focused on risk control, remains a prudent path.
As the advisor to the Baird Bond Funds, Baird Advisors continues to focus on four pillars that have guided the team since the launch of the Funds:
• | Generate competitive, risk-controlled returns for our clients over full market cycles. | |
• | Continue to strengthen our long-tenured and seasoned investment group that has built a team-based, collaborative culture. | |
• | Deliver outstanding client service. | |
• | Provide products that are competitively priced. |
Our commitment to these long-term principles, combined with strong alignment with the interests of our investors, helped drive assets under management in the Baird Bond Funds to $41.3 billion at year end.
We greatly value the trust you have placed in us and we remain focused on judicious management of your assets as we navigate through a changing environment in 2018. We sincerely appreciate your confidence in our team and thank you for your continued investment in the Baird Bond Funds.
Sincerely,
Mary Ellen Stanek, CFA
President
Baird Funds
Page 1
2017 Bond Market Overview
(Unaudited)
Synchronous Growth, Benign Inflation, Abundant Liquidity Reduce Market Volatility
One of the key takeaways from 2017 was the impressively calm nature of bonds in an environment of great uncertainty. In this sense, bonds served their intended purpose, but it required discerning investors to separate the relevant market signals from the noise. While the headlines focused on a myriad of topics, including (the lack of) progress on healthcare reform, rising geopolitical tensions, and the alarming string of natural disasters, investors remained focused on three key areas. The first was the synchronous improvement in global growth with little upward pressure on inflation. In fact, inflation, as measured by the Core Personal Consumption Expenditure (PCE) in the U.S. fell to +1.5% on a YoY basis from +1.9% at the start of the year. The second key area was the abundant monetary stimulus provided by global central banks. Despite the three rate hikes by the Fed and beginning to gradually allow bonds to roll off its balance sheet, the Bank of Japan (BOJ) and the European Central Bank (ECB) continued to expand their balance sheets which in total further increased global liquidity. In fact, the Fed, ECB, and BOJ combined own nearly 27% of the global tradable bond universe as measured by the Bloomberg Barclays indices. The third important market influence was President Trump’s business-friendly administration, which kept business and consumer confidence elevated all year, in part due to the rollback of regulation which lowers the cost of doing business, and the passage of tax reform at year end. The result was a relatively stable bond market where the 10-year Treasury traded within a 60 basis points (bps) range for the year, the tightest trading band since at least 2000 (see graph below right). The 10-year yield ended the year very near where it began and served as the fulcrum point for a flattening curve throughout the year. Short rates rose, driven by the gradual yet steady normalization of the federal funds rate, while long-term rates fell. Favorable long end supply/demand technicals enhanced the flattening trend as the Fed ownership of nearly $550 billion (or 33%) of 10+ year Treasury debt minimized the available float while private sector demand for long duration assets remained strong. To illustrate the change, the yield difference between the 2-year and 30-year Treasury narrowed by 87 bps (from +188 bps to +101 bps), a significant change when compared to just 9 bps of flattening that occurred between these two curve segments in 2016.
Treasury Yields
Maturity | 12/31/16 | 9/30/17 | 12/31/17 | ||
1 | 0.81% | 1.29% | 1.73% | ||
2 | 1.19% | 1.48% | 1.88% | ||
3 | 1.45% | 1.61% | 1.97% | ||
5 | 1.93% | 1.92% | 2.21% | ||
7 | 2.25% | 2.16% | 2.33% | ||
10 | 2.44% | 2.33% | 2.41% | ||
30 | 3.07% | 2.86% | 2.74% |
Strong Fundamentals Help Spreads Tighten…
A backdrop of improving growth in the U.S. and abroad helped Investment Grade Corporate spreads tighten 30 bps on the year to +93 bps. Risk was rewarded within this space as BBB-rated companies outperformed higher rated credits. Within corporates, the move tighter was led by the Financial sector which narrowed by 36 bps on improved profitability and strong capital ratios. In the Mortgage and Asset Backed Securities (ABS) Sectors, Agency Pass-throughs was one of the few sectors that widened on the year as the favorable low volatility environment was more than fully offset by the headwinds from higher net supply in the sector. A
Page 2
2017 Bond Market Overview
(Unaudited)
strong housing market boosted issuance, coupled with the official announcement of the gradual wind-down of the Fed’s balance sheet which added to expected supply. In contrast, ABS and Non-Agency CMBS tightened by 24 bps and 15 bps respectively in 2017, thanks to solid fundamentals for consumers and commercial real estate, while both benefited from much lighter issuance than Agency Pass-throughs.
Option-Adjusted Spreads (in bps)
4Q | YTD | ||||
12/31/16 | 9/30/17 | 12/31/17 | Chg | Chg | |
U.S. Aggregate Index | 43 | 38 | 36 | -2 | -7 |
U.S. Agency (non-mortgage) | 21 | 15 | 14 | -1 | -7 |
Mortgage and ABS Sectors | |||||
U.S. Agency Pass-throughs | 15 | 22 | 25 | 3 | 10 |
U.S. Agency CMBS | 47 | 45 | 35 | -10 | -12 |
U.S. Non-Agency CMBS | 93 | 88 | 79 | -9 | -14 |
Asset-Backed Securities | 59 | 44 | 36 | -8 | -23 |
Corporate Sectors | |||||
U.S. Investment Grade | 123 | 101 | 93 | -8 | -30 |
Industrial | 125 | 105 | 98 | -7 | -27 |
Utility | 117 | 100 | 92 | -8 | -25 |
Financial Institutions | 120 | 93 | 85 | -8 | -35 |
U.S. High Yield | 409 | 347 | 343 | -4 | -66 |
Source: Bloomberg Barclays Indices
…And Record Fund Inflows Absorb Robust Corporate Issuance
Record flows into fixed income mutual funds and ETFs also helped drive spreads tighter on the year. Estimated 2017 flows set a record at ~$380B (see chart at right), nearly twice the already strong $190B inflows that occurred in 2016. These strong flows (which still do not fully capture demand from all market participants, such as insurance companies, pensions and foreign investors) provided more than sufficient demand to absorb 2017’s net corporate supply, which at $587B according to Barclays data, declined nearly 14% from the prior year.
Corporates, CMBS Outperform in 2017
Corporate credit (+6.42%) and CMBS (+3.35%) were the top performing investment-grade taxable sectors in 2017 thanks to solid fundamentals and the strong sources of demand outlined above. The rise in short-term interest rates detracted from performance on the front of the curve – as seen in the 1-3 Yr. Gov’t/Credit Index (+0.84%), which delivered some of the lowest overall 2017 returns. High Yield Corporates (+7.50%) finished the year as the strongest performing sector overall as a down-in-quality “risk-on” bias outperformed, moving in tandem with a 20+% rise in U.S. equity markets. Municipals (+5.45%) offered strong tax-exempt returns for the year driven by strong demand. This was in spite of a record-setting $62.5B of issuance in December as municipalities sought to issue bonds before the passage of tax reform took effect in 2018.
Page 3
2017 Bond Market Overview
(Unaudited)
Total Returns of Selected Barclays Indices and Subsectors
Barclays Index/Sector | December | 4th Quarter | 2017 |
U.S. Aggregate Index | 0.46% | 0.39% | 3.54% |
U.S. Gov’t/Credit Index | 0.52% | 0.49% | 4.00% |
U.S. Intermediate Gov’t/Credit Index | 0.11% | -0.20% | 2.14% |
U.S. 1-3 Yr. Gov’t/Credit Index | 0.03% | -0.21% | 0.84% |
U.S. Treasury | 0.31% | 0.05% | 2.31% |
U.S. Agency | 0.12% | -0.02% | 2.06% |
MBS (Mortgage Backed Securities) | 0.33% | 0.15% | 2.47% |
CMBS (Commercial Mortgage Backed Securities) | 0.29% | 0.35% | 3.35% |
ABS (Asset Backed Securities) | 0.02% | -0.01% | 1.55% |
U.S. Corporate – Investment Grade | 0.91% | 1.17% | 6.42% |
Corporate High Yield | 0.30% | 0.47% | 7.50% |
Municipal Bond Index | 1.05% | 0.75% | 5.45% |
TIPS (Treasury Inflation Protected Securities) | 0.92% | 1.26% | 3.01% |
Outlook
In 2018, we expect modest upward pressure on rates and a continuation of the flattening trend for the yield curve. The recently passed “Tax Cuts and Jobs Act” was a significant legislative milestone that should provide some additional strength to an already solidly expanding U.S. economy. Consumers will have more to spend and businesses more to invest in labor and equipment or return to shareholders. We expect economic growth in 2018 that will be closer to 3% than the 2% average of recent years. A slight firming in wages and inflation may also occur, but the countervailing forces of aging demographics and the substitution of labor by technology remain powerful disinflationary influences that should help offset any significant upward pressure. In addition, the improved U.S. economic outlook is matched by expectations of solid and broad-based global growth. Solid U.S. and global economies should allow the Fed to continue normalizing monetary policy throughout the year and the ECB to begin its long, gradual process of normalization. The ECB recently cut in half its monthly asset purchases, from €60B to €30B, with plans to revisit purchase levels in September. In the U.S., although the Fed is undergoing a leadership change in 2018, with the new Chair, Jay Powell, taking over for Janet Yellen at the same time that other members of the FOMC are also in transition, we still expect three federal funds rate increases once again this year, and that the planned reduction in its balance sheet will continue.
From a sector perspective, we continue to favor Investment Grade Corporates and like select areas of the mortgage and asset-backed sectors. Fundamentals for Investment Grade Corporates are favorable, as solid balance sheets and strong earnings trends should continue in 2018. Corporates should also benefit from attractive supply/demand technicals as net issuance declines modestly while demand for yield remains strong. That said, credit spreads among Investment Grade Corporates are largely back to pre-crisis levels, suggesting further gains from additional spread tightening will become more difficult. We are less sanguine about High Yield Corporates, where we find value only selectively as spreads are generally insufficient for the risk. We continue to see risk of spread widening in Agency Pass-throughs as the Fed allows $168B of its Agency MBS paydowns to go uninvested, requiring bonds to clear at private market levels. Instead we favor Agency CMBS which benefits from more cashflow timing certainty and more stable supply/demand technicals. We see good value in Non-Agency RMBS, where new issuance is limited and housing fundamentals are solid. We continue to like senior Non-Agency CMBS structures with superior credit enhancement as well as select short duration asset-backed sectors (e.g. credit cards, prime auto). For further discussion on our 2018 outlook for bond markets, please review our “Lower & Longer” Has Legs white paper.
Page 4
2017 Bond Market Overview
(Unaudited)
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 declines and conversely, in a falling interest rate environment, the value of fixed-income securities generally increases. 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 Bloomberg 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.
The Bloomberg 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 Bloomberg 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 Bloomberg 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 Bloomberg 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 Bloomberg Barclays CMBS ERISA-Eligible Index is the ERISA-eligible component of the Bloomberg 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.
Page 5
2017 Bond Market Overview
(Unaudited)
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 Bloomberg 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, 144As and, as of October 1, 2009, pay-in-kinds (PIKs) are also included.
The Bloomberg 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 Bloomberg 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.
Ratings are measured on a scale that ranges from AAA or Aaa (highest) to D or C (lowest). Investment grade investments are those rated from highest down to BBB- or Baa3.
Page 6
Baird Ultra Short Bond Fund
December 31, 2017 (Unaudited)
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 Bloomberg Barclays U.S. Short-Term Government/Corporate Index. The Bloomberg 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.
During a challenging 2017, the Fund generated strong absolute returns and outperformed its benchmark. 2017 will be remembered as a year of relative calm for the bond markets in a sea of uncertainty, including the lack of progress on healthcare reform, rising geopolitical tensions, and the alarming string of natural disasters that occurred during the year. In this sense, bonds served their intended purpose, but it required discerning investors to separate the relevant market signals from the noise. Our long-term commitment and strict adherence to a risk-controlled, duration neutral approach overseen by a seasoned team of investment professionals with uncommon longevity working together through multiple market cycles once again proved to be a prudent strategy during this period of heightened uncertainty.
The primary factors contributing to the Fund’s strong absolute and relative performance in 2017 include:
• | Overweight to investment grade credit | ||
o | Overweight to BBB-rated credit | ||
o | Overweight to Financials | ||
• | Exposure to Non-Agency RMBS and ABS |
We expect a near-term cyclical boost in economic growth and also likely in wages, thanks in part to the fiscal stimulus provided by the recently passed tax legislation. Offsetting this cyclical improvement are long-term secular trends, such as aging demographics and the substitution of labor for technology, which are likely to limit the upward pressure on wages. Corporate credit fundamentals are solid to improving, and supply/demand technicals also look favorable for 2018, but already narrow credit spreads limit further room to tighten. We look for Non-Agency RMBS and both Agency and Non-Agency CMBS to outperform Treasuries in 2018. As a reminder, we only purchase 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 7
Baird Ultra Short Bond Fund
December 31, 2017 (Unaudited)
Portfolio Characteristics
Quality Distribution(1)(2)
Net Assets | $539,547,196 | ||||
SEC 30-Day | |||||
Yield(3) | |||||
Institutional Class | |||||
(after waivers) | 1.68% | ||||
Institutional Class | |||||
(before waivers) | 1.53% | ||||
Investor Class | |||||
(after waivers) | 1.41% | ||||
Investor Class | |||||
(before waivers) | 1.26% | ||||
Average | |||||
Effective | |||||
Duration | 0.43 years | ||||
Sector Weightings(1) | Average | ||||
Effective | |||||
Maturity | 0.78 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 | 82.8% | ||||
Number of | |||||
Holdings | 248 | ||||
(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, 2017. |
(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, 2019. 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 8
Baird Ultra Short Bond Fund
December 31, 2017 (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 9
Baird Ultra Short Bond Fund
December 31, 2017 (Unaudited)
Total Returns
Average Annual | |||
One | Three | Since | |
For the Periods Ended December 31, 2017 | Year | Years | Inception(1) |
Institutional Class Shares | 1.30% | 1.05% | 1.09% |
Investor Class Shares | 1.05% | 0.84% | 0.85% |
Bloomberg Barclays U.S. Short-Term | |||
Government/Corporate Index(2) | 0.98% | 0.68% | 0.55% |
(1) | For the period from December 31, 2013 (inception date) through December 31, 2017. |
(2) | The Bloomberg 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 10
Baird Ultra Short Bond Fund
Summary Schedule of Investments, December 31, 2017
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.bairdassetmanagement.com/baird‐funds/funds-and-performance#Literature 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: | ||||||||||||
1.000%, 05/15/2018 | $ | 58,200,000 | $ | 58,118,156 | 10.8 | % | ||||||
1.250%, 12/15/2018 | 57,000,000 | 56,701,641 | 10.5 | % | ||||||||
Total U.S. Treasury Securities | ||||||||||||
(Cost $115,013,671) | 114,819,797 | 21.3 | % | |||||||||
Corporate Bonds | ||||||||||||
Industrials | ||||||||||||
AbbVie, Inc., | ||||||||||||
1.800%, 05/14/2018 | 3,500,000 | 3,498,287 | 0.6 | % | ||||||||
Alimentation Couche-Tard, Inc., | ||||||||||||
2.074%, 12/13/2019 | ||||||||||||
(3 Month LIBOR USD + 0.500%)(1)(2)(3) | 3,500,000 | 3,502,131 | 0.7 | % | ||||||||
AT&T, Inc.: | ||||||||||||
1.750%-5.600%, 01/15/2018-06/30/2020 | 5,840,000 | 5,876,018 | 1.1 | % | ||||||||
CVS Health Corp., | ||||||||||||
1.900%, 07/20/2018 | 3,700,000 | 3,698,885 | 0.7 | % | ||||||||
EI du Pont de Nemours & Co., | ||||||||||||
1.907%, 05/01/2020 | ||||||||||||
(3 Month LIBOR USD + 0.530%)(3) | 5,000,000 | 5,031,404 | 0.9 | % | ||||||||
Enbridge Energy Partners LP, | ||||||||||||
6.500%, 04/15/2018 | 4,000,000 | 4,053,008 | 0.8 | % | ||||||||
ERAC USA Finance LLC, | ||||||||||||
2.800%, 11/01/2018(2) | 4,325,000 | 4,345,370 | 0.8 | % | ||||||||
Fresenius Medical Care US Finance II, Inc., | ||||||||||||
6.500%, 09/15/2018(2) | 3,000,000 | 3,093,327 | 0.6 | % | ||||||||
Harris Corp., | ||||||||||||
1.999%, 04/27/2018 | 4,000,000 | 3,995,820 | 0.7 | % | ||||||||
Hyundai Capital America, Inc., | ||||||||||||
2.493%, 04/03/2020 | ||||||||||||
(3 Month LIBOR USD + 0.800%)(2)(3) | 3,000,000 | 2,995,551 | 0.6 | % | ||||||||
Kinder Morgan Finance Co. LLC, | ||||||||||||
6.000%, 01/15/2018(2) | 3,725,000 | 3,731,549 | 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, 2017
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
Lockheed Martin Corp., | ||||||||||||
1.850%, 11/23/2018 | $ | 4,000,000 | $ | 3,995,118 | 0.7 | % | ||||||
Martin Marietta Materials, Inc., | ||||||||||||
2.125%, 12/20/2019 | ||||||||||||
(3 Month LIBOR USD + 0.500%)(3) | 4,500,000 | 4,507,330 | 0.8 | % | ||||||||
Medco Health Solutions, Inc., | ||||||||||||
7.125%, 03/15/2018 | 3,308,000 | 3,341,433 | 0.6 | % | ||||||||
Mylan, Inc., | ||||||||||||
2.600%, 06/24/2018 | 4,000,000 | 4,006,646 | 0.7 | % | ||||||||
Pentair Finance SA, | ||||||||||||
2.900%, 09/15/2018(1) | 3,957,000 | 3,972,570 | 0.7 | % | ||||||||
Phillips 66, | ||||||||||||
2.109%, 04/15/2020 | ||||||||||||
(3 Month LIBOR USD + 0.750%)(2)(3) | 3,000,000 | 3,003,163 | 0.6 | % | ||||||||
Republic Services, Inc., | ||||||||||||
3.800%, 05/15/2018 | 4,000,000 | 4,027,655 | 0.8 | % | ||||||||
Rogers Communications, Inc., | ||||||||||||
6.800%, 08/15/2018(1) | 3,200,000 | 3,294,011 | 0.6 | % | ||||||||
Roper Technologies, Inc., | ||||||||||||
2.050%, 10/01/2018 | 3,573,000 | 3,572,623 | 0.7 | % | ||||||||
Seagate HDD Cayman, | ||||||||||||
3.750%, 11/15/2018(1) | 3,000,000 | 3,043,500 | 0.6 | % | ||||||||
Teva Pharmaceutical Finance Netherlands III BV, | ||||||||||||
1.400%, 07/20/2018(1) | 4,500,000 | 4,470,042 | 0.8 | % | ||||||||
Thermo Fisher Scientific, Inc., | ||||||||||||
2.150%, 12/14/2018 | 4,000,000 | 4,005,492 | 0.7 | % | ||||||||
Other Industrials(5)(6) | 66,674,776 | 12.4 | % | |||||||||
Total Industrials | ||||||||||||
(Cost $155,718,870) | 155,735,709 | 28.9 | % | |||||||||
Utilities | ||||||||||||
National Rural Utilities Cooperative Finance Corp., | ||||||||||||
10.375%, 11/01/2018 | 4,000,000 | 4,273,297 | 0.8 | % | ||||||||
PSEG Power LLC, | ||||||||||||
2.450%, 11/15/2018 | 3,000,000 | 3,007,581 | 0.5 | % | ||||||||
Other Utilities(5)(6) | 6,387,344 | 1.2 | % | |||||||||
Total Utilities | ||||||||||||
(Cost $13,688,191) | 13,668,222 | 2.5 | % | |||||||||
Financials | ||||||||||||
ABN AMRO Bank NV, | ||||||||||||
1.994%, 01/18/2019 | ||||||||||||
(3 Month LIBOR USD + 0.640%)(1)(2)(3) | 4,500,000 | 4,518,585 | 0.8 | % | ||||||||
Bank of America Corp., | ||||||||||||
6.875%, 04/25/2018 | 3,000,000 | 3,045,832 | 0.6 | % | ||||||||
Bank of Nova Scotia, | ||||||||||||
2.050%, 10/30/2018(1) | 3,500,000 | 3,503,487 | 0.6 | % |
The accompanying notes are an integral part of these financial statements.
Page 12
Baird Ultra Short Bond Fund
Summary Schedule of Investments, December 31, 2017
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
Barclays PLC, | ||||||||||||
2.000%, 03/16/2018(1) | $ | 3,900,000 | $ | 3,900,023 | 0.7 | % | ||||||
BPCE SA, | ||||||||||||
1.625%, 01/26/2018(1) | 3,000,000 | 2,999,100 | 0.6 | % | ||||||||
Citigroup, Inc., | ||||||||||||
1.700%, 04/27/2018 | 3,000,000 | 2,997,014 | 0.6 | % | ||||||||
Jefferies Group LLC, | ||||||||||||
5.125%, 04/13/2018 | 3,250,000 | 3,276,647 | 0.6 | % | ||||||||
KEB Hana Bank, | ||||||||||||
2.059%, 04/05/2020 | ||||||||||||
(3 Month LIBOR USD + 0.730%)(1)(2)(3) | 3,000,000 | 2,996,970 | 0.6 | % | ||||||||
LeasePlan Corp. NV, | ||||||||||||
2.500%, 05/16/2018(1)(2) | 4,000,000 | 4,000,467 | 0.7 | % | ||||||||
National Bank of Canada, | ||||||||||||
2.109%, 06/12/2020 | ||||||||||||
(3 Month LIBOR USD + 0.560%)(1)(3) | 4,000,000 | 4,026,150 | 0.7 | % | ||||||||
Skandinaviska Enskilda Banken AB, | ||||||||||||
2.375%, 11/20/2018(1)(2) | 3,000,000 | 3,005,769 | 0.6 | % | ||||||||
Other Financials(5)(6) | 79,540,642 | 14.7 | % | |||||||||
Total Financials | ||||||||||||
(Cost $117,674,014) | 117,810,686 | 21.8 | % | |||||||||
Total Corporate Bonds | ||||||||||||
(Cost $287,081,075) | 287,214,617 | 53.2 | % | |||||||||
Taxable Municipal Bonds | ||||||||||||
Other Taxable Municipal Bonds(6) | 1,513,171 | 0.3 | % | |||||||||
Total Taxable Municipal Bonds | ||||||||||||
(Cost $1,514,519) | 1,513,171 | 0.3 | % | |||||||||
Residential Mortgage-Backed Securities | ||||||||||||
U.S. Government Agency Issues | ||||||||||||
Other U.S. Government Agency Issues(6) | 468,421 | 0.1 | % | |||||||||
Total U.S. Government Agency Issues | ||||||||||||
(Cost $464,132) | 468,421 | 0.1 | % | |||||||||
Non-U.S. Government Agency Issues | ||||||||||||
Other Non-U.S. Government Agency Issues(5)(6) | 29,122,501 | 5.4 | % | |||||||||
Total Non-U.S. Government Agency Issues | ||||||||||||
(Cost $29,005,676) | 29,122,501 | 5.4 | % | |||||||||
Commercial Mortgage-Backed Securities | ||||||||||||
U.S. Government Agency Issues | ||||||||||||
Other U.S. Government Agency Issues(6) | 2,371,634 | 0.4 | % | |||||||||
Total U.S. Government Agency Issues | ||||||||||||
(Cost $2,371,162) | 2,371,634 | 0.4 | % |
The accompanying notes are an integral part of these financial statements.
Page 13
Baird Ultra Short Bond Fund
Summary Schedule of Investments, December 31, 2017
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
Other Asset Backed Securities | ||||||||||||
Bank of The West Auto Trust, | ||||||||||||
Series 2014-1, Class A4, 1.650%, 03/16/2020(2) | $ | 3,158,264 | $ | 3,156,661 | 0.6 | % | ||||||
Barclays Dryrock Issuance Trust, | ||||||||||||
Series 2015-2, Class A, 1.560%, 03/15/2021 | 3,000,000 | 2,997,702 | 0.6 | % | ||||||||
Chase Issuance Trust, | ||||||||||||
Series 2013-A1, Class A1, 1.300%, 02/18/2020 | 4,135,000 | 4,132,672 | 0.8 | % | ||||||||
Chesapeake Funding II LLC, | ||||||||||||
Series 2016-2A, Class A1, 1.880%, 06/15/2028(2) | 3,962,419 | 3,954,872 | 0.7 | % | ||||||||
Citibank Credit Card Issuance Trust: | ||||||||||||
Series 2008-A1, Class A1, 5.350%, 02/07/2020 | 4,500,000 | 4,516,265 | 0.8 | % | ||||||||
Series 2014-A8, Class A8, 1.730%, 04/09/2020 | 4,000,000 | 4,000,000 | 0.7 | % | ||||||||
First National Master Note Trust, | ||||||||||||
Series 2017-1, Class A, 1.877%, 04/18/2022 | ||||||||||||
(1 Month LIBOR USD + 0.400%)(3) | 4,150,000 | 4,156,922 | 0.8 | % | ||||||||
GM Financial Automobile Leasing Trust, | ||||||||||||
Series 2017-1A, Class A2A, 1.510%, 03/16/2020(2) | 4,761,581 | 4,754,374 | 0.9 | % | ||||||||
MMAF Equipment Finance LLC, | ||||||||||||
Series 2013-AA, Class A4, 1.680%, 05/11/2020(2) | 2,974,340 | 2,973,297 | 0.6 | % | ||||||||
Nissan Auto Lease Trust, | ||||||||||||
Series 2017-A, Class A2A, 1.640%, 09/16/2019 | 3,625,000 | 3,615,854 | 0.7 | % | ||||||||
Nissan Auto Receivables Owner Trust, | ||||||||||||
Series 2017-B, Class A2A, 1.560%, 05/15/2020 | 3,250,000 | 3,240,545 | 0.6 | % | ||||||||
Santander Retail Auto Lease Trust, | ||||||||||||
Series 2017-A, Class A2A, 2.020%, 03/20/2020(2) | 4,000,000 | 3,993,255 | 0.7 | % | ||||||||
World Financial Network Credit Card Master Trust, | ||||||||||||
Series 2012-C, Class A, 2.230%, 08/15/2022 | 5,000,000 | 5,009,232 | 0.9 | % | ||||||||
Other Asset Backed Securities(5)(6) | 44,869,057 | 8.3 | % | |||||||||
Total Other Asset Backed Securities | ||||||||||||
(Cost $95,482,164) | 95,370,708 | 17.7 | % | |||||||||
Total Long-Term Investments | ||||||||||||
(Cost $530,932,399) | 530,880,849 | 98.4 | % |
The accompanying notes are an integral part of these financial statements.
Page 14
Baird Ultra Short Bond Fund
Summary Schedule of Investments, December 31, 2017
Short-Term Investment
% of | ||||||||||||
Shares | Value | Net Assets | ||||||||||
Money Market Mutual Fund | ||||||||||||
Fidelity Institutional Money Market Fund – | ||||||||||||
Government Portfolio, Institutional Class, 1.19%(4) | 5,520,721 | $ | 5,520,721 | 1.0 | % | |||||||
Total Short-Term Investment | ||||||||||||
(Cost $5,520,721) | 5,520,721 | 1.0 | % | |||||||||
Total Investments | ||||||||||||
(Cost $536,453,120) | 536,401,570 | 99.4 | % | |||||||||
Other Assets in Excess of Liabilities | 3,145,626 | 0.6 | % | |||||||||
TOTAL NET ASSETS | $ | 539,547,196 | 100.0 | % |
Notes to Summary Schedule of Investments
(1) | Foreign Security. |
(2) | Security as defined in Rule 144A 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, 2017, the value of these securities total $54,025,341, which represents 10.01% of total net assets. |
(3) | Variable rate security based on a reference index and spread. The rate reported is the rate in effect as of December 31, 2017. |
(4) | 7-Day Yield. |
(5) | Groupings contain, in aggregate, securities defined in Rule 144A under the Securities Act of 1933 totaling $48,793,990, representing 9.05% of net assets. |
(6) | Represents the aggregate value, by category, of securities that are not among the 50 largest holdings and, in total for any issuer, represent 1% or less of net assets. |
Summary of Fair Value Exposure at December 31, 2017
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 15
Baird Ultra Short Bond Fund
Summary Schedule of Investments, December 31, 2017
Summary of Fair Value Exposure at December 31, 2017 (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, 2017:
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Long-Term Investments | ||||||||||||||||
U.S. Treasury Securities | $ | — | $ | 114,819,797 | $ | — | $ | 114,819,797 | ||||||||
Corporate Bonds | — | 287,214,617 | — | 287,214,617 | ||||||||||||
Taxable Municipal Bonds | — | 1,513,171 | — | 1,513,171 | ||||||||||||
Residential Mortgage-Backed Securities – | ||||||||||||||||
U.S. Government Agency Issues | — | 468,421 | — | 468,421 | ||||||||||||
Residential Mortgage-Backed Securities – | ||||||||||||||||
Non-U.S. Government Agency Issues | — | 29,122,501 | — | 29,122,501 | ||||||||||||
Commercial Mortgage-Backed Securities – | ||||||||||||||||
U.S. Government Agency Issues | — | 2,371,634 | — | 2,371,634 | ||||||||||||
Other Asset Backed Securities | — | 95,370,708 | — | 95,370,708 | ||||||||||||
Total Long-Term Investments | — | 530,880,849 | — | 530,880,849 | ||||||||||||
Short-Term Investment | ||||||||||||||||
Money Market Mutual Fund | 5,520,721 | — | — | 5,520,721 | ||||||||||||
Total Short-Term Investment | 5,520,721 | — | — | 5,520,721 | ||||||||||||
Total Investments | $ | 5,520,721 | $ | 530,880,849 | $ | — | $ | 536,401,570 |
Changes in valuation techniques may result in transfers into or out of assigned levels within the fair value hierarchy. Transfers between levels are recognized at the end of the reporting period. 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 16
Baird Short-Term Bond Fund
December 31, 2017 (Unaudited)
The Baird Short-Term Bond Fund seeks an annual rate of total return, before Fund expenses, greater than the annual rate of total return of the Bloomberg Barclays 1-3 Year U.S. Government/Credit Bond Index. The Bloomberg 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.
During a challenging 2017, the Fund generated strong absolute returns and outperformed its benchmark. 2017 will be remembered as a year of relative calm for the bond markets in a sea of uncertainty, including the lack of progress on healthcare reform, rising geopolitical tensions, and the alarming string of natural disasters that occurred during the year. In this sense, bonds served their intended purpose, but it required discerning investors to separate the relevant market signals from the noise. Our long-term commitment and strict adherence to a risk-controlled, duration neutral approach overseen by a seasoned team of investment professionals with uncommon longevity working together through multiple market cycles once again proved to be a prudent strategy during this period of heightened uncertainty.
The primary factors contributing to the Fund’s strong absolute and relative performance in 2017 include:
• | Overweight to investment grade credit | ||
o | Overweight to BBB-rated credit | ||
o | Overweight to Financials | ||
• | Yield curve positioning that benefitted from a flatter yield curve | ||
• | Exposure to Non-Agency RMBS and ABS | ||
• | Exposure to CMBS (Non-Agency and Agency) |
We expect a near-term cyclical boost in economic growth and also likely in wages, thanks in part to the fiscal stimulus provided by the recently passed tax legislation. Offsetting this cyclical improvement are long-term secular trends, such as aging demographics and the substitution of labor for technology, which are likely to limit the upward pressure on wages. Corporate credit fundamentals are solid to improving, and supply/demand technicals also look favorable for 2018, but already narrow credit spreads limit further room to tighten. We look for Non-Agency RMBS and both Agency and Non-Agency CMBS to outperform Treasuries in 2018. As a reminder, we only purchase 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 17
Baird Short-Term Bond Fund
December 31, 2017 (Unaudited)
Portfolio Characteristics
Quality Distribution(1)(2)
Net Assets | $5,534,668,188 | ||||
SEC 30-Day | |||||
Yield(3) | |||||
Institutional Class | 2.07% | ||||
Investor Class | 1.82% | ||||
Average | |||||
Effective | |||||
Duration | 1.91 years | ||||
Average | |||||
Effective | |||||
Maturity | 2.11 years | ||||
Annualized | |||||
Expense | |||||
Sector Weightings(1) | Ratio(4) | ||||
Institutional Class | 0.30% | ||||
Investor Class | 0.55% | (5) | |||
Portfolio | |||||
Turnover Rate | 55.3% | ||||
Number of | |||||
Holdings | 588 | ||||
�� | |||||
(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, 2017. |
(4) | Reflects expense ratios as stated in the Fund’s current prospectus. |
(5) | Includes 0.25% 12b-1 fee. |
Page 18
Baird Short-Term Bond Fund
December 31, 2017 (Unaudited)
Institutional Class
Value of a $25,000 Investment
Growth of a hypothetical investment of $25,000 made on 12/31/07, 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 19
Baird Short-Term Bond Fund
December 31, 2017 (Unaudited)
Total Returns
Average Annual | |||||
Since | Since | ||||
One | Five | Ten | Inception | Inception | |
For the Periods Ended December 31, 2017 | Year | Years | Years | (8/31/04) | (9/19/12) |
Institutional Class Shares | 1.53% | 1.50% | 2.42% | 2.76% | N/A |
Investor Class Shares | 1.28% | 1.25% | N/A | N/A | 1.32% |
Bloomberg Barclays 1-3 Year U.S. | |||||
Government/Credit Bond Index(1) | 0.84% | 0.84% | 1.85% | 2.35% | 0.84% |
(1) | The Bloomberg 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 20
Baird Short-Term Bond Fund
Summary Schedule of Investments, December 31, 2017
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.bairdassetmanagement.com/baird-funds/funds-and-performance#Literature 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: | ||||||||||||
1.625%, 08/31/2019 | $ | 162,750,000 | $ | 162,088,828 | 2.9 | % | ||||||
1.375%, 08/31/2020 | 836,075,000 | 823,860,463 | 14.9 | % | ||||||||
1.125%, 09/30/2021 | 173,000,000 | 166,924,726 | 3.0 | % | ||||||||
Total U.S. Treasury Securities | ||||||||||||
(Cost $1,160,911,195) | 1,152,874,017 | 20.8 | % | |||||||||
Other Government Related Securities | ||||||||||||
Japan Bank for International Cooperation, | ||||||||||||
2.125%, 07/21/2020(1) | 20,900,000 | 20,740,353 | 0.4 | % | ||||||||
Other Government Related Securities(6)(7) | 54,911,088 | 1.0 | % | |||||||||
Total Other Government Related Securities | ||||||||||||
(Cost $75,764,669) | 75,651,441 | 1.4 | % | |||||||||
Corporate Bonds | ||||||||||||
Industrials | ||||||||||||
Broadcom Corp. / Broadcom Cayman Finance Ltd., | ||||||||||||
2.375%, 01/15/2020(2) | 27,000,000 | 26,817,403 | 0.5 | % | ||||||||
Cenovus Energy, Inc., | ||||||||||||
5.700%, 10/15/2019(1) | 20,000,000 | 21,036,000 | 0.4 | % | ||||||||
CK Hutchison International Ltd., | ||||||||||||
2.250%, 09/29/2020(1)(2) | 20,000,000 | 19,805,385 | 0.4 | % | ||||||||
Conagra Brands, Inc., | ||||||||||||
1.857%, 10/09/2020 | ||||||||||||
(3 Month LIBOR USD + 0.500%)(3) | 20,000,000 | 20,031,800 | 0.4 | % | ||||||||
Diamond 1 Finance Corp. / Diamond 2 Finance Corp., | ||||||||||||
3.480%, 06/01/2019(2) | 19,135,000 | 19,374,712 | 0.3 | % | ||||||||
DXC Technology Co., | ||||||||||||
2.875%, 03/27/2020 | 23,714,000 | 23,829,358 | 0.4 | % | ||||||||
ERAC USA Finance LLC, | ||||||||||||
2.350%, 10/15/2019(2) | 19,000,000 | 18,945,781 | 0.3 | % | ||||||||
Fresenius Medical Care US Finance II, Inc., | ||||||||||||
4.125%, 10/15/2020(2) | 19,325,000 | 19,904,750 | 0.4 | % |
The accompanying notes are an integral part of these financial statements.
Page 21
Baird Short-Term Bond Fund
Summary Schedule of Investments, December 31, 2017
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
HCA, Inc., | ||||||||||||
6.500%, 02/15/2020 | $ | 17,000,000 | $ | 18,020,000 | 0.3 | % | ||||||
Keysight Technologies, Inc., | ||||||||||||
3.300%, 10/30/2019 | 28,625,000 | 28,895,854 | 0.5 | % | ||||||||
Molex Electronic Technologies LLC, | ||||||||||||
2.878%, 04/15/2020(2) | 25,115,000 | 25,120,490 | 0.4 | % | ||||||||
Newell Brands, Inc., | ||||||||||||
3.150%, 04/01/2021 | 24,283,000 | 24,554,672 | 0.4 | % | ||||||||
Nissan Motor Acceptance Corp., | ||||||||||||
2.150%, 07/13/2020(2) | 20,000,000 | 19,847,231 | 0.4 | % | ||||||||
NXP BV / NXP Funding LLC, | ||||||||||||
3.750%, 06/01/2018(1)(2) | 18,215,000 | 18,324,290 | 0.3 | % | ||||||||
Petrofac Ltd., | ||||||||||||
3.400%, 10/10/2018(1)(2) | 20,050,000 | 19,849,500 | 0.4 | % | ||||||||
Republic Services, Inc., | ||||||||||||
3.800%, 05/15/2018 | 20,175,000 | 20,314,484 | 0.4 | % | ||||||||
Vale Overseas Ltd., | ||||||||||||
5.875%, 06/10/2021(1) | 25,594,000 | 27,871,866 | 0.5 | % | ||||||||
Verisk Analytics, Inc., | ||||||||||||
4.875%, 01/15/2019 | 19,150,000 | 19,609,441 | 0.4 | % | ||||||||
Verizon Communications, Inc., | ||||||||||||
2.946%, 03/15/2022 | 23,880,000 | 24,025,455 | 0.4 | % | ||||||||
Westlake Chemical Corp., | ||||||||||||
4.625%, 02/15/2021 | 20,000,000 | 20,500,000 | 0.4 | % | ||||||||
Zimmer Holdings, Inc., | ||||||||||||
2.700%, 04/01/2020 | 27,610,000 | 27,623,420 | 0.5 | % | ||||||||
Other Industrials(6)(7) | 1,230,436,217 | 22.2 | % | |||||||||
Total Industrials | ||||||||||||
(Cost $1,699,660,381) | 1,694,738,109 | 30.6 | % | |||||||||
Utilities | ||||||||||||
Other Utilities(6)(7) | 96,521,827 | 1.8 | % | |||||||||
Total Utilities | ||||||||||||
(Cost $96,724,728) | 96,521,827 | 1.8 | % | |||||||||
Financials | ||||||||||||
ABN AMRO Bank NV, | ||||||||||||
2.100%, 01/18/2019(1)(2) | 18,000,000 | 17,976,456 | 0.3 | % | ||||||||
American International Group, Inc., | ||||||||||||
6.400%, 12/15/2020 | 16,900,000 | 18,735,662 | 0.3 | % | ||||||||
Banque Federative du Credit Mutuel SA, | ||||||||||||
2.000%, 04/12/2019(1)(2) | 18,600,000 | 18,531,505 | 0.3 | % | ||||||||
Canadian Imperial Bank of Commerce, | ||||||||||||
1.600%, 09/06/2019(1) | 20,000,000 | 19,793,881 | 0.4 | % | ||||||||
Jackson National Life Global Funding, | ||||||||||||
2.200%, 01/30/2020(2) | 24,125,000 | 24,038,903 | 0.4 | % |
The accompanying notes are an integral part of these financial statements.
Page 22
Baird Short-Term Bond Fund
Summary Schedule of Investments, December 31, 2017
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
National Australia Bank Ltd., | ||||||||||||
2.250%, 01/10/2020(1) | $ | 24,600,000 | $ | 24,575,499 | 0.4 | % | ||||||
National Bank of Canada, | ||||||||||||
2.150%, 06/12/2020(1) | 23,525,000 | 23,391,354 | 0.4 | % | ||||||||
Principal Life Global Funding II, | ||||||||||||
2.150%, 01/10/2020(2) | 19,100,000 | 19,025,077 | 0.3 | % | ||||||||
Stifel Financial Corp., | ||||||||||||
3.500%, 12/01/2020 | 18,873,000 | 19,021,280 | 0.3 | % | ||||||||
Sumitomo Mitsui Trust Bank Ltd., | ||||||||||||
2.050%, 03/06/2019(1)(2) | 22,400,000 | 22,341,963 | 0.4 | % | ||||||||
Other Financials(6)(7) | 1,156,350,867 | 21.1 | % | |||||||||
Total Financials | ||||||||||||
(Cost $1,366,380,298) | 1,363,782,447 | 24.6 | % | |||||||||
Total Corporate Bonds | ||||||||||||
(Cost $3,162,765,407) | 3,155,042,383 | 57.0 | % | |||||||||
Taxable Municipal Bonds | ||||||||||||
County of Sonoma CA, | ||||||||||||
5.070%, 12/01/2022 | 20,910,000 | 22,252,004 | 0.4 | % | ||||||||
State of Illinois, | ||||||||||||
5.000%, 06/01/2019 | 19,000,000 | 19,584,630 | 0.3 | % | ||||||||
Other Taxable Municipal Bonds(7) | 81,593,762 | 1.5 | % | |||||||||
Total Taxable Municipal Bonds | ||||||||||||
(Cost $124,107,119) | 123,430,396 | 2.2 | % | |||||||||
Residential Mortgage-Backed Securities | ||||||||||||
Towd Point Mortgage Trust, | ||||||||||||
Series 2017-3, Class A1, 2.750%, 07/25/2057(2)(4) | 19,271,682 | 19,240,402 | 0.3 | % | ||||||||
Other Residential Mortgage-Backed Securities(6)(7)(8) | 196,541,584 | 3.6 | % | |||||||||
Total Residential Mortgage-Backed Securities | ||||||||||||
(Cost $214,687,250) | 215,781,986 | 3.9 | % | |||||||||
Commercial Mortgage-Backed Securities | ||||||||||||
U.S. Government Agency Issues | ||||||||||||
Freddie Mac Multifamily Structured | ||||||||||||
Pass Through Certificates: | ||||||||||||
Series K008, Class A2, 3.531%, 06/25/2020 | 27,325,000 | 28,069,920 | 0.5 | % | ||||||||
Series K504, Class A2, 2.566%, 09/25/2020(4) | 20,650,000 | 20,788,884 | 0.4 | % | ||||||||
2.323%-4.333%, 10/25/2018-04/25/2021 | 51,030,306 | 52,970,776 | 0.9 | % | ||||||||
Total U.S. Government Agency Issues | ||||||||||||
(Cost $102,059,879) | 101,829,580 | 1.8 | % |
The accompanying notes are an integral part of these financial statements.
Page 23
Baird Short-Term Bond Fund
Summary Schedule of Investments, December 31, 2017
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
Non-U.S. Government Agency Issues | ||||||||||||
COMM Mortgage Trust, | ||||||||||||
Series 2012-CR1, Class ASB, 3.053%, 05/15/2045 | $ | 23,359,569 | $ | 23,667,313 | 0.4 | % | ||||||
J.P. Morgan Chase Commercial | ||||||||||||
Mortgage Securities Trust, | ||||||||||||
Series 2011-C5, Class A3, 4.171%, 08/15/2046 | 19,449,174 | 20,372,179 | 0.4 | % | ||||||||
Other Non-U.S. Government Agency Issues(7) | 62,744,968 | 1.2 | % | |||||||||
Total Non-U.S. Government Agency Issues | ||||||||||||
(Cost $108,020,941) | 106,784,460 | 2.0 | % | |||||||||
Other Asset Backed Securities | ||||||||||||
American Express Credit Account Master Trust, | ||||||||||||
Series 2017-1, Class A, 1.930%, 09/15/2022 | 18,450,000 | 18,365,017 | 0.3 | % | ||||||||
Capital One Multi-Asset Execution Trust, | ||||||||||||
Series 2017-A4, Class A4, 1.990%, 07/17/2023 | 23,500,000 | 23,351,457 | 0.4 | % | ||||||||
Chesapeake Funding II LLC, | ||||||||||||
Series 2017-2A, Class A1, 1.990%, 05/15/2029(2) | 29,965,000 | 29,868,618 | 0.5 | % | ||||||||
Citibank Credit Card Issuance Trust, | ||||||||||||
Series 2017-A3, Class A3, 1.920%, 04/07/2022 | 33,225,000 | 33,017,739 | 0.7 | % | ||||||||
Discover Card Execution Note Trust, | ||||||||||||
Series 2016-A4, Class A4, 1.390%, 03/15/2022 | 19,075,000 | 18,840,835 | 0.3 | % | ||||||||
GM Financial Automobile Leasing Trust, | ||||||||||||
Series 2017-2, Class A3, 2.020%, 09/21/2020 | 19,425,000 | 19,367,603 | 0.3 | % | ||||||||
Mercedes-Benz Auto Lease Trust, | ||||||||||||
Series 2016-B, Class A3, 1.350%, 08/15/2019 | 18,800,000 | 18,736,086 | 0.3 | % | ||||||||
Verizon Owner Trust, | ||||||||||||
Series 2016-2A, Class A, 1.680%, 05/20/2021(2) | 22,750,000 | 22,594,365 | 0.5 | % | ||||||||
Other Asset Backed Securities(6)(7) | 347,512,100 | 6.3 | % | |||||||||
Total Other Asset Backed Securities | ||||||||||||
(Cost $533,875,099) | 531,653,820 | 9.6 | % | |||||||||
Total Long-Term Investments | ||||||||||||
(Cost $5,482,191,559) | 5,463,048,083 | 98.7 | % |
The accompanying notes are an integral part of these financial statements.
Page 24
Baird Short-Term Bond Fund
Summary Schedule of Investments, December 31, 2017
Short-Term Investment
% of | ||||||||||||
Shares | Value | Net Assets | ||||||||||
Money Market Mutual Fund | ||||||||||||
Fidelity Institutional Money Market Fund – | ||||||||||||
Government Portfolio, Institutional Class, 1.19%(5) | 79,859,268 | $ | 79,859,268 | 1.4 | % | |||||||
Total Short-Term Investment | ||||||||||||
(Cost $79,859,268) | 79,859,268 | 1.4 | % | |||||||||
Total Investments | ||||||||||||
(Cost $5,562,050,827) | 5,542,907,351 | 100.1 | % | |||||||||
Liabilities in Excess of Other Assets | (8,239,163 | ) | (0.1 | )% | ||||||||
TOTAL NET ASSETS | $ | 5,534,668,188 | 100.0 | % |
Notes to Summary Schedule of Investments
(1) | Foreign Security. |
(2) | Security as defined in Rule 144A 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, 2017, the value of these securities total $361,606,830, which represents 6.53% of total net assets. |
(3) | Variable rate security based on a reference index and spread. The rate reported is the rate in effect as of December 31, 2017. |
(4) | Variable rate security. The coupon is based on an underlying pool of loans. The rate reported is the rate in effect as of December 31, 2017. |
(5) | 7-Day Yield. |
(6) | Groupings contain, in aggregate, securities defined in Rule 144A under the Securities Act of 1933 totaling $895,382,797, representing 16.18% of net assets. |
(7) | Represents the aggregate value, by category, of securities that are not among the 50 largest holdings and, in total for any issuer, represent 1% or less of net assets. |
(8) | Groupings contain a security that, on the last payment date, missed a partial principal or interest payment. |
Summary of Fair Value Exposure at December 31, 2017
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 25
Baird Short-Term Bond Fund
Summary Schedule of Investments, December 31, 2017
Summary of Fair Value Exposure at December 31, 2017 (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, 2017:
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Long-Term Investments | ||||||||||||||||
U.S. Treasury Securities | $ | — | $ | 1,152,874,017 | $ | — | $ | 1,152,874,017 | ||||||||
Other Government Related Securities | — | 75,651,441 | — | 75,651,441 | ||||||||||||
Corporate Bonds | — | 3,155,042,383 | — | 3,155,042,383 | ||||||||||||
Taxable Municipal Bonds | — | 123,430,396 | — | 123,430,396 | ||||||||||||
Residential Mortgage-Backed Securities – | ||||||||||||||||
Non-U.S. Government Agency Issues | — | 215,781,986 | — | 215,781,986 | ||||||||||||
Commercial Mortgage-Backed Securities – | ||||||||||||||||
U.S. Government Agency Issues | — | 101,829,580 | — | 101,829,580 | ||||||||||||
Commercial Mortgage-Backed Securities – | ||||||||||||||||
Non-U.S. Government Agency Issues | — | 106,784,460 | — | 106,784,460 | ||||||||||||
Other Asset Backed Securities | — | 531,653,820 | — | 531,653,820 | ||||||||||||
Total Long-Term Investments | — | 5,463,048,083 | — | 5,463,048,083 | ||||||||||||
Short-Term Investment | ||||||||||||||||
Money Market Mutual Fund | 79,859,268 | — | — | 79,859,268 | ||||||||||||
Total Short-Term Investment | 79,859,268 | — | — | 79,859,268 | ||||||||||||
Total Investments | $ | 79,859,268 | $ | 5,463,048,083 | $ | — | $ | 5,542,907,351 |
Changes in valuation techniques may result in transfers into or out of assigned levels within the fair value hierarchy. Transfers between levels are recognized at the end of the reporting period. 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 26
Baird Intermediate Bond Fund
December 31, 2017 (Unaudited)
The Baird Intermediate Bond Fund seeks an annual rate of total return, before Fund expenses, greater than the annual rate of total return of the Bloomberg Barclays Intermediate U.S. Government/Credit Bond Index. The Bloomberg 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.
During a challenging 2017, the Fund generated strong absolute returns and outperformed its benchmark. 2017 will be remembered as a year of relative calm for the bond markets in a sea of uncertainty, including the lack of progress on healthcare reform, rising geopolitical tensions, and the alarming string of natural disasters that occurred during the year. In this sense, bonds served their intended purpose, but it required discerning investors to separate the relevant market signals from the noise. Our long-term commitment and strict adherence to a risk-controlled, duration neutral approach overseen by a seasoned team of investment professionals with uncommon longevity working together through multiple market cycles once again proved to be a prudent strategy during this period of heightened uncertainty.
The primary factors contributing to the Fund’s strong absolute and relative performance in 2017 include:
• | Overweight to investment grade credit | ||
o | Overweight to BBB-rated credit | ||
o | Overweight to Financials | ||
• | Favoring credit shorter than the benchmark | ||
• | Exposure to Non-Agency RMBS and ABS | ||
• | Exposure to CMBS (Non-Agency and Agency) | ||
• | Yield curve positioning that benefitted from a flatter yield curve |
We expect a near-term cyclical boost in economic growth and also likely in wages, thanks in part to the fiscal stimulus provided by the recently passed tax legislation. Offsetting this cyclical improvement are long-term secular trends, such as aging demographics and the substitution of labor for technology, which are likely to limit the upward pressure on wages. Corporate credit fundamentals are solid to improving, and supply/demand technicals also look favorable for 2018, but already narrow credit spreads limit further room to tighten. We look for Non-Agency RMBS and both Agency and Non-Agency CMBS to outperform Treasuries in 2018. As a reminder, we only purchase 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 27
Baird Intermediate Bond Fund
December 31, 2017 (Unaudited)
Portfolio Characteristics
Quality Distribution(1)(2)
Net Assets | $2,955,902,540 | |||
SEC 30-Day | ||||
Yield(3) | ||||
Institutional Class | 2.34% | |||
Investor Class | 2.08% | |||
Average | ||||
Effective | ||||
Duration | 4.01 years | |||
Average | ||||
Effective | ||||
Maturity | 4.52 years | |||
Annualized | ||||
Expense | ||||
Sector Weightings(1) | Ratio(4) | |||
Institutional Class | 0.30% | |||
Investor Class | 0.55 | (5) | ||
Portfolio | ||||
Turnover Rate | 31.0% | |||
Number of | ||||
Holdings | 517 | |||
(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, 2017. |
(4) | Reflects expense ratios as stated in the Fund’s current prospectus. |
(5) | Includes 0.25% 12b-1 fee. |
Page 28
Baird Intermediate Bond Fund
December 31, 2017 (Unaudited)
Institutional Class
Value of a $25,000 Investment
Growth of a hypothetical investment of $25,000 made on 12/31/07, assuming reinvestment of all distributions.
Investor Class
Value of a $10,000 Investment
Growth of a hypothetical investment of $10,000 made on 12/31/07, assuming reinvestment of all distributions.
Page 29
Baird Intermediate Bond Fund
December 31, 2017 (Unaudited)
Total Returns
Average Annual | ||||
One | Five | Ten | Since | |
For the Periods Ended December 31, 2017 | Year | Years | Years | Inception(1) |
Institutional Class Shares | 2.74% | 1.97% | 4.03% | 4.87% |
Investor Class Shares | 2.53% | 1.74% | 3.76% | 4.61% |
Bloomberg Barclays Intermediate | ||||
U.S. Government/Credit Bond Index(2) | 2.14% | 1.50% | 3.32% | 4.39% |
(1) | For the period from September 29, 2000 (inception date) through December 31, 2017. |
(2) | The Bloomberg 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 30
Baird Intermediate Bond Fund
Summary Schedule of Investments, December 31, 2017
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.bairdassetmanagement.com/baird-funds/funds-and-performance#Literature 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: | ||||||||||||
1.625%, 08/31/2019 | $ | 30,000,000 | $ | 29,878,125 | 1.0 | % | ||||||
2.625%, 08/15/2020 | 20,650,000 | 21,010,568 | 0.7 | % | ||||||||
1.375%, 08/31/2020 | 190,775,000 | 187,987,895 | 6.4 | % | ||||||||
1.750%, 03/31/2022 | 259,825,000 | 255,562,246 | 8.6 | % | ||||||||
1.875%, 03/31/2022 | 190,750,000 | 188,596,612 | 6.4 | % | ||||||||
2.500%, 05/15/2024 | 130,125,000 | 131,593,989 | 4.5 | % | ||||||||
2.250%, 11/15/2025 | 166,275,000 | 164,813,599 | 5.6 | % | ||||||||
2.000%, 11/15/2026 | 101,825,000 | 98,543,531 | 3.3 | % | ||||||||
Total U.S. Treasury Securities | ||||||||||||
(Cost $1,092,244,353) | 1,077,986,565 | 36.5 | % | |||||||||
Other Government Related Securities | ||||||||||||
Electricite de France SA, | ||||||||||||
2.350%, 10/13/2020(1)(2) | 8,875,000 | 8,863,833 | 0.3 | % | ||||||||
Other Government Related Securities(6)(7) | 33,641,875 | 1.1 | % | |||||||||
Total Other Government Related Securities | ||||||||||||
(Cost $41,783,965) | 42,505,708 | 1.4 | % | |||||||||
Corporate Bonds | ||||||||||||
Industrials | ||||||||||||
Abbott Laboratories, | ||||||||||||
3.400%, 11/30/2023 | 10,000,000 | 10,173,019 | 0.3 | % | ||||||||
AT&T, Inc., | ||||||||||||
4.300%, 02/15/2030(2) | 9,367,000 | 9,340,818 | 0.3 | % | ||||||||
Diamond 1 Finance Corp. / | ||||||||||||
Diamond 2 Finance Corp., | ||||||||||||
3.480%, 06/01/2019(2) | 10,900,000 | 11,036,549 | 0.4 | % | ||||||||
DXC Technology Co., | ||||||||||||
4.450%, 09/18/2022 | 11,000,000 | 11,577,089 | 0.4 | % | ||||||||
EnLink Midstream Partners LP, | ||||||||||||
4.400%, 04/01/2024 | 10,000,000 | 10,328,986 | 0.3 | % |
The accompanying notes are an integral part of these financial statements.
Page 31
Baird Intermediate Bond Fund
Summary Schedule of Investments, December 31, 2017
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
Kinder Morgan, Inc., | ||||||||||||
7.800%, 08/01/2031 | $ | 7,000,000 | $ | 9,028,794 | 0.3 | % | ||||||
MPLX LP, | ||||||||||||
4.875%, 06/01/2025 | 10,192,000 | 10,922,968 | 0.4 | % | ||||||||
Sabine Pass Liquefaction LLC, | ||||||||||||
5.875%, 06/30/2026 | 9,730,000 | 10,931,346 | 0.4 | % | ||||||||
The Dow Chemical Co., | ||||||||||||
8.550%, 05/15/2019 | 8,800,000 | 9,531,983 | 0.3 | % | ||||||||
The Mosaic Co., | ||||||||||||
4.250%, 11/15/2023 | 8,606,000 | 8,911,649 | 0.3 | % | ||||||||
Other Industrials(6)(7)(8) | 465,968,545 | 15.8 | % | |||||||||
Total Industrials | ||||||||||||
(Cost $561,736,026) | 567,751,746 | 19.2 | % | |||||||||
Utilities | ||||||||||||
Other Utilities(6)(7) | 27,467,838 | 0.9 | % | |||||||||
Total Utilities | ||||||||||||
(Cost $27,285,882) | 27,467,838 | 0.9 | % | |||||||||
Financials | ||||||||||||
Anthem, Inc., | ||||||||||||
3.350%, 12/01/2024 | 10,000,000 | 10,145,226 | 0.4 | % | ||||||||
Bank of America Corp., | ||||||||||||
2.369%, 07/21/2021 | ||||||||||||
(3 Month LIBOR USD + 0.660%)(3) | 11,000,000 | 10,980,733 | 0.4 | % | ||||||||
BNZ International Funding Ltd., | ||||||||||||
2.100%, 09/14/2021(1)(2) | 10,000,000 | 9,760,266 | 0.3 | % | ||||||||
Boston Properties LP, | ||||||||||||
3.200%, 01/15/2025 | 12,175,000 | 12,136,212 | 0.4 | % | ||||||||
BPCE SA, | ||||||||||||
4.625%, 07/11/2024(1)(2) | 10,000,000 | 10,514,481 | 0.4 | % | ||||||||
Capital One NA, | ||||||||||||
2.650%, 08/08/2022 | 12,150,000 | 12,022,787 | 0.4 | % | ||||||||
Citigroup, Inc., | ||||||||||||
3.887%, 01/10/2028 | ||||||||||||
(3 Month LIBOR USD + 1.560%)(3) | 9,000,000 | 9,315,736 | 0.3 | % | ||||||||
Credit Suisse Group Funding Guernsey Ltd., | ||||||||||||
3.800%, 06/09/2023(1) | 8,700,000 | 8,972,261 | 0.3 | % | ||||||||
Discover Financial Services, | ||||||||||||
4.100%, 02/09/2027 | 9,000,000 | 9,218,982 | 0.3 | % | ||||||||
First Horizon National Corp., | ||||||||||||
3.500%, 12/15/2020 | 13,196,000 | 13,475,506 | 0.5 | % | ||||||||
ING Bank NV, | ||||||||||||
5.800%, 09/25/2023(1)(2) | 8,865,000 | 9,948,618 | 0.3 | % | ||||||||
Jackson National Life Global Funding, | ||||||||||||
3.250%, 01/30/2024(2) | 10,000,000 | 10,100,029 | 0.3 | % |
The accompanying notes are an integral part of these financial statements.
Page 32
Baird Intermediate Bond Fund
Summary Schedule of Investments, December 31, 2017
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
Sumitomo Mitsui Trust Bank Ltd., | ||||||||||||
2.050%, 03/06/2019(1)(2) | $ | 12,000,000 | $ | 11,968,909 | 0.4 | % | ||||||
SunTrust Bank, | ||||||||||||
3.300%, 05/15/2026 | 9,000,000 | 8,913,523 | 0.3 | % | ||||||||
Other Financials(6)(7) | 579,415,053 | 19.6 | % | |||||||||
Total Financials | ||||||||||||
(Cost $723,421,559) | 726,888,322 | 24.6 | % | |||||||||
Total Corporate Bonds | ||||||||||||
(Cost $1,312,443,467) | 1,322,107,906 | 44.7 | % | |||||||||
Taxable Municipal Bonds | ||||||||||||
Other Taxable Municipal Bonds(7) | 63,342,310 | 2.1 | % | |||||||||
Total Taxable Municipal Bonds | ||||||||||||
(Cost $62,312,859) | 63,342,310 | 2.1 | % | |||||||||
Residential Mortgage-Backed Securities | ||||||||||||
U.S. Government Agency Issues | ||||||||||||
Other U.S. Government Agency Issues(7) | 153,333 | 0.0 | % | |||||||||
Total U.S. Government Agency Issues | ||||||||||||
(Cost $149,001) | 153,333 | 0.0 | % | |||||||||
Non-U.S. Government Agency Issues | ||||||||||||
Other Non-U.S. Government Agency Issues(6)(7)(9) | 99,604,130 | 3.4 | % | |||||||||
Total Non-U.S. Government Agency Issues | ||||||||||||
(Cost $97,965,256) | 99,604,130 | 3.4 | % | |||||||||
Commercial Mortgage-Backed Securities | ||||||||||||
U.S. Government Agency Issues | ||||||||||||
Freddie Mac Multifamily Structured Pass Through Certificates: | ||||||||||||
Series K717, Class A2, 2.991%, 09/25/2021 | 14,569,000 | 14,878,934 | 0.5 | % | ||||||||
Series K720, Class A2, 2.716%, 06/25/2022 | 15,850,000 | 16,029,346 | 0.6 | % | ||||||||
Series K028, Class A2, 3.111%, 02/25/2023 | 13,850,000 | 14,267,597 | 0.5 | % | ||||||||
Series K050, Class A2, 3.334%, 08/25/2025(4) | 12,150,000 | 12,637,336 | 0.4 | % | ||||||||
2.313%-4.317%, 08/25/2019-11/25/2027 | 32,038,000 | 32,909,564 | 1.1 | % | ||||||||
Total U.S. Government Agency Issues | ||||||||||||
(Cost $90,965,082) | 90,722,777 | 3.1 | % | |||||||||
Non-U.S. Government Agency Issues | ||||||||||||
Citigroup Commercial Mortgage Trust: | ||||||||||||
Series 2013-GC11, Class A4, 3.093%, 04/10/2046 | 11,050,000 | 11,208,643 | 0.4 | % | ||||||||
Series 2015-GC27, Class A5, 3.137%, 02/10/2048 | 11,675,000 | 11,767,133 | 0.4 | % | ||||||||
COMM Mortgage Trust, | ||||||||||||
Series 2013-CR11, Class A4, 4.258%, 08/10/2050 | 10,000,000 | 10,706,514 | 0.3 | % | ||||||||
J.P. Morgan Chase Commercial Mortgage Securities Trust, | ||||||||||||
Series 2011-C5, Class A3, 4.171%, 08/15/2046 | 9,580,154 | 10,034,802 | 0.3 | % |
The accompanying notes are an integral part of these financial statements.
Page 33
Baird Intermediate Bond Fund
Summary Schedule of Investments, December 31, 2017
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
Morgan Stanley Bank of America Merrill Lynch Trust, | ||||||||||||
Series 2013-C7, Class A4, 2.918%, 02/15/2046 | $ | 9,540,000 | $ | 9,620,504 | 0.3 | % | ||||||
Wells Fargo Commercial Mortgage Trust: | ||||||||||||
Series 2014-LC18, Class ASB, 3.244%, 12/15/2047 | 16,400,000 | 16,726,236 | 0.6 | % | ||||||||
Series 2015-P2, Class ASB, 3.656%, 12/15/2048 | 11,175,000 | 11,623,781 | 0.4 | % | ||||||||
WFRBS Commercial Mortgage Trust, | ||||||||||||
Series 2012-C6, Class A4, 3.440%, 04/15/2045 | 8,875,000 | 9,121,162 | 0.3 | % | ||||||||
Other Non-U.S. Government Agency Issues(7) | 25,222,652 | 0.9 | % | |||||||||
Total Non-U.S. Government Agency Issues | ||||||||||||
(Cost $116,904,862) | 116,031,427 | 3.9 | % | |||||||||
Other Asset Backed Securities | ||||||||||||
American Express Credit Account Master Trust, | ||||||||||||
Series 2017-1, Class A, 1.930%, 09/15/2022 | 12,000,000 | 11,944,727 | 0.4 | % | ||||||||
Citibank Credit Card Issuance Trust, | ||||||||||||
Series 2017-A3, Class A3, 1.920%, 04/07/2022 | 13,375,000 | 13,291,565 | 0.4 | % | ||||||||
Discover Card Execution Note Trust, | ||||||||||||
Series 2016-A4, Class A4, 1.390%, 03/15/2022 | 10,925,000 | 10,790,885 | 0.4 | % | ||||||||
Ford Credit Auto Owner Trust: | ||||||||||||
Series 2014-1, Class A, 2.260%, 11/15/2025(2) | 10,859,000 | 10,881,071 | 0.4 | % | ||||||||
Series 2014-2, Class A, 2.310%, 04/15/2026(2) | 11,750,000 | 11,767,315 | 0.4 | % | ||||||||
Other Asset Backed Securities(6)(7) | 44,089,341 | 1.5 | % | |||||||||
Total Other Asset Backed Securities | ||||||||||||
(Cost $103,125,623) | 102,764,904 | 3.5 | % | |||||||||
Total Long-Term Investments | ||||||||||||
(Cost $2,917,894,468) | 2,915,219,060 | 98.7 | % |
The accompanying notes are an integral part of these financial statements.
Page 34
Baird Intermediate Bond Fund
Summary Schedule of Investments, December 31, 2017
Short-Term Investment
% of | ||||||||||||
Shares | Value | Net Assets | ||||||||||
Money Market Mutual Fund | ||||||||||||
Fidelity Institutional Money Market Fund – | ||||||||||||
Government Portfolio, Institutional Class, 1.19%(5) | 65,905,478 | $ | 65,905,478 | 2.2 | % | |||||||
Total Short-Term Investment | ||||||||||||
(Cost $65,905,478) | 65,905,478 | 2.2 | % | |||||||||
Total Investments | ||||||||||||
(Cost $2,983,799,946) | 2,981,124,538 | 100.9 | % | |||||||||
Liabilities in Excess of Other Assets | (25,221,998 | ) | (0.9 | )% | ||||||||
TOTAL NET ASSETS | $ | 2,955,902,540 | 100.0 | % |
Notes to Summary Schedule of Investments
(1) | Foreign Security. |
(2) | Security as defined in Rule 144A 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, 2017, the value of these securities total $104,181,889, which represents 3.52% of total net assets. |
(3) | Variable rate security based on a reference index and spread. The rate reported is the rate in effect as of December 31, 2017. |
(4) | Variable rate security. The coupon is based on an underlying pool of loans. The rate reported is the rate in effect as of December 31, 2017. |
(5) | 7-Day Yield. |
(6) | Groupings contain, in aggregate, securities defined in Rule 144A under the Securities Act of 1933 totaling $418,635,206, representing 14.17% of net assets. |
(7) | Represents the aggregate value, by category, of securities that are not among the 50 largest holdings and, in total for any issuer, represent 1% or less of net assets. |
(8) | Groupings contain a security in default. |
(9) | Groupings contain a security that, on the last payment date, missed a partial principal or interest payment. |
Summary of Fair Value Exposure at December 31, 2017
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 35
Baird Intermediate Bond Fund
Summary Schedule of Investments, December 31, 2017
Summary of Fair Value Exposure at December 31, 2017 (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, 2017:
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Long-Term Investments | ||||||||||||||||
U.S. Treasury Securities | $ | — | $ | 1,077,986,565 | $ | — | $ | 1,077,986,565 | ||||||||
Other Government Related Securities | — | 42,505,708 | — | 42,505,708 | ||||||||||||
Corporate Bonds | — | 1,322,107,906 | — | 1,322,107,906 | ||||||||||||
Taxable Municipal Bonds | — | 63,342,310 | — | 63,342,310 | ||||||||||||
Residential Mortgage-Backed Securities – | ||||||||||||||||
U.S. Government Agency Issues | — | 153,333 | — | 153,333 | ||||||||||||
Residential Mortgage-Backed Securities – | ||||||||||||||||
Non-U.S. Government Agency Issues | — | 99,604,130 | — | 99,604,130 | ||||||||||||
Commercial Mortgage-Backed Securities – | ||||||||||||||||
U.S. Government Agency Issues | — | 90,722,777 | — | 90,722,777 | ||||||||||||
Commercial Mortgage-Backed Securities – | ||||||||||||||||
Non-U.S. Government Agency Issues | — | 116,031,427 | — | 116,031,427 | ||||||||||||
Other Asset Backed Securities | — | 102,764,904 | — | 102,764,904 | ||||||||||||
Total Long-Term Investments | — | 2,915,219,060 | — | 2,915,219,060 | ||||||||||||
Short-Term Investment | ||||||||||||||||
Money Market Mutual Fund | 65,905,478 | — | — | 65,905,478 | ||||||||||||
Total Short-Term Investment | 65,905,478 | — | — | 65,905,478 | ||||||||||||
Total Investments | $ | 65,905,478 | $ | 2,915,219,060 | $ | — | $ | 2,981,124,538 |
Changes in valuation techniques may result in transfers into or out of assigned levels within the fair value hierarchy. Transfers between levels are recognized at the end of the reporting period. 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 36
Baird Aggregate Bond Fund
December 31, 2017 (Unaudited)
The Baird Aggregate Bond Fund seeks an annual rate of total return, before Fund expenses, greater than the annual rate of total return of the Bloomberg Barclays U.S. Aggregate Bond Index. The Bloomberg 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.
During a challenging 2017, the Fund generated strong absolute returns and outperformed its benchmark.
2017 will be remembered as a year of relative calm for the bond markets in a sea of uncertainty, which included the lack of progress on healthcare reform, rising geopolitical tensions, and the alarming string of natural disasters that occurred during the year. In this sense, bonds served their intended purpose, but it required discerning investors to separate the relevant market signals from the noise. Our long-term commitment and strict adherence to a risk-controlled, duration neutral approach overseen by a seasoned team of investment professionals with uncommon longevity working together through multiple market cycles once again proved to be a prudent strategy during this period of heightened uncertainty.
The primary factors contributing to the Fund’s strong absolute and relative performance in 2017 include:
• | Overweight to investment grade credit | ||
o | Overweight to BBB-rated credit | ||
o | Overweight to Financials | ||
• | Favoring credit shorter than the benchmark | ||
• | Exposure to Non-Agency RMBS | ||
• | Overweight to CMBS (Non-Agency and Agency) | ||
• | Yield curve positioning that benefitted from a flatter yield curve |
We expect a near-term cyclical boost in economic growth and also likely in wages, thanks in part to the fiscal stimulus provided by the recently passed tax legislation. Offsetting this cyclical improvement are long-term secular trends, such as aging demographics and the substitution of labor for technology, which are likely to limit the upward pressure on wages. Corporate credit fundamentals are solid to improving, and supply/demand technicals also look favorable for 2018, but already narrow credit spreads limit further room to tighten. We look for Agency Pass-through spreads to widen on rising net supply as the Fed unwinds its balance sheet, but other mortgage sectors, such as Non-Agency RMBS and both Agency and Non-Agency CMBS, to outperform Treasuries. As a reminder, we only purchase 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 37
Baird Aggregate Bond Fund
December 31, 2017 (Unaudited)
Portfolio Characteristics
Quality Distribution(1)(2)
Net Assets | $14,408,210,871 | |||
SEC 30-Day | ||||
Yield(3) | ||||
Institutional Class | 2.63% | |||
Investor Class | 2.38% | |||
Average | ||||
Effective | ||||
Duration | 5.98 years | |||
Average | ||||
Effective | ||||
Maturity | 7.92 years | |||
Annualized | ||||
Sector Weightings(1) | Expense | |||
Ratio(4) | ||||
Institutional Class | 0.30% | |||
Investor Class | 0.55% | (5) | ||
Portfolio | ||||
Turnover Rate | 27.7% | |||
Number of | ||||
Holdings | 1,076 | |||
(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, 2017. |
(4) | Reflects expense ratios as stated in the Fund’s current prospectus. |
(5) | Includes 0.25% 12b-1 fee. |
Page 38
Baird Aggregate Bond Fund
December 31, 2017 (Unaudited)
Institutional Class
Value of a $25,000 Investment
Growth of a hypothetical investment of $25,000 made on 12/31/07, assuming reinvestment of all distributions.
Investor Class
Value of a $10,000 Investment
Growth of a hypothetical investment of $10,000 made on 12/31/07, assuming reinvestment of all distributions.
Page 39
Baird Aggregate Bond Fund
December 31, 2017 (Unaudited)
Total Returns
Average Annual | ||||
One | Five | Ten | Since | |
For the Periods Ended December 31, 2017 | Year | Years | Years | Inception(1) |
Institutional Class Shares | 4.20% | 2.74% | 4.57% | 5.44% |
Investor Class Shares | 3.90% | 2.48% | 4.30% | 5.19% |
Bloomberg Barclays U.S. Aggregate Bond Index(2) | 3.54% | 2.10% | 4.01% | 4.92% |
(1) | For the period from September 29, 2000 (inception date) through December 31, 2017. |
(2) | The Bloomberg 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 40
Baird Aggregate Bond Fund
Summary Schedule of Investments, December 31, 2017
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.bairdassetmanagement.com/baird-funds/funds-and-performance#Literature 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: | ||||||||||||
1.750%, 03/31/2022 | $ | 361,655,000 | $ | 355,721,598 | 2.5 | % | ||||||
1.875%, 03/31/2022 | 367,675,000 | 363,524,295 | 2.5 | % | ||||||||
2.500%, 05/15/2024 | 356,975,000 | 361,004,912 | 2.4 | % | ||||||||
2.250%, 11/15/2025 | 169,750,000 | 168,258,057 | 1.2 | % | ||||||||
2.000%, 11/15/2026 | 194,675,000 | 188,401,294 | 1.3 | % | ||||||||
3.500%, 02/15/2039 | 462,355,900 | 528,079,070 | 3.7 | % | ||||||||
2.875%, 05/15/2043 | 699,525,000 | 719,281,118 | 5.0 | % | ||||||||
Total U.S. Treasury Securities | ||||||||||||
(Cost $2,685,797,831) | 2,684,270,344 | 18.6 | % | |||||||||
Other Government Related Securities | ||||||||||||
Other Government Related Securities(3)(6) | 146,015,530 | 1.0 | % | |||||||||
Total Other Government Related Securities | ||||||||||||
(Cost $143,380,290) | 146,015,530 | 1.0 | % | |||||||||
Corporate Bonds | ||||||||||||
Industrials | ||||||||||||
Diamond 1 Finance Corp. / Diamond 2 Finance Corp., | ||||||||||||
4.420%, 06/15/2021(2) | 50,575,000 | 52,700,121 | 0.4 | % | ||||||||
Solvay Finance America LLC, | ||||||||||||
4.450%, 12/03/2025(2) | 43,329,000 | 46,043,289 | 0.3 | % | ||||||||
Verizon Communications, Inc., | ||||||||||||
4.812%, 03/15/2039 | 36,839,000 | 38,541,247 | 0.3 | % | ||||||||
Other Industrials(3)(6)(7) | 2,807,964,511 | 19.4 | % | |||||||||
Total Industrials | ||||||||||||
(Cost $2,885,321,297) | 2,945,249,168 | 20.4 | % | |||||||||
Utilities | ||||||||||||
Other Utilities(3)(6) | 178,604,902 | 1.2 | % | |||||||||
Total Utilities | ||||||||||||
(Cost $175,601,344) | 178,604,902 | 1.2 | % |
The accompanying notes are an integral part of these financial statements.
Page 41
Baird Aggregate Bond Fund
Summary Schedule of Investments, December 31, 2017
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
Financials | ||||||||||||
Nationwide Building Society, | ||||||||||||
2.450%, 07/27/2021(1)(2) | $ | 38,500,000 | $ | 38,189,732 | 0.3 | % | ||||||
Other Financials(3)(6)(7) | 2,892,948,993 | 20.0 | % | |||||||||
Total Financials | ||||||||||||
(Cost $2,884,054,355) | 2,931,138,725 | 20.3 | % | |||||||||
Total Corporate Bonds | ||||||||||||
(Cost $5,944,976,996) | 6,054,992,795 | 41.9 | % | |||||||||
Taxable Municipal Bonds | ||||||||||||
Other Taxable Municipal Bonds(3) | 175,821,437 | 1.2 | % | |||||||||
Total Taxable Municipal Bonds | ||||||||||||
(Cost $171,072,954) | 175,821,437 | 1.2 | % | |||||||||
Residential Mortgage-Backed Securities | ||||||||||||
U.S. Government Agency Issues | ||||||||||||
Federal Gold Loan Mortgage Corp. (FGLMC): | ||||||||||||
3.000%, 02/01/2032 | 86,325,268 | 88,042,611 | 0.6 | % | ||||||||
4.000%, 01/01/2041 | 55,288,554 | 58,046,427 | 0.4 | % | ||||||||
3.000%, 11/01/2042 | 43,563,059 | 43,794,176 | 0.3 | % | ||||||||
3.000%, 01/01/2043 | 49,350,121 | 49,580,509 | 0.3 | % | ||||||||
3.500%, 05/01/2044 | 49,866,366 | 51,529,203 | 0.4 | % | ||||||||
3.000%, 10/01/2045 | 48,840,180 | 49,127,008 | 0.3 | % | ||||||||
3.500%, 01/01/2046 | 47,842,163 | 49,347,202 | 0.3 | % | ||||||||
3.500%, 08/01/2046 | 42,396,098 | 43,801,314 | 0.3 | % | ||||||||
3.000%, 05/01/2047 | 79,081,367 | 79,236,859 | 0.5 | % | ||||||||
2.500%-6.500%, 06/01/2020-05/01/2046 | 477,735,379 | 496,542,459 | 3.5 | % | ||||||||
Federal National Mortgage Association (FNMA): | ||||||||||||
3.500%, 07/01/2027 | 46,168,701 | 47,828,335 | 0.3 | % | ||||||||
3.000%, 12/01/2030 | 45,850,037 | 46,774,779 | 0.3 | % | ||||||||
3.500%, 01/01/2032 | 59,793,346 | 62,179,038 | 0.4 | % | ||||||||
3.500%, 12/01/2041 | 46,366,040 | 47,876,964 | 0.3 | % | ||||||||
4.000%, 02/01/2042 | 54,724,743 | 57,463,812 | 0.4 | % | ||||||||
3.000%, 03/01/2043 | 49,814,980 | 50,082,487 | 0.4 | % | ||||||||
3.000%, 05/01/2043 | 67,063,813 | 67,426,272 | 0.5 | % | ||||||||
4.000%, 07/01/2043 | 38,243,924 | 40,162,364 | 0.3 | % | ||||||||
3.500%, 09/01/2043 | 65,635,206 | 67,798,188 | 0.5 | % | ||||||||
3.500%, 10/01/2043 | 74,011,083 | 76,279,508 | 0.4 | % | ||||||||
3.500%, 02/01/2045 | 51,920,539 | 53,606,914 | 0.4 | % | ||||||||
3.500%, 04/01/2045 | 38,524,273 | 39,753,923 | 0.3 | % | ||||||||
4.000%, 11/01/2045 | 50,834,804 | 53,172,736 | 0.4 | % | ||||||||
3.500%, 12/01/2045 | 42,136,257 | 43,285,278 | 0.3 | % | ||||||||
4.500%, 02/01/2046 | 44,593,924 | 47,785,327 | 0.3 | % | ||||||||
4.500%, 08/01/2046 | 41,066,764 | 43,776,338 | 0.3 | % | ||||||||
3.500%, 11/01/2046 | 64,667,194 | 66,430,615 | 0.5 | % | ||||||||
2.500%-6.000%, 11/01/2021-11/01/2046 | 747,215,846 | 777,270,258 | 5.4 | % |
The accompanying notes are an integral part of these financial statements.
Page 42
Baird Aggregate Bond Fund
Summary Schedule of Investments, December 31, 2017
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
Freddie Mac Gold Pool, | ||||||||||||
3.500%, 02/01/2044 | $ | 49,991,418 | $ | 51,590,400 | 0.4 | % | ||||||
Government National Mortgage Association (GNMA): | ||||||||||||
4.000%, 05/20/2046 | 40,740,404 | 42,647,114 | 0.3 | % | ||||||||
3.000%, 08/20/2046 | 51,233,846 | 51,748,501 | 0.4 | % | ||||||||
3.000%-6.000%, 11/20/2033-06/20/2046 | 206,685,051 | 213,708,061 | 1.6 | % | ||||||||
Other U.S. Government Agency Issues(3) | 18,814,038 | 0.1 | % | |||||||||
Total U.S. Government Agency Issues | ||||||||||||
(Cost $3,074,900,532) | 3,076,509,018 | 21.4 | % | |||||||||
Non-U.S. Government Agency Issues | ||||||||||||
Towd Point Mortgage Trust, | ||||||||||||
Series 2017-1, Class A1, 2.750%, 10/25/2056(2)(4) | 40,558,549 | 40,506,500 | 0.3 | % | ||||||||
Other Non-U.S. Government Agency Issues(3)(6)(8) | 565,414,178 | 3.9 | % | |||||||||
Total Non-U.S. Government Agency Issues | ||||||||||||
(Cost $599,782,345) | 605,920,678 | 4.2 | % | |||||||||
Commercial Mortgage-Backed Securities | ||||||||||||
U.S. Government Agency Issues | ||||||||||||
Federal Home Loan Mortgage Corp. (FHLMC), | ||||||||||||
Series K037, Class A2, 3.490%, 01/25/2024 | 61,625,000 | 64,698,615 | 0.5 | % | ||||||||
Freddie Mac Multifamily | ||||||||||||
Structured Pass Through Certificates: | ||||||||||||
Series K028, Class A2, 3.111%, 02/25/2023 | 47,010,000 | 48,427,417 | 0.3 | % | ||||||||
Series K050, Class A2, 3.334%, 08/25/2025(4) | 72,374,000 | 75,276,921 | 0.5 | % | ||||||||
2.716%-4.186%, 08/25/2019-11/25/2050 | 168,283,000 | 172,834,079 | 1.2 | % | ||||||||
Other U.S. Government Agency Issues(3) | 34,901,956 | 0.2 | % | |||||||||
Total U.S. Government Agency Issues | ||||||||||||
(Cost $397,224,915) | 396,138,988 | 2.7 | % | |||||||||
Non-U.S. Government Agency Issues | ||||||||||||
Morgan Stanley Bank of America Merrill Lynch Trust, | ||||||||||||
Series 2012-C5, Class A4, 3.176%, 08/15/2045 | 37,550,000 | 38,255,812 | 0.3 | % | ||||||||
Wells Fargo Commercial Mortgage Trust, | ||||||||||||
Series 2015-P2, Class A3, 3.541%, 12/15/2048 | 44,050,000 | 45,598,375 | 0.3 | % | ||||||||
Other Non-U.S. Government Agency Issues(3)(8) | 549,529,730 | 3.9 | % | |||||||||
Total Non-U.S. Government Agency Issues | ||||||||||||
(Cost $637,288,727) | 633,383,917 | 4.5 | % | |||||||||
Other Asset Backed Securities | ||||||||||||
Capital One Multi-Asset Execution Trust, | ||||||||||||
Series 2016-A4, Class A4, 1.330%, 06/15/2022 | 47,425,000 | 46,836,138 | 0.3 | % | ||||||||
Chase Issuance Trust, | ||||||||||||
Series 2016-A5, Class A5, 1.270%, 07/15/2021 | 40,100,000 | 39,628,171 | 0.3 | % | ||||||||
Discover Card Execution Note Trust, | ||||||||||||
Series 2016-A4, Class A4, 1.390%, 03/15/2022 | 50,225,000 | 49,608,438 | 0.3 | % |
The accompanying notes are an integral part of these financial statements.
Page 43
Baird Aggregate Bond Fund
Summary Schedule of Investments, December 31, 2017
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
Verizon Owner Trust, | ||||||||||||
Series 2016-2A, Class A, 1.680%, 05/20/2021(2) | $ | 51,650,000 | $ | 51,296,657 | 0.4 | % | ||||||
Other Asset Backed Securities(3)(6)(8) | 206,223,458 | 1.5 | % | |||||||||
Total Other Asset Backed Securities | ||||||||||||
(Cost $395,880,931) | 393,592,862 | 2.8 | % | |||||||||
Total Long-Term Investments | ||||||||||||
(Cost $14,050,305,521) | 14,166,645,569 | 98.3 | % | |||||||||
Short-Term Investment | ||||||||||||
Shares | ||||||||||||
Money Market Mutual Fund | ||||||||||||
Fidelity Institutional Money Market Fund – | ||||||||||||
Government Portfolio, Institutional Class, 1.19%(5) | 295,416,438 | 295,416,438 | 2.1 | % | ||||||||
Total Short-Term Investment | ||||||||||||
(Cost $295,416,438) | 295,416,438 | 2.1 | % | |||||||||
Total Investments | ||||||||||||
(Cost $14,345,721,959) | 14,462,062,007 | 100.4 | % | |||||||||
Liabilities in Excess of Other Assets | (53,851,136 | ) | (0.4 | )% | ||||||||
TOTAL NET ASSETS | $ | 14,408,210,871 | 100.0 | % |
Notes to Summary Schedule of Investments
(1) | Foreign Security. |
(2) | Security as defined in Rule 144A 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, 2017, the value of these securities total $228,736,299, which represents 1.59% of total net assets. |
(3) | Represents the aggregate value, by category, of securities that are not among the 50 largest holdings and, in total for any issuer, represent 1% or less of net assets. |
(4) | Variable rate security. The coupon is based on an underlying pool of loans. The rate reported is the rate in effect as of December 31, 2017. |
(5) | 7-Day Yield. |
(6) | Groupings contain, in aggregate, securities defined in Rule 144A under the Securities Act of 1933 totaling $2,076,935,217, representing, 14.41% of net assets. |
(7) | Groupings contain a security in default. |
(8) | Groupings contain a security that, on the last payment date, missed a partial principal or interest payment. |
The accompanying notes are an integral part of these financial statements.
Page 44
Baird Aggregate Bond Fund
Summary Schedule of Investments, December 31, 2017
Summary of Fair Value Exposure at December 31, 2017
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, 2017:
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Long-Term Investments | ||||||||||||||||
U.S. Treasury Securities | $ | — | $ | 2,684,270,344 | $ | — | $ | 2,684,270,344 | ||||||||
Other Government Related Securities | — | 146,015,530 | — | 146,015,530 | ||||||||||||
Corporate Bonds | — | 6,054,992,795 | — | 6,054,992,795 | ||||||||||||
Taxable Municipal Bonds | — | 175,821,437 | — | 175,821,437 | ||||||||||||
Residential Mortgage-Backed Securities – | ||||||||||||||||
U.S. Government Agency Issues | — | 3,076,509,018 | — | 3,076,509,018 | ||||||||||||
Residential Mortgage-Backed Securities – | ||||||||||||||||
Non-U.S. Government Agency Issues | — | 605,920,678 | — | 605,920,678 | ||||||||||||
Commercial Mortgage-Backed Securities – | ||||||||||||||||
U.S. Government Agency Issues | — | 396,138,988 | — | 396,138,988 | ||||||||||||
Commercial Mortgage-Backed Securities – | ||||||||||||||||
Non-U.S. Government Agency Issues | — | 633,383,917 | — | 633,383,917 | ||||||||||||
Other Asset Backed Securities | — | 393,592,862 | — | 393,592,862 | ||||||||||||
Total Long-Term Investments | — | 14,166,645,569 | — | 14,166,645,569 | ||||||||||||
Short-Term Investment | ||||||||||||||||
Money Market Mutual Fund | 295,416,438 | — | — | 295,416,438 | ||||||||||||
Total Short-Term Investment | 295,416,438 | — | — | 295,416,438 | ||||||||||||
Total Investments | $ | 295,416,438 | $ | 14,166,645,569 | $ | — | $ | 14,462,062,007 |
Changes in valuation techniques may result in transfers into or out of assigned levels within the fair value hierarchy. Transfers between levels are recognized at the end of the reporting period. 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 45
Baird Core Plus Bond Fund
December 31, 2017 (Unaudited)
The Baird Core Plus Bond Fund seeks an annual rate of total return, before Fund expenses, greater than the annual rate of total return of the Bloomberg Barclays U.S. Universal Bond Index. The Bloomberg 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.
During a challenging 2017, the Fund generated strong absolute returns and outperformed its benchmark. 2017 will be remembered as a year of relative calm for the bond markets in a sea of uncertainty, including the lack of progress on healthcare reform, rising geopolitical tensions, and the alarming string of natural disasters that occurred during the year. In this sense, bonds served their intended purpose, but it required discerning investors to separate the relevant market signals from the noise. Our long-term commitment and strict adherence to a risk-controlled, duration neutral approach overseen by a seasoned team of investment professionals with uncommon longevity working together through multiple market cycles once again proved to be a prudent strategy during this period of heightened uncertainty.
The primary factors contributing to the Fund’s strong absolute and relative performance in 2017 include:
• | Overweight to investment grade credit | ||
o | Overweight to BBB-rated credit | ||
o | Overweight to Financials | ||
• | Exposure to Non-Agency RMBS | ||
• | Overweight to CMBS (Non-Agency and Agency) | ||
• | Favoring credit shorter than the benchmark | ||
• | Yield curve positioning that benefitted from a flatter yield curve |
Detractors from the Fund’s relative performance during the year include an underweight to both high yield corporate credit and dollar-denominated emerging market (EM) debt.
We expect a near-term cyclical boost in economic growth and also likely in wages, thanks in part to the fiscal stimulus provided by the recently passed tax legislation. Offsetting this cyclical improvement are long-term secular trends, such as aging demographics and the substitution of labor for technology, which are likely to limit the upward pressure on wages. Corporate credit fundamentals are solid to improving, and supply/demand technicals also look favorable for 2018, but already narrow credit spreads limit further room to tighten. We look for Agency Pass-through spreads to widen on rising net supply as the Fed unwinds its balance sheet, but other mortgage sectors, such as Non-Agency RMBS and both Agency and Non-Agency CMBS, to outperform Treasuries. As a reminder, we only purchase 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 46
Baird Core Plus Bond Fund
December 31, 2017 (Unaudited)
Portfolio Characteristics
Quality Distribution(1)(2)
Net Assets | $16,351,166,422 | |||
SEC 30-Day | ||||
Yield(3) | ||||
Institutional Class | 2.81% | |||
Investor Class | 2.56% | |||
Average | ||||
Effective | ||||
Duration | 5.77 years | |||
Average | ||||
Effective | ||||
Maturity | 7.64 years | |||
Annualized | ||||
Expense Ratio(4) | ||||
Institutional Class | 0.30% | |||
Sector Weightings(1) | Investor Class | 0.55%(5) | ||
Portfolio | ||||
Turnover Rate | 29.7% | |||
Number of | ||||
Holdings | 1,252 | |||
(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, 2017. |
(4) | Reflects expense ratios as stated in the Fund’s current prospectus. |
(5) | Includes 0.25% 12b-1 fee. |
Page 47
Baird Core Plus Bond Fund
December 31, 2017 (Unaudited)
Institutional Class
Value of a $25,000 Investment
Growth of a hypothetical investment of $25,000 made on 12/31/07, assuming reinvestment of all distributions.
Investor Class
Value of a $10,000 Investment
Growth of a hypothetical investment of $10,000 made on 12/31/07, assuming reinvestment of all distributions.
Page 48
Baird Core Plus Bond Fund
December 31, 2017 (Unaudited)
Total Returns
Average Annual | ||||
One | Five | Ten | Since | |
For the Periods Ended December 31, 2017 | Year | Years | Years | Inception(1) |
Institutional Class Shares | 4.65% | 2.91% | 5.28% | 5.94% |
Investor Class Shares | 4.47% | 2.66% | 5.02% | 5.68% |
Bloomberg Barclays U.S. Universal Bond Index(2) | 4.09% | 2.50% | 4.33% | 5.20% |
(1) | For the period from September 29, 2000 (inception date) through December 31, 2017. |
(2) | The Bloomberg 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 49
Baird Core Plus Bond Fund
Summary Schedule of Investments, December 31, 2017
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.bairdassetmanagement.com/baird-funds/funds-and-performance#Literature 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: | ||||||||||||
1.750%, 03/31/2022 | $ | 392,675,000 | $ | 386,232,676 | 2.4 | % | ||||||
1.875%, 03/31/2022 | 428,975,000 | 424,132,275 | 2.6 | % | ||||||||
2.500%, 05/15/2024 | 112,950,000 | 114,225,099 | 0.7 | % | ||||||||
2.250%, 11/15/2025 | 54,875,000 | 54,392,700 | 0.3 | % | ||||||||
2.000%, 11/15/2026 | 194,050,000 | 187,796,436 | 1.2 | % | ||||||||
3.500%, 02/15/2039 | 416,670,000 | 475,898,991 | 2.9 | % | ||||||||
2.875%, 05/15/2043 | 610,850,000 | 628,101,742 | 3.8 | % | ||||||||
2.500%, 02/15/2045 | 64,575,000 | 61,560,659 | 0.4 | % | ||||||||
Total U.S. Treasury Securities | ||||||||||||
(Cost $2,340,389,265) | 2,332,340,578 | 14.3 | % | |||||||||
Other Government Related Securities | ||||||||||||
Other Government Related Securities(6)(7) | 211,373,533 | 1.3 | % | |||||||||
Total Other Government Related Securities | ||||||||||||
(Cost $206,792,952) | 211,373,533 | 1.3 | % | |||||||||
Corporate Bonds | ||||||||||||
Industrials | ||||||||||||
Abbott Laboratories, | ||||||||||||
4.750%, 11/30/2036 | 38,500,000 | 43,258,636 | 0.3 | % | ||||||||
Diamond 1 Finance Corp. / Diamond 2 Finance Corp., | ||||||||||||
4.420%, 06/15/2021(2) | 39,125,000 | 40,769,001 | 0.2 | % | ||||||||
Forest Laboratories, Inc., | ||||||||||||
5.000%, 12/15/2021(2) | 41,397,000 | 44,273,112 | 0.3 | % | ||||||||
Genpact Luxembourg, | ||||||||||||
3.700%, 04/01/2022(1)(2) | 42,585,000 | 42,324,646 | 0.3 | % | ||||||||
Shire Acquisitions Investments Ireland DAC, | ||||||||||||
2.875%, 09/23/2023(1) | 54,196,000 | 53,278,699 | 0.3 | % | ||||||||
The Williams Companies, Inc., | ||||||||||||
3.700%, 01/15/2023 | 44,375,000 | 44,153,125 | 0.3 | % | ||||||||
Other Industrials(6)(7)(8) | 3,978,312,187 | 24.3 | % | |||||||||
Total Industrials | ||||||||||||
(Cost $4,162,815,307) | 4,246,369,406 | 26.0 | % |
The accompanying notes are an integral part of these financial statements.
Page 50
Baird Core Plus Bond Fund
Summary Schedule of Investments, December 31, 2017
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
Utilities | ||||||||||||
Enel Finance International NV, | ||||||||||||
4.750%, 05/25/2047(1)(2) | $ | 42,584,000 | $ | 46,108,765 | 0.3 | % | ||||||
Other Utilities(6)(7) | 211,694,800 | 1.3 | % | |||||||||
Total Utilities | ||||||||||||
(Cost $251,022,753) | 257,803,565 | 1.6 | % | |||||||||
Financials | ||||||||||||
Capital One Bank (USA) NA, | ||||||||||||
3.375%, 02/15/2023 | 42,388,000 | 42,806,372 | 0.3 | % | ||||||||
Royal Bank of Scotland Group PLC, | ||||||||||||
3.498%, 05/15/2023 | ||||||||||||
(3 Month LIBOR USD + 1.480%)(1)(3) | 56,785,000 | 56,908,806 | 0.3 | % | ||||||||
Other Financials(6)(7)(8) | 3,474,206,723 | 21.2 | % | |||||||||
Total Financials | ||||||||||||
(Cost $3,510,453,740) | 3,573,921,901 | 21.8 | % | |||||||||
Total Corporate Bonds | ||||||||||||
(Cost $7,924,291,800) | 8,078,094,872 | 49.4 | % | |||||||||
Taxable Municipal Bonds | ||||||||||||
Other Taxable Municipal Bonds(7) | 123,457,047 | 0.7 | % | |||||||||
Total Taxable Municipal Bonds | ||||||||||||
(Cost $119,912,299) | 123,457,047 | 0.7 | % | |||||||||
Residential Mortgage-Backed Securities | ||||||||||||
U.S. Government Agency Issues | ||||||||||||
Federal Gold Loan Mortgage Corp. (FGLMC): | ||||||||||||
3.000%, 10/01/2030 | 42,914,873 | 43,762,612 | 0.3 | % | ||||||||
3.000%, 02/01/2032 | 62,952,493 | 64,204,861 | 0.4 | % | ||||||||
3.500%, 07/01/2042 | 70,921,386 | 73,189,463 | 0.4 | % | ||||||||
3.000%, 11/01/2042 | 58,291,946 | 58,601,205 | 0.4 | % | ||||||||
3.000%, 01/01/2043 | 43,745,547 | 43,996,500 | 0.3 | % | ||||||||
3.500%, 08/01/2044 | 67,995,229 | 70,108,621 | 0.4 | % | ||||||||
3.000%, 10/01/2045 | 40,610,564 | 40,849,061 | 0.2 | % | ||||||||
3.500%, 01/01/2046 | 61,955,926 | 63,904,962 | 0.4 | % | ||||||||
3.500%, 08/01/2046 | 66,116,671 | 68,308,103 | 0.4 | % | ||||||||
3.000%, 05/01/2047 | 90,814,790 | 90,993,353 | 0.6 | % | ||||||||
3.000%-6.500%, 12/01/2020-10/01/2045 | 451,282,023 | 467,645,988 | 2.9 | % | ||||||||
Federal National Mortgage Association (FNMA): | ||||||||||||
3.500%, 07/01/2027 | 43,124,905 | 44,675,122 | 0.3 | % | ||||||||
3.500%, 01/01/2032 | 54,477,348 | 56,650,938 | 0.3 | % | ||||||||
5.000%, 02/01/2035 | 38,172,015 | 41,411,373 | 0.2 | % | ||||||||
3.500%, 09/01/2041 | 40,211,968 | 41,520,534 | 0.3 | % | ||||||||
3.500%, 09/01/2043 | 47,189,817 | 48,744,939 | 0.3 | % | ||||||||
3.500%, 02/01/2045 | 63,892,750 | 65,967,980 | 0.4 | % | ||||||||
4.000%, 02/01/2045 | 55,902,664 | 58,834,929 | 0.4 | % |
The accompanying notes are an integral part of these financial statements.
Page 51
Baird Core Plus Bond Fund
Summary Schedule of Investments, December 31, 2017
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
Federal National Mortgage Association (FNMA): | ||||||||||||
4.000%, 11/01/2045 | $ | 70,080,535 | $ | 73,303,592 | 0.4 | % | ||||||
3.500%, 12/01/2045 | 48,161,145 | 49,474,459 | 0.3 | % | ||||||||
4.500%, 02/01/2046 | 40,984,814 | 43,917,928 | 0.3 | % | ||||||||
4.500%, 08/01/2046 | 45,126,513 | 48,103,948 | 0.3 | % | ||||||||
3.500%, 11/01/2046 | 39,692,006 | 40,774,374 | 0.2 | % | ||||||||
2.500%-6.500%, 11/01/2021-10/01/2046 | 833,264,519 | 868,674,324 | 5.3 | % | ||||||||
Government National Mortgage Association (GNMA): | ||||||||||||
3.000%, 08/20/2046 | 60,671,081 | 61,280,535 | 0.4 | % | ||||||||
3.000%-6.500%, 12/20/2028-06/20/2046 | 223,258,770 | 232,036,692 | 1.4 | % | ||||||||
Other U.S. Government Agency Issues(7) | 658,359 | 0.0 | % | |||||||||
Total U.S. Government Agency Issues | ||||||||||||
(Cost $2,857,323,699) | 2,861,594,755 | 17.5 | % | |||||||||
Non-U.S. Government Agency Issues | ||||||||||||
Argent Securities Inc. Asset-Backed Pass-Through Certificates, | ||||||||||||
Series 2005-W5, Class A1, 1.787%, 01/25/2036 | ||||||||||||
(1 Month LIBOR USD + 0.240%)(3) | 45,568,898 | 45,186,092 | 0.3 | % | ||||||||
Other Non-U.S. Government Agency Issues(6)(7)(9) | 1,008,339,976 | 6.1 | % | |||||||||
Total Non-U.S. Government Agency Issues | ||||||||||||
(Cost $1,044,933,592) | 1,053,526,068 | 6.4 | % | |||||||||
Commercial Mortgage-Backed Securities | ||||||||||||
U.S. Government Agency Issues | ||||||||||||
Federal Home Loan Mortgage Corp. (FHLMC), | ||||||||||||
Series K037, Class A2, 3.490%, 01/25/2024 | 66,850,000 | 70,184,217 | 0.4 | % | ||||||||
Freddie Mac Multifamily Structured | ||||||||||||
Pass Through Certificates: | ||||||||||||
Series K029, Class A2, 3.320%, 02/25/2023(4) | 64,357,000 | 66,916,201 | 0.4 | % | ||||||||
Series K048, Class A2, 3.284%, 06/25/2025(4) | 53,605,000 | 55,585,989 | 0.4 | % | ||||||||
Series K050, Class A2, 3.334%, 08/25/2025(4) | 82,601,000 | 85,914,126 | 0.5 | % | ||||||||
3.130%-3.347%, 06/25/2021-11/25/2026 | 49,800,000 | 51,568,540 | 0.3 | % | ||||||||
Other U.S. Government Agency Issues(7) | 29,644,129 | 0.2 | % | |||||||||
Total U.S. Government Agency Issues | ||||||||||||
(Cost $359,951,172) | 359,813,202 | 2.2 | % | |||||||||
Non-U.S. Government Agency Issues | ||||||||||||
BANK, | ||||||||||||
Series 2017-BNK8, Class A4, 3.488%, 11/15/2050 | 43,125,000 | 44,292,618 | 0.3 | % | ||||||||
GS Mortgage Securities Trust, | ||||||||||||
Series 2012-GCJ9, Class A3, 2.773%, 11/10/2045 | 41,375,651 | 41,457,558 | 0.2 | % |
The accompanying notes are an integral part of these financial statements.
Page 52
Baird Core Plus Bond Fund
Summary Schedule of Investments, December 31, 2017
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 | $ | 40,030,000 | $ | 40,782,428 | 0.2 | % | ||||||
Series 2013-C10, Class A3, 3.967%, 07/15/2046(4) | 44,160,000 | 46,656,550 | 0.3 | % | ||||||||
Other Non-U.S. Government Agency Issues(7) | 581,581,281 | 3.6 | % | |||||||||
Total Non-U.S. Government Agency Issues | ||||||||||||
(Cost $758,163,216) | 754,770,435 | 4.6 | % | |||||||||
Other Asset Backed Securities | ||||||||||||
Ford Credit Auto Owner Trust, | ||||||||||||
Series 2016-2, Class A, 2.030%, 12/15/2027(2) | 57,275,000 | 56,447,691 | 0.4 | % | ||||||||
Other Asset Backed Securities(6)(7) | 249,481,737 | 1.5 | % | |||||||||
Total Other Asset Backed Securities | ||||||||||||
(Cost $307,416,883) | 305,929,428 | 1.9 | % | |||||||||
Total Long-Term Investments | ||||||||||||
(Cost $15,919,174,878) | 16,080,899,918 | 98.3 | % | |||||||||
Short-Term Investment | ||||||||||||
Shares | ||||||||||||
Money Market Mutual Fund | ||||||||||||
Fidelity Institutional Money Market Fund – | ||||||||||||
Government Portfolio, Institutional Class, 1.19%(5) | 358,474,852 | 358,474,852 | 2.2 | % | ||||||||
Total Short-Term Investment | ||||||||||||
(Cost $358,474,852) | 358,474,852 | 2.2 | % | |||||||||
Total Investments | ||||||||||||
(Cost $16,277,649,730) | 16,439,374,770 | 100.5 | % | |||||||||
Liabilities in Excess of Other Assets | (88,208,348 | ) | (0.5 | )% | ||||||||
TOTAL NET ASSETS | $ | 16,351,166,422 | 100.0 | % |
Notes to Summary Schedule of Investments
(1) | Foreign Security. |
(2) | Security as defined in Rule 144A 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, 2017, the value of these securities total $229,923,215, which represents 1.41% of total net assets. |
(3) | Variable rate security based on a reference index and spread. The rate reported is the rate in effect as of December 31, 2017. |
(4) | Variable rate security. The coupon is based on an underlying pool of loans. The rate reported is the rate in effect as of December 31, 2017. |
(5) | 7-Day Yield. |
(6) | Groupings contain, in aggregate, securities defined in Rule 144A under the Securities Act of 1933 totaling $2,741,186,365, representing 16.76% of net assets. |
(7) | Represents the aggregate value, by category, of securities that are not among the 50 largest holdings and, in total for any issuer, represent 1% or less of net assets. |
(8) | Groupings contain a security in default. |
(9) | Groupings contain a security that, on the last payment date, missed a partial principal or interest payment. |
The accompanying notes are an integral part of these financial statements.
Page 53
Baird Core Plus Bond Fund
Summary Schedule of Investments, December 31, 2017
Summary of Fair Value Exposure at December 31, 2017
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, 2017:
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Long-Term Investments | ||||||||||||||||
U.S. Treasury Securities | $ | — | $ | 2,332,340,578 | $ | — | $ | 2,332,340,578 | ||||||||
Other Government Related Securities | — | 211,373,533 | — | 211,373,533 | ||||||||||||
Corporate Bonds | — | 8,078,094,872 | — | 8,078,094,872 | ||||||||||||
Taxable Municipal Bonds | — | 123,457,047 | — | 123,457,047 | ||||||||||||
Residential Mortgage-Backed Securities – | ||||||||||||||||
U.S. Government Agency Issues | — | 2,861,594,755 | — | 2,861,594,755 | ||||||||||||
Residential Mortgage-Backed Securities – | ||||||||||||||||
Non-U.S. Government Agency Issues | — | 1,053,526,068 | — | 1,053,526,068 | ||||||||||||
Commercial Mortgage-Backed Securities – | ||||||||||||||||
U.S. Government Agency Issues | — | 359,813,202 | — | 359,813,202 | ||||||||||||
Commercial Mortgage-Backed Securities – | ||||||||||||||||
Non-U.S. Government Agency Issues | — | 754,770,435 | — | 754,770,435 | ||||||||||||
Other Asset Backed Securities | — | 305,929,428 | — | 305,929,428 | ||||||||||||
Total Long-Term Investments | — | 16,080,899,918 | — | 16,080,899,918 | ||||||||||||
Short-Term Investment | ||||||||||||||||
Money Market Mutual Fund | 358,474,852 | — | — | 358,474,852 | ||||||||||||
Total Short-Term Investment | 358,474,852 | — | — | 358,474,852 | ||||||||||||
Total Investments | $ | 358,474,852 | $ | 16,080,899,918 | $ | — | $ | 16,439,374,770 |
Changes in valuation techniques may result in transfers into or out of assigned levels within the fair value hierarchy. Transfers between levels are recognized at the end of the reporting period. 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 54
2017 Municipal Bond Market Overview
(Unaudited)
Impressive Resilience to a Changing Tax-Free Landscape
There were more than enough challenges for the municipal market to overcome in 2017, yet the market proved resilient throughout the year, ultimately providing investors with solid returns with relatively modest yield volatility. From start to finish, the political environment played a central role in driving sentiment and influencing tax-free valuations. The year began with municipal prices stabilizing after the post-election run-up in rates and especially heavy selling of tax-free bonds. President Trump’s pro-growth plans heightened uncertainty in the tax-free market, which created attractive tax-free valuations at the start of the year. Buyers recognized the value and returned, providing relatively consistent support as municipal funds experienced inflows in 40 of the 52 weeks last year. Healthcare reform was the first big GOP legislative focus, but the inability to “repeal and replace” the Affordable Care Act allowed nonprofit healthcare providers the opportunity to continue to generate reasonable margins. Ironically, the lack of progress on healthcare proved to be the catalyst for unifying a GOP coalition on tax reform. Despite repeated assurances from key participants in the tax reform negotiations that municipals were “safe,” it was evident once the House version of the tax bill was released that changes were likely to impact the municipal market, specifically limiting the volume of new tax-free supply going forward (see details below). The result was a rush to market by municipalities, boosting November supply 30% above the prior year and causing a record $62.5B of issuance in December. Because of the year end supply boost, total supply for 2017 of $436B was just 3% below the record issuance of 2016.
AAA Municipal Yields
Dec 31, | Sep 30, | Nov 30, | Dec 31, | 1Mo | 3Mo | 2017 | |
Maturity | 2016 | 2017 | 2017 | 2017 | Change | Change | Change |
1 | 1.00% | 0.92% | 1.32% | 1.44% | 0.12% | 0.52% | 0.44% |
2 | 1.23% | 1.02% | 1.52% | 1.56% | 0.04% | 0.54% | 0.33% |
3 | 1.43% | 1.13% | 1.61% | 1.59% | -0.02% | 0.46% | 0.16% |
5 | 1.80% | 1.37% | 1.78% | 1.70% | -0.08% | 0.33% | -0.10% |
7 | 2.05% | 1.64% | 1.96% | 1.80% | -0.16% | 0.16% | -0.25% |
10 | 2.35% | 2.00% | 2.21% | 2.01% | -0.20% | 0.01% | -0.34% |
30 | 3.08% | 2.90% | 2.86% | 2.62% | -0.24% | -0.28% | -0.46% |
Strong Demand Leads to Flatter Yield Curve
Investor demand rose to meet the record supply at year end, which helped to push yields lower across most of the curve in December (see 1-Month Changes above). For the full year, the yields on municipal maturities of 5-years and longer fell while short-term yields rose, leading to significant flattening of the yield curve. For example, the yield difference between the 2-year and 10-year maturities narrowed 24 bps in December alone, which was a good share of the full 67 bps narrowing for the year (from +112 bps to +45 bps). A similar but even greater flattening occurred across the entire yield curve, as the yield gap between the 2-year and 30-year maturities narrowed by 85 bps. The result of the 2017 yield changes is the flattest tax-free yield curve since before the financial crisis. While some fear a flatter curve signals an impending economic slowdown, in this cycle the shift may instead be driven by the gradual, yet steady normalization in the Fed’s monetary policy combined with moderate inflation and strong demand for bonds, particularly from the aging baby boomers seeking supplemental income in retirement.
Page 55
2017 Municipal Bond Market Overview
(Unaudited)
Tax Reform Impact on Municipals
The new “Tax Cuts and Jobs Act” will impact both the demand for and supply of municipal debt going forward. In the near-term, the net effect of the tax changes is positive for investors, but the long-term impact is mixed. Demand from individuals for tax-free bonds is expected to remain strong as the top marginal income tax rate fell only modestly to 37% from 39.6%. Demand from investors in higher tax states should increase since the value of the exemption rises now that deductibility of state and local taxes (SALT) is capped at $10,000 under the new law. Offsetting this will be less demand from corporate investors with the new corporate rate at 21%, down from 35%. According to the most recent Federal Reserve data (Q3 2017), corporations (primarily banks and insurance companies) held 30% of all outstanding municipal debt. Importantly, the data also show that corporate purchases of municipal debt in 2017 was relatively modest, so the near-term impact may be less significant, particularly since there is little question that supply levels will decline in 2018. New issuance is expected to fall by approximately 20% from 2017 levels since the new law prohibits municipalities from advance refunding their debt in the tax-exempt market (an advance refunding is any refinancing that occurs more than 60 days prior to the call date). Despite the primarily positive impact in the near-term from the tax changes, longer term questions remain. For example, it remains to be seen how less corporate demand may impact the slope of the yield curve and whether banks and insurers, which typically buy longer maturity debt (beyond 10 years), will be fully replaced by individual buyers and mutual funds. It is also uncertain how much more difficult it may be for municipalities to raise taxes in the future, given the new cap on SALT deductibility and the increased taxpayer awareness of their tax burden. For sure, the municipal market has adapted to tax changes in the past and will do so once again. Yet, the long-term effects, both on supply/demand conditions as well as credit implications, will require close monitoring over the course of 2018.
2017 Key Municipal Credit Events
• | Illinois finally reached a budget agreement after two years of political stalemate. The legislature overrode the Governor’s veto to raise both corporate and personal income taxes while also cutting spending. All of the rating agencies affirmed the state’s rating within the lowest tier of the investment grade category and the state was able to borrow in the municipal market to pay down their large backlog of unpaid bills. | |
• | The agreement at the state level also allowed for the near-term stabilization of both the City of Chicago and Chicago Board of Education credits. The City successfully securitized a portion of their sales tax revenue in a new security AAA-rated structure which allowed them to lower their cost of borrowing and the ability to repay some of their higher cost GO debt. Longer-term challenges remain for both of these credits as unfunded pension liabilities are very large. | |
• | The U.S. suffered a string of natural disasters that proved costly to all levels of government: local, state and federal. Three Category 4 hurricanes hit the U.S. coast, with Texas, Florida, and Puerto Rico being the hardest hit. The strong fiscal position of Texas and Florida, along with significant federal support, minimized any long-term damage to these states or local communities. Puerto Rico’s damage was more severe and long lasting, with nearly 50% of the island still without power over three months after the storm struck the island. Puerto Rico’s GO debt traded to the low-$20’s as economic uncertainty rose and bondholder recovery expectations were reevaluated. | |
• | Hartford, CT averted a threatened bankruptcy filing after the state reached a budget agreement that provided additional support for the state’s capitol. Among Hartford’s challenges is that nearly one-half of city parcels are exempt from property tax, limiting the options to increase revenues at the local level. | |
• | While unfunded pension and related liabilities remain a long-term challenge for many municipalities, caution and frugality is evident across the majority of state budgets. According to a National Association of State Budget Officers (NASBO) Fiscal Survey of States, 26 states are increasing FY2018 spending by less than 2%, and another 15 states are cutting spending year-over-year. At the same time, state general fund revenues are expected to rise by 4%, allowing at least 25 states to project increases in reserves this fiscal year in preparation for the next economic slowdown. |
Page 56
2017 Municipal Bond Market Overview
(Unaudited)
Solid Returns to Finish a Strong Year
December performance provided a solid finish to a strong year of returns for the municipal market, in spite of record year end supply. Returns for the month were indicative of the full calendar year in which both curve and credit risk were rewarded. In 2017, longer maturities outperformed intermediate and shorter segments of the curve by a significant margin. The difference in returns between lower quality credit and higher quality was also meaningful, with High Yield municipals outperforming all other categories. Not surprisingly, the higher-quality Prerefunded sector lagged both the General Obligation and Revenue sectors in 2017.
Total Returns of Selected Barclays Municipal Indices and Subsectors
Bloomberg | Bloomberg | |||||||
Barclays | Barclays | |||||||
Index/Sector | Dec | 3Mo | 2017 | Quality | Dec | 3Mo | 2017 | |
Municipal Bond Index | 1.05% | 0.75% | 5.45% | AAA | 1.01% | 0.51% | 4.45% | |
General Obligation bonds | 1.01% | 0.56% | 5.24% | AA | 1.02% | 0.65% | 4.96% | |
Revenue bonds | 1.14% | 0.96% | 6.00% | A | 1.08% | 0.89% | 6.16% | |
Prerefunded bonds | 0.24% | -0.54% | 1.37% | BBB | 1.20% | 1.41% | 8.74% | |
Long maturities (22+ yrs.) | 1.55% | 2.23% | 8.19% | High Yield | 1.30% | 1.83% | 9.69% | |
Intermediate | HY, ex- | |||||||
maturities (1 – 17 yrs.) | 0.83% | 0.15% | 4.33% | Puerto Rico | 1.36% | 2.28% | 12.86% | |
Short maturities (1 – 5 yrs.) | 0.20% | -0.65% | 1.61% |
2018 Outlook
The outlook for the municipal market in 2018 is positive, due to expectations of relatively light new supply, primarily due to the lack of advance refundings but also because some 2018 supply was also pulled into 2017. Yet, individual investor demand should remain steady. The favorable technical outlook is enhanced by the solid fundamental fiscal position of most municipalities. Municipal credit spreads, while narrower than they were a year ago, are still sufficiently wide on select A and BBB rated issues to expect outperformance once again relative to higher quality issues. Revenue-backed issues, which tend to have less political and pension-related risk than the typical General Obligation issues continue to warrant an overweight allocation. The Prerefunded sector should benefit from a gradually shrinking supply of outstanding issues, but year-end valuations already largely reflect this. Like any outlook, however, there is uncertainty around this base case scenario. First, the year begins with a new tax policy that impacts both personal and corporate spending and investing behavior. It is unknown the extent to which economic growth and inflation will be affected by the lower tax rates, but a modest boost to each would be welcomed by investors and policy makers alike. Slightly faster growth and higher inflation would most likely also put modest upward pressure on municipal yields – a risk, but something that many investors would also welcome. A second uncertainty centers on the aforementioned question regarding corporate interest in the municipal market. While we expect the curve flattening trend to continue, a resteepening of the curve or at least a slower pace of flattening may instead be the result of the corporate tax change. Finally, President Trump continues to promise an infrastructure plan, which could change the supply outlook if municipalities were incentivized to borrow. This risk is modest and would certainly be more of a second half concern. The challenge in passing an infrastructure plan is not agreeing on the need, but rather on the funding. The infrastructure funding hurdle got even higher with the passage of the tax bill which already adds to the federal budget deficit.
Page 57
2017 Municipal Bond Market Overview
(Unaudited)
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 Bloomberg 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 Bloomberg Barclays Municipal Bond Index and do not represent separate indices.
The Bloomberg 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 Bloomberg Barclays Municipal Bond Index or Bloomberg 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.
Ratings are measured on a scale that ranges from AAA or Aaa (highest) to D or C (lowest). Investment grade investments are those rated from highest down to BBB- or Baa3.
Page 58
Baird Short-Term Municipal Bond Fund
December 31, 2017 (Unaudited)
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.
Favorable supply/demand conditions in the market helped the Fund generate positive absolute performance while also outperforming its benchmark in 2017.
There were more than enough challenges for the municipal market to overcome in 2017, yet the market proved resilient throughout the year, ultimately providing investors with solid returns with relatively modest yield volatility. From start to finish, the political environment played a central role in driving sentiment and influencing tax-free valuations. The year began with municipal prices stabilizing after the post-election run-up in rates and especially heavy selling of tax-free bonds. The inability to “repeal and replace” the Affordable Care Act allowed nonprofit healthcare providers the opportunity to continue to generate reasonable margins. With respect to tax reform, despite repeated assurances from key participants in the tax reform negotiations that municipals were “safe,” it was evident once the House version of the tax bill was released that changes were likely to impact the municipal market, specifically limiting the volume of new tax-free supply going forward. The result was a rush to market by municipalities, boosting November supply 30% above the prior year and causing a record $62.5B of issuance in December.
Positive contributors to the Fund’s relative performance include:
• | Favorable positioning along the yield curve | |
• | Modest overweight to credit | |
• | An overweight to the Revenue sector, particularly Housing and Healthcare issues | |
• | Security selection |
The outlook for the municipal market in 2018 is positive, due to expectations of relatively light new supply, primarily due to the lack of advance refundings but also because some 2018 supply was pulled into 2017. The favorable technical outlook is enhanced by the solid fundamental fiscal position of most municipalities. Like any outlook, however, there is uncertainty around this base case scenario. The first is the unknown impact the new tax policy will have on economic growth and inflation. A second uncertainty centers on corporate interest in the municipal market. While we expect the curve flattening trend to continue, a resteepening of the curve or at least a slower pace of flattening may instead be the result of the corporate tax change. Finally, President Trump continues to promise an infrastructure plan, which could change the supply outlook if municipalities were incentivized to borrow. This risk is modest and would likely be more of a second half concern. In this uncertain environment, we believe the Fund is well positioned to continue to provide shareholders with high-quality access to the municipal market.
Page 59
Baird Short-Term Municipal Bond Fund
December 31, 2017 (Unaudited)
Portfolio Characteristics
Quality Distribution(1)(2)
Net Assets | $125,803,801 | |||
SEC 30-Day | ||||
Yield(4) | ||||
Institutional Class | 1.85% | |||
Investor Class | 1.61% | |||
Average | ||||
Effective | ||||
Duration | 2.30 years | |||
Average | ||||
Effective | ||||
Maturity | 2.60 years | |||
Annualized | ||||
Sector Weightings(1) | Expense | |||
Ratio(5) | ||||
Institutional Class | 0.30% | |||
Investor Class | 0.55% | (6) | ||
Portfolio | ||||
Turnover Rate | 53.6% | |||
Number of | ||||
Holdings | 575 | |||
(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, 2017. |
(5) | Reflects expense ratios as stated in the Fund’s current prospectus. |
(6) | Includes 0.25% 12b-1 fee. |
Page 60
Baird Short-Term Municipal Bond Fund
December 31, 2017 (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, 2017 (Unaudited)
Total Returns
Average | ||
Annual | ||
One | Since | |
For the Periods Ended December 31, 2017 | Year | Inception(1) |
Institutional Class Shares | 2.84% | 1.92% |
Investor Class Shares | 2.45% | 1.59% |
Bloomberg Barclays Short (1-5 Year) Municipal Bond Index(2) | 1.61% | 0.89% |
(1) | For the period from August 31, 2015 (inception date) through December 31, 2017. |
(2) | The Bloomberg 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 10% 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 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, 2017
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.bairdassetmanagement.com/baird-funds/funds-and-performance#Literature 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 | ||||||||||||
Black Belt Energy Gas District | ||||||||||||
4.000%, 07/01/2046(Callable 03/01/2021) | ||||||||||||
(Mandatory Tender Date 06/01/2021)(1) | $ | 570,000 | $ | 603,915 | 0.5 | % | ||||||
4.000%, 08/01/2047(Callable 04/01/2022) | ||||||||||||
(Mandatory Tender Date 07/01/2022)(1) | 500,000 | 538,090 | 0.4 | % | ||||||||
Other Alabama(6) | 309,759 | 0.3 | % | |||||||||
Total Alabama | ||||||||||||
(Cost $1,466,839) | 1,451,764 | 1.2 | % | |||||||||
Alaska | ||||||||||||
Alaska Industrial Development & Export Authority | ||||||||||||
3.500%, 12/01/2020(Callable 12/01/2019) | 750,000 | 762,353 | 0.6 | % | ||||||||
Other Alaska(6) | 20,167 | 0.0 | % | |||||||||
Total Alaska | ||||||||||||
(Cost $784,327) | 782,520 | 0.6 | % | |||||||||
Arizona | ||||||||||||
Total Arizona | ||||||||||||
(Cost $1,858,468)(3)(6) | 1,851,514 | 1.5 | % | |||||||||
Arkansas | ||||||||||||
City of Fayetteville AR | ||||||||||||
3.050%, 01/01/2047(Callable 01/01/2027) | 700,000 | 702,737 | 0.6 | % | ||||||||
City of Magnolia AR | ||||||||||||
2.600%, 08/01/2036(Callable 08/01/2024) | ||||||||||||
(Insured by BAM)(4) | 565,000 | 564,175 | 0.4 | % | ||||||||
City of Pine Bluff AR | ||||||||||||
3.000%, 02/01/2047(Callable 08/01/2027) | ||||||||||||
(Insured by BAM) | 625,000 | 627,581 | 0.5 | % | ||||||||
Other Arkansas(6) | 2,445,292 | 1.9 | % | |||||||||
Total Arkansas | ||||||||||||
(Cost $4,308,388) | 4,339,785 | 3.4 | % |
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, 2017
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
California | ||||||||||||
Colton Public Financing Authority | ||||||||||||
5.000%, 04/01/2024(Callable 04/01/2022) | $ | 565,000 | $ | 629,969 | 0.5 | % | ||||||
Northern California Gas Authority | ||||||||||||
1.525%, 07/01/2019 | ||||||||||||
(3 Month LIBOR USD + 0.630%)(2) | 505,000 | 503,556 | 0.4 | % | ||||||||
Other California(6) | 3,807,092 | 3.0 | % | |||||||||
Total California | ||||||||||||
(Cost $4,920,387) | 4,940,617 | 3.9 | % | |||||||||
Colorado | ||||||||||||
Adams County Housing Authority | ||||||||||||
1.500%, 11/01/2020(Callable 05/01/2019) | ||||||||||||
(Mandatory Tender Date 11/01/2019)(1) | 1,000,000 | 996,050 | 0.8 | % | ||||||||
Colorado Educational & Cultural Facilities Authority | ||||||||||||
3.000%-5.000%, 12/01/2018-10/01/2025 | 1,370,000 | 1,463,320 | 1.2 | % | ||||||||
Colorado Housing & Finance Authority | ||||||||||||
4.000%, 05/01/2048(Callable 11/01/2026) | 500,000 | 536,540 | 0.4 | % | ||||||||
Other Colorado(6) | 2,266,915 | 1.8 | % | |||||||||
Total Colorado | ||||||||||||
(Cost $5,266,200) | 5,262,825 | 4.2 | % | |||||||||
Connecticut | ||||||||||||
Total Connecticut | ||||||||||||
(Cost $1,032,310)(6) | 1,026,159 | 0.8 | % | |||||||||
District of Columbia | ||||||||||||
Total District of Columbia | ||||||||||||
(Cost $212,599)(6) | 209,055 | 0.2 | % | |||||||||
Florida | ||||||||||||
Florida Housing Finance Corp. | ||||||||||||
3.700%, 07/01/2021(Callable 01/01/2021) | 690,000 | 714,295 | 0.6 | % | ||||||||
Florida State Municipal Loan Council | ||||||||||||
3.000%, 10/01/2020 | 540,000 | 548,834 | 0.4 | % | ||||||||
Orange County Housing Finance Authority | ||||||||||||
4.000%, 09/01/2040(Callable 09/01/2024) | 640,000 | 669,504 | 0.5 | % | ||||||||
Other Florida(6) | 3,376,735 | 2.7 | % | |||||||||
Total Florida | ||||||||||||
(Cost $5,323,968) | 5,309,368 | 4.2 | % | |||||||||
Georgia | ||||||||||||
City of Atlanta GA | ||||||||||||
5.000%, 01/01/2024(Callable 01/01/2020) | 500,000 | 529,085 | 0.4 | % | ||||||||
Other Georgia(6) | 2,036,147 | 1.6 | % | |||||||||
Total Georgia | ||||||||||||
(Cost $2,563,446) | 2,565,232 | 2.0 | % |
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, 2017
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
Idaho | ||||||||||||
Total Idaho | ||||||||||||
(Cost $25,507)(6) | $ | 25,444 | 0.0 | % | ||||||||
Illinois | ||||||||||||
Champaign County Community | ||||||||||||
Unit School District No. 116 | ||||||||||||
5.000%, 01/01/2019 | $ | 1,100,000 | 1,129,359 | 0.9 | % | |||||||
City of Chicago IL | ||||||||||||
5.000%, 11/01/2020 | 850,000 | 918,034 | 0.7 | % | ||||||||
Cook county Illinois School District No. 163 | ||||||||||||
6.000%, 12/15/2024 | 795,000 | 965,273 | 0.8 | % | ||||||||
Other Illinois(6) | 15,058,695 | 12.0 | % | |||||||||
Total Illinois | ||||||||||||
(Cost $18,109,271) | 18,071,361 | 14.4 | % | |||||||||
Indiana | ||||||||||||
Total Indiana | ||||||||||||
(Cost $3,444,598)(6) | 3,450,035 | 2.7 | % | |||||||||
Iowa | ||||||||||||
County of Taylor IA | ||||||||||||
1.300%, 06/01/2019(Callable 06/01/2018) | 605,000 | 600,578 | 0.5 | % | ||||||||
Iowa Higher Education Loan Authority | ||||||||||||
2.000%, 12/01/2018(Callable 06/01/2018) | 1,000,000 | 1,000,560 | 0.8 | % | ||||||||
Other Iowa(6) | 359,209 | 0.3 | % | |||||||||
Total Iowa | ||||||||||||
(Cost $1,969,554) | 1,960,347 | 1.6 | % | |||||||||
Kansas | ||||||||||||
Total Kansas | ||||||||||||
(Cost $806,816)(6) | 809,820 | 0.6 | % | |||||||||
Kentucky | ||||||||||||
Kentucky Economic Development Finance Authority | ||||||||||||
6.500%, 03/01/2045(Pre-refunded to 06/01/2020) | 950,000 | 1,056,305 | 0.8 | % | ||||||||
4.750%-6.375%, 08/15/2019-06/01/2040 | 760,000 | 818,111 | 0.7 | % | ||||||||
Other Kentucky(6) | 50,013 | 0.0 | % | |||||||||
Total Kentucky | ||||||||||||
(Cost $1,934,353) | 1,924,429 | 1.5 | % | |||||||||
Louisiana | ||||||||||||
Louisiana Local Government Environmental Facilities | ||||||||||||
& Community Development Authority | ||||||||||||
5.875%, 10/01/2040(Pre-refunded to 10/01/2020) | 755,000 | 838,292 | 0.7 | % | ||||||||
5.500%-6.000%, 10/01/2025-10/01/2044 | 530,000 | 589,067 | 0.5 | % | ||||||||
Other Louisiana(6) | 1,196,308 | 0.9 | % | |||||||||
Total Louisiana | ||||||||||||
(Cost $2,632,311) | 2,623,667 | 2.1 | % |
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, 2017
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
Maine | ||||||||||||
Total Maine | ||||||||||||
(Cost $285,842)(6) | $ | 280,155 | 0.2 | % | ||||||||
Maryland | ||||||||||||
Total Maryland | ||||||||||||
(Cost $25,413)(6) | 25,378 | 0.0 | % | |||||||||
Massachusetts | ||||||||||||
Massachusetts Housing Finance Agency | ||||||||||||
3.500%, 12/01/2046(Callable 12/01/2025) | $ | 940,000 | 985,261 | 0.8 | % | |||||||
4.000%, 12/01/2048(Callable 06/01/2027) | 700,000 | 754,243 | 0.6 | % | ||||||||
4.000%, 12/01/2044(Callable 06/01/2025) | 165,000 | 174,347 | 0.1 | % | ||||||||
Other Massachusetts(3)(6) | 392,927 | 0.3 | % | |||||||||
Total Massachusetts | ||||||||||||
(Cost $2,293,601) | 2,306,778 | 1.8 | % | |||||||||
Michigan | ||||||||||||
Ecorse Public School District | ||||||||||||
4.000%, 05/01/2022(Insured by Q-SBLF) | 830,000 | 891,337 | 0.7 | % | ||||||||
Michigan State Housing Development Authority | ||||||||||||
3.500%, 06/01/2047(Callable 06/01/2026) | 620,000 | 645,470 | 0.5 | % | ||||||||
Other Michigan(6) | 2,743,680 | 2.2 | % | |||||||||
Total Michigan | ||||||||||||
(Cost $4,292,242) | 4,280,487 | 3.4 | % | |||||||||
Minnesota | ||||||||||||
City of Maple Grove MN | ||||||||||||
4.000%, 05/01/2022 | 600,000 | 649,500 | 0.5 | % | ||||||||
Minnesota Housing Finance Agency | ||||||||||||
4.000%, 07/01/2047(Callable 01/01/2027) | 750,000 | 796,238 | 0.6 | % | ||||||||
2.900%-4.000%, 01/01/2025-01/01/2047 | 530,000 | 561,247 | 0.5 | % | ||||||||
Other Minnesota(6) | 933,793 | 0.7 | % | |||||||||
Total Minnesota | ||||||||||||
(Cost $2,934,214) | 2,940,778 | 2.3 | % | |||||||||
Mississippi | ||||||||||||
Total Mississippi | ||||||||||||
(Cost $501,606)(6) | 500,691 | 0.4 | % | |||||||||
Missouri | ||||||||||||
Industrial Development Authority of the City of St. Louis MO | ||||||||||||
3.875%, 11/15/2029(Callable 11/15/2026) | 500,000 | 509,580 | 0.4 | % | ||||||||
Kirkwood Industrial Development Authority | ||||||||||||
8.000%, 05/15/2021(Pre-refunded 05/15/2020) | 535,000 | 588,602 | 0.5 | % | ||||||||
Missouri Housing Development Commission | ||||||||||||
4.000%, 05/01/2042(Callable 11/01/2026) | 740,000 | 793,139 | 0.6 | % | ||||||||
Other Missouri(6) | 1,611,631 | 1.3 | % | |||||||||
Total Missouri | ||||||||||||
(Cost $3,489,328) | 3,502,952 | 2.8 | % |
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, 2017
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
Nebraska | ||||||||||||
Total Nebraska | ||||||||||||
(Cost $416,671)(6) | $ | 416,902 | 0.3 | % | ||||||||
Nevada | ||||||||||||
Total Nevada | ||||||||||||
(Cost $480,692)(6) | 490,639 | 0.4 | % | |||||||||
New Jersey | ||||||||||||
City of Trenton NJ | ||||||||||||
4.000%, 07/15/2022 | $ | 500,000 | 535,720 | 0.4 | % | |||||||
New Jersey Transportation Trust Fund Authority | ||||||||||||
5.000%, 06/15/2018 | 700,000 | 709,352 | 0.6 | % | ||||||||
Other New Jersey(6)(7) | 2,975,512 | 2.4 | % | |||||||||
Total New Jersey | ||||||||||||
(Cost $4,217,633) | 4,220,584 | 3.4 | % | |||||||||
New Mexico | ||||||||||||
Total New Mexico | ||||||||||||
(Cost $643,773)(6) | 643,212 | 0.5 | % | |||||||||
New York | ||||||||||||
Metropolitan Transportation Authority | ||||||||||||
2.290%, 11/01/2031 (SIFMA Municipal Swap | ||||||||||||
Index + 0.580%)(Callable 05/01/2019) | ||||||||||||
(Mandatory Tender Date 11/01/2019)(2) | 500,000 | 500,355 | 0.4 | % | ||||||||
MTA Hudson Rail Yards Trust Obligations | ||||||||||||
5.000%, 11/15/2046(Callable 11/15/2019) | 750,000 | 789,877 | 0.6 | % | ||||||||
Triborough Bridge & Tunnel Authority | ||||||||||||
1.504%, 01/01/2031 (1 Month LIBOR | ||||||||||||
USD + 0.580%)(Callable 11/01/2018) | ||||||||||||
(Mandatory Tender Date 12/01/2018)(2) | 600,000 | 600,942 | 0.5 | % | ||||||||
Other New York(6) | 3,090,969 | 2.5 | % | |||||||||
Total New York | ||||||||||||
(Cost $4,985,144) | 4,982,143 | 4.0 | % | |||||||||
North Carolina | ||||||||||||
North Carolina Eastern Municipal Power Agency | ||||||||||||
5.000%, 01/01/2021(ETM) | 580,000 | 634,578 | 0.5 | % | ||||||||
6.000%, 01/01/2022(ETM) | 925,000 | 1,073,315 | 0.9 | % | ||||||||
5.000%, 01/01/2021(ETM) | 435,000 | 475,933 | 0.4 | % | ||||||||
North Carolina Municipal Power Agency | ||||||||||||
0.000%, 01/01/2020 | 1,000,000 | 1,047,250 | 0.8 | % | ||||||||
State of North Carolina | ||||||||||||
5.000%, 05/01/2024(Callable 05/01/2023) | 1,000,000 | 1,160,200 | 0.9 | % | ||||||||
Other North Carolina(6) | 829,795 | 0.7 | % | |||||||||
Total North Carolina | ||||||||||||
(Cost $5,209,367) | 5,221,071 | 4.2 | % |
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, 2017
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
North Dakota | ||||||||||||
County of Ward ND | ||||||||||||
4.000%, 04/01/2024(Callable 04/01/2023) | ||||||||||||
(Insured by AGM) | $ | 500,000 | $ | 541,755 | 0.4 | % | ||||||
Jamestown Park District | ||||||||||||
2.900%, 07/01/2035(Callable 01/16/2018) | 555,000 | 543,300 | 0.4 | % | ||||||||
Other North Dakota(6) | 473,801 | 0.4 | % | |||||||||
Total North Dakota | ||||||||||||
(Cost $1,540,524) | 1,558,856 | 1.2 | % | |||||||||
Ohio | ||||||||||||
Total Ohio | ||||||||||||
(Cost $1,699,423)(6) | 1,698,638 | 1.4 | % | |||||||||
Oklahoma | ||||||||||||
Total Oklahoma | ||||||||||||
(Cost $76,395)(6) | 76,136 | 0.1 | % | |||||||||
Oregon | ||||||||||||
State of Oregon | ||||||||||||
4.000%, 12/01/2048(Callable 12/01/2026) | 1,000,000 | 1,071,740 | 0.9 | % | ||||||||
Other Oregon(6) | 434,190 | 0.3 | % | |||||||||
Total Oregon | ||||||||||||
(Cost $1,510,496) | 1,505,930 | 1.2 | % | |||||||||
Pennsylvania | ||||||||||||
Total Pennsylvania | ||||||||||||
(Cost $5,736,069)(6) | 5,727,896 | 4.6 | % | |||||||||
Puerto Rico | ||||||||||||
Total Puerto Rico | ||||||||||||
(Cost $623,004)(6) | 621,771 | 0.5 | % | |||||||||
Rhode Island | ||||||||||||
Rhode Island Health & Educational Building Corp. | ||||||||||||
5.000%, 05/15/2024 | 500,000 | 583,060 | 0.5 | % | ||||||||
Other Rhode Island(6) | 161,534 | 0.1 | % | |||||||||
Total Rhode Island | ||||||||||||
(Cost $754,206) | 744,594 | 0.6 | % | |||||||||
South Carolina | ||||||||||||
Total South Carolina | ||||||||||||
(Cost $949,262)(6) | 943,114 | 0.7 | % | |||||||||
Tennessee | ||||||||||||
Nashville & Davidson County Metropolitan Government | ||||||||||||
1.550%, 11/15/2030 | ||||||||||||
(Mandatory Tender Date 11/03/2020)(1) | 750,000 | 742,170 | 0.6 | % |
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, 2017
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
Tennessee Energy Acquisition Corp. | ||||||||||||
4.000%, 05/01/2048(Callable 02/01/2023) | ||||||||||||
(Mandatory Tender Date 05/01/2023)(1) | $ | 555,000 | $ | 607,875 | 0.5 | % | ||||||
Other Tennessee(6) | 1,184,353 | 0.9 | % | |||||||||
Total Tennessee | ||||||||||||
(Cost $2,536,351) | 2,534,398 | 2.0 | % | |||||||||
Texas | ||||||||||||
Fort Bend Independent School District | ||||||||||||
1.350%, 08/01/2040 | ||||||||||||
(Callable 02/01/2018)(Mandatory Tender | ||||||||||||
Date 08/01/2019)(PSF Guaranteed)(1) | 505,000 | 501,399 | 0.4 | % | ||||||||
Texas Department of Housing & Community Affairs | ||||||||||||
4.050%, 07/01/2026(Callable 01/01/2021) | 515,000 | 536,682 | 0.4 | % | ||||||||
Other Texas(6) | 7,648,600 | 6.1 | % | |||||||||
Total Texas | ||||||||||||
(Cost $8,715,127) | 8,686,681 | 6.9 | % | |||||||||
Utah | ||||||||||||
Total Utah | ||||||||||||
(Cost $345,649)(6) | 346,076 | 0.3 | % | |||||||||
Vermont | ||||||||||||
Total Vermont | ||||||||||||
(Cost $804,509)(6) | 794,404 | 0.6 | % | |||||||||
Virgin Islands | ||||||||||||
Total Virgin Islands | ||||||||||||
(Cost $107,572)(6) | 105,600 | 0.1 | % | |||||||||
Virginia | ||||||||||||
Total Virginia | ||||||||||||
(Cost $730,054)(6) | 727,567 | 0.6 | % | |||||||||
Washington | ||||||||||||
Grays Harbor County Public Hospital District No. 1 | ||||||||||||
3.000%, 08/01/2019(Callable 12/01/2018) | 500,000 | 499,915 | 0.4 | % | ||||||||
Other Washington(6) | 559,413 | 0.4 | % | |||||||||
Total Washington | ||||||||||||
(Cost $1,061,506) | 1,059,328 | 0.8 | % | |||||||||
West Virginia | ||||||||||||
Total West Virginia | ||||||||||||
(Cost $126,708)(6) | 125,752 | 0.1 | % |
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, 2017
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
Wisconsin | ||||||||||||
Wisconsin Housing & Economic Development Authority | ||||||||||||
3.500%, 09/01/2046(Callable 09/01/2025) | $ | 475,000 | $ | 499,828 | 0.4 | % | ||||||
4.000%, 03/01/2048(Callable 03/01/2027) | 500,000 | 535,970 | 0.5 | % | ||||||||
Other Wisconsin(6) | 2,064,055 | �� | 1.6 | % | ||||||||
Total Wisconsin | ||||||||||||
(Cost $3,116,127) | 3,099,853 | 2.5 | % | |||||||||
Total Long-Term Investments | ||||||||||||
(Cost $116,867,850) | 116,772,306 | 92.8 | % | |||||||||
Short-Term Investment | ||||||||||||
Shares | ||||||||||||
Money Market Mutual Fund | ||||||||||||
Fidelity Institutional Money Market Fund – | ||||||||||||
Government Portfolio, Institutional Class, 1.19%(5) | 163,311 | 163,311 | 0.1 | % | ||||||||
Total Short-Term Investment | ||||||||||||
(Cost $163,311) | 163,311 | 0.1 | % | |||||||||
Total Investments | ||||||||||||
(Cost $117,031,161) | 116,935,617 | 92.9 | % | |||||||||
Other Assets in Excess of Liabilities | 8,868,184 | 7.0 | % | |||||||||
TOTAL NET ASSETS | $ | 125,803,801 | 99.9 | % |
Notes to Summary Schedule of Investments
AGM – Assured Guaranty Municipal
BAM – Build America Mutual Assurance Co.
ETM – Escrowed to Maturity
PSF – Texas Permanent School Fund
Q-SBLF – Qualified School Building Loan Fund
(1) | Variable rate security. The coupon is based on an underlying pool of loans. The rate reported is the rate in effect as of December 31, 2017. |
(2) | Variable rate security based on a reference index and spread. The rate reported is the rate in effect as of December 31, 2017. |
(3) | Groupings contain, in aggregate, securities defined in Rule 144A under the Securities Act of 1933 totaling $332,410, representing 0.26% of net assets. |
(4) | Security or a portion of the security purchased on a when-issued or delayed delivery basis. |
(5) | 7-Day Yield. |
(6) | Represents the aggregate value, by category, of securities that are not among the 50 largest holdings and, in total for any issuer, represent 1% or less of net assets. |
(7) | Groupings contain a security that, on the last payment date, missed a partial principal or interest payment. |
The accompanying notes are an integral part of these financial statements.
Page 70
Baird Short-Term Municipal Bond Fund
Summary Schedule of Investments, December 31, 2017
Summary of Fair Value Exposure at December 31, 2017
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, 2017:
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Long-Term Investments | ||||||||||||||||
Municipal Bonds | $ | — | $ | 116,772,306 | $ | — | $ | 116,772,306 | ||||||||
Total Long-Term Investments | — | 116,772,306 | — | 116,772,306 | ||||||||||||
Short-Term Investment | ||||||||||||||||
Money Market Mutual Fund | 163,311 | — | — | 163,311 | ||||||||||||
Total Short-Term Investment | 163,311 | — | — | 163,311 | ||||||||||||
Total Investments | $ | 163,311 | $ | 116,772,306 | $ | — | $ | 116,935,617 |
Changes in valuation techniques may result in transfers into or out of assigned levels within the fair value hierarchy. Transfers between levels are recognized at the end of the reporting period. 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 71
Baird Quality Intermediate Municipal Bond Fund
December 31, 2017 (Unaudited)
The Baird Quality Intermediate Municipal Bond Fund seeks current income that is exempt from federal income tax. As a reminder, the Fund maintains a quality focus and there are several key strategies employed on an ongoing basis that differentiate it from others in the intermediate municipal fund space. These include a consistent overweight among higher quality issues, with particular emphasis on AAA rated securities, a persistent overweight to U.S. government backed issues, and minimization of maturity extension risk.
Favorable supply/demand conditions in the market helped the Fund generate positive absolute performance while lagging its benchmark in 2017.
There were more than enough challenges for the municipal market to overcome in 2017, yet the market proved resilient throughout the year, ultimately providing investors with solid returns with relatively modest yield volatility. From start to finish, the political environment played a central role in driving sentiment and influencing tax-free valuations. The year began with municipal prices stabilizing after the post-election run-up in rates and especially heavy selling of tax-free bonds. The inability to “repeal and replace” the Affordable Care Act allowed nonprofit healthcare providers the opportunity to continue to generate reasonable margins. With respect to tax reform, despite repeated assurances from key participants in the tax reform negotiations that municipals were “safe,” it was evident once the House version of the tax bill was released that changes were likely to impact the municipal market, specifically limiting the volume of new tax-free supply going forward. The result was a rush to market by municipalities, boosting November supply 30% above the prior year and causing a record $62.5B of issuance in December.
Positive contributors to the Fund’s relative performance include:
• | Sector weighting | |
• | Security selection |
Detractors from the Fund’s relative performance include:
• | The overweight to higher quality issues. |
The outlook for the municipal market in 2018 is positive, due to expectations of relatively light new supply, primarily due to the lack of advance refundings but also because some 2018 supply was pulled into 2017. The favorable technical outlook is enhanced by the solid fundamental fiscal position of most municipalities. Like any outlook, however, there is uncertainty around this base case scenario. The first is the unknown impact the new tax policy will have on economic growth and inflation. A second uncertainty centers on corporate interest in the municipal market. While we expect the curve flattening trend to continue, a resteepening of the curve or at least a slower pace of flattening may instead be the result of the corporate tax change. Finally, President Trump continues to promise an infrastructure plan, which could change the supply outlook if municipalities were incentivized to borrow. This risk is modest and would likely be more of a second half concern. In this uncertain environment, we believe the Fund is well positioned to continue to provide shareholders with very high quality access to the municipal market.
Page 72
Baird Quality Intermediate Municipal Bond Fund
December 31, 2017 (Unaudited)
Portfolio Characteristics
Quality Distribution(1)(2)
Net Assets | $1,151,416,015 | |||
SEC 30-Day | ||||
Yield(4) | ||||
Institutional Class | 1.92% | |||
Investor Class | 1.67% | |||
Average | ||||
Effective | ||||
Duration | 4.64 years | |||
Average | ||||
Effective | ||||
Maturity | 5.04 years | |||
Annualized | ||||
Sector Weightings(1) | Expense | |||
Ratio(5) | ||||
Institutional Class | 0.30% | |||
Investor Class | 0.55% | (6) | ||
Portfolio | ||||
Turnover Rate | 31.2% | |||
Number of | ||||
Holdings | 429 | |||
(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, 2017. |
(5) | Reflects expense ratios as stated in the Fund’s current prospectus. |
(6) | Includes 0.25% 12b-1 fee. |
Page 73
Baird Quality Intermediate Municipal Bond Fund
December 31, 2017 (Unaudited)
Institutional Class
Value of a $25,000 Investment
Growth of a hypothetical investment of $25,000 made on 12/31/07, assuming reinvestment of all distributions.
Investor Class
Value of a $10,000 Investment
Growth of a hypothetical investment of $10,000 made on 12/31/07, assuming reinvestment of all distributions.
Page 74
Baird Quality Intermediate Municipal Bond Fund
December 31, 2017 (Unaudited)
Total Returns
Average Annual | ||||
One | Five | Ten | Since | |
For the Periods Ended December 31, 2017 | Year | Years | Years | Inception(1) |
Institutional Class Shares | 3.12% | 1.62% | 3.45% | 4.03% |
Investor Class Shares | 2.97% | 1.38% | 3.19% | 3.77% |
Bloomberg Barclays Quality Intermediate | ||||
Municipal Bond Index(2) | 3.73% | 2.18% | 3.81% | 4.06% |
(1) | For the period from March 30, 2001 (inception date) through December 31, 2017. |
(2) | The Bloomberg 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 and 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 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 75
Baird Quality Intermediate Municipal Bond Fund
Summary Schedule of Investments, December 31, 2017
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.bairdassetmanagement.com/baird-funds/funds-and-performance#Literature 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 | ||||||||||||
Arizona | ||||||||||||
Total Arizona | ||||||||||||
(Cost $5,885,003)(4) | $ | 5,899,621 | 0.5 | % | ||||||||
Arkansas | ||||||||||||
Total Arkansas | ||||||||||||
(Cost $5,501,346)(4) | 5,511,070 | 0.5 | % | |||||||||
California | ||||||||||||
City of Bakersfield CA | ||||||||||||
0.000%, 04/15/2021(ETM) | $ | 12,380,000 | 11,657,503 | 1.0 | % | |||||||
Rio Hondo Community College District | ||||||||||||
0.000%, 08/01/2042(Callable 08/01/2034) | 6,125,000 | 6,699,709 | 0.6 | % | ||||||||
San Joaquin Hills Transportation Corridor Agency | ||||||||||||
0.000%, 01/01/2020(ETM) | 6,865,000 | 6,634,473 | 0.6 | % | ||||||||
0.000%, 01/01/2023(ETM) | 14,000,000 | 12,725,720 | 1.1 | % | ||||||||
0.000%-–%, 01/01/2027-01/01/2028 | 1,750,000 | 1,419,326 | 0.1 | % | ||||||||
San Marcos Public Facilities Authority | ||||||||||||
0.000%, 09/01/2019(ETM) | 17,495,000 | 16,976,273 | 1.5 | % | ||||||||
Other California(4) | 27,009,688 | 2.3 | % | |||||||||
Total California | ||||||||||||
(Cost $79,532,758) | 83,122,692 | 7.2 | % | |||||||||
Colorado | ||||||||||||
Dawson Ridge Metropolitan District No. 1 | ||||||||||||
0.000%, 10/01/2022(ETM) | 36,045,000 | 32,658,933 | 2.8 | % | ||||||||
0.000%, 10/01/2022(ETM) | 23,640,000 | 21,369,141 | 1.9 | % | ||||||||
Regional Transportation District | ||||||||||||
4.375%, 06/01/2039(Callable 06/01/2023) | 5,725,000 | 6,112,411 | 0.5 | % | ||||||||
Other Colorado(4) | 10,080,425 | 0.9 | % | |||||||||
Total Colorado | ||||||||||||
(Cost $68,109,099) | 70,220,910 | 6.1 | % | |||||||||
Connecticut | ||||||||||||
Total Connecticut | ||||||||||||
(Cost $7,598,297)(4) | 7,609,757 | 0.7 | % |
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, 2017
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
District of Columbia | ||||||||||||
Total District of Columbia | ||||||||||||
(Cost $153,337)(4) | $ | 152,943 | 0.0 | % | ||||||||
Florida | ||||||||||||
County of Miami-Dade FL | ||||||||||||
4.500%, 10/01/2020 | $ | 7,100,000 | 7,640,594 | 0.7 | % | |||||||
School District of Broward County | ||||||||||||
5.250%, 07/01/2022(Callable 07/01/2021) | 8,390,000 | 9,332,952 | 0.8 | % | ||||||||
5.250%, 07/01/2023(Callable 07/01/2021) | 4,915,000 | 5,462,089 | 0.5 | % | ||||||||
State of Florida | ||||||||||||
5.000%, 06/01/2022(Callable 06/01/2019) | 13,800,000 | 14,428,176 | 1.2 | % | ||||||||
Other Florida(4) | 52,542,292 | 4.6 | % | |||||||||
Total Florida | ||||||||||||
(Cost $86,726,177) | 89,406,103 | 7.8 | % | |||||||||
Georgia | ||||||||||||
Forsyth County Hospital Authority | ||||||||||||
6.375%, 10/01/2028(ETM) | 8,050,000 | 10,158,697 | 0.9 | % | ||||||||
Other Georgia(4) | 11,942,379 | 1.0 | % | |||||||||
Total Georgia | ||||||||||||
(Cost $21,524,348) | 22,101,076 | 1.9 | % | |||||||||
Illinois | ||||||||||||
Illinois Finance Authority | ||||||||||||
0.000%, 07/15/2023(ETM) | 25,590,000 | 22,610,045 | 2.0 | % | ||||||||
0.000%, 07/15/2025(ETM) | 44,705,000 | 37,295,593 | 3.2 | % | ||||||||
5.000%, 12/01/2030(Callable 12/01/2021) | 6,825,000 | 7,657,104 | 0.7 | % | ||||||||
6.250%-6.625%, 05/01/2022-11/01/2039 | 2,945,000 | 3,232,134 | 0.3 | % | ||||||||
Kendall Kane & Will Counties | ||||||||||||
Community Unit School District No. 308 | ||||||||||||
0.000%, 02/01/2021(Insured by AGM) | 13,625,000 | 12,644,954 | 1.1 | % | ||||||||
Southwestern Illinois Development Authority | ||||||||||||
7.625%, 11/01/2048(Pre-refunded to 11/01/2023) | 6,020,000 | 7,866,033 | 0.7 | % | ||||||||
Village of Schaumburg IL | ||||||||||||
4.000%, 12/01/2024(Callable 12/01/2022) | 5,750,000 | 6,333,453 | 0.5 | % | ||||||||
Other Illinois(4) | 43,199,727 | 3.7 | % | |||||||||
Total Illinois | ||||||||||||
(Cost $137,200,822) | 140,839,043 | 12.2 | % | |||||||||
Indiana | ||||||||||||
Total Indiana | ||||||||||||
(Cost $11,631,796)(4) | 11,828,577 | 1.0 | % | |||||||||
Iowa | ||||||||||||
Total Iowa | ||||||||||||
(Cost $4,587,962)(4) | 4,641,864 | 0.4 | % |
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, 2017
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
Kansas | ||||||||||||
Total Kansas | ||||||||||||
(Cost $5,059,261)(4) | $ | 5,079,648 | 0.4 | % | ||||||||
Kentucky | ||||||||||||
Total Kentucky | ||||||||||||
(Cost $245,618)(4) | 242,653 | 0.0 | % | |||||||||
Louisiana | ||||||||||||
Louisiana Public Facilities Authority | ||||||||||||
5.500%, 05/15/2027(Pre-refunded to 05/15/2026) | $ | 11,765,000 | 14,620,365 | 1.3 | % | |||||||
5.500%, 05/15/2032(Pre-refunded to 05/15/2026) | 22,125,000 | 27,946,309 | 2.5 | % | ||||||||
6.750%, 07/01/2039(Pre-refunded to 07/01/2019) | 6,775,000 | 7,285,090 | 0.6 | % | ||||||||
Other Louisiana(4) | 7,096,872 | 0.6 | % | |||||||||
Total Louisiana | ||||||||||||
(Cost $52,611,079) | 56,948,636 | 5.0 | % | |||||||||
Maryland | ||||||||||||
Total Maryland | ||||||||||||
(Cost $2,472,818)(4) | 2,471,698 | 0.2 | % | |||||||||
Massachusetts | ||||||||||||
Commonwealth of Massachusetts | ||||||||||||
4.000%, 12/01/2022(Pre-refunded to 12/01/2019) | 15,000,000 | 15,666,150 | 1.4 | % | ||||||||
5.000%, 07/01/2033(Callable 07/01/2026) | 1,000,000 | 1,198,720 | 0.1 | % | ||||||||
Other Massachusetts(4) | 8,165,216 | 0.7 | % | |||||||||
Total Massachusetts | ||||||||||||
(Cost $24,850,812) | 25,030,086 | 2.2 | % | |||||||||
Michigan | ||||||||||||
Total Michigan | ||||||||||||
(Cost $21,765,477)(4) | 22,162,965 | 1.9 | % | |||||||||
Minnesota | ||||||||||||
University of Minnesota | ||||||||||||
5.500%, 07/01/2021(ETM) | 11,260,000 | 12,265,743 | 1.1 | % | ||||||||
Other Minnesota(4) | 2,482,653 | 0.2 | % | |||||||||
Total Minnesota | ||||||||||||
(Cost $14,839,329) | 14,748,396 | 1.3 | % | |||||||||
Mississippi | ||||||||||||
Total Mississippi | ||||||||||||
(Cost $2,183,796)(4) | 2,231,322 | 0.2 | % | |||||||||
Missouri | ||||||||||||
Total Missouri | ||||||||||||
(Cost $17,239,389)(4) | 17,258,264 | 1.5 | % | |||||||||
Montana | ||||||||||||
Total Montana | ||||||||||||
(Cost $1,400,332)(4) | 1,408,492 | 0.1 | % |
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, 2017
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
Nebraska | ||||||||||||
Total Nebraska | ||||||||||||
(Cost $4,649,542)(4) | $ | 4,700,745 | 0.4 | % | ||||||||
New Hampshire | ||||||||||||
Total New Hampshire | ||||||||||||
(Cost $2,377,395)(4) | 2,420,238 | 0.2 | % | |||||||||
New Jersey | ||||||||||||
Total New Jersey | ||||||||||||
(Cost $9,333,799)(4) | 9,629,505 | 0.8 | % | |||||||||
New Mexico | ||||||||||||
Total New Mexico | ||||||||||||
(Cost $5,053,910)(4) | 5,098,285 | 0.5 | % | |||||||||
New York | ||||||||||||
Metropolitan Transportation Authority | ||||||||||||
6.000%, 04/01/2020(ETM) | $ | 10,525,000 | 11,049,882 | 1.0 | % | |||||||
5.000%-5.000%, 11/15/2028-11/15/2031 | 1,210,000 | 1,406,939 | 0.1 | % | ||||||||
New York State Dormitory Authority | ||||||||||||
5.000%, 12/15/2023(Callable 12/15/2022) | 11,685,000 | 13,502,134 | 1.1 | % | ||||||||
5.000%, 03/15/2030(Callable 03/15/2024) | 6,665,000 | 7,829,509 | 0.7 | % | ||||||||
5.000%, 02/15/2030(Callable 08/15/2026) | 700,000 | 848,169 | 0.1 | % | ||||||||
New York State Urban Development Corp. | ||||||||||||
5.000%, 03/15/2032(Callable 03/15/2024) | 6,000,000 | 6,964,740 | 0.6 | % | ||||||||
Other New York(4) | 17,348,368 | 1.5 | % | |||||||||
Total New York | ||||||||||||
(Cost $57,913,572) | 58,949,741 | 5.1 | % | |||||||||
North Carolina | ||||||||||||
North Carolina Eastern Municipal Power Agency | ||||||||||||
5.000%, 01/01/2021(ETM)(Callable 01/29/2018) | 10,355,000 | 11,112,675 | 1.0 | % | ||||||||
4.500%, 01/01/2024(Pre-refunded to 01/01/2022) | 12,170,000 | 13,187,290 | 1.1 | % | ||||||||
6.400%, 01/01/2021(ETM) | 3,352,000 | 3,575,847 | 0.3 | % | ||||||||
Other North Carolina(4) | 1,746,042 | 0.2 | % | |||||||||
Total North Carolina | ||||||||||||
(Cost $29,658,685) | 29,621,854 | 2.6 | % | |||||||||
North Dakota | ||||||||||||
Total North Dakota | ||||||||||||
(Cost $6,887,204)(4) | 6,879,113 | 0.6 | % | |||||||||
Ohio | ||||||||||||
Ohio Housing Finance Agency | ||||||||||||
4.000%, 03/01/2047(Callable 09/01/2025) | 6,510,000 | 6,883,218 | 0.6 | % |
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, 2017
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
State of Ohio | ||||||||||||
5.000%, 06/15/2021 | $ | 6,740,000 | $ | 7,482,141 | 0.6 | % | ||||||
Other Ohio(4) | 12,344,609 | 1.1 | % | |||||||||
Total Ohio | ||||||||||||
(Cost $26,569,714) | 26,709,968 | 2.3 | % | |||||||||
Oregon | ||||||||||||
Total Oregon | ||||||||||||
(Cost $11,818,003)(4) | 11,809,350 | 1.0 | % | |||||||||
Pennsylvania | ||||||||||||
Total Pennsylvania | ||||||||||||
(Cost $22,150,069)(4) | 22,122,921 | 1.9 | % | |||||||||
Puerto Rico | ||||||||||||
Puerto Rico Public Finance Corp. | ||||||||||||
5.500%, 08/01/2027(ETM)(Insured by AMBAC) | 6,500,000 | 8,026,850 | 0.7 | % | ||||||||
5.125%-6.000%, 06/01/2024-08/01/2026(ETM) | 5,600,000 | 7,039,298 | 0.6 | % | ||||||||
Other Puerto Rico(4) | 1,188,364 | 0.1 | % | |||||||||
Total Puerto Rico | ||||||||||||
(Cost $16,349,451) | 16,254,512 | 1.4 | % | |||||||||
Rhode Island | ||||||||||||
Total Rhode Island | ||||||||||||
(Cost $5,741,511)(4) | 5,940,500 | 0.5 | % | |||||||||
South Carolina | ||||||||||||
Piedmont Municipal Power Agency | ||||||||||||
6.750%, 01/01/2020(ETM) | 6,450,000 | 7,099,515 | 0.6 | % | ||||||||
5.375%, 01/01/2025(ETM) | 5,665,000 | 6,755,399 | 0.6 | % | ||||||||
Other South Carolina(4) | 5,400,149 | 0.5 | % | |||||||||
Total South Carolina | ||||||||||||
(Cost $18,920,201) | 19,255,063 | 1.7 | % | |||||||||
South Dakota | ||||||||||||
Total South Dakota | ||||||||||||
(Cost $943,976)(4) | 951,908 | 0.1 | % | |||||||||
Tennessee | ||||||||||||
Total Tennessee | ||||||||||||
(Cost $8,801,630)(4) | 8,897,663 | 0.8 | % | |||||||||
Texas | ||||||||||||
City of Houston TX | ||||||||||||
0.000%, 12/01/2019(ETM)(Insured by AGM) | 13,355,000 | 12,897,992 | 1.1 | % | ||||||||
5.500%, 12/01/2029(ETM) | 16,050,000 | 20,854,889 | 1.8 | % | ||||||||
5.500%, 12/01/2024(ETM) | 1,735,000 | 2,080,334 | 0.2 | % | ||||||||
City of San Antonio TX | ||||||||||||
5.650%, 02/01/2019(ETM) | 7,865,000 | 8,076,018 | 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, 2017
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
County of Harris TX | ||||||||||||
5.750%, 10/01/2028(Pre-refunded to 10/01/2018) | $ | 6,930,000 | $ | 7,148,642 | 0.6 | % | ||||||
5.000%-5.750%, 10/01/2020-10/01/2026 | 4,330,000 | 5,242,225 | 0.5 | % | ||||||||
Harris County Health Facilities Development Corp. | ||||||||||||
5.750%, 07/01/2027(ETM) | 5,000,000 | 6,092,150 | 0.5 | % | ||||||||
1.800%, 12/01/2041(Callable 01/02/2018)(1) | 6,000,000 | 6,000,000 | 0.5 | % | ||||||||
5.500%, 10/01/2019(ETM) | 2,995,000 | 3,127,139 | 0.3 | % | ||||||||
Lamar Consolidated Independent School District | ||||||||||||
5.000%, 02/15/2026(Callable 02/15/2025) | ||||||||||||
(PSF Guaranteed) | 5,860,000 | 7,042,138 | 0.6 | % | ||||||||
North East Independent School District | ||||||||||||
5.000%, 08/01/2021(PSF Guaranteed) | 6,095,000 | 6,774,532 | 0.6 | % | ||||||||
5.000%, 08/01/2023(PSF Guaranteed) | 5,330,000 | 6,209,663 | 0.5 | % | ||||||||
5.000%, 02/01/2024(PSF Guaranteed) | 2,930,000 | 3,450,837 | 0.3 | % | ||||||||
Tarrant County Health Facilities Development Corp. | ||||||||||||
6.000%, 09/01/2024(ETM) | 6,065,000 | 6,930,294 | 0.6 | % | ||||||||
The University of Texas System | ||||||||||||
5.000%, 08/15/2022 | 8,595,000 | 9,824,429 | 0.9 | % | ||||||||
Tomball Independent School District | ||||||||||||
5.000%, 02/15/2025(PSF Guaranteed) | 5,440,000 | 6,549,434 | 0.6 | % | ||||||||
Other Texas(2)(4) | 108,366,721 | 9.4 | % | |||||||||
Total Texas | ||||||||||||
(Cost $222,260,137) | 226,667,437 | 19.7 | % | |||||||||
Utah | ||||||||||||
Total Utah | ||||||||||||
(Cost $10,142,863)(4) | 10,459,134 | 0.9 | % | |||||||||
Vermont | ||||||||||||
Total Vermont | ||||||||||||
(Cost $3,127,364)(4) | 3,119,078 | 0.3 | % | |||||||||
Virginia | ||||||||||||
Total Virginia | ||||||||||||
(Cost $2,432,245)(4) | 2,378,421 | 0.2 | % | |||||||||
Washington | ||||||||||||
State of Washington | ||||||||||||
5.000%, 07/01/2032(Callable 01/01/2025) | 6,005,000 | 7,072,449 | 0.6 | % | ||||||||
5.000%-5.500%, 07/01/2023-08/01/2038 | 8,770,000 | 10,201,642 | 0.9 | % | ||||||||
Washington Health Care Facilities Authority | ||||||||||||
6.250%, 08/01/2036(Pre-refunded to 08/01/2018) | 8,100,000 | 8,308,494 | 0.7 | % | ||||||||
6.125%-6.250%, 11/15/2031-11/15/2041 | 5,390,000 | 6,190,317 | 0.6 | % | ||||||||
Other Washington(4) | 10,738,452 | 0.9 | % | |||||||||
Total Washington | ||||||||||||
(Cost $41,746,124) | 42,511,354 | 3.7 | % |
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, 2017
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
Wisconsin | ||||||||||||
State of Wisconsin Clean Water | ||||||||||||
Fund Leveraged Loan Portfolio | ||||||||||||
5.000%, 06/01/2030(Pre-refunded to 06/01/2024) | $ | 10,500,000 | $ | 12,400,185 | 1.1 | % | ||||||
5.000%, 06/01/2031(Pre-refunded to 06/01/2024) | 6,175,000 | 7,292,490 | 0.6 | % | ||||||||
5.000%, 06/01/2028(Pre-refunded to 06/01/2024) | 500,000 | 590,485 | 0.1 | % | ||||||||
Other Wisconsin(4) | 15,969,443 | 1.4 | % | |||||||||
Total Wisconsin | ||||||||||||
(Cost $36,671,828) | 36,252,603 | 3.2 | % | |||||||||
Total Long-Term Investments | ||||||||||||
(Cost $1,114,668,079) | 1,139,545,209 | 99.0 | % | |||||||||
Short-Term Investment | ||||||||||||
Shares | ||||||||||||
Money Market Mutual Fund | ||||||||||||
Fidelity Institutional Money Market Fund – | ||||||||||||
Government Portfolio, Institutional Class, 1.19%(3) | 2,072,461 | 2,072,461 | 0.2 | % | ||||||||
Total Short-Term Investment | ||||||||||||
(Cost $2,072,461) | 2,072,461 | 0.2 | % | |||||||||
Total Investments | ||||||||||||
(Cost $1,116,740,540) | 1,141,617,670 | 99.2 | % | |||||||||
Other Assets in Excess of Liabilities | 9,798,345 | 0.8 | % | |||||||||
TOTAL NET ASSETS | $ | 1,151,416,015 | 100.0 | % |
Notes to Summary Schedule of Investments
AGM – Assured Guaranty Municipal
AMBAC – Ambac Assurance Corp.
ETM – Escrowed to Maturity
PSF – Texas Permanent School Fund
(1) | Variable rate security. The coupon is based on an underlying pool of loans. The rate reported is the rate in effect as of December 31, 2017. |
(2) | Grouping contains Auction Rate Securities. 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. |
(3) | 7-Day Yield. |
(4) | Represents the aggregate value, by category, of securities that are not among the 50 largest holdings and, in total for any issuer, represent 1% or less of net assets. |
The accompanying notes are an integral part of these financial statements.
Page 82
Baird Quality Intermediate Municipal Bond Fund
Summary Schedule of Investments, December 31, 2017
Summary of Fair Value Exposure at December 31, 2017
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, 2017:
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Long-Term Investments | ||||||||||||||||
Municipal Bonds | $ | — | $ | 1,139,545,209 | $ | — | $ | 1,139,545,209 | ||||||||
Total Long-Term Investments | — | 1,139,545,209 | — | 1,139,545,209 | ||||||||||||
Short-Term Investment | ||||||||||||||||
Money Market Mutual Fund | 2,072,461 | — | — | 2,072,461 | ||||||||||||
Total Short-Term Investment | 2,072,461 | — | — | 2,072,461 | ||||||||||||
Total Investments | $ | 2,072,461 | $ | 1,139,545,209 | $ | — | $ | 1,141,617,670 |
Changes in valuation techniques may result in transfers into or out of assigned levels within the fair value hierarchy. Transfers between levels are recognized at the end of the reporting period. 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 83
Baird Core Intermediate Municipal Bond Fund
December 31, 2017 (Unaudited)
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.
Favorable supply/demand conditions in the market helped the Fund generate positive absolute performance while also outperforming its benchmark in 2017.
There were more than enough challenges for the municipal market to overcome in 2017, yet the market proved resilient throughout the year, ultimately providing investors with solid returns with relatively modest yield volatility. From start to finish, the political environment played a central role in driving sentiment and influencing tax-free valuations. The year began with municipal prices stabilizing after the post-election run-up in rates and especially heavy selling of tax-free bonds. The inability to “repeal and replace” the Affordable Care Act allowed nonprofit healthcare providers the opportunity to continue to generate reasonable margins. With respect to tax reform, despite repeated assurances from key participants in the tax reform negotiations that municipals were “safe,” it was evident once the House version of the tax bill was released that changes were likely to impact the municipal market, specifically limiting the volume of new tax-free supply going forward. The result was a rush to market by municipalities, boosting November supply 30% above the prior year and causing a record $62.5B of issuance in December.
Positive contributors to the Fund’s relative performance include:
• | Favorable positioning along the yield curve | |
• | Modest overweight to credit | |
• | An overweight to the Revenue sector, particularly Housing and Healthcare issues | |
• | Security selection |
The outlook for the municipal market in 2018 is positive, due to expectations of relatively light new supply, primarily due to the lack of advance refundings but also because some 2018 supply was pulled into 2017. The favorable technical outlook is enhanced by the solid fundamental fiscal position of most municipalities. Like any outlook, however, there is uncertainty around this base case scenario. The first is the unknown impact the new tax policy will have on economic growth and inflation. A second uncertainty centers on corporate interest in the municipal market. While we expect the curve flattening trend to continue, a resteepening of the curve or at least a slower pace of flattening may instead be the result of the corporate tax change. Finally, President Trump continues to promise an infrastructure plan, which could change the supply outlook if municipalities were incentivized to borrow. This risk is modest and would likely be more of a second half concern. In this uncertain environment, we believe the Fund is well positioned to continue to provide shareholders with high-quality access to the municipal market.
Page 84
Baird Core Intermediate Municipal Bond Fund
December 31, 2017 (Unaudited)
Portfolio Characteristics
Quality Distribution(1)(2)
Net Assets | $236,518,277 | |||
SEC 30-Day | ||||
Yield(4) | ||||
Institutional Class | 2.10% | |||
Investor Class | 1.86% | |||
Average | ||||
Effective | ||||
Duration | 4.78 years | |||
Average | ||||
Effective | ||||
Maturity | 5.18 years | |||
Annualized | ||||
Sector Weightings(1) | Expense | |||
Ratio(5) | ||||
Institutional Class | 0.30% | |||
Investor Class | 0.55% | (6) | ||
Portfolio | ||||
Turnover Rate | 66.1% | |||
Number of | ||||
Holdings | 622 | |||
(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, 2017. |
(5) | Reflects expense ratios as stated in the Fund’s current prospectus. |
(6) | Includes 0.25% 12b-1 fee. |
Page 85
Baird Core Intermediate Municipal Bond Fund
December 31, 2017 (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 86
Baird Core Intermediate Municipal Bond Fund
December 31, 2017 (Unaudited)
Total Returns
Average | ||
Annual | ||
One | Since | |
For the Periods Ended December 31, 2017 | Year | Inception(1) |
Institutional Class Shares | 5.15% | 3.58% |
Investor Class Shares | 5.00% | 3.34% |
Bloomberg Barclays Municipal Bond (1-15 Year) Index(2) | 4.33% | 2.64% |
(1) | For the period from August 31, 2015 (inception date) through December 31, 2017. |
(2) | The Bloomberg 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 10% 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 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 87
Baird Core Intermediate Municipal Bond Fund
Summary Schedule of Investments, December 31, 2017
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.bairdassetmanagement.com/baird-funds/funds-and-performance#Literature 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 | ||||||||||||
Black Belt Energy Gas District | ||||||||||||
4.000%, 08/01/2047(Callable 04/01/2022) | ||||||||||||
(Mandatory Tender Date 07/01/2022)(1) | $ | 1,000,000 | $ | 1,076,180 | 0.4 | % | ||||||
City of Pell City AL Special Care | ||||||||||||
Facilities Financing Authority | ||||||||||||
5.000%, 12/01/2031(Callable 12/01/2021) | 1,000,000 | 1,099,550 | 0.5 | % | ||||||||
Other Alabama(4) | 1,924,335 | 0.8 | % | |||||||||
Total Alabama | ||||||||||||
(Cost $4,032,271) | 4,100,065 | 1.7 | % | |||||||||
Alaska | ||||||||||||
Alaska Industrial Development & Export Authority | ||||||||||||
3.500%, 12/01/2020(Callable 12/01/2019) | 1,250,000 | 1,270,587 | 0.5 | % | ||||||||
Other Alaska(4) | 1,332,928 | 0.6 | % | |||||||||
Total Alaska | ||||||||||||
(Cost $2,587,708) | 2,603,515 | 1.1 | % | |||||||||
Arizona | ||||||||||||
Total Arizona | ||||||||||||
(Cost $5,210,600)(4)(3) | 5,292,825 | 2.2 | % | |||||||||
Arkansas | ||||||||||||
Arkansas Technical University | ||||||||||||
4.000%, 06/01/2028(Callable 06/01/2023) | 1,025,000 | 1,113,160 | 0.5 | % | ||||||||
3.250%, 06/01/2037(Callable 06/01/2023) | 1,495,000 | 1,495,703 | 0.6 | % | ||||||||
3.375%, 06/01/2041(Callable 06/01/2023) | 300,000 | 300,363 | 0.1 | % | ||||||||
City of Fayetteville AR | ||||||||||||
3.050%, 01/01/2047(Callable 01/01/2027) | 1,050,000 | 1,054,105 | 0.5 | % | ||||||||
City of Magnolia AR | ||||||||||||
3.200%, 08/01/2033(Callable 08/01/2024) | ||||||||||||
(Insured by BAM) | 1,085,000 | 1,081,040 | 0.5 | % | ||||||||
City of Pine Bluff AR | ||||||||||||
3.000%, 02/01/2047(Callable 08/01/2027) | ||||||||||||
(Insured by BAM) | 1,000,000 | 1,004,130 | 0.4 | % |
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, 2017
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
University of Central Arkansas | ||||||||||||
4.000%, 11/01/2031(Callable 11/01/2025) | ||||||||||||
(Insured by BAM) | $ | 885,000 | $ | 959,809 | 0.4 | % | ||||||
Other Arkansas(4) | 3,343,764 | 1.4 | % | |||||||||
Total Arkansas | ||||||||||||
(Cost $10,252,640) | 10,352,074 | 4.4 | % | |||||||||
California | ||||||||||||
Corona-Norca Unified School District | ||||||||||||
6.800%, 08/01/2039(Callable 08/01/2027) | ||||||||||||
(Insured by AGM) | 890,000 | 1,224,195 | 0.5 | % | ||||||||
Other California(2)(4) | 15,388,568 | 6.5 | % | |||||||||
Total California | ||||||||||||
(Cost $16,061,779) | 16,612,763 | 7.0 | % | |||||||||
Colorado | ||||||||||||
City of Sheridan CO | ||||||||||||
5.000%, 12/01/2042(Callable 12/01/2025) | 1,130,000 | 1,313,998 | 0.6 | % | ||||||||
Other Colorado(4) | 9,274,001 | 3.9 | % | |||||||||
Total Colorado | ||||||||||||
(Cost $10,398,768) | 10,587,999 | 4.5 | % | |||||||||
Connecticut | ||||||||||||
Total Connecticut | ||||||||||||
(Cost $1,999,652)(4) | 2,008,613 | 0.8 | % | |||||||||
District of Columbia | ||||||||||||
Total District of Columbia | ||||||||||||
(Cost $1,949,276)(4) | 1,989,103 | 0.8 | % | |||||||||
Florida | ||||||||||||
City of Tallahassee FL | ||||||||||||
5.000%, 10/01/2033(Callable 10/01/2025) | 1,240,000 | 1,479,134 | 0.6 | % | ||||||||
Reedy Creek Improvement District | ||||||||||||
4.000%, 06/01/2035(Callable 06/01/2027) | 1,000,000 | 1,094,320 | 0.5 | % | ||||||||
Other Florida(2)(4) | 6,530,832 | 2.7 | % | |||||||||
Total Florida | ||||||||||||
(Cost $8,959,115) | 9,104,286 | 3.8 | % | |||||||||
Georgia | ||||||||||||
City of Atlanta GA | ||||||||||||
5.000%, 01/01/2028(Callable 01/01/2020) | 1,000,000 | 1,054,340 | 0.4 | % | ||||||||
Other Georgia(4) | 3,921,876 | 1.7 | % | |||||||||
Total Georgia | ||||||||||||
(Cost $4,951,890) | 4,976,216 | 2.1 | % |
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, 2017
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
Illinois | ||||||||||||
Cook County School District No. 163 | ||||||||||||
6.000%, 12/15/2027 | $ | 1,150,000 | 1,456,199 | 0.6 | % | |||||||
Illinois Finance Authority | ||||||||||||
1.600%-6.625%, 02/15/2021-08/01/2044 | 3,055,000 | 3,324,189 | 1.4 | % | ||||||||
Illinois Housing Development Authority | ||||||||||||
3.100%, 02/01/2035(Callable 02/01/2026) | 1,250,000 | 1,243,250 | 0.5 | % | ||||||||
Metropolitan Water Reclamation | ||||||||||||
District of Greater Chicago | ||||||||||||
5.000%, 12/01/2031(Callable 12/01/2021) | 1,000,000 | 1,112,700 | 0.5 | % | ||||||||
State of Illinois | ||||||||||||
5.000%, 06/15/2027(Callable 06/15/2021) | 1,500,000 | 1,639,830 | 0.7 | % | ||||||||
0.000%-5.500%, 08/01/2019-07/01/2033 | 2,430,000 | 2,554,031 | 1.1 | % | ||||||||
Other Illinois(4) | 18,588,391 | 7.8 | % | |||||||||
Total Illinois | ||||||||||||
(Cost $29,633,576) | 29,918,590 | 12.6 | % | |||||||||
Indiana | ||||||||||||
Columbus Multi-High School Building Corp. | ||||||||||||
5.000%, 01/15/2029 | 1,200,000 | 1,487,700 | 0.6 | % | ||||||||
Kankakee Valley Middle School Building Corp. | ||||||||||||
5.000%, 01/15/2029 | 1,000,000 | 1,223,540 | 0.5 | % | ||||||||
Other Indiana(4) | 5,095,668 | 2.2 | % | |||||||||
Total Indiana | ||||||||||||
(Cost $7,706,974) | 7,806,908 | 3.3 | % | |||||||||
Iowa | ||||||||||||
Iowa Higher Education Loan Authority | ||||||||||||
2.000%, 12/01/2018(Callable 06/01/2018) | 1,000,000 | 1,000,560 | 0.4 | % | ||||||||
Other Iowa(4) | 2,023,842 | 0.9 | % | |||||||||
Total Iowa | ||||||||||||
(Cost $2,986,595) | 3,024,402 | 1.3 | % | |||||||||
Kansas | ||||||||||||
Total Kansas | ||||||||||||
(Cost $1,369,109)(4) | 1,386,379 | 0.6 | % | |||||||||
Kentucky | ||||||||||||
Total Kentucky | ||||||||||||
(Cost $344,829)(4) | 341,682 | 0.1 | % | |||||||||
Louisiana | ||||||||||||
Louisiana Public Facilities Authority | ||||||||||||
5.000%, 10/01/2023 | 1,000,000 | 1,129,540 | 0.4 | % | ||||||||
Other Louisiana(4) | 630,616 | 0.3 | % | |||||||||
Total Louisiana | ||||||||||||
(Cost $1,731,696) | 1,760,156 | 0.7 | % |
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, 2017
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
Maine | ||||||||||||
Total Maine | ||||||||||||
(Cost $951,440)(4) | $ | 943,774 | 0.4 | % | ||||||||
Massachusetts | ||||||||||||
Commonwealth of Massachusetts | ||||||||||||
5.000%, 07/01/2033(Callable 07/01/2026) | $ | 1,160,000 | 1,390,515 | 0.6 | % | |||||||
Massachusetts Development Finance Agency | ||||||||||||
5.000%, 07/15/2033 | 1,000,000 | 1,210,700 | 0.5 | % | ||||||||
Other Massachusetts(4)(3) | 2,064,646 | 0.9 | % | |||||||||
Total Massachusetts | ||||||||||||
(Cost $4,635,445) | 4,665,861 | 2.0 | % | |||||||||
Michigan | ||||||||||||
Detroit Michigan School District | ||||||||||||
5.000%, 05/01/2033(Callable 05/01/2022) | ||||||||||||
(Insured by Q-SBLF) | 1,000,000 | 1,103,210 | 0.5 | % | ||||||||
Lake Orion Community School District | ||||||||||||
5.000%, 05/01/2025(Insured By Q-SBLF) | 1,635,000 | 1,950,539 | 0.8 | % | ||||||||
Other Michigan(4) | 3,216,201 | 1.4 | % | |||||||||
Total Michigan | ||||||||||||
(Cost $6,137,367) | 6,269,950 | 2.7 | % | |||||||||
Minnesota | ||||||||||||
Minnesota Housing Finance Agency | ||||||||||||
4.000%, 01/01/2047(Callable 01/01/2026) | 1,040,000 | 1,104,792 | 0.5 | % | ||||||||
Other Minnesota(4) | 2,489,663 | 1.0 | % | |||||||||
Total Minnesota | ||||||||||||
(Cost $3,559,400) | 3,594,455 | 1.5 | % | |||||||||
Mississippi | ||||||||||||
State of Mississippi | ||||||||||||
5.000%, 10/15/2034(Callable 10/15/2025) | 1,000,000 | 1,171,160 | 0.5 | % | ||||||||
Other Mississippi(4) | 408,029 | 0.2 | % | |||||||||
Total Mississippi | ||||||||||||
(Cost $1,526,015) | 1,579,189 | 0.7 | % | |||||||||
Missouri | ||||||||||||
Missouri Housing Development Commission | ||||||||||||
4.000%, 05/01/2042(Callable 11/01/2026) | 1,240,000 | 1,329,044 | 0.6 | % | ||||||||
Other Missouri(2)(4) | 2,405,692 | 1.0 | % | |||||||||
Total Missouri | ||||||||||||
(Cost $3,700,192) | 3,734,736 | 1.6 | % | |||||||||
Montana | ||||||||||||
Total Montana | ||||||||||||
(Cost $2,465,683)(4) | 2,527,590 | 1.1 | % |
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, 2017
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
Nebraska | ||||||||||||
Total Nebraska | ||||||||||||
(Cost $2,830,259)(4) | $ | 2,857,486 | 1.2 | % | ||||||||
Nevada | ||||||||||||
Las Vegas Convention & Visitors Authority | ||||||||||||
5.000%, 07/01/2026 | $ | 1,000,000 | 1,198,720 | 0.5 | % | |||||||
Other Nevada(4) | 2,243,075 | 1.0 | % | |||||||||
Total Nevada | ||||||||||||
(Cost $3,435,997) | 3,441,795 | 1.5 | % | |||||||||
New Jersey | ||||||||||||
New Jersey Health Care Facilities Financing Authority | ||||||||||||
4.000%, 07/01/2026(Callable 07/01/2022) | 1,000,000 | 1,074,640 | 0.5 | % | ||||||||
Other New Jersey(2)(4) | 5,498,474 | 2.3 | % | |||||||||
Total New Jersey | ||||||||||||
(Cost $6,518,284) | 6,573,114 | 2.8 | % | |||||||||
New Mexico | ||||||||||||
New Mexico Mortgage Finance Authority | ||||||||||||
3.500%, 09/01/2036(Callable 03/01/2025) | 1,000,000 | 1,019,680 | 0.4 | % | ||||||||
Other New Mexico(4) | 314,726 | 0.2 | % | |||||||||
Total New Mexico | ||||||||||||
(Cost $1,344,829) | 1,334,406 | 0.6 | % | |||||||||
New York | ||||||||||||
MTA Hudson Rail Yards Trust Obligations | ||||||||||||
5.000%, 11/15/2046(Callable 11/15/2019) | 1,250,000 | 1,316,462 | 0.6 | % | ||||||||
New York State Dormitory Authority | ||||||||||||
5.000%, 03/15/2026(Callable 03/15/2025) | 1,355,000 | 1,641,447 | 0.7 | % | ||||||||
Other New York(2)(4) | 4,746,657 | 2.0 | % | |||||||||
Total New York | ||||||||||||
(Cost $7,657,512) | 7,704,566 | 3.3 | % | |||||||||
North Carolina | ||||||||||||
Wilmington Housing Authority | ||||||||||||
1.500%, 10/01/2020 | ||||||||||||
(Mandatory Tender Date 10/01/2019)(1) | 1,000,000 | 991,380 | 0.4 | % | ||||||||
Other North Carolina(4) | 864,521 | 0.4 | % | |||||||||
Total North Carolina | ||||||||||||
(Cost $1,868,751) | 1,855,901 | 0.8 | % | |||||||||
North Dakota | ||||||||||||
County of Ward ND | ||||||||||||
4.000%, 04/01/2026(Callable 04/01/2023) | ||||||||||||
(Insured by AGM) | 1,030,000 | 1,103,892 | 0.5 | % |
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, 2017
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
North Dakota Housing Finance Agency | ||||||||||||
2.950%, 07/01/2031(Callable 07/01/2025) | $ | 1,775,000 | $ | 1,779,739 | 0.7 | % | ||||||
Other North Dakota(4) | 1,644,859 | 0.7 | % | |||||||||
Total North Dakota | ||||||||||||
(Cost $4,528,896) | 4,528,490 | 1.9 | % | |||||||||
Ohio | ||||||||||||
Ohio Housing Finance Agency | ||||||||||||
3.200%, 09/01/2036(Callable 09/01/2025) | 970,000 | 979,186 | 0.4 | % | ||||||||
Other Ohio(4) | 6,082,439 | 2.6 | % | |||||||||
Total Ohio | ||||||||||||
(Cost $6,967,748) | 7,061,625 | 3.0 | % | |||||||||
Oklahoma | ||||||||||||
Total Oklahoma | ||||||||||||
(Cost $941,813)(2)(4) | 942,152 | 0.4 | % | |||||||||
Oregon | ||||||||||||
Washington & Multnomah | ||||||||||||
Counties School District No. 48J | ||||||||||||
0.000%, 06/15/2036(Callable 06/15/2027) | 1,150,000 | 1,347,984 | 0.6 | % | ||||||||
Other Oregon(4) | 2,105,721 | 0.9 | % | |||||||||
Total Oregon | ||||||||||||
(Cost $3,281,664) | 3,453,705 | 1.5 | % | |||||||||
Pennsylvania | ||||||||||||
Indiana County Industrial Development Authority | ||||||||||||
1.450%, 09/01/2020(Callable 03/01/2020) | 1,000,000 | 998,180 | 0.4 | % | ||||||||
Pennsylvania Turnpike Commission | ||||||||||||
0.000%-6.375%, 06/01/2019-12/01/2038 | 2,105,000 | 2,533,901 | 1.1 | % | ||||||||
Westmoreland County Municipal Authority | ||||||||||||
5.000%, 08/15/2028(Callable 08/15/2027) | ||||||||||||
(Insured by BAM) | 1,540,000 | 1,830,998 | 0.8 | % | ||||||||
Other Pennsylvania(4) | 6,172,308 | 2.6 | % | |||||||||
Total Pennsylvania | ||||||||||||
(Cost $11,430,360) | 11,535,387 | 4.9 | % | |||||||||
Puerto Rico | ||||||||||||
Total Puerto Rico | ||||||||||||
(Cost $261,599)(4) | 262,270 | 0.1 | % | |||||||||
Rhode Island | ||||||||||||
Total Rhode Island | ||||||||||||
(Cost $796,898)(4) | 791,453 | 0.3 | % | |||||||||
South Carolina | ||||||||||||
Total South Carolina | ||||||||||||
(Cost $1,405,912)(4) | 1,441,810 | 0.6 | % |
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, 2017
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
South Dakota | ||||||||||||
Total South Dakota | ||||||||||||
(Cost $754,420)(4) | $ | 757,872 | 0.3 | % | ||||||||
Tennessee | ||||||||||||
Tennessee Housing Development Agency | ||||||||||||
3.450%, 07/01/2040(Callable 01/01/2027) | 1,000,000 | 990,310 | 0.4 | % | ||||||||
Other Tennessee(4) | 2,401,279 | 1.0 | % | |||||||||
Total Tennessee | ||||||||||||
(Cost $3,366,278) | 3,391,589 | 1.4 | % | |||||||||
Texas | ||||||||||||
Fort Bend Independent School District | ||||||||||||
1.350%, 08/01/2042(Mandatory Tender | ||||||||||||
Date 08/01/2020)(PSF Guaranteed)(1) | 1,000,000 | 997,980 | 0.4 | % | ||||||||
Mansfield Independent School District | ||||||||||||
5.000%, 02/15/2047 | ||||||||||||
(Callable 02/15/2020)(PSF Guaranteed) | 1,400,000 | 1,485,988 | 0.6 | % | ||||||||
Tarrant County Cultural Education Facilities Finance Corp. | ||||||||||||
1.800%, 10/01/2041(1) | 1,000,000 | 1,000,000 | 0.4 | % | ||||||||
Other Texas(2)(4) | 14,369,504 | 6.1 | % | |||||||||
Total Texas | ||||||||||||
(Cost $17,690,544) | 17,853,472 | 7.5 | % | |||||||||
Utah | ||||||||||||
Total Utah | ||||||||||||
(Cost $3,599,430)(4) | 3,678,395 | 1.6 | % | |||||||||
Vermont | ||||||||||||
Total Vermont | ||||||||||||
(Cost $1,002,255)(4) | 986,188 | 0.4 | % | |||||||||
Virgin Islands | ||||||||||||
Total Virgin Islands | ||||||||||||
(Cost $430,289)(4) | 422,400 | 0.2 | % | |||||||||
Virginia | ||||||||||||
Virginia Department of Small Business and Supplier Diversity | ||||||||||||
1.810%, 07/01/2030(1) | 1,000,000 | 1,000,000 | 0.4 | % | ||||||||
Other Virginia(4) | 474,489 | 0.2 | % | |||||||||
Total Virginia | ||||||||||||
(Cost $1,477,346) | 1,474,489 | 0.6 | % | |||||||||
Washington | ||||||||||||
Grays Harbor County Public Hospital District No. 1 | ||||||||||||
3.000%, 08/01/2019(Callable 12/01/2018) | 1,000,000 | 999,830 | 0.4 | % | ||||||||
Other Washington(4) | 2,271,929 | 1.0 | % | |||||||||
Total Washington | ||||||||||||
(Cost $3,227,300) | 3,271,759 | 1.4 | % |
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, 2017
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
Wisconsin | ||||||||||||
Wisconsin Health & Educational Facilities Authority | ||||||||||||
2.650%, 11/01/2020(Callable 11/01/2019) | $ | 1,000,000 | $ | 989,490 | 0.4 | % | ||||||
5.000%, 08/15/2028(Callable 08/15/2023) | 1,000,000 | 1,143,290 | 0.5 | % | ||||||||
4.000%-5.250%, 07/01/2023-10/15/2039 | 2,495,000 | 2,753,097 | 1.2 | % | ||||||||
Other Wisconsin(4) | 4,862,309 | 2.0 | % | |||||||||
Total Wisconsin | ||||||||||||
(Cost $9,661,535) | 9,748,186 | 4.1 | % | |||||||||
Wyoming | ||||||||||||
Lincoln County WY | ||||||||||||
1.800%, 10/01/2044(1) | 1,000,000 | 1,000,000 | 0.4 | % | ||||||||
Other Wyoming(4) | 900,000 | 0.5 | % | |||||||||
Total Wyoming | ||||||||||||
(Cost $1,900,000) | 1,900,000 | 0.9 | % | |||||||||
Total Long-Term Investments | ||||||||||||
(Cost $229,531,939) | 232,449,641 | 98.3 | % | |||||||||
Short-Term Investment | ||||||||||||
Shares | ||||||||||||
Money Market Mutual Fund | ||||||||||||
Fidelity Institutional Money Market Fund – | ||||||||||||
Government Portfolio, Institutional Class, 1.19%(5) | 42,746 | 42,746 | 0.0 | % | ||||||||
Total Short-Term Investment | ||||||||||||
(Cost $42,746) | 42,746 | 0.0 | % | |||||||||
Total Investments | ||||||||||||
(Cost $229,574,684) | 232,492,387 | 98.3 | % | |||||||||
Other Assets in Excess of Liabilities | 4,025,890 | 1.7 | % | |||||||||
TOTAL NET ASSETS | $ | 236,518,277 | 100.0 | % |
Notes to Summary Schedule of Investments
AGM – Assured Guaranty Municipal
BAM – Build America Mutual Assurance Co.
PSF – Texas Permanent School Fund
Q-SBLF – Qualified School Building Loan Fund
(1) | Variable rate security. The coupon is based on an underlying pool of loans. The rate reported is the rate in effect as of December 31, 2017. |
(2) | Grouping contains an 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. |
(3) | Groupings contain, in aggregate, securities defined in Rule 144A under the Securities Act of 1933 totaling $614,825, representing 0.26% of net assets. |
(4) | Represents the aggregate value, by category, of securities that are not among the 50 largest holdings and, in total for any issuer, represent 1% or less of net assets. |
(5) | 7-Day Yield. |
The accompanying notes are an integral part of these financial statements.
Page 95
Baird Core Intermediate Municipal Bond Fund
Summary Schedule of Investments, December 31, 2017
Summary of Fair Value Exposure at December 31, 2017
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, 2017:
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Long-Term Investments | ||||||||||||||||
Municipal Bonds | $ | — | $ | 232,449,641 | $ | — | $ | 232,449,641 | ||||||||
Total Long-Term Investments | — | 232,449,641 | — | 232,449,641 | ||||||||||||
Short-Term Investment | ||||||||||||||||
Money Market Mutual Fund | 42,746 | — | — | 42,746 | ||||||||||||
Total Short-Term Investment | 42,746 | — | — | 42,746 | ||||||||||||
Total Investments | $ | 42,746 | $ | 232,449,641 | $ | — | $ | 232,492,387 |
Changes in valuation techniques may result in transfers into or out of assigned levels within the fair value hierarchy. Transfers between levels are recognized at the end of the reporting period. 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 96
Additional Information on Fund Expenses
December 31, 2017 (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 (7/1/17 – 12/31/17).
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 97
Additional Information on Fund Expenses
December 31, 2017 (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 | 7/1/17 | 12/31/17 | Period(1) | 12/31/17 | Period(1) | |
Baird Ultra Short | ||||||
Bond Fund | ||||||
Institutional Class | 0.15% | $1,000.00 | $1,006.60 | $0.76 | $1,024.45 | $0.77 |
Investor Class | 0.40% | $1,000.00 | $1,005.20 | $2.02 | $1,023.19 | $2.04 |
Baird Short-Term | ||||||
Bond Fund | ||||||
Institutional Class | 0.30% | $1,000.00 | $1,004.20 | $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 Intermediate | ||||||
Bond Fund | ||||||
Institutional Class | 0.30% | $1,000.00 | $1,007.10 | $1.52 | $1,023.69 | $1.53 |
Investor Class | 0.55% | $1,000.00 | $1,006.20 | $2.78 | $1,022.43 | $2.80 |
Baird Aggregate | ||||||
Bond Fund | ||||||
Institutional Class | 0.30% | $1,000.00 | $1,014.50 | $1.52 | $1,023.69 | $1.53 |
Investor Class | 0.55% | $1,000.00 | $1,012.70 | $2.79 | $1,022.43 | $2.80 |
Baird Core Plus | ||||||
Bond Fund | ||||||
Institutional Class | 0.30% | $1,000.00 | $1,016.10 | $1.52 | $1,023.69 | $1.53 |
Investor Class | 0.55% | $1,000.00 | $1,015.00 | $2.79 | $1,022.43 | $2.80 |
Baird Short-Term | ||||||
Municipal Bond Fund | ||||||
Institutional Class | 0.30% | $1,000.00 | $1,007.40 | $1.52 | $1,023.69 | $1.53 |
Investor Class | 0.55% | $1,000.00 | $1,005.20 | $2.78 | $1,022.43 | $2.80 |
Baird Quality Intermediate | ||||||
Municipal Bond Fund | ||||||
Institutional Class | 0.30% | $1,000.00 | $1,003.10 | $1.51 | $1,023.69 | $1.53 |
Investor Class | 0.55% | $1,000.00 | $1,002.50 | $2.78 | $1,022.43 | $2.80 |
Baird Core Intermediate | ||||||
Municipal Bond Fund | ||||||
Institutional Class | 0.30% | $1,000.00 | $1,019.10 | $1.53 | $1,023.69 | $1.53 |
Investor Class | 0.55% | $1,000.00 | $1,017.80 | $2.80 | $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. |
Page 98
Statements of Assets and Liabilities
December 31, 2017
Baird | Baird | Baird | ||||||||||
Ultra Short | Short-Term | Intermediate | ||||||||||
Bond Fund | Bond Fund | Bond Fund | ||||||||||
ASSETS: | ||||||||||||
Investments, at value | ||||||||||||
(cost $536,453,120, $5,562,050,827, | ||||||||||||
and $2,983,799,946, respectively) | $ | 536,401,570 | $ | 5,542,907,351 | $ | 2,981,124,538 | ||||||
Interest receivable | 2,286,363 | 34,298,022 | 18,791,618 | |||||||||
Receivable for investments sold | 203,424 | 21,937,900 | 24 | |||||||||
Receivable for Fund shares sold | 1,400,999 | 11,690,572 | 7,900,994 | |||||||||
Uninvested cash | 21,384 | 186,098 | 305,640 | |||||||||
Prepaid expenses and other assets | 3 | 75,068 | 329,036 | |||||||||
Total assets | 540,313,743 | 5,611,095,011 | 3,008,451,850 | |||||||||
LIABILITIES: | ||||||||||||
Payable for securities purchased | — | 65,809,260 | 49,325,535 | |||||||||
Payable for Fund shares redeemed | 690,375 | 9,158,058 | 2,453,988 | |||||||||
Payable to Advisor, net (Note 5) | 48,562 | 1,170,218 | 623,394 | |||||||||
Accrued Rule 12b-1 fees (Note 8) | 3,329 | 54,112 | 21,714 | |||||||||
Accrued expenses and other liabilities | 24,281 | 235,175 | 124,679 | |||||||||
Total liabilities | 766,547 | 76,426,823 | 52,549,310 | |||||||||
NET ASSETS | $ | 539,547,196 | $ | 5,534,668,188 | $ | 2,955,902,540 | ||||||
NET ASSETS CONSIST OF: | ||||||||||||
Capital stock | $ | 539,953,577 | $ | 5,559,188,382 | $ | 2,961,556,366 | ||||||
Accumulated undistributed | ||||||||||||
net investment income | 8,078 | 103,316 | 133,837 | |||||||||
Accumulated net realized | ||||||||||||
loss on investments sold | (362,909 | ) | (5,480,034 | ) | (3,112,255 | ) | ||||||
Net unrealized depreciation | ||||||||||||
on investments | (51,550 | ) | (19,143,476 | ) | (2,675,408 | ) | ||||||
NET ASSETS | $ | 539,547,196 | $ | 5,534,668,188 | $ | 2,955,902,540 | ||||||
INSTITUTIONAL CLASS SHARES | ||||||||||||
Net Assets | $ | 531,990,221 | $ | 5,399,738,704 | $ | 2,901,960,154 | ||||||
Shares outstanding ($0.01 par value, | ||||||||||||
unlimited shares authorized) | 53,048,050 | 559,955,381 | 263,620,502 | |||||||||
Net asset value, offering and | ||||||||||||
redemption price per share | $ | 10.03 | $ | 9.64 | $ | 11.01 | ||||||
INVESTOR CLASS SHARES | ||||||||||||
Net Assets | $ | 7,556,975 | $ | 134,929,484 | $ | 53,942,386 | ||||||
Shares outstanding ($0.01 par value, | ||||||||||||
unlimited shares authorized) | 753,794 | 13,994,913 | 4,691,852 | |||||||||
Net asset value, offering and | ||||||||||||
redemption price per share | $ | 10.03 | $ | 9.64 | $ | 11.50 |
The accompanying notes are an integral part of these financial statements.
Page 99
Statements of Assets and Liabilities
December 31, 2017
Baird | Baird | |||||||
Aggregate | Core Plus | |||||||
Bond Fund | Bond Fund | |||||||
ASSETS: | ||||||||
Investments, at value | ||||||||
(cost $14,345,721,959 and | ||||||||
$16,277,649,730, respectively) | $ | 14,462,062,007 | $ | 16,439,374,770 | ||||
Interest receivable | 89,326,817 | 112,386,834 | ||||||
Receivable for investments sold | 13,800,860 | 2,374,549 | ||||||
Receivable for Fund shares sold | 44,372,260 | 22,525,457 | ||||||
Uninvested cash | 995,533 | 1,254,997 | ||||||
Prepaid expenses and other assets | 531,438 | 48,550 | ||||||
Total assets | 14,611,088,915 | 16,577,965,157 | ||||||
LIABILITIES: | ||||||||
Payable for securities purchased | 180,841,996 | 205,611,428 | ||||||
Payable for Fund shares redeemed | 18,009,487 | 16,037,678 | ||||||
Payable to Advisor, net (Note 5) | 3,054,859 | 3,439,824 | ||||||
Accrued Rule 12b-1 fees (Note 8) | 360,730 | 1,021,031 | ||||||
Accrued expenses and other liabilities | 610,972 | 688,774 | ||||||
Total liabilities | 202,878,044 | 226,798,735 | ||||||
NET ASSETS | $ | 14,408,210,871 | $ | 16,351,166,422 | ||||
NET ASSETS CONSIST OF: | ||||||||
Capital stock | $ | 14,321,963,653 | $ | 16,213,745,532 | ||||
Accumulated undistributed net investment income | 411,465 | 726,500 | ||||||
Accumulated net realized loss on investments sold | (30,504,295 | ) | (25,030,650 | ) | ||||
Net unrealized appreciation on investments | 116,340,048 | 161,725,040 | ||||||
NET ASSETS | $ | 14,408,210,871 | $ | 16,351,166,422 | ||||
INSTITUTIONAL CLASS SHARES | ||||||||
Net Assets | $ | 13,582,812,334 | $ | 13,920,151,459 | ||||
Shares outstanding ($0.01 par value, | ||||||||
unlimited shares authorized) | 1,249,248,178 | 1,240,378,628 | ||||||
Net asset value, offering and | ||||||||
redemption price per share | $ | 10.87 | $ | 11.22 | ||||
INVESTOR CLASS SHARES | ||||||||
Net Assets | $ | 825,398,537 | $ | 2,431,014,963 | ||||
Shares outstanding ($0.01 par value, | ||||||||
unlimited shares authorized) | 73,467,456 | 208,184,711 | ||||||
Net asset value, offering and | ||||||||
redemption price per share | $ | 11.23 | $ | 11.68 |
The accompanying notes are an integral part of these financial statements.
Page 100
Statements of Assets and Liabilities
December 31, 2017
Baird | Baird | |||||||||||
Baird | Quality | Core | ||||||||||
Short-Term | Intermediate | Intermediate | ||||||||||
Municipal | Municipal | Municipal | ||||||||||
Bond Fund | Bond Fund | Bond Fund | ||||||||||
ASSETS: | ||||||||||||
Investments, at value | ||||||||||||
(cost $117,031,161, $1,116,740,540 | ||||||||||||
and $229,574,684, respectively) | $ | 116,935,617 | $ | 1,141,617,670 | $ | 232,492,387 | ||||||
Interest receivable | 908,978 | 11,168,391 | 2,009,270 | |||||||||
Receivable for Fund shares sold | 11,873,216 | 6,602,793 | 6,479,717 | |||||||||
Uninvested cash | 6,891 | 660 | — | |||||||||
Prepaid expenses and other assets | — | 38 | — | |||||||||
Total assets | 129,724,702 | 1,159,389,552 | 240,981,374 | |||||||||
LIABILITIES: | ||||||||||||
Payable for securities purchased | 2,708,301 | 27,528 | 4,396,552 | |||||||||
Payable for Fund shares redeemed | 1,181,572 | 7,565,544 | 10,830 | |||||||||
Payable to Advisor, net (Note 5) | 23,688 | 246,232 | 45,539 | |||||||||
Accrued Rule 12b-1 fees (Note 8) | 2,602 | 84,598 | 946 | |||||||||
Accrued interest expense (Note 7) | — | 149 | — | |||||||||
Accrued expenses and other liabilities | 4,738 | 49,486 | 9,230 | |||||||||
Total liabilities | 3,920,901 | 7,973,537 | 4,463,097 | |||||||||
NET ASSETS | $ | 125,803,801 | $ | 1,151,416,015 | $ | 236,518,277 | ||||||
NET ASSETS CONSIST OF: | ||||||||||||
Capital stock | $ | 125,872,480 | $ | 1,133,589,794 | $ | 233,606,041 | ||||||
Accumulated undistributed | ||||||||||||
net investment income | 5,226 | — | 11,590 | |||||||||
Accumulated undistributed net realized | ||||||||||||
gain (loss) on investments sold | 21,639 | ( 7,050,909 | ) | (17,057 | ) | |||||||
Net unrealized appreciation (depreciation) | ||||||||||||
on investments | (95,544 | ) | 24,877,130 | 2,917,703 | ||||||||
NET ASSETS | $ | 125,803,801 | $ | 1,151,416,015 | $ | 236,518,277 | ||||||
INSTITUTIONAL CLASS SHARES | ||||||||||||
Net Assets | $ | 120,945,227 | $ | 1,044,113,197 | $ | 234,802,895 | ||||||
Shares outstanding ($0.01 par value, | ||||||||||||
unlimited shares authorized) | 12,004,019 | 90,606,264 | 22,749,126 | |||||||||
Net asset value, offering and | ||||||||||||
redemption price per share | $ | 10.08 | $ | 11.52 | $ | 10.32 | ||||||
INVESTOR CLASS SHARES | ||||||||||||
Net Assets | $ | 4,858,574 | $ | 107,302,818 | $ | 1,715,382 | ||||||
Shares outstanding ($0.01 par value, | ||||||||||||
unlimited shares authorized) | 482,815 | 9,095,370 | 166,269 | |||||||||
Net asset value, offering and | ||||||||||||
redemption price per share | $ | 10.06 | $ | 11.80 | $ | 10.32 |
The accompanying notes are an integral part of these financial statements.
Page 101
Statements of Operations
Year Ended December 31, 2017
Baird | Baird | Baird | ||||||||||
Ultra Short | Short-Term | Intermediate | ||||||||||
Bond Fund | Bond Fund | Bond Fund | ||||||||||
INVESTMENT INCOME: | ||||||||||||
Interest income, net of paydowns | $ | 8,010,313 | $ | 98,356,999 | $ | 69,071,669 | ||||||
Other income | 2,502 | 27,785 | 65 | |||||||||
Total investment income | 8,012,815 | 98,384,784 | 69,071,734 | |||||||||
EXPENSES: | ||||||||||||
Investment advisory fees (Note 5) | 1,376,644 | 12,093,873 | 6,602,742 | |||||||||
Administration fees | 275,329 | 2,418,774 | 1,320,548 | |||||||||
Rule 12b-1 fees – | ||||||||||||
Investor Class Shares (Note 8) | 25,999 | 312,278 | 234,393 | |||||||||
Total expenses | 1,677,972 | 14,824,925 | 8,157,683 | |||||||||
Fee waiver by Advisor (Note 5) | (825,986 | ) | — | — | ||||||||
Net expenses | 851,986 | 14,824,925 | 8,157,683 | |||||||||
NET INVESTMENT INCOME | 7,160,829 | 83,559,859 | 60,914,051 | |||||||||
REALIZED AND UNREALIZED | ||||||||||||
GAIN (LOSS) ON INVESTMENTS: | ||||||||||||
Net realized loss on investments | (22,182 | ) | (4,735,685 | ) | (1,847,622 | ) | ||||||
Change in unrealized | ||||||||||||
depreciation on investments | (182,448 | ) | (11,850,257 | ) | 7,084,033 | |||||||
Net realized and unrealized | ||||||||||||
gain (loss) on investments | (204,630 | ) | (16,585,942 | ) | 5,236,411 | |||||||
NET INCREASE IN NET ASSETS | ||||||||||||
RESULTING FROM OPERATIONS | $ | 6,956,199 | $ | 66,973,917 | $ | 66,150,462 |
The accompanying notes are an integral part of these financial statements.
Page 102
Statements of Operations
Year Ended December 31, 2017
Baird | Baird | |||||||
Aggregate | Core Plus | |||||||
Bond Fund | Bond Fund | |||||||
INVESTMENT INCOME: | ||||||||
Interest income, net of paydowns | $ | 344,358,334 | $ | 432,714,625 | ||||
Other income | 10,440 | — | ||||||
Total investment income | 344,368,774 | 432,714,625 | ||||||
EXPENSES: | ||||||||
Investment advisory fees (Note 5) | 31,858,565 | 36,293,095 | ||||||
Administration fees (Note 5) | 6,371,713 | 7,258,619 | ||||||
Rule 12b-1 fees – Investor Class Shares (Note 8) | 2,110,701 | 6,908,786 | ||||||
Total expenses | 40,340,979 | 50,460,500 | ||||||
NET INVESTMENT INCOME | 304,027,795 | 382,254,125 | ||||||
REALIZED AND UNREALIZED | ||||||||
GAIN (LOSS) ON INVESTMENTS: | ||||||||
Net realized gain (loss) on investments | (976,549 | ) | 4,924,250 | |||||
Change in unrealized appreciation on investments | 207,542,499 | 255,225,834 | ||||||
Net realized and unrealized gain on investments | 206,565,950 | 260,150,084 | ||||||
NET INCREASE IN NET ASSETS | ||||||||
RESULTING FROM OPERATIONS | $ | 510,593,745 | $ | 642,404,209 |
The accompanying notes are an integral part of these financial statements.
Page 103
Statements of Operations
Year Ended December 31, 2017
Baird | Baird | |||||||||||
Baird | Quality | Core | ||||||||||
Short-Term | Intermediate | Intermediate | ||||||||||
Municipal | Municipal | Municipal | ||||||||||
Bond Fund | Bond Fund | Bond Fund | ||||||||||
INVESTMENT INCOME: | ||||||||||||
Interest income, net of paydowns | $ | 1,678,005 | $ | 27,859,624 | $ | 3,573,648 | ||||||
Other income | 1,099 | — | 1,672 | |||||||||
Total investment income | 1,679,104 | 27,859,624 | 3,575,320 | |||||||||
EXPENSES: | ||||||||||||
Investment advisory fees (Note 5) | 206,238 | 2,686,938 | 381,317 | |||||||||
Administration fees (Note 5) | 41,247 | 537,388 | 76,263 | |||||||||
Interest Expense (Note 7) | — | 149 | — | |||||||||
Rule 12b-1 fees – | ||||||||||||
Investor Class Shares (Note 8) | 9,401 | 316,268 | 3,888 | |||||||||
Total expenses | 256,886 | 3,540,743 | 461,468 | |||||||||
NET INVESTMENT INCOME | 1,422,218 | 24,318,881 | 3,113,852 | |||||||||
REALIZED AND UNREALIZED | ||||||||||||
GAIN (LOSS) ON INVESTMENTS: | ||||||||||||
Net realized gain (loss) on investments | 87,302 | (953,373 | ) | 289,925 | ||||||||
Change in unrealized | ||||||||||||
appreciation/depreciation on investments | 379,262 | 8,751,823 | 3,775,908 | |||||||||
Net realized and unrealized | ||||||||||||
gain on investments | 466,564 | 7,798,450 | 4,065,833 | |||||||||
NET INCREASE IN NET ASSETS | ||||||||||||
RESULTING FROM OPERATIONS | $ | 1,888,782 | $ | 32,117,331 | $ | 7,179,685 |
The accompanying notes are an integral part of these financial statements.
Page 104
Statements of Changes in Net Assets
Baird Ultra Short Bond Fund
Year Ended | Year Ended | |||||||
December 31, 2017 | December 31, 2016 | |||||||
OPERATIONS: | ||||||||
Net investment income | $ | 7,160,829 | $ | 2,632,655 | ||||
Net realized loss on investments | (22,182 | ) | (78,925 | ) | ||||
Change in unrealized appreciation/depreciation | ||||||||
on investments | (182,448 | ) | 1,107,222 | |||||
Net increase in net assets resulting from operations | 6,956,199 | 3,660,952 | ||||||
CAPITAL SHARE TRANSACTIONS: | ||||||||
Proceeds from shares sold | 528,472,904 | 414,868,100 | ||||||
Shares issued to holders in | ||||||||
reinvestment of distributions | 6,842,101 | 2,609,293 | ||||||
Cost of shares redeemed | (387,950,353 | ) | (216,466,024 | ) | ||||
Net increase in net assets resulting | ||||||||
from capital share transactions | 147,364,652 | 201,011,369 | ||||||
DISTRIBUTIONS TO | ||||||||
INSTITUTIONAL CLASS SHAREHOLDERS: | ||||||||
From net investment income | (7,173,958 | ) | (2,667,617 | ) | ||||
Total Distributions | (7,173,958 | ) | (2,667,617 | ) | ||||
DISTRIBUTIONS TO | ||||||||
INVESTOR CLASS SHAREHOLDERS: | ||||||||
From net investment income | (104,571 | ) | (23,258 | ) | ||||
Total Distributions | (104,571 | ) | (23,258 | ) | ||||
TOTAL INCREASE IN NET ASSETS | 147,042,322 | 201,981,446 | ||||||
NET ASSETS: | ||||||||
Beginning of year | 392,504,874 | 190,523,428 | ||||||
End of year (including distributions in excess | ||||||||
of net investment income and accumulated | ||||||||
undistributed net investment income of | ||||||||
$8,078 and $17,622, respectively) | $ | 539,547,196 | $ | 392,504,874 |
The accompanying notes are an integral part of these financial statements.
Page 105
Statements of Changes in Net Assets
Baird Short-Term Bond Fund
Year Ended | Year Ended | |||||||
December 31, 2017 | December 31, 2016 | |||||||
OPERATIONS: | ||||||||
Net investment income | $ | 83,559,859 | $ | 55,411,057 | ||||
Net realized gain (loss) on investments | (4,735,685 | ) | 5,195,831 | |||||
Change in unrealized appreciation/depreciation | ||||||||
on investments | (11,850,257 | ) | 15,426,285 | |||||
Net increase in net assets resulting from operations | 66,973,917 | 76,033,173 | ||||||
CAPITAL SHARE TRANSACTIONS: | ||||||||
Proceeds from shares sold | 3,358,426,214 | 2,123,359,734 | ||||||
Shares issued to holders in | ||||||||
reinvestment of distributions | 79,531,658 | 51,203,187 | ||||||
Cost of shares redeemed | (1,759,494,811 | ) | (1,336,016,853 | ) | ||||
Net increase in net assets resulting | ||||||||
from capital share transactions | 1,678,463,061 | 838,546,068 | ||||||
DISTRIBUTIONS TO | ||||||||
INSTITUTIONAL CLASS SHAREHOLDERS: | ||||||||
From net investment income | (82,179,140 | ) | (55,717,798 | ) | ||||
From net realized gains | (901,312 | ) | (282,221 | ) | ||||
Total Distributions | (83,080,452 | ) | (56,000,019 | ) | ||||
DISTRIBUTIONS TO | ||||||||
INVESTOR CLASS SHAREHOLDERS: | ||||||||
From net investment income | (1,855,366 | ) | (990,914 | ) | ||||
From net realized gains | (22,433 | ) | (8,002 | ) | ||||
Total Distributions | (1,877,799 | ) | (998,916 | ) | ||||
TOTAL INCREASE IN NET ASSETS | 1,660,478,727 | 857,580,306 | ||||||
NET ASSETS: | ||||||||
Beginning of year | 3,874,189,461 | 3,016,609,155 | ||||||
End of year (including distributions in excess | ||||||||
of net investment income and accumulated | ||||||||
undistributed net investment income of | ||||||||
$103,316 and $183,869, respectively) | $ | 5,534,668,188 | $ | 3,874,189,461 |
The accompanying notes are an integral part of these financial statements.
Page 106
Statements of Changes in Net Assets
Baird Intermediate Bond Fund
Year Ended | Year Ended | |||||||
December 31, 2017 | December 31, 2016 | |||||||
OPERATIONS: | ||||||||
Net investment income | $ | 60,914,051 | $ | 45,958,502 | ||||
Net realized gain (loss) on investments | (1,847,622 | ) | 5,900,423 | |||||
Change in unrealized appreciation/depreciation | ||||||||
on investments | 7,084,033 | (1,122,437 | ) | |||||
Net increase in net assets resulting from operations | 66,150,462 | 50,736,488 | ||||||
CAPITAL SHARE TRANSACTIONS: | ||||||||
Proceeds from shares sold | 1,044,007,511 | 737,295,663 | ||||||
Shares issued to holders in | ||||||||
reinvestment of distributions | 53,812,675 | 44,018,187 | ||||||
Cost of shares redeemed | (453,075,192 | ) | (364,012,750 | ) | ||||
Net increase in net assets resulting | ||||||||
from capital share transactions | 644,744,994 | 417,301,100 | ||||||
DISTRIBUTIONS TO | ||||||||
INSTITUTIONAL CLASS SHAREHOLDERS: | ||||||||
From net investment income | (59,422,061 | ) | (44,572,517 | ) | ||||
From net realized gains | (988,707 | ) | (4,500,976 | ) | ||||
Total Distributions | (60,410,768 | ) | (49,073,493 | ) | ||||
DISTRIBUTIONS TO | ||||||||
INVESTOR CLASS SHAREHOLDERS: | ||||||||
From net investment income | (1,731,195 | ) | (1,932,745 | ) | ||||
From net realized gains | (17,188 | ) | (192,882 | ) | ||||
Total Distributions | (1,748,383 | ) | (2,125,627 | ) | ||||
TOTAL INCREASE IN NET ASSETS | 648,736,305 | 416,838,468 | ||||||
NET ASSETS: | ||||||||
Beginning of year | 2,307,166,235 | 1,890,327,767 | ||||||
End of year (including distributions in excess | ||||||||
of net investment income and accumulated | ||||||||
undistributed net investment income of | ||||||||
$133,837 and $142,642, respectively) | $ | 2,955,902,540 | $ | 2,307,166,235 |
The accompanying notes are an integral part of these financial statements.
Page 107
Statements of Changes in Net Assets
Baird Aggregate Bond Fund
Year Ended | Year Ended | |||||||
December 31, 2017 | December 31, 2016 | |||||||
OPERATIONS: | ||||||||
Net investment income | $ | 304,027,795 | $ | 196,377,284 | ||||
Net realized gain (loss) on investments | (976,549 | ) | 32,403,391 | |||||
Change in unrealized appreciation (depreciation) | ||||||||
on investments | 207,542,499 | (16,871,849 | ) | |||||
Net increase in net assets resulting from operations | 510,593,745 | 211,908,826 | ||||||
CAPITAL SHARE TRANSACTIONS: | ||||||||
Proceeds from shares sold | 5,511,985,366 | 5,417,337,933 | ||||||
Shares issued to holders in | ||||||||
reinvestment of distributions | 292,491,935 | 202,259,552 | ||||||
Cost of shares redeemed | (2,160,707,258 | ) | (1,765,728,702 | ) | ||||
Net increase in net assets resulting | ||||||||
from capital share transactions | 3,643,770,043 | 3,853,868,783 | ||||||
DISTRIBUTIONS TO | ||||||||
INSTITUTIONAL CLASS SHAREHOLDERS: | ||||||||
From net investment income | (306,556,891 | ) | (201,214,756 | ) | ||||
From net realized gains | — | (19,044,575 | ) | |||||
Total Distributions | (306,556,891 | ) | (220,259,331 | ) | ||||
DISTRIBUTIONS TO | ||||||||
INVESTOR CLASS SHAREHOLDERS: | ||||||||
From net investment income | (18,620,382 | ) | (13,013,723 | ) | ||||
From net realized gains | — | (1,543,019 | ) | |||||
Total Distributions | (18,620,382 | ) | (14,556,742 | ) | ||||
TOTAL INCREASE IN NET ASSETS | 3,829,186,515 | 3,830,961,536 | ||||||
NET ASSETS: | ||||||||
Beginning of year | 10,579,024,356 | 6,748,062,820 | ||||||
End of year (including distributions in excess | ||||||||
of net investment income and accumulated | ||||||||
undistributed net investment income of | ||||||||
$411,465 and $547,786, respectively) | $ | 14,408,210,871 | $ | 10,579,024,356 |
The accompanying notes are an integral part of these financial statements.
Page 108
Statements of Changes in Net Assets
Baird Core Plus Bond Fund
Year Ended | Year Ended | |||||||
December 31, 2017 | December 31, 2016 | |||||||
OPERATIONS: | ||||||||
Net investment income | $ | 382,254,125 | $ | 286,488,440 | ||||
Net realized gain on investments | 4,924,250 | 43,549,062 | ||||||
Change in unrealized appreciation/depreciation | ||||||||
on investments | 255,225,834 | 90,818,651 | ||||||
Net increase in net assets resulting from operations | 642,404,209 | 420,856,153 | ||||||
CAPITAL SHARE TRANSACTIONS: | ||||||||
Proceeds from shares sold | 6,092,321,719 | 5,478,976,936 | ||||||
Shares issued to holders in | ||||||||
reinvestment of distributions | 382,795,347 | 311,703,965 | ||||||
Cost of shares redeemed | (3,265,688,109 | ) | (2,357,448,098 | ) | ||||
Net increase in net assets resulting | ||||||||
from capital share transactions | 3,209,428,957 | 3,433,232,803 | ||||||
DISTRIBUTIONS TO | ||||||||
INSTITUTIONAL CLASS SHAREHOLDERS: | ||||||||
From net investment income | (338,748,094 | ) | (244,902,899 | ) | ||||
From net realized gains | — | (19,110,766 | ) | |||||
Total Distributions | (338,748,094 | ) | (264,013,665 | ) | ||||
DISTRIBUTIONS TO | ||||||||
INVESTOR CLASS SHAREHOLDERS: | ||||||||
From net investment income | (67,363,694 | ) | (62,615,650 | ) | ||||
From net realized gains | — | (5,344,093 | ) | |||||
Total Distributions | (67,363,694 | ) | (67,959,743 | ) | ||||
TOTAL INCREASE IN NET ASSETS | 3,445,721,378 | 3,522,115,548 | ||||||
NET ASSETS: | ||||||||
Beginning of year | 12,905,445,044 | 9,383,329,496 | ||||||
End of year (including distributions in excess | ||||||||
of net investment income and accumulated | ||||||||
undistributed net investment income of | ||||||||
$726,500 and $835,411, respectively) | $ | 16,351,166,422 | $ | 12,905,445,044 |
The accompanying notes are an integral part of these financial statements.
Page 109
Statements of Changes in Net Assets
Baird Short-Term Municipal Bond Fund
Year Ended | Year Ended | |||||||
December 31, 2017 | December 31, 2016 | |||||||
OPERATIONS: | ||||||||
Net investment income | $ | 1,422,218 | $ | 413,336 | ||||
Net realized gain (loss) on investments | 87,302 | (14,434 | ) | |||||
Change in unrealized appreciation/depreciation | ||||||||
on investments | 379,262 | (511,890 | ) | |||||
Net increase (decrease) in net assets | ||||||||
resulting from operations | 1,888,782 | (112,988 | ) | |||||
CAPITAL SHARE TRANSACTIONS: | ||||||||
Proceeds from shares sold | 102,613,395 | 59,918,064 | ||||||
Shares issued to holders in | ||||||||
reinvestment of distributions | 1,032,531 | 310,787 | ||||||
Cost of shares redeemed | (36,966,769 | ) | (13,385,694 | ) | ||||
Net increase in net assets resulting | ||||||||
from capital share transactions | 66,679,157 | 46,843,157 | ||||||
DISTRIBUTIONS TO | ||||||||
INSTITUTIONAL CLASS SHAREHOLDERS: | ||||||||
From net investment income | (1,369,931 | ) | (404,698 | ) | ||||
From net realized gains | (36,967 | ) | (20,120 | ) | ||||
Total Distributions | (1,406,898 | ) | (424,818 | ) | ||||
DISTRIBUTIONS TO | ||||||||
INVESTOR CLASS SHAREHOLDERS: | ||||||||
From net investment income | (49,506 | ) | (15,654 | ) | ||||
From net realized gains | (1,624 | ) | (2,421 | ) | ||||
Total Distributions | (51,130 | ) | (18,075 | ) | ||||
TOTAL INCREASE IN NET ASSETS | 67,109,911 | 46,287,276 | ||||||
NET ASSETS: | ||||||||
Beginning of year | 58,693,890 | 12,406,614 | ||||||
End of year (including accumulated undistributed | ||||||||
net investment income of $5,226 and $947, respectively) | $ | 125,803,801 | $ | 58,693,890 |
The accompanying notes are an integral part of these financial statements.
Page 110
Statements of Changes in Net Assets
Baird Quality Intermediate Municipal Bond Fund
Year Ended | Year Ended | |||||||
December 31, 2017 | December 31, 2016 | |||||||
OPERATIONS: | ||||||||
Net investment income | $ | 24,318,881 | $ | 26,013,591 | ||||
Net realized loss on investments | (953,373 | ) | (4,831,770 | ) | ||||
Change in unrealized appreciation/ | ||||||||
depreciation on investments | 8,751,823 | (27,953,071 | ) | |||||
Net increase (decrease) in net assets | ||||||||
resulting from operations | 32,117,331 | (6,771,250 | ) | |||||
CAPITAL SHARE TRANSACTIONS: | ||||||||
Proceeds from shares sold | 456,788,210 | 393,025,806 | ||||||
Shares issued to holders in | ||||||||
reinvestment of distributions | 21,217,912 | 23,259,485 | ||||||
Cost of shares redeemed | (406,613,328 | ) | (459,954,332 | ) | ||||
Net increase (decrease) in net assets | ||||||||
resulting from capital share transactions | 71,392,794 | (43,669,041 | ) | |||||
DISTRIBUTIONS TO | ||||||||
INSTITUTIONAL CLASS SHAREHOLDERS: | ||||||||
From net investment income | (21,803,402 | ) | (23,096,808 | ) | ||||
From return of capital | (53,232 | ) | — | |||||
Total Distributions | (21,856,634 | ) | (23,096,808 | ) | ||||
DISTRIBUTIONS TO | ||||||||
INVESTOR CLASS SHAREHOLDERS: | ||||||||
From net investment income | (2,515,479 | ) | (2,962,261 | ) | ||||
From return of capital | (6,141 | ) | — | |||||
Total Distributions | (2,521,620 | ) | (2,962,261 | ) | ||||
TOTAL INCREASE (DECREASE) IN NET ASSETS | 79,131,871 | (76,499,360 | ) | |||||
NET ASSETS: | ||||||||
Beginning of year | 1,072,284,144 | 1,148,783,504 | ||||||
End of year | $ | 1,151,416,015 | $ | 1,072,284,144 |
The accompanying notes are an integral part of these financial statements.
Page 111
Statements of Changes in Net Assets
Baird Core Intermediate Municipal Bond Fund
Year Ended | Year Ended | |||||||
December 31, 2017 | December 31, 2016 | |||||||
OPERATIONS: | ||||||||
Net investment income | $ | 3,113,852 | $ | 1,265,116 | ||||
Net realized gain on investments | 289,925 | 117,545 | ||||||
Change in unrealized appreciation/depreciation | ||||||||
on investments | 3,775,908 | (1,332,991 | ) | |||||
Net increase in net assets resulting from operations | 7,179,685 | 49,670 | ||||||
CAPITAL SHARE TRANSACTIONS: | ||||||||
Proceeds from shares sold | 154,074,208 | 66,349,805 | ||||||
Shares issued to holders in | ||||||||
reinvestment of distributions | 1,974,464 | 808,907 | ||||||
Cost of shares redeemed | (21,309,164 | ) | (18,776,047 | ) | ||||
Net increase in net assets resulting | ||||||||
from capital share transactions | 134,739,508 | 48,382,665 | ||||||
DISTRIBUTIONS TO | ||||||||
INSTITUTIONAL CLASS SHAREHOLDERS: | ||||||||
From net investment income | (3,078,238 | ) | (1,251,033 | ) | ||||
From net realized gains | — | (519,478 | ) | |||||
Total Distributions | (3,078,238 | ) | (1,770,511 | ) | ||||
DISTRIBUTIONS TO | ||||||||
INVESTOR CLASS SHAREHOLDERS: | ||||||||
From net investment income | (27,172 | ) | (10,871 | ) | ||||
From net realized gains | — | (8,868 | ) | |||||
Total Distributions | (27,172 | ) | (19,739 | ) | ||||
TOTAL INCREASE IN NET ASSETS | 138,813,783 | 46,642,085 | ||||||
NET ASSETS: | ||||||||
Beginning of year | 97,704,494 | 51,062,409 | ||||||
End of year (including accumulated undistributed | ||||||||
net investment income of $11,590 and $3,148, respectively) | $ | 236,518,277 | $ | 97,704,494 |
The accompanying notes are an integral part of these financial statements.
Page 112
Financial Highlights
Baird Ultra Short Bond Fund – Institutional Class
Year Ended December 31, | ||||||||||||||||
2017 | 2016 | 2015 | 2014 | |||||||||||||
Per Share Data: | ||||||||||||||||
Net asset value, beginning of year | $ | 10.03 | $ | 9.98 | $ | 10.03 | $ | 10.00 | ||||||||
Income from investment operations: | ||||||||||||||||
Net investment income | 0.13 | (1) | 0.11 | (1) | 0.08 | (1) | 0.09 | |||||||||
Net realized and unrealized | ||||||||||||||||
gains (losses) on investments | 0.00 | (2)(4) | 0.04 | (0.05 | ) | 0.03 | (2) | |||||||||
Total from investment operations | 0.13 | 0.15 | 0.03 | 0.12 | ||||||||||||
Less distributions: | ||||||||||||||||
Distributions from net investment income | (0.13 | ) | (0.10 | ) | (0.08 | ) | (0.09 | ) | ||||||||
Total distributions | (0.13 | ) | (0.10 | ) | (0.08 | ) | (0.09 | ) | ||||||||
Net asset value, end of year | $ | 10.03 | $ | 10.03 | $ | 9.98 | $ | 10.03 | ||||||||
Total return | 1.30 | % | 1.56 | % | 0.30 | % | 1.21 | % | ||||||||
Supplemental data and ratios: | ||||||||||||||||
Net assets, end of year (millions) | $ | 532.0 | $ | 387.3 | $ | 189.3 | $ | 84.5 | ||||||||
Ratio of expenses to average net assets | 0.15 | % | 0.15 | % | 0.15 | % | 0.15 | % | ||||||||
Ratio of expenses to | ||||||||||||||||
average net assets (before waivers) | 0.30 | % | 0.30 | % | 0.30 | % | 0.30 | % | ||||||||
Ratio of net investment | ||||||||||||||||
income to average net assets | 1.31 | % | 1.05 | % | 0.78 | % | 0.93 | % | ||||||||
Ratio of net investment income to | ||||||||||||||||
average net assets (before waivers) | 1.16 | % | 0.90 | % | 0.63 | % | 0.78 | % | ||||||||
Portfolio turnover rate(3) | 82.8 | % | 96.9 | % | 65.5 | % | 57.6 | % |
(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 (loss) 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. |
(4) | Amount is less than $0.005. |
The accompanying notes are an integral part of these financial statements.
Page 113
Financial Highlights
Baird Ultra Short Bond Fund – Investor Class
Year Ended December 31, | ||||||||||||||||
2017 | 2016 | 2015 | 2014 | |||||||||||||
Per Share Data: | ||||||||||||||||
Net asset value, beginning of year | $ | 10.03 | $ | 9.98 | $ | 10.02 | $ | 10.00 | ||||||||
Income from investment operations: | ||||||||||||||||
Net investment income | 0.11 | (1) | 0.08 | (1) | 0.05 | (1) | 0.07 | |||||||||
Net realized and unrealized | ||||||||||||||||
gains (losses) on investments | (0.01 | ) | 0.05 | (0.03 | ) | 0.02 | (2) | |||||||||
Total from investment operations | 0.10 | 0.13 | 0.02 | 0.09 | ||||||||||||
Less distributions: | ||||||||||||||||
Distributions from net investment income | (0.10 | ) | (0.08 | ) | (0.06 | ) | (0.07 | ) | ||||||||
Total distributions | (0.10 | ) | (0.08 | ) | (0.06 | ) | (0.07 | ) | ||||||||
Net asset value, end of year | $ | 10.03 | $ | 10.03 | $ | 9.98 | $ | 10.02 | ||||||||
Total return | 1.05 | % | 1.32 | % | 0.16 | % | 0.88 | % | ||||||||
Supplemental data and ratios: | ||||||||||||||||
Net assets, end of year (millions) | $ | 7.6 | $ | 5.2 | $ | 1.2 | $ | 0.9 | ||||||||
Ratio of expenses to average net assets | 0.40 | % | 0.40 | % | 0.40 | % | 0.40 | % | ||||||||
Ratio of expenses to | ||||||||||||||||
average net assets (before waivers) | 0.55 | % | 0.55 | % | 0.55 | % | 0.55 | % | ||||||||
Ratio of net investment | ||||||||||||||||
income to average net assets | 1.06 | % | 0.80 | % | 0.53 | % | 0.68 | % | ||||||||
Ratio of net investment income to | ||||||||||||||||
average net assets (before waivers) | 0.91 | % | 0.65 | % | 0.38 | % | 0.53 | % | ||||||||
Portfolio turnover rate(3) | 82.8 | % | 96.9 | % | 65.5 | % | 57.6 | % |
(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 (loss) 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 114
Financial Highlights
Baird Short-Term Bond Fund – Institutional Class
Year Ended December 31, | ||||||||||||||||||||
2017 | 2016 | 2015 | 2014 | 2013 | ||||||||||||||||
Per Share Data: | ||||||||||||||||||||
Net asset value, beginning of year | $ | 9.66 | $ | 9.60 | $ | 9.67 | $ | 9.69 | $ | 9.75 | ||||||||||
Income from investment operations: | ||||||||||||||||||||
Net investment income | 0.17 | (1) | 0.15 | (1) | 0.13 | (1) | 0.16 | 0.17 | (1) | |||||||||||
Net realized and unrealized | ||||||||||||||||||||
gains (losses) on investments | (0.02 | ) | 0.06 | (0.05 | ) | (0.01 | ) | (0.04 | ) | |||||||||||
Total from investment operations | 0.15 | 0.21 | 0.08 | 0.15 | 0.13 | |||||||||||||||
Less distributions: | ||||||||||||||||||||
Distributions from | ||||||||||||||||||||
net investment income | (0.17 | ) | (0.15 | ) | (0.15 | ) | (0.16 | ) | (0.17 | ) | ||||||||||
Distributions from net realized gains | (0.00 | )(2) | (0.00 | )(2) | (0.00 | )(2) | (0.01 | ) | (0.02 | ) | ||||||||||
Total distributions | (0.17 | ) | (0.15 | ) | (0.15 | ) | (0.17 | ) | (0.19 | ) | ||||||||||
Net asset value, end of year | $ | 9.64 | $ | 9.66 | $ | 9.60 | $ | 9.67 | $ | 9.69 | ||||||||||
Total return | 1.53 | % | 2.25 | % | 0.89 | % | 1.49 | % | 1.33 | % | ||||||||||
Supplemental data and ratios: | ||||||||||||||||||||
Net assets, end of year (millions) | $ | 5,399.7 | $ | 3,769.3 | $ | 2,976.0 | $ | 2,640.9 | $ | 1,985.0 | ||||||||||
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 | 1.73 | % | 1.57 | % | 1.30 | % | 1.56 | % | 1.71 | % | ||||||||||
Portfolio turnover rate(3) | 55.3 | % | 44.0 | % | 37.8 | % | 51.2 | % | 45.1 | % |
(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 115
Financial Highlights
Baird Short-Term Bond Fund – Investor Class
Year Ended December 31, | ||||||||||||||||||||
2017 | 2016 | 2015 | 2014 | 2013 | ||||||||||||||||
Per Share Data: | ||||||||||||||||||||
Net asset value, beginning of year | $ | 9.66 | $ | 9.60 | $ | 9.67 | $ | 9.69 | $ | 9.75 | ||||||||||
Income from investment operations: | ||||||||||||||||||||
Net investment income | 0.14 | (1) | 0.13 | (1) | 0.10 | (1) | 0.14 | 0.15 | (1) | |||||||||||
Net realized and unrealized | ||||||||||||||||||||
gains (losses) on investments | (0.02 | ) | 0.06 | (0.04 | ) | (0.02 | ) | (0.04 | ) | |||||||||||
Total from investment operations | 0.12 | 0.19 | 0.06 | 0.12 | 0.11 | |||||||||||||||
Less distributions: | ||||||||||||||||||||
Distributions from | ||||||||||||||||||||
net investment income | (0.14 | ) | (0.13 | ) | (0.13 | ) | (0.13 | ) | (0.15 | ) | ||||||||||
Distributions from net realized gains | (0.00 | )(2) | (0.00 | )(2) | (0.00 | )(2) | (0.01 | ) | (0.02 | ) | ||||||||||
Total distributions | (0.14 | ) | (0.13 | ) | (0.13 | ) | (0.14 | ) | (0.17 | ) | ||||||||||
Net asset value, end of year | $ | 9.64 | $ | 9.66 | $ | 9.60 | $ | 9.67 | $ | 9.69 | ||||||||||
Total return | 1.28 | % | 2.00 | % | 0.64 | % | 1.25 | % | 1.11 | % | ||||||||||
Supplemental data and ratios: | ||||||||||||||||||||
Net assets, end of year (millions) | $ | 134.9 | $ | 104.9 | $ | 40.6 | $ | 35.8 | $ | 2.5 | ||||||||||
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 | 1.48 | % | 1.32 | % | 1.05 | % | 1.31 | % | 1.46 | % | ||||||||||
Portfolio turnover rate(3) | 55.3 | % | 44.0 | % | 37.8 | % | 51.2 | % | 45.1 | % |
(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 116
Financial Highlights
Baird Intermediate Bond Fund – Institutional Class
Year Ended December 31, | ||||||||||||||||||||
2017 | 2016 | 2015 | 2014 | 2013 | ||||||||||||||||
Per Share Data: | ||||||||||||||||||||
Net asset value, beginning of year | $ | 10.97 | $ | 10.93 | $ | 11.10 | $ | 11.00 | $ | 11.31 | ||||||||||
Income from investment operations: | ||||||||||||||||||||
Net investment income | 0.26 | (1) | 0.25 | (1) | 0.24 | (1) | 0.26 | (1) | 0.27 | |||||||||||
Net realized and unrealized | ||||||||||||||||||||
gains (losses) on investments | 0.04 | 0.06 | (0.13 | ) | 0.13 | (0.29 | ) | |||||||||||||
Total from investment operations | 0.30 | 0.31 | 0.11 | 0.39 | (0.02 | ) | ||||||||||||||
Less distributions: | ||||||||||||||||||||
Distributions from | ||||||||||||||||||||
net investment income | (0.26 | ) | (0.25 | ) | (0.25 | ) | (0.27 | ) | (0.27 | ) | ||||||||||
Distributions from net realized gains | (0.00 | )(2) | (0.02 | ) | (0.03 | ) | (0.02 | ) | (0.02 | ) | ||||||||||
Total distributions | (0.26 | ) | (0.27 | ) | (0.28 | ) | (0.29 | ) | (0.29 | ) | ||||||||||
Net asset value, end of year | $ | 11.01 | $ | 10.97 | $ | 10.93 | $ | 11.10 | $ | 11.00 | ||||||||||
Total return | 2.74 | % | 2.83 | % | 0.99 | % | 3.50 | % | (0.17 | )% | ||||||||||
Supplemental data and ratios: | ||||||||||||||||||||
Net assets, end of year (millions) | $ | 2,902.0 | $ | 2,209.1 | $ | 1,787.0 | $ | 1,468.2 | $ | 1,113.7 | ||||||||||
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 | 2.32 | % | 2.21 | % | 2.14 | % | 2.37 | % | 2.45 | % | ||||||||||
Portfolio turnover rate(3) | 31.0 | % | 30.1 | % | 39.0 | % | 29.2 | % | 45.1 | % |
(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 117
Financial Highlights
Baird Intermediate Bond Fund – Investor Class
Year Ended December 31, | ||||||||||||||||||||
2017 | 2016 | 2015 | 2014 | 2013 | ||||||||||||||||
Per Share Data: | ||||||||||||||||||||
Net asset value, beginning of year | $ | 11.44 | $ | 11.39 | $ | 11.56 | $ | 11.43 | $ | 11.74 | ||||||||||
Income from investment operations: | ||||||||||||||||||||
Net investment income | 0.24 | (1) | 0.23 | (1) | 0.22 | (1) | 0.25 | (1) | 0.25 | |||||||||||
Net realized and unrealized | ||||||||||||||||||||
gains (losses) on investments | 0.04 | 0.06 | (0.14 | ) | 0.14 | (0.29 | ) | |||||||||||||
Total from investment operations | 0.28 | 0.29 | 0.08 | 0.39 | (0.04 | ) | ||||||||||||||
Less distributions: | ||||||||||||||||||||
Distributions from | ||||||||||||||||||||
net investment income | (0.22 | ) | (0.22 | ) | (0.22 | ) | (0.24 | ) | (0.25 | ) | ||||||||||
Distributions from net realized gains | (0.00 | )(2) | (0.02 | ) | (0.03 | ) | (0.02 | ) | (0.02 | ) | ||||||||||
Total distributions | (0.22 | ) | (0.24 | ) | (0.25 | ) | (0.26 | ) | (0.27 | ) | ||||||||||
Net asset value, end of year | $ | 11.50 | $ | 11.44 | $ | 11.39 | $ | 11.56 | $ | 11.43 | ||||||||||
Total return | 2.53 | % | 2.55 | % | 0.79 | % | 3.29 | % | (0.41 | )% | ||||||||||
Supplemental data and ratios: | ||||||||||||||||||||
Net assets, end of year (millions) | $ | 53.9 | $ | 98.1 | $ | 103.4 | $ | 115.6 | $ | 42.1 | ||||||||||
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 | 2.07 | % | 1.96 | % | 1.89 | % | 2.12 | % | 2.20 | % | ||||||||||
Portfolio turnover rate(3) | 31.0 | % | 30.1 | % | 39.0 | % | 29.2 | % | 45.1 | % |
(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 118
Financial Highlights
Baird Aggregate Bond Fund – Institutional Class
Year Ended December 31, | ||||||||||||||||||||
2017 | 2016 | 2015 | 2014 | 2013 | ||||||||||||||||
Per Share Data: | ||||||||||||||||||||
Net asset value, beginning of year | $ | 10.70 | $ | 10.61 | $ | 10.81 | $ | 10.41 | $ | 10.89 | ||||||||||
Income from investment operations: | ||||||||||||||||||||
Net investment income | 0.26 | (1) | 0.25 | (1) | 0.24 | (1) | 0.30 | 0.32 | (1) | |||||||||||
Net realized and unrealized | ||||||||||||||||||||
gains (losses) on investments | 0.19 | 0.12 | (0.18 | ) | 0.41 | (0.45 | ) | |||||||||||||
Total from investment operations | 0.45 | 0.37 | 0.06 | 0.71 | (0.13 | ) | ||||||||||||||
Less distributions: | ||||||||||||||||||||
Distributions from | ||||||||||||||||||||
net investment income | (0.28 | ) | (0.26 | ) | (0.26 | ) | (0.31 | ) | (0.35 | ) | ||||||||||
Distributions from net realized gains | — | (0.02 | ) | — | — | — | ||||||||||||||
Total distributions | (0.28 | ) | (0.28 | ) | (0.26 | ) | (0.31 | ) | (0.35 | ) | ||||||||||
Net asset value, end of year | $ | 10.87 | $ | 10.70 | $ | 10.61 | $ | 10.81 | $ | 10.41 | ||||||||||
Total return | 4.20 | % | 3.52 | % | 0.55 | % | 6.89 | % | (1.25 | )% | ||||||||||
Supplemental data and ratios: | ||||||||||||||||||||
Net assets, end of year (millions) | $ | 13,582.8 | $ | 9,769.9 | $ | 6,318.4 | $ | 3,448.6 | $ | 1,665.0 | ||||||||||
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 | 2.40 | % | 2.25 | % | 2.24 | % | 2.81 | % | 3.01 | % | ||||||||||
Portfolio turnover rate(2) | 27.7 | % | 35.7 | % | 39.6 | % | 32.1 | % | 28.4 | % |
(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 Aggregate Bond Fund – Investor Class
Year Ended December 31, | ||||||||||||||||||||
2017 | 2016 | 2015 | 2014 | 2013 | ||||||||||||||||
Per Share Data: | ||||||||||||||||||||
Net asset value, beginning of year | $ | 11.05 | $ | 10.94 | $ | 11.15 | $ | 10.72 | $ | 11.21 | ||||||||||
Income from investment operations: | ||||||||||||||||||||
Net investment income | 0.24 | (1) | 0.23 | (1) | 0.22 | (1) | 0.28 | 0.29 | (1) | |||||||||||
Net realized and unrealized | ||||||||||||||||||||
gains (losses) on investments | 0.19 | 0.14 | (0.20 | ) | 0.43 | (0.46 | ) | |||||||||||||
Total from investment operations | 0.43 | 0.37 | 0.02 | 0.71 | (0.17 | ) | ||||||||||||||
Less distributions: | ||||||||||||||||||||
Distributions from | ||||||||||||||||||||
net investment income | (0.25 | ) | (0.24 | ) | (0.23 | ) | (0.28 | ) | (0.32 | ) | ||||||||||
Distributions from net realized gains | — | (0.02 | ) | — | — | — | ||||||||||||||
Total distributions | (0.25 | ) | (0.26 | ) | (0.23 | ) | (0.28 | ) | (0.32 | ) | ||||||||||
Net asset value, end of year | $ | 11.23 | $ | 11.05 | $ | 10.94 | $ | 11.15 | $ | 10.72 | ||||||||||
Total return | 3.90 | % | 3.34 | % | 0.21 | % | 6.71 | % | (1.54 | )% | ||||||||||
Supplemental data and ratios: | ||||||||||||||||||||
Net assets, end of year (millions) | $ | 825.4 | $ | 809.1 | $ | 429.6 | $ | 241.7 | $ | 141.9 | ||||||||||
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 | 2.15 | % | 2.00 | % | 1.99 | % | 2.56 | % | 2.76 | % | ||||||||||
Portfolio turnover rate(2) | 27.7 | % | 35.7 | % | 39.6 | % | 32.1 | % | 28.4 | % |
(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 Core Plus Bond Fund – Institutional Class
Year Ended December 31, | ||||||||||||||||||||
2017 | 2016 | 2015 | 2014 | 2013 | ||||||||||||||||
Per Share Data: | ||||||||||||||||||||
Net asset value, beginning of year | $ | 11.03 | $ | 10.85 | $ | 11.14 | $ | 10.77 | $ | 11.27 | ||||||||||
Income from investment operations: | ||||||||||||||||||||
Net investment income | 0.30 | (1) | 0.29 | (1) | 0.28 | (1) | 0.32 | 0.31 | ||||||||||||
Net realized and unrealized | ||||||||||||||||||||
gains (losses) on investments | 0.21 | 0.22 | (0.26 | ) | 0.38 | (0.46 | ) | |||||||||||||
Total from investment operations | 0.51 | 0.51 | 0.02 | 0.70 | (0.15 | ) | ||||||||||||||
Less distributions: | ||||||||||||||||||||
Distributions from | ||||||||||||||||||||
net investment income | (0.32 | ) | (0.31 | ) | (0.31 | ) | (0.33 | ) | (0.34 | ) | ||||||||||
Distributions from net realized gains | — | (0.02 | ) | — | — | (0.01 | ) | |||||||||||||
Total distributions | (0.32 | ) | (0.33 | ) | (0.31 | ) | (0.33 | ) | (0.35 | ) | ||||||||||
Net asset value, end of year | $ | 11.22 | $ | 11.03 | $ | 10.85 | $ | 11.14 | $ | 10.77 | ||||||||||
Total return | 4.65 | % | 4.73 | % | 0.14 | % | 6.59 | % | (1.32 | )% | ||||||||||
Supplemental data and ratios: | ||||||||||||||||||||
Net assets, end of year (millions) | $ | 13,920.2 | $ | 10,023.6 | $ | 7,199.8 | $ | 4,520.9 | $ | 1,789.7 | ||||||||||
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 | 2.68 | % | 2.61 | % | 2.50 | % | 2.89 | % | 2.83 | % | ||||||||||
Portfolio turnover rate(2) | 29.7 | % | 33.2 | % | 34.2 | % | 35.0 | % | 35.5 | % |
(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 Plus Bond Fund – Investor Class
Year Ended December 31, | ||||||||||||||||||||
2017 | 2016 | 2015 | 2014 | 2013 | ||||||||||||||||
Per Share Data: | ||||||||||||||||||||
Net asset value, beginning of year | $ | 11.46 | $ | 11.26 | $ | 11.55 | $ | 11.16 | $ | 11.67 | ||||||||||
Income from investment operations: | ||||||||||||||||||||
Net investment income | 0.28 | (1) | 0.27 | (1) | 0.26 | (1) | 0.29 | 0.29 | ||||||||||||
Net realized and unrealized | ||||||||||||||||||||
gains (losses) on investments | 0.23 | 0.23 | (0.27 | ) | 0.40 | (0.48 | ) | |||||||||||||
Total from investment operations | 0.51 | 0.50 | (0.01 | ) | 0.69 | (0.19 | ) | |||||||||||||
Less distributions: | ||||||||||||||||||||
Distributions from | ||||||||||||||||||||
net investment income | (0.29 | ) | (0.28 | ) | (0.28 | ) | (0.30 | ) | (0.31 | ) | ||||||||||
Distributions from net realized gains | — | (0.02 | ) | — | — | (0.01 | ) | |||||||||||||
Total distributions | (0.29 | ) | (0.30 | ) | (0.28 | ) | (0.30 | ) | (0.32 | ) | ||||||||||
Net asset value, end of year | $ | 11.68 | $ | 11.46 | $ | 11.26 | $ | 11.55 | $ | 11.16 | ||||||||||
Total return | 4.47 | % | 4.47 | % | (0.11 | )% | 6.27 | % | (1.61 | )% | ||||||||||
Supplemental data and ratios: | ||||||||||||||||||||
Net assets, end of year (millions) | $ | 2,431.0 | $ | 2,881.8 | $ | 2,183.5 | $ | 2,195.7 | $ | 1,044.1 | ||||||||||
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 | 2.43 | % | 2.36 | % | 2.25 | % | 2.64 | % | 2.58 | % | ||||||||||
Portfolio turnover rate(2) | 29.7 | % | 33.2 | % | 34.2 | % | 35.0 | % | 35.5 | % |
(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 122
Financial Highlights
Baird Short-Term Municipal Bond Fund – Institutional Class
Period Ended | ||||||||||||
Year Ended December 31, | December 31, | |||||||||||
2017 | 2016 | 2015(1) | ||||||||||
Per Share Data: | ||||||||||||
Net asset value, beginning of period | $ | 9.97 | $ | 10.04 | $ | 10.00 | ||||||
Income from investment operations: | ||||||||||||
Net investment income(2) | 0.18 | 0.15 | 0.05 | |||||||||
Net realized and unrealized gains (losses) on investments | 0.10 | (0.08 | ) | 0.04 | ||||||||
Total from investment operations | 0.28 | 0.07 | 0.09 | |||||||||
Less distributions: | ||||||||||||
Distributions from net investment income | (0.17 | ) | (0.14 | ) | (0.04 | ) | ||||||
Distributions from net realized gains | (0.00 | )(3) | (0.00 | )(3) | (0.01 | ) | ||||||
Total distributions | (0.17 | ) | (0.14 | ) | (0.05 | ) | ||||||
Net asset value, end of period | $ | 10.08 | $ | 9.97 | $ | 10.04 | ||||||
Total return | 2.84 | % | 0.71 | % | 0.94 | %(4) | ||||||
Supplemental data and ratios: | ||||||||||||
Net assets, end of period (millions) | $ | 120.9 | $ | 52.4 | $ | 12.3 | ||||||
Ratio of expenses to average net assets | 0.30 | % | 0.30 | % | 0.30 | %(5) | ||||||
Ratio of net investment income to average net assets | 1.74 | % | 1.44 | % | 1.42 | %(5) | ||||||
Portfolio turnover rate(6) | 53.6 | % | 38.3 | % | 41.4 | %(4) |
(1) | Inception was close of business on August 31, 2015. |
(2) | Calculated using average shares outstanding during the year. |
(3) | Amount is less than $0.005. |
(4) | Not annualized. |
(5) | Annualized. |
(6) | Portfolio turnover is calculated on the basis of the Fund as a whole without distinguishing between the classes of shares issued. |
The accompanying notes are an integral part of these financial statements.
Page 123
Financial Highlights
Baird Short-Term Municipal Bond Fund – Investor Class
Period Ended | ||||||||||||
Year Ended December 31, | December 31, | |||||||||||
2017 | 2016 | 2015(1) | ||||||||||
Per Share Data: | ||||||||||||
Net asset value, beginning of period | $ | 9.96 | $ | 10.04 | $ | 10.00 | ||||||
Income from investment operations: | ||||||||||||
Net investment income(2) | 0.15 | 0.12 | 0.04 | |||||||||
Net realized and unrealized gains (losses) on investments | 0.09 | (0.08 | ) | 0.05 | ||||||||
Total from investment operations | 0.24 | 0.04 | 0.09 | |||||||||
Less distributions: | ||||||||||||
Distributions from net investment income | (0.14 | ) | (0.12 | ) | (0.04 | ) | ||||||
Distributions from net realized gains | (0.00 | )(3) | (0.00 | )(3) | (0.01 | ) | ||||||
Total distributions | (0.14 | ) | (0.12 | ) | (0.05 | ) | ||||||
Net asset value, end of period | $ | 10.06 | $ | 9.96 | $ | 10.04 | ||||||
Total return | 2.45 | % | 0.40 | % | 0.86 | %(4) | ||||||
Supplemental data and ratios: | ||||||||||||
Net assets, end of period (millions) | $ | 4.9 | $ | 6.3 | $ | 0.1 | ||||||
Ratio of expenses to average net assets | 0.55 | % | 0.55 | % | 0.55 | %(5) | ||||||
Ratio of net investment income to average net assets | 1.49 | % | 1.19 | % | 1.17 | %(5) | ||||||
Portfolio turnover rate(6) | 53.6 | % | 38.3 | % | 41.4 | %(4) |
(1) | Inception was close of business on August 31, 2015. |
(2) | Calculated using average shares outstanding during the year. |
(3) | Amount is less than $0.005. |
(4) | Not annualized. |
(5) | Annualized. |
(6) | Portfolio turnover is calculated on the basis of the Fund as a whole without distinguishing between the classes of shares issued. |
The accompanying notes are an integral part of these financial statements.
Page 124
Financial Highlights
Baird Quality Intermediate Municipal Bond Fund – Institutional Class
Year Ended December 31, | ||||||||||||||||||||
2017 | 2016 | 2015 | 2014 | 2013 | ||||||||||||||||
Per Share Data: | ||||||||||||||||||||
Net asset value, beginning of year | $ | 11.43 | $ | 11.74 | $ | 11.77 | $ | 11.55 | $ | 12.01 | ||||||||||
Income from investment operations: | ||||||||||||||||||||
Net investment income | 0.27 | (1) | 0.26 | (1) | 0.28 | (1) | 0.30 | 0.32 | (1) | |||||||||||
Net realized and unrealized | ||||||||||||||||||||
gains (losses) on investments | 0.09 | (0.31 | ) | (0.03 | ) | 0.22 | (0.46 | ) | ||||||||||||
Total from investment operations | 0.36 | (0.05 | ) | 0.25 | 0.52 | (0.14 | ) | |||||||||||||
Less distributions: | ||||||||||||||||||||
Distributions from | ||||||||||||||||||||
net investment income | (0.27 | ) | (0.26 | ) | (0.28 | ) | (0.30 | ) | (0.32 | ) | ||||||||||
Distributions from return of capital | (0.00 | )(2) | — | — | — | — | ||||||||||||||
Total distributions | (0.27 | ) | (0.26 | ) | (0.28 | ) | (0.30 | ) | (0.32 | ) | ||||||||||
Net asset value, end of year | $ | 11.52 | $ | 11.43 | $ | 11.74 | $ | 11.77 | $ | 11.55 | ||||||||||
Total return | 3.12 | % | (0.46 | )% | 2.19 | % | 4.54 | % | (1.19 | )% | ||||||||||
Supplemental data and ratios: | ||||||||||||||||||||
Net assets, end of year (millions) | $ | 1,044.1 | $ | 936.2 | $ | 988.4 | $ | 918.9 | $ | 801.4 | ||||||||||
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 | 2.29 | % | 2.19 | % | 2.42 | % | 2.56 | % | 2.65 | % | ||||||||||
Portfolio turnover rate(3) | 31.2 | % | 22.0 | % | 9.3 | % | 4.7 | % | 9.0 | % |
(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 125
Financial Highlights
Baird Quality Intermediate Municipal Bond Fund – Investor Class
Year Ended December 31, | ||||||||||||||||||||
2017 | 2016 | 2015 | 2014 | 2013 | ||||||||||||||||
Per Share Data: | ||||||||||||||||||||
Net asset value, beginning of year | $ | 11.69 | $ | 12.00 | $ | 12.03 | $ | 11.80 | $ | 12.26 | ||||||||||
Income from investment operations: | ||||||||||||||||||||
Net investment income | 0.24 | (1) | 0.23 | (1) | 0.26 | (1) | 0.28 | 0.29 | (1) | |||||||||||
Net realized and unrealized | ||||||||||||||||||||
gains (losses) on investments | 0.11 | (0.31 | ) | (0.04 | ) | 0.22 | (0.46 | ) | ||||||||||||
Total from investment operations | 0.35 | (0.08 | ) | 0.22 | 0.50 | (0.17 | ) | |||||||||||||
Less distributions: | ||||||||||||||||||||
Distributions from | ||||||||||||||||||||
net investment income | (0.24 | ) | (0.23 | ) | (0.25 | ) | (0.27 | ) | (0.29 | ) | ||||||||||
Distributions from return of capital | (0.00 | )(2) | — | — | — | — | ||||||||||||||
Total distributions | (0.24 | ) | (0.23 | ) | (0.25 | ) | (0.27 | ) | (0.29 | ) | ||||||||||
Net asset value, end of year | $ | 11.80 | $ | 11.69 | $ | 12.00 | $ | 12.03 | $ | 11.80 | ||||||||||
Total return | 2.97 | % | (0.70 | )% | 1.89 | % | 4.27 | % | (1.42 | )% | ||||||||||
Supplemental data and ratios: | ||||||||||||||||||||
Net assets, end of year (millions) | $ | 107.3 | $ | 136.1 | $ | 160.3 | $ | 186.7 | $ | 205.6 | ||||||||||
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 | 2.04 | % | 1.94 | % | 2.17 | % | 2.31 | % | 2.40 | % | ||||||||||
Portfolio turnover rate(3) | 31.2 | % | 22.0 | % | 9.3 | % | 4.7 | % | 9.0 | % |
(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 126
Financial Highlights
Baird Core Intermediate Municipal Bond Fund – Institutional Class
Period Ended | ||||||||||||
Year Ended December 31, | December 31, | |||||||||||
2017 | 2016 | 2015(1) | ||||||||||
Per Share Data: | ||||||||||||
Net asset value, beginning of period | $ | 10.01 | $ | 10.13 | $ | 10.00 | ||||||
Income from investment operations: | ||||||||||||
Net investment income(2) | 0.21 | 0.18 | 0.06 | |||||||||
Net realized and unrealized gains (losses) on investments | 0.30 | (0.05 | ) | 0.14 | ||||||||
Total from investment operations | 0.51 | 0.13 | 0.20 | |||||||||
Less distributions: | ||||||||||||
Distributions from net investment income | (0.20 | ) | (0.18 | ) | (0.06 | ) | ||||||
Distributions from net realized gains | — | (0.07 | ) | (0.01 | ) | |||||||
Total distributions | (0.20 | ) | (0.25 | ) | (0.07 | ) | ||||||
Net asset value, end of period | $ | 10.32 | $ | 10.01 | $ | 10.13 | ||||||
Total return | 5.15 | % | 1.14 | % | 1.98 | %(3) | ||||||
Supplemental data and ratios: | ||||||||||||
Net assets, end of period (millions) | $ | 234.8 | $ | 96.3 | $ | 50.8 | ||||||
Ratio of expenses to average net assets | 0.30 | % | 0.30 | % | 0.30 | %(4) | ||||||
Ratio of net investment income to average net assets | 2.04 | % | 1.79 | % | 1.75 | %(4) | ||||||
Portfolio turnover rate(5) | 66.1 | % | 94.8 | % | 108.3 | %(3) |
(1) | Inception was close of business on August 31, 2015. |
(2) | Calculated using average shares outstanding during the year. |
(3) | Not annualized. |
(4) | Annualized. |
(5) | Portfolio turnover is calculated on the basis of the Fund as a whole without distinguishing between the classes of shares issued. |
The accompanying notes are an integral part of these financial statements.
Page 127
Financial Highlights
Baird Core Intermediate Municipal Bond Fund – Investor Class
Period Ended | ||||||||||||
Year Ended December 31, | December 31, | |||||||||||
2017 | 2016 | 2015(1) | ||||||||||
Per Share Data: | ||||||||||||
Net asset value, beginning of period | $ | 10.00 | $ | 10.13 | $ | 10.00 | ||||||
Income from investment operations: | ||||||||||||
Net investment income(2) | 0.18 | 0.16 | 0.05 | |||||||||
Net realized and unrealized gains (losses) on investments | 0.32 | (0.06 | ) | 0.14 | ||||||||
Total from investment operations | 0.50 | 0.10 | 0.19 | |||||||||
Less distributions: | ||||||||||||
Distributions from net investment income | (0.18 | ) | (0.16 | ) | (0.05 | ) | ||||||
Distributions from net realized gains | — | (0.07 | ) | (0.01 | ) | |||||||
Total distributions | (0.18 | ) | (0.23 | ) | (0.06 | ) | ||||||
Net asset value, end of period | $ | 10.32 | $ | 10.00 | $ | 10.13 | ||||||
Total return | 5.00 | % | 0.91 | % | 1.91 | %(3) | ||||||
Supplemental data and ratios: | ||||||||||||
Net assets, end of period (millions) | $ | 1.7 | $ | 1.4 | $ | 0.2 | ||||||
Ratio of expenses to average net assets | 0.55 | % | 0.55 | % | 0.55 | %(4) | ||||||
Ratio of net investment income to average net assets | 1.79 | % | 1.54 | % | 1.50 | %(4) | ||||||
Portfolio turnover rate(5) | 66.1 | % | 94.8 | % | 108.3 | %(3) |
(1) | Inception was close of business on August 31, 2015. |
(2) | Calculated using average shares outstanding during the year. |
(3) | Not annualized. |
(4) | Annualized. |
(5) | Portfolio turnover is calculated on the basis of the Fund as a whole without distinguishing between the classes of shares issued. |
The accompanying notes are an integral part of these financial statements.
Page 128
Notes to the Financial Statements
December 31, 2017
1. | Organization |
Baird Funds, Inc. (the “Corporation”) was incorporated on June 9, 2000, as a Wisconsin corporation and is registered as an open-end investment management company under the Investment Company Act of 1940, as amended (the “1940 Act”). The accompanying financial statements include the Baird Ultra Short Bond Fund, Baird Short-Term Bond Fund, Baird Intermediate Bond Fund, Baird Aggregate Bond Fund, Baird Core Plus Bond Fund, Baird Short-Term Municipal Bond Fund, Baird Quality Intermediate Municipal Bond Fund and Baird Core Intermediate Municipal Bond Fund (each, a “Fund” and collectively, the “Funds”), eight of the fourteen 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 Funds are investment companies and therefore follow the investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946 Financial Services – Investment Companies.
The Baird Ultra Short Bond Fund commenced with the sale of both Institutional and Investor Class shares on December 31, 2013. The Baird Short-Term Bond Fund commenced with the sale of Institutional Class shares on August 31, 2004, while the Investor Class shares commenced on September 19, 2012. The Baird Intermediate Bond Fund, Baird Aggregate Bond Fund and Baird Core Plus Bond Fund commenced with the sale of both Institutional and Investor Class shares on September 29, 2000. The Baird Short-Term Municipal Bond Fund and Baird 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. 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 Bloomberg 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 seek an annual rate of total return, before Fund expenses, greater than the annual rate of total return of the Bloomberg Barclays 1-3 Year U.S. Government/Credit Bond Index. The Bloomberg Barclays 1-3 Year U.S. Government/Credit Bond Index is an unmanaged, market value weighted index of investment grade, fixed-rate debt including government and corporate securities with maturities between one and three years.
The investment objective of the Baird Intermediate Bond Fund is to seek an annual rate of total return, before Fund expenses, greater than the annual rate of total return of the Bloomberg Barclays Intermediate U.S. Government/Credit Bond Index. The Bloomberg 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 investment objective of the Baird Aggregate Bond Fund is to seek an annual rate of total return, before Fund expenses, greater than the annual rate of total return of the Bloomberg Barclays U.S. Aggregate Bond Index. The Bloomberg Barclays U.S. Aggregate Bond Index is an unmanaged, market value weighted index of investment grade, fixed-rate debt issues, including government, corporate, asset-backed and mortgage-backed securities, with maturities of at least one year.
The investment objective of the Baird Core Plus Bond Fund is to seek an annual rate of total return, before Fund expenses, greater than the annual rate of total return of the Bloomberg Barclays U.S. Universal Bond Index. The Bloomberg Barclays U.S. Universal Bond Index is an unmanaged, market value weighted index of fixed income securities issued in U.S. dollars, including U.S. government and investment grade debt, non-investment grade debt, asset-backed and mortgage-backed securities, Eurobonds, 144A securities and emerging market debt, with maturities of at least one year.
Page 129
Notes to the Financial Statements
December 31, 2017
1. | Organization (cont.) |
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 primary investment objective of the Baird Quality Intermediate Municipal Bond Fund is to seek current income that is substantially exempt from federal income tax. A secondary objective is to seek 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.
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 (“GAAP”).
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 (the “Board”) 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 fair value of the security, the security is priced at fair value as described below. Investments in mutual funds, including money market funds, are valued at their stated net asset value (“NAV”). 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 ask 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, under certain circumstances, use alternative valuation methodologies, or it 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. |
Page 130
Notes to the Financial Statements
December 31, 2017
2. | Significant Accounting Policies (cont.) |
Fair value pricing involves subjective judgments and there is no single standard for determining a security’s fair value. As a result, different mutual funds could reasonably arrive at a different fair value for the same security. It is possible that the fair value determined for a security is materially different from the value that could be realized upon the sale of that security or from the values that other mutual funds may determine. In addition, given the volatility and periodic illiquidity experienced in recent years, the prices determined for any individual security on any given day may vary significantly from the amount that can be obtained in an actual sale of that security, and the Funds’ NAVs may fluctuate significantly from day to day or from period to period. | |
b) | Unregistered Securities – Seven of the Funds own certain investment securities which are unregistered. The value of such securities for the Baird Ultra Short Bond, Baird Short-Term Bond, Baird Intermediate Bond, Baird Aggregate Bond, Baird Core Plus Bond, Baird Short-Term Municipal Bond and Baird Core Intermediate Municipal Bond Funds were $102,819,331 (19.06% of net assets), $1,256,989,627 (22.71% of net assets), $522,817,095 (17.69% of net assets), $2,305,671,516 (16.00% of net assets), $2,971,109,580 (18.17% of net assets), $332,410 (0.26% of net assets) and $614,825 (0.26% of net assets), respectively, at December 31, 2017. Unregistered securities may be deemed to be liquid as determined by the Advisor based on several factors. All of the unregistered securities held by the Funds as of December 31, 2017 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. |
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, 2017, or for any other tax years which are open for exam. As of December 31, 2017, open tax years include the tax years ended December 31, 2014 through 2017. The Funds are not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next 12 months. The Funds recognize interest and penalties, if any, related to unrecognized tax benefits as interest and other expense, respectively, in the Statement of Operations. During the year, the Funds did not incur any interest or penalties. | |
e) | Allocation of Income and Expenses – Each Fund is charged for those expenses directly attributable to it. Expenses directly attributable to a class of shares, such as Rule 12b-1 distribution fees, are charged to that class of shares. Income, expenses and realized and unrealized gains and losses are allocated to the classes based on their respective net assets. Expenses that are not directly attributable to a Fund are allocated among the Funds in the series in proportion to their assets or are divided equally amongst the Funds. |
Page 131
Notes to the Financial Statements
December 31, 2017
2. | Significant Accounting Policies (cont.) |
f) | Shareholder Transactions and Distributions – Shareholder transactions are recorded on the trade date. 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. All distributions to shareholders are recorded on the ex-dividend date. The book basis character of distributions may differ from their ultimate characterization for Federal income tax purposes. GAAP requires that permanent financial reporting and tax differences be reclassified in the capital accounts. |
g) | Use of Estimates – The preparation of financial statements in conformity with GAAP 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 transactions are recorded on the trade date. The Funds determine the gain or loss realized from investment transactions using the identified cost basis. 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. |
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. |
3. | Capital Share Transactions |
The following table summarizes the capital share transactions of each Fund for the past two fiscal years:
Baird Ultra Short Bond Fund
Year Ended | Year Ended | |||||||||||||||
December 31, 2017 | December 31, 2016 | |||||||||||||||
Institutional Class Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 50,742,505 | $ | 509,543,616 | 40,894,406 | $ | 409,656,486 | ||||||||||
Shares issued to shareholder | ||||||||||||||||
in reinvestment of distributions | 675,449 | 6,779,811 | 260,009 | 2,604,619 | ||||||||||||
Shares redeemed | (36,975,717 | ) | (371,276,731 | ) | (21,510,785 | ) | (215,281,434 | ) | ||||||||
Net increase | 14,442,237 | $ | 145,046,696 | 19,643,630 | $ | 196,979,671 | ||||||||||
Shares Outstanding: | ||||||||||||||||
Beginning of year | 38,605,813 | 18,962,183 | ||||||||||||||
End of year | 53,048,050 | 38,605,813 |
Page 132
Notes to the Financial Statements
December 31, 2017
3. | Capital Share Transactions (cont.) |
Baird Ultra Short Bond Fund (cont.)
Year Ended | Year Ended | |||||||||||||||
December 31, 2017 | December 31, 2016 | |||||||||||||||
Investor Class Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 1,885,948 | $ | 18,929,288 | 519,828 | $ | 5,211,614 | ||||||||||
Shares issued to shareholder | ||||||||||||||||
in reinvestment of distributions | 6,209 | 62,290 | 466 | 4,674 | ||||||||||||
Shares redeemed | (1,660,556 | ) | (16,673,622 | ) | (118,196 | ) | (1,184,590 | ) | ||||||||
Net increase | 231,601 | $ | 2,317,956 | 402,098 | $ | 4,031,698 | ||||||||||
Shares Outstanding: | ||||||||||||||||
Beginning of year | 522,193 | 120,095 | ||||||||||||||
End of year | 753,794 | 522,193 | ||||||||||||||
Baird Short-Term Bond Fund | ||||||||||||||||
Year Ended | Year Ended | |||||||||||||||
December 31, 2017 | December 31, 2016 | |||||||||||||||
Institutional Class Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 336,282,834 | $ | 3,259,977,948 | 208,721,216 | $ | 2,022,991,247 | ||||||||||
Shares issued to shareholder | ||||||||||||||||
in reinvestment of distributions | 8,032,465 | 77,769,745 | 5,191,423 | 50,301,475 | ||||||||||||
Shares redeemed | (174,417,332 | ) | (1,689,788,863 | ) | (133,931,700 | ) | (1,299,046,819 | ) | ||||||||
Net increase | 169,897,967 | $ | 1,647,958,830 | 79,980,939 | $ | 774,245,903 | ||||||||||
Shares Outstanding: | ||||||||||||||||
Beginning of year | 390,057,414 | 310,076,475 | ||||||||||||||
End of year | 559,955,381 | 390,057,414 | ||||||||||||||
Year Ended | Year Ended | |||||||||||||||
December 31, 2017 | December 31, 2016 | |||||||||||||||
Investor Class Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 10,154,639 | $ | 98,448,266 | 10,339,785 | $ | 100,368,487 | ||||||||||
Shares issued to shareholder | ||||||||||||||||
in reinvestment of distributions | 182,007 | 1,761,913 | 93,050 | 901,712 | ||||||||||||
Shares redeemed | (7,193,481 | ) | (69,705,948 | ) | (3,813,267 | ) | (36,970,034 | ) | ||||||||
Net increase | 3,143,165 | $ | 30,504,231 | 6,619,568 | $ | 64,300,165 | ||||||||||
Shares Outstanding: | ||||||||||||||||
Beginning of year | 10,851,748 | 4,232,180 | ||||||||||||||
End of year | 13,994,913 | 10,851,748 |
Page 133
Notes to the Financial Statements
December 31, 2017
3. | Capital Share Transactions (cont.) |
Baird Intermediate Bond Fund
Year Ended | Year Ended | |||||||||||||||
December 31, 2017 | December 31, 2016 | |||||||||||||||
Institutional Class Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 90,088,038 | (1) | $ | 996,848,306 | 64,350,690 | (2) | $ | 719,411,019 | ||||||||
Shares issued to shareholder | ||||||||||||||||
in reinvestment of distributions | 4,712,946 | 52,099,400 | 3,770,295 | 41,921,480 | ||||||||||||
Shares redeemed | (32,466,170 | ) | (359,023,210 | ) | (30,325,724 | ) | (338,066,847 | ) | ||||||||
Net increase | 62,334,814 | $ | 689,924,496 | 37,795,261 | $ | 423,265,652 | ||||||||||
Shares Outstanding: | ||||||||||||||||
Beginning of year | 201,285,688 | 163,490,427 | ||||||||||||||
End of year | 263,620,502 | 201,285,688 |
(1) | In the third quarter of 2017, the Baird Intermediate Bond Fund satisfied a purchase in kind request made by a large shareholder by transferring cash and securities into the Fund in the amount of $50,366,919 in exchange for 4,537,560 shares of the Fund. The transfer was effected in accordance with policies and procedures approved by the Board of the Funds. |
(2) | In the fourth quarter of 2016, the Baird Intermediate Bond Fund satisfied a purchase in kind request made by a large shareholder by transferring cash and securities into the Fund in the amount of $25,203,041 in exchange for 2,248,264 shares of the Fund. The transfer was effected in accordance with policies and procedures approved by the Board of the Funds. |
Year Ended | Year Ended | |||||||||||||||
December 31, 2017 | December 31, 2016 | |||||||||||||||
Investor Class Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 4,090,053 | $ | 47,159,205 | 1,543,535 | $ | 17,884,644 | ||||||||||
Shares issued to shareholder | ||||||||||||||||
in reinvestment of distributions | 148,473 | 1,713,275 | 180,930 | 2,096,707 | ||||||||||||
Shares redeemed | (8,119,282 | ) | (94,051,982 | ) | (2,231,792 | ) | (25,945,903 | ) | ||||||||
Net decrease | (3,880,756 | ) | $ | (45,179,502 | ) | (507,327 | ) | $ | (5,964,552 | ) | ||||||
Shares Outstanding: | ||||||||||||||||
Beginning of year | 8,572,608 | 9,079,935 | ||||||||||||||
End of year | 4,691,852 | 8,572,608 | ||||||||||||||
Baird Aggregate Bond Fund | ||||||||||||||||
Year Ended | Year Ended | |||||||||||||||
December 31, 2017 | December 31, 2016 | |||||||||||||||
Institutional Class Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 479,982,655 | $ | 5,203,154,861 | 446,191,460 | $ | 4,872,184,789 | ||||||||||
Shares issued to shareholder | ||||||||||||||||
in reinvestment of distributions | 25,337,673 | 274,844,157 | 17,343,130 | 188,475,045 | ||||||||||||
Shares redeemed | (169,229,148 | ) | (1,836,019,516 | ) | (146,109,105 | ) | (1,589,759,877 | ) | ||||||||
Net increase | 336,091,180 | $ | 3,641,979,502 | 317,425,485 | $ | 3,470,899,957 | ||||||||||
Shares Outstanding: | ||||||||||||||||
Beginning of year | 913,156,998 | 595,731,513 | ||||||||||||||
End of year | 1,249,248,178 | 913,156,998 |
Page 134
Notes to the Financial Statements
December 31, 2017
3. | Capital Share Transactions (cont.) |
Baird Aggregate Bond Fund (cont.)
Year Ended | Year Ended | |||||||||||||||
December 31, 2017 | December 31, 2016 | |||||||||||||||
Investor Class Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 27,558,187 | $ | 308,830,505 | 48,411,135 | $ | 545,153,144 | ||||||||||
Shares issued to shareholder | ||||||||||||||||
in reinvestment of distributions | 1,575,612 | 17,647,778 | 1,229,171 | 13,784,507 | ||||||||||||
Shares redeemed | (28,907,779 | ) | (324,687,742 | ) | (15,658,884 | ) | (175,968,825 | ) | ||||||||
Net increase | 226,020 | $ | 1,790,541 | 33,981,422 | $ | 382,968,826 | ||||||||||
Shares Outstanding: | ||||||||||||||||
Beginning of year | 73,241,436 | 39,260,014 | ||||||||||||||
End of year | 73,467,456 | 73,241,436 | ||||||||||||||
Baird Core Plus Bond Fund | ||||||||||||||||
Year Ended | Year Ended | |||||||||||||||
December 31, 2017 | December 31, 2016 | |||||||||||||||
Institutional Class Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 462,309,185 | (1) | $ | 5,184,855,364 | 367,562,136 | $ | 4,121,093,117 | |||||||||
Shares issued to shareholder | ||||||||||||||||
in reinvestment of distributions | 28,241,952 | 316,106,641 | 21,905,632 | 244,377,395 | ||||||||||||
Shares redeemed | (159,221,421 | ) | (1,781,332,511 | ) | (144,024,634 | ) | (1,612,812,024 | ) | ||||||||
Net increase | 331,329,716 | $ | 3,719,629,494 | 245,443,134 | $ | 2,752,658,488 | ||||||||||
Shares Outstanding: | ||||||||||||||||
Beginning of year | 909,048,912 | 663,605,778 | ||||||||||||||
End of year | 1,240,378,628 | 909,048,912 |
(1) | In the second quarter of 2017, the Baird Core Plus Bond Fund satisfied a purchase in kind request made by a large shareholder by transferring cash and securities into the Fund in the amount of $51,694,000 in exchange for 4,599,110 shares of the Fund. The transfer was effected in accordance with policies and procedures approved by the Board of the Funds. |
Year Ended | Year Ended | |||||||||||||||
December 31, 2017 | December 31, 2016 | |||||||||||||||
Investor Class Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 78,014,225 | $ | 907,466,355 | 116,052,805 | $ | 1,357,883,819 | ||||||||||
Shares issued to shareholder | ||||||||||||||||
in reinvestment of distributions | 5,734,364 | 66,688,706 | 5,809,669 | 67,326,570 | ||||||||||||
Shares redeemed | (127,027,988 | ) | (1,484,355,598 | ) | (64,248,597 | ) | (744,636,074 | ) | ||||||||
Net increase/decrease | (43,279,399 | ) | $ | (510,200,537 | ) | 57,613,877 | $ | 680,574,315 | ||||||||
Shares Outstanding: | ||||||||||||||||
Beginning of year | 251,464,110 | 193,850,233 | ||||||||||||||
End of year | 208,184,711 | 251,464,110 |
Page 135
Notes to the Financial Statements
December 31, 2017
3. | Capital Share Transactions (cont.) |
Baird Short-Term Municipal Bond Fund
Year Ended | Year Ended | |||||||||||||||
December 31, 2017 | December 31, 2016 | |||||||||||||||
Institutional Class Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 9,757,294 | $ | 98,511,265 | 5,168,209 | $ | 52,089,868 | ||||||||||
Shares issued to shareholder | ||||||||||||||||
in reinvestment of distributions | 98,091 | 990,417 | 29,158 | 293,778 | ||||||||||||
Shares redeemed | (3,102,014 | ) | (31,318,541 | ) | (1,169,212 | ) | (11,765,314 | ) | ||||||||
Net increase | 6,753,371 | $ | 68,183,141 | 4,028,155 | $ | 40,618,332 | ||||||||||
Shares Outstanding: | ||||||||||||||||
Beginning of year | 5,250,648 | 1,222,493 | ||||||||||||||
End of year | 12,004,019 | 5,250,648 | ||||||||||||||
Year Ended | Year Ended | |||||||||||||||
December 31, 2017 | December 31, 2016 | |||||||||||||||
Investor Class Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 405,390 | $ | 4,102,130 | 783,100 | $ | 7,828,196 | ||||||||||
Shares issued to shareholder | ||||||||||||||||
in reinvestment of distributions | 4,181 | 42,114 | 1,702 | 17,009 | ||||||||||||
Shares redeemed | (562,293 | ) | (5,648,228 | ) | (162,007 | ) | (1,620,380 | ) | ||||||||
Net increase/decrease | (152,722 | ) | $ | (1,503,984 | ) | 622,795 | $ | 6,224,825 | ||||||||
Shares Outstanding: | ||||||||||||||||
Beginning of year | 635,537 | 12,742 | ||||||||||||||
End of year | 482,815 | 635,537 | ||||||||||||||
Baird Quality Intermediate Municipal Bond Fund | ||||||||||||||||
Year Ended | Year Ended | |||||||||||||||
December 31, 2017 | December 31, 2016 | |||||||||||||||
Institutional Class Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 36,085,214 | $ | 418,858,383 | 29,580,986 | $ | 348,058,765 | ||||||||||
Shares issued to shareholder | ||||||||||||||||
in reinvestment of distributions | 1,628,106 | 18,869,338 | 1,732,099 | 20,373,781 | ||||||||||||
Shares redeemed | (29,045,900 | ) | (335,980,419 | ) | (33,599,539 | ) | (391,653,840 | ) | ||||||||
Net increase/decrease | 8,667,420 | $ | 101,747,302 | (2,286,454 | ) | $ | (23,221,294 | ) | ||||||||
Shares Outstanding: | ||||||||||||||||
Beginning of year | 81,938,844 | 84,225,298 | ||||||||||||||
End of year | 90,606,264 | 81,938,844 |
Page 136
Notes to the Financial Statements
December 31, 2017
3. | Capital Share Transactions (cont.) |
Baird Quality Intermediate Municipal Bond Fund (cont.)
Year Ended | Year Ended | |||||||||||||||
December 31, 2017 | December 31, 2016 | |||||||||||||||
Investor Class Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 3,191,345 | $ | 37,929,827 | 3,740,560 | $ | 44,967,041 | ||||||||||
Shares issued to shareholder | ||||||||||||||||
in reinvestment of distributions | 197,982 | 2,348,574 | 239,819 | 2,885,704 | ||||||||||||
Shares redeemed | (5,935,197 | ) | (70,632,909 | ) | (5,700,686 | ) | (68,300,492 | ) | ||||||||
Net decrease | (2,545,870 | ) | $ | (30,354,508 | ) | (1,720,307 | ) | $ | (20,447,747 | ) | ||||||
Shares Outstanding: | ||||||||||||||||
Beginning of year | 11,641,240 | 13,361,547 | ||||||||||||||
End of year | 9,095,370 | 11,641,240 | ||||||||||||||
Baird Core Intermediate Municipal Bond Fund | ||||||||||||||||
Year Ended | Year Ended | |||||||||||||||
December 31, 2017 | December 31, 2016 | |||||||||||||||
Institutional Class Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 14,997,642 | $ | 153,589,205 | 6,375,410 | $ | 65,179,152 | ||||||||||
Shares issued to shareholder | ||||||||||||||||
in reinvestment of distributions | 190,250 | 1,949,009 | 77,830 | 791,320 | ||||||||||||
Shares redeemed | (2,068,659 | ) | (21,112,103 | ) | (1,839,627 | ) | (18,748,846 | ) | ||||||||
Net increase | 13,119,233 | $ | 134,426,111 | 4,613,613 | $ | 47,221,626 | ||||||||||
Shares Outstanding: | ||||||||||||||||
Beginning of year | 9,629,893 | 5,016,280 | ||||||||||||||
End of year | 22,749,126 | 9,629,893 | ||||||||||||||
Year Ended | Year Ended | |||||||||||||||
December 31, 2017 | December 31, 2016 | |||||||||||||||
Investor Class Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 47,604 | $ | 485,003 | 114,091 | $ | 1,170,653 | ||||||||||
Shares issued to shareholder | ||||||||||||||||
in reinvestment of distributions | 2,491 | 25,455 | 1,737 | 17,587 | ||||||||||||
Shares redeemed | (19,260 | ) | (197,061 | ) | (2,653 | ) | (27,201 | ) | ||||||||
Net increase | 30,835 | $ | 313,397 | 113,175 | $ | 1,161,039 | ||||||||||
Shares Outstanding: | ||||||||||||||||
Beginning of year | 135,434 | 22,259 | ||||||||||||||
End of year | 166,269 | 135,434 |
Page 137
Notes to the Financial Statements
December 31, 2017
4. | Investment Transactions and Income Tax Information |
During the year ended December 31, 2017, purchases and sales of investment securities (excluding short-term investments) were as follows:
U.S. Government Obligations | All Other | |||||||||||||||
Purchases | Sales | Purchases | Sales | |||||||||||||
Baird Ultra Short Bond Fund | $ | 56,849,058 | $ | 51,849,358 | $ | 333,447,237 | $ | 221,528,536 | ||||||||
Baird Short-Term Bond Fund | 1,747,681,730 | 1,248,048,643 | 2,528,362,390 | 1,302,445,504 | ||||||||||||
Baird Intermediate Bond Fund | 784,027,170 | 490,643,291 | 613,192,261 | 300,510,499 | ||||||||||||
Baird Aggregate Bond Fund | 4,352,420,185 | 2,365,521,237 | 2,653,580,064 | 1,073,509,440 | ||||||||||||
Baird Core Plus Bond Fund | 4,282,421,005 | 2,624,533,186 | 3,053,542,869 | 1,580,970,643 | ||||||||||||
Baird Short-Term | ||||||||||||||||
Municipal Bond Fund | — | — | 102,509,502 | 41,097,228 | ||||||||||||
Baird Quality Intermediate | ||||||||||||||||
Municipal Bond Fund | — | — | 427,985,876 | 328,761,205 | ||||||||||||
Baird Core Intermediate | ||||||||||||||||
Municipal Bond Fund | — | — | 228,553,861 | 95,493,670 |
At December 31, 2017, gross unrealized appreciation and depreciation of investments and distributable ordinary income and long-term capital gains for federal tax purposes were as follows:
Baird | Baird | Baird | ||||||||||
Ultra Short | Short-Term | Intermediate | ||||||||||
Bond Fund | Bond Fund | Bond Fund | ||||||||||
Cost of Investments | $ | 536,454,849 | $ | 5,564,666,211 | $ | 2,985,983,731 | ||||||
Gross unrealized appreciation | 542,694 | 8,439,108 | 22,350,988 | |||||||||
Gross unrealized depreciation | (595,973 | ) | (30,197,968 | ) | (27,210,181 | ) | ||||||
Net unrealized appreciation | $ | (53,279 | ) | $ | (21,758,860 | ) | $ | (4,859,193 | ) | |||
Undistributed ordinary income | 8,078 | 103,316 | 133,837 | |||||||||
Undistributed long-term capital gain | — | — | — | |||||||||
Undistributed tax-exempt income | — | — | — | |||||||||
Total distributable earnings | $ | 8,078 | $ | 103,316 | $ | 133,837 | ||||||
Other accumulated losses | (361,180 | ) | (2,864,650 | ) | (928,470 | ) | ||||||
Total accumulated earnings | $ | (406,381 | ) | $ | (24,520,194 | ) | $ | (5,653,826 | ) | |||
Baird | Baird | |||||||||||
Aggregate | Core Plus | |||||||||||
Bond Fund | Bond Fund | |||||||||||
Cost of Investments | $ | 14,353,135,194 | $ | 16,282,969,470 | ||||||||
Gross unrealized appreciation | 200,833,848 | 265,370,824 | ||||||||||
Gross unrealized depreciation | (91,907,035 | ) | (108,965,524 | ) | ||||||||
Net unrealized appreciation | $ | 108,926,813 | $ | 156,405,300 | ||||||||
Undistributed ordinary income | 411,465 | 726,500 | ||||||||||
Undistributed long-term capital gain | — | — | ||||||||||
Undistributed tax-exempt income | — | — | ||||||||||
Total distributable earnings | $ | 411,465 | $ | 726,500 | ||||||||
Other accumulated losses | (23,091,060 | ) | (19,710,910 | ) | ||||||||
Total accumulated earnings | $ | 86,247,218 | $ | 137,420,890 |
Page 138
Notes to the Financial Statements
December 31, 2017
4. | Investment Transactions and Income Tax Information (cont.) |
Baird | Baird Quality | Baird Core | ||||||||||
Short-Term | Intermediate | Intermediate | ||||||||||
Municipal | Municipal | Municipal | ||||||||||
Bond Fund | Bond Fund | Bond Fund | ||||||||||
Cost of Investments | $ | 117,025,570 | $ | 1,116,797,574 | $ | 229,574,761 | ||||||
Gross unrealized appreciation | 460,607 | 29,242,248 | 3,429,041 | |||||||||
Gross unrealized depreciation | (550,560 | ) | (4,422,152 | ) | (511,415 | ) | ||||||
Net unrealized appreciation | $ | (89,953 | ) | $ | 24,820,096 | $ | 2,917,626 | |||||
Undistributed ordinary income | 27,491 | — | — | |||||||||
Undistributed long-term capital gain | — | — | — | |||||||||
Undistributed tax-exempt income | 5,142 | — | 11,590 | |||||||||
Total distributable earnings | $ | 32,633 | $ | — | $ | 11,590 | ||||||
Other accumulated losses | (11,359 | ) | (6,993,875 | ) | (16,980 | ) | ||||||
Total accumulated earnings | $ | (68,679 | ) | $ | 17,826,221 | $ | 2,912,236 |
Undistributed income or net realized gains for financial statement purposes may differ from amounts recognized for federal income tax purposes due to differences in the recognition and characterization of income, expense and capital gain items. The difference between book-basis and tax-basis unrealized appreciation is attributed primarily to the tax deferral of losses on wash sales.
Additionally, U.S. generally accepted accounting principles require that certain components of net assets relating to permanent differences be reclassified between financial and tax reporting. These reclassifications are primarily due to differing treatments for paydowns and non-deductible expenses. These reclassifications have no effect on net assets or net asset value per share. For the year ended December 31, 2017, the following table shows the reclassifications made:
Undistributed | Accumulated | |||||||||||
Net Investment | Undistributed Net | Capital | ||||||||||
Income (Loss) | Realized Gain (Loss) | Stock | ||||||||||
Baird Ultra Short Bond Fund | $ | 108,156 | $ | (108,156 | ) | $ | — | |||||
Baird Short-Term Bond Fund | 394,094 | (394,094 | ) | — | ||||||||
Baird Intermediate Bond Fund | 230,400 | (230,400 | ) | — | ||||||||
Baird Aggregate Bond Fund | 21,013,157 | (21,013,157 | ) | — | ||||||||
Baird Core Plus Bond Fund | 23,748,752 | (23,748,752 | ) | — | ||||||||
Baird Short-Term Municipal Bond Fund | 1,498 | (1,498 | ) | — | ||||||||
Baird Quality Intermediate | ||||||||||||
Municipal Bond Fund | 2,351,045 | (212,567 | ) | (2,138,478 | ) | |||||||
Baird Core Intermediate | ||||||||||||
Municipal Bond Fund | — | — | — |
Page 139
Notes to the Financial Statements
December 31, 2017
4. | Investment Transactions and Income Tax Information (cont.) |
The tax components of distributions paid during the periods shown below were as follows:
Year Ended | Year Ended | |||||||||||||||||||
December 31, 2017 | December 31, 2016 | |||||||||||||||||||
Ordinary | Long-Term | Ordinary | Long-Term | |||||||||||||||||
Income | Capital Gains | Return of | Income | Capital Gains | ||||||||||||||||
Distributions | Distributions | Capital | Distributions | Distributions | ||||||||||||||||
Baird Ultra Short Bond Fund | $ | 7,278,529 | $ | — | $ | — | $ | 2,690,875 | $ | — | ||||||||||
Baird Short-Term | ||||||||||||||||||||
Bond Fund | $ | 84,958,251 | $ | — | $ | — | $ | 56,998,935 | $ | — | ||||||||||
Baird Intermediate | ||||||||||||||||||||
Bond Fund | $ | 61,473,435 | $ | 685,716 | $ | — | $ | 46,505,262 | $ | 4,693,858 | ||||||||||
Baird Aggregate Bond Fund | $ | 325,177,273 | $ | — | $ | — | $ | 227,916,820 | $ | 6,899,253 | ||||||||||
Baird Core Plus Bond Fund | $ | 406,111,788 | $ | — | $ | — | $ | 328,622,238 | $ | 3,351,170 | ||||||||||
Baird Short-Term | ||||||||||||||||||||
Municipal Bond Fund | $ | 40,518 | $ | 21,644 | $ | — | $ | 30,307 | $ | — | ||||||||||
Baird Quality Intermediate | ||||||||||||||||||||
Municipal Bond Fund | $ | — | $ | — | $ | 59,373 | $ | 189,012 | $ | — | ||||||||||
Baird Core Intermediate | ||||||||||||||||||||
Municipal Bond Fund | $ | 34,999 | $ | — | $ | — | $ | 546,276 | $ | 2,509 |
For the year ended December 31, 2017, the Baird Short-Term Municipal Bond Fund, Baird Quality Intermediate Municipal Bond Fund, and Baird Core Intermediate Municipal Bond Fund made distributions of tax-exempt income of $1,395,866, $24,318,881, and $3,070,411, respectively. For the year ended December 31, 2016, the Baird Short-Term Municipal Bond Fund, Baird Quality Intermediate Municipal Bond Fund, and Baird Core Intermediate Municipal Bond Fund made distributions of tax-exempt income of $412,586, $25,870,057, and $1,241,465, respectively.
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, 2017, the Baird Intermediate Bond Fund and the Baird Short-Term Municipal Bond Fund elected to defer capital losses occurring between November 1, 2017 and December 31, 2017 in the amount of $928,470 and 11,359, respectively.
To the extent the Funds realize future net capital gains, those gains will be offset by any unused capital loss carryovers. At December 31, 2017, 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 | $ | 213,819 | Short-term | Indefinitely | |||
147,361 | Long-term | Indefinitely | |||||
Baird Short-Term Bond Fund | 2,814,040 | Short-term | Indefinitely | ||||
50,610 | Long-term | Indefinitely | |||||
Baird Aggregate Bond Fund | 12,265,300 | Short-term | Indefinitely | ||||
10,825,760 | Long-term | Indefinitely | |||||
Baird Core Plus Bond Fund | 17,065,469 | Short-term | Indefinitely | ||||
2,645,441 | Long-term | Indefinitely | |||||
Baird Quality Intermediate Municipal Bond Fund | 4,125,183 | Short-term | Indefinitely | ||||
2,868,692 | Long-term | Indefinitely | |||||
Baird Core Intermediate Municipal Bond Fund | 16,980 | Short-term | Indefinitely | ||||
— | Long-term | Indefinitely |
Page 140
Notes to the Financial Statements
December 31, 2017
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 Baird Ultra Short Bond Fund, 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, 2019. The agreement may only be terminated prior to the end of this term by or with the consent of the Board.
For the year ended December 31, 2017, 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 | $825,986 |
These fees are not subject to recoupment by the Advisor.
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.
Baird (the “Distributor”) is the distributor of the Funds pursuant to a distribution agreement.
No commissions were earned by the Distributor for services rendered as a registrered broker-dealer in securities transactions for the year ended December 31, 2017 for the Funds.
6. | Securities Lending |
During the year ended December 31, 2017, each Fund (other than the Short-Term Municipal Bond Fund, Quality Intermediate Municipal Bond Fund and Core Intermediate Municipal Bond Fund) was permitted to lend up to one-third of its total assets (including such loans) to borrowers under the terms of a securities lending program administered by U.S. Bank, the Funds’ custodian and an affiliate of USBFS, the Funds’ transfer agent and administrator. A securities lending agreement requires that loans be 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.
Participating Funds receive compensation in the form of fees and earned 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. Participating Funds receive cash as collateral in return for securities lent as part of the securities lending program. The collateral gets invested in a securities lending trust. Interest income earned by participating Funds on investments of cash collateral received from borrowers for the securities loaned to them (“securities lending income”) would be reflected in the participating Funds’ statements of operations.
As of and for the year ended December 31, 2017, the Funds did not participate in securities lending activities, although they may do so again in the future.
Page 141
Notes to the Financial Statements
December 31, 2017
7. | Line of Credit |
The Corporation maintains an uncommitted line of credit (“LOC”) with U.S. Bank to provide the Funds a temporary liquidity source to meet unanticipated redemptions. The LOC is unsecured for any period during which U.S. Bank is an affiliate of the Funds. At all other times, the LOC is secured by the assets 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 $500,000,000 of total borrowings for all Funds, whichever is less. U.S. Bank charges interest at the U.S. Bank’s Prime Rate less 2%. The LOC matures on May 27, 2018, unless renewed. The Funds have authorized U.S. Bank to charge any of the accounts of the borrowing Fund subject to the agreement for any missed payments. For the year ended December 31, 2017, the Baird Quality Intermediate Municipal Bond Fund incurred $149 in interest charges on the average daily loan balance and weighted average borrowing rate of $5,978 and 2.50%, respectively. The largest and only borrowing by the Fund for the year occurred on December 27, 2017 in the amount of $2,152,000. As of December 31, 2017, the Prime Rate was 4.50%. The Baird Ultra Short Bond Fund, Baird Short-Term Bond Fund, Baird Intermediate Bond Fund, Baird Aggregate Bond Fund, Baird Core Plus Bond Fund, Baird Short-Term Municipal Bond Fund and Baird Core Intermediate Municipal Bond Fund did not borrow from the LOC during the year.
8. | Distribution and Shareholder Service Plan |
The Funds have adopted a distribution and shareholder service plan (the “Plan”) pursuant to Rule 12b-1 under the 1940 Act. The Plan allows the Funds to compensate the Distributor for the costs incurred in distributing the Funds’ Investor Class Shares, including amounts paid to brokers or dealers, at an annual rate of 0.25% of the average daily net assets of the Funds’ Investor Class Shares. The Baird Ultra Short Bond, Baird Short-Term Bond, Baird Intermediate Bond, Baird Aggregate Bond, Baird Core Plus Bond, Baird Short-Term Municipal Bond Fund, Baird Quality Intermediate Municipal Bond and Baird Core Intermediate Municipal Bond Funds incurred $25,999, $312,278, $234,393, $2,110,701, $6,908,786, $9,401, $316,268 and $3,888, respectively, in fees pursuant to the Plan during the year ended December 31, 2017.
9. | Subsequent Event |
Following G. Frederick Kasten, Jr.’s retirement from the Board on December 31, 2017, David J. Lubar was appointed as a member of the Board effective January 1, 2018 to fill the vacancy. Additionally, the Board appointed Marlyn J. Spear and Frederick P. Stratton, Jr., both Independent Directors, as Chair of the Board and Chair of the Nominating Committee, respectively, effective January 1, 2018. The Board also appointed John W. Feldt, an Independent Director, to serve as Chair of the Audit Committee in place of Ms. Spear following completion of the 2017 audit, effective February 28, 2018.
Page 142
Report of Independent Registered Public
Accounting Firm
To the Shareholders and Board of Directors of
Baird Funds, Inc.
Opinion on the Financial Statements
We have audited the accompanying statements of assets and liabilities, including the summary schedules of investments, of Baird Ultra Short Bond Fund, Baird Short-Term Bond Fund, Baird Intermediate Bond Fund, Baird Aggregate Bond Fund, Baird Core Plus Bond Fund, Baird Short-Term Municipal Bond Fund, Baird Quality Intermediate Municipal Bond Fund, and Baird Core Intermediate Municipal Bond Fund (the “Funds”), each a series of Baird Funds, Inc., as of December 31, 2017, and the related statements of operations and changes in net assets, including the related notes, and the financial highlights for the year then ended (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds as of December 31, 2017, the results of their operations, the changes in their net assets, and the financial highlights for the year then ended, in conformity with accounting principles generally accepted in the United States of America.
The Funds’ financial statements and financial highlights for the periods ended December 31, 2016 and prior, were audited by other auditors whose report dated February 27, 2017, expressed an unqualified opinion on those financial statements and financial highlights.
Basis for Opinion
These financial statements are the responsibility of the Funds’ management. Our responsibility is to express an opinion on the Funds’ financial statements based on our audit. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audit in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
Our audit includes performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures include examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements and confirmation of securities owned as of December 31, 2017, by correspondence with the custodian and brokers. Our audit also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audit provides a reasonable basis for our opinion.
We have served as the Funds’ auditor since 2017.
COHEN & COMPANY, LTD.
Milwaukee, Wisconsin
March 1, 2018
Page 143
Directors & Officers
As of January 1, 2018 (Unaudited)
Independent Directors
John W. Feldt
Independent Director
Term of Office: Indefinite
Length of Time Served: Since September 2000
Age: 75
c/o Robert W. Baird & Co. Incorporated
777 East Wisconsin Avenue
Milwaukee, WI 53202
Principal Occupation(s) During the Past 5 Years: Retired.
Number of Portfolios in Complex Overseen by Director: 14
Other Directorships Held by Director: Director of Thompson Plumb Funds, Inc., a mutual fund complex (3 portfolios)
David J. Lubar
Independent Director
Term of Office: Indefinite
Length of Time Served: Since January 2018
Age: 63
c/o Lubar & Co.
833 E. Michigan Street,
Suite 1500
Milwaukee, WI 53202
Principal Occupation(s) During the Past 5 Years: President and CEO, Lubar & Co., a private investment firm.
Number of Portfolios in Complex Overseen by Director: 14
Other Directorships Held by Director: None.
Frederick P. Stratton, Jr.
Independent Director
Term of Office: Indefinite
Length of Time Served: Since May 2004
Age: 78
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.
Number of Portfolios in Complex Overseen by Director: 14
Other Directorships Held by Director: Director of Weyco Group, Inc., a men’s footwear distributor; Director of Wisconsin Energy Corporation and its subsidiaries, Wisconsin Electric Power Company and Wisconsin Gas LLC (1987-2012).
Marlyn J. Spear, CFA
Independent Director
Term of Office: Indefinite
Length of Time Served: Since January 2008
Age: 64
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, (July 1989-February 2017)
Number of Portfolios in Complex Overseen by Director: 14
Other Directorships Held by Director: Management Trustee of AFL-CIO Housing Investment Trust, a mutual fund complex (1 portfolio), since 1995.
Page 144
Directors & Officers
As of January 1, 2018 (Unaudited) (Continued)
Interested Directors and Officers
Cory L. Nettles*
Interested Director
Term of Office: Indefinite
Length of Time Served: Since January 2008
Age: 47
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 (January 2005-December 2016)
Number of Portfolios in Complex Overseen by Director: 14
Other Directorships Held by Director: Director of Weyco Group, Inc., a men’s footwear distributor, since 2007; Director of Associated Banc-Corp, since 2013
Mary Ellen Stanek
President
Term of Office: Re-elected by Board annually
Length of Time Served: Since September 2000
Age: 61
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: 64
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: 45
777 East Wisconsin Ave
Milwaukee, WI 53202
Principal Occupation(s) During the Past 5 Years:
Chief Compliance Officer, the Advisor, since March 2014; Anti-Money Laundering Compliance Officer since May 2015; 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).
Heidi L. Schneider
Treasurer
Term of Office: Re-elected by Board annually
Length of Time Served: Since August 2017
Age: 46
777 East Wisconsin Avenue
Milwaukee, WI 53202
Principal Occupation(s) During the Past 5 Years: Managing Director, the Advisor since December 2013; Senior Business Analyst, Stein’s Garden & Home, a family-owned garden center and home goods retailer (July 2012-December 2013); Senior Vice President, the Advisor (September 2007-June 2012); Controller, the Advisor (April 1997-September 2007).
Page 145
Directors & Officers
As of January 1, 2018 (Unaudited) (Continued)
Interested Directors and Officers
Charles M. Weber
Secretary
Term of Office: Re-elected by Board annually
Length of Time Served: Since September 2005
Age: 54
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; 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: 54
777 East Wisconsin Avenue
Milwaukee, WI 53202
Principal Occupation(s) During the Past 5 Years:
Senior Vice President, the Advisor, since March 2012; 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: 41
777 East Wisconsin Avenue
Milwaukee, WI 53202
Principal Occupation(s) During the Past 5 Years: Senior Business Analyst, the Advisor, since September 2017; Director of Finance Services, the Advisor (August 2015-August 2017); Director of Reporting and Analysis, Capital Markets Finance, the Advisor (February 2013-August 2015); Senior Vice President, the Advisor (January 2011-January 2013); 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: 43
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)
* | Mr. Nettles is considered an “interested person” of the Corporation (as defined in the 1940 Act) because of his previous 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. |
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 (Unaudited)
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 17 and August 24, 2017 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 Fund, Baird Short-Term Bond Fund, Baird Intermediate Bond Fund, Baird Aggregate Bond Fund, Baird Core Plus Bond Fund, Baird Short-Term Municipal Bond Fund, Baird Quality Intermediate Municipal Bond Fund, and Baird Core Intermediate Municipal Bond Fund (the “Funds”). The Board, including the Independent Directors, approved the investment advisory agreement through a process that concluded at the August 24, 2017 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 a request from the Board, including the Independent Directors, from the Advisor (including the Advisor’s Form ADV Part 1, brochures and brochure supplements, annual report and financial information), a profitability analysis, comparative information about the Funds’ performance for periods ended June 30, 2017, management fees and expense ratios, composite performance of similar accounts managed by the Advisor, trading and commission information and other pertinent information. The Advisor had also provided Morningstar data comparing certain Funds’ fees and expenses to peer funds identified by the Advisor.
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 17, 2017 special meeting and discussed various questions and information with the President of the Funds at the August 17, 2017 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 Advisor’s overall reputation and 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 Funds and noted that the Advisor has added resources in support of the Funds, including investments in personnel, technology, research and trading. 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 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
Page 147
Baird Funds, Inc.
Disclosure Regarding the Board of Directors’ Approval of the Investment Advisory Agreement for Baird Bond Funds (Unaudited) (Continued)
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, as well as 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 respective investment advisory agreement.
Investment Performance of the Advisor and the Funds
In considering the investment performance of each of the Funds, the Board reviewed information as of June 30, 2017 regarding the performance of each class of the Fund for applicable one-year, three-year, five-year, ten-year and since-inception periods in comparison to its benchmark index and its peer groups as determined by Lipper. The Board also considered composite investment performance of Baird Advisors with respect to accounts managed by the Advisor that are comparable to the Funds.
The Board noted that the Funds have maintained competitive short term and long term returns during periods of strong competitive asset growth. The Board noted that the returns of the Institutional Class of the Ultra Short Bond Fund, the Aggregate Bond Fund and the Short Term Municipal Bond Fund and the Core Intermediate Bond Fund have exceeded the returns of the benchmark index and the Lipper peer group average over all applicable time periods and the returns of the Institutional Class of the Intermediate Bond Fund and the Core Plus Bond Fund have exceeded the benchmark index and Lipper peer group average over most periods. The returns of the Institutional Class of the Short Term Bond Fund exceeded the benchmark index for all time periods and the Lipper peer group average over most time periods. While the Quality Intermediate Municipal Bond Fund has trailed its benchmark index and at times has trailed its Lipper peer group average, the Board noted the Advisor’s commentary that the Fund’s high quality bias and emphasis on intermediate maturity holdings have detracted from relative returns in recent years as interest rates remain near historical lows.
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.
Fee Information, 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 and comparative information for certain peer funds identified by the Advisor. 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. With respect to the Ultra Short Bond Fund, the Board considered the Advisor’s contractual agreement to waive management fees of 0.15% until April 30, 2018. In addition, the Board considered that the Advisor provides administrative services to each of the 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 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 $100 million (0.30%) 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 operational support, valuation services, oversight of the Funds’ other service providers, director support, preparation of regulatory filings, implementation of the Funds’ compliance program including employment of the Funds’ Chief Compliance Officer and other compliance
Page 148
Baird Funds, Inc.
Disclosure Regarding the Board of Directors’ Approval of the Investment Advisory Agreement for Baird Bond Funds (Unaudited) (Continued)
staff, and various other services. The Board noted that the Advisor maintains subadvisory arrangements with an unaffiliated fixed income mutual fund and two unaffiliated European UCITs funds, but did not consider the subadvisory fee to be a material factor given the difference in services provided by the Advisor.
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 noted that the Advisor’s profitability information does not reflect certain internal resources provided by the Advisor to the Funds, such as legal, finance 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 reasonable 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 and the profits realized by the Advisor from its relationship with the Funds 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. The Board noted that the Funds continue to experience strong growth in assets. While the Funds’ advisory fee structure does not contain any breakpoint reductions as the Funds grow in size, the Board recognized that the Advisor factored in the concept of breakpoints when setting a low advisory fee when the Funds were originally organized. The advisory fee was designed to be comparable to the second or third breakpoint advisory fee levels paid by other comparable mutual funds. In addition, the Board noted that the Advisor bears almost all of the Funds’ expenses other than management, 12b-1 and administration fees. The Board also considered the Advisor’s analysis of Morningstar data demonstrating that the Funds have extremely low management fees and expense ratios and that Fund shareholders benefit from a favorable pricing structure when compared to larger peer funds.
The Board 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. The Directors considered the Advisor’s commitment to continue to evaluate breakpoints with respect to the 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 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 continuation of the investment advisory agreements was in the best interest of each Fund and its shareholders.
Page 149
Additional Information (Unaudited)
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 Intermediate Bond Fund and Baird Short-Term Municipal Bond Fund were 1.08%, 0.52%, and 41.83%, respectively.
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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
John W. Feldt
David J. Lubar
Cory L. Nettles
Marlyn J. Spear (Chair)
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.
833 East Michigan Street, Suite 1800
Milwaukee, WI 53202
Independent Registered Public
Accounting Firm
Cohen & Company, Ltd.
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Annual Report –
Baird Funds
December 31, 2017
Baird MidCap Fund
Baird Small/Mid Cap Value Fund
Baird SmallCap Value Fund
Chautauqua International Growth Fund
Chautauqua Global Growth Fund
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Table of Contents
Letter to Shareholders | 1 |
Baird MidCap Fund | 2 |
Baird Small/Mid Cap Value Fund | 11 |
Baird SmallCap Value Fund | 20 |
Chautauqua International Growth Fund | 29 |
Chautauqua Global Growth Fund | 37 |
Additional Information on Fund Expenses | 46 |
Statements of Assets and Liabilities | 48 |
Statements of Operations | 50 |
Statements of Changes in Net Assets | 52 |
Financial Highlights | 57 |
Notes to the Financial Statements | 67 |
Report of Independent Registered Public Accounting Firm | 78 |
Directors and Officers | 79 |
Disclosure Regarding the Board of Directors’ Approval of the Investment | |
Advisory Agreement for Baird Equity Funds | 82 |
Additional Information | 85 |
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
March 1, 2018
Dear Shareholder,
2017 was a strong year for the equity markets with full-year stock market gains the strongest since 2013. The consistency of returns was also something to note as the broad equity market, measured by the S&P 500 Index, advanced each month of the year – the first time in history. The Baird Equity Funds kept pace with the rising market with each of our funds outperforming their respective benchmarks for the calendar year while continuing to focus on risk-adjusted returns for our clients over the long-term.
In this current environment, we are optimistic but ever vigilant. There are positive indications with respect to the economy on a number of fronts; however, we also see changes stirring that may increase stock volatility. Each of our independent teams has a time-tested, risk-managed approach that has been honed over decades of managing portfolios in various market environments. We focus on fundamental research that favors quality and seeks to deliver long-term value added returns.
We are mindful that we continue to operate in an elevated risk environment and are committed to judicious management of your assets. We never lose sight of the fact that our success rests on the trust you have placed in us to be effective stewards of your assets and we want to thank you for your continued investment in the Baird Equity Funds.
Sincerely,
Mary Ellen Stanek, CFA
President
Baird Funds
Page 1
Baird MidCap Fund
December 31, 2017 (Unaudited)
Portfolio Managers’ Commentary
For the year ended December 31, 2017, the Baird MidCap Fund Institutional Class posted a total return of 26.88% as compared to a gain of 25.27% for the Russell Midcap® Growth Index, the Fund’s benchmark index.
Full-year stock market gains were the strongest since 2013, and the consistency of returns was something to note as the broad equity market, measured by the S&P 500 Index, advanced each month of the year – the first time in history. Steady improvement in global economic growth emerged as a key theme during 2017. This step up in activity provided a boost not only to corporate earnings, but also to valuation levels, supporting higher stock prices. Meaningful legislative change in the form of a tax bill came very late in the year, lifting expectations for corporate earnings growth and economic activity in 2018.
Much like recent years, the Fund’s 2017 positioning rested on modest, but consistent growth in the economy and corporate earnings, the likelihood of Federal Reserve tightening and balanced sector weights. We were pleased with the overall performance of the portfolio and most notably the fundamental strength exhibited by many of the businesses.
The consumer discretionary sector played an important role in driving relative performance results all year. Key strength came from holdings touching several industries, including off-price retail, auto-related electronics providers, restaurants, and toys and entertainment. While the backdrop for consumer spending has remained positive due to continued job growth and appreciating asset prices, that has not necessarily translated to across-the-board health in discretionary sector stocks. As a result, the Fund’s underweight position in specialty retail proved helpful to performance. Merger activity accrued to the benefit of the Fund with holdings acquired in the auto-related electronics and restaurant industries. We held relative sector exposure fairly constant throughout 2017, which meant selling or trimming several holdings that experienced significant price strengthening.
As a counter to strength in the consumer discretionary sector, the Fund’s financial services holdings fell short of benchmark returns and were the largest source of sector underperformance. The Fund’s mix of companies in the financial and data systems industry lagged very strong performance in that segment. Of note, a large consumer data breach experienced by one of the Fund’s data processing holdings led to a sharp price decline. In addition, bank holdings advanced less than the overall sector as the benefits of short term rate increases by the Federal Reserve were offset by concern over a flattening yield curve during the year. Market exposure within the asset management industry proved helpful in offsetting a portion of the underperformance in the aforementioned industry groups.
The Fund’s technology holdings trailed benchmark returns. An underweight portfolio position relative to the combined semiconductor and semi equipment industries proved a fairly large headwind given the strength in those industries. Our stock picking across the software and services industry, which continued to represent the largest component of the Fund’s technology holdings, was favorable but not enough to offset the headwind in our underweight in semiconductors.
In the producer durables sector, Fund holdings added modest value, running slightly ahead of corresponding benchmark sector returns. An improving global growth outlook provided a favorable investment backdrop for many industries in this sector. Companies within economically sensitive industries, such as manufacturing, machinery, and transportation, performed well.
Fund holdings in the basic materials sector were a drag on relative performance for the year. A long-term Fund holding delivered weaker fundamentals than we would have expected given the uptick in economic activity. As a result, any absolute price decline created a meaningful headwind in an advancing sector. The Fund carried higher exposure in the basic materials sector at year end compared to the beginning in response to a lift in benchmark weight and new investment opportunities in the diversified chemicals industry.
Page 2
Baird MidCap Fund
December 31, 2017 (Unaudited)
In healthcare, Fund holdings essentially matched strong corresponding sector benchmark returns, which were second only to technology’s lofty advance. Positive first half relative performance on the back of solid fundamentals, exhibited by the Fund’s holdings throughout the sector, was neutralized in the second half as several holdings digested large price moves. In addition, competitive concerns impacted a dental distribution business held by the Fund, and hurt the sector’s relative performance.
In the consumer staples sector, performance of the Fund’s holdings outpaced benchmark sector returns. The combination of reasonably good company performance and the benefit of carrying an underweight position in a sector that lagged the strong overall benchmark return helped. It is not surprising that the overall sector return was more muted than that of the overall benchmark given that consumer staples companies tend to act more defensively and offer more modest revenue growth prospects.
The energy sector contributed favorably to relative returns as the Fund’s exposure to a well-positioned oil and gas production company outpaced other companies in the sector. We continue to believe this particular holding is advantaged by a strong geographic position resulting in a favorable cost of oil production. We would not be surprised to see additional weight added in this benchmark sector during the course of 2018, which we would welcome, given the improvement in industry fundamentals.
The long-standing investment process underlying the 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 3
Baird MidCap Fund
December 31, 2017 (Unaudited)
Portfolio Characteristics
A December 31, 2017 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** | ||
Burlington Stores | 3.0% | ||
AO Smith Corp. | 2.4% | ||
Broadridge Financial Solutions, Inc. | 2.2% | ||
Verisk Analytics, Inc. | 2.2% | ||
Broadridge Financial Solutions, Inc. | 2.2% | ||
EPAM Systems, Inc. | 2.2% | ||
Edwards Lifesciences Corp. | 2.1% | ||
J.B. Hunt Transport Services, Inc. | 2.1% | ||
LKQ Corp. | 2.1% | ||
Pool Corp. | 2.1% | ||
Net Assets: | $1,390,981,793 | ||
Portfolio Turnover Rate: | 44.5% | ||
Number of Equity Holdings: | 57 | ||
Annualized Portfolio Expense Ratio:*** | |||
Gross | |||
Institutional Class: | 0.83% | ||
Investor Class: | 1.08% | **** | |
Net | |||
Institutional Class: | 0.83% | ||
Investor Class: | 1.08% | **** |
* | 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, 2017. | |
** | Percentages shown in parentheses relate to the Fund’s total value of investments as of December 31, 2017, 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, 2019. | |
**** | Includes 0.25% 12b-1 fee. |
Page 4
Baird MidCap Fund
December 31, 2017 (Unaudited)
Institutional Class
Value of a $25,000 Investment
Growth of a hypothetical investment of $25,000 made on 12/31/07, assuming reinvestment of all distributions.
Investor Class
Value of a $10,000 Investment
Growth of a hypothetical investment of $10,000 made on 12/31/07, assuming reinvestment of all distributions.
Page 5
Baird MidCap Fund
December 31, 2017 (Unaudited)
Total Returns
Average Annual | ||||
Since | ||||
For the Periods Ended December 31, 2017 | One Year | Five Year | Ten Year | Inception(1) |
Institutional Class Shares | 26.88% | 12.44% | 8.71% | 7.35% |
Investor Class Shares | 26.61% | 12.17% | 8.45% | 7.10% |
Russell MidCap® Growth Index(2) | 25.27% | 15.30% | 9.10% | 6.99% |
(1) | For the period from December 29, 2000 (inception date) through December 31, 2017. |
(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 6
Baird MidCap Fund
Schedule of Investments, December 31, 2017
Common Stocks
% of | ||||||||||||
Shares | Value | Net Assets | ||||||||||
Aerospace & Defense | ||||||||||||
Mercury Systems, Inc.(1) | 278,051 | $ | 14,277,919 | 1.0 | % | |||||||
Banks | ||||||||||||
East West Bancorp, Inc. | 446,875 | 27,183,406 | 1.9 | % | ||||||||
First Republic Bank | 170,243 | 14,749,854 | 1.1 | % | ||||||||
41,933,260 | 3.0 | % | ||||||||||
Beverages | ||||||||||||
Dr. Pepper Snapple Group, Inc. | 287,860 | 27,939,692 | 2.0 | % | ||||||||
Building Products | ||||||||||||
AO Smith Corp. | 540,853 | 33,143,472 | 2.4 | % | ||||||||
Capital Markets | ||||||||||||
Affiliated Managers Group, Inc. | 148,413 | 30,461,768 | 2.2 | % | ||||||||
MarketAxess Holdings, Inc. | 67,476 | 13,613,283 | 1.0 | % | ||||||||
44,075,051 | 3.2 | % | ||||||||||
Chemicals | ||||||||||||
Albemarle Corp. | 182,438 | 23,331,996 | 1.7 | % | ||||||||
Distributors | ||||||||||||
LKQ Corp.(1) | 723,554 | 29,426,941 | 2.1 | % | ||||||||
Pool Corp. | 224,753 | 29,139,227 | 2.1 | % | ||||||||
58,566,168 | 4.2 | % | ||||||||||
Electrical Equipment | ||||||||||||
Rockwell Automation, Inc. | 67,094 | 13,173,907 | 1.0 | % | ||||||||
Electronic Equipment, Instruments & Components | ||||||||||||
CDW Corp. | 368,798 | 25,627,773 | 1.8 | % | ||||||||
Trimble Navigation Ltd.(1) | 669,832 | 27,221,973 | 2.0 | % | ||||||||
52,849,746 | 3.8 | % | ||||||||||
Food & Staples Retailing | ||||||||||||
Casey’s General Stores, Inc. | 196,108 | 21,952,330 | 1.6 | % | ||||||||
Health Care Equipment & Supplies | ||||||||||||
The Cooper Cos., Inc. | 57,808 | 12,595,207 | 0.9 | % | ||||||||
Edwards Lifesciences Corp.(1) | 265,633 | 29,939,496 | 2.1 | % | ||||||||
IDEXX Laboratories, Inc.(1) | 77,409 | 12,105,219 | 0.9 | % | ||||||||
54,639,922 | 3.9 | % | ||||||||||
Health Care Providers & Services | ||||||||||||
Acadia Healthcare Co., Inc.(1) | 390,256 | 12,734,053 | 0.9 | % | ||||||||
Henry Schein, Inc.(1) | 391,655 | 27,368,852 | 2.0 | % | ||||||||
40,102,905 | 2.9 | % | ||||||||||
Health Care Technology | ||||||||||||
Veeva Systems, Inc.(1) | 297,676 | 16,455,529 | 1.2 | % |
The accompanying notes are an integral part of these financial statements.
Page 7
Baird MidCap Fund
Schedule of Investments, December 31, 2017
Common Stocks (cont.)
% of | ||||||||||||
Shares | Value | Net Assets | ||||||||||
Hotels, Restaurants & Leisure | ||||||||||||
Dominos Pizza, Inc. | 103,238 | $ | 19,507,852 | 1.4 | % | |||||||
Vail Resorts, Inc. | 100,978 | 21,454,796 | 1.6 | % | ||||||||
40,962,648 | 3.0 | % | ||||||||||
Internet Software & Services | ||||||||||||
GrubHub, Inc.(1) | 353,640 | 25,391,352 | 1.8 | % | ||||||||
IT Services | ||||||||||||
Alliance Data Systems Corp. | 87,665 | 22,221,324 | 1.6 | % | ||||||||
Broadridge Financial Solutions, Inc. | 342,595 | 31,032,255 | 2.2 | % | ||||||||
EPAM Systems, Inc.(1) | 282,051 | 30,300,739 | 2.2 | % | ||||||||
Euronet Worldwide, Inc.(1) | 289,725 | 24,415,126 | 1.8 | % | ||||||||
Fiserv, Inc.(1) | 217,604 | 28,534,412 | 2.0 | % | ||||||||
Gartner, Inc.(1) | 170,346 | 20,978,110 | 1.5 | % | ||||||||
157,481,966 | 11.3 | % | ||||||||||
Life Sciences Tools & Services | ||||||||||||
ICON PLC(1)(2) | 227,685 | 25,534,873 | 1.9 | % | ||||||||
Illumina, Inc.(1) | 65,174 | 14,239,867 | 1.0 | % | ||||||||
39,774,740 | 2.9 | % | ||||||||||
Machinery | ||||||||||||
Fortive Corp. | 378,356 | 27,374,057 | 2.0 | % | ||||||||
Graco, Inc. | 570,336 | 25,790,594 | 1.8 | % | ||||||||
The Middleby Corp.(1) | 189,961 | 25,635,237 | 1.8 | % | ||||||||
Oshkosh Truck Corporation | 231,332 | 21,025,765 | 1.5 | % | ||||||||
WABCO Holdings, Inc.(1) | 190,483 | 27,334,310 | 2.0 | % | ||||||||
127,159,963 | 9.1 | % | ||||||||||
Media | ||||||||||||
Cable One, Inc. | 41,400 | 29,118,690 | 2.1 | % | ||||||||
Multiline Retail | ||||||||||||
Burlington Stores, Inc.(1) | 339,355 | 41,750,846 | 3.0 | % | ||||||||
Dollar General Corp. | 187,236 | 17,414,820 | 1.2 | % | ||||||||
Ollie’s Bargain Outlet Holdings, Inc.(1) | 439,793 | 23,418,977 | 1.7 | % | ||||||||
82,584,643 | 5.9 | % | ||||||||||
Oil, Gas & Consumable Fuels | ||||||||||||
Diamondback Energy, Inc.(1) | 225,747 | 28,500,559 | 2.1 | % | ||||||||
Pharmaceuticals | ||||||||||||
Jazz Pharmaceuticals PLC(1)(2) | 84,016 | 11,312,754 | 0.8 | % | ||||||||
Professional Services | ||||||||||||
Verisk Analytics, Inc.(1) | 320,263 | 30,745,248 | 2.2 | % | ||||||||
Road & Rail | ||||||||||||
J.B. Hunt Transport Services, Inc. | 258,402 | 29,711,062 | 2.1 | % |
The accompanying notes are an integral part of these financial statements.
Page 8
Baird MidCap Fund
Schedule of Investments, December 31, 2017
Common Stocks (cont.)
% of | ||||||||||||
Shares | Value | Net Assets | ||||||||||
Semiconductors & Semiconductor Equipment | ||||||||||||
Microchip Technology, Inc. | 300,650 | $ | 26,421,122 | 1.9 | % | |||||||
Monolithic Power Systems, Inc. | 216,012 | 24,271,108 | 1.7 | % | ||||||||
50,692,230 | 3.6 | % | ||||||||||
Software | ||||||||||||
Blackbaud, Inc. | 169,275 | 15,994,795 | 1.2 | % | ||||||||
Red Hat, Inc.(1) | 135,745 | 16,302,974 | 1.2 | % | ||||||||
ServiceNow, Inc.(1) | 215,642 | 28,117,560 | 2.0 | % | ||||||||
Synopsys, Inc.(1) | 285,523 | 24,337,981 | 1.7 | % | ||||||||
Tyler Technologies, Inc.(1) | 147,866 | 26,179,675 | 1.9 | % | ||||||||
The Ultimate Software Group, Inc.(1) | 132,648 | 28,947,773 | 2.1 | % | ||||||||
139,880,758 | 10.1 | % | ||||||||||
Textiles, Apparel & Luxury Goods | ||||||||||||
Lululemon Athletica, Inc.(1) | 320,740 | 25,206,957 | 1.8 | % | ||||||||
Trading Companies & Distributors | ||||||||||||
Beacon Roofing Supply, Inc.(1) | 367,570 | 23,436,263 | 1.7 | % | ||||||||
Fastenal Co. | 447,027 | 24,447,907 | 1.7 | % | ||||||||
Univar, Inc.(1) | 801,585 | 24,817,071 | 1.8 | % | ||||||||
Watsco, Inc. | 131,922 | 22,432,017 | 1.6 | % | ||||||||
95,133,258 | 6.8 | % | ||||||||||
Total Common Stocks | ||||||||||||
(Cost $980,294,410) | 1,356,098,725 | 97.5 | % | |||||||||
Short-Term Investment | ||||||||||||
Money Market Mutual Fund | ||||||||||||
Fidelity Institutional Money Market Fund – | ||||||||||||
Government Portfolio, Institutional Class, 1.19%(3) | 29,790,350 | 29,790,350 | 2.1 | % | ||||||||
Total Short-Term Investment | ||||||||||||
(Cost $29,790,350) | 29,790,350 | 2.1 | % | |||||||||
Total Investments | ||||||||||||
(Cost $1,010,084,760) | 1,385,889,075 | 99.6 | % | |||||||||
Other Assets in Excess of Liabilities | 5,092,718 | 0.4 | % | |||||||||
TOTAL NET ASSETS | $ | 1,390,981,793 | 100.0 | % |
Notes to Schedule of Investments
(1) | Non-Income Producing |
(2) | Foreign Security |
(3) | 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. (“MSCI”) 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 9
Baird MidCap Fund
Schedule of Investments, December 31, 2017
Summary of Fair Value Exposure at December 31, 2017
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, 2017:
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Equity | ||||||||||||||||
Common Stocks | $ | 1,356,098,725 | $ | — | $ | — | $ | 1,356,098,725 | ||||||||
Total Equity | 1,356,098,725 | — | — | 1,356,098,725 | ||||||||||||
Short-Term Investment | ||||||||||||||||
Money Market Mutual Fund | 29,790,350 | — | — | 29,790,350 | ||||||||||||
Total Short-Term Investment | 29,790,350 | — | — | 29,790,350 | ||||||||||||
Total Investments* | $ | 1,385,889,075 | $ | — | $ | — | $ | 1,385,889,075 |
* | 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 10
Baird Small/Mid Cap Value Fund
December 31, 2017 (Unaudited)
Portfolio Manager Commentary
Fortunately, defining moments in portfolio management only seem to come around about once every market cycle. They test our grit and conviction in our investment process and philosophy. Just such a trial was presented in 2016 to small- and mid-cap value managers with a high quality bias like ourselves. We watched painstakingly as deep value stocks levitated post the election on pure speculation. We were puzzled as our companies with superior profitability, better growth and lower valuations underperformed. However, the price of discipline is always less than the price of regret. We resisted chasing then-popular trades, such as infrastructure-related and bank stocks that commanded unjustified valuations. We held on to dividend paying stocks on the premise long-term rates would moderate. In short, we stayed disciplined.
As predicted, 2016’s laggards were 2017’s winners and our research efforts were rewarded with strong security performance across most economic sectors. Importantly, most of the Baird Small/Mid Cap Value Fund’s return for 2017 came from earnings growth, with less than 5% of the return attributed to price-to-earnings multiple expansion. In a market with lofty current valuations, the Fund continues to trade at a compelling P/E ratio of under 16 times the next 12 months’ earnings. In addition, the majority of our domestically-focused holdings pays an average effective tax rate greater than 30% and stands to benefit disproportionately from U.S. tax reform. Finally, we expect M&A activity to accelerate in 2018, also providing support for small- and mid-cap valuations.
What we know from the past is that the outperformance of high quality stocks is typically protracted, unlike the short sprints for deep value and that, over the full market cycle, high quality outperforms low quality. If history repeats itself, this trend should provide a nice tailwind in 2018 to complement the alpha we seek to provide through security selection.
In 2017, the Fund’s Institutional Class generated a total return of 21.48% compared to a 10.36% return for the Russell 2500® Value Index, the Fund’s benchmark. During a year of great dispersion of returns among economic sectors, allocation played an important role for portfolio managers in 2017. Following is a discussion of key contributors and detractors for the Fund’s performance relative to its benchmark.
Key Contributors to Relative Returns:
• | The Fund enjoyed very strong security selection, posting positive returns in all economic sectors and outperforming the corresponding benchmark sector return in nine out of ten economic sectors. |
• | The Fund’s security selection was led by ZAGG, Inc. (+160%), Boingo Wireless (+85%), Stamps.com (+64%) and Verisign (+50%). Other notable gainers include aerospace and defense holdings, Orbital ATK and Rockwell Collins, which were bought out during the year. |
• | The Fund had no holdings in Energy (the worst performing sector in the benchmark (-15%)) for the majority of the year. We purchased Solaris Oilfield Infrastructure in the fourth quarter, which grew by 50% by year-end. |
Page 11
Baird Small/Mid Cap Value Fund
December 31, 2017 (Unaudited)
Key Detractors from Relative Returns:
• | The Fund’s Consumer Staples holdings underperformed the benchmark due to a decline in the Fund’s holdings of Orchids Paper Products Company (-50%). We anticipate the execution issues of bringing their new paper plant up and running are behind the company, allowing for a debt refinancing and earnings rebound in 2018. |
• | Other notable individual stocks that contributed to the Fund’s underperformance include Meta Financial Group (-9%), Hilltop Holdings (-14%) and J2 Global (-6%). |
Portfolio Manager:
Michelle Stevens
Page 12
Baird Small/Mid Cap Value Fund
December 31, 2017 (Unaudited)
Portfolio Characteristics
A December 31, 2017 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** | ||
Boingo Wireless, Inc. | 4.8% | ||
Meta Financial Group, Inc. | 3.8% | ||
ICU Medical, Inc. | 3.1% | ||
ZAGG, Inc. | 3.0% | ||
American Financial Group, Inc. | 2.9% | ||
Stamps.com, Inc. | 2.7% | ||
Healthcare Trust of America, Inc. | 2.7% | ||
Silicon Motion Technology Corp. | 2.7% | ||
Cypress Semiconductor Corp. | 2.5% | ||
Quanta Services, Inc. | 2.5% | ||
Net Assets: | $16,945,244 | ||
Portfolio Turnover Rate: | 60.4% | ||
Number of Equity Holdings: | 40 | ||
Annualized Portfolio Expense Ratio:*** | |||
Gross | |||
Institutional Class: | 2.87% | ||
Investor Class: | 3.12% | **** | |
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, 2017. | |
** | Percentages shown in parentheses relate to the Fund’s total value of investments as of December 31, 2017, 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, 2019. | |
**** | Includes 0.25% 12b-1 fee. |
Page 13
Baird Small/Mid Cap Value Fund
December 31, 2017 (Unaudited)
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 14
Baird Small/Mid Cap Value Fund
December 31, 2017 (Unaudited)
Total Returns
Average | ||
Annual | ||
Since | ||
For the Periods Ended December 31, 2017 | One Year | Inception(1) |
Institutional Class Shares | 21.48% | 11.78% |
Investor Class Shares | 21.08% | 11.47% |
Russell 2500® Value Index(2) | 10.36% | 14.18% |
(1) | For the period from November 30, 2015 (inception date) through December 31, 2017. |
(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 15
Baird Small/Mid Cap Value Fund
Schedule of Investments, December 31, 2017
Common Stocks
% of | ||||||||||||
Shares | Value | Net Assets | ||||||||||
Aerospace & Defense | ||||||||||||
Hexcel Corp. | 6,134 | $ | 379,388 | 2.2 | % | |||||||
Air Freight & Logistics | ||||||||||||
Air Transport Services Group, Inc.(1) | 16,486 | 381,486 | 2.2 | % | ||||||||
Atlas Air Worldwide Holdings, Inc.(1) | 4,665 | 273,602 | 1.6 | % | ||||||||
655,088 | 3.8 | % | ||||||||||
Banks | ||||||||||||
Hilltop Holdings, Inc. | 9,649 | 244,409 | 1.4 | % | ||||||||
Capital Markets | ||||||||||||
Diamond Hill Investment Group, Inc. | 1,214 | 250,885 | 1.5 | % | ||||||||
Commercial Services & Supplies | ||||||||||||
Deluxe Corp. | 3,706 | 284,769 | 1.7 | % | ||||||||
Construction & Engineering | ||||||||||||
Quanta Services, Inc.(1) | 10,671 | 417,343 | 2.5 | % | ||||||||
Distributors | ||||||||||||
LKQ Corp.(1) | 8,243 | 335,243 | 2.0 | % | ||||||||
Electric Utilities | ||||||||||||
Alliant Energy Corp. | 6,646 | 283,186 | 1.7 | % | ||||||||
Pinnacle West Capital Corp. | 3,898 | 332,032 | 2.0 | % | ||||||||
615,218 | 3.7 | % | ||||||||||
Electronic Equipment, Instruments & Components | ||||||||||||
Belden, Inc. | 4,409 | 340,243 | 2.0 | % | ||||||||
Dolby Laboratories, Inc. – Class A | 5,048 | 312,976 | 1.9 | % | ||||||||
653,219 | 3.9 | % | ||||||||||
Energy Equipment & Services | ||||||||||||
Solaris Oilfield Infrastructure, Inc.(1) | 18,403 | 394,008 | 2.3 | % | ||||||||
Equity Real Estate Investment Trusts (REITs) | ||||||||||||
Agree Realty Corp. | 7,349 | 378,033 | 2.2 | % | ||||||||
CyrusOne, Inc. | 5,112 | 304,317 | 1.8 | % | ||||||||
Healthcare Trust of America, Inc. | 15,272 | 458,771 | 2.7 | % | ||||||||
Physicians Realty Trust | 19,490 | 350,625 | 2.1 | % | ||||||||
1,491,746 | 8.8 | % | ||||||||||
Food Products | ||||||||||||
Lamb Weston Holdings, Inc. | 7,285 | 411,238 | 2.4 | % | ||||||||
Health Care Equipment & Supplies | ||||||||||||
ICU Medical, Inc.(1) | 2,428 | 524,448 | 3.1 | % |
The accompanying notes are an integral part of these financial statements.
Page 16
Baird Small/Mid Cap Value Fund
Schedule of Investments, December 31, 2017
Common Stocks (cont.)
% of | ||||||||||||
Shares | Value | Net Assets | ||||||||||
Health Care Providers & Services | ||||||||||||
DaVita, Inc.(1) | 3,259 | $ | 235,463 | 1.4 | % | |||||||
Laboratory Corp. of America Holdings(1) | 2,237 | 356,823 | 2.1 | % | ||||||||
592,286 | 3.5 | % | ||||||||||
Household Durables | ||||||||||||
ZAGG, Inc.(1) | 27,285 | 503,408 | 3.0 | % | ||||||||
Household Products | ||||||||||||
Orchids Paper Products Co. | 8,946 | 114,509 | 0.7 | % | ||||||||
Independent Power and Renewable Electricity Producers | ||||||||||||
Algonquin Power & Utilities Corp.(2) | 31,694 | 353,705 | 2.1 | % | ||||||||
Insurance | ||||||||||||
American Financial Group, Inc. | 4,601 | 499,393 | 2.9 | % | ||||||||
Atlas Financial Holdings, Inc.(1)(2) | 15,975 | 328,286 | 1.9 | % | ||||||||
827,679 | 4.8 | % | ||||||||||
Internet Software & Services | ||||||||||||
j2 Global, Inc. | 4,665 | 350,015 | 2.1 | % | ||||||||
Stamps.com, Inc.(1) | 2,492 | 468,496 | 2.7 | % | ||||||||
VeriSign, Inc.(1) | 2,684 | 307,157 | 1.8 | % | ||||||||
1,125,668 | 6.6 | % | ||||||||||
IT Services | ||||||||||||
Leidos Holdings, Inc. | 4,793 | 309,484 | 1.8 | % | ||||||||
Mortgage Real Estate Investment Trusts (REITs) | ||||||||||||
Blackstone Mortgage Trust, Inc. – Class A | 11,374 | 366,015 | 2.2 | % | ||||||||
Pharmaceuticals | ||||||||||||
Jazz Pharmaceuticals PLC(1)(2) | 1,278 | 172,083 | 1.0 | % | ||||||||
Semiconductors & Semiconductor Equipment | ||||||||||||
Cypress Semiconductor Corp. | 27,988 | 426,537 | 2.5 | % | ||||||||
Integrated Device Technology, Inc.(1) | 10,160 | 302,057 | 1.8 | % | ||||||||
Silicon Motion Technology Corp. – ADR(2) | 8,627 | 456,885 | 2.7 | % | ||||||||
Skyworks Solutions, Inc. | 2,684 | 254,846 | 1.5 | % | ||||||||
1,440,325 | 8.5 | % | ||||||||||
Thrifts & Mortgage Finance | ||||||||||||
Bofi Holding, Inc.(1) | 13,675 | 408,883 | 2.4 | % | ||||||||
Meta Financial Group, Inc. | 6,901 | 639,378 | 3.8 | % | ||||||||
NMI Holdings, Inc. – Class A(1) | 23,515 | 399,755 | 2.3 | % | ||||||||
1,448,016 | 8.5 | % |
The accompanying notes are an integral part of these financial statements.
Page 17
Baird Small/Mid Cap Value Fund
Schedule of Investments, December 31, 2017
Common Stocks (cont.)
% of | ||||||||||||
Shares | Value | Net Assets | ||||||||||
Wireless Telecommunication Services | ||||||||||||
Boingo Wireless, Inc.(1) | 35,826 | $ | 806,085 | 4.8 | % | |||||||
Total Common Stocks | ||||||||||||
(Cost $11,606,639) | 14,716,265 | 86.8 | % | |||||||||
Short-Term Investment | ||||||||||||
Money Market Fund | ||||||||||||
Fidelity Institutional Money Market Fund – | ||||||||||||
Government Portfolio, Institutional Class, 1.19%(3) | 501,257 | 501,257 | 3.0 | % | ||||||||
Total Short-Term Investment | ||||||||||||
(Cost $501,257) | 501,257 | 3.0 | % | |||||||||
Total Investments | ||||||||||||
(Cost $12,107,896) | 15,217,522 | 89.8 | % | |||||||||
Other Assets in Excess of Liabilities | 1,727,722 | 10.2 | % | |||||||||
TOTAL NET ASSETS | $ | 16,945,244 | 100.0 | % |
Notes to Schedule of Investments
(1) | Non-Income Producing |
(2) | Foreign Security |
(3) | 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. (“MSCI”) 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 18
Baird Small/Mid Cap Value Fund
Schedule of Investments, December 31, 2017
Summary of Fair Value Exposure at December 31, 2017
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, 2017:
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Equity | ||||||||||||||||
Common Stocks | $ | 14,716,265 | $ | — | $ | — | $ | 14,716,265 | ||||||||
Total Equity | 14,716,265 | — | — | 14,716,265 | ||||||||||||
Short-Term Investment | ||||||||||||||||
Money Market Mutual Fund | 501,257 | — | — | 501,257 | ||||||||||||
Total Short-Term Investment | 501,257 | — | — | 501,257 | ||||||||||||
Total Investments* | $ | 15,217,522 | $ | — | $ | — | $ | 15,217,522 |
* | 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 19
Baird SmallCap Value Fund
December 31, 2017 (Unaudited)
Portfolio Manager Commentary
Fortunately, defining moments in portfolio management only seem to come around about once every market cycle. They test our grit and conviction in our investment process and philosophy. Just such a trial was presented in 2016 to small cap value managers with a high quality bias like ourselves. We watched painstakingly as deep value stocks levitated post the election on pure speculation. We were puzzled as our companies with superior profitability, better growth and lower valuations underperformed. However, the price of discipline is always less than the price of regret. We resisted chasing then-popular trades, such as infrastructure-related and bank stocks that commanded unjustified valuations. We held on to dividend paying stocks on the premise long-term rates would moderate. In short, we stayed disciplined.
As predicted, 2016’s laggards were 2017’s winners and our research efforts were rewarded with strong security performance across most economic sectors. Importantly, most of the Baird SmallCap Value Fund’s return for 2017 came from earnings growth, with less than 5% of the return attributed to price-to-earnings multiple expansion. In a market with lofty current valuations, the Fund continues to trade at a compelling P/E ratio of under 16 times the next 12 months’ earnings. In addition, the majority of our domestically-focused holdings pay an average effective tax rate greater than 30% and stand to benefit disproportionately from U.S. tax reform. Finally, we expect M&A activity to accelerate in 2018, also providing support for small cap valuations.
What we know from the past is that the outperformance of high quality stocks is typically protracted, unlike the short sprints for deep value and that, over the full market cycle, high quality outperforms low quality. If history repeats itself, this trend should provide a nice tailwind in 2018 to complement the alpha we seek to provide through security selection.
In 2017, the Fund’s Institutional Class generated a total return of 18.05% compared to a 7.84% return for the Russell 2000® Value Index, the Fund’s benchmark. During a year of great dispersion of returns among economic sectors, allocation played an important role for portfolio managers in 2017. Following is a discussion of key contributors and detractors for the Fund’s performance relative to its benchmark.
Key Contributors to Relative Returns:
• | The Fund enjoyed very strong security selection, posting positive returns in all economic sectors and outperforming the corresponding benchmark sector return in the majority of economic sectors. |
• | The Fund’s security selection was led by ZAGG, Inc. (+160%), Boingo Wireless (+85%), Stamps.com (+64%) and Verisign (+50%). Other notable gainers include Orbital ATK, Lamb Weston, Cypress Semiconductor, and Air Transport Services Group. |
• | The Fund had no holdings in Energy (the worst performing sector in the benchmark (-15%)) for the majority of the year. We purchased Solaris Oilfield Infrastructure in the fourth quarter, which grew by 50% by year-end. |
Page 20
Baird SmallCap Value Fund
December 31, 2017 (Unaudited)
Key Detractors from Relative Returns:
• | The Fund’s Consumer Staple holdings underperformed the benchmark due to a decline in the Fund’s holdings of Orchids Paper Products Company (-50%). We anticipate the execution issues of bringing their new paper plant up and running are behind the company, allowing for a debt refinancing and earnings rebound in 2018. |
• | The Fund’s holdings in Financials slightly trailed the performance of the corresponding benchmark sector. Bank stocks Meta Financial Group, Hilltop Holdings and Renasant, were responsible for the Fund’s relative underperformance. |
• | Eagle Pharmaceuticals, which declined on a delayed product launch, held back the performance of the Fund’s Healthcare-related holdings. |
Portfolio Manager:
Michelle Stevens
Page 21
Baird SmallCap Value Fund
December 31, 2017 (Unaudited)
Portfolio Characteristics
A December 31, 2017 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** | ||
Boingo Wireless, Inc. | 5.3% | ||
ICU Medical, Inc. | 4.3% | ||
Meta Financial Group, Inc. | 3.9% | ||
NMI Holdings, Inc. | 3.2% | ||
ZAGG, Inc. | 3.2% | ||
Algonquin Power & Utilities Corp. | 3.1% | ||
Patrick Industries, Inc. | 3.0% | ||
Solaris Oilfield Infrastructure, Inc. | 2.9% | ||
Stamps.com, Inc. | 3.0% | ||
Healthcare Trust of America, Inc. | 2.9% | ||
Net Assets: | $36,217,666 | ||
Portfolio Turnover Rate: | 29.9% | ||
Number of Equity Holdings: | 38 | ||
Annualized Portfolio Expense Ratio:*** | |||
Gross | |||
Institutional Class: | 1.44% | ||
Investor Class: | 1.69% | **** | |
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, 2017. | |
** | Percentages shown in parentheses relate to the Fund’s total value of investments as of December 31, 2017, 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, 2019. | |
**** | Includes 0.25% 12b-1 fee. |
Page 22
Baird SmallCap Value Fund
December 31, 2017 (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 23
Baird SmallCap Value Fund
December 31, 2017 (Unaudited)
Total Returns
Average Annual | |||
Since | |||
For the Periods Ended December 31, 2017 | One Year | Five Year | Inception(1) |
Institutional Class Shares | 18.05% | 12.61% | 11.72% |
Investor Class Shares | 17.78% | 12.34% | 11.44% |
Russell 2000® Value Index(2) | 7.84% | 13.01% | 12.78% |
(1) | For the period from May 1, 2012 (inception date) through December 31, 2017. |
(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 24
Baird SmallCap Value Fund
Schedule of Investments, December 31, 2017
Common Stocks
% of | ||||||||||||
Shares | Value | Net Assets | ||||||||||
Aerospace & Defense | ||||||||||||
Hexcel Corp. | 12,422 | $ | 768,301 | 2.1 | % | |||||||
Air Freight & Logistics | ||||||||||||
Air Transport Services Group, Inc.(1) | 37,420 | 865,899 | 2.4 | % | ||||||||
Atlas Air Worldwide Holdings, Inc.(1) | 10,582 | 620,634 | 1.7 | % | ||||||||
1,486,533 | 4.1 | % | ||||||||||
Auto Components | ||||||||||||
LCI Industries | 6,594 | 857,220 | 2.4 | % | ||||||||
Banks | ||||||||||||
Hilltop Holdings, Inc. | 22,084 | 559,388 | 1.5 | % | ||||||||
Biotechnology | ||||||||||||
Eagle Pharmaceuticals, Inc.(1) | 7,686 | 410,586 | 1.1 | % | ||||||||
Building Products | ||||||||||||
Patrick Industries, Inc.(1) | 15,413 | 1,070,398 | 3.0 | % | ||||||||
Capital Markets | ||||||||||||
Diamond Hill Investment Group, Inc. | 3,944 | 815,067 | 2.2 | % | ||||||||
Commercial Services & Supplies | ||||||||||||
Deluxe Corp. | 9,815 | 754,185 | 2.1 | % | ||||||||
Construction & Engineering | ||||||||||||
Quanta Services, Inc.(1) | 24,998 | 977,672 | 2.7 | % | ||||||||
Electic Utilities | ||||||||||||
Alliant Energy Corp. | 19,307 | 822,671 | 2.3 | % | ||||||||
Electronic Equipment, Instruments & Components | ||||||||||||
Belden, Inc. | 9,983 | 770,388 | 2.1 | % | ||||||||
Knowles Corp.(1) | 47,196 | 691,893 | 1.9 | % | ||||||||
1,462,281 | 4.0 | % | ||||||||||
Energy Equipment & Services | ||||||||||||
Solaris Oilfield Infrastructure, Inc.(1) | 49,842 | 1,067,117 | 2.9 | % | ||||||||
Equity Real Estate Investment Trusts (REITs) | ||||||||||||
Agree Realty Corp. | 19,170 | 986,105 | 2.7 | % | ||||||||
CyrusOne, Inc. | 11,809 | 702,990 | 2.0 | % | ||||||||
Healthcare Trust of America, Inc. | 35,119 | 1,054,975 | 2.9 | % | ||||||||
Physicians Realty Trust | 42,941 | 772,508 | 2.1 | % | ||||||||
3,516,578 | 9.7 | % | ||||||||||
Food Products | ||||||||||||
Lamb Weston Holdings, Inc. | 17,023 | 960,948 | 2.7 | % | ||||||||
Health Care Equipment & Supplies | ||||||||||||
ICU Medical, Inc.(1) | 7,208 | 1,556,928 | 4.3 | % |
The accompanying notes are an integral part of these financial statements.
Page 25
Baird SmallCap Value Fund
Schedule of Investments, December 31, 2017
Common Stocks (cont.)
% of | ||||||||||||
Shares | Value | Net Assets | ||||||||||
Household Durables | ||||||||||||
ZAGG, Inc.(1) | 62,110 | $ | 1,145,929 | 3.2 | % | |||||||
Household Products | ||||||||||||
Orchids Paper Products Co. | 29,292 | 374,938 | 1.0 | % | ||||||||
Independent Power and Renewable Electricity Producers | ||||||||||||
Algonquin Power & Utilities Corp.(2) | 99,530 | 1,110,755 | 3.1 | % | ||||||||
Insurance | ||||||||||||
Atlas Financial Holdings, Inc.(1)(2) | 49,842 | 1,024,253 | 2.8 | % | ||||||||
Internet Software & Services | ||||||||||||
j2 Global, Inc. | 13,079 | 981,317 | 2.7 | % | ||||||||
Stamps.com, Inc.(1) | 5,674 | 1,066,712 | 3.0 | % | ||||||||
2,048,029 | 5.7 | % | ||||||||||
Mortgage Real Estate Investment Trusts (REITs) | ||||||||||||
Blackstone Mortgage Trust, Inc. – Class A | 26,684 | 858,691 | 2.4 | % | ||||||||
Capstead Mortgage Corp. | 80,643 | 697,562 | 1.9 | % | ||||||||
1,556,253 | 4.3 | % | ||||||||||
Semiconductors & Semiconductor Equipment | ||||||||||||
Cypress Semiconductor Corp. | 64,718 | 986,303 | 2.7 | % | ||||||||
Integrated Device Technology, Inc.(1) | 23,137 | 687,863 | 1.9 | % | ||||||||
Silicon Motion Technology Corp. ADR(2) | 19,170 | 1,015,243 | 2.8 | % | ||||||||
2,689,409 | 7.4 | % | ||||||||||
Thrifts & Mortgage Finance | ||||||||||||
Bofi Holding, Inc.(1) | 30,672 | 917,093 | 2.5 | % | ||||||||
Capitol Federal Financial, Inc. | 20,886 | 280,081 | 0.8 | % | ||||||||
Merchants Bancorp | 35,868 | 705,882 | 2.0 | % | ||||||||
Meta Financial Group, Inc. | 15,336 | 1,420,881 | 3.9 | % | ||||||||
NMI Holdings, Inc.(1) | 68,091 | 1,157,547 | 3.2 | % | ||||||||
4,481,484 | 12.4 | % | ||||||||||
Water Utilities | ||||||||||||
Connecticut Water Service, Inc. | 11,502 | 660,330 | 1.8 | % | ||||||||
Wireless Telecommunication Services | ||||||||||||
Boingo Wireless, Inc.(1) | 85,574 | 1,925,415 | 5.3 | % | ||||||||
Total Common Stocks | ||||||||||||
(Cost $24,541,937) | 34,102,668 | 94.1 | % |
The accompanying notes are an integral part of these financial statements.
Page 26
Baird SmallCap Value Fund
Schedule of Investments, December 31, 2017
Short-Term Investment
% of | ||||||||||||
Shares | Value | Net Assets | ||||||||||
Money Market Mutual Fund | ||||||||||||
Fidelity Institutional Money Market Fund – | ||||||||||||
Government Portfolio, Institutional Class, 1.19%(3) | 568,650 | $ | 568,650 | 1.6 | % | |||||||
Total Short-Term Investment | ||||||||||||
(Cost $568,650) | 568,650 | 1.6 | % | |||||||||
Total Investments | ||||||||||||
(Cost $25,110,587) | 34,671,318 | 95.7 | % | |||||||||
Other Assets in Excess of Liabilities | 1,546,348 | 4.3 | % | |||||||||
TOTAL NET ASSETS | $ | 36,217,666 | 100.0 | % |
Notes to Schedule of Investments
(1) | Non-Income Producing |
(2) | Foreign Security |
(3) | 7-Day Yield |
ADR – American Depository Receipt
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. (“MSCI”) 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 27
Baird SmallCap Value Fund
Schedule of Investments, December 31, 2017
Summary of Fair Value Exposure at December 31, 2017
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, 2017:
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Equity | ||||||||||||||||
Common Stocks | $ | 34,102,668 | $ | — | $ | — | $ | 34,102,668 | ||||||||
Total Equity | 34,102,668 | — | — | 34,102,668 | ||||||||||||
Short-Term Investment | ||||||||||||||||
Money Market Mutual Fund | 568,650 | — | — | 568,650 | ||||||||||||
Total Short-Term Investment | 568,650 | — | — | 568,650 | ||||||||||||
Total Investments* | $ | 34,671,318 | $ | — | $ | — | $ | 34,671,318 |
* | 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 28
Chautauqua International Growth Fund
December 31, 2017 (Unaudited)
Portfolio Manager’s Commentary
For 2017, the Chautauqua International Growth Fund achieved superior returns relative to its benchmark index, the MSCI ACWI ex USA Index (ND).
Chautauqua Capital Management’s approach is to identify trends and companies that, as a result of their business model advantage, we believe will benefit disproportionately from these trends. In some periods, the trends evolve more slowly than we had anticipated or the company’s ability to translate better business conditions into more rapid profit growth is delayed as they re-invest in their business model advantage to maximize its potential. In some cases, the fundamentals unfold beautifully but the markets do not seem to care. For much of 2017, several trends accelerated faster, the companies we invested in realized their expected potential and the markets recognized the enhanced underlying value. We caution that the Fund’s investment returns experienced in 2017 will not always be possible. We do believe that our approach is the very best way to achieve capital appreciation but optimally, in order to capture the benefit of our skill and approach, investments should be made for a multi-year period.
In this environment, the Fund’s Institutional Class returned 36.11%, outperforming the MSCI ACWI ex USA Index (ND), which advanced 27.19%.
Review
Growth style investing generally outperformed value style investing in both emerging and developed markets in 2017. Small capitalization stocks generally underperformed large capitalization stocks in the U.S. and MSCI ACWI markets. However, small capitalization stocks outperformed larger capitalization stocks, on average, in developed markets as characterized by the MSCI EAFE Index.
The Fund’s aggregate investments in each country in which the Fund invested, taken as a whole, were positive for the year, with the best performance being achieved in emerging market countries. Emerging market countries in Asia had some of the best performers (investments in China appreciated 54.33% and investments in South Korea appreciated 47.80% in U.S. dollar terms). Some of the lower performers were Canada (16.90%) and the United Kingdom (22.38%).
The Fund’s sector performance was also positive for the year. The best performers were information technology (up 42.27%) and materials (up 30.19%). Some of the lesser performers were energy (up 7.64%) and telecommunications services (up 8.61%).
Portfolio Highlights
2017 was a year of portfolio rebalancing. Market valuations, stock and bond alike worldwide, are high relative to their own history. That said, some asset classes are less extended than others. The increased involvement of value agnostic investors using such things as algorithmic trading strategies, index funds, and exchange traded funds (ETFs) may make the markets more fragile in the face of an unforeseen negative surprise. Conditions for the financial markets may be getting to the point where they are “as good as it gets”. Meanwhile, investor and business sentiment are very positive and we believe that we are on the threshold of massive technological disruption. So, the current environment may mean “the best is yet to come”.
In this current environment, we are optimistic but ever vigilant. We anticipate that the markets could get choppy in 2018. Therefore, we have increased our cash allocation to take advantage of market volatility and provide a measure of protection in a tumultuous market.
After eight years of aggressive monetary accommodation throughout most of the world, central bankers are in various stages of reversing course. This monetary accommodation, though necessary in the early stages of recovery from the great financial recession, became a habit that was hard to break. The result has been low inflation everywhere except in asset prices. In response to this change in monetary policy, we have shifted our holdings in financials towards companies that will benefit from higher interest rates (e.g., CI Financial, DBS Group Holdings Ltd. and Toronto Dominion Bank).
We have taken advantage of high market valuations and eliminated and reduced exposure to stocks we view as having elevated valuations. For example, BB Seguridade was sold from the portfolio at the beginning of the fourth quarter. The company benefitted from a rally in the Brazilian stock market despite experiencing a deceleration in sales growth in their core business.
Page 29
Chautauqua International Growth Fund
December 31, 2017 (Unaudited)
We also took advantage of pricing volatility to initiate new positions during the year. TAL Education, a leading education and technology enterprise in China, is a good example of a company that has been on our watch list given their consistent top line growth and strong returns on invested capital. Pricing volatility in the fourth quarter provided a valuation opportunity for us to initiate a position in TAL.
During the year, our holdings in Wirecard, Keyence and HDFC Bank contributed significantly to the Fund’s outperformance.
The Fund’s overweight to health care, relative to the benchmark, detracted from returns for the year. Investments in Allergan and Genmab were disappointing as both companies experienced a slowdown in sales growth in the third quarter. Long-term, we are enthusiastic about both companies’ prospects. Both companies are developing novel therapies in human health.
The Fund’s overweight to the information technology sector was the strongest contributor to performance during the year. Not only was it the best performing sector for the year, within the MSCI index, but our stock selection in that sector (Wirecard, Alibaba, ASML and Keyence) further augmented the Fund’s performance.
As is often the case, and as evidence of the effectiveness of our conviction weighting skill, the top five weighted holdings had a much larger positive contribution to performance than the smallest five weighted holdings (in the Fund, the top five holdings averaged a 77.76% return for the year).
Outlook
In reconciling “as good as it gets” with “the best is yet to come”, we are struck by how extraordinary this moment in the financial markets really is. The Congressional Budget Office has declared that the output gap for the U.S. economy has closed. Likewise, the World Bank has declared that the global output gap has also closed. This means that the world economy is running at full capacity. Further monetary or fiscal stimulus will be inflationary. As an indicator of economic health, the Purchasing Managers’ Index (PMI) has been rising among commodity-importing and exporting countries. This is unusual and generally not sustainable. Conditions for business may be getting to the point where they are “as good as it gets”.
Nevertheless, with improved confidence and positive investor sentiment, the markets may remain ebullient. Meanwhile, the confluence of massive mineable data, combined with inexpensive computing power and data storage due to cloud computing, breakthroughs in machine learning, exponentially faster data transmission speeds and the internet of things, may lead to momentous gains in productivity and significant opportunities for new entrants who disrupt legacy business models. For a trend-based, best-in-breed growth investor such as Chautauqua Capital, this is very promising and may mean that “the best is yet to come”.
Owing to our concentrated portfolios and long holding period, we have fewer holdings per person to analyze than most of our competitors. This enables us to know our holdings better and operate with a six person portfolio management team. As a result, we are very nimble. Our performance record has been good but we believe if the market volatility returns to historic levels, the “best may be yet to come” for us as investors.
Stock prices are primarily the product of a company’s earnings and the multiple of those earnings investors are willing to pay. Over the past several years the multiple has expanded. Should the multiples contract, all things being equal, stock prices will contract. If, however, the earnings are growing faster than the market average, the price contraction can be offset. As growth investors, we do pay modest premium multiples for the shares of the great wealth generating businesses we invest in; yet we are value conscious and take a comprehensive view of each holding including future growth, profitability and valuation. The combination of insisting upon superior growth while being careful about valuation should help us perform in 2018.
We have the right investment team as we try to reconcile this “best is yet to come” with “as good as it gets” environment. Indeed this is a very interesting moment in time to be investing.
Portfolio Manager:
Brian Beitner
Page 30
Chautauqua International Growth Fund
December 31, 2017 (Unaudited)
Portfolio Characteristics
A December 31, 2017 summary of the Fund’s top 10 holdings and equity sector analysis compared to the MSCI ACWI ex USA Index is shown below.
Top 10 Holdings* | |||||
HDFC Bank Ltd. | 5.1% | Net Assets: | $75,804,329 | ||
Novo Nordisk A/S | 5.1% | Portfolio Turnover Rate: | 71.0% | ||
ASML Holding NV | 4.9% | Number of Equity Holdings: | 29 | ||
Toronto-Dominion Bank | 4.8% | ||||
DBS Group Holdings Ltd. | 4.7% | Annualized Portfolio Expense Ratio:*** | |||
Keyence Corp. | 4.6% | Gross | |||
Reckitt Benckiser Group PLC | 4.5% | Institutional Class: | 2.33% | ||
Temenos Group AG | 4.1% | Investor Class: | 2.58% | **** | |
LINE Corp. | 4.0% | ||||
Core Laboratories NV | 3.9% | Net | |||
Institutional Class: | 0.95% | ||||
Investor Class: | 1.20% | **** | |||
Equity Sector Analysis** | Country Allocation** | ||||
* | 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, 2017. | |
** | Percentages shown in parentheses relate to the Fund’s total value of investments as of December 31, 2017, 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, 2019. | |
**** | Includes 0.25% 12b-1 fee. |
Page 31
Chautauqua International Growth Fund
December 31, 2017 (Unaudited)
Institutional Class
Value of a $25,000 Investment
Growth of a hypothetical investment of $25,000 made on the Fund’s inception date (04/15/16), 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 (04/15/16), assuming reinvestment of all distributions.
Page 32
Chautauqua International Growth Fund
December 31, 2017 (Unaudited)
Total Returns
Average | ||
Annual | ||
Since | ||
For the Periods Ended December 31, 2017 | One Year | Inception(1) |
Institutional Class Shares | 36.11% | 16.69% |
Investor Class Shares | 35.86% | 16.50% |
MSCI ACWI ex USA | 27.19% | 17.10% |
(1) | For the period from April 15, 2016 (inception date) through December 31, 2017. |
(2) | The MSCI ACWI ex USA Index is a market-capitalization-weighted index maintained by MSCI, Inc. and designed to provide a broad measure of stock performance throughout the world, with the exception of U.S.-based companies. The MSCI ACWI ex USA Index includes both developed and emerging markets. 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 both U.S. and non-U.S. stocks with medium to large market capitalizations 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. Under normal market conditions, the Fund will invest at least 65% of its total assets in non-U.S. companies. 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. In June 2016, the United Kingdom (UK) voted to leave the European Union (EU) following a referendum referred to as “Brexit.” The exact timeframe for the UK’s exit is unknown. There is significant market uncertainty regarding Brexit’s ramifications, and the range of possible political, regulatory, economic, and market outcomes are difficult to predict. The negative impact could be significant, potentially resulting in increased volatility and illiquidity and lower economic growth for companies that rely significantly on Europe for their business activities and revenues. Other geopolitical events may also cause market disruptions. The portfolio manager for the Fund has over 30 years of experience investing in the global markets and will attempt to minimize the negative impact of these events. However, it is possible that geopolitical events could have an adverse effect on the value of the Fund’s investments.
Past performance does not guarantee future results. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost.
For information about the performance of the Fund as of the most recent month-end, please call 1-866-44BAIRD or visit www.bairdfunds.com. Mutual fund performance changes over time and current performance may be lower or higher than that stated.
Page 33
Chautauqua International Growth Fund
Schedule of Investments, December 31, 2017
Common Stocks
% of | ||||||||||||
Shares | Value | Net Assets | ||||||||||
Apparel, Accessories & Luxury Goods | ||||||||||||
Lululemon Athletica, Inc. (Canada)(1) | 13,882 | $ | 1,090,986 | 1.4 | % | |||||||
Application Software | ||||||||||||
Temenos Group AG (Switzerland)(2) | 24,194 | 3,096,125 | 4.1 | % | ||||||||
Asset Management & Custody Banks | ||||||||||||
CI Financial Corp. (Canada)(1) | 100,058 | 2,369,711 | 3.1 | % | ||||||||
Julius Baer Group Ltd. (Switzerland)(2) | 48,121 | 2,942,699 | 3.9 | % | ||||||||
5,312,410 | 7.0 | % | ||||||||||
Automobile Manufacturers | ||||||||||||
BYD Co. Ltd. (China)(2) | 166,607 | 1,447,399 | 1.9 | % | ||||||||
Biotechnology | ||||||||||||
Genmab A/S (Denmark)(1) | 16,313 | 2,705,381 | 3.6 | % | ||||||||
Cable & Satellite | ||||||||||||
Naspers Ltd. (South Africa)(2) | 7,669 | 2,124,722 | 2.8 | % | ||||||||
Data Processing & Outsourced Services | ||||||||||||
Wirecard AG (Germany)(2) | 23,486 | 2,610,284 | 3.4 | % | ||||||||
Diversified Banks | ||||||||||||
DBS Group Holdings Ltd. (Singapore)(2) | 189,738 | 3,509,448 | 4.7 | % | ||||||||
Toronto-Dominion Bank (Canada)(1) | 62,140 | 3,640,900 | 4.8 | % | ||||||||
7,150,348 | 9.5 | % | ||||||||||
Education Services | ||||||||||||
TAL Education Group (China) | 24,446 | 726,291 | 1.0 | % | ||||||||
Electronic Equipment & Instruments | ||||||||||||
Keyence Corp. (Japan)(2) | 6,273 | 3,504,294 | 4.6 | % | ||||||||
Health Care Distributors | ||||||||||||
Sinopharm Group Co. Ltd. (China)(2) | 425,875 | 1,834,581 | 2.4 | % | ||||||||
Household Products | ||||||||||||
Reckitt Benckiser Group PLC (United Kingdom)(2) | 36,690 | 3,422,930 | 4.5 | % | ||||||||
Internet Retail | ||||||||||||
Alibaba Group Holding Ltd. – ADR (China)(1) | 6,502 | 1,121,139 | 1.5 | % | ||||||||
Ctrip.com International Ltd. – ADR (China)(1) | 21,523 | 949,164 | 1.3 | % | ||||||||
2,070,303 | 2.8 | % | ||||||||||
Internet Software & Services | ||||||||||||
LINE Corp. (Japan)(2) | 74,286 | 3,033,706 | 4.0 | % | ||||||||
Oil & Gas Equipment & Services | ||||||||||||
Core Laboratories NV (Netherlands) | 27,292 | 2,989,839 | 3.9 | % | ||||||||
Oil & Gas Exploration & Production | ||||||||||||
Encana Corp. (United States) | 140,737 | 1,877,613 | 2.5 | % | ||||||||
Eni SpA (Italy)(2) | 153,666 | 2,542,849 | 3.3 | % | ||||||||
4,420,462 | 5.8 | % |
The accompanying notes are an integral part of these financial statements.
Page 34
Chautauqua International Growth Fund
Schedule of Investments, December 31, 2017
Common Stocks (cont.)
% of | ||||||||||||
Shares | Value | Net Assets | ||||||||||
Personal Products | ||||||||||||
Amorepacific Corp. (Republic of Korea) | 8,687 | $ | 2,470,872 | 3.3 | % | |||||||
Pharmaceuticals | ||||||||||||
Allergan PLC (Ireland) | 10,984 | 1,796,763 | 2.4 | % | ||||||||
Novo Nordisk A/S – ADR (Denmark) | 72,265 | 3,878,462 | 5.1 | % | ||||||||
Roche Holding AG (Switzerland)(2) | 9,984 | 2,524,508 | 3.3 | % | ||||||||
8,199,733 | 10.8 | % | ||||||||||
Professional Services | ||||||||||||
Recruit Holdings Co. Ltd. (Japan)(2) | 111,440 | 2,767,051 | 3.7 | % | ||||||||
Regional Banks | ||||||||||||
HDFC Bank Ltd. – ADR (India) | 38,276 | 3,891,521 | 5.1 | % | ||||||||
Semiconductor Equipment | ||||||||||||
ASML Holding NV (Netherlands) | 21,349 | 3,710,883 | 4.9 | % | ||||||||
Semiconductors | ||||||||||||
AMS AG (Austria)(2) | 7,648 | 692,847 | 0.9 | % | ||||||||
Taiwan Semiconductor Manufacturing Co. Ltd. – ADR (Taiwan) | 40,926 | 1,622,716 | 2.1 | % | ||||||||
2,315,563 | 3.0 | % | ||||||||||
Total Common Stocks | ||||||||||||
(Cost $59,821,914) | 70,895,684 | 93.5 | % | |||||||||
Short-Term Investment | ||||||||||||
Money Market Fund | ||||||||||||
Fidelity Institutional Money Market Fund – | ||||||||||||
Government Portfolio, Institutional Class, 1.19%(3) | 3,093,074 | 3,093,074 | 4.1 | % | ||||||||
Total Short-Term Investment | ||||||||||||
(Cost $3,093,074) | 3,093,074 | 4.1 | % | |||||||||
Total Investments | ||||||||||||
(Cost $62,914,988) | 73,988,758 | 97.6 | % | |||||||||
Other Assets in Excess of Liabilities | 1,815,571 | 2.4 | % | |||||||||
TOTAL NET ASSETS | $ | 75,804,329 | 100.0 | % |
Notes to Schedule of Investments
(1) | Non-Income Producing |
(2) | Fair Valued Security – See Note 2a to Financial Statements |
(3) | 7-Day Yield |
ADR – American Depositary Receipt
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. (“MSCI”) 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 35
Chautauqua International Growth Fund
Schedule of Investments, December 31, 2017
Summary of Fair Value Exposure at December 31, 2017
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, 2017:
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Equity | ||||||||||||||||
Common Stocks | $ | 34,842,241 | $ | 36,053,443 | $ | — | $ | 70,895,684 | ||||||||
Total Equity | 34,842,241 | 36,053,443 | — | 70,895,684 | ||||||||||||
Short-Term Investment | ||||||||||||||||
Money Market Mutual Fund | 3,093,074 | — | — | 3,093,074 | ||||||||||||
Total Short-Term Investment | 3,093,074 | — | — | 3,093,074 | ||||||||||||
Total Investments* | $ | 37,935,315 | $ | 36,053,443 | $ | — | $ | 73,988,758 |
* | 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. Transfers between levels are recognized at the end of the reporting period. The table below represents the transfers between Level 1 and Level 2 at December 31, 2017 due to fair valuation of certain foreign markets pursuant to an independent fair value pricing model. The Fund did not hold any Level 3 securities as of December 31, 2017. See the Fund’s valuation policy in Note 2a to the financial statements.
Transfers into Level 1 | $ | 5,176,253 | |||
Transfers out of Level 2 | (5,176,253 | ) | |||
Net transfers | $ | — |
The accompanying notes are an integral part of these financial statements.
Page 36
Chautauqua Global Growth Fund
December 31, 2017 (Unaudited)
Portfolio Manager’s Commentary
For 2017, the Chautauqua Global Growth Fund achieved superior returns relative to its benchmark index, the MSCI ACWI Index (ND).
Chautauqua Capital Management’s approach is to identify trends and companies that, as a result of their business model advantage, we believe will benefit disproportionately from these trends. In some periods, the trends evolve more slowly than we had anticipated or the company’s ability to translate better business conditions into more rapid profit growth is delayed as they re-invest in their business model advantage to maximize its potential. In some cases, the fundamentals unfold beautifully but the markets do not seem to care. For much of 2017, several trends accelerated faster, the companies we invested in realized their expected potential and the markets recognized the enhanced underlying value. We caution that the Fund’s investment returns experienced in 2017 will not always be possible. We do believe that our approach is the very best way to achieve capital appreciation but optimally, in order to capture the benefit of our skill and approach, investments should be made for a multi-year period.
In this environment, the Fund’s Institutional Class returned 37.75%, outperforming the MSCI ACWI Index (ND), which advanced 23.97%.
Review
Growth style investing generally outperformed value style investing in both emerging and developed markets in 2017. Small capitalization stocks generally underperformed large capitalization stocks in the U.S. and MSCI ACWI markets. However, small capitalization stocks outperformed larger capitalization stocks, on average, in developed markets as characterized by the MSCI EAFE Index.
The Fund’s aggregate investments in each country in which the Fund invested, taken as a whole, were positive for the year, with the best performance being achieved in emerging market countries. Emerging market countries in Asia had some of the best performers (investments in China appreciated 54.33% and investments in South Korea appreciated 47.80% in U.S. dollar terms). Some of the lower performers were Canada (16.90%) and the United Kingdom (22.38%).
The Fund’s sector performance was also positive for the year. The best performers were information technology (up 42.27%) and materials (up 30.19%). Some of the lesser performers were energy (up 7.64%) and telecommunications services (up 8.61%).
Portfolio Highlights
2017 was a year of portfolio rebalancing. Market valuations, stock and bond alike worldwide, are high relative to their own history. That said, some asset classes are less extended than others. The increased involvement of value agnostic investors using such things as algorithmic trading strategies, index funds, and exchange traded funds (ETFs) may make the markets more fragile in the face of an unforeseen negative surprise. Conditions for the financial markets may be getting to the point where they are “as good as it gets”. Meanwhile, investor and business sentiment are very positive and we believe that we are on the threshold of massive technological disruption. So, the current environment may mean “the best is yet to come”.
In this current environment, we are optimistic but ever vigilant. We anticipate that the markets could get choppy in 2018. Therefore, we have increased our cash allocation to take advantage of market volatility and provide a measure of protection in a tumultuous market.
After eight years of aggressive monetary accommodation throughout most of the world, central bankers are in various stages of reversing course. This monetary accommodation, though necessary in the early stages of recovery from the great financial recession, became a habit that was hard to break. The result has been low inflation everywhere except in asset prices. In response to this change in monetary policy, we have shifted our holdings in financials towards companies that will benefit from higher interest rates (e.g., CI Financial, DBS Group Holdings Ltd. and Toronto Dominion Bank).
We have taken advantage of high market valuations and eliminated and reduced exposure to stocks we view as having elevated valuations. For example, BB Seguridade was sold from the portfolio at the beginning of the fourth quarter. The company benefitted from a rally in the Brazilian stock market despite experiencing a deceleration in sales growth in their core business.
Page 37
Chautauqua Global Growth Fund
December 31, 2017 (Unaudited)
We also took advantage of pricing volatility to initiate new positions during the year. TAL Education, a leading education and technology enterprise in China, is a good example of a company that has been on our watch list given their consistent top line growth and strong returns on invested capital. Pricing volatility in the fourth quarter provided a valuation opportunity for us to initiate a position in TAL.
During the year, our holdings in Wirecard, Illumina and NVIDIA contributed significantly to the Fund’s outperformance.
The Fund’s overweight to health care, relative to the benchmark, detracted from returns for the year. Investments in Allergan and Genmab were disappointing as both companies experienced a slowdown in sales growth in the third quarter. Long-term, we are enthusiastic about both companies’ prospects. Both companies are developing novel therapies in human health.
The Fund’s overweight to the information technology sector was the strongest contributor to performance during the year. Not only was it the best performing sector for the year, within the MSCI index, but our stock selection in that sector (Wirecard, NVIDIA, Adobe, Temenos and Alibaba) further augmented the Fund’s performance.
As is often the case, and as evidence of the effectiveness of our conviction weighting skill, the top five weighted holdings had a much larger positive contribution to performance than the smallest five weighted holdings (in the Fund, the top five holdings averaged a 55.12% return for the year).
Outlook
In reconciling “as good as it gets” with “the best is yet to come”, we are struck by how extraordinary this moment in the financial markets really is. The Congressional Budget Office has declared that the output gap for the U.S. economy has closed. Likewise, the World Bank has declared that the global output gap has also closed. This means that the world economy is running at full capacity. Further monetary or fiscal stimulus will be inflationary. As an indicator of economic health, the Purchasing Managers’ Index (PMI) has been rising among commodity-importing and exporting countries. This is unusual and generally not sustainable. Conditions for business may be getting to the point where they are “as good as it gets”.
Nevertheless, with improved confidence and positive investor sentiment, the markets may remain ebullient. Meanwhile, the confluence of massive mineable data, combined with inexpensive computing power and data storage due to cloud computing, breakthroughs in machine learning, exponentially faster data transmission speeds and the internet of things, may lead to momentous gains in productivity and significant opportunities for new entrants who disrupt legacy business models. For a trend-based, best-in-breed growth investor such as Chautauqua Capital, this is very promising and may mean that “the best is yet to come”.
Owing to our concentrated portfolios and long holding period, we have fewer holdings per person to analyze than most of our competitors. This enables us to know our holdings better and operate with a six person portfolio management team. As a result, we are very nimble. Our performance record has been good but we believe if the market volatility returns to historic levels, the “best may be yet to come” for us as investors.
Stock prices are primarily the product of a company’s earnings and the multiple of those earnings investors are willing to pay. Over the past several years the multiple has expanded. Should the multiples contract, all things being equal, stock prices will contract. If, however, the earnings are growing faster than the market average, the price contraction can be offset. As growth investors, we do pay modest premium multiples for the shares of the great wealth generating businesses we invest in; yet we are value conscious and take a comprehensive view of each holding including future growth, profitability and valuation. The combination of insisting upon superior growth while being careful about valuation should help us perform in 2018.
We have the right investment team as we try to reconcile this “best is yet to come” with “as good as it gets” environment. Indeed this is a very interesting moment in time to be investing.
Portfolio Manager:
Brian Beitner
Page 38
Chautauqua Global Growth Fund
December 31, 2017 (Unaudited)
Portfolio Characteristics
A December 31, 2017 summary of the Fund’s top 10 holdings and equity sector analysis compared to the MSCI ACWI Index is shown below.
Top 10 Holdings* | |||||
Recruit Holdings Co. Ltd. | 3.8% | Net Assets: | $23,906,782 | ||
Temenos Group AG | 3.4% | Portfolio Turnover Rate: | 61.0% | ||
Pioneer Natural Resources Co. | 3.2% | Number of Equity Holdings: | 44 | ||
HDFC Bank Ltd. | 3.0% | ||||
Keyence Corp. | 3.0% | Annualized Portfolio Expense Ratio:*** | |||
TJX Cos, Inc. | 3.0% | Gross | |||
Charles Schwab Corp. | 3.0% | Institutional Class: | 3.66% | ||
Toronto-Dominion Bank | 2.8% | Investor Class: | 3.91% | **** | |
Novo Nordisk A/S | 2.6% | ||||
NVIDIA Corp. | 3.1% | Net | |||
Institutional Class: | 0.95% | ||||
Investor Class: | 1.20% | **** | |||
Equity Sector Analysis** | Country Allocation** | ||||
* | 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, 2017. | |
** | Percentages shown in parentheses relate to the Fund’s total value of investments as of December 31, 2017, 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, 2019. | |
**** | Includes 0.25% 12b-1 fee. |
Page 39
Chautauqua Global Growth Fund
December 31, 2017 (Unaudited)
Institutional Class
Value of a $25,000 Investment
Growth of a hypothetical investment of $25,000 made on the Fund’s inception date (04/15/16), 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 (04/15/16), assuming reinvestment of all distributions.
Page 40
Chautauqua Global Growth Fund
December 31, 2017 (Unaudited)
Total Returns
Average | ||
Annual | ||
Since | ||
For the Periods Ended December 31, 2017 | One Year | Inception(1) |
Institutional Class Shares | 37.75% | 21.20% |
Investor Class Shares | 37.29% | 20.89% |
MSCI ACWI Index | 23.97% | 17.34% |
(1) | For the period from April 15, 2016 (inception date) through December 31, 2017. |
(2) | The MSCI ACWI Index is a market-capitalization-weighted index maintained by MSCI, Inc. and designed to provide a broad measure of stock performance throughout the world. The MSCI ACWI Index includes both developed and emerging markets. 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 both U.S. and non-U.S. stocks with medium to large market capitalizations 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. Under normal market conditions, the Fund will invest at least 40% of its total assets in non-U.S. companies. 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. In June 2016, the United Kingdom (UK) voted to leave the European Union (EU) following a referendum referred to as “Brexit.” The exact timeframe for the UK’s exit is unknown. There is significant market uncertainty regarding Brexit’s ramifications, and the range of possible political, regulatory, economic, and market outcomes are difficult to predict. The negative impact could be significant, potentially resulting in increased volatility and illiquidity and lower economic growth for companies that rely significantly on Europe for their business activities and revenues. Other geopolitical events may also cause market disruptions. The portfolio manager for the Fund has over 30 years of experience investing in the global markets and will attempt to minimize the negative impact of these events. However, it is possible that geopolitical events could have an adverse effect on the value of the Fund’s investments.
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 41
Chautauqua Global Growth Fund
Schedule of Investments, December 31, 2017
Common Stocks
% of | ||||||||||||
Shares | Value | Net Assets | ||||||||||
Apparel Retail | ||||||||||||
TJX Cos, Inc. (United States) | 9,287 | $ | 710,083 | 3.0 | % | |||||||
Apparel, Accessories & Luxury Goods | ||||||||||||
Lululemon Athletica, Inc. (Canada)(1) | 3,496 | 274,751 | 1.1 | % | ||||||||
Application Software | ||||||||||||
Temenos Group AG (Switzerland)(2) | 6,376 | 815,942 | 3.4 | % | ||||||||
Asset Management & Custody Banks | ||||||||||||
CI Financial Corp. (Canada)(1) | 15,739 | 372,753 | 1.6 | % | ||||||||
Julius Baer Group Ltd. (Switzerland)(2) | 9,931 | 607,301 | 2.5 | % | ||||||||
980,054 | 4.1 | % | ||||||||||
Automobile Manufacturers | ||||||||||||
BYD Co Ltd. (China)(2) | 19,467 | 169,120 | 0.7 | % | ||||||||
Biotechnology | ||||||||||||
Celgene Corp. (United States)(1) | 5,790 | 604,243 | 2.5 | % | ||||||||
Genmab A/S (Denmark)(1) | 2,666 | 442,135 | 1.8 | % | ||||||||
Incyte Corp. (United States)(1) | 4,614 | 436,992 | 1.8 | % | ||||||||
Regeneron Pharmaceuticals, Inc. (United States)(1) | 1,253 | 471,078 | 2.0 | % | ||||||||
1,954,448 | 8.1 | % | ||||||||||
Cable & Satellite | ||||||||||||
Naspers Ltd. (South Africa)(2) | 1,808 | 500,912 | 2.1 | % | ||||||||
Data Processing & Outsourced Services | ||||||||||||
Wirecard AG (Germany)(2) | 4,599 | 511,143 | 2.1 | % | ||||||||
Diversified Banks | ||||||||||||
Toronto-Dominion Bank (Canada)(1) | 11,377 | 666,600 | 2.8 | % | ||||||||
Education Services | ||||||||||||
TAL Education Group (China) | 6,593 | 195,878 | 0.8 | % | ||||||||
Electronic Equipment & Instruments | ||||||||||||
Coherent, Inc. (United States)(1) | 621 | 175,259 | 0.7 | % | ||||||||
Keyence Corp. (Japan)(2) | 1,273 | 711,137 | 3.0 | % | ||||||||
Universal Display Corp. (United States) | 1,797 | 310,252 | 1.3 | % | ||||||||
1,196,648 | 5.0 | % | ||||||||||
Health Care Distributors | ||||||||||||
Sinopharm Group Co. Ltd. (China)(2) | 54,019 | 232,703 | 1.0 | % | ||||||||
Household Products | ||||||||||||
Reckitt Benckiser Group PLC (United Kingdom)(2) | 4,790 | 446,875 | 1.9 | % |
The accompanying notes are an integral part of these financial statements.
Page 42
Chautauqua Global Growth Fund
Schedule of Investments, December 31, 2017
Common Stocks (cont.)
% of | ||||||||||||
Shares | Value | Net Assets | ||||||||||
Internet Retail | ||||||||||||
Alibaba Group Holding Ltd. – ADR (China)(1) | 2,023 | $ | 348,826 | 1.4 | % | |||||||
Amazon.com, Inc. (United States)(1) | 244 | 285,351 | 1.2 | % | ||||||||
Ctrip.com International Ltd. – ADR (China)(1) | 4,390 | 193,599 | 0.8 | % | ||||||||
827,776 | 3.4 | % | ||||||||||
Internet Software & Services | ||||||||||||
Alphabet, Inc. – Class A (United States)(1) | 256 | 269,670 | 1.1 | % | ||||||||
LINE Corp. (Japan)(2) | 9,081 | 370,852 | 1.6 | % | ||||||||
640,522 | 2.7 | % | ||||||||||
Investment Banking & Brokerage | ||||||||||||
DBS Group Holdings Ltd. (Singapore)(2) | 21,502 | 397,707 | 1.7 | % | ||||||||
IT Consulting & Other Services | ||||||||||||
MasterCard, Inc. – Class A (United States) | 2,632 | 398,380 | 1.7 | % | ||||||||
Life Sciences Tools & Services | ||||||||||||
Illumina, Inc. (United States)(1) | 1,673 | 365,534 | 1.5 | % | ||||||||
Oil & Gas Equipment & Services | ||||||||||||
Core Laboratories NV (Netherlands) | 5,225 | 572,399 | 2.4 | % | ||||||||
Oil & Gas Exploration & Production | ||||||||||||
Antero Resources Corp. (United States)(1) | 13,675 | 259,825 | 1.1 | % | ||||||||
Eni SpA (Italy)(2) | 20,125 | 333,026 | 1.4 | % | ||||||||
Pioneer Natural Resources Co. (United States) | 4,470 | 772,640 | 3.2 | % | ||||||||
1,365,491 | 5.7 | % | ||||||||||
Other Diversified Financial Services | ||||||||||||
Charles Schwab Corp. (United States) | 13,817 | 709,779 | 3.0 | % | ||||||||
Personal Products | ||||||||||||
Amorepacific Corp. (Republic of Korea) | 949 | 269,927 | 1.1 | % | ||||||||
Pharmaceuticals | ||||||||||||
Allergan PLC (Ireland) | 1,213 | 198,423 | 0.9 | % | ||||||||
Novo Nordisk A/S – ADR (Denmark) | 11,704 | 628,153 | 2.6 | % | ||||||||
Roche Holding AG (Switzerland)(2) | 776 | 196,216 | 0.8 | % | ||||||||
1,022,792 | 4.3 | % | ||||||||||
Professional Services | ||||||||||||
Recruit Holdings Co. Ltd. (Japan)(2) | 36,307 | 901,501 | 3.8 | % | ||||||||
Regional Banks | ||||||||||||
HDFC Bank Ltd. – ADR (India) | 7,001 | 711,791 | 3.0 | % | ||||||||
SVB Financial Group (United States)(1) | 2,606 | 609,205 | 2.5 | % | ||||||||
1,320,996 | 5.5 | % |
The accompanying notes are an integral part of these financial statements.
Page 43
Chautauqua Global Growth Fund
Schedule of Investments, December 31, 2017
Common Stocks (cont.)
% of | ||||||||||||
Shares | Value | Net Assets | ||||||||||
Semiconductor Equipment | ||||||||||||
ASML Holding NV (Netherlands) | 1,310 | $ | 227,704 | 1.0 | % | |||||||
Semiconductors | ||||||||||||
NVIDIA Corp. (United States) | 3,179 | 615,137 | 2.6 | % | ||||||||
Taiwan Semiconductor Manufacturing Co. Ltd. – ADR (Taiwan) | 4,402 | 174,539 | 0.7 | % | ||||||||
789,676 | 3.3 | % | ||||||||||
Semiconductors & Semiconductor Equipment | ||||||||||||
AMS AG (Austria)(2) | 2,031 | 183,992 | 0.8 | % | ||||||||
Systems Software | ||||||||||||
Red Hat, Inc. (United States)(1) | 3,416 | 410,262 | 1.7 | % | ||||||||
Total Common Stocks | ||||||||||||
(Cost $16,175,467) | 19,059,595 | 79.7 | % | |||||||||
Short-Term Investment | ||||||||||||
Money Market Fund | ||||||||||||
Fidelity Institutional Money Market Fund – | ||||||||||||
Government Portfolio, Institutional Class, 1.19%(3) | 1,221,518 | 1,221,518 | 5.1 | % | ||||||||
Total Short-Term Investment | ||||||||||||
(Cost $1,221,518) | 1,221,518 | 5.1 | % | |||||||||
Total Investments | ||||||||||||
(Cost $17,396,985) | 20,281,113 | 84.8 | % | |||||||||
Other Assets in Excess of Liabilities | 3,625,669 | 15.2 | % | |||||||||
TOTAL NET ASSETS | $ | 23,906,782 | 100.0 | % |
Notes to Schedule of Investments
(1) | Non-Income Producing |
(2) | Fair Valued Security – See Note 2a to Financial Statements |
(3) | 7-Day Yield |
ADR – American Depositary Receipt
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. (“MSCI”) 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 44
Chautauqua Global Growth Fund
Schedule of Investments, December 31, 2017
Summary of Fair Value Exposure at December 31, 2017
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, 2017:
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Equity | ||||||||||||||||
Common Stocks | $ | 12,681,168 | $ | 6,378,427 | $ | — | $ | 19,059,595 | ||||||||
Total Equity | 12,681,168 | 6,378,427 | — | 19,059,595 | ||||||||||||
Short-Term Investment | ||||||||||||||||
Money Market Mutual Fund | 1,221,518 | — | — | 1,221,518 | ||||||||||||
Total Short-Term Investment | 1,221,518 | — | — | 1,221,518 | ||||||||||||
Total Investments* | $ | 13,902,686 | $ | 6,378,427 | $ | — | $ | 20,281,113 |
* | 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. Transfers between levels are recognized at the end of the reporting period. The table below represents the transfers between Level 1 and Level 2 at December 31, 2017 due to fair valuation of certain foreign markets pursuant to an independent fair value pricing model. The Fund did not hold any Level 3 securities as of December 31, 2017. See the Fund’s valuation policy in Note 2a to the financial statements.
Transfers into Level 1 | $ | 712,062 | |||
Transfers out of Level 2 | (712,062 | ) | |||
Net transfers | $ | — |
The accompanying notes are an integral part of these financial statements.
Page 45
Additional Information on Fund Expenses
December 31, 2017 (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, with the exception of the Chautauqua International Growth and Chautauqua Global Growth Funds which charge redemption fees, 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 (7/1/17 – 12/31/17).
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 46
Additional Information on Fund Expenses
December 31, 2017 (Unaudited)
Actual vs. Hypothetical Returns
For the Six Months Ended December 31, 2017
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) | 7/1/17 | 12/31/17 | Period(1) | 12/31/17 | Period(1) | |
Baird MidCap Fund | ||||||
Institutional Class | 0.83% | $1,000.00 | $1,093.10 | $4.38 | $1,021.02 | $4.23 |
Investor Class | 1.08% | $1,000.00 | $1,091.80 | $5.69 | $1,019.76 | $5.50 |
Baird Small/Mid | ||||||
Cap Value Fund | ||||||
Institutional Class | 0.95% | $1,000.00 | $1,146.80 | $5.14 | $1,020.42 | $4.84 |
Investor Class | 1.20% | $1,000.00 | $1,144.00 | $6.48 | $1,019.16 | $6.11 |
Baird SmallCap Value Fund | ||||||
Institutional Class | 1.00% | $1,000.00 | $1,142.70 | $5.40 | $1,020.16 | $5.09 |
Investor Class | 1.25% | $1,000.00 | $1,141.60 | $6.75 | $1,018.90 | $6.36 |
Chautauqua International | ||||||
Growth Fund | ||||||
Institutional Class | 0.95% | $1,000.00 | $1,165.10 | $5.18 | $1,020.42 | $4.84 |
Investor Class | 1.20% | $1,000.00 | $1,162.80 | $6.54 | $1,019.16 | $6.11 |
Chautauqua Global | ||||||
Growth Fund | ||||||
Institutional Class | 0.95% | $1,000.00 | $1,152.50 | $5.15 | $1,020.42 | $4.84 |
Investor Class | 1.20% | $1,000.00 | $1,151.30 | $6.51 | $1,019.16 | $6.11 |
(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. |
Page 47
Statements of Assets and Liabilities
December 31, 2017
Baird | ||||||||||||
Baird | Small/Mid | Baird | ||||||||||
MidCap | Cap Value | SmallCap | ||||||||||
Fund | Fund | Value Fund | ||||||||||
ASSETS: | ||||||||||||
Investments, at value (cost $1,010,084,760, | ||||||||||||
$12,107,896 and $25,110,587, respectively) | $ | 1,385,889,075 | $ | 15,217,522 | $ | 34,671,318 | ||||||
Dividends receivable | 502,918 | 25,330 | 79,052 | |||||||||
Interest receivable | 32,297 | 487 | 1,159 | |||||||||
Receivable for investments sold | 3,452,795 | — | — | |||||||||
Receivable for Fund shares sold | 4,512,452 | 1,700,000 | 1,500,000 | |||||||||
Receivable from Advisor, net (Note 5) | — | 3,507 | — | |||||||||
Prepaid expenses and other assets | 14,808 | 21,675 | 6,995 | |||||||||
Total assets | 1,394,404,345 | 16,968,521 | 36,258,524 | |||||||||
LIABILITIES: | ||||||||||||
Payable for Fund shares redeemed | 2,295,415 | 231 | 4,024 | |||||||||
Payable to Advisor, net (Note 5) | 885,885 | — | 11,297 | |||||||||
Payable to Directors | 325 | 18 | 50 | |||||||||
Accrued Rule 12b-1 fees (Note 8) | 59,172 | 43 | 1,724 | |||||||||
Accrued expenses and other liabilities | 181,755 | 22,985 | 23,763 | |||||||||
Total liabilities | 3,422,552 | 23,277 | 40,858 | |||||||||
NET ASSETS | $ | 1,390,981,793 | $ | 16,945,244 | $ | 36,217,666 | ||||||
NET ASSETS CONSIST OF: | ||||||||||||
Capital stock | $ | 1,003,620,073 | $ | 13,863,397 | $ | 25,899,658 | ||||||
Accumulated undistributed | ||||||||||||
net investment income (loss) | — | — | — | |||||||||
Accumulated undistributed net realized | ||||||||||||
gain (loss) on investments sold | 11,557,405 | (27,779 | ) | 757,277 | ||||||||
Net unrealized appreciation on: | ||||||||||||
Investments | 375,804,315 | 3,109,626 | 9,560,731 | |||||||||
NET ASSETS | $ | 1,390,981,793 | $ | 16,945,244 | $ | 36,217,666 | ||||||
INSTITUTIONAL CLASS SHARES | ||||||||||||
Net Assets | $ | 1,279,571,370 | $ | 16,859,137 | $ | 33,631,352 | ||||||
Shares outstanding ($0.01 par value, | ||||||||||||
unlimited shares authorized) | 66,770,418 | 1,356,764 | 1,979,581 | |||||||||
Net asset value, offering and | ||||||||||||
redemption price per share | $ | 19.16 | $ | 12.43 | $ | 16.99 | ||||||
INVESTOR CLASS SHARES | ||||||||||||
Net Assets | $ | 111,410,423 | $ | 86,107 | $ | 2,586,314 | ||||||
Shares outstanding ($0.01 par value, | ||||||||||||
unlimited shares authorized) | 6,111,425 | 6,942 | 152,427 | |||||||||
Net asset value, offering and | ||||||||||||
redemption price per share | $ | 18.23 | $ | 12.40 | $ | 16.97 |
The accompanying notes are an integral part of these financial statements.
Page 48
Statements of Assets and Liabilities
December 31, 2017
Chautauqua | Chautauqua | |||||||
International | Global | |||||||
Growth Fund | Growth Fund | |||||||
ASSETS: | ||||||||
Investments, at value (cost $62,914,988 | ||||||||
and $17,396,985, respectively) | $ | 73,988,758 | $ | 20,281,113 | ||||
Foreign currency, at value | ||||||||
(cost $37,291 and $2,669, respectively) | 36,383 | 3,741 | ||||||
Dividends receivable | 42,132 | 4,225 | ||||||
Interest receivable | 3,775 | 1,187 | ||||||
Receivable for Fund shares sold | 1,783,428 | 4,074,982 | ||||||
Receivable from Advisor, net (Note 5) | — | 2,162 | ||||||
Prepaid expenses and other assets | 15,392 | 13,151 | ||||||
Total assets | 75,869,868 | 24,380,561 | ||||||
LIABILITIES: | ||||||||
Payable for securities purchased | — | 445,259 | ||||||
Payable to Advisor, net (Note 5) | 29,368 | — | ||||||
Payable to Directors | 319 | 144 | ||||||
Accrued Rule 12b-1 fees (Note 8) | 804 | 282 | ||||||
Accrued expenses and other liabilities | 35,048 | 28,094 | ||||||
Total liabilities | 65,539 | 473,779 | ||||||
NET ASSETS | $ | 75,804,329 | $ | 23,906,782 | ||||
NET ASSETS CONSIST OF: | ||||||||
Capital stock | $ | 63,545,638 | $ | 20,610,311 | ||||
Accumulated undistributed net investment income (loss) | 9,553 | (228 | ) | |||||
Accumulated undistributed net realized gain on | ||||||||
investments sold and foreign currency translation | 1,175,630 | 412,811 | ||||||
Net unrealized appreciation (depreciation) on: | ||||||||
Investments | 11,073,770 | 2,884,128 | ||||||
Foreign currency and other assets | ||||||||
denominated in foreign currency | (262 | ) | (240 | ) | ||||
NET ASSETS | $ | 75,804,329 | $ | 23,906,782 | ||||
INSTITUTIONAL CLASS SHARES | ||||||||
Net Assets | $ | 74,185,845 | $ | 23,238,544 | ||||
Shares outstanding ($0.01 par value, unlimited shares authorized) | 5,891,470 | 1,730,666 | ||||||
Net asset value, offering and redemption price per share | $ | 12.59 | $ | 13.43 | ||||
INVESTOR CLASS SHARES | ||||||||
Net Assets | $ | 1,618,484 | $ | 668,238 | ||||
Shares outstanding ($0.01 par value, unlimited shares authorized) | 128,754 | 49,977 | ||||||
Net asset value, offering and redemption price per share | $ | 12.57 | $ | 13.37 |
The accompanying notes are an integral part of these financial statements.
Page 49
Statements of Operations
Year Ended December 31, 2017
Baird | ||||||||||||
Baird | Small/Mid | Baird | ||||||||||
MidCap | Cap Value | SmallCap | ||||||||||
Fund | Fund | Value Fund | ||||||||||
INVESTMENT INCOME: | ||||||||||||
Dividends (net of issuance fees and/or foreign taxes | ||||||||||||
withheld of $0, $1,342 and $4,550, respectively) | $ | 8,694,745 | $ | 207,318 | $ | 500,139 | ||||||
Interest | 412,064 | 3,055 | 7,312 | |||||||||
Other income | — | 354 | 1,769 | |||||||||
Total investment income | 9,106,809 | 210,727 | 509,220 | |||||||||
EXPENSES: | ||||||||||||
Investment advisory fees (Note 5) | 10,281,309 | 107,311 | 269,666 | |||||||||
Administration fees | 92,479 | 3,254 | 4,648 | |||||||||
Shareholder servicing fees | 708,022 | 12,147 | 16,013 | |||||||||
Fund accounting fees | 60,912 | 14,540 | 15,412 | |||||||||
Professional fees | 31,397 | 32,377 | 31,609 | |||||||||
Federal and state registration | 61,632 | 42,303 | 43,784 | |||||||||
Directors fees | 41,711 | 38,315 | 41,461 | |||||||||
Custody fees | 22,019 | 5,101 | 4,096 | |||||||||
Reports to shareholders | 75,711 | 1,094 | 1,055 | |||||||||
Miscellaneous expenses | 2,477 | 241 | 182 | |||||||||
Rule 12b-1 fees – Investor Class Shares (Note 8) | 298,392 | 161 | 6,426 | |||||||||
Total expenses | 11,676,061 | 256,844 | 434,352 | |||||||||
Fee waiver by Advisor (Note 5) | — | (129,251 | ) | (110,672 | ) | |||||||
Net expenses | 11,676,061 | 127,593 | 323,680 | |||||||||
NET INVESTMENT INCOME (LOSS) | (2,569,252 | ) | 83,134 | 185,540 | ||||||||
REALIZED AND UNREALIZED | ||||||||||||
GAIN ON INVESTMENTS: | ||||||||||||
Net realized gain on investments | 143,972,259 | 412,449 | 1,935,024 | |||||||||
Change in unrealized appreciation on investments | 183,589,368 | 2,099,758 | 3,236,935 | |||||||||
Net realized and unrealized gain on investments | 327,561,627 | 2,512,207 | 5,171,959 | |||||||||
NET INCREASE IN NET ASSETS | ||||||||||||
RESULTING FROM OPERATIONS | $ | 324,992,375 | $ | 2,595,341 | $ | 5,357,499 |
The accompanying notes are an integral part of these financial statements.
Page 50
Statements of Operations
Year Ended December 31, 2017
Chautauqua | Chautauqua | |||||||
International | Global | |||||||
Growth Fund | Growth Fund | |||||||
INVESTMENT INCOME: | ||||||||
Dividends (net of issuance fees and/or foreign taxes | ||||||||
withheld of $79,254 and $7,665, respectively) | $ | 659,871 | $ | 77,947 | ||||
Interest | 25,078 | 6,711 | ||||||
Other income | 319 | 146 | ||||||
Total investment income | 685,268 | 84,804 | ||||||
EXPENSES: | ||||||||
Investment advisory fees (Note 5) | 437,621 | 104,654 | ||||||
Administration fees | 6,787 | 4,163 | ||||||
Shareholder servicing fees | 19,692 | 12,343 | ||||||
Fund accounting fees | 16,848 | 15,584 | ||||||
Professional fees | 44,293 | 44,391 | ||||||
Federal and state registration | 58,181 | 51,785 | ||||||
Directors fees | 41,916 | 41,701 | ||||||
Custody fees | 27,899 | 18,525 | ||||||
Reports to shareholders | 3,550 | 1,886 | ||||||
Miscellaneous expenses | 292 | 202 | ||||||
Interest Expense (Note 7) | 22 | — | ||||||
Rule 12b-1 fees – Investor Class Shares (Note 8) | 2,186 | 796 | ||||||
Total expenses | 659,287 | 296,030 | ||||||
Fee waiver by Advisor (Note 5) | (137,404 | ) | (170,958 | ) | ||||
Net expenses | 521,883 | 125,072 | ||||||
NET INVESTMENT INCOME (LOSS) | 163,385 | (40,268 | ) | |||||
REALIZED AND UNREALIZED | ||||||||
GAIN (LOSS) ON INVESTMENTS AND | ||||||||
FOREIGN CURRENCY TRANSLATION: | ||||||||
Net realized gain on investments | 3,704,189 | 1,243,472 | ||||||
Net realized loss on foreign currency translation | (27,470 | ) | (3,729 | ) | ||||
Change in unrealized appreciation on investments | 11,425,214 | 2,700,390 | ||||||
Change in unrealized depreciation | ||||||||
on foreign currency translation | (147 | ) | (351 | ) | ||||
Net realized and unrealized gain on investments | ||||||||
and foreign currency translation | 15,101,786 | 3,939,782 | ||||||
NET INCREASE IN NET ASSETS | ||||||||
RESULTING FROM OPERATIONS | $ | 15,265,171 | $ | 3,899,514 |
The accompanying notes are an integral part of these financial statements.
Page 51
Statements of Changes in Net Assets
Baird MidCap Fund
Year Ended | Year Ended | |||||||
December 31, 2017 | December 31, 2016 | |||||||
OPERATIONS: | ||||||||
Net investment loss | $ | (2,569,252 | ) | $ | (2,146,689 | ) | ||
Net realized gain (loss) on investments | 143,972,259 | (20,374,537 | ) | |||||
Change in unrealized appreciation on investments | 183,589,368 | 85,885,944 | ||||||
Net increase in net assets resulting from operations | 324,992,375 | 63,364,718 | ||||||
CAPITAL SHARE TRANSACTIONS: | ||||||||
Proceeds from shares sold | 349,351,022 | 439,643,509 | ||||||
Shares issued to holders in reinvestment of distributions | 47,937,259 | — | ||||||
Cost of shares redeemed | (511,066,587 | ) | (479,905,649 | ) | ||||
Net decrease in net assets resulting | ||||||||
from capital share transactions | (113,778,306 | ) | (40,262,140 | ) | ||||
DISTRIBUTIONS TO | ||||||||
INSTITUTIONAL CLASS SHAREHOLDERS: | ||||||||
From net realized gains | (57,234,919 | ) | — | |||||
Total Distributions | (57,234,919 | ) | — | |||||
DISTRIBUTIONS TO | ||||||||
INVESTOR CLASS SHAREHOLDERS: | ||||||||
From net realized gains | (5,225,266 | ) | — | |||||
Total Distributions | (5,225,266 | ) | — | |||||
TOTAL INCREASE IN NET ASSETS | 148,753,884 | 23,102,578 | ||||||
NET ASSETS: | ||||||||
Beginning of year | 1,242,227,909 | 1,219,125,331 | ||||||
End of year | $ | 1,390,981,793 | $ | 1,242,227,909 |
The accompanying notes are an integral part of these financial statements.
Page 52
Statements of Changes in Net Assets
Baird Small/Mid Cap Value Fund
Year Ended | Year Ended | |||||||
December 31, 2017 | December 31, 2016 | |||||||
OPERATIONS: | ||||||||
Net investment income | $ | 83,134 | $ | 95,621 | ||||
Net realized gain (loss) on investments | 412,449 | (404,287 | ) | |||||
Change in unrealized appreciation on investments | 2,099,758 | 1,204,570 | ||||||
Net increase in net assets resulting from operations | 2,595,341 | 895,904 | ||||||
CAPITAL SHARE TRANSACTIONS: | ||||||||
Proceeds from shares sold | 6,798,695 | 6,833,697 | ||||||
Shares issued to holders in reinvestment of distributions | 75,423 | 79,329 | ||||||
Cost of shares redeemed | (4,405,931 | ) | (485,000 | ) | ||||
Net increase in net assets resulting | ||||||||
from capital share transactions | 2,468,187 | 6,428,026 | ||||||
DISTRIBUTIONS TO | ||||||||
INSTITUTIONAL CLASS SHAREHOLDERS: | ||||||||
From net investment income | (81,188 | ) | (90,044 | ) | ||||
From net realized gains | (3,750 | ) | — | |||||
Total Distributions | (84,938 | ) | (90,044 | ) | ||||
DISTRIBUTIONS TO | ||||||||
INVESTOR CLASS SHAREHOLDERS: | ||||||||
From net investment income | (310 | ) | (325 | ) | ||||
From net realized gains | (14 | ) | — | |||||
Total Distributions | (324 | ) | (325 | ) | ||||
TOTAL INCREASE IN NET ASSETS | 4,978,266 | 7,233,561 | ||||||
NET ASSETS: | ||||||||
Beginning of year | 11,966,978 | 4,733,417 | ||||||
End of year (including accumulated | ||||||||
undistributed net investment income | ||||||||
of $0 and $2,542, respectively) | $ | 16,945,244 | $ | 11,966,978 |
The accompanying notes are an integral part of these financial statements.
Page 53
Statements of Changes in Net Assets
Baird SmallCap Value Fund
Year Ended | Year Ended | |||||||
December 31, 2017 | December 31, 2016 | |||||||
OPERATIONS: | ||||||||
Net investment income | $ | 185,540 | $ | 345,791 | ||||
Net realized gain on investments | 1,935,024 | 406,537 | ||||||
Change in unrealized appreciation on investments | 3,236,935 | 3,244,223 | ||||||
Net increase in net assets resulting from operations | 5,357,499 | 3,996,551 | ||||||
CAPITAL SHARE TRANSACTIONS: | ||||||||
Proceeds from shares sold | 4,358,641 | 5,035,886 | ||||||
Shares issued to holders in reinvestment of distributions | 879,036 | 287,392 | ||||||
Cost of shares redeemed | (4,203,475 | ) | (3,257,446 | ) | ||||
Net increase in net assets resulting | ||||||||
from capital share transactions | 1,034,202 | 2,065,832 | ||||||
DISTRIBUTIONS TO | ||||||||
INSTITUTIONAL CLASS SHAREHOLDERS: | ||||||||
From net investment income | (173,048 | ) | (321,015 | ) | ||||
From net realized gains | (778,275 | ) | — | |||||
Total Distributions | (951,323 | ) | (321,015 | ) | ||||
DISTRIBUTIONS TO | ||||||||
INVESTOR CLASS SHAREHOLDERS: | ||||||||
From net investment income | (8,072 | ) | (19,041 | ) | ||||
From net realized gains | (63,535 | ) | — | |||||
Total Distributions | (71,607 | ) | (19,041 | ) | ||||
TOTAL INCREASE IN NET ASSETS | 5,368,771 | 5,722,327 | ||||||
NET ASSETS: | ||||||||
Beginning of year | 30,848,895 | 25,126,568 | ||||||
End of year (including accumulated | ||||||||
undistributed net investment income | ||||||||
of $0 and $4,079, respectively) | $ | 36,217,666 | $ | 30,848,895 |
The accompanying notes are an integral part of these financial statements.
Page 54
Statements of Changes in Net Assets
Chautauqua International Growth Fund
April 15, 2016^ | ||||||||
Year Ended | through | |||||||
December 31, 2017 | December 31, 2016 | |||||||
OPERATIONS: | ||||||||
Net investment income | $ | 163,385 | $ | 3,896 | ||||
Net realized gain (loss) on investments | ||||||||
and foreign currency translation | 3,676,719 | (206,475 | ) | |||||
Change in unrealized appreciation (depreciation) | ||||||||
on investments and foreign currency translation | 11,425,067 | (351,559 | ) | |||||
Net increase (decrease) in net assets | ||||||||
resulting from operations | 15,265,171 | (554,138 | ) | |||||
CAPITAL SHARE TRANSACTIONS: | ||||||||
Proceeds from shares sold | 54,726,978 | 16,146,048 | ||||||
Shares issued to holders in reinvestment of distributions | 2,307,063 | — | ||||||
Cost of shares redeemed | (9,195,880 | ) | (436,323 | ) | ||||
Redemption fees (Note 9) | 11,284 | 1,715 | ||||||
Net increase in net assets resulting | ||||||||
from capital share transactions | 47,849,445 | 15,711,440 | ||||||
DISTRIBUTIONS TO | ||||||||
INSTITUTIONAL CLASS SHAREHOLDERS: | ||||||||
From net investment income | (121,984 | ) | — | |||||
From net realized gains | (2,293,649 | ) | — | |||||
Total Distributions | (2,415,633 | ) | — | |||||
DISTRIBUTIONS TO | ||||||||
INVESTOR CLASS SHAREHOLDERS: | ||||||||
From net investment income | (555 | ) | — | |||||
From net realized gains | (51,401 | ) | — | |||||
Total Distributions | (51,956 | ) | — | |||||
TOTAL INCREASE IN NET ASSETS | 60,647,027 | 15,157,302 | ||||||
NET ASSETS: | ||||||||
Beginning of period | 15,157,302 | — | ||||||
End of period (including accumulated | ||||||||
undistributed net investment income (loss) | ||||||||
of $9,553 and $(3,823), respectively) | $ | 75,804,329 | $ | 15,157,302 |
^ | Inception was the close of business on April 15, 2016. |
The accompanying notes are an integral part of these financial statements.
Page 55
Statements of Changes in Net Assets
Chautauqua Global Growth Fund
April 15, 2016^ | ||||||||
Year Ended | through | |||||||
December 31, 2017 | December 31, 2016 | |||||||
OPERATIONS: | ||||||||
Net investment loss | $ | (40,268 | ) | $ | (6,417 | ) | ||
Net realized gain (loss) on investments | ||||||||
and foreign currency translation | 1,239,743 | (126,526 | ) | |||||
Change in unrealized appreciation on investments | ||||||||
and foreign currency translation | 2,700,039 | 183,849 | ||||||
Net increase in net assets resulting from operations | 3,899,514 | 50,906 | ||||||
CAPITAL SHARE TRANSACTIONS: | ||||||||
Proceeds from shares sold | 13,308,152 | 8,917,355 | ||||||
Shares issued to holders in reinvestment of distributions | 582,584 | — | ||||||
Cost of shares redeemed | (1,065,485 | ) | (1,119,965 | ) | ||||
Redemption fees (Note 9) | 965 | 515 | ||||||
Net increase in net assets resulting | ||||||||
from capital share transactions | 12,826,216 | 7,797,905 | ||||||
DISTRIBUTIONS TO | ||||||||
INSTITUTIONAL CLASS SHAREHOLDERS: | ||||||||
From net realized gains | (645,449 | ) | — | |||||
Total Distributions | (645,449 | ) | — | |||||
DISTRIBUTIONS TO | ||||||||
INVESTOR CLASS SHAREHOLDERS: | ||||||||
From net realized gains | (22,310 | ) | — | |||||
Total Distributions | (22,310 | ) | — | |||||
TOTAL INCREASE IN NET ASSETS | 16,057,971 | 7,848,811 | ||||||
NET ASSETS: | ||||||||
Beginning of period | 7,848,811 | — | ||||||
End of period (including accumulated | ||||||||
undistributed net investment income (loss) | ||||||||
of $(228) and $(1,827), respectively) | $ | 23,906,782 | $ | 7,848,811 |
^ | Inception was the close of business on April 15, 2016. |
The accompanying notes are an integral part of these financial statements.
Page 56
Financial Highlights
Baird MidCap Fund – Institutional Class
Year Ended December 31, | ||||||||||||||||||||
2017 | 2016 | 2015 | 2014 | 2013 | ||||||||||||||||
Per Share Data: | ||||||||||||||||||||
Net asset value, beginning of year | $ | 15.80 | $ | 14.99 | $ | 15.57 | $ | 15.00 | $ | 11.52 | ||||||||||
Income from investment operations: | ||||||||||||||||||||
Net investment loss | (0.03 | )(1) | (0.02 | )(1) | (0.03 | )(1) | (0.03 | )(1) | (0.01 | ) | ||||||||||
Net realized and unrealized | ||||||||||||||||||||
gains (losses) on investments | 4.28 | 0.83 | (0.53 | ) | 0.76 | 3.80 | ||||||||||||||
Total from investment operations | 4.25 | 0.81 | (0.56 | ) | 0.73 | 3.79 | ||||||||||||||
Less distributions: | ||||||||||||||||||||
Distributions from net realized gains | (0.89 | ) | — | (0.02 | ) | (0.16 | ) | (0.31 | ) | |||||||||||
Total distributions | (0.89 | ) | — | (0.02 | ) | (0.16 | ) | (0.31 | ) | |||||||||||
Net asset value, end of year | $ | 19.16 | $ | 15.80 | $ | 14.99 | $ | 15.57 | $ | 15.00 | ||||||||||
Total return | 26.88 | % | 5.40 | % | (3.59 | )% | 4.85 | % | 32.90 | % | ||||||||||
Supplemental data and ratios: | ||||||||||||||||||||
Net assets, end of year (millions) | $ | 1,279.6 | $ | 1,105.1 | $ | 1,035.0 | $ | 910.9 | $ | 286.1 | ||||||||||
Ratio of expenses to average net assets | 0.83 | % | 0.82 | % | 0.80 | % | 0.85 | % | 0.85 | % | ||||||||||
Ratio of expenses to average | ||||||||||||||||||||
net assets (before waivers) | 0.83 | % | 0.82 | % | 0.80 | % | 0.87 | % | 0.87 | % | ||||||||||
Ratio of net investment loss | ||||||||||||||||||||
to average net assets | (0.17 | )% | (0.14 | )% | (0.18 | )% | (0.17 | )% | (0.04 | )% | ||||||||||
Ratio of net investment loss to | ||||||||||||||||||||
average net assets (before waivers) | (0.17 | )% | (0.14 | )% | (0.18 | )% | (0.19 | )% | (0.06 | )% | ||||||||||
Portfolio turnover rate(2) | 44.5 | % | 57.2 | % | 52.8 | % | 37.3 | % | 36.3 | % |
(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 57
Financial Highlights
Baird MidCap Fund – Investor Class
Year Ended December 31, | ||||||||||||||||||||
2017 | 2016 | 2015 | 2014 | 2013 | ||||||||||||||||
Per Share Data: | ||||||||||||||||||||
Net asset value, beginning of year | $ | 15.10 | $ | 14.36 | $ | 14.96 | $ | 14.45 | $ | 11.13 | ||||||||||
Income from investment operations: | ||||||||||||||||||||
Net investment loss | (0.07 | )(1) | (0.06 | )(1) | (0.06 | )(1) | (0.06 | )(1) | (0.03 | ) | ||||||||||
Net realized and unrealized | ||||||||||||||||||||
gains (losses) on investments | 4.09 | 0.80 | (0.52 | ) | 0.73 | 3.66 | ||||||||||||||
Total from investment operations | 4.02 | 0.74 | (0.58 | ) | 0.67 | 3.63 | ||||||||||||||
Less distributions: | ||||||||||||||||||||
Distributions from net realized gains | (0.89 | ) | — | (0.02 | ) | (0.16 | ) | (0.31 | ) | |||||||||||
Total distributions | (0.89 | ) | — | (0.02 | ) | (0.16 | ) | (0.31 | ) | |||||||||||
Net asset value, end of year | $ | 18.23 | $ | 15.10 | $ | 14.36 | $ | 14.96 | $ | 14.45 | ||||||||||
Total return | 26.61 | % | 5.08 | % | (3.80 | )% | 4.62 | % | 32.62 | % | ||||||||||
Supplemental data and ratios: | ||||||||||||||||||||
Net assets, end of year (millions) | $ | 111.4 | $ | 137.2 | $ | 184.1 | $ | 205.4 | $ | 143.1 | ||||||||||
Ratio of expenses to average net assets | 1.08 | % | 1.07 | % | 1.05 | % | 1.10 | % | 1.10 | % | ||||||||||
Ratio of expenses to average | ||||||||||||||||||||
net assets (before waivers) | 1.08 | % | 1.07 | % | 1.05 | % | 1.12 | % | 1.12 | % | ||||||||||
Ratio of net investment loss | ||||||||||||||||||||
to average net assets | (0.42 | )% | (0.39 | )% | (0.43 | )% | (0.42 | )% | (0.29 | )% | ||||||||||
Ratio of net investment loss to | ||||||||||||||||||||
average net assets (before waivers) | (0.42 | )% | (0.39 | )% | (0.43 | )% | (0.44 | )% | (0.31 | )% | ||||||||||
Portfolio turnover rate(2) | 44.5 | % | 57.2 | % | 52.8 | % | 37.3 | % | 36.3 | % |
(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 58
Financial Highlights
Baird Small/Mid Cap Value Fund – Institutional Class
Period Ended | ||||||||||||
Year Ended December 31, | December 31, | |||||||||||
2017 | 2016 | 2015(1) | ||||||||||
Per Share Data: | ||||||||||||
Net asset value, beginning of period | $ | 10.29 | $ | 9.52 | $ | 10.00 | ||||||
Income from investment operations: | ||||||||||||
Net investment income(2) | 0.07 | 0.13 | 0.02 | |||||||||
Net realized and unrealized gains (losses) on investments | 2.14 | 0.72 | (0.49 | ) | ||||||||
Total from investment operations | 2.21 | 0.85 | (0.47 | ) | ||||||||
Less distributions: | ||||||||||||
Distributions from net investment income | (0.07 | ) | (0.08 | ) | (0.01 | ) | ||||||
Distributions from net realized gains | 0.00 | (3) | — | — | ||||||||
Total distributions | (0.07 | ) | (0.08 | ) | (0.01 | ) | ||||||
Net asset value, end of period | $ | 12.43 | $ | 10.29 | $ | 9.52 | ||||||
Total return | 21.48 | % | 8.91 | % | (4.66 | )%(4) | ||||||
Supplemental data and ratios: | ||||||||||||
Net assets, end of period (millions) | $ | 16.9 | $ | 11.9 | $ | 4.7 | ||||||
Ratio of expenses to average net assets | 0.95 | % | 0.95 | % | 0.95 | %(5) | ||||||
Ratio of expenses to average net assets (before waivers) | 1.91 | % | 2.86 | % | 6.88 | %(5) | ||||||
Ratio of net investment income to average net assets | 0.62 | % | 1.35 | % | 1.96 | %(5) | ||||||
Ratio of net investment loss | ||||||||||||
to average net assets (before waivers) | (0.34 | )% | (0.56 | )% | (3.97 | )%(5) | ||||||
Portfolio turnover rate(6) | 60.4 | % | 38.3 | % | 14.7 | %(4) |
(1) | Inception was close of business on November 30, 2015. |
(2) | Calculated using average shares outstanding during the period. |
(3) | Amount is less than $0.005. |
(4) | Not annualized. |
(5) | Annualized. |
(6) | Portfolio turnover is calculated on the basis of the Fund as a whole without distinguishing between the classes of shares issued. |
The accompanying notes are an integral part of these financial statements.
Page 59
Financial Highlights
Baird Small/Mid Cap Value Fund – Investor Class
Period Ended | ||||||||||||
Year Ended December 31, | December 31, | |||||||||||
2017 | 2016 | 2015(1) | ||||||||||
Per Share Data: | ||||||||||||
Net asset value, beginning of period | $ | 10.28 | $ | 9.52 | $ | 10.00 | ||||||
Income from investment operations: | ||||||||||||
Net investment income(2) | 0.04 | 0.11 | 0.01 | |||||||||
Net realized and unrealized gains (losses) on investments | 2.13 | 0.71 | (0.48 | ) | ||||||||
Total from investment operations | 2.17 | 0.82 | (0.47 | ) | ||||||||
Less distributions: | ||||||||||||
Distributions from net investment income | (0.05 | ) | (0.06 | ) | (0.01 | ) | ||||||
Distributions from net realized gains | 0.00 | (3) | — | — | ||||||||
Total distributions | (0.05 | ) | (0.06 | ) | (0.01 | ) | ||||||
Net asset value, end of period | $ | 12.40 | $ | 10.28 | $ | 9.52 | ||||||
Total return | 21.08 | % | 8.64 | % | (4.67 | )%(4) | ||||||
Supplemental data and ratios: | ||||||||||||
Net assets, end of period (thousands) | $ | 86.1 | $ | 53.2 | $ | 19.0 | ||||||
Ratio of expenses to average net assets | 1.20 | % | 1.20 | % | 1.20 | %(5) | ||||||
Ratio of expenses to average net assets (before waivers) | 2.16 | % | 3.11 | % | 7.13 | %(5) | ||||||
Ratio of net investment income to average net assets | 0.37 | % | 1.10 | % | 1.71 | %(5) | ||||||
Ratio of net investment loss | ||||||||||||
to average net assets (before waivers) | (0.59 | )% | (0.81 | )% | (4.22 | )%(5) | ||||||
Portfolio turnover rate(6) | 60.4 | % | 38.3 | % | 14.7 | %(4) |
(1) | Inception was close of business on November 30, 2015. |
(2) | Calculated using average shares outstanding during the period. |
(3) | Amount is less than $0.005. |
(4) | Not annualized. |
(5) | Annualized. |
(6) | Portfolio turnover is calculated on the basis of the Fund as a whole without distinguishing between the classes of shares issued. |
The accompanying notes are an integral part of these financial statements.
Page 60
Financial Highlights
Baird SmallCap Value Fund – Institutional Class
Year Ended December 31, | ||||||||||||||||||||
2017 | 2016 | 2015 | 2014 | 2013 | ||||||||||||||||
Per Share Data: | ||||||||||||||||||||
Net asset value, beginning of year | $ | 14.83 | $ | 13.03 | $ | 13.82 | $ | 14.01 | $ | 10.20 | ||||||||||
Income from investment operations: | ||||||||||||||||||||
Net investment income(1) | 0.09 | 0.21 | 0.11 | 0.05 | 0.07 | |||||||||||||||
Net realized and unrealized | ||||||||||||||||||||
gains (losses) on investments | 2.59 | 1.76 | (0.82 | ) | 0.01 | 3.99 | ||||||||||||||
Total from investment operations | 2.68 | 1.97 | (0.71 | ) | 0.06 | 4.06 | ||||||||||||||
Less distributions: | ||||||||||||||||||||
Distributions from | ||||||||||||||||||||
net investment income | (0.09 | ) | (0.17 | ) | (0.08 | ) | (0.05 | ) | (0.05 | ) | ||||||||||
Distributions from net realized gains | (0.43 | ) | — | — | (0.20 | ) | (0.20 | ) | ||||||||||||
Total distributions | (0.52 | ) | (0.17 | ) | (0.08 | ) | (0.25 | ) | (0.25 | ) | ||||||||||
Net asset value, end of year | $ | 16.99 | $ | 14.83 | $ | 13.03 | $ | 13.82 | $ | 14.01 | ||||||||||
Total return | 18.05 | % | 15.11 | % | (5.11 | )% | 0.42 | % | 39.85 | % | ||||||||||
Supplemental data and ratios: | ||||||||||||||||||||
Net assets, end of year (millions) | $ | 33.6 | $ | 28.2 | $ | 23.1 | $ | 23.5 | $ | 19.0 | ||||||||||
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) | 1.35 | % | 1.43 | % | 1.51 | % | 1.55 | % | 2.02 | % | ||||||||||
Ratio of net investment income | ||||||||||||||||||||
to average net assets | 0.61 | % | 1.58 | % | 0.79 | % | 0.36 | % | 0.71 | % | ||||||||||
Ratio of net investment income (loss) | ||||||||||||||||||||
to average net assets (before waivers) | 0.26 | % | 1.15 | % | 0.28 | % | (0.19 | )% | (0.31 | )% | ||||||||||
Portfolio turnover rate(2) | 29.9 | % | 48.9 | % | 42.1 | % | 41.9 | % | 36.9 | % |
(1) | Calculated using average shares outstanding during the period. |
(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 61
Financial Highlights
Baird SmallCap Value Fund – Investor Class
Year Ended December 31, | ||||||||||||||||||||
2017 | 2016 | 2015 | 2014 | 2013 | ||||||||||||||||
Per Share Data: | ||||||||||||||||||||
Net asset value, beginning of year | $ | 14.81 | $ | 12.99 | $ | 13.78 | $ | 13.98 | $ | 10.19 | ||||||||||
Income from investment operations: | ||||||||||||||||||||
Net investment income(1) | 0.06 | 0.18 | 0.07 | 0.02 | 0.04 | |||||||||||||||
Net realized and unrealized | ||||||||||||||||||||
gains (losses) on investments | 2.58 | 1.75 | (0.81 | ) | 0.00 | (2) | 3.99 | |||||||||||||
Total from investment operations | 2.64 | 1.93 | (0.74 | ) | 0.02 | 4.03 | ||||||||||||||
Less distributions: | ||||||||||||||||||||
Distributions from | ||||||||||||||||||||
net investment income | (0.05 | ) | (0.11 | ) | (0.05 | ) | (0.02 | ) | (0.04 | ) | ||||||||||
Distributions from net realized gains | (0.43 | ) | — | — | (0.20 | ) | (0.20 | ) | ||||||||||||
Total distributions | (0.48 | ) | (0.11 | ) | (0.05 | ) | (0.22 | ) | (0.24 | ) | ||||||||||
Net asset value, end of year | $ | 16.97 | $ | 14.81 | $ | 12.99 | $ | 13.78 | $ | 13.98 | ||||||||||
Total return | 17.78 | % | 14.84 | % | (5.37 | )% | 0.13 | % | 39.58 | % | ||||||||||
Supplemental data and ratios: | ||||||||||||||||||||
Net assets, end of year (millions) | $ | 2.6 | $ | 2.6 | $ | 2.0 | $ | 2.1 | $ | 1.1 | ||||||||||
Ratio of expenses to average net assets | 1.25 | % | 1.25 | % | 1.25 | % | 1.25 | % | 1.25 | % | ||||||||||
Ratio of expenses to average | ||||||||||||||||||||
net assets (before waivers) | 1.60 | % | 1.68 | % | 1.76 | % | 1.80 | % | 2.27 | % | ||||||||||
Ratio of net investment income | ||||||||||||||||||||
to average net assets | 0.36 | % | 1.33 | % | 0.54 | % | 0.11 | % | 0.46 | % | ||||||||||
Ratio of net investment income (loss) | ||||||||||||||||||||
to average net assets (before waivers) | 0.01 | % | 0.90 | % | 0.03 | % | (0.44 | )% | (0.56 | )% | ||||||||||
Portfolio turnover rate(3) | 29.9 | % | 48.9 | % | 42.1 | % | 41.9 | % | 36.9 | % |
(1) | Calculated using average shares outstanding during the period. |
(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 62
Financial Highlights
Chautauqua International Growth Fund – Institutional Class
Year Ended | Period Ended | |||||||
December 31, 2017 | December 31, 2016(1) | |||||||
Per Share Data: | ||||||||
Net asset value, beginning of period | $ | 9.57 | $ | 10.00 | ||||
Income from investment operations: | ||||||||
Net investment income(2) | 0.04 | 0.00 | (3) | |||||
Net realized and unrealized gains (losses) on investments | 3.41 | (0.43 | ) | |||||
Total from investment operations | 3.45 | (0.43 | ) | |||||
Less distributions: | ||||||||
Distributions from net investment income | (0.02 | ) | — | |||||
Distributions from net realized gains | (0.41 | ) | — | |||||
Total distributions | (0.43 | ) | — | |||||
Paid in capital from redemption fees | 0.00 | (3) | — | |||||
Net asset value, end of period | $ | 12.59 | $ | 9.57 | ||||
Total return | 36.11 | % | (4.30 | )%(4) | ||||
Supplemental data and ratios: | ||||||||
Net assets, end of period (millions) | $ | 74.2 | $ | 14.8 | ||||
Ratio of expenses to average net assets | 0.95 | % | 0.95 | %(5) | ||||
Ratio of expenses to average net assets (before waivers) | 1.20 | % | 2.32 | %(5) | ||||
Ratio of net investment income to average net assets | 0.30 | % | 0.06 | %(5) | ||||
Ratio of net investment income (loss) | ||||||||
to average net assets (before waivers) | 0.05 | % | (1.31 | )%(5) | ||||
Portfolio turnover rate(6) | 71.0 | % | 72.6 | %(4) |
(1) | Inception was close of business on April 15, 2016. |
(2) | Calculated using average shares outstanding during the period. |
(3) | Amount is less than $0.005. |
(4) | Not annualized. |
(5) | Annualized. |
(6) | Portfolio turnover is calculated on the basis of the Fund as a whole without distinguishing between the classes of shares issued. |
The accompanying notes are an integral part of these financial statements.
Page 63
Financial Highlights
Chautauqua International Growth Fund – Investor Class
Year Ended | Period Ended | |||||||
December 31, 2017 | December 31, 2016(1) | |||||||
Per Share Data: | ||||||||
Net asset value, beginning of period | $ | 9.56 | $ | 10.00 | ||||
Income from investment operations: | ||||||||
Net investment income (loss)(2) | 0.01 | (0.01 | ) | |||||
Net realized and unrealized gains (losses) on | ||||||||
investments and foreign currency translations | 3.41 | (0.44 | ) | |||||
Total from investment operations | 3.42 | (0.45 | ) | |||||
Less distributions: | ||||||||
Distributions from net investment income | (0.00 | )(3) | — | |||||
Distributions from net realized gains | (0.41 | ) | — | |||||
Total distributions | (0.41 | ) | 0.01 | |||||
Paid in capital from redemption fees | 0.00 | (3) | 0.01 | |||||
Net asset value, end of period | $ | 12.57 | $ | 9.56 | ||||
Total return | 35.86 | % | (4.40 | )%(4) | ||||
Supplemental data and ratios: | ||||||||
Net assets, end of period (millions) | $ | 1.6 | $ | 0.3 | ||||
Ratio of expenses to average net assets | 1.20 | % | 1.20 | %(5) | ||||
Ratio of expenses to average net assets (before waivers) | 1.45 | % | 2.58 | %(5) | ||||
Ratio of net investment loss to average net assets | 0.05 | % | (0.19 | )%(5) | ||||
Ratio of net investment loss | ||||||||
to average net assets (before waivers) | (0.20 | )% | (1.57 | )%(5) | ||||
Portfolio turnover rate(6) | 71.0 | % | 72.6 | %(4) |
(1) | Inception was close of business on April 15, 2016. |
(2) | Calculated using average shares outstanding during the period. |
(3) | Amount is less than $0.005. |
(4) | Not annualized. |
(5) | Annualized. |
(6) | Portfolio turnover is calculated on the basis of the Fund as a whole without distinguishing between the classes of shares issued. |
The accompanying notes are an integral part of these financial statements.
Page 64
Financial Highlights
Chautauqua Global Growth Fund – Institutional Class
Year Ended | Period Ended | |||||||
December 31, 2017 | December 31, 2016(1) | |||||||
Per Share Data: | ||||||||
Net asset value, beginning of period | $ | 10.09 | $ | 10.00 | ||||
Income from investment operations: | ||||||||
Net investment loss(2) | (0.04 | ) | (0.01 | ) | ||||
Net realized and unrealized gain on investments | 3.85 | 0.10 | ||||||
Total from investment operations | 3.81 | 0.09 | ||||||
Less distributions: | ||||||||
Distributions from net realized gains | (0.47 | ) | — | |||||
Total distributions | (0.47 | ) | — | |||||
Paid in capital from redemption fees | 0.00 | (3) | — | |||||
Net asset value, end of period | $ | 13.43 | $ | 10.09 | ||||
Total return | 37.75 | % | 0.90 | %(4) | ||||
Supplemental data and ratios: | ||||||||
Net assets, end of period (millions) | $ | 23.2 | $ | 7.6 | ||||
Ratio of expenses to average net assets | 0.95 | % | 0.95 | %(5) | ||||
Ratio of expenses to average net assets (before waivers) | 2.26 | % | 3.65 | %(5) | ||||
Ratio of net investment loss to average net assets | (0.30 | )% | (0.16 | )%(5) | ||||
Ratio of net investment loss | ||||||||
to average net assets (before waivers) | (1.61 | )% | (2.86 | )%(5) | ||||
Portfolio turnover rate(6) | 61.0 | % | 69.4 | %(4) |
(1) | Inception was close of business on April 15, 2016. |
(2) | Calculated using average shares outstanding during the period. |
(3) | Amount is less than $0.005. |
(4) | Not annualized. |
(5) | Annualized. |
(6) | Portfolio turnover is calculated on the basis of the Fund as a whole without distinguishing between the classes of shares issued. |
The accompanying notes are an integral part of these financial statements.
Page 65
Financial Highlights
Chautauqua Global Growth Fund – Investor Class
Year Ended | Period Ended | |||||||
December 31, 2017 | December 31, 2016(1) | |||||||
Per Share Data: | ||||||||
Net asset value, beginning of period | $ | 10.08 | $ | 10.00 | ||||
Income from investment operations: | ||||||||
Net investment loss(2) | (0.07 | ) | (0.03 | ) | ||||
Net realized and unrealized gain on investments | 3.83 | 0.11 | ||||||
Total from investment operations | 3.76 | 0.08 | ||||||
Less distributions: | ||||||||
Distributions from net realized gains | (0.47 | ) | — | |||||
Total distributions | (0.47 | ) | — | |||||
Paid in capital from redemption fees | (0.00 | )(3) | (0.00 | )(3) | ||||
Net asset value, end of period | $ | 13.37 | $ | 10.08 | ||||
Total return | 37.29 | % | 0.80 | %(4) | ||||
Supplemental data and ratios: | ||||||||
Net assets, end of period (millions) | $ | 0.7 | $ | 0.2 | ||||
Ratio of expenses to average net assets | 1.20 | % | 1.20 | %(5) | ||||
Ratio of expenses to average net assets (before waivers) | 2.51 | % | 3.90 | %(5) | ||||
Ratio of net investment loss to average net assets | (0.55 | )% | (0.41 | )%(5) | ||||
Ratio of net investment loss | ||||||||
to average net assets (before waivers) | (1.86 | )% | (3.11 | )%(5) | ||||
Portfolio turnover rate(6) | 61.0 | % | 69.4 | %(4) |
(1) | Inception was close of business on April 15, 2016. |
(2) | Calculated using average shares outstanding during the period. |
(3) | Amount is less than $0.005. |
(4) | Not annualized. |
(5) | Annualized. |
(6) | Portfolio turnover is calculated on the basis of the Fund as a whole without distinguishing between the classes of shares issued. |
The accompanying notes are an integral part of these financial statements.
Page 66
Notes to the Financial Statements
December 31, 2017
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 MidCap Fund, the Baird Small/Mid Cap Value Fund, the Baird SmallCap Value Fund, the Chautauqua International Growth Fund and the Chautauqua Global Growth Fund (each a “Fund” and collectively the “Funds”), five of the fourteen 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 Funds are investment companies and therefore follow the investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946 Financial Services – Investment Companies.
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. The Chautauqua International Growth Fund and the Chautauqua Global Growth Fund commenced with the sale of both Institutional and Investor Class Shares on April 18, 2016. 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 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 capital appreciation through investments in equity securities of small- to mid-capitalization companies.
The Baird SmallCap Value Fund seeks long-term capital appreciation through investments in equity securities of small-capitalization companies.
The Chautauqua International Growth Fund seeks to provide long-term capital appreciation through investment in equity securities of both U.S. and non-U.S. companies with medium to large market capitalization.
The Chautauqua Global Growth Fund seeks to provide long-term capital appreciation through investment in equity securities of both U.S. and non-U.S. companies with medium to large market capitalization.
The beneficial ownership, either directly or indirectly, of more than 25% of the voting securities of a fund creates a presumption of control of the fund, under Section 2(a)(9) of the 1940 Act. On December 31, 2017, shareholders affiliated with the Advisor held 4% of the Institutional Class shares of the Baird MidCap Fund, 62% of the Institutional Class shares of the Baird Small/Mid Cap Value Fund, 55% of the Institutional Class shares of the Baird SmallCap Value Fund, 17% of the Institutional Class shares of the Chautauqua International Growth Fund, and 52% of the Institutional Class shares of the Chautauqua Global Growth 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 (“GAAP”).
a) | Investment Valuation – Section 2(a)(41) of the 1940 Act, together with the rules and interpretations of the Securities Exchange Commission (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 (the “Board”) |
Page 67
Notes to the Financial Statements
December 31, 2017
2. | Significant Accounting Policies (cont.) |
of the Corporation must value the securities at “fair value determined in good faith.” The Board has delegated such responsibility to the Advisor pursuant to pricing policies and procedures that the Board has adopted and regularly reviews. In general, the “fair value” of a security means the price that would be received to sell a security in an orderly transaction between market participants at the measurement date. | |
The Funds determine the fair value of their investments and compute their net asset value per share as of the close of regular trading of the New York Stock Exchange (4:00 p.m. EST). | |
Consistent with Section 2(a)(41) of the 1940 Act, the Funds price their securities as follows: common stocks that are listed on a securities exchange (other than NASDAQ) are valued at the last quoted sale price. Securities traded on NASDAQ are valued at the NASDAQ Official Closing Price. Price information on listed stocks is taken from the exchange where the security is primarily traded. Securities that were not traded on the valuation date, as well as stocks that are not listed on an exchange, including NASDAQ, are valued at the average of the current bid and ask 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 fair value of the security, the security is priced at fair value as described below. Investments in mutual funds, including money market funds, are valued at their stated net asset value (“NAV”). 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, under certain circumstances, use alternative valuation methodologies, or it 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. | |
The Chautauqua International Growth and Chautauqua Global Growth Funds have retained an independent fair value pricing service to assist in valuing foreign securities in order to adjust for possible changes in value that may occur between the close of the foreign exchange and the time at which the Funds calculate their NAVs. The fair value pricing service uses statistical data based on historical performance of securities and markets, and other data in developing factors used to estimate fair value for that day. | |
b) | Foreign Securities – For purposes of these financial statements, 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 |
Page 68
Notes to the Financial Statements
December 31, 2017
2. | Significant Accounting Policies (cont.) |
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. | |
c) | Foreign Currency Translation – Portfolio securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollar amounts at date of valuation. Purchases and sales of portfolio securities and income items denominated in foreign currencies are translated into U.S. dollar amounts on the respective dates of such transactions. When a Fund purchases or sells a foreign security, it will customarily enter into a foreign exchange contract to minimize foreign exchange risk from the trade date to the settlement date of such transaction. The Funds do not isolate the portion of the results of operations resulting from changes in foreign exchange rates on investments from the fluctuations arising from changes in market prices of securities held. Such fluctuations are included with the net realized and unrealized gain or loss from investments. Net realized gain (loss) on investments and foreign currency translations include those gains and losses arising from the sale of foreign currencies, currency gains or losses realized between the trade and settlement dates on securities transactions, the differences between the amounts of dividends, and foreign withholding taxes recorded on a Fund’s books, and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized appreciation (depreciation) on investments includes changes in the value of assets and liabilities resulting from exchange rates. |
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, 2017, or for any other tax years which are open for exam. As of December 31, 2017, open tax years include the tax years ended December 31, 2014 through 2017. 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. | |
e) | Shareholder Transactions and Distributions – Shareholder transactions are recorded on trade date. 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. All distributions to shareholders are recorded on the ex-dividend date. The book basis character of distributions may differ from their ultimate characterization for Federal income tax purposes. GAAP requires that permanent financial reporting and tax differences be reclassified in the capital accounts. |
f) | 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. |
g) | Use of Estimates – The preparation of financial statements in conformity with GAAP 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. |
Page 69
Notes to the Financial Statements
December 31, 2017
2. | Significant Accounting Policies (cont.) |
h) | Securities Transactions and Investment Income – Net realized gains and losses on sales of securities are computed using the identified cost basis. For financial reporting purposes, investment transactions are recorded on the trade date. Dividend income is recognized on the ex-dividend date net of withholding taxes, if any, and interest income is recognized on an accrual basis. Withholding taxes on foreign dividends have been accounted for in accordance with the Funds’ interpretation of applicable tax laws of the countries in which they invest. |
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. |
3. | Capital Share Transactions |
The following table summarizes the capital share transactions of each Fund for the past two fiscal periods:
Baird MidCap Fund
Year Ended | Year Ended | |||||||||||||||
December 31, 2017 | December 31, 2016 | |||||||||||||||
Institutional Class Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 18,813,638 | $ | 334,054,013 | 26,778,042 | $ | 402,275,627 | ||||||||||
Shares issued to shareholder | ||||||||||||||||
in reinvestment of distributions | 2,234,984 | 42,822,289 | — | — | ||||||||||||
Shares redeemed | (24,239,199 | ) | (440,804,306 | ) | (25,858,100 | ) | (391,750,978 | ) | ||||||||
Net increase/decrease | (3,190,577 | ) | $ | (63,928,004 | ) | 919,942 | $ | 10,524,649 | ||||||||
Shares Outstanding: | ||||||||||||||||
Beginning of year | 69,960,995 | 69,041,053 | ||||||||||||||
End of year | 66,770,418 | 69,960,995 | ||||||||||||||
Year Ended | Year Ended | |||||||||||||||
December 31, 2017 | December 31, 2016 | |||||||||||||||
Investor Class Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 894,614 | $ | 15,297,009 | 2,530,062 | $ | 37,367,882 | ||||||||||
Shares issued to shareholder | ||||||||||||||||
in reinvestment of distributions | 280,580 | 5,114,970 | — | — | ||||||||||||
Shares redeemed | (4,149,619 | ) | (70,262,281 | ) | (6,261,572 | ) | (88,154,671 | ) | ||||||||
Net decrease | (2,974,425 | ) | $ | (49,850,302 | ) | (3,731,510 | ) | $ | (50,786,789 | ) | ||||||
Shares Outstanding: | ||||||||||||||||
Beginning of year | 9,085,850 | 12,817,360 | ||||||||||||||
End of year | 6,111,425 | 9,085,850 |
Page 70
Notes to the Financial Statements
December 31, 2017
3. | Capital Share Transactions (cont.) |
Baird Small/Mid Cap Value Fund
Year Ended | Year Ended | |||||||||||||||
December 31, 2017 | December 31, 2016 | |||||||||||||||
Institutional Class Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 603,626 | $ | 6,750,704 | 703,038 | $ | 6,800,150 | ||||||||||
Shares issued to shareholder | ||||||||||||||||
in reinvestment of distributions | 6,045 | 75,148 | 7,655 | 79,070 | ||||||||||||
Shares redeemed | (410,676 | ) | (4,379,094 | ) | (48,230 | ) | (481,696 | ) | ||||||||
Net increase | 198,995 | $ | 2,446,758 | 662,463 | $ | 6,397,524 | ||||||||||
Shares Outstanding: | ||||||||||||||||
Beginning of year | 1,157,769 | 495,306 | ||||||||||||||
End of year | 1,356,764 | 1,157,769 | ||||||||||||||
Year Ended | Year Ended | |||||||||||||||
December 31, 2017 | December 31, 2016 | |||||||||||||||
Investor Class Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 4,201 | $ | 47,991 | 3,475 | $ | 33,547 | ||||||||||
Shares issued to shareholder | ||||||||||||||||
in reinvestment of distributions | 22 | 275 | 25 | 259 | ||||||||||||
Shares redeemed | (2,457 | ) | (26,837 | ) | (327 | ) | (3,304 | ) | ||||||||
Net increase | 1,766 | $ | 21,429 | 3,173 | $ | 30,502 | ||||||||||
Shares Outstanding: | ||||||||||||||||
Beginning of year | 5,176 | 2,003 | ||||||||||||||
End of year | 6,942 | 5,176 | ||||||||||||||
Baird SmallCap Value Fund | ||||||||||||||||
Year Ended | Year Ended | |||||||||||||||
December 31, 2017 | December 31, 2016 | |||||||||||||||
Institutional Class Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 264,962 | $ | 4,207,425 | 343,811 | $ | 4,541,684 | ||||||||||
Shares issued to shareholder | ||||||||||||||||
in reinvestment of distributions | 49,706 | 844,993 | 18,682 | 278,550 | ||||||||||||
Shares redeemed | (238,354 | ) | (3,638,071 | ) | (234,905 | ) | (3,089,099 | ) | ||||||||
Net increase | 76,314 | $ | 1,414,347 | 127,588 | $ | 1,731,135 | ||||||||||
Shares Outstanding: | ||||||||||||||||
Beginning of year | 1,903,267 | 1,775,679 | ||||||||||||||
End of year | 1,979,581 | 1,903,267 |
Page 71
Notes to the Financial Statements
December 31, 2017
3. | Capital Share Transactions (cont.) |
Baird SmallCap Value Fund (cont.)
Year Ended | Year Ended | |||||||||||||||
December 31, 2017 | December 31, 2016 | |||||||||||||||
Investor Class Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 9,963 | $ | 151,216 | 35,989 | $ | 494,202 | ||||||||||
Shares issued to shareholder | ||||||||||||||||
in reinvestment of distributions | 2,005 | 34,043 | 594 | 8,842 | ||||||||||||
Shares redeemed | (36,704 | ) | (565,404 | ) | (12,322 | ) | (168,347 | ) | ||||||||
Net increase/decrease | (24,736 | ) | $ | (380,145 | ) | 24,261 | $ | 334,697 | ||||||||
Shares Outstanding: | ||||||||||||||||
Beginning of year | 177,163 | 152,902 | ||||||||||||||
End of year | 152,427 | 177,163 | ||||||||||||||
Chautauqua International Growth Fund | ||||||||||||||||
Year Ended | Period Ended | |||||||||||||||
December 31, 2017 | December 31, 2016^ | |||||||||||||||
Institutional Class Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold(1) | 4,943,182 | $ | 53,609,498 | 1,592,858 | $ | 15,788,874 | ||||||||||
Shares issued to shareholder | ||||||||||||||||
in reinvestment of distributions | 180,405 | 2,258,668 | — | — | ||||||||||||
Shares redeemed | (783,790 | ) | (9,147,273 | ) | (41,185 | ) | (410,212 | ) | ||||||||
Redemption fees | — | 10,830 | — | 1,548 | ||||||||||||
Net increase | 4,339,797 | $ | 46,731,723 | 1,551,673 | $ | 15,380,210 | ||||||||||
Shares Outstanding: | ||||||||||||||||
Beginning of period | 1,551,673 | — | ||||||||||||||
End of period | 5,891,470 | 1,551,673 |
(1) | In the first quarter of 2017, the Chautauqua International Growth Fund satisfied a purchase in kind request made by a large shareholder by transferring cash and securities into the Fund in the amount of $23,394,877 in exchange for 2,269,144 shares of the Fund. The transfer was effected in accordance with policies and procedures approved by the Board. |
Year Ended | Period Ended | |||||||||||||||
December 31, 2017 | December 31, 2016^ | |||||||||||||||
Investor Class Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 96,790 | $ | 1,117,480 | 35,224 | $ | 357,174 | ||||||||||
Shares issued to shareholder | ||||||||||||||||
in reinvestment of distributions | 3,874 | 48,395 | — | — | ||||||||||||
Shares redeemed | (4,458 | ) | (48,607 | ) | (2,676 | ) | (26,111 | ) | ||||||||
Redemption fees | 454 | 167 | ||||||||||||||
Net increase | 96,206 | $ | 1,117,722 | 32,548 | $ | 331,230 | ||||||||||
Shares Outstanding: | ||||||||||||||||
Beginning of period | 32,548 | — | ||||||||||||||
End of period | 128,754 | 32,548 |
^ | Inception was the close of business on April 15, 2016. |
Page 72
Notes to the Financial Statements
December 31, 2017
3. | Capital Share Transactions (cont.) |
Chautauqua Global Growth Fund
Year Ended | Period Ended | |||||||||||||||
December 31, 2017 | December 31, 2016^ | |||||||||||||||
Institutional Class Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 1,014,140 | $ | 12,886,555 | 867,491 | $ | 8,702,754 | ||||||||||
Shares issued to shareholder | ||||||||||||||||
in reinvestment of distributions | 41,625 | 560,274 | — | — | ||||||||||||
Shares redeemed | (82,794 | ) | (1,020,496 | ) | (109,796 | ) | (1,104,703 | ) | ||||||||
Redemption fees | — | 965 | — | 515 | ||||||||||||
Net increase | 972,971 | $ | 12,427,298 | 757,695 | $ | 7,598,566 | ||||||||||
Shares Outstanding: | ||||||||||||||||
Beginning of period | 757,695 | — | ||||||||||||||
End of period | 1,730,666 | 757,695 | ||||||||||||||
Year Ended | Period Ended | |||||||||||||||
December 31, 2017 | December 31, 2016^ | |||||||||||||||
Investor Class Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 32,048 | $ | 421,597 | 21,505 | $ | 214,601 | ||||||||||
Shares issued to shareholder | ||||||||||||||||
in reinvestment of distributions | 1,663 | 22,310 | — | — | ||||||||||||
Shares redeemed | (3,723 | ) | (44,989 | ) | (1,516 | ) | (15,262 | ) | ||||||||
Redemption fees | — | — | — | — | ||||||||||||
Net increase | 29,988 | $ | 398,918 | 19,989 | $ | 199,339 | ||||||||||
Shares Outstanding: | ||||||||||||||||
Beginning of period | 19,989 | — | ||||||||||||||
End of period | 49,977 | 19,989 |
^ | Inception was the close of business on April 15, 2016. |
4. | Investment Transactions and Income Tax Information |
During the year ended December 31, 2017, purchases and sales of investment securities (excluding short-term investments) were as follows:
Baird | Baird | Baird | Chautauqua | Chautauqua | ||||||||||||||||
MidCap | Small/Mid Cap | SmallCap | International | Global | ||||||||||||||||
Fund | Value Fund | Value Fund | Growth Fund | Growth Fund | ||||||||||||||||
Purchases: | $ | 586,374,384 | $ | 8,263,174 | $ | 9,191,162 | $ | 54,227,156 | $ | 15,090,404 | ||||||||||
Sales: | $ | 766,367,178 | $ | 7,883,920 | $ | 9,922,116 | $ | 36,460,744 | $ | 7,639,505 |
The Funds did not purchase or sell U.S. Government Securities during the year ended December 31, 2017.
Page 73
Notes to the Financial Statements
December 31, 2017
4. | Investment Transactions and Income Tax Information (cont.) |
At December 31, 2017, accumulated earnings/losses on a tax basis were as follows:
Baird | Baird | Baird | ||||||||||
MidCap | Small/Mid Cap | SmallCap | ||||||||||
Fund | Value Fund | Value Fund | ||||||||||
Cost of Investments | $ | 1,012,274,915 | $ | 12,142,653 | $ | 25,131,162 | ||||||
Gross unrealized appreciation | 388,650,149 | 3,332,895 | 10,190,654 | |||||||||
Gross unrealized depreciation | (15,035,989 | ) | (258,026 | ) | (650,498 | ) | ||||||
Net unrealized appreciation | $ | 373,614,160 | $ | 3,074,869 | $ | 9,540,156 | ||||||
Undistributed ordinary income | — | — | — | |||||||||
Undistributed long-term capital gain | 13,747,560 | 6,978 | 777,852 | |||||||||
Total distributable earnings | $ | 13,747,560 | $ | 6,978 | $ | 777,852 | ||||||
Other accumulated gains (losses) | — | — | — | |||||||||
Total accumulated earnings | $ | 387,361,720 | $ | 3,081,847 | $ | 10,318,008 | ||||||
Chautauqua | Chautauqua | |||||||||||
International | Global | |||||||||||
Growth Fund | Growth Fund | |||||||||||
Cost of Investments | $ | 63,188,605 | $ | 17,490,144 | ||||||||
Gross unrealized appreciation | 12,442,708 | 3,255,314 | ||||||||||
Gross unrealized depreciation | (1,606,172 | ) | (460,604 | ) | ||||||||
Net unrealized appreciation | $ | 10,836,536 | $ | 2,794,710 | ||||||||
Undistributed ordinary income | 1,294,423 | 254,613 | ||||||||||
Undistributed long-term capital gain | 127,086 | 248,688 | ||||||||||
Total distributable earnings | $ | 1,421,509 | $ | 503,301 | ||||||||
Other accumulated gains (losses) | 646 | (1,540 | ) | |||||||||
Total accumulated earnings | $ | 12,258,691 | $ | 3,296,471 |
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 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, 2017, the following table shows the reclassifications made:
Page 74
Notes to the Financial Statements
December 31, 2017
4. | Investment Transactions and Income Tax Information (cont.) |
Accumulated | ||||||||||||
Undistributed Net | Undistributed Net | |||||||||||
Investment Income (Loss) | Realized Gain (Loss) | Paid In Capital | ||||||||||
Baird MidCap Fund | $ | 2,569,252 | $ | (6,095,028 | ) | $ | 3,525,776 | |||||
Baird Small/ Mid Cap Value Fund | (414 | ) | 414 | — | ||||||||
Baird SmallCap Value Fund | 1,116 | (1,116 | ) | — | ||||||||
Chautauqua International | ||||||||||||
Growth Fund | (27,470 | ) | 27,470 | — | ||||||||
Chautauqua Global Growth Fund | 41,867 | (41,867 | ) | — |
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, 2017, the Chautauqua Global Growth Fund elected to defer capital losses occurring between November 1, 2017 and December 31, 2017 in the amount of $228. For the year ended December 31, 2017, the Baird MidCap Fund, Baird Small/Mid Cap Value Fund, Baird SmallCap Value Fund, Chautauqua International Growth Fund and Chautauqua Global Growth Fund used short-term capital loss carryovers in the amount of $61,629,145, $439,022, $305,728, $111,476 and $15,500, respectively.
During the year ended December 31, 2017, the Funds paid the following distributions:
Ordinary Income Dividends | Long Term Capital Gains | |||||||
Baird MidCap Fund | $ | — | $ | 62,460,185 | ||||
Baird Small/Mid Cap Value Fund | 81,498 | 3,764 | ||||||
Baird SmallCap Value Fund | 181,120 | 841,810 | ||||||
Chautauqua International Growth Fund | 2,196,544 | 271,045 | ||||||
Chautauqua Global Growth Fund | 483,916 | 183,843 |
During the year ended December 31, 2016, the Funds paid the following distributions:
Ordinary Income Dividends | |||||
Baird Mid Cap Value Fund | $ | — | |||
Baird Small/Mid Cap Value Fund | 90,369 | ||||
Baird SmallCap Value Fund | 340,056 | ||||
Chautauqua International Growth Fund | — | ||||
Chautauqua Global Growth Fund | — |
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 0.75% for the Baird MidCap Fund, 0.80% for the Baird Small/Mid Cap Value Fund, 0.85% for the Baird SmallCap Value Fund, 0.80% for the Chautauqua International Growth Fund and 0.80% for the Chautauqua Global Growth Fund as applied to the respective Fund’s average daily net assets. Certain officers of the Advisor are also officers of the Funds.
For the year ended December 31, 2017, and through April 30, 2019, for the Baird MidCap Fund, Baird Small/Mid Cap Value Fund, Baird SmallCap Value Fund, Chautauqua International Growth Fund and Chautauqua Global Growth Fund, 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:
Page 75
Notes to the Financial Statements
December 31, 2017
5. | Investment Advisory and Other Agreements (cont.) |
Institutional Class Shares | Investor Class Shares | |
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% |
Chautauqua International Growth Fund | 0.95% | 1.20% |
Chautauqua Global Growth Fund | 0.95% | 1.20% |
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, | |||
2017 | 2016 | 2015 | |
Reimbursed/Absorbed Expenses Subject | |||
to be Recovered by Advisor Until: | 2020 | 2019 | 2018 |
Baird Small/MidCap Value Fund | $129,251 | $156,332 | $ 23,659* |
Baird SmallCap Value Fund | $110,672 | $116,311 | $131,370 |
Chautauqua International Growth Fund | $137,404 | $ 95,476 | N/A |
Chautauqua Global Growth Fund | $170,958 | $102,142 | N/A |
* Period from close of business on November 30, 2015 (inception date) through December 31, 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.
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 year ended December 31, 2017 for the Funds.
6. | Securities Lending |
During the year ended December 31, 2017, each Fund was permitted to lend up to one-third of its total assets (including such loans) to borrowers under terms of a securities lending program administered by the Funds’ custodian and an affiliate of USBFS, the Funds’ transfer agent and administrator. A securities lending agreement requires that loans be collateralized at all times in an amount equal to at least 102% of the market value of any loaned securities (105% for foreign securities) at the time of the loan, plus accrued interest.
Participating Funds receive compensation in the form of fees and earned 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. Participating Funds receive cash as collateral in return for securities lent as part of the securities lending program. The collateral gets invested in a securities lending trust. Interest income earned by participating Funds on investments of cash collateral received from borrowers for the securities loaned to them (“securities lending income”) would be reflected in the participating Funds’ statements of operations.
As of and for the year ended December 31, 2017, the Funds did not participate in securities lending activities, although they may do so again in the future.
Page 76
Notes to the Financial Statements
December 31, 2017
7. | Line of Credit |
The Corporation maintains an uncommitted line of credit (“LOC”) with U.S. Bank to provide the Funds a temporary liquidity source to meet unanticipated redemptions. The LOC is unsecured for any period during which U.S. Bank is an affiliate of the Funds. At all other times, the LOC is secured by the assets 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 $500,000,000 of total borrowings for all Funds, whichever is less. U.S. Bank charges interest at U.S. Bank’s Prime Rate less 2%. The LOC matures on May 27, 2018, unless renewed. The Funds have authorized U.S. Bank to charge any of the accounts of the borrowing Fund subject to the agreement for any missed payments. For the year ended December 31, 2017, the Chautauqua International Growth Fund incurred $22 in interest charges, on the average daily loan balance and weighted average borrowing rate of $3,997 and 2.13%, respectively. The largest borrowing by the Fund for the year occurred on August 11, 2017 in the amount of $535,000. As of December 31, 2017, the Prime Rate was 4.50%. The Baird MidCap Fund, Baird Small/Mid Cap Value Fund, Baird SmallCap Value Fund and Chautauqua Global Growth Fund did not borrow from the LOC during the year.
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 MidCap Fund, Baird Small/Mid Cap Value Fund, Baird SmallCap Value Fund, Chautauqua International Growth Fund and Chautauqua Global Growth Fund incurred $298,392, $161, $6,426, $2,186 and $796, respectively, in fees pursuant to the Plan during the year ended December 31, 2017.
9. | Redemption Fees |
A redemption fee of 2.00% will be assessed on Institutional and Investor Class shares of the Chautauqua International Growth Fund and Chautauqua Global Growth Fund if redeemed (including in connection with an exchange) 90 days or less from their date of purchase, determined on a first-in, first-out (“FIFO”) basis. The redemption fee is paid directly to the Funds and is designed to offset brokerage commissions, market impact and other costs associated with fluctuations in Fund asset levels and cash flow caused by short-term shareholder trading. For the year ended December 31, 2017, the Chautauqua International Growth Fund and Chautauqua Global Growth Fund charged redemption fees of $11,284 and $965, respectively. The Baird MidCap Fund, Baird Small/Mid Cap Value Fund and Baird SmallCap Value Fund do not charge redemption fees.
10. | Subsequent Event |
Following G. Frederick Kasten, Jr.’s retirement from the Board on December 31, 2017, David J. Lubar was appointed as a member of the Board effective January 1, 2018 to fill the vacancy. Additionally, the Board appointed Marlyn J. Spear and Frederick P. Stratton, Jr., both Independent Directors, as Chair of the Board and Chair of the Nominating Committee, respectively, effective January 1, 2018. The Board also appointed John W. Feldt, an Independent Director, to serve as Chair of the Audit Committee in place of Ms. Spear following completion of the 2017 audit, effective February 28, 2018.
Page 77
Report of Independent Registered Public
Accounting Firm
To the Shareholders and Board of Directors of
Baird Funds, Inc.
Opinion on the Financial Statements
We have audited the accompanying statements of assets and liabilities, including the schedules of investments, of Baird MidCap Fund, Baird Small/Mid Cap Value Fund, Baird SmallCap Value Fund, Chautauqua International Growth Fund, and Chautauqua Global Growth Fund (the “Funds”), each a series of Baird Funds, Inc., as of December 31, 2017, and the related statements of operations and changes in net assets, including the related notes, and the financial highlights for the year then ended (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds as of December 31, 2017, the results of their operations, the changes in their net assets, and the financial highlights for the year then ended, in conformity with accounting principles generally accepted in the United States of America.
The Funds’ financial statements and financial highlights for the periods ended December 31, 2016 and prior, were audited by other auditors whose report dated February 27, 2017, expressed an unqualified opinion on those financial statements and financial highlights.
Basis for Opinion
These financial statements are the responsibility of the Funds’ management. Our responsibility is to express an opinion on the Funds’ financial statements based on our audit. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audit in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
Our audit includes performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures include examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements and confirmation of securities owned as of December 31, 2017, by correspondence with the custodian and brokers. Our audit also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audit provides a reasonable basis for our opinion.
We have served as the Funds’ auditor since 2017.
COHEN & COMPANY, LTD.
Milwaukee, Wisconsin
March 1, 2018
Page 78
Directors & Officers
As of January 1, 2018 (Unaudited)
Independent Directors
John W. Feldt
Independent Director
Term of Office: Indefinite
Length of Time Served: Since September 2000
Age: 75
c/o Robert W. Baird & Co. Incorporated
777 East Wisconsin Avenue
Milwaukee, WI 53202
Principal Occupation(s) During the Past 5 Years: Retired.
Number of Portfolios in Complex Overseen by Director: 14
Other Directorships Held by Director: Director of Thompson Plumb Funds, Inc., a mutual fund complex (3 portfolios)
David J. Lubar
Independent Director
Term of Office: Indefinite
Length of Time Served: Since January 2018
Age: 63
c/o Lubar & Co.
833 E. Michigan Street,
Suite 1500
Milwaukee, WI 53202
Principal Occupation(s) During the Past 5 Years: President and CEO, Lubar & Co., a private investment firm.
Number of Portfolios in Complex Overseen by Director: 14
Other Directorships Held by Director: None.
Frederick P. Stratton, Jr.
Independent Director
Term of Office: Indefinite
Length of Time Served: Since May 2004
Age: 78
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.
Number of Portfolios in Complex Overseen by Director: 14
Other Directorships Held by Director: Director of Weyco Group, Inc., a men’s footwear distributor; Director of Wisconsin Energy Corporation and its subsidiaries, Wisconsin Electric Power Company and Wisconsin Gas LLC (1987-2012).
Marlyn J. Spear, CFA
Independent Director
Term of Office: Indefinite
Length of Time Served: Since January 2008
Age: 64
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, (July 1989-February 2017)
Number of Portfolios in Complex Overseen by Director: 14
Other Directorships Held by Director: Management Trustee of AFL-CIO Housing Investment Trust, a mutual fund complex (1 portfolio), since 1995.
Page 79
Directors & Officers
As of January 1, 2018 (Unaudited) (Continued)
Interested Directors and Officers
Cory L. Nettles*
Interested Director
Term of Office: Indefinite
Length of Time Served: Since January 2008
Age: 47
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 (January 2005-December 2016)
Number of Portfolios in Complex Overseen by Director: 14
Other Directorships Held by Director: Director of Weyco Group, Inc., a men’s footwear distributor, since 2007; Director of Associated Banc-Corp,
since 2013
Mary Ellen Stanek
President
Term of Office: Re-elected by Board annually
Length of Time Served: Since September 2000
Age: 61
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: 64
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: 45
777 East Wisconsin Ave
Milwaukee, WI 53202
Chief Compliance Officer, the Advisor, since March 2014; Anti-Money Laundering Compliance Officer since May 2015; 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).
Heidi L. Schneider
Treasurer
Term of Office: Re-elected by Board annually
Length of Time Served: Since August 2017
Age: 46
777 East Wisconsin Avenue
Milwaukee, WI 53202
Principal Occupation(s) During the Past 5 Years: Managing Director, the Advisor since December 2013; Senior Business Analyst, Stein’s Garden & Home, a family-owned garden center and home goods retailer (July 2012-December 2013); Senior Vice President, the Advisor (September 2007-June 2012); Controller, the Advisor (April 1997-September 2007).
Page 80
Directors & Officers
As of January 1, 2018 (Unaudited) (Continued)
Interested Directors and Officers
Charles M. Weber
Secretary
Term of Office: Re-elected by Board annually
Length of Time Served: Since September 2005
Age: 54
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; 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: 54
777 East Wisconsin Avenue
Milwaukee, WI 53202
Principal Occupation(s) During the Past 5 Years:
Senior Vice President, the Advisor, since March 2012; 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: 41
777 East Wisconsin Avenue
Milwaukee, WI 53202
Principal Occupation(s) During the Past 5 Years: Senior Business Analyst, the Advisor, since September 2017; Director of Finance Services, the Advisor (August 2015-August 2017); Director of Reporting and Analysis, Capital Markets Finance, the Advisor (February 2013-August 2015); Senior Vice President, the Advisor (January 2011-January 2013); 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: 43
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)
* | Mr. Nettles is considered an “interested person” of the Corporation (as defined in the 1940 Act) because of his previous 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. |
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 81
Baird Funds, Inc.
Disclosure Regarding the Board of Directors’ Approval of the Investment Advisory Agreement for Baird Equity Funds (Unaudited)
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 17 and August 24, 2017 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 MidCap, Baird Small/Mid Cap Value, Baird SmallCap Value, Chautauqua International Growth and Chautauqua Global Growth Funds (the “Funds”). The Board, including the Independent Directors, approved the investment advisory agreement through a process that concluded at the August 24, 2017 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 a request from the Board, including the Independent Directors, from the Advisor (including the Advisor’s Form ADV Part 1, brochures and brochure supplements, annual report and financial information), a profitability analysis, comparative information about the Funds’ performance for periods ended June 30, 2017, management fees and expense ratios, composite performance of similar accounts managed by the Advisor, trading and commission information and other pertinent information. The Advisor had also provided Morningstar data comparing certain Funds’ fees and expenses to peer funds identified by the Advisor.
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 17, 2017 special meeting and discussed various questions and information with the President of the Funds at the August 17, 2017 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 Advisor’s overall reputation and 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 Funds and noted that the Advisor has added resources in support of the Funds, including investments in personnel, technology, research and trading. 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 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. The Board also considered the
Page 82
Baird Funds, Inc.
Disclosure Regarding the Board of Directors’ Approval of the Investment Advisory Agreement for Baird Equity Funds (Unaudited) (Continued)
strength of the Advisor’s compliance department, including the Funds’ chief compliance officer, as well as 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 respective investment advisory agreement.
Investment Performance of the Advisor and the Funds
In considering the investment performance of each of the Funds, the Board reviewed information as of June 30, 2017 regarding the performance of each class of the Fund for applicable one-year, three-year, five-year, ten-year and since-inception periods in comparison to its benchmark index and its peer groups as determined by Lipper. The Board also considered composite investment performance of Baird Equity Asset Management with respect to accounts managed by the Advisor that are comparable to the Funds.
The Board noted that the performance of the Institutional Class of the MidCap Fund exceeded the benchmark and Lipper peer group average for the one-year, ten-year and since-inception periods but trailed the benchmark index and peer group average for the three-year and five-year periods. The Board noted that the performance of the Institutional Class of the SmallCap Value Fund and Small/Mid Cap Value Fund trailed the Lipper peer group average and benchmark index for all applicable periods. The Board considered the reasons for the Funds’ underperformance as discussed by the Advisor.
The Board considered the available performance of the Chautauqua Funds since they were launched in 2016, noting that the Institutional Class of the International Growth Fund trailed the benchmark and Lipper peer group average for the one-year and since-inception periods and the Institutional Class of the Global Growth Fund exceeded the benchmark index and Lipper peer group average for the one-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. 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.
Fee Information, 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 MidCap Fund was slightly above the Morningstar average, the advisory fee for the Small/Mid Cap Value Fund was in line with the Morningstar average, the advisory fee for the SmallCap Value Fund was slightly above the Morningstar average, the advisory fee for the International Growth Fund was in line with the Morningstar average and the advisory fee for the Global Growth Fund was above the Morningstar average. The Board also reviewed and considered management fees charged by the Advisor to other investment advisory clients and noted that the advisory fee paid by the MidCap Fund was 10 basis points (or 0.10%) less than what the Advisor charges on the first $10 million of a separately managed account. With respect to the Small/Mid Cap Value and SmallCap Value Funds, the Fund’s 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. With respect to the International Growth and Global Growth Funds, the Fund’s advisory fee was 10 basis points (or 0.10%) less than what the Advisor charges on the first $50 million of a separately managed account.
The Board considered 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 operational support, valuation services, oversight of the Funds’ other service providers, director support, preparation of regulatory filings, implementation of the Funds’ compliance program, including employment of the Funds’ Chief Compliance Officer and other compliance staff, and various other services. The Board noted that the Advisor maintains
Page 83
Baird Funds, Inc.
Disclosure Regarding the Board of Directors’ Approval of the Investment Advisory Agreement for Baird Equity Funds (Unaudited) (Continued)
subadvisory arrangements with other unaffiliated equity mutual funds as well as two private limited partnerships managed in strategies similar to the International Growth Fund and the Global Growth Fund, but did not consider the subadvisory fee to be a material factor given the difference in services provided by the Advisor.
The Board also examined the total expense ratio of each Fund, after fee waivers and expense reimbursements by the Advisor, relative to all other mutual funds in its Morningstar category. The Board noted that the total expense ratio for each Fund was in line with the Morningstar category average. With respect to the MidCap Fund, the total expense ratio has gone down due to the growth in Fund assets.
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 noted that the Advisor has waived fees for each of the Funds under the expense cap agreement, other than the MidCap Fund (due to its expense ratio being reduced below the expense cap).
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, finance 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 reasonable 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 and the profits realized by the Advisor from its relationship with the Funds 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. The Board recognized that the Advisor has committed to waive fees and/or reimburse expenses for the Funds pursuant to the expense cap agreement. Other than the MidCap Fund, the Board did not consider economies of scale to be a material factor due to the current asset size of each Fund. With respect to the MidCap Fund, the Fund has shared economies of scale with shareholders by virtue of the reduced expense ratio. In addition, the Board noted that the Fund compares favorably with other funds in its Morningstar category in terms of expenses. The Directors concluded that the absence of breakpoints in the management fee for the MidCap Fund is reasonable at this time.
The Board 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. The Directors considered the Advisor’s commitment to continue to evaluate breakpoints with respect to the MidCap Fund. 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 noted that the Advisor derives ancillary benefits from its association with the Funds 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 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 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 continuation of the investment advisory agreement was in the best interest of each Fund and its shareholders.
Page 84
Additional Information (Unaudited)
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, 2017, 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 Small/Mid Cap Value Fund | 100% | |
Baird SmallCap Value Fund | 100% | |
Chautauqua International Growth Fund | 29.38% | |
Chautauqua Global Growth Fund | 16.53% |
For corporate shareholders, the percent of ordinary income distributions qualifying for the corporate dividends received deduction for the fiscal year ended December 31, 2017 was as follows:
Baird Small/Mid Cap Value Fund | 100% | |
Baird SmallCap Value Fund | 100% | |
Chautauqua International Growth Fund | 1.11% | |
Chautauqua Global Growth Fund | 1.94% |
Other Tax Information
For the fiscal year ended December 31, 2017, 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:
Chautauqua International Growth Fund | 94.42% | |
Chautauqua Global Growth Fund | 100.00% |
Page 85
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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
John W. Feldt
David J. Lubar
Cory L. Nettles
Marlyn J. Spear (Chair)
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.
833 East Michigan Street, Suite 1800
Milwaukee, WI 53202
Independent Registered Public
Accounting Firm
Cohen & Company, Ltd.
342 North Water Street, Suite 830
Milwaukee, WI 53202
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 amended its code of ethics during the period covered by this report. The amendments added ministerial changes to clarify that covered persons are required to be accountable for adherence to the code, to adhere to a high standard of business ethics and to be sensitive to situations that may give rise to actual as well as apparent conflicts of interest. The amendments also include additional examples of conflicts of interest that should be discussed with the ethics compliance officer. 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 Cohen & Company, Ltd. (“Cohen”), the Registrant’s principal accountant, beginning with the period covered by this report and Grant Thornton LLP (“GT”) for the fiscal year ended December 31 2016. The aggregate fees billed for professional services by Cohen and GT during the last two fiscal years were as follows:
FYE 12/31/2017 | FYE 12/31/2016 | |
Audit Fees | $190,000 | $183,568 |
Audit-Related Fees | ||
Tax Fees All Other Fees | $58,500 | $63,536 |
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 Cohen’s and 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 Cohen to the Registrant during fiscal 2017. During the past two fiscal years, the Registrant did not receive any non-audit services from Cohen or 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 Cohen’s and GT’s hours spent on auditing the Registrant’s financial statements were attributed to work performed by full-time permanent employees of Cohen and GT.
During the fiscal year ended December 31, 2016 GT served as the auditor to Robert W. Baird & Co. Incorporated (“RWB”), the Registrant’s investment adviser, and had rendered non-audit services to RWB. The non-audit services that GT provided to RWB in 2016 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 RWB $341,694 in 2016 for such non-audit services. None of the non-audit services provided by GT to RWB directly related to the operations or financial reporting of the Registrant. During the fiscal year ended December 31, 2016, GT had 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 was compatible with GT’s independence.
Item 5. Audit Committee of Listed Registrants.
Not applicable to registrants who are not listed issuers (as defined in 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 Baird MidCap Fund, Baird Small/Mid Cap Value Fund, Baird SmallCap Value Fund, Chautauqua International Growth Fund and Chautauqua Global Growth 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 Fund, 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 Fund, 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, 2017 | ||||||||||||
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
LONG-TERM INVESTMENTS | ||||||||||||
U.S. Treasury Securities | ||||||||||||
U.S. Treasury Bonds: | ||||||||||||
1.000%, 05/15/2018 | $ | 58,200,000 | $ | 58,118,156 | ||||||||
1.250%, 12/15/2018 | 57,000,000 | 56,701,641 | ||||||||||
114,819,797 | 21.3 | % | ||||||||||
Corporate Bonds | ||||||||||||
Industrials | ||||||||||||
Abbott Laboratories, | ||||||||||||
2.000%, 09/15/2018 | 2,217,000 | 2,216,518 | ||||||||||
AbbVie, Inc., | ||||||||||||
1.800%, 05/14/2018 | 3,500,000 | 3,498,287 | ||||||||||
Actavis Funding SCS: | ||||||||||||
2.350%, 03/12/2018(1) | 2,001,000 | 2,002,585 | ||||||||||
2.804%, 03/12/2020 (3 Month LIBOR USD + 1.260%)(1)(3) | 1,500,000 | 1,521,716 | ||||||||||
Alimentation Couche-Tard, Inc., | ||||||||||||
2.074%, 12/13/2019 (3 Month LIBOR USD + 0.500%)(1)(2)(3) | 3,500,000 | 3,502,131 | ||||||||||
Allergan, Inc., | ||||||||||||
1.350%, 03/15/2018 | 650,000 | 649,178 | ||||||||||
American Honda Finance Corp., | ||||||||||||
2.271%, 02/22/2019 (3 Month LIBOR USD + 0.830%)(3) | 200,000 | 201,549 | ||||||||||
Anheuser-Busch InBev Finance, Inc., | ||||||||||||
1.777%, 02/01/2019 (3 Month LIBOR USD + 0.400%)(3) | 1,165,000 | 1,168,211 | ||||||||||
AT&T, Inc.: | ||||||||||||
1.750%, 01/15/2018 | 675,000 | 674,809 | ||||||||||
5.500%, 02/01/2018 | 765,000 | 767,191 | ||||||||||
5.600%, 05/15/2018 | 1,000,000 | 1,013,565 | ||||||||||
2.372%, 11/27/2018 (3 Month LIBOR USD + 0.910%)(3) | 400,000 | 402,389 | ||||||||||
2.375%, 11/27/2018 | 2,000,000 | 2,006,130 | ||||||||||
2.623%, 06/30/2020 (3 Month LIBOR USD + 0.930%)(3) | 1,000,000 | 1,011,934 | ||||||||||
Baxalta, Inc., | ||||||||||||
2.438%, 06/22/2018 (3 Month LIBOR USD + 0.780%)(3) | 1,550,000 | 1,553,253 | ||||||||||
British Telecommunications PLC, | ||||||||||||
5.950%, 01/15/2018(1) | 1,280,000 | 1,281,713 | ||||||||||
Canadian Natural Resources Ltd., | ||||||||||||
5.900%, 02/01/2018(1) | 1,000,000 | 1,003,467 | ||||||||||
Chevron Phillips Chemical Co. LLC / Chevron Phillips Chemical Co. LP, | ||||||||||||
2.127%, 05/01/2020 (3 Month LIBOR USD + 0.750%)(2)(3) | 1,500,000 | 1,513,576 | ||||||||||
Columbia Pipeline Group, Inc., | ||||||||||||
2.450%, 06/01/2018 | 2,088,000 | 2,089,234 | ||||||||||
CVS Health Corp.: | ||||||||||||
1.900%, 07/20/2018 | 3,700,000 | 3,698,885 | ||||||||||
2.250%, 12/05/2018 | 700,000 | 700,928 | ||||||||||
Deutsche Telekom International Finance BV, | ||||||||||||
1.933%, 01/17/2020 (3 Month LIBOR USD + 0.580%)(1)(2)(3) | 2,000,000 | 2,005,161 | ||||||||||
Dollar General Corp., | ||||||||||||
1.875%, 04/15/2018 | 1,500,000 | 1,499,132 | ||||||||||
EI du Pont de Nemours & Co., | ||||||||||||
1.907%, 05/01/2020 (3 Month LIBOR USD + 0.530%)(3) | 5,000,000 | 5,031,404 | ||||||||||
Enbridge Energy Partners LP, | ||||||||||||
6.500%, 04/15/2018 | 4,000,000 | 4,053,008 | ||||||||||
Energy Transfer Partners LP, | ||||||||||||
2.500%, 06/15/2018 | 2,000,000 | 2,002,981 | ||||||||||
ERAC USA Finance LLC, | ||||||||||||
2.800%, 11/01/2018(2) | 4,325,000 | 4,345,370 | ||||||||||
Federal Express Corp. Pass Through Trust, | ||||||||||||
2.625%, 01/15/2018(2) | 57,680 | 57,781 | ||||||||||
Fidelity National Information Services, Inc., | ||||||||||||
2.850%, 10/15/2018 | 1,900,000 | 1,911,531 | ||||||||||
Ford Motor Credit Co. LLC: | ||||||||||||
5.000%, 05/15/2018 | 2,328,000 | 2,351,697 | ||||||||||
2.339%, 06/12/2020 (3 Month LIBOR USD + 0.790%)(3) | 2,000,000 | 2,013,097 | ||||||||||
Fresenius Medical Care US Finance II, Inc., | ||||||||||||
6.500%, 09/15/2018(2) | 3,000,000 | 3,093,327 | ||||||||||
General Motors Financial Co., Inc.: | ||||||||||||
2.400%, 04/10/2018 | 2,000,000 | 2,002,487 | ||||||||||
2.853%, 05/09/2019 (3 Month LIBOR USD + 1.450%)(3) | 2,000,000 | 2,027,166 | ||||||||||
Glencore Funding LLC, | ||||||||||||
2.719%, 01/15/2019 (3 Month LIBOR USD + 1.360%)(2)(3) | 2,000,000 | 2,016,760 | ||||||||||
Harris Corp., | ||||||||||||
1.999%, 04/27/2018 | 4,000,000 | 3,995,820 | ||||||||||
Hewlett Packard Enterprise Co.: | ||||||||||||
2.850%, 10/05/2018 | 1,800,000 | 1,808,675 | ||||||||||
3.273%, 10/05/2018 (3 Month LIBOR USD + 1.930%)(3) | 1,000,000 | 1,012,764 | ||||||||||
HP, Inc., | ||||||||||||
2.299%, 01/14/2019 (3 Month LIBOR USD + 0.940%)(3) | 737,000 | 739,672 | ||||||||||
Hyundai Capital America, Inc., | ||||||||||||
2.493%, 04/03/2020 (3 Month LIBOR USD + 0.800%)(2)(3) | 3,000,000 | 2,995,551 | ||||||||||
Ingersoll-Rand Global Holding Co. Ltd., | ||||||||||||
6.875%, 08/15/2018 | 570,000 | 586,509 | ||||||||||
Kinder Morgan Energy Partners LP, | ||||||||||||
5.950%, 02/15/2018 | 500,000 | 502,325 | ||||||||||
Kinder Morgan Finance Co. LLC, | ||||||||||||
6.000%, 01/15/2018(2) | 3,725,000 | 3,731,549 | ||||||||||
Laboratory Corp. of America Holdings, | ||||||||||||
2.500%, 11/01/2018 | 2,000,000 | 2,006,137 | ||||||||||
Lockheed Martin Corp., | ||||||||||||
1.850%, 11/23/2018 | 4,000,000 | 3,995,118 | ||||||||||
Martin Marietta Materials, Inc., | ||||||||||||
2.125%, 12/20/2019 (3 Month LIBOR USD + 0.500%)(3) | 4,500,000 | 4,507,330 | ||||||||||
Medco Health Solutions, Inc., | ||||||||||||
7.125%, 03/15/2018 | 3,308,000 | 3,341,433 | ||||||||||
Medtronic, Inc., | ||||||||||||
2.388%, 03/15/2020 (3 Month LIBOR USD + 0.800%)(3) | 750,000 | 759,272 | ||||||||||
Mondelez International, Inc., | ||||||||||||
1.897%, 02/01/2019 (3 Month LIBOR USD + 0.520%)(3) | 500,000 | 501,220 | ||||||||||
Monsanto Co., | ||||||||||||
5.125%, 04/15/2018 | 1,100,000 | 1,109,500 | ||||||||||
Mylan, Inc., | ||||||||||||
2.600%, 06/24/2018 | 4,000,000 | 4,006,646 | ||||||||||
Nabors Industries, Inc., | ||||||||||||
6.150%, 02/15/2018 | 1,998,000 | 2,002,995 | ||||||||||
NBCUniversal Enterprise, Inc., | ||||||||||||
1.662%, 04/15/2018(2) | 804,000 | 803,622 | ||||||||||
Penske Truck Leasing Co. LP / PTL Finance Corp., | ||||||||||||
2.875%, 07/17/2018(2) | 245,000 | 246,058 | ||||||||||
Pentair Finance SA, | ||||||||||||
2.900%, 09/15/2018(1) | 3,957,000 | 3,972,570 | ||||||||||
Phillips 66, | ||||||||||||
2.109%, 04/15/2020 (3 Month LIBOR USD + 0.750%)(2)(3) | 3,000,000 | 3,003,163 | ||||||||||
Qualcomm, Inc.: | ||||||||||||
1.886%, 05/20/2020 (3 Month LIBOR USD + 0.450%)(3) | 2,000,000 | 2,000,856 | ||||||||||
1.986%, 05/20/2020 (3 Month LIBOR USD + 0.550%)(3) | 1,500,000 | 1,503,470 | ||||||||||
Republic Services, Inc., | ||||||||||||
3.800%, 05/15/2018 | 4,000,000 | 4,027,655 | ||||||||||
Rogers Communications, Inc., | ||||||||||||
6.800%, 08/15/2018(1) | 3,200,000 | 3,294,011 | ||||||||||
Roper Technologies, Inc., | ||||||||||||
2.050%, 10/01/2018 | 3,573,000 | 3,572,623 | ||||||||||
RPM International, Inc., | ||||||||||||
6.500%, 02/15/2018 | 2,750,000 | 2,764,161 | ||||||||||
Seagate HDD Cayman, | ||||||||||||
3.750%, 11/15/2018(1) | 3,000,000 | 3,043,500 | ||||||||||
Telecom Italia Capital SA, | ||||||||||||
6.999%, 06/04/2018(1) | 2,434,000 | 2,478,907 | ||||||||||
Telefonica Emisiones SAU, | ||||||||||||
3.192%, 04/27/2018(1) | 1,950,000 | 1,956,926 | ||||||||||
Teva Pharmaceutical Finance Netherlands III BV, | ||||||||||||
1.400%, 07/20/2018(1) | 4,500,000 | 4,470,042 | ||||||||||
Thermo Fisher Scientific, Inc., | ||||||||||||
2.150%, 12/14/2018 | 4,000,000 | 4,005,492 | ||||||||||
Total Capital International SA, | ||||||||||||
1.963%, 06/19/2019 (3 Month LIBOR USD + 0.350%)(1)(3) | 250,000 | 250,833 | ||||||||||
Toyota Motor Credit Corp., | ||||||||||||
1.677%, 01/12/2018 (3 Month LIBOR USD + 0.320%)(3) | 900,000 | 900,045 | ||||||||||
TransCanada PipeLines Ltd.: | ||||||||||||
2.147%, 01/12/2018 (3 Month LIBOR USD + 0.790%)(1)(3) | 1,500,000 | 1,500,163 | ||||||||||
3.125%, 01/15/2019(1) | 1,000,000 | 1,009,142 | ||||||||||
Vodafone Group PLC: | ||||||||||||
1.500%, 02/19/2018(1) | 2,100,000 | 2,098,429 | ||||||||||
4.625%, 07/15/2018(1) | 1,775,000 | 1,799,451 | ||||||||||
Zimmer Biomet Holdings, Inc., | ||||||||||||
2.000%, 04/01/2018 | 2,543,000 | 2,543,923 | ||||||||||
155,735,709 | 28.9 | % | ||||||||||
Utilities | ||||||||||||
Duke Energy Corp., | ||||||||||||
2.100%, 06/15/2018 | 1,700,000 | 1,700,472 | ||||||||||
National Rural Utilities Cooperative Finance Corp., | �� | |||||||||||
10.375%, 11/01/2018 | 4,000,000 | 4,273,297 | ||||||||||
PSEG Power LLC, | ||||||||||||
2.450%, 11/15/2018 | 3,000,000 | 3,007,581 | ||||||||||
Sempra Energy, | ||||||||||||
6.150%, 06/15/2018 | 2,100,000 | 2,139,002 | ||||||||||
The Southern Co., | ||||||||||||
1.550%, 07/01/2018 | 1,775,000 | 1,771,401 | ||||||||||
Tri-State Pass Through Trust, | ||||||||||||
6.040%, 01/31/2018(2) | 19,325 | 19,379 | ||||||||||
United Utilities PLC, | ||||||||||||
4.550%, 06/19/2018(1) | 750,000 | 757,090 | ||||||||||
13,668,222 | 2.5 | % |
Financials | ||||||||||||
ABN AMRO Bank NV, | ||||||||||||
1.994%, 01/18/2019 (3 Month LIBOR USD + 0.640%)(1)(2)(3) | 4,500,000 | 4,518,585 | ||||||||||
American Express Co., | ||||||||||||
7.000%, 03/19/2018 | 370,000 | 373,963 | ||||||||||
Australia and New Zealand Banking Group Ltd., | ||||||||||||
1.799%, 01/16/2018 (3 Month LIBOR USD + 0.440%)(1)(2)(3) | 1,000,000 | 1,000,105 | ||||||||||
Bank of America Corp., | ||||||||||||
6.875%, 04/25/2018 | 3,000,000 | 3,045,832 | ||||||||||
Bank of Montreal: | ||||||||||||
1.950%, 04/09/2018 (3 Month LIBOR USD + 0.600%)(1)(3) | 1,095,000 | 1,096,358 | ||||||||||
1.800%, 07/31/2018(1) | 1,575,000 | 1,574,091 | ||||||||||
The Bank of New York Mellon Corp., | ||||||||||||
1.937%, 08/01/2018 (3 Month LIBOR USD + 0.560%)(3) | 1,000,000 | 1,002,350 | ||||||||||
Bank of Nova Scotia, | ||||||||||||
2.050%, 10/30/2018(1) | 3,500,000 | 3,503,487 | ||||||||||
Barclays PLC, | ||||||||||||
2.000%, 03/16/2018(1) | 3,900,000 | 3,900,023 | ||||||||||
BB&T Corp., | ||||||||||||
2.037%, 02/01/2019 (3 Month LIBOR USD + 0.660%)(3) | 880,000 | 884,590 | ||||||||||
BPCE SA, | ||||||||||||
1.625%, 01/26/2018(1) | 3,000,000 | 2,999,100 | ||||||||||
Caisse Centrale Desjardins, | ||||||||||||
2.043%, 01/29/2018 (3 Month LIBOR USD + 0.670%)(1)(2)(3) | 1,000,000 | 1,000,208 | ||||||||||
Capital One Financial Corp., | ||||||||||||
2.173%, 05/12/2020 (3 Month LIBOR USD + 0.760%)(3) | 1,700,000 | 1,707,807 | ||||||||||
Capital One NA, | ||||||||||||
2.071%, 02/05/2018 (3 Month LIBOR USD + 0.680%)(3) | 500,000 | 500,001 | ||||||||||
Citigroup, Inc., | ||||||||||||
1.700%, 04/27/2018 | 3,000,000 | 2,997,014 | ||||||||||
Citizens Bank NA, | ||||||||||||
2.027%, 03/02/2020 (3 Month LIBOR USD + 0.540%)(3) | 2,000,000 | 2,003,921 | ||||||||||
CNA Financial Corp., | ||||||||||||
6.950%, 01/15/2018 | 1,000,000 | 1,001,562 | ||||||||||
Commonwealth Bank of Australia: | ||||||||||||
1.949%, 03/12/2018 (3 Month LIBOR USD + 0.400%)(1)(2)(3) | 1,000,000 | 1,000,341 | ||||||||||
2.500%, 09/20/2018(1) | 500,000 | 501,695 | ||||||||||
Cooperatieve Rabobank UA, | ||||||||||||
2.250%, 01/14/2019(1) | 1,000,000 | 1,001,075 | ||||||||||
Credit Agricole SA: | ||||||||||||
2.125%, 04/17/2018(1)(2) | 2,000,000 | 2,001,204 | ||||||||||
2.506%, 06/10/2020 (3 Month LIBOR USD + 0.970%)(1)(2)(3) | 1,000,000 | 1,014,222 | ||||||||||
Credit Suisse AG: | ||||||||||||
1.750%, 01/29/2018(1) | 1,700,000 | 1,700,013 | ||||||||||
2.054%, 04/27/2018 (3 Month LIBOR USD + 0.680%)(1)(3) | 1,000,000 | 1,001,467 | ||||||||||
Deutsche Bank AG: | ||||||||||||
1.875%, 02/13/2018(1) | 1,200,000 | 1,199,820 | ||||||||||
2.093%, 02/13/2018 (3 Month LIBOR USD + 0.680%)(1)(3) | 1,000,000 | 1,000,010 | ||||||||||
2.804%, 01/18/2019 (3 Month LIBOR USD + 1.450%)(1)(3) | 1,000,000 | 1,009,235 | ||||||||||
Discover Bank, | ||||||||||||
2.000%, 02/21/2018 | 2,500,000 | 2,500,173 | ||||||||||
Fifth Third Bank, | ||||||||||||
2.300%, 03/15/2019 | 1,380,000 | 1,381,044 | ||||||||||
The Goldman Sachs Group, Inc.: | ||||||||||||
6.150%, 04/01/2018 | 2,500,000 | 2,526,311 | ||||||||||
2.516%, 11/15/2018 (3 Month LIBOR USD + 1.100%)(3) | 1,285,000 | 1,292,951 | ||||||||||
HSBC USA, Inc.: | ||||||||||||
2.162%, 08/07/2018 (3 Month LIBOR USD + 0.770%)(3) | 1,000,000 | 1,003,235 | ||||||||||
2.023%, 11/13/2019 (3 Month LIBOR USD + 0.610%)(3) | 250,000 | 251,414 | ||||||||||
The Huntington National Bank: | ||||||||||||
1.700%, 02/26/2018 | 2,300,000 | 2,299,098 | ||||||||||
2.000%, 06/30/2018 | 1,360,000 | 1,360,510 | ||||||||||
ING Bank NV: | ||||||||||||
2.000%, 11/26/2018(1)(2) | 1,400,000 | 1,399,297 | ||||||||||
2.788%, 03/22/2019 (3 Month LIBOR USD + 1.130%)(1)(2)(3) | 800,000 | 809,196 | ||||||||||
Jefferies Group LLC, | ||||||||||||
5.125%, 04/13/2018 | 3,250,000 | 3,276,647 | ||||||||||
JPMorgan Chase & Co.: | ||||||||||||
2.008%, 01/28/2019 (3 Month LIBOR USD + 0.630%)(3) | 250,000 | 251,162 | ||||||||||
2.318%, 01/23/2020 (3 Month LIBOR USD + 0.960%)(3) | 1,000,000 | 1,013,353 | ||||||||||
KEB Hana Bank, | ||||||||||||
2.059%, 04/05/2020 (3 Month LIBOR USD + 0.730%)(1)(2)(3) | 3,000,000 | 2,996,970 | ||||||||||
LeasePlan Corp. NV, | ||||||||||||
2.500%, 05/16/2018(1)(2) | 4,000,000 | 4,000,467 | ||||||||||
MetLife, Inc., | ||||||||||||
6.817%, 08/15/2018 | 105,000 | 108,078 | ||||||||||
Mizuho Bank Ltd.: | ||||||||||||
2.315%, 03/26/2018 (3 Month LIBOR USD + 0.640%)(1)(2)(3) | 1,350,000 | 1,351,481 | ||||||||||
2.553%, 10/20/2018 (3 Month LIBOR USD + 1.190%)(1)(2)(3) | 500,000 | 503,623 | ||||||||||
Mizuho Financial Group, Inc., | ||||||||||||
2.837%, 04/12/2021 (3 Month LIBOR USD + 1.480%)(1)(2)(3) | 1,500,000 | 1,537,237 | ||||||||||
Morgan Stanley: | ||||||||||||
2.083%, 01/05/2018 (3 Month LIBOR USD + 0.740%)(3) | 500,000 | 500,012 | ||||||||||
6.625%, 04/01/2018 | 2,000,000 | 2,021,911 | ||||||||||
2.215%, 01/24/2019 (3 Month LIBOR USD + 0.850%)(3) | 250,000 | 251,303 | ||||||||||
2.514%, 01/27/2020 (3 Month LIBOR USD + 1.140%)(3) | 500,000 | 507,205 | ||||||||||
MUFG Union Bank NA, | ||||||||||||
2.625%, 09/26/2018 | 2,418,000 | 2,426,215 | ||||||||||
National Bank of Canada, | ||||||||||||
2.109%, 06/12/2020 (3 Month LIBOR USD + 0.560%)(1)(3) | 4,000,000 | 4,026,150 | ||||||||||
Nordea Bank AB, | ||||||||||||
2.313%, 09/30/2019 (3 Month LIBOR USD + 0.620%)(1)(2)(3) | 1,500,000 | 1,510,676 | ||||||||||
PNC Bank NA, | ||||||||||||
2.200%, 01/28/2019 | 2,240,000 | 2,240,682 | ||||||||||
Regions Bank, | ||||||||||||
7.500%, 05/15/2018 | 1,724,000 | 1,758,522 | ||||||||||
Reliance Standard Life Global Funding II, | ||||||||||||
2.150%, 10/15/2018(2) | 1,500,000 | 1,501,236 | ||||||||||
Santander Holdings USA, Inc., | ||||||||||||
3.450%, 08/27/2018 | 425,000 | 427,852 | ||||||||||
Skandinaviska Enskilda Banken AB, | ||||||||||||
2.375%, 11/20/2018(1)(2) | 3,000,000 | 3,005,769 | ||||||||||
Societe Generale SA, | ||||||||||||
2.775%, 10/01/2018 (3 Month LIBOR USD + 1.080%)(1)(3) | 1,500,000 | 1,510,490 | ||||||||||
Standard Chartered PLC, | ||||||||||||
1.993%, 04/17/2018 (3 Month LIBOR USD + 0.640%)(1)(2)(3) | 1,200,000 | 1,201,284 | ||||||||||
Sumitomo Mitsui Banking Corp.: | ||||||||||||
1.939%, 01/16/2018 (3 Month LIBOR USD + 0.580%)(1)(3) | 300,000 | 300,024 | ||||||||||
2.103%, 07/23/2018 (3 Month LIBOR USD + 0.740%)(1)(3) | 1,350,000 | 1,353,979 | ||||||||||
2.027%, 10/19/2018 (3 Month LIBOR USD + 0.670%)(1)(3) | 1,000,000 | 1,003,687 | ||||||||||
Sumitomo Mitsui Trust Bank Ltd, | ||||||||||||
2.018%, 03/06/2019 (3 Month LIBOR USD + 0.510%)(1)(2)(3) | 2,000,000 | 2,003,274 | ||||||||||
Svenska Handelsbanken AB, | ||||||||||||
2.090%, 06/17/2019 (3 Month LIBOR USD + 0.490%)(1)(3) | 850,000 | 854,127 | ||||||||||
Synchrony Financial: | ||||||||||||
2.600%, 01/15/2019 | 2,400,000 | 2,404,540 | ||||||||||
2.615%, 02/03/2020 (3 Month LIBOR USD + 1.230%)(3) | 1,000,000 | 1,014,073 | ||||||||||
The Toronto-Dominion Bank, | ||||||||||||
1.951%, 11/05/2019 (3 Month LIBOR USD + 0.560%)(1)(3) | 1,200,000 | 1,207,645 | ||||||||||
UBS AG: | ||||||||||||
2.375%, 03/26/2018 (3 Month LIBOR USD + 0.700%)(1)(3) | 1,000,000 | 1,001,428 | ||||||||||
5.750%, 04/25/2018(1) | 1,000,000 | 1,012,264 | ||||||||||
UBS Group Funding Switzerland AG, | ||||||||||||
3.115%, 09/24/2020 (3 Month LIBOR USD + 1.440%)(1)(2)(3) | 500,000 | 511,052 | ||||||||||
UnitedHealth Group, Inc., | ||||||||||||
6.000%, 02/15/2018 | 1,724,000 | 1,732,504 | ||||||||||
Voya Financial, Inc., | ||||||||||||
2.900%, 02/15/2018 | 1,750,000 | 1,751,709 | ||||||||||
Wells Fargo & Co., | ||||||||||||
2.058%, 01/30/2020 (3 Month LIBOR USD + 0.680%)(3) | 1,000,000 | 1,008,272 | ||||||||||
Westpac Banking Corp.: | ||||||||||||
1.892%, 05/25/2018 (3 Month LIBOR USD + 0.430%)(1)(3) | 1,500,000 | 1,501,615 | ||||||||||
4.625%, 06/01/2018(1) | 1,838,000 | 1,860,860 | ||||||||||
117,810,686 | 21.8 | % | ||||||||||
Total Corporate Bonds | 287,214,617 | 53.2 | % | |||||||||
Taxable Municipal Bonds | ||||||||||||
Iowa Higher Education Loan Authority, | ||||||||||||
2.000%, 12/01/2018 (Callable 06/01/2018) | 1,000,000 | 999,170 | ||||||||||
Louisiana Public Facilities Authority, | ||||||||||||
1.838%, 12/15/2018 | 515,000 | 514,001 | ||||||||||
1,513,171 | 0.3 | % | ||||||||||
Residential Mortgage-Backed Securities | ||||||||||||
U.S. Government Agency Issues | ||||||||||||
Federal National Mortgage Association (FNMA): | ||||||||||||
5.000%, 12/01/2019 | 98,056 | 99,823 | ||||||||||
4.500%, 04/01/2020 | 175,726 | 178,449 | ||||||||||
5.000%, 04/01/2020 | 186,403 | 190,149 | ||||||||||
468,421 | 0.1 | % |
Non-U.S. Government Agency Issues | ||||||||||||
Aames Mortgage Investment Trust, | ||||||||||||
Series 2006-1, Class A3, 1.872%, 04/25/2036 (1 Month LIBOR USD + 0.320%)(3) | 297,520 | 297,620 | ||||||||||
Accredited Mortgage Loan Trust, | ||||||||||||
Series 2005-4, Class A2D, 1.872%, 12/25/2035 (1 Month LIBOR USD + 0.320%)(3) | 452,243 | 450,654 | ||||||||||
ACE Securities Corp. Home Equity Loan Trust: | ||||||||||||
Series 2006-HE1, Class A1B1, 1.742%, 02/25/2036 (1 Month LIBOR USD + 0.190%)(3) | 151,538 | 151,545 | ||||||||||
Series 2006-HE1, Class A1A, 1.752%, 02/25/2036 (1 Month LIBOR USD + 0.200%)(3) | 7,088 | 7,088 | ||||||||||
Carrington Mortgage Loan Trust: | ||||||||||||
Series 2005-NC1, Class M2, 2.332%, 02/25/2035 (1 Month LIBOR USD + 0.780%)(3) | 2,543,833 | 2,546,713 | ||||||||||
Series 2006-NC1, Class A3, 1.762%, 01/25/2036 (1 Month LIBOR USD + 0.210%)(3) | 1,832,539 | 1,830,409 | ||||||||||
Series 2006-RFC1, Class A3, 1.702%, 05/25/2036 (1 Month LIBOR USD + 0.150%)(3) | 636,019 | 634,876 | ||||||||||
Series 2007-HE1, Class A2, 1.702%, 06/25/2037 (1 Month LIBOR USD + 0.150%)(3) | 1,785,559 | 1,766,204 | ||||||||||
Citigroup Mortgage Loan Trust, Inc.: | ||||||||||||
Series 2007-WFH2, Class A4, 1.902%, 03/25/2037 (1 Month LIBOR USD + 0.350%)(3) | 2,015,793 | 2,008,498 | ||||||||||
Series 2007-AMC4, Class A2C, 1.722%, 05/25/2037 (1 Month LIBOR USD + 0.170%)(3) | 613,247 | 608,039 | ||||||||||
Countrywide Asset-Backed Certificates, | ||||||||||||
Series 2006-BC4, Class 2A2, 1.712%, 11/25/2036 (1 Month LIBOR USD + 0.160%)(3) | 1,425,420 | 1,414,938 | ||||||||||
CWABS Asset-Backed Certificates Trust, | ||||||||||||
Series 2006-14, Class 2A2, 1.702%, 02/25/2037 (1 Month LIBOR USD + 0.150%)(3) | 1,746,936 | 1,738,818 | ||||||||||
First Franklin Mortgage Loan Trust, | ||||||||||||
Series 2006-FF4, Class A2, 1.742%, 03/25/2036 (1 Month LIBOR USD + 0.190%)(3) | 2,627,767 | 2,624,656 | ||||||||||
GSAMP Trust, | ||||||||||||
Series 2006-HE4, Class A2C, 1.702%, 06/25/2036 (1 Month LIBOR USD + 0.150%)(3) | 676,915 | 670,020 | ||||||||||
Home Equity Asset Trust: | ||||||||||||
Series 2006-2, Class 2A4, 1.862%, 05/25/2036 (1 Month LIBOR USD + 0.310%)(2)(3) | 2,938,710 | 2,935,788 | ||||||||||
Series 2006-3, Class 1A1, 1.752%, 07/25/2036 (1 Month LIBOR USD + 0.200%)(3) | 1,582,726 | 1,579,870 | ||||||||||
Series 2007-2, Class 2A2, 1.737%, 07/25/2037 (1 Month LIBOR USD + 0.190%)(3) | 598,208 | 596,512 | ||||||||||
HSI Asset Securitization Corp. Trust, | ||||||||||||
Series 2007-WF1, Class 2A3, 1.722%, 05/25/2037 (1 Month LIBOR USD + 0.170%)(3) | 197,265 | 197,123 | ||||||||||
J.P. Morgan Mortgage Acquisition Trust, | ||||||||||||
Series 2006-NC1, Class A4, 1.498%, 04/25/2036 (1 Month LIBOR USD + 0.170%)(3) | 344,253 | 344,124 | ||||||||||
Long Beach Mortgage Loan Trust: | ||||||||||||
Series 2005-WL2, Class M1, 2.257%, 08/25/2035 (1 Month LIBOR USD + 0.710%)(3) | 328,005 | 330,375 | ||||||||||
Series 2006-WL2, Class 2A3, 1.752%, 01/25/2036 (1 Month LIBOR USD + 0.200%)(3) | 13,707 | 13,657 | ||||||||||
MASTR Alternative Loan Trust, | ||||||||||||
Series 2004-13, Class 8A1, 5.500%, 01/25/2025 | 54,402 | 55,125 | ||||||||||
Park Place Securities, Inc., | ||||||||||||
Series 2005-WCW1, Class M1, 2.002%, 09/25/2035 (1 Month LIBOR USD + 0.450%)(3) | 246,184 | 246,572 | ||||||||||
RASC Series Trust: | ||||||||||||
Series 2005-KS9, Class M2, 1.982%, 10/25/2035 (1 Month LIBOR USD + 0.430%)(3) | 2,361,040 | 2,361,583 | ||||||||||
Series 2006-KS1, Class A4, 1.852%, 02/25/2036 (1 Month LIBOR USD + 0.300%)(3) | 31,700 | 31,711 | ||||||||||
Series 2006-KS8, Class A3, 1.712%, 10/25/2036 (1 Month LIBOR USD + 0.160%)(3) | 843,367 | 842,098 | ||||||||||
Saxon Asset Securities Trust, | ||||||||||||
Series 2006-1, Class A2C, 1.872%, 03/25/2036 (1 Month LIBOR USD + 0.320%)(3) | 266,690 | 266,225 | ||||||||||
Soundview Home Loan Trust: | ||||||||||||
Series 2005-OPT4, Class 2A3, 1.812%, 12/25/2035 (1 Month LIBOR USD + 0.260%)(3) | 253,866 | 253,807 | ||||||||||
Series 2006-2, Class A4, 1.822%, 03/25/2036 (1 Month LIBOR USD + 0.270%)(3) | 15,759 | 15,759 | ||||||||||
Series 2006-OPT2, Class A3, 1.732%, 05/25/2036 (1 Month LIBOR USD + 0.180%)(3) | 2,313,812 | 2,302,094 | ||||||||||
29,122,501 | 5.4 | % | ||||||||||
Commercial Mortgage-Backed Securities | ||||||||||||
U.S. Government Agency Issues | ||||||||||||
Fannie Mae REMIC Trust, | ||||||||||||
Series 2015-M1, Class ASQ2, 1.626%, 02/25/2018 | 103,267 | 103,142 | ||||||||||
Freddie Mac Multifamily Structured Pass Through Certificates: | ||||||||||||
Series K702, Class A2, 3.154%, 02/25/2018 | 1,249,091 | 1,248,192 | ||||||||||
Series K008, Class A1, 2.746%, 12/25/2019 | 533,111 | 536,891 | ||||||||||
Series K009, Class A1, 2.757%, 05/25/2020 | 481,212 | 483,409 | ||||||||||
2,371,634 | 0.4 | % | ||||||||||
Other Asset Backed Securities | ||||||||||||
Ally Auto Receivables Trust: | ||||||||||||
Series 2014-2, Class A3, 1.250%, 04/15/2019 | 66,972 | 66,959 | ||||||||||
Series 2014-1, Class A4, 1.530%, 04/15/2019 | 647,916 | 647,839 | ||||||||||
Series 2015-1, Class A3, 1.390%, 09/16/2019 | 648,493 | 647,930 | ||||||||||
ARI Fleet Lease Trust, | ||||||||||||
Series 2017-A, Class A2, 1.910%, 04/15/2026(2) | 1,800,000 | 1,795,990 | ||||||||||
Bank of The West Auto Trust, | ||||||||||||
Series 2014-1, Class A4, 1.650%, 03/16/2020(2) | 3,158,264 | 3,156,661 | ||||||||||
Barclays Dryrock Issuance Trust, | ||||||||||||
Series 2015-2, Class A, 1.560%, 03/15/2021 | 3,000,000 | 2,997,702 | ||||||||||
California Republic Auto Receivables Trust, | ||||||||||||
Series 2015-3, Class A3, 1.620%, 11/15/2019 | 691,145 | 690,986 | ||||||||||
Capital Auto Receivables Asset Trust, | ||||||||||||
Series 2016-3, Class A2A, 1.360%, 04/22/2019 | 101,143 | 101,112 | ||||||||||
Carmax Auto Owner Trust: | ||||||||||||
Series 2014-3, Class A3, 1.160%, 06/17/2019 | 228,239 | 228,130 | ||||||||||
Series 2014-4, Class A3, 1.250%, 11/15/2019 | 269,353 | 269,039 | ||||||||||
Chase Issuance Trust, | ||||||||||||
Series 2013-A1, Class A1, 1.300%, 02/18/2020 | 4,135,000 | 4,132,672 | ||||||||||
Chesapeake Funding II LLC, | ||||||||||||
Series 2016-2A, Class A1, 1.880%, 06/15/2028(2) | 3,962,419 | 3,954,872 | ||||||||||
Chrysler Capital Auto Receivables Trust, | ||||||||||||
Series 2016-BA, Class A2, 1.360%, 01/15/2020(2) | 1,280,624 | 1,279,140 | ||||||||||
Citibank Credit Card Issuance Trust: | ||||||||||||
Series 2008-A1, Class A1, 5.350%, 02/07/2020 | 4,500,000 | 4,516,265 | ||||||||||
Series 2014-A8, Class A8, 1.730%, 04/09/2020 | 4,000,000 | 4,000,000 | ||||||||||
Conseco Financial Corp., | ||||||||||||
Series 1998-4, Class A6, 6.530%, 04/01/2030(4) | 414,608 | 438,493 | ||||||||||
Dell Equipment Finance Trust, | ||||||||||||
Series 2017-2, Class A2A, 1.970%, 02/24/2020(2) | 2,600,000 | 2,594,811 | ||||||||||
Enterprise Fleet Financing LLC, | ||||||||||||
Series 2015-2, Class A2, 1.590%, 02/22/2021(2) | 1,429,634 | 1,428,421 | ||||||||||
First National Master Note Trust, | ||||||||||||
Series 2017-1, Class A, 1.877%, 04/18/2022 (1 Month LIBOR USD + 0.400%)(3) | 4,150,000 | 4,156,922 | ||||||||||
Ford Credit Auto Owner Trust, | ||||||||||||
Series 2015-B, Class A3, 1.160%, 11/15/2019 | 1,602,703 | 1,599,526 | ||||||||||
GM Financial Automobile Leasing Trust: | ||||||||||||
Series 2015-2, Class A3, 1.680%, 12/20/2018 | 755,305 | 755,162 | ||||||||||
Series 2016-3, Class A2A, 1.350%, 02/20/2019 | 1,465,098 | 1,463,614 | ||||||||||
Series 2017-1A, Class A2A, 1.510%, 03/16/2020(2) | 4,761,581 | 4,754,374 | ||||||||||
Harley-Davidson Motorcycle Trust: | ||||||||||||
Series 2014-1, Class A3, 1.100%, 09/15/2019 | 37,172 | 37,161 | ||||||||||
Series 2015-2, Class A3, 1.300%, 03/16/2020 | 791,959 | 791,135 | ||||||||||
Series 2015-1, Class A3, 1.410%, 06/15/2020 | 773,226 | 771,970 | ||||||||||
Honda Auto Receivables Owner Trust: | ||||||||||||
Series 2016-1, Class A3, 1.220%, 12/18/2019 | 361,881 | 360,533 | ||||||||||
Series 2015-1, Class A4, 1.320%, 11/16/2020 | 1,890,000 | 1,888,555 | ||||||||||
Hyundai Auto Lease Securitization Trust: | ||||||||||||
Series 2016-A, Class A3, 1.600%, 07/15/2019(2) | 2,800,543 | 2,799,253 | ||||||||||
Series 2015-B, Class A4, 1.660%, 07/15/2019(2) | 1,800,000 | 1,799,535 | ||||||||||
Kubota Credit Owner Trust, | ||||||||||||
Series 2015-1A, Class A3, 1.540%, 03/15/2019(2) | 312,571 | 312,353 | ||||||||||
Master Credit Card Trust II, | ||||||||||||
Series 2016-1A, Class A, 2.261%, 09/23/2019 (1 Month LIBOR USD + 0.750%)(1)(2)(3) | 1,050,000 | 1,051,642 | ||||||||||
Mercedes Benz Auto Lease Trust, | ||||||||||||
Series 2015-B, Class A4, 1.530%, 05/17/2021 | 2,881,034 | 2,880,195 | ||||||||||
Mercedes-Benz Auto Receivables Trust, | ||||||||||||
Series 2015-1, Class A3, 1.340%, 12/16/2019 | 1,861,725 | 1,857,538 | ||||||||||
MMAF Equipment Finance LLC: | ||||||||||||
Series 2016-AA, Class A2, 1.390%, 12/17/2018(2) | 1,690,186 | 1,688,985 | ||||||||||
Series 2013-AA, Class A4, 1.680%, 05/11/2020(2) | 2,974,340 | 2,973,297 | ||||||||||
Series 2014-AA, Class A4, 1.590%, 02/08/2022(2) | 2,400,000 | 2,391,076 | ||||||||||
Nissan Auto Lease Trust, | ||||||||||||
Series 2017-A, Class A2A, 1.640%, 09/16/2019 | 3,625,000 | 3,615,854 | ||||||||||
Nissan Auto Receivables Owner Trust: | ||||||||||||
Series 2015-C, Class A3, 1.370%, 05/15/2020 | 2,513,861 | 2,505,832 | ||||||||||
Series 2017-B, Class A2A, 1.560%, 05/15/2020 | 3,250,000 | 3,240,545 | ||||||||||
Series 2016-C, Class A3, 1.180%, 01/15/2021 | 2,925,000 | 2,894,893 | ||||||||||
OneMain Financial Issuance Trust, | ||||||||||||
Series 2014-2A, Class A, 2.470%, 09/18/2024(2) | 8,456 | 8,458 | ||||||||||
Santander Retail Auto Lease Trust, | ||||||||||||
Series 2017-A, Class A2A, 2.020%, 03/20/2020(2) | 4,000,000 | 3,993,255 | ||||||||||
Springleaf Funding Trust, | ||||||||||||
Series 2015-AA, Class A, 3.160%, 11/15/2024(2) | 1,625,000 | 1,631,453 | ||||||||||
Toyota Auto Receivables Owner Trust: | ||||||||||||
Series 2015-A, Class A3, 1.120%, 02/15/2019 | 148,437 | 148,326 | ||||||||||
Series 2017-C, Class A2A, 1.580%, 07/15/2020 | 2,535,000 | 2,527,325 | ||||||||||
Verizon Owner Trust, | ||||||||||||
Series 2016-1A, Class A, 1.420%, 01/20/2021(2) | 2,084,000 | 2,070,312 | ||||||||||
World Financial Network Credit Card Master Trust: | ||||||||||||
Series 2012-C, Class A, 2.230%, 08/15/2022 | 5,000,000 | 5,009,232 | ||||||||||
Series 2012-A, Class A, 3.140%, 01/17/2023 | 440,000 | 445,375 | ||||||||||
95,370,708 | 17.7 | % | ||||||||||
Total Long-Term Investments (Cost $530,932,399) | 530,880,849 | 98.4 | % | |||||||||
SHORT-TERM INVESTMENT | Shares | |||||||||||
Money Market Mutual Fund | ||||||||||||
Fidelity Institutional Money Market Fund - Government Portfolio, Institutional Class, 1.19%(5) | 5,520,721 | 5,520,721 | ||||||||||
Total Short-Term Investment (Cost $5,520,721) | 5,520,721 | 1.0 | % | |||||||||
Total Investments (Cost $536,453,120) | 536,401,570 | 99.4 | % | |||||||||
Other Assets in Excess of Liabilities | 3,145,626 | 0.6 | % | |||||||||
TOTAL NET ASSETS | $ | 539,547,196 | 100.0 | % |
Notes to Schedule of Investments | ||||||||
(1) | Foreign Security. | |||||||
(2) | 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, 2017, the value of these securities total $102,819,331, which represents 19.06% of total net assets. | |||||||
(3) | Variable rate security based on a reference index and spread. The rate reported is the rate in effect as of December 31, 2017. | |||||||
(4) | Variable rate security. The coupon is based on an underlying pool of loans. The rate reported is the rate in effect as of December 31, 2017. | |||||||
(5) | 7-Day Yield. | |||||||
Baird Ultra Short Bond Fund | ||||||||
Schedule of Investments, December 31, 2017 | ||||||||
Summary of Fair Value Exposure at December 31, 2017 | ||||||||
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, 2017: |
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Long-Term Investments | ||||||||||||||||
U.S. Treasury Securities | $ | – | $ | 114,819,797 | $ | – | $ | 114,819,797 | ||||||||
Corporate Bonds | – | 287,214,617 | – | 287,214,617 | ||||||||||||
Taxable Municipal Bonds | – | 1,513,171 | – | 1,513,171 | ||||||||||||
Residential Mortgage-Backed Securities - U.S. Government Agency Issues | – | 468,421 | – | 468,421 | ||||||||||||
Residential Mortgage-Backed Securities - Non-U.S. Government Agency Issues | – | 29,122,501 | – | 29,122,501 | ||||||||||||
Commercial Mortgage-Backed Securities - U.S. Government Agency Issues | – | 2,371,634 | – | 2,371,634 | ||||||||||||
Other Asset Backed Securities | – | 95,370,708 | – | 95,370,708 | ||||||||||||
Total Long-Term Investments | – | 530,880,849 | – | 530,880,849 | ||||||||||||
Short-Term Investment | ||||||||||||||||
Money Market Mutual Fund | 5,520,721 | – | – | 5,520,721 | ||||||||||||
Total Short-Term Investment | 5,520,721 | – | – | 5,520,721 | ||||||||||||
Total Investments | $ | 5,520,721 | $ | 530,880,849 | $ | – | $ | 536,401,570 |
Changes in valuation techniques may result in transfers into or out of assigned levels within the fair value hierarchy. Transfers between levels are recognized at the end of the reporting period. 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. |
Baird Short-Term Bond Fund | ||||||||||||
Schedule of Investments | ||||||||||||
December 31, 2017 | ||||||||||||
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
LONG-TERM INVESTMENTS | ||||||||||||
U.S. Treasury Securities | ||||||||||||
U.S. Treasury Bonds: | ||||||||||||
1.625%, 08/31/2019 | $ | 162,750,000 | $ | 162,088,828 | ||||||||
1.375%, 08/31/2020 | 836,075,000 | 823,860,463 | ||||||||||
1.125%, 09/30/2021 | 173,000,000 | 166,924,726 | ||||||||||
1,152,874,017 | 20.8 | % | ||||||||||
Other Government Related Securities | ||||||||||||
CNOOC Finance Ltd., | ||||||||||||
1.750%, 05/09/2018(1) | 1,000,000 | 997,919 | ||||||||||
Electricite de France SA, | ||||||||||||
4.600%, 01/27/2020(1)(2) | 2,926,000 | 3,062,641 | ||||||||||
Japan Bank for International Cooperation, | ||||||||||||
2.125%, 07/21/2020(1) | 20,900,000 | 20,740,353 | ||||||||||
The Korea Development Bank, | ||||||||||||
3.000%, 03/17/2019(1) | 2,475,000 | 2,484,092 | ||||||||||
Korea Hydro & Nuclear Power Co. Ltd., | ||||||||||||
2.875%, 10/02/2018(1)(2) | 3,000,000 | 3,002,373 | ||||||||||
Nexen Energy ULC, | ||||||||||||
6.200%, 07/30/2019(1) | 2,065,000 | 2,166,982 | ||||||||||
Petroleos Mexicanos: | ||||||||||||
5.500%, 02/04/2019(1) | 3,200,000 | 3,307,040 | ||||||||||
8.000%, 05/03/2019(1) | 11,800,000 | 12,602,400 | ||||||||||
Sinopec Group Overseas Development [2015] Ltd., | ||||||||||||
2.500%, 04/28/2020(1)(2) | 8,000,000 | 7,957,812 | ||||||||||
Sinopec Group Overseas Development [2016] Ltd.: | ||||||||||||
2.125%, 05/03/2019(1)(2) | 7,000,000 | 6,952,526 | ||||||||||
1.750%, 09/29/2019(1)(2) | 2,375,000 | 2,336,513 | ||||||||||
Sinopec Group Overseas Development [2017] Ltd., | ||||||||||||
2.375%, 04/12/2020(1)(2) | 10,125,000 | 10,040,790 | ||||||||||
75,651,441 | 1.4 | % | ||||||||||
Corporate Bonds | ||||||||||||
Industrials | ||||||||||||
21st Century Fox America, Inc., | ||||||||||||
6.900%, 03/01/2019 | 10,950,000 | 11,525,215 | ||||||||||
A.P. Meoller - Maersk A/S, | ||||||||||||
2.550%, 09/22/2019(1)(2) | 4,550,000 | 4,553,596 | ||||||||||
Abbott Laboratories: | ||||||||||||
2.350%, 11/22/2019 | 14,125,000 | 14,140,362 | ||||||||||
4.125%, 05/27/2020 | 480,000 | 498,294 | ||||||||||
AbbVie, Inc., | ||||||||||||
1.800%, 05/14/2018 | 11,950,000 | 11,944,153 | ||||||||||
Actavis Funding SCS: | ||||||||||||
2.450%, 06/15/2019(1) | 3,000,000 | 2,999,955 | ||||||||||
2.804%, 03/12/2020 (3 Month LIBOR USD + 1.260%)(1)(3) | 1,000,000 | 1,014,477 | ||||||||||
3.000%, 03/12/2020(1) | 3,900,000 | 3,935,086 | ||||||||||
Amgen, Inc., | ||||||||||||
5.700%, 02/01/2019 | 10,000,000 | 10,379,545 | ||||||||||
Anadarko Petroleum Corp., | ||||||||||||
8.700%, 03/15/2019 | 2,970,000 | 3,184,376 | ||||||||||
Anglo American Capital PLC: | ||||||||||||
9.375%, 04/08/2019(1)(2) | 5,260,000 | 5,703,598 | ||||||||||
3.625%, 05/14/2020(1)(2) | 5,000,000 | 5,090,307 | ||||||||||
4.125%, 04/15/2021(1)(2) | 10,000,000 | 10,279,600 | ||||||||||
Anheuser-Busch InBev Finance, Inc., | ||||||||||||
1.900%, 02/01/2019 | 11,425,000 | 11,401,311 | ||||||||||
Anheuser-Busch InBev Worldwide, Inc., | ||||||||||||
7.750%, 01/15/2019 | 6,000,000 | 6,336,673 | ||||||||||
AT&T, Inc.: | ||||||||||||
5.800%, 02/15/2019 | 3,000,000 | 3,113,203 | ||||||||||
2.300%, 03/11/2019 | 9,682,000 | 9,692,348 | ||||||||||
2.623%, 06/30/2020 (3 Month LIBOR USD + 0.930%)(3) | 4,000,000 | 4,047,737 | ||||||||||
2.800%, 02/17/2021 | 11,025,000 | 11,073,802 | ||||||||||
Baxalta, Inc.: | ||||||||||||
2.000%, 06/22/2018 | 9,200,000 | 9,197,868 | ||||||||||
2.438%, 06/22/2018 (3 Month LIBOR USD + 0.780%)(3) | 3,500,000 | 3,507,345 | ||||||||||
Becton Dickinson and Co.: | ||||||||||||
2.404%, 06/05/2020 | 10,350,000 | 10,293,866 | ||||||||||
3.125%, 11/08/2021 | 1,000,000 | 1,008,432 | ||||||||||
Bemis Co., Inc., | ||||||||||||
6.800%, 08/01/2019 | 9,075,000 | 9,681,550 | ||||||||||
Boardwalk Pipelines LP, | ||||||||||||
5.750%, 09/15/2019 | 10,750,000 | 11,267,999 | ||||||||||
Boston Scientific Corp., | ||||||||||||
2.650%, 10/01/2018 | 7,077,000 | 7,104,930 | ||||||||||
Broadcom Corp. / Broadcom Cayman Finance Ltd., | ||||||||||||
2.375%, 01/15/2020(2) | 27,000,000 | 26,817,403 | ||||||||||
Bunge Limited Finance Corp.: | ||||||||||||
8.500%, 06/15/2019 | 10,255,000 | 11,108,994 | ||||||||||
3.500%, 11/24/2020 | 6,900,000 | 7,043,944 | ||||||||||
Cardinal Health, Inc., | ||||||||||||
1.948%, 06/14/2019 | 14,700,000 | 14,609,611 | ||||||||||
Carlisle Cos, Inc., | ||||||||||||
5.125%, 12/15/2020 | 2,950,000 | 3,134,786 | ||||||||||
Cenovus Energy, Inc., | ||||||||||||
5.700%, 10/15/2019(1) | 20,000,000 | 21,036,000 | ||||||||||
Charter Communications Operating LLC, | ||||||||||||
3.579%, 07/23/2020 | 3,000,000 | 3,055,923 | ||||||||||
Chevron Phillips Chemical Co. LLC / Chevron Phillips Chemical Co. LP, | ||||||||||||
2.127%, 05/01/2020 (3 Month LIBOR USD + 0.750%)(2)(3) | 5,050,000 | 5,095,707 | ||||||||||
CK Hutchison International Ltd., | ||||||||||||
2.250%, 09/29/2020(1)(2) | 20,000,000 | 19,805,385 | ||||||||||
CNH Industrial Capital LLC: | ||||||||||||
3.375%, 07/15/2019 | 921,000 | 927,908 | ||||||||||
4.375%, 11/06/2020 | 9,810,000 | 10,177,875 | ||||||||||
3.875%, 10/15/2021 | 9,560,000 | 9,727,682 | ||||||||||
Coca-Cola FEMSA SAB de CV, | ||||||||||||
2.375%, 11/26/2018(1) | 1,798,000 | 1,802,347 | ||||||||||
Columbia Pipeline Group, Inc.: | ||||||||||||
2.450%, 06/01/2018 | 9,900,000 | 9,905,852 | ||||||||||
3.300%, 06/01/2020 | 6,575,000 | 6,668,911 | ||||||||||
Conagra Brands, Inc., | ||||||||||||
1.857%, 10/09/2020 (3 Month LIBOR USD + 0.500%)(3) | 20,000,000 | 20,031,800 | ||||||||||
Crane Co., | ||||||||||||
2.750%, 12/15/2018 | 7,585,000 | 7,618,979 | ||||||||||
CVS Health Corp.: | ||||||||||||
2.800%, 07/20/2020 | 6,725,000 | 6,753,014 | ||||||||||
2.125%, 06/01/2021 | 5,000,000 | 4,879,544 | ||||||||||
Daimler Finance North America LLC: | ||||||||||||
1.907%, 03/02/2018 (3 Month LIBOR USD + 0.420%)(2)(3) | 750,000 | 750,105 | ||||||||||
2.237%, 08/01/2018 (3 Month LIBOR USD + 0.860%)(2)(3) | 2,000,000 | 2,007,525 | ||||||||||
1.500%, 07/05/2019(2) | 5,700,000 | 5,633,317 | ||||||||||
2.200%, 05/05/2020(2) | 5,000,000 | 4,971,609 | ||||||||||
Deutsche Telekom International Finance BV: | ||||||||||||
6.750%, 08/20/2018(1) | 3,900,000 | 4,013,904 | ||||||||||
1.933%, 01/17/2020 (3 Month LIBOR USD + 0.580%)(1)(2)(3) | 8,000,000 | 8,020,645 | ||||||||||
Diamond 1 Finance Corp. / Diamond 2 Finance Corp.: | ||||||||||||
3.480%, 06/01/2019(2) | 19,135,000 | 19,374,712 | ||||||||||
4.420%, 06/15/2021(2) | 9,000,000 | 9,378,173 | ||||||||||
Discovery Communications LLC, | ||||||||||||
2.200%, 09/20/2019 | 10,000,000 | 9,953,796 | ||||||||||
The Dow Chemical Co., | ||||||||||||
8.550%, 05/15/2019 | 14,777,000 | 16,006,149 | ||||||||||
DXC Technology Co.: | ||||||||||||
2.875%, 03/27/2020 | 23,714,000 | 23,829,358 | ||||||||||
2.431%, 03/01/2021 (3 Month LIBOR USD + 0.950%)(3) | 2,000,000 | 2,004,894 | ||||||||||
4.450%, 09/18/2022 | 3,000,000 | 3,157,388 | ||||||||||
Ecolab, Inc., | ||||||||||||
2.000%, 01/14/2019 | 14,250,000 | 14,226,340 | ||||||||||
El du Pont de Nemours & Co., | ||||||||||||
2.200%, 05/01/2020 | 5,000,000 | 4,995,593 | ||||||||||
Enable Midstream Partners LP, | ||||||||||||
2.400%, 05/15/2019 | 3,000,000 | 2,982,787 | ||||||||||
Enbridge Energy Partners LP, | ||||||||||||
4.375%, 10/15/2020 | 9,805,000 | 10,218,252 | ||||||||||
Energy Transfer Partners LP: | ||||||||||||
2.500%, 06/15/2018 | 4,000,000 | 4,005,963 | ||||||||||
9.700%, 03/15/2019 | 6,994,000 | 7,569,537 | ||||||||||
4.150%, 10/01/2020 | 12,500,000 | 12,908,079 | ||||||||||
Enterprise Products Operating LLC: | ||||||||||||
6.650%, 04/15/2018 | 5,000,000 | 5,064,934 | ||||||||||
1.650%, 05/07/2018 | 2,000,000 | 1,997,332 | ||||||||||
EQT Corp., | ||||||||||||
2.500%, 10/01/2020 | 15,000,000 | 14,895,444 | ||||||||||
ERAC USA Finance LLC, | ||||||||||||
2.350%, 10/15/2019(2) | 19,000,000 | 18,945,781 | ||||||||||
Express Scripts Holding Co.: | ||||||||||||
2.250%, 06/15/2019 | 2,157,000 | 2,153,515 | ||||||||||
2.600%, 11/30/2020 | 14,425,000 | 14,411,673 | ||||||||||
3.300%, 02/25/2021 | 5,000,000 | 5,078,473 | ||||||||||
Federal Express Corp. Pass Through Trust: | ||||||||||||
2.625%, 01/15/2018(2) | 162,830 | 163,114 | ||||||||||
6.845%, 01/15/2019 | 1,290,976 | 1,316,795 | ||||||||||
FedEx Corp., | ||||||||||||
2.300%, 02/01/2020 | 2,000,000 | 1,999,770 | ||||||||||
Fidelity National Information Services, Inc.: | ||||||||||||
2.000%, 04/15/2018 | 2,295,000 | 2,295,520 | ||||||||||
2.850%, 10/15/2018 | 11,640,000 | 11,710,644 | ||||||||||
3.625%, 10/15/2020 | 1,673,000 | 1,718,963 | ||||||||||
Fiserv, Inc., | ||||||||||||
2.700%, 06/01/2020 | 3,500,000 | 3,521,866 | ||||||||||
FMC Corp., | ||||||||||||
5.200%, 12/15/2019 | 4,496,000 | 4,688,607 | ||||||||||
Ford Motor Credit Co. LLC: | ||||||||||||
2.021%, 05/03/2019 | 7,000,000 | 6,968,265 | ||||||||||
1.897%, 08/12/2019 | 10,000,000 | 9,924,724 | ||||||||||
2.681%, 01/09/2020 | 5,000,000 | 5,012,062 | ||||||||||
3.200%, 01/15/2021 | 4,505,000 | 4,568,056 | ||||||||||
Fortive Corp., | ||||||||||||
1.800%, 06/15/2019 | 4,650,000 | 4,616,434 | ||||||||||
Fresenius Medical Care US Finance II, Inc.: | ||||||||||||
6.500%, 09/15/2018(2) | 1,750,000 | 1,804,441 | ||||||||||
4.125%, 10/15/2020(2) | 19,325,000 | 19,904,750 | ||||||||||
Fresenius Medical Care US Finance, Inc., | ||||||||||||
5.750%, 02/15/2021(2) | 4,782,000 | 5,173,741 | ||||||||||
General Motors Financial Co., Inc.: | ||||||||||||
3.100%, 01/15/2019 | 2,825,000 | 2,840,120 | ||||||||||
2.400%, 05/09/2019 | 4,000,000 | 4,000,970 | ||||||||||
2.650%, 04/13/2020 | 3,425,000 | 3,425,723 | ||||||||||
2.192%, 08/07/2020 (3 Month LIBOR USD + 0.800%)(3) | 7,000,000 | 7,041,918 | ||||||||||
3.700%, 11/24/2020 | 1,409,000 | 1,446,455 | ||||||||||
4.200%, 03/01/2021 | 1,215,000 | 1,263,545 | ||||||||||
3.200%, 07/06/2021 | 8,500,000 | 8,582,968 | ||||||||||
Georgia-Pacific LLC: | ||||||||||||
2.539%, 11/15/2019(2) | 8,750,000 | 8,781,563 | ||||||||||
5.400%, 11/01/2020(2) | 9,968,000 | 10,750,663 | ||||||||||
Gilead Sciences, Inc., | ||||||||||||
2.550%, 09/01/2020 | 5,000,000 | 5,044,431 | ||||||||||
Glencore Funding LLC: | ||||||||||||
2.500%, 01/15/2019(2) | 600,000 | 600,390 | ||||||||||
2.719%, 01/15/2019 (3 Month LIBOR USD + 1.360%)(2)(3) | 6,395,000 | 6,448,590 | ||||||||||
3.125%, 04/29/2019(2) | 5,154,000 | 5,190,377 | ||||||||||
Grupo Bimbo SAB de CV, | ||||||||||||
4.875%, 06/30/2020(1)(2) | 1,800,000 | 1,904,707 | ||||||||||
Harris Corp.: | ||||||||||||
1.999%, 04/27/2018 | 17,030,000 | 17,012,202 | ||||||||||
2.700%, 04/27/2020 | 1,000,000 | 1,004,020 | ||||||||||
HCA, Inc., | ||||||||||||
6.500%, 02/15/2020 | 17,000,000 | 18,020,000 | ||||||||||
Hewlett Packard Enterprise Co.: | ||||||||||||
2.850%, 10/05/2018 | 16,000,000 | 16,077,107 | ||||||||||
3.273%, 10/05/2018 (3 Month LIBOR USD + 1.930%)(3) | 9,000,000 | 9,114,880 | ||||||||||
2.100%, 10/04/2019(2) | 5,000,000 | 4,965,777 | ||||||||||
HP, Inc.: | ||||||||||||
2.299%, 01/14/2019 (3 Month LIBOR USD + 0.940%)(3) | 5,700,000 | 5,720,664 | ||||||||||
4.375%, 09/15/2021 | 3,000,000 | 3,157,796 | ||||||||||
4.650%, 12/09/2021 | 16,417,000 | 17,449,838 | ||||||||||
Hyundai Capital America: | ||||||||||||
2.400%, 10/30/2018(2) | 8,125,000 | 8,117,152 | ||||||||||
2.500%, 03/18/2019(2) | 3,000,000 | 2,992,697 | ||||||||||
1.750%, 09/27/2019(2) | 5,000,000 | 4,904,760 | ||||||||||
2.750%, 09/18/2020(2) | 10,000,000 | 9,928,679 | ||||||||||
Hyundai Capital Services, Inc., | ||||||||||||
1.625%, 08/30/2019(1)(2) | 1,455,000 | 1,423,722 | ||||||||||
Ingersoll-Rand Global Holding Co. Ltd.: | ||||||||||||
6.875%, 08/15/2018 | 7,751,000 | 7,975,489 | ||||||||||
2.875%, 01/15/2019 | 10,153,000 | 10,204,993 | ||||||||||
The JM Smucker Co.: | ||||||||||||
1.750%, 03/15/2018 | 2,550,000 | 2,550,786 | ||||||||||
2.500%, 03/15/2020 | 2,725,000 | 2,731,722 | ||||||||||
Keysight Technologies, Inc., | ||||||||||||
3.300%, 10/30/2019 | 28,625,000 | 28,895,854 | ||||||||||
Kinder Morgan Energy Partners LP: | ||||||||||||
9.000%, 02/01/2019 | 2,692,000 | 2,873,987 | ||||||||||
6.500%, 04/01/2020 | 16,320,000 | 17,604,771 | ||||||||||
Kinder Morgan, Inc., | ||||||||||||
7.250%, 06/01/2018 | 1,710,000 | 1,746,020 | ||||||||||
Kraft Heinz Foods Co.: | ||||||||||||
2.000%, 07/02/2018 | 10,000,000 | 9,999,700 | ||||||||||
5.375%, 02/10/2020 | 2,250,000 | 2,383,868 | ||||||||||
1.980%, 02/10/2021 (3 Month LIBOR USD + 0.570%)(3) | 15,000,000 | 15,037,686 | ||||||||||
Laboratory Corp. of America Holdings: | ||||||||||||
2.500%, 11/01/2018 | 12,050,000 | 12,086,977 | ||||||||||
2.625%, 02/01/2020 | 2,000,000 | 2,005,266 | ||||||||||
LyondellBasell Industries NV, | ||||||||||||
5.000%, 04/15/2019(1) | 2,260,000 | 2,320,403 | ||||||||||
Marathon Petroleum Corp.: | ||||||||||||
2.700%, 12/14/2018 | 14,100,000 | 14,150,649 | ||||||||||
3.400%, 12/15/2020 | 15,000,000 | 15,326,921 | ||||||||||
Martin Marietta Materials, Inc.: | ||||||||||||
2.125%, 12/20/2019 (3 Month LIBOR USD + 0.500%)(3) | 1,250,000 | 1,252,036 | ||||||||||
2.096%, 05/22/2020 (3 Month LIBOR USD + 0.650%)(3) | 5,400,000 | 5,428,733 | ||||||||||
Masco Corp.: | ||||||||||||
7.125%, 03/15/2020 | 40,000 | 43,617 | ||||||||||
3.500%, 04/01/2021 | 3,881,000 | 3,941,738 | ||||||||||
McDonald's Corp., | ||||||||||||
2.100%, 12/07/2018 | 9,500,000 | 9,509,702 | ||||||||||
McKesson Corp., | ||||||||||||
7.500%, 02/15/2019 | 10,890,000 | 11,503,472 | ||||||||||
Medtronic, Inc., | ||||||||||||
2.388%, 03/15/2020 (3 Month LIBOR USD + 0.800%)(3) | 2,250,000 | 2,277,817 | ||||||||||
Molex Electronic Technologies LLC, | ||||||||||||
2.878%, 04/15/2020(2) | 25,115,000 | 25,120,490 | ||||||||||
Mondelez International Holdings Netherlands BV, | ||||||||||||
1.625%, 10/28/2019(1)(2) | 9,750,000 | 9,609,296 | ||||||||||
Mondelez International, Inc., | ||||||||||||
1.897%, 02/01/2019 (3 Month LIBOR USD + 0.520%)(3) | 9,337,000 | 9,359,777 | ||||||||||
Motiva Enterprises LLC, | ||||||||||||
5.750%, 01/15/2020(2) | 10,500,000 | 11,089,152 | ||||||||||
Mylan NV: | ||||||||||||
3.000%, 12/15/2018(1) | 14,095,000 | 14,170,370 | ||||||||||
2.500%, 06/07/2019(1) | 7,000,000 | 6,992,764 | ||||||||||
3.150%, 06/15/2021(1) | 3,000,000 | 3,016,748 | ||||||||||
Mylan, Inc.: | ||||||||||||
2.600%, 06/24/2018 | 1,150,000 | 1,151,911 | ||||||||||
2.550%, 03/28/2019 | 5,000,000 | 5,000,105 | ||||||||||
NetApp, Inc., | ||||||||||||
2.000%, 09/27/2019 | 5,000,000 | 4,961,263 | ||||||||||
Newell Brands, Inc.: | ||||||||||||
2.600%, 03/29/2019 | 798,000 | 800,726 | ||||||||||
3.150%, 04/01/2021 | 24,283,000 | 24,554,672 | ||||||||||
Nissan Motor Acceptance Corp.: | ||||||||||||
2.650%, 09/26/2018(2) | 4,760,000 | 4,778,061 | ||||||||||
2.150%, 07/13/2020(2) | 20,000,000 | 19,847,231 | ||||||||||
2.150%, 09/28/2020(2) | 4,300,000 | 4,264,458 | ||||||||||
Noble Holding International Ltd., | ||||||||||||
5.750%, 03/16/2018(1) | 1,848,000 | 1,852,620 | ||||||||||
Norfolk Southern Railway Co., | ||||||||||||
9.750%, 06/15/2020 | 2,000,000 | 2,332,766 | ||||||||||
Northern Border Pipeline Co., | ||||||||||||
7.500%, 09/15/2021 | 4,500,000 | 5,113,259 | ||||||||||
NXP BV / NXP Funding LLC, | ||||||||||||
3.750%, 06/01/2018(1)(2) | 18,215,000 | 18,324,290 | ||||||||||
ONEOK Partners LP, | ||||||||||||
8.625%, 03/01/2019 | 1,500,000 | 1,601,051 | ||||||||||
Pentair Finance SA: | ||||||||||||
2.900%, 09/15/2018(1) | 15,195,000 | 15,254,791 | ||||||||||
2.650%, 12/01/2019(1) | 8,868,000 | 8,829,627 | ||||||||||
Perrigo Finance Unlimited Co.: | ||||||||||||
3.500%, 03/15/2021(1) | 3,138,000 | 3,184,695 | ||||||||||
3.500%, 12/15/2021(1) | 2,401,000 | 2,445,147 | ||||||||||
Petrofac Ltd., | ||||||||||||
3.400%, 10/10/2018(1)(2) | 20,050,000 | 19,849,500 | ||||||||||
Phillips 66 Partners LP, | ||||||||||||
2.646%, 02/15/2020 | 2,000,000 | 1,999,961 | ||||||||||
Pioneer Natural Resources Co., | ||||||||||||
6.875%, 05/01/2018 | 1,000,000 | 1,015,385 | ||||||||||
Potash Corp of Saskatchewan, Inc.: | ||||||||||||
6.500%, 05/15/2019(1) | 13,500,000 | 14,195,866 | ||||||||||
4.875%, 03/30/2020(1) | 13,000,000 | 13,610,981 | ||||||||||
Republic Services, Inc.: | ||||||||||||
3.800%, 05/15/2018 | 20,175,000 | 20,314,484 | ||||||||||
5.500%, 09/15/2019 | 6,446,000 | 6,778,485 | ||||||||||
Rogers Communications, Inc., | ||||||||||||
6.800%, 08/15/2018(1) | 3,233,000 | 3,327,980 | ||||||||||
Rolls-Royce PLC, | ||||||||||||
2.375%, 10/14/2020(1)(2) | 5,000,000 | 4,967,165 | ||||||||||
Royal Caribbean Cruises Ltd., | ||||||||||||
2.650%, 11/28/2020(1) | 5,000,000 | 4,996,297 | ||||||||||
RPM International, Inc., | ||||||||||||
6.500%, 02/15/2018 | 3,870,000 | 3,889,928 | ||||||||||
Sabine Pass Liquefaction LLC, | ||||||||||||
5.625%, 02/01/2021 | 12,750,000 | 13,668,739 | ||||||||||
Sherwin-Williams Co.: | ||||||||||||
7.250%, 06/15/2019 | 2,513,000 | 2,686,614 | ||||||||||
2.250%, 05/15/2020 | 6,200,000 | 6,179,243 | ||||||||||
Shire Acquisitions Investments Ireland DAC: | ||||||||||||
1.900%, 09/23/2019(1) | 9,775,000 | 9,686,502 | ||||||||||
2.400%, 09/23/2021(1) | 1,450,000 | 1,427,179 | ||||||||||
Smithfield Foods, Inc.: | ||||||||||||
2.700%, 01/31/2020(2) | 14,875,000 | 14,777,930 | ||||||||||
2.650%, 10/03/2021(2) | 16,000,000 | 15,787,733 | ||||||||||
Solvay Finance America LLC, | ||||||||||||
3.400%, 12/03/2020(2) | 8,790,000 | 8,975,533 | ||||||||||
Stryker Corp., | ||||||||||||
2.000%, 03/08/2019 | 6,250,000 | 6,240,352 | ||||||||||
Telefonica Emisiones SAU, | ||||||||||||
5.462%, 02/16/2021(1) | 12,577,000 | 13,604,689 | ||||||||||
Teva Pharmaceutical Finance Netherlands III BV: | ||||||||||||
1.400%, 07/20/2018(1) | 6,000,000 | 5,960,056 | ||||||||||
1.700%, 07/19/2019(1) | 7,000,000 | 6,801,174 | ||||||||||
2.200%, 07/21/2021(1) | 15,654,000 | 14,299,467 | ||||||||||
Time Warner Cable LLC: | ||||||||||||
6.750%, 07/01/2018 | 6,000,000 | 6,132,991 | ||||||||||
8.750%, 02/14/2019 | 4,395,000 | 4,686,069 | ||||||||||
8.250%, 04/01/2019 | 2,564,000 | 2,740,370 | ||||||||||
Time Warner, Inc., | ||||||||||||
4.875%, 03/15/2020 | 3,225,000 | 3,393,518 | ||||||||||
Total Capital International SA, | ||||||||||||
1.963%, 06/19/2019 (3 Month LIBOR USD + 0.350%)(1)(3) | 7,700,000 | 7,725,667 | ||||||||||
Total System Services, Inc., | ||||||||||||
2.375%, 06/01/2018 | 2,075,000 | 2,075,623 | ||||||||||
TransCanada PipeLines Ltd.: | ||||||||||||
1.875%, 01/12/2018(1) | 4,000,000 | 3,999,921 | ||||||||||
3.125%, 01/15/2019(1) | 6,800,000 | 6,862,164 | ||||||||||
TSMC Global Ltd., | ||||||||||||
1.625%, 04/03/2018(1)(2) | 15,919,000 | 15,890,935 | ||||||||||
TTX Co., | ||||||||||||
2.250%, 02/01/2019(2) | 7,450,000 | 7,431,699 | ||||||||||
Vale Overseas Ltd., | ||||||||||||
5.875%, 06/10/2021(1) | 25,594,000 | 27,871,866 | ||||||||||
Valero Energy Corp., | ||||||||||||
9.375%, 03/15/2019 | 10,349,000 | 11,208,418 | ||||||||||
Verisk Analytics, Inc.: | ||||||||||||
4.875%, 01/15/2019 | 19,150,000 | 19,609,441 | ||||||||||
5.800%, 05/01/2021 | 4,949,000 | 5,385,113 | ||||||||||
Verizon Communications, Inc., | ||||||||||||
2.946%, 03/15/2022 | 23,880,000 | 24,025,455 | ||||||||||
Vulcan Materials Co., | ||||||||||||
2.188%, 06/15/2020 (3 Month LIBOR USD + 0.600%)(3) | 11,630,000 | 11,638,252 | ||||||||||
Walgreen Co., | ||||||||||||
5.250%, 01/15/2019 | 2,330,000 | 2,400,556 | ||||||||||
Westlake Chemical Corp., | ||||||||||||
4.625%, 02/15/2021 | 20,000,000 | 20,500,000 | ||||||||||
Yara International ASA, | ||||||||||||
7.875%, 06/11/2019(1)(2) | 500,000 | 536,578 | ||||||||||
Zimmer Holdings, Inc., | ||||||||||||
2.700%, 04/01/2020 | 27,610,000 | 27,623,420 | ||||||||||
Zoetis, Inc., | ||||||||||||
3.450%, 11/13/2020 | 7,932,000 | 8,119,296 | ||||||||||
1,694,738,109 | 30.6 | % |
Utilities | ||||||||||||
CMS Energy Corp., | ||||||||||||
8.750%, 06/15/2019 | 706,000 | 768,215 | ||||||||||
Dominion Resources, Inc.: | ||||||||||||
6.400%, 06/15/2018 | 3,550,000 | 3,623,248 | ||||||||||
2.962%, 07/01/2019(6) | 4,000,000 | 4,030,966 | ||||||||||
2.500%, 12/01/2019 | 9,500,000 | 9,514,582 | ||||||||||
Exelon Corp.: | ||||||||||||
2.850%, 06/15/2020 | 2,275,000 | 2,296,213 | ||||||||||
5.150%, 12/01/2020 | 7,775,000 | 8,279,063 | ||||||||||
Exelon Generation Co LLC: | ||||||||||||
2.950%, 01/15/2020 | 7,500,000 | 7,576,312 | ||||||||||
4.000%, 10/01/2020 | 8,300,000 | 8,553,278 | ||||||||||
Iberdrola Finance Ireland Ltd., | ||||||||||||
5.000%, 09/11/2019(1)(2) | 2,400,000 | 2,498,336 | ||||||||||
National Rural Utilities Cooperative Finance Corp., | ||||||||||||
10.375%, 11/01/2018 | 1,075,000 | 1,148,448 | ||||||||||
NextEra Energy Capital Holdings, Inc., | ||||||||||||
1.649%, 09/01/2018 | 6,575,000 | 6,555,995 | ||||||||||
NV Energy, Inc., | ||||||||||||
6.250%, 11/15/2020 | 1,668,000 | 1,831,862 | ||||||||||
Orange Cogen Funding Corp., | ||||||||||||
8.175%, 03/15/2022(2) | 8,132,880 | 9,057,162 | ||||||||||
Pacific Gas & Electric Co., | ||||||||||||
8.250%, 10/15/2018 | 4,160,000 | 4,352,916 | ||||||||||
Public Service Co. of New Mexico, | ||||||||||||
7.950%, 05/15/2018 | 1,431,000 | 1,460,798 | ||||||||||
Sempra Energy, | ||||||||||||
9.800%, 02/15/2019 | 2,575,000 | 2,788,827 | ||||||||||
The Southern Co.: | ||||||||||||
1.850%, 07/01/2019 | 4,750,000 | 4,721,263 | ||||||||||
2.750%, 06/15/2020 | 11,000,000 | 11,069,655 | ||||||||||
Southern Power Co., | ||||||||||||
1.950%, 12/15/2019 | 4,600,000 | 4,562,192 | ||||||||||
UIL Holdings Corp., | ||||||||||||
4.625%, 10/01/2020 | 1,750,000 | 1,832,496 | ||||||||||
96,521,827 | 1.8 | % | ||||||||||
Financials | ||||||||||||
ABN AMRO Bank NV: | ||||||||||||
2.500%, 10/30/2018(1)(2) | 1,150,000 | 1,153,908 | ||||||||||
2.100%, 01/18/2019(1)(2) | 18,000,000 | 17,976,456 | ||||||||||
1.800%, 09/20/2019(1)(2) | 4,750,000 | 4,704,970 | ||||||||||
American Express Co., | ||||||||||||
7.000%, 03/19/2018 | 2,661,000 | 2,689,500 | ||||||||||
American Express Credit Corp., | ||||||||||||
1.906%, 08/15/2019 (3 Month LIBOR USD + 0.490%)(3) | 2,000,000 | 2,007,692 | ||||||||||
American International Group, Inc.: | ||||||||||||
2.300%, 07/16/2019 | 1,400,000 | 1,398,950 | ||||||||||
3.375%, 08/15/2020 | 2,000,000 | 2,043,718 | ||||||||||
6.400%, 12/15/2020 | 16,900,000 | 18,735,662 | ||||||||||
Anthem, Inc., | ||||||||||||
2.500%, 11/21/2020 | 14,325,000 | 14,295,091 | ||||||||||
ANZ New Zealand (Int'l) Ltd.: | ||||||||||||
2.600%, 09/23/2019(1)(2) | 3,350,000 | 3,361,920 | ||||||||||
2.200%, 07/17/2020(1)(2) | 10,000,000 | 9,942,756 | ||||||||||
2.850%, 08/06/2020(1)(2) | 3,000,000 | 3,024,135 | ||||||||||
Australia & New Zealand Banking Group Ltd., | ||||||||||||
2.250%, 06/13/2019(1) | 1,000,000 | 1,001,223 | ||||||||||
Bank of America Corp.: | ||||||||||||
2.600%, 01/15/2019 | 5,750,000 | 5,769,681 | ||||||||||
5.625%, 07/01/2020 | 2,000,000 | 2,161,327 | ||||||||||
5.875%, 01/05/2021 | 10,000,000 | 11,012,272 | ||||||||||
2.369%, 07/21/2021 (3 Month LIBOR USD + 0.660%)(3) | 10,000,000 | 9,982,484 | ||||||||||
2.328%, 10/01/2021 (3 Month LIBOR USD + 0.630%)(3) | 10,000,000 | 9,971,809 | ||||||||||
Bank of Montreal: | ||||||||||||
1.950%, 04/09/2018 (3 Month LIBOR USD + 0.600%)(1)(3) | 1,325,000 | 1,326,644 | ||||||||||
1.800%, 07/31/2018(1) | 5,000,000 | 4,997,112 | ||||||||||
1.900%, 08/27/2021(1) | 10,000,000 | 9,789,339 | ||||||||||
The Bank of New York Mellon Corp., | ||||||||||||
1.937%, 08/01/2018 (3 Month LIBOR USD + 0.560%)(3) | 1,000,000 | 1,002,350 | ||||||||||
The Bank of Nova Scotia, | ||||||||||||
2.006%, 06/11/2018 (3 Month LIBOR USD + 0.470%)(1)(3) | 3,500,000 | 3,504,147 | ||||||||||
The Bank of Tokyo-Mitsubishi UFJ Ltd., | ||||||||||||
2.150%, 09/14/2018(1)(2) | 6,300,000 | 6,306,330 | ||||||||||
Banque Federative du Credit Mutuel SA: | ||||||||||||
2.000%, 04/12/2019(1)(2) | 18,600,000 | 18,531,505 | ||||||||||
2.200%, 07/20/2020(1)(2) | 5,000,000 | 4,967,917 | ||||||||||
2.750%, 10/15/2020(1)(2) | 2,200,000 | 2,214,570 | ||||||||||
Barclays Bank PLC, | ||||||||||||
5.140%, 10/14/2020(1) | 5,506,000 | 5,830,610 | ||||||||||
Barclays PLC: | ||||||||||||
2.000%, 03/16/2018(1) | 4,000,000 | 4,000,024 | ||||||||||
2.875%, 06/08/2020(1) | 3,000,000 | 3,009,117 | ||||||||||
3.250%, 01/12/2021(1) | 15,175,000 | 15,320,726 | ||||||||||
The Bear Stearns Companies LLC, | ||||||||||||
7.250%, 02/01/2018 | 450,000 | 451,799 | ||||||||||
BNP Paribas SA: | ||||||||||||
2.400%, 12/12/2018(1) | 1,600,000 | 1,604,514 | ||||||||||
2.375%, 05/21/2020(1) | 3,225,000 | 3,229,016 | ||||||||||
BNZ International Funding Ltd.: | ||||||||||||
1.900%, 02/26/2018(1)(2) | 1,700,000 | 1,700,134 | ||||||||||
2.350%, 03/04/2019(1)(2) | 7,250,000 | 7,256,991 | ||||||||||
BPCE SA: | ||||||||||||
2.500%, 12/10/2018(1) | 10,525,000 | 10,554,589 | ||||||||||
2.500%, 07/15/2019(1) | 1,000,000 | 1,003,335 | ||||||||||
3.000%, 05/22/2022(1)(2) | 10,000,000 | 9,994,460 | ||||||||||
Caisse Centrale Desjardins: | ||||||||||||
1.750%, 01/29/2018(1)(2) | 4,000,000 | 3,999,530 | ||||||||||
2.043%, 01/29/2018 (3 Month LIBOR USD + 0.670%)(1)(2)(3) | 10,000,000 | 10,002,081 | ||||||||||
Canadian Imperial Bank of Commerce, | ||||||||||||
1.600%, 09/06/2019(1) | 20,000,000 | 19,793,881 | ||||||||||
Capital One Financial Corp., | ||||||||||||
2.500%, 05/12/2020 | 10,400,000 | 10,386,977 | ||||||||||
Capital One NA: | ||||||||||||
2.071%, 02/05/2018 (3 Month LIBOR USD + 0.680%)(3) | 2,000,000 | 2,000,002 | ||||||||||
2.250%, 02/13/2019 | 1,500,000 | 1,498,029 | ||||||||||
2.400%, 09/05/2019 | 9,300,000 | 9,287,481 | ||||||||||
1.850%, 09/13/2019 | 5,000,000 | 4,951,784 | ||||||||||
Citigroup, Inc.: | ||||||||||||
1.700%, 04/27/2018 | 2,000,000 | 1,998,009 | ||||||||||
2.150%, 07/30/2018 | 3,975,000 | 3,977,473 | ||||||||||
2.050%, 12/07/2018 | 4,000,000 | 3,995,816 | ||||||||||
2.450%, 01/10/2020 | 14,825,000 | 14,831,835 | ||||||||||
2.700%, 03/30/2021 | 10,000,000 | 10,030,375 | ||||||||||
Citizens Bank NA: | ||||||||||||
2.500%, 03/14/2019 | 2,700,000 | 2,706,394 | ||||||||||
2.250%, 03/02/2020 | 5,000,000 | 4,976,189 | ||||||||||
2.200%, 05/26/2020 | 9,100,000 | 9,036,508 | ||||||||||
Comerica Bank, | ||||||||||||
2.500%, 06/02/2020 | 7,000,000 | 6,990,770 | ||||||||||
Commonwealth Bank of Australia: | ||||||||||||
1.949%, 03/12/2018 (3 Month LIBOR USD + 0.400%)(1)(2)(3) | 2,500,000 | 2,500,853 | ||||||||||
2.500%, 09/20/2018(1) | 2,150,000 | 2,157,288 | ||||||||||
1.750%, 11/02/2018(1) | 15,000,000 | 14,967,440 | ||||||||||
2.050%, 03/15/2019(1) | 1,500,000 | 1,498,361 | ||||||||||
Compass Bank, | ||||||||||||
2.750%, 09/29/2019 | 9,906,000 | 9,933,398 | ||||||||||
Cooperatieve Rabobank, | ||||||||||||
2.750%, 01/10/2022(1) | 5,000,000 | 5,040,266 | ||||||||||
Credit Suisse: | ||||||||||||
2.750%, 03/26/2020(1) | 9,000,000 | 9,035,090 | ||||||||||
3.450%, 04/16/2021(1) | 7,000,000 | 7,163,456 | ||||||||||
Credit Suisse AG: | ||||||||||||
6.000%, 02/15/2018(1) | 8,440,000 | 8,478,253 | ||||||||||
1.700%, 04/27/2018(1) | 2,500,000 | 2,498,140 | ||||||||||
Deutsche Bank AG: | ||||||||||||
1.875%, 02/13/2018(1) | 3,000,000 | 2,999,550 | ||||||||||
2.804%, 01/18/2019 (3 Month LIBOR USD + 1.450%)(1)(3) | 4,000,000 | 4,036,942 | ||||||||||
2.500%, 02/13/2019(1) | 8,000,000 | 7,996,744 | ||||||||||
2.950%, 08/20/2020(1) | 4,400,000 | 4,405,556 | ||||||||||
3.125%, 01/13/2021(1) | 5,515,000 | 5,547,481 | ||||||||||
4.250%, 10/14/2021(1) | 5,000,000 | 5,201,826 | ||||||||||
Discover Bank: | ||||||||||||
2.000%, 02/21/2018 | 1,875,000 | 1,875,130 | ||||||||||
2.600%, 11/13/2018 | 8,000,000 | 8,027,148 | ||||||||||
8.700%, 11/18/2019 | 7,395,000 | 8,131,351 | ||||||||||
3.100%, 06/04/2020 | 8,735,000 | 8,838,665 | ||||||||||
DNB Bank ASA, | ||||||||||||
2.125%, 10/02/2020(1)(2) | 14,300,000 | 14,163,866 | ||||||||||
Fifth Third Bancorp, | ||||||||||||
2.875%, 07/27/2020 | 5,000,000 | 5,052,846 | ||||||||||
First Horizon National Corp., | ||||||||||||
3.500%, 12/15/2020 | 11,148,000 | 11,384,127 | ||||||||||
First Niagara Financial Group, Inc., | ||||||||||||
6.750%, 03/19/2020 | 3,850,000 | 4,198,667 | ||||||||||
First Tennessee Bank NA, | ||||||||||||
2.950%, 12/01/2019 | 15,286,000 | 15,387,724 | ||||||||||
Goldman Sachs Group, Inc., | ||||||||||||
2.876%, 10/31/2022 (3 Month LIBOR USD + 0.820%)(3) | 12,000,000 | 11,965,610 | ||||||||||
The Goldman Sachs Group, Inc.: | ||||||||||||
5.950%, 01/18/2018 | 1,045,000 | 1,046,648 | ||||||||||
6.150%, 04/01/2018 | 4,775,000 | 4,825,255 | ||||||||||
2.900%, 07/19/2018 | 1,000,000 | 1,004,546 | ||||||||||
7.500%, 02/15/2019 | 3,000,000 | 3,170,506 | ||||||||||
2.383%, 10/23/2019 (3 Month LIBOR USD + 1.020%)(3) | 2,751,000 | 2,781,151 | ||||||||||
2.300%, 12/13/2019 | 12,000,000 | 11,992,301 | ||||||||||
3.000%, 04/26/2022 | 5,000,000 | 5,019,602 | ||||||||||
Guardian Life Global Funding, | ||||||||||||
2.000%, 04/26/2021(2) | 7,825,000 | 7,665,256 | ||||||||||
The Hartford Financial Services Group, Inc.: | ||||||||||||
6.300%, 03/15/2018 | 1,825,000 | 1,840,891 | ||||||||||
6.000%, 01/15/2019 | 455,000 | 471,438 | ||||||||||
5.500%, 03/30/2020 | 1,947,000 | 2,075,137 | ||||||||||
HSBC Bank USA NA, | ||||||||||||
4.875%, 08/24/2020 | 10,000,000 | 10,575,389 | ||||||||||
HSBC Finance Corp., | ||||||||||||
6.676%, 01/15/2021 | 929,000 | 1,032,868 | ||||||||||
HSBC Holdings PLC, | ||||||||||||
3.400%, 03/08/2021(1) | 5,000,000 | 5,110,486 | ||||||||||
HSBC USA, Inc.: | ||||||||||||
2.555%, 09/24/2018 (3 Month LIBOR USD + 0.880%)(3) | 1,000,000 | 1,005,201 | ||||||||||
2.023%, 11/13/2019 (3 Month LIBOR USD + 0.610%)(3) | 9,750,000 | 9,805,130 | ||||||||||
5.000%, 09/27/2020 | 4,805,000 | 5,086,601 | ||||||||||
Humana, Inc., | ||||||||||||
2.500%, 12/15/2020 | 9,625,000 | 9,617,624 | ||||||||||
Huntington Bancshares, Inc.: | ||||||||||||
2.600%, 08/02/2018 | 7,375,000 | 7,396,691 | ||||||||||
3.150%, 03/14/2021 | 1,335,000 | 1,356,000 | ||||||||||
The Huntington National Bank, | ||||||||||||
2.000%, 06/30/2018 | 12,990,000 | 12,994,875 | ||||||||||
ING Bank NV: | ||||||||||||
1.650%, 08/15/2019(1)(2) | 10,000,000 | 9,885,811 | ||||||||||
2.500%, 10/01/2019(1)(2) | 8,961,000 | 8,983,592 | ||||||||||
Jackson National Life Global Funding, | ||||||||||||
2.200%, 01/30/2020(2) | 24,125,000 | 24,038,903 | ||||||||||
Jefferies Group LLC: | ||||||||||||
5.125%, 04/13/2018 | 4,836,000 | 4,875,651 | ||||||||||
8.500%, 07/15/2019 | 1,500,000 | 1,629,260 | ||||||||||
6.875%, 04/15/2021 | 7,133,000 | 7,979,698 | ||||||||||
JPMorgan Chase & Co.: | ||||||||||||
1.917%, 04/25/2018 (3 Month LIBOR USD + 0.550%)(3) | 3,500,000 | 3,503,990 | ||||||||||
2.008%, 01/28/2019 (3 Month LIBOR USD + 0.630%)(3) | 750,000 | 753,485 | ||||||||||
6.300%, 04/23/2019 | 5,000,000 | 5,263,984 | ||||||||||
2.250%, 01/23/2020 | 8,100,000 | 8,094,581 | ||||||||||
2.295%, 08/15/2021 | 10,550,000 | 10,455,520 | ||||||||||
KEB Hana Bank, | ||||||||||||
1.750%, 10/18/2019(1)(2) | 18,000,000 | 17,661,600 | ||||||||||
KeyBank NA: | ||||||||||||
2.350%, 03/08/2019 | 6,500,000 | 6,511,920 | ||||||||||
1.600%, 08/22/2019 | 3,000,000 | 2,967,222 | ||||||||||
2.500%, 12/15/2019 | 5,325,000 | 5,340,703 | ||||||||||
Kookmin Bank, | ||||||||||||
1.625%, 08/01/2019(1)(2) | 8,000,000 | 7,849,600 | ||||||||||
LeasePlan Corp. NV, | ||||||||||||
2.500%, 05/16/2018(1)(2) | 16,435,000 | 16,436,920 | ||||||||||
Lloyds Bank PLC: | ||||||||||||
1.750%, 05/14/2018(1) | 5,825,000 | 5,823,966 | ||||||||||
2.000%, 08/17/2018(1) | 4,500,000 | 4,500,832 | ||||||||||
2.050%, 01/22/2019(1) | 4,000,000 | 3,996,931 | ||||||||||
6.500%, 09/14/2020(1)(2) | 1,543,000 | 1,687,035 | ||||||||||
Macquarie Bank Ltd., | ||||||||||||
2.400%, 01/21/2020(1)(2) | 13,000,000 | 12,968,150 | ||||||||||
Macquarie Group Ltd, | ||||||||||||
6.000%, 01/14/2020(1)(2) | 13,475,000 | 14,355,964 | ||||||||||
Manufacturers & Traders Trust Co., | ||||||||||||
2.779%, 12/28/2020 (1 Month LIBOR USD + 1.220%)(3) | 282,000 | 282,074 | ||||||||||
Marsh & McLennan Cos, Inc., | ||||||||||||
2.750%, 01/30/2022 | 7,000,000 | 7,014,105 | ||||||||||
Mitsubishi UFJ Financial Group, Inc., | ||||||||||||
2.190%, 09/13/2021(1) | 15,000,000 | 14,728,547 | ||||||||||
Mitsubishi UFJ Trust & Banking Corp., | ||||||||||||
2.650%, 10/19/2020(1)(2) | 4,550,000 | 4,556,724 | ||||||||||
Mizuho Bank Ltd.: | ||||||||||||
2.315%, 03/26/2018 (3 Month LIBOR USD + 0.640%)(1)(2)(3) | 1,250,000 | 1,251,371 | ||||||||||
2.553%, 10/20/2018 (3 Month LIBOR USD + 1.190%)(1)(2)(3) | 2,500,000 | 2,518,112 | ||||||||||
2.450%, 04/16/2019(1)(2) | 2,400,000 | 2,401,762 | ||||||||||
Mizuho Financial Group, Inc.: | ||||||||||||
2.632%, 04/12/2021(1)(2) | 12,350,000 | 12,315,146 | ||||||||||
2.837%, 04/12/2021 (3 Month LIBOR USD + 1.480%)(1)(2)(3) | 3,000,000 | 3,074,474 | ||||||||||
Morgan Stanley: | ||||||||||||
2.083%, 01/05/2018 (3 Month LIBOR USD + 0.740%)(3) | 1,500,000 | 1,500,038 | ||||||||||
6.625%, 04/01/2018 | 2,000,000 | 2,021,911 | ||||||||||
2.215%, 01/24/2019 (3 Month LIBOR USD + 0.850%)(3) | 4,750,000 | 4,774,755 | ||||||||||
7.300%, 05/13/2019 | 15,125,000 | 16,124,919 | ||||||||||
2.514%, 01/27/2020 (3 Month LIBOR USD + 1.140%)(3) | 4,000,000 | 4,057,639 | ||||||||||
2.293%, 07/22/2022 (3 Month LIBOR USD + 0.930%)(3) | 10,000,000 | 10,080,313 | ||||||||||
National Australia Bank Ltd., | ||||||||||||
2.250%, 01/10/2020(1) | 24,600,000 | 24,575,499 | ||||||||||
National Bank of Canada: | ||||||||||||
2.414%, 12/14/2018 (3 Month LIBOR USD + 0.840%)(1)(3) | 1,000,000 | 1,006,374 | ||||||||||
2.150%, 06/12/2020(1) | 23,525,000 | 23,391,354 | ||||||||||
Nationwide Building Society: | ||||||||||||
2.350%, 01/21/2020(1)(2) | 9,700,000 | 9,693,899 | ||||||||||
6.250%, 02/25/2020(1)(2) | 5,000,000 | 5,389,309 | ||||||||||
New York Life Global Funding, | ||||||||||||
1.550%, 11/02/2018(2) | 9,500,000 | 9,467,006 | ||||||||||
Nomura Holdings, Inc.: | ||||||||||||
2.750%, 03/19/2019(1) | 5,313,000 | 5,352,733 | ||||||||||
6.700%, 03/04/2020(1) | 3,654,000 | 3,959,007 | ||||||||||
Nordea Bank AB: | ||||||||||||
2.313%, 09/30/2019 (3 Month LIBOR USD + 0.620%)(1)(2)(3) | 2,400,000 | 2,417,082 | ||||||||||
4.875%, 05/13/2021(1)(2) | 8,980,000 | 9,525,647 | ||||||||||
The Northern Trust Co., | ||||||||||||
6.500%, 08/15/2018 | 4,075,000 | 4,186,902 | ||||||||||
Pricoa Global Funding I, | ||||||||||||
1.450%, 09/13/2019(2) | 12,000,000 | 11,814,006 | ||||||||||
Principal Life Global Funding II: | ||||||||||||
1.500%, 04/18/2019(2) | 3,000,000 | 2,974,132 | ||||||||||
2.150%, 01/10/2020(2) | 19,100,000 | 19,025,077 | ||||||||||
Protective Life Global Funding: | ||||||||||||
1.555%, 09/13/2019(2) | 18,000,000 | 17,794,946 | ||||||||||
2.161%, 09/25/2020(2) | 10,000,000 | 9,891,941 | ||||||||||
Prudential Financial, Inc., | ||||||||||||
7.375%, 06/15/2019 | 7,000,000 | 7,516,874 | ||||||||||
RBC USA Holdco Corp., | ||||||||||||
5.250%, 09/15/2020 | 3,310,000 | 3,546,002 | ||||||||||
Regions Bank, | ||||||||||||
7.500%, 05/15/2018 | 10,034,000 | 10,234,926 | ||||||||||
Reliance Standard Life Global Funding II: | ||||||||||||
2.150%, 10/15/2018(2) | 13,000,000 | 13,010,711 | ||||||||||
2.500%, 04/24/2019(2) | 2,300,000 | 2,305,094 | ||||||||||
2.500%, 01/15/2020(2) | 6,000,000 | 6,000,275 | ||||||||||
The Royal Bank of Scotland PLC, | ||||||||||||
5.625%, 08/24/2020(1) | 1,000,000 | 1,073,407 | ||||||||||
Santander Holdings USA, Inc., | ||||||||||||
2.700%, 05/24/2019 | 10,000,000 | 10,021,805 | ||||||||||
Santander UK Group Holdings PLC: | ||||||||||||
2.875%, 10/16/2020(1) | 4,000,000 | 4,013,220 | ||||||||||
3.125%, 01/08/2021(1) | 3,500,000 | 3,532,921 | ||||||||||
Santander UK PLC, | ||||||||||||
2.500%, 03/14/2019(1) | 10,000,000 | 10,030,733 | ||||||||||
Skandinaviska Enskilda Banken AB: | ||||||||||||
2.375%, 11/20/2018(1)(2) | 5,000,000 | 5,009,615 | ||||||||||
2.375%, 03/25/2019(1)(2) | 950,000 | 952,132 | ||||||||||
2.450%, 05/27/2020(1)(2) | 4,700,000 | 4,702,914 | ||||||||||
Societe Generale SA: | ||||||||||||
2.625%, 10/01/2018(1) | 5,700,000 | 5,723,721 | ||||||||||
2.775%, 10/01/2018 (3 Month LIBOR USD + 1.080%)(1)(3) | 6,000,000 | 6,041,958 | ||||||||||
Standard Chartered PLC: | ||||||||||||
1.993%, 04/17/2018 (3 Month LIBOR USD + 0.640%)(1)(2)(3) | 2,000,000 | 2,002,140 | ||||||||||
2.100%, 08/19/2019(1)(2) | 4,500,000 | 4,471,479 | ||||||||||
2.400%, 09/08/2019(1)(2) | 4,225,000 | 4,213,990 | ||||||||||
2.250%, 04/17/2020(1)(2) | 5,000,000 | 4,954,370 | ||||||||||
3.050%, 01/15/2021(1)(2) | 13,871,000 | 13,981,552 | ||||||||||
Stifel Financial Corp., | ||||||||||||
3.500%, 12/01/2020 | 18,873,000 | 19,021,280 | ||||||||||
Sumitomo Mitsui Banking Corp.: | ||||||||||||
1.939%, 01/16/2018 (3 Month LIBOR USD + 0.580%)(1)(3) | 2,885,000 | 2,885,228 | ||||||||||
1.950%, 07/23/2018(1) | 3,500,000 | 3,499,471 | ||||||||||
1.762%, 10/19/2018(1) | 5,000,000 | 4,992,843 | ||||||||||
2.294%, 01/18/2019 (3 Month LIBOR USD + 0.940%)(1)(3) | 1,000,000 | 1,007,232 | ||||||||||
2.450%, 01/16/2020(1) | 4,500,000 | 4,501,429 | ||||||||||
Sumitomo Mitsui Trust Bank Ltd., | ||||||||||||
2.050%, 03/06/2019(1)(2) | 22,400,000 | 22,341,963 | ||||||||||
SunTrust Bank, | ||||||||||||
7.250%, 03/15/2018 | 154,000 | 155,574 | ||||||||||
Svenska Handelsbanken AB: | ||||||||||||
1.625%, 03/21/2018(1) | 1,100,000 | 1,099,694 | ||||||||||
2.090%, 06/17/2019 (3 Month LIBOR USD + 0.490%)(1)(3) | 2,000,000 | 2,009,710 | ||||||||||
2.625%, 10/01/2020 (3 Month LIBOR USD + 0.930%)(1)(3) | 10,000,000 | 10,170,270 | ||||||||||
Synchrony Financial: | ||||||||||||
2.600%, 01/15/2019 | 2,000,000 | 2,003,783 | ||||||||||
3.000%, 08/15/2019 | 13,350,000 | 13,442,838 | ||||||||||
2.700%, 02/03/2020 | 6,600,000 | 6,616,497 | ||||||||||
3.750%, 08/15/2021 | 3,000,000 | 3,076,230 | ||||||||||
UBS AG, | ||||||||||||
5.750%, 04/25/2018(1) | 3,351,000 | 3,392,097 | ||||||||||
UBS Group Funding Jersey Ltd., | ||||||||||||
3.000%, 04/15/2021(1)(2) | 3,000,000 | 3,021,059 | ||||||||||
UBS Group Funding Switzerland AG: | ||||||||||||
2.950%, 09/24/2020(1)(2) | 11,600,000 | 11,720,867 | ||||||||||
3.115%, 09/24/2020 (3 Month LIBOR USD + 1.440%)(1)(2)(3) | 2,000,000 | 2,044,206 | ||||||||||
UnitedHealth Group, Inc., | ||||||||||||
6.000%, 02/15/2018 | 2,625,000 | 2,637,948 | ||||||||||
Voya Financial, Inc., | ||||||||||||
2.900%, 02/15/2018 | 7,987,000 | 7,994,802 | ||||||||||
WEA Finance LLC / Westfield UK & Europe Finance PLC: | ||||||||||||
2.700%, 09/17/2019(2) | 8,000,000 | 8,043,192 | ||||||||||
3.250%, 10/05/2020(2) | 5,000,000 | 5,087,556 | ||||||||||
Wells Fargo & Co.: | ||||||||||||
2.058%, 01/30/2020 (3 Month LIBOR USD + 0.680%)(3) | 1,975,000 | 1,991,337 | ||||||||||
2.500%, 03/04/2021 | 3,900,000 | 3,898,216 | ||||||||||
Westpac Banking Corp., | ||||||||||||
1.650%, 05/13/2019(1) | 4,650,000 | 4,615,855 | ||||||||||
Willis Towers Watson PLC, | ||||||||||||
5.750%, 03/15/2021(1) | 8,995,000 | 9,788,018 | ||||||||||
1,363,782,447 | 24.6 | % | ||||||||||
Total Corporate Bonds | 3,155,042,383 | 57.0 | % |
Taxable Municipal Bonds | ||||||||||||
City of Bristol VA, | ||||||||||||
3.002%, 10/01/2020 | 8,210,000 | 8,241,444 | ||||||||||
City of Pittsburg CA, | ||||||||||||
5.864%, 07/01/2021 | 1,925,000 | 2,028,238 | ||||||||||
City of Williston ND, | ||||||||||||
3.100%, 07/15/2025 (Callable 01/19/2018) | 3,185,000 | 3,185,287 | ||||||||||
Cook County School District No. 144, | ||||||||||||
2.500%, 12/01/2018 | 745,000 | 743,778 | ||||||||||
County of Sonoma CA, | ||||||||||||
5.070%, 12/01/2022 | 20,910,000 | 22,252,004 | ||||||||||
Fresno Joint Powers Financing Authority, | ||||||||||||
2.880%, 04/01/2021 | 1,685,000 | 1,663,432 | ||||||||||
Illinois Housing Development Authority, | ||||||||||||
4.000%, 02/01/2034 (Callable 08/01/2025) | 8,560,000 | 8,751,830 | ||||||||||
Iowa Tobacco Settlement Authority, | ||||||||||||
6.500%, 06/01/2023 (Callable 01/29/2018) | 175,000 | 177,914 | ||||||||||
Memphis-Shelby County Industrial Development Board, | ||||||||||||
2.222%, 11/01/2020 | 5,990,000 | 5,931,178 | ||||||||||
New Hampshire Housing Finance Authority, | ||||||||||||
4.000%, 07/01/2036 (Callable 07/10/2024) | 7,910,000 | 8,083,783 | ||||||||||
New Jersey Economic Development Authority: | ||||||||||||
2.421%, 06/15/2018 | 10,000,000 | 10,001,600 | ||||||||||
–%, 02/15/2021 | 1,440,000 | 1,305,346 | ||||||||||
New Jersey Sports & Exposition Authority: | ||||||||||||
6.076%, 03/01/2023 | 2,385,000 | 2,557,173 | ||||||||||
5.976%, 03/01/2024 | 5,270,000 | 5,543,724 | ||||||||||
Oakland Redevelopment Agency Successor Bonds, | ||||||||||||
2.271%, 09/01/2018 | 1,675,000 | 1,672,571 | ||||||||||
Public Finance Authority, | ||||||||||||
2.625%, 11/01/2019 (Callable 05/01/2018) | 4,500,000 | 4,451,085 | ||||||||||
Rhode Island Housing & Mortgage Finance Corp., | ||||||||||||
3.000%, 10/01/2034 (Callable 10/01/2022) | 5,605,000 | 5,584,261 | ||||||||||
San Diego Metropolitan Transit System, | ||||||||||||
4.840%, 12/01/2018 | 1,780,000 | 1,811,488 | ||||||||||
State of Hawaii Department of Business Economic Development & Tourism, | ||||||||||||
1.467%, 07/01/2022 | 9,433,325 | 9,354,462 | ||||||||||
State of Illinois: | ||||||||||||
4.350%, 06/01/2018 | 402,000 | 404,818 | ||||||||||
5.000%, 06/01/2019 | 19,000,000 | 19,584,630 | ||||||||||
Tulsa Airports Improvement Trust, | ||||||||||||
3.042%, 06/01/2018 | 100,000 | 100,350 | ||||||||||
123,430,396 | 2.2 | % | ||||||||||
Residential Mortgage-Backed Securities | ||||||||||||
ACE Securities Corp. Home Equity Loan Trust: | ||||||||||||
Series 2006-HE1, Class A1B1, 1.742%, 02/25/2036 (1 Month LIBOR USD + 0.190%)(3) | 2,681,060 | 2,681,183 | ||||||||||
Series 2006-OP1, Class A2C, 1.702%, 04/25/2036 (1 Month LIBOR USD + 0.150%)(3) | 3,740,392 | 3,711,284 | ||||||||||
Aegis Asset Backed Securities Trust, | ||||||||||||
Series 2005-5, Class 1A3, 1.822%, 12/25/2035 (1 Month LIBOR USD + 0.270%)(3) | 273,762 | 273,761 | ||||||||||
Alternative Loan Trust: | ||||||||||||
Series 2004-12CB, Class 1A1, 5.000%, 07/25/2019 | 282,976 | 286,252 | ||||||||||
Series 2005-50CB, Class 4A1, 5.000%, 11/25/2020 | 106,857 | 106,821 | ||||||||||
Series 2004-J2, Class 3A3, 5.500%, 04/25/2034 | 139,917 | 140,756 | ||||||||||
Series 2004-8CB, Class A, 1.822%, 06/25/2034 (1 Month LIBOR USD + 0.270%)(3) | 4,847,207 | 4,855,617 | ||||||||||
Series 2005-73CB, Class 1A7, 5.500%, 01/25/2036 | 77,301 | 76,444 | ||||||||||
Series 2006-28CB, Class A17, 6.000%, 10/25/2036(7) | 691,387 | 561,397 | ||||||||||
Argent Securities Inc. Asset-Backed Pass-Through Certificates, | ||||||||||||
Series 2005-W3, Class A2D, 1.892%, 11/25/2035 (1 Month LIBOR USD + 0.340%)(3) | 6,525,462 | 6,518,481 | ||||||||||
Asset Backed Securities Corp. Home Equity Loan Trust, | ||||||||||||
Series 2006-HE1, Class A1, 1.767%, 01/25/2036 (1 Month LIBOR USD + 0.220%)(3) | 9,826,352 | 9,777,748 | ||||||||||
Banc of America Mortgage Trust, | ||||||||||||
Series 2004-B, Class 2A2, 3.617%, 03/25/2034(4) | 1,510,689 | 1,527,780 | ||||||||||
Carrington Mortgage Loan Trust: | ||||||||||||
Series 2006-NC1, Class A3, 1.762%, 01/25/2036 (1 Month LIBOR USD + 0.210%)(3) | 9,735,361 | 9,724,049 | ||||||||||
Series 2006-OPT1, Class A3, 1.732%, 02/25/2036 (1 Month LIBOR USD + 0.180%)(3) | 2,235,494 | 2,228,396 | ||||||||||
Countrywide Asset-Backed Certificates: | ||||||||||||
Series 2006-2, Class 2A3, 1.852%, 06/25/2036 (1 Month LIBOR USD + 0.300%)(3) | 7,190,652 | 7,177,759 | ||||||||||
Series 2006-13, Class 1AF3, 4.465%, 01/25/2037(4) | 543,212 | 1,032,754 | ||||||||||
Series 2006-9, Class 1AF3, 4.527%, 10/25/2046(4)(7) | 754,165 | 683,018 | ||||||||||
Credit-Based Asset Servicing & Securitization LLC, | ||||||||||||
Series 2005-CB8, Class AF2, 3.834%, 12/25/2035(6) | 59,575 | 59,347 | ||||||||||
CWABS Asset-Backed Certificates Trust, | ||||||||||||
Series 2005-16, Class 3AV, 1.558%, 05/25/2036 (1 Month LIBOR USD + 0.230%)(3) | 2,749,001 | 2,744,720 | ||||||||||
First Franklin Mortgage Loan Trust, | ||||||||||||
Series 2005-FF12, Class A2B, 1.812%, 11/25/2036 (1 Month LIBOR USD + 0.260%)(3) | 720,551 | 720,609 | ||||||||||
GE-WMC Asset-Backed Pass Through Certificates, | ||||||||||||
Series 2005-1, Class A2C, 2.272%, 10/25/2035 (1 Month LIBOR USD + 0.720%)(3) | 963,684 | 964,706 | ||||||||||
GSAA Trust: | ||||||||||||
Series 2005-8, Class A4, 1.822%, 06/25/2035 (1 Month LIBOR USD + 0.270%)(3) | 6,106,365 | 6,131,749 | ||||||||||
Series 2005-6, Class A3, 1.922%, 06/25/2035 (1 Month LIBOR USD + 0.370%)(3) | 1,209,138 | 1,218,705 | ||||||||||
GSAMP Trust, | ||||||||||||
Series 2006-HE7, Class A2D, 1.782%, 10/25/2046 (1 Month LIBOR USD + 0.230%)(3) | 11,645,195 | 11,568,179 | ||||||||||
J.P. Morgan Mortgage Acquisition Trust, | ||||||||||||
Series 2006-CH1, Class A1, 1.682%, 07/25/2036 (1 Month LIBOR USD + 0.130%)(3) | 4,885,004 | 4,869,522 | ||||||||||
J.P. Morgan Mortgage Trust, | ||||||||||||
Series 2005-A4, Class 1A1, 3.526%, 07/25/2035(4) | 956,227 | 958,418 | ||||||||||
Long Beach Mortgage Loan Trust, | ||||||||||||
Series 2005-WL2, Class M1, 2.257%, 08/25/2035 (1 Month LIBOR USD + 0.710%)(3) | 2,058,780 | 2,073,656 | ||||||||||
MASTR Alternative Loan Trust: | ||||||||||||
Series 2003-5, Class 7A1, 5.000%, 07/25/2018 | 388,287 | 388,895 | ||||||||||
Series 2003-9, Class 3A1, 4.750%, 11/25/2018 | 336,542 | 336,367 | ||||||||||
Series 2003-5, Class 4A1, 5.500%, 07/25/2033 | 4,081,548 | 4,266,697 | ||||||||||
New Century Home Equity Loan Trust, | ||||||||||||
Series 2005-C, Class A1, 1.782%, 12/25/2035 (1 Month LIBOR USD + 0.230%)(3) | 4,802,644 | 4,783,593 | ||||||||||
Nomura Home Equity Loan, Inc., | ||||||||||||
Series 2006-HE2, Class A3, 1.722%, 03/25/2036 (1 Month LIBOR USD + 0.170%)(3) | 1,440,339 | 1,438,500 | ||||||||||
Option One Mortgage Loan Trust Asset-Backed Certificates, | ||||||||||||
Series 2005-5, Class A3, 1.762%, 12/25/2035 (1 Month LIBOR USD + 0.210%)(3) | 1,340,287 | 1,339,726 | ||||||||||
Park Place Securities, Inc., | ||||||||||||
Series 2005-WCW1, Class M1, 2.002%, 09/25/2035 (1 Month LIBOR USD + 0.450%)(3) | 3,585,211 | 3,590,860 | ||||||||||
Popular ABS Mortgage Pass-Through Trust, | ||||||||||||
Series 2005-B, Class M2, 2.212%, 08/25/2035 (1 Month LIBOR USD + 0.660%)(3) | 1,993,406 | 2,000,443 | ||||||||||
RAMP Series Trust: | ||||||||||||
Series 2006-NC2, Class A2, 1.742%, 02/25/2036 (1 Month LIBOR USD + 0.190%)(3) | 1,076,256 | 1,075,525 | ||||||||||
Series 2006-RZ4, Class A2, 1.732%, 10/25/2036 (1 Month LIBOR USD + 0.180%)(3) | 644,246 | 643,970 | ||||||||||
RASC Series Trust: | ||||||||||||
Series 2005-AHL2, Class A3, 1.902%, 10/25/2035 (1 Month LIBOR USD + 0.350%)(3) | 3,951,544 | 3,950,013 | ||||||||||
Series 2006-KS1, Class A4, 1.852%, 02/25/2036 (1 Month LIBOR USD + 0.300%)(3) | 568,936 | 569,115 | ||||||||||
Renaissance Home Equity Loan Trust, | ||||||||||||
Series 2007-2, Class AF2, 5.675%, 06/25/2037(6) | 1,918,472 | 922,530 | ||||||||||
Saxon Asset Securities Trust, | ||||||||||||
Series 2006-2, Class A3C, 1.702%, 09/25/2036 (1 Month LIBOR USD + 0.150%)(3) | 1,173,634 | 1,167,364 | ||||||||||
Securitized Asset Backed Receivables LLC Trust, | ||||||||||||
Series 2005-OP2, Class A1, 1.877%, 10/25/2035 (1 Month LIBOR USD + 0.330%)(2)(3) | 437,895 | 437,885 | ||||||||||
Soundview Home Loan Trust: | ||||||||||||
Series 2005-OPT4, Class 2A3, 1.812%, 12/25/2035 (1 Month LIBOR USD + 0.260%)(3) | 378,727 | 378,640 | ||||||||||
Series 2006-2, Class A4, 1.822%, 03/25/2036 (1 Month LIBOR USD + 0.270%)(3) | 288,282 | 288,263 | ||||||||||
Series 2006-OPT2, Class A3, 1.732%, 05/25/2036 (1 Month LIBOR USD + 0.180%)(3) | 4,319,115 | 4,297,243 | ||||||||||
Specialty Underwriting & Residential Finance Trust, | ||||||||||||
Series 2006-BC1, Class A2D, 1.852%, 12/25/2036 (1 Month LIBOR USD + 0.300%)(3) | 5,845,367 | 5,846,506 | ||||||||||
Structured Asset Investment Loan Trust, | ||||||||||||
Series 2004-9, Class A5, 2.552%, 10/25/2034 (1 Month LIBOR USD + 1.000%)(3) | 6,623,088 | 6,619,397 | ||||||||||
Structured Asset Securities Corp.: | ||||||||||||
Series 2004-4XS, Class 1A6, 5.050%, 02/25/2034(6) | 161,213 | 163,898 | ||||||||||
Series 2004-22, Class A2, 5.035%, 01/25/2035(6) | 4,105,595 | 4,285,553 | ||||||||||
Series 2007-BC3, Class 2A2, 1.692%, 05/25/2047 (1 Month LIBOR USD + 0.140%)(3) | 95,404 | 95,397 | ||||||||||
Thornburg Mortgage Securities Trust, | ||||||||||||
Series 2003-5, Class 3A, 3.311%, 10/25/2043(4) | 7,259,196 | 7,350,647 | ||||||||||
Towd Point Mortgage Trust: | ||||||||||||
Series 2015-4, Class A1B, 2.750%, 04/25/2055(2)(4) | 2,254,429 | 2,255,171 | ||||||||||
Series 2015-4, Class A1, 3.500%, 04/25/2055(2)(4) | 4,854,835 | 4,922,875 | ||||||||||
Series 2016-5, Class A1, 2.500%, 10/25/2056(2)(4) | 11,882,299 | 11,796,762 | ||||||||||
Series 2017-1, Class A1, 2.750%, 10/25/2056(2)(4) | 15,843,594 | 15,823,263 | ||||||||||
Series 2017-5, Class A1, 2.152%, 02/25/2057 (1 Month LIBOR USD + 0.600%)(2)(3) | 16,860,230 | 16,880,815 | ||||||||||
Series 2017-3, Class A1, 2.750%, 07/25/2057(2)(4) | 19,271,682 | 19,240,402 | ||||||||||
WaMu Mortgage Pass-Through Certificates Trust: | ||||||||||||
Series 2004-CB4, Class 21A, 5.500%, 12/25/2019 | 26,315 | 26,603 | ||||||||||
Series 2004-CB4, Class 22A, 6.000%, 12/25/2019 | 58,611 | 59,564 | ||||||||||
Series 2004-AR3, Class A1, 3.176%, 06/25/2034(4) | 5,763,459 | 5,866,393 | ||||||||||
215,781,986 | 3.9 | % | ||||||||||
Commercial Mortgage-Backed Securities | ||||||||||||
U.S. Government Agency Issues | ||||||||||||
Freddie Mac Multifamily Structured Pass Through Certificates: | ||||||||||||
Series K706, Class A2, 2.323%, 10/25/2018 | 5,540,306 | 5,547,610 | ||||||||||
Series K006, Class A2, 4.251%, 01/25/2020 | 15,000,000 | 15,537,332 | ||||||||||
Series K007, Class A2, 4.224%, 03/25/2020 | 5,545,000 | 5,742,740 | ||||||||||
Series K008, Class A2, 3.531%, 06/25/2020 | 27,325,000 | 28,069,920 | ||||||||||
Series K504, Class A2, 2.566%, 09/25/2020(4) | 20,650,000 | 20,788,884 | ||||||||||
Series K010, Class A2, 4.333%, 10/25/2020(4) | 14,775,000 | 15,520,298 | ||||||||||
Series K014, Class A2, 3.871%, 04/25/2021 | 10,170,000 | 10,622,796 | ||||||||||
101,829,580 | 1.8 | % | ||||||||||
Non-U.S. Government Agency Issues | ||||||||||||
COMM Mortgage Trust, | ||||||||||||
Series 2012-CR1, Class ASB, 3.053%, 05/15/2045 | 23,359,569 | 23,667,313 | ||||||||||
GS Mortgage Securities Trust, | ||||||||||||
Series 2011-GC5, Class A4, 3.707%, 08/10/2044 | 8,112,000 | 8,389,708 | ||||||||||
J.P. Morgan Chase Commercial Mortgage Securities Trust: | ||||||||||||
Series 2012-C8, Class ASB, 2.379%, 10/15/2045 | 15,459,346 | 15,433,518 | ||||||||||
Series 2011-C5, Class ASB, 3.678%, 08/15/2046 | 5,158,972 | 5,253,776 | ||||||||||
Series 2011-C5, Class A3, 4.171%, 08/15/2046 | 19,449,174 | 20,372,179 | ||||||||||
JPMBB Commercial Mortgage Securities Trust, | ||||||||||||
Series 2013-C14, Class ASB, 3.761%, 08/15/2046(4) | 13,400,000 | 13,867,757 | ||||||||||
Morgan Stanley Bank of America Merrill Lynch Trust, | ||||||||||||
Series 2013-C9, Class AAB, 2.657%, 05/15/2046 | 12,500,000 | 12,554,666 | ||||||||||
WFRBS Commercial Mortgage Trust, | ||||||||||||
Series 2012-C6, Class A4, 3.440%, 04/15/2045 | 7,050,000 | 7,245,543 | ||||||||||
106,784,460 | 2.0 | % | ||||||||||
208,614,040 | 3.8 | % | ||||||||||
Other Asset Backed Securities | ||||||||||||
American Express Credit Account Master Trust: | ||||||||||||
Series 2017-1, Class A, 1.930%, 09/15/2022 | 18,450,000 | 18,365,017 | ||||||||||
Series 2017-6, Class A, 2.040%, 05/15/2023 | 11,600,000 | 11,544,129 | ||||||||||
Bank of The West Auto Trust, | ||||||||||||
Series 2017-1, Class A3, 2.110%, 01/15/2023(2) | 7,500,000 | 7,460,026 | ||||||||||
Barclays Dryrock Issuance Trust, | ||||||||||||
Series 2015-1, Class A, 2.200%, 12/15/2022 | 6,750,000 | 6,744,497 | ||||||||||
California Republic Auto Receivables Trust, | ||||||||||||
Series 2017-1, Class A3, 1.900%, 03/15/2021 | 12,500,000 | 12,455,298 | ||||||||||
Capital One Multi-Asset Execution Trust, | ||||||||||||
Series 2017-A4, Class A4, 1.990%, 07/17/2023 | 23,500,000 | 23,351,457 | ||||||||||
Chase Issuance Trust, | ||||||||||||
Series 2016-A5, Class A5, 1.270%, 07/15/2021 | 16,960,000 | 16,760,444 | ||||||||||
Chesapeake Funding II LLC: | ||||||||||||
Series 2017-2A, Class A1, 1.990%, 05/15/2029(2) | 29,965,000 | 29,868,618 | ||||||||||
Series 2017-3A, Class A1, 1.910%, 08/15/2029(2) | 12,425,000 | 12,361,953 | ||||||||||
Citibank Credit Card Issuance Trust: | ||||||||||||
Series 2016-A1, Class A1, 1.750%, 11/19/2021 | 9,165,000 | 9,103,171 | ||||||||||
Series 2017-A3, Class A3, 1.920%, 04/07/2022 | 33,225,000 | 33,017,739 | ||||||||||
Conseco Financial Corp.: | ||||||||||||
Series 1998-2, Class A5, 6.240%, 12/01/2028 | 7,628 | 7,843 | ||||||||||
Series 1998-3, Class A5, 6.220%, 03/01/2030 | 128,914 | 136,975 | ||||||||||
Dell Equipment Finance Trust: | ||||||||||||
Series 2017-1, Class A3, 2.140%, 04/22/2022(2) | 8,940,000 | 8,930,031 | ||||||||||
Series 2017-2, Class A3, 2.190%, 10/24/2022(2) | 10,000,000 | 9,966,484 | ||||||||||
Discover Card Execution Note Trust, | ||||||||||||
Series 2016-A4, Class A4, 1.390%, 03/15/2022 | 19,075,000 | 18,840,835 | ||||||||||
Ford Credit Auto Lease Trust, | ||||||||||||
Series 2017-A, Class A3, 1.880%, 04/15/2020 | 10,000,000 | 9,980,518 | ||||||||||
Ford Credit Auto Owner Trust: | ||||||||||||
Series 2014-1, Class A, 2.260%, 11/15/2025(2) | 17,894,000 | 17,930,370 | ||||||||||
Series 2014-2, Class A, 2.310%, 04/15/2026(2) | 16,392,000 | 16,416,155 | ||||||||||
Series 2015-1, Class A, 2.120%, 07/15/2026(2) | 12,592,000 | 12,566,322 | ||||||||||
Ford Credit Floorplan Master Owner Trust A, | ||||||||||||
Series 2016-1, Class A1, 1.760%, 02/15/2021 | 11,425,000 | 11,386,607 | ||||||||||
GM Financial Automobile Leasing Trust, | ||||||||||||
Series 2017-2, Class A3, 2.020%, 09/21/2020 | 19,425,000 | 19,367,603 | ||||||||||
Hyundai Auto Lease Securitization Trust: | ||||||||||||
Series 2017-B, Class A3, 1.970%, 07/15/2020(2) | 12,850,000 | 12,814,348 | ||||||||||
Series 2017-A, Class A3, 1.880%, 08/17/2020(2) | 16,675,000 | 16,628,121 | ||||||||||
Master Credit Card Trust II, | ||||||||||||
Series 2017-1A, Class A, 2.260%, 07/21/2021(1)(2) | 15,000,000 | 14,999,037 | ||||||||||
Mercedes-Benz Auto Lease Trust, | ||||||||||||
Series 2016-B, Class A3, 1.350%, 08/15/2019 | 18,800,000 | 18,736,086 | ||||||||||
MMAF Equipment Finance LLC, | ||||||||||||
Series 2017-AA, Class A3, 2.040%, 02/16/2022(2) | 5,625,000 | 5,595,952 | ||||||||||
Nissan Auto Lease Trust, | ||||||||||||
Series 2017-A, Class A3, 1.910%, 04/15/2020 | 10,825,000 | 10,786,100 | ||||||||||
OneMain Financial Issuance Trust, | ||||||||||||
Series 2014-2A, Class A, 2.470%, 09/18/2024(2) | 188,690 | 188,724 | ||||||||||
PFS Financing Corp., | ||||||||||||
Series 2016-BA, Class A, 1.870%, 10/15/2021(2) | 15,734,000 | 15,639,454 | ||||||||||
Santander Retail Auto Lease Trust, | ||||||||||||
Series 2017-A, Class A4, 2.370%, 01/20/2022(2) | 2,650,000 | 2,638,666 | ||||||||||
SoFi Consumer Loan Program, | ||||||||||||
Series 2017-3, Class A, 2.770%, 05/25/2026(2) | 7,606,875 | 7,609,633 | ||||||||||
SoFi Consumer Loan Program LLC, | ||||||||||||
Series 2017-4, Class A, 2.500%, 05/26/2026(2) | 5,106,322 | 5,089,580 | ||||||||||
Synchrony Credit Card Master Note Trust: | ||||||||||||
Series 2012-2, Class A, 2.220%, 01/15/2022 | 9,243,000 | 9,254,915 | ||||||||||
Series 2016-1, Class A, 2.040%, 03/15/2022 | 6,400,000 | 6,397,863 | ||||||||||
Series 2016-3, Class A, 1.580%, 09/15/2022 | 16,310,000 | 16,137,520 | ||||||||||
TCF Auto Receivables Owner Trust, | ||||||||||||
Series 2016-1A, Class A4, 2.030%, 02/15/2022(2) | 14,404,000 | 14,297,658 | ||||||||||
Verizon Owner Trust: | ||||||||||||
Series 2016-2A, Class A, 1.680%, 05/20/2021(2) | 22,750,000 | 22,594,365 | ||||||||||
Series 2017-1A, Class A, 2.060%, 09/20/2021(2) | 5,100,000 | 5,087,205 | ||||||||||
World Financial Network Credit Card Master Trust: | ||||||||||||
Series 2017-C, Class A, 2.310%, 08/15/2024 | 14,125,000 | 14,065,752 | ||||||||||
Series 2016-A, Class A, 2.030%, 04/15/2025 | 12,000,000 | 11,783,785 | ||||||||||
World Omni Automobile Lease Securitization Trust, | ||||||||||||
Series 2017-A, Class A3, 2.130%, 04/15/2020 | 14,775,000 | 14,746,964 | ||||||||||
531,653,820 | 9.6 | % | ||||||||||
Total Long-Term Investments (Cost $5,482,191,559) | 5,463,048,083 | 98.7 | % | |||||||||
SHORT-TERM INVESTMENT | Shares | |||||||||||
Money Market Mutual Fund | ||||||||||||
Fidelity Institutional Money Market Fund - Government Portfolio, Institutional Class, 1.19%(5) | 79,859,268 | 79,859,268 | ||||||||||
Total Short-Term Investment (Cost $79,859,268) | 79,859,268 | 1.4 | % | |||||||||
Total Investments (Cost $5,562,050,827) | 5,542,907,351 | 100.1 | % | |||||||||
Liabilities in Excess of Other Assets | (8,239,163 | ) | (0.1 | )% | ||||||||
TOTAL NET ASSETS | $ | 5,534,668,188 | 100.0 | % |
Notes to Schedule of Investments | ||||||||
(1) | Foreign Security. | |||||||
(2) | 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, 2017, the value of these securities total $1,256,989,627, which represents 22.71% of total net assets. | |||||||
(3) | Variable rate security based on a reference index and spread. The rate reported is the rate in effect as of December 31, 2017. | |||||||
(4) | Variable rate security. The coupon is based on an underlying pool of loans. The rate reported is the rate in effect as of December 31, 2017. | |||||||
(5) | 7-Day Yield. | |||||||
(6) | Step-up bond; the interest rate shown is the rate in effect as of December 31, 2017. | |||||||
(7) | Security that, on the last payment date, missed a partial principal or interest payment. |
Baird Short-Term Bond Fund | ||||||||
Schedule of Investments, December 31, 2017 | ||||||||
Summary of Fair Value Exposure at December 31, 2017 | ||||||||
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, 2017: |
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Long-Term Investments | ||||||||||||||||
U.S. Treasury Securities | $ | – | $ | 1,152,874,017 | $ | – | $ | 1,152,874,017 | ||||||||
Other Government Related Securities | – | 75,651,441 | – | 75,651,441 | ||||||||||||
Corporate Bonds | – | 3,155,042,383 | – | 3,155,042,383 | ||||||||||||
Taxable Municipal Bonds | – | 123,430,396 | – | 123,430,396 | ||||||||||||
Residential Mortgage-Backed Securities - Non-U.S. Government Agency Issues | – | 215,781,986 | – | 215,781,986 | ||||||||||||
Commercial Mortgage-Backed Securities - U.S. Government Agency Issues | – | 101,829,580 | – | 101,829,580 | ||||||||||||
Commercial Mortgage-Backed Securities - Non-U.S. Government Agency Issues | – | 106,784,460 | – | 106,784,460 | ||||||||||||
Other Asset Backed Securities | – | 531,653,820 | – | 531,653,820 | ||||||||||||
Total Long-Term Investments | – | 5,463,048,083 | – | 5,463,048,083 | ||||||||||||
Short-Term Investment | ||||||||||||||||
Money Market Mutual Fund | 79,859,268 | – | – | 79,859,268 | ||||||||||||
Total Short-Term Investment | 79,859,268 | – | – | 79,859,268 | ||||||||||||
Total Investments | $ | 79,859,268 | $ | 5,463,048,083 | $ | – | $ | 5,542,907,351 |
Changes in valuation techniques may result in transfers into or out of assigned levels within the fair value hierarchy. Transfers between levels are recognized at the end of the reporting period. 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. |
Baird Intermediate Bond Fund | ||||||||||||
Schedule of Investments | ||||||||||||
December 31, 2017 | ||||||||||||
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
LONG-TERM INVESTMENTS | ||||||||||||
U.S. Treasury Securities | ||||||||||||
U.S. Treasury Bonds: | ||||||||||||
1.625%, 08/31/2019 | $ | 30,000,000 | $ | 29,878,125 | ||||||||
2.625%, 08/15/2020 | 20,650,000 | 21,010,568 | ||||||||||
1.375%, 08/31/2020 | 190,775,000 | 187,987,895 | ||||||||||
1.750%, 03/31/2022 | 259,825,000 | 255,562,246 | ||||||||||
1.875%, 03/31/2022 | 190,750,000 | 188,596,612 | ||||||||||
2.500%, 05/15/2024 | 130,125,000 | 131,593,989 | ||||||||||
2.250%, 11/15/2025 | 166,275,000 | 164,813,599 | ||||||||||
2.000%, 11/15/2026 | 101,825,000 | 98,543,531 | ||||||||||
1,077,986,565 | 36.5 | % | ||||||||||
Other Government Related Securities | ||||||||||||
CDP Financial, Inc., | ||||||||||||
4.400%, 11/25/2019(1)(2) | 1,000,000 | 1,039,270 | ||||||||||
Centrais Eletricas Brasileiras SA, | ||||||||||||
5.750%, 10/27/2021(1)(2) | 1,150,000 | 1,183,925 | ||||||||||
CNOOC Finance (2013) Ltd., | ||||||||||||
3.000%, 05/09/2023(1) | 2,000,000 | 1,977,698 | ||||||||||
CNOOC Nexen Finance (2014) ULC, | ||||||||||||
4.250%, 04/30/2024(1) | 5,150,000 | 5,429,254 | ||||||||||
Corp Andina de Fomento, | ||||||||||||
4.375%, 06/15/2022(1) | 680,000 | 724,465 | ||||||||||
Electricite de France SA, | ||||||||||||
2.350%, 10/13/2020(1)(2) | 8,875,000 | 8,863,833 | ||||||||||
Export-Import Bank of Korea, | ||||||||||||
2.250%, 01/21/2020(1) | 3,200,000 | 3,166,320 | ||||||||||
KFW, | ||||||||||||
4.875%, 06/17/2019(1) | 3,250,000 | 3,384,533 | ||||||||||
Korea Electric Power Corp., | ||||||||||||
6.750%, 08/01/2027(1) | 300,000 | 384,938 | ||||||||||
Korea Gas Corp., | ||||||||||||
2.875%, 07/29/2018(1)(2) | 1,000,000 | 1,001,837 | ||||||||||
Petroleos Mexicanos: | ||||||||||||
3.125%, 01/23/2019(1) | 2,000,000 | 2,010,000 | ||||||||||
5.500%, 01/21/2021(1) | 2,000,000 | 2,122,000 | ||||||||||
Sinopec Group Overseas Development [2015] Ltd., | ||||||||||||
2.500%, 04/28/2020(1)(2) | 3,000,000 | 2,984,180 | ||||||||||
Sinopec Group Overseas Development [2016] Ltd.: | ||||||||||||
1.750%, 09/29/2019(1)(2) | 3,000,000 | 2,951,385 | ||||||||||
2.750%, 05/03/2021(1)(2) | 5,300,000 | 5,282,070 | ||||||||||
42,505,708 | 1.4 | % | ||||||||||
Corporate Bonds | ||||||||||||
Industrials | ||||||||||||
21st Century Fox America, Inc., | ||||||||||||
3.700%, 10/15/2025 | 2,825,000 | 2,948,076 | ||||||||||
Abbott Laboratories, | ||||||||||||
3.400%, 11/30/2023 | 10,000,000 | 10,173,019 | ||||||||||
Agilent Technologies, Inc., | ||||||||||||
3.050%, 09/22/2026 | 1,450,000 | 1,393,745 | ||||||||||
Agrium, Inc., | ||||||||||||
3.150%, 10/01/2022(1) | 1,306,000 | 1,320,745 | ||||||||||
Alimentation Couche-Tard, Inc., | ||||||||||||
2.700%, 07/26/2022(1)(2) | 7,400,000 | 7,331,976 | ||||||||||
Ameritech Capital Funding Corp., | ||||||||||||
6.450%, 01/15/2018 | 3,008,000 | 3,012,684 | ||||||||||
Anadarko Petroleum Corp., | ||||||||||||
6.950%, 06/15/2019 | 1,000,000 | 1,061,708 | ||||||||||
Anglo American Capital PLC, | ||||||||||||
9.375%, 04/08/2019(1)(2) | 2,000,000 | 2,168,668 | ||||||||||
Anheuser-Busch InBev Finance, Inc., | ||||||||||||
3.300%, 02/01/2023 | 8,230,000 | 8,421,704 | ||||||||||
Apple, Inc., | ||||||||||||
2.400%, 05/03/2023 | 2,000,000 | 1,979,419 | ||||||||||
AT&T, Inc.: | ||||||||||||
3.950%, 01/15/2025 | 8,000,000 | 8,190,913 | ||||||||||
4.300%, 02/15/2030(2) | 9,367,000 | 9,340,818 | ||||||||||
Boardwalk Pipelines LP: | ||||||||||||
5.200%, 06/01/2018 | 2,500,000 | 2,525,154 | ||||||||||
5.950%, 06/01/2026 | 1,360,000 | 1,517,013 | ||||||||||
Boston Scientific Corp., | ||||||||||||
4.125%, 10/01/2023 | 3,000,000 | 3,140,421 | ||||||||||
BP Capital Markets PLC: | ||||||||||||
4.750%, 03/10/2019(1) | 2,500,000 | 2,577,599 | ||||||||||
2.521%, 01/15/2020(1) | 2,650,000 | 2,672,247 | ||||||||||
3.245%, 05/06/2022(1) | 1,000,000 | 1,024,980 | ||||||||||
Broadcom Corp. / Broadcom Cayman Finance Ltd.: | ||||||||||||
2.375%, 01/15/2020(2) | 1,500,000 | 1,489,856 | ||||||||||
3.000%, 01/15/2022(2) | 5,275,000 | 5,230,319 | ||||||||||
Bunge Limited Finance Corp.: | ||||||||||||
3.500%, 11/24/2020 | 2,500,000 | 2,552,154 | ||||||||||
3.750%, 09/25/2027 | 5,000,000 | 4,927,896 | ||||||||||
Cardinal Health, Inc., | ||||||||||||
1.950%, 06/15/2018 | 5,600,000 | 5,596,836 | ||||||||||
Cenovus Energy, Inc., | ||||||||||||
5.700%, 10/15/2019(1) | 3,000,000 | 3,155,400 | ||||||||||
Charter Communications Operating LLC, | ||||||||||||
4.464%, 07/23/2022 | 7,425,000 | 7,746,867 | ||||||||||
Chevron Phillips Chemical Co. LLC / Chevron Phillips Chemical Co. LP, | ||||||||||||
2.450%, 05/01/2020(2) | 4,125,000 | 4,125,284 | ||||||||||
Coca-Cola FEMSA SAB de CV, | ||||||||||||
2.375%, 11/26/2018(1) | 1,576,000 | 1,579,810 | ||||||||||
Comcast Corp.: | ||||||||||||
2.750%, 03/01/2023 | 1,475,000 | 1,482,073 | ||||||||||
2.350%, 01/15/2027 | 4,175,000 | 3,942,856 | ||||||||||
Constellation Brands, Inc.: | ||||||||||||
6.000%, 05/01/2022 | 2,250,000 | 2,528,851 | ||||||||||
2.700%, 05/09/2022 | 2,975,000 | 2,960,435 | ||||||||||
3.500%, 05/09/2027 | 3,475,000 | 3,545,613 | ||||||||||
Cox Communications, Inc.: | ||||||||||||
3.250%, 12/15/2022(2) | 3,600,000 | 3,607,089 | ||||||||||
3.850%, 02/01/2025(2) | 4,500,000 | 4,604,865 | ||||||||||
CVS Health Corp.: | ||||||||||||
2.250%, 08/12/2019 | 3,375,000 | 3,364,796 | ||||||||||
4.000%, 12/05/2023 | 4,425,000 | 4,600,738 | ||||||||||
Daimler Finance North America LLC: | ||||||||||||
2.250%, 07/31/2019(2) | 2,300,000 | 2,304,211 | ||||||||||
2.200%, 05/05/2020(2) | 5,000,000 | 4,971,610 | ||||||||||
DCP Midstream LLC, | ||||||||||||
9.750%, 03/15/2019(2) | 1,600,000 | 1,730,000 | ||||||||||
Deutsche Telekom International Finance BV: | ||||||||||||
6.750%, 08/20/2018(1) | 2,850,000 | 2,933,238 | ||||||||||
6.000%, 07/08/2019(1) | 1,700,000 | 1,792,549 | ||||||||||
Diamond 1 Finance Corp. / Diamond 2 Finance Corp., | ||||||||||||
3.480%, 06/01/2019(2) | 10,900,000 | 11,036,549 | ||||||||||
The Dow Chemical Co., | ||||||||||||
8.550%, 05/15/2019 | 8,800,000 | 9,531,983 | ||||||||||
DXC Technology Co.: | ||||||||||||
4.450%, 09/18/2022 | 11,000,000 | 11,577,089 | ||||||||||
4.250%, 04/15/2024 | 1,700,000 | 1,770,790 | ||||||||||
Ecolab, Inc., | ||||||||||||
3.250%, 01/14/2023 | 5,000,000 | 5,112,286 | ||||||||||
El du Pont de Nemours & Co., | ||||||||||||
2.200%, 05/01/2020 | 2,500,000 | 2,497,796 | ||||||||||
Energy Transfer Partners LP, | ||||||||||||
9.700%, 03/15/2019 | 2,457,000 | 2,659,187 | ||||||||||
EnLink Midstream Partners LP, | ||||||||||||
4.400%, 04/01/2024 | 10,000,000 | 10,328,986 | ||||||||||
Enterprise Products Operating LLC, | ||||||||||||
2.550%, 10/15/2019 | 3,000,000 | 3,009,446 | ||||||||||
EQT Midstream Partners LP, | ||||||||||||
4.125%, 12/01/2026 | 5,000,000 | 4,979,085 | ||||||||||
ERAC USA Finance LLC: | ||||||||||||
2.350%, 10/15/2019(2) | 6,650,000 | 6,631,023 | ||||||||||
2.600%, 12/01/2021(2) | 4,825,000 | 4,763,226 | ||||||||||
Express Scripts Holding Co., | ||||||||||||
3.000%, 07/15/2023 | 5,655,000 | 5,615,685 | ||||||||||
Federal Express Corp. Pass Through Trust, | ||||||||||||
6.845%, 01/15/2019 | 802,111 | 818,153 | ||||||||||
Fidelity National Information Services, Inc.: | ||||||||||||
3.500%, 04/15/2023 | 2,319,000 | 2,370,637 | ||||||||||
3.875%, 06/05/2024 | 1,192,000 | 1,244,265 | ||||||||||
3.000%, 08/15/2026 | 2,000,000 | 1,933,135 | ||||||||||
Fiserv, Inc.: | ||||||||||||
4.750%, 06/15/2021 | 1,728,000 | 1,844,722 | ||||||||||
3.500%, 10/01/2022 | 2,900,000 | 2,984,848 | ||||||||||
FMC Corp., | ||||||||||||
4.100%, 02/01/2024 | 2,000,000 | 2,064,787 | ||||||||||
Ford Motor Credit Co. LLC: | ||||||||||||
5.750%, 02/01/2021 | 2,000,000 | 2,171,370 | ||||||||||
3.336%, 03/18/2021 | 1,800,000 | 1,828,143 | ||||||||||
3.339%, 03/28/2022 | 2,000,000 | 2,023,160 | ||||||||||
2.979%, 08/03/2022 | 7,000,000 | 6,975,295 | ||||||||||
Freeport-McMoRan, Inc.: | ||||||||||||
6.750%, 02/01/2022 | 1,649,000 | 1,706,715 | ||||||||||
3.550%, 03/01/2022 | 2,000,000 | 1,977,500 | ||||||||||
3.875%, 03/15/2023 | 1,100,000 | 1,094,500 | ||||||||||
General Electric Co.: | ||||||||||||
6.000%, 08/07/2019 | 774,000 | 820,123 | ||||||||||
5.500%, 01/08/2020 | 731,000 | 776,162 | ||||||||||
5.550%, 05/04/2020 | 816,000 | 873,343 | ||||||||||
General Motors Financial Co., Inc.: | ||||||||||||
2.350%, 10/04/2019 | 5,500,000 | 5,483,830 | ||||||||||
4.375%, 09/25/2021 | 5,325,000 | 5,601,315 | ||||||||||
3.450%, 01/14/2022 | 1,475,000 | 1,494,905 | ||||||||||
3.150%, 06/30/2022 | 1,000,000 | 999,222 | ||||||||||
Georgia-Pacific LLC, | ||||||||||||
5.400%, 11/01/2020(2) | 6,797,000 | 7,330,683 | ||||||||||
Glencore Funding LLC: | ||||||||||||
2.500%, 01/15/2019(2) | 4,400,000 | 4,402,860 | ||||||||||
4.125%, 05/30/2023(2) | 1,750,000 | 1,810,375 | ||||||||||
4.625%, 04/29/2024(2) | 1,000,000 | 1,055,800 | ||||||||||
4.000%, 03/27/2027(2) | 4,725,000 | 4,743,983 | ||||||||||
3.875%, 10/27/2027(2) | 1,150,000 | 1,134,774 | ||||||||||
Grupo Bimbo SAB de CV, | ||||||||||||
3.875%, 06/27/2024(1)(2) | 3,000,000 | 3,093,920 | ||||||||||
HP, Inc., | ||||||||||||
4.650%, 12/09/2021 | 225,000 | 239,155 | ||||||||||
Hutchison Whampoa International Ltd., | ||||||||||||
7.625%, 04/09/2019(1)(2) | 5,400,000 | 5,742,414 | ||||||||||
Hyundai Capital America: | ||||||||||||
2.500%, 03/18/2019(2) | 1,300,000 | 1,296,836 | ||||||||||
2.000%, 07/01/2019(2) | 2,500,000 | 2,470,074 | ||||||||||
1.750%, 09/27/2019(2) | 3,000,000 | 2,942,856 | ||||||||||
Ingersoll-Rand Co., | ||||||||||||
6.391%, 11/15/2027(1) | 1,195,000 | 1,398,681 | ||||||||||
Ingersoll-Rand Global Holding Co. Ltd., | ||||||||||||
2.875%, 01/15/2019 | 5,000,000 | 5,025,605 | ||||||||||
Johnson Controls International PLC, | ||||||||||||
4.250%, 03/01/2021(1) | 2,000,000 | 2,093,486 | ||||||||||
Keysight Technologies, Inc., | ||||||||||||
3.300%, 10/30/2019 | 4,690,000 | 4,734,377 | ||||||||||
Kinder Morgan, Inc.: | ||||||||||||
5.625%, 11/15/2023(2) | 1,000,000 | 1,104,105 | ||||||||||
7.800%, 08/01/2031 | 7,000,000 | 9,028,794 | ||||||||||
Kraft Heinz Foods Co.: | ||||||||||||
3.500%, 06/06/2022 | 2,000,000 | 2,046,518 | ||||||||||
6.375%, 07/15/2028 | 6,629,000 | 7,969,501 | ||||||||||
Laboratory Corp. of America Holdings, | ||||||||||||
4.625%, 11/15/2020 | 468,000 | 492,480 | ||||||||||
LyondellBasell Industries NV, | ||||||||||||
6.000%, 11/15/2021(1) | 1,100,000 | 1,221,883 | ||||||||||
Martin Marietta Materials, Inc., | ||||||||||||
6.600%, 04/15/2018 | 75,000 | 75,970 | ||||||||||
McCormick & Co., Inc., | ||||||||||||
3.150%, 08/15/2024 | 6,000,000 | 6,031,792 | ||||||||||
Mead Johnson Nutrition Co., | ||||||||||||
3.000%, 11/15/2020 | 5,400,000 | 5,480,883 | ||||||||||
Midcontinent Express Pipeline LLC, | ||||||||||||
6.700%, 09/15/2019(2) | 1,000,000 | 1,044,500 | ||||||||||
The Mosaic Co., | ||||||||||||
4.250%, 11/15/2023 | 8,606,000 | 8,911,649 | ||||||||||
MPLX LP, | ||||||||||||
4.875%, 06/01/2025 | 10,192,000 | 10,922,968 | ||||||||||
Nabors Industries, Inc., | ||||||||||||
6.150%, 02/15/2018 | 613,000 | 614,533 | ||||||||||
Noble Energy, Inc., | ||||||||||||
4.150%, 12/15/2021 | 450,000 | 468,909 | ||||||||||
ONEOK Partners LP, | ||||||||||||
3.375%, 10/01/2022 | 3,336,000 | 3,359,376 | ||||||||||
ONEOK, Inc., | ||||||||||||
7.500%, 09/01/2023 | 3,470,000 | 4,129,543 | ||||||||||
Pentair Finance SA, | ||||||||||||
2.900%, 09/15/2018(1) | 4,232,000 | 4,248,653 | ||||||||||
Petrofac Ltd., | ||||||||||||
3.400%, 10/10/2018(1)(2) | 6,880,000 | 6,811,200 | ||||||||||
Phillips 66 Partners LP: | ||||||||||||
3.605%, 02/15/2025 | 2,000,000 | 2,015,001 | ||||||||||
3.750%, 03/01/2028 | 4,100,000 | 4,101,873 | ||||||||||
Pioneer Natural Resources Co., | ||||||||||||
6.875%, 05/01/2018 | 1,225,000 | 1,243,847 | ||||||||||
POSCO, | ||||||||||||
5.250%, 04/14/2021(1)(2) | 3,000,000 | 3,202,612 | ||||||||||
R.R. Donnelley & Sons Co., | �� | |||||||||||
7.625%, 06/15/2020 | 1,000,000 | 1,065,000 | ||||||||||
Regency Energy Partners LP / Regency Energy Finance Corp., | ||||||||||||
4.500%, 11/01/2023 | 1,100,000 | 1,137,336 | ||||||||||
Republic Services, Inc., | ||||||||||||
3.800%, 05/15/2018 | 4,000,000 | 4,027,655 | ||||||||||
Rockies Express Pipeline LLC, | ||||||||||||
5.625%, 04/15/2020(2) | 1,000,000 | 1,047,500 | ||||||||||
Roper Technologies, Inc., | ||||||||||||
3.800%, 12/15/2026 | 1,450,000 | 1,495,317 | ||||||||||
Sabine Pass Liquefaction LLC, | ||||||||||||
5.875%, 06/30/2026 | 9,730,000 | 10,931,346 | ||||||||||
Samarco Mineracao SA, | ||||||||||||
5.375%, 09/26/2024(1)(2)(7) | 1,675,000 | 1,139,000 | ||||||||||
Schlumberger Holdings Corp., | ||||||||||||
2.350%, 12/21/2018(2) | 4,500,000 | 4,510,101 | ||||||||||
Schneider Electric SE, | ||||||||||||
2.950%, 09/27/2022(1)(2) | 2,000,000 | 2,010,038 | ||||||||||
Sherwin-Williams Co., | ||||||||||||
3.125%, 06/01/2024 | 4,000,000 | 4,022,052 | ||||||||||
Smithfield Foods, Inc.: | ||||||||||||
2.700%, 01/31/2020(2) | 7,118,000 | 7,071,550 | ||||||||||
2.650%, 10/03/2021(2) | 8,000,000 | 7,893,867 | ||||||||||
Solvay Finance America LLC, | ||||||||||||
3.400%, 12/03/2020(2) | 4,375,000 | 4,467,344 | ||||||||||
Sysco Corp.: | ||||||||||||
2.600%, 10/01/2020 | 7,600,000 | 7,632,585 | ||||||||||
2.500%, 07/15/2021 | 2,000,000 | 1,994,593 | ||||||||||
2.600%, 06/12/2022 | 150,000 | 148,957 | ||||||||||
TC PipeLines LP: | ||||||||||||
4.375%, 03/13/2025 | 5,500,000 | 5,721,621 | ||||||||||
3.900%, 05/25/2027 | 8,025,000 | 8,065,095 | ||||||||||
Telefonica Emisiones SAU: | ||||||||||||
3.192%, 04/27/2018(1) | 1,000,000 | 1,003,551 | ||||||||||
5.462%, 02/16/2021(1) | 400,000 | 432,685 | ||||||||||
Time Warner Cable LLC, | ||||||||||||
6.750%, 07/01/2018 | 2,000,000 | 2,044,330 | ||||||||||
Time Warner, Inc.: | ||||||||||||
6.875%, 06/15/2018 | 392,000 | 400,241 | ||||||||||
4.700%, 01/15/2021 | 1,325,000 | 1,399,831 | ||||||||||
4.750%, 03/29/2021 | 2,000,000 | 2,128,802 | ||||||||||
3.600%, 07/15/2025 | 4,000,000 | 4,008,947 | ||||||||||
TransCanada PipeLines Ltd., | ||||||||||||
9.875%, 01/01/2021(1) | 556,000 | 667,119 | ||||||||||
TSMC Global Ltd., | ||||||||||||
1.625%, 04/03/2018(1)(2) | 3,800,000 | 3,793,301 | ||||||||||
Vale Overseas Ltd.: | ||||||||||||
4.375%, 01/11/2022(1) | 2,775,000 | 2,869,350 | ||||||||||
6.250%, 08/10/2026(1) | 3,460,000 | 4,008,410 | ||||||||||
Valero Energy Corp.: | ||||||||||||
9.375%, 03/15/2019 | 5,898,000 | 6,387,791 | ||||||||||
3.400%, 09/15/2026 | 4,500,000 | 4,518,295 | ||||||||||
Verizon Communications, Inc.: | ||||||||||||
4.150%, 03/15/2024 | 2,000,000 | 2,103,584 | ||||||||||
3.376%, 02/15/2025(2) | 6,424,000 | 6,448,262 | ||||||||||
4.125%, 03/16/2027 | 3,000,000 | 3,128,139 | ||||||||||
Wabtec Corp.: | ||||||||||||
4.375%, 08/15/2023 | 3,125,000 | 3,209,912 | ||||||||||
3.450%, 11/15/2026 | 5,000,000 | 4,889,790 | ||||||||||
Walgreen Co., | ||||||||||||
5.250%, 01/15/2019 | 605,000 | 623,320 | ||||||||||
Waste Management, Inc., | ||||||||||||
3.125%, 03/01/2025 | 1,975,000 | 1,990,424 | ||||||||||
Wesfarmers Ltd., | ||||||||||||
1.874%, 03/20/2018(1)(2) | 3,900,000 | 3,899,866 | ||||||||||
WestRock MWV LLC, | ||||||||||||
7.375%, 09/01/2019 | 2,033,000 | 2,192,016 | ||||||||||
Williams Partners LP: | ||||||||||||
5.250%, 03/15/2020 | 1,000,000 | 1,056,324 | ||||||||||
4.125%, 11/15/2020 | 1,625,000 | 1,687,383 | ||||||||||
4.300%, 03/04/2024 | 2,500,000 | 2,618,384 | ||||||||||
Yara International ASA, | ||||||||||||
3.800%, 06/06/2026(1)(2) | 300,000 | 297,616 | ||||||||||
Zoetis, Inc.: | ||||||||||||
3.250%, 02/01/2023 | 7,150,000 | 7,260,028 | ||||||||||
4.500%, 11/13/2025 | 2,000,000 | 2,179,779 | ||||||||||
3.000%, 09/12/2027 | 4,000,000 | 3,907,344 | ||||||||||
567,751,746 | 19.2 | % | ||||||||||
Utilities | ||||||||||||
Enel Finance International NV, | ||||||||||||
3.500%, 04/06/2028(1)(2) | 5,300,000 | 5,184,077 | ||||||||||
Fortis, Inc., | ||||||||||||
2.100%, 10/04/2021(1) | 5,000,000 | 4,880,615 | ||||||||||
National Rural Utilities Cooperative Finance Corp.: | ||||||||||||
10.375%, 11/01/2018 | 3,694,000 | 3,946,390 | ||||||||||
2.000%, 01/27/2020 | 3,000,000 | 2,989,804 | ||||||||||
PPL Capital Funding, Inc., | ||||||||||||
3.400%, 06/01/2023 | 2,475,000 | 2,524,972 | ||||||||||
PSEG Power LLC, | ||||||||||||
5.125%, 04/15/2020 | 220,000 | 232,549 | ||||||||||
Public Service Co. of New Mexico, | ||||||||||||
7.950%, 05/15/2018 | 3,220,000 | 3,287,051 | ||||||||||
RGS I&M Funding Corp., | ||||||||||||
9.820%, 06/07/2022 | 411,732 | 445,433 | ||||||||||
Talent Yield Investments Ltd., | ||||||||||||
4.500%, 04/25/2022(1)(2) | 3,800,000 | 3,976,947 | ||||||||||
27,467,838 | 0.9 | % |
Financials | ||||||||||
ABN AMRO Bank NV: | ||||||||||
2.500%, 10/30/2018(1)(2) | 1,200,000 | 1,204,078 | ||||||||
2.450%, 06/04/2020(1)(2) | 2,650,000 | 2,648,481 | ||||||||
Aetna, Inc., | ||||||||||
2.800%, 06/15/2023 | 4,000,000 | 3,936,724 | ||||||||
AIA Group Ltd., | ||||||||||
3.200%, 03/11/2025(1)(2) | 3,000,000 | 2,988,210 | ||||||||
Ally Financial, Inc., | ||||||||||
8.000%, 12/31/2018 | 96,000 | 100,560 | ||||||||
American International Group, Inc.: | ||||||||||
4.875%, 06/01/2022 | 6,000,000 | 6,524,288 | ||||||||
4.125%, 02/15/2024 | 1,000,000 | 1,056,603 | ||||||||
AmSouth Bancorporation, | ||||||||||
6.750%, 11/01/2025 | 630,000 | 742,105 | ||||||||
Anthem, Inc., | ||||||||||
3.350%, 12/01/2024 | 10,000,000 | 10,145,226 | ||||||||
ANZ New Zealand (Int'l) Ltd.: | ||||||||||
2.600%, 09/23/2019(1)(2) | 4,140,000 | 4,154,732 | ||||||||
2.850%, 08/06/2020(1)(2) | 4,000,000 | 4,032,180 | ||||||||
2.125%, 07/28/2021(1)(2) | 1,200,000 | 1,175,830 | ||||||||
Banco Santander SA, | ||||||||||
3.500%, 04/11/2022(1) | 4,400,000 | 4,486,450 | ||||||||
Bank of America Corp.: | ||||||||||
6.875%, 04/25/2018 | 1,000,000 | 1,015,277 | ||||||||
2.369%, 07/21/2021 (3 Month LIBOR USD + 0.660%)(3) | 11,000,000 | 10,980,733 | ||||||||
3.300%, 01/11/2023 | 3,350,000 | 3,427,050 | ||||||||
4.000%, 04/01/2024 | 1,487,000 | 1,571,946 | ||||||||
3.093%, 10/01/2025 (3 Month LIBOR USD + 1.090%)(3) | 3,000,000 | 2,993,120 | ||||||||
3.705%, 04/24/2028 (3 Month LIBOR USD + 1.510%)(3) | 5,000,000 | 5,131,970 | ||||||||
3.419%, 12/20/2028 (3 Month LIBOR USD + 1.040%)(2)(3) | 1,338,000 | 1,338,288 | ||||||||
The Bank of Nova Scotia, | ||||||||||
4.500%, 12/16/2025(1) | 7,000,000 | 7,363,697 | ||||||||
The Bank of Tokyo-Mitsubishi UFJ Ltd.: | ||||||||||
2.700%, 09/09/2018(1)(2) | 2,550,000 | 2,563,480 | ||||||||
2.150%, 09/14/2018(1)(2) | 1,000,000 | 1,001,005 | ||||||||
2.300%, 03/10/2019(1)(2) | 1,125,000 | 1,125,524 | ||||||||
2.300%, 03/05/2020(1)(2) | 3,000,000 | 2,989,191 | ||||||||
BanPonce Trust I, | ||||||||||
8.327%, 02/01/2027 | 2,500,000 | 2,365,725 | ||||||||
Barclays PLC: | ||||||||||
2.000%, 03/16/2018(1) | 2,600,000 | 2,600,016 | ||||||||
3.250%, 01/12/2021(1) | 2,000,000 | 2,019,206 | ||||||||
3.684%, 01/10/2023(1) | 7,000,000 | 7,103,443 | ||||||||
4.337%, 01/10/2028(1) | 2,275,000 | 2,354,545 | ||||||||
BB&T Corp., | ||||||||||
6.850%, 04/30/2019 | 2,322,000 | 2,461,568 | ||||||||
The Bear Stearns Companies LLC, | ||||||||||
7.250%, 02/01/2018 | 2,275,000 | 2,284,096 | ||||||||
BNZ International Funding Ltd.: | ||||||||||
2.350%, 03/04/2019(1)(2) | 3,300,000 | 3,303,182 | ||||||||
2.100%, 09/14/2021(1)(2) | 10,000,000 | 9,760,266 | ||||||||
Boston Properties LP, | ||||||||||
3.200%, 01/15/2025 | 12,175,000 | 12,136,212 | ||||||||
BPCE SA: | ||||||||||
5.700%, 10/22/2023(1)(2) | 3,950,000 | 4,376,545 | ||||||||
4.000%, 04/15/2024(1) | 3,500,000 | 3,696,791 | ||||||||
4.625%, 07/11/2024(1)(2) | 10,000,000 | 10,514,481 | ||||||||
Caisse Centrale Desjardins, | ||||||||||
2.043%, 01/29/2018 (3 Month LIBOR USD + 0.670%)(1)(2)(3) | 8,600,000 | 8,601,789 | ||||||||
Capital One NA: | ||||||||||
2.071%, 02/05/2018 (3 Month LIBOR USD + 0.680%)(3) | 2,000,000 | 2,000,002 | ||||||||
2.250%, 02/13/2019 | 3,500,000 | 3,495,402 | ||||||||
2.650%, 08/08/2022 | 12,150,000 | 12,022,787 | ||||||||
Citigroup, Inc.: | ||||||||||
1.700%, 04/27/2018 | 1,500,000 | 1,498,507 | ||||||||
2.050%, 12/07/2018 | 5,700,000 | 5,694,037 | ||||||||
2.876%, 07/24/2023 (3 Month LIBOR USD + 0.950%)(3) | 2,000,000 | 1,989,979 | ||||||||
3.750%, 06/16/2024 | 500,000 | 518,621 | ||||||||
3.887%, 01/10/2028 (3 Month LIBOR USD + 1.560%)(3) | 9,000,000 | 9,315,736 | ||||||||
Citizens Bank NA: | ||||||||||
2.450%, 12/04/2019 | 8,500,000 | 8,505,722 | ||||||||
2.550%, 05/13/2021 | 2,000,000 | 1,992,597 | ||||||||
CNA Financial Corp.: | ||||||||||
5.750%, 08/15/2021 | 1,385,000 | 1,516,488 | ||||||||
4.500%, 03/01/2026 | 5,000,000 | 5,321,608 | ||||||||
Comerica Bank, | ||||||||||
2.500%, 06/02/2020 | 3,375,000 | 3,370,550 | ||||||||
Commonwealth Bank of Australia: | ||||||||||
1.750%, 11/02/2018(1) | 4,500,000 | 4,490,232 | ||||||||
5.000%, 10/15/2019(1)(2) | 4,335,000 | 4,534,785 | ||||||||
Compass Bank: | ||||||||||
2.750%, 09/29/2019 | 8,000,000 | 8,022,126 | ||||||||
2.875%, 06/29/2022 | 3,125,000 | 3,092,326 | ||||||||
3.875%, 04/10/2025 | 4,200,000 | 4,213,383 | ||||||||
Cooperatieve Rabobank UA: | ||||||||||
2.500%, 01/19/2021(1) | 8,175,000 | 8,212,418 | ||||||||
4.625%, 12/01/2023(1) | 3,400,000 | 3,644,641 | ||||||||
Credit Agricole SA: | ||||||||||
2.750%, 06/10/2020(1)(2) | 3,000,000 | 3,020,712 | ||||||||
3.375%, 01/10/2022(1)(2) | 7,400,000 | 7,515,442 | ||||||||
Credit Suisse AG, | ||||||||||
5.300%, 08/13/2019(1) | 3,220,000 | 3,372,085 | ||||||||
Credit Suisse Group AG, | ||||||||||
3.574%, 01/09/2023(1)(2) | 1,000,000 | 1,016,711 | ||||||||
Credit Suisse Group Funding Guernsey Ltd., | ||||||||||
3.800%, 06/09/2023(1) | 8,700,000 | 8,972,261 | ||||||||
Deutsche Bank AG: | ||||||||||
2.950%, 08/20/2020(1) | 3,000,000 | 3,003,788 | ||||||||
3.125%, 01/13/2021(1) | 2,175,000 | 2,187,810 | ||||||||
4.250%, 10/14/2021(1) | 7,000,000 | 7,282,556 | ||||||||
3.300%, 11/16/2022(1) | 3,000,000 | 2,984,710 | ||||||||
Discover Bank, | ||||||||||
2.600%, 11/13/2018 | 2,500,000 | 2,508,484 | ||||||||
Discover Financial Services, | ||||||||||
4.100%, 02/09/2027 | 9,000,000 | 9,218,982 | ||||||||
First Horizon National Corp., | ||||||||||
3.500%, 12/15/2020 | 13,196,000 | 13,475,506 | ||||||||
First National Bank of Chicago Pass Through Trust, | ||||||||||
8.080%, 01/05/2018 | 46,617 | 46,618 | ||||||||
First Niagara Financial Group, Inc., | ||||||||||
6.750%, 03/19/2020 | 1,618,000 | 1,764,530 | ||||||||
First Tennessee Bank NA, | ||||||||||
2.950%, 12/01/2019 | 500,000 | 503,327 | ||||||||
The Goldman Sachs Group, Inc.: | ||||||||||
6.150%, 04/01/2018 | 4,025,000 | 4,067,361 | ||||||||
2.900%, 07/19/2018 | 1,000,000 | 1,004,546 | ||||||||
7.500%, 02/15/2019 | 865,000 | 914,163 | ||||||||
2.550%, 10/23/2019 | 2,000,000 | 2,003,762 | ||||||||
2.350%, 11/15/2021 | 2,825,000 | 2,782,172 | ||||||||
3.000%, 04/26/2022 | 5,000,000 | 5,019,602 | ||||||||
3.500%, 01/23/2025 | 2,000,000 | 2,031,664 | ||||||||
3.272%, 09/29/2025 (3 Month LIBOR USD + 1.200%)(3) | 3,500,000 | 3,485,898 | ||||||||
3.691%, 06/05/2028 (3 Month LIBOR USD + 1.510%)(3) | 4,000,000 | 4,057,831 | ||||||||
Great-West Life & Annuity Insurance Capital LP II, | ||||||||||
3.957%, 05/16/2046 (3 Month LIBOR USD + 2.540%)(2)(3) | 1,800,000 | 1,779,750 | ||||||||
Guardian Life Global Funding, | ||||||||||
2.000%, 04/26/2021(2) | 4,000,000 | 3,918,342 | ||||||||
The Hartford Financial Services Group, Inc., | ||||||||||
5.125%, 04/15/2022 | 500,000 | 545,638 | ||||||||
Highmark, Inc., | ||||||||||
4.750%, 05/15/2021(2) | 2,000,000 | 2,095,102 | ||||||||
HSBC Finance Corp., | ||||||||||
6.676%, 01/15/2021 | 1,488,000 | 1,654,368 | ||||||||
HSBC Holdings PLC, | ||||||||||
3.600%, 05/25/2023(1) | 2,500,000 | 2,572,145 | ||||||||
HSBC USA, Inc., | ||||||||||
2.350%, 03/05/2020 | 3,500,000 | 3,499,560 | ||||||||
Humana, Inc., | ||||||||||
2.900%, 12/15/2022 | 6,275,000 | 6,264,601 | ||||||||
Huntington Bancshares, Inc.: | ||||||||||
3.150%, 03/14/2021 | 1,500,000 | 1,523,596 | ||||||||
2.300%, 01/14/2022 | 1,300,000 | 1,279,067 | ||||||||
The Huntington National Bank, | ||||||||||
2.875%, 08/20/2020 | 3,500,000 | 3,528,905 | ||||||||
ING Bank NV: | ||||||||||
2.500%, 10/01/2019(1)(2) | 2,475,000 | 2,481,240 | ||||||||
5.000%, 06/09/2021(1)(2) | 2,000,000 | 2,153,483 | ||||||||
5.800%, 09/25/2023(1)(2) | 8,865,000 | 9,948,618 | ||||||||
Invesco Finance PLC, | ||||||||||
3.125%, 11/30/2022(1) | 4,500,000 | 4,553,854 | ||||||||
Jackson National Life Global Funding, | ||||||||||
3.250%, 01/30/2024(2) | 10,000,000 | 10,100,029 | ||||||||
Jefferies Group LLC, | ||||||||||
6.875%, 04/15/2021 | 2,000,000 | 2,237,403 | ||||||||
Jefferies Group LLC / Jefferies Group Capital Finance, Inc., | ||||||||||
4.850%, 01/15/2027 | 1,425,000 | 1,514,971 | ||||||||
John Hancock Life Insurance Co., | ||||||||||
7.375%, 02/15/2024(2) | 2,325,000 | 2,823,093 | ||||||||
JPMorgan Chase & Co.: | ||||||||||
2.250%, 01/23/2020 | 7,875,000 | 7,869,731 | ||||||||
2.295%, 08/15/2021 | 2,500,000 | 2,477,611 | ||||||||
4.500%, 01/24/2022 | 3,000,000 | 3,210,157 | ||||||||
2.595%, 10/24/2023 (3 Month LIBOR USD + 1.230%)(3) | 5,000,000 | 5,129,456 | ||||||||
KeyBank NA: | ||||||||||
3.180%, 05/22/2022(2) | 2,750,000 | 2,770,562 | ||||||||
3.400%, 05/20/2026 | 2,200,000 | 2,191,791 | ||||||||
LeasePlan Corp. NV, | ||||||||||
2.500%, 05/16/2018(1)(2) | 5,000,000 | 5,000,584 | ||||||||
Liberty Mutual Group, Inc., | ||||||||||
4.250%, 06/15/2023(2) | 2,000,000 | 2,107,464 | ||||||||
Life Storage LP, | ||||||||||
3.875%, 12/15/2027 | 8,000,000 | 7,970,565 | ||||||||
Lloyds Bank PLC: | ||||||||||
2.050%, 01/22/2019(1) | 3,000,000 | 2,997,698 | ||||||||
5.800%, 01/13/2020(1)(2) | 2,900,000 | 3,089,353 | ||||||||
Lloyds Banking Group PLC, | ||||||||||
3.000%, 01/11/2022(1) | 7,000,000 | 7,034,925 | ||||||||
Macquarie Bank Ltd.: | ||||||||||
2.400%, 01/21/2020(1)(2) | 1,000,000 | 997,550 | ||||||||
6.625%, 04/07/2021(1)(2) | 5,482,000 | 6,050,047 | ||||||||
Macquarie Group Ltd., | ||||||||||
3.189%, 11/28/2023 (3 Month LIBOR USD + 1.020%)(1)(2)(3) | 5,000,000 | 4,965,200 | ||||||||
Manufacturers & Traders Trust Co., | ||||||||||
3.400%, 08/17/2027 | 4,600,000 | 4,653,610 | ||||||||
Manulife Financial Corp., | ||||||||||
4.900%, 09/17/2020(1) | 2,375,000 | 2,513,935 | ||||||||
Marsh & McLennan Companies, Inc., | ||||||||||
2.550%, 10/15/2018 | 1,000,000 | 1,003,627 | ||||||||
MBIA Insurance Corp., | ||||||||||
12.619%, 01/15/2033 (3 Month LIBOR USD + 11.260%)(2)(3)(7) | 500,000 | 225,000 | ||||||||
Metropolitan Life Global Funding I, | ||||||||||
3.000%, 01/10/2023(2) | 1,300,000 | 1,310,693 | ||||||||
Mitsubishi UFJ Financial Group, Inc.: | ||||||||||
2.190%, 09/13/2021(1) | 3,000,000 | 2,945,710 | ||||||||
2.998%, 02/22/2022(1) | 2,575,000 | 2,591,358 | ||||||||
Mizuho Bank Ltd.: | ||||||||||
2.150%, 10/20/2018(1)(2) | 4,500,000 | 4,498,943 | ||||||||
2.450%, 04/16/2019(1)(2) | 500,000 | 500,367 | ||||||||
Mizuho Financial Group, Inc., | ||||||||||
2.601%, 09/11/2022(1) | 5,000,000 | 4,921,314 | ||||||||
Morgan Stanley: | ||||||||||
6.625%, 04/01/2018 | 1,700,000 | 1,718,624 | ||||||||
7.300%, 05/13/2019 | 3,150,000 | 3,358,248 | ||||||||
2.375%, 07/23/2019 | 1,000,000 | 1,001,125 | ||||||||
2.765%, 10/24/2023 (3 Month LIBOR USD + 1.400%)(3) | 7,000,000 | 7,199,134 | ||||||||
3.125%, 07/27/2026 | 4,525,000 | 4,463,142 | ||||||||
MUFG Americas Holdings Corp., | ||||||||||
3.500%, 06/18/2022 | 225,000 | 230,640 | ||||||||
Nationwide Building Society, | ||||||||||
2.350%, 01/21/2020(1)(2) | 3,000,000 | 2,998,113 | ||||||||
Nationwide Financial Services, Inc., | ||||||||||
5.375%, 03/25/2021(2) | 1,303,000 | 1,403,842 | ||||||||
Nationwide Mutual Insurance Co., | ||||||||||
8.250%, 12/01/2031(2) | 2,195,000 | 3,164,701 | ||||||||
Nomura Holdings, Inc., | ||||||||||
6.700%, 03/04/2020(1) | 1,000,000 | 1,083,472 | ||||||||
Peachtree Corners Funding Trust, | ||||||||||
3.976%, 02/15/2025(2) | 6,000,000 | 6,177,893 | ||||||||
People's United Bank NA, | ||||||||||
4.000%, 07/15/2024 | 5,000,000 | 5,049,878 | ||||||||
Pricoa Global Funding I, | ||||||||||
2.450%, 09/21/2022(2) | 1,250,000 | 1,238,774 | ||||||||
Principal Life Global Funding II: | ||||||||||
2.200%, 04/08/2020(2) | 2,000,000 | 1,992,381 | ||||||||
3.000%, 04/18/2026(2) | 7,000,000 | 6,933,143 | ||||||||
Protective Life Corp., | ||||||||||
7.375%, 10/15/2019 | 2,500,000 | 2,709,604 | ||||||||
Protective Life Global Funding, | ||||||||||
2.700%, 11/25/2020(2) | 3,000,000 | 3,013,184 | ||||||||
Prudential Financial, Inc., | ||||||||||
7.375%, 06/15/2019 | 850,000 | 912,763 | ||||||||
Regions Bank, | ||||||||||
7.500%, 05/15/2018 | 2,475,000 | 2,524,561 | ||||||||
Regions Financial Corp., | ||||||||||
2.750%, 08/14/2022 | 4,725,000 | 4,710,136 | ||||||||
Reliance Standard Life Global Funding II, | ||||||||||
3.050%, 01/20/2021(2) | 5,000,000 | 5,067,912 | ||||||||
Santander Holdings USA, Inc., | ||||||||||
2.700%, 05/24/2019 | 2,000,000 | 2,004,361 | ||||||||
Santander UK Group Holdings PLC, | ||||||||||
3.125%, 01/08/2021(1) | 2,325,000 | 2,346,869 | ||||||||
Santander UK PLC: | ||||||||||
3.050%, 08/23/2018(1) | 1,175,000 | 1,183,041 | ||||||||
5.000%, 11/07/2023(1)(2) | 1,475,000 | 1,576,125 | ||||||||
Skandinaviska Enskilda Banken AB, | ||||||||||
2.450%, 05/27/2020(1)(2) | 8,500,000 | 8,505,270 | ||||||||
SMBC Aviation Capital Finance DAC, | ||||||||||
3.000%, 07/15/2022(1)(2) | 4,000,000 | 3,961,230 | ||||||||
Societe Generale SA: | ||||||||||
2.625%, 10/01/2018(1) | 1,000,000 | 1,004,161 | ||||||||
2.775%, 10/01/2018 (3 Month LIBOR USD + 1.080%)(1)(3) | 2,500,000 | 2,517,483 | ||||||||
2.500%, 04/08/2021(1)(2) | 2,150,000 | 2,138,928 | ||||||||
5.200%, 04/15/2021(1)(2) | 1,250,000 | 1,346,291 | ||||||||
5.000%, 01/17/2024(1)(2) | 3,150,000 | 3,362,891 | ||||||||
Standard Chartered PLC: | ||||||||||
1.993%, 04/17/2018 (3 Month LIBOR USD + 0.640%)(1)(2)(3) | 8,500,000 | 8,509,095 | ||||||||
2.100%, 08/19/2019(1)(2) | 3,200,000 | 3,179,718 | ||||||||
Stifel Financial Corp., | ||||||||||
4.250%, 07/18/2024 | 4,156,000 | 4,257,071 | ||||||||
Sumitomo Mitsui Banking Corp.: | ||||||||||
2.500%, 07/19/2018(1) | 3,000,000 | 3,010,602 | ||||||||
2.250%, 07/11/2019(1) | 2,000,000 | 1,999,293 | ||||||||
Sumitomo Mitsui Financial Group, Inc., | ||||||||||
2.442%, 10/19/2021(1) | 6,200,000 | 6,134,690 | ||||||||
Sumitomo Mitsui Trust Bank Ltd., | ||||||||||
2.050%, 03/06/2019(1)(2) | 12,000,000 | 11,968,909 | ||||||||
SunTrust Bank: | ||||||||||
7.250%, 03/15/2018 | 1,506,000 | 1,521,395 | ||||||||
3.300%, 05/15/2026 | 9,000,000 | 8,913,523 | ||||||||
Svenska Handelsbanken AB: | ||||||||||
2.500%, 01/25/2019(1) | 1,000,000 | 1,003,850 | ||||||||
2.400%, 10/01/2020(1) | 5,000,000 | 5,005,205 | ||||||||
Swedbank AB: | ||||||||||
1.750%, 03/12/2018(1)(2) | 3,250,000 | 3,247,985 | ||||||||
2.375%, 02/27/2019(1)(2) | 2,600,000 | 2,604,155 | ||||||||
2.650%, 03/10/2021(1)(2) | 3,800,000 | 3,811,844 | ||||||||
Synchrony Financial: | ||||||||||
3.750%, 08/15/2021 | 5,000,000 | 5,127,051 | ||||||||
4.250%, 08/15/2024 | 5,275,000 | 5,469,419 | ||||||||
3.700%, 08/04/2026 | 3,000,000 | 2,957,763 | ||||||||
Trinity Acquisition PLC, | ||||||||||
4.400%, 03/15/2026(1) | 1,125,000 | 1,189,787 | ||||||||
UBS Group Funding Switzerland AG: | ||||||||||
2.950%, 09/24/2020(1)(2) | 6,225,000 | 6,289,862 | ||||||||
2.650%, 02/01/2022(1)(2) | 5,000,000 | 4,943,383 | ||||||||
3.491%, 05/23/2023(1)(2) | 3,050,000 | 3,098,537 | ||||||||
Voya Financial, Inc.: | ||||||||||
2.900%, 02/15/2018 | 696,000 | 696,680 | ||||||||
3.125%, 07/15/2024 | 3,000,000 | 2,973,013 | ||||||||
3.650%, 06/15/2026 | 2,000,000 | 2,022,607 | ||||||||
WEA Finance LLC / Westfield UK & Europe Finance PLC: | ||||||||||
2.700%, 09/17/2019(2) | 200,000 | 201,080 | ||||||||
3.250%, 10/05/2020(2) | 7,500,000 | 7,631,334 | ||||||||
Wells Fargo & Co.: | ||||||||||
2.150%, 01/30/2020 | 7,000,000 | 6,984,651 | ||||||||
2.610%, 10/31/2023 (3 Month LIBOR USD + 1.230%)(3) | 5,000,000 | 5,132,942 | ||||||||
Westpac Banking Corp.: | ||||||||||
1.600%, 01/12/2018(1) | 1,250,000 | 1,249,958 | ||||||||
4.875%, 11/19/2019(1) | 2,775,000 | 2,909,065 | ||||||||
2.100%, 05/13/2021(1) | 5,000,000 | 4,941,311 | ||||||||
Willis Towers Watson PLC, | ||||||||||
5.750%, 03/15/2021(1) | 3,250,000 | 3,536,527 | ||||||||
726,888,322 | 24.6 | % | ||||||||
Total Corporate Bonds | 1,322,107,906 | 44.7 | % |
Taxable Municipal Bonds | ||||||||||||
Alabama Economic Settlement Authority, | ||||||||||||
3.163%, 09/15/2025 | 5,000,000 | 5,055,700 | ||||||||||
Alaska Municipal Bond Bank Authority: | ||||||||||||
4.309%, 08/01/2018 | 1,000,000 | 1,013,540 | ||||||||||
4.459%, 08/01/2019 | 1,340,000 | 1,386,686 | ||||||||||
California Qualified School Bond Joint Powers Authority, | ||||||||||||
5.955%, 03/01/2019 | 3,375,000 | 3,484,316 | ||||||||||
California School Finance Authority, | ||||||||||||
4.426%, 07/01/2020 | 2,500,000 | 2,605,200 | ||||||||||
Central Valley Support Joint Powers Agency, | ||||||||||||
5.326%, 09/01/2022 | 2,000,000 | 2,151,960 | ||||||||||
City of Berwyn IL, | ||||||||||||
5.790%, 12/01/2022 | 5,095,000 | 5,375,582 | ||||||||||
City of Bristol VA, | ||||||||||||
3.668%, 10/01/2022 (Callable 10/01/2020) | 7,500,000 | 7,620,750 | ||||||||||
County of Cook IL, | ||||||||||||
5.240%, 11/15/2025 (Callable 11/15/2021) | 2,345,000 | 2,551,688 | ||||||||||
Dallas Independent School District, | ||||||||||||
4.950%, 02/15/2022 (Callable 02/15/2021) | 1,965,000 | 2,126,778 | ||||||||||
Davie Florida Water & Sewer Revenue, | ||||||||||||
6.062%, 10/01/2025 (Callable 10/01/2020) | 1,000,000 | 1,098,530 | ||||||||||
Iowa Tobacco Settlement Authority, | ||||||||||||
6.500%, 06/01/2023 (Callable 01/29/2018) | 650,000 | 660,823 | ||||||||||
New Hampshire Housing Finance Authority, | ||||||||||||
2.600%, 01/01/2020 | 1,485,000 | 1,481,540 | ||||||||||
New Jersey Economic Development Authority: | ||||||||||||
2.435%, 02/15/2019 | 4,450,000 | 4,326,290 | ||||||||||
2.948%, 02/15/2021 | 3,000,000 | 2,719,470 | ||||||||||
2.970%, 02/15/2022 | 2,000,000 | 1,751,320 | ||||||||||
North Carolina Housing Finance Agency: | ||||||||||||
4.000%, 01/01/2030 (Callable 07/01/2021) | 260,000 | 264,454 | ||||||||||
3.000%, 01/01/2033 (Callable 01/01/2025) | 4,560,000 | 4,548,737 | ||||||||||
North East Texas Independent School District, | ||||||||||||
5.240%, 08/01/2027 | 2,100,000 | 2,442,363 | ||||||||||
Public Finance Authority: | ||||||||||||
2.625%, 11/01/2019 (Callable 05/01/2018) | 3,000,000 | 2,967,390 | ||||||||||
2.820%, 03/01/2020 (Callable 09/01/2018) | 2,000,000 | 1,995,600 | ||||||||||
South Dakota Housing Development Authority, | ||||||||||||
2.700%, 11/01/2036 (Callable 11/01/2025) | 1,780,000 | 1,754,617 | ||||||||||
Winnebago & Boone Counties School District No. 205: | ||||||||||||
3.800%, 12/01/2026 (Callable 12/01/2025) | 2,200,000 | 2,232,626 | ||||||||||
3.950%, 12/01/2027 (Callable 12/01/2025) | 1,700,000 | 1,726,350 | ||||||||||
63,342,310 | 2.1 | % | ||||||||||
Residential Mortgage-Backed Securities | ||||||||||||
U.S. Government Agency Issues | ||||||||||||
Fannie Mae REMIC Trust: | ||||||||||||
Series 1989-2, Class D, 8.800%, 01/25/2019 | 579 | 591 | ||||||||||
Series 1990-108, Class G, 7.000%, 09/25/2020 | 1,546 | 1,607 | ||||||||||
Series G-29, Class O, 8.500%, 09/25/2021 | 246 | 263 | ||||||||||
Series 1991-137, Class H, 7.000%, 10/25/2021 | 13,428 | 14,086 | ||||||||||
Series 1993-32, Class H, 6.000%, 03/25/2023 | 9,802 | 10,375 | ||||||||||
Federal Gold Loan Mortgage Corp. (FGLMC): | ||||||||||||
6.000%, 06/01/2021 | 50,349 | 52,602 | ||||||||||
6.000%, 07/01/2028 | 4,778 | 5,397 | ||||||||||
Federal Home Loan Mortgage Corp. (FHLMC): | ||||||||||||
Series 74, Class F, 6.000%, 10/15/2020 | 428 | 438 | ||||||||||
Series 1395, Class G, 6.000%, 10/15/2022 | 4,718 | 4,966 | ||||||||||
Government National Mortgage Association (GNMA), | ||||||||||||
Series 1999-4, Class ZB, 6.000%, 02/20/2029 | 62,802 | 63,008 | ||||||||||
153,333 | 0.0 | % | ||||||||||
Non-U.S. Government Agency Issues | ||||||||||||
Accredited Mortgage Loan Trust, | ||||||||||||
Series 2005-4, Class A1, 1.792%, 12/25/2035 (1 Month LIBOR USD + 0.240%)(3) | 2,066,897 | 2,064,087 | ||||||||||
Alternative Loan Trust: | ||||||||||||
Series 2005-50CB, Class 4A1, 5.000%, 11/25/2020 | 122,885 | 122,844 | ||||||||||
Series 2005-85CB, Class 3A1, 5.250%, 02/25/2021(2) | 122,409 | 119,669 | ||||||||||
Series 2006-7CB, Class 3A1, 5.250%, 05/25/2021 | 203,348 | 198,737 | ||||||||||
Series 2004-8CB, Class A, 1.822%, 06/25/2034 (1 Month LIBOR USD + 0.270%)(3) | 2,977,570 | 2,982,736 | ||||||||||
Series 2005-11CB, Class 2A1, 5.500%, 06/25/2035(8) | 42,486 | 41,591 | ||||||||||
AMRESCO Residential Securities Corp. Mortgage Loan Trust, | ||||||||||||
Series 1998-1, Class A6, 6.510%, 08/25/2027 | 4,443 | 4,640 | ||||||||||
Argent Securities Inc. Asset-Backed Pass-Through Certificates: | ||||||||||||
Series 2005-W3, Class A2D, 1.892%, 11/25/2035 (1 Month LIBOR USD + 0.340%)(3) | 1,251,887 | 1,250,548 | ||||||||||
Series 2005-W5, Class A1, 1.787%, 01/25/2036 (1 Month LIBOR USD + 0.240%)(3) | 8,083,103 | 8,015,200 | ||||||||||
Banc of America Alternative Loan Trust: | ||||||||||||
Series 2004-11, Class 4A1, 5.500%, 12/25/2019 | 90,662 | 91,288 | ||||||||||
Series 2005-6, Class 7A1, 5.500%, 07/25/2020(8) | 5,614 | 5,355 | ||||||||||
Series 2006-2, Class 7A1, 6.000%, 03/25/2021(8) | 108,495 | 101,537 | ||||||||||
Series 2006-4, Class 3CB4, 6.000%, 05/25/2046(8) | 291,555 | 275,848 | ||||||||||
Banc of America Funding Trust, | ||||||||||||
Series 2004-2, Class 1CB1, 5.750%, 09/20/2034 | 2,976,488 | 3,169,678 | ||||||||||
Bear Stearns ARM Trust, | ||||||||||||
Series 2004-5, Class 2A, 3.925%, 07/25/2034(4) | 1,389,901 | 1,379,526 | ||||||||||
Citigroup Global Markets Mortgage Securities VII, Inc., | ||||||||||||
Series 2003-UP2, Class A2, 7.000%, 06/25/2033(6) | 54,399 | 55,115 | ||||||||||
Cityscape Home Equity Loan Trust, | ||||||||||||
Series 1997-C, Class A4, 7.000%, 07/25/2028(6) | 3,921 | 3,976 | ||||||||||
Countrywide Asset-Backed Certificates: | ||||||||||||
Series 2004-12, Class AF6, 4.634%, 03/25/2035(4) | 2,233 | 2,290 | ||||||||||
Series 2005-1, Class AF6, 5.030%, 07/25/2035(4) | 147,418 | 150,066 | ||||||||||
Series 2006-13, Class 1AF3, 4.465%, 01/25/2037(4) | 81,645 | 155,223 | ||||||||||
Series 2006-9, Class 1AF3, 4.527%, 10/25/2046(4)(8) | 693,832 | 628,377 | ||||||||||
Delta Funding Home Equity Loan Trust: | ||||||||||||
Series 1997-2, Class A6, 7.040%, 06/25/2027 | 1,086 | 1,047 | ||||||||||
Series 1999-2, Class A7F, 7.030%, 08/15/2030 | 262,363 | 311,522 | ||||||||||
GSAMP Trust, | ||||||||||||
Series 2005-WMC2, Class A1B, 2.172%, 11/25/2035 (1 Month LIBOR USD + 0.620%)(3) | 1,627,086 | 1,630,880 | ||||||||||
IMC Home Equity Loan Trust, | ||||||||||||
Series 1998-1, Class A6, 7.020%, 06/20/2029(6) | 1,261 | 1,261 | ||||||||||
J.P. Morgan Alternative Loan Trust: | ||||||||||||
Series 2005-S1, Class 3A1, 5.500%, 10/25/2020 | 144,726 | 154,869 | ||||||||||
Series 2006-A1, Class 2A1, 3.481%, 03/25/2036(4)(8) | 399,214 | 363,083 | ||||||||||
J.P. Morgan Mortgage Acquisition Trust, | ||||||||||||
Series 2006-CH1, Class A1, 1.682%, 07/25/2036 (1 Month LIBOR USD + 0.130%)(3) | 2,344,802 | 2,337,370 | ||||||||||
MASTR Alternative Loan Trust: | ||||||||||||
Series 2004-1, Class 1A1, 5.000%, 01/25/2019 | 47,615 | 47,624 | ||||||||||
Series 2004-3, Class 1A1, 5.000%, 03/25/2019 | 12,422 | 12,438 | ||||||||||
Series 2005-3, Class 4A1, 5.500%, 03/25/2020 | 19,252 | 19,427 | ||||||||||
MortgageIT Trust, | ||||||||||||
Series 2005-3, Class A1, 2.152%, 08/25/2035 (1 Month LIBOR USD + 0.600%)(3) | 5,921,734 | 5,781,820 | ||||||||||
New Century Home Equity Loan Trust: | ||||||||||||
Series 2005-C, Class A1, 1.782%, 12/25/2035 (1 Month LIBOR USD + 0.230%)(3) | 2,401,322 | 2,391,797 | ||||||||||
Series 2005-C, Class A2C, 1.802%, 12/25/2035 (1 Month LIBOR USD + 0.250%)(3) | 1,207,642 | 1,206,134 | ||||||||||
New Residential Mortgage Loan Trust, | ||||||||||||
Series 2017-2A, Class A3, 4.000%, 03/25/2057(2)(4) | 4,832,307 | 4,994,701 | ||||||||||
Nomura Home Equity Loan, Inc., | ||||||||||||
Series 2006-HE2, Class A3, 1.722%, 03/25/2036 (1 Month LIBOR USD + 0.170%)(3) | 1,920,452 | 1,918,000 | ||||||||||
RALI Series Trust, | ||||||||||||
Series 2004-QS6, Class A1, 5.000%, 05/25/2019 | 6,439 | 6,413 | ||||||||||
RAMP Series Trust, | ||||||||||||
Series 2005-RS1, Class AI6, 4.713%, 01/25/2035 | 11,605 | 11,708 | ||||||||||
Saxon Asset Securities Trust, | ||||||||||||
Series 2005-4, Class A1B, 1.932%, 11/25/2037 (1 Month LIBOR USD + 0.380%)(3) | 1,518,629 | 1,519,835 | ||||||||||
Securitized Asset Backed Receivables LLC Trust, | ||||||||||||
Series 2005-OP2, Class A1, 1.877%, 10/25/2035 (1 Month LIBOR USD + 0.330%)(2)(3) | 242,526 | 242,521 | ||||||||||
Soundview Home Loan Trust, | ||||||||||||
Series 2003-2, Class A2, 2.852%, 11/25/2033 (1 Month LIBOR USD + 1.300%)(3) | 1,836,385 | 1,869,215 | ||||||||||
Specialty Underwriting & Residential Finance Trust: | ||||||||||||
Series 2004-BC4, Class A1A, 2.222%, 10/25/2035 (1 Month LIBOR USD + 0.670%)(3) | 1,906,538 | 1,897,733 | ||||||||||
Series 2006-BC1, Class A2D, 1.852%, 12/25/2036 (1 Month LIBOR USD + 0.300%)(3) | 4,520,741 | 4,521,622 | ||||||||||
Structured Asset Investment Loan Trust, | ||||||||||||
Series 2004-9, Class A5, 2.552%, 10/25/2034 (1 Month LIBOR USD + 1.000%)(3) | 3,086,248 | 3,084,528 | ||||||||||
Structured Asset Securities Corp., | ||||||||||||
Series 2004-22, Class A2, 5.035%, 01/25/2035(6) | 2,737,064 | 2,857,035 | ||||||||||
Thornburg Mortgage Securities Trust, | ||||||||||||
Series 2003-5, Class 3A, 3.311%, 10/25/2043(4) | 4,355,517 | 4,410,388 | ||||||||||
Towd Point Mortgage Trust: | ||||||||||||
Series 2015-5, Class A1B, 2.750%, 05/25/2055(2)(4) | 3,068,795 | 3,069,497 | ||||||||||
Series 2016-2, Class A1, 3.000%, 08/25/2055(2)(4) | 2,777,284 | 2,796,562 | ||||||||||
Series 2017-1, Class A1, 2.750%, 10/25/2056(2)(4) | 7,772,516 | 7,762,541 | ||||||||||
Series 2017-5, Class A1, 2.152%, 02/25/2057 (1 Month LIBOR USD + 0.600%)(2)(3) | 8,382,352 | 8,392,586 | ||||||||||
WaMu Mortgage Pass-Through Certificates Trust: | ||||||||||||
Series 2004-CB1, Class 5A, 5.000%, 06/25/2019 | 90,942 | 91,455 | ||||||||||
Series 2004-CB3, Class 3A, 5.500%, 10/25/2019 | 114,959 | 115,889 | ||||||||||
Series 2004-CB3, Class 4A, 6.000%, 10/25/2019 | 67,076 | 68,368 | ||||||||||
Series 2004-CB4, Class 21A, 5.500%, 12/25/2019 | 63,155 | 63,847 | ||||||||||
Series 2004-CB4, Class 22A, 6.000%, 12/25/2019 | 40,076 | 40,728 | ||||||||||
Series 2004-AR3, Class A1, 3.176%, 06/25/2034(4) | 3,488,814 | 3,551,123 | ||||||||||
Series 2004-CB2, Class 3A, 6.000%, 08/25/2034 | 3,016,454 | 3,192,378 | ||||||||||
Wells Fargo Home Equity Asset-Backed Securities Trust, | ||||||||||||
Series 2004-2, Class A33, 2.552%, 10/25/2034 (1 Month LIBOR USD + 1.000%)(3) | 3,162,597 | 3,175,134 | ||||||||||
Wells Fargo Mortgage Backed Securities Trust, | ||||||||||||
Series 2005-AR10, Class 2A17, 3.473%, 06/25/2035(4) | 4,755,241 | 4,872,720 | ||||||||||
99,604,130 | 3.4 | % | ||||||||||
99,757,463 | 3.4 | % | ||||||||||
Commercial Mortgage-Backed Securities | ||||||||||||
U.S. Government Agency Issues | ||||||||||||
Freddie Mac Multifamily Structured Pass Through Certificates: | ||||||||||||
Series K004, Class A2, 4.186%, 08/25/2019 | 8,095,000 | 8,324,840 | ||||||||||
Series K005, Class A2, 4.317%, 11/25/2019 | 6,475,000 | 6,692,656 | ||||||||||
Series K006, Class A2, 4.251%, 01/25/2020 | 2,993,000 | 3,100,216 | ||||||||||
Series K713, Class A2, 2.313%, 03/25/2020 | 4,450,000 | 4,453,045 | ||||||||||
Series K015, Class A2, 3.230%, 07/25/2021 | 2,950,000 | 3,030,162 | ||||||||||
Series K717, Class A2, 2.991%, 09/25/2021 | 14,569,000 | 14,878,934 | ||||||||||
Series K720, Class A2, 2.716%, 06/25/2022 | 15,850,000 | 16,029,346 | ||||||||||
Series K028, Class A2, 3.111%, 02/25/2023 | 13,850,000 | 14,267,597 | ||||||||||
Series K050, Class A2, 3.334%, 08/25/2025(4) | 12,150,000 | 12,637,336 | ||||||||||
Series K071, Class A2, 3.286%, 11/25/2050 | 7,075,000 | 7,308,645 | ||||||||||
90,722,777 | 3.1 | % | ||||||||||
Non-U.S. Government Agency Issues | ||||||||||||
Citigroup Commercial Mortgage Trust: | ||||||||||||
Series 2013-GC11, Class A4, 3.093%, 04/10/2046 | 11,050,000 | 11,208,643 | ||||||||||
Series 2015-GC27, Class A5, 3.137%, 02/10/2048 | 11,675,000 | 11,767,133 | ||||||||||
COMM Mortgage Trust, | ||||||||||||
Series 2013-CR11, Class A4, 4.258%, 08/10/2050 | 10,000,000 | 10,706,514 | ||||||||||
J.P. Morgan Chase Commercial Mortgage Securities Trust, | ||||||||||||
Series 2011-C5, Class A3, 4.171%, 08/15/2046 | 9,580,154 | 10,034,802 | ||||||||||
Morgan Stanley Bank of America Merrill Lynch Trust: | ||||||||||||
Series 2013-C7, Class A4, 2.918%, 02/15/2046 | 9,540,000 | 9,620,504 | ||||||||||
Series 2016-C29, Class ASB, 3.140%, 05/15/2049 | 5,000,000 | 5,092,320 | ||||||||||
Wells Fargo Commercial Mortgage Trust: | ||||||||||||
Series 2014-LC18, Class ASB, 3.244%, 12/15/2047 | 16,400,000 | 16,726,236 | ||||||||||
Series 2015-P2, Class ASB, 3.656%, 12/15/2048 | 11,175,000 | 11,623,781 | ||||||||||
WFRBS Commercial Mortgage Trust: | ||||||||||||
Series 2012-C6, Class A4, 3.440%, 04/15/2045 | 8,875,000 | 9,121,162 | ||||||||||
Series 2014-C21, Class A2, 2.917%, 08/15/2047 | 2,435,234 | 2,458,728 | ||||||||||
Series 2014-C24, Class ASB, 3.324%, 11/15/2047 | 8,652,000 | 8,845,554 | ||||||||||
Series 2013-C12, Class ASB, 2.838%, 03/15/2048 | 8,750,000 | 8,826,050 | ||||||||||
116,031,427 | 3.9 | % | ||||||||||
206,754,204 | 7.0 | % | ||||||||||
Other Asset Backed Securities | ||||||||||||
American Express Credit Account Master Trust, | ||||||||||||
Series 2017-1, Class A, 1.930%, 09/15/2022 | 12,000,000 | 11,944,727 | ||||||||||
Chesapeake Funding II LLC, | ||||||||||||
Series 2017-3A, Class A1, 1.910%, 08/15/2029(2) | 6,925,000 | 6,889,861 | ||||||||||
Citibank Credit Card Issuance Trust, | ||||||||||||
Series 2017-A3, Class A3, 1.920%, 04/07/2022 | 13,375,000 | 13,291,565 | ||||||||||
Conseco Financial Corp.: | ||||||||||||
Series 1998-2, Class A5, 6.240%, 12/01/2028 | 118,793 | 122,138 | ||||||||||
Series 1998-3, Class A5, 6.220%, 03/01/2030 | 235,482 | 250,207 | ||||||||||
Series 1998-4, Class A5, 6.180%, 04/01/2030 | 100,273 | 105,344 | ||||||||||
Series 1998-7, Class A1, 6.320%, 07/01/2030 | 2,078,685 | 2,175,591 | ||||||||||
Discover Card Execution Note Trust, | ||||||||||||
Series 2016-A4, Class A4, 1.390%, 03/15/2022 | 10,925,000 | 10,790,885 | ||||||||||
Ford Credit Auto Owner Trust: | ||||||||||||
Series 2014-1, Class A, 2.260%, 11/15/2025(2) | 10,859,000 | 10,881,071 | ||||||||||
Series 2014-2, Class A, 2.310%, 04/15/2026(2) | 11,750,000 | 11,767,315 | ||||||||||
Korea Housing Finance Corp., | ||||||||||||
1.625%, 09/15/2018(1)(2) | 1,050,000 | 1,041,915 | ||||||||||
MMAF Equipment Finance LLC, | ||||||||||||
Series 2017-AA, Class A3, 2.040%, 02/16/2022(2) | 6,250,000 | 6,217,724 | ||||||||||
Oakwood Mortgage Investors, Inc., | ||||||||||||
6.450%, 12/15/2023 | 48,960 | 49,538 | ||||||||||
OneMain Financial Issuance Trust, | ||||||||||||
Series 2014-2A, Class A, 2.470%, 09/18/2024(2) | 81,238 | 81,253 | ||||||||||
PFS Financing Corp., | ||||||||||||
Series 2017-D, Class A, 2.400%, 10/17/2022(2) | 8,525,000 | 8,488,251 | ||||||||||
SoFi Consumer Loan Program, | ||||||||||||
Series 2017-3, Class A, 2.770%, 05/25/2026(2) | 4,454,646 | 4,456,261 | ||||||||||
Synchrony Credit Card Master Note Trust, | ||||||||||||
Series 2012-2, Class A, 2.220%, 01/15/2022 | 8,375,000 | 8,385,796 | ||||||||||
World Financial Network Credit Card Master Trust, | ||||||||||||
Series 2017-C, Class A, 2.310%, 08/15/2024 | 5,850,000 | 5,825,462 | ||||||||||
102,764,904 | 3.6 | % | ||||||||||
Total Long-Term Investments (Cost $2,917,894,468) | 2,915,219,060 | 98.7 | % | |||||||||
SHORT-TERM INVESTMENT | Shares | |||||||||||
Money Market Mutual Fund | ||||||||||||
Fidelity Institutional Money Market Fund - Government Portfolio, Institutional Class, 1.19%(5) | 65,905,478 | 65,905,478 | ||||||||||
Total Short-Term Investment (Cost $65,905,478) | 65,905,478 | 2.2 | % | |||||||||
Total Investments (Cost $2,983,799,946) | 2,981,124,538 | 100.9 | % | |||||||||
Liabilities in Excess of Other Assets | (25,221,998 | ) | (0.9 | )% | ||||||||
TOTAL NET ASSETS | $ | 2,955,902,540 | 100.0 | % |
Notes to Schedule of Investments | ||||||||
(1) | Foreign Security. | |||||||
(2) | 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, 2017, the value of these securities total $522,817,095, which represents 17.69% of total net assets. | |||||||
(3) | Variable rate security based on a reference index and spread. The rate reported is the rate in effect as of December 31, 2017. | |||||||
(4) | Variable rate security. The coupon is based on an underlying pool of loans. The rate reported is the rate in effect as of December 31, 2017. | |||||||
(5) | 7-Day Yield. | |||||||
(6) | Step-up bond; the interest rate shown is the rate in effect as of December 31, 2017. | |||||||
(7) | Security in default. | |||||||
(8) | Security that, on the last payment date, missed a partial principal or interest payment. |
Baird Intermediate Bond Fund | ||||||||
Schedule of Investments, December 31, 2017 | ||||||||
Summary of Fair Value Exposure at December 31, 2017 | ||||||||
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, 2017: |
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Long-Term Investments | ||||||||||||||||
U.S. Treasury Securities | $ | – | $ | 1,077,986,565 | $ | – | $ | 1,077,986,565 | ||||||||
Other Government Related Securities | – | 42,505,708 | – | 42,505,708 | ||||||||||||
Corporate Bonds | – | 1,322,107,906 | – | 1,322,107,906 | ||||||||||||
Taxable Municipal Bonds | – | 63,342,310 | – | 63,342,310 | ||||||||||||
Residential Mortgage-Backed Securities - U.S. Government Agency Issues | – | 153,333 | – | 153,333 | ||||||||||||
Residential Mortgage-Backed Securities - Non-U.S. Government Agency Issues | – | 99,604,130 | – | 99,604,130 | ||||||||||||
Commercial Mortgage-Backed Securities - U.S. Government Agency Issues | – | 90,722,777 | – | 90,722,777 | ||||||||||||
Commercial Mortgage-Backed Securities - Non-U.S. Government Agency Issues | – | 116,031,427 | – | 116,031,427 | ||||||||||||
Other Asset Backed Securities | – | 102,764,904 | – | 102,764,904 | ||||||||||||
Total Long-Term Investments | – | 2,915,219,060 | – | 2,915,219,060 | ||||||||||||
Short-Term Investment | ||||||||||||||||
Money Market Mutual Fund | 65,905,478 | – | – | 65,905,478 | ||||||||||||
Total Short-Term Investment | 65,905,478 | – | – | 65,905,478 | ||||||||||||
Total Investments | $ | 65,905,478 | $ | 2,915,219,060 | $ | – | $ | 2,981,124,538 |
Changes in valuation techniques may result in transfers into or out of assigned levels within the fair value hierarchy. Transfers between levels are recognized at the end of the reporting period. 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. |
Baird Aggregate Bond Fund | ||||||||||||
Schedule of Investments | ||||||||||||
December 31, 2017 | ||||||||||||
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
LONG-TERM INVESTMENTS | ||||||||||||
U.S. Treasury Securities | ||||||||||||
U.S. Treasury Bonds: | ||||||||||||
1.750%, 03/31/2022 | $ | 361,655,000 | $ | 355,721,598 | ||||||||
1.875%, 03/31/2022 | 367,675,000 | 363,524,295 | ||||||||||
2.500%, 05/15/2024 | 356,975,000 | 361,004,912 | ||||||||||
2.250%, 11/15/2025 | 169,750,000 | 168,258,057 | ||||||||||
2.000%, 11/15/2026 | 194,675,000 | 188,401,294 | ||||||||||
3.500%, 02/15/2039 | 462,355,900 | 528,079,070 | ||||||||||
2.875%, 05/15/2043 | 699,525,000 | 719,281,118 | ||||||||||
2,684,270,344 | 18.6 | % | ||||||||||
Other Government Related Securities | ||||||||||||
CNOOC Finance (2015) Australia Pty Ltd., | ||||||||||||
2.625%, 05/05/2020(1) | 14,500,000 | 14,463,850 | ||||||||||
CNPC General Capital Ltd., | ||||||||||||
2.750%, 05/14/2019(1)(2) | 2,000,000 | 2,003,591 | ||||||||||
Comision Federal de Electricidad, | ||||||||||||
4.875%, 01/15/2024(1)(2) | 2,678,000 | 2,855,417 | ||||||||||
Corp Andina de Fomento, | ||||||||||||
4.375%, 06/15/2022(1) | 6,107,000 | 6,506,337 | ||||||||||
Export-Import Bank of Korea, | ||||||||||||
2.250%, 01/21/2020(1) | 11,000,000 | 10,884,225 | ||||||||||
Industrial Bank of Korea, | ||||||||||||
2.000%, 04/23/2020(1)(2) | 7,000,000 | 6,858,045 | ||||||||||
The Korea Development Bank, | ||||||||||||
2.250%, 05/18/2020(1) | 2,000,000 | 1,970,863 | ||||||||||
Korea Electric Power Corp., | ||||||||||||
6.750%, 08/01/2027(1) | 1,932,000 | 2,479,002 | ||||||||||
Korea Gas Corp., | ||||||||||||
4.250%, 11/02/2020(1)(2) | 2,321,000 | 2,404,092 | ||||||||||
Nexen Energy ULC: | ||||||||||||
6.400%, 05/15/2037(1) | 3,392,000 | 4,424,101 | ||||||||||
7.500%, 07/30/2039(1) | 4,175,000 | 6,167,878 | ||||||||||
Petroleos Mexicanos: | ||||||||||||
8.000%, 05/03/2019(1) | 7,000,000 | 7,476,000 | ||||||||||
5.500%, 01/21/2021(1) | 5,600,000 | 5,941,600 | ||||||||||
4.875%, 01/24/2022(1) | 4,000,000 | 4,169,000 | ||||||||||
4.500%, 01/23/2026(1) | 2,500,000 | 2,495,500 | ||||||||||
6.625%, 06/15/2035(1) | 893,000 | 954,028 | ||||||||||
Sinopec Group Overseas Development [2014] Ltd., | ||||||||||||
4.375%, 04/10/2024(1)(2) | 1,500,000 | 1,591,221 | ||||||||||
Sinopec Group Overseas Development [2015] Ltd.: | ||||||||||||
2.500%, 04/28/2020(1)(2) | 15,000,000 | 14,920,898 | ||||||||||
3.250%, 04/28/2025(1)(2) | 10,000,000 | 9,929,572 | ||||||||||
Sinopec Group Overseas Development [2016] Ltd., | ||||||||||||
3.500%, 05/03/2026(1)(2) | 13,450,000 | 13,538,474 | ||||||||||
Sinopec Group Overseas Development [2017] Ltd: | ||||||||||||
2.250%, 09/13/2020(1)(2) | 9,125,000 | 9,004,486 | ||||||||||
3.000%, 04/12/2022(1)(2) | 15,000,000 | 14,977,350 | ||||||||||
146,015,530 | 1.0 | % | ||||||||||
Corporate Bonds | ||||||||||||
Industrials | ||||||||||||
21st Century Fox America, Inc.: | ||||||||||||
7.300%, 04/30/2028 | 6,350,000 | 8,225,889 | ||||||||||
6.150%, 03/01/2037 | 2,570,000 | 3,365,783 | ||||||||||
6.750%, 01/09/2038 | 5,650,000 | 7,712,590 | ||||||||||
Abbott Laboratories: | ||||||||||||
4.750%, 11/30/2036 | 33,949,000 | 38,145,129 | ||||||||||
4.900%, 11/30/2046 | 4,700,000 | 5,388,536 | ||||||||||
AbbVie, Inc.: | ||||||||||||
2.500%, 05/14/2020 | 9,500,000 | 9,529,276 | ||||||||||
4.500%, 05/14/2035 | 9,000,000 | 9,885,075 | ||||||||||
4.300%, 05/14/2036 | 6,000,000 | 6,429,171 | ||||||||||
Actavis Funding SCS: | ||||||||||||
3.850%, 06/15/2024(1) | 12,067,000 | 12,365,575 | ||||||||||
3.800%, 03/15/2025(1) | 12,000,000 | 12,216,561 | ||||||||||
4.550%, 03/15/2035(1) | 8,000,000 | 8,465,330 | ||||||||||
Acuity Brands Lighting, Inc., | ||||||||||||
6.000%, 12/15/2019 | 3,749,000 | 3,987,298 | ||||||||||
Agrium, Inc., | ||||||||||||
3.375%, 03/15/2025(1) | 2,625,000 | 2,637,145 | ||||||||||
Allegion US Holding Co., Inc., | ||||||||||||
3.200%, 10/01/2024 | 7,000,000 | 6,917,750 | ||||||||||
Ameritech Capital Funding Corp., | ||||||||||||
6.450%, 01/15/2018 | 2,668,000 | 2,672,155 | ||||||||||
Amgen, Inc., | ||||||||||||
4.400%, 05/01/2045 | 12,300,000 | 13,382,874 | ||||||||||
Anadarko Finance Co., | ||||||||||||
7.500%, 05/01/2031(1) | 7,170,000 | 9,203,401 | ||||||||||
Anadarko Petroleum Corp., | ||||||||||||
8.700%, 03/15/2019 | 2,432,000 | 2,607,543 | ||||||||||
Analog Devices, Inc., | ||||||||||||
3.125%, 12/05/2023 | 10,000,000 | 10,020,270 | ||||||||||
Anglo American Capital PLC, | ||||||||||||
9.375%, 04/08/2019(1)(2) | 1,785,000 | 1,935,537 | ||||||||||
Anheuser-Busch InBev Finance, Inc., | ||||||||||||
2.650%, 02/01/2021 | 6,300,000 | 6,331,612 | ||||||||||
Apple, Inc., | ||||||||||||
2.400%, 05/03/2023 | 2,678,000 | 2,650,442 | ||||||||||
AT&T, Inc.: | ||||||||||||
3.950%, 01/15/2025 | 5,000,000 | 5,119,321 | ||||||||||
3.400%, 05/15/2025 | 23,200,000 | 22,809,089 | ||||||||||
4.125%, 02/17/2026 | 7,650,000 | 7,824,847 | ||||||||||
3.900%, 08/14/2027 | 4,125,000 | 4,152,562 | ||||||||||
5.250%, 03/01/2037 | 10,000,000 | 10,576,238 | ||||||||||
4.800%, 06/15/2044 | 1,375,000 | 1,359,987 | ||||||||||
4.750%, 05/15/2046 | 5,000,000 | 4,890,235 | ||||||||||
5.150%, 11/15/2046(2) | 10,599,000 | 10,832,521 | ||||||||||
5.150%, 02/14/2050 | 10,000,000 | 10,124,643 | ||||||||||
Baxalta, Inc., | ||||||||||||
2.875%, 06/23/2020 | 5,000,000 | 5,032,295 | ||||||||||
Bayer US Finance LLC, | ||||||||||||
2.375%, 10/08/2019(2) | 10,000,000 | 10,005,551 | ||||||||||
Becton Dickinson and Co.: | ||||||||||||
2.675%, 12/15/2019 | 4,007,000 | 4,021,482 | ||||||||||
3.250%, 11/12/2020 | 7,000,000 | 7,100,419 | ||||||||||
3.363%, 06/06/2024 | 6,300,000 | 6,317,600 | ||||||||||
3.734%, 12/15/2024 | 4,000,000 | 4,096,785 | ||||||||||
4.875%, 05/15/2044 | 10,815,000 | 11,558,084 | ||||||||||
Boardwalk Pipelines LP: | ||||||||||||
5.950%, 06/01/2026 | 22,721,000 | 25,344,156 | ||||||||||
4.450%, 07/15/2027 | 7,000,000 | 7,121,375 | ||||||||||
Boral Finance Pty Ltd., | ||||||||||||
3.000%, 11/01/2022(1)(2) | 6,000,000 | 5,947,504 | ||||||||||
Boston Scientific Corp.: | ||||||||||||
2.650%, 10/01/2018 | 10,000,000 | 10,039,465 | ||||||||||
2.850%, 05/15/2020 | 7,000,000 | 7,055,498 | ||||||||||
Broadcom Corp. / Broadcom Cayman Finance Ltd., | ||||||||||||
3.125%, 01/15/2025(2) | 12,000,000 | 11,471,578 | ||||||||||
Bunge Limited Finance Corp.: | ||||||||||||
8.500%, 06/15/2019 | 6,933,000 | 7,510,351 | ||||||||||
3.500%, 11/24/2020 | 12,235,000 | 12,490,241 | ||||||||||
3.000%, 09/25/2022 | 15,000,000 | 14,888,287 | ||||||||||
3.250%, 08/15/2026 | 11,550,000 | 11,037,980 | ||||||||||
Burlington Northern Santa Fe LLC, | ||||||||||||
4.150%, 04/01/2045 | 3,000,000 | 3,260,079 | ||||||||||
Canadian Natural Resources Ltd., | ||||||||||||
6.500%, 02/15/2037(1) | 982,000 | 1,246,111 | ||||||||||
Carlisle Cos, Inc., | ||||||||||||
3.500%, 12/01/2024 | 5,000,000 | 5,039,507 | ||||||||||
Celgene Corp.: | ||||||||||||
3.550%, 08/15/2022 | 6,450,000 | 6,643,689 | ||||||||||
4.000%, 08/15/2023 | 2,477,000 | 2,606,001 | ||||||||||
Celulosa Arauco y Constitucion SA, | ||||||||||||
3.875%, 11/02/2027(1)(2) | 12,000,000 | 11,917,800 | ||||||||||
CF Industries, Inc.: | ||||||||||||
3.450%, 06/01/2023 | 21,000,000 | 20,711,250 | ||||||||||
5.150%, 03/15/2034 | 3,000,000 | 3,060,000 | ||||||||||
Charter Communications Operating LLC, | ||||||||||||
4.464%, 07/23/2022 | 13,773,000 | 14,370,048 | ||||||||||
Charter Communications Operating LLC / Charter Communications Operating Capital, | ||||||||||||
6.384%, 10/23/2035 | 5,800,000 | 6,772,226 | ||||||||||
Chevron Phillips Chemical Co. LLC / Chevron Phillips Chemical Co. LP, | ||||||||||||
2.127%, 05/01/2020 (3 Month LIBOR USD + 0.750%)(2)(3) | 25,000,000 | 25,226,270 | ||||||||||
CK Hutchison International Ltd., | ||||||||||||
2.875%, 04/05/2022(1)(2) | 8,000,000 | 7,970,509 | ||||||||||
Columbia Pipeline Group, Inc.: | ||||||||||||
2.450%, 06/01/2018 | 4,004,000 | 4,006,367 | ||||||||||
3.300%, 06/01/2020 | 14,575,000 | 14,783,175 | ||||||||||
4.500%, 06/01/2025 | 2,819,000 | 3,001,504 | ||||||||||
Comcast Corp.: | ||||||||||||
4.250%, 01/15/2033 | 5,712,000 | 6,225,881 | ||||||||||
3.200%, 07/15/2036 | 6,000,000 | 5,705,502 | ||||||||||
3.969%, 11/01/2047 | 8,622,000 | 8,907,209 | ||||||||||
ConAgra Foods, Inc.: | ||||||||||||
4.950%, 08/15/2020 | 332,000 | 350,804 | ||||||||||
9.750%, 03/01/2021 | 4,548,000 | 5,449,190 | ||||||||||
7.125%, 10/01/2026 | 6,441,000 | 7,856,458 | ||||||||||
7.000%, 10/01/2028 | 4,300,000 | 5,327,413 | ||||||||||
ConocoPhillips Co., | ||||||||||||
2.316%, 05/15/2022 (3 Month LIBOR USD + 0.900%)(3) | 8,425,000 | 8,608,180 | ||||||||||
Continental Airlines Pass Through Trust, | ||||||||||||
6.900%, 01/02/2018 | 12,304 | 12,304 | ||||||||||
Corning, Inc., | ||||||||||||
4.375%, 11/15/2057 | 9,000,000 | 8,934,326 | ||||||||||
Cox Communications, Inc.: | ||||||||||||
3.850%, 02/01/2025(2) | 7,525,000 | 7,700,358 | ||||||||||
4.800%, 02/01/2035(2) | 9,000,000 | 9,171,505 | ||||||||||
8.375%, 03/01/2039(2) | 19,011,000 | 26,749,770 | ||||||||||
4.600%, 08/15/2047(2) | 5,000,000 | 5,046,416 | ||||||||||
Crane Co., | ||||||||||||
2.750%, 12/15/2018 | 10,000,000 | 10,044,798 | ||||||||||
CVS Health Corp., | ||||||||||||
3.500%, 07/20/2022 | 7,000,000 | 7,130,211 | ||||||||||
Daimler Finance North America LLC, | ||||||||||||
1.500%, 07/05/2019(2) | 10,700,000 | 10,574,823 | ||||||||||
Danone SA, | ||||||||||||
2.589%, 11/02/2023(1)(2) | 19,600,000 | 19,114,050 | ||||||||||
DCP Midstream LLC, | ||||||||||||
9.750%, 03/15/2019(2) | 5,065,000 | 5,476,531 | ||||||||||
Deutsche Telekom International Finance BV, | ||||||||||||
8.750%, 06/15/2030(1) | 1,661,000 | 2,457,600 | ||||||||||
Diamond 1 Finance Corp. / Diamond 2 Finance Corp.: | ||||||||||||
3.480%, 06/01/2019(2) | 8,947,000 | 9,059,083 | ||||||||||
4.420%, 06/15/2021(2) | 50,575,000 | 52,700,121 | ||||||||||
Dominion Gas Holdings LLC, | ||||||||||||
2.800%, 11/15/2020 | 7,275,000 | 7,330,867 | ||||||||||
The Dow Chemical Co., | ||||||||||||
8.550%, 05/15/2019 | 26,000,000 | 28,162,677 | ||||||||||
DXC Technology Co.: | ||||||||||||
2.431%, 03/01/2021 (3 Month LIBOR USD + 0.950%)(3) | 8,000,000 | 8,019,577 | ||||||||||
4.250%, 04/15/2024 | 34,725,000 | 36,170,997 | ||||||||||
4.750%, 04/15/2027 | 1,215,000 | 1,292,046 | ||||||||||
Enable Midstream Partners LP, | ||||||||||||
3.900%, 05/15/2024 | 5,000,000 | 5,030,312 | ||||||||||
Enbridge Energy Partners LP, | ||||||||||||
7.375%, 10/15/2045 | 10,000,000 | 13,287,641 | ||||||||||
Energy Transfer Partners LP: | ||||||||||||
9.700%, 03/15/2019 | 893,000 | 966,485 | ||||||||||
4.150%, 10/01/2020 | 10,000,000 | 10,326,463 | ||||||||||
4.050%, 03/15/2025 | 26,585,000 | 26,565,123 | ||||||||||
Ensco PLC, | ||||||||||||
5.200%, 03/15/2025(1) | 4,000,000 | 3,400,000 | ||||||||||
Enterprise Products Operating LLC, | ||||||||||||
3.700%, 02/15/2026 | 8,350,000 | 8,549,907 | ||||||||||
EQT Midstream Partners LP: | ||||||||||||
4.000%, 08/01/2024 | 3,000,000 | 3,011,486 | ||||||||||
4.125%, 12/01/2026 | 10,000,000 | 9,958,169 | ||||||||||
ERAC USA Finance LLC: | ||||||||||||
2.350%, 10/15/2019(2) | 4,000,000 | 3,988,586 | ||||||||||
3.300%, 12/01/2026(2) | 20,225,000 | 20,052,879 | ||||||||||
Express Scripts Holding Co.: | ||||||||||||
3.300%, 02/25/2021 | 2,350,000 | 2,386,882 | ||||||||||
4.750%, 11/15/2021 | 5,000,000 | 5,327,144 | ||||||||||
3.900%, 02/15/2022 | 10,000,000 | 10,348,575 | ||||||||||
3.050%, 11/30/2022 | 10,000,000 | 9,983,011 | ||||||||||
3.000%, 07/15/2023 | 5,512,000 | 5,473,679 | ||||||||||
3.500%, 06/15/2024 | 9,000,000 | 9,079,606 | ||||||||||
Federal Express Corp. Pass Through Trust, | ||||||||||||
6.845%, 01/15/2019 | 772,729 | 788,184 | ||||||||||
FedEx Corp., | ||||||||||||
3.200%, 02/01/2025 | 6,000,000 | 6,076,453 | ||||||||||
Fidelity National Information Services, Inc.: | ||||||||||||
3.625%, 10/15/2020 | 5,577,000 | 5,730,218 | ||||||||||
3.500%, 04/15/2023 | 12,188,000 | 12,459,389 | ||||||||||
3.875%, 06/05/2024 | 582,000 | 607,519 | ||||||||||
4.500%, 08/15/2046 | 11,100,000 | 11,570,392 | ||||||||||
Fiserv, Inc.: | ||||||||||||
2.700%, 06/01/2020 | 10,000,000 | 10,062,475 | ||||||||||
4.625%, 10/01/2020 | 1,785,000 | 1,883,668 | ||||||||||
3.500%, 10/01/2022 | 5,410,000 | 5,568,285 | ||||||||||
FMC Corp., | ||||||||||||
4.100%, 02/01/2024 | 6,400,000 | 6,607,318 | ||||||||||
Fomento Economico Mexicano SAB de CV: | �� | |||||||||||
2.875%, 05/10/2023(1) | 5,000,000 | 4,947,313 | ||||||||||
4.375%, 05/10/2043(1) | 4,374,000 | 4,606,386 | ||||||||||
Ford Motor Credit Co. LLC: | ||||||||||||
2.240%, 06/15/2018 | 6,250,000 | 6,255,911 | ||||||||||
2.375%, 03/12/2019 | 6,806,000 | 6,808,441 | ||||||||||
2.597%, 11/04/2019 | 10,000,000 | 10,006,544 | ||||||||||
3.200%, 01/15/2021 | 25,000,000 | 25,349,922 | ||||||||||
3.336%, 03/18/2021 | 7,500,000 | 7,617,264 | ||||||||||
3.339%, 03/28/2022 | 5,000,000 | 5,057,899 | ||||||||||
2.979%, 08/03/2022 | 13,000,000 | 12,954,120 | ||||||||||
Forest Laboratories, Inc., | ||||||||||||
5.000%, 12/15/2021(2) | 24,000,000 | 25,667,432 | ||||||||||
Fortive Corp., | ||||||||||||
2.350%, 06/15/2021 | 5,125,000 | 5,080,156 | ||||||||||
Freeport-McMoRan, Inc., | ||||||||||||
6.750%, 02/01/2022 | 2,649,000 | 2,741,715 | ||||||||||
Fresenius Medical Care US Finance II, Inc., | ||||||||||||
4.750%, 10/15/2024(2) | 10,000,000 | 10,665,638 | ||||||||||
General Electric Co.: | ||||||||||||
2.200%, 01/09/2020 | 1,432,000 | 1,430,540 | ||||||||||
5.550%, 05/04/2020 | 1,585,000 | 1,696,383 | ||||||||||
4.650%, 10/17/2021 | 1,534,000 | 1,651,558 | ||||||||||
General Motors Financial Co., Inc.: | ||||||||||||
2.400%, 05/09/2019 | 9,000,000 | 9,002,183 | ||||||||||
2.350%, 10/04/2019 | 6,800,000 | 6,780,007 | ||||||||||
2.650%, 04/13/2020 | 3,500,000 | 3,500,738 | ||||||||||
2.450%, 11/06/2020 | 9,000,000 | 8,932,314 | ||||||||||
4.200%, 03/01/2021 | 30,000,000 | 31,198,645 | ||||||||||
4.375%, 09/25/2021 | 2,675,000 | 2,813,806 | ||||||||||
3.450%, 01/14/2022 | 5,000,000 | 5,067,475 | ||||||||||
3.150%, 06/30/2022 | 6,000,000 | 5,995,334 | ||||||||||
Georgia-Pacific LLC, | ||||||||||||
2.539%, 11/15/2019(2) | 19,125,000 | 19,193,988 | ||||||||||
Gilead Sciences, Inc., | ||||||||||||
4.600%, 09/01/2035 | 4,600,000 | 5,183,161 | ||||||||||
Glencore Funding LLC: | ||||||||||||
2.500%, 01/15/2019(2) | 4,463,000 | 4,465,901 | ||||||||||
4.125%, 05/30/2023(2) | 6,746,000 | 6,978,737 | ||||||||||
4.625%, 04/29/2024(2) | 30,620,000 | 32,328,596 | ||||||||||
4.000%, 04/16/2025(2) | 4,450,000 | 4,494,688 | ||||||||||
4.000%, 03/27/2027(2) | 17,550,000 | 17,620,508 | ||||||||||
3.875%, 10/27/2027(2) | 2,000,000 | 1,973,520 | ||||||||||
Grupo Bimbo SAB de CV: | ||||||||||||
4.500%, 01/25/2022(1)(2) | 13,157,000 | 13,877,287 | ||||||||||
3.875%, 06/27/2024(1)(2) | 18,220,000 | 18,790,405 | ||||||||||
4.700%, 11/10/2047(1)(2) | 20,000,000 | 20,179,200 | ||||||||||
Gulf South Pipeline Co. LP, | ||||||||||||
4.000%, 06/15/2022 | 3,633,000 | 3,731,135 | ||||||||||
Gulfstream Natural Gas System LLC, | ||||||||||||
4.600%, 09/15/2025(2) | 5,000,000 | 5,402,038 | ||||||||||
Halliburton Co., | ||||||||||||
3.800%, 11/15/2025 | 9,000,000 | 9,353,396 | ||||||||||
Harris Corp.: | ||||||||||||
2.700%, 04/27/2020 | 4,000,000 | 4,016,079 | ||||||||||
3.832%, 04/27/2025 | 5,000,000 | 5,181,665 | ||||||||||
Hewlett Packard Enterprise Co.: | ||||||||||||
2.850%, 10/05/2018 | 8,875,000 | 8,917,770 | ||||||||||
2.100%, 10/04/2019(2) | 11,000,000 | 10,924,709 | ||||||||||
3.600%, 10/15/2020 | 10,000,000 | 10,209,989 | ||||||||||
4.400%, 10/15/2022 | 15,150,000 | 15,921,230 | ||||||||||
Holcim US Finance Sarl & Cie SCS, | ||||||||||||
6.000%, 12/30/2019(1)(2) | 1,232,000 | 1,307,024 | ||||||||||
HP, Inc., | ||||||||||||
4.650%, 12/09/2021 | 11,395,000 | 12,111,891 | ||||||||||
Hubbell, Inc., | ||||||||||||
3.150%, 08/15/2027 | 11,700,000 | 11,624,674 | ||||||||||
Hutchison Whampoa International Ltd.: | ||||||||||||
7.625%, 04/09/2019(1)(2) | 8,288,000 | 8,813,542 | ||||||||||
5.750%, 09/11/2019(1)(2) | 9,150,000 | 9,636,899 | ||||||||||
3.625%, 10/31/2024(1)(2) | 7,850,000 | 8,046,658 | ||||||||||
Hyundai Capital America: | ||||||||||||
2.500%, 03/18/2019(2) | 4,275,000 | 4,264,594 | ||||||||||
2.000%, 07/01/2019(2) | 8,600,000 | 8,497,055 | ||||||||||
2.750%, 09/18/2020(2) | 6,000,000 | 5,957,208 | ||||||||||
3.000%, 03/18/2021(2) | 15,000,000 | 14,964,821 | ||||||||||
3.100%, 04/05/2022(2) | 17,825,000 | 17,729,972 | ||||||||||
Hyundai Capital Services, Inc., | ||||||||||||
2.625%, 09/29/2020(1)(2) | 5,150,000 | 5,093,285 | ||||||||||
Ingersoll-Rand Luxembourg Finance SA, | ||||||||||||
2.625%, 05/01/2020(1) | 2,650,000 | 2,649,283 | ||||||||||
The JM Smucker Co., | ||||||||||||
3.500%, 03/15/2025 | 5,000,000 | 5,107,908 | ||||||||||
Johnson Controls International PLC: | ||||||||||||
6.000%, 01/15/2036(1) | 1,168,000 | 1,458,526 | ||||||||||
4.500%, 02/15/2047(1) | 4,400,000 | 4,833,790 | ||||||||||
4.950%, 07/02/2064(1)(6) | 2,400,000 | 2,643,732 | ||||||||||
Keysight Technologies, Inc.: | ||||||||||||
3.300%, 10/30/2019 | 16,500,000 | 16,656,125 | ||||||||||
4.600%, 04/06/2027 | 32,450,000 | 34,153,487 | ||||||||||
Kinder Morgan Energy Partners LP: | ||||||||||||
9.000%, 02/01/2019 | 893,000 | 953,370 | ||||||||||
4.300%, 05/01/2024 | 10,000,000 | 10,411,577 | ||||||||||
6.950%, 01/15/2038 | 2,008,000 | 2,496,639 | ||||||||||
6.500%, 09/01/2039 | 893,000 | 1,053,916 | ||||||||||
7.500%, 11/15/2040 | 4,017,000 | 5,141,398 | ||||||||||
Kinder Morgan, Inc.: | ||||||||||||
5.000%, 02/15/2021(2) | 4,155,000 | 4,408,473 | ||||||||||
5.625%, 11/15/2023(2) | 5,017,000 | 5,539,294 | ||||||||||
7.800%, 08/01/2031 | 14,995,000 | 19,340,968 | ||||||||||
7.750%, 01/15/2032 | 13,170,000 | 17,007,124 | ||||||||||
Kraft Heinz Foods Co.: | ||||||||||||
2.800%, 07/02/2020 | 4,000,000 | 4,023,061 | ||||||||||
3.000%, 06/01/2026 | 10,000,000 | 9,622,802 | ||||||||||
5.000%, 07/15/2035 | 14,740,000 | 16,092,726 | ||||||||||
Laboratory Corp. of America Holdings: | ||||||||||||
2.500%, 11/01/2018 | 11,345,000 | 11,379,814 | ||||||||||
3.200%, 02/01/2022 | 2,400,000 | 2,446,904 | ||||||||||
Lafarge SA, | ||||||||||||
7.125%, 07/15/2036(1) | 893,000 | 1,172,870 | ||||||||||
Lockheed Martin Corp., | ||||||||||||
3.100%, 01/15/2023 | 5,000,000 | 5,080,423 | ||||||||||
Magellan Midstream Partners LP, | ||||||||||||
3.200%, 03/15/2025 | 5,000,000 | 4,919,020 | ||||||||||
Marathon Petroleum Corp.: | ||||||||||||
3.400%, 12/15/2020 | 10,825,000 | 11,060,928 | ||||||||||
3.625%, 09/15/2024 | 1,600,000 | 1,631,726 | ||||||||||
4.750%, 09/15/2044 | 1,500,000 | 1,567,243 | ||||||||||
Martin Marietta Materials, Inc., | ||||||||||||
6.250%, 05/01/2037 | 893,000 | 1,084,949 | ||||||||||
Medtronic, Inc., | ||||||||||||
3.150%, 03/15/2022 | 3,975,000 | 4,071,375 | ||||||||||
Microsoft Corp.: | ||||||||||||
4.450%, 11/03/2045 | 10,000,000 | 11,720,965 | ||||||||||
3.950%, 08/08/2056 | 12,000,000 | 12,808,705 | ||||||||||
Molex Electronic Technologies LLC, | ||||||||||||
2.878%, 04/15/2020(2) | 23,093,000 | 23,098,048 | ||||||||||
The Mosaic Co.: | ||||||||||||
4.250%, 11/15/2023 | 5,000,000 | 5,177,579 | ||||||||||
5.450%, 11/15/2033 | 2,000,000 | 2,178,109 | ||||||||||
4.875%, 11/15/2041 | 5,000,000 | 4,972,678 | ||||||||||
MPLX LP: | ||||||||||||
4.500%, 07/15/2023 | 22,405,000 | 23,671,340 | ||||||||||
4.875%, 12/01/2024 | 12,165,000 | 13,112,648 | ||||||||||
4.875%, 06/01/2025 | 12,500,000 | 13,396,497 | ||||||||||
4.125%, 03/01/2027 | 7,275,000 | 7,451,335 | ||||||||||
Mylan NV: | ||||||||||||
3.150%, 06/15/2021(1) | 5,000,000 | 5,027,913 | ||||||||||
3.950%, 06/15/2026(1) | 28,925,000 | 29,167,010 | ||||||||||
Nabors Industries, Inc., | ||||||||||||
6.150%, 02/15/2018 | 686,000 | 687,715 | ||||||||||
Newell Brands, Inc., | ||||||||||||
3.850%, 04/01/2023 | 15,000,000 | 15,521,408 | ||||||||||
Nissan Motor Acceptance Corp., | ||||||||||||
1.500%, 03/02/2018(2) | 5,900,000 | 5,896,574 | ||||||||||
Noble Holding International Ltd., | ||||||||||||
5.750%, 03/16/2018(1) | 4,000,000 | 4,010,000 | ||||||||||
ONEOK Partners LP: | ||||||||||||
8.625%, 03/01/2019 | 7,627,000 | 8,140,809 | ||||||||||
3.375%, 10/01/2022 | 1,130,000 | 1,137,918 | ||||||||||
Oracle Corp.: | ||||||||||||
3.400%, 07/08/2024 | 3,000,000 | 3,110,768 | ||||||||||
2.950%, 05/15/2025 | 6,025,000 | 6,051,078 | ||||||||||
Orange SA, | ||||||||||||
9.000%, 03/01/2031(1) | 14,783,000 | 22,178,857 | ||||||||||
Pactiv LLC, | ||||||||||||
7.950%, 12/15/2025 | 286,000 | 323,895 | ||||||||||
Pernod Ricard SA: | ||||||||||||
4.450%, 01/15/2022(1)(2) | 331,000 | 351,598 | ||||||||||
4.250%, 07/15/2022(1)(2) | 20,527,000 | 21,737,762 | ||||||||||
Perrigo Finance Unlimited Co., | ||||||||||||
4.375%, 03/15/2026(1) | 4,875,000 | 5,001,837 | ||||||||||
Petrofac Ltd., | ||||||||||||
3.400%, 10/10/2018(1)(2) | 15,546,000 | 15,390,540 | ||||||||||
Pfizer, Inc., | ||||||||||||
5.800%, 08/12/2023 | 6,000,000 | 6,953,765 | ||||||||||
Phillips 66: | ||||||||||||
4.300%, 04/01/2022 | 10,000,000 | 10,628,371 | ||||||||||
5.875%, 05/01/2042 | 6,000,000 | 7,636,221 | ||||||||||
4.875%, 11/15/2044 | 21,130,000 | 24,202,007 | ||||||||||
Phillips 66 Partners LP: | ||||||||||||
3.605%, 02/15/2025 | 3,000,000 | 3,022,502 | ||||||||||
3.550%, 10/01/2026 | 7,000,000 | 6,937,838 | ||||||||||
POSCO, | ||||||||||||
4.250%, 10/28/2020(1)(2) | 975,000 | 1,003,178 | ||||||||||
Potash Corp of Saskatchewan, Inc., | ||||||||||||
6.500%, 05/15/2019(1) | 5,000,000 | 5,257,728 | ||||||||||
Qualcomm, Inc.: | ||||||||||||
1.986%, 05/20/2020 (3 Month LIBOR USD + 0.550%)(3) | 7,450,000 | 7,467,233 | ||||||||||
2.250%, 05/20/2020 | 3,600,000 | 3,572,241 | ||||||||||
R.R. Donnelley & Sons Co., | ||||||||||||
7.625%, 06/15/2020 | 893,000 | 951,045 | ||||||||||
Regency Energy Partners LP / Regency Energy Finance Corp., | ||||||||||||
5.875%, 03/01/2022 | 8,955,000 | 9,790,106 | ||||||||||
Republic Services, Inc., | ||||||||||||
5.500%, 09/15/2019 | 7,400,000 | 7,781,692 | ||||||||||
Rio Tinto Alcan, Inc., | ||||||||||||
5.750%, 06/01/2035(1) | 446,000 | 553,180 | ||||||||||
Rockies Express Pipeline LLC, | ||||||||||||
5.625%, 04/15/2020(2) | 1,785,000 | 1,869,788 | ||||||||||
Rockwell Collins, Inc., | ||||||||||||
4.350%, 04/15/2047 | 9,175,000 | 9,964,678 | ||||||||||
Sabine Pass Liquefaction LLC: | ||||||||||||
5.625%, 03/01/2025 | 27,500,000 | 30,332,746 | ||||||||||
5.875%, 06/30/2026 | 28,000,000 | 31,457,111 | ||||||||||
Samarco Mineracao SA, | ||||||||||||
5.750%, 10/24/2023(1)(2)(7) | 4,463,000 | 3,034,840 | ||||||||||
Schlumberger Holdings Corp., | ||||||||||||
2.350%, 12/21/2018(2) | 10,000,000 | 10,022,447 | ||||||||||
Shell International Finance BV: | ||||||||||||
3.250%, 05/11/2025(1) | 5,725,000 | 5,883,511 | ||||||||||
4.125%, 05/11/2035(1) | 10,000,000 | 10,908,571 | ||||||||||
The Sherwin-Williams Co., | ||||||||||||
4.500%, 06/01/2047 | 4,000,000 | 4,373,377 | ||||||||||
Shire Acquisitions Investments Ireland DAC, | ||||||||||||
2.875%, 09/23/2023(1) | 25,000,000 | 24,576,859 | ||||||||||
SK Telecom Co. Ltd., | ||||||||||||
6.625%, 07/20/2027(1)(2) | 1,339,000 | 1,660,226 | ||||||||||
Smithfield Foods, Inc.: | ||||||||||||
2.650%, 10/03/2021(2) | 6,000,000 | 5,920,400 | ||||||||||
3.350%, 02/01/2022(2) | 11,917,000 | 11,941,169 | ||||||||||
Solvay Finance America LLC: | ||||||||||||
3.400%, 12/03/2020(2) | 15,088,000 | 15,406,467 | ||||||||||
4.450%, 12/03/2025(2) | 43,329,000 | 46,043,289 | ||||||||||
Spectra Energy Partners LP, | ||||||||||||
4.500%, 03/15/2045 | 7,000,000 | 7,217,874 | ||||||||||
Sprint Capital Corp., | ||||||||||||
6.900%, 05/01/2019 | 2,499,000 | 2,614,579 | ||||||||||
Stryker Corp., | ||||||||||||
2.625%, 03/15/2021 | 6,225,000 | 6,239,683 | ||||||||||
Sunoco Logistics Partners Operations LP: | ||||||||||||
3.900%, 07/15/2026 | 12,000,000 | 11,742,811 | ||||||||||
5.400%, 10/01/2047 | 7,425,000 | 7,475,142 | ||||||||||
Sysco Corp., | ||||||||||||
3.300%, 07/15/2026 | 11,550,000 | 11,622,443 | ||||||||||
TC PipeLines LP: | ||||||||||||
4.375%, 03/13/2025 | 19,265,000 | 20,041,278 | ||||||||||
3.900%, 05/25/2027 | 10,327,000 | 10,378,596 | ||||||||||
Telecom Italia Capital SA: | ||||||||||||
7.175%, 06/18/2019(1) | 1,785,000 | 1,894,331 | ||||||||||
7.200%, 07/18/2036(1) | 5,475,000 | 6,802,688 | ||||||||||
Telefonica Emisiones SAU: | ||||||||||||
5.462%, 02/16/2021(1) | 8,830,000 | 9,551,515 | ||||||||||
5.213%, 03/08/2047(1) | 7,225,000 | 8,199,298 | ||||||||||
Teva Pharmaceutical Finance Netherlands III BV: | ||||||||||||
2.800%, 07/21/2023(1) | 25,000,000 | 21,770,262 | ||||||||||
3.150%, 10/01/2026(1) | 15,000,000 | 12,384,699 | ||||||||||
Thermo Fisher Scientific, Inc.: | ||||||||||||
2.150%, 12/14/2018 | 4,000,000 | 4,005,492 | ||||||||||
3.000%, 04/15/2023 | 7,975,000 | 8,024,171 | ||||||||||
Time Warner Cable LLC: | ||||||||||||
6.550%, 05/01/2037 | 893,000 | 1,050,234 | ||||||||||
6.750%, 06/15/2039 | 2,767,000 | 3,320,059 | ||||||||||
Time Warner, Inc.: | ||||||||||||
3.600%, 07/15/2025 | 2,200,000 | 2,204,921 | ||||||||||
3.875%, 01/15/2026 | 7,000,000 | 7,066,761 | ||||||||||
2.950%, 07/15/2026 | 6,250,000 | 5,911,332 | ||||||||||
3.800%, 02/15/2027 | 6,300,000 | 6,294,045 | ||||||||||
The Timken Co., | ||||||||||||
3.875%, 09/01/2024 | 2,000,000 | 2,012,841 | ||||||||||
Transcontinental Gas Pipe Line Co. LLC, | ||||||||||||
7.250%, 12/01/2026 | 3,500,000 | 4,365,939 | ||||||||||
TSMC Global Ltd., | ||||||||||||
1.625%, 04/03/2018(1)(2) | 9,865,000 | 9,847,608 | ||||||||||
TTX Co.: | ||||||||||||
3.600%, 01/15/2025(2) | 5,000,000 | 5,114,972 | ||||||||||
3.900%, 02/01/2045(2) | 10,250,000 | 10,075,599 | ||||||||||
US Airways Pass Through Trust, | ||||||||||||
6.850%, 01/30/2018 | 34,875 | 35,224 | ||||||||||
Vale Overseas Ltd.: | ||||||||||||
5.875%, 06/10/2021(1) | 13,075,000 | 14,238,675 | ||||||||||
6.250%, 08/10/2026(1) | 7,000,000 | 8,109,500 | ||||||||||
8.250%, 01/17/2034(1) | 8,526,000 | 11,264,978 | ||||||||||
6.875%, 11/21/2036(1) | 3,483,000 | 4,266,675 | ||||||||||
6.875%, 11/10/2039(1) | 7,893,000 | 9,678,791 | ||||||||||
Valero Energy Corp.: | ||||||||||||
9.375%, 03/15/2019 | 15,578,000 | 16,871,653 | ||||||||||
6.625%, 06/15/2037 | 2,100,000 | 2,767,619 | ||||||||||
Valero Energy Partners LP, | ||||||||||||
4.375%, 12/15/2026 | 10,000,000 | 10,451,971 | ||||||||||
Verisk Analytics, Inc., | ||||||||||||
5.800%, 05/01/2021 | 8,325,000 | 9,058,611 | ||||||||||
Verizon Communications, Inc.: | ||||||||||||
4.150%, 03/15/2024 | 3,000,000 | 3,155,375 | ||||||||||
4.500%, 08/10/2033 | 16,325,000 | 17,122,144 | ||||||||||
4.272%, 01/15/2036 | 8,148,000 | 8,105,646 | ||||||||||
5.250%, 03/16/2037 | 18,000,000 | 19,794,277 | ||||||||||
4.812%, 03/15/2039 | 36,839,000 | 38,541,247 | ||||||||||
Vodafone Group PLC, | ||||||||||||
7.875%, 02/15/2030(1) | 3,100,000 | 4,211,631 | ||||||||||
Vulcan Materials Co., | ||||||||||||
7.150%, 11/30/2037 | 3,446,000 | 4,652,913 | ||||||||||
Wabtec Corp.: | ||||||||||||
4.375%, 08/15/2023 | 2,678,000 | 2,750,766 | ||||||||||
3.450%, 11/15/2026 | 19,315,000 | 18,889,259 | ||||||||||
Walgreens Boots Alliance, Inc.: | ||||||||||||
3.300%, 11/18/2021 | 6,383,000 | 6,489,541 | ||||||||||
3.800%, 11/18/2024 | 5,934,000 | 6,060,122 | ||||||||||
4.500%, 11/18/2034 | 4,750,000 | 4,959,792 | ||||||||||
Western Gas Partners LP: | ||||||||||||
5.375%, 06/01/2021 | 10,701,000 | 11,347,243 | ||||||||||
3.950%, 06/01/2025 | 8,000,000 | 7,999,117 | ||||||||||
WestRock Co., | ||||||||||||
3.000%, 09/15/2024(2) | 10,000,000 | 9,911,290 | ||||||||||
WestRock MWV LLC: | ||||||||||||
9.750%, 06/15/2020 | 143,000 | 166,566 | ||||||||||
8.200%, 01/15/2030 | 7,963,000 | 11,194,892 | ||||||||||
The Williams Companies, Inc., | ||||||||||||
4.550%, 06/24/2024 | 5,000,000 | 5,187,500 | ||||||||||
Williams Partners LP: | ||||||||||||
3.600%, 03/15/2022 | 10,176,000 | 10,409,141 | ||||||||||
6.300%, 04/15/2040 | 2,767,000 | 3,403,243 | ||||||||||
Woodside Finance Ltd., | ||||||||||||
3.650%, 03/05/2025(1)(2) | 12,300,000 | 12,374,592 | ||||||||||
Yara International ASA, | ||||||||||||
3.800%, 06/06/2026(1)(2) | 13,965,000 | 13,854,031 | ||||||||||
Zimmer Holdings, Inc., | ||||||||||||
3.150%, 04/01/2022 | 9,500,000 | 9,523,267 | ||||||||||
Zoetis, Inc.: | ||||||||||||
3.450%, 11/13/2020 | 5,145,000 | 5,266,487 | ||||||||||
3.250%, 02/01/2023 | 34,200,000 | 34,726,289 | ||||||||||
4.700%, 02/01/2043 | 3,568,000 | 3,988,837 | ||||||||||
2,945,249,168 | 20.4 | % |
Utilities | ||||||||||||
Ameren Corp., | ||||||||||||
2.700%, 11/15/2020 | 10,000,000 | 10,032,992 | ||||||||||
Arizona Public Service Co., | ||||||||||||
8.750%, 03/01/2019 | 759,000 | 813,516 | ||||||||||
Berkshire Hathaway Energy Co., | ||||||||||||
2.400%, 02/01/2020 | 5,000,000 | 5,023,348 | ||||||||||
Duke Energy Corp., | ||||||||||||
2.650%, 09/01/2026 | 10,000,000 | 9,581,675 | ||||||||||
Edison International, | ||||||||||||
2.950%, 03/15/2023 | 5,000,000 | 5,007,782 | ||||||||||
EDP Finance BV, | ||||||||||||
3.625%, 07/15/2024(1)(2) | 19,175,000 | 19,311,603 | ||||||||||
Enel Finance International NV: | ||||||||||||
2.875%, 05/25/2022(1)(2) | 7,000,000 | 6,980,975 | ||||||||||
3.625%, 05/25/2027(1)(2) | 17,500,000 | 17,387,189 | ||||||||||
4.750%, 05/25/2047(1)(2) | 34,392,000 | 37,238,697 | ||||||||||
ENEL Finance International NV, | ||||||||||||
6.800%, 09/15/2037(1)(2) | 1,565,000 | 2,092,851 | ||||||||||
Entergy Corp., | ||||||||||||
2.950%, 09/01/2026 | 13,075,000 | 12,721,245 | ||||||||||
Exelon Corp., | ||||||||||||
4.950%, 06/15/2035 | 3,500,000 | 3,991,208 | ||||||||||
Mega Advance Investments Ltd., | ||||||||||||
5.000%, 05/12/2021(1)(2) | 4,909,000 | 5,189,109 | ||||||||||
National Rural Utilities Cooperative Finance Corp.: | ||||||||||||
2.000%, 01/27/2020 | 2,000,000 | 1,993,203 | ||||||||||
8.000%, 03/01/2032 | 4,659,000 | 6,800,728 | ||||||||||
NiSource Finance Corp., | ||||||||||||
3.950%, 03/30/2048 | 11,750,000 | 12,036,699 | ||||||||||
PSEG Power LLC, | ||||||||||||
5.125%, 04/15/2020 | 3,575,000 | 3,778,923 | ||||||||||
RGS I&M Funding Corp., | ||||||||||||
9.820%, 06/07/2022 | 713,509 | 771,911 | ||||||||||
South Carolina Electric & Gas Co., | ||||||||||||
4.100%, 06/15/2046 | 10,000,000 | 10,160,877 | ||||||||||
The Southern Co., | ||||||||||||
4.250%, 07/01/2036 | 5,525,000 | 5,822,252 | ||||||||||
Talent Yield Investments Ltd., | ||||||||||||
4.500%, 04/25/2022(1)(2) | 1,785,000 | 1,868,119 | ||||||||||
178,604,902 | 1.2 | % | ||||||||||
Financials | ||||||||||||
ABN AMRO Bank NV: | ||||||||||||
2.500%, 10/30/2018(1)(2) | 11,033,000 | 11,070,490 | ||||||||||
2.100%, 01/18/2019(1)(2) | 10,550,000 | 10,536,201 | ||||||||||
2.450%, 06/04/2020(1)(2) | 9,000,000 | 8,994,843 | ||||||||||
7.750%, 05/15/2023(1)(2) | 7,200,000 | 8,500,829 | ||||||||||
4.750%, 07/28/2025(1)(2) | 18,414,000 | 19,546,461 | ||||||||||
4.800%, 04/18/2026(1)(2) | 9,000,000 | 9,606,600 | ||||||||||
AIA Group Ltd., | ||||||||||||
3.200%, 03/11/2025(1)(2) | 6,000,000 | 5,976,420 | ||||||||||
Ally Financial, Inc., | ||||||||||||
8.000%, 12/31/2018 | 360,000 | 377,100 | ||||||||||
American International Group, Inc.: | ||||||||||||
6.400%, 12/15/2020 | 10,830,000 | 12,006,344 | ||||||||||
4.875%, 06/01/2022 | 17,698,000 | 19,244,475 | ||||||||||
4.125%, 02/15/2024 | 893,000 | 943,547 | ||||||||||
3.875%, 01/15/2035 | 4,875,000 | 4,893,386 | ||||||||||
8.175%, 05/15/2058 (3 Month LIBOR USD + 4.200%)(3) | 893,000 | 1,214,480 | ||||||||||
Ameriprise Financial, Inc., | ||||||||||||
7.300%, 06/28/2019 | 1,785,000 | 1,913,704 | ||||||||||
AmSouth Bancorporation, | ||||||||||||
6.750%, 11/01/2025 | 223,000 | 262,682 | ||||||||||
Anthem, Inc.: | ||||||||||||
5.100%, 01/15/2044 | 1,584,000 | 1,848,737 | ||||||||||
4.375%, 12/01/2047 | 8,650,000 | 9,197,040 | ||||||||||
ANZ New Zealand (Int'l) Ltd.: | ||||||||||||
2.850%, 08/06/2020(1)(2) | 15,350,000 | 15,473,491 | ||||||||||
2.750%, 02/03/2021(1)(2) | 3,000,000 | 3,009,428 | ||||||||||
Aon PLC: | ||||||||||||
4.000%, 11/27/2023(1) | 6,150,000 | 6,469,360 | ||||||||||
3.875%, 12/15/2025(1) | 9,126,000 | 9,541,665 | ||||||||||
4.450%, 05/24/2043(1) | 1,274,000 | 1,332,725 | ||||||||||
Australia & New Zealand Banking Group Ltd., | ||||||||||||
4.500%, 03/19/2024(1)(2) | 16,000,000 | 16,786,039 | ||||||||||
BAC Capital Trust VI, | ||||||||||||
5.625%, 03/08/2035 | 357,000 | 365,925 | ||||||||||
Banco Santander SA, | ||||||||||||
3.500%, 04/11/2022(1) | 13,000,000 | 13,255,422 | ||||||||||
Bank of America Corp.: | ||||||||||||
6.875%, 04/25/2018 | 3,162,000 | 3,210,307 | ||||||||||
2.369%, 07/21/2021 (3 Month LIBOR USD + 0.660%)(3) | 29,000,000 | 28,949,204 | ||||||||||
3.300%, 01/11/2023 | 7,000,000 | 7,161,000 | ||||||||||
4.125%, 01/22/2024 | 15,000,000 | 15,953,329 | ||||||||||
3.093%, 10/01/2025 (3 Month LIBOR USD + 1.090%)(3) | 15,000,000 | 14,965,602 | ||||||||||
3.500%, 04/19/2026 | 9,000,000 | 9,201,627 | ||||||||||
3.248%, 10/21/2027 | 6,000,000 | 5,953,915 | ||||||||||
3.705%, 04/24/2028 (3 Month LIBOR USD + 1.510%)(3) | 12,000,000 | 12,316,728 | ||||||||||
7.750%, 05/14/2038 | 1,138,000 | 1,705,163 | ||||||||||
Bank of Montreal, | ||||||||||||
1.800%, 07/31/2018(1) | 3,600,000 | 3,597,921 | ||||||||||
The Bank of Nova Scotia: | ||||||||||||
2.450%, 09/19/2022(1) | 10,000,000 | 9,881,513 | ||||||||||
4.500%, 12/16/2025(1) | 5,500,000 | 5,785,762 | ||||||||||
The Bank of Tokyo-Mitsubishi UFJ Ltd.: | ||||||||||||
4.100%, 09/09/2023(1)(2) | 2,911,000 | 3,071,399 | ||||||||||
3.750%, 03/10/2024(1)(2) | 2,800,000 | 2,922,294 | ||||||||||
BanPonce Trust I, | ||||||||||||
8.327%, 02/01/2027 | 1,941,000 | 1,836,749 | ||||||||||
Barclays PLC: | ||||||||||||
3.250%, 01/12/2021(1) | 12,175,000 | 12,291,917 | ||||||||||
3.684%, 01/10/2023(1) | 24,625,000 | 24,988,899 | ||||||||||
3.650%, 03/16/2025(1) | 8,100,000 | 8,085,558 | ||||||||||
BB&T Corp., | ||||||||||||
2.625%, 06/29/2020 | 5,000,000 | 5,034,081 | ||||||||||
The Bear Stearns Companies LLC, | ||||||||||||
7.250%, 02/01/2018 | 5,547,000 | 5,569,179 | ||||||||||
Berkshire Hathaway, Inc., | ||||||||||||
2.750%, 03/15/2023 | 14,675,000 | 14,770,897 | ||||||||||
BNP Paribas SA: | ||||||||||||
2.375%, 05/21/2020(1) | 10,000,000 | 10,012,452 | ||||||||||
3.250%, 03/03/2023(1) | 3,570,000 | 3,648,304 | ||||||||||
BNZ International Funding Ltd.: | ||||||||||||
2.350%, 03/04/2019(1)(2) | 7,300,000 | 7,307,040 | ||||||||||
2.400%, 02/21/2020(1)(2) | 7,000,000 | 6,992,138 | ||||||||||
2.750%, 03/02/2021(1)(2) | 14,000,000 | 14,035,002 | ||||||||||
BNZ International Funding Ltd./London, | ||||||||||||
2.650%, 11/03/2022(1)(2) | 20,350,000 | 20,117,636 | ||||||||||
BPCE SA: | ||||||||||||
2.500%, 07/15/2019(1) | 7,925,000 | 7,951,430 | ||||||||||
5.700%, 10/22/2023(1)(2) | 21,395,000 | 23,705,360 | ||||||||||
4.000%, 04/15/2024(1) | 2,500,000 | 2,640,565 | ||||||||||
5.150%, 07/21/2024(1)(2) | 26,285,000 | 28,500,959 | ||||||||||
4.500%, 03/15/2025(1)(2) | 5,000,000 | 5,226,002 | ||||||||||
Capital One Bank (USA) NA, | ||||||||||||
3.375%, 02/15/2023 | 36,807,000 | 37,170,287 | ||||||||||
Capital One Financial Corp., | ||||||||||||
3.050%, 03/09/2022 | 4,000,000 | 4,028,030 | ||||||||||
Capital One NA: | ||||||||||||
2.400%, 09/05/2019 | 12,000,000 | 11,983,846 | ||||||||||
1.850%, 09/13/2019 | 5,000,000 | 4,951,784 | ||||||||||
Citigroup, Inc.: | ||||||||||||
2.350%, 08/02/2021 | 9,000,000 | 8,901,890 | ||||||||||
2.750%, 04/25/2022 | 8,675,000 | 8,657,446 | ||||||||||
2.876%, 07/24/2023 (3 Month LIBOR USD + 0.950%)(3) | 20,350,000 | 20,248,034 | ||||||||||
2.911%, 09/01/2023 (3 Month LIBOR USD + 1.430%)(3) | 7,000,000 | 7,205,259 | ||||||||||
3.750%, 06/16/2024 | 1,000,000 | 1,037,242 | ||||||||||
3.700%, 01/12/2026 | 4,500,000 | 4,632,793 | ||||||||||
3.887%, 01/10/2028 (3 Month LIBOR USD + 1.560%)(3) | 7,600,000 | 7,866,622 | ||||||||||
Citizens Bank NA: | ||||||||||||
2.500%, 03/14/2019 | 7,800,000 | 7,818,472 | ||||||||||
2.450%, 12/04/2019 | 19,300,000 | 19,312,992 | ||||||||||
2.250%, 03/02/2020 | 4,750,000 | 4,727,379 | ||||||||||
Citizens Bank NA/Providence RI, | ||||||||||||
2.300%, 12/03/2018 | 4,000,000 | 4,002,736 | ||||||||||
CNA Financial Corp.: | ||||||||||||
5.750%, 08/15/2021 | 7,199,000 | 7,882,453 | ||||||||||
7.250%, 11/15/2023 | 4,000,000 | 4,771,206 | ||||||||||
4.500%, 03/01/2026 | 14,000,000 | 14,900,502 | ||||||||||
3.450%, 08/15/2027 | 9,550,000 | 9,411,118 | ||||||||||
Comerica Bank: | ||||||||||||
2.500%, 06/02/2020 | 29,000,000 | 28,961,759 | ||||||||||
4.000%, 07/27/2025 | 10,000,000 | 10,355,729 | ||||||||||
Compass Bank: | ||||||||||||
2.750%, 09/29/2019 | 31,216,000 | 31,302,337 | ||||||||||
2.875%, 06/29/2022 | 8,000,000 | 7,916,354 | ||||||||||
3.875%, 04/10/2025 | 23,885,000 | 23,961,107 | ||||||||||
Cooperatieve Rabobank UA: | ||||||||||||
4.625%, 12/01/2023(1) | 14,630,000 | 15,682,675 | ||||||||||
3.750%, 07/21/2026(1) | 12,000,000 | 12,156,437 | ||||||||||
Credit Agricole SA, | ||||||||||||
3.375%, 01/10/2022(1)(2) | 10,180,000 | 10,338,810 | ||||||||||
Credit Suisse AG: | ||||||||||||
5.300%, 08/13/2019(1) | 1,406,000 | 1,472,407 | ||||||||||
5.400%, 01/14/2020(1) | 5,000,000 | 5,277,757 | ||||||||||
3.625%, 09/09/2024(1) | 4,325,000 | 4,475,257 | ||||||||||
Credit Suisse Group AG: | ||||||||||||
3.574%, 01/09/2023(1)(2) | 17,000,000 | 17,284,088 | ||||||||||
4.282%, 01/09/2028(1)(2) | 8,900,000 | 9,279,138 | ||||||||||
Credit Suisse Group Funding Guernsey Ltd.: | ||||||||||||
3.800%, 06/09/2023(1) | 14,550,000 | 15,005,333 | ||||||||||
4.550%, 04/17/2026(1) | 2,000,000 | 2,141,368 | ||||||||||
Credit Suisse USA, Inc., | ||||||||||||
7.125%, 07/15/2032 | 5,063,000 | 6,990,896 | ||||||||||
Daiwa Securities Group, Inc., | ||||||||||||
3.129%, 04/19/2022(1)(2) | 12,000,000 | 12,072,761 | ||||||||||
Deutsche Bank AG: | ||||||||||||
2.700%, 07/13/2020(1) | 14,000,000 | 13,931,434 | ||||||||||
2.950%, 08/20/2020(1) | 575,000 | 575,726 | ||||||||||
3.125%, 01/13/2021(1) | 13,800,000 | 13,881,276 | ||||||||||
4.250%, 10/14/2021(1) | 30,425,000 | 31,653,109 | ||||||||||
3.300%, 11/16/2022(1) | 10,000,000 | 9,949,032 | ||||||||||
3.700%, 05/30/2024(1) | 10,000,000 | 10,067,194 | ||||||||||
Discover Bank, | ||||||||||||
2.600%, 11/13/2018 | 4,875,000 | 4,891,543 | ||||||||||
Discover Bank/Greenwood DE: | ||||||||||||
4.200%, 08/08/2023 | 20,000,000 | 21,002,432 | ||||||||||
3.450%, 07/27/2026 | 12,000,000 | 11,845,812 | ||||||||||
Discover Financial Services: | ||||||||||||
3.950%, 11/06/2024 | 5,000,000 | 5,107,429 | ||||||||||
4.100%, 02/09/2027 | 9,150,000 | 9,372,632 | ||||||||||
Fifth Third Bancorp, | ||||||||||||
2.875%, 07/27/2020 | 6,000,000 | 6,063,415 | ||||||||||
First Horizon National Corp., | ||||||||||||
3.500%, 12/15/2020 | 29,078,000 | 29,693,904 | ||||||||||
First Tennessee Bank NA, | ||||||||||||
2.950%, 12/01/2019 | 5,612,000 | 5,649,346 | ||||||||||
FirstMerit Bank NA, | ||||||||||||
4.270%, 11/25/2026 | 4,600,000 | 4,793,035 | ||||||||||
FMR LLC, | ||||||||||||
4.950%, 02/01/2033(2) | 1,750,000 | 2,002,380 | ||||||||||
GE Capital International Funding Co. Unlimited Co., | ||||||||||||
2.342%, 11/15/2020(1) | 12,638,000 | 12,579,731 | ||||||||||
Goldman Sachs Capital I, | ||||||||||||
6.345%, 02/15/2034 | 1,053,000 | 1,325,287 | ||||||||||
The Goldman Sachs Group, Inc.: | ||||||||||||
6.150%, 04/01/2018 | 5,634,000 | 5,693,295 | ||||||||||
7.500%, 02/15/2019 | 1,964,000 | 2,075,625 | ||||||||||
2.550%, 10/23/2019 | 2,700,000 | 2,705,079 | ||||||||||
2.350%, 11/15/2021 | 6,175,000 | 6,081,383 | ||||||||||
3.000%, 04/26/2022 | 20,000,000 | 20,078,409 | ||||||||||
2.905%, 07/24/2023 (3 Month LIBOR USD + 0.990%)(3) | 8,000,000 | 7,944,135 | ||||||||||
3.077%, 11/29/2023 (3 Month LIBOR USD + 1.600%)(3) | 5,000,000 | 5,204,147 | ||||||||||
3.850%, 07/08/2024 | 3,000,000 | 3,111,801 | ||||||||||
3.500%, 01/23/2025 | 3,000,000 | 3,047,496 | ||||||||||
3.750%, 05/22/2025 | 5,000,000 | 5,151,256 | ||||||||||
3.272%, 09/29/2025 (3 Month LIBOR USD + 1.200%)(3) | 15,000,000 | 14,939,561 | ||||||||||
3.128%, 10/28/2027 (3 Month LIBOR USD + 1.750%)(3) | 10,000,000 | 10,574,184 | ||||||||||
3.691%, 06/05/2028 (3 Month LIBOR USD + 1.510%)(3) | 6,775,000 | 6,872,952 | ||||||||||
Great-West Life & Annuity Insurance Capital LP II, | ||||||||||||
3.957%, 05/16/2046 (3 Month LIBOR USD + 2.540%)(2)(3) | 2,499,000 | 2,470,886 | ||||||||||
The Guardian Life Insurance Co. of America: | ||||||||||||
4.875%, 06/19/2064(2) | 2,000,000 | 2,268,610 | ||||||||||
4.850%, 01/24/2077(2) | 22,227,000 | 24,407,999 | ||||||||||
The Hartford Financial Services Group, Inc.: | ||||||||||||
5.125%, 04/15/2022 | 1,538,000 | 1,678,381 | ||||||||||
8.125%, 06/15/2038 (3 Month LIBOR USD + 4.600%)(3) | 1,964,000 | 2,013,100 | ||||||||||
Highmark, Inc., | ||||||||||||
4.750%, 05/15/2021(2) | 4,378,000 | 4,586,177 | ||||||||||
HSBC Bank PLC, | ||||||||||||
2.056%, 05/15/2018 (3 Month LIBOR USD + 0.640%)(1)(2)(3) | 4,950,000 | 4,958,193 | ||||||||||
HSBC Bank USA NA, | ||||||||||||
7.000%, 01/15/2039 | 4,200,000 | 6,205,748 | ||||||||||
HSBC Finance Corp., | ||||||||||||
6.676%, 01/15/2021 | 8,461,000 | 9,406,996 | ||||||||||
HSBC Holdings PLC: | ||||||||||||
2.650%, 01/05/2022(1) | 4,000,000 | 3,973,449 | ||||||||||
3.600%, 05/25/2023(1) | 2,275,000 | 2,340,652 | ||||||||||
4.375%, 11/23/2026(1) | 10,000,000 | 10,440,181 | ||||||||||
HSBC USA, Inc.: | ||||||||||||
2.350%, 03/05/2020 | 3,000,000 | 2,999,623 | ||||||||||
5.000%, 09/27/2020 | 3,716,000 | 3,933,779 | ||||||||||
9.125%, 05/15/2021 | 625,000 | 744,623 | ||||||||||
Huntington Bancshares, Inc.: | ||||||||||||
3.150%, 03/14/2021 | 7,600,000 | 7,719,552 | ||||||||||
2.300%, 01/14/2022 | 26,450,000 | 26,024,089 | ||||||||||
The Huntington National Bank: | ||||||||||||
2.000%, 06/30/2018 | 9,000,000 | 9,003,378 | ||||||||||
2.200%, 11/06/2018 | 4,825,000 | 4,829,287 | ||||||||||
ING Bank NV: | ||||||||||||
2.050%, 08/17/2018(1)(2) | 7,275,000 | 7,276,309 | ||||||||||
2.000%, 11/26/2018(1)(2) | 6,000,000 | 5,996,987 | ||||||||||
2.500%, 10/01/2019(1)(2) | 3,500,000 | 3,508,824 | ||||||||||
2.450%, 03/16/2020(1)(2) | 9,225,000 | 9,229,273 | ||||||||||
5.800%, 09/25/2023(1)(2) | 27,075,000 | 30,384,527 | ||||||||||
Invesco Finance PLC: | ||||||||||||
3.125%, 11/30/2022(1) | 5,902,000 | 5,972,632 | ||||||||||
3.750%, 01/15/2026(1) | 4,900,000 | 5,065,645 | ||||||||||
Jackson National Life Global Funding, | ||||||||||||
3.250%, 01/30/2024(2) | 23,475,000 | 23,709,818 | ||||||||||
Jefferies Group LLC: | ||||||||||||
6.875%, 04/15/2021 | 3,570,000 | 3,993,764 | ||||||||||
6.250%, 01/15/2036 | 1,390,000 | 1,580,659 | ||||||||||
Jefferies Group LLC / Jefferies Group Capital Finance, Inc., | ||||||||||||
4.850%, 01/15/2027 | 4,600,000 | 4,890,432 | ||||||||||
John Hancock Life Insurance Co., | ||||||||||||
7.375%, 02/15/2024(2) | 6,069,000 | 7,369,183 | ||||||||||
JPMorgan Chase & Co.: | ||||||||||||
2.250%, 01/23/2020 | 3,675,000 | 3,672,541 | ||||||||||
4.250%, 10/15/2020 | 886,000 | 928,988 | ||||||||||
2.550%, 03/01/2021 | 7,000,000 | 7,003,701 | ||||||||||
2.295%, 08/15/2021 | 18,000,000 | 17,838,803 | ||||||||||
2.595%, 10/24/2023 (3 Month LIBOR USD + 1.230%)(3) | 15,000,000 | 15,388,368 | ||||||||||
3.125%, 01/23/2025 | 14,000,000 | 14,077,199 | ||||||||||
5.600%, 07/15/2041 | 4,106,000 | 5,281,538 | ||||||||||
KEB Hana Bank, | ||||||||||||
1.750%, 10/18/2019(1)(2) | 20,000,000 | 19,624,000 | ||||||||||
KeyBank NA: | ||||||||||||
2.250%, 03/16/2020 | 5,000,000 | 4,985,341 | ||||||||||
3.400%, 05/20/2026 | 18,965,000 | 18,894,230 | ||||||||||
Kookmin Bank, | ||||||||||||
1.625%, 08/01/2019(1)(2) | 7,000,000 | 6,868,400 | ||||||||||
LeasePlan Corp. NV: | ||||||||||||
2.500%, 05/16/2018(1)(2) | 20,158,000 | 20,160,355 | ||||||||||
2.875%, 01/22/2019(1)(2) | 11,000,000 | 11,007,451 | ||||||||||
Liberty Mutual Group, Inc.: | ||||||||||||
4.250%, 06/15/2023(2) | 2,678,000 | 2,821,894 | ||||||||||
10.750%, 06/15/2058 (3 Month LIBOR USD + 7.120%)(2)(3) | 2,231,000 | 3,714,615 | ||||||||||
Liberty Mutual Insurance Co., | ||||||||||||
7.697%, 10/15/2097(2) | 465,000 | 681,510 | ||||||||||
Lincoln National Corp.: | ||||||||||||
8.750%, 07/01/2019 | 1,601,000 | 1,748,049 | ||||||||||
3.403%, 04/20/2067 (3 Month LIBOR USD + 2.040%)(3) | 1,004,000 | 918,660 | ||||||||||
Lloyds Bank PLC, | ||||||||||||
5.800%, 01/13/2020(1)(2) | 1,428,000 | 1,521,240 | ||||||||||
Lloyds Banking Group PLC: | ||||||||||||
2.907%, 11/07/2023 (3 Month LIBOR USD + 0.810%)(1)(3) | 15,000,000 | 14,871,458 | ||||||||||
3.574%, 11/07/2028 (3 Month LIBOR USD + 1.210%)(1)(3) | 10,000,000 | 9,905,933 | ||||||||||
Macquarie Bank Ltd., | ||||||||||||
2.400%, 01/21/2020(1)(2) | 17,000,000 | 16,958,350 | ||||||||||
Macquarie Group Ltd.: | ||||||||||||
3.000%, 12/03/2018(1)(2) | 8,525,000 | 8,587,650 | ||||||||||
7.625%, 08/13/2019(1)(2) | 3,944,000 | 4,253,164 | ||||||||||
3.189%, 11/28/2023 (3 Month LIBOR USD + 1.020%)(1)(2)(3) | 15,000,000 | 14,895,600 | ||||||||||
Manufacturers & Traders Trust Co., | ||||||||||||
2.100%, 02/06/2020 | 10,850,000 | 10,814,190 | ||||||||||
Manulife Financial Corp.: | ||||||||||||
4.150%, 03/04/2026(1) | 10,000,000 | 10,620,183 | ||||||||||
5.375%, 03/04/2046(1) | 5,150,000 | 6,435,547 | ||||||||||
Marsh & McLennan Companies, Inc., | ||||||||||||
4.350%, 01/30/2047 | 8,150,000 | 9,027,582 | ||||||||||
Massachusetts Mutual Life Insurance Co.: | ||||||||||||
8.875%, 06/01/2039(2) | 8,124,000 | 13,462,836 | ||||||||||
4.500%, 04/15/2065(2) | 3,000,000 | 3,188,138 | ||||||||||
4.900%, 04/01/2077(2) | 11,175,000 | 12,704,789 | ||||||||||
MBIA Insurance Corp., | ||||||||||||
12.619%, 01/15/2033 (3 Month LIBOR USD + 11.260%)(2)(3)(7) | 714,000 | 321,300 | ||||||||||
MetLife, Inc.: | ||||||||||||
7.717%, 02/15/2019 | 982,000 | 1,043,397 | ||||||||||
6.500%, 12/15/2032 | 466,000 | 610,286 | ||||||||||
4.875%, 11/13/2043 | 3,375,000 | 3,960,481 | ||||||||||
4.050%, 03/01/2045 | 12,375,000 | 12,978,323 | ||||||||||
Mitsubishi UFJ Financial Group, Inc.: | ||||||||||||
2.950%, 03/01/2021(1) | 15,200,000 | 15,338,715 | ||||||||||
2.190%, 09/13/2021(1) | 12,400,000 | 12,175,599 | ||||||||||
2.665%, 07/25/2022(1) | 9,000,000 | 8,915,001 | ||||||||||
Mizuho Bank Ltd.: | ||||||||||||
1.800%, 03/26/2018(1)(2) | 24,275,000 | 24,274,933 | ||||||||||
2.450%, 04/16/2019(1)(2) | 2,100,000 | 2,101,542 | ||||||||||
Mizuho Financial Group, Inc.: | ||||||||||||
2.632%, 04/12/2021(1)(2) | 13,000,000 | 12,963,312 | ||||||||||
2.953%, 02/28/2022(1) | 12,575,000 | 12,587,305 | ||||||||||
2.601%, 09/11/2022(1) | 13,000,000 | 12,795,416 | ||||||||||
Morgan Stanley: | ||||||||||||
7.300%, 05/13/2019 | 15,110,000 | 16,108,928 | ||||||||||
2.375%, 07/23/2019 | 1,000,000 | 1,001,125 | ||||||||||
5.625%, 09/23/2019 | 1,941,000 | 2,045,454 | ||||||||||
2.650%, 01/27/2020 | 4,200,000 | 4,218,964 | ||||||||||
2.800%, 06/16/2020 | 5,000,000 | 5,045,113 | ||||||||||
2.500%, 04/21/2021 | 8,000,000 | 7,986,608 | ||||||||||
2.750%, 05/19/2022 | 20,000,000 | 19,926,587 | ||||||||||
2.765%, 10/24/2023 (3 Month LIBOR USD + 1.400%)(3) | 8,000,000 | 8,227,581 | ||||||||||
3.875%, 04/29/2024 | 1,650,000 | 1,722,725 | ||||||||||
3.700%, 10/23/2024 | 4,000,000 | 4,133,310 | ||||||||||
3.591%, 07/22/2028 (3 Month LIBOR USD + 1.340%)(3) | 12,000,000 | 12,110,445 | ||||||||||
MUFG Americas Holdings Corp., | ||||||||||||
2.250%, 02/10/2020 | 5,000,000 | 4,972,848 | ||||||||||
National Australia Bank Ltd./New York, | ||||||||||||
2.500%, 07/12/2026(1) | 7,875,000 | 7,499,495 | ||||||||||
Nationwide Building Society: | ||||||||||||
2.450%, 07/27/2021(1)(2) | 38,500,000 | 38,189,732 | ||||||||||
4.000%, 09/14/2026(1)(2) | 18,507,000 | 18,709,752 | ||||||||||
4.125%, 10/18/2032 (5 Year Mid Swap Rate USD + 1.850%)(1)(2)(3) | 7,000,000 | 7,002,368 | ||||||||||
Nationwide Financial Services, Inc., | ||||||||||||
5.375%, 03/25/2021(2) | 16,905,000 | 18,213,309 | ||||||||||
New York Life Insurance Co., | ||||||||||||
6.750%, 11/15/2039(2) | 12,026,000 | 17,385,888 | ||||||||||
Nomura Holdings, Inc.: | ||||||||||||
2.750%, 03/19/2019(1) | 1,625,000 | 1,637,152 | ||||||||||
6.700%, 03/04/2020(1) | 1,667,000 | 1,806,148 | ||||||||||
Nordea Bank AB, | ||||||||||||
4.250%, 09/21/2022(1)(2) | 5,220,000 | 5,477,489 | ||||||||||
Peachtree Corners Funding Trust, | ||||||||||||
3.976%, 02/15/2025(2) | 8,000,000 | 8,237,191 | ||||||||||
People's United Bank NA, | ||||||||||||
4.000%, 07/15/2024 | 11,400,000 | 11,513,722 | ||||||||||
PNC Bank NA, | ||||||||||||
4.200%, 11/01/2025 | 2,678,000 | 2,877,233 | ||||||||||
Pricoa Global Funding I, | ||||||||||||
2.550%, 11/24/2020(2) | 14,000,000 | 14,047,940 | ||||||||||
Principal Financial Group, Inc.: | ||||||||||||
3.300%, 09/15/2022 | 1,860,000 | 1,891,892 | ||||||||||
3.125%, 05/15/2023 | 4,667,000 | 4,692,145 | ||||||||||
3.400%, 05/15/2025 | 16,000,000 | 16,228,422 | ||||||||||
4.300%, 11/15/2046 | 2,325,000 | 2,486,818 | ||||||||||
Principal Life Global Funding II: | ||||||||||||
2.200%, 04/08/2020(2) | 4,000,000 | 3,984,763 | ||||||||||
3.000%, 04/18/2026(2) | 13,400,000 | 13,272,017 | ||||||||||
Protective Life Corp.: | ||||||||||||
7.375%, 10/15/2019 | 7,096,000 | 7,690,940 | ||||||||||
8.450%, 10/15/2039 | 1,400,000 | 2,104,789 | ||||||||||
Protective Life Global Funding, | ||||||||||||
2.700%, 11/25/2020(2) | 8,000,000 | 8,035,157 | ||||||||||
Prudential Financial, Inc.: | ||||||||||||
6.625%, 12/01/2037 | 5,000,000 | 7,013,238 | ||||||||||
3.935%, 12/07/2049(2) | 11,426,000 | 11,682,073 | ||||||||||
RBC USA Holdco Corp., | ||||||||||||
5.250%, 09/15/2020 | 2,025,000 | 2,169,382 | ||||||||||
Regions Bank: | ||||||||||||
7.500%, 05/15/2018 | 8,518,000 | 8,688,569 | ||||||||||
2.250%, 09/14/2018 | 5,000,000 | 5,005,452 | ||||||||||
Regions Financial Corp.: | ||||||||||||
3.200%, 02/08/2021 | 25,000,000 | 25,436,509 | ||||||||||
2.750%, 08/14/2022 | 8,800,000 | 8,772,318 | ||||||||||
Reliance Standard Life Global Funding II: | ||||||||||||
2.500%, 04/24/2019(2) | 5,355,000 | 5,366,859 | ||||||||||
2.500%, 01/15/2020(2) | 6,940,000 | 6,940,318 | ||||||||||
2.375%, 05/04/2020(2) | 30,000,000 | 29,931,015 | ||||||||||
Royal Bank of Canada, | ||||||||||||
4.650%, 01/27/2026(1) | 7,773,000 | 8,376,374 | ||||||||||
Santander Holdings USA, Inc.: | ||||||||||||
2.700%, 05/24/2019 | 5,000,000 | 5,010,903 | ||||||||||
2.650%, 04/17/2020 | 2,000,000 | 1,998,939 | ||||||||||
Santander Issuances SAU, | ||||||||||||
5.179%, 11/19/2025(1) | 14,000,000 | 15,119,945 | ||||||||||
Santander UK Group Holdings PLC: | ||||||||||||
2.875%, 10/16/2020(1) | 4,866,000 | 4,882,082 | ||||||||||
3.125%, 01/08/2021(1) | 2,600,000 | 2,624,456 | ||||||||||
3.571%, 01/10/2023(1) | 5,000,000 | 5,072,062 | ||||||||||
3.823%, 11/03/2028 (3 Month LIBOR USD + 1.400%)(1)(3) | 6,000,000 | 6,013,917 | ||||||||||
Santander UK PLC, | ||||||||||||
5.000%, 11/07/2023(1)(2) | 15,880,000 | 16,968,717 | ||||||||||
Skandinaviska Enskilda Banken AB: | ||||||||||||
2.375%, 11/20/2018(1)(2) | 6,835,000 | 6,848,144 | ||||||||||
2.375%, 03/25/2019(1)(2) | 1,725,000 | 1,728,871 | ||||||||||
2.450%, 05/27/2020(1)(2) | 15,000,000 | 15,009,300 | ||||||||||
SMBC Aviation Capital Finance DAC, | ||||||||||||
3.000%, 07/15/2022(1)(2) | 8,000,000 | 7,922,460 | ||||||||||
Societe Generale SA: | ||||||||||||
2.775%, 10/01/2018 (3 Month LIBOR USD + 1.080%)(1)(3) | 6,000,000 | 6,041,958 | ||||||||||
2.500%, 04/08/2021(1)(2) | 10,225,000 | 10,172,341 | ||||||||||
3.250%, 01/12/2022(1)(2) | 8,000,000 | 8,073,280 | ||||||||||
4.250%, 04/14/2025(1)(2) | 16,157,000 | 16,482,341 | ||||||||||
Standard Chartered PLC: | ||||||||||||
1.700%, 04/17/2018(1)(2) | 11,600,000 | 11,588,794 | ||||||||||
1.993%, 04/17/2018 (3 Month LIBOR USD + 0.640%)(1)(2)(3) | 3,000,000 | 3,003,210 | ||||||||||
2.100%, 08/19/2019(1)(2) | 14,000,000 | 13,911,269 | ||||||||||
2.250%, 04/17/2020(1)(2) | 8,000,000 | 7,926,992 | ||||||||||
3.050%, 01/15/2021(1)(2) | 4,500,000 | 4,535,865 | ||||||||||
5.700%, 03/26/2044(1)(2) | 6,000,000 | 7,277,353 | ||||||||||
Stifel Financial Corp., | ||||||||||||
4.250%, 07/18/2024 | 7,850,000 | 8,040,907 | ||||||||||
Sumitomo Mitsui Banking Corp.: | ||||||||||||
2.450%, 01/16/2020(1) | 20,500,000 | 20,506,513 | ||||||||||
3.950%, 07/19/2023(1) | 1,850,000 | 1,935,628 | ||||||||||
Sumitomo Mitsui Financial Group, Inc.: | ||||||||||||
2.934%, 03/09/2021(1) | 5,950,000 | 6,006,337 | ||||||||||
2.442%, 10/19/2021(1) | 15,775,000 | 15,608,829 | ||||||||||
2.784%, 07/12/2022(1) | 10,000,000 | 9,942,872 | ||||||||||
SunTrust Bank: | ||||||||||||
7.250%, 03/15/2018 | 1,874,000 | 1,893,157 | ||||||||||
3.300%, 05/15/2026 | 3,925,000 | 3,887,287 | ||||||||||
SunTrust Banks, Inc.: | ||||||||||||
2.900%, 03/03/2021 | 14,150,000 | 14,308,400 | ||||||||||
2.700%, 01/27/2022 | 12,800,000 | 12,799,553 | ||||||||||
Svenska Handelsbanken AB, | ||||||||||||
2.400%, 10/01/2020(1) | 5,200,000 | 5,205,413 | ||||||||||
Swedbank AB: | ||||||||||||
2.375%, 02/27/2019(1)(2) | 7,300,000 | 7,311,665 | ||||||||||
2.200%, 03/04/2020(1)(2) | 6,468,000 | 6,441,337 | ||||||||||
Synchrony Financial: | ||||||||||||
3.000%, 08/15/2019 | 2,000,000 | 2,013,908 | ||||||||||
3.750%, 08/15/2021 | 10,225,000 | 10,484,819 | ||||||||||
4.250%, 08/15/2024 | 26,864,000 | 27,854,120 | ||||||||||
4.500%, 07/23/2025 | 23,127,000 | 24,167,811 | ||||||||||
3.950%, 12/01/2027 | 5,000,000 | 4,978,967 | ||||||||||
TD Ameritrade Holding Corp.: | ||||||||||||
5.600%, 12/01/2019 | 2,945,000 | 3,126,210 | ||||||||||
2.950%, 04/01/2022 | 4,625,000 | 4,680,389 | ||||||||||
3.625%, 04/01/2025 | 7,000,000 | 7,246,715 | ||||||||||
Torchmark Corp., | ||||||||||||
3.800%, 09/15/2022 | 12,475,000 | 12,894,418 | ||||||||||
Trinity Acquisition PLC: | ||||||||||||
4.400%, 03/15/2026(1) | 27,305,000 | 28,877,462 | ||||||||||
6.125%, 08/15/2043(1) | 3,625,000 | 4,570,924 | ||||||||||
UBS AG: | ||||||||||||
2.375%, 03/26/2018 (3 Month LIBOR USD + 0.700%)(1)(3) | 8,250,000 | 8,261,780 | ||||||||||
5.750%, 04/25/2018(1) | 2,678,000 | 2,710,843 | ||||||||||
2.331%, 06/01/2020 (3 Month LIBOR USD + 0.850%)(1)(3) | 4,710,000 | 4,767,373 | ||||||||||
UBS Group Funding Switzerland AG: | ||||||||||||
2.650%, 02/01/2022(1)(2) | 14,150,000 | 13,989,772 | ||||||||||
3.491%, 05/23/2023(1)(2) | 4,825,000 | 4,901,785 | ||||||||||
2.859%, 08/15/2023 (3 Month LIBOR USD + 0.950%)(1)(2)(3) | 16,250,000 | 16,064,215 | ||||||||||
4.253%, 03/23/2028(1)(2) | 17,150,000 | 18,070,758 | ||||||||||
Voya Financial, Inc.: | ||||||||||||
5.500%, 07/15/2022 | 23,802,000 | 26,299,560 | ||||||||||
3.125%, 07/15/2024 | 14,375,000 | 14,245,685 | ||||||||||
3.650%, 06/15/2026 | 5,800,000 | 5,865,561 | ||||||||||
WEA Finance LLC / Westfield UK & Europe Finance PLC: | ||||||||||||
2.700%, 09/17/2019(2) | 5,985,000 | 6,017,313 | ||||||||||
3.250%, 10/05/2020(2) | 8,000,000 | 8,140,090 | ||||||||||
Wells Fargo & Co.: | ||||||||||||
2.150%, 01/30/2020 | 2,750,000 | 2,743,970 | ||||||||||
2.500%, 03/04/2021 | 5,000,000 | 4,997,712 | ||||||||||
3.069%, 01/24/2023 | 10,000,000 | 10,075,046 | ||||||||||
2.610%, 10/31/2023 (3 Month LIBOR USD + 1.230%)(3) | 5,000,000 | 5,132,942 | ||||||||||
3.000%, 02/19/2025 | 5,000,000 | 4,958,243 | ||||||||||
3.000%, 04/22/2026 | 8,000,000 | 7,848,795 | ||||||||||
3.900%, 05/01/2045 | 15,000,000 | 15,558,390 | ||||||||||
Westpac Banking Corp.: | ||||||||||||
1.600%, 01/12/2018(1) | 7,229,000 | 7,228,759 | ||||||||||
4.322%, 11/23/2031 (5 Year Mid Swap Rate USD + 2.240%)(1)(3) | 8,350,000 | 8,603,109 | ||||||||||
Willis North America, Inc.: | ||||||||||||
7.000%, 09/29/2019 | 5,463,000 | 5,858,865 | ||||||||||
3.600%, 05/15/2024 | 7,000,000 | 7,116,222 | ||||||||||
Willis Towers Watson PLC, | ||||||||||||
5.750%, 03/15/2021(1) | 13,879,000 | 15,102,601 | ||||||||||
2,931,138,725 | 20.3 | % | ||||||||||
Total Corporate Bonds | 6,054,992,795 | 41.9 | % |
Taxable Municipal Bonds | ||||||||||||
Atlanta Independent School System, | ||||||||||||
5.557%, 03/01/2026 | 4,465,000 | 5,171,943 | ||||||||||
California Housing Finance Agency: | ||||||||||||
3.656%, 02/01/2029(Callable 08/01/2025) | 19,650,000 | 19,949,662 | ||||||||||
2.794%, 08/01/2036(Callable 08/01/2025) | 12,705,000 | 12,544,028 | ||||||||||
California Qualified School Bond Joint Powers Authority, | ||||||||||||
7.155%, 03/01/2027 | 6,695,000 | 7,970,598 | ||||||||||
California School Finance Authority, | ||||||||||||
5.041%, 07/01/2020 | 2,230,000 | 2,333,628 | ||||||||||
City of Berwyn IL, | ||||||||||||
5.790%, 12/01/2022 | 10,000,000 | 10,550,700 | ||||||||||
City of Vernon CA Electric System Revenue, | ||||||||||||
4.500%, 08/01/2022 | 7,265,000 | 7,640,964 | ||||||||||
County of Cuyahoga OH, | ||||||||||||
9.125%, 10/01/2023 | 895,000 | 1,056,064 | ||||||||||
Eaton Community City School District, | ||||||||||||
5.390%, 08/25/2027(Callable 06/01/2020) | 2,305,000 | 2,375,349 | ||||||||||
Elgin Local School District, | ||||||||||||
5.499%, 08/31/2027(Callable 12/01/2019) | 4,440,000 | 4,561,834 | ||||||||||
Iowa Tobacco Settlement Authority, | ||||||||||||
6.500%, 06/01/2023(Callable 01/29/2018) | 3,415,000 | 3,471,860 | ||||||||||
Kentucky Housing Corp., | ||||||||||||
3.500%, 01/01/2040(Callable 07/01/2025) | 5,200,000 | 5,265,000 | ||||||||||
Louisiana Housing Corp., | ||||||||||||
2.100%, 12/01/2038(Callable 09/01/2024) | 5,062,048 | 4,828,029 | ||||||||||
Maryland Community Development Administration Housing Revenue, | ||||||||||||
3.160%, 09/01/2041(Callable 09/01/2025) | 17,005,000 | 16,976,772 | ||||||||||
New Hampshire Housing Finance Authority: | ||||||||||||
3.050%, 01/01/2021 | 785,000 | 789,294 | ||||||||||
3.750%, 07/01/2034(Callable 07/01/2023) | 1,465,000 | 1,487,224 | ||||||||||
4.000%, 07/01/2036(Callable 07/01/2025) | 7,655,000 | 7,838,414 | ||||||||||
New Jersey Economic Development Authority, | ||||||||||||
2.421%, 06/15/2018 | 7,000,000 | 7,001,120 | ||||||||||
North Carolina Housing Finance Agency, | ||||||||||||
2.812%, 07/01/2035(Callable 01/01/2024) | 2,985,000 | 2,944,105 | ||||||||||
North Texas Tollway Authority, | ||||||||||||
8.910%, 02/01/2030(Callable 02/01/2020) | 17,270,000 | 19,384,711 | ||||||||||
San Dieguito Public Facilities Authority, | ||||||||||||
6.459%, 05/01/2027 | 5,675,000 | 7,098,290 | ||||||||||
State of California, | ||||||||||||
7.950%, 03/01/2036(Callable 03/01/2020) | 10,125,000 | 11,306,790 | ||||||||||
State Public School Building Authority, | ||||||||||||
5.000%, 09/15/2027 | 4,458,000 | 4,985,872 | ||||||||||
Three Rivers Local School District, | ||||||||||||
5.209%, 09/15/2027(Callable 12/01/2020) | 2,365,000 | 2,439,616 | ||||||||||
West Contra Costa Unified School District, | ||||||||||||
6.250%, 08/01/2030 | 1,785,000 | 2,229,376 | ||||||||||
Westlake City School District, | ||||||||||||
5.227%, 12/01/2026(Callable 12/01/2020) | 3,570,000 | 3,620,194 | ||||||||||
175,821,437 | 1.2 | % | ||||||||||
Residential Mortgage-Backed Securities | ||||||||||||
U.S. Government Agency Issues | ||||||||||||
Fannie Mae REMIC Trust: | ||||||||||||
Series 1989-37, Class G, 8.000%, 07/25/2019 | 17,817 | 18,261 | ||||||||||
Series 1989-94, Class G, 7.500%, 12/25/2019 | 9,225 | 9,532 | ||||||||||
Series 1990-58, Class J, 7.000%, 05/25/2020 | 963 | 1,007 | ||||||||||
Series 1990-76, Class G, 7.000%, 07/25/2020 | 9,434 | 9,751 | ||||||||||
Series 1990-105, Class J, 6.500%, 09/25/2020 | 6,757 | 7,006 | ||||||||||
Series 1990-108, Class G, 7.000%, 09/25/2020 | 1,782 | 1,853 | ||||||||||
Series 1991-1, Class G, 7.000%, 01/25/2021 | 2,426 | 2,525 | ||||||||||
Series 1991-86, Class Z, 6.500%, 07/25/2021 | 7,204 | 7,571 | ||||||||||
Series 1993-58, Class H, 5.500%, 04/25/2023 | 78,716 | 82,398 | ||||||||||
Series 1998-66, Class C, 6.000%, 12/25/2028 | 53,308 | 56,988 | ||||||||||
Federal Gold Loan Mortgage Corp. (FGLMC): | ||||||||||||
6.000%, 06/01/2020 | 25,975 | 26,493 | ||||||||||
3.500%, 11/01/2025 | 3,335,882 | 3,447,892 | ||||||||||
3.000%, 12/01/2026 | 1,167,260 | 1,189,185 | ||||||||||
2.500%, 04/01/2028 | 3,371,444 | 3,387,832 | ||||||||||
6.500%, 06/01/2029 | 158,911 | 176,553 | ||||||||||
3.000%, 04/01/2031 | 9,443,800 | 9,623,800 | ||||||||||
3.000%, 02/01/2032 | 86,325,268 | 88,042,611 | ||||||||||
3.500%, 05/01/2032 | 10,062,252 | 10,471,261 | ||||||||||
3.500%, 07/01/2032 | 30,160,525 | 31,390,328 | ||||||||||
5.000%, 08/01/2033 | 6,280,203 | 6,827,533 | ||||||||||
3.500%, 01/01/2034 | 24,677,988 | 25,695,210 | ||||||||||
5.000%, 09/01/2035 | 12,946,737 | 14,043,565 | ||||||||||
5.500%, 01/01/2036 | 215,207 | 238,959 | ||||||||||
5.000%, 03/01/2036 | 5,557,459 | 6,027,932 | ||||||||||
6.000%, 12/01/2036 | 191,549 | 215,978 | ||||||||||
5.500%, 05/01/2038 | 666,752 | 735,614 | ||||||||||
5.500%, 01/01/2039 | 13,667,182 | 15,182,253 | ||||||||||
4.500%, 11/01/2039 | 5,753,615 | 6,138,163 | ||||||||||
4.500%, 11/01/2039 | 4,824,340 | 5,147,981 | ||||||||||
4.500%, 12/01/2039 | 29,033,808 | 30,976,504 | ||||||||||
5.000%, 03/01/2040 | 1,249,634 | 1,361,586 | ||||||||||
4.500%, 08/01/2040 | 1,041,943 | 1,111,714 | ||||||||||
4.500%, 09/01/2040 | 4,025,490 | 4,294,959 | ||||||||||
4.000%, 01/01/2041 | 18,689,615 | 19,621,046 | ||||||||||
4.000%, 01/01/2041 | 36,598,940 | 38,425,381 | ||||||||||
4.500%, 03/01/2041 | 2,856,531 | 3,053,670 | ||||||||||
3.500%, 10/01/2041 | 11,677,322 | 12,050,670 | ||||||||||
4.000%, 03/01/2042 | 8,746,509 | 9,216,676 | ||||||||||
3.500%, 06/01/2042 | 5,889,878 | 6,078,234 | ||||||||||
3.500%, 07/01/2042 | 15,527,084 | 16,023,647 | ||||||||||
3.000%, 08/01/2042 | 20,147,762 | 20,254,600 | ||||||||||
3.000%, 10/01/2042 | 7,707,195 | 7,749,678 | ||||||||||
3.000%, 11/01/2042 | 43,563,059 | 43,794,176 | ||||||||||
3.000%, 01/01/2043 | 33,548,450 | 33,740,906 | ||||||||||
3.000%, 01/01/2043 | 15,801,671 | 15,839,603 | ||||||||||
3.500%, 01/01/2043 | 25,570,504 | 26,387,947 | ||||||||||
3.000%, 02/01/2043 | 4,223,013 | 4,247,164 | ||||||||||
3.000%, 04/01/2043 | 6,872,035 | 6,911,299 | ||||||||||
3.000%, 04/01/2043 | 18,547,439 | 18,652,447 | ||||||||||
3.000%, 04/01/2043 | 10,577,932 | 10,639,518 | ||||||||||
3.500%, 05/01/2043 | 15,759,885 | 16,263,562 | ||||||||||
3.000%, 06/01/2043 | 21,872,625 | 21,992,072 | ||||||||||
3.000%, 08/01/2043 | 6,794,506 | 6,823,196 | ||||||||||
3.500%, 11/01/2043 | 12,325,805 | 12,719,562 | ||||||||||
3.500%, 01/01/2044 | 13,477,899 | 13,908,486 | ||||||||||
4.000%, 03/01/2044 | 7,725,538 | 8,084,286 | ||||||||||
3.500%, 05/01/2044 | 49,866,366 | 51,529,203 | ||||||||||
4.000%, 05/01/2044 | 26,503,929 | 27,824,119 | ||||||||||
4.000%, 07/01/2044 | 6,588,613 | 6,892,773 | ||||||||||
3.500%, 10/01/2044 | 12,873,833 | 13,258,772 | ||||||||||
4.000%, 10/01/2044 | 15,481,846 | 16,336,002 | ||||||||||
3.500%, 06/01/2045 | 3,143,290 | 3,248,233 | ||||||||||
3.000%, 10/01/2045 | 48,840,180 | 49,127,008 | ||||||||||
3.500%, 01/01/2046 | 47,842,163 | 49,347,202 | ||||||||||
4.000%, 04/01/2046 | 15,042,253 | 15,873,283 | ||||||||||
3.500%, 05/01/2046 | 13,944,198 | 14,341,268 | ||||||||||
3.500%, 08/01/2046 | 42,396,098 | 43,801,314 | ||||||||||
3.000%, 05/01/2047 | 79,081,367 | 79,236,859 | ||||||||||
Federal Home Loan Mortgage Corp. (FHLMC): | ||||||||||||
Series 141, Class D, 5.000%, 05/15/2021 | 4,354 | 4,404 | ||||||||||
Series 1074, Class I, 6.750%, 05/15/2021 | 2,804 | 2,864 | ||||||||||
Series 1081, Class K, 7.000%, 05/15/2021 | 25,488 | 26,645 | ||||||||||
Series 163, Class F, 6.000%, 07/15/2021(4) | 5,780 | 5,969 | ||||||||||
Series 188, Class H, 7.000%, 09/15/2021 | 13,169 | 13,638 | ||||||||||
Series 1286, Class A, 6.000%, 05/15/2022 | 4,435 | 4,626 | ||||||||||
Federal National Mortgage Association (FNMA): | ||||||||||||
5.000%, 11/01/2021 | 416,026 | 423,521 | ||||||||||
3.000%, 04/01/2027 | 9,267,143 | 9,464,853 | ||||||||||
3.500%, 07/01/2027 | 46,168,701 | 47,828,335 | ||||||||||
2.500%, 12/01/2027 | 11,896,865 | 11,956,395 | ||||||||||
2.500%, 05/01/2028 | 15,706,595 | 15,780,433 | ||||||||||
5.000%, 05/01/2028 | 230,872 | 247,855 | ||||||||||
4.500%, 08/01/2029 | 1,748,308 | 1,865,155 | ||||||||||
4.500%, 09/01/2029 | 2,071,873 | 2,210,640 | ||||||||||
2.500%, 05/01/2030 | 17,590,981 | 17,624,917 | ||||||||||
3.000%, 12/01/2030 | 28,246,427 | 28,805,976 | ||||||||||
3.000%, 12/01/2030 | 17,603,610 | 17,968,803 | ||||||||||
3.500%, 01/01/2032 | 59,793,346 | 62,179,038 | ||||||||||
2.500%, 02/01/2032 | 9,550,874 | 9,542,652 | ||||||||||
6.000%, 03/01/2033 | 54,374 | 61,631 | ||||||||||
3.500%, 10/01/2033 | 28,340,349 | 29,489,919 | ||||||||||
4.500%, 10/01/2033 | 20,621,454 | 22,042,841 | ||||||||||
5.000%, 10/01/2033 | 22,578,039 | 24,524,481 | ||||||||||
5.000%, 11/01/2033 | 62,131 | 67,489 | ||||||||||
4.000%, 01/01/2034 | 9,211,920 | 9,722,375 | ||||||||||
5.500%, 04/01/2034 | 7,444,771 | 8,260,124 | ||||||||||
4.000%, 06/01/2034 | 11,905,680 | 12,566,523 | ||||||||||
4.000%, 09/01/2034 | 14,203,884 | 14,992,729 | ||||||||||
5.500%, 09/01/2034 | 199,626 | 221,325 | ||||||||||
6.000%, 11/01/2034 | 54,247 | 61,608 | ||||||||||
5.500%, 02/01/2035 | 685,330 | 760,252 | ||||||||||
5.000%, 07/01/2035 | 5,817,060 | 6,318,618 | ||||||||||
5.000%, 10/01/2035 | 2,945,007 | 3,199,012 | ||||||||||
5.000%, 02/01/2036 | 4,160,079 | 4,518,971 | ||||||||||
5.500%, 11/01/2036 | 273,385 | 302,539 | ||||||||||
2.500%, 12/01/2036 | 35,939,165 | 35,305,581 | ||||||||||
5.500%, 04/01/2037 | 1,701,933 | 1,885,827 | ||||||||||
4.000%, 04/01/2039 | 15,544,579 | 16,387,008 | ||||||||||
5.000%, 06/01/2039 | 20,151,088 | 21,879,052 | ||||||||||
5.000%, 06/01/2039 | 13,647,174 | 14,820,676 | ||||||||||
4.500%, 11/01/2039 | 273,805 | 292,515 | ||||||||||
4.000%, 08/01/2040 | 1,985,210 | 2,085,680 | ||||||||||
3.500%, 12/01/2040 | 11,707,536 | 12,088,767 | ||||||||||
4.000%, 12/01/2040 | 11,543,547 | 12,128,383 | ||||||||||
3.500%, 02/01/2041 | 18,279,175 | 18,874,062 | ||||||||||
4.000%, 02/01/2041 | 27,518,207 | 28,924,199 | ||||||||||
3.500%, 03/01/2041 | 26,544,043 | 27,407,922 | ||||||||||
4.500%, 05/01/2041 | 10,138,498 | 10,868,616 | ||||||||||
4.000%, 06/01/2041 | 23,009,090 | 24,170,169 | ||||||||||
4.500%, 07/01/2041 | 10,944,249 | 11,729,935 | ||||||||||
5.000%, 07/01/2041 | 15,521,299 | 16,855,626 | ||||||||||
3.500%, 09/01/2041 | 26,977,465 | 27,855,358 | ||||||||||
4.000%, 09/01/2041 | 3,124,502 | 3,281,499 | ||||||||||
4.000%, 10/01/2041 | 7,978,898 | 8,379,830 | ||||||||||
3.500%, 11/01/2041 | 10,868,427 | 11,222,606 | ||||||||||
3.500%, 12/01/2041 | 46,366,040 | 47,876,964 | ||||||||||
4.000%, 12/01/2041 | 11,141,851 | 11,701,709 | ||||||||||
4.000%, 01/01/2042 | 14,872,351 | 15,618,039 | ||||||||||
4.500%, 01/01/2042 | 14,891,482 | 15,961,699 | ||||||||||
4.000%, 02/01/2042 | 54,724,743 | 57,463,812 | ||||||||||
3.000%, 05/01/2042 | 6,116,849 | 6,149,904 | ||||||||||
3.500%, 08/01/2042 | 10,643,731 | 10,989,832 | ||||||||||
4.000%, 08/01/2042 | 20,554,939 | 21,586,612 | ||||||||||
3.000%, 03/01/2043 | 7,665,546 | 7,709,919 | ||||||||||
3.000%, 03/01/2043 | 42,149,434 | 42,372,568 | ||||||||||
3.000%, 05/01/2043 | 42,340,578 | 42,569,409 | ||||||||||
3.000%, 05/01/2043 | 24,723,235 | 24,856,863 | ||||||||||
3.000%, 06/01/2043 | 10,430,336 | 10,486,172 | ||||||||||
3.000%, 07/01/2043 | 4,019,988 | 4,041,300 | ||||||||||
4.000%, 07/01/2043 | 38,243,924 | 40,162,364 | ||||||||||
3.000%, 08/01/2043 | 6,483,477 | 6,516,847 | ||||||||||
3.500%, 09/01/2043 | 65,635,206 | 67,798,188 | ||||||||||
4.500%, 09/01/2043 | 16,098,366 | 17,256,587 | ||||||||||
3.500%, 10/01/2043 | 74,011,083 | 76,279,508 | ||||||||||
3.000%, 11/01/2043 | 33,523,052 | 33,704,186 | ||||||||||
4.000%, 01/01/2045 | 11,658,966 | 12,273,945 | ||||||||||
3.500%, 02/01/2045 | 51,920,539 | 53,606,914 | ||||||||||
4.000%, 02/01/2045 | 26,204,865 | 27,509,791 | ||||||||||
3.500%, 04/01/2045 | 38,524,273 | 39,753,923 | ||||||||||
4.000%, 10/01/2045 | 9,728,741 | 10,240,266 | ||||||||||
4.000%, 11/01/2045 | 50,834,804 | 53,172,736 | ||||||||||
3.500%, 12/01/2045 | 42,136,257 | 43,285,278 | ||||||||||
4.500%, 02/01/2046 | 44,593,924 | 47,785,327 | ||||||||||
3.000%, 05/01/2046 | 18,966,375 | 19,030,221 | ||||||||||
3.000%, 07/01/2046 | 11,944,633 | 11,984,356 | ||||||||||
4.500%, 08/01/2046 | 41,066,764 | 43,776,338 | ||||||||||
3.000%, 11/01/2046 | 29,501,082 | 29,548,623 | ||||||||||
3.500%, 11/01/2046 | 64,667,194 | 66,430,615 | ||||||||||
Freddie Mac Gold Pool, | ||||||||||||
3.500%, 02/01/2044 | 49,991,418 | 51,590,400 | ||||||||||
Government National Mortgage Association (GNMA): | ||||||||||||
6.000%, 11/20/2033 | 51,353 | 58,256 | ||||||||||
5.000%, 07/20/2040 | 2,406,085 | 2,615,665 | ||||||||||
3.500%, 10/20/2041 | 10,857,523 | 11,284,679 | ||||||||||
3.500%, 01/15/2042 | 17,895,128 | 18,559,000 | ||||||||||
4.000%, 06/20/2042 | 12,171,517 | 12,805,022 | ||||||||||
3.500%, 09/20/2042 | 4,597,018 | 4,777,884 | ||||||||||
3.500%, 01/20/2043 | 29,703,433 | 30,872,138 | ||||||||||
3.000%, 04/20/2045 | 36,965,448 | 37,343,913 | ||||||||||
3.500%, 04/20/2045 | 33,326,351 | 34,498,294 | ||||||||||
4.000%, 08/20/2045 | 15,898,786 | 16,641,647 | ||||||||||
4.500%, 01/20/2046 | 18,562,537 | 19,592,602 | ||||||||||
4.000%, 04/20/2046 | 16,841,198 | 17,659,977 | ||||||||||
4.000%, 05/20/2046 | 40,740,404 | 42,647,114 | ||||||||||
3.000%, 06/20/2046 | 25,303,802 | 25,557,984 | ||||||||||
3.000%, 08/20/2046 | 51,233,846 | 51,748,501 | ||||||||||
3,076,509,018 | 21.4 | % | ||||||||||
Non-U.S. Government Agency Issues | ||||||||||||
Accredited Mortgage Loan Trust, | ||||||||||||
Series 2005-4, Class A1, 1.792%, 12/25/2035 (1 Month LIBOR USD + 0.240%)(3) | 5,265,462 | 5,258,303 | ||||||||||
ACE Securities Corp. Home Equity Loan Trust, | ||||||||||||
Series 2006-HE1, Class A1B1, 1.742%, 02/25/2036 (1 Month LIBOR USD + 0.190%)(3) | 2,029,236 | 2,029,329 | ||||||||||
Alternative Loan Trust: | ||||||||||||
Series 2005-50CB, Class 4A1, 5.000%, 11/25/2020 | 119,199 | 119,158 | ||||||||||
Series 2006-7CB, Class 3A1, 5.250%, 05/25/2021 | 580,010 | 566,860 | ||||||||||
Series 2006-J5, Class 3A1, 4.473%, 07/25/2021(4) | 131,981 | 126,599 | ||||||||||
Series 2006-43CB, Class 2A1, 6.000%, 02/25/2022 | 123,083 | 123,703 | ||||||||||
Series 2002-11, Class A4, 6.250%, 10/25/2032 | 22,008 | 22,364 | ||||||||||
Series 2004-8CB, Class A, 1.822%, 06/25/2034 (1 Month LIBOR USD + 0.270%)(3) | 13,018,213 | 13,040,800 | ||||||||||
Series 2006-28CB, Class A17, 6.000%, 10/25/2036(8) | 694,242 | 563,715 | ||||||||||
Argent Securities Inc. Asset-Backed Pass-Through Certificates: | ||||||||||||
Series 2005-W3, Class A2D, 1.892%, 11/25/2035 (1 Month LIBOR USD + 0.340%)(3) | 3,943,445 | 3,939,226 | ||||||||||
Series 2005-W5, Class A1, 1.787%, 01/25/2036 (1 Month LIBOR USD + 0.240%)(3) | 36,926,481 | 36,616,276 | ||||||||||
Asset Backed Securities Corp. Home Equity Loan Trust: | ||||||||||||
Series 2006-HE1, Class A3, 1.752%, 01/25/2036 (1 Month LIBOR USD + 0.200%)(3) | 8,280,296 | 8,219,693 | ||||||||||
Series 2006-HE1, Class A1, 1.767%, 01/25/2036 (1 Month LIBOR USD + 0.220%)(3) | 3,299,549 | 3,283,228 | ||||||||||
Series 2006-HE3, Class A2, 1.717%, 03/25/2036 (1 Month LIBOR USD + 0.170%)(3) | 14,229,900 | 14,023,953 | ||||||||||
Series 2006-HE6, Class A1, 1.697%, 11/25/2036 (1 Month LIBOR USD + 0.150%)(3) | 29,344,567 | 28,379,046 | ||||||||||
Banc of America Alternative Loan Trust: | ||||||||||||
Series 2004-11, Class 4A1, 5.500%, 12/25/2019 | 28,673 | 28,871 | ||||||||||
Series 2005-2, Class 4A1, 5.500%, 03/25/2020 | 57,133 | 57,392 | ||||||||||
Series 2005-4, Class 3A1, 5.500%, 05/25/2020 | 268,387 | 265,138 | ||||||||||
Series 2005-10, Class 5A1, 5.250%, 11/25/2020 | 101,041 | 101,479 | ||||||||||
Series 2007-1, Class 1A1, 5.686%, 04/25/2022(4) | 426,978 | 429,344 | ||||||||||
Series 2005-2, Class 1CB2, 5.500%, 03/25/2035(8) | 78,774 | 78,338 | ||||||||||
Series 2005-9, Class 1CB3, 5.500%, 10/25/2035(8) | 177,922 | 176,507 | ||||||||||
Series 2005-11, Class 1CB4, 5.500%, 12/25/2035(8) | 112,942 | 108,335 | ||||||||||
Series 2006-5, Class CB7, 6.000%, 06/25/2046(8) | 408,166 | 369,562 | ||||||||||
Bayview Financial Trust: | ||||||||||||
Series 2007-A, Class 1A2, 6.205%, 05/28/2037(6) | 1,446,721 | 1,488,993 | ||||||||||
Series 2007-B, Class 1A2, 6.831%, 08/28/2047(6)(8) | 1,800,585 | 1,687,671 | ||||||||||
Bear Stearns ALT-A Trust: | ||||||||||||
Series 2004-4, Class A1, 2.152%, 06/25/2034 (1 Month LIBOR USD + 0.600%)(3) | 2,294,170 | 2,288,490 | ||||||||||
Series 2005-4, Class 1A1, 1.992%, 04/25/2035 (1 Month LIBOR USD + 0.440%)(3) | 5,980,662 | 5,960,873 | ||||||||||
Series 2005-7, Class 12A1, 2.092%, 08/25/2035 (1 Month LIBOR USD + 0.540%)(3) | 16,492,985 | 16,503,193 | ||||||||||
Bear Stearns Asset Backed Securities I Trust, | ||||||||||||
Series 2004-AC2, Class 2A, 5.000%, 05/25/2034 | 434,841 | 434,228 | ||||||||||
Chase Mortgage Finance Trust, | ||||||||||||
Series 2006-A1, Class 2A3, 3.623%, 09/25/2036(4)(8) | 1,617,303 | 1,612,920 | ||||||||||
Citigroup Global Markets Mortgage Securities VII, Inc., | ||||||||||||
Series 2003-UP2, Class A2, 7.000%, 06/25/2033(6) | 195,835 | 198,412 | ||||||||||
Citigroup Mortgage Loan Trust, Inc., | ||||||||||||
Series 2005-9, Class 2A2, 5.500%, 11/25/2035(8) | 90,195 | 90,334 | ||||||||||
Countrywide Asset-Backed Certificates: | ||||||||||||
Series 2004-S1, Class A3, 5.115%, 02/25/2035(6) | 399,010 | 402,634 | ||||||||||
Series 2005-1, Class AF6, 5.030%, 07/25/2035(4) | 317,096 | 322,792 | ||||||||||
Series 2005-10, Class AF6, 4.454%, 02/25/2036(4) | 242,183 | 247,486 | ||||||||||
Series 2005-13, Class AF3, 4.671%, 04/25/2036(4)(8) | 1,005,810 | 921,303 | ||||||||||
Series 2006-10, Class 1AF3, 4.664%, 09/25/2046(4) | 760,231 | 685,317 | ||||||||||
Credit Suisse First Boston Mortgage Securities Corp., | ||||||||||||
Series 2003-AR26, Class 8A1, 3.533%, 11/25/2033(4) | 8,883,845 | 9,053,698 | ||||||||||
Credit-Based Asset Servicing & Securitization LLC, | ||||||||||||
Series 2005-CB8, Class AF2, 3.834%, 12/25/2035(6) | 56,719 | 56,502 | ||||||||||
CWABS Asset-Backed Certificates Trust: | ||||||||||||
Series 2004-15, Class AF6, 4.613%, 04/25/2035(4) | 118,298 | 118,813 | ||||||||||
Series 2005-11, Class AF3, 4.629%, 02/25/2036(4) | 924,490 | 927,826 | ||||||||||
Series 2005-16, Class 3AV, 1.558%, 05/25/2036 (1 Month LIBOR USD + 0.230%)(3) | 7,159,970 | 7,148,819 | ||||||||||
Series 2005-17, Class 1AF5, 4.611%, 05/25/2036(4)(8) | 285,983 | 507,324 | ||||||||||
CWHEQ Home Equity Loan Trust, | ||||||||||||
Series 2007-S1, Class A6, 5.693%, 11/25/2036(4) | 76,821 | 75,984 | ||||||||||
Deutsche Mortgage Securities, Inc. Mortgage Loan Trust, | ||||||||||||
Series 2004-4, Class 1A6, 6.150%, 04/25/2034(6) | 4,562 | 4,634 | ||||||||||
First Franklin Mortgage Loan Trust: | ||||||||||||
Series 2006-FFH1, Class A4, 1.852%, 01/25/2036 (1 Month LIBOR USD + 0.300%)(3) | 2,227,334 | 2,224,218 | ||||||||||
Series 2006-FF1, Class 2A4, 1.892%, 01/25/2036 (1 Month LIBOR USD + 0.340%)(3) | 9,449,524 | 9,465,558 | ||||||||||
Series 2005-FF12, Class A2C, 1.882%, 11/25/2036 (1 Month LIBOR USD + 0.330%)(3) | 6,946,500 | 6,953,158 | ||||||||||
First Horizon Alternative Mortgage Securities Trust: | ||||||||||||
Series 2005-FA7, Class 2A1, 5.000%, 09/25/2020 | 56,695 | 56,880 | ||||||||||
Series 2006-FA6, Class 3A1, 5.750%, 11/25/2021(8) | 112,760 | 109,744 | ||||||||||
Series 2006-FA8, Class 2A1, 5.750%, 02/25/2037 | 397,898 | 348,261 | ||||||||||
GE Capital Mortgage Services, Inc. Trust, | ||||||||||||
Series 1999-HE1, Class A7, 6.265%, 04/25/2029 | 485 | 458 | ||||||||||
GE Mortgage Services LLC, | ||||||||||||
Series 1997-HE4, Class A7, 6.735%, 12/25/2028 | 38 | 35 | ||||||||||
GMACM Mortgage Loan Trust, | ||||||||||||
Series 2004-GH1, Class A6, 4.810%, 07/25/2035(6) | 1,285 | 1,287 | ||||||||||
GSAA Home Equity Trust, | ||||||||||||
Series 2004-6, Class A1, 2.352%, 06/25/2034 (1 Month LIBOR USD + 0.800%)(3) | 2,159,097 | 2,125,084 | ||||||||||
GSAMP Trust: | ||||||||||||
Series 2005-WMC2, Class A1B, 2.172%, 11/25/2035 (1 Month LIBOR USD + 0.620%)(3) | 7,876,428 | 7,894,797 | ||||||||||
Series 2005-WMC2, Class A2C, 2.252%, 11/25/2035 (1 Month LIBOR USD + 0.700%)(3) | 7,715,180 | 7,739,013 | ||||||||||
HomeBanc Mortgage Trust, | ||||||||||||
Series 2005-3, Class A1, 1.792%, 07/25/2035 (1 Month LIBOR USD + 0.240%)(3) | 4,110,195 | 4,085,130 | ||||||||||
IMC Home Equity Loan Trust, | ||||||||||||
Series 1997-5, Class A10, 6.880%, 11/20/2028 | 929 | 926 | ||||||||||
Impac CMB Trust: | ||||||||||||
Series 2004-4, Class 2A2, 4.586%, 09/25/2034(6) | 93,711 | 90,806 | ||||||||||
Series 2004-5, Class 1A2, 2.252%, 10/25/2034 (1 Month LIBOR USD + 0.700%)(3) | 5,115,264 | 5,062,699 | ||||||||||
Series 2004-6, Class 1A1, 2.352%, 10/25/2034 (1 Month LIBOR USD + 0.800%)(3) | 3,844,693 | 3,768,114 | ||||||||||
J.P. Morgan Alternative Loan Trust, | ||||||||||||
Series 2006-A1, Class 2A1, 3.481%, 03/25/2036(4) | 356,322 | 324,073 | ||||||||||
J.P. Morgan Mortgage Acquisition Trust, | ||||||||||||
Series 2006-CH1, Class A1, 1.682%, 07/25/2036 (1 Month LIBOR USD + 0.130%)(3) | 4,486,876 | 4,472,656 | ||||||||||
J.P. Morgan Mortgage Trust: | ||||||||||||
Series 2005-A4, Class 1A1, 3.526%, 07/25/2035(4) | 1,725,914 | 1,729,868 | ||||||||||
Series 2007-A1, Class 5A2, 3.629%, 07/25/2035(4) | 3,994,164 | 4,103,616 | ||||||||||
Series 2007-A1, Class 5A5, 3.629%, 07/25/2035(4) | 6,047,811 | 6,235,198 | ||||||||||
Series 2006-A7, Class 2A4R, 3.554%, 01/25/2037(4)(8) | 743,655 | 748,381 | ||||||||||
Series 2006-A7, Class 2A2, 3.554%, 01/25/2037(4) | 174,058 | 175,165 | ||||||||||
Series 2007-A2, Class 2A3, 3.636%, 04/25/2037(4) | 2,135,323 | 2,077,943 | ||||||||||
Long Beach Mortgage Loan Trust, | ||||||||||||
Series 2006-WL2, Class 2A3, 1.752%, 01/25/2036 (1 Month LIBOR USD + 0.200%)(3) | 1,886,313 | 1,879,443 | ||||||||||
MASTR Alternative Loan Trust: | ||||||||||||
Series 2004-2, Class 6A1, 5.250%, 12/25/2018 | 312,088 | 314,620 | ||||||||||
Series 2004-1, Class 1A1, 5.000%, 01/25/2019 | 59,499 | 59,510 | ||||||||||
Series 2004-2, Class 4A1, 5.000%, 02/25/2019 | 4,181 | 4,192 | ||||||||||
Series 2004-4, Class 4A1, 5.000%, 04/25/2019 | 56,213 | 56,346 | ||||||||||
MASTR Asset Backed Securities Trust, | ||||||||||||
Series 2006-NC1, Class A4, 1.852%, 01/25/2036 (1 Month LIBOR USD + 0.300%)(3) | 7,465,776 | 7,479,204 | ||||||||||
Merrill Lynch Mortgage Investors Trust: | ||||||||||||
Series 2004-F, Class A1A, 2.880%, 12/25/2029(4) | 7,468,608 | 7,513,887 | ||||||||||
Series 2005-A10, Class A, 1.762%, 02/25/2036 (1 Month LIBOR USD + 0.210%)(3) | 20,580,816 | 19,711,017 | ||||||||||
Morgan Stanley Mortgage Loan Trust, | ||||||||||||
Series 2004-7AR, Class 2A1, 3.415%, 09/25/2034(4) | 3,740,339 | 3,821,538 | ||||||||||
MortgageIT Trust: | ||||||||||||
Series 2005-2, Class 1A1, 2.072%, 05/25/2035 (1 Month LIBOR USD + 0.520%)(3) | 2,012,191 | 2,019,196 | ||||||||||
Series 2005-3, Class A1, 2.152%, 08/25/2035 (1 Month LIBOR USD + 0.600%)(3) | 4,808,851 | 4,695,231 | ||||||||||
New Century Home Equity Loan Trust, | ||||||||||||
Series 2005-C, Class A1, 1.782%, 12/25/2035 (1 Month LIBOR USD + 0.230%)(3) | 12,006,610 | 11,958,984 | ||||||||||
New Residential Mortgage Loan Trust: | ||||||||||||
Series 2017-2A, Class A3, 4.000%, 03/25/2057(2)(4) | 17,269,891 | 17,850,260 | ||||||||||
Series 2017-3A, Class A1, 4.000%, 04/25/2057(2)(4) | 18,335,699 | 18,881,976 | ||||||||||
Series 2017-4A, Class A1, 4.000%, 05/25/2057(2)(4) | 31,256,575 | 32,219,737 | ||||||||||
Park Place Securities, Inc., | ||||||||||||
Series 2005-WCW1, Class M1, 2.002%, 09/25/2035 (1 Month LIBOR USD + 0.450%)(3)(8) | 3,650,940 | 3,656,692 | ||||||||||
Popular ABS Mortgage Pass-Through Trust, | ||||||||||||
Series 2006-E, Class A2, 1.702%, 01/25/2037 (1 Month LIBOR USD + 0.150%)(3) | 4,825,508 | 4,799,320 | ||||||||||
RALI Series Trust, | ||||||||||||
Series 2004-QS6, Class A1, 5.000%, 05/25/2019(8) | 33,470 | 33,332 | ||||||||||
RAMP Series Trust, | ||||||||||||
Series 2005-RS1, Class AI6, 4.713%, 01/25/2035 | 18,113 | 18,273 | ||||||||||
RASC Series Trust: | ||||||||||||
Series 2004-KS2, Class AI6, 4.300%, 03/25/2034(4) | 12,625 | 12,723 | ||||||||||
Series 2006-KS4, Class A4, 1.792%, 06/25/2036 (1 Month LIBOR USD + 0.240%)(3) | 13,191,886 | 13,144,304 | ||||||||||
Renaissance Home Equity Loan Trust, | ||||||||||||
Series 2007-1, Class AF3, 5.612%, 04/25/2037(6) | 2,503,107 | 1,290,926 | ||||||||||
Securitized Asset Backed Receivables LLC Trust, | ||||||||||||
Series 2005-OP2, Class A1, 1.877%, 10/25/2035 (1 Month LIBOR USD + 0.330%)(2)(3) | 93,037 | 93,035 | ||||||||||
Specialty Underwriting & Residential Finance Trust: | ||||||||||||
Series 2004-BC4, Class A1A, 2.222%, 10/25/2035 (1 Month LIBOR USD + 0.670%)(3) | 2,012,428 | 2,003,134 | ||||||||||
Series 2005-AB3, Class A2C, 1.912%, 09/25/2036 (1 Month LIBOR USD + 0.360%)(3) | 3,343,598 | 3,346,982 | ||||||||||
Series 2006-BC1, Class A2D, 1.852%, 12/25/2036 (1 Month LIBOR USD + 0.300%)(3) | 2,632,906 | 2,633,420 | ||||||||||
Structured Adjustable Rate Mortgage Loan Trust: | ||||||||||||
Series 2004-12, Class 3A1, 3.462%, 09/25/2034(4) | 5,003,012 | 4,988,805 | ||||||||||
Series 2004-16, Class 2A, 3.494%, 11/25/2034(4) | 6,106,429 | 6,172,047 | ||||||||||
Series 2004-16, Class 1A2, 3.546%, 11/25/2034(4) | 8,058,735 | 8,085,923 | ||||||||||
Structured Asset Securities Corp.: | ||||||||||||
Series 2005-WF1, Class A3, 2.212%, 02/25/2035 (1 Month LIBOR USD + 0.660%)(3) | 8,373,604 | 8,390,578 | ||||||||||
Series 2005-7XS, Class 1A4B, 5.440%, 04/25/2035(6) | 42,348 | 43,726 | ||||||||||
Structured Asset Securities Corp. Mortgage Loan Trust, | ||||||||||||
Series 2006-OPT1, Class A6, 1.702%, 04/25/2036 (1 Month LIBOR USD + 0.150%)(3) | 14,467,763 | 14,196,210 | ||||||||||
Thornburg Mortgage Securities Trust, | ||||||||||||
Series 2003-5, Class 3A, 3.311%, 10/25/2043(4) | 16,879,902 | 17,092,555 | ||||||||||
Towd Point Mortgage Trust: | ||||||||||||
Series 2015-3, Class A1A, 3.500%, 03/25/2054(2)(4) | 7,687,323 | 7,776,654 | ||||||||||
Series 2015-5, Class A1, 3.500%, 05/25/2055(2)(4) | 4,119,188 | 4,179,541 | ||||||||||
Series 2016-2, Class A1, 3.000%, 08/25/2055(2)(4) | 11,466,947 | 11,546,540 | ||||||||||
Series 2016-3, Class A1, 2.250%, 04/25/2056(2)(4) | 2,262,893 | 2,241,259 | ||||||||||
Series 2016-5, Class A1, 2.500%, 10/25/2056(2)(4) | 6,165,729 | 6,121,344 | ||||||||||
Series 2017-1, Class A1, 2.750%, 10/25/2056(2)(4) | 40,558,549 | 40,506,500 | ||||||||||
Series 2017-6, Class A1, 2.750%, 10/25/2057(2)(4) | 34,832,174 | 34,710,756 | ||||||||||
WaMu Mortgage Pass-Through Certificates Trust: | ||||||||||||
Series 2004-CB1, Class 5A, 5.000%, 06/25/2019 | 88,777 | 89,278 | ||||||||||
Series 2004-CB2, Class 7A, 5.500%, 08/25/2019 | 154,911 | 155,894 | ||||||||||
Series 2004-CB3, Class 3A, 5.500%, 10/25/2019 | 12,155 | 12,254 | ||||||||||
Series 2004-CB3, Class 4A, 6.000%, 10/25/2019 | 61,060 | 62,237 | ||||||||||
Series 2004-CB4, Class 21A, 5.500%, 12/25/2019 | 47,305 | 47,823 | ||||||||||
Series 2004-CB2, Class 3A, 6.000%, 08/25/2034 | 7,458,102 | 7,893,069 | ||||||||||
Series 2004-CB3, Class 2A, 6.500%, 10/25/2034 | 3,878,167 | 4,135,712 | ||||||||||
Series 2004-AR14, Class A1, 3.359%, 01/25/2035(4) | 11,104,194 | 11,343,737 | ||||||||||
Wells Fargo Mortgage Backed Securities Trust, | ||||||||||||
Series 2005-AR10, Class 2A17, 3.473%, 06/25/2035(4) | 17,734,293 | 18,172,421 | ||||||||||
605,920,678 | 4.2 | % | ||||||||||
3,682,429,696 | 25.6 | % | ||||||||||
Commercial Mortgage-Backed Securities | ||||||||||||
U.S. Government Agency Issues | ||||||||||||
Fannie Mae REMIC Trust: | ||||||||||||
Series 2011-M4, Class A2, 3.726%, 06/25/2021 | 22,400,000 | 23,287,690 | ||||||||||
Series 2014-M2, Class A2, 3.513%, 12/25/2023(4) | 11,095,000 | 11,614,266 | ||||||||||
Federal Home Loan Mortgage Corp. (FHLMC), | ||||||||||||
Series K037, Class A2, 3.490%, 01/25/2024 | 61,625,000 | 64,698,615 | ||||||||||
Freddie Mac Multifamily Structured Pass Through Certificates: | ||||||||||||
Series K004, Class A2, 4.186%, 08/25/2019 | 6,200,000 | 6,376,035 | ||||||||||
Series K714, Class A2, 3.034%, 10/25/2020(4) | 34,345,000 | 34,952,755 | ||||||||||
Series K720, Class A2, 2.716%, 06/25/2022 | 17,950,000 | 18,153,108 | ||||||||||
Series K721, Class A2, 3.090%, 08/25/2022(4) | 25,545,000 | 26,227,897 | ||||||||||
Series K028, Class A2, 3.111%, 02/25/2023 | 47,010,000 | 48,427,417 | ||||||||||
Series K029, Class A2, 3.320%, 02/25/2023(4) | 27,398,000 | 28,487,501 | ||||||||||
Series K050, Class A2, 3.334%, 08/25/2025(4) | 72,374,000 | 75,276,921 | ||||||||||
Series K064, Class A2, 3.224%, 03/25/2027(4) | 33,820,000 | 34,851,405 | ||||||||||
Series K071, Class A2, 3.286%, 11/25/2050 | 23,025,000 | 23,785,378 | ||||||||||
396,138,988 | 2.7 | % | ||||||||||
Non-U.S. Government Agency Issues | ||||||||||||
BANK, | ||||||||||||
Series 2017-BNK4, Class A4, 3.625%, 05/15/2050 | 26,535,000 | 27,597,719 | ||||||||||
CD Mortgage Trust, | ||||||||||||
Series 2016-CD1, Class A4, 2.724%, 08/10/2049 | 32,785,000 | 31,862,204 | ||||||||||
Citigroup Commercial Mortgage Trust: | ||||||||||||
Series 2013-GC11, Class A4, 3.093%, 04/10/2046 | 34,503,388 | 34,998,746 | ||||||||||
Series 2014-GC19, Class A3, 3.753%, 03/10/2047 | 11,475,000 | 12,018,414 | ||||||||||
COMM Mortgage Trust: | ||||||||||||
Series 2012-CR1, Class A3, 3.391%, 05/15/2045 | 7,397,167 | 7,577,749 | ||||||||||
Series 2013-CR9, Class A3, 4.022%, 07/10/2045 | 25,725,000 | 27,159,483 | ||||||||||
Series 2012-CR2, Class A4, 3.147%, 08/15/2045 | 19,660,536 | 19,959,724 | ||||||||||
Series 2013-CR10, Class A3, 3.923%, 08/10/2046 | 23,175,000 | 24,404,306 | ||||||||||
DBJPM Mortgage Trust, | ||||||||||||
Series 2016-C3, Class ASB, 2.756%, 09/10/2049 | 10,360,000 | 10,260,827 | ||||||||||
GS Mortgage Securities Trust: | ||||||||||||
Series 2012-GCJ9, Class A3, 2.773%, 11/10/2045 | 36,918,489 | 36,991,572 | ||||||||||
Series 2013-GC14, Class A5, 4.243%, 08/10/2046 | 25,000,000 | 26,776,363 | ||||||||||
J.P. Morgan Chase Commercial Mortgage Securities Trust: | ||||||||||||
Series 2013-LC11, Class A5, 2.960%, 04/15/2046 | 16,702,913 | 16,862,636 | ||||||||||
Series 2013-C10, Class ASB, 2.702%, 12/15/2047 | 9,845,006 | 9,891,807 | ||||||||||
Series 2012-LC9, Class A5, 2.840%, 12/15/2047 | 14,450,059 | 14,527,478 | ||||||||||
JPMBB Commercial Mortgage Securities Trust: | ||||||||||||
Series 2013-C12, Class ASB, 3.157%, 07/15/2045 | 4,500,000 | 4,569,945 | ||||||||||
Series 2013-C12, Class A5, 3.664%, 07/15/2045 | 6,835,000 | 7,135,507 | ||||||||||
Series 2013-C15, Class A4, 4.096%, 11/15/2045 | 2,130,000 | 2,268,146 | ||||||||||
Series 2013-C17, Class A3, 3.928%, 01/15/2047 | 8,450,000 | 8,862,829 | ||||||||||
Series 2013-C17, Class A4, 4.199%, 01/15/2047 | 10,000,000 | 10,709,283 | ||||||||||
Series 2014-C24, Class ASB, 3.368%, 11/15/2047 | 10,000,000 | 10,264,976 | ||||||||||
Series 2014-C25, Class ASB, 3.407%, 11/15/2047 | 8,538,000 | 8,782,513 | ||||||||||
Morgan Stanley Bank of America Merrill Lynch Trust: | ||||||||||||
Series 2012-C5, Class A4, 3.176%, 08/15/2045 | 37,550,000 | 38,255,812 | ||||||||||
Series 2012-C6, Class A4, 2.858%, 11/15/2045 | 25,685,945 | 25,800,751 | ||||||||||
Series 2013-C10, Class A3, 3.967%, 07/15/2046(4)(8) | 6,800,000 | 7,184,433 | ||||||||||
Series 2013-C12, Class A3, 3.973%, 10/15/2046 | 22,850,000 | 24,114,818 | ||||||||||
Series 2016-C29, Class ASB, 3.140%, 05/15/2049 | 12,250,000 | 12,476,183 | ||||||||||
Wells Fargo Commercial Mortgage Trust: | ||||||||||||
Series 2015-C27, Class ASB, 3.278%, 02/15/2048 | 18,000,000 | 18,403,119 | ||||||||||
Series 2015-SG1, Class ASB, 3.556%, 09/15/2048 | 18,900,000 | 19,547,820 | ||||||||||
Series 2015-P2, Class A3, 3.541%, 12/15/2048 | 44,050,000 | 45,598,375 | ||||||||||
WFRBS Commercial Mortgage Trust: | ||||||||||||
Series 2012-C6, Class A4, 3.440%, 04/15/2045 | 26,735,220 | 27,476,764 | ||||||||||
Series 2013-C13, Class ASB, 2.654%, 05/15/2045 | 7,450,000 | 7,479,888 | ||||||||||
Series 2013-C18, Class A4, 3.896%, 12/15/2046 | 12,900,000 | 13,608,360 | ||||||||||
Series 2014-C21, Class A5, 3.678%, 08/15/2047 | 21,344,000 | 22,225,434 | ||||||||||
Series 2014-C24, Class A4, 3.343%, 11/15/2047 | 10,330,000 | 10,544,008 | ||||||||||
Series 2014-C23, Class ASB, 3.636%, 10/15/2057 | 6,920,000 | 7,185,925 | ||||||||||
633,383,917 | 4.5 | % | ||||||||||
1,029,522,905 | 7.2 | % | ||||||||||
Other Asset Backed Securities | ||||||||||||
Capital One Multi-Asset Execution Trust, | ||||||||||||
Series 2016-A4, Class A4, 1.330%, 06/15/2022 | 47,425,000 | 46,836,138 | ||||||||||
Chase Issuance Trust, | ||||||||||||
Series 2016-A5, Class A5, 1.270%, 07/15/2021 | 40,100,000 | 39,628,171 | ||||||||||
Citibank Credit Card Issuance Trust, | ||||||||||||
Series 2007-A3, Class A3, 6.150%, 06/15/2039 | 8,166,000 | 10,917,405 | ||||||||||
Conseco Financial Corp.: | ||||||||||||
Series 1993-3, Class A7, 6.400%, 10/15/2018 | 5,622 | 5,623 | ||||||||||
Series 1998-2, Class A5, 6.240%, 12/01/2028 | 237,466 | 244,151 | ||||||||||
Series 1998-3, Class A5, 6.220%, 03/01/2030 | 317,170 | 337,004 | ||||||||||
Series 1998-4, Class A5, 6.180%, 04/01/2030 | 1,874,591 | 1,969,381 | ||||||||||
Series 1998-7, Class A1, 6.320%, 07/01/2030 | 15,908,435 | 16,650,071 | ||||||||||
Discover Card Execution Note Trust, | ||||||||||||
Series 2016-A4, Class A4, 1.390%, 03/15/2022 | 50,225,000 | 49,608,438 | ||||||||||
Ford Credit Auto Owner Trust: | ||||||||||||
Series 2014-2, Class A, 2.310%, 04/15/2026(2) | 27,030,000 | 27,069,831 | ||||||||||
Series 2015-1, Class A, 2.120%, 07/15/2026(2) | 9,540,000 | 9,520,546 | ||||||||||
Series 2016-1, Class A, 2.310%, 08/15/2027(2) | 28,325,000 | 28,231,100 | ||||||||||
Series 2016-2, Class A, 2.030%, 12/15/2027(2) | 21,720,000 | 21,406,266 | ||||||||||
Kubota Credit Owner Trust, | ||||||||||||
Series 2016-1A, Class A3, 1.500%, 07/15/2020(2) | 12,175,000 | 12,086,340 | ||||||||||
MMAF Equipment Finance LLC, | ||||||||||||
Series 2016-AA, Class A5, 2.210%, 12/15/2032(2) | 14,100,000 | 13,820,678 | ||||||||||
Oakwood Mortgage Investors, Inc., | ||||||||||||
6.450%, 12/15/2023 | 21,850 | 22,108 | ||||||||||
OneMain Financial Issuance Trust, | ||||||||||||
Series 2014-2A, Class A, 2.470%, 09/18/2024(2) | 358,258 | 358,321 | ||||||||||
PFS Financing Corp., | ||||||||||||
Series 2017-D, Class A, 2.400%, 10/17/2022(2) | 15,675,000 | 15,607,430 | ||||||||||
Sofi Consumer Loan Program, | ||||||||||||
Series 2017-6, Class A2, 2.820%, 11/25/2026(2)(8) | 10,000,000 | 9,992,292 | ||||||||||
SpareBank 1 Boligkreditt AS, | ||||||||||||
1.750%, 11/15/2019(1)(2) | 4,463,000 | 4,390,440 | ||||||||||
Synchrony Credit Card Master Note Trust: | ||||||||||||
Series 2015-1, Class A, 2.370%, 03/15/2023 | 20,883,000 | 20,947,512 | ||||||||||
Series 2016-2, Class A, 2.210%, 05/15/2024 | 8,900,000 | 8,847,334 | ||||||||||
Verizon Owner Trust: | ||||||||||||
Series 2016-2A, Class A, 1.680%, 05/20/2021(2) | 51,650,000 | 51,296,657 | ||||||||||
Series 2017-2A, Class A, 1.920%, 12/20/2021(2) | 3,825,000 | 3,799,625 | ||||||||||
393,592,862 | 2.8 | % | ||||||||||
Total Long-Term Investments (Cost $14,050,305,521) | 14,166,645,569 | 98.3 | % | |||||||||
SHORT-TERM INVESTMENT | Shares | |||||||||||
Money Market Mutual Fund | ||||||||||||
Fidelity Institutional Money Market Fund - Government Portfolio, Institutional Class, 1.19%(5) | 295,416,438 | 295,416,438 | ||||||||||
Total Short-Term Investment (Cost $295,416,438) | 295,416,438 | 2.1 | % | |||||||||
Total Investments (Cost $14,345,721,959) | 14,462,062,007 | 100.4 | % | |||||||||
Liabilities in Excess of Other Assets | (53,851,136 | ) | (0.4 | )% | ||||||||
TOTAL NET ASSETS | $ | 14,408,210,871 | 100.0 | % |
Notes to Schedule of Investments | ||||||||
(1) | Foreign Security. | |||||||
(2) | 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, 2017, the value of these securities total $2,305,671,516, which represents 16.00% of total net assets. | |||||||
(3) | Variable rate security based on a reference index and spread. The rate reported is the rate in effect as of December 31, 2017. | |||||||
(4) | Variable rate security. The coupon is based on an underlying pool of loans. The rate reported is the rate in effect as of December 31, 2017. | |||||||
(5) | 7-Day Yield. | |||||||
(6) | Step-up bond; the interest rate shown is the rate in effect as of December 31, 2017. | |||||||
(7) | Security in default. | |||||||
(8) | Security that, on the last payment date, missed a partial principal or interest payment. |
Baird Aggregate Bond Fund | ||||||||
Schedule of Investments, December 31, 2017 | ||||||||
Summary of Fair Value Exposure at December 31, 2017 | ||||||||
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, 2017: |
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Long-Term Investments | ||||||||||||||||
U.S. Treasury Securities | $ | – | $ | 2,684,270,344 | $ | – | $ | 2,684,270,344 | ||||||||
Other Government Related Securities | – | 146,015,530 | – | 146,015,530 | ||||||||||||
Corporate Bonds | – | 6,054,992,795 | – | 6,054,992,795 | ||||||||||||
Taxable Municipal Bonds | – | 175,821,437 | – | 175,821,437 | ||||||||||||
Residential Mortgage-Backed Securities - U.S. Government Agency Issues | – | 3,076,509,018 | – | 3,076,509,018 | ||||||||||||
Residential Mortgage-Backed Securities - Non-U.S. Government Agency Issues | – | 605,920,678 | – | 605,920,678 | ||||||||||||
Commercial Mortgage-Backed Securities - U.S. Government Agency Issues | – | 396,138,988 | – | 396,138,988 | ||||||||||||
Commercial Mortgage-Backed Securities - Non-U.S. Government Agency Issues | – | 633,383,917 | – | 633,383,917 | ||||||||||||
Other Asset Backed Securities | – | 393,592,862 | – | 393,592,862 | ||||||||||||
Total Long-Term Investments | – | 14,166,645,569 | – | 14,166,645,569 | ||||||||||||
Short-Term Investment | ||||||||||||||||
Money Market Mutual Fund | 295,416,438 | – | – | 295,416,438 | ||||||||||||
Total Short-Term Investment | 295,416,438 | – | – | 295,416,438 | ||||||||||||
Total Investments | $ | 295,416,438 | $ | 14,166,645,569 | $ | – | $ | 14,462,062,007 |
Changes in valuation techniques may result in transfers into or out of assigned levels within the fair value hierarchy. Transfers between levels are recognized at the end of the reporting period. 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. |
Baird Core Plus Bond Fund | ||||||||||||
Schedule of Investments | ||||||||||||
December 31, 2017 | ||||||||||||
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
LONG-TERM INVESTMENTS | ||||||||||||
U.S. Treasury Securities | ||||||||||||
U.S. Treasury Bonds: | ||||||||||||
1.750%, 03/31/2022 | $ | 392,675,000 | $ | 386,232,676 | ||||||||
1.875%, 03/31/2022 | 428,975,000 | 424,132,275 | ||||||||||
2.500%, 05/15/2024 | 112,950,000 | 114,225,099 | ||||||||||
2.250%, 11/15/2025 | 54,875,000 | 54,392,700 | ||||||||||
2.000%, 11/15/2026 | 194,050,000 | 187,796,436 | ||||||||||
3.500%, 02/15/2039 | 416,670,000 | 475,898,991 | ||||||||||
2.875%, 05/15/2043 | 610,850,000 | 628,101,742 | ||||||||||
2.500%, 02/15/2045 | 64,575,000 | 61,560,659 | ||||||||||
2,332,340,578 | 14.3 | % | ||||||||||
Other Government Related Securities | ||||||||||||
Centrais Eletricas Brasileiras SA: | ||||||||||||
6.875%, 07/30/2019(1)(2) | 3,000,000 | 3,138,000 | ||||||||||
5.750%, 10/27/2021(1)(2) | 4,000,000 | 4,118,000 | ||||||||||
CNOOC Curtis Funding No. 1 Pty Ltd., | ||||||||||||
4.500%, 10/03/2023(1)(2) | 5,000,000 | 5,322,050 | ||||||||||
CNOOC Finance (2013) Ltd., | ||||||||||||
3.000%, 05/09/2023(1) | 2,415,000 | 2,388,070 | ||||||||||
CNOOC Finance (2015) USA LLC, | ||||||||||||
3.500%, 05/05/2025 | 21,075,000 | 21,241,640 | ||||||||||
CNOOC Nexen Finance (2014) ULC, | ||||||||||||
4.250%, 04/30/2024(1) | 4,450,000 | 4,691,297 | ||||||||||
CNPC General Capital Ltd., | ||||||||||||
2.750%, 05/14/2019(1)(2) | 2,000,000 | 2,003,591 | ||||||||||
Comision Federal de Electricidad, | ||||||||||||
5.750%, 02/14/2042(1)(2) | 5,200,000 | 5,492,500 | ||||||||||
Corp Andina de Fomento, | ||||||||||||
4.375%, 06/15/2022(1) | 3,956,000 | 4,214,683 | ||||||||||
Electricite de France SA, | ||||||||||||
4.750%, 10/13/2035(1)(2) | 10,000,000 | 11,042,446 | ||||||||||
Export-Import Bank of Korea: | ||||||||||||
2.250%, 01/21/2020(1) | 14,000,000 | 13,852,650 | ||||||||||
4.000%, 01/29/2021(1) | 2,400,000 | 2,471,081 | ||||||||||
The Korea Development Bank: | ||||||||||||
2.250%, 05/18/2020(1) | 7,200,000 | 7,095,106 | ||||||||||
3.000%, 09/14/2022(1) | 4,400,000 | 4,390,570 | ||||||||||
Korea Electric Power Corp., | ||||||||||||
6.750%, 08/01/2027(1) | 490,000 | 628,733 | ||||||||||
Nexen Energy ULC, | ||||||||||||
7.500%, 07/30/2039(1) | 6,175,000 | 9,122,550 | ||||||||||
Petrobras Global Finance BV: | ||||||||||||
5.299%, 01/27/2025(1)(2) | 3,400,000 | 3,410,200 | ||||||||||
7.375%, 01/17/2027(1) | 9,300,000 | 10,239,300 | ||||||||||
Petroleos Mexicanos: | ||||||||||||
4.875%, 01/24/2022(1) | 6,500,000 | 6,774,625 | ||||||||||
4.250%, 01/15/2025(1) | 15,000,000 | 14,910,000 | ||||||||||
4.500%, 01/23/2026(1) | 4,500,000 | 4,491,900 | ||||||||||
6.500%, 06/02/2041(1) | 4,000,000 | 4,114,000 | ||||||||||
Sinopec Group Overseas Development [2014] Ltd., | ||||||||||||
4.375%, 04/10/2024(1)(2) | 1,500,000 | 1,591,221 | ||||||||||
Sinopec Group Overseas Development [2015] Ltd.: | ||||||||||||
2.500%, 04/28/2020(1)(2) | 20,000,000 | 19,894,530 | ||||||||||
3.250%, 04/28/2025(1)(2) | 20,000,000 | 19,859,144 | ||||||||||
Sinopec Group Overseas Development [2016] Ltd.: | ||||||||||||
1.750%, 09/29/2019(1)(2) | 8,000,000 | 7,870,360 | ||||||||||
3.500%, 05/03/2026(1)(2) | 10,000,000 | 10,065,780 | ||||||||||
Sinopec Group Overseas Development [2017] Ltd, | ||||||||||||
3.000%, 04/12/2022(1)(2) | 6,950,000 | 6,939,506 | ||||||||||
211,373,533 | 1.3 | % | ||||||||||
Corporate Bonds | ||||||||||||
Industrials | ||||||||||||
21st Century Fox America, Inc.: | ||||||||||||
6.900%, 03/01/2019 | 6,659,000 | 7,008,804 | ||||||||||
3.700%, 09/15/2024 | 4,025,000 | 4,186,285 | ||||||||||
7.430%, 10/01/2026 | 3,300,000 | 4,271,426 | ||||||||||
6.150%, 03/01/2037 | 9,000,000 | 11,786,787 | ||||||||||
5.400%, 10/01/2043 | 5,000,000 | 6,184,237 | ||||||||||
4.750%, 09/15/2044 | 1,950,000 | 2,230,621 | ||||||||||
A.P. Meoller - Maersk A/S: | ||||||||||||
2.550%, 09/22/2019(1)(2) | 10,000,000 | 10,007,903 | ||||||||||
3.750%, 09/22/2024(1)(2) | 4,475,000 | 4,488,410 | ||||||||||
Abbott Laboratories: | ||||||||||||
3.400%, 11/30/2023 | 10,000,000 | 10,173,020 | ||||||||||
4.750%, 11/30/2036 | 38,500,000 | 43,258,636 | ||||||||||
AbbVie, Inc.: | ||||||||||||
2.000%, 11/06/2018 | 10,835,000 | 10,830,461 | ||||||||||
3.200%, 11/06/2022 | 3,000,000 | 3,046,349 | ||||||||||
3.600%, 05/14/2025 | 2,500,000 | 2,570,189 | ||||||||||
4.300%, 05/14/2036 | 3,825,000 | 4,098,596 | ||||||||||
Actavis Funding SCS: | ||||||||||||
3.850%, 06/15/2024(1) | 125,000 | 128,093 | ||||||||||
4.550%, 03/15/2035(1) | 14,098,000 | 14,918,028 | ||||||||||
Acuity Brands Lighting, Inc., | ||||||||||||
6.000%, 12/15/2019 | 700,000 | 744,494 | ||||||||||
The ADT Corp., | ||||||||||||
3.500%, 07/15/2022 | 6,900,000 | 6,796,500 | ||||||||||
Agilent Technologies, Inc., | ||||||||||||
3.875%, 07/15/2023 | 5,325,000 | 5,515,243 | ||||||||||
Agrium, Inc., | ||||||||||||
4.125%, 03/15/2035(1) | 6,550,000 | 6,766,738 | ||||||||||
Alibaba Group Holding Ltd., | ||||||||||||
3.125%, 11/28/2021(1) | 10,000,000 | 10,130,481 | ||||||||||
Allegion US Holding Co., Inc., | ||||||||||||
3.200%, 10/01/2024 | 8,325,000 | 8,227,181 | ||||||||||
Ameritech Capital Funding Corp., | ||||||||||||
6.450%, 01/15/2018 | 3,175,000 | 3,179,944 | ||||||||||
Amgen, Inc., | ||||||||||||
4.400%, 05/01/2045 | 8,000,000 | 8,704,309 | ||||||||||
Anadarko Petroleum Corp.: | ||||||||||||
8.700%, 03/15/2019 | 4,380,000 | 4,696,151 | ||||||||||
6.450%, 09/15/2036 | 4,025,000 | 4,929,867 | ||||||||||
Andeavor Logistics LP / Tesoro Logistics Finance Corp., | ||||||||||||
3.500%, 12/01/2022 | 8,600,000 | 8,583,684 | ||||||||||
Anglo American Capital PLC: | ||||||||||||
9.375%, 04/08/2019(1)(2) | 5,600,000 | 6,072,271 | ||||||||||
3.750%, 04/10/2022(1)(2) | 7,000,000 | 7,113,120 | ||||||||||
3.625%, 09/11/2024(1)(2) | 4,325,000 | 4,304,283 | ||||||||||
Anheuser-Busch InBev Finance, Inc., | ||||||||||||
3.300%, 02/01/2023 | 20,350,000 | 20,824,018 | ||||||||||
ANR Pipeline Co., | ||||||||||||
9.625%, 11/01/2021 | 9,150,000 | 11,359,067 | ||||||||||
ArcelorMittal: | ||||||||||||
6.000%, 03/01/2021(1) | 7,950,000 | 8,586,000 | ||||||||||
6.750%, 02/25/2022(1) | 4,500,000 | 5,006,250 | ||||||||||
Arrow Electronics, Inc., | ||||||||||||
3.250%, 09/08/2024 | 15,000,000 | 14,698,267 | ||||||||||
AT&T, Inc.: | ||||||||||||
3.950%, 01/15/2025 | 4,425,000 | 4,530,599 | ||||||||||
3.400%, 05/15/2025 | 20,225,000 | 19,884,217 | ||||||||||
4.125%, 02/17/2026 | 8,925,000 | 9,128,988 | ||||||||||
3.900%, 08/14/2027 | 4,000,000 | 4,026,727 | ||||||||||
4.300%, 02/15/2030(2) | 10,980,000 | 10,949,309 | ||||||||||
5.250%, 03/01/2037 | 7,125,000 | 7,535,570 | ||||||||||
5.150%, 11/15/2046(2) | 10,221,000 | 10,446,193 | ||||||||||
4.500%, 03/09/2048 | 15,264,000 | 14,302,078 | ||||||||||
5.150%, 02/14/2050 | 9,650,000 | 9,770,280 | ||||||||||
Avnet, Inc., | ||||||||||||
3.750%, 12/01/2021 | 5,000,000 | 5,071,920 | ||||||||||
Ball Corp., | ||||||||||||
5.250%, 07/01/2025 | 25,000,000 | 27,187,500 | ||||||||||
Bayer US Finance LLC, | ||||||||||||
2.375%, 10/08/2019(2) | 14,725,000 | 14,733,175 | ||||||||||
Beam Suntory, Inc.: | ||||||||||||
3.250%, 05/15/2022 | 7,000,000 | 7,109,039 | ||||||||||
3.250%, 06/15/2023 | 10,960,000 | 10,998,590 | ||||||||||
Becton Dickinson and Co.: | ||||||||||||
3.250%, 11/12/2020 | 13,000,000 | 13,186,492 | ||||||||||
3.363%, 06/06/2024 | 10,000,000 | 10,027,937 | ||||||||||
3.734%, 12/15/2024 | 9,250,000 | 9,473,815 | ||||||||||
4.875%, 05/15/2044 | 4,000,000 | 4,274,835 | ||||||||||
Bemis Co., Inc., | ||||||||||||
4.500%, 10/15/2021 | 1,000,000 | 1,055,209 | ||||||||||
Boardwalk Pipelines LP: | ||||||||||||
4.950%, 12/15/2024 | 15,475,000 | 16,578,237 | ||||||||||
5.950%, 06/01/2026 | 26,406,000 | 29,454,592 | ||||||||||
Boral Finance Pty Ltd.: | ||||||||||||
3.000%, 11/01/2022(1)(2) | 8,650,000 | 8,574,319 | ||||||||||
3.750%, 05/01/2028(1)(2) | 5,550,000 | 5,591,132 | ||||||||||
Boston Scientific Corp., | ||||||||||||
2.650%, 10/01/2018 | 10,000,000 | 10,039,465 | ||||||||||
BP Capital Markets PLC: | ||||||||||||
2.305%, 09/26/2018 (3 Month LIBOR USD + 0.630%)(1)(3) | 5,000,000 | 5,018,646 | ||||||||||
4.750%, 03/10/2019(1) | 1,500,000 | 1,546,559 | ||||||||||
Broadcom Corp. / Broadcom Cayman Finance Ltd., | ||||||||||||
3.125%, 01/15/2025(2) | 13,250,000 | 12,666,534 | ||||||||||
Broadridge Financial Solutions, Inc., | ||||||||||||
3.400%, 06/27/2026 | 18,286,000 | 18,136,359 | ||||||||||
Browning-Ferris Industries, Inc., | ||||||||||||
9.250%, 05/01/2021 | 1,600,000 | 1,873,699 | ||||||||||
Bunge Limited Finance Corp.: | ||||||||||||
8.500%, 06/15/2019 | 13,690,000 | 14,830,047 | ||||||||||
3.250%, 08/15/2026 | 13,188,000 | 12,603,366 | ||||||||||
3.750%, 09/25/2027 | 22,800,000 | 22,471,205 | ||||||||||
Burlington Northern Santa Fe LLC, | ||||||||||||
4.150%, 04/01/2045 | 3,100,000 | 3,368,748 | ||||||||||
Carlisle Cos, Inc., | ||||||||||||
3.750%, 12/01/2027 | 4,600,000 | 4,647,781 | ||||||||||
Celgene Corp., | ||||||||||||
3.550%, 08/15/2022 | 5,730,000 | 5,902,068 | ||||||||||
CF Industries, Inc.: | ||||||||||||
3.450%, 06/01/2023 | 24,874,000 | 24,531,982 | ||||||||||
5.375%, 03/15/2044 | 10,922,000 | 10,785,475 | ||||||||||
Charter Communications Operating LLC, | ||||||||||||
4.464%, 07/23/2022 | 33,748,000 | 35,210,946 | ||||||||||
Charter Communications Operating LLC / Charter Communications Operating Capital, | ||||||||||||
6.384%, 10/23/2035 | 6,000,000 | 7,005,751 | ||||||||||
CK Hutchison International Ltd.: | ||||||||||||
2.250%, 09/29/2020(1)(2) | 17,600,000 | 17,428,739 | ||||||||||
2.875%, 04/05/2022(1)(2) | 7,475,000 | 7,447,444 | ||||||||||
CNH Industrial NV, | ||||||||||||
4.500%, 08/15/2023(1) | 6,168,000 | 6,415,830 | ||||||||||
Columbia Pipeline Group, Inc.: | ||||||||||||
3.300%, 06/01/2020 | 9,943,000 | 10,085,016 | ||||||||||
4.500%, 06/01/2025 | 14,010,000 | 14,917,018 | ||||||||||
5.800%, 06/01/2045 | 2,223,000 | 2,774,712 | ||||||||||
Comcast Cable Communications Holdings, Inc., | ||||||||||||
9.455%, 11/15/2022 | 2,030,000 | 2,652,353 | ||||||||||
Comcast Corp.: | ||||||||||||
4.250%, 01/15/2033 | 5,900,000 | 6,430,795 | ||||||||||
4.400%, 08/15/2035 | 13,450,000 | 14,704,810 | ||||||||||
3.200%, 07/15/2036 | 15,000,000 | 14,263,755 | ||||||||||
4.650%, 07/15/2042 | 2,000,000 | 2,251,277 | ||||||||||
ConocoPhillips Canada Funding Co. I, | ||||||||||||
5.950%, 10/15/2036(1) | 845,000 | 1,071,249 | ||||||||||
Constellation Brands, Inc., | ||||||||||||
4.750%, 12/01/2025 | 1,000,000 | 1,098,653 | ||||||||||
Continental Airlines Pass Through Trust, | ||||||||||||
6.900%, 01/02/2018 | 2,114 | 2,114 | ||||||||||
Corning, Inc., | ||||||||||||
4.375%, 11/15/2057 | 10,000,000 | 9,927,029 | ||||||||||
Cox Communications, Inc.: | ||||||||||||
2.950%, 06/30/2023(2) | 5,475,000 | 5,397,153 | ||||||||||
3.850%, 02/01/2025(2) | 4,625,000 | 4,732,778 | ||||||||||
3.350%, 09/15/2026(2) | 15,000,000 | 14,658,667 | ||||||||||
4.800%, 02/01/2035(2) | 4,450,000 | 4,534,800 | ||||||||||
6.450%, 12/01/2036(2) | 5,550,000 | 6,523,833 | ||||||||||
8.375%, 03/01/2039(2) | 11,639,000 | 16,376,865 | ||||||||||
4.700%, 12/15/2042(2) | 5,000,000 | 4,829,912 | ||||||||||
CSX Corp., | ||||||||||||
6.220%, 04/30/2040 | 350,000 | 465,772 | ||||||||||
CVS Health Corp., | ||||||||||||
3.875%, 07/20/2025 | 2,302,000 | 2,370,758 | ||||||||||
Danone SA: | ||||||||||||
3.000%, 06/15/2022(1)(2) | 3,500,000 | 3,522,975 | ||||||||||
2.589%, 11/02/2023(1)(2) | 10,000,000 | 9,752,066 | ||||||||||
DCP Midstream LLC: | ||||||||||||
9.750%, 03/15/2019(2) | 10,505,000 | 11,358,531 | ||||||||||
4.750%, 09/30/2021(2) | 2,245,000 | 2,317,963 | ||||||||||
Deutsche Telekom International Finance BV: | ||||||||||||
6.750%, 08/20/2018(1) | 1,250,000 | 1,286,508 | ||||||||||
8.750%, 06/15/2030(1) | 925,000 | 1,368,621 | ||||||||||
Devon Financing Corp. LLC, | ||||||||||||
7.875%, 09/30/2031 | 5,000,000 | 6,864,024 | ||||||||||
Diamond 1 Finance Corp. / Diamond 2 Finance Corp.: | ||||||||||||
3.480%, 06/01/2019(2) | 13,685,000 | 13,856,438 | ||||||||||
4.420%, 06/15/2021(2) | 39,125,000 | 40,769,001 | ||||||||||
5.450%, 06/15/2023(2) | 8,000,000 | 8,645,112 | ||||||||||
DISH DBS Corp., | ||||||||||||
5.000%, 03/15/2023 | 2,500,000 | 2,362,500 | ||||||||||
Dollar General Corp., | ||||||||||||
1.875%, 04/15/2018 | 2,100,000 | 2,098,785 | ||||||||||
Dominion Gas Holdings LLC, | ||||||||||||
3.600%, 12/15/2024 | 6,100,000 | 6,223,547 | ||||||||||
The Dow Chemical Co.: | ||||||||||||
8.550%, 05/15/2019 | 32,350,000 | 35,040,869 | ||||||||||
4.125%, 11/15/2021 | 835,000 | 875,524 | ||||||||||
DXC Technology Co.: | ||||||||||||
2.431%, 03/01/2021 (3 Month LIBOR USD + 0.950%)(3) | 12,000,000 | 12,029,366 | ||||||||||
4.450%, 09/18/2022 | 2,000,000 | 2,104,925 | ||||||||||
4.250%, 04/15/2024 | 37,639,000 | 39,206,340 | ||||||||||
4.750%, 04/15/2027 | 15,000,000 | 15,951,181 | ||||||||||
Eaton Corp.: | ||||||||||||
2.750%, 11/02/2022 | 2,500,000 | 2,507,312 | ||||||||||
4.000%, 11/02/2032 | 3,660,000 | 3,779,178 | ||||||||||
Ecolab, Inc., | ||||||||||||
3.250%, 01/14/2023 | 6,325,000 | 6,467,042 | ||||||||||
El du Pont de Nemours & Co., | ||||||||||||
2.200%, 05/01/2020 | 7,700,000 | 7,693,213 | ||||||||||
EMC Corp., | ||||||||||||
2.650%, 06/01/2020 | 200,000 | 197,466 | ||||||||||
Enable Midstream Partners LP, | ||||||||||||
4.400%, 03/15/2027 | 15,000,000 | 15,252,992 | ||||||||||
Enable Oklahoma Intrastate Transmission LLC, | ||||||||||||
6.250%, 03/15/2020(2) | 3,190,000 | 3,351,412 | ||||||||||
Enbridge Energy Partners LP, | ||||||||||||
7.375%, 10/15/2045 | 15,000,000 | 19,931,461 | ||||||||||
Enbridge, Inc., | ||||||||||||
5.500%, 12/01/2046(1) | 5,000,000 | 6,012,296 | ||||||||||
Encana Corp., | ||||||||||||
6.500%, 05/15/2019(1) | 610,000 | 640,954 | ||||||||||
Energy Transfer Equity LP, | ||||||||||||
4.250%, 03/15/2023 | 10,000,000 | 9,925,000 | ||||||||||
Energy Transfer Partners LP: | ||||||||||||
2.500%, 06/15/2018 | 5,700,000 | 5,708,497 | ||||||||||
9.700%, 03/15/2019 | 1,189,000 | 1,286,843 | ||||||||||
4.150%, 10/01/2020 | 13,475,000 | 13,914,909 | ||||||||||
5.200%, 02/01/2022 | 1,000,000 | 1,067,633 | ||||||||||
3.600%, 02/01/2023 | 5,000,000 | 5,005,265 | ||||||||||
4.050%, 03/15/2025 | 6,204,000 | 6,199,361 | ||||||||||
4.200%, 04/15/2027 | 8,275,000 | 8,231,987 | ||||||||||
6.500%, 02/01/2042 | 14,000,000 | 15,852,413 | ||||||||||
5.150%, 03/15/2045 | 5,000,000 | 4,861,734 | ||||||||||
EnLink Midstream Partners LP, | ||||||||||||
4.400%, 04/01/2024 | 23,605,000 | 24,381,570 | ||||||||||
Ensco PLC, | ||||||||||||
5.200%, 03/15/2025(1) | 6,000,000 | 5,100,000 | ||||||||||
Enterprise Products Operating LLC: | ||||||||||||
2.850%, 04/15/2021 | 10,000,000 | 10,083,416 | ||||||||||
3.350%, 03/15/2023 | 10,000,000 | 10,197,092 | ||||||||||
3.750%, 02/15/2025 | 7,000,000 | 7,217,671 | ||||||||||
EQT Midstream Partners LP, | ||||||||||||
4.125%, 12/01/2026 | 14,750,000 | 14,688,299 | ||||||||||
ERAC USA Finance LLC: | ||||||||||||
2.350%, 10/15/2019(2) | 5,385,000 | 5,369,633 | ||||||||||
2.600%, 12/01/2021(2) | 10,275,000 | 10,143,449 | ||||||||||
Express Scripts Holding Co.: | ||||||||||||
4.750%, 11/15/2021 | 14,700,000 | 15,661,804 | ||||||||||
3.050%, 11/30/2022 | 15,000,000 | 14,974,516 | ||||||||||
3.500%, 06/15/2024 | 7,500,000 | 7,566,338 | ||||||||||
FedEx Corp.: | ||||||||||||
8.000%, 01/15/2019 | 6,100,000 | 6,456,094 | ||||||||||
3.900%, 02/01/2035 | 7,000,000 | 7,111,194 | ||||||||||
Fidelity National Information Services, Inc.: | ||||||||||||
3.625%, 10/15/2020 | 2,789,000 | 2,865,623 | ||||||||||
4.500%, 10/15/2022 | 1,529,000 | 1,636,685 | ||||||||||
3.500%, 04/15/2023 | 3,202,000 | 3,273,299 | ||||||||||
3.875%, 06/05/2024 | 6,367,000 | 6,646,172 | ||||||||||
3.000%, 08/15/2026 | 9,300,000 | 8,989,077 | ||||||||||
4.500%, 08/15/2046 | 6,650,000 | 6,931,812 | ||||||||||
Fiserv, Inc.: | ||||||||||||
4.625%, 10/01/2020 | 3,000,000 | 3,165,829 | ||||||||||
3.500%, 10/01/2022 | 11,500,000 | 11,836,465 | ||||||||||
3.850%, 06/01/2025 | 11,720,000 | 12,226,108 | ||||||||||
Florida Gas Transmission Co. LLC, | ||||||||||||
3.875%, 07/15/2022(2) | 3,000,000 | 3,106,508 | ||||||||||
Fomento Economico Mexicano SAB de CV: | ||||||||||||
2.875%, 05/10/2023(1) | 11,700,000 | 11,576,713 | ||||||||||
4.375%, 05/10/2043(1) | 4,000,000 | 4,212,515 | ||||||||||
Ford Motor Credit Co. LLC: | ||||||||||||
2.145%, 01/09/2018 | 5,375,000 | 5,375,108 | ||||||||||
2.551%, 10/05/2018 | 8,500,000 | 8,524,691 | ||||||||||
2.681%, 01/09/2020 | 5,000,000 | 5,012,062 | ||||||||||
3.200%, 01/15/2021 | 11,250,000 | 11,407,465 | ||||||||||
5.750%, 02/01/2021 | 13,000,000 | 14,113,904 | ||||||||||
3.336%, 03/18/2021 | 5,500,000 | 5,585,994 | ||||||||||
5.875%, 08/02/2021 | 8,975,000 | 9,855,500 | ||||||||||
2.979%, 08/03/2022 | 10,000,000 | 9,964,708 | ||||||||||
4.250%, 09/20/2022 | 4,459,000 | 4,675,667 | ||||||||||
Forest Laboratories, Inc., | ||||||||||||
5.000%, 12/15/2021(2) | 41,397,000 | 44,273,112 | ||||||||||
Freeport-McMoRan, Inc.: | ||||||||||||
3.100%, 03/15/2020 | 3,775,000 | 3,751,406 | ||||||||||
6.750%, 02/01/2022 | 2,649,000 | 2,741,715 | ||||||||||
3.550%, 03/01/2022 | 6,275,000 | 6,204,406 | ||||||||||
3.875%, 03/15/2023 | 8,000,000 | 7,960,000 | ||||||||||
Fresenius US Finance II, Inc., | ||||||||||||
4.500%, 01/15/2023(2) | 33,385,000 | 35,054,250 | ||||||||||
General Electric Co.: | ||||||||||||
2.200%, 01/09/2020 | 2,864,000 | 2,861,080 | ||||||||||
5.550%, 05/04/2020 | 1,199,000 | 1,283,257 | ||||||||||
4.375%, 09/16/2020 | 838,000 | 880,258 | ||||||||||
5.300%, 02/11/2021 | 859,000 | 927,541 | ||||||||||
4.650%, 10/17/2021 | 2,420,000 | 2,605,457 | ||||||||||
General Mills, Inc., | ||||||||||||
2.200%, 10/21/2019 | 12,000,000 | 11,996,963 | ||||||||||
General Motors Financial Co., Inc.: | ||||||||||||
2.400%, 05/09/2019 | 6,500,000 | 6,501,577 | ||||||||||
2.350%, 10/04/2019 | 2,700,000 | 2,692,062 | ||||||||||
2.450%, 11/06/2020 | 9,000,000 | 8,932,314 | ||||||||||
3.700%, 11/24/2020 | 1,509,000 | 1,549,113 | ||||||||||
4.200%, 03/01/2021 | 21,158,000 | 22,003,364 | ||||||||||
3.200%, 07/06/2021 | 25,600,000 | 25,849,881 | ||||||||||
4.375%, 09/25/2021 | 4,450,000 | 4,680,911 | ||||||||||
3.450%, 01/14/2022 | 5,200,000 | 5,270,174 | ||||||||||
3.150%, 06/30/2022 | 6,325,000 | 6,320,081 | ||||||||||
Genpact Luxembourg, | ||||||||||||
3.700%, 04/01/2022(1)(2) | 42,585,000 | 42,324,646 | ||||||||||
Georgia-Pacific LLC: | ||||||||||||
5.400%, 11/01/2020(2) | 11,000,000 | 11,863,693 | ||||||||||
3.163%, 11/15/2021(2) | 20,000,000 | 20,356,706 | ||||||||||
Glencore Finance (Canada) Ltd.: | ||||||||||||
4.950%, 11/15/2021(1)(2) | 2,000,000 | 2,134,043 | ||||||||||
4.250%, 10/25/2022(1)(2) | 7,000,000 | 7,334,600 | ||||||||||
6.000%, 11/15/2041(1)(2) | 7,400,000 | 8,666,880 | ||||||||||
Glencore Funding LLC: | ||||||||||||
4.125%, 05/30/2023(2) | 16,940,000 | 17,524,430 | ||||||||||
4.625%, 04/29/2024(2) | 26,730,000 | 28,221,534 | ||||||||||
4.000%, 03/27/2027(2) | 7,000,000 | 7,028,123 | ||||||||||
Grupo Bimbo SAB de CV: | ||||||||||||
3.875%, 06/27/2024(1)(2) | 26,633,000 | 27,466,788 | ||||||||||
4.875%, 06/27/2044(1)(2) | 5,000,000 | 5,181,761 | ||||||||||
4.700%, 11/10/2047(1)(2) | 18,975,000 | 19,145,016 | ||||||||||
Gulf South Pipeline Co. LP, | ||||||||||||
4.000%, 06/15/2022 | 3,000,000 | 3,081,037 | ||||||||||
Gulfstream Natural Gas System LLC, | ||||||||||||
4.600%, 09/15/2025(2) | 10,000,000 | 10,804,076 | ||||||||||
HB Fuller Co., | ||||||||||||
4.000%, 02/15/2027 | 6,725,000 | 6,371,937 | ||||||||||
HCA, Inc.: | ||||||||||||
4.250%, 10/15/2019 | 10,900,000 | 11,131,625 | ||||||||||
6.500%, 02/15/2020 | 5,000,000 | 5,300,000 | ||||||||||
5.000%, 03/15/2024 | 8,366,000 | 8,700,640 | ||||||||||
5.375%, 02/01/2025 | 25,175,000 | 26,056,125 | ||||||||||
Hewlett Packard Enterprise Co.: | ||||||||||||
2.100%, 10/04/2019(2) | 9,000,000 | 8,938,398 | ||||||||||
3.600%, 10/15/2020 | 7,550,000 | 7,708,541 | ||||||||||
Hexcel Corp., | ||||||||||||
3.950%, 02/15/2027 | 19,000,000 | 19,369,656 | ||||||||||
HP, Inc., | ||||||||||||
4.650%, 12/09/2021 | 32,425,000 | 34,464,945 | ||||||||||
Husky Energy, Inc., | ||||||||||||
4.000%, 04/15/2024(1) | 7,380,000 | 7,709,274 | ||||||||||
Hutchison Whampoa International Ltd.: | ||||||||||||
7.625%, 04/09/2019(1)(2) | 2,000,000 | 2,126,820 | ||||||||||
3.250%, 11/08/2022(1)(2) | 4,625,000 | 4,675,081 | ||||||||||
3.625%, 10/31/2024(1)(2) | 15,000,000 | 15,375,780 | ||||||||||
Hyundai Capital America: | ||||||||||||
2.500%, 03/18/2019(2) | 24,600,000 | 24,540,119 | ||||||||||
1.750%, 09/27/2019(2) | 10,000,000 | 9,809,519 | ||||||||||
3.000%, 03/18/2021(2) | 10,000,000 | 9,976,548 | ||||||||||
3.100%, 04/05/2022(2) | 2,000,000 | 1,989,338 | ||||||||||
Hyundai Capital Services, Inc., | ||||||||||||
2.625%, 09/29/2020(1)(2) | 9,225,000 | 9,123,409 | ||||||||||
Ingersoll-Rand Global Holding Co. Ltd, | ||||||||||||
5.750%, 06/15/2043 | 4,126,000 | 5,222,482 | ||||||||||
Ingersoll-Rand Luxembourg Finance SA, | ||||||||||||
4.650%, 11/01/2044(1) | 1,300,000 | 1,439,313 | ||||||||||
Johnson Controls International PLC: | ||||||||||||
3.900%, 02/14/2026(1) | 10,000,000 | 10,462,801 | ||||||||||
5.250%, 12/01/2041(1) | 1,150,000 | 1,320,618 | ||||||||||
Kerr-McGee Corp., | ||||||||||||
7.875%, 09/15/2031 | 12,790,000 | 16,993,514 | ||||||||||
Keysight Technologies, Inc.: | ||||||||||||
3.300%, 10/30/2019 | 13,300,000 | 13,425,847 | ||||||||||
4.550%, 10/30/2024 | 7,283,000 | 7,726,598 | ||||||||||
4.600%, 04/06/2027 | 24,031,000 | 25,292,525 | ||||||||||
Kinder Morgan Energy Partners LP: | ||||||||||||
9.000%, 02/01/2019 | 8,828,000 | 9,424,800 | ||||||||||
6.850%, 02/15/2020 | 4,645,000 | 5,031,439 | ||||||||||
6.500%, 02/01/2037 | 400,000 | 468,110 | ||||||||||
6.950%, 01/15/2038 | 1,350,000 | 1,678,517 | ||||||||||
7.500%, 11/15/2040 | 2,500,000 | 3,199,774 | ||||||||||
Kinder Morgan Finance Co. LLC, | ||||||||||||
6.000%, 01/15/2018(2) | 1,000,000 | �� | 1,001,758 | |||||||||
Kinder Morgan, Inc.: | ||||||||||||
3.050%, 12/01/2019 | 7,000,000 | 7,061,319 | ||||||||||
5.000%, 02/15/2021(2) | 10,008,000 | 10,618,532 | ||||||||||
8.050%, 10/15/2030 | 14,009,000 | 17,445,536 | ||||||||||
7.800%, 08/01/2031 | 16,174,000 | 20,861,675 | ||||||||||
Kinross Gold Corp., | ||||||||||||
6.875%, 09/01/2041(1) | 5,500,000 | 6,221,875 | ||||||||||
Kraft Heinz Foods Co.: | ||||||||||||
3.500%, 07/15/2022 | 17,000,000 | 17,386,781 | ||||||||||
6.750%, 03/15/2032 | 10,000,000 | 12,667,117 | ||||||||||
5.000%, 07/15/2035 | 7,075,000 | 7,724,290 | ||||||||||
5.000%, 06/04/2042 | 5,000,000 | 5,365,119 | ||||||||||
Lafarge SA, | ||||||||||||
7.125%, 07/15/2036(1) | 1,425,000 | 1,871,602 | ||||||||||
LafargeHolcim Finance US LLC, | ||||||||||||
3.500%, 09/22/2026(2) | 10,000,000 | 9,859,615 | ||||||||||
Lear Corp., | ||||||||||||
5.250%, 01/15/2025 | 21,600,000 | 23,061,170 | ||||||||||
Lennox International, Inc., | ||||||||||||
3.000%, 11/15/2023 | 10,000,000 | 9,874,361 | ||||||||||
Magellan Midstream Partners LP: | ||||||||||||
5.000%, 03/01/2026 | 10,000,000 | 11,108,018 | ||||||||||
4.200%, 03/15/2045 | 8,770,000 | 8,569,512 | ||||||||||
4.250%, 09/15/2046 | 1,230,000 | 1,244,905 | ||||||||||
Marathon Oil Corp., | ||||||||||||
2.800%, 11/01/2022 | 10,175,000 | 10,075,874 | ||||||||||
Marathon Petroleum Corp.: | ||||||||||||
3.400%, 12/15/2020 | 20,000,000 | 20,435,894 | ||||||||||
3.625%, 09/15/2024 | 2,500,000 | 2,549,573 | ||||||||||
4.750%, 09/15/2044 | 3,985,000 | 4,163,642 | ||||||||||
Martin Marietta Materials, Inc.: | ||||||||||||
6.600%, 04/15/2018 | 475,000 | 481,146 | ||||||||||
6.250%, 05/01/2037 | 450,000 | 546,727 | ||||||||||
Masco Corp.: | ||||||||||||
7.125%, 03/15/2020 | 232,000 | 252,980 | ||||||||||
6.500%, 08/15/2032 | 13,934,000 | 17,010,237 | ||||||||||
McDonald's Corp., | ||||||||||||
3.700%, 01/30/2026 | 7,250,000 | 7,557,302 | ||||||||||
Microsoft Corp.: | ||||||||||||
4.200%, 11/03/2035 | 5,650,000 | 6,410,611 | ||||||||||
3.950%, 08/08/2056 | 17,000,000 | 18,145,665 | ||||||||||
Molex Electronic Technologies LLC: | ||||||||||||
2.878%, 04/15/2020(2) | 26,313,000 | 26,318,752 | ||||||||||
3.900%, 04/15/2025(2) | 4,500,000 | 4,588,436 | ||||||||||
The Mosaic Co., | ||||||||||||
5.450%, 11/15/2033 | 16,101,000 | 17,534,865 | ||||||||||
MPLX LP: | ||||||||||||
5.500%, 02/15/2023 | 1,900,000 | 1,955,252 | ||||||||||
4.500%, 07/15/2023 | 275,000 | 290,543 | ||||||||||
4.875%, 12/01/2024 | 9,650,000 | 10,401,730 | ||||||||||
4.000%, 02/15/2025 | 8,000,000 | 8,163,379 | ||||||||||
4.875%, 06/01/2025 | 14,500,000 | 15,539,937 | ||||||||||
Murphy Oil Corp., | ||||||||||||
4.450%, 12/01/2022 | 12,600,000 | 12,647,250 | ||||||||||
Mylan NV: | ||||||||||||
3.000%, 12/15/2018(1) | 4,500,000 | 4,524,063 | ||||||||||
3.750%, 12/15/2020(1) | 5,875,000 | 6,003,411 | ||||||||||
3.150%, 06/15/2021(1) | 8,100,000 | 8,145,219 | ||||||||||
Mylan, Inc.: | ||||||||||||
2.600%, 06/24/2018 | 7,775,000 | 7,787,918 | ||||||||||
3.125%, 01/15/2023(2) | 11,800,000 | 11,636,212 | ||||||||||
4.200%, 11/29/2023 | 4,525,000 | 4,690,116 | ||||||||||
Nabors Industries, Inc., | ||||||||||||
6.150%, 02/15/2018 | 176,000 | 176,440 | ||||||||||
Newell Brands, Inc., | ||||||||||||
3.850%, 04/01/2023 | 20,000,000 | 20,695,211 | ||||||||||
Noble Energy, Inc.: | ||||||||||||
3.900%, 11/15/2024 | 3,000,000 | 3,084,551 | ||||||||||
5.050%, 11/15/2044 | 3,000,000 | 3,213,449 | ||||||||||
Noble Holding International Ltd., | ||||||||||||
5.750%, 03/16/2018(1) | 7,000,000 | 7,017,500 | ||||||||||
NuStar Logistics LP: | ||||||||||||
4.800%, 09/01/2020 | 4,275,000 | 4,339,125 | ||||||||||
6.750%, 02/01/2021 | 3,000,000 | 3,195,000 | ||||||||||
Oi Brasil Holdings Cooperatief UA, | ||||||||||||
5.750%, 02/10/2022(1)(2)(7) | 3,000,000 | 1,335,000 | ||||||||||
ONEOK Partners LP: | ||||||||||||
3.375%, 10/01/2022 | 6,541,000 | 6,586,834 | ||||||||||
5.000%, 09/15/2023 | 5,800,000 | 6,214,440 | ||||||||||
ONEOK, Inc.: | ||||||||||||
4.250%, 02/01/2022 | 6,325,000 | 6,579,898 | ||||||||||
7.500%, 09/01/2023 | 2,959,000 | 3,521,417 | ||||||||||
Oracle Corp.: | ||||||||||||
3.400%, 07/08/2024 | 8,850,000 | 9,176,765 | ||||||||||
3.900%, 05/15/2035 | 7,425,000 | 7,865,237 | ||||||||||
Orange SA, | ||||||||||||
9.000%, 03/01/2031(1) | 14,020,000 | 21,034,132 | ||||||||||
Owens Corning: | ||||||||||||
4.200%, 12/01/2024 | 10,000,000 | 10,476,707 | ||||||||||
3.400%, 08/15/2026 | 5,000,000 | 4,907,685 | ||||||||||
Packaging Corp. of America, | ||||||||||||
4.500%, 11/01/2023 | 4,700,000 | 5,056,155 | ||||||||||
Pactiv LLC, | ||||||||||||
7.950%, 12/15/2025 | 1,338,000 | 1,515,285 | ||||||||||
Pentair Finance SA: | ||||||||||||
2.900%, 09/15/2018(1) | 2,206,000 | 2,214,681 | ||||||||||
2.650%, 12/01/2019(1) | 5,000,000 | 4,978,364 | ||||||||||
Pernod Ricard SA, | ||||||||||||
4.250%, 07/15/2022(1)(2) | 26,700,000 | 28,274,870 | ||||||||||
Petrofac Ltd., | ||||||||||||
3.400%, 10/10/2018(1)(2) | 31,475,000 | 31,160,250 | ||||||||||
Pfizer, Inc., | ||||||||||||
5.800%, 08/12/2023 | 7,938,000 | 9,199,831 | ||||||||||
Phillips 66: | ||||||||||||
4.300%, 04/01/2022 | 6,168,000 | 6,555,579 | ||||||||||
4.650%, 11/15/2034 | 13,000,000 | 14,243,447 | ||||||||||
5.875%, 05/01/2042 | 5,000,000 | 6,363,517 | ||||||||||
4.875%, 11/15/2044 | 15,000,000 | 17,180,791 | ||||||||||
Phillips 66 Partners LP: | ||||||||||||
3.605%, 02/15/2025 | 2,000,000 | 2,015,002 | ||||||||||
4.680%, 02/15/2045 | 2,000,000 | 2,054,263 | ||||||||||
Pioneer Natural Resources Co., | ||||||||||||
6.875%, 05/01/2018 | 14,075,000 | 14,291,544 | ||||||||||
Plum Creek Timberlands LP: | ||||||||||||
4.700%, 03/15/2021 | 1,200,000 | 1,274,332 | ||||||||||
3.250%, 03/15/2023 | 8,375,000 | 8,530,015 | ||||||||||
POSCO, | ||||||||||||
4.250%, 10/28/2020(1)(2) | 2,175,000 | 2,237,858 | ||||||||||
Potash Corp of Saskatchewan, Inc., | ||||||||||||
4.000%, 12/15/2026(1) | 10,000,000 | 10,403,653 | ||||||||||
Qwest Capital Funding, Inc., | ||||||||||||
7.625%, 08/03/2021 | 200,000 | 205,000 | ||||||||||
Regency Energy Partners LP / Regency Energy Finance Corp., | ||||||||||||
4.500%, 11/01/2023 | 11,850,000 | 12,252,206 | ||||||||||
Reliance Holding USA, Inc.: | ||||||||||||
4.500%, 10/19/2020(2) | 2,000,000 | 2,091,036 | ||||||||||
5.400%, 02/14/2022(2) | 3,500,000 | 3,801,414 | ||||||||||
Republic Services, Inc.: | ||||||||||||
5.500%, 09/15/2019 | 13,000,000 | 13,670,539 | ||||||||||
4.750%, 05/15/2023 | 13,459,000 | 14,621,924 | ||||||||||
2.900%, 07/01/2026 | 15,000,000 | 14,687,768 | ||||||||||
Rockies Express Pipeline LLC: | ||||||||||||
6.850%, 07/15/2018(2) | 2,000,000 | 2,035,000 | ||||||||||
5.625%, 04/15/2020(2) | 2,695,000 | 2,823,013 | ||||||||||
Sabine Pass Liquefaction LLC: | ||||||||||||
5.625%, 03/01/2025 | 24,500,000 | 27,023,720 | ||||||||||
5.875%, 06/30/2026 | 31,435,000 | 35,316,224 | ||||||||||
Samarco Mineracao SA: | ||||||||||||
5.750%, 10/24/2023(1)(2)(7) | 5,475,000 | 3,723,000 | ||||||||||
5.375%, 09/26/2024(1)(2)(7) | 5,125,000 | 3,485,000 | ||||||||||
Schlumberger Holdings Corp., | ||||||||||||
3.000%, 12/21/2020(2) | 11,000,000 | 11,142,479 | ||||||||||
Schneider Electric SE, | ||||||||||||
2.950%, 09/27/2022(1)(2) | 5,000,000 | 5,025,096 | ||||||||||
Seagate HDD Cayman, | ||||||||||||
4.250%, 03/01/2022(1)(2) | 15,000,000 | 15,182,961 | ||||||||||
The Sherwin-Williams Co., | ||||||||||||
4.500%, 06/01/2047 | 10,550,000 | 11,534,781 | ||||||||||
Shire Acquisitions Investments Ireland DAC, | ||||||||||||
2.875%, 09/23/2023(1) | 54,196,000 | 53,278,699 | ||||||||||
Silgan Holdings, Inc., | ||||||||||||
4.750%, 03/15/2025(2) | 1,000,000 | 1,025,000 | ||||||||||
SK Telecom Co. Ltd., | ||||||||||||
6.625%, 07/20/2027(1)(2) | 960,000 | 1,190,304 | ||||||||||
Smithfield Foods, Inc., | ||||||||||||
3.350%, 02/01/2022(2) | 20,482,000 | 20,523,540 | ||||||||||
Solvay Finance America LLC: | ||||||||||||
3.400%, 12/03/2020(2) | 39,226,000 | 40,053,955 | ||||||||||
4.450%, 12/03/2025(2) | 24,426,000 | 25,956,135 | ||||||||||
Sonoco Products Co., | ||||||||||||
4.375%, 11/01/2021 | 1,000,000 | 1,048,174 | ||||||||||
Spectra Energy Partners LP, | ||||||||||||
3.500%, 03/15/2025 | 15,150,000 | 15,213,785 | ||||||||||
Sprint Capital Corp., | ||||||||||||
6.900%, 05/01/2019 | 675,000 | 706,219 | ||||||||||
Standard Industries Inc., | ||||||||||||
4.750%, 01/15/2028(2) | 20,000,000 | 20,046,200 | ||||||||||
Sunoco Logistics Partners Operations LP: | ||||||||||||
3.450%, 01/15/2023 | 2,000,000 | 1,988,430 | ||||||||||
6.100%, 02/15/2042 | 1,000,000 | 1,065,130 | ||||||||||
Targa Resources Partners LP, | ||||||||||||
4.125%, 11/15/2019 | 7,000,000 | 7,043,750 | ||||||||||
Targa Resources Partners LP / Targa Resources Partners Finance Corp., | ||||||||||||
5.000%, 01/15/2028(2) | 28,000,000 | 27,930,000 | ||||||||||
TC PipeLines LP: | ||||||||||||
4.375%, 03/13/2025 | 25,830,000 | 26,870,812 | ||||||||||
3.900%, 05/25/2027 | 5,885,000 | 5,914,403 | ||||||||||
Tech Data Corp., | ||||||||||||
3.700%, 02/15/2022 | 7,000,000 | 7,021,707 | ||||||||||
Telecom Italia Capital SA: | ||||||||||||
7.175%, 06/18/2019(1) | 500,000 | 530,625 | ||||||||||
5.303%, 05/30/2024(1)(2) | 21,500,000 | 22,951,250 | ||||||||||
7.200%, 07/18/2036(1) | 3,175,000 | 3,944,938 | ||||||||||
Telefonica Emisiones SAU: | ||||||||||||
5.462%, 02/16/2021(1) | 2,402,000 | 2,598,272 | ||||||||||
4.570%, 04/27/2023(1) | 1,000,000 | 1,081,508 | ||||||||||
4.103%, 03/08/2027(1) | 8,125,000 | 8,400,386 | ||||||||||
7.045%, 06/20/2036(1) | 4,925,000 | 6,607,472 | ||||||||||
5.213%, 03/08/2047(1) | 5,000,000 | 5,674,255 | ||||||||||
TELUS Corp., | ||||||||||||
2.800%, 02/16/2027(1) | 13,100,000 | 12,402,296 | ||||||||||
Tenet Healthcare Corp., | ||||||||||||
6.750%, 06/15/2023 | 1,000,000 | 970,000 | ||||||||||
Teva Pharmaceutical Finance Netherlands III BV: | ||||||||||||
2.800%, 07/21/2023(1) | 24,275,000 | 21,138,925 | ||||||||||
3.150%, 10/01/2026(1) | 36,000,000 | 29,723,277 | ||||||||||
Thermo Fisher Scientific, Inc., | ||||||||||||
3.300%, 02/15/2022 | 7,000,000 | 7,163,945 | ||||||||||
Time Warner Cable LLC: | ||||||||||||
6.750%, 07/01/2018 | 11,000,000 | 11,243,816 | ||||||||||
8.750%, 02/14/2019 | 1,132,000 | 1,206,969 | ||||||||||
8.250%, 04/01/2019 | 35,000 | 37,408 | ||||||||||
Time Warner, Inc.: | ||||||||||||
3.800%, 02/15/2027 | 3,500,000 | 3,496,691 | ||||||||||
4.850%, 07/15/2045 | 12,000,000 | 12,602,812 | ||||||||||
The Timken Co., | ||||||||||||
3.875%, 09/01/2024 | 18,500,000 | 18,618,778 | ||||||||||
Transcontinental Gas Pipe Line Co. LLC, | ||||||||||||
4.450%, 08/01/2042 | 2,600,000 | 2,720,512 | ||||||||||
Transocean, Inc.: | ||||||||||||
8.375%, 12/15/2021(1) | 5,500,000 | 5,940,000 | ||||||||||
5.800%, 10/15/2022(1) | 5,000,000 | 4,925,000 | ||||||||||
TSMC Global Ltd., | ||||||||||||
1.625%, 04/03/2018(1)(2) | 37,655,000 | 37,588,614 | ||||||||||
TTX Co.: | ||||||||||||
4.650%, 06/15/2044(2) | 7,710,000 | 8,452,886 | ||||||||||
3.900%, 02/01/2045(2) | 25,325,000 | 24,894,102 | ||||||||||
Tyco Electronics Group SA, | ||||||||||||
7.125%, 10/01/2037(1) | 500,000 | 723,931 | ||||||||||
United Rentals North America, Inc., | ||||||||||||
4.625%, 10/15/2025 | 3,000,000 | 3,022,500 | ||||||||||
US Airways Pass Through Trust, | ||||||||||||
7.350%, 01/30/2018 | 177,936 | 178,181 | ||||||||||
Vale Overseas Ltd.: | ||||||||||||
5.875%, 06/10/2021(1) | 25,125,000 | 27,361,125 | ||||||||||
4.375%, 01/11/2022(1) | 2,700,000 | 2,791,800 | ||||||||||
6.250%, 08/10/2026(1) | 22,000,000 | 25,487,000 | ||||||||||
8.250%, 01/17/2034(1) | 425,000 | 561,531 | ||||||||||
6.875%, 11/21/2036(1) | 150,000 | 183,750 | ||||||||||
6.875%, 11/10/2039(1) | 15,850,000 | 19,436,063 | ||||||||||
Valeant Pharmaceuticals International, Inc., | ||||||||||||
5.875%, 05/15/2023(1)(2) | 5,000,000 | 4,637,500 | ||||||||||
Valero Energy Corp.: | ||||||||||||
9.375%, 03/15/2019 | 19,806,000 | 21,450,761 | ||||||||||
3.400%, 09/15/2026 | 17,500,000 | 17,571,148 | ||||||||||
6.625%, 06/15/2037 | 5,000,000 | 6,589,570 | ||||||||||
Verisk Analytics, Inc.: | ||||||||||||
5.800%, 05/01/2021 | 2,585,000 | 2,812,794 | ||||||||||
4.000%, 06/15/2025 | 10,000,000 | 10,340,908 | ||||||||||
Verizon Communications, Inc.: | ||||||||||||
4.500%, 08/10/2033 | 15,710,000 | 16,477,114 | ||||||||||
4.400%, 11/01/2034 | 790,000 | 805,041 | ||||||||||
4.272%, 01/15/2036 | 19,649,000 | 19,546,863 | ||||||||||
5.250%, 03/16/2037 | 18,225,000 | 20,041,705 | ||||||||||
4.812%, 03/15/2039 | 37,955,000 | 39,708,814 | ||||||||||
Viacom, Inc., | ||||||||||||
2.750%, 12/15/2019 | 10,000,000 | 9,984,998 | ||||||||||
Viterra, Inc., | ||||||||||||
5.950%, 08/01/2020(1)(2) | 7,000,000 | 7,558,948 | ||||||||||
Vodafone Group PLC: | ||||||||||||
7.875%, 02/15/2030(1) | 9,793,000 | 13,304,678 | ||||||||||
6.150%, 02/27/2037(1) | 3,150,000 | 3,951,041 | ||||||||||
Vulcan Materials Co.: | ||||||||||||
4.500%, 04/01/2025 | 3,000,000 | 3,196,815 | ||||||||||
7.150%, 11/30/2037 | 500,000 | 675,118 | ||||||||||
Wabtec Corp., | ||||||||||||
3.450%, 11/15/2026 | 27,225,000 | 26,624,906 | ||||||||||
Walgreen Co., | ||||||||||||
5.250%, 01/15/2019 | 2,482,000 | 2,557,158 | ||||||||||
Walgreens Boots Alliance, Inc.: | ||||||||||||
3.300%, 11/18/2021 | 8,060,000 | 8,194,532 | ||||||||||
3.800%, 11/18/2024 | 10,000,000 | 10,212,541 | ||||||||||
3.450%, 06/01/2026 | 7,000,000 | 6,921,987 | ||||||||||
Waste Management, Inc., | ||||||||||||
3.900%, 03/01/2035 | 5,000,000 | 5,241,830 | ||||||||||
Weatherford International Ltd., | ||||||||||||
4.500%, 04/15/2022(1) | 5,020,000 | 4,543,100 | ||||||||||
Western Gas Partners LP, | ||||||||||||
5.375%, 06/01/2021 | 18,000,000 | 19,087,037 | ||||||||||
WestRock MWV LLC: | ||||||||||||
7.375%, 09/01/2019 | 6,650,000 | 7,170,145 | ||||||||||
9.750%, 06/15/2020 | 1,060,000 | 1,234,685 | ||||||||||
8.200%, 01/15/2030 | 3,012,000 | 4,234,461 | ||||||||||
Weyerhaeuser Co., | ||||||||||||
7.375%, 10/01/2019 | 11,865,000 | 12,858,161 | ||||||||||
The Williams Companies, Inc.: | ||||||||||||
7.875%, 09/01/2021 | 5,065,000 | 5,850,075 | ||||||||||
3.700%, 01/15/2023 | 44,375,000 | 44,153,125 | ||||||||||
4.550%, 06/24/2024 | 2,000,000 | 2,075,000 | ||||||||||
7.500%, 01/15/2031 | 120,000 | 146,700 | ||||||||||
7.750%, 06/15/2031 | 3,500,000 | 4,313,750 | ||||||||||
5.750%, 06/24/2044 | 2,500,000 | 2,668,750 | ||||||||||
Williams Partners LP: | ||||||||||||
5.250%, 03/15/2020 | 2,000,000 | 2,112,648 | ||||||||||
6.300%, 04/15/2040 | 1,590,000 | 1,955,604 | ||||||||||
Woodside Finance Ltd., | ||||||||||||
3.650%, 03/05/2025(1)(2) | 15,000,000 | 15,090,966 | ||||||||||
WPX Energy, Inc., | ||||||||||||
6.000%, 01/15/2022 | 4,000,000 | 4,180,000 | ||||||||||
Wynn Las Vegas LLC / Wynn Las Vegas Capital Corp., | ||||||||||||
4.250%, 05/30/2023(2) | 4,000,000 | 4,070,000 | ||||||||||
Xerox Corp., | ||||||||||||
3.625%, 03/15/2023 | 34,900,000 | 34,045,573 | ||||||||||
Yara International ASA: | ||||||||||||
7.875%, 06/11/2019(1)(2) | 5,880,000 | 6,310,157 | ||||||||||
3.800%, 06/06/2026(1)(2) | 20,250,000 | 20,089,089 | ||||||||||
Zimmer Biomet Holdings, Inc., | ||||||||||||
3.550%, 04/01/2025 | 5,000,000 | 4,996,679 | ||||||||||
Zoetis, Inc.: | ||||||||||||
3.450%, 11/13/2020 | 11,885,000 | 12,165,636 | ||||||||||
3.250%, 02/01/2023 | 24,276,000 | 24,649,573 | ||||||||||
4.500%, 11/13/2025 | 16,275,000 | 17,737,951 | ||||||||||
4,246,369,406 | 26.0 | % |
Utilities | ||||||||||||
Appalachian Power Co., | ||||||||||||
6.700%, 08/15/2037 | 1,275,000 | 1,728,461 | ||||||||||
Arizona Public Service Co., | ||||||||||||
8.750%, 03/01/2019 | 1,150,000 | 1,232,600 | ||||||||||
Berkshire Hathaway Energy Co., | ||||||||||||
3.500%, 02/01/2025 | 7,000,000 | 7,217,195 | ||||||||||
CMS Energy Corp., | ||||||||||||
5.050%, 03/15/2022 | 1,000,000 | 1,087,130 | ||||||||||
Consolidated Edison Co. of New York, Inc., | ||||||||||||
4.625%, 12/01/2054 | 7,600,000 | 8,699,659 | ||||||||||
Dominion Resources, Inc.: | ||||||||||||
2.500%, 12/01/2019 | 5,225,000 | 5,233,020 | ||||||||||
5.950%, 06/15/2035 | 1,880,000 | 2,374,485 | ||||||||||
Edison International, | ||||||||||||
2.950%, 03/15/2023 | 5,000,000 | 5,007,782 | ||||||||||
EDP Finance BV: | ||||||||||||
4.125%, 01/15/2020(1)(2) | 8,816,000 | 9,085,011 | ||||||||||
3.625%, 07/15/2024(1)(2) | 10,000,000 | 10,071,240 | ||||||||||
Enel Finance International NV: | ||||||||||||
2.875%, 05/25/2022(1)(2) | 7,500,000 | 7,479,616 | ||||||||||
3.625%, 05/25/2027(1)(2) | 17,500,000 | 17,387,190 | ||||||||||
6.000%, 10/07/2039(1)(2) | 631,000 | 785,121 | ||||||||||
4.750%, 05/25/2047(1)(2) | 42,584,000 | 46,108,765 | ||||||||||
Exelon Corp.: | ||||||||||||
3.950%, 06/15/2025 | 15,650,000 | 16,309,398 | ||||||||||
5.100%, 06/15/2045 | 5,875,000 | 6,934,455 | ||||||||||
Exelon Generation Co. LLC, | ||||||||||||
5.600%, 06/15/2042 | 6,100,000 | 6,688,460 | ||||||||||
Fortis Inc., | ||||||||||||
3.055%, 10/04/2026(1) | 14,150,000 | 13,662,459 | ||||||||||
Infraestructura Energetica Nova SAB de CV, | ||||||||||||
3.750%, 01/14/2028(1)(2) | 5,000,000 | 4,932,500 | ||||||||||
KeySpan Corp., | ||||||||||||
8.000%, 11/15/2030 | 1,875,000 | 2,518,671 | ||||||||||
Mega Advance Investments Ltd., | ||||||||||||
5.000%, 05/12/2021(1)(2) | 2,800,000 | 2,959,769 | ||||||||||
National Rural Utilities Cooperative Finance Corp., | ||||||||||||
2.300%, 11/15/2019 | 5,000,000 | 5,013,783 | ||||||||||
NiSource Finance Corp., | ||||||||||||
3.950%, 03/30/2048 | 11,775,000 | 12,062,309 | ||||||||||
PSEG Power LLC, | ||||||||||||
3.000%, 06/15/2021 | 25,027,000 | 25,247,065 | ||||||||||
Public Service Co. of New Mexico, | ||||||||||||
7.950%, 05/15/2018 | 6,553,000 | 6,689,454 | ||||||||||
RGS I&M Funding Corp., | ||||||||||||
9.820%, 06/07/2022 | 145,317 | 157,211 | ||||||||||
South Carolina Electric & Gas Co., | ||||||||||||
4.100%, 06/15/2046 | 7,325,000 | 7,442,843 | ||||||||||
The Southern Co., | ||||||||||||
2.950%, 07/01/2023 | 17,400,000 | 17,408,523 | ||||||||||
Talent Yield Investments Ltd., | ||||||||||||
4.500%, 04/25/2022(1)(2) | 6,000,000 | 6,279,390 | ||||||||||
257,803,565 | 1.6 | % | ||||||||||
Financials | ||||||||||||
ABN AMRO Bank NV: | ||||||||||||
2.500%, 10/30/2018(1)(2) | 6,750,000 | 6,772,936 | ||||||||||
2.450%, 06/04/2020(1)(2) | 13,000,000 | 12,992,551 | ||||||||||
7.750%, 05/15/2023(1)(2) | 8,000,000 | 9,445,366 | ||||||||||
4.750%, 07/28/2025(1)(2) | 26,150,000 | 27,758,225 | ||||||||||
4.800%, 04/18/2026(1)(2) | 19,600,000 | 20,921,040 | ||||||||||
AIA Group Ltd., | ||||||||||||
3.200%, 03/11/2025(1)(2) | 9,000,000 | 8,964,630 | ||||||||||
AIG SunAmerica Global Financing X, | ||||||||||||
6.900%, 03/15/2032(2) | 2,000,000 | 2,667,427 | ||||||||||
Ally Financial, Inc.: | ||||||||||||
3.600%, 05/21/2018 | 7,000,000 | 7,021,000 | ||||||||||
3.250%, 11/05/2018 | 8,200,000 | 8,220,500 | ||||||||||
8.000%, 12/31/2018 | 1,206,000 | 1,263,285 | ||||||||||
3.750%, 11/18/2019 | 18,200,000 | 18,429,320 | ||||||||||
4.125%, 03/30/2020 | 10,000,000 | 10,200,000 | ||||||||||
5.125%, 09/30/2024 | 3,000,000 | 3,243,750 | ||||||||||
American International Group, Inc.: | ||||||||||||
6.400%, 12/15/2020 | 3,500,000 | 3,880,167 | ||||||||||
4.875%, 06/01/2022 | 25,551,000 | 27,783,681 | ||||||||||
3.750%, 07/10/2025 | 11,400,000 | 11,753,670 | ||||||||||
3.875%, 01/15/2035 | 5,000,000 | 5,018,858 | ||||||||||
6.820%, 11/15/2037 | 4,173,000 | 5,572,951 | ||||||||||
AmSouth Bancorporation, | ||||||||||||
6.750%, 11/01/2025 | 860,000 | 1,013,032 | ||||||||||
Anthem, Inc., | ||||||||||||
3.350%, 12/01/2024 | 7,050,000 | 7,152,384 | ||||||||||
ANZ New Zealand (Int'l) Ltd.: | ||||||||||||
1.750%, 03/29/2018(1)(2) | 6,150,000 | 6,149,959 | ||||||||||
2.750%, 02/03/2021(1)(2) | 10,000,000 | 10,031,427 | ||||||||||
2.125%, 07/28/2021(1)(2) | 16,750,000 | 16,412,635 | ||||||||||
Aon Corp., | ||||||||||||
5.000%, 09/30/2020(1) | 150,000 | 159,735 | ||||||||||
Aon PLC, | ||||||||||||
3.875%, 12/15/2025(1) | 14,490,000 | 15,149,981 | ||||||||||
Australia & New Zealand Banking Group Ltd.: | ||||||||||||
1.600%, 07/15/2019(1) | 5,000,000 | 4,952,796 | ||||||||||
4.500%, 03/19/2024(1)(2) | 9,000,000 | 9,442,147 | ||||||||||
Banco Santander SA, | ||||||||||||
3.500%, 04/11/2022(1) | 12,000,000 | 12,235,774 | ||||||||||
Bank of America Corp.: | ||||||||||||
6.875%, 04/25/2018 | 1,250,000 | 1,269,097 | ||||||||||
2.625%, 04/19/2021 | 17,500,000 | 17,589,276 | ||||||||||
2.369%, 07/21/2021 (3 Month LIBOR USD + 0.660%)(3) | 4,500,000 | 4,492,118 | ||||||||||
3.300%, 01/11/2023 | 22,650,000 | 23,170,949 | ||||||||||
3.004%, 12/20/2023 (3 Month LIBOR USD + 0.790%)(2)(3) | 8,352,000 | 8,373,443 | ||||||||||
3.093%, 10/01/2025 (3 Month LIBOR USD + 1.090%)(3) | 12,000,000 | 11,972,481 | ||||||||||
3.248%, 10/21/2027 | 6,000,000 | 5,953,915 | ||||||||||
3.705%, 04/24/2028 (3 Month LIBOR USD + 1.510%)(3) | 23,000,000 | 23,607,063 | ||||||||||
7.750%, 05/14/2038 | 725,000 | 1,086,330 | ||||||||||
Bank of Montreal: | ||||||||||||
1.900%, 08/27/2021(1) | 26,450,000 | 25,892,801 | ||||||||||
3.803%, 12/15/2032 (5 Year Swap Rate USD + 1.430%)(1)(3) | 5,000,000 | 4,943,150 | ||||||||||
The Bank of Nova Scotia: | ||||||||||||
2.450%, 09/19/2022(1) | 8,225,000 | 8,127,545 | ||||||||||
4.500%, 12/16/2025(1) | 8,048,000 | 8,466,147 | ||||||||||
The Bank of Tokyo-Mitsubishi UFJ Ltd., | ||||||||||||
2.300%, 03/05/2020(1)(2) | 8,075,000 | 8,045,908 | ||||||||||
BanPonce Trust I, | ||||||||||||
8.327%, 02/01/2027 | 2,310,000 | 2,185,930 | ||||||||||
Barclays PLC: | ||||||||||||
2.750%, 11/08/2019(1) | 7,000,000 | 7,015,050 | ||||||||||
3.250%, 01/12/2021(1) | 25,000,000 | 25,240,075 | ||||||||||
3.684%, 01/10/2023(1) | 21,000,000 | 21,310,330 | ||||||||||
3.650%, 03/16/2025(1) | 8,000,000 | 7,985,736 | ||||||||||
4.337%, 01/10/2028(1) | 10,000,000 | 10,349,650 | ||||||||||
BB&T Corp.: | ||||||||||||
2.450%, 01/15/2020 | 15,000,000 | 15,049,645 | ||||||||||
2.625%, 06/29/2020 | 13,000,000 | 13,088,612 | ||||||||||
The Bear Stearns Companies LLC, | ||||||||||||
7.250%, 02/01/2018 | 2,250,000 | 2,258,996 | ||||||||||
Berkshire Hathaway Finance Corp., | ||||||||||||
4.400%, 05/15/2042 | 3,500,000 | 3,944,051 | ||||||||||
BNP Paribas SA: | ||||||||||||
5.000%, 01/15/2021(1) | 5,000,000 | 5,374,468 | ||||||||||
3.250%, 03/03/2023(1) | 4,000,000 | 4,087,735 | ||||||||||
BNZ International Funding Ltd.: | ||||||||||||
2.350%, 03/04/2019(1)(2) | 14,025,000 | 14,038,525 | ||||||||||
2.400%, 02/21/2020(1)(2) | 8,000,000 | 7,991,015 | ||||||||||
2.750%, 03/02/2021(1)(2) | 18,750,000 | 18,796,877 | ||||||||||
BPCE SA: | ||||||||||||
2.500%, 12/10/2018(1) | 5,750,000 | 5,766,165 | ||||||||||
2.250%, 01/27/2020(1) | 4,000,000 | 3,989,880 | ||||||||||
5.700%, 10/22/2023(1)(2) | 31,200,000 | 34,569,163 | ||||||||||
4.625%, 07/11/2024(1)(2) | 3,185,000 | 3,348,863 | ||||||||||
5.150%, 07/21/2024(1)(2) | 31,500,000 | 34,155,610 | ||||||||||
Brighthouse Financial, Inc., | ||||||||||||
4.700%, 06/22/2047(2) | 7,000,000 | 7,140,938 | ||||||||||
Caisse Centrale Desjardins, | ||||||||||||
2.043%, 01/29/2018 (3 Month LIBOR USD + 0.670%)(1)(2)(3) | 29,175,000 | 29,181,071 | ||||||||||
Canadian Imperial Bank of Commerce, | ||||||||||||
1.600%, 09/06/2019(1) | 8,475,000 | 8,387,657 | ||||||||||
Capital One Bank (USA) NA, | ||||||||||||
3.375%, 02/15/2023 | 42,388,000 | 42,806,372 | ||||||||||
Capital One Financial Corp.: | ||||||||||||
2.450%, 04/24/2019 | 3,975,000 | 3,984,279 | ||||||||||
3.050%, 03/09/2022 | 10,000,000 | 10,070,075 | ||||||||||
3.750%, 07/28/2026 | 6,960,000 | 6,930,751 | ||||||||||
Capital One NA, | ||||||||||||
1.850%, 09/13/2019 | 5,000,000 | 4,951,783 | ||||||||||
The Chubb Corp., | ||||||||||||
3.609%, 04/15/2037 (3 Month LIBOR USD + 2.250%)(3) | 1,320,000 | 1,310,100 | ||||||||||
CIT Group, Inc., | ||||||||||||
5.000%, 08/01/2023 | 5,000,000 | 5,325,000 | ||||||||||
Citigroup, Inc.: | ||||||||||||
2.400%, 02/18/2020 | 8,000,000 | 7,990,638 | ||||||||||
2.350%, 08/02/2021 | 8,125,000 | 8,036,428 | ||||||||||
2.876%, 07/24/2023 (3 Month LIBOR USD + 0.950%)(3) | 12,000,000 | 11,939,873 | ||||||||||
2.911%, 09/01/2023 (3 Month LIBOR USD + 1.430%)(3) | 8,000,000 | 8,234,582 | ||||||||||
3.700%, 01/12/2026 | 4,700,000 | 4,838,695 | ||||||||||
3.887%, 01/10/2028 (3 Month LIBOR USD + 1.560%)(3) | 30,000,000 | 31,052,453 | ||||||||||
Citizens Bank NA: | ||||||||||||
2.450%, 12/04/2019 | 36,000,000 | 36,024,234 | ||||||||||
2.550%, 05/13/2021 | 6,175,000 | 6,152,143 | ||||||||||
CNA Financial Corp.: | ||||||||||||
5.875%, 08/15/2020 | 6,839,000 | 7,397,563 | ||||||||||
5.750%, 08/15/2021 | 9,177,000 | 10,048,240 | ||||||||||
7.250%, 11/15/2023 | 12,400,000 | 14,790,739 | ||||||||||
4.500%, 03/01/2026 | 21,000,000 | 22,350,753 | ||||||||||
3.450%, 08/15/2027 | 9,000,000 | 8,869,116 | ||||||||||
CNO Financial Group, Inc.: | ||||||||||||
4.500%, 05/30/2020 | 5,000,000 | 5,150,000 | ||||||||||
5.250%, 05/30/2025 | 18,640,000 | 19,665,200 | ||||||||||
Comerica Bank, | ||||||||||||
4.000%, 07/27/2025 | 21,425,000 | 22,187,149 | ||||||||||
Commonwealth Bank of Australia: | ||||||||||||
5.000%, 10/15/2019(1)(2) | 5,900,000 | 6,171,911 | ||||||||||
4.500%, 12/09/2025(1)(2) | 19,000,000 | 19,889,557 | ||||||||||
Compass Bank: | ||||||||||||
2.750%, 09/29/2019 | 38,994,000 | 39,101,850 | ||||||||||
2.875%, 06/29/2022 | 15,700,000 | 15,535,844 | ||||||||||
3.875%, 04/10/2025 | 25,875,000 | 25,957,448 | ||||||||||
Cooperatieve Rabobank, | ||||||||||||
2.750%, 01/10/2022(1) | 15,250,000 | 15,372,811 | ||||||||||
Cooperatieve Rabobank UA: | ||||||||||||
3.875%, 02/08/2022(1) | 4,150,000 | 4,359,098 | ||||||||||
3.750%, 07/21/2026(1) | 23,000,000 | 23,299,839 | ||||||||||
Credit Agricole SA: | ||||||||||||
3.375%, 01/10/2022(1)(2) | 23,225,000 | 23,587,315 | ||||||||||
3.250%, 10/04/2024(1)(2) | 8,575,000 | 8,517,310 | ||||||||||
Credit Suisse AG, | ||||||||||||
5.300%, 08/13/2019(1) | 7,166,000 | 7,504,459 | ||||||||||
Credit Suisse Group AG: | ||||||||||||
3.574%, 01/09/2023(1)(2) | 9,000,000 | 9,150,400 | ||||||||||
4.282%, 01/09/2028(1)(2) | 15,000,000 | 15,638,996 | ||||||||||
Credit Suisse Group Funding Guernsey Ltd.: | ||||||||||||
3.800%, 06/09/2023(1) | 21,100,000 | 21,760,311 | ||||||||||
3.750%, 03/26/2025(1) | 15,000,000 | 15,305,812 | ||||||||||
4.550%, 04/17/2026(1) | 5,000,000 | 5,353,420 | ||||||||||
Daiwa Securities Group, Inc., | ||||||||||||
3.129%, 04/19/2022(1)(2) | 13,775,000 | 13,858,524 | ||||||||||
Deutsche Bank AG: | ||||||||||||
1.875%, 02/13/2018(1) | 8,769,000 | 8,767,685 | ||||||||||
2.093%, 02/13/2018 (3 Month LIBOR USD + 0.680%)(1)(3) | 9,000,000 | 9,000,086 | ||||||||||
2.700%, 07/13/2020(1) | 8,700,000 | 8,657,391 | ||||||||||
2.950%, 08/20/2020(1) | 8,625,000 | 8,635,891 | ||||||||||
3.125%, 01/13/2021(1) | 10,625,000 | 10,687,576 | ||||||||||
3.375%, 05/12/2021(1) | 5,450,000 | 5,500,271 | ||||||||||
4.250%, 10/14/2021(1) | 26,200,000 | 27,257,567 | ||||||||||
3.300%, 11/16/2022(1) | 7,000,000 | 6,964,322 | ||||||||||
Discover Bank: | ||||||||||||
8.700%, 11/18/2019 | 3,237,000 | 3,559,322 | ||||||||||
3.100%, 06/04/2020 | 12,000,000 | 12,142,413 | ||||||||||
Discover Financial Services, | ||||||||||||
3.950%, 11/06/2024 | 25,000,000 | 25,537,148 | ||||||||||
Fifth Third Bancorp, | ||||||||||||
2.875%, 07/27/2020 | 9,250,000 | 9,347,765 | ||||||||||
First Horizon National Corp., | ||||||||||||
3.500%, 12/15/2020 | 28,897,000 | 29,509,070 | ||||||||||
First Republic Bank, | ||||||||||||
4.625%, 02/13/2047 | 1,850,000 | 1,978,513 | ||||||||||
First Tennessee Bank NA, | ||||||||||||
2.950%, 12/01/2019 | 12,000,000 | 12,079,857 | ||||||||||
FMR LLC: | ||||||||||||
4.950%, 02/01/2033(2) | 4,235,000 | 4,845,760 | ||||||||||
6.500%, 12/14/2040(2) | 1,820,000 | 2,484,306 | ||||||||||
GE Capital International Funding Co. Unlimited Co., | ||||||||||||
2.342%, 11/15/2020(1) | 24,096,000 | 23,984,903 | ||||||||||
Goldman Sachs Capital I, | ||||||||||||
6.345%, 02/15/2034 | 125,000 | 157,323 | ||||||||||
The Goldman Sachs Group, Inc.: | ||||||||||||
7.500%, 02/15/2019 | 1,825,000 | 1,928,725 | ||||||||||
2.550%, 10/23/2019 | 4,000,000 | 4,007,525 | ||||||||||
2.300%, 12/13/2019 | 12,450,000 | 12,442,012 | ||||||||||
5.250%, 07/27/2021 | 1,100,000 | 1,192,170 | ||||||||||
2.350%, 11/15/2021 | 10,000,000 | 9,848,394 | ||||||||||
5.750%, 01/24/2022 | 15,100,000 | 16,743,343 | ||||||||||
3.077%, 11/29/2023 (3 Month LIBOR USD + 1.600%)(3) | 10,000,000 | 10,408,295 | ||||||||||
3.500%, 01/23/2025 | 9,250,000 | 9,396,446 | ||||||||||
3.272%, 09/29/2025 (3 Month LIBOR USD + 1.200%)(3) | 24,000,000 | 23,903,297 | ||||||||||
6.750%, 10/01/2037 | 300,000 | 401,593 | ||||||||||
The Guardian Life Insurance Co. of America: | ||||||||||||
4.875%, 06/19/2064(2) | 11,215,000 | 12,721,233 | ||||||||||
4.850%, 01/24/2077(2) | 10,066,000 | 11,053,715 | ||||||||||
The Hartford Financial Services Group, Inc.: | ||||||||||||
6.300%, 03/15/2018 | 200,000 | 201,742 | ||||||||||
5.125%, 04/15/2022 | 6,097,000 | 6,653,504 | ||||||||||
8.125%, 06/15/2038 (3 Month LIBOR USD + 4.600%)(3) | 1,365,000 | 1,399,125 | ||||||||||
Highmark, Inc., | ||||||||||||
4.750%, 05/15/2021(2) | 7,800,000 | 8,170,896 | ||||||||||
HSBC Finance Corp., | ||||||||||||
6.676%, 01/15/2021 | 12,866,000 | 14,304,504 | ||||||||||
HSBC Holdings PLC: | ||||||||||||
3.400%, 03/08/2021(1) | 9,100,000 | 9,301,084 | ||||||||||
2.650%, 01/05/2022(1) | 4,000,000 | 3,973,449 | ||||||||||
3.600%, 05/25/2023(1) | 6,000,000 | 6,173,148 | ||||||||||
HSBC USA, Inc., | ||||||||||||
2.350%, 03/05/2020 | 2,750,000 | 2,749,654 | ||||||||||
Humana, Inc., | ||||||||||||
8.150%, 06/15/2038 | 8,983,000 | 13,401,085 | ||||||||||
Huntington Bancshares, Inc.: | ||||||||||||
3.150%, 03/14/2021 | 17,100,000 | 17,368,992 | ||||||||||
2.300%, 01/14/2022 | 15,225,000 | 14,979,840 | ||||||||||
The Huntington National Bank: | ||||||||||||
2.000%, 06/30/2018 | 13,000,000 | 13,004,879 | ||||||||||
2.200%, 11/06/2018 | 5,000,000 | 5,004,442 | ||||||||||
2.875%, 08/20/2020 | 12,275,000 | 12,376,376 | ||||||||||
ING Bank NV: | ||||||||||||
2.050%, 08/17/2018(1)(2) | 4,125,000 | 4,125,742 | ||||||||||
2.450%, 03/16/2020(1)(2) | 9,500,000 | 9,504,400 | ||||||||||
2.750%, 03/22/2021(1)(2) | 9,175,000 | 9,237,549 | ||||||||||
5.800%, 09/25/2023(1)(2) | 31,680,000 | 35,552,422 | ||||||||||
ING Groep NV, | ||||||||||||
3.150%, 03/29/2022(1) | 4,000,000 | 4,047,833 | ||||||||||
Invesco Finance PLC, | ||||||||||||
3.125%, 11/30/2022(1) | 5,500,000 | 5,565,821 | ||||||||||
Jackson National Life Global Funding, | ||||||||||||
3.250%, 01/30/2024(2) | 10,000,000 | 10,100,029 | ||||||||||
Jefferies Group LLC, | ||||||||||||
6.450%, 06/08/2027 | 1,000,000 | 1,161,728 | ||||||||||
Jefferies Group LLC / Jefferies Group Capital Finance, Inc., | ||||||||||||
4.850%, 01/15/2027 | 15,750,000 | 16,744,412 | ||||||||||
John Hancock Life Insurance Co., | ||||||||||||
7.375%, 02/15/2024(2) | 17,115,000 | 20,781,607 | ||||||||||
JPMorgan Chase & Co.: | ||||||||||||
2.250%, 01/23/2020 | 3,650,000 | 3,647,558 | ||||||||||
4.250%, 10/15/2020 | 8,250,000 | 8,650,285 | ||||||||||
2.295%, 08/15/2021 | 22,000,000 | 21,802,981 | ||||||||||
4.350%, 08/15/2021 | 2,400,000 | 2,545,478 | ||||||||||
4.500%, 01/24/2022 | 4,400,000 | 4,708,230 | ||||||||||
3.200%, 01/25/2023 | 5,350,000 | 5,457,007 | ||||||||||
2.595%, 10/24/2023 (3 Month LIBOR USD + 1.230%)(3) | 10,000,000 | 10,258,912 | ||||||||||
3.125%, 01/23/2025 | 21,850,000 | 21,970,486 | ||||||||||
KEB Hana Bank, | ||||||||||||
1.750%, 10/18/2019(1)(2) | 16,750,000 | 16,435,100 | ||||||||||
KeyBank NA: | ||||||||||||
4.625%, 06/15/2018 | 2,670,000 | 2,696,400 | ||||||||||
2.250%, 03/16/2020 | 9,425,000 | 9,397,367 | ||||||||||
3.400%, 05/20/2026 | 21,575,000 | 21,494,491 | ||||||||||
KeyCorp, | ||||||||||||
2.900%, 09/15/2020 | 17,200,000 | 17,360,960 | ||||||||||
LeasePlan Corp. NV: | ||||||||||||
2.500%, 05/16/2018(1)(2) | 27,204,000 | 27,207,179 | ||||||||||
2.875%, 01/22/2019(1)(2) | 5,200,000 | 5,203,522 | ||||||||||
Liberty Mutual Group, Inc.: | ||||||||||||
6.500%, 03/15/2035(2) | 700,000 | 904,530 | ||||||||||
10.750%, 06/15/2058 (3 Month LIBOR USD + 7.120%)(2)(3) | 900,000 | 1,498,500 | ||||||||||
Liberty Mutual Insurance Co., | ||||||||||||
7.697%, 10/15/2097(2) | 375,000 | 549,605 | ||||||||||
Lincoln National Corp.: | ||||||||||||
8.750%, 07/01/2019 | 3,490,000 | 3,810,551 | ||||||||||
3.403%, 04/20/2067 (3 Month LIBOR USD + 2.040%)(3) | 930,000 | 850,950 | ||||||||||
Lloyds Bank PLC, | ||||||||||||
5.800%, 01/13/2020(1)(2) | 6,350,000 | 6,764,618 | ||||||||||
Lloyds Banking Group PLC: | ||||||||||||
2.907%, 11/07/2023 (3 Month LIBOR USD + 0.810%)(1)(3) | 9,400,000 | 9,319,447 | ||||||||||
3.750%, 01/11/2027(1) | 7,800,000 | 7,921,157 | ||||||||||
3.574%, 11/07/2028 (3 Month LIBOR USD + 1.210%)(1)(3) | 21,550,000 | 21,347,285 | ||||||||||
Macquarie Bank Ltd., | ||||||||||||
2.400%, 01/21/2020(1)(2) | 17,750,000 | 17,706,513 | ||||||||||
Macquarie Group Ltd.: | ||||||||||||
7.625%, 08/13/2019(1)(2) | 2,467,000 | 2,660,384 | ||||||||||
3.189%, 11/28/2023 (3 Month LIBOR USD + 1.020%)(1)(2)(3) | 19,875,000 | 19,736,670 | ||||||||||
Manufacturers & Traders Trust Co.: | ||||||||||||
2.100%, 02/06/2020 | 8,000,000 | 7,973,596 | ||||||||||
2.779%, 12/28/2020 (1 Month LIBOR USD + 1.220%)(3) | 9,483,000 | 9,485,478 | ||||||||||
Manulife Financial Corp.: | ||||||||||||
4.900%, 09/17/2020(1) | 3,109,000 | 3,290,873 | ||||||||||
4.150%, 03/04/2026(1) | 16,375,000 | 17,390,549 | ||||||||||
Marsh & McLennan Companies, Inc.: | ||||||||||||
4.800%, 07/15/2021 | 1,000,000 | 1,069,106 | ||||||||||
3.300%, 03/14/2023 | 6,875,000 | 7,045,922 | ||||||||||
3.750%, 03/14/2026 | 9,225,000 | 9,634,401 | ||||||||||
5.875%, 08/01/2033 | 3,729,000 | 4,711,273 | ||||||||||
Massachusetts Mutual Life Insurance Co.: | ||||||||||||
7.625%, 11/15/2023(2) | 3,184,000 | 3,796,176 | ||||||||||
8.875%, 06/01/2039(2) | 11,820,000 | 19,587,730 | ||||||||||
4.900%, 04/01/2077(2) | 8,000,000 | 9,095,151 | ||||||||||
MBIA Insurance Corp., | ||||||||||||
12.619%, 01/15/2033 (3 Month LIBOR USD + 11.260%)(2)(3)(7) | 700,000 | 315,000 | ||||||||||
MetLife Capital Trust IV, | ||||||||||||
7.875%, 12/15/2037(2) | 900,000 | 1,199,250 | ||||||||||
MetLife, Inc.: | ||||||||||||
7.717%, 02/15/2019 | 1,407,000 | 1,494,969 | ||||||||||
4.875%, 11/13/2043 | 3,375,000 | 3,960,481 | ||||||||||
4.050%, 03/01/2045 | 9,025,000 | 9,464,999 | ||||||||||
Mitsubishi UFJ Financial Group, Inc.: | ||||||||||||
2.950%, 03/01/2021(1) | 10,000,000 | 10,091,260 | ||||||||||
2.190%, 09/13/2021(1) | 20,000,000 | 19,638,063 | ||||||||||
Mitsubishi UFJ Trust & Banking Corp., | ||||||||||||
2.450%, 10/16/2019(1)(2) | 10,000,000 | 10,015,827 | ||||||||||
Mizuho Bank Ltd.: | ||||||||||||
2.650%, 09/25/2019(1)(2) | 5,000,000 | 5,023,690 | ||||||||||
2.400%, 03/26/2020(1)(2) | 20,000,000 | 19,964,934 | ||||||||||
Mizuho Financial Group, Inc.: | ||||||||||||
2.601%, 09/11/2022(1) | 5,000,000 | 4,921,314 | ||||||||||
3.170%, 09/11/2027(1) | 24,650,000 | 24,201,850 | ||||||||||
Morgan Stanley: | ||||||||||||
6.625%, 04/01/2018 | 1,275,000 | 1,288,968 | ||||||||||
7.300%, 05/13/2019 | 4,675,000 | 4,984,066 | ||||||||||
2.375%, 07/23/2019 | 2,000,000 | 2,002,250 | ||||||||||
5.625%, 09/23/2019 | 10,100,000 | 10,643,527 | ||||||||||
2.650%, 01/27/2020 | 7,000,000 | 7,031,607 | ||||||||||
3.750%, 02/25/2023 | 1,000,000 | 1,036,361 | ||||||||||
2.765%, 10/24/2023 (3 Month LIBOR USD + 1.400%)(3) | 10,000,000 | 10,284,477 | ||||||||||
3.700%, 10/23/2024 | 5,000,000 | 5,166,638 | ||||||||||
4.000%, 07/23/2025 | 2,500,000 | 2,617,627 | ||||||||||
3.875%, 01/27/2026 | 7,000,000 | 7,296,565 | ||||||||||
3.125%, 07/27/2026 | 13,175,000 | 12,994,895 | ||||||||||
3.591%, 07/22/2028 (3 Month LIBOR USD + 1.340%)(3) | 15,350,000 | 15,491,278 | ||||||||||
MUFG Americas Holdings Corp.: | ||||||||||||
2.250%, 02/10/2020 | 7,000,000 | 6,961,988 | ||||||||||
3.500%, 06/18/2022 | 1,150,000 | 1,178,826 | ||||||||||
Nationwide Building Society: | ||||||||||||
2.350%, 01/21/2020(1)(2) | 13,775,000 | 13,766,336 | ||||||||||
3.900%, 07/21/2025(1)(2) | 8,100,000 | 8,498,993 | ||||||||||
4.000%, 09/14/2026(1)(2) | 40,000,000 | 40,438,217 | ||||||||||
4.125%, 10/18/2032 (5 Year Mid Swap Rate USD + 1.850%)(1)(2)(3) | 8,000,000 | 8,002,707 | ||||||||||
Nationwide Financial Services, Inc., | ||||||||||||
5.375%, 03/25/2021(2) | 14,788,000 | 15,932,470 | ||||||||||
Nationwide Mutual Insurance Co.: | ||||||||||||
7.875%, 04/01/2033(2) | 3,600,000 | 5,157,759 | ||||||||||
9.375%, 08/15/2039(2) | 17,878,000 | 30,405,022 | ||||||||||
New England Mutual Life Insurance Co., | ||||||||||||
7.875%, 02/15/2024(2) | 3,200,000 | 3,999,044 | ||||||||||
New York Life Insurance Co., | ||||||||||||
6.750%, 11/15/2039(2) | 25,105,000 | 36,294,089 | ||||||||||
Nippon Life Insurance Co., | ||||||||||||
5.000%, 10/18/2042 (3 Month LIBOR USD + 4.240%)(1)(2)(3) | 2,000,000 | 2,115,000 | ||||||||||
Nomura Holdings, Inc.: | ||||||||||||
2.750%, 03/19/2019(1) | 11,268,000 | 11,352,267 | ||||||||||
6.700%, 03/04/2020(1) | 2,525,000 | 2,735,767 | ||||||||||
Peachtree Corners Funding Trust, | ||||||||||||
3.976%, 02/15/2025(2) | 16,000,000 | 16,474,383 | ||||||||||
Popular, Inc., | ||||||||||||
7.000%, 07/01/2019(1) | 1,000,000 | 1,040,000 | ||||||||||
Principal Financial Group, Inc.: | ||||||||||||
3.300%, 09/15/2022 | 1,215,000 | 1,235,833 | ||||||||||
3.125%, 05/15/2023 | 3,550,000 | 3,569,126 | ||||||||||
Principal Life Global Funding II, | ||||||||||||
2.200%, 04/08/2020(2) | 8,000,000 | 7,969,525 | ||||||||||
Protective Life Corp., | ||||||||||||
7.375%, 10/15/2019 | 5,360,000 | 5,809,391 | ||||||||||
Protective Life Global Funding, | ||||||||||||
2.700%, 11/25/2020(2) | 10,725,000 | 10,772,132 | ||||||||||
Raymond James Financial, Inc., | ||||||||||||
4.950%, 07/15/2046 | 15,000,000 | 16,958,316 | ||||||||||
Regions Bank, | ||||||||||||
7.500%, 05/15/2018 | 15,864,000 | 16,181,669 | ||||||||||
Regions Financial Corp.: | ||||||||||||
3.200%, 02/08/2021 | 30,600,000 | 31,134,287 | ||||||||||
2.750%, 08/14/2022 | 12,000,000 | 11,962,251 | ||||||||||
Reliance Standard Life Global Funding II: | ||||||||||||
2.500%, 01/15/2020(2) | 14,000,000 | 14,000,643 | ||||||||||
2.375%, 05/04/2020(2) | 23,750,000 | 23,695,387 | ||||||||||
3.050%, 01/20/2021(2) | 10,954,000 | 11,102,782 | ||||||||||
Royal Bank of Canada, | ||||||||||||
4.650%, 01/27/2026(1) | 29,930,000 | 32,253,298 | ||||||||||
Royal Bank of Scotland Group PLC, | ||||||||||||
3.498%, 05/15/2023 (3 Month LIBOR USD + 1.480%)(1)(3) | 56,785,000 | 56,908,806 | ||||||||||
Santander Holdings USA, Inc., | ||||||||||||
3.400%, 01/18/2023(2) | 5,750,000 | 5,727,595 | ||||||||||
Santander Issuances SAU, | ||||||||||||
5.179%, 11/19/2025(1) | 11,150,000 | 12,041,956 | ||||||||||
Santander UK Group Holdings PLC: | ||||||||||||
2.875%, 08/05/2021(1) | 9,375,000 | 9,352,031 | ||||||||||
3.823%, 11/03/2028 (3 Month LIBOR USD + 1.400%)(1)(3) | 6,000,000 | 6,013,917 | ||||||||||
Santander UK PLC: | ||||||||||||
5.000%, 11/07/2023(1)(2) | 28,200,000 | 30,133,364 | ||||||||||
4.000%, 03/13/2024(1) | 7,700,000 | 8,128,863 | ||||||||||
Simon Property Group LP, | ||||||||||||
1.500%, 02/01/2018(2) | 12,000,000 | 11,998,574 | ||||||||||
Societe Generale SA: | ||||||||||||
5.200%, 04/15/2021(1)(2) | 10,100,000 | 10,878,035 | ||||||||||
3.250%, 01/12/2022(1)(2) | 20,000,000 | 20,183,200 | ||||||||||
5.000%, 01/17/2024(1)(2) | 13,000,000 | 13,878,596 | ||||||||||
4.250%, 04/14/2025(1)(2) | 17,100,000 | 17,444,329 | ||||||||||
Standard Chartered PLC: | ||||||||||||
1.700%, 04/17/2018(1)(2) | 10,000,000 | 9,990,340 | ||||||||||
2.100%, 08/19/2019(1)(2) | 18,685,000 | 18,566,575 | ||||||||||
2.250%, 04/17/2020(1)(2) | 7,000,000 | 6,936,118 | ||||||||||
3.050%, 01/15/2021(1)(2) | 14,000,000 | 14,111,580 | ||||||||||
5.700%, 03/26/2044(1)(2) | 14,000,000 | 16,980,490 | ||||||||||
Stifel Financial Corp.: | ||||||||||||
3.500%, 12/01/2020 | 5,000,000 | 5,039,284 | ||||||||||
4.250%, 07/18/2024 | 19,615,000 | 20,092,024 | ||||||||||
Sumitomo Mitsui Banking Corp.: | ||||||||||||
1.950%, 07/23/2018(1) | 4,000,000 | 3,999,395 | ||||||||||
2.250%, 07/11/2019(1) | 12,050,000 | 12,045,737 | ||||||||||
2.450%, 01/16/2020(1) | 12,450,000 | 12,453,956 | ||||||||||
3.000%, 01/18/2023(1) | 2,500,000 | 2,495,933 | ||||||||||
Sumitomo Mitsui Financial Group, Inc., | ||||||||||||
2.784%, 07/12/2022(1) | 13,325,000 | 13,248,877 | ||||||||||
SunTrust Bank: | ||||||||||||
7.250%, 03/15/2018 | 5,682,000 | 5,740,085 | ||||||||||
3.300%, 05/15/2026 | 28,734,000 | 28,457,908 | ||||||||||
SunTrust Banks, Inc., | ||||||||||||
2.900%, 03/03/2021 | 15,000,000 | 15,167,915 | ||||||||||
Swedbank AB, | ||||||||||||
2.650%, 03/10/2021(1)(2) | 7,025,000 | 7,046,897 | ||||||||||
Synchrony Financial: | ||||||||||||
3.750%, 08/15/2021 | 16,825,000 | 17,252,525 | ||||||||||
4.250%, 08/15/2024 | 33,325,000 | 34,553,251 | ||||||||||
4.500%, 07/23/2025 | 12,295,000 | 12,848,326 | ||||||||||
3.700%, 08/04/2026 | 5,388,000 | 5,312,143 | ||||||||||
3.950%, 12/01/2027 | 8,000,000 | 7,966,347 | ||||||||||
Synovus Financial Corp., | ||||||||||||
3.125%, 11/01/2022 | 15,000,000 | 14,875,500 | ||||||||||
TD Ameritrade Holding Corp., | ||||||||||||
5.600%, 12/01/2019 | 1,000,000 | 1,061,532 | ||||||||||
Torchmark Corp., | ||||||||||||
3.800%, 09/15/2022 | 1,275,000 | 1,317,866 | ||||||||||
Trinity Acquisition PLC: | ||||||||||||
4.400%, 03/15/2026(1) | 15,776,000 | 16,684,520 | ||||||||||
6.125%, 08/15/2043(1) | 5,650,000 | 7,124,337 | ||||||||||
UBS Group Funding Switzerland AG: | ||||||||||||
3.115%, 09/24/2020 (3 Month LIBOR USD + 1.440%)(1)(2)(3) | 26,350,000 | 26,932,421 | ||||||||||
2.650%, 02/01/2022(1)(2) | 10,000,000 | 9,886,765 | ||||||||||
3.491%, 05/23/2023(1)(2) | 24,075,000 | 24,458,127 | ||||||||||
2.859%, 08/15/2023 (3 Month LIBOR USD + 0.950%)(1)(2)(3) | 17,700,000 | 17,497,638 | ||||||||||
UnitedHealth Group, Inc., | ||||||||||||
4.625%, 07/15/2035 | 12,175,000 | 14,178,777 | ||||||||||
Voya Financial, Inc.: | ||||||||||||
5.500%, 07/15/2022 | 23,194,000 | 25,627,762 | ||||||||||
3.650%, 06/15/2026 | 7,102,000 | 7,182,279 | ||||||||||
Wells Fargo & Co.: | ||||||||||||
2.150%, 01/30/2020 | 7,000,000 | 6,984,651 | ||||||||||
2.500%, 03/04/2021 | 15,950,000 | 15,942,703 | ||||||||||
3.069%, 01/24/2023 | 12,000,000 | 12,090,055 | ||||||||||
2.610%, 10/31/2023 (3 Month LIBOR USD + 1.230%)(3) | 10,000,000 | 10,265,885 | ||||||||||
3.000%, 02/19/2025 | 5,225,000 | 5,181,363 | ||||||||||
3.000%, 04/22/2026 | 4,000,000 | 3,924,397 | ||||||||||
Westpac Banking Corp.: | ||||||||||||
1.600%, 08/19/2019(1) | 15,000,000 | 14,844,177 | ||||||||||
4.875%, 11/19/2019(1) | 636,000 | 666,726 | ||||||||||
2.100%, 05/13/2021(1) | 13,300,000 | 13,143,887 | ||||||||||
4.322%, 11/23/2031 (5 Year Mid Swap Rate USD + 2.240%)(1)(3) | 10,000,000 | 10,303,124 | ||||||||||
Willis North America, Inc., | ||||||||||||
7.000%, 09/29/2019 | 16,003,000 | 17,162,623 | ||||||||||
Willis Towers Watson PLC, | ||||||||||||
5.750%, 03/15/2021(1) | 20,329,000 | 22,121,246 | ||||||||||
3,573,921,901 | 21.8 | % | ||||||||||
Total Corporate Bonds | 8,078,094,872 | 49.4 | % |
Taxable Municipal Bonds | ||||||||||||
Bellevue Union School District, | ||||||||||||
5.000%, 08/01/2028 | 625,000 | 668,787 | ||||||||||
California Housing Finance Agency, | ||||||||||||
2.794%, 08/01/2036 (Callable 08/01/2025) | 17,440,000 | 17,219,035 | ||||||||||
California Qualified School Bond Joint Powers Authority: | ||||||||||||
6.739%, 09/01/2026 | 2,415,000 | 2,831,177 | ||||||||||
7.155%, 03/01/2027 | 1,700,000 | 2,023,901 | ||||||||||
California School Finance Authority, | ||||||||||||
5.041%, 07/01/2020 | 1,500,000 | 1,569,705 | ||||||||||
Camden County Improvement Authority, | ||||||||||||
7.747%, 07/01/2034 (Callable 07/01/2020) | 1,100,000 | 1,223,288 | ||||||||||
Central Valley Support Joint Powers Agency, | ||||||||||||
5.676%, 09/01/2024 | 1,500,000 | 1,654,770 | ||||||||||
City of Vernon CA Electric System Revenue, | ||||||||||||
4.500%, 08/01/2022 | 7,500,000 | 7,888,125 | ||||||||||
City of Williston ND, | ||||||||||||
3.100%, 07/15/2025 (Callable 10/20/2017) | 4,765,000 | 4,765,429 | ||||||||||
Colton Joint Unified School District, | ||||||||||||
6.008%, 08/01/2026 | 1,250,000 | 1,425,288 | ||||||||||
Elgin Local School District, | ||||||||||||
5.499%, 08/31/2027 (Callable 12/01/2019) | 1,000,000 | 1,027,440 | ||||||||||
Hillsborough City School District: | ||||||||||||
–%, 09/01/2036 (Callable 09/01/2021) | 10,000,000 | 4,462,200 | ||||||||||
–%, 09/01/2042 (Callable 09/01/2021) | 10,000,000 | 3,298,000 | ||||||||||
Iowa Tobacco Settlement Authority, | ||||||||||||
6.500%, 06/01/2023 (Callable 01/29/2018) | 1,885,000 | 1,916,385 | ||||||||||
New Hampshire Housing Finance Authority: | ||||||||||||
3.100%, 07/01/2021 | 1,470,000 | 1,476,879 | ||||||||||
3.750%, 07/01/2034 (Callable 07/01/2023) | 4,310,000 | 4,375,383 | ||||||||||
North Carolina Housing Finance Agency: | ||||||||||||
2.870%, 07/01/2032 (Callable 01/01/2024) | 4,240,000 | 4,182,336 | ||||||||||
2.812%, 07/01/2035 (Callable 01/01/2024) | 5,265,000 | 5,192,870 | ||||||||||
North East Texas Independent School District, | ||||||||||||
5.240%, 08/01/2027 | 3,000,000 | 3,489,090 | ||||||||||
Rhode Island Housing & Mortgage Finance Corp., | ||||||||||||
2.913%, 10/01/2039 (Callable 10/01/2023) | 3,005,000 | 2,983,394 | ||||||||||
San Dieguito Public Facilities Authority, | ||||||||||||
6.459%, 05/01/2027 | 1,825,000 | 2,282,710 | ||||||||||
State of Illinois: | ||||||||||||
5.163%, 02/01/2018 | 3,000,000 | 3,006,630 | ||||||||||
6.200%, 07/01/2021 | 15,910,000 | 16,646,951 | ||||||||||
State Public School Building Authority, | ||||||||||||
5.000%, 09/15/2027 | 1,998,000 | 2,234,583 | ||||||||||
Three Rivers Local School District, | ||||||||||||
5.209%, 09/15/2027 (Callable 12/01/2020) | 1,350,000 | 1,392,593 | ||||||||||
Town of Davie FL, | ||||||||||||
6.599%, 10/01/2030 (Callable 10/01/2020) | 1,000,000 | 1,104,040 | ||||||||||
West Allis West Milwaukee School District, | ||||||||||||
4.000%, 04/01/2020 (Callable 04/01/2018) | 16,520,000 | 16,544,284 | ||||||||||
West Contra Costa Unified School District, | ||||||||||||
6.250%, 08/01/2030 | 4,320,000 | 5,395,464 | ||||||||||
Westlake City School District, | ||||||||||||
5.227%, 12/01/2026 (Callable 12/01/2020) | 1,160,000 | 1,176,310 | ||||||||||
123,457,047 | 0.7 | % | ||||||||||
Residential Mortgage-Backed Securities | ||||||||||||
U.S. Government Agency Issues | ||||||||||||
Fannie Mae REMIC Trust: | ||||||||||||
Series 1989-94, Class G, 7.500%, 12/25/2019 | 1,325 | 1,369 | ||||||||||
Series 1990-15, Class J, 7.000%, 02/25/2020 | 1,418 | 1,436 | ||||||||||
Series 1991-21, Class J, 7.000%, 03/25/2021 | 1,019 | 1,060 | ||||||||||
Series 1991-43, Class J, 7.000%, 05/25/2021 | 20,826 | 21,774 | ||||||||||
Series 1991-65, Class Z, 6.500%, 06/25/2021 | 13,007 | 13,586 | ||||||||||
Series 1992-129, Class L, 6.000%, 07/25/2022 | 40,817 | 42,719 | ||||||||||
Series 1993-32, Class H, 6.000%, 03/25/2023 | 11,334 | 11,996 | ||||||||||
Series 1993-58, Class H, 5.500%, 04/25/2023 | 49,820 | 52,151 | ||||||||||
Series 2004-90, Class LH, 5.000%, 04/25/2034 | 492,303 | 495,597 | ||||||||||
Federal Gold Loan Mortgage Corp. (FGLMC): | ||||||||||||
5.000%, 12/01/2020 | 17,942 | 18,485 | ||||||||||
5.000%, 05/01/2021 | 31,987 | 32,931 | ||||||||||
6.000%, 06/01/2021 | 7,746 | 8,093 | ||||||||||
3.000%, 05/01/2027 | 6,291,947 | 6,410,132 | ||||||||||
6.500%, 12/01/2028 | 17,407 | 19,289 | ||||||||||
6.500%, 06/01/2029 | 7,859 | 8,732 | ||||||||||
3.000%, 10/01/2030 | 42,914,873 | 43,762,612 | ||||||||||
3.000%, 02/01/2032 | 62,952,493 | 64,204,861 | ||||||||||
3.500%, 05/01/2032 | 30,990,771 | 32,250,480 | ||||||||||
3.500%, 01/01/2034 | 31,402,448 | 32,696,851 | ||||||||||
5.000%, 03/01/2036 | 4,300,616 | 4,664,690 | ||||||||||
5.500%, 04/01/2037 | 133,557 | 147,482 | ||||||||||
5.500%, 04/01/2038 | 72,845 | 80,484 | ||||||||||
5.500%, 05/01/2038 | 138,621 | 152,937 | ||||||||||
5.500%, 01/01/2039 | 21,974,909 | 24,410,931 | ||||||||||
4.500%, 11/01/2039 | 2,799,457 | 2,987,258 | ||||||||||
4.500%, 11/01/2039 | 835,133 | 890,950 | ||||||||||
4.500%, 08/01/2040 | 2,685,772 | 2,871,052 | ||||||||||
4.500%, 08/01/2040 | 4,010,956 | 4,279,538 | ||||||||||
4.000%, 10/01/2040 | 26,372,247 | 27,685,262 | ||||||||||
4.000%, 01/01/2041 | 18,579,921 | 19,507,137 | ||||||||||
3.500%, 06/01/2042 | 7,553,553 | 7,795,113 | ||||||||||
3.500%, 07/01/2042 | 27,221,039 | 28,091,579 | ||||||||||
3.500%, 07/01/2042 | 43,700,348 | 45,097,884 | ||||||||||
3.000%, 08/01/2042 | 23,889,603 | 24,016,283 | ||||||||||
3.500%, 09/01/2042 | 17,023,839 | 17,567,798 | ||||||||||
3.000%, 11/01/2042 | 58,291,946 | 58,601,205 | ||||||||||
3.000%, 01/01/2043 | 43,745,547 | 43,996,500 | ||||||||||
3.000%, 02/01/2043 | 7,885,590 | 7,930,686 | ||||||||||
3.500%, 02/01/2043 | 17,059,084 | 17,633,759 | ||||||||||
3.000%, 03/01/2043 | 18,166,044 | 18,269,874 | ||||||||||
3.000%, 04/01/2043 | 14,593,083 | 14,676,462 | ||||||||||
3.000%, 04/01/2043 | 14,944,696 | 15,031,707 | ||||||||||
3.000%, 06/01/2043 | 13,208,020 | 13,280,149 | ||||||||||
3.000%, 08/01/2043 | 29,845,570 | 29,971,590 | ||||||||||
3.500%, 05/01/2044 | 14,661,420 | 15,150,318 | ||||||||||
3.500%, 08/01/2044 | 30,992,440 | 31,937,063 | ||||||||||
3.500%, 08/01/2044 | 37,002,789 | 38,171,558 | ||||||||||
4.000%, 09/01/2044 | 17,328,240 | 18,125,764 | ||||||||||
4.000%, 10/01/2044 | 25,591,793 | 27,003,730 | ||||||||||
4.000%, 02/01/2045 | 18,612,402 | 19,465,304 | ||||||||||
3.500%, 06/01/2045 | 32,261,316 | 33,338,409 | ||||||||||
3.000%, 10/01/2045 | 40,610,564 | 40,849,061 | ||||||||||
4.000%, 10/01/2045 | 27,985,627 | 29,266,328 | ||||||||||
3.500%, 01/01/2046 | 61,955,926 | 63,904,962 | ||||||||||
3.500%, 08/01/2046 | 66,116,671 | 68,308,103 | ||||||||||
3.000%, 05/01/2047 | 90,814,790 | 90,993,353 | ||||||||||
Federal Home Loan Mortgage Corp. (FHLMC): | ||||||||||||
Series 1053, Class G, 7.000%, 03/15/2021 | 1,322 | 1,390 | ||||||||||
Series 136, Class E, 6.000%, 04/15/2021 | 1,848 | 1,895 | ||||||||||
Series 1122, Class G, 7.000%, 08/15/2021 | 3,691 | 3,905 | ||||||||||
Series 1186, Class I, 7.000%, 12/15/2021 | 6,989 | 7,451 | ||||||||||
Federal National Mortgage Association (FNMA): | ||||||||||||
5.000%, 11/01/2021 | 67,513 | 68,729 | ||||||||||
3.000%, 04/01/2027 | 11,853,943 | 12,106,841 | ||||||||||
3.500%, 07/01/2027 | 43,124,905 | 44,675,122 | ||||||||||
2.500%, 12/01/2027 | 17,893,476 | 17,983,012 | ||||||||||
5.000%, 05/01/2028 | 46,728 | 50,165 | ||||||||||
3.500%, 07/01/2028 | 31,624,309 | 32,650,949 | ||||||||||
6.500%, 09/01/2028 | 12,586 | 14,096 | ||||||||||
6.500%, 02/01/2029 | 28,530 | 32,032 | ||||||||||
4.500%, 07/01/2030 | 5,235,212 | 5,586,861 | ||||||||||
3.000%, 08/01/2030 | 33,693,890 | 34,393,542 | ||||||||||
4.000%, 11/01/2031 | 22,812,473 | 24,066,289 | ||||||||||
3.500%, 01/01/2032 | 54,477,348 | 56,650,938 | ||||||||||
5.500%, 01/01/2032 | 11,938 | 13,193 | ||||||||||
5.000%, 09/01/2033 | 15,914,460 | 17,288,187 | ||||||||||
4.500%, 10/01/2033 | 28,584,573 | 30,554,838 | ||||||||||
4.000%, 01/01/2034 | 15,986,792 | 16,872,658 | ||||||||||
5.500%, 04/01/2034 | 880,239 | 976,713 | ||||||||||
4.000%, 09/01/2034 | 22,959,308 | 24,234,405 | ||||||||||
5.500%, 09/01/2034 | 27,107 | 30,054 | ||||||||||
5.000%, 02/01/2035 | 22,602,720 | 24,553,009 | ||||||||||
5.000%, 02/01/2035 | 15,569,296 | 16,858,364 | ||||||||||
5.500%, 02/01/2035 | 13,137 | 14,573 | ||||||||||
5.000%, 04/01/2035 | 1,599,768 | 1,737,839 | ||||||||||
5.000%, 07/01/2035 | 4,514,039 | 4,903,247 | ||||||||||
5.000%, 02/01/2036 | 2,822,395 | 3,065,884 | ||||||||||
5.000%, 03/01/2036 | 1,250,070 | 1,358,072 | ||||||||||
5.500%, 04/01/2036 | 4,218,807 | 4,677,524 | ||||||||||
6.000%, 05/01/2038 | 6,913,728 | 7,793,464 | ||||||||||
4.000%, 06/01/2039 | 14,217,207 | 14,969,371 | ||||||||||
5.000%, 06/01/2039 | 19,708,622 | 21,398,645 | ||||||||||
4.500%, 01/01/2040 | 9,838,005 | 10,506,478 | ||||||||||
4.500%, 01/01/2040 | 4,444,358 | 4,751,887 | ||||||||||
5.000%, 06/01/2040 | 16,522,447 | 17,833,671 | ||||||||||
4.000%, 08/01/2040 | 1,284,257 | 1,349,252 | ||||||||||
4.500%, 08/01/2040 | 5,823,465 | 6,234,012 | ||||||||||
4.500%, 08/01/2040 | 15,519,507 | 16,618,936 | ||||||||||
4.000%, 10/01/2040 | 2,295,275 | 2,411,512 | ||||||||||
4.000%, 11/01/2040 | 23,525,781 | 24,717,876 | ||||||||||
4.000%, 12/01/2040 | 4,752,039 | 5,049,080 | ||||||||||
3.500%, 01/01/2041 | 2,299,726 | 2,374,646 | ||||||||||
4.000%, 01/01/2041 | 4,943,195 | 5,192,953 | ||||||||||
3.500%, 02/01/2041 | 2,744,157 | 2,833,465 | ||||||||||
4.000%, 02/01/2041 | 345,779 | 363,446 | ||||||||||
3.500%, 03/01/2041 | 19,367,366 | 19,997,679 | ||||||||||
4.000%, 03/01/2041 | 8,783,239 | 9,226,069 | ||||||||||
4.500%, 07/01/2041 | 6,978,833 | 7,479,842 | ||||||||||
3.500%, 09/01/2041 | 40,211,968 | 41,520,534 | ||||||||||
4.000%, 09/01/2041 | 4,029,114 | 4,231,565 | ||||||||||
3.500%, 11/01/2041 | 21,728,852 | 22,436,949 | ||||||||||
3.500%, 12/01/2041 | 3,773,340 | 3,896,301 | ||||||||||
4.000%, 12/01/2041 | 17,625,980 | 18,511,654 | ||||||||||
4.000%, 01/01/2042 | 33,573,181 | 35,256,514 | ||||||||||
4.500%, 01/01/2042 | 13,594,520 | 14,571,527 | ||||||||||
4.000%, 02/01/2042 | 29,127,891 | 30,585,793 | ||||||||||
3.000%, 05/01/2042 | 4,192,548 | 4,215,204 | ||||||||||
3.500%, 05/01/2042 | 21,776,234 | 22,499,413 | ||||||||||
3.500%, 06/01/2042 | 8,341,446 | 8,613,535 | ||||||||||
3.500%, 08/01/2042 | 13,411,405 | 13,847,502 | ||||||||||
3.500%, 09/01/2042 | 21,926,539 | 22,637,892 | ||||||||||
3.000%, 03/01/2043 | 8,014,074 | 8,057,292 | ||||||||||
3.000%, 04/01/2043 | 2,373,924 | 2,386,754 | ||||||||||
3.000%, 05/01/2043 | 32,206,573 | 32,380,649 | ||||||||||
3.500%, 05/01/2043 | 20,181,742 | 20,856,507 | ||||||||||
3.000%, 06/01/2043 | 33,684,158 | 33,864,478 | ||||||||||
3.000%, 07/01/2043 | 26,164,101 | 26,302,813 | ||||||||||
4.000%, 07/01/2043 | 38,607,866 | 40,544,562 | ||||||||||
3.000%, 08/01/2043 | 9,725,217 | 9,775,272 | ||||||||||
3.500%, 09/01/2043 | 47,189,817 | 48,744,939 | ||||||||||
4.500%, 09/01/2043 | 9,353,338 | 10,026,278 | ||||||||||
4.000%, 01/01/2045 | 19,892,330 | 20,941,598 | ||||||||||
3.500%, 02/01/2045 | 63,892,750 | 65,967,980 | ||||||||||
4.000%, 02/01/2045 | 26,971,274 | 28,460,328 | ||||||||||
4.000%, 02/01/2045 | 9,612,363 | 10,091,030 | ||||||||||
4.000%, 02/01/2045 | 19,319,027 | 20,283,571 | ||||||||||
4.000%, 03/01/2045 | 13,970,137 | 14,741,755 | ||||||||||
4.000%, 11/01/2045 | 70,080,535 | 73,303,592 | ||||||||||
3.500%, 12/01/2045 | 48,161,145 | 49,474,459 | ||||||||||
4.500%, 02/01/2046 | 40,984,814 | 43,917,928 | ||||||||||
4.500%, 08/01/2046 | 45,126,513 | 48,103,948 | ||||||||||
3.000%, 10/01/2046 | 33,631,733 | 33,710,530 | ||||||||||
3.500%, 11/01/2046 | 39,692,006 | 40,774,374 | ||||||||||
Freddie Mac Multifamily Structured Pass Through Certificates, | ||||||||||||
Series 2804, Class VC, 5.000%, 07/15/2021 | 2,032 | 2,030 | ||||||||||
Government National Mortgage Association (GNMA): | ||||||||||||
6.000%, 12/20/2028 | 20,830 | 23,483 | ||||||||||
6.500%, 01/20/2029 | 11,078 | 12,734 | ||||||||||
6.000%, 11/20/2033 | 15,343 | 17,405 | ||||||||||
5.000%, 07/20/2040 | 786,792 | 855,324 | ||||||||||
4.000%, 08/20/2041 | 7,409,740 | 7,798,604 | ||||||||||
3.500%, 10/20/2041 | 13,507,658 | 14,039,076 | ||||||||||
4.000%, 12/20/2041 | 9,553,587 | 10,055,348 | ||||||||||
4.000%, 02/20/2042 | 18,679,243 | 19,659,501 | ||||||||||
4.000%, 06/20/2042 | 15,809,389 | 16,632,238 | ||||||||||
3.500%, 09/20/2042 | 10,148,721 | 10,548,015 | ||||||||||
3.000%, 04/20/2045 | 21,620,579 | 21,841,937 | ||||||||||
3.500%, 04/20/2045 | 31,060,093 | 32,152,341 | ||||||||||
4.000%, 05/20/2045 | 24,258,335 | 25,472,621 | ||||||||||
3.500%, 06/20/2045 | 29,196,964 | 30,229,121 | ||||||||||
4.500%, 01/20/2046 | 24,311,219 | 25,660,288 | ||||||||||
3.000%, 06/20/2046 | 16,869,201 | 17,038,656 | ||||||||||
3.000%, 08/20/2046 | 60,671,081 | 61,280,535 | ||||||||||
2,861,594,755 | 17.5 | % | ||||||||||
Non-U.S. Government Agency Issues | ||||||||||||
ABFC Trust, | ||||||||||||
Series 2006-OPT1, Class A3C2, 1.702%, 09/25/2036 (1 Month LIBOR USD + 0.150%)(3) | 8,568,504 | 8,110,471 | ||||||||||
Accredited Mortgage Loan Trust: | ||||||||||||
Series 2005-4, Class A2D, 1.872%, 12/25/2035 (1 Month LIBOR USD + 0.320%)(3) | 8,265,799 | 8,236,758 | ||||||||||
Series 2007-1, Class A3, 1.682%, 02/25/2037 (1 Month LIBOR USD + 0.130%)(3) | 4,143,317 | 4,122,168 | ||||||||||
ACE Securities Corp. Home Equity Loan Trust, | ||||||||||||
Series 2006-OP1, Class A2C, 1.702%, 04/25/2036 (1 Month LIBOR USD + 0.150%)(3) | 9,269,735 | 9,197,596 | ||||||||||
Alternative Loan Trust: | ||||||||||||
Series 2005-3CB, Class 2A1, 5.000%, 03/25/2020 | 686,161 | 681,427 | ||||||||||
Series 2005-50CB, Class 4A1, 5.000%, 11/25/2020 | 209,707 | 209,636 | ||||||||||
Series 2005-85CB, Class 3A1, 5.250%, 02/25/2021(2) | 9,601 | 9,386 | ||||||||||
Series 2006-7CB, Class 3A1, 5.250%, 05/25/2021 | 257,384 | 251,549 | ||||||||||
Series 2006-J5, Class 3A1, 4.473%, 07/25/2021(4) | 14,787 | 14,184 | ||||||||||
Series 2006-43CB, Class 2A1, 6.000%, 02/25/2022 | 179,637 | 180,541 | ||||||||||
Series 2004-18CB, Class 1A1, 6.000%, 09/25/2034 | 6,285,305 | 6,486,282 | ||||||||||
Series 2005-6CB, Class 1A4, 5.500%, 04/25/2035(8) | 18,515,600 | 17,791,610 | ||||||||||
Series 2005-11CB, Class 2A6, 5.500%, 06/25/2035(8) | 7,453,605 | 7,296,459 | ||||||||||
Series 2005-29CB, Class A1, 5.500%, 07/25/2035 | 3,711,200 | 3,472,122 | ||||||||||
Series 2005-49CB, Class A5, 5.500%, 11/25/2035(8) | 3,455,662 | 3,234,496 | ||||||||||
Series 2005-73CB, Class 1A7, 5.500%, 01/25/2036 | 465,659 | 460,502 | ||||||||||
Series 2005-85CB, Class 2A2, 5.500%, 02/25/2036(8) | 4,236,339 | 3,982,095 | ||||||||||
Series 2006-28CB, Class A17, 6.000%, 10/25/2036(8) | 592,000 | 480,696 | ||||||||||
AMRESCO Residential Securities Corp. Mortgage Loan Trust, | ||||||||||||
Series 1998-2, Class A6, 6.405%, 12/25/2027 | 1,654 | 1,639 | ||||||||||
Argent Securities Inc. Asset-Backed Pass-Through Certificates, | ||||||||||||
Series 2005-W5, Class A1, 1.787%, 01/25/2036 (1 Month LIBOR USD + 0.240%)(3) | 45,568,898 | 45,186,092 | ||||||||||
Asset Backed Securities Corp. Home Equity Loan Trust: | ||||||||||||
Series 2006-HE3, Class A4, 1.722%, 03/25/2036 (1 Month LIBOR USD + 0.170%)(3) | 922,580 | 917,277 | ||||||||||
Series 2006-HE2, Class A1, 1.742%, 03/25/2036 (1 Month LIBOR USD + 0.190%)(3) | 22,285,356 | 22,155,575 | ||||||||||
Series 2006-HE6, Class A4, 1.712%, 11/25/2036 (1 Month LIBOR USD + 0.160%)(3) | 870,223 | 855,331 | ||||||||||
Banc of America Alternative Loan Trust: | ||||||||||||
Series 2004-6, Class 4A1, 5.000%, 07/25/2019 | 1,432,229 | 1,430,994 | ||||||||||
Series 2004-11, Class 4A1, 5.500%, 12/25/2019 | 2,142 | 2,156 | ||||||||||
Series 2005-2, Class 4A1, 5.500%, 03/25/2020 | 254,161 | 255,312 | ||||||||||
Series 2005-4, Class 3A1, 5.500%, 05/25/2020 | 181,530 | 179,333 | ||||||||||
Series 2005-8, Class 5A1, 5.500%, 09/25/2020(8) | 50,047 | 48,527 | ||||||||||
Series 2007-1, Class 1A1, 5.686%, 04/25/2022(4) | 310,944 | 312,667 | ||||||||||
Series 2003-8, Class 1CB1, 5.500%, 10/25/2033 | 2,778,594 | 2,833,221 | ||||||||||
Series 2004-6, Class 1A1, 6.000%, 07/25/2034 | 0 | 0 | ||||||||||
Series 2004-10, Class 1CB1, 6.000%, 11/25/2034 | 14,190,695 | 14,910,417 | ||||||||||
Series 2004-11, Class 1CB1, 6.000%, 12/25/2034 | 14,581,750 | 15,202,197 | ||||||||||
Series 2005-2, Class 1CB2, 5.500%, 03/25/2035(8) | 1,014,942 | 1,009,326 | ||||||||||
Series 2005-6, Class CB7, 5.250%, 07/25/2035(8) | 3,507,389 | 3,465,130 | ||||||||||
Series 2005-9, Class 1CB3, 5.500%, 10/25/2035(8) | 19,380 | 19,226 | ||||||||||
Series 2005-9, Class 2CB1, 6.000%, 10/25/2035(8) | 7,450,455 | 7,263,889 | ||||||||||
Series 2006-4, Class 3CB4, 6.000%, 05/25/2046(8) | 36,444 | 34,481 | ||||||||||
Series 2006-5, Class CB7, 6.000%, 06/25/2046(8) | 282,001 | 255,330 | ||||||||||
Banc of America Funding Trust: | ||||||||||||
Series 2005-C, Class A1, 1.741%, 05/20/2035 (1 Month LIBOR USD + 0.240%)(3) | 9,485,697 | 9,361,996 | ||||||||||
Series 2007-C, Class 1A3, 3.444%, 05/20/2036(4)(8) | 3,656,212 | 3,420,704 | ||||||||||
Series 2007-C, Class 7A5, 1.801%, 05/20/2047 (1 Month LIBOR USD + 0.300%)(3) | 3,983,657 | 3,647,441 | ||||||||||
Bayview Financial Trust: | ||||||||||||
Series 2007-A, Class 1A2, 6.205%, 05/28/2037(6) | 328,303 | 337,896 | ||||||||||
Series 2007-B, Class 1A2, 6.831%, 08/28/2047(6) | 121,040 | 113,449 | ||||||||||
Bear Stearns ARM Trust, | ||||||||||||
Series 2005-9, Class A1, 3.520%, 10/25/2035 (1 Year CMT Rate + 2.300%)(3) | 1,230,680 | 1,253,104 | ||||||||||
Bear Stearns Asset Backed Securities I Trust: | ||||||||||||
Series 2005-HE4, Class M2, 2.512%, 04/25/2035 (1 Month LIBOR USD + 0.960%)(3) | 5,410,974 | 5,423,526 | ||||||||||
Series 2006-HE8, Class 21A2, 1.722%, 10/25/2036 (1 Month LIBOR USD + 0.170%)(3) | 8,058,700 | 8,009,929 | ||||||||||
Series 2007-HE5, Class 1A2, 1.732%, 06/25/2047 (1 Month LIBOR USD + 0.180%)(3) | 6,242,769 | 6,240,249 | ||||||||||
Bear Stearns Asset Backed Securities Trust, | ||||||||||||
Series 2007-2, Class A2, 1.872%, 01/25/2047 (1 Month LIBOR USD + 0.320%)(3) | 8,476,011 | 8,410,336 | ||||||||||
Carrington Mortgage Loan Trust: | ||||||||||||
Series 2005-NC1, Class M2, 2.332%, 02/25/2035 (1 Month LIBOR USD + 0.780%)(3) | 5,152,937 | 5,158,769 | ||||||||||
Series 2005-FRE1, Class A6, 1.932%, 12/25/2035 (1 Month LIBOR USD + 0.380%)(3) | 8,210,809 | 8,172,244 | ||||||||||
Series 2006-NC1, Class A3, 1.762%, 01/25/2036 (1 Month LIBOR USD + 0.210%)(3) | 2,347,940 | 2,345,212 | ||||||||||
Series 2006-OPT1, Class A3, 1.732%, 02/25/2036 (1 Month LIBOR USD + 0.180%)(3) | 4,214,165 | 4,200,785 | ||||||||||
Series 2007-HE1, Class A2, 1.702%, 06/25/2037 (1 Month LIBOR USD + 0.150%)(3) | 2,156,472 | 2,133,097 | ||||||||||
Chase Mortgage Finance Trust: | ||||||||||||
Series 2005-A2, Class 1A5, 3.448%, 01/25/2036(4) | 1,243,102 | 1,208,547 | ||||||||||
Series 2006-A1, Class 2A3, 3.623%, 09/25/2036(4)(8) | 936,254 | 933,716 | ||||||||||
Series 2007-A1, Class 3A1, 3.632%, 02/25/2037(4) | 4,702,565 | 4,696,503 | ||||||||||
Series 2007-A1, Class 2A3, 3.686%, 02/25/2037(4) | 2,327,296 | 2,352,604 | ||||||||||
CHL Mortgage Pass-Through Trust, | ||||||||||||
Series 2005-6, Class 2A1, 5.500%, 04/25/2035 | 652,990 | 631,295 | ||||||||||
Citicorp Mortgage Securities Trust: | ||||||||||||
Series 2006-3, Class 1A4, 6.000%, 06/25/2036 | 6,583,779 | 6,579,376 | ||||||||||
Series 2007-2, Class 1A3, 6.000%, 02/25/2037 | 1,383,332 | 1,356,640 | ||||||||||
Citicorp Residential Mortgage Trust: | ||||||||||||
Series 2006-2, Class A4, 5.534%, 09/25/2036(6) | 1,797,618 | 1,807,979 | ||||||||||
Series 2006-3, Class A4, 5.468%, 11/25/2036(6) | 1,555,538 | 1,574,877 | ||||||||||
Series 2007-1, Class A6, 5.507%, 03/25/2037(6) | 73,441 | 76,301 | ||||||||||
Series 2007-2, Class A4, 5.243%, 06/25/2037(6) | 29,106,365 | 29,565,487 | ||||||||||
Citigroup Mortgage Loan Trust, Inc.: | ||||||||||||
Series 2006-AR1, Class 1A1, 3.210%, 10/25/2035 (1 Year CMT Rate + 2.400%)(3) | 18,615,924 | 18,704,214 | ||||||||||
Series 2005-9, Class 2A2, 5.500%, 11/25/2035(8) | 285,804 | 286,245 | ||||||||||
Series 2005-9, Class 22A2, 6.000%, 11/25/2035(8) | 4,789,620 | 4,890,129 | ||||||||||
Series 2007-AMC4, Class A2C, 1.722%, 05/25/2037 (1 Month LIBOR USD + 0.170%)(3) | 3,646,031 | 3,615,070 | ||||||||||
Cityscape Home Equity Loan Trust, | ||||||||||||
Series 1997-C, Class A4, 7.000%, 07/25/2028(6) | 7,057 | 7,158 | ||||||||||
Countrywide Asset-Backed Certificates: | ||||||||||||
Series 2006-22, Class 2A3, 1.712%, 01/25/2034 (1 Month LIBOR USD + 0.160%)(3) | 14,788,736 | 14,438,656 | ||||||||||
Series 2004-12, Class AF6, 4.634%, 03/25/2035(4) | 40,201 | 41,213 | ||||||||||
Series 2005-10, Class AF6, 4.454%, 02/25/2036(4) | 385,825 | 394,275 | ||||||||||
Series 2005-13, Class AF3, 4.671%, 04/25/2036(4) | 656,508 | 601,349 | ||||||||||
Series 2006-S9, Class A3, 5.728%, 08/25/2036(4) | 9,516 | 9,486 | ||||||||||
Series 2006-13, Class 3AV2, 1.478%, 01/25/2037 (1 Month LIBOR USD + 0.150%)(3)(8) | 8,224,944 | 8,207,145 | ||||||||||
Series 2006-13, Class 1AF3, 4.465%, 01/25/2037(4) | 54,430 | 103,482 | ||||||||||
Series 2006-23, Class 2A3, 1.722%, 05/25/2037 (1 Month LIBOR USD + 0.170%)(3) | 5,183,784 | 5,146,732 | ||||||||||
Series 2006-10, Class 1AF3, 4.664%, 09/25/2046(4) | 738,177 | 665,436 | ||||||||||
Series 2006-9, Class 1AF3, 4.527%, 10/25/2046(4)(8) | 309,710 | 280,493 | ||||||||||
Series 2007-9, Class 2A3, 1.732%, 06/25/2047 (1 Month LIBOR USD + 0.180%)(3) | 37,165,488 | 36,409,534 | ||||||||||
Series 2007-11, Class 2A3, 1.742%, 06/25/2047 (1 Month LIBOR USD + 0.190%)(3) | 9,812,779 | 9,513,601 | ||||||||||
Credit Suisse First Boston Mortgage Securities Corp., | ||||||||||||
Series 2005-7, Class 3A1, 5.000%, 08/25/2020 | 155,123 | 150,232 | ||||||||||
Credit-Based Asset Servicing & Securitization LLC: | ||||||||||||
Series 2005-CB8, Class AF2, 3.834%, 12/25/2035(6) | 307,628 | 306,453 | ||||||||||
Series 2007-CB4, Class A1A, 1.418%, 04/25/2037 (1 Month LIBOR USD + 0.090%)(3) | 4,699,711 | 4,571,811 | ||||||||||
CWABS Asset-Backed Certificates Trust: | ||||||||||||
Series 2004-15, Class AF6, 4.613%, 04/25/2035(4) | 29,767 | 29,896 | ||||||||||
Series 2005-7, Class AF6, 4.693%, 10/25/2035(4) | 129,566 | 132,483 | ||||||||||
Series 2005-11, Class AF3, 4.629%, 02/25/2036(4) | 3,123,562 | 3,134,835 | ||||||||||
Series 2006-14, Class 2A2, 1.702%, 02/25/2037 (1 Month LIBOR USD + 0.150%)(3) | 5,949,860 | 5,922,209 | ||||||||||
Series 2006-18, Class 2A2, 1.712%, 03/25/2037 (1 Month LIBOR USD + 0.160%)(3) | 6,665,155 | 6,567,241 | ||||||||||
CWHEQ Home Equity Loan Trust, | ||||||||||||
Series 2007-S1, Class A6, 5.693%, 11/25/2036(4) | 8,329 | 8,238 | ||||||||||
Deutsche Alt-A Securities, Inc. Mortgage Loan Trust: | ||||||||||||
Series 2005-1, Class 1A1, 2.052%, 02/25/2035 (1 Month LIBOR USD + 0.500%)(3) | 8,563,969 | 8,238,825 | ||||||||||
Series 2005-2, Class 1A7, 5.504%, 04/25/2035(4) | 11,503,494 | 11,843,477 | ||||||||||
Series 2005-3, Class 4A5, 5.250%, 06/25/2035 | 740,661 | 740,483 | ||||||||||
First Franklin Mortgage Loan Trust: | ||||||||||||
Series 2006-FF3, Class A2B, 1.752%, 02/25/2036 (1 Month LIBOR USD + 0.200%)(3) | 11,765,668 | 11,690,818 | ||||||||||
Series 2006-FF4, Class A2, 1.742%, 03/25/2036 (1 Month LIBOR USD + 0.190%)(3) | 10,308,731 | 10,296,524 | ||||||||||
Series 2006-FF6, Class A4, 1.802%, 04/25/2036 (1 Month LIBOR USD + 0.250%)(3) | 28,848,000 | 28,085,588 | ||||||||||
Series 2006-FF15, Class A5, 1.712%, 11/25/2036 (1 Month LIBOR USD + 0.160%)(3) | 18,861,866 | 18,362,602 | ||||||||||
First Horizon Alternative Mortgage Securities Trust: | ||||||||||||
Series 2006-FA6, Class 3A1, 5.750%, 11/25/2021(8) | 82,007 | 79,814 | ||||||||||
Series 2004-AA1, Class A1, 3.327%, 06/25/2034(4) | 5,684,333 | 5,637,937 | ||||||||||
Series 2005-AA2, Class 2A1, 3.277%, 04/25/2035(4) | 2,955,312 | 2,960,512 | ||||||||||
Series 2006-FA8, Class 2A1, 5.750%, 02/25/2037 | 281,176 | 246,100 | ||||||||||
GE Capital Mortgage Services, Inc. Trust, | ||||||||||||
Series 1999-HE1, Class A7, 6.265%, 04/25/2029 | 293 | 276 | ||||||||||
GSAA Home Equity Trust: | ||||||||||||
Series 2004-6, Class A1, 2.352%, 06/25/2034 (1 Month LIBOR USD + 0.800%)(3) | 3,169,160 | 3,119,235 | ||||||||||
Series 2005-14, Class 1A1, 1.802%, 12/25/2035 (1 Month LIBOR USD + 0.250%)(3) | 23,829,018 | 23,332,397 | ||||||||||
Series 2007-8, Class A3, 2.002%, 08/25/2037 (1 Month LIBOR USD + 0.450%)(3) | 8,531,783 | 8,030,929 | ||||||||||
GSAMP Trust: | ||||||||||||
Series 2005-AHL2, Class A2C, 1.792%, 12/25/2035 (1 Month LIBOR USD + 0.240%)(3) | 6,704,287 | 6,681,074 | ||||||||||
Series 2006-HE7, Class A2D, 1.782%, 10/25/2046 (1 Month LIBOR USD + 0.230%)(3) | 1,032,541 | 1,025,712 | ||||||||||
GSR Mortgage Loan Trust: | ||||||||||||
Series 2004-15F, Class 5A1, 5.500%, 01/25/2020 | 199,818 | 183,709 | ||||||||||
Series 2005-3F, Class 2A4, 6.000%, 03/25/2035 | 3,102,678 | 3,209,043 | ||||||||||
Series 2005-AR2, Class 2A1, 3.665%, 04/25/2035(4) | 4,345,615 | 4,378,493 | ||||||||||
Home Equity Asset Trust, | ||||||||||||
Series 2007-2, Class 2A2, 1.737%, 07/25/2037 (1 Month LIBOR USD + 0.190%)(3) | 981,061 | 978,279 | ||||||||||
HomeBanc Mortgage Trust, | ||||||||||||
Series 2005-4, Class A1, 1.822%, 10/25/2035 (1 Month LIBOR USD + 0.270%)(3) | 8,469,045 | 8,443,114 | ||||||||||
HSI Asset Securitization Corp. Trust: | ||||||||||||
Series 2006-OPT4, Class 2A3, 1.712%, 03/25/2036 (1 Month LIBOR USD + 0.160%)(3) | 4,515,303 | 4,479,505 | ||||||||||
Series 2007-WF1, Class 2A3, 1.722%, 05/25/2037 (1 Month LIBOR USD + 0.170%)(3) | 7,738,121 | 7,732,551 | ||||||||||
J.P. Morgan Alternative Loan Trust: | ||||||||||||
Series 2005-S1, Class 3A1, 5.500%, 10/25/2020 | 522,848 | 559,492 | ||||||||||
Series 2006-A1, Class 2A1, 3.481%, 03/25/2036(4) | 109,784 | 99,848 | ||||||||||
Series 2006-S3, Class A3A, 6.000%, 08/25/2036(6)(8) | 421,850 | 447,905 | ||||||||||
Series 2007-S1, Class A1, 1.832%, 04/25/2047 (1 Month LIBOR USD + 0.280%)(3) | 8,825,687 | 8,617,108 | ||||||||||
J.P. Morgan Mortgage Acquisition Trust, | ||||||||||||
Series 2007-CH1, Class AV5, 1.792%, 11/25/2036 (1 Month LIBOR USD + 0.240%)(3) | 3,855,274 | 3,853,357 | ||||||||||
J.P. Morgan Mortgage Trust: | ||||||||||||
Series 2006-S3, Class 2A3, 5.000%, 08/25/2021 | 67,218 | 67,632 | ||||||||||
Series 2005-A8, Class 2A3, 3.430%, 11/25/2035(4)(8) | 8,198,541 | 7,942,840 | ||||||||||
Series 2006-A2, Class 3A3, 3.306%, 04/25/2036(4) | 2,455,400 | 2,275,659 | ||||||||||
Series 2006-A2, Class 2A1, 3.396%, 04/25/2036(4) | 2,044,016 | 2,017,917 | ||||||||||
Series 2006-A7, Class 2A2, 3.554%, 01/25/2037(4)(8) | 2,910,853 | 2,929,353 | ||||||||||
Series 2006-A7, Class 2A4R, 3.554%, 01/25/2037(4)(8) | 2,972,542 | 2,991,434 | ||||||||||
Series 2007-A2, Class 2A3, 3.636%, 04/25/2037(4) | 6,194,644 | 6,028,184 | ||||||||||
Series 2007-A4, Class 2A3, 3.593%, 06/25/2037(4) | 7,191,274 | 6,753,463 | ||||||||||
Long Beach Mortgage Loan Trust, | ||||||||||||
Series 2006-WL2, Class 2A3, 1.752%, 01/25/2036 (1 Month LIBOR USD + 0.200%)(3) | 779,928 | 777,087 | ||||||||||
Luminent Mortgage Trust, | ||||||||||||
Series 2005-1, Class A1, 1.812%, 11/25/2035 (1 Month LIBOR USD + 0.260%)(3) | 11,415,564 | 11,043,849 | ||||||||||
MASTR Alternative Loan Trust: | ||||||||||||
Series 2004-1, Class 1A1, 5.000%, 01/25/2019 | 19,046 | 19,050 | ||||||||||
Series 2004-5, Class 4A1, 5.500%, 07/25/2019 | 63,233 | 63,810 | ||||||||||
Series 2005-3, Class 4A1, 5.500%, 03/25/2020 | 184,445 | 186,125 | ||||||||||
Series 2004-2, Class 2A1, 6.000%, 02/25/2034 | 3,514,149 | 3,721,191 | ||||||||||
Series 2004-8, Class 2A1, 6.000%, 09/25/2034 | 2,843,430 | 3,020,088 | ||||||||||
Series 2005-6, Class 1A5, 5.500%, 12/25/2035(8) | 3,163,203 | 3,032,302 | ||||||||||
MASTR Asset Backed Securities Trust, | ||||||||||||
Series 2006-NC1, Class A4, 1.852%, 01/25/2036 (1 Month LIBOR USD + 0.300%)(3) | 4,120,534 | 4,127,945 | ||||||||||
Merrill Lynch Mortgage Investors Trust: | ||||||||||||
Series 2004-F, Class A1B, 2.172%, 12/25/2029 (1 Month LIBOR USD + 0.620%)(3) | 9,634,393 | 9,318,531 | ||||||||||
Series 2005-A5, Class A3, 3.164%, 06/25/2035(4) | 3,450,709 | 3,470,547 | ||||||||||
Morgan Stanley Capital I, Inc. Trust, | ||||||||||||
Series 2006-HE2, Class A1, 1.722%, 03/25/2036 (1 Month LIBOR USD + 0.170%)(3) | 9,112,976 | 8,615,554 | ||||||||||
MortgageIT Trust: | ||||||||||||
Series 2005-4, Class A1, 1.832%, 10/25/2035 (1 Month LIBOR USD + 0.280%)(3) | 6,568,421 | 6,483,875 | ||||||||||
Series 2005-5, Class A1, 1.812%, 12/25/2035 (1 Month LIBOR USD + 0.260%)(3) | 6,123,716 | 6,084,409 | ||||||||||
New Century Home Equity Loan Trust, | ||||||||||||
Series 2005-C, Class A1, 1.782%, 12/25/2035 (1 Month LIBOR USD + 0.230%)(3) | 7,181,586 | 7,153,099 | ||||||||||
New Residential Mortgage Loan Trust: | ||||||||||||
Series 2016-1A, Class A1, 3.750%, 03/25/2056(2)(4) | 19,380,798 | 19,716,834 | ||||||||||
Series 2017-1A, Class A1, 4.000%, 02/25/2057(2)(4) | 28,941,783 | 29,802,220 | ||||||||||
Series 2017-3A, Class A1, 4.000%, 04/25/2057(2)(4) | 31,436,360 | 32,372,946 | ||||||||||
Series 2017-6A, Class A1, 4.000%, 08/27/2057(2)(4) | 37,234,380 | 38,210,617 | ||||||||||
Nomura Asset Acceptance Corp. Alternative Loan Trust, | ||||||||||||
Series 2005-WF1, Class 2A3, 5.100%, 03/25/2035 | 5,640,451 | 5,783,955 | ||||||||||
RALI Series Trust: | ||||||||||||
Series 2004-QS3, Class CB, 5.000%, 03/25/2019 | 274,674 | 273,940 | ||||||||||
Series 2004-QS13, Class CB, 5.000%, 09/25/2019 | 313,133 | 314,553 | ||||||||||
Series 2005-QS2, Class A1, 5.500%, 02/25/2035 | 216,757 | 213,166 | ||||||||||
Series 2005-QS5, Class A1, 1.952%, 04/25/2035 (1 Month LIBOR USD + 0.400%)(3)(8) | 2,975,454 | 2,376,777 | ||||||||||
Series 2005-QS9, Class A2, 2.052%, 06/25/2035 (1 Month LIBOR USD + 0.500%)(3) | 1,235,480 | 1,025,318 | ||||||||||
Series 2005-QS11, Class A2, 2.052%, 07/25/2035 (1 Month LIBOR USD + 0.500%)(3) | 5,449,487 | 4,632,822 | ||||||||||
Series 2005-QA7, Class A22, 3.906%, 07/25/2035(4) | 3,262,252 | 3,085,350 | ||||||||||
RAMP Series Trust: | ||||||||||||
Series 2002-RS3, Class AI5, 5.572%, 06/25/2032(4) | 1,803,795 | 1,805,040 | ||||||||||
Series 2006-NC2, Class A2, 1.742%, 02/25/2036 (1 Month LIBOR USD + 0.190%)(3) | 3,736,074 | 3,733,537 | ||||||||||
Series 2006-RS4, Class A3, 1.722%, 07/25/2036 (1 Month LIBOR USD + 0.170%)(3) | 1,005,213 | 1,002,960 | ||||||||||
RASC Series Trust: | ||||||||||||
Series 2006-EMX2, Class A3, 1.852%, 02/25/2036 (1 Month LIBOR USD + 0.300%)(3) | 8,836,994 | 8,852,104 | ||||||||||
Series 2006-KS8, Class A3, 1.712%, 10/25/2036 (1 Month LIBOR USD + 0.160%)(3) | 6,204,228 | 6,194,896 | ||||||||||
Series 2007-KS1, Class A3, 1.702%, 01/25/2037 (1 Month LIBOR USD + 0.150%)(3) | 2,851,602 | 2,772,696 | ||||||||||
Renaissance Home Equity Loan Trust: | ||||||||||||
Series 2005-1, Class AF6, 4.970%, 05/25/2035(6) | 34,459 | 35,265 | ||||||||||
Series 2005-2, Class AF6, 4.781%, 08/25/2035(6) | 1,969,480 | 2,018,983 | ||||||||||
Series 2005-3, Class AF3, 4.814%, 11/25/2035(6) | 400,521 | 403,140 | ||||||||||
Series 2006-2, Class AF3, 5.797%, 08/25/2036(6) | 15,770,719 | 10,152,581 | ||||||||||
Series 2006-3, Class AF2, 5.580%, 11/25/2036(6) | 10,375,248 | 5,717,542 | ||||||||||
Series 2007-1, Class AF2, 5.512%, 04/25/2037(6) | 467,403 | 237,031 | ||||||||||
Series 2007-1, Class AF3, 5.612%, 04/25/2037(6) | 280,442 | 144,632 | ||||||||||
Series 2007-2, Class AF2, 5.675%, 06/25/2037(6) | 1,438,854 | 691,898 | ||||||||||
Soundview Home Loan Trust: | ||||||||||||
Series 2005-OPT4, Class 2A3, 1.812%, 12/25/2035 (1 Month LIBOR USD + 0.260%)(3) | 1,681,032 | 1,680,643 | ||||||||||
Series 2006-OPT4, Class 2A3, 1.702%, 06/25/2036 (1 Month LIBOR USD + 0.150%)(3) | 3,678,325 | 3,662,360 | ||||||||||
Series 2006-EQ1, Class A3, 1.712%, 10/25/2036 (1 Month LIBOR USD + 0.160%)(3) | 17,185,090 | 17,047,697 | ||||||||||
Specialty Underwriting & Residential Finance Trust, | ||||||||||||
Series 2004-BC4, Class A1A, 2.222%, 10/25/2035 (1 Month LIBOR USD + 0.670%)(3) | 2,254,672 | 2,244,259 | ||||||||||
Structured Asset Securities Corp.: | ||||||||||||
Series 2003-31A, Class 2A7, 3.398%, 10/25/2033(4) | 1,956,299 | 1,984,378 | ||||||||||
Series 2005-7XS, Class 1A4B, 5.440%, 04/25/2035(6) | 74,373 | 76,793 | ||||||||||
Towd Point Mortgage Trust: | ||||||||||||
Series 2015-3, Class A1A, 3.500%, 03/25/2054(2)(4) | 9,878,732 | 9,993,528 | ||||||||||
Series 2016-2, Class A1, 3.000%, 08/25/2055(2)(4) | 14,925,774 | 15,029,375 | ||||||||||
Series 2016-3, Class A1, 2.250%, 04/25/2056(2)(4) | 136,319 | 135,016 | ||||||||||
Series 2016-4, Class A1, 2.250%, 07/25/2056(2)(4) | 18,455,581 | 18,305,013 | ||||||||||
Series 2017-1, Class A1, 2.750%, 10/25/2056(2)(4) | 5,284,488 | 5,277,706 | ||||||||||
WaMu Mortgage Pass-Through Certificates Trust: | ||||||||||||
Series 2004-CB1, Class 5A, 5.000%, 06/25/2019 | 52,317 | 52,612 | ||||||||||
Series 2004-CB2, Class 5A, 5.000%, 07/25/2019 | 12,545 | 12,607 | ||||||||||
Series 2004-CB2, Class 7A, 5.500%, 08/25/2019 | 24,340 | 24,495 | ||||||||||
Series 2004-CB3, Class 3A, 5.500%, 10/25/2019 | 5,175 | 5,217 | ||||||||||
Series 2004-CB3, Class 4A, 6.000%, 10/25/2019 | 17,798 | 18,141 | ||||||||||
Series 2004-CB4, Class 22A, 6.000%, 12/25/2019 | 48,592 | 49,382 | ||||||||||
Series 2004-CB3, Class 1A, 6.000%, 10/25/2034 | 3,581,335 | 3,754,909 | ||||||||||
Series 2004-CB3, Class 2A, 6.500%, 10/25/2034 | 4,470,855 | 4,767,760 | ||||||||||
Series 2005-3, Class 1CB3, 2.002%, 05/25/2035 (1 Month LIBOR USD + 0.450%)(3)(8) | 7,091,370 | 5,978,852 | ||||||||||
Series 2005-6, Class 2A4, 5.500%, 08/25/2035(8) | 9,567,607 | 9,263,751 | ||||||||||
Series 2006-AR10, Class 1A1, 3.235%, 09/25/2036(4)(8) | 1,361,506 | 1,318,485 | ||||||||||
Series 2007-HY3, Class 4A1, 3.313%, 03/25/2037(4) | 20,575,211 | 20,449,775 | ||||||||||
Wells Fargo Alternative Loan Trust, | ||||||||||||
Series 2007-PA1, Class A4, 6.000%, 03/25/2037(8) | 64,035 | 60,382 | ||||||||||
Wells Fargo Mortgage Backed Securities Trust: | ||||||||||||
Series 2005-AR16, Class 4A2, 3.463%, 10/25/2035(4) | 1,668,534 | 1,670,754 | ||||||||||
Series 2005-16, Class A18, 6.000%, 01/25/2036(8) | 1,557,392 | 1,567,729 | ||||||||||
Series 2006-AR10, Class 5A5, 3.387%, 07/25/2036(4)(8) | 7,088,826 | 7,149,741 | ||||||||||
Series 2006-AR14, Class 2A3, 3.628%, 10/25/2036(4)(8) | 3,697,722 | 3,490,537 | ||||||||||
Series 2006-15, Class A1, 6.000%, 11/25/2036(8) | 5,311,990 | 5,302,002 | ||||||||||
Series 2007-4, Class A15, 6.000%, 04/25/2037(8) | 5,681,632 | 5,750,979 | ||||||||||
Series 2007-7, Class A49, 6.000%, 06/25/2037(8) | 5,522,666 | 5,491,238 | ||||||||||
Series 2007-8, Class 2A8, 6.000%, 07/25/2037(8) | 5,132,237 | 5,154,722 | ||||||||||
1,053,526,068 | 6.4 | % | ||||||||||
3,915,120,823 | 23.9 | % | ||||||||||
Commercial Mortgage-Backed Securities | ||||||||||||
U.S. Government Agency Issues | ||||||||||||
Fannie Mae REMIC Trust, | ||||||||||||
Series 2017-M4, Class A2, 2.597%, 12/25/2026(4) | 30,250,000 | 29,644,129 | ||||||||||
Federal Home Loan Mortgage Corp. (FHLMC), | ||||||||||||
Series K037, Class A2, 3.490%, 01/25/2024 | 66,850,000 | 70,184,217 | ||||||||||
Freddie Mac Multifamily Structured Pass Through Certificates: | ||||||||||||
Series K716, Class A2, 3.130%, 06/25/2021 | 13,550,000 | 13,876,138 | ||||||||||
Series K029, Class A2, 3.320%, 02/25/2023(4) | 64,357,000 | 66,916,201 | ||||||||||
Series K048, Class A2, 3.284%, 06/25/2025(4) | 53,605,000 | 55,585,989 | ||||||||||
Series K050, Class A2, 3.334%, 08/25/2025(4) | 82,601,000 | 85,914,126 | ||||||||||
Series K061, Class A2, 3.347%, 11/25/2026(4) | 36,250,000 | 37,692,402 | ||||||||||
359,813,202 | 2.2 | % |
Non-U.S. Government Agency Issues | ||||||||||||
BANK: | ||||||||||||
Series 2017-BNK4, Class A4, 3.625%, 05/15/2050 | 21,425,000 | 22,283,065 | ||||||||||
Series 2017-BNK8, Class A4, 3.488%, 11/15/2050 | 43,125,000 | 44,292,618 | ||||||||||
Citigroup Commercial Mortgage Trust, | ||||||||||||
Series 2014-GC19, Class A3, 3.753%, 03/10/2047 | 5,000,000 | 5,236,782 | ||||||||||
COMM Mortgage Trust: | ||||||||||||
Series 2012-CR1, Class A3, 3.391%, 05/15/2045 | 24,465,159 | 25,062,412 | ||||||||||
Series 2013-CR9, Class A3, 4.022%, 07/10/2045 | 35,270,000 | 37,236,733 | ||||||||||
Series 2012-CR2, Class A4, 3.147%, 08/15/2045 | 34,888,000 | 35,418,915 | ||||||||||
Series 2013-CR6, Class A4, 3.101%, 03/10/2046 | 13,725,000 | 13,912,718 | ||||||||||
Series 2013-CR10, Class A4, 4.210%, 08/10/2046(4) | 11,500,000 | 12,280,195 | ||||||||||
Series 2014-CR18, Class A4, 3.550%, 07/15/2047 | 5,000,000 | 5,175,633 | ||||||||||
Series 2014-CR19, Class A5, 3.796%, 08/10/2047 | 18,000,000 | 18,882,659 | ||||||||||
Series 2014-CR20, Class ASB, 3.305%, 11/10/2047 | 22,000,000 | 22,583,814 | ||||||||||
DBUBS Mortgage Trust, | ||||||||||||
Series 2011-LC3A, Class A4, 4.551%, 08/10/2044 | 2,275,000 | 2,387,123 | ||||||||||
GS Mortgage Securities Trust: | ||||||||||||
Series 2011-GC5, Class A4, 3.707%, 08/10/2044 | 17,924,873 | 18,538,517 | ||||||||||
Series 2012-GCJ9, Class A3, 2.773%, 11/10/2045 | 41,375,651 | 41,457,558 | ||||||||||
Series 2014-GC20, Class AAB, 3.655%, 04/10/2047 | 23,004,000 | 23,753,981 | ||||||||||
J.P. Morgan Chase Commercial Mortgage Securities Trust: | ||||||||||||
Series 2013-LC11, Class A4, 2.694%, 04/15/2046 | 8,919,344 | 8,939,291 | ||||||||||
Series 2013-LC11, Class A5, 2.960%, 04/15/2046 | 23,335,000 | 23,558,143 | ||||||||||
Series 2011-C5, Class A3, 4.171%, 08/15/2046 | 8,002,063 | 8,381,819 | ||||||||||
Series 2012-LC9, Class ASB, 2.437%, 12/15/2047 | 3,640,525 | 3,636,816 | ||||||||||
Series 2013-C10, Class ASB, 2.702%, 12/15/2047 | 19,763,850 | 19,857,802 | ||||||||||
JPMBB Commercial Mortgage Securities Trust: | ||||||||||||
Series 2013-C15, Class A4, 4.096%, 11/15/2045 | 10,000,000 | 10,648,573 | ||||||||||
Series 2013-C17, Class A3, 3.928%, 01/15/2047 | 23,700,000 | 24,857,876 | ||||||||||
Series 2014-C25, Class A5, 3.672%, 11/15/2047 | 34,585,000 | 36,017,462 | ||||||||||
Morgan Stanley Bank of America Merrill Lynch Trust: | ||||||||||||
Series 2012-C5, Class A4, 3.176%, 08/15/2045 | 40,030,000 | 40,782,428 | ||||||||||
Series 2012-C6, Class A4, 2.858%, 11/15/2045 | 33,760,000 | 33,910,894 | ||||||||||
Series 2013-C10, Class A3, 3.967%, 07/15/2046(4) | 44,160,000 | 46,656,550 | ||||||||||
Series 2013-C12, Class A3, 3.973%, 10/15/2046 | 19,350,000 | 20,421,083 | ||||||||||
Series 2015-C25, Class ASB, 3.383%, 10/15/2048 | 29,047,000 | 29,775,664 | ||||||||||
Wells Fargo Commercial Mortgage Trust: | ||||||||||||
Series 2015-C26, Class ASB, 2.991%, 02/15/2048 | 15,049,000 | 15,206,935 | ||||||||||
Series 2016-C35, Class ASB, 2.788%, 07/15/2048 | 11,000,000 | 10,932,949 | ||||||||||
WFRBS Commercial Mortgage Trust: | ||||||||||||
Series 2013-C11, Class A5, 3.071%, 03/15/2045 | 12,000,000 | 12,174,847 | ||||||||||
Series 2012-C6, Class A4, 3.440%, 04/15/2045 | 19,291,000 | 19,826,067 | ||||||||||
Series 2013-C18, Class A4, 3.896%, 12/15/2046 | 21,950,000 | 23,155,309 | ||||||||||
Series 2014-C24, Class A5, 3.607%, 11/15/2047 | 25,695,000 | 26,623,705 | ||||||||||
Series 2014-C23, Class ASB, 3.636%, 10/15/2057 | 10,500,000 | 10,903,499 | ||||||||||
754,770,435 | 4.6 | % | ||||||||||
1,114,583,637 | 6.8 | % | ||||||||||
Other Asset Backed Securities | ||||||||||||
Citibank Credit Card Issuance Trust, | ||||||||||||
Series 2007-A3, Class A3, 6.150%, 06/15/2039 | 6,100,000 | 8,155,299 | ||||||||||
Conseco Financial Corp.: | ||||||||||||
Series 1998-3, Class A5, 6.220%, 03/01/2030 | 182,713 | 194,139 | ||||||||||
Series 1998-4, Class A5, 6.180%, 04/01/2030 | 86,486 | 90,859 | ||||||||||
Dell Equipment Finance Trust, | ||||||||||||
Series 2016-1, Class A3, 1.650%, 07/22/2021(2) | 12,000,000 | 11,983,524 | ||||||||||
Discover Card Execution Note Trust, | ||||||||||||
Series 2016-A4, Class A4, 1.390%, 03/15/2022 | 30,675,000 | 30,298,434 | ||||||||||
Ford Credit Auto Owner Trust: | ||||||||||||
Series 2014-2, Class A, 2.310%, 04/15/2026(2) | 32,858,000 | 32,906,420 | ||||||||||
Series 2016-1, Class A, 2.310%, 08/15/2027(2) | 37,625,000 | 37,500,269 | ||||||||||
Series 2016-2, Class A, 2.030%, 12/15/2027(2) | 57,275,000 | 56,447,691 | ||||||||||
Oakwood Mortgage Investors, Inc., | ||||||||||||
6.450%, 12/15/2023 | 13,988 | 14,154 | ||||||||||
OneMain Financial Issuance Trust: | ||||||||||||
Series 2014-2A, Class A, 2.470%, 09/18/2024(2) | 140,129 | 140,153 | ||||||||||
Series 2015-2A, Class A, 2.570%, 07/18/2025(2) | 3,839,850 | 3,837,355 | ||||||||||
PFS Financing Corp., | ||||||||||||
Series 2016-BA, Class A, 1.870%, 10/15/2021(2) | 40,200,000 | 39,958,438 | ||||||||||
SoFi Consumer Loan Program LLC: | ||||||||||||
Series 2017-4, Class A, 2.500%, 05/26/2026(2) | 15,318,965 | 15,268,741 | ||||||||||
Series 2017-5, Class A2, 2.780%, 09/25/2026(2) | 25,000,000 | 24,773,285 | ||||||||||
SpareBank 1 Boligkreditt AS, | ||||||||||||
1.750%, 11/15/2019(1)(2) | 5,000,000 | 4,918,710 | ||||||||||
TCF Auto Receivables Owner Trust: | ||||||||||||
Series 2015-1A, Class A3, 1.490%, 12/16/2019(2) | 569,937 | 569,779 | ||||||||||
Series 2016-1A, Class A3, 1.710%, 04/15/2021(2) | 39,000,000 | 38,872,178 | ||||||||||
305,929,428 | 1.9 | % | ||||||||||
Total Long-Term Investments (Cost $15,919,174,878) | 16,080,899,918 | 98.3 | % | |||||||||
SHORT-TERM INVESTMENT | Shares | |||||||||||
Money Market Mutual Fund | ||||||||||||
Fidelity Institutional Money Market Fund - Government Portfolio, Institutional Class, 1.19%(5) | 358,474,852 | 358,474,852 | ||||||||||
Total Short-Term Investment (Cost $358,474,852) | 358,474,852 | 2.2 | % | |||||||||
Total Investments (Cost $16,277,649,730) | 16,439,374,770 | 100.5 | % | |||||||||
Liabilities in Excess of Other Assets | (88,208,348 | ) | (0.5 | )% | ||||||||
TOTAL NET ASSETS | $ | 16,351,166,422 | 100.0 | % |
Notes to Schedule of Investments | ||||||||
(1) | Foreign Security. | |||||||
(2) | 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, 2017, the value of these securities total $2,971,109,580, which represents 18.17% of total net assets. | |||||||
(3) | Variable rate security based on a reference index and spread. The rate reported is the rate in effect as of December 31, 2017. | |||||||
(4) | Variable rate security. The coupon is based on an underlying pool of loans. The rate reported is the rate in effect as of December 31, 2017. | |||||||
(5) | 7-Day Yield. | |||||||
(6) | Step-up bond; the interest rate shown is the rate in effect as of December 31, 2017. | |||||||
(7) | Security in default. | |||||||
(8) | Security that, on the last payment date, missed a partial principal or interest payment. |
Baird Core Plus Bond Fund | ||||||||
Schedule of Investments, December 31, 2017 | ||||||||
Summary of Fair Value Exposure at December 31, 2017 | ||||||||
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, 2017: |
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Long-Term Investments | ||||||||||||||||
U.S. Treasury Securities | $ | – | $ | 2,332,340,578 | $ | – | $ | 2,332,340,578 | ||||||||
Other Government Related Securities | – | 211,373,533 | – | 211,373,533 | ||||||||||||
Corporate Bonds | – | 8,078,094,872 | – | 8,078,094,872 | ||||||||||||
Taxable Municipal Bonds | – | 123,457,047 | – | 123,457,047 | ||||||||||||
Residential Mortgage-Backed Securities - U.S. Government Agency Issues | – | 2,861,594,755 | – | 2,861,594,755 | ||||||||||||
Residential Mortgage-Backed Securities - Non-U.S. Government Agency Issues | – | 1,053,526,068 | – | 1,053,526,068 | ||||||||||||
Commercial Mortgage-Backed Securities - U.S. Government Agency Issues | – | 359,813,202 | – | 359,813,202 | ||||||||||||
Commercial Mortgage-Backed Securities - Non-U.S. Government Agency Issues | – | 754,770,435 | – | 754,770,435 | ||||||||||||
Other Asset Backed Securities | – | 305,929,428 | – | 305,929,428 | ||||||||||||
Total Long-Term Investments | – | 16,080,899,918 | – | 16,080,899,918 | ||||||||||||
Short-Term Investment | ||||||||||||||||
Money Market Mutual Fund | 358,474,852 | – | – | 358,474,852 | ||||||||||||
Total Short-Term Investment | 358,474,852 | – | – | 358,474,852 | ||||||||||||
Total Investments | $ | 358,474,852 | $ | 16,080,899,918 | $ | – | $ | 16,439,374,770 |
Changes in valuation techniques may result in transfers into or out of assigned levels within the fair value hierarchy. Transfers between levels are recognized at the end of the reporting period. 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. |
Baird Short-Term Municipal Bond Fund | ||||||||||||
Schedule of Investments | ||||||||||||
December 31, 2017 | ||||||||||||
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
LONG-TERM INVESTMENTS | ||||||||||||
Municipal Bonds | ||||||||||||
Alabama | ||||||||||||
Black Belt Energy Gas District: | ||||||||||||
4.000%, 07/01/2046(Callable 03/01/2021)(Mandatory Tender Date 06/01/2021)(1) | $ | 570,000 | $ | 603,915 | ||||||||
4.000%, 08/01/2047(Callable 04/01/2022)(Mandatory Tender Date 07/01/2022)(1) | 500,000 | 538,090 | ||||||||||
County of Talladega AL, | ||||||||||||
2.000%, 01/01/2019 | 200,000 | 200,746 | ||||||||||
Jasper Water Works & Sewer Board, Inc., | ||||||||||||
5.000%, 06/01/2024(Callable 06/01/2021) | 100,000 | 109,013 | ||||||||||
1,451,764 | 1.2 | % | ||||||||||
Alaska | ||||||||||||
Alaska Housing Finance Corp., | ||||||||||||
4.000%, 06/01/2040(Callable 06/01/2021) | 20,000 | 20,167 | ||||||||||
Alaska Industrial Development & Export Authority, | ||||||||||||
3.500%, 12/01/2020(Callable 12/01/2019) | 750,000 | 762,353 | ||||||||||
782,520 | 0.6 | % | ||||||||||
Arizona | ||||||||||||
Arizona Health Facilities Authority: | ||||||||||||
4.625%, 07/01/2019 | 30,000 | 31,276 | ||||||||||
3.560%, 02/01/2048 (SIFMA Municipal Swap Index + 1.850%) (Callable 08/05/2022)(Mandatory Tender Date 02/01/2023)(2) | 75,000 | 77,390 | ||||||||||
Arizona Industrial Development Authority: | ||||||||||||
4.000%, 07/01/2018 | 250,000 | 250,655 | ||||||||||
3.375%, 07/01/2021 | 310,000 | 309,392 | ||||||||||
3.000%, 07/01/2022 | 200,000 | 196,528 | ||||||||||
BluePath 2016-1 TE Trust, | ||||||||||||
2.750%, 09/01/2026(Callable 08/27/2021)(3) | 234,641 | 232,419 | ||||||||||
City of El Mirage AZ, | ||||||||||||
5.000%, 07/01/2026(Callable 07/01/2020) | 50,000 | 53,759 | ||||||||||
City of Winslow AZ, | ||||||||||||
2.000%, 07/01/2019(Insured by AGM) | 25,000 | 25,169 | ||||||||||
Estrella Mountain Ranch Community Facilities District, | ||||||||||||
4.000%, 07/15/2019(Insured by AGM) | 390,000 | 403,459 | ||||||||||
Festival Ranch Community Facilities District, | ||||||||||||
2.000%, 07/15/2018(Insured by BAM) | 25,000 | 25,058 | ||||||||||
Maricopa County Industrial Development Authority, | ||||||||||||
2.625%, 07/01/2021 | 85,000 | 84,536 | ||||||||||
Vistancia Community Facilities District, | ||||||||||||
5.000%, 07/15/2021(Callable 07/15/2020) | 150,000 | 161,873 | ||||||||||
1,851,514 | 1.5 | % | ||||||||||
Arkansas | ||||||||||||
Arkansas Technical University, | ||||||||||||
4.000%, 06/01/2026(Callable 06/01/2023) | 200,000 | 218,910 | ||||||||||
City of Bentonville AR: | ||||||||||||
5.000%, 11/01/2021(Callable 01/29/2018)(Insured by AMBAC) | 100,000 | 100,271 | ||||||||||
2.625%, 11/01/2027(Callable 11/01/2025) | 270,000 | 282,366 | ||||||||||
City of Fayetteville AR, | ||||||||||||
3.050%, 01/01/2047(Callable 01/01/2027) | 700,000 | 702,737 | ||||||||||
City of Hot Springs AR, | ||||||||||||
4.000%, 12/01/2027(Callable 12/01/2023)(Insured by BAM) | 255,000 | 278,531 | ||||||||||
City of Jacksonville AR, | ||||||||||||
4.000%, 12/01/2025(Callable 06/01/2021) | 110,000 | 117,669 | ||||||||||
City of Little Rock AR: | ||||||||||||
3.000%, 10/01/2021 | 100,000 | 103,589 | ||||||||||
2.000%, 03/01/2038(Callable 03/01/2021) | 120,000 | 120,378 | ||||||||||
City of Magnolia AR, | ||||||||||||
2.600%, 08/01/2036(Callable 08/01/2024)(Insured by BAM)(4) | 565,000 | 564,175 | ||||||||||
City of Marion AR, | ||||||||||||
2.900%, 09/01/2047(Callable 09/01/2027) | 375,000 | 378,405 | ||||||||||
City of Pine Bluff AR, | ||||||||||||
3.000%, 02/01/2047(Callable 08/01/2027)(Insured by BAM) | 625,000 | 627,581 | ||||||||||
City of Rogers AR, | ||||||||||||
2.125%, 11/01/2029(Callable 11/01/2021) | 50,000 | 50,588 | ||||||||||
Mountain View Public Facilities Board, | ||||||||||||
2.000%, 06/01/2018 | 445,000 | 444,560 | ||||||||||
Northwest Arkansas Conservation Authority, | ||||||||||||
4.000%, 03/01/2024(Callable 09/01/2022)(Insured by BAM) | 325,000 | 350,025 | ||||||||||
4,339,785 | 3.4 | % | ||||||||||
California | ||||||||||||
Bay Area Toll Authority: | ||||||||||||
2.310%, 04/01/2034 (SIFMA Municipal Swap Index + 0.600%) (Callable 10/01/2019)(Mandatory Tender Date 04/01/2020)(2) | 270,000 | 271,180 | ||||||||||
2.410%, 04/01/2047 (SIFMA Municipal Swap Index + 0.700%) (Callable 04/01/2019)(Mandatory Tender Date 10/01/2019)(2) | 150,000 | 150,657 | ||||||||||
California Health Facilities Financing Authority: | ||||||||||||
5.000%, 04/01/2020 | 65,000 | 69,198 | ||||||||||
1.715%, 07/01/2022(Callable 01/02/2018)(6)(1) | 200,000 | 192,884 | ||||||||||
California Infrastructure & Economic Development Bank, | ||||||||||||
1.990%, 10/01/2047 (SIFMA Municipal Swap Index + 0.280%) (Callable 01/19/2018)(Mandatory Tender Date 04/02/2018)(2) | 200,000 | 199,998 | ||||||||||
California School Finance Authority, | ||||||||||||
3.000%, 07/01/2020 | 260,000 | 264,261 | ||||||||||
California State Public Works Board, | ||||||||||||
5.000%, 12/01/2019(Insured by AMBAC) | 230,000 | 240,472 | ||||||||||
California State University, | ||||||||||||
4.000%, 11/01/2049(Callable 05/01/2021)(Mandatory Tender Date 11/01/2021)(1) | 75,000 | 80,658 | ||||||||||
California Statewide Communities Development Authority: | ||||||||||||
6.000%, 01/01/2021(ETM) | 100,000 | 105,757 | ||||||||||
3.500%, 11/01/2021(Callable 11/01/2019) | 200,000 | 206,742 | ||||||||||
3.723%, 04/01/2028(6)(1) | 400,000 | 399,180 | ||||||||||
Central School District, | ||||||||||||
6.250%, 08/01/2040(Callable 08/01/2021) | 225,000 | 258,275 | ||||||||||
City of Redding CA, | ||||||||||||
1.768%, 07/01/2022(ETM)(6)(1) | 45,000 | 43,875 | ||||||||||
Colton Public Financing Authority, | ||||||||||||
5.000%, 04/01/2024(Callable 04/01/2022) | 565,000 | 629,969 | ||||||||||
Commerce Community Development Commission Successor Agency, | ||||||||||||
0.000%, 08/01/2021(ETM) | 230,000 | 195,258 | ||||||||||
Corona-Norca Unified School District, | ||||||||||||
0.000%, 08/01/2026 | 20,000 | 20,647 | ||||||||||
Fresno Unified School District, | ||||||||||||
0.000%, 08/01/2033(Callable 08/01/2021) | 100,000 | 40,853 | ||||||||||
Golden State Tobacco Securitization Corp., | ||||||||||||
5.000%, 06/01/2022 | 135,000 | 150,204 | ||||||||||
Jurupa Public Financing Authority, | ||||||||||||
4.000%, 09/01/2018 | 25,000 | 25,387 | ||||||||||
La Quinta Financing Authority, | ||||||||||||
5.550%, 10/01/2018 | 20,000 | 20,601 | ||||||||||
Northern California Gas Authority, | ||||||||||||
1.525%, 07/01/2019 (3 Month LIBOR USD + 0.630%)(2) | 505,000 | 503,556 | ||||||||||
Roseville Finance Authority, | ||||||||||||
4.000%, 09/01/2019 | 50,000 | 51,708 | ||||||||||
San Diego Community Facilities District No. 3, | ||||||||||||
5.000%, 09/01/2018(6) | 25,000 | 25,500 | ||||||||||
San Diego Redevelopment Agency Successor Agency, | ||||||||||||
4.000%, 09/01/2018 | 50,000 | 50,865 | ||||||||||
Soledad Unified School District: | ||||||||||||
5.000%, 08/01/2024(Callable 08/01/2018)(Insured by BAM) | 75,000 | 76,451 | ||||||||||
5.000%, 08/01/2026(Callable 08/01/2018)(Insured by BAM) | 100,000 | 101,911 | ||||||||||
5.000%, 08/01/2027(Callable 08/01/2018)(Insured by BAM) | 50,000 | 50,950 | ||||||||||
State of California, | ||||||||||||
5.000%, 09/01/2022 | 165,000 | 188,659 | ||||||||||
University of California, | ||||||||||||
1.400%, 05/15/2046(Callable 11/15/2020)(Mandatory Tender Date 05/15/2021)(1) | 330,000 | 324,961 | ||||||||||
4,940,617 | 3.9 | % | ||||||||||
Colorado | ||||||||||||
Adams County Housing Authority, | ||||||||||||
1.500%, 11/01/2020(Callable 05/01/2019)(Mandatory Tender Date 11/01/2019)(1) | 1,000,000 | 996,050 | ||||||||||
Colorado Educational & Cultural Facilities Authority: | ||||||||||||
3.000%, 12/01/2018 | 125,000 | 127,089 | ||||||||||
3.000%, 12/15/2018 | 75,000 | 76,078 | ||||||||||
4.000%, 12/01/2019 | 275,000 | 287,477 | ||||||||||
4.000%, 06/01/2020 | 100,000 | 105,264 | ||||||||||
4.000%, 10/01/2020 | 125,000 | 131,950 | ||||||||||
5.000%, 10/01/2020 | 415,000 | 448,769 | ||||||||||
4.000%, 11/01/2021 | 50,000 | 53,437 | ||||||||||
4.000%, 03/01/2022 | 45,000 | 48,184 | ||||||||||
5.000%, 10/01/2025 | 160,000 | 185,072 | ||||||||||
Colorado Health Facilities Authority, | ||||||||||||
5.000%, 05/15/2019 | 250,000 | 259,333 | ||||||||||
Colorado Housing & Finance Authority, | ||||||||||||
4.000%, 05/01/2048(Callable 11/01/2026) | 500,000 | 536,540 | ||||||||||
E-470 Public Highway Authority: | ||||||||||||
0.000%, 09/01/2020 | 125,000 | 118,271 | ||||||||||
0.000%, 09/01/2028(Callable 09/01/2020) | 200,000 | 119,848 | ||||||||||
2.098%, 09/01/2039 (1 Month LIBOR USD + 1.050%)(Callable 03/01/2021)(Mandatory Tender Date 09/01/2021)(2) | 400,000 | 404,772 | ||||||||||
High Plains Metropolitan District, | ||||||||||||
4.000%, 12/01/2022 | 420,000 | 452,567 | ||||||||||
Park 70 Metropolitan District, | ||||||||||||
5.000%, 12/01/2018 | 160,000 | 164,677 | ||||||||||
Regional Transportation District, | ||||||||||||
5.000%, 06/01/2025(Pre-refunded to 06/01/2020) | 100,000 | 107,540 | ||||||||||
Southlands Metropolitan District No. 1, | ||||||||||||
3.000%, 12/01/2022 | 100,000 | 99,953 | ||||||||||
Sterling Hills West Metropolitan District: | ||||||||||||
5.000%, 12/01/2018 | 50,000 | 51,342 | ||||||||||
5.000%, 12/01/2019 | 100,000 | 105,152 | ||||||||||
5.000%, 12/01/2020 | 125,000 | 134,156 | ||||||||||
VDW Metropolitan District No. 2, | ||||||||||||
1.250%, 12/01/2018(Insured by AGM) | 25,000 | 24,874 | ||||||||||
Vista Ridge Metropolitan District, | ||||||||||||
4.500%, 12/01/2024(Insured by BAM) | 200,000 | 224,430 | ||||||||||
5,262,825 | 4.2 | % | ||||||||||
Connecticut | ||||||||||||
City of Hartford CT, | ||||||||||||
5.000%, 04/01/2020(ETM) | 100,000 | 106,709 | ||||||||||
Connecticut Housing Finance Authority, | ||||||||||||
4.000%, 11/15/2044(Callable 11/15/2023) | 90,000 | 95,207 | ||||||||||
Southeastern Connecticut Water Authority, | ||||||||||||
4.000%, 09/01/2022(Callable 01/29/2018) | 355,000 | 355,628 | ||||||||||
Town of Hamden CT, | ||||||||||||
4.000%, 08/15/2021(Insured by BAM) | 415,000 | 442,764 | ||||||||||
Town of Plymouth CT, | ||||||||||||
4.000%, 07/15/2019 | 25,000 | 25,851 | ||||||||||
1,026,159 | 0.8 | % | ||||||||||
District of Columbia | ||||||||||||
District of Columbia Housing Finance Agency, | ||||||||||||
3.500%, 06/15/2023 | 205,000 | 209,055 | 0.2 | % | ||||||||
Florida | ||||||||||||
City of Jacksonville FL, | ||||||||||||
5.000%, 11/01/2022 | 50,000 | 56,473 | ||||||||||
City of North Port FL, | ||||||||||||
4.000%, 07/01/2018(Insured by BAM) | 50,000 | 50,606 | ||||||||||
City of Port St Lucie FL: | ||||||||||||
5.000%, 09/01/2021 | 55,000 | 60,673 | ||||||||||
5.250%, 09/01/2022 | 100,000 | 113,914 | ||||||||||
City of Tallahassee FL, | ||||||||||||
5.000%, 12/01/2019 | 190,000 | 199,899 | ||||||||||
City of Tampa FL, | ||||||||||||
5.250%, 11/15/2024(Pre-refunded to 05/15/2020) | 390,000 | 422,070 | ||||||||||
County of Escambia FL, | ||||||||||||
2.100%, 07/01/2022(Mandatory Tender Date 04/11/2019)(1) | 60,000 | 59,790 | ||||||||||
Escambia County Health Facilities Authority, | ||||||||||||
1.790%, 11/15/2029(Optional Put Date 01/02/2018)(1) | 85,000 | 85,000 | ||||||||||
Florida Higher Educational Facilities Financial Authority, | ||||||||||||
5.000%, 11/01/2019 | 195,000 | 205,298 | ||||||||||
Florida Housing Finance Corp.: | ||||||||||||
3.700%, 07/01/2021(Callable 01/01/2021) | 690,000 | 714,295 | ||||||||||
4.000%, 07/01/2047(Callable 07/01/2025) | 150,000 | 158,677 | ||||||||||
Florida Municipal Power Agency: | ||||||||||||
2.450%, 10/01/2021(Callable 01/03/2018)(Insured by AMBAC)(6)(1) | 75,000 | 73,491 | ||||||||||
2.450%, 10/01/2021(Callable 01/04/2018)(Insured by AMBAC)(6)(1) | 100,000 | 97,988 | ||||||||||
Florida State Municipal Loan Council, | ||||||||||||
3.000%, 10/01/2020 | 540,000 | 548,834 | ||||||||||
Lee County School Board, | ||||||||||||
5.000%, 08/01/2023 | 140,000 | 162,382 | ||||||||||
Martin County Health Facilities Authority, | ||||||||||||
3.750%, 11/15/2020 | 125,000 | 130,777 | ||||||||||
Miami Health Facilities Authority: | ||||||||||||
2.250%, 07/01/2018 | 45,000 | 45,005 | ||||||||||
5.000%, 07/01/2020 | 300,000 | 318,177 | ||||||||||
Miami-Dade County Industrial Development Authority: | ||||||||||||
5.000%, 01/15/2019(4) | 100,000 | 102,796 | ||||||||||
5.000%, 01/15/2022(4) | 385,000 | 415,542 | ||||||||||
1.750%, 09/01/2027(Mandatory Tender Date 11/01/2019)(1) | 175,000 | 175,250 | ||||||||||
Orange County Health Facilities Authority, | ||||||||||||
6.250%, 10/01/2021 | 130,000 | 141,218 | ||||||||||
Orange County Housing Finance Authority, | ||||||||||||
4.000%, 09/01/2040(Callable 09/01/2024) | 640,000 | 669,504 | ||||||||||
Palm Beach County Health Facilities Authority, | ||||||||||||
5.000%, 11/15/2022 | 220,000 | 250,457 | ||||||||||
St. Lucie County School Board, | ||||||||||||
5.000%, 10/01/2018(Insured by AGM) | 50,000 | 51,252 | ||||||||||
5,309,368 | 4.2 | % | ||||||||||
Georgia | ||||||||||||
Burke County Development Authority: | ||||||||||||
2.200%, 10/01/2032(Mandatory Tender Date 04/02/2019)(1) | 50,000 | 49,969 | ||||||||||
1.850%, 12/01/2049(Mandatory Tender Date 08/22/2019)(1) | 100,000 | 99,153 | ||||||||||
1.850%, 12/01/2049(Mandatory Tender Date 08/22/2019)(1) | 70,000 | 69,407 | ||||||||||
City of Atlanta GA: | ||||||||||||
5.000%, 01/01/2023(Callable 01/01/2020) | 450,000 | 476,811 | ||||||||||
5.000%, 01/01/2024(Callable 01/01/2020) | 500,000 | 529,085 | ||||||||||
Cobb County Kennestone Hospital Authority, | ||||||||||||
5.000%, 04/01/2020 | 100,000 | 106,959 | ||||||||||
Main Street Natural Gas, Inc.: | ||||||||||||
5.000%, 03/15/2019 | 125,000 | 129,618 | ||||||||||
5.000%, 03/15/2022 | 85,000 | 94,423 | ||||||||||
Monroe County Development Authority: | ||||||||||||
2.000%, 07/01/2025(Mandatory Tender Date 06/13/2019)(1) | 405,000 | 402,938 | ||||||||||
2.050%, 07/01/2049(Mandatory Tender Date 11/19/2021)(1) | 250,000 | 249,905 | ||||||||||
Morgan County Hospital Authority, | ||||||||||||
2.750%, 09/01/2019(Callable 03/01/2019) | 250,000 | 248,685 | ||||||||||
Private Colleges & Universities Authority: | ||||||||||||
3.750%, 10/01/2021 | 25,000 | 26,339 | ||||||||||
5.000%, 10/01/2021 | 75,000 | 81,940 | ||||||||||
2,565,232 | 2.0 | % | ||||||||||
Idaho | ||||||||||||
Idaho Housing & Finance Association, | ||||||||||||
5.000%, 07/15/2018 | 25,000 | 25,444 | 0.0 | % | ||||||||
Illinois | ||||||||||||
Bureau County Township High School District No. 502, | ||||||||||||
3.000%, 12/01/2021(Insured by BAM) | 30,000 | 30,826 | ||||||||||
Champaign County Community Unit School District No. 116, | ||||||||||||
5.000%, 01/01/2019 | 1,100,000 | 1,129,359 | ||||||||||
Chicago O'Hare International Airport, | ||||||||||||
5.000%, 01/01/2020 | 60,000 | 63,793 | ||||||||||
Chicago Transit Authority, | ||||||||||||
5.250%, 12/01/2023(Callable 12/01/2021) | 75,000 | 83,407 | ||||||||||
City of Berwyn IL, | ||||||||||||
4.000%, 12/01/2019 | 125,000 | 129,020 | ||||||||||
City of Chicago IL: | ||||||||||||
5.000%, 01/01/2019 | 100,000 | 102,014 | ||||||||||
5.000%, 01/01/2020 | 50,000 | 52,888 | ||||||||||
5.000%, 11/01/2020 | 850,000 | 918,034 | ||||||||||
5.000%, 01/01/2023(Callable 01/01/2019) | 50,000 | 51,101 | ||||||||||
City of Fairfield IL, | ||||||||||||
2.000%, 12/01/2018 | 275,000 | 273,812 | ||||||||||
City of Springfield IL: | ||||||||||||
5.000%, 03/01/2019 | 100,000 | 103,482 | ||||||||||
4.000%, 12/01/2019 | 95,000 | 98,417 | ||||||||||
Cook County Community College District No. 510, | ||||||||||||
0.000%, 12/01/2019(Insured by AGM) | 500,000 | 476,095 | ||||||||||
Cook County Community College District No. 524, | ||||||||||||
5.000%, 12/01/2021(Callable 01/29/2018) | 325,000 | 325,959 | ||||||||||
Cook County Community High School District No. 219, | ||||||||||||
0.000%, 12/01/2020 | 35,000 | 32,039 | ||||||||||
Cook county Illinois School District No. 163, | ||||||||||||
6.000%, 12/15/2024 | 795,000 | 965,273 | ||||||||||
Cook County Township High School District No. 201, | ||||||||||||
0.000%, 12/01/2020(Insured by AMBAC) | 210,000 | 192,232 | ||||||||||
County of Cook IL, | ||||||||||||
5.000%, 11/15/2021(Callable 11/15/2019) | 210,000 | 221,203 | ||||||||||
County of Jefferson IL, | ||||||||||||
2.000%, 01/15/2020(Insured by AGM) | 100,000 | 99,782 | ||||||||||
County of Washington IL, | ||||||||||||
4.000%, 12/15/2024(Insured by AGM) | 250,000 | 273,285 | ||||||||||
Danville Public Building Commission, | ||||||||||||
4.000%, 12/01/2019 | 115,000 | 119,643 | ||||||||||
DuPage County Community High School District No. 100, | ||||||||||||
2.000%, 12/15/2018 | 70,000 | 70,237 | ||||||||||
DuPage County School District No. 34, | ||||||||||||
0.000%, 01/01/2020 | 460,000 | 436,558 | ||||||||||
Governors State University, | ||||||||||||
4.000%, 10/01/2020(Callable 01/29/2018) | 50,000 | 50,021 | ||||||||||
Illinois Finance Authority: | ||||||||||||
5.000%, 10/01/2019 | 75,000 | 78,743 | ||||||||||
5.000%, 02/15/2020 | 100,000 | 105,353 | ||||||||||
5.000%, 10/01/2020 | 105,000 | 112,844 | ||||||||||
5.000%, 01/01/2021 | 125,000 | 134,456 | ||||||||||
4.000%, 09/01/2021 | 75,000 | 79,586 | ||||||||||
6.250%, 05/01/2022(Pre-refunded to 05/01/2020) | 145,000 | 159,851 | ||||||||||
5.000%, 10/01/2022 | 50,000 | 55,629 | ||||||||||
5.000%, 05/15/2023 | 100,000 | 113,556 | ||||||||||
2.303%, 05/01/2036 (1 Month LIBOR USD + 1.350%)(Callable 11/01/2020)(Mandatory Tender Date 05/01/2021)(2) | 135,000 | 135,162 | ||||||||||
Illinois Housing Development Authority, | ||||||||||||
2.450%, 06/01/2043(Callable 01/01/2023) | 492,743 | 475,596 | ||||||||||
Illinois Sports Facilities Authority, | ||||||||||||
0.000%, 06/15/2018(Insured by AMBAC) | 50,000 | 49,406 | ||||||||||
Illinois State University, | ||||||||||||
5.000%, 04/01/2023(Callable 04/01/2021) | 100,000 | 106,645 | ||||||||||
Jefferson County Township High School District No. 201, | ||||||||||||
6.500%, 12/30/2020(Insured by BAM) | 195,000 | 218,847 | ||||||||||
Joliet Park District: | ||||||||||||
5.000%, 03/01/2022(Callable 03/01/2021) | 170,000 | 178,573 | ||||||||||
4.000%, 02/01/2023(Insured by BAM) | 150,000 | 159,047 | ||||||||||
Kane County Community Unit School District, | ||||||||||||
4.250%, 01/01/2025(Pre-refunded to 01/02/2018)(Insured by AGM) | 25,000 | 25,000 | ||||||||||
Lake County Community Consolidated School District No. 3, | ||||||||||||
0.000%, 02/01/2018(Insured by AMBAC) | 290,000 | 289,072 | ||||||||||
Lake County Community High School District No. 117, | ||||||||||||
0.000%, 12/01/2019 | 140,000 | 133,281 | ||||||||||
Lake County Community High School District No. 127, | ||||||||||||
0.000%, 02/01/2020 | 150,000 | 144,013 | ||||||||||
Lake County Community Unit School District No. 116, | ||||||||||||
5.000%, 01/15/2025(Callable 01/15/2023) | 85,000 | 96,846 | ||||||||||
Lake County Elementary School District No. 6, | ||||||||||||
0.000%, 12/01/2019(Insured by AMBAC) | 80,000 | 74,698 | ||||||||||
Lake County School District No. 1, | ||||||||||||
3.000%, 02/01/2019 | 85,000 | 86,156 | ||||||||||
Metropolitan Pier & Exposition Authority: | ||||||||||||
5.300%, 06/15/2018(Callable 01/05/2018)(Insured by NPFGC) | 120,000 | 121,224 | ||||||||||
0.000%, 06/15/2019 | 50,000 | 47,962 | ||||||||||
0.000%, 06/15/2019 | 130,000 | 124,613 | ||||||||||
0.000%, 06/15/2019(ETM) | 25,000 | 24,387 | ||||||||||
5.650%, 06/15/2022(Insured by NPFGC)(1) | 15,000 | 17,042 | ||||||||||
5.500%, 12/15/2023 | 225,000 | 250,380 | ||||||||||
5.500%, 12/15/2023 | 250,000 | 281,820 | ||||||||||
0.000%, 06/15/2024 | 25,000 | 19,936 | ||||||||||
5.700%, 06/15/2025(Callable 06/15/2022) | 35,000 | 39,743 | ||||||||||
5.700%, 06/15/2025(Pre-refunded to 06/15/2022) | 10,000 | 11,725 | ||||||||||
Monroe & St Clair Counties Community Unit School District No. 5, | ||||||||||||
5.000%, 04/15/2020(Insured by BAM) | 270,000 | 288,422 | ||||||||||
Ogle & Winnebago Counties Community Unit School District, | ||||||||||||
5.000%, 12/01/2021(Insured by BAM) | 150,000 | 166,011 | ||||||||||
Peoria Public Building Commission, | ||||||||||||
5.000%, 12/01/2020(Insured by BAM) | 185,000 | 198,821 | ||||||||||
Plano Special Service Areas No. 3 & 4, | ||||||||||||
4.000%, 03/01/2030(Callable 03/01/2025) | 355,000 | 379,701 | ||||||||||
Public Building Commission of Chicago, | ||||||||||||
5.000%, 03/01/2020(Callable 01/29/2018)(Insured by AMBAC) | 100,000 | 100,186 | ||||||||||
Railsplitter Tobacco Settlement Authority, | ||||||||||||
5.000%, 06/01/2022 | 350,000 | 387,247 | ||||||||||
Schaumburg Park District, | ||||||||||||
3.000%, 12/01/2018 | 200,000 | 202,358 | ||||||||||
St Clair County School District No. 119: | ||||||||||||
5.000%, 04/01/2022(Insured by AGM) | 350,000 | 391,454 | ||||||||||
5.000%, 04/01/2023(Insured by AGM) | 300,000 | 342,822 | ||||||||||
State of Illinois: | ||||||||||||
0.000%, 08/01/2018 | 40,000 | 39,333 | ||||||||||
0.000%, 08/01/2018 | 20,000 | 19,667 | ||||||||||
5.000%, 06/01/2019 | 100,000 | 103,077 | ||||||||||
0.000%, 08/01/2019 | 100,000 | 94,731 | ||||||||||
5.000%, 03/01/2020 | 105,000 | 109,358 | ||||||||||
5.000%, 04/01/2020 | 40,000 | 41,722 | ||||||||||
4.000%, 06/15/2021 | 35,000 | 37,274 | ||||||||||
5.000%, 01/01/2022(Callable 01/01/2020) | 105,000 | 109,243 | ||||||||||
6.500%, 06/15/2022 | 390,000 | 430,923 | ||||||||||
5.000%, 08/01/2024(Callable 08/01/2022) | 100,000 | 105,987 | ||||||||||
University of Illinois: | ||||||||||||
0.000%, 04/01/2018 | 140,000 | 139,394 | ||||||||||
4.000%, 10/01/2019 | 100,000 | 102,715 | ||||||||||
5.000%, 08/15/2020 | 110,000 | 116,748 | ||||||||||
5.000%, 03/15/2022 | 50,000 | 55,205 | ||||||||||
Village of Cary IL, | ||||||||||||
1.500%, 03/01/2019(Insured by BAM) | 96,000 | 95,255 | ||||||||||
Village of Crestwood IL: | ||||||||||||
2.000%, 12/15/2018(Insured by BAM) | 150,000 | 150,252 | ||||||||||
4.000%, 12/15/2021(Insured by BAM) | 250,000 | 267,718 | ||||||||||
4.500%, 12/15/2025(Callable 12/15/2022)(Insured by BAM) | 60,000 | 66,349 | ||||||||||
Village of Lyons IL, | ||||||||||||
5.000%, 12/01/2025(Callable 12/01/2022)(Insured by BAM) | 25,000 | 27,785 | ||||||||||
Village of McCook IL, | ||||||||||||
5.000%, 12/01/2020(Callable 12/01/2018) | 50,000 | 51,278 | ||||||||||
Village of Oak Park IL: | ||||||||||||
5.000%, 11/01/2020 | 235,000 | 254,216 | ||||||||||
4.000%, 11/01/2021 | 245,000 | 262,402 | ||||||||||
Village of Orland Hills IL: | ||||||||||||
4.000%, 12/01/2022(Insured by BAM) | 145,000 | 154,025 | ||||||||||
4.000%, 12/01/2023(Insured by BAM) | 130,000 | 139,247 | ||||||||||
Village of Richton Park IL: | ||||||||||||
3.000%, 12/01/2018(Insured by BAM) | 50,000 | 50,408 | ||||||||||
3.000%, 12/01/2019(Insured by BAM) | 65,000 | 65,821 | ||||||||||
3.000%, 12/01/2020(Insured by BAM) | 45,000 | 45,691 | ||||||||||
4.000%, 12/01/2021(Insured by BAM) | 65,000 | 68,288 | ||||||||||
4.000%, 12/01/2022(Insured by BAM) | 80,000 | 84,827 | ||||||||||
Village of River Grove IL: | ||||||||||||
3.000%, 12/15/2020(Insured by BAM) | 75,000 | 75,633 | ||||||||||
3.000%, 12/15/2021(Insured by BAM) | 120,000 | 120,354 | ||||||||||
Village of Tremont IL: | ||||||||||||
3.000%, 01/01/2019(Insured by BAM) | 60,000 | 60,659 | ||||||||||
3.000%, 07/01/2019(Insured by BAM) | 50,000 | 50,799 | ||||||||||
3.000%, 01/01/2020(Insured by BAM) | 70,000 | 71,362 | ||||||||||
3.000%, 07/01/2020(Insured by BAM) | 95,000 | 97,207 | ||||||||||
West Chicago Park District, | ||||||||||||
4.000%, 12/01/2022(Callable 06/01/2018) | 230,000 | 231,424 | ||||||||||
Western Illinois University: | ||||||||||||
4.000%, 04/01/2019 | 50,000 | 50,980 | ||||||||||
5.000%, 04/01/2020(Insured by BAM) | 250,000 | 263,325 | ||||||||||
White County Community Unit School District No. 5, | ||||||||||||
4.300%, 12/01/2021(Insured by AGM) | 100,000 | 106,781 | ||||||||||
Will County Community Consolidated School District No. 70-C: | ||||||||||||
4.000%, 12/01/2019(Insured by AGM) | 155,000 | 160,901 | ||||||||||
4.000%, 12/01/2020(Insured by AGM) | 130,000 | 137,505 | ||||||||||
4.000%, 12/01/2022(Insured by AGM) | 270,000 | 293,946 | ||||||||||
Will County Community High School District No. 210, | ||||||||||||
5.000%, 01/01/2021(Callable 01/01/2019) | 125,000 | 126,013 | ||||||||||
Will County IL School District No. 114, | ||||||||||||
0.000%, 12/01/2019 | 50,000 | 47,601 | ||||||||||
Will County IL School District No. 365, | ||||||||||||
0.000%, 11/01/2021(Insured by AGM) | 200,000 | 181,238 | ||||||||||
18,071,361 | 14.4 | % |
Indiana | ||||||||||||
City of Goshen IN, | ||||||||||||
4.100%, 01/01/2021(Callable 01/29/2018)(Insured by AGM) | 470,000 | 470,940 | ||||||||||
City of Lawrence IN: | ||||||||||||
2.000%, 01/01/2018(Insured by BAM) | 145,000 | 145,000 | ||||||||||
3.000%, 01/01/2020(Insured by BAM) | 175,000 | 178,474 | ||||||||||
4.000%, 01/01/2021(Insured by BAM) | 200,000 | 211,510 | ||||||||||
4.000%, 01/01/2022(Insured by BAM) | 400,000 | 429,608 | ||||||||||
City of Whiting IN, | ||||||||||||
1.850%, 06/01/2044(Mandatory Tender Date 10/01/2019)(1) | 100,000 | 100,617 | ||||||||||
County of Lake IN, | ||||||||||||
4.000%, 07/15/2021(Insured by AGM) | 100,000 | 106,895 | ||||||||||
East Porter County School Building Corp., | ||||||||||||
4.000%, 01/15/2018 | 50,000 | 50,044 | ||||||||||
Indiana Bond Bank, | ||||||||||||
5.250%, 10/15/2019 | 80,000 | 84,516 | ||||||||||
Indiana Finance Authority, | ||||||||||||
4.000%, 02/01/2018 | 50,000 | 50,103 | ||||||||||
Indiana Health & Educational Facilities Financing Authority, | ||||||||||||
1.750%, 11/15/2031(Mandatory Tender Date 11/02/2021)(1) | 260,000 | 257,234 | ||||||||||
Indiana Health Facility Financing Authority, | ||||||||||||
2.065%, 05/01/2020(Callable 01/05/2018)(Insured by AMBAC)(6)(1) | 50,000 | 49,265 | ||||||||||
Indiana Housing & Community Development Authority, | ||||||||||||
4.000%, 12/01/2027(Callable 06/01/2021) | 430,000 | 448,993 | ||||||||||
Kankakee Valley Middle School Building Corp., | ||||||||||||
5.000%, 07/15/2022 | 215,000 | 241,034 | ||||||||||
Lafayette Redevelopment Authority, | ||||||||||||
3.000%, 07/15/2018 | 130,000 | 130,261 | ||||||||||
Munster School Building Corp., | ||||||||||||
4.000%, 07/15/2023 | 160,000 | 175,451 | ||||||||||
Noblesville High School Building Corp., | ||||||||||||
0.000%, 02/15/2018 | 20,000 | 19,962 | ||||||||||
Sheridan Community School Building Corp., | ||||||||||||
3.000%, 01/15/2018 | 250,000 | 250,128 | ||||||||||
Twin Lakes Regional Sewer District, | ||||||||||||
3.000%, 01/01/2018(Insured by AGM) | 50,000 | 50,000 | ||||||||||
3,450,035 | 2.7 | % | ||||||||||
Iowa | ||||||||||||
City of Coralville IA, | ||||||||||||
4.000%, 06/01/2019 | 100,000 | 103,008 | ||||||||||
County of Taylor IA, | ||||||||||||
1.300%, 06/01/2019(Callable 06/01/2018) | 605,000 | 600,578 | ||||||||||
Iowa Finance Authority, | ||||||||||||
3.500%, 07/01/2046(Callable 01/01/2026) | 245,000 | 256,201 | ||||||||||
Iowa Higher Education Loan Authority, | ||||||||||||
2.000%, 12/01/2018(Callable 06/01/2018) | 1,000,000 | 1,000,560 | ||||||||||
1,960,347 | 1.6 | % | ||||||||||
Kansas | ||||||||||||
City of Hutchinson KS, | ||||||||||||
4.000%, 12/01/2018 | 200,000 | 202,356 | ||||||||||
City of Wichita KS, | ||||||||||||
3.000%, 09/01/2023(Callable 09/01/2022) | 400,000 | 402,940 | ||||||||||
State of Kansas Department of Transportation, | ||||||||||||
1.312%, 09/01/2019 (1 Month LIBOR USD + 0.400%)(2) | 205,000 | 204,524 | ||||||||||
809,820 | 0.6 | % | ||||||||||
Kentucky | ||||||||||||
Kentucky Economic Development Finance Authority: | ||||||||||||
4.750%, 08/15/2019(Callable 08/15/2018) | 250,000 | 254,217 | ||||||||||
6.000%, 06/01/2030(Pre-refunded to 06/01/2020) | 190,000 | 209,027 | ||||||||||
6.375%, 06/01/2040(Pre-refunded to 06/01/2020) | 320,000 | 354,867 | ||||||||||
6.500%, 03/01/2045(Pre-refunded to 06/01/2020) | 950,000 | 1,056,305 | ||||||||||
Kentucky Municipal Power Agency, | ||||||||||||
3.110%, 09/01/2042 (SIFMA Municipal Swap Index + 1.400%) (Callable 03/01/2018)(Mandatory Tender Date 09/01/2018)(2) | 50,000 | 50,013 | ||||||||||
1,924,429 | 1.5 | % | ||||||||||
Louisiana | ||||||||||||
Calcasieu Parish School Board, | ||||||||||||
5.000%, 02/01/2025(Callable 02/01/2022) | 115,000 | 127,349 | ||||||||||
City of Shreveport LA, | ||||||||||||
5.000%, 08/01/2023(Insured by BAM) | 150,000 | 170,412 | ||||||||||
Louisiana Local Government Environmental Facilities & Community Development Authority: | ||||||||||||
5.500%, 10/01/2025(Pre-refunded to 10/01/2020) | 50,000 | 55,015 | ||||||||||
5.625%, 10/01/2030(Pre-refunded to 10/01/2020) | 50,000 | 55,183 | ||||||||||
5.875%, 10/01/2040(Pre-refunded to 10/01/2020) | 755,000 | 838,292 | ||||||||||
6.000%, 10/01/2044(Pre-refunded to 10/01/2020) | 125,000 | 139,206 | ||||||||||
6.000%, 10/01/2044(Pre-refunded to 10/01/2020) | 305,000 | 339,663 | ||||||||||
Louisiana Public Facilities Authority: | ||||||||||||
0.000%, 10/01/2018 | 235,000 | 230,389 | ||||||||||
5.000%, 10/01/2023 | 255,000 | 288,033 | ||||||||||
Louisiana State Citizens Property Insurance Corp., | ||||||||||||
5.000%, 06/01/2020 | 300,000 | 321,810 | ||||||||||
Regional Transit Authority, | ||||||||||||
0.000%, 12/01/2021 | 70,000 | 58,315 | ||||||||||
2,623,667 | 2.1 | % | ||||||||||
Maine | ||||||||||||
Maine State Housing Authority: | ||||||||||||
3.500%, 11/15/2045(Callable 05/15/2025) | 40,000 | 41,808 | ||||||||||
4.000%, 11/15/2045(Callable 11/15/2025) | 225,000 | 238,347 | ||||||||||
280,155 | 0.2 | % | ||||||||||
Maryland | ||||||||||||
Maryland Health & Higher Educational Facilities Authority, | ||||||||||||
5.000%, 07/01/2018 | 25,000 | 25,378 | 0.0 | % | ||||||||
Massachusetts | ||||||||||||
Eaton Vance Municipal Bond Fund II, | ||||||||||||
2.760%, 07/01/2019 (SIFMA Municipal Swap Index + 1.050%)(Callable 01/29/2018)(2)(3) | 100,000 | 99,991 | ||||||||||
Massachusetts Development Finance Agency, | ||||||||||||
5.000%, 07/01/2031(Mandatory Tender Date 01/18/2018)(1) | 40,000 | 40,058 | ||||||||||
Massachusetts Housing Finance Agency: | ||||||||||||
4.000%, 12/01/2044(Callable 06/01/2025) | 165,000 | 174,347 | ||||||||||
3.500%, 12/01/2046(Callable 12/01/2025) | 940,000 | 985,261 | ||||||||||
4.000%, 12/01/2048(Callable 06/01/2027) | 700,000 | 754,243 | ||||||||||
Town of Ashburnham MA, | ||||||||||||
4.250%, 07/01/2021(Callable 07/01/2018) | 250,000 | 252,878 | ||||||||||
2,306,778 | 1.8 | % | ||||||||||
Michigan | ||||||||||||
Carman-Ainsworth Community School District, | ||||||||||||
5.000%, 05/01/2019(Insured by BAM) | 200,000 | 208,302 | ||||||||||
City of Detroit MI: | ||||||||||||
5.000%, 07/01/2020 | 265,000 | 284,451 | ||||||||||
7.000%, 07/01/2027(Callable 07/01/2019)(Insured by AGM) | 50,000 | 53,832 | ||||||||||
City of Saginaw MI, | ||||||||||||
4.000%, 07/01/2020(Insured by AGM) | 25,000 | 26,285 | ||||||||||
Dexter Community Schools, | ||||||||||||
5.100%, 05/01/2018 | 15,000 | 15,179 | ||||||||||
Ecorse Public School District, | ||||||||||||
4.000%, 05/01/2022(Insured by Q-SBLF) | 830,000 | 891,337 | ||||||||||
Michigan Finance Authority: | ||||||||||||
3.400%, 10/01/2020 | 100,000 | 100,492 | ||||||||||
1.813%, 10/15/2038 (1 Month LIBOR USD + 0.750%)(Callable 04/15/2020)(Mandatory Tender Date 10/15/2020)(2) | 350,000 | 351,172 | ||||||||||
1.588%, 12/01/2039 (1 Month LIBOR USD + 0.540%)(Callable 06/01/2020)(Mandatory Tender Date 12/01/2020)(2) | 100,000 | 99,404 | ||||||||||
1.100%, 11/15/2046(Mandatory Tender Date 08/15/2019)(1) | 100,000 | 98,858 | ||||||||||
Michigan State Hospital Finance Authority: | ||||||||||||
1.625%, 11/01/2027(Mandatory Tender Date 11/01/2019)(1) | 145,000 | 144,440 | ||||||||||
5.750%, 11/15/2039(Pre-refunded to 11/15/2019) | 370,000 | 397,624 | ||||||||||
1.900%, 11/15/2047(Mandatory Tender Date 04/01/2021)(1) | 290,000 | 289,090 | ||||||||||
Michigan State Housing Development Authority, | ||||||||||||
3.500%, 06/01/2047(Callable 06/01/2026) | 620,000 | 645,470 | ||||||||||
Pinckney Community Schools, | ||||||||||||
5.000%, 05/01/2021(Insured by Q-SBLF) | 100,000 | 110,221 | ||||||||||
Public Schools of South Haven, | ||||||||||||
4.000%, 05/01/2020(Insured by AGM) | 50,000 | 52,344 | ||||||||||
Wayne County Airport Authority, | ||||||||||||
5.000%, 12/01/2018 | 300,000 | 309,324 | ||||||||||
Western Michigan University, | ||||||||||||
5.000%, 11/15/2025(Callable 11/15/2021) | 75,000 | 84,283 | ||||||||||
White Cloud Public Schools: | ||||||||||||
4.000%, 05/01/2018(Insured by Q-SBLF) | 35,000 | 35,277 | ||||||||||
4.000%, 05/01/2019(Insured by Q-SBLF) | 30,000 | 30,886 | ||||||||||
Ypsilanti School District, | ||||||||||||
4.000%, 05/01/2020(Insured by Q-SBLF) | 50,000 | 52,216 | ||||||||||
4,280,487 | 3.4 | % | ||||||||||
Minnesota | ||||||||||||
City of Maple Grove MN, | ||||||||||||
4.000%, 05/01/2022 | 600,000 | 649,500 | ||||||||||
City of Minneapolis MN/St. Paul Housing & Redevelopment Authority: | ||||||||||||
2.131%, 08/01/2027(Callable 01/02/2018)(6)(1) | 25,000 | 23,452 | ||||||||||
2.146%, 08/01/2028(Callable 01/04/2018)(6)(1) | 175,000 | 162,818 | ||||||||||
City of Minneapolis MN/St. Paul Metropolitan Airports Commission, | ||||||||||||
5.000%, 01/01/2025 | 125,000 | 150,086 | ||||||||||
City of Plato MN, | ||||||||||||
4.000%, 04/01/2022 | 265,000 | 282,448 | ||||||||||
Minnesota Higher Education Facilities Authority, | ||||||||||||
5.000%, 04/01/2023 | 100,000 | 114,648 | ||||||||||
Minnesota Housing Finance Agency: | ||||||||||||
2.900%, 01/01/2025 | 70,000 | 72,589 | ||||||||||
4.000%, 01/01/2047(Callable 01/01/2026) | 460,000 | 488,658 | ||||||||||
4.000%, 07/01/2047(Callable 01/01/2027) | 750,000 | 796,238 | ||||||||||
Plymouth Intermediate District No. 287, | ||||||||||||
4.000%, 05/01/2020 | 25,000 | 26,050 | ||||||||||
University of Minnesota, | ||||||||||||
5.500%, 07/01/2021(ETM) | 160,000 | 174,291 | ||||||||||
2,940,778 | 2.3 | % | ||||||||||
Mississippi | ||||||||||||
Mississippi Development Bank, | ||||||||||||
5.000%, 03/01/2024(Insured by AGM) | 50,000 | 57,650 | ||||||||||
State of Mississippi, | ||||||||||||
1.242%, 09/01/2027 (1 Month LIBOR USD + 0.330%)(Callable 03/01/2020)(Mandatory Tender Date 09/01/2020)(2) | 350,000 | 347,680 | ||||||||||
University of Southern Mississippi, | ||||||||||||
2.000%, 09/01/2018 | 95,000 | 95,361 | ||||||||||
500,691 | 0.4 | % | ||||||||||
Missouri | ||||||||||||
City of St Louis MO, | ||||||||||||
5.000%, 07/01/2023(Insured by AGM) | 415,000 | 478,308 | ||||||||||
Industrial Development Authority of the City of St. Louis MO, | ||||||||||||
3.875%, 11/15/2029(Callable 11/15/2026) | 500,000 | 509,580 | ||||||||||
Kirkwood Industrial Development Authority, | ||||||||||||
8.000%, 05/15/2021(Pre-refunded 05/15/2020) | 535,000 | 588,602 | ||||||||||
Missouri Housing Development Commission, | ||||||||||||
4.000%, 05/01/2042(Callable 11/01/2026) | 740,000 | 793,139 | ||||||||||
Move Rolla Transportation Development District, | ||||||||||||
3.750%, 06/01/2029(Callable 06/01/2026) | 470,000 | 484,368 | ||||||||||
St Charles County School District No. R-IV, | ||||||||||||
0.000%, 03/01/2027(Pre-refunded to 03/01/2019) | 85,000 | 51,640 | ||||||||||
State of Missouri Environmental Improvement & Energy Resources Authority, | ||||||||||||
1.750%, 12/01/2022(Callable 01/02/2018)(6)(1) | 275,000 | 263,076 | ||||||||||
State of Missouri Health & Educational Facilities Authority: | ||||||||||||
4.000%, 02/01/2019 | 250,000 | 255,220 | ||||||||||
5.000%, 05/15/2022 | 70,000 | 79,019 | ||||||||||
3,502,952 | 2.8 | % | ||||||||||
Nebraska | ||||||||||||
Central Plains Energy Project, | ||||||||||||
5.000%, 09/01/2042(Callable 09/01/2022) | 110,000 | 122,590 | ||||||||||
Douglas County Hospital Authority No. 2, | ||||||||||||
5.000%, 05/15/2019 | 50,000 | 52,080 | ||||||||||
Gering School District: | ||||||||||||
5.000%, 12/01/2026(Callable 05/30/2022) | 115,000 | 129,590 | ||||||||||
5.000%, 12/01/2027(Callable 05/30/2022) | 100,000 | 112,642 | ||||||||||
416,902 | 0.3 | % | ||||||||||
Nevada | ||||||||||||
City of North Las Vegas NV, | ||||||||||||
2.000%, 12/01/2018 | 95,000 | 95,067 | ||||||||||
Las Vegas Redevelopment Agency, | ||||||||||||
5.000%, 06/15/2023 | 250,000 | 286,040 | ||||||||||
Nevada Housing Division, | ||||||||||||
4.400%, 04/01/2029(Callable 10/01/2021) | 105,000 | 109,532 | ||||||||||
490,639 | 0.4 | % | ||||||||||
New Jersey | ||||||||||||
Cape May County Industrial Pollution Control Financing Authority, | ||||||||||||
6.800%, 03/01/2021 | 50,000 | 56,315 | ||||||||||
City of Atlantic City NJ, | ||||||||||||
5.000%, 03/01/2022 | 100,000 | 110,360 | ||||||||||
City of Trenton NJ: | ||||||||||||
4.000%, 07/15/2022 | 500,000 | 535,720 | ||||||||||
4.000%, 07/15/2023 | 200,000 | 216,596 | ||||||||||
Landis Sewage Authority, | ||||||||||||
4.770%, 09/19/2019(6)(1)(8) | 50,000 | 48,703 | ||||||||||
New Jersey Economic Development Authority: | ||||||||||||
5.250%, 09/01/2019 | 250,000 | 261,443 | ||||||||||
5.000%, 03/01/2020 | 135,000 | 142,024 | ||||||||||
5.000%, 07/15/2021 | 100,000 | 109,218 | ||||||||||
5.000%, 07/15/2022 | 240,000 | 265,346 | ||||||||||
3.125%, 07/01/2029(Callable 07/01/2027) | 300,000 | 296,427 | ||||||||||
New Jersey Educational Facilities Authority, | ||||||||||||
5.000%, 07/01/2022 | 150,000 | 168,700 | ||||||||||
New Jersey Health Care Facilities Financing Authority: | ||||||||||||
4.000%, 07/01/2019(ETM) | 105,000 | 108,659 | ||||||||||
4.250%, 11/15/2021(Callable 11/15/2020) | 70,000 | 74,475 | ||||||||||
5.000%, 07/01/2025(Insured by AGM) | 50,000 | 59,472 | ||||||||||
New Jersey Higher Education Student Assistance Authority, | ||||||||||||
5.250%, 06/01/2020(Callable 06/01/2019) | 100,000 | 104,755 | ||||||||||
New Jersey Housing & Mortgage Finance Agency, | ||||||||||||
1.350%, 02/01/2020(Mandatory Tender Date 02/01/2019)(1) | 100,000 | 99,601 | ||||||||||
New Jersey Sports & Exposition Authority, | ||||||||||||
4.500%, 09/01/2022(Callable 09/01/2018) | 300,000 | 304,734 | ||||||||||
New Jersey Transportation Trust Fund Authority: | ||||||||||||
5.000%, 06/15/2018 | 700,000 | 709,352 | ||||||||||
5.000%, 06/15/2019 | 100,000 | 103,697 | ||||||||||
5.250%, 12/15/2019 | 35,000 | 36,855 | ||||||||||
5.000%, 06/15/2021(Callable 06/15/2018) | 150,000 | 152,350 | ||||||||||
Town of West New York NJ, | ||||||||||||
4.000%, 04/15/2019 | 200,000 | 206,276 | ||||||||||
Township of Irvington NJ, | ||||||||||||
0.000%, 07/15/2018 | 50,000 | 49,506 | ||||||||||
4,220,584 | 3.4 | % | ||||||||||
New Mexico | ||||||||||||
Montecito Estates Public Improvement District, | ||||||||||||
2.000%, 10/01/2018(Insured by BAM) | 100,000 | 100,435 | ||||||||||
New Mexico Mortgage Finance Authority: | ||||||||||||
5.300%, 09/01/2040(Callable 09/01/2019) | 50,000 | 51,573 | ||||||||||
3.500%, 03/01/2045(Callable 03/01/2026) | 35,000 | 36,600 | ||||||||||
New Mexico Municipal Energy Acquisition Authority, | ||||||||||||
1.662%, 11/01/2039 (1 Month LIBOR USD + 0.750%)(Callable 02/01/2019)(Mandatory Tender Date 08/01/2019)(2) | 455,000 | 454,604 | ||||||||||
643,212 | 0.5 | % | ||||||||||
New York | ||||||||||||
Brooklyn Arena Local Development Corp., | ||||||||||||
5.000%, 07/15/2020 | 100,000 | 107,993 | ||||||||||
City of Yonkers NY, | ||||||||||||
5.000%, 03/15/2024(Callable 03/15/2021) | 50,000 | 54,985 | ||||||||||
Housing Development Corp., | ||||||||||||
2.000%, 11/01/2057(Callable 08/01/2020)(Mandatory Tender Date 12/31/2021)(1) | 100,000 | 99,809 | ||||||||||
Long Island Power Authority, | ||||||||||||
1.603%, 05/01/2033 (1 Month LIBOR USD + 0.650%)(Callable 05/01/2018)(Mandatory Tender Date 11/01/2018)(2) | 75,000 | 75,055 | ||||||||||
Metropolitan Transportation Authority: | ||||||||||||
2.290%, 11/01/2031 (SIFMA Municipal Swap Index + 0.580%) (Callable 05/01/2019)(Mandatory Tender Date 11/01/2019)(2) | 500,000 | 500,355 | ||||||||||
2.160%, 11/01/2034 (SIFMA Municipal Swap Index + 0.450%) (Callable 05/01/2019)(Mandatory Tender Date 11/01/2019)(2) | 50,000 | 49,932 | ||||||||||
4.000%, 11/15/2034(Callable 08/15/2019)(Mandatory Tender Date 11/15/2019)(1) | 205,000 | 212,417 | ||||||||||
Monroe County Industrial Development Corp.: | ||||||||||||
5.000%, 10/01/2018 | 135,000 | 137,933 | ||||||||||
5.000%, 10/01/2019 | 145,000 | 151,702 | ||||||||||
MTA Hudson Rail Yards Trust Obligations, | ||||||||||||
5.000%, 11/15/2046(Callable 11/15/2019) | 750,000 | 789,877 | ||||||||||
Nassau Health Care Corp., | ||||||||||||
2.750%, 01/16/2018 | 250,000 | 250,038 | ||||||||||
New York City Transitional Finance Authority, | ||||||||||||
5.000%, 11/01/2018 | 50,000 | 51,450 | ||||||||||
New York State Dormitory Authority: | ||||||||||||
1.652%, 05/01/2018 (3 Month LIBOR USD + 0.730%)(Callable 01/02/2018)(2) | 200,000 | 200,028 | ||||||||||
4.000%, 12/01/2018 | 200,000 | 202,882 | ||||||||||
5.250%, 05/15/2021 | 100,000 | 109,729 | ||||||||||
5.000%, 12/15/2021 | 45,000 | 50,613 | ||||||||||
New York State Energy Research & Development Authority, | ||||||||||||
2.450%, 12/01/2020(6)(1) | 400,000 | 395,060 | ||||||||||
New York State Housing Finance Agency, | ||||||||||||
1.250%, 11/01/2018 | 15,000 | 14,960 | ||||||||||
Niskayuna Central School District, | ||||||||||||
1.300%, 03/15/2018 | 160,000 | 159,661 | ||||||||||
State of New York: | ||||||||||||
2.147%, 03/15/2021(Callable 01/04/2018)(Insured by AGM)(6)(1) | 50,000 | 47,609 | ||||||||||
2.147%, 02/15/2022(Callable 01/04/2018)(6)(1) | 25,000 | 23,785 | ||||||||||
State of New York Mortgage Agency, | ||||||||||||
3.500%, 10/01/2043(Callable 04/01/2023) | 400,000 | 412,968 | ||||||||||
Town of Oyster Bay NY, | ||||||||||||
3.000%, 03/01/2020(Insured by AGM) | 150,000 | 152,739 | ||||||||||
Triborough Bridge & Tunnel Authority: | ||||||||||||
1.412%, 11/15/2027 (1 Month LIBOR USD + 0.500%)(Callable 05/15/2021)(Mandatory Tender Date 11/15/2021)(2) | 100,000 | 99,727 | ||||||||||
1.504%, 01/01/2031 (1 Month LIBOR USD + 0.580%)(Callable 11/01/2018)(Mandatory Tender Date 12/01/2018)(2) | 600,000 | 600,942 | ||||||||||
1.262%, 01/01/2033 (1 Month LIBOR USD + 0.350%)(Callable 06/03/2019)(Mandatory Tender Date 12/03/2019)(2) | 30,000 | 29,894 | ||||||||||
4,982,143 | 4.0 | % | ||||||||||
North Carolina | ||||||||||||
Durham Housing Authority, | ||||||||||||
1.800%, 01/01/2021(Mandatory Tender Date 01/01/2020)(1) | 75,000 | 74,840 | ||||||||||
North Carolina Capital Facilities Finance Agency, | ||||||||||||
5.000%, 06/01/2022 | 100,000 | 110,687 | ||||||||||
North Carolina Eastern Municipal Power Agency: | ||||||||||||
5.000%, 01/01/2021(ETM) | 435,000 | 475,933 | ||||||||||
5.000%, 01/01/2021(ETM) | 580,000 | 634,578 | ||||||||||
6.000%, 01/01/2022(ETM) | 925,000 | 1,073,315 | ||||||||||
North Carolina Medical Care Commission: | ||||||||||||
5.000%, 11/01/2018 | 25,000 | 25,830 | ||||||||||
5.750%, 01/01/2035(Pre-refunded to 01/01/2021) | 110,000 | 122,748 | ||||||||||
North Carolina Municipal Power Agency, | ||||||||||||
0.000%, 01/01/2020 | 1,000,000 | 1,047,250 | ||||||||||
State of North Carolina, | ||||||||||||
5.000%, 05/01/2024(Callable 05/01/2023) | 1,000,000 | 1,160,200 | ||||||||||
Wilmington Housing Authority, | ||||||||||||
1.500%, 10/01/2020(Mandatory Tender Date 10/01/2019)(1) | 500,000 | 495,690 | ||||||||||
5,221,071 | 4.2 | % | ||||||||||
North Dakota | ||||||||||||
City of Mandan ND, | ||||||||||||
2.750%, 09/01/2041(Callable 01/29/2018) | 185,000 | 183,783 | ||||||||||
County of Ward ND, | ||||||||||||
4.000%, 04/01/2024(Callable 04/01/2023)(Insured by AGM) | 500,000 | 541,755 | ||||||||||
Jamestown Park District, | ||||||||||||
2.900%, 07/01/2035(Callable 01/16/2018) | 555,000 | 543,300 | ||||||||||
North Dakota Housing Finance Agency, | ||||||||||||
4.000%, 07/01/2048(Callable 01/01/2027) | 270,000 | 290,018 | ||||||||||
1,558,856 | 1.2 | % | ||||||||||
Ohio | ||||||||||||
Buckeye Local School District, | ||||||||||||
2.500%, 04/17/2018 | 350,000 | 350,504 | ||||||||||
City of Bowling Green OH: | ||||||||||||
4.500%, 06/01/2019(ETM) | 60,000 | 61,521 | ||||||||||
5.000%, 06/01/2020(ETM) | 100,000 | 107,418 | ||||||||||
City of Hamilton OH, | ||||||||||||
4.000%, 10/15/2023(Pre-refunded to 10/15/2019) | 25,000 | 26,046 | ||||||||||
Cleveland-Cuyahoga County Port Authority, | ||||||||||||
3.000%, 05/15/2018 | 50,000 | 50,162 | ||||||||||
County of Hamilton OH, | ||||||||||||
4.000%, 01/01/2018 | 100,000 | 100,000 | ||||||||||
County of Lorain OH, | ||||||||||||
2.000%, 12/01/2018 | 205,000 | 205,720 | ||||||||||
Groveport-Madison Local School District, | ||||||||||||
4.000%, 12/01/2024(Callable 12/01/2022)(Insured by BAM) | 50,000 | 53,349 | ||||||||||
Lancaster Port Authority, | ||||||||||||
1.532%, 08/01/2019 (1 Month LIBOR USD + 0.620%)(Callable 02/01/2019)(2) | 70,000 | 69,864 | ||||||||||
Ohio Higher Educational Facility Commission, | ||||||||||||
5.000%, 12/01/2020 | 35,000 | 38,048 | ||||||||||
Ohio Housing Finance Agency, | ||||||||||||
4.000%, 03/01/2047(Callable 09/01/2025) | 210,000 | 222,039 | ||||||||||
Shawnee State University, | ||||||||||||
2.000%, 06/01/2019(Insured by BAM) | 250,000 | 248,380 | ||||||||||
Summit County Development Finance Authority: | ||||||||||||
3.000%, 05/15/2018 | 135,000 | 135,315 | ||||||||||
2.000%, 11/15/2019 | 30,000 | 30,272 | ||||||||||
1,698,638 | 1.4 | % | ||||||||||
Oklahoma | ||||||||||||
Logan County Independent School District, | ||||||||||||
4.000%, 08/01/2020 | 25,000 | 26,314 | ||||||||||
Oklahoma City Industrial & Cultural Facilities Trust, | ||||||||||||
2.328%, 06/01/2019(Callable 01/02/2018)(6)(1) | 50,000 | 49,822 | ||||||||||
76,136 | 0.1 | % | ||||||||||
Oregon | ||||||||||||
City of Portland OR, | ||||||||||||
4.000%, 02/01/2018 | 25,000 | 25,050 | ||||||||||
Oregon State Facilities Authority: | ||||||||||||
2.710%, 10/01/2022 (SIFMA Municipal Swap Index + 1.000%) (Callable 04/01/2018)(Mandatory Tender Date 09/15/2018)(2) | 215,000 | 215,394 | ||||||||||
4.750%, 03/15/2024(Callable 03/15/2020) | 15,000 | 15,902 | ||||||||||
State of Oregon, | ||||||||||||
4.000%, 12/01/2048(Callable 12/01/2026) | 1,000,000 | 1,071,740 | ||||||||||
State of Oregon Housing & Community Services Department, | ||||||||||||
3.500%, 07/01/2036(Callable 01/01/2025) | 170,000 | 177,844 | ||||||||||
1,505,930 | 1.2 | % | ||||||||||
Pennsylvania | ||||||||||||
Allegheny County Higher Education Building Authority, | ||||||||||||
4.000%, 10/15/2018 | 365,000 | 370,209 | ||||||||||
Allegheny County Hospital Development Authority, | ||||||||||||
4.125%, 10/15/2026(Callable 10/15/2021) | 30,000 | 31,935 | ||||||||||
Bethlehem Parking Authority, | ||||||||||||
2.000%, 10/01/2018 | 100,000 | 100,323 | ||||||||||
Borough of Wilkinsburg PA, | ||||||||||||
1.500%, 07/15/2019 | 315,000 | 313,513 | ||||||||||
Chester County Health & Education Facilities Authority, | ||||||||||||
5.000%, 11/01/2019 | 225,000 | 239,310 | ||||||||||
City of Erie PA, | ||||||||||||
0.000%, 11/15/2018(ETM)(Insured by AGM) | 60,000 | 59,213 | ||||||||||
Coatesville School District, | ||||||||||||
5.000%, 08/01/2023 | 150,000 | 169,741 | ||||||||||
Commonwealth Financing Authority, | ||||||||||||
5.000%, 06/01/2023 | 225,000 | 256,354 | ||||||||||
County of Allegheny PA, | ||||||||||||
1.472%, 11/01/2026 (3 Month LIBOR USD + 0.550%)(Callable 01/29/2018)(Insured by AGM)(2) | 70,000 | 68,618 | ||||||||||
Crawford Central School District, | ||||||||||||
5.000%, 02/01/2019(Callable 08/01/2018) | 100,000 | 101,905 | ||||||||||
Delaware County Authority: | ||||||||||||
3.000%, 06/01/2019 | 170,000 | 171,476 | ||||||||||
4.000%, 06/01/2020 | 390,000 | 403,135 | ||||||||||
Delaware River Port Authority, | ||||||||||||
5.000%, 01/01/2022 | 110,000 | 121,494 | ||||||||||
Erie Parking Authority, | ||||||||||||
2.000%, 09/01/2019 | 105,000 | 105,461 | ||||||||||
Hollidaysburg Sewer Authority: | ||||||||||||
2.000%, 12/01/2018 | 50,000 | 50,171 | ||||||||||
2.000%, 12/01/2019 | 105,000 | 105,333 | ||||||||||
Indiana County Industrial Development Authority, | ||||||||||||
1.450%, 09/01/2020(Callable 03/01/2020) | 320,000 | 319,418 | ||||||||||
Lancaster Higher Education Authority, | ||||||||||||
5.000%, 10/01/2022(Insured by BAM) | 35,000 | 39,307 | ||||||||||
Lancaster Industrial Development Authority, | ||||||||||||
5.000%, 05/01/2022 | 45,000 | 49,742 | ||||||||||
Montgomery County Industrial Development Authority, | ||||||||||||
5.000%, 01/15/2018 | 50,000 | 50,045 | ||||||||||
Pennsylvania Economic Development Financing Authority, | ||||||||||||
5.000%, 03/01/2019 | 130,000 | 134,893 | ||||||||||
Pennsylvania Higher Educational Facilities Authority, | ||||||||||||
5.000%, 08/15/2024(Pre-refunded to 08/15/2021) | 110,000 | 122,269 | ||||||||||
Pennsylvania Housing Finance Agency: | ||||||||||||
3.700%, 10/01/2042(Callable 10/01/2021) | 165,000 | 168,486 | ||||||||||
3.500%, 10/01/2046(Callable 10/01/2025) | 225,000 | 234,922 | ||||||||||
4.000%, 10/01/2046(Callable 04/01/2026) | 255,000 | 272,496 | ||||||||||
Pennsylvania Turnpike Commission: | ||||||||||||
5.000%, 06/01/2018 | 50,000 | 50,691 | ||||||||||
2.590%, 12/01/2020 (SIFMA Municipal Swap Index + 0.880%)(Callable 06/01/2020)(2) | 225,000 | 227,318 | ||||||||||
2.690%, 12/01/2021 (SIFMA Municipal Swap Index + 0.980%)(Callable 06/01/2021)(2) | 340,000 | 345,970 | ||||||||||
5.000%, 12/01/2022 | 50,000 | 56,757 | ||||||||||
Pittsburgh Water & Sewer Authority, | ||||||||||||
1.737%, 09/01/2040 (1 Month LIBOR USD + 0.640%)(Callable 06/01/2020) (Insured by AGM)(Mandatory Tender Date 12/01/2020) | 50,000 | 49,846 | ||||||||||
School District of Philadelphia, | ||||||||||||
5.000%, 09/01/2018 | 185,000 | �� | 188,598 | |||||||||
School District of Reading, | ||||||||||||
5.000%, 03/01/2024 | 100,000 | 115,798 | ||||||||||
Scranton School District, | ||||||||||||
5.000%, 06/01/2019 | 100,000 | 103,697 | ||||||||||
Somerset County General Authority, | ||||||||||||
2.000%, 10/01/2019 | 155,000 | 155,822 | ||||||||||
Southern Columbia PA Area School District, | ||||||||||||
1.000%, 04/01/2018 | 50,000 | 49,888 | ||||||||||
West Mifflin Sanitary Sewer Municipal Authority, | ||||||||||||
4.000%, 08/01/2020(Insured by BAM) | 200,000 | 211,136 | ||||||||||
Wilkinsburg School District, | ||||||||||||
3.000%, 05/15/2020 | 110,000 | 112,606 | ||||||||||
5,727,896 | 4.6 | % |
Puerto Rico | ||||||||||||
Commonwealth of Puerto Rico: | ||||||||||||
5.500%, 07/01/2018 | 50,000 | 50,413 | ||||||||||
0.000%, 07/01/2019(7) | 50,000 | 46,787 | ||||||||||
Puerto Rico Public Finance Corp.: | ||||||||||||
5.375%, 06/01/2019(Insured by AMBAC) | 340,000 | 356,415 | ||||||||||
5.125%, 06/01/2024(Insured by AMBAC) | 150,000 | 168,156 | ||||||||||
621,771 | 0.5 | % | ||||||||||
Rhode Island | ||||||||||||
Providence Public Buildings Authority, | ||||||||||||
5.125%, 06/15/2021(Insured by AGM) | 80,000 | 83,709 | ||||||||||
Rhode Island Health & Educational Building Corp., | ||||||||||||
5.000%, 05/15/2024 | 500,000 | 583,060 | ||||||||||
Rhode Island Housing & Mortgage Finance Corp., | ||||||||||||
3.500%, 10/01/2046(Callable 04/01/2025) | 75,000 | 77,825 | ||||||||||
744,594 | 0.6 | % | ||||||||||
South Carolina | ||||||||||||
City of Myrtle Beach SC, | ||||||||||||
5.000%, 10/01/2020 | 100,000 | 107,942 | ||||||||||
Scago Educational Facilities Corp. for Marro School District, | ||||||||||||
4.250%, 12/01/2029(Callable 12/01/2020)(Insured by AGM) | 100,000 | 104,167 | ||||||||||
South Carolina Public Service Authority: | ||||||||||||
5.000%, 12/01/2021 | 110,000 | 122,310 | ||||||||||
5.000%, 12/01/2025 | 240,000 | 284,904 | ||||||||||
South Carolina State Housing Finance & Development Authority, | ||||||||||||
4.000%, 07/01/2036(Callable 07/01/2025) | 305,000 | 323,791 | ||||||||||
943,114 | 0.7 | % | ||||||||||
Tennessee | ||||||||||||
Clarksville Natural Gas Acquisition Corp., | ||||||||||||
5.000%, 12/15/2020 | 75,000 | 81,256 | ||||||||||
Knox County Health Educational & Housing Facility Board: | ||||||||||||
4.000%, 04/01/2019 | 200,000 | 204,588 | ||||||||||
5.000%, 04/01/2020 | 200,000 | 212,282 | ||||||||||
Montgomery County Health Educational & Housing Facilities Board, | ||||||||||||
1.750%, 12/01/2020(Mandatory Tender Date 12/01/2019)(1) | 380,000 | 379,886 | ||||||||||
Nashville & Davidson County Metropolitan Government, | ||||||||||||
1.550%, 11/15/2030(Mandatory Tender Date 11/03/2020)(1) | 750,000 | 742,170 | ||||||||||
Nashville & Davidson County Metropolitan Government Health & Educational Facilities, | ||||||||||||
0.900%, 04/01/2019(Mandatory Tender Date 04/01/2018)(1) | 150,000 | 149,692 | ||||||||||
Tennessee Energy Acquisition Corp.: | ||||||||||||
5.250%, 09/01/2018 | 85,000 | 86,974 | ||||||||||
4.000%, 05/01/2048(Callable 02/01/2023)(Mandatory Tender Date 05/01/2023)(1) | 555,000 | 607,875 | ||||||||||
Tennessee Housing Development Agency, | ||||||||||||
4.000%, 01/01/2046(Callable 01/01/2025) | 65,000 | 69,675 | ||||||||||
2,534,398 | 2.0 | % | ||||||||||
Texas | ||||||||||||
Bexar County Health Facilities Development Corp.: | ||||||||||||
4.000%, 07/15/2018 | 50,000 | 50,656 | ||||||||||
4.000%, 07/15/2019 | 75,000 | 77,542 | ||||||||||
Central Texas Turnpike System, | ||||||||||||
5.000%, 08/15/2042(Mandatory Tender Date 04/01/2020)(1) | 330,000 | 351,311 | ||||||||||
City of Bullard TX, | ||||||||||||
3.000%, 09/01/2020(Insured by BAM) | 135,000 | 137,880 | ||||||||||
City of Round Rock TX: | ||||||||||||
4.000%, 12/01/2023 | 30,000 | 33,012 | ||||||||||
4.000%, 12/01/2024 | 250,000 | 276,335 | ||||||||||
Clear Creek Independent School District, | ||||||||||||
1.350%, 02/15/2038(Mandatory Tender Date 08/15/2018)(PSF Guaranteed)(1) | 50,000 | 49,905 | ||||||||||
Clifton Higher Education Finance Corp.: | ||||||||||||
4.000%, 08/15/2018 | 100,000 | 101,329 | ||||||||||
5.000%, 08/15/2018 | 100,000 | 102,189 | ||||||||||
Corpus Christi Independent School District, | ||||||||||||
2.000%, 08/15/2047(Mandatory Tender Date 08/15/2019)(PSF Guaranteed)(1) | 250,000 | 250,752 | ||||||||||
County of Harris TX, | ||||||||||||
2.410%, 08/15/2021 (SIFMA Municipal Swap Index + 0.700%) (Callable 02/15/2018)(Mandatory Tender Date 08/15/2018)(2) | 65,000 | 65,043 | ||||||||||
County of Zapata TX, | ||||||||||||
3.000%, 02/15/2018(Insured by BAM) | 250,000 | 250,435 | ||||||||||
Cypress-Fairbanks Independent School District, | ||||||||||||
3.000%, 02/15/2036(Mandatory Tender Date 08/15/2019)(PSF Guaranteed)(1) | 275,000 | 280,187 | ||||||||||
Dallas Independent School District: | ||||||||||||
1.500%, 02/15/2034(Mandatory Tender Date 08/15/2018)(1) | 100,000 | 99,841 | ||||||||||
5.000%, 02/15/2036(Mandatory Tender Date 02/15/2020)(PSF Guaranteed)(1) | 200,000 | 214,224 | ||||||||||
5.000%, 02/15/2036(Mandatory Tender Date 02/15/2022)(PSF Guaranteed)(1) | 355,000 | 397,028 | ||||||||||
Dawson Independent School District, | ||||||||||||
0.000%, 02/16/2019(PSF Guaranteed) | 245,000 | 240,543 | ||||||||||
Denton County Fresh Water Supply District No. 6: | ||||||||||||
4.000%, 02/15/2018(Insured by BAM) | 150,000 | 150,413 | ||||||||||
4.000%, 02/15/2019(Insured by BAM) | 150,000 | 153,714 | ||||||||||
4.000%, 02/15/2020(Insured by BAM) | 175,000 | 182,105 | ||||||||||
Fort Bend County Municipal Utility District No. 58, | ||||||||||||
5.000%, 04/01/2019(Insured by BAM) | 150,000 | 155,877 | ||||||||||
Fort Bend Independent School District: | ||||||||||||
0.900%, 08/01/2040(Mandatory Tender Date 08/01/2018)(PSF Guaranteed)(1) | 110,000 | 109,522 | ||||||||||
1.350%, 08/01/2040(Callable 02/01/2018)(Mandatory Tender Date 08/01/2019)(PSF Guaranteed)(1) | 505,000 | 501,399 | ||||||||||
Generation Park Management District, | ||||||||||||
3.000%, 09/01/2018 | 160,000 | 161,222 | ||||||||||
Harlingen Consolidated Independent School District, | ||||||||||||
5.000%, 08/15/2021(PSF Guaranteed) | 100,000 | 111,377 | ||||||||||
Harris County Cultural Education Facilities Finance Corp.: | ||||||||||||
2.290%, 12/01/2042 (SIFMA Municipal Swap Index + 0.580%) (Callable 06/01/2019)(Mandatory Tender Date 12/01/2019)(2) | 50,000 | 50,022 | ||||||||||
1.917%, 10/01/2045 (1 Month LIBOR USD + 0.850%)(Callable 12/01/2019)(Mandatory Tender Date 06/01/2020)(2) | 300,000 | 301,374 | ||||||||||
Harris County Municipal Utility District No. 153, | ||||||||||||
4.000%, 09/01/2023(Callable 09/01/2022)(Insured by BAM) | 100,000 | 108,207 | ||||||||||
Katy Independent School District, | ||||||||||||
1.540%, 08/15/2036 (1 Month LIBOR USD + 0.550%)(Callable 02/15/2019) (Mandatory Tender Date 08/15/2019)(PSF Guaranteed)(2) | 300,000 | 299,907 | ||||||||||
New Hope Cultural Education Facilities Finance Corp.: | ||||||||||||
1.250%, 11/01/2018 | 100,000 | 99,566 | ||||||||||
3.000%, 07/01/2019 | 100,000 | 101,111 | ||||||||||
4.000%, 04/01/2020 | 50,000 | 52,250 | ||||||||||
3.000%, 07/01/2021 | 120,000 | 123,172 | ||||||||||
3.625%, 08/15/2022(Callable 08/15/2021) | 100,000 | 100,457 | ||||||||||
North East Independent School District, | ||||||||||||
2.000%, 08/01/2044(Mandatory Tender Date 08/01/2019)(PSF Guaranteed)(1) | 50,000 | 50,147 | ||||||||||
North Texas Higher Education Authority, Inc., | ||||||||||||
2.235%, 07/01/2030 (3 Month LIBOR USD + 0.900%)(2) | 35,000 | 35,026 | ||||||||||
North Texas Tollway Authority: | ||||||||||||
5.000%, 01/01/2022 | 25,000 | 27,988 | ||||||||||
1.950%, 01/01/2038(Mandatory Tender Date 01/01/2019)(1) | 100,000 | 100,002 | ||||||||||
Northside Independent School District, | ||||||||||||
2.000%, 06/01/2046(Mandatory Tender Date 06/01/2021)(PSF Guaranteed)(1) | 340,000 | 340,666 | ||||||||||
Northwest Harris County Municipal Utility District No. 16, | ||||||||||||
5.500%, 10/01/2021(Insured by BAM) | 25,000 | 27,968 | ||||||||||
Round Rock Independent School District, | ||||||||||||
1.500%, 08/01/2040(Callable 02/01/2018)(Mandatory Tender Date 08/01/2021)(PSF Guaranteed)(1) | 55,000 | 54,130 | ||||||||||
SA Energy Acquisition Public Facility Corp.: | ||||||||||||
5.500%, 08/01/2021 | 25,000 | 27,914 | ||||||||||
5.500%, 08/01/2022 | 310,000 | 353,732 | ||||||||||
San Antonio Water System, | ||||||||||||
2.000%, 05/01/2043(Mandatory Tender Date 11/01/2021)(1) | 100,000 | 100,072 | ||||||||||
San Jacinto College District, | ||||||||||||
5.000%, 02/15/2034(Pre-refunded to 02/15/2019) | 25,000 | 25,954 | ||||||||||
San Juan Higher Education Finance Authority, | ||||||||||||
5.125%, 08/15/2020 | 300,000 | 314,067 | ||||||||||
Texas Department of Housing & Community Affairs, | ||||||||||||
4.050%, 07/01/2026(Callable 01/01/2021) | 515,000 | 536,682 | ||||||||||
Texas Municipal Gas Acquisition & Supply Corp. I: | ||||||||||||
5.250%, 12/15/2018 | 220,000 | 227,265 | ||||||||||
5.250%, 12/15/2021 | 90,000 | 100,655 | ||||||||||
Texas Transportation Commission State Highway Fund, | ||||||||||||
4.000%, 04/01/2026(Mandatory Tender Date 10/01/2021)(1) | 430,000 | 462,800 | ||||||||||
Viridian Municipal Management District, | ||||||||||||
6.000%, 12/01/2023(Insured by BAM) | 50,000 | 60,631 | ||||||||||
West Ranch Management District: | ||||||||||||
2.000%, 09/01/2018 | 50,000 | 50,081 | ||||||||||
3.000%, 09/01/2019 | 50,000 | 50,994 | ||||||||||
8,686,681 | 6.9 | % | ||||||||||
Utah | ||||||||||||
Utah Housing Corp.: | ||||||||||||
2.000%, 07/01/2021(Mandatory Tender Date 01/01/2021)(1) | 250,000 | 250,072 | ||||||||||
4.000%, 01/01/2045(Callable 01/01/2026) | 90,000 | 96,004 | ||||||||||
346,076 | 0.3 | % | ||||||||||
Vermont | ||||||||||||
City of Burlington VT, | ||||||||||||
5.000%, 07/01/2023(Pre-refunded to 07/01/2021) | 25,000 | 27,751 | ||||||||||
Vermont Economic Development Authority, | ||||||||||||
2.000%, 07/01/2020(Callable 07/01/2019) | 350,000 | 342,220 | ||||||||||
Vermont Public Power Supply Authority, | ||||||||||||
5.000%, 07/01/2022 | 380,000 | 424,433 | ||||||||||
794,404 | 0.6 | % | ||||||||||
Virgin Islands | ||||||||||||
Virgin Islands Public Finance Authority, | ||||||||||||
5.000%, 09/01/2020 | 100,000 | 105,600 | 0.1 | % | ||||||||
Virginia | ||||||||||||
City of Petersburg VA, | ||||||||||||
4.000%, 11/01/2025(Callable 11/01/2022) | 330,000 | 347,959 | ||||||||||
Colonial Heights Economic Development Authority, | ||||||||||||
1.800%, 01/01/2020(Mandatory Tender Date 07/01/2019)(1) | 380,000 | 379,608 | ||||||||||
727,567 | 0.6 | % | ||||||||||
Washington | ||||||||||||
Central Puget Sound Regional Transit Authority, | ||||||||||||
2.410%, 11/01/2045 (SIFMA Municipal Swap Index + 0.700%)(Callable 05/01/2018)(Mandatory Tender Date 11/01/2018)(2) | 50,000 | 50,082 | ||||||||||
Central Washington University, | ||||||||||||
4.000%, 05/01/2024(Callable 05/01/2023) | 195,000 | 213,991 | ||||||||||
City of Seattle WA, | ||||||||||||
2.390%, 05/01/2045 (SIFMA Municipal Swap Index + 0.680%)(Callable 05/01/2018)(Mandatory Tender Date 11/01/2018)(2) | 225,000 | 225,340 | ||||||||||
Grays Harbor County Public Hospital District No. 1, | ||||||||||||
3.000%, 08/01/2019(Callable 12/01/2018) | 500,000 | 499,915 | ||||||||||
Washington Health Care Facilities Authority, | ||||||||||||
4.000%, 01/01/2018 | 70,000 | 70,000 | ||||||||||
1,059,328 | 0.8 | % | ||||||||||
West Virginia | ||||||||||||
West Virginia Hospital Finance Authority, | ||||||||||||
5.125%, 09/01/2021(Callable 09/01/2019) | 120,000 | 125,752 | 0.1 | % | ||||||||
Wisconsin | ||||||||||||
City of Two Rivers WI, | ||||||||||||
4.000%, 04/01/2018 | 125,000 | 125,386 | ||||||||||
Kaukauna Redevelopment Authority, | ||||||||||||
4.000%, 06/01/2018 | 25,000 | 25,253 | ||||||||||
Public Finance Authority: | ||||||||||||
4.000%, 12/01/2020 | 350,000 | 348,089 | ||||||||||
3.000%, 11/15/2022(Callable 11/15/2018) | 250,000 | 250,805 | ||||||||||
West Allis West Milwaukee School District, | ||||||||||||
3.000%, 04/01/2019 | 150,000 | 149,541 | ||||||||||
Wisconsin Center District: | ||||||||||||
0.000%, 12/15/2018 | 80,000 | 78,590 | ||||||||||
5.250%, 12/15/2023 | 80,000 | 90,955 | ||||||||||
5.250%, 12/15/2027 | 25,000 | 29,653 | ||||||||||
Wisconsin Health & Educational Facilities Authority: | ||||||||||||
4.000%, 04/01/2018 | 65,000 | 65,196 | ||||||||||
3.000%, 07/01/2018 | 25,000 | 25,123 | ||||||||||
5.000%, 11/15/2018 | 15,000 | 15,436 | ||||||||||
5.500%, 02/15/2019(Insured by AMBAC) | 125,000 | 127,884 | ||||||||||
5.000%, 08/15/2020 | 35,000 | 37,520 | ||||||||||
2.650%, 11/01/2020(Callable 11/01/2019) | 500,000 | 494,745 | ||||||||||
5.875%, 02/15/2022 | 25,000 | 28,289 | ||||||||||
4.000%, 09/15/2023(Callable 09/15/2022) | 50,000 | 53,420 | ||||||||||
5.250%, 04/15/2024(Callable 04/15/2020) | 110,000 | 118,170 | ||||||||||
Wisconsin Housing & Economic Development Authority: | ||||||||||||
3.500%, 09/01/2046(Callable 09/01/2025) | 475,000 | 499,828 | ||||||||||
4.000%, 03/01/2048(Callable 03/01/2027) | 500,000 | 535,970 | ||||||||||
3,099,853 | 2.5 | % | ||||||||||
Total Municipal Bonds (Cost $116,867,850) | 116,772,306 | 92.8 | % | |||||||||
SHORT-TERM INVESTMENT | Shares | |||||||||||
Money Market Mutual Fund | ||||||||||||
Fidelity Institutional Money Market Fund - Government Portfolio, Institutional Class, 1.19%(5) | 163,311 | 163,311 | ||||||||||
Total Short-Term Investment (Cost $163,311) | 163,311 | 0.1 | % | |||||||||
Total Investments (Cost $117,031,161) | 116,935,617 | 92.9 | % | |||||||||
Other Assets in Excess of Liabilities | 8,868,184 | 7.1 | % | |||||||||
TOTAL NET ASSETS | $ | 125,803,801 | 100.0 | % |
Notes to Schedule of Investments | ||||||||
AGM | Assured Guaranty Municipal | |||||||
AMBAC | Ambac Assurance Corp. | |||||||
BAM | Build America Mutual Assurance Co. | |||||||
ETM | Escrowed to Maturity | |||||||
NPFGC | National Public Finance Guarantee Corp. | |||||||
PSF | Texas Permanent School Fund | |||||||
Q-SBLF | Qualified School Building Loan Fund | |||||||
(1) | Variable rate security. The coupon is based on an underlying pool of loans. The rate reported is the rate in effect as of December 31, 2017. | |||||||
(2) | Variable rate security based on a reference index and spread. The rate reported is the rate in effect as of December 31, 2017. | |||||||
(3) | 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, 2017, the value of these securities total $332,410, which represents 0.26% of total net assets. | |||||||
(4) | Security or a portion of the security purchased on a when-issued or delayed delivery basis. | |||||||
(5) | 7-Day Yield. | |||||||
(6) | 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) | Security in default. | |||||||
(8) | Security that, on the last payment date, missed a partial principal or interest payment. |
Baird Short-Term Municipal Bond Fund | ||||||||
Schedule of Investments, December 31, 2017 | ||||||||
Summary of Fair Value Exposure at December 31, 2017 | ||||||||
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, 2017: |
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Long-Term Investments | ||||||||||||||||
Municipal Bonds | $ | – | $ | 116,772,306 | $ | – | $ | 116,772,306 | ||||||||
Total Long-Term Investments | – | 116,772,306 | – | 116,772,306 | ||||||||||||
Short-Term Investment | ||||||||||||||||
Money Market Mutual Fund | 163,311 | – | – | 163,311 | ||||||||||||
Total Short-Term Investment | 163,311 | – | – | 163,311 | ||||||||||||
Total Investments | $ | 163,311 | $ | 116,772,306 | $ | – | $ | 116,935,617 |
Changes in valuation techniques may result in transfers into or out of assigned levels within the fair value hierarchy. Transfers between levels are recognized at the end of the reporting period. 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. |
Baird Quality Intermediate Municipal Bond Fund | ||||||||||||
Schedule of Investments | ||||||||||||
December 31, 2017 | ||||||||||||
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
LONG-TERM INVESTMENTS | ||||||||||||
Municipal Bonds | ||||||||||||
Arizona | ||||||||||||
City of Tucson AZ, | ||||||||||||
5.000%, 07/01/2028(Callable 07/01/2025) | $ | 750,000 | $ | 900,675 | ||||||||
Industrial Development Authority of the City of Phoenix, | ||||||||||||
1.200%, 08/01/2019(Mandatory Tender Date 08/01/2018)(1) | 1,205,000 | 1,202,518 | ||||||||||
Maricopa County Industrial Development Authority, | ||||||||||||
1.000%, 04/01/2019(Callable 01/19/2018)(Mandatory Tender Date 04/01/2018)(1) | 3,800,000 | 3,796,428 | ||||||||||
5,899,621 | 0.5 | % | ||||||||||
Arkansas | ||||||||||||
Arkansas Development Finance Authority, | ||||||||||||
5.500%, 12/01/2018(ETM) | 1,000,000 | 1,018,480 | ||||||||||
City of Pine Bluff AR, | ||||||||||||
3.000%, 02/01/2047(Callable 08/01/2027)(Insured by BAM) | 2,460,000 | 2,470,160 | ||||||||||
City of Rogers AR: | ||||||||||||
4.000%, 11/01/2025(Callable 05/01/2024) | 570,000 | 631,349 | ||||||||||
4.000%, 11/01/2026(Callable 05/01/2024) | 680,000 | 750,645 | ||||||||||
4.000%, 11/01/2027(Callable 05/01/2024) | 460,000 | 504,376 | ||||||||||
4.000%, 11/01/2028(Callable 05/01/2024) | 125,000 | 136,060 | ||||||||||
5,511,070 | 0.5 | % | ||||||||||
California | ||||||||||||
Aromas-San Juan Unified School District, | ||||||||||||
0.000%, 08/01/2050(Pre-refunded to 08/01/2021)(Insured by AGM) | 700,000 | 58,478 | ||||||||||
Brea Redevelopment Agency: | ||||||||||||
0.000%, 08/01/2033(Callable 08/01/2027) | 1,500,000 | 1,397,100 | ||||||||||
0.000%, 08/01/2034(Callable 08/01/2027) | 1,750,000 | 1,624,017 | ||||||||||
California Infrastructure & Economic Development Bank, | ||||||||||||
5.000%, 07/01/2029(Pre-refunded to 01/01/2028) | 150,000 | 187,866 | ||||||||||
Centinela Valley Union High School District, | ||||||||||||
5.000%, 08/01/2050(Callable 08/01/2022)(Insured by AGM) | 385,000 | 434,380 | ||||||||||
Citrus Community College District, | ||||||||||||
0.000%, 08/01/2034(Callable 02/01/2024) | 885,000 | 766,021 | ||||||||||
City of Bakersfield CA, | ||||||||||||
0.000%, 04/15/2021(ETM) | 12,380,000 | 11,657,503 | ||||||||||
City of Pasadena CA, | ||||||||||||
4.250%, 06/01/2034(Callable 06/01/2023) | 500,000 | 547,730 | ||||||||||
Commerce Community Development Commission Successor Agency, | ||||||||||||
0.000%, 08/01/2021(ETM) | 415,000 | 352,314 | ||||||||||
Contra Costa Transportation Authority, | ||||||||||||
5.000%, 03/01/2028(Callable 03/01/2025) | 1,510,000 | 1,805,235 | ||||||||||
El Rancho Unified School District, | ||||||||||||
0.000%, 08/01/2035(Pre-refunded to 08/01/2023)(Insured by BAM) | 300,000 | 130,689 | ||||||||||
Mendocino-Lake Community College District, | ||||||||||||
0.000%, 08/01/2051(Pre-refunded to 08/01/2021)(Insured by AGM) | 1,285,000 | 118,079 | ||||||||||
Metropolitan Water District of Southern California, | ||||||||||||
5.000%, 07/01/2032(Callable 01/01/2026) | 4,555,000 | 5,511,277 | ||||||||||
Mount San Antonio Community College District, | ||||||||||||
0.000%, 08/01/2028(Callable 02/01/2028) | 550,000 | 541,162 | ||||||||||
Newport Mesa Unified School District, | ||||||||||||
0.000%, 08/01/2027 | 1,085,000 | 856,857 | ||||||||||
Northern California Power Agency, | ||||||||||||
7.500%, 07/01/2023(Pre-refunded to 07/01/2021)(Insured by AMBAC) | 510,000 | 577,366 | ||||||||||
Pittsburg Unified School District Financing Authority, | ||||||||||||
0.000%, 09/01/2040(Pre-refunded to 09/01/2021) | 675,000 | 149,735 | ||||||||||
Rio Hondo Community College District, | ||||||||||||
0.000%, 08/01/2042(Callable 08/01/2034) | 6,125,000 | 6,699,709 | ||||||||||
Roseville Joint Union School District, | ||||||||||||
0.000%, 08/01/2039(Pre-refunded to 08/01/2021)(Insured by AGM) | 105,000 | 24,568 | ||||||||||
San Diego Unified School District: | ||||||||||||
0.000%, 07/01/2033(Pre-refunded to 07/01/2024) | 250,000 | 288,473 | ||||||||||
4.000%, 07/01/2034(Callable 07/01/2027) | 1,000,000 | 1,102,950 | ||||||||||
4.000%, 07/01/2035(Callable 07/01/2027) | 2,000,000 | 2,200,620 | ||||||||||
San Joaquin Hills Transportation Corridor Agency: | ||||||||||||
0.000%, 01/01/2020(ETM) | 6,865,000 | 6,634,473 | ||||||||||
0.000%, 01/01/2023(ETM) | 14,000,000 | 12,725,720 | ||||||||||
0.000%, 01/01/2027(ETM) | 1,030,000 | 840,748 | ||||||||||
0.000%, 01/01/2028(ETM) | 720,000 | 578,578 | ||||||||||
San Marcos Public Facilities Authority, | ||||||||||||
0.000%, 09/01/2019(ETM) | 17,495,000 | 16,976,273 | ||||||||||
San Mateo Union High School District: | ||||||||||||
5.000%, 09/01/2033(Callable 09/01/2023) | 190,000 | 220,580 | ||||||||||
5.000%, 09/01/2041(Callable 09/01/2023) | 2,105,000 | 2,443,800 | ||||||||||
0.000%, 12/15/2043(Pre-refunded to 12/15/2024)(Insured by AMBAC) | 1,150,000 | 1,252,109 | ||||||||||
San Ysidro School District: | ||||||||||||
0.000%, 08/01/2042(Pre-refunded to 08/01/2021)(Insured by AGM) | 275,000 | 53,735 | ||||||||||
0.000%, 08/01/2043(Pre-refunded to 08/01/2021)(Insured by AGM) | 290,000 | 52,446 | ||||||||||
0.000%, 08/01/2044(Pre-refunded to 08/01/2021)(Insured by AGM) | 150,000 | 25,103 | ||||||||||
0.000%, 08/01/2050(Pre-refunded to 08/01/2021)(Insured by AGM) | 525,000 | 54,941 | ||||||||||
Santa Barbara Unified School District, | ||||||||||||
0.000%, 08/01/2045(Callable 08/01/2032) | 1,205,000 | 974,725 | ||||||||||
Sutter Union High School District: | ||||||||||||
0.000%, 08/01/2036(Pre-refunded to 08/01/2025) | 50,000 | 19,413 | ||||||||||
0.000%, 08/01/2037(Pre-refunded to 08/01/2025) | 50,000 | 18,076 | ||||||||||
0.000%, 08/01/2041(Pre-refunded to 08/01/2025) | 50,000 | 13,537 | ||||||||||
0.000%, 08/01/2043(Pre-refunded to 08/01/2025) | 200,000 | 46,670 | ||||||||||
0.000%, 08/01/2044(Pre-refunded to 08/01/2025) | 345,000 | 74,699 | ||||||||||
0.000%, 06/01/2050(Pre-refunded to 08/01/2025) | 700,000 | 96,866 | ||||||||||
Tustin Unified School District, | ||||||||||||
0.000%, 08/01/2028(Callable 08/01/2021) | 800,000 | 841,000 | ||||||||||
Victor Valley Union High School District: | ||||||||||||
0.000%, 08/01/2036(Pre-refunded to 08/01/2023) | 510,000 | 224,063 | ||||||||||
0.000%, 08/01/2038(Pre-refunded to 08/01/2023) | 460,000 | 178,268 | ||||||||||
0.000%, 08/01/2041(Pre-refunded to 08/01/2023) | 545,000 | 176,831 | ||||||||||
0.000%, 08/01/2042(Pre-refunded to 08/01/2023) | 2,000,000 | 610,300 | ||||||||||
0.000%, 08/01/2046(Pre-refunded to 08/01/2023) | 200,000 | 47,790 | ||||||||||
0.000%, 08/01/2052(Pre-refunded to 08/01/2023) | 790,000 | 129,655 | ||||||||||
Westminster School District, | ||||||||||||
0.000%, 08/01/2048(Callable 08/01/2023)(Insured by BAM) | 4,920,000 | 780,164 | ||||||||||
83,122,692 | 7.2 | % | ||||||||||
Colorado | ||||||||||||
Brush School District No. RE-2J: | ||||||||||||
5.000%, 12/01/2030(Callable 12/01/2027) | 160,000 | 195,233 | ||||||||||
5.000%, 12/01/2031(Callable 12/01/2027) | 380,000 | 461,818 | ||||||||||
5.000%, 12/01/2032(Callable 12/01/2027) | 395,000 | 478,120 | ||||||||||
5.000%, 12/01/2035(Callable 12/01/2027) | 460,000 | 551,894 | ||||||||||
City of Colorado Springs CO, | ||||||||||||
5.000%, 12/15/2032(Pre-refunded to 12/15/2018)(Insured by AGM) | 1,300,000 | 1,342,367 | ||||||||||
City of Fort Lupton CO, | ||||||||||||
4.000%, 12/01/2042(Callable 12/01/2027)(Insured by AGM) | 850,000 | 922,395 | ||||||||||
Colorado Health Facilities Authority, | ||||||||||||
0.000%, 07/15/2022(ETM) | 6,505,000 | 5,911,939 | ||||||||||
Colorado School of Mines, | ||||||||||||
5.000%, 12/01/2027 | 175,000 | 216,659 | ||||||||||
Dawson Ridge Metropolitan District No. 1: | ||||||||||||
0.000%, 10/01/2022(ETM) | 36,045,000 | 32,658,933 | ||||||||||
0.000%, 10/01/2022(ETM) | 23,640,000 | 21,369,141 | ||||||||||
Regional Transportation District, | ||||||||||||
4.375%, 06/01/2039(Callable 06/01/2023) | 5,725,000 | 6,112,411 | ||||||||||
70,220,910 | 6.1 | % | ||||||||||
Connecticut | ||||||||||||
City of Hartford CT, | ||||||||||||
4.000%, 04/01/2019(ETM) | 845,000 | 867,967 | ||||||||||
Connecticut Housing Finance Authority, | ||||||||||||
4.000%, 11/15/2047(Callable 11/15/2026) | 1,870,000 | 2,000,376 | ||||||||||
State of Connecticut, | ||||||||||||
5.000%, 10/15/2020 | 4,395,000 | 4,741,414 | ||||||||||
7,609,757 | 0.7 | % | ||||||||||
District of Columbia | ||||||||||||
District of Columbia, | ||||||||||||
5.250%, 07/15/2038(Pre-refunded to 07/15/2018) | 150,000 | 152,943 | 0.0 | % | ||||||||
Florida | ||||||||||||
City of Miami Beach FL, | ||||||||||||
6.250%, 10/01/2022(ETM)(Insured by AMBAC) | 1,260,000 | 1,400,099 | ||||||||||
City of Miramar FL: | ||||||||||||
5.000%, 10/01/2029(Callable 10/01/2027) | 1,000,000 | 1,236,430 | ||||||||||
5.000%, 10/01/2030(Callable 10/01/2027) | 1,000,000 | 1,230,540 | ||||||||||
5.000%, 10/01/2034(Callable 10/01/2027) | 1,000,000 | 1,214,020 | ||||||||||
5.000%, 10/01/2035(Callable 10/01/2027) | 1,000,000 | 1,211,130 | ||||||||||
City of Orlando FL, | ||||||||||||
5.000%, 11/01/2034(Callable 11/01/2027)(Insured by AGM) | 1,000,000 | 1,182,180 | ||||||||||
City of Sunrise FL, | ||||||||||||
5.500%, 10/01/2018(ETM)(Insured by AMBAC) | 885,000 | 911,285 | ||||||||||
City of Tallahassee FL: | ||||||||||||
5.000%, 10/01/2033(Callable 10/01/2024) | 255,000 | 299,342 | ||||||||||
5.000%, 10/01/2034(Callable 10/01/2024) | 1,000,000 | 1,171,160 | ||||||||||
County of Miami-Dade FL: | ||||||||||||
4.500%, 10/01/2020 | 7,100,000 | 7,640,594 | ||||||||||
5.250%, 10/01/2030(ETM) | 1,800,000 | 2,309,292 | ||||||||||
County of Seminole FL, | ||||||||||||
6.000%, 10/01/2019(ETM) | 2,485,000 | 2,606,815 | ||||||||||
Escambia County Housing Finance Authority, | ||||||||||||
0.000%, 10/15/2018(ETM) | 4,130,000 | 4,074,947 | ||||||||||
Gulf Environmental Services, Inc., | ||||||||||||
5.000%, 10/01/2018(ETM) | 325,000 | 333,333 | ||||||||||
Hillsborough County Industrial Development Authority: | ||||||||||||
5.625%, 08/15/2029(Pre-refunded to 08/15/2018) | 2,950,000 | 3,023,425 | ||||||||||
8.000%, 08/15/2032(Pre-refunded to 08/15/2019) | 2,065,000 | 2,288,454 | ||||||||||
Lee County School Board: | ||||||||||||
5.000%, 08/01/2031(Callable 08/01/2026) | 2,170,000 | 2,548,014 | ||||||||||
5.000%, 08/01/2032(Callable 08/01/2026) | 1,000,000 | 1,170,030 | ||||||||||
Miami-Dade County Health Facilities Authority, | ||||||||||||
5.750%, 05/01/2021(ETM) | 970,000 | 1,035,116 | ||||||||||
Miami-Dade County Water & Sewer System, | ||||||||||||
5.250%, 10/01/2022(Insured by AGM) | 1,125,000 | 1,296,281 | ||||||||||
Mid-Bay Bridge Authority: | ||||||||||||
6.875%, 10/01/2022(ETM) | 4,675,000 | 5,269,239 | ||||||||||
6.875%, 10/01/2022(ETM) | 3,175,000 | 3,631,756 | ||||||||||
Orange County Housing Finance Authority, | ||||||||||||
1.150%, 12/01/2019(Mandatory Tender Date 12/01/2018)(1) | 2,550,000 | 2,543,982 | ||||||||||
Orange County School Board, | ||||||||||||
5.000%, 08/01/2033(Callable 08/01/2026) | 4,900,000 | 5,807,137 | ||||||||||
Pinellas County Housing Finance Authority, | ||||||||||||
4.250%, 03/01/2027(Callable 09/01/2019) | 600,000 | 607,146 | ||||||||||
School Board of Miami-Dade County, | ||||||||||||
5.000%, 03/15/2039(Callable 03/15/2024) | 2,000,000 | 2,280,520 | ||||||||||
School District of Broward County: | ||||||||||||
5.250%, 07/01/2022(Callable 07/01/2021) | 8,390,000 | 9,332,952 | ||||||||||
5.250%, 07/01/2023(Callable 07/01/2021) | 4,915,000 | 5,462,089 | ||||||||||
State of Florida, | ||||||||||||
5.000%, 06/01/2022(Callable 06/01/2019) | 13,800,000 | 14,428,176 | ||||||||||
Tampa Bay Water, | ||||||||||||
5.000%, 10/01/2019(ETM) | 1,760,000 | 1,860,619 | ||||||||||
89,406,103 | 7.8 | % | ||||||||||
Georgia | ||||||||||||
Atlanta Development Authority: | ||||||||||||
5.000%, 09/01/2023(ETM) | 2,350,000 | 2,736,457 | ||||||||||
5.000%, 09/01/2024(Pre-refunded to 09/01/2023) | 810,000 | 943,205 | ||||||||||
5.000%, 09/01/2032(Pre-refunded to 09/01/2023) | 1,275,000 | 1,484,674 | ||||||||||
Forsyth County Hospital Authority, | ||||||||||||
6.375%, 10/01/2028(ETM) | 8,050,000 | 10,158,697 | ||||||||||
Georgia Housing & Finance Authority, | ||||||||||||
3.500%, 12/01/2046(Callable 12/01/2025) | 1,305,000 | 1,358,949 | ||||||||||
Richmond County Development Authority: | ||||||||||||
0.000%, 12/01/2021(ETM) | 1,835,000 | 1,696,935 | ||||||||||
0.000%, 12/01/2021(ETM) | 4,025,000 | 3,722,159 | ||||||||||
22,101,076 | 1.9 | % | ||||||||||
Illinois | ||||||||||||
Boone & Winnebago Counties Community Unit School District No. 200, | ||||||||||||
0.000%, 01/01/2024(ETM)(Insured by AGM) | 385,000 | 340,490 | ||||||||||
Cook County Community High School District No. 233, | ||||||||||||
4.000%, 12/01/2026(Callable 06/01/2022) | 3,695,000 | 3,950,583 | ||||||||||
Cook County Illinois School District No. 159, | ||||||||||||
0.000%, 12/01/2022(ETM) | 2,000,000 | 1,810,260 | ||||||||||
Cook County Illinois School District No. 163: | ||||||||||||
6.000%, 12/15/2026 | 1,165,000 | 1,457,264 | ||||||||||
5.000%, 12/15/2028 | 1,305,000 | 1,544,363 | ||||||||||
Cook County School District No. 144, | ||||||||||||
4.500%, 12/01/2025(ETM)(Insured by AGM) | 105,000 | 119,555 | ||||||||||
County of Du Page IL, | ||||||||||||
5.600%, 01/01/2021 | 670,000 | 709,932 | ||||||||||
Illinois Finance Authority: | ||||||||||||
6.250%, 05/01/2022(Pre-refunded to 05/01/2020) | 2,550,000 | 2,811,171 | ||||||||||
0.000%, 07/15/2023(ETM) | 25,590,000 | 22,610,045 | ||||||||||
0.000%, 07/15/2025(ETM) | 44,705,000 | 37,295,593 | ||||||||||
5.000%, 12/01/2030(Callable 12/01/2021) | 6,825,000 | 7,657,104 | ||||||||||
6.625%, 11/01/2039(Pre-refunded to 05/01/2019) | 395,000 | 420,963 | ||||||||||
Illinois Housing Development Authority, | ||||||||||||
3.100%, 02/01/2035(Callable 02/01/2026) | 2,715,000 | 2,700,339 | ||||||||||
Kane County Community Unit School District No. 304: | ||||||||||||
9.000%, 01/01/2023(ETM)(Insured by AGM) | 805,000 | 1,073,838 | ||||||||||
9.000%, 01/01/2023(Insured by AGM) | 2,720,000 | 3,599,403 | ||||||||||
Kane McHenry Cook & De Kalb Counties Unit School District, | ||||||||||||
7.000%, 01/01/2018(ETM)(Insured by AMBAC) | 365,000 | 365,000 | ||||||||||
Kendall Kane & Will Counties Community Unit School District No. 308, | ||||||||||||
0.000%, 02/01/2021(Insured by AGM) | 13,625,000 | 12,644,954 | ||||||||||
Lake County Community Consolidated School District No. 50: | ||||||||||||
5.000%, 01/01/2021(ETM) | 910,000 | 995,631 | ||||||||||
5.000%, 01/01/2021 | 465,000 | 505,915 | ||||||||||
Madison County Community Unit School District No. 7, | ||||||||||||
4.000%, 12/01/2018(Insured by BAM) | 500,000 | 509,385 | ||||||||||
Metropolitan Pier & Exposition Authority, | ||||||||||||
5.500%, 12/15/2023(ETM) | 2,250,000 | 2,522,048 | ||||||||||
Metropolitan Water Reclamation District of Greater Chicago, | ||||||||||||
5.000%, 12/01/2031(Callable 12/01/2021) | 1,800,000 | 2,002,860 | ||||||||||
Public Building Commission of Chicago, | ||||||||||||
7.000%, 01/01/2020(ETM) | 1,555,000 | 1,673,273 | ||||||||||
Regional Transportation Authority: | ||||||||||||
7.750%, 06/01/2020 | 560,000 | 606,558 | ||||||||||
6.700%, 11/01/2021 | 755,000 | 839,711 | ||||||||||
6.000%, 07/01/2022 | 4,705,000 | 5,490,265 | ||||||||||
School District of Winnebago County IL: | ||||||||||||
0.000%, 01/01/2018(ETM)(Insured by AGM) | 155,000 | 155,000 | ||||||||||
0.000%, 01/01/2018(Insured by AGM) | 1,205,000 | 1,205,000 | ||||||||||
Southern Illinois University: | ||||||||||||
5.250%, 04/01/2018 | 1,075,000 | 1,082,256 | ||||||||||
5.250%, 04/01/2019 | 1,390,000 | 1,435,106 | ||||||||||
Southwestern Illinois Development Authority, | ||||||||||||
7.625%, 11/01/2048(Pre-refunded to 11/01/2023) | 6,020,000 | 7,866,033 | ||||||||||
State of Illinois: | ||||||||||||
6.500%, 06/15/2022 | 180,000 | 198,887 | ||||||||||
6.000%, 11/01/2026 | 3,000,000 | 3,464,670 | ||||||||||
Village of Oak Park IL, | ||||||||||||
2.000%, 11/01/2019 | 650,000 | 650,455 | ||||||||||
Village of Rosemont IL, | ||||||||||||
5.500%, 12/01/2032(Pre-refunded to 12/01/2020) | 1,435,000 | 1,585,331 | ||||||||||
Village of Schaumburg IL, | ||||||||||||
4.000%, 12/01/2024(Callable 12/01/2022) | 5,750,000 | 6,333,453 | ||||||||||
Will County Community Unit School District No. 201-U, | ||||||||||||
0.000%, 11/01/2024(ETM) | 705,000 | 606,349 | ||||||||||
140,839,043 | 12.2 | % | ||||||||||
Indiana | ||||||||||||
Carmel Redevelopment Authority, | ||||||||||||
4.000%, 08/01/2033(Callable 08/01/2022) | 1,000,000 | 1,066,270 | ||||||||||
Columbus Multi-High School Building Corp.: | ||||||||||||
5.000%, 01/15/2026 | 1,125,000 | 1,353,026 | ||||||||||
5.000%, 01/15/2027 | 1,265,000 | 1,536,393 | ||||||||||
5.000%, 07/15/2028 | 1,000,000 | 1,234,420 | ||||||||||
5.000%, 01/15/2029 | 575,000 | 712,856 | ||||||||||
Franklin Community Multi-School Building Corp., | ||||||||||||
5.000%, 07/15/2020 | 1,990,000 | 2,141,857 | ||||||||||
Hammond Multi-School Building Corp., | ||||||||||||
6.000%, 01/15/2018(ETM) | 220,000 | 220,332 | ||||||||||
Indiana Health & Educational Facilities Financing Authority, | ||||||||||||
1.750%, 11/15/2031(Mandatory Tender Date 11/02/2021)(1) | 1,550,000 | 1,533,508 | ||||||||||
Kankakee Valley Middle School Building Corp.: | ||||||||||||
5.000%, 01/15/2029 | 475,000 | 581,182 | ||||||||||
5.000%, 07/15/2029 | 1,180,000 | 1,448,733 | ||||||||||
11,828,577 | 1.0 | % | ||||||||||
Iowa | ||||||||||||
Iowa Higher Education Loan Authority: | ||||||||||||
4.500%, 10/01/2033(Pre-refunded to 10/01/2021) | 2,100,000 | 2,307,585 | ||||||||||
5.000%, 10/01/2038(Pre-refunded to 10/01/2021) | 2,090,000 | 2,334,279 | ||||||||||
4,641,864 | 0.4 | % | ||||||||||
Kansas | ||||||||||||
Butler County Unified School District No. 394, | ||||||||||||
3.000%, 09/01/2019(Callable 09/01/2018) | 750,000 | 756,322 | ||||||||||
City of Wichita KS: | ||||||||||||
5.000%, 11/15/2020(ETM) | 1,120,000 | 1,221,651 | ||||||||||
5.000%, 11/15/2029(Pre-refunded to 11/15/2021) | 40,000 | 44,744 | ||||||||||
5.000%, 11/15/2034(Pre-refunded to 11/15/2019) | 1,060,000 | 1,124,586 | ||||||||||
Unified Government of Wyandotte County & Kansas City, | ||||||||||||
5.000%, 09/01/2019(Callable 03/01/2019)(Insured by BHAC) | 1,865,000 | 1,932,345 | ||||||||||
5,079,648 | 0.4 | % | ||||||||||
Kentucky | ||||||||||||
Kentucky Infrastructure Authority: | ||||||||||||
5.000%, 02/01/2023(Pre-refunded to 02/01/2022) | 70,000 | 79,003 | ||||||||||
5.000%, 02/01/2025(Pre-refunded to 02/01/2022) | 70,000 | 79,003 | ||||||||||
5.000%, 02/01/2026(Pre-refunded to 02/01/2022) | 75,000 | 84,647 | ||||||||||
242,653 | 0.0 | % | ||||||||||
Louisiana | ||||||||||||
Jefferson Parish Hospital Service District, | ||||||||||||
6.000%, 01/01/2039(Pre-refunded to 01/01/2021) | 1,080,000 | 1,213,002 | ||||||||||
Louisiana Public Facilities Authority: | ||||||||||||
5.500%, 05/15/2027(Pre-refunded to 05/15/2026) | 11,765,000 | 14,620,365 | ||||||||||
5.500%, 05/15/2032(Pre-refunded to 05/15/2026) | 22,125,000 | 27,946,309 | ||||||||||
6.750%, 07/01/2039(Pre-refunded to 07/01/2019) | 6,775,000 | 7,285,090 | ||||||||||
State of Louisiana: | ||||||||||||
5.000%, 11/15/2020(Callable 05/15/2020) | 4,000,000 | 4,312,600 | ||||||||||
5.000%, 05/01/2027(Pre-refunded to 05/01/2022) | 1,390,000 | 1,571,270 | ||||||||||
56,948,636 | 5.0 | % | ||||||||||
Maryland | ||||||||||||
City of Baltimore MD, | ||||||||||||
5.000%, 07/01/2024(ETM) | 1,220,000 | 1,400,218 | ||||||||||
State of Maryland, | ||||||||||||
5.000%, 03/01/2021(Callable 03/01/2020) | 1,000,000 | 1,071,480 | ||||||||||
2,471,698 | 0.2 | % | ||||||||||
Massachusetts | ||||||||||||
Commonwealth of Massachusetts: | ||||||||||||
4.000%, 12/01/2022(Pre-refunded to 12/01/2019) | 15,000,000 | 15,666,150 | ||||||||||
5.000%, 07/01/2033(Callable 07/01/2026) | 1,000,000 | 1,198,720 | ||||||||||
Massachusetts Clean Water Trust, | ||||||||||||
5.000%, 02/01/2031(Callable 02/01/2026) | 2,125,000 | 2,563,111 | ||||||||||
Massachusetts Department of Transportation, | ||||||||||||
5.000%, 01/01/2020(ETM) | 1,185,000 | 1,221,711 | ||||||||||
Massachusetts Development Finance Agency, | ||||||||||||
5.000%, 07/15/2033 | 625,000 | 756,688 | ||||||||||
Massachusetts Housing Finance Agency: | ||||||||||||
4.000%, 12/01/2044(Callable 06/01/2025) | 1,725,000 | 1,822,721 | ||||||||||
3.500%, 12/01/2046(Callable 12/01/2025) | 910,000 | 953,817 | ||||||||||
Massachusetts Water Resources Authority, | ||||||||||||
6.500%, 07/15/2019(ETM)(Insured by FGIC-TCRS) | 815,000 | 847,168 | ||||||||||
25,030,086 | 2.2 | % | ||||||||||
Michigan | ||||||||||||
Algonac Community Schools: | ||||||||||||
4.000%, 05/01/2028(Callable 05/01/2027)(Insured by Q-SBLF) | 175,000 | 192,733 | ||||||||||
4.000%, 05/01/2029(Callable 05/01/2027)(Insured by Q-SBLF) | 370,000 | 405,897 | ||||||||||
4.000%, 05/01/2030(Callable 05/01/2027)(Insured by Q-SBLF) | 470,000 | 512,775 | ||||||||||
Brighton Area School District, | ||||||||||||
5.000%, 05/01/2021(Insured by Q-SBLF) | 500,000 | 549,910 | ||||||||||
Ecorse Public School District, | ||||||||||||
5.000%, 05/01/2027(Insured by Q-SBLF) | 515,000 | 630,149 | ||||||||||
Fraser Public School District: | ||||||||||||
5.000%, 05/01/2024(Insured by Q-SBLF) | 1,000,000 | 1,174,210 | ||||||||||
5.000%, 05/01/2026(Callable 05/01/2025)(Insured by Q-SBLF) | 1,140,000 | 1,363,417 | ||||||||||
Michigan Finance Authority, | ||||||||||||
5.000%, 06/01/2027(Pre-refunded to 06/01/2022) | 1,315,000 | 1,480,151 | ||||||||||
Michigan State Housing Development Authority: | ||||||||||||
4.000%, 06/01/2046(Callable 12/01/2025) | 3,670,000 | 3,890,090 | ||||||||||
3.500%, 06/01/2047(Callable 06/01/2026) | 1,325,000 | 1,379,431 | ||||||||||
Pinckney Community Schools: | ||||||||||||
5.000%, 05/01/2022(Insured by Q-SBLF) | 1,935,000 | 2,179,603 | ||||||||||
5.000%, 05/01/2023(Insured by Q-SBLF) | 2,200,000 | 2,529,516 | ||||||||||
State of Michigan, | ||||||||||||
0.000%, 06/01/2022(ETM)(Insured by AMBAC) | 2,000,000 | 1,835,120 | ||||||||||
Warren Consolidated Schools: | ||||||||||||
5.000%, 05/01/2033(Callable 05/01/2026)(Insured by Q-SBLF) | 2,595,000 | 2,981,032 | ||||||||||
5.000%, 05/01/2035(Callable 05/01/2026)(Insured by Q-SBLF) | 925,000 | 1,058,931 | ||||||||||
22,162,965 | 1.9 | % | ||||||||||
Minnesota | ||||||||||||
Minneapolis-Saint Paul Metropolitan Airports Commission, | ||||||||||||
5.000%, 01/01/2032(Callable 01/01/2027) | 505,000 | 607,030 | ||||||||||
Minnesota Housing Finance Agency: | ||||||||||||
1.350%, 08/01/2019(Callable 02/01/2019) | 500,000 | 496,085 | ||||||||||
4.250%, 07/01/2028(Callable 01/01/2020) | 210,000 | 213,459 | ||||||||||
4.500%, 07/01/2034(Callable 07/01/2021) | 550,000 | 566,247 | ||||||||||
4.000%, 07/01/2047(Callable 01/01/2027) | 565,000 | 599,832 | ||||||||||
University of Minnesota, | ||||||||||||
5.500%, 07/01/2021(ETM) | 11,260,000 | 12,265,743 | ||||||||||
14,748,396 | 1.3 | % | ||||||||||
Mississippi | ||||||||||||
Mississippi Development Bank, | ||||||||||||
5.000%, 03/01/2029(Callable 03/01/2027) | 825,000 | 992,912 | ||||||||||
State of Mississippi, | ||||||||||||
5.000%, 10/01/2028(Callable 10/01/2027) | 1,000,000 | 1,238,410 | ||||||||||
2,231,322 | 0.2 | % | ||||||||||
Missouri | ||||||||||||
Hazelwood School District, | ||||||||||||
4.000%, 03/01/2028(Callable 03/01/2026) | 2,800,000 | 3,165,624 | ||||||||||
Missouri Housing Development Commission: | ||||||||||||
3.500%, 11/01/2037(Callable 05/01/2027) | 1,945,000 | 1,949,863 | ||||||||||
3.950%, 11/01/2040(Callable 05/01/2025) | 1,865,000 | 1,991,484 | ||||||||||
4.000%, 05/01/2042(Callable 11/01/2026) | 1,405,000 | 1,505,893 | ||||||||||
St. Charles County School District No. R-IV, | ||||||||||||
4.000%, 03/01/2029(Callable 03/01/2026) | 600,000 | 679,308 | ||||||||||
St. Louis County School District No. C-2, | ||||||||||||
4.000%, 03/01/2032(Callable 03/01/2025) | 4,960,000 | 5,407,540 | ||||||||||
Webster Groves School District: | ||||||||||||
4.000%, 03/01/2028(Callable 03/01/2026) | 910,000 | 1,023,768 | ||||||||||
4.000%, 03/01/2029(Callable 03/01/2026) | 1,370,000 | 1,534,784 | ||||||||||
17,258,264 | 1.5 | % | ||||||||||
Montana | ||||||||||||
Flathead County School District No. 44, | ||||||||||||
4.000%, 07/01/2036(Callable 07/01/2028) | 210,000 | 231,571 | ||||||||||
Montana Facility Finance Authority: | ||||||||||||
5.000%, 07/01/2028(Callable 07/01/2027) | 430,000 | 525,564 | ||||||||||
5.000%, 07/01/2029(Callable 07/01/2027) | 535,000 | 651,357 | ||||||||||
1,408,492 | 0.1 | % |
Nebraska | ||||||||||||
Village of Boys Town NE, | ||||||||||||
3.000%, 09/01/2028 | 4,500,000 | 4,700,745 | 0.4 | % | ||||||||
New Hampshire | ||||||||||||
New Hampshire Housing Finance Authority, | ||||||||||||
5.250%, 07/01/2028(Callable 01/01/2021) | 1,290,000 | 1,338,698 | ||||||||||
State of New Hampshire, | ||||||||||||
5.000%, 07/01/2021(Callable 07/01/2020) | 1,000,000 | 1,081,540 | ||||||||||
2,420,238 | 0.2 | % | ||||||||||
New Jersey | ||||||||||||
New Jersey Building Authority, | ||||||||||||
5.000%, 06/15/2024(ETM) | 1,410,000 | 1,666,634 | ||||||||||
New Jersey Transportation Trust Fund Authority, | ||||||||||||
5.250%, 12/15/2020 | 5,000,000 | 5,394,550 | ||||||||||
New Jersey Turnpike Authority, | ||||||||||||
5.500%, 01/01/2025 | 2,100,000 | 2,568,321 | ||||||||||
9,629,505 | 0.8 | % | ||||||||||
New Mexico | ||||||||||||
New Mexico Finance Authority, | ||||||||||||
4.000%, 06/01/2029(Callable 06/01/2026) | 2,615,000 | 2,944,647 | ||||||||||
New Mexico Mortgage Finance Authority, | ||||||||||||
3.550%, 09/01/2037(Callable 03/01/2027) | 1,225,000 | 1,249,978 | ||||||||||
New Mexico Mortgage Financial Authority: | ||||||||||||
4.625%, 09/01/2025(Callable 03/01/2020) | 600,000 | 621,912 | ||||||||||
4.500%, 09/01/2028(Callable 03/01/2020) | 275,000 | 281,748 | ||||||||||
5,098,285 | 0.5 | % | ||||||||||
New York | ||||||||||||
City of New York NY: | ||||||||||||
5.250%, 08/15/2021(Callable 08/15/2018) | 1,125,000 | 1,151,269 | ||||||||||
5.000%, 08/01/2022 | 5,000,000 | 5,697,650 | ||||||||||
Metropolitan Transportation Authority: | ||||||||||||
6.000%, 04/01/2020(ETM) | 10,525,000 | 11,049,882 | ||||||||||
5.000%, 11/15/2028(Pre-refunded to 11/15/2023) | 210,000 | 246,739 | ||||||||||
5.000%, 11/15/2031(Pre-refunded to 05/15/2023) | 1,000,000 | 1,160,200 | ||||||||||
New York City Transitional Finance Authority Future Tax Secured Revenue: | ||||||||||||
5.000%, 08/01/2029(Callable 08/01/2026) | 500,000 | 611,075 | ||||||||||
5.000%, 08/01/2033(Callable 08/01/2026) | 2,835,000 | 3,398,456 | ||||||||||
New York State Dormitory Authority: | ||||||||||||
5.000%, 12/15/2023(Callable 12/15/2022) | 11,685,000 | 13,502,134 | ||||||||||
5.000%, 02/15/2030(Callable 08/15/2026) | 700,000 | 848,169 | ||||||||||
5.000%, 03/15/2030(Callable 03/15/2024) | 6,665,000 | 7,829,509 | ||||||||||
New York State Thruway Authority, | ||||||||||||
5.000%, 03/15/2022(Pre-refunded to 03/15/2019) | 4,040,000 | 4,210,892 | ||||||||||
New York State Urban Development Corp.: | ||||||||||||
5.000%, 03/15/2022 | 2,015,000 | 2,279,026 | ||||||||||
5.000%, 03/15/2032(Callable 03/15/2024) | 6,000,000 | 6,964,740 | ||||||||||
58,949,741 | 5.1 | % | ||||||||||
North Carolina | ||||||||||||
North Carolina Eastern Municipal Power Agency: | ||||||||||||
5.000%, 01/01/2021(ETM)(Callable 01/29/2018) | 10,355,000 | 11,112,675 | ||||||||||
6.400%, 01/01/2021(ETM) | 3,352,000 | 3,575,847 | ||||||||||
4.500%, 01/01/2024(Pre-refunded to 01/01/2022) | 12,170,000 | 13,187,290 | ||||||||||
North Carolina Medical Care Commission, | ||||||||||||
5.750%, 01/01/2035(Pre-refunded to 01/01/2021) | 525,000 | 585,842 | ||||||||||
State of North Carolina, | ||||||||||||
5.000%, 05/01/2024(Callable 05/01/2023) | 1,000,000 | 1,160,200 | ||||||||||
29,621,854 | 2.6 | % | ||||||||||
North Dakota | ||||||||||||
County of Burleigh ND: | ||||||||||||
5.000%, 07/01/2025(Pre-refunded to 07/01/2021) | 1,500,000 | 1,657,035 | ||||||||||
5.000%, 07/01/2029(Pre-refunded to 07/01/2021) | 470,000 | 519,204 | ||||||||||
North Dakota Housing Finance Agency: | ||||||||||||
3.450%, 07/01/2037(Callable 07/01/2026) | 3,050,000 | 3,085,899 | ||||||||||
3.500%, 07/01/2046(Callable 01/01/2026) | 1,550,000 | 1,616,975 | ||||||||||
6,879,113 | 0.6 | % | ||||||||||
Ohio | ||||||||||||
Akron Bath Copley Joint Township Hospital District, | ||||||||||||
3.800%, 01/01/2027(Pre-refunded to 01/01/2022) | 960,000 | 1,004,986 | ||||||||||
City of Bowling Green OH, | ||||||||||||
5.750%, 06/01/2031(Pre-refunded to 06/01/2020) | 750,000 | 818,835 | ||||||||||
Cleveland Municipal School District: | ||||||||||||
4.000%, 12/01/2019 | 1,940,000 | 2,024,274 | ||||||||||
5.000%, 12/01/2020 | 2,015,000 | 2,202,455 | ||||||||||
County of Lorain OH, | ||||||||||||
2.000%, 11/07/2018 | 1,000,000 | 1,003,140 | ||||||||||
County of Montgomery OH, | ||||||||||||
5.250%, 05/01/2029(Pre-refunded to 11/12/2023) | 1,045,000 | 1,208,542 | ||||||||||
Lucas-Plaza Housing Development Corp., | ||||||||||||
0.000%, 06/01/2024(ETM) | 1,200,000 | 1,040,964 | ||||||||||
Ohio Housing Finance Agency: | ||||||||||||
5.000%, 11/01/2028(Callable 05/01/2020) | 555,000 | 573,737 | ||||||||||
3.500%, 09/01/2046(Callable 09/01/2025) | 1,595,000 | 1,666,185 | ||||||||||
4.000%, 03/01/2047(Callable 09/01/2025) | 6,510,000 | 6,883,218 | ||||||||||
State of Ohio: | ||||||||||||
5.000%, 06/15/2021 | 6,740,000 | 7,482,141 | ||||||||||
5.000%, 04/01/2027(Pre-refunded to 04/01/2022) | 710,000 | 801,491 | ||||||||||
26,709,968 | 2.3 | % | ||||||||||
Oregon | ||||||||||||
State of Oregon: | ||||||||||||
4.000%, 12/01/2045(Callable 06/01/2025) | 4,170,000 | 4,474,368 | ||||||||||
4.000%, 12/01/2048(Callable 12/01/2026) | 3,250,000 | 3,483,155 | ||||||||||
State of Oregon Housing & Community Services Department, | ||||||||||||
4.000%, 01/01/2047(Callable 07/01/2025) | 1,810,000 | 1,920,211 | ||||||||||
Washington County School District No. 1: | ||||||||||||
5.000%, 06/15/2034(Callable 06/15/2027) | 1,000,000 | 1,208,310 | ||||||||||
5.000%, 06/15/2035(Callable 06/15/2027) | 600,000 | 723,306 | ||||||||||
11,809,350 | 1.0 | % | ||||||||||
Pennsylvania | ||||||||||||
Erie Sewer Authority, | ||||||||||||
5.125%, 06/01/2020(ETM)(Insured by AMBAC) | 1,270,000 | 1,326,058 | ||||||||||
Latrobe Municipal Authority: | ||||||||||||
1.250%, 04/01/2019(Insured by BAM) | 120,000 | 118,845 | ||||||||||
3.000%, 04/01/2020(Insured by BAM) | 325,000 | 332,309 | ||||||||||
Pennsylvania Higher Educational Facilities Authority, | ||||||||||||
5.750%, 08/15/2041(Pre-refunded to 08/15/2021) | 500,000 | 568,845 | ||||||||||
Pennsylvania Housing Finance Agency: | ||||||||||||
3.500%, 10/01/2046(Callable 10/01/2025) | 1,840,000 | 1,921,144 | ||||||||||
3.700%, 10/01/2047(Callable 04/01/2027) | 4,000,000 | 4,012,280 | ||||||||||
Pennsylvania Turnpike Commission: | ||||||||||||
6.000%, 12/01/2030(Callable 12/01/2027) | 1,360,000 | 1,771,373 | ||||||||||
6.000%, 12/01/2030(Callable 12/01/2027)(1) | 185,000 | 235,370 | ||||||||||
Philadelphia Gas Works Co., | ||||||||||||
7.000%, 05/15/2020(ETM) | 1,165,000 | 1,244,441 | ||||||||||
Philadelphia Hospitals & Higher Education Facilities Authority: | ||||||||||||
5.000%, 05/15/2020(ETM) | 1,575,000 | 1,691,613 | ||||||||||
5.250%, 05/15/2023(Pre-refunded to 05/15/2020) | 2,790,000 | 3,012,642 | ||||||||||
South Fork Municipal Authority: | ||||||||||||
5.500%, 07/01/2029(Pre-refunded to 07/01/2020) | 2,450,000 | 2,673,930 | ||||||||||
5.375%, 07/01/2035(Pre-refunded to 07/01/2020) | 1,290,000 | 1,400,682 | ||||||||||
Westmoreland County Municipal Authority, | ||||||||||||
5.000%, 08/15/2027(Insured by BAM) | 1,505,000 | 1,813,389 | ||||||||||
22,122,921 | 1.9 | % | ||||||||||
Puerto Rico | ||||||||||||
Puerto Rico Highways & Transportation Authority, | ||||||||||||
5.250%, 07/01/2022(ETM)(Insured by AGM) | 1,045,000 | 1,188,364 | ||||||||||
Puerto Rico Public Finance Corp.: | ||||||||||||
5.125%, 06/01/2024(Insured by AMBAC) | 150,000 | 168,156 | ||||||||||
6.000%, 08/01/2026(ETM) | 1,800,000 | 2,269,368 | ||||||||||
6.000%, 08/01/2026(ETM) | 910,000 | 1,147,292 | ||||||||||
6.000%, 08/01/2026(ETM) | 1,155,000 | 1,456,178 | ||||||||||
6.000%, 08/01/2026(ETM) | 1,585,000 | 1,998,304 | ||||||||||
5.500%, 08/01/2027(ETM)(Insured by AMBAC) | 6,500,000 | 8,026,850 | ||||||||||
16,254,512 | 1.4 | % | ||||||||||
Rhode Island | ||||||||||||
State of Rhode Island, | ||||||||||||
5.000%, 08/01/2024 | 5,000,000 | 5,940,500 | 0.5 | % | ||||||||
South Carolina | ||||||||||||
Charleston Educational Excellence Finance Corp., | ||||||||||||
5.000%, 12/01/2026(Callable 12/01/2023) | 4,580,000 | 5,300,846 | ||||||||||
Piedmont Municipal Power Agency: | ||||||||||||
6.750%, 01/01/2020(ETM) | 6,450,000 | 7,099,515 | ||||||||||
5.375%, 01/01/2025(ETM) | 5,665,000 | 6,755,399 | ||||||||||
South Carolina Jobs-Economic Development Authority, | ||||||||||||
6.500%, 04/01/2042(Pre-refunded to 04/01/2020) | 90,000 | 99,303 | ||||||||||
19,255,063 | 1.7 | % | ||||||||||
South Dakota | ||||||||||||
Harrisburg School District No. 41-2, | ||||||||||||
2.375%, 08/01/2026 | 415,000 | 425,665 | ||||||||||
Sioux Falls School District No. 49-5, | ||||||||||||
1.375%, 08/01/2021 | 150,000 | 147,159 | ||||||||||
South Dakota Housing Development Authority, | ||||||||||||
3.375%, 05/01/2033(Callable 05/01/2022) | 370,000 | 379,084 | ||||||||||
951,908 | �� | 0.1 | % | |||||||||
Tennessee | ||||||||||||
Metropolitan Government Nashville & Davidson County Health & Educational Facilities, | ||||||||||||
0.000%, 06/01/2021(ETM) | 1,270,000 | 1,191,069 | ||||||||||
Shelby County Health Educational & Housing Facilities Board, | ||||||||||||
5.500%, 08/15/2019(ETM) | 1,630,000 | 1,693,228 | ||||||||||
Tennessee Housing Development Agency: | ||||||||||||
4.500%, 07/01/2028(Callable 01/01/2020) | 1,000,000 | 1,021,660 | ||||||||||
3.450%, 07/01/2040(Callable 01/01/2027) | 3,850,000 | 3,812,694 | ||||||||||
3.650%, 07/01/2047(Callable 01/01/2027) | 1,155,000 | 1,179,012 | ||||||||||
8,897,663 | 0.8 | % | ||||||||||
Texas | ||||||||||||
Amarillo Independent School District, | ||||||||||||
5.000%, 02/01/2026(Callable 02/01/2024)(PSF Guaranteed) | 1,370,000 | 1,618,710 | ||||||||||
Anna Independent School District, | ||||||||||||
5.000%, 08/15/2035(Callable 08/15/2026)(PSF Guaranteed) | 910,000 | 1,078,377 | ||||||||||
Arlington Higher Education Finance Corp.: | ||||||||||||
4.000%, 08/15/2024(PSF Guaranteed) | 1,025,000 | 1,144,700 | ||||||||||
5.000%, 08/15/2024(PSF Guaranteed) | 1,000,000 | 1,178,250 | ||||||||||
5.000%, 08/15/2026(PSF Guaranteed) | 500,000 | 604,530 | ||||||||||
4.000%, 08/15/2027(Callable 08/15/2026)(PSF Guaranteed) | 865,000 | 978,609 | ||||||||||
5.000%, 02/15/2028(Callable 02/15/2025)(PSF Guaranteed) | 1,675,000 | 1,982,362 | ||||||||||
4.000%, 08/15/2028(Callable 08/15/2026)(PSF Guaranteed) | 850,000 | 958,103 | ||||||||||
5.000%, 08/15/2033(Callable 08/15/2024)(PSF Guaranteed) | 1,460,000 | 1,679,365 | ||||||||||
Burleson Independent School District, | ||||||||||||
5.000%, 08/01/2025(PSF Guaranteed) | 1,240,000 | 1,496,469 | ||||||||||
City of Austin TX, | ||||||||||||
5.000%, 11/15/2024(Callable 11/15/2022) | 3,000,000 | 3,437,790 | ||||||||||
City of El Paso TX, | ||||||||||||
4.000%, 03/01/2028(Callable 03/01/2026) | 1,000,000 | 1,121,070 | ||||||||||
City of Houston TX: | ||||||||||||
0.000%, 12/01/2019(ETM)(Insured by AGM) | 13,355,000 | 12,897,992 | ||||||||||
5.500%, 12/01/2024(ETM) | 1,735,000 | 2,080,334 | ||||||||||
5.500%, 12/01/2029(ETM) | 16,050,000 | 20,854,889 | ||||||||||
City of San Antonio TX, | ||||||||||||
5.650%, 02/01/2019(ETM) | 7,865,000 | 8,076,018 | ||||||||||
Conroe Independent School District: | ||||||||||||
5.000%, 02/15/2023(Pre-refunded to 02/15/2021)(PSF Guaranteed) | 1,745,000 | 1,921,280 | ||||||||||
5.000%, 02/15/2023(Callable 02/15/2021)(PSF Guaranteed) | 935,000 | 1,026,761 | ||||||||||
County of Bexar TX, | ||||||||||||
4.000%, 06/15/2030(Callable 06/15/2026) | 150,000 | 166,920 | ||||||||||
County of Harris TX: | ||||||||||||
5.750%, 10/01/2020(Pre-refunded to 10/01/2018) | 175,000 | 180,521 | ||||||||||
5.000%, 10/01/2026(Callable 10/01/2025) | 4,155,000 | 5,061,704 | ||||||||||
5.750%, 10/01/2028(Pre-refunded to 10/01/2018) | 6,930,000 | 7,148,642 | ||||||||||
County of Montgomery TX, | ||||||||||||
5.000%, 03/01/2027(Pre-refunded to 03/01/2022) | 665,000 | 752,215 | ||||||||||
Crowley Independent School District, | ||||||||||||
5.000%, 08/01/2036(Callable 08/01/2025)(PSF Guaranteed) | 2,000,000 | 2,364,380 | ||||||||||
Dallas Independent School District, | ||||||||||||
5.000%, 02/15/2020(PSF Guaranteed) | 2,410,000 | 2,575,663 | ||||||||||
DeSoto Independent School District, | ||||||||||||
5.000%, 08/15/2032(Callable 08/15/2025)(Insured by BAM) | 1,080,000 | 1,253,977 | ||||||||||
Ennis Independent School District, | ||||||||||||
5.000%, 08/15/2025(PSF Guaranteed) | 1,145,000 | 1,393,763 | ||||||||||
Fort Bend Independent School District, | ||||||||||||
5.000%, 08/15/2024(PSF Guaranteed) | 1,655,000 | 1,963,492 | ||||||||||
Georgetown Independent School District, | ||||||||||||
4.000%, 02/15/2020(PSF Guaranteed) | 1,900,000 | 1,991,656 | ||||||||||
Godley Independent School District, | ||||||||||||
5.000%, 02/15/2023(PSF Guaranteed)(2) | 1,445,000 | 1,665,449 | ||||||||||
Goose Creek Consolidated Independent School District, | ||||||||||||
5.000%, 02/15/2021(PSF Guaranteed)(2) | 1,050,000 | 1,152,711 | ||||||||||
Harlingen Consolidated Independent School District: | ||||||||||||
5.000%, 08/15/2024(PSF Guaranteed) | 2,810,000 | 3,341,455 | ||||||||||
5.000%, 08/15/2025(PSF Guaranteed) | 1,430,000 | 1,728,284 | ||||||||||
Harris County Health Facilities Development Corp.: | ||||||||||||
5.500%, 10/01/2019(ETM) | 2,995,000 | 3,127,139 | ||||||||||
5.750%, 07/01/2027(ETM) | 5,000,000 | 6,092,150 | ||||||||||
1.800%, 12/01/2041(Callable 01/02/2018)(1) | 6,000,000 | 6,000,000 | ||||||||||
Houston Higher Education Finance Corp.: | ||||||||||||
5.000%, 02/15/2020(PSF Guaranteed) | 1,000,000 | 1,064,640 | ||||||||||
5.000%, 02/15/2026(Callable 02/15/2024)(PSF Guaranteed) | 1,030,000 | 1,190,350 | ||||||||||
5.000%, 02/15/2034(Callable 02/15/2024)(PSF Guaranteed)(2) | 1,795,000 | 2,018,747 | ||||||||||
Humble Independent School District, | ||||||||||||
5.000%, 02/15/2021(PSF Guaranteed) | 1,500,000 | 1,648,170 | ||||||||||
Irving Independent School District, | ||||||||||||
5.000%, 02/15/2025(Callable 08/15/2024)(PSF Guaranteed) | 1,250,000 | 1,495,850 | ||||||||||
Keller Independent School District: | ||||||||||||
5.000%, 02/15/2022(PSF Guaranteed) | 1,370,000 | 1,543,757 | ||||||||||
5.000%, 02/15/2023(PSF Guaranteed) | 3,355,000 | 3,870,395 | ||||||||||
Killeen Independent School District, | ||||||||||||
4.000%, 02/15/2024(Callable 02/15/2021)(PSF Guaranteed)(2) | 1,145,000 | 1,225,677 | ||||||||||
La Porte Independent School District, | ||||||||||||
5.000%, 02/15/2025(PSF Guaranteed) | 1,080,000 | 1,297,080 | ||||||||||
Lamar Consolidated Independent School District, | ||||||||||||
5.000%, 02/15/2026(Callable 02/15/2025)(PSF Guaranteed) | 5,860,000 | 7,042,138 | ||||||||||
Leander Independent School District, | ||||||||||||
0.000%, 08/15/2047(Pre-refunded to 8/15/24)(PSF Guaranteed) | 500,000 | 122,840 | ||||||||||
Llano Independent School District, | ||||||||||||
5.000%, 02/15/2024(Callable 02/15/2023)(PSF Guaranteed)(2) | 1,265,000 | 1,468,716 | ||||||||||
Lower Colorado River Authority, | ||||||||||||
4.750%, 01/01/2028(ETM)(Insured by AGM) | 1,200,000 | 1,379,076 | ||||||||||
Lubbock Housing Finance Corp., | ||||||||||||
8.000%, 10/01/2021(ETM) | 1,980,000 | 2,427,401 | ||||||||||
Lubbock Independent School District, | ||||||||||||
4.000%, 02/15/2022(Callable 02/15/2020)(PSF Guaranteed) | 1,000,000 | 1,047,820 | ||||||||||
Mansfield Independent School District: | ||||||||||||
5.000%, 02/15/2023(PSF Guaranteed) | 1,725,000 | 1,986,338 | ||||||||||
5.000%, 02/15/2024(PSF Guaranteed) | 1,905,000 | 2,238,451 | ||||||||||
Melissa Independent School District, | ||||||||||||
5.000%, 08/01/2036(Callable 08/01/2026)(PSF Guaranteed) | 1,020,000 | 1,213,157 | ||||||||||
Mesquite Independent School District: | ||||||||||||
5.000%, 08/15/2024(PSF Guaranteed) | 1,425,000 | 1,703,302 | ||||||||||
5.000%, 08/15/2025(PSF Guaranteed) | 2,615,000 | 3,183,135 | ||||||||||
5.000%, 08/15/2025(PSF Guaranteed) | 1,500,000 | 1,825,890 | ||||||||||
Montgomery County Health Facilities Development Corp., | ||||||||||||
0.000%, 07/15/2023(ETM) | 200,000 | 178,656 | ||||||||||
New Caney Independent School District: | ||||||||||||
5.000%, 02/15/2023(PSF Guaranteed) | 1,000,000 | 1,152,560 | ||||||||||
5.000%, 02/15/2024(PSF Guaranteed) | 1,030,000 | 1,212,887 | ||||||||||
Newark Higher Education Finance Corp.: | ||||||||||||
4.000%, 08/15/2020(PSF Guaranteed) | 355,000 | 374,404 | ||||||||||
4.000%, 08/15/2022(PSF Guaranteed) | 215,000 | 233,868 | ||||||||||
5.000%, 08/15/2024(PSF Guaranteed) | 135,000 | 159,064 | ||||||||||
North East Independent School District: | ||||||||||||
5.000%, 08/01/2021(PSF Guaranteed) | 6,095,000 | 6,774,532 | ||||||||||
5.000%, 08/01/2023(PSF Guaranteed) | 5,330,000 | 6,209,663 | ||||||||||
5.000%, 02/01/2024(PSF Guaranteed) | 2,930,000 | 3,450,837 | ||||||||||
North Texas Tollway Authority: | ||||||||||||
5.125%, 01/01/2028(Pre-refunded to 01/02/2018) | 70,000 | 70,000 | ||||||||||
0.000%, 09/01/2043(Pre-refunded to 09/01/2031) | 1,510,000 | 1,670,000 | ||||||||||
0.000%, 09/01/2043(Pre-refunded to 09/01/2031) | 1,075,000 | 299,194 | ||||||||||
0.000%, 09/01/2045(Pre-refunded to 09/01/2031) | 625,000 | 755,250 | ||||||||||
Northside Independent School District, | ||||||||||||
5.000%, 08/15/2025(PSF Guaranteed) | 1,000,000 | 1,209,380 | ||||||||||
Pasadena Independent School District, | ||||||||||||
5.000%, 02/15/2022(Callable 02/15/2021)(PSF Guaranteed) | 1,115,000 | 1,224,069 | ||||||||||
Pflugerville Independent School District, | ||||||||||||
5.000%, 02/15/2025(Callable 02/15/2024)(PSF Guaranteed) | 1,020,000 | 1,204,987 | ||||||||||
Port Arthur Independent School District, | ||||||||||||
5.000%, 02/15/2024(PSF Guaranteed) | 1,700,000 | 2,008,312 | ||||||||||
Retama Development Corp., | ||||||||||||
8.750%, 12/15/2018(ETM) | 2,035,000 | 2,174,031 | ||||||||||
San Antonio Water System, | ||||||||||||
2.000%, 05/01/2044(Mandatory Tender Date 11/01/2022)(1) | 1,950,000 | 1,950,877 | ||||||||||
San Jacinto College District, | ||||||||||||
5.000%, 02/15/2026(Pre-refunded to 02/15/2021) | 700,000 | 768,474 | ||||||||||
Sherman Independent School District, | ||||||||||||
5.000%, 02/15/2026(Callable 02/15/2024)(PSF Guaranteed) | 1,775,000 | 2,099,168 | ||||||||||
Spring Independent School District, | ||||||||||||
5.000%, 08/15/2019(Pre-refunded to 08/15/2018)(PSF Guaranteed) | 1,020,000 | 1,042,450 | ||||||||||
State of Texas, | ||||||||||||
5.000%, 08/01/2021 | 1,205,000 | 1,342,442 | ||||||||||
Tarrant County Health Facilities Development Corp., | ||||||||||||
6.000%, 09/01/2024(ETM) | 6,065,000 | 6,930,294 | ||||||||||
Temple Independent School District, | ||||||||||||
4.000%, 02/01/2022(Callable 02/01/2021)(PSF Guaranteed) | 1,120,000 | 1,193,786 | ||||||||||
Texas State Public Finance Authority, | ||||||||||||
6.200%, 02/15/2040(Pre-refunded to 02/15/2020) | 395,000 | 430,408 | ||||||||||
Tomball Independent School District, | ||||||||||||
5.000%, 02/15/2025(PSF Guaranteed) | 5,440,000 | 6,549,434 | ||||||||||
Town of Flower Mound TX, | ||||||||||||
5.000%, 03/01/2031(Callable 03/01/2024) | 505,000 | 587,305 | ||||||||||
Tyler Health Facilities Development Corp., | ||||||||||||
5.500%, 07/01/2027(Pre-refunded to 07/01/2021) | 600,000 | 671,832 | ||||||||||
The University of Texas System, | ||||||||||||
5.000%, 08/15/2022 | 8,595,000 | 9,824,429 | ||||||||||
Waco Independent School District, | ||||||||||||
5.000%, 08/15/2023(PSF Guaranteed) | 3,090,000 | 3,601,550 | ||||||||||
Wichita Falls Independent School District, | ||||||||||||
5.000%, 02/01/2024(PSF Guaranteed) | 1,670,000 | 1,968,963 | ||||||||||
Wylie Independent School District, | ||||||||||||
6.750%, 08/15/2023(PSF Guaranteed) | 1,010,000 | 1,270,378 | ||||||||||
Ysleta Independent School District: | ||||||||||||
5.000%, 08/15/2023(Callable 08/15/2021)(PSF Guaranteed) | 1,020,000 | 1,136,423 | ||||||||||
5.000%, 08/15/2025(Callable 08/15/2024)(PSF Guaranteed) | 1,545,000 | 1,848,870 | ||||||||||
226,667,437 | 19.7 | % | ||||||||||
Utah | ||||||||||||
Granite School District Board of Education: | ||||||||||||
5.000%, 06/01/2022(Pre-refunded to 06/01/2021) | 3,900,000 | 4,326,075 | ||||||||||
5.000%, 06/01/2023(Pre-refunded to 06/01/2021) | 1,750,000 | 1,941,187 | ||||||||||
Timpanogos Special Service District: | ||||||||||||
4.000%, 06/01/2025(Callable 06/01/2024) | 100,000 | 111,149 | ||||||||||
4.000%, 06/01/2027(Callable 06/01/2024) | 375,000 | 413,262 | ||||||||||
4.000%, 06/01/2028(Callable 06/01/2024) | 425,000 | 466,501 | ||||||||||
Utah Charter School Finance Authority: | ||||||||||||
5.000%, 04/15/2024 | 235,000 | 272,661 | ||||||||||
5.000%, 04/15/2037(Callable 04/15/2026) | 500,000 | 570,870 | ||||||||||
Utah Housing Corp., | ||||||||||||
4.000%, 01/01/2045(Callable 01/01/2026) | 2,210,000 | 2,357,429 | ||||||||||
10,459,134 | 0.9 | % | ||||||||||
Vermont | ||||||||||||
Vermont Housing Finance Agency: | ||||||||||||
3.600%, 11/01/2036(Callable 11/01/2025) | 1,680,000 | 1,729,963 | ||||||||||
4.000%, 05/01/2048(Callable 11/01/2026) | 1,300,000 | 1,389,115 | ||||||||||
3,119,078 | 0.3 | % | ||||||||||
Virginia | ||||||||||||
City of Bristol VA, | ||||||||||||
5.500%, 11/01/2018(ETM)(Insured by AGM) | 560,000 | 578,441 | ||||||||||
Danville Industrial Development Authority, | ||||||||||||
5.250%, 10/01/2028(ETM)(Insured by AMBAC) | 1,500,000 | 1,720,605 | ||||||||||
Virginia Housing Development Authority, | ||||||||||||
3.700%, 03/01/2023(Callable 03/01/2021) | 75,000 | 79,375 | ||||||||||
2,378,421 | 0.2 | % | ||||||||||
Washington | ||||||||||||
Snohomish County Public Utility District No. 1, | ||||||||||||
6.800%, 01/01/2020(ETM)(Callable 01/29/2018) | 2,835,000 | 2,990,642 | ||||||||||
Snohomish County School District No. 201, | ||||||||||||
4.000%, 12/01/2021(Callable 12/01/2020) | 4,500,000 | 4,790,070 | ||||||||||
State of Washington: | ||||||||||||
5.500%, 07/01/2023 | 5,040,000 | 5,890,903 | ||||||||||
5.000%, 07/01/2032(Callable 01/01/2025) | 6,005,000 | 7,072,449 | ||||||||||
5.000%, 08/01/2034(Callable 08/01/2023) | 2,755,000 | 3,159,352 | ||||||||||
5.000%, 08/01/2038(Callable 08/01/2026) | 975,000 | 1,151,387 | ||||||||||
Thurston & Pierce Counties Community Schools, | ||||||||||||
4.250%, 12/01/2021(Callable 12/01/2020) | 2,755,000 | 2,957,740 | ||||||||||
Washington Health Care Facilities Authority: | ||||||||||||
6.125%, 11/15/2031(Pre-refunded to 05/15/2021) | 620,000 | 709,826 | ||||||||||
6.250%, 08/01/2036(Pre-refunded to 08/01/2018) | 8,100,000 | 8,308,494 | ||||||||||
6.250%, 11/15/2041(Pre-refunded to 05/15/2021) | 4,770,000 | 5,480,491 | ||||||||||
42,511,354 | 3.7 | % | ||||||||||
Wisconsin | ||||||||||||
Southeast Wisconsin Professional Baseball Park District: | ||||||||||||
5.500%, 12/15/2026 | 785,000 | 964,851 | ||||||||||
0.000%, 12/15/2027(ETM) | 25,000 | 19,854 | ||||||||||
0.000%, 12/15/2029(ETM) | 110,000 | 81,937 | ||||||||||
State of Wisconsin Clean Water Fund Leveraged Loan Portfolio: | ||||||||||||
5.000%, 06/01/2028(Pre-refunded to 06/01/2024) | 500,000 | 590,485 | ||||||||||
5.000%, 06/01/2030(Pre-refunded to 06/01/2024) | 10,500,000 | 12,400,185 | ||||||||||
5.000%, 06/01/2031(Pre-refunded to 06/01/2024) | 6,175,000 | 7,292,490 | ||||||||||
University of Wisconsin Hospitals & Clinics, | ||||||||||||
5.000%, 04/01/2038(Callable 04/01/2023) | 2,295,000 | 2,570,492 | ||||||||||
Wisconsin Center District: | ||||||||||||
4.000%, 12/15/2029(Callable 06/15/2026) | 1,435,000 | 1,572,817 | ||||||||||
5.000%, 12/15/2030(Callable 06/15/2026) | 775,000 | 912,702 | ||||||||||
5.000%, 12/15/2031(Callable 06/15/2026) | 2,530,000 | 2,973,256 | ||||||||||
Wisconsin Health & Educational Facilities Authority, | ||||||||||||
5.000%, 08/15/2027(Pre-refunded to 08/15/2022) | 1,750,000 | 1,986,180 | ||||||||||
Wisconsin Housing & Economic Development Authority: | ||||||||||||
3.500%, 09/01/2046(Callable 09/01/2025) | 2,760,000 | 2,904,265 | ||||||||||
4.000%, 03/01/2048(Callable 03/01/2027) | 1,850,000 | 1,983,089 | ||||||||||
36,252,603 | 3.2 | % | ||||||||||
Total Municipal Bonds (Cost $1,114,668,079) | 1,139,545,209 | 99.0 | % | |||||||||
SHORT-TERM INVESTMENT | Shares | |||||||||||
Money Market Mutual Fund | ||||||||||||
Fidelity Institutional Money Market Fund - Government Portfolio, Institutional Class, 1.19%(3) | 2,072,461 | 2,072,461 | ||||||||||
Total Short-Term Investment (Cost $2,072,461) | 2,072,461 | 0.2 | % | |||||||||
Total Investments (Cost $1,116,740,540) | 1,141,617,670 | 99.2 | % | |||||||||
Other Assets in Excess of Liabilities | 9,798,345 | 0.8 | % | |||||||||
TOTAL NET ASSETS | $ | 1,151,416,015 | 100.0 | % |
Notes to Schedule of Investments | ||||||||
AGM | Assured Guaranty Municipal | |||||||
AMBAC | Ambac Assurance Corp. | |||||||
BAM | Build America Mutual Assurance Co. | |||||||
ETM | Escrowed to Maturity | |||||||
FGIC-TCRS | Financial Guaranty Insurance Company | |||||||
PSF | Texas Permanent School Fund | |||||||
Q-SBLF | Qualified School Building Loan Fund | |||||||
(1) | Variable rate security. The coupon is based on an underlying pool of loans. The rate reported is the rate in effect as of December 31, 2017. | |||||||
(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. | |||||||
(3) | 7-Day Yield. |
Baird Quality Intermediate Municipal Bond Fund | ||||||||
Schedule of Investments, December 31, 2017 | ||||||||
Summary of Fair Value Exposure at December 31, 2017 | ||||||||
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, 2017: |
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Long-Term Investments | ||||||||||||||||
Municipal Bonds | $ | – | $ | 1,139,545,209 | $ | – | $ | 1,139,545,209 | ||||||||
Total Long-Term Investments | – | 1,139,545,209 | – | 1,139,545,209 | ||||||||||||
Short-Term Investment | ||||||||||||||||
Money Market Mutual Fund | 2,072,461 | – | – | 2,072,461 | ||||||||||||
Total Short-Term Investment | 2,072,461 | – | – | 2,072,461 | ||||||||||||
Total Investments | $ | 2,072,461 | $ | 1,139,545,209 | $ | – | $ | 1,141,617,670 |
Changes in valuation techniques may result in transfers into or out of assigned levels within the fair value hierarchy. Transfers between levels are recognized at the end of the reporting period. 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. |
Baird Core Intermediate Municipal Bond Fund | ||||||||||||
Schedule of Investments | ||||||||||||
December 31, 2017 | ||||||||||||
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
LONG-TERM INVESTMENTS | ||||||||||||
Municipal Bonds | ||||||||||||
Alabama | ||||||||||||
Alabama Community College System, | ||||||||||||
5.000%, 10/01/2028(Callable 10/01/2026)(Insured by AGM) | $ | 310,000 | $ | 370,524 | ||||||||
Black Belt Energy Gas District, | ||||||||||||
4.000%, 08/01/2047(Callable 04/01/2022)(Mandatory Tender Date 07/01/2022)(1) | 1,000,000 | 1,076,180 | ||||||||||
City of Birmingham AL: | ||||||||||||
5.000%, 03/01/2037(Callable 03/01/2023)(1) | 30,000 | 33,548 | ||||||||||
0.000%, 03/01/2040(Callable 09/01/2025) | 20,000 | 21,910 | ||||||||||
5.000%, 03/01/2043(Callable 03/01/2023)(1) | 285,000 | 317,681 | ||||||||||
0.000%, 03/01/2045(Callable 09/01/2025) | 560,000 | 611,408 | ||||||||||
City of Mobile Alabama Industrial Development Board, | ||||||||||||
1.625%, 07/15/2034(Mandatory Tender Date 10/02/2018)(1) | 150,000 | 149,418 | ||||||||||
City of Pell City AL Special Care Facilities Financing Authority, | ||||||||||||
5.000%, 12/01/2031(Callable 12/01/2021) | 1,000,000 | 1,099,550 | ||||||||||
Jasper Water Works & Sewer Board, Inc., | ||||||||||||
5.000%, 06/01/2024(Callable 06/01/2021) | 200,000 | 218,026 | ||||||||||
Town of Mulga AL, | ||||||||||||
3.000%, 08/15/2018(Insured by AGM) | 200,000 | 201,820 | ||||||||||
4,100,065 | 1.7 | % | ||||||||||
Alaska | ||||||||||||
Alaska Housing Finance Corp.: | ||||||||||||
5.000%, 12/01/2029(Callable 06/01/2024) | 225,000 | 258,557 | ||||||||||
4.000%, 06/01/2040(Callable 06/01/2021) | 30,000 | 30,250 | ||||||||||
Alaska Industrial Development & Export Authority, | ||||||||||||
3.500%, 12/01/2020(Callable 12/01/2019) | 1,250,000 | 1,270,587 | ||||||||||
Alaska Municipal Bond Bank Authority, | ||||||||||||
5.000%, 08/01/2027(Callable 08/01/2023) | 500,000 | 570,845 | ||||||||||
City of Valdez AK, | ||||||||||||
5.000%, 01/01/2021 | 435,000 | 473,276 | ||||||||||
2,603,515 | 1.1 | % | ||||||||||
Arizona | ||||||||||||
Arizona Health Facilities Authority, | ||||||||||||
3.560%, 02/01/2048 (SIFMA Municipal Swap Index + 1.850%) (Callable 08/09/2019)(Mandatory Tender Date 02/05/2020)(2) | 115,000 | 116,826 | ||||||||||
Arizona Industrial Development Authority: | ||||||||||||
4.000%, 07/01/2018 | 490,000 | 491,284 | ||||||||||
3.375%, 07/01/2021 | 600,000 | 598,824 | ||||||||||
4.000%, 07/01/2023 | 115,000 | 123,072 | ||||||||||
4.000%, 07/01/2024 | 200,000 | 215,022 | ||||||||||
Arizona State University, | ||||||||||||
5.000%, 07/01/2029(Callable 07/01/2024) | 150,000 | 175,981 | ||||||||||
BluePath 2016-1 TE Trust, | ||||||||||||
2.750%, 09/01/2026(Callable 08/27/2021)(3) | 469,282 | 464,838 | ||||||||||
City of El Mirage AZ, | ||||||||||||
5.000%, 07/01/2026(Callable 07/01/2020) | 400,000 | 430,068 | ||||||||||
City of Tucson AZ, | ||||||||||||
5.000%, 07/01/2032(Callable 07/01/2025) | 500,000 | 591,315 | ||||||||||
Greater Arizona Development Authority, | ||||||||||||
5.000%, 08/01/2029(Callable 08/01/2019) | 710,000 | 743,931 | ||||||||||
Maricopa County Industrial Development Authority: | ||||||||||||
1.000%, 04/01/2019(Callable 01/19/2018)(Mandatory Tender Date 04/01/2018)(1) | 200,000 | 199,812 | ||||||||||
2.625%, 07/01/2021 | 215,000 | 213,826 | ||||||||||
Town of Marana AZ: | ||||||||||||
4.000%, 07/01/2036(Callable 07/01/2027) | 350,000 | 382,666 | ||||||||||
4.000%, 07/01/2037(Callable 07/01/2027) | 500,000 | 545,360 | ||||||||||
5,292,825 | 2.2 | % | ||||||||||
Arkansas | ||||||||||||
Arkansas Development Finance Authority, | ||||||||||||
3.000%, 07/01/2018 | 100,000 | 100,672 | ||||||||||
Arkansas Technical University: | ||||||||||||
4.000%, 06/01/2028(Callable 06/01/2023) | 1,025,000 | 1,113,160 | ||||||||||
3.250%, 06/01/2037(Callable 06/01/2023) | 1,495,000 | 1,495,703 | ||||||||||
3.375%, 06/01/2041(Callable 06/01/2023) | 300,000 | 300,363 | ||||||||||
City of Conway AR, | ||||||||||||
5.000%, 10/01/2035(Callable 04/01/2024) | 185,000 | 214,827 | ||||||||||
City of Fayetteville AR, | ||||||||||||
3.050%, 01/01/2047(Callable 01/01/2027) | 1,050,000 | 1,054,105 | ||||||||||
City of Hot Springs AR, | ||||||||||||
4.000%, 12/01/2030(Callable 12/01/2023)(Insured by BAM) | 540,000 | 587,029 | ||||||||||
City of Little Rock AR: | ||||||||||||
1.150%, 10/01/2018 | 85,000 | 84,582 | ||||||||||
4.000%, 10/01/2031(Callable 10/01/2025) | 105,000 | 113,486 | ||||||||||
4.000%, 10/01/2033(Callable 10/01/2025) | 210,000 | 225,309 | ||||||||||
2.000%, 03/01/2038(Callable 03/01/2021) | 320,000 | 321,008 | ||||||||||
City of Magnolia AR, | ||||||||||||
3.200%, 08/01/2033(Callable 08/01/2024)(Insured by BAM)(4) | 1,085,000 | 1,081,040 | ||||||||||
City of Marion AR: | ||||||||||||
3.000%, 09/01/2018 | 225,000 | 227,106 | ||||||||||
2.900%, 09/01/2047(Callable 09/01/2027) | 425,000 | 428,859 | ||||||||||
City of Pine Bluff AR, | ||||||||||||
3.000%, 02/01/2047(Callable 08/01/2027)(Insured by BAM) | 1,000,000 | 1,004,130 | ||||||||||
Northwest Arkansas Conservation Authority, | ||||||||||||
4.000%, 03/01/2027(Callable 09/01/2022)(Insured by BAM) | 365,000 | 389,437 | ||||||||||
University of Central Arkansas: | ||||||||||||
4.000%, 11/01/2027(Callable 11/01/2025)(Insured by BAM) | 340,000 | 376,812 | ||||||||||
4.000%, 11/01/2028(Callable 11/01/2025)(Insured by BAM) | 250,000 | 274,637 | ||||||||||
4.000%, 11/01/2031(Callable 11/01/2025)(Insured by BAM) | 885,000 | 959,809 | ||||||||||
10,352,074 | 4.4 | % | ||||||||||
California | ||||||||||||
Abag Finance Authority for Nonprofit Corps., | ||||||||||||
5.000%, 09/02/2025(Insured by AGM) | 380,000 | 458,519 | ||||||||||
Bay Area Toll Authority: | ||||||||||||
2.810%, 04/01/2045 (SIFMA Municipal Swap Index + 1.100%) (Callable 10/01/2023)(Mandatory Tender Date 04/01/2024)(2) | 300,000 | 307,593 | ||||||||||
2.410%, 04/01/2047 (SIFMA Municipal Swap Index + 0.700%) (Callable 04/01/2019)(Mandatory Tender Date 10/01/2019)(2) | 250,000 | 251,095 | ||||||||||
California Community College Financing Authority, | ||||||||||||
0.000%, 05/01/2034(Pre-refunded to 05/01/18) | 200,000 | 80,754 | ||||||||||
California Health Facilities Financing Authority: | ||||||||||||
5.000%, 04/01/2020 | 300,000 | 319,374 | ||||||||||
1.715%, 07/01/2022(Callable 01/02/2018)(1)(6) | 300,000 | 289,326 | ||||||||||
California Infrastructure & Economic Development Bank, | ||||||||||||
2.848%, 12/01/2037 (1 Month LIBOR USD + 1.750%)(Callable 02/01/2018)(Mandatory Tender Date 08/01/2018)(2) | 100,000 | 100,093 | ||||||||||
California Municipal Finance Authority, | ||||||||||||
1.750%, 11/01/2035(1) | 530,000 | 530,000 | ||||||||||
California Public Finance Authority: | ||||||||||||
5.000%, 10/15/2020 | 180,000 | 192,321 | ||||||||||
5.000%, 10/15/2021 | 200,000 | 218,238 | ||||||||||
California State Public Works Board, | ||||||||||||
5.000%, 12/01/2019(Insured by AMBAC) | 225,000 | 235,244 | ||||||||||
California Statewide Communities Development Authority, | ||||||||||||
3.723%, 04/01/2028(1)(6) | 700,000 | 698,565 | ||||||||||
Chawanakee Unified School District: | ||||||||||||
0.000%, 08/01/2026(Insured by BAM) | 110,000 | 116,349 | ||||||||||
0.000%, 08/01/2027(Callable 08/01/2026)(Insured by BAM) | 100,000 | 104,799 | ||||||||||
0.000%, 08/01/2028(Callable 08/01/2026)(Insured by BAM) | 75,000 | 77,877 | ||||||||||
0.000%, 08/01/2029(Callable 08/01/2026)(Insured by BAM) | 80,000 | 82,497 | ||||||||||
City of Redding CA, | ||||||||||||
1.768%, 07/01/2022(ETM)(1)(6) | 135,000 | 131,624 | ||||||||||
College of the Sequoias Tulare Area Improvement District No. 3, | ||||||||||||
0.000%, 08/01/2041(Callable 08/01/2026)(Insured by AGM) | 185,000 | 199,206 | ||||||||||
Corona-Norca Unified School District, | ||||||||||||
6.800%, 08/01/2039(Callable 08/01/2027)(Insured by AGM) | 890,000 | 1,224,195 | ||||||||||
Covina-Valley Unified School District, | ||||||||||||
0.000%, 08/01/2032(Callable 08/01/2019)(Insured by AGM) | 180,000 | 89,069 | ||||||||||
Denair Unified School District, | ||||||||||||
0.000%, 08/01/2031(Insured by AGM) | 30,000 | 32,585 | ||||||||||
Desert Hot Springs Redevelopment Agency Successor Agency, | ||||||||||||
5.000%, 09/01/2029(Callable 09/01/2027)(Insured by BAM) | 300,000 | 362,292 | ||||||||||
Dinuba Redevelopment Agency, | ||||||||||||
5.000%, 09/01/2028(Callable 09/01/2024)(Insured by BAM) | 330,000 | 384,061 | ||||||||||
East Bay Municipal Utility District, | ||||||||||||
5.000%, 06/01/2033(Callable 06/01/2024) | 475,000 | 558,771 | ||||||||||
El Rancho Unified School District, | ||||||||||||
0.000%, 08/01/2034(Callable 08/01/2028)(Insured by AGM) | 225,000 | 223,076 | ||||||||||
Enterprise Elementary School District, | ||||||||||||
0.000%, 08/01/2035(Callable 08/01/2031) | 30,000 | 33,646 | ||||||||||
Fresno Joint Powers Financing Authority: | ||||||||||||
5.000%, 04/01/2020 | 250,000 | 267,627 | ||||||||||
5.000%, 04/01/2027(Insured by AGM) | 305,000 | 374,357 | ||||||||||
Golden State Tobacco Securitization Corp., | ||||||||||||
5.000%, 06/01/2022 | 365,000 | 406,106 | ||||||||||
Hartnell Community College District, | ||||||||||||
0.000%, 08/01/2034(Callable 08/01/2027) | 230,000 | 240,449 | ||||||||||
Imperial Community College District, | ||||||||||||
0.000%, 08/01/2040(Callable 08/01/2030)(Insured by AGM) | 140,000 | 169,803 | ||||||||||
Lake Elsinore Redevelopment Agency Successor Agency, | ||||||||||||
5.000%, 09/01/2027(Callable 09/01/2025)(Insured by BAM) | 275,000 | 322,864 | ||||||||||
Lake Elsinore School Financing Authority: | ||||||||||||
5.000%, 09/01/2028(Callable 09/01/2027)(Insured by BAM) | 150,000 | 179,020 | ||||||||||
5.000%, 09/01/2029(Callable 09/01/2027)(Insured by BAM) | 240,000 | 285,084 | ||||||||||
5.000%, 09/01/2030(Callable 09/01/2027)(Insured by BAM) | 250,000 | 295,335 | ||||||||||
Long Beach Bond Finance Authority: | ||||||||||||
5.250%, 11/15/2023 | 90,000 | 104,277 | ||||||||||
5.000%, 11/15/2029 | 50,000 | 60,142 | ||||||||||
Mount Diablo Unified School District, | ||||||||||||
0.000%, 08/01/2035(Callable 08/01/2025)(Insured by AGM) | 530,000 | 504,899 | ||||||||||
Mountain View Los Altos Union High School District, | ||||||||||||
0.000%, 08/01/2030 | 85,000 | 88,607 | ||||||||||
Needles Unified School District, | ||||||||||||
0.000%, 08/01/2034(Insured by AGM) | 25,000 | 23,700 | ||||||||||
Northern California Gas Authority, | ||||||||||||
1.525%, 07/01/2019 (3 Month LIBOR USD + 0.630%)(2) | 530,000 | 528,484 | ||||||||||
Norwalk-La Mirada Unified School District, | ||||||||||||
0.000%, 08/01/2029 | 110,000 | 116,036 | ||||||||||
Oak Park Unified School District, | ||||||||||||
0.000%, 08/01/2038(Callable 08/01/2031) | 110,000 | 130,305 | ||||||||||
Palomar Health, | ||||||||||||
0.000%, 08/01/2038(Callable 08/01/2029) | 100,000 | 125,722 | ||||||||||
Paramount Unified School District, | ||||||||||||
0.000%, 08/01/2045(Callable 02/01/2033) | 25,000 | 26,142 | ||||||||||
Redondo Beach Unified School District: | ||||||||||||
0.000%, 08/01/2031 | 20,000 | 21,383 | ||||||||||
6.375%, 08/01/2034(Callable 08/01/2026) | 590,000 | 784,848 | ||||||||||
Rialto Unified School District, | ||||||||||||
0.000%, 08/01/2041(Callable 08/01/2036)(Insured by AGM) | 290,000 | 287,996 | ||||||||||
Rio Hondo Community College District: | ||||||||||||
0.000%, 08/01/2042(Callable 08/01/2034) | 125,000 | 134,744 | ||||||||||
0.000%, 08/01/2042(Callable 08/01/2034) | 35,000 | 38,284 | ||||||||||
Riverside County Public Financing Authority, | ||||||||||||
5.000%, 10/01/2026(Callable 10/01/2025)(Insured by AGM) | 250,000 | 300,178 | ||||||||||
San Bernardino City Unified School District, | ||||||||||||
5.000%, 08/01/2027(Callable 08/01/2023)(Insured by AGM) | 450,000 | 520,137 | ||||||||||
San Diego Unified School District: | ||||||||||||
5.000%, 07/01/2030(Callable 07/01/2026) | 570,000 | 698,985 | ||||||||||
4.000%, 07/01/2032(Callable 07/01/2026) | 300,000 | 331,104 | ||||||||||
San Leandro Unified School District, | ||||||||||||
0.000%, 08/01/2039(Callable 08/01/2028) | 75,000 | 64,410 | ||||||||||
Santa Paula Union High School District, | ||||||||||||
0.000%, 08/01/2037(Callable 08/01/2027) | 80,000 | 75,410 | ||||||||||
School District of Belmont-Redwood Shores CA, | ||||||||||||
0.000%, 08/01/2031(Callable 08/01/2026) | 75,000 | 78,459 | ||||||||||
Silicon Valley Clean Water, | ||||||||||||
5.000%, 02/01/2039(Callable 02/01/2024) | 290,000 | 330,638 | ||||||||||
Solano County Community College District, | ||||||||||||
0.000%, 08/01/2041(Callable 08/01/2028) | 100,000 | 91,168 | ||||||||||
Soledad Unified School District: | ||||||||||||
5.000%, 08/01/2037(Callable 08/01/2018)(Insured by BAM) | 100,000 | 101,830 | ||||||||||
5.000%, 08/01/2038(Callable 08/01/2018)(Insured by BAM) | 100,000 | 101,824 | ||||||||||
5.000%, 08/01/2039(Callable 08/01/2018)(Insured by BAM) | 100,000 | 101,818 | ||||||||||
5.000%, 08/01/2040(Callable 08/01/2018)(Insured by BAM) | 50,000 | 50,906 | ||||||||||
5.000%, 08/01/2041(Callable 08/01/2018)(Insured by BAM) | 100,000 | 101,806 | ||||||||||
State of California: | ||||||||||||
5.000%, 10/01/2029(Callable 10/01/2024) | 225,000 | 266,605 | ||||||||||
1.790%, 12/01/2029 (1 Month LIBOR USD + 0.830%)(Callable 06/01/2018)(Mandatory Tender Date 12/03/2018)(2) | 125,000 | 125,298 | ||||||||||
Summerville Union High School District, | ||||||||||||
0.000%, 08/01/2033(Callable 08/01/2028)(Insured by BAM) | 25,000 | 22,380 | ||||||||||
Upland Unified School District, | ||||||||||||
0.000%, 08/01/2041(Callable 08/01/2025) | 295,000 | 338,633 | ||||||||||
West Hills Community College District, | ||||||||||||
0.000%, 08/01/2035(Callable 08/01/2027)(Insured by AGM) | 50,000 | 48,893 | ||||||||||
Wiseburn School District, | ||||||||||||
0.000%, 08/01/2036(Callable 08/01/2031)(Insured by AGM) | 50,000 | 44,898 | ||||||||||
16,612,763 | 7.0 | % | ||||||||||
Colorado | ||||||||||||
Board of Governors of Colorado State University System, | ||||||||||||
5.000%, 03/01/2032(Callable 03/01/2027) | 125,000 | 150,669 | ||||||||||
Broadlands Metropolitan District No. 2, | ||||||||||||
1.500%, 12/01/2018 | 75,000 | 74,591 | ||||||||||
City of Commerce City CO: | ||||||||||||
5.000%, 12/15/2028(Callable 12/15/2027)(Insured by AGM) | 100,000 | 121,802 | ||||||||||
5.000%, 12/15/2029(Callable 12/15/2027)(Insured by AGM) | 310,000 | 374,250 | ||||||||||
5.000%, 12/15/2030(Callable 12/15/2027)(Insured by AGM) | 500,000 | 600,715 | ||||||||||
City of Fort Lupton CO: | ||||||||||||
5.000%, 12/01/2027(Insured by AGM) | 75,000 | 92,929 | ||||||||||
5.000%, 12/01/2028(Callable 12/01/2027)(Insured by AGM) | 210,000 | 257,901 | ||||||||||
5.000%, 12/01/2029(Callable 12/01/2027)(Insured by AGM) | 250,000 | 305,297 | ||||||||||
5.000%, 12/01/2030(Callable 12/01/2027)(Insured by AGM) | 350,000 | 425,359 | ||||||||||
City of Sheridan CO, | ||||||||||||
5.000%, 12/01/2042(Callable 12/01/2025) | 1,130,000 | 1,313,998 | ||||||||||
Colorado Educational & Cultural Facilities Authority: | ||||||||||||
5.000%, 10/01/2020 | 400,000 | 432,548 | ||||||||||
5.000%, 10/01/2025 | 750,000 | 867,525 | ||||||||||
5.000%, 08/15/2030(Callable 08/15/2024) | 500,000 | 558,210 | ||||||||||
1.710%, 08/01/2037(Callable 01/02/2018)(Optional Put Date 01/05/2018)(1) | 300,000 | 300,000 | ||||||||||
Colorado Health Facilities Authority: | ||||||||||||
5.000%, 06/01/2027 | 750,000 | 877,545 | ||||||||||
5.000%, 06/01/2047(Callable 06/01/2027) | 250,000 | 279,415 | ||||||||||
Colorado Housing & Finance Authority, | ||||||||||||
4.000%, 05/01/2048(Callable 11/01/2026) | 500,000 | 536,540 | ||||||||||
Colorado School of Mines, | ||||||||||||
5.000%, 12/01/2029(Callable 12/01/2027) | 125,000 | 152,649 | ||||||||||
E-470 Public Highway Authority, | ||||||||||||
2.098%, 09/01/2039 (1 Month LIBOR USD + 1.050%)(Callable 03/01/2021)(Mandatory Tender Date 09/01/2021)(2) | 500,000 | 505,965 | ||||||||||
Glen Metropolitan District No. 1, | ||||||||||||
2.500%, 12/01/2025(Insured by BAM) | 145,000 | 146,179 | ||||||||||
Southlands Metropolitan District No. 1, | ||||||||||||
3.000%, 12/01/2022 | 275,000 | 274,871 | ||||||||||
Sterling Hills West Metropolitan District: | ||||||||||||
5.000%, 12/01/2027 | 230,000 | 267,464 | ||||||||||
5.000%, 12/01/2032(Callable 12/01/2027) | 350,000 | 404,103 | ||||||||||
VDW Metropolitan District No. 2, | ||||||||||||
1.250%, 12/01/2018(Insured by AGM) | 35,000 | 34,823 | ||||||||||
Vista Ridge Metropolitan District: | ||||||||||||
5.000%, 12/01/2025(Insured by BAM) | 600,000 | 694,920 | ||||||||||
5.000%, 12/01/2026(Insured by BAM) | 460,000 | 537,731 | ||||||||||
10,587,999 | 4.5 | % | ||||||||||
Connecticut | ||||||||||||
City of Hartford CT, | ||||||||||||
5.000%, 04/01/2027(Callable 04/01/2023) | 535,000 | 589,270 | ||||||||||
City of New Haven CT, | ||||||||||||
2.500%, 05/15/2018 | 100,000 | 100,261 | ||||||||||
Connecticut Housing Finance Authority, | ||||||||||||
4.000%, 11/15/2047(Callable 11/15/2026) | 250,000 | 267,430 | ||||||||||
State of Connecticut: | ||||||||||||
5.000%, 04/15/2024 | 175,000 | 201,056 | ||||||||||
5.000%, 07/15/2030(Callable 07/15/2023) | 225,000 | 248,629 | ||||||||||
5.000%, 09/01/2033(Callable 09/01/2026) | 300,000 | 343,974 | ||||||||||
Town of Hamden CT, | ||||||||||||
4.000%, 08/15/2019(Insured by BAM) | 250,000 | 257,993 | ||||||||||
2,008,613 | 0.8 | % | ||||||||||
District of Columbia | ||||||||||||
District of Columbia, | ||||||||||||
5.250%, 07/15/2045(Pre-refunded to 07/15/2018)(Insured by AGM) | 100,000 | 101,962 | ||||||||||
District of Columbia Housing Finance Agency, | ||||||||||||
3.500%, 06/15/2023 | 435,000 | 443,604 | ||||||||||
Metropolitan Washington Airports Authority: | ||||||||||||
5.000%, 10/01/2033(Callable 10/01/2025) | 250,000 | 295,097 | ||||||||||
6.500%, 10/01/2041(Callable 10/01/2026) | 305,000 | 400,840 | ||||||||||
0.000%, 10/01/2044(Callable 10/01/2028) | 205,000 | 263,864 | ||||||||||
0.000%, 10/01/2044(Callable 10/01/2028) | 340,000 | 430,998 | ||||||||||
Washington Metropolitan Area Transit Authority, | ||||||||||||
5.250%, 07/01/2024(Pre-refunded to 07/01/2019) | 50,000 | 52,738 | ||||||||||
1,989,103 | 0.8 | % | ||||||||||
Florida | ||||||||||||
City of Orlando FL: | ||||||||||||
5.000%, 10/01/2027(Pre-refunded to 10/01/2020) | 100,000 | 108,838 | ||||||||||
5.000%, 11/01/2034(Callable 11/01/2027)(Insured by AGM) | 775,000 | 916,190 | ||||||||||
City of Tallahassee FL, | ||||||||||||
5.000%, 10/01/2033(Callable 10/01/2025) | 1,240,000 | 1,479,134 | ||||||||||
County of Bay FL, | ||||||||||||
4.000%, 09/01/2018 | 250,000 | 253,843 | ||||||||||
County of Miami-Dade FL: | ||||||||||||
5.000%, 04/01/2027(Callable 04/01/2026) | 120,000 | 144,902 | ||||||||||
0.000%, 10/01/2034(Callable 10/01/2029) | 155,000 | 200,583 | ||||||||||
0.000%, 10/01/2039(Callable 10/01/2029) | 190,000 | 245,294 | ||||||||||
Florida Housing Finance Corp., | ||||||||||||
4.000%, 07/01/2047(Callable 07/01/2025) | 345,000 | 364,958 | ||||||||||
Florida Municipal Power Agency, | ||||||||||||
5.000%, 10/01/2031(Callable 10/01/2018) | 130,000 | 132,990 | ||||||||||
Hillsborough County Aviation Authority, | ||||||||||||
5.000%, 10/01/2035(Callable 10/01/2024) | 500,000 | 572,445 | ||||||||||
Hillsborough County Revenue Bonds, | ||||||||||||
5.650%, 05/15/2018 | 100,000 | 101,450 | ||||||||||
Hollywood Community Redevelopment Agency, | ||||||||||||
5.000%, 03/01/2018 | 200,000 | 201,104 | ||||||||||
Martin County Health Facilities Authority: | ||||||||||||
3.370%, 11/15/2021 | 295,000 | 308,169 | ||||||||||
5.000%, 11/15/2023 | 260,000 | 297,086 | ||||||||||
Miami Health Facilities Authority: | ||||||||||||
5.000%, 07/01/2020 | 140,000 | 148,483 | ||||||||||
5.000%, 07/01/2021 | 250,000 | 270,787 | ||||||||||
Miami-Dade County Industrial Development Authority: | ||||||||||||
5.000%, 01/15/2020(4) | 350,000 | 367,073 | ||||||||||
5.000%, 01/15/2021(4) | 365,000 | 389,159 | ||||||||||
Monroe County School District, | ||||||||||||
5.000%, 10/01/2025(Insured by AGM) | 200,000 | 239,826 | ||||||||||
Palm Beach County Health Facilities Authority, | ||||||||||||
4.750%, 07/01/2025(Pre-refunded to 07/01/2020)(Insured by AGM) | 130,000 | 139,676 | ||||||||||
Pinellas County Health Facilities Authority, | ||||||||||||
2.234%, 11/15/2023(Callable 01/02/2018)(1)(6) | 275,000 | 261,522 | ||||||||||
Pinellas County School Board, | ||||||||||||
5.000%, 07/01/2033(Callable 07/01/2027) | 515,000 | 612,196 | ||||||||||
Reedy Creek Improvement District, | ||||||||||||
4.000%, 06/01/2035(Callable 06/01/2027) | 1,000,000 | 1,094,320 | ||||||||||
Village Community Development District No. 7, | ||||||||||||
4.000%, 05/01/2021 | 240,000 | 254,258 | ||||||||||
9,104,286 | 3.8 | % | ||||||||||
Georgia | ||||||||||||
Bartow County Development Authority, | ||||||||||||
2.700%, 08/01/2043(Mandatory Tender Date 08/23/2018)(1) | 370,000 | 371,280 | ||||||||||
Burke County Development Authority: | ||||||||||||
1.800%, 10/01/2032(Mandatory Tender Date 04/03/2018)(1) | 140,000 | 139,955 | ||||||||||
2.350%, 10/01/2032(Mandatory Tender Date 12/11/2020)(1) | 100,000 | 99,689 | ||||||||||
1.810%, 07/01/2049(Callable 01/02/2018)(1) | 275,000 | 275,000 | ||||||||||
1.850%, 12/01/2049(Mandatory Tender Date 08/22/2019)(1) | 140,000 | 138,814 | ||||||||||
Chatham County Hospital Authority, | ||||||||||||
5.000%, 01/01/2031(Callable 01/01/2022) | 150,000 | 166,706 | ||||||||||
City of Atlanta GA: | ||||||||||||
5.000%, 01/01/2025(Callable 01/01/2020) | 225,000 | 237,906 | ||||||||||
5.500%, 11/01/2027 | 140,000 | 174,224 | ||||||||||
5.000%, 01/01/2028(Callable 01/01/2020) | 1,000,000 | 1,054,340 | ||||||||||
City of Dahlonega GA, | ||||||||||||
4.000%, 09/01/2021(Insured by AGM) | 150,000 | 160,208 | ||||||||||
Gainesville & Hall County Hospital Authority, | ||||||||||||
5.000%, 02/15/2029(Callable 02/15/2027) | 475,000 | 561,659 | ||||||||||
Main Street Natural Gas, Inc., | ||||||||||||
5.000%, 03/15/2018 | 100,000 | 100,665 | ||||||||||
Monroe County Development Authority, | ||||||||||||
2.050%, 07/01/2049(Mandatory Tender Date 11/19/2021)(1) | 750,000 | 749,715 | ||||||||||
Morgan County Hospital Authority, | ||||||||||||
2.750%, 09/01/2019(Callable 03/01/2019) | 750,000 | 746,055 | ||||||||||
4,976,216 | 2.1 | % |
Illinois | ||||||||||||
Bureau County Township High School District No. 502, | ||||||||||||
6.625%, 10/01/2043(Pre-refunded to 12/01/2023)(Insured by BAM) | 290,000 | 365,896 | ||||||||||
Chicago Board of Education: | ||||||||||||
0.000%, 12/01/2018 | 230,000 | 235,678 | ||||||||||
0.000%, 12/01/2018 | 415,000 | 428,052 | ||||||||||
Chicago O'Hare International Airport, | ||||||||||||
5.500%, 01/01/2031(Pre-refunded to 1/01/2021) | 510,000 | 566,977 | ||||||||||
City of Berwyn IL, | ||||||||||||
4.000%, 12/01/2020 | 100,000 | 103,842 | ||||||||||
City of Chicago IL: | ||||||||||||
5.000%, 01/01/2018(Insured by BHAC) | 150,000 | 150,000 | ||||||||||
4.000%, 01/01/2019 | 210,000 | 214,450 | ||||||||||
4.250%, 01/01/2019(ETM) | 175,000 | 179,785 | ||||||||||
5.000%, 01/01/2021(Callable 01/01/2020) | 100,000 | 104,556 | ||||||||||
5.000%, 01/01/2023 | 170,000 | 191,027 | ||||||||||
5.000%, 01/01/2023(Callable 01/01/2020) | 125,000 | 130,051 | ||||||||||
5.000%, 01/01/2024 | 250,000 | 273,940 | ||||||||||
5.000%, 01/01/2025(Callable 01/01/2024) | 110,000 | 126,941 | ||||||||||
5.000%, 01/01/2026(Callable 01/29/2018)(Insured by AGM) | 60,000 | 60,100 | ||||||||||
5.000%, 01/01/2026(Callable 01/01/2024) | 250,000 | 270,400 | ||||||||||
0.000%, 01/01/2027 | 300,000 | 220,938 | ||||||||||
City of Country Club Hills IL, | ||||||||||||
4.000%, 12/01/2019(Insured by BAM) | 195,000 | 201,864 | ||||||||||
City of Kankakee IL, | ||||||||||||
4.500%, 05/01/2031(Callable 05/01/2025 Insured by AGM) | 135,000 | 147,670 | ||||||||||
Coles Cumberland Moultrie Etc Counties Community Unit School District No. 2, | ||||||||||||
4.000%, 12/01/2018(Insured by BAM) | 250,000 | 254,785 | ||||||||||
Cook & Will Counties School District No. 194: | ||||||||||||
4.000%, 12/01/2025(Callable 12/01/2024)(Insured by BAM) | 160,000 | 171,257 | ||||||||||
4.000%, 12/01/2026(Callable 12/01/2024)(Insured by BAM) | 130,000 | 138,224 | ||||||||||
Cook County Community College District No. 524, | ||||||||||||
5.000%, 12/01/2021(Callable 01/29/2018) | 500,000 | 501,475 | ||||||||||
Cook County Community Consolidated School District No. 65, | ||||||||||||
0.000%, 12/01/2023 | 200,000 | 170,282 | ||||||||||
Cook County School District No. 163: | ||||||||||||
6.000%, 12/15/2025 | 430,000 | 531,256 | ||||||||||
6.000%, 12/15/2027 | 1,150,000 | 1,456,199 | ||||||||||
Cook County School District No. 83, | ||||||||||||
5.625%, 06/01/2033 | 475,000 | 569,245 | ||||||||||
County of Washington IL, | ||||||||||||
4.000%, 12/15/2029(Callable 12/15/2026)(Insured by AGM) | 275,000 | 299,824 | ||||||||||
Decatur Park District, | ||||||||||||
4.000%, 03/01/2019(Callable 03/01/2018) | 525,000 | 526,885 | ||||||||||
DeKalb County Community Unit School District No. 428, | ||||||||||||
0.000%, 01/01/2030(Callable 07/01/2020) | 300,000 | 158,955 | ||||||||||
Ford Etc Counties Community Unit School District No. 10, | ||||||||||||
5.000%, 12/01/2027(Callable 12/01/2026)(Insured by AGM) | 550,000 | 643,880 | ||||||||||
Illinois Finance Authority: | ||||||||||||
5.000%, 02/15/2021 | 100,000 | 107,604 | ||||||||||
5.000%, 10/01/2021 | 170,000 | 185,859 | ||||||||||
5.000%, 10/01/2023 | 205,000 | 231,322 | ||||||||||
5.000%, 01/01/2029(Callable 01/01/2027) | 430,000 | 493,055 | ||||||||||
5.250%, 02/15/2030(Pre-refunded to 02/15/2020) | 245,000 | 262,949 | ||||||||||
5.000%, 08/01/2030(Callable 08/01/2024) | 300,000 | 345,717 | ||||||||||
5.000%, 12/01/2030(Callable 12/01/2021) | 560,000 | 628,275 | ||||||||||
6.250%, 10/01/2033(Callable 10/01/2020) | 150,000 | 163,364 | ||||||||||
4.000%, 05/15/2034(Callable 05/15/2026) | 180,000 | 185,818 | ||||||||||
2.303%, 05/01/2036 (1 Month LIBOR USD + 1.350%)(Callable 11/01/2020)(Mandatory Tender Date 05/01/2021)(2) | 300,000 | 300,360 | ||||||||||
5.375%, 08/15/2039(Pre-refunded to 08/15/2018) | 65,000 | 66,580 | ||||||||||
6.625%, 11/01/2039(Pre-refunded to 05/01/2019) | 50,000 | 53,286 | ||||||||||
1.600%, 08/01/2044(Callable 01/02/2018)(1) | 300,000 | 300,000 | ||||||||||
Illinois Housing Development Authority: | ||||||||||||
3.100%, 02/01/2035(Callable 02/01/2026) | 1,250,000 | 1,243,250 | ||||||||||
2.450%, 06/01/2043(Callable 01/01/2023) | 806,830 | 778,752 | ||||||||||
Illinois State University, | ||||||||||||
5.000%, 04/01/2023(Callable 04/01/2021) | 440,000 | 469,238 | ||||||||||
Joliet Park District, | ||||||||||||
4.000%, 02/01/2018 | 350,000 | 350,473 | ||||||||||
Knox & Warren Counties Community Unit School District No. 205, | ||||||||||||
6.125%, 01/01/2036(Callable 01/01/2021) | 100,000 | 109,849 | ||||||||||
Lake County Community Consolidated School District No. 34, | ||||||||||||
3.000%, 01/01/2019 | 100,000 | 101,306 | ||||||||||
Madison County Community Unit School District No. 7, | ||||||||||||
4.000%, 12/01/2018(Insured by BAM) | 685,000 | 697,857 | ||||||||||
Metropolitan Pier & Exposition Authority: | ||||||||||||
5.500%, 12/15/2023 | 150,000 | 166,920 | ||||||||||
5.700%, 06/15/2025(Pre-refunded to 06/15/2022) | 15,000 | 17,587 | ||||||||||
5.700%, 06/15/2025(Callable 06/15/2022) | 50,000 | 56,777 | ||||||||||
Metropolitan Water Reclamation District of Greater Chicago, | ||||||||||||
5.000%, 12/01/2031(Callable 12/01/2021) | 1,000,000 | 1,112,700 | ||||||||||
Monroe & St. Clair Counties Community Unit School District No. 5, | ||||||||||||
5.000%, 04/15/2021(Insured by BAM) | 100,000 | 109,552 | ||||||||||
Ogle & Winnebago Counties Community Unit School District: | ||||||||||||
5.000%, 12/01/2023(Insured by BAM) | 415,000 | 475,109 | ||||||||||
5.000%, 12/01/2024(Insured by BAM) | 100,000 | 115,913 | ||||||||||
Railsplitter Tobacco Settlement Authority, | ||||||||||||
5.000%, 06/01/2022 | 650,000 | 719,173 | ||||||||||
Sangamon County Water Reclamation District, | ||||||||||||
5.000%, 01/01/2021 | 80,000 | 85,783 | ||||||||||
Schaumburg Park District, | ||||||||||||
3.000%, 12/01/2018 | 425,000 | 430,011 | ||||||||||
State of Illinois: | ||||||||||||
0.000%, 08/01/2019 | 150,000 | 142,096 | ||||||||||
0.000%, 08/01/2019 | 110,000 | 104,204 | ||||||||||
5.000%, 02/01/2021 | 550,000 | 578,292 | ||||||||||
5.000%, 01/01/2022(Callable 01/01/2020) | 220,000 | 228,890 | ||||||||||
5.000%, 08/01/2024(Callable 08/01/2022) | 665,000 | 704,814 | ||||||||||
5.000%, 05/01/2027(Callable 05/01/2024) | 150,000 | 160,730 | ||||||||||
5.000%, 06/15/2027(Callable 06/15/2021) | 1,500,000 | 1,639,830 | ||||||||||
5.250%, 07/01/2028(Callable 07/01/2023) | 175,000 | 188,827 | ||||||||||
5.500%, 07/01/2033(Callable 07/01/2023) | 410,000 | 446,178 | ||||||||||
Town of Cicero IL: | ||||||||||||
5.000%, 01/01/2019(Insured by AGM) | 400,000 | 411,716 | ||||||||||
5.000%, 01/01/2019(Insured by BAM) | 205,000 | 211,004 | ||||||||||
Village of Cary IL, | ||||||||||||
1.500%, 03/01/2019(Insured by BAM) | 128,000 | 127,007 | ||||||||||
Village of Crestwood IL: | ||||||||||||
2.000%, 12/15/2018(Insured by BAM) | 525,000 | 525,882 | ||||||||||
4.000%, 12/15/2021(Insured by BAM) | 250,000 | 267,718 | ||||||||||
4.500%, 12/15/2026(Callable 12/15/2022)(Insured by BAM) | 200,000 | 220,572 | ||||||||||
Village of Franklin Park IL, | ||||||||||||
5.000%, 04/01/2023(Insured by BAM) | 460,000 | 515,218 | ||||||||||
Village of River Grove IL: | ||||||||||||
4.000%, 12/15/2027(Callable 12/15/2026)(Insured by BAM) | 135,000 | 140,462 | ||||||||||
4.000%, 12/15/2028(Callable 12/15/2026)(Insured by BAM) | 205,000 | 212,335 | ||||||||||
Village of Rosemont IL, | ||||||||||||
5.375%, 12/01/2031(Pre-refunded to 12/01/2020) | 685,000 | 754,343 | ||||||||||
Will County Community High School District: | ||||||||||||
4.000%, 01/01/2022(Callable 01/01/2019) | 85,000 | 84,135 | ||||||||||
0.000%, 01/01/2023(Insured by AGM) | 140,000 | 117,782 | ||||||||||
0.000%, 01/01/2026(Insured by AGM) | 195,000 | 145,347 | ||||||||||
0.000%, 01/01/2027 | 660,000 | 431,917 | ||||||||||
0.000%, 01/01/2027 | 115,000 | 82,697 | ||||||||||
0.000%, 01/01/2028 | 465,000 | 288,319 | ||||||||||
0.000%, 01/01/2028 | 100,000 | 68,780 | ||||||||||
0.000%, 01/01/2029 | 40,000 | 22,996 | ||||||||||
0.000%, 01/01/2033 | 175,000 | 79,271 | ||||||||||
3.375%, 01/01/2033(Callable 01/01/2023) | 20,000 | 15,715 | ||||||||||
Will County IL School District No. 365, | ||||||||||||
0.000%, 11/01/2021(Insured by AGM) | 500,000 | 453,095 | ||||||||||
Will County Township High School District No. 204: | ||||||||||||
5.000%, 01/01/2025 | 125,000 | 146,426 | ||||||||||
6.250%, 01/01/2031(Callable 01/01/2021) | 300,000 | 337,533 | ||||||||||
Will Grundy Counties Community College District No. 525, | ||||||||||||
6.250%, 06/01/2024(Callable 06/01/2018)(Partially Pre-refunded) | 300,000 | 305,586 | ||||||||||
29,918,590 | 12.6 | % | ||||||||||
Indiana | ||||||||||||
Carmel Redevelopment Authority, | ||||||||||||
4.000%, 08/01/2033(Callable 08/01/2022) | 250,000 | 266,568 | ||||||||||
City of Jeffersonville IN: | ||||||||||||
5.000%, 01/01/2029(Callable 01/01/2028)(Insured by BAM) | 770,000 | 933,240 | ||||||||||
5.000%, 01/01/2030(Callable 01/01/2028)(Insured by BAM) | 325,000 | 391,674 | ||||||||||
City of Lawrence IN, | ||||||||||||
5.000%, 01/01/2027(Insured by BAM) | 385,000 | 464,510 | ||||||||||
City of Rockport IN, | ||||||||||||
1.750%, 06/01/2025(Mandatory Tender Date 06/01/2018)(1) | 400,000 | 399,716 | ||||||||||
City of Whiting IN, | ||||||||||||
1.850%, 06/01/2044(Mandatory Tender Date 10/01/2019)(1) | 300,000 | 301,851 | ||||||||||
Columbus Multi-High School Building Corp., | ||||||||||||
5.000%, 01/15/2029 | 1,200,000 | 1,487,700 | ||||||||||
Franklin Township Community School Corporation, | ||||||||||||
5.000%, 01/15/2035 | 775,000 | 872,340 | ||||||||||
Indiana Bond Bank: | ||||||||||||
1.881%, 10/15/2022 (3 Month LIBOR USD + 0.970%)(2) | 510,000 | 510,015 | ||||||||||
2.370%, 10/15/2022 (SIFMA Municipal Swap Index + 0.660%)(2) | 100,000 | 98,892 | ||||||||||
Indiana Finance Authority, | ||||||||||||
5.500%, 08/15/2045(Callable 08/15/2020) | 165,000 | 174,745 | ||||||||||
Indiana Health & Educational Facilities Financing Authority, | ||||||||||||
1.750%, 11/15/2031(Mandatory Tender Date 11/02/2021)(1) | 500,000 | 494,680 | ||||||||||
Kankakee Valley Middle School Building Corp., | ||||||||||||
5.000%, 01/15/2029 | 1,000,000 | 1,223,540 | ||||||||||
Munster School Building Corp., | ||||||||||||
4.000%, 07/15/2024 | 170,000 | 187,437 | ||||||||||
7,806,908 | 3.3 | % | ||||||||||
Iowa | ||||||||||||
City of Coralville IA: | ||||||||||||
4.000%, 06/01/2019 | 100,000 | 103,008 | ||||||||||
4.000%, 05/01/2022 | 100,000 | 105,945 | ||||||||||
4.000%, 05/01/2037(Callable 05/01/2025) | 500,000 | 502,190 | ||||||||||
4.250%, 05/01/2037(Callable 05/01/2022) | 450,000 | 462,699 | ||||||||||
Iowa Finance Authority, | ||||||||||||
1.720%, 12/01/2033(Callable 01/02/2018)(Optional Put Date 01/05/2018)(1) | 400,000 | 400,000 | ||||||||||
Iowa Higher Education Loan Authority: | ||||||||||||
2.000%, 12/01/2018(Callable 06/01/2018) | 1,000,000 | 1,000,560 | ||||||||||
1.750%, 11/01/2030(Callable 01/02/2018)(1) | 450,000 | 450,000 | ||||||||||
3,024,402 | 1.3 | % | ||||||||||
Kansas | ||||||||||||
City of Hutchinson KS: | ||||||||||||
4.000%, 12/01/2020 | 330,000 | 340,805 | ||||||||||
4.000%, 12/01/2021 | 360,000 | 374,940 | ||||||||||
5.000%, 12/01/2022 | 140,000 | 152,961 | ||||||||||
City of Wichita KS, | ||||||||||||
3.000%, 09/01/2023(Callable 09/01/2022) | 400,000 | 402,940 | ||||||||||
State of Kansas Department of Transportation, | ||||||||||||
1.312%, 09/01/2019 (1 Month LIBOR USD + 0.400%)(2) | 115,000 | 114,733 | ||||||||||
1,386,379 | 0.6 | % | ||||||||||
Kentucky | ||||||||||||
Louisville & Jefferson County Metropolitan Government, | ||||||||||||
5.000%, 10/01/2019 | 325,000 | 341,682 | 0.1 | % | ||||||||
Louisiana | ||||||||||||
City of Shreveport LA, | ||||||||||||
5.000%, 08/01/2023(Insured by BAM) | 350,000 | 397,628 | ||||||||||
Louisiana Public Facilities Authority, | ||||||||||||
5.000%, 10/01/2023 | 1,000,000 | 1,129,540 | ||||||||||
St. Tammany Parish Wide School District No. 12: | ||||||||||||
4.000%, 03/01/2035(Callable 03/01/2027) | 100,000 | 108,456 | ||||||||||
4.000%, 03/01/2036(Callable 03/01/2027) | 115,000 | 124,532 | ||||||||||
1,760,156 | 0.7 | % | ||||||||||
Maine | ||||||||||||
Maine State Housing Authority: | ||||||||||||
3.500%, 11/15/2045(Callable 05/15/2025) | 255,000 | 266,529 | ||||||||||
4.000%, 11/15/2045(Callable 11/15/2025) | 570,000 | 603,812 | ||||||||||
3.500%, 11/15/2046(Callable 11/15/2025) | 70,000 | 73,433 | ||||||||||
943,774 | 0.4 | % | ||||||||||
Massachusetts | ||||||||||||
Commonwealth of Massachusetts, | ||||||||||||
5.000%, 07/01/2033(Callable 07/01/2026) | 1,160,000 | 1,390,515 | ||||||||||
Eaton Vance Municipal Bond Fund II, | ||||||||||||
2.760%, 07/01/2019 (SIFMA Municipal Swap Index + 1.050%)(Callable 01/29/2018)(2)(3) | 150,000 | 149,987 | ||||||||||
Massachusetts Clean Water Trust, | ||||||||||||
5.000%, 02/01/2031(Callable 02/01/2026) | 750,000 | 904,628 | ||||||||||
Massachusetts Development Finance Agency, | ||||||||||||
5.000%, 07/15/2033 | 1,000,000 | 1,210,700 | ||||||||||
Town of Ashburnham MA, | ||||||||||||
4.250%, 07/01/2021(Callable 07/01/2018) | 700,000 | 708,057 | ||||||||||
University of Massachusetts Building Authority, | ||||||||||||
5.000%, 11/01/2039(Callable 11/01/2024) | 260,000 | 301,974 | ||||||||||
4,665,861 | 2.0 | % | ||||||||||
Michigan | ||||||||||||
Adrian City School District, | ||||||||||||
5.000%, 05/01/2029(Callable 05/01/2027)(Insured by Q-SBLF) | 125,000 | 151,200 | ||||||||||
City of Detroit MI: | ||||||||||||
4.250%, 07/01/2018 | 100,000 | 101,240 | ||||||||||
5.000%, 07/01/2039(Callable 07/01/2022)(Insured by AGM) | 155,000 | 166,795 | ||||||||||
5.250%, 07/01/2041(Callable 07/01/2021) | 50,000 | 54,697 | ||||||||||
City of Wyandotte MI, | ||||||||||||
5.000%, 10/01/2023(Insured by BAM) | 25,000 | 28,396 | ||||||||||
Detroit Michigan School District, | ||||||||||||
5.000%, 05/01/2033(Callable 05/01/2022)(Insured by Q-SBLF) | 1,000,000 | 1,103,210 | ||||||||||
Flushing Community Schools, | ||||||||||||
4.000%, 05/01/2029(Callable 05/01/2028)(Insured by Q-SBLF) | 220,000 | 246,675 | ||||||||||
Hudsonville Public Schools, | ||||||||||||
4.000%, 05/01/2018(Insured by Q-SBLF) | 100,000 | 100,792 | ||||||||||
Lake Orion Community School District, | ||||||||||||
5.000%, 05/01/2025(Insured By Q-SBLF) | 1,635,000 | 1,950,539 | ||||||||||
Michigan Finance Authority, | ||||||||||||
5.000%, 07/01/2034(Callable 07/01/2025) | 250,000 | 284,055 | ||||||||||
Michigan State Hospital Finance Authority, | ||||||||||||
5.750%, 11/15/2039(Pre-refunded to 11/15/2019) | 600,000 | 644,796 | ||||||||||
Michigan Strategic Fund, | ||||||||||||
1.780%, 12/01/2033(Callable 01/02/2018)(1) | 600,000 | 600,000 | ||||||||||
Warren Consolidated Schools: | ||||||||||||
5.000%, 05/01/2019(Insured by BAM) | 130,000 | 135,483 | ||||||||||
5.000%, 05/01/2025(Insured by BAM) | 300,000 | 355,659 | ||||||||||
Western Michigan University, | ||||||||||||
5.000%, 11/15/2029(Callable 05/15/2025) | 250,000 | 294,197 | ||||||||||
Ypsilanti School District, | ||||||||||||
4.000%, 05/01/2020(Insured by Q-SBLF) | 50,000 | 52,216 | ||||||||||
6,269,950 | 2.7 | % | ||||||||||
Minnesota | ||||||||||||
City of Maple Grove MN: | ||||||||||||
5.000%, 05/01/2027 | 200,000 | 241,364 | ||||||||||
5.000%, 05/01/2031(Callable 05/01/2027) | 200,000 | 232,858 | ||||||||||
City of Plato MN, | ||||||||||||
4.000%, 04/01/2021 | 280,000 | 295,151 | ||||||||||
Minnesota Housing Finance Agency: | ||||||||||||
4.375%, 07/01/2026(Callable 07/01/2021) | 155,000 | 161,544 | ||||||||||
4.000%, 01/01/2047(Callable 01/01/2026) | 1,040,000 | 1,104,792 | ||||||||||
Plymouth Intermediate District No. 287: | ||||||||||||
4.000%, 02/01/2026 | 600,000 | 673,854 | ||||||||||
4.000%, 02/01/2027 | 200,000 | 225,092 | ||||||||||
4.000%, 02/01/2028(Callable 02/01/2027) | 350,000 | 390,890 | ||||||||||
4.000%, 02/01/2037(Callable 02/01/2027) | 250,000 | 268,910 | ||||||||||
3,594,455 | 1.5 | % | ||||||||||
Mississippi | ||||||||||||
City of Jackson MS, | ||||||||||||
4.000%, 09/01/2018(Insured by BAM) | 250,000 | 253,460 | ||||||||||
Mississippi Development Bank, | ||||||||||||
4.375%, 03/01/2023(Callable 07/01/2019) | 150,000 | 154,569 | ||||||||||
State of Mississippi, | ||||||||||||
5.000%, 10/15/2034(Callable 10/15/2025) | 1,000,000 | 1,171,160 | ||||||||||
1,579,189 | 0.7 | % | ||||||||||
Missouri | ||||||||||||
County of Boone MO, | ||||||||||||
4.000%, 08/01/2019 | 250,000 | 257,253 | ||||||||||
Industrial Development Authority of the City of St. Louis MO, | ||||||||||||
4.750%, 11/15/2047(Callable 11/15/2026) | 500,000 | 515,300 | ||||||||||
Missouri Housing Development Commission: | ||||||||||||
3.700%, 11/01/2035(Callable 05/01/2025) | 205,000 | 213,393 | ||||||||||
4.000%, 05/01/2042(Callable 11/01/2026) | 1,240,000 | 1,329,044 | ||||||||||
Move Rolla Transportation Development District, | ||||||||||||
3.750%, 06/01/2029(Callable 06/01/2026) | 465,000 | 479,215 | ||||||||||
St. Louis Municipal Finance Corp., | ||||||||||||
3.000%, 06/01/2020(Insured by AGM) | 130,000 | 132,427 | ||||||||||
St. Louis Regional Convention & Sports Complex Authority, | ||||||||||||
5.250%, 08/15/2019(Insured by AMBAC) | 70,000 | 73,348 | ||||||||||
State of Missouri Environmental Improvement & Energy Resources Authority, | ||||||||||||
1.750%, 12/01/2022(Callable 01/02/2018)(1)(6) | 500,000 | 478,320 | ||||||||||
State of Missouri Health & Educational Facilities Authority: | ||||||||||||
4.000%, 08/01/2018 | 100,000 | 101,351 | ||||||||||
4.000%, 08/01/2019 | 150,000 | 155,085 | ||||||||||
3,734,736 | 1.6 | % | ||||||||||
Montana | ||||||||||||
City of Billings MT: | ||||||||||||
5.000%, 07/01/2028(Callable 07/01/2027) | 300,000 | 369,021 | ||||||||||
5.000%, 07/01/2029(Callable 07/01/2027) | 550,000 | 673,381 | ||||||||||
Flathead County School District No. 44: | ||||||||||||
4.000%, 07/01/2037(Callable 07/01/2028) | 610,000 | 670,915 | ||||||||||
4.000%, 07/01/2038(Callable 07/01/2028) | 305,000 | 333,435 | ||||||||||
Montana Board of Housing, | ||||||||||||
3.600%, 12/01/2030(Callable 06/01/2022) | 465,000 | 480,838 | ||||||||||
2,527,590 | 1.1 | % | ||||||||||
Nebraska | ||||||||||||
County of Buffalo NE: | ||||||||||||
4.000%, 12/15/2029(Callable 09/13/2021) | 200,000 | 216,400 | ||||||||||
4.000%, 12/15/2031(Callable 09/13/2021) | 300,000 | 323,592 | ||||||||||
Douglas County Hospital Authority No. 2, | ||||||||||||
5.000%, 05/15/2019 | 150,000 | 156,240 | ||||||||||
Gering School District: | ||||||||||||
5.000%, 12/01/2031(Callable 05/30/2022) | 25,000 | 27,948 | ||||||||||
5.000%, 12/01/2033(Callable 05/30/2022) | 430,000 | 478,779 | ||||||||||
5.000%, 12/01/2034(Callable 05/30/2022) | 300,000 | 333,366 | ||||||||||
Nebraska Investment Finance Authority: | ||||||||||||
3.500%, 09/01/2036(Callable 03/01/2025) | 200,000 | 205,226 | ||||||||||
3.500%, 09/01/2046(Callable 03/01/2025) | 195,000 | 203,615 | ||||||||||
Papio-Missouri River Natural Resource District: | ||||||||||||
4.000%, 12/15/2027(Callable 06/15/2022) | 150,000 | 162,778 | ||||||||||
4.000%, 12/15/2028(Callable 06/15/2022) | 210,000 | 227,237 | ||||||||||
Village of Boys Town NE, | ||||||||||||
3.000%, 09/01/2028 | 500,000 | 522,305 | ||||||||||
2,857,486 | 1.2 | % | ||||||||||
Nevada | ||||||||||||
City of North Las Vegas NV, | ||||||||||||
2.000%, 12/01/2018 | 185,000 | 185,131 | ||||||||||
Las Vegas Convention & Visitors Authority, | ||||||||||||
5.000%, 07/01/2026 | 1,000,000 | 1,198,720 | ||||||||||
Nevada Housing Division: | ||||||||||||
4.400%, 04/01/2029(Callable 10/01/2021) | 770,000 | 803,233 | ||||||||||
5.375%, 10/01/2039(Callable 04/01/2019) | 270,000 | 280,598 | ||||||||||
State of Nevada, | ||||||||||||
5.000%, 06/01/2033(Callable 12/01/2023) | 300,000 | 339,561 | ||||||||||
Washoe County School District, | ||||||||||||
0.000%, 05/01/2030 | 525,000 | 634,552 | ||||||||||
3,441,795 | 1.5 | % | ||||||||||
New Jersey | ||||||||||||
City of Atlantic City NJ: | ||||||||||||
4.000%, 03/01/2019 | 200,000 | 204,704 | ||||||||||
5.000%, 03/01/2020 | 200,000 | 211,794 | ||||||||||
5.000%, 03/01/2021 | 100,000 | 108,088 | ||||||||||
City of Summit NJ, | ||||||||||||
2.000%, 04/06/2018 | 100,000 | 100,159 | ||||||||||
City of Trenton NJ, | ||||||||||||
4.000%, 07/15/2023 | 400,000 | 433,192 | ||||||||||
Landis Sewage Authority, | ||||||||||||
4.770%, 09/19/2019(1)(6) | 100,000 | 97,406 | ||||||||||
New Jersey Economic Development Authority: | ||||||||||||
5.000%, 07/15/2019 | 130,000 | 135,940 | ||||||||||
5.000%, 07/15/2020 | 100,000 | 107,092 | ||||||||||
5.000%, 06/15/2023(Insured by BAM) | 275,000 | 308,184 | ||||||||||
5.000%, 03/01/2024(Callable 03/01/2023) | 150,000 | 164,240 | ||||||||||
3.125%, 07/01/2029(Callable 07/01/2027) | 200,000 | 197,618 | ||||||||||
New Jersey Health Care Facilities Financing Authority: | ||||||||||||
5.000%, 07/01/2025(Insured by AGM) | 200,000 | 237,888 | ||||||||||
4.500%, 11/15/2025(Callable 11/15/2020) | 150,000 | 160,133 | ||||||||||
4.000%, 07/01/2026(Callable 07/01/2022) | 1,000,000 | 1,074,640 | ||||||||||
5.000%, 07/01/2026(Callable 07/01/2025)(Insured by AGM) | 225,000 | 266,602 | ||||||||||
New Jersey Housing & Mortgage Finance Agency, | ||||||||||||
1.350%, 02/01/2020(Mandatory Tender Date 02/01/2019)(1) | 400,000 | 398,404 | ||||||||||
New Jersey Transportation Trust Fund Authority: | ||||||||||||
5.250%, 12/15/2019 | 345,000 | 363,282 | ||||||||||
5.000%, 06/15/2021(Callable 06/15/2018) | 350,000 | 355,484 | ||||||||||
0.000%, 12/15/2024 | 430,000 | 359,828 | ||||||||||
New Jersey Turnpike Authority: | ||||||||||||
5.000%, 01/01/2026(Callable 01/01/2023) | 500,000 | 571,470 | ||||||||||
5.000%, 01/01/2029(Callable 01/01/2028) | 50,000 | 61,441 | ||||||||||
1.703%, 01/01/2030 (1 Month LIBOR USD + 0.750%)(Callable 07/01/2022)(Mandatory Tender Date 01/01/2023)(2) | 650,000 | 655,525 | ||||||||||
6,573,114 | 2.8 | % | ||||||||||
New Mexico | ||||||||||||
New Mexico Mortgage Finance Authority, | ||||||||||||
3.500%, 09/01/2036(Callable 03/01/2025) | 1,000,000 | 1,019,680 | ||||||||||
New Mexico Municipal Energy Acquisition Authority, | ||||||||||||
1.662%, 11/01/2039 (1 Month LIBOR USD + 0.750%)(Callable 02/01/2019)(Mandatory Tender Date 08/01/2019)(2) | 315,000 | 314,726 | ||||||||||
1,334,406 | 0.6 | % |
New York | ||||||||||||
Brooklyn Arena Local Development Corp., | ||||||||||||
4.000%, 07/15/2029(Callable 01/15/2027)(Insured by AGM) | 610,000 | 671,647 | ||||||||||
City of New York NY, | ||||||||||||
5.250%, 07/01/2029(Callable 07/01/2023) | 250,000 | 283,990 | ||||||||||
County of Nassau NY: | ||||||||||||
5.000%, 07/01/2022(Callable 07/01/2018)(Insured by AGM) | 95,000 | 96,675 | ||||||||||
5.000%, 07/01/2022(Callable 07/01/2018)(Insured by AGM) | 5,000 | 5,088 | ||||||||||
Long Island Power Authority, | ||||||||||||
1.603%, 05/01/2033 (1 Month LIBOR USD + 0.650%)(Callable 05/01/2018)(Mandatory Tender Date 11/01/2018)(2) | 200,000 | 200,148 | ||||||||||
Metropolitan Transportation Authority, | ||||||||||||
5.000%, 11/15/2038(Callable 11/15/2023) | 300,000 | 342,264 | ||||||||||
MTA Hudson Rail Yards Trust Obligations, | ||||||||||||
5.000%, 11/15/2046(Callable 11/15/2019) | 1,250,000 | 1,316,462 | ||||||||||
Nassau Health Care Corp., | ||||||||||||
2.750%, 01/16/2018 | 450,000 | 450,067 | ||||||||||
New York City Transitional Finance Authority, | ||||||||||||
1.820%, 08/01/2023(Callable 01/02/2018)(1) | 100,000 | 100,000 | ||||||||||
New York State Dormitory Authority: | ||||||||||||
4.000%, 12/01/2018 | 400,000 | 405,764 | ||||||||||
5.000%, 07/01/2023 | 150,000 | 175,004 | ||||||||||
5.000%, 03/15/2026(Callable 03/15/2025) | 1,355,000 | 1,641,447 | ||||||||||
New York State Energy Research & Development Authority, | ||||||||||||
2.450%, 12/01/2020(1)(6) | 750,000 | 740,738 | ||||||||||
Niskayuna Central School District, | ||||||||||||
1.630%, 03/15/2019 | 165,000 | 163,503 | ||||||||||
Port Authority of New York & New Jersey, | ||||||||||||
5.000%, 09/01/2031(Callable 09/01/2024) | 270,000 | 317,512 | ||||||||||
State of New York, | ||||||||||||
2.147%, 02/13/2032(Callable 01/04/2018)(1)(6) | 125,000 | 114,947 | ||||||||||
State of New York Mortgage Agency, | ||||||||||||
3.500%, 10/01/2043(Callable 04/01/2023) | 430,000 | 443,941 | ||||||||||
Triborough Bridge & Tunnel Authority, | ||||||||||||
1.504%, 01/01/2031 (1 Month LIBOR USD + 0.580%)(Callable 11/01/2018)(Mandatory Tender Date 12/01/2018)(2) | 235,000 | 235,369 | ||||||||||
7,704,566 | 3.3 | % | ||||||||||
North Carolina | ||||||||||||
North Carolina Capital Facilities Finance Agency, | ||||||||||||
5.000%, 06/01/2022 | 150,000 | 166,031 | ||||||||||
North Carolina Housing Finance Agency, | ||||||||||||
4.000%, 07/01/2047(Callable 01/01/2027) | 650,000 | 698,490 | ||||||||||
Wilmington Housing Authority, | ||||||||||||
1.500%, 10/01/2020(Mandatory Tender Date 10/01/2019)(1) | 1,000,000 | 991,380 | ||||||||||
1,855,901 | 0.8 | % | ||||||||||
North Dakota | �� | |||||||||||
City of Mandan ND, | ||||||||||||
2.750%, 09/01/2041(Callable 01/29/2018) | 320,000 | 317,895 | ||||||||||
County of Ward ND, | ||||||||||||
4.000%, 04/01/2026(Callable 04/01/2023)(Insured by AGM) | 1,030,000 | 1,103,892 | ||||||||||
Jamestown Park District, | ||||||||||||
2.900%, 07/01/2035(Callable 01/16/2018) | 860,000 | 841,871 | ||||||||||
North Dakota Housing Finance Agency: | ||||||||||||
2.950%, 07/01/2031(Callable 07/01/2025) | 1,775,000 | 1,779,739 | ||||||||||
3.500%, 07/01/2046(Callable 01/01/2026) | 465,000 | 485,093 | ||||||||||
4,528,490 | 1.9 | % | ||||||||||
Ohio | ||||||||||||
American Municipal Power, Inc., | ||||||||||||
5.250%, 02/15/2027(Pre-refunded to 02/15/2022) | 245,000 | 277,658 | ||||||||||
City of Bowling Green OH, | ||||||||||||
4.500%, 06/01/2019(ETM) | 150,000 | 153,803 | ||||||||||
City of Cleveland OH: | ||||||||||||
5.000%, 10/01/2023 | 430,000 | 497,639 | ||||||||||
5.000%, 01/01/2025(Insured by AGM) | 100,000 | 118,416 | ||||||||||
Clermont County Port Authority, | ||||||||||||
5.000%, 12/01/2023(Insured by BAM) | 300,000 | 348,483 | ||||||||||
Columbus-Franklin County Finance Authority: | ||||||||||||
3.820%, 11/15/2036(Callable 11/15/2021) | 500,000 | 505,360 | ||||||||||
4.000%, 11/15/2038(Callable 05/15/2022) | 350,000 | 352,499 | ||||||||||
County of Licking OH: | ||||||||||||
4.000%, 12/01/2026(Callable 12/01/2021) | 105,000 | 113,685 | ||||||||||
4.000%, 12/01/2027(Callable 12/01/2021) | 60,000 | 64,845 | ||||||||||
4.000%, 12/01/2028(Callable 12/01/2021) | 250,000 | 269,892 | ||||||||||
County of Lorain OH, | ||||||||||||
2.000%, 11/07/2018 | 750,000 | 752,355 | ||||||||||
Lancaster Port Authority, | ||||||||||||
1.532%, 08/01/2019 (1 Month LIBOR USD + 0.620%)(Callable 02/01/2019)(2) | 200,000 | 199,612 | ||||||||||
New Riegel Local School District: | ||||||||||||
4.000%, 12/01/2033(Callable 12/01/2020)(Insured by BAM) | 215,000 | 225,045 | ||||||||||
4.000%, 12/01/2035(Callable 12/01/2020)(Insured by BAM) | 345,000 | 360,525 | ||||||||||
4.000%, 12/01/2037(Callable 12/01/2020)(Insured by BAM) | 210,000 | 219,147 | ||||||||||
Ohio Housing Finance Agency: | ||||||||||||
3.200%, 09/01/2036(Callable 09/01/2025) | 970,000 | 979,186 | ||||||||||
4.000%, 03/01/2047(Callable 09/01/2025) | 425,000 | 449,365 | ||||||||||
Ohio Turnpike & Infrastructure Commission: | ||||||||||||
0.000%, 02/15/2034(Callable 02/15/2031) | 585,000 | 582,397 | ||||||||||
0.000%, 02/15/2036(Callable 02/15/2031) | 335,000 | 335,114 | ||||||||||
State of Ohio, | ||||||||||||
5.000%, 11/15/2028(Callable 05/15/2023) | 225,000 | 256,599 | ||||||||||
7,061,625 | 3.0 | % | ||||||||||
Oklahoma | ||||||||||||
Oklahoma City Industrial & Cultural Facilities Trust, | ||||||||||||
2.328%, 06/01/2019(Callable 01/02/2018)(1)(6) | 50,000 | 49,821 | ||||||||||
Oklahoma Housing Finance Agency, | ||||||||||||
3.300%, 03/01/2031(Callable 03/01/2022) | 665,000 | 677,170 | ||||||||||
Oklahoma Water Resources Board, | ||||||||||||
5.000%, 10/01/2028(Callable 10/01/2024) | 180,000 | 215,161 | ||||||||||
942,152 | 0.4 | % | ||||||||||
Oregon | ||||||||||||
Clackamas Community College District, | ||||||||||||
0.000%, 06/15/2040(Callable 06/15/2027) | 300,000 | 315,723 | ||||||||||
Clackamas County Hospital Facility Authority, | ||||||||||||
5.000%, 11/15/2037(Callable 11/15/2025) | 230,000 | 246,648 | ||||||||||
Salem Hospital Facility Authority, | ||||||||||||
5.000%, 05/15/2035(Callable 05/15/2026) | 500,000 | 574,290 | ||||||||||
Umatilla County School District No. 6R, | ||||||||||||
0.000%, 06/15/2035(Callable 06/15/2027) | 415,000 | 376,185 | ||||||||||
Washington & Multnomah Counties School District No. 48J: | ||||||||||||
0.000%, 06/15/2035(Callable 06/15/2027) | 505,000 | 592,875 | ||||||||||
0.000%, 06/15/2036(Callable 06/15/2027) | 1,150,000 | 1,347,984 | ||||||||||
3,453,705 | 1.5 | % | ||||||||||
Pennsylvania | ||||||||||||
Bethlehem Parking Authority, | ||||||||||||
2.000%, 10/01/2018 | 250,000 | 250,807 | ||||||||||
City of Philadelphia PA, | ||||||||||||
5.000%, 08/01/2020 | 270,000 | 291,168 | ||||||||||
Delaware County Authority: | ||||||||||||
3.000%, 06/01/2018 | 100,000 | 100,406 | ||||||||||
3.000%, 06/01/2019 | 200,000 | 201,736 | ||||||||||
Greater Latrobe School Authority, | ||||||||||||
2.250%, 04/15/2019(Callable 01/29/2018) | 670,000 | 670,670 | ||||||||||
Indiana County Industrial Development Authority, | ||||||||||||
1.450%, 09/01/2020(Callable 03/01/2020) | 1,000,000 | 998,180 | ||||||||||
Montgomery County Industrial Development Authority, | ||||||||||||
1.790%, 11/15/2029(Optional Put Date 01/02/2018)(1) | 555,000 | 555,000 | ||||||||||
Northampton County General Purpose Authority, | ||||||||||||
3.110%, 08/15/2043 (SIFMA Municipal Swap Index + 1.400%) (Callable 02/15/2020)(Mandatory Tender Date 08/15/2020)(2) | 225,000 | 226,418 | ||||||||||
Penn Hills School District, | ||||||||||||
5.000%, 11/15/2018 | 410,000 | 420,291 | ||||||||||
Pennsylvania Higher Educational Facilities Authority, | ||||||||||||
5.250%, 07/01/2019 | 510,000 | 526,065 | ||||||||||
Pennsylvania Housing Finance Agency, | ||||||||||||
3.500%, 10/01/2046(Callable 10/01/2025) | 510,000 | 532,491 | ||||||||||
Pennsylvania Turnpike Commission: | ||||||||||||
5.000%, 06/01/2019 | 25,000 | 26,106 | ||||||||||
5.000%, 06/01/2020 | 50,000 | 53,635 | ||||||||||
5.000%, 12/01/2023(Pre-refunded to 12/01/2019) | 200,000 | 212,434 | ||||||||||
0.000%, 12/01/2028 | 305,000 | 341,640 | ||||||||||
6.000%, 12/01/2030(Callable 12/01/2027) | 50,000 | 65,124 | ||||||||||
6.000%, 12/01/2030(Callable 12/01/2027)(1) | 600,000 | 763,362 | ||||||||||
6.000%, 12/01/2030(Callable 12/01/2027) | 205,000 | 265,963 | ||||||||||
0.000%, 12/01/2038(Callable 12/01/2028) | 290,000 | 320,525 | ||||||||||
6.375%, 12/01/2038(Callable 12/01/2027)(1) | 380,000 | 485,112 | ||||||||||
Reading School District, | ||||||||||||
5.000%, 02/01/2023 | 230,000 | 261,133 | ||||||||||
School District of Philadelphia, | ||||||||||||
5.000%, 09/01/2018 | 300,000 | 305,835 | ||||||||||
Scranton School District, | ||||||||||||
4.000%, 06/01/2018 | 500,000 | 503,715 | ||||||||||
Sports & Exhibition Authority of Pittsburgh and Allegheny County, | ||||||||||||
5.000%, 12/15/2028(Callable 12/15/2027)(Insured by BAM) | 500,000 | 600,235 | ||||||||||
Upper Moreland Township School District, | ||||||||||||
5.000%, 10/01/2030(Callable 04/01/2025) | 250,000 | 294,433 | ||||||||||
Washington County Industrial Development Authority, | ||||||||||||
5.000%, 11/01/2019 | 285,000 | 299,945 | ||||||||||
West Mifflin Sanitary Sewer Municipal Authority, | ||||||||||||
4.000%, 08/01/2020(Insured by BAM) | 125,000 | 131,960 | ||||||||||
Westmoreland County Municipal Authority, | ||||||||||||
5.000%, 08/15/2028(Callable 08/15/2027)(Insured by BAM) | 1,540,000 | 1,830,998 | ||||||||||
11,535,387 | 4.9 | % | ||||||||||
Puerto Rico | ||||||||||||
Commonwealth of Puerto Rico: | ||||||||||||
4.750%, 07/01/2018 | 60,000 | 60,620 | ||||||||||
5.500%, 07/01/2018 | 200,000 | 201,650 | ||||||||||
262,270 | 0.1 | % | ||||||||||
Rhode Island | ||||||||||||
Providence Public Buildings Authority, | ||||||||||||
5.125%, 06/15/2021(Insured by AGM) | 80,000 | 83,709 | ||||||||||
Rhode Island Health & Educational Building Corp.: | ||||||||||||
5.000%, 05/15/2024 | 200,000 | 233,224 | ||||||||||
1.750%, 04/01/2035(Optional Put Date 01/02/2018)(1) | 350,000 | 350,000 | ||||||||||
Rhode Island Housing & Mortgage Finance Corp., | ||||||||||||
3.500%, 10/01/2046(Callable 04/01/2025) | 120,000 | 124,520 | ||||||||||
791,453 | 0.3 | % | ||||||||||
South Carolina | ||||||||||||
County of Florence SC, | ||||||||||||
5.000%, 11/01/2033(Callable 11/01/2024) | 250,000 | 286,355 | ||||||||||
Scago Educational Facilities Corp. for Union School District, | ||||||||||||
5.000%, 12/01/2023(Insured by BAM) | 500,000 | 578,695 | ||||||||||
South Carolina Public Service Authority, | ||||||||||||
5.000%, 12/01/2022 | 165,000 | 187,380 | ||||||||||
Sumter Two School Facilities, Inc., | ||||||||||||
5.000%, 12/01/2023(Insured by BAM) | 200,000 | 228,258 | ||||||||||
University of South Carolina, | ||||||||||||
5.000%, 05/01/2023 | 140,000 | 161,122 | ||||||||||
1,441,810 | 0.6 | % | ||||||||||
South Dakota | ||||||||||||
South Dakota Health & Educational Facilities Authority, | ||||||||||||
5.000%, 09/01/2028(Pre-refunded to 09/01/2020) | 330,000 | 358,297 | ||||||||||
South Dakota Housing Development Authority, | ||||||||||||
3.375%, 05/01/2033(Callable 05/01/2022) | 390,000 | 399,575 | ||||||||||
757,872 | 0.3 | % | ||||||||||
Tennessee | ||||||||||||
Knox County Health Educational & Housing Facility Board: | ||||||||||||
1.150%, 08/01/2018 | 625,000 | 623,906 | ||||||||||
5.000%, 04/01/2022 | 200,000 | 221,370 | ||||||||||
5.000%, 01/01/2026(Callable 01/01/2023) | 145,000 | 163,566 | ||||||||||
5.000%, 04/01/2028(Callable 04/01/2027) | 425,000 | 500,671 | ||||||||||
Nashville & Davidson County Metropolitan Government, | ||||||||||||
1.550%, 11/15/2030(Mandatory Tender Date 11/03/2020)(1) | 255,000 | 252,338 | ||||||||||
Tennessee Energy Acquisition Corp., | ||||||||||||
5.625%, 09/01/2026 | 50,000 | 59,356 | ||||||||||
Tennessee Housing Development Agency: | ||||||||||||
3.450%, 07/01/2040(Callable 01/01/2027) | 1,000,000 | 990,310 | ||||||||||
4.000%, 01/01/2042(Callable 07/01/2026) | 300,000 | 321,924 | ||||||||||
4.000%, 07/01/2043(Callable 01/01/2023) | 60,000 | 60,927 | ||||||||||
4.000%, 07/01/2045(Callable 01/01/2025) | 185,000 | 197,221 | ||||||||||
3,391,589 | 1.4 | % | ||||||||||
Texas | ||||||||||||
Allen Independent School District, | ||||||||||||
5.000%, 02/15/2023(PSF Guaranteed) | 350,000 | 404,134 | ||||||||||
Arlington Higher Education Finance Corp., | ||||||||||||
4.000%, 08/15/2028(Callable 08/15/2026)(PSF Guaranteed) | 250,000 | 281,585 | ||||||||||
Bexar County Health Facilities Development Corp., | ||||||||||||
5.000%, 07/15/2021 | 145,000 | 159,507 | ||||||||||
City of Dallas TX, | ||||||||||||
5.000%, 02/15/2021 | 550,000 | 601,172 | ||||||||||
City of Round Rock TX: | ||||||||||||
4.000%, 12/01/2022 | 280,000 | 304,561 | ||||||||||
4.000%, 12/01/2024 | 205,000 | 226,595 | ||||||||||
Clifton Higher Education Finance Corp., | ||||||||||||
5.000%, 08/15/2018 | 180,000 | 183,940 | ||||||||||
Crane County Water District, | ||||||||||||
5.000%, 02/15/2023 | 250,000 | 286,300 | ||||||||||
Danbury Higher Education Authority, Inc.: | ||||||||||||
4.000%, 02/15/2027(PSF Guaranteed) | 200,000 | 223,798 | ||||||||||
4.000%, 02/15/2028(Callable 02/15/2027)(PSF Guaranteed) | 200,000 | 223,108 | ||||||||||
4.000%, 02/15/2030(Callable 02/15/2027)(PSF Guaranteed) | 200,000 | 221,394 | ||||||||||
4.000%, 02/15/2031(Callable 02/15/2027)(PSF Guaranteed) | 200,000 | 219,694 | ||||||||||
5.000%, 02/15/2047(Callable 02/15/2022)(PSF Guaranteed)(6) | 500,000 | 548,390 | ||||||||||
Dickinson Independent School District, | ||||||||||||
1.350%, 08/01/2037(Mandatory Tender Date 08/01/2019)(PSF Guaranteed)(1) | 750,000 | 744,652 | ||||||||||
Fort Bend Independent School District, | ||||||||||||
1.350%, 08/01/2042(Mandatory Tender Date 08/01/2020)(PSF Guaranteed)(1) | 1,000,000 | 997,980 | ||||||||||
Grand Parkway Transportation Corp., | ||||||||||||
0.000%, 10/01/2048(Callable 10/01/2028) | 250,000 | 242,002 | ||||||||||
Harris County Cultural Education Facilities Finance Corp.: | ||||||||||||
5.000%, 12/01/2026(Callable 12/01/2024) | 100,000 | 117,229 | ||||||||||
5.000%, 12/01/2035(Callable 12/01/2022) | 185,000 | 206,336 | ||||||||||
Harris County Municipal Utility District No. 390: | ||||||||||||
2.000%, 04/01/2018(Insured by BAM) | 140,000 | 140,154 | ||||||||||
2.000%, 04/01/2019(Insured by BAM) | 375,000 | 375,915 | ||||||||||
Harris County Municipal Utility District No. 500, | ||||||||||||
3.000%, 12/01/2022(Insured by AGM) | 175,000 | 180,409 | ||||||||||
Harris County Municipal Utility District No. 71, | ||||||||||||
4.000%, 09/01/2028(Callable 09/01/2023)(Insured by BAM) | 250,000 | 265,598 | ||||||||||
Lamar Consolidated Independent School District, | ||||||||||||
1.050%, 08/15/2047(Callable 02/15/2018)(Mandatory Tender Date 08/15/2018)(PSF Guaranteed)(1) | 600,000 | 597,324 | ||||||||||
Laredo Community College District: | ||||||||||||
5.000%, 08/01/2028(Callable 08/01/2027)(Insured by BAM) | 250,000 | 301,753 | ||||||||||
5.000%, 08/01/2030(Callable 08/01/2027)(Insured by BAM) | 500,000 | 597,405 | ||||||||||
Leander Independent School District, | ||||||||||||
0.000%, 08/15/2047(Pre-refunded to 8/15/24)(PSF Guaranteed) | 950,000 | 233,396 | ||||||||||
Mansfield Independent School District, | ||||||||||||
5.000%, 02/15/2047(Callable 02/15/2020)(PSF Guaranteed) | 1,400,000 | 1,485,988 | ||||||||||
Mesquite Independent School District, | ||||||||||||
5.000%, 08/15/2029(Callable 08/15/2025)(PSF Guaranteed) | 500,000 | 603,120 | ||||||||||
Millsap Independent School District, | ||||||||||||
0.000%, 02/15/2018 | 125,000 | 124,544 | ||||||||||
New Hope Cultural Education Facilities Finance Corp.: | ||||||||||||
1.000%, 02/01/2018(Callable 01/19/2018) | 200,000 | 199,890 | ||||||||||
3.000%, 07/01/2019 | 125,000 | 126,389 | ||||||||||
4.000%, 04/01/2020 | 175,000 | 182,877 | ||||||||||
4.000%, 07/01/2022 | 120,000 | 127,659 | ||||||||||
3.625%, 08/15/2022(Callable 08/15/2021) | 230,000 | 231,051 | ||||||||||
North Texas Tollway Authority: | ||||||||||||
5.000%, 01/01/2024 | 100,000 | 116,929 | ||||||||||
5.000%, 01/01/2033(Callable 01/01/2026) | 675,000 | 790,196 | ||||||||||
5.500%, 09/01/2041(Pre-refunded to 09/01/2021) | 240,000 | 270,319 | ||||||||||
0.000%, 09/01/2043(Pre-refunded to 09/01/2031) | 300,000 | 331,788 | ||||||||||
Rio Vista Independent School District, | ||||||||||||
4.000%, 08/15/2028(Callable 08/15/2025)(Insured by BAM) | 125,000 | 136,118 | ||||||||||
Rosebud-Lott Independent School District: | ||||||||||||
5.500%, 02/15/2030(Callable 02/15/2025)(PSF Guaranteed) | 100,000 | 122,958 | ||||||||||
5.500%, 02/15/2031(Callable 02/15/2025)(PSF Guaranteed)(6) | 100,000 | 122,661 | ||||||||||
SA Energy Acquisition Public Facility Corp., | ||||||||||||
5.500%, 08/01/2022 | 115,000 | 131,223 | ||||||||||
San Juan Higher Education Finance Authority, | ||||||||||||
5.125%, 08/15/2020 | 555,000 | 581,024 | ||||||||||
Siena Municipal Utility District No. 1, | ||||||||||||
2.250%, 09/01/2018(Insured by BAM) | 75,000 | 75,294 | ||||||||||
Tarrant County Cultural Education Facilities Finance Corp., | ||||||||||||
1.800%, 10/01/2041(1) | 1,000,000 | 1,000,000 | ||||||||||
Texas Municipal Gas Acquisition & Supply Corp. I: | ||||||||||||
5.250%, 12/15/2018 | 145,000 | 149,788 | ||||||||||
5.250%, 12/15/2019 | 40,000 | 42,450 | ||||||||||
Texas Municipal Gas Acquisition & Supply Corp. III: | ||||||||||||
5.000%, 12/15/2026(Callable 12/15/2022) | 190,000 | 214,820 | ||||||||||
5.000%, 12/15/2028(Callable 12/15/2022) | 500,000 | 562,065 | ||||||||||
Texas Municipal Power Agency, | ||||||||||||
5.000%, 09/01/2047(Callable 09/01/2020) | 500,000 | 533,570 | ||||||||||
Viridian Municipal Management District, | ||||||||||||
6.000%, 12/01/2035(Callable 12/01/2024)(Insured by BAM) | 90,000 | 112,600 | ||||||||||
Washington County Junior College District, | ||||||||||||
5.000%, 10/01/2028(Callable 04/01/2026)(Insured by BAM) | 500,000 | 593,820 | ||||||||||
17,853,472 | 7.5 | % | ||||||||||
Utah | ||||||||||||
Salt Lake City Corp., | ||||||||||||
5.000%, 07/01/2030(Callable 07/01/2027) | 155,000 | 188,009 | ||||||||||
Timpanogos Special Service District: | ||||||||||||
4.000%, 06/01/2026(Callable 06/01/2024) | 450,000 | 497,898 | ||||||||||
4.000%, 06/01/2029(Callable 06/01/2024) | 40,000 | 43,756 | ||||||||||
Utah Charter School Finance Authority: | ||||||||||||
4.000%, 04/15/2019 | 205,000 | 210,877 | ||||||||||
5.000%, 04/15/2027(Callable 04/15/2026) | 365,000 | 430,784 | ||||||||||
5.000%, 04/15/2028(Callable 04/15/2026) | 720,000 | 843,898 | ||||||||||
5.000%, 04/15/2037(Callable 04/15/2026) | 520,000 | 593,705 | ||||||||||
Utah Housing Corp.: | ||||||||||||
2.000%, 07/01/2021(Mandatory Tender Date 01/01/2021)(1) | 400,000 | 400,116 | ||||||||||
4.000%, 01/01/2045(Callable 01/01/2026) | 440,000 | 469,352 | ||||||||||
3,678,395 | 1.6 | % | ||||||||||
Vermont | ||||||||||||
Vermont Economic Development Authority, | ||||||||||||
2.000%, 07/01/2020(Callable 07/01/2019) | 650,000 | 635,550 | ||||||||||
Vermont Public Power Supply Authority, | ||||||||||||
4.000%, 07/01/2020 | 335,000 | 350,638 | ||||||||||
986,188 | 0.4 | % | ||||||||||
Virgin Islands | ||||||||||||
Virgin Islands Public Finance Authority, | ||||||||||||
5.000%, 09/01/2020 | 400,000 | 422,400 | 0.2 | % | ||||||||
Virginia | ||||||||||||
City of Petersburg VA, | ||||||||||||
4.000%, 11/01/2025(Callable 11/01/2022) | 450,000 | 474,489 | ||||||||||
Virginia Department of Small Business and Supplier Diversity, | ||||||||||||
1.810%, 07/01/2030(1) | 1,000,000 | 1,000,000 | ||||||||||
1,474,489 | 0.6 | % | ||||||||||
Washington | ||||||||||||
Central Puget Sound Regional Transit Authority, | ||||||||||||
2.410%, 11/01/2045 (SIFMA Municipal Swap Index + 0.700%) (Callable 05/01/2018)(Mandatory Tender Date 11/01/2018)(2) | 250,000 | 250,412 | ||||||||||
City of Tacoma WA: | ||||||||||||
5.000%, 12/01/2026(Callable 06/01/2026) | 360,000 | 436,086 | ||||||||||
5.000%, 12/01/2027(Callable 06/01/2026) | 400,000 | 482,156 | ||||||||||
Grays Harbor County Public Hospital District No. 1, | ||||||||||||
3.000%, 08/01/2019(Callable 12/01/2018) | 1,000,000 | 999,830 | ||||||||||
State of Washington, | ||||||||||||
5.000%, 02/01/2038(Callable 02/01/2024) | 645,000 | 745,620 | ||||||||||
Washington Biomedical Research Properties 3.2, | ||||||||||||
5.000%, 01/01/2037(Callable 07/01/2025) | 75,000 | 87,798 | ||||||||||
Washington State Housing Finance Commission: | ||||||||||||
3.700%, 12/01/2033(Callable 06/01/2024) | 85,000 | 86,730 | ||||||||||
3.700%, 12/01/2034(Callable 06/01/2025) | 175,000 | 183,127 | ||||||||||
3,271,759 | 1.4 | % | ||||||||||
Wisconsin | ||||||||||||
Baraboo Community Development Authority, | ||||||||||||
3.500%, 03/01/2019(Callable 03/01/2018) | 500,000 | 500,650 | ||||||||||
Public Finance Authority: | ||||||||||||
4.000%, 12/01/2020 | 650,000 | 646,451 | ||||||||||
3.000%, 11/15/2022(Callable 11/15/2018) | 750,000 | 752,415 | ||||||||||
State of Wisconsin, | ||||||||||||
5.000%, 05/01/2029(Pre-refunded to 05/01/2024) | 350,000 | 413,934 | ||||||||||
University of Wisconsin Hospitals & Clinics, | ||||||||||||
5.000%, 04/01/2038(Callable 04/01/2023) | 690,000 | 772,828 | ||||||||||
West Allis West Milwaukee School District, | ||||||||||||
3.000%, 04/01/2019 | 130,000 | 129,602 | ||||||||||
Wisconsin Center District: | ||||||||||||
5.250%, 12/15/2023 | 195,000 | 221,703 | ||||||||||
0.000%, 12/15/2027 | 20,000 | 15,331 | ||||||||||
5.250%, 12/15/2027 | 60,000 | 71,166 | ||||||||||
5.000%, 12/15/2028(Callable 06/15/2026) | 85,000 | 100,953 | ||||||||||
5.000%, 12/15/2030(Callable 12/15/2022) | 395,000 | 428,812 | ||||||||||
Wisconsin Health & Educational Facilities Authority: | ||||||||||||
2.650%, 11/01/2020(Callable 11/01/2019) | 1,000,000 | 989,490 | ||||||||||
5.000%, 07/01/2023 | 165,000 | 184,166 | ||||||||||
5.000%, 07/01/2024 | 250,000 | 282,452 | ||||||||||
5.000%, 07/01/2026(Callable 07/01/2024) | 50,000 | 56,459 | ||||||||||
4.000%, 07/15/2028(Callable 07/15/2021) | 170,000 | 177,497 | ||||||||||
5.000%, 08/15/2028(Callable 08/15/2023) | 1,000,000 | 1,143,290 | ||||||||||
5.000%, 12/15/2030(Callable 12/15/2024) | 360,000 | 410,566 | ||||||||||
5.125%, 04/15/2031(Callable 04/15/2023) | 350,000 | 389,235 | ||||||||||
5.000%, 02/15/2032(Callable 02/15/2022) | 50,000 | 54,648 | ||||||||||
5.000%, 04/01/2032(Callable 10/01/2022) | 290,000 | 321,140 | ||||||||||
5.000%, 09/15/2037(Callable 09/15/2022) | 350,000 | 373,335 | ||||||||||
5.250%, 10/15/2039(Callable 10/15/2021) | 460,000 | 503,599 | ||||||||||
Wisconsin Housing & Economic Development Authority: | ||||||||||||
4.550%, 07/01/2037(Callable 07/01/2022) | 165,000 | 174,184 | ||||||||||
4.700%, 07/01/2047(Callable 07/01/2022) | 90,000 | 98,310 | ||||||||||
4.000%, 03/01/2048(Callable 03/01/2027) | 500,000 | 535,970 | ||||||||||
9,748,186 | 4.1 | % | ||||||||||
Wyoming | ||||||||||||
Lincoln County WY, | ||||||||||||
1.800%, 10/01/2044(1) | 1,000,000 | 1,000,000 | ||||||||||
Uinta County WY, | ||||||||||||
1.800%, 12/01/2022(1) | 900,000 | 900,000 | ||||||||||
1,900,000 | 0.9 | % | ||||||||||
Total Municipal Bonds (Cost $229,531,939) | 232,449,641 | 98.3 | % | |||||||||
SHORT-TERM INVESTMENT | Shares | |||||||||||
Money Market Mutual Fund | ||||||||||||
Fidelity Institutional Money Market Fund - Government Portfolio, Institutional Class, 1.19%(5) | 42,746 | 42,746 | ||||||||||
Total Short-Term Investment (Cost $42,746) | 42,746 | 0.0 | % | |||||||||
Total Investments (Cost $229,574,684) | 232,492,387 | 98.3 | % | |||||||||
Other Assets in Excess of Liabilities | 4,025,890 | 1.7 | % | |||||||||
TOTAL NET ASSETS | $ | 236,518,277 | 100.0 | % |
Notes to Schedule of Investments | ||||||||
AGM | Assured Guaranty Municipal | |||||||
AMBAC | Ambac Assurance Corp. | |||||||
BAM | Build America Mutual Assurance Co. | |||||||
BHAC | Berkshire Hathaway Assurance Corp. | |||||||
ETM | Escrowed to Maturity | |||||||
PSF | Texas Permanent School Fund | |||||||
Q-SBLF | Qualified School Building Loan Fund | |||||||
(1) | Variable rate security. The coupon is based on an underlying pool of loans. The rate reported is the rate in effect as of December 31, 2017. | |||||||
(2) | Variable rate security based on a reference index and spread. The rate reported is the rate in effect as of December 31, 2017. | |||||||
(3) | 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, 2017, the value of these securities total $614,825, which represents 0.26% of total net assets. | |||||||
(4) | Security or a portion of the security purchased on a when-issued or delayed delivery basis. | |||||||
(5) | 7-Day Yield. | |||||||
(6) | 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. |
Baird Core Intermediate Municipal Bond Fund | ||||||||
Schedule of Investments, December 31, 2017 | ||||||||
Summary of Fair Value Exposure at December 31, 2017 | ||||||||
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, 2017: |
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Long-Term Investments | ||||||||||||||||
Municipal Bonds | $ | – | $ | 232,449,641 | $ | – | $ | 232,449,641 | ||||||||
Total Long-Term Investments | – | 232,449,641 | – | 232,449,641 | ||||||||||||
Short-Term Investment | ||||||||||||||||
Money Market Mutual Fund | 42,746 | – | – | 42,746 | ||||||||||||
Total Short-Term Investment | 42,746 | – | – | 42,746 | ||||||||||||
Total Investments | $ | 42,746 | $ | 232,449,641 | $ | – | $ | 232,492,387 |
Changes in valuation techniques may result in transfers into or out of assigned levels within the fair value hierarchy. Transfers between levels are recognized at the end of the reporting period. 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. |
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Shareholders and Board of Directors of
Baird Funds, Inc.
Opinion on the Financial Statements
We have audited the accompanying statements of assets and liabilities, including the summary schedules of investments, of Baird Ultra Short Bond Fund, Baird Short-Term Bond Fund, Baird Intermediate Bond Fund, Baird Aggregate Bond Fund, Baird Core Plus Bond Fund, Baird Short-Term Municipal Bond Fund, Baird Quality Intermediate Municipal Bond Fund, and Baird Core Intermediate Municipal Bond Fund (the “Funds”), each a series of Baird Funds, Inc., as of December 31, 2017, and the related statements of operations and changes in net assets, including the related notes, and the financial highlights, for the year then ended (included in Item 1 of this Form N-CSR) and the schedules of investments (included in Item 6 of this Form N-CSR), (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds as of December 31, 2017, the results of their operations, the changes in their net assets, and the financial highlights for the year then ended, in conformity with accounting principles generally accepted in the United States of America.
The Funds’ financial statements and financial highlights for the periods ended December 31, 2016 and prior, were audited by other auditors whose report dated February 27, 2017, expressed an unqualified opinion on those financial statements and financial highlights.
Basis for Opinion
These financial statements are the responsibility of the Funds’ management. Our responsibility is to express an opinion on the Funds’ financial statements based on our audit. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audit in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
Our audit includes performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures include examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements and confirmation of securities owned as of December 31, 2017, by correspondence with the custodian and brokers. Our audit also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audit provides a reasonable basis for our opinion.
We have served as the Funds’ auditor since 2017.
COHEN & COMPANY, LTD.
Milwaukee, Wisconsin
March 9, 2018
(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. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies
Not applicable to open-end investment companies.
Item 13. Exhibits.
(a) | (1) Code of ethics. Filed herewith |
(2) Certifications pursuant to Section 302 of the Sarbanes-Oxley Act of 2002. Filed herewith.
(3) Any written solicitation to purchase securities under Rule 23c‑1 under the Act sent or given during the period covered by the report by or on behalf of the Registrant to 10 or more persons. Not applicable because the Registrant is not a closed-end management investment company.
(b) Certification pursuant to Section 906 of the Sarbanes‑Oxley Act of 2002. Furnished herewith.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the Registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
BAIRD FUNDS, INC.
By: /s/Mary Ellen Stanek
Mary Ellen Stanek, President
Date: March 9, 2018
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 9, 2018
By: /s/Heidi Schneider
Heidi Schneider, Treasurer
Date: March 9, 2018