UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-09997
Baird Funds, Inc.
(Exact name of Registrant as specified in charter)
777 East Wisconsin Avenue
Milwaukee, WI 53202
(Address of principal executive offices) (Zip code)
Andrew D. Ketter
Robert W. Baird & Co. Incorporated
777 East Wisconsin Avenue
Milwaukee, WI 53202
(Name and address of agent for service)
1-866-442-2473
Registrant's telephone number, including area code
Date of fiscal year end: December 31, 2018
Date of reporting period: June 30, 2018
Item 1. Reports to Stockholders.
Semi-Annual Report –
Baird Funds
June 30, 2018
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
Go Green. | Go Paperless. |
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Table of Contents
Baird Ultra Short Bond Fund | 1 |
Baird Short-Term Bond Fund | 9 |
Baird Intermediate Bond Fund | 17 |
Baird Aggregate Bond Fund | 25 |
Baird Core Plus Bond Fund | 32 |
Baird Short-Term Municipal Bond Fund | 39 |
Baird Quality Intermediate Municipal Bond Fund | 51 |
Baird Core Intermediate Municipal Bond Fund | 61 |
Additional Information on Fund Expenses | 72 |
Statements of Assets and Liabilities | 74 |
Statements of Operations | 77 |
Statements of Changes in Net Assets | 80 |
Financial Highlights | 88 |
Notes to the Financial Statements | 104 |
Additional Information | 118 |
This report has been prepared for shareholders and may be distributed to others only if preceded or accompanied by a current prospectus.
Cautionary Note on Analyses, Opinions and Outlooks: In this report we offer analyses and opinions on the performance of individual securities, companies, industries, sectors, markets, interest rates and governmental policies, including predictions, forecasts and outlooks regarding possible future events. These can generally be identified as such because the context of the statements may include such words as “believe,” “should,” “will,” “expects,” “anticipates,” “hopes” and words of similar effect. These statements reflect the portfolio managers’ good faith beliefs and judgments and involve risks and uncertainties, including the risk that the portfolio managers’ analyses, opinions and outlooks are or will prove to be inaccurate. It is inherently difficult to correctly assess and explain the performance of particular securities, sectors, markets, interest rate movements, governmental actions or general economic trends and conditions, and many unforeseen factors contribute to the performance of Baird Funds. Investors are, therefore, cautioned not to place undue reliance on subjective judgments contained in this report.
Baird Ultra Short Bond Fund
June 30, 2018 (Unaudited)
Portfolio Characteristics
Quality Distribution(1)(2)
�� | Net Assets | $704,743,268 | ||
SEC 30-Day | ||||
Yield(3) | ||||
Institutional Class | ||||
(after waivers) | 2.37% | |||
Institutional Class | ||||
(before waivers) | 2.12% | |||
Investor Class | ||||
(after waivers) | 2.22% | |||
Investor Class | ||||
(before waivers) | 1.97% | |||
Average | ||||
Effective | ||||
Duration | 0.54 years | |||
Average | ||||
Effective | ||||
Sector Weightings(1) | Maturity | 1.01 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(6) | 36% | |||
Number of | ||||
Holdings | 245 | |||
(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 June 30, 2018. |
(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. |
(6) | Not annualized. |
Page 1
Baird Ultra Short Bond Fund
June 30, 2018 (Unaudited)
Total Returns
Average Annual | ||||
Six | One | Three | Since | |
For the Periods Ended June 30, 2018 | Months | Year | Years | Inception(1) |
Institutional Class Shares | 0.87% | 1.54% | 1.19% | 1.17% |
Investor Class Shares | 0.66% | 1.18% | 0.92% | 0.90% |
Bloomberg Barclays U.S. Short-Term | ||||
Government/Corporate Index(2) | 0.82% | 1.38% | 0.90% | 0.68% |
(1) | For the period from December 31, 2013 (inception date) through June 30, 2018. |
(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 returns shown in the table above reflect reinvestment of dividends and/or capital gains distributions in additional shares. The returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. The returns reflect the actual performance for each period and do not include the impact of trades executed on the last business day of the period that were recorded on the first business day of the next period.
The Fund’s gross expense ratio for each Class, as reflected in the Fund’s current prospectus, is set forth under “Portfolio Characteristics”.
The Fund may invest up to 10% of its net assets in non-investment grade debt securities (commonly referred to as “high yield” bonds). While these types of securities typically offer higher yields than investment grade securities, they also include greater risks including increased credit risk and the increased risk of default or bankruptcy. The Fund may also invest in U.S. dollar denominated foreign securities which involve additional risks such as political and economic instability, and different and sometimes less strict financial reporting standards and regulation. The Fund may also invest in mortgage- and asset-backed securities, which include interest rate and prepayment risks more pronounced than those of other fixed income securities.
Past performance does not guarantee future results. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost.
For information about the performance of the Fund as of the most recent month-end, please call 1-866-44BAIRD or visit www.bairdfunds.com. Mutual fund performance changes over time and current performance may be lower or higher than that stated.
Page 2
Baird Ultra Short Bond Fund
Summary Schedule of Investments, June 30, 2018 (Unaudited)
This schedule summarizes the Fund’s holdings by asset type. Details are reported for each of the Fund’s 50 largest individual holdings and for investments that, in total for any issuer, represent more than 1% of the Fund’s net assets. The total value of smaller holdings is reported as a single amount within each category.
The Fund reports a complete list of its holdings in regulatory filings four times in each fiscal year, at the quarter end. For the second and fourth fiscal quarters, the complete listing of the Fund’s holdings is available electronically at http://www.bairdassetmanagement.com/baird-funds/funds-and-performance#Literature and in the Fund’s Form N-CSR on the Securities and Exchange Commission’s website (www.sec.gov) or you can have it mailed to you without charge by calling 1-866-44BAIRD. For the first and third fiscal quarters, the Fund files the lists with the SEC on Form N-Q. Shareholders can look up the Fund’s Forms N-CSR and N-Q on the SEC’s website (www.sec.gov).
Long-Term Investments
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
U.S. Treasury Securities | ||||||||||||
U.S. Treasury Bonds: | ||||||||||||
1.250%, 12/15/2018 | $ | 86,000,000 | $ | 85,664,063 | 12.1 | % | ||||||
0.875%, 04/15/2019 | 71,000,000 | 70,209,570 | 10.0 | % | ||||||||
0.875%, 06/15/2019 | 2,000,000 | 1,972,031 | 0.3 | % | ||||||||
Total U.S. Treasury Securities | ||||||||||||
(Cost $158,070,418) | 157,845,664 | �� | 22.4 | % | ||||||||
Corporate Bonds | ||||||||||||
Industrials | ||||||||||||
Air Liquide Finance SA, | ||||||||||||
1.375%, 09/27/2019(1)(3) | 5,564,000 | 5,461,545 | 0.8 | % | ||||||||
Alimentation Couche-Tard, Inc., | ||||||||||||
2.833%, 12/13/2019 | ||||||||||||
(3 Month LIBOR USD + 0.500%)(1)(2)(3) | 3,500,000 | 3,502,734 | 0.5 | % | ||||||||
Anadarko Petroleum Corp., | ||||||||||||
6.950%, 06/15/2019 | 4,165,000 | 4,309,754 | 0.6 | % | ||||||||
Bunge Limited Finance Corp., | ||||||||||||
8.500%, 06/15/2019 | 4,000,000 | 4,201,565 | 0.6 | % | ||||||||
Campbell Soup Co., | ||||||||||||
2.971%, 03/15/2021 | ||||||||||||
(3 Month LIBOR USD + 0.630%)(2) | 4,275,000 | 4,263,116 | 0.6 | % | ||||||||
CANADIAN PAC RY CO NEW, | ||||||||||||
7.250%, 05/15/2019(1) | 4,775,000 | 4,949,922 | 0.7 | % | ||||||||
CVS Health Corp., | ||||||||||||
1.900%, 07/20/2018 | 3,700,000 | 3,699,223 | 0.5 | % | ||||||||
Diamond 1 Finance Corp. / Diamond 2 Finance Corp., | ||||||||||||
3.480%, 06/01/2019(3) | 3,500,000 | 3,508,812 | 0.5 | % | ||||||||
Dollar Tree, Inc., | ||||||||||||
3.055%, 04/17/2020 | ||||||||||||
(3 Month LIBOR USD + 0.700%)(2) | 4,000,000 | 4,008,176 | 0.6 | % | ||||||||
EI du Pont de Nemours & Co., | ||||||||||||
2.888%, 05/01/2020 | ||||||||||||
(3 Month LIBOR USD + 0.530%)(2) | 5,000,000 | 5,017,090 | 0.7 | % |
The accompanying notes are an integral part of these financial statements.
Page 3
Baird Ultra Short Bond Fund
Summary Schedule of Investments, June 30, 2018 (Unaudited)
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
ERAC USA Finance LLC, | ||||||||||||
2.800%, 11/01/2018(3) | $ | 4,325,000 | $ | 4,324,269 | 0.6 | % | ||||||
General Mills, Inc., | ||||||||||||
2.893%, 04/16/2021 | ||||||||||||
(3 Month LIBOR USD + 0.540%)(2) | 3,500,000 | 3,505,201 | 0.5 | % | ||||||||
Lockheed Martin Corp., | ||||||||||||
1.850%, 11/23/2018 | 4,000,000 | 3,987,880 | 0.6 | % | ||||||||
LyondellBasell Industries NV, | ||||||||||||
5.000%, 04/15/2019(1) | 4,550,000 | 4,594,986 | 0.7 | % | ||||||||
Martin Marietta Materials, Inc., | ||||||||||||
2.825%, 12/20/2019 | ||||||||||||
(3 Month LIBOR USD + 0.500%)(2) | 4,500,000 | 4,507,424 | 0.6 | % | ||||||||
Molson Coors Brewing Co., | ||||||||||||
1.900%, 03/15/2019 | 3,700,000 | 3,673,627 | 0.5 | % | ||||||||
Mylan NV, | ||||||||||||
2.500%, 06/07/2019(1) | 5,088,000 | 5,064,837 | 0.7 | % | ||||||||
Orange SA, | ||||||||||||
1.625%, 11/03/2019(1) | 4,045,000 | 3,969,919 | 0.6 | % | ||||||||
Roper Technologies, Inc., | ||||||||||||
2.050%, 10/01/2018 | 3,573,000 | 3,568,526 | 0.5 | % | ||||||||
Spirit AeroSystems, Inc., | ||||||||||||
3.118%, 06/15/2021 | ||||||||||||
(3 Month LIBOR USD + 0.800%)(2) | 4,000,000 | 4,007,232 | 0.6 | % | ||||||||
TTX Co., | ||||||||||||
2.250%, 02/01/2019(3) | 3,800,000 | 3,783,248 | 0.5 | % | ||||||||
Verizon Communications, Inc., | ||||||||||||
3.443%, 05/15/2025 | ||||||||||||
(3 Month LIBOR USD + 1.100%)(2) | 4,000,000 | 3,995,458 | 0.6 | % | ||||||||
Vulcan Materials Co., | ||||||||||||
2.950%, 03/01/2021 | ||||||||||||
(3 Month LIBOR USD + 0.650%)(2) | 5,000,000 | 5,008,195 | 0.7 | % | ||||||||
Other Industrials(5)(6) | 112,367,212 | 15.9 | % | |||||||||
Total Industrials | ||||||||||||
(Cost $209,335,674) | 209,279,951 | 29.7 | % | |||||||||
Utilities | ||||||||||||
National Rural Utilities Cooperative Finance Corp., | ||||||||||||
10.375%, 11/01/2018 | 4,000,000 | 4,102,409 | 0.6 | % | ||||||||
Niagara Mohawk Power Corp., | ||||||||||||
4.881%, 08/15/2019(3) | 4,500,000 | 4,584,431 | 0.6 | % | ||||||||
United Utilities PLC, | ||||||||||||
5.375%, 02/01/2019(1) | 3,500,000 | 3,544,855 | 0.5 | % | ||||||||
Other Utilities(5)(6) | 9,833,540 | 1.4 | % | |||||||||
Total Utilities | ||||||||||||
(Cost $22,116,328) | 22,065,235 | 3.1 | % |
The accompanying notes are an integral part of these financial statements.
Page 4
Baird Ultra Short Bond Fund
Summary Schedule of Investments, June 30, 2018 (Unaudited)
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
Financials | ||||||||||||
ABN AMRO Bank NV, | ||||||||||||
2.995%, 01/18/2019 | ||||||||||||
(3 Month LIBOR USD + 0.640%)(1)(2)(3) | $ | 4,500,000 | $ | 4,512,105 | 0.6 | % | ||||||
Australia & New Zealand Banking Group Ltd., | ||||||||||||
2.250%, 06/13/2019(1) | 3,700,000 | 3,681,140 | 0.5 | % | ||||||||
Bank of America Corp., | ||||||||||||
2.985%, 06/25/2022 | ||||||||||||
(3 Month LIBOR USD + 0.650%)(2) | 4,000,000 | 3,995,720 | 0.6 | % | ||||||||
BPCE SA, | ||||||||||||
2.500%, 07/15/2019(1) | 4,000,000 | 3,974,048 | 0.6 | % | ||||||||
Compass Bank, | ||||||||||||
3.057%, 06/11/2021 | ||||||||||||
(3 Month LIBOR USD + 0.730%)(2) | 4,750,000 | 4,747,962 | 0.7 | % | ||||||||
Lloyds Bank Plc, | ||||||||||||
2.853%, 05/07/2021 | ||||||||||||
(3 Month LIBOR USD + 0.490%)(1)(2) | 3,665,000 | 3,670,180 | 0.5 | % | ||||||||
Macquarie Group Ltd., | ||||||||||||
7.625%, 08/13/2019(1)(3) | 3,725,000 | 3,899,030 | 0.6 | % | ||||||||
National Bank of Canada, | ||||||||||||
2.886%, 06/12/2020 | ||||||||||||
(3 Month LIBOR USD + 0.560%)(1)(2) | 4,000,000 | 4,021,569 | 0.6 | % | ||||||||
Svenska Handelsbanken AB, | ||||||||||||
2.800%, 05/24/2021 | ||||||||||||
(3 Month LIBOR USD + 0.470%)(1)(2) | 3,725,000 | 3,725,820 | 0.6 | % | ||||||||
Other Financials(5)(6) | 98,765,001 | 13.9 | % | |||||||||
Total Financials | ||||||||||||
(Cost $135,051,278) | 134,992,575 | 19.2 | % | |||||||||
Total Corporate Bonds | ||||||||||||
(Cost $366,503,280) | 366,337,761 | 52.0 | % | |||||||||
Municipal Bonds | ||||||||||||
Other Municipal Bonds(5) | 1,511,503 | 0.2 | % | |||||||||
Total Municipal Bonds | ||||||||||||
(Cost $1,514,779) | 1,511,503 | 0.2 | % | |||||||||
Residential Mortgage-Backed Securities | ||||||||||||
U.S. Government Agency Issues | ||||||||||||
Other U.S. Government Agency Issues(5) | 154,947 | 0.0 | % | |||||||||
Total U.S. Government Agency Issues | ||||||||||||
(Cost $153,296) | 154,947 | 0.0 | % | |||||||||
Non-U.S. Government Agency Issues | ||||||||||||
Other Non-U.S. Government Agency Issues(5)(6) | 30,204,008 | 4.3 | % | |||||||||
Total Non-U.S. Government Agency Issues | ||||||||||||
(Cost $30,099,798) | 30,204,008 | 4.3 | % |
The accompanying notes are an integral part of these financial statements.
Page 5
Baird Ultra Short Bond Fund
Summary Schedule of Investments, June 30, 2018 (Unaudited)
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
Commercial Mortgage-Backed Securities | ||||||||||||
U.S. Government Agency Issues | ||||||||||||
Other U.S. Government Agency Issues(5) | $ | 753,163 | 0.1 | % | ||||||||
Total U.S. Government Agency Issues | ||||||||||||
(Cost $754,947) | 753,163 | 0.1 | % | |||||||||
Asset Backed Securities | ||||||||||||
Barclays Dryrock Issuance Trust, | ||||||||||||
Series 2014-3, Class A, 2.410%, 07/15/2022 | $ | 4,000,000 | 3,979,107 | 0.6 | % | |||||||
Capital One Multi-Asset Execution Trust, | ||||||||||||
Series 2016-A3, Class A3, 1.340%, 04/15/2022 | 5,700,000 | 5,625,645 | 0.8 | % | ||||||||
Chase Issuance Trust: | ||||||||||||
Series 2016-A2, Class A, 1.370%, 06/15/2021 | 4,025,000 | 3,974,762 | 0.5 | % | ||||||||
Series 2016-A5, Class A5, 1.270%, 07/15/2021 | 4,070,000 | 4,011,075 | 0.6 | % | ||||||||
Chesapeake Funding II LLC, | ||||||||||||
Series 2016-2A, Class A1, 1.880%, 06/15/2028(3) | 4,733,634 | 4,700,224 | 0.7 | % | ||||||||
Citibank Credit Card Issuance Trust, | ||||||||||||
Series 2014-A6, Class A6, 2.150%, 07/15/2021 | 3,600,000 | 3,578,910 | 0.5 | % | ||||||||
Discover Card Execution Note Trust, | ||||||||||||
Series 2014-A4, Class A4, 2.120%, 12/15/2021 | 5,200,000 | 5,172,059 | 0.7 | % | ||||||||
First National Master Note Trust, | ||||||||||||
Series 2017-1, Class A, 2.473%, 04/18/2022 | ||||||||||||
(1 Month LIBOR USD + 0.400%)(2) | 4,150,000 | 4,152,456 | 0.6 | % | ||||||||
Hyundai Auto Lease Securitization Trust, | ||||||||||||
Series 2017-B, Class A3, 1.970%, 07/15/2020(3) | 5,350,000 | 5,306,877 | 0.8 | % | ||||||||
Santander Retail Auto Lease Trust, | ||||||||||||
Series 2017-A, Class A2A, 2.020%, 03/20/2020(3) | 3,880,630 | 3,862,463 | 0.5 | % | ||||||||
Verizon Owner Trust: | ||||||||||||
Series 2016-1A, Class A, 1.420%, 01/20/2021(3) | 5,168,000 | 5,135,805 | 0.7 | % | ||||||||
Series 2016-2A, Class A, 1.680%, 05/20/2021(3) | 3,600,000 | 3,562,922 | 0.5 | % | ||||||||
World Financial Network Credit Card Master Trust, | ||||||||||||
Series 2012-C, Class A, 2.230%, 08/15/2022 | 5,000,000 | 4,995,801 | 0.7 | % | ||||||||
Other Asset Backed Securities(5)(6) | 58,202,569 | 8.3 | % | |||||||||
Total Asset Backed Securities | ||||||||||||
(Cost $116,433,981) | 116,260,675 | 16.5 | % | |||||||||
Total Long-Term Investments | ||||||||||||
(Cost $673,530,499) | 673,067,721 | 95.5 | % |
The accompanying notes are an integral part of these financial statements.
Page 6
Baird Ultra Short Bond Fund
Summary Schedule of Investments, June 30, 2018 (Unaudited)
Short-Term Investment
% of | ||||||||||||
Shares | Value | Net Assets | ||||||||||
Money Market Mutual Fund | ||||||||||||
Fidelity Institutional Money Market Fund – | ||||||||||||
Government Portfolio, Institutional Class, 1.81%(4) | 19,231,203 | $ | 19,231,203 | 2.7 | % | |||||||
Total Short-Term Investment | ||||||||||||
(Cost $19,231,203) | 19,231,203 | 2.7 | % | |||||||||
Total Investments | ||||||||||||
(Cost $692,761,702) | 692,298,924 | 98.2 | % | |||||||||
Other Assets in Excess of Liabilities | 12,444,344 | 1.8 | % | |||||||||
TOTAL NET ASSETS | $ | 704,743,268 | 100.0 | % |
Notes to Summary Schedule of Investments
(1) | Foreign Security. |
(2) | Variable rate security based on a reference index and spread. The rate reported is the rate in effect as of June 30, 2018. |
(3) | 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 June 30, 2018, the value of these securities total $56,144,465, which represents 7.97% of total net assets. |
(4) | 7-Day Yield. |
(5) | 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. |
(6) | Groupings contain, in aggregate, securities defined in Rule 144A under the Securities Act of 1933 totaling $107,756,740, representing 15.29% of total net assets. |
Summary of Fair Value Exposure at June 30, 2018 (Unaudited)
The Fund has adopted authoritative fair valuation accounting standards which establish a definition of fair value and set out a hierarchy for measuring fair value. These standards require additional disclosures about the various inputs and valuation techniques used to develop the measurements of fair value and a discussion on changes in valuation techniques and related inputs during the period.
These standards define fair value as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. The fair value hierarchy is organized into three levels based upon the assumptions (referred to as “inputs”) used in pricing the asset or liability. These standards state that “observable inputs��� reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from independent sources and “unobservable inputs” reflect an entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability. These inputs are summarized into three broad levels and described below:
Level 1 – | Unadjusted quoted prices in active markets for identical unrestricted securities. |
Level 2 – | Other significant observable inputs (including quoted prices for similar securities, quoted prices in inactive markets, dealer indications, interest rates, yield curves, prepayment speeds, credit risk, default rates, inputs corroborated by observable market data, etc.). |
Level 3 – | Significant unobservable inputs (including the Fund’s own assumptions about the factors that market participants would use in valuing the security) based on the best information available. |
The accompanying notes are an integral part of these financial statements.
Page 7
Baird Ultra Short Bond Fund
Summary Schedule of Investments, June 30, 2018 (Unaudited)
Summary of Fair Value Exposure at June 30, 2018 (Unaudited) (cont.)
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used to value the Fund’s investments as of June 30, 2018:
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Long-Term Investments | ||||||||||||||||
U.S. Treasury Securities | $ | — | $ | 157,845,664 | $ | — | $ | 157,845,664 | ||||||||
Corporate Bonds | — | 366,337,761 | — | 366,337,761 | ||||||||||||
Municipal Bonds | — | 1,511,503 | — | 1,511,503 | ||||||||||||
Residential Mortgage-Backed Securities – | ||||||||||||||||
U.S. Government Agency Issues | — | 154,947 | — | 154,947 | ||||||||||||
Residential Mortgage-Backed Securities – | ||||||||||||||||
Non-U.S. Government Agency Issues | — | 30,204,008 | — | 30,204,008 | ||||||||||||
Commercial Mortgage-Backed Securities – | ||||||||||||||||
U.S. Government Agency Issues | — | 753,163 | — | 753,163 | ||||||||||||
Asset Backed Securities | — | 116,260,675 | — | 116,260,675 | ||||||||||||
Total Long-Term Investments | — | 673,067,721 | — | 673,067,721 | ||||||||||||
Short-Term Investment | ||||||||||||||||
Money Market Mutual Fund | 19,231,203 | — | — | 19,231,203 | ||||||||||||
Total Short-Term Investment | 19,231,203 | — | — | 19,231,203 | ||||||||||||
Total Investments | $ | 19,231,203 | $ | 673,067,721 | $ | — | $ | 692,298,924 |
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 classifications from the prior year’s annual report. See the Fund’s valuation policy in Note 2a to the financial statements.
The accompanying notes are an integral part of these financial statements.
Page 8
Baird Short-Term Bond Fund
June 30, 2018 (Unaudited)
Portfolio Characteristics
Quality Distribution(1)(2)
Net Assets | $5,816,719,214 | |||
SEC 30-Day | ||||
Yield(3) | ||||
Institutional Class | 2.74% | |||
Investor Class | 2.49% | |||
Average | ||||
Effective | ||||
Duration | 1.93 years | |||
Average | ||||
Effective | ||||
Maturity | 2.12 years | |||
Annualized | ||||
Expense | ||||
Sector Weightings(1) | Ratio(4) | |||
Institutional Class | 0.30% | |||
Investor Class | 0.55% | (5) | ||
Portfolio | ||||
Turnover Rate(6) | 25% | |||
Number of | ||||
Holdings | 566 | |||
(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 June 30, 2018. |
(4) | Reflects expense ratios as stated in the Fund’s current prospectus. |
(5) | Includes 0.25% 12b-1 fee. |
(6) | Not annualized. |
Page 9
Baird Short-Term Bond Fund
June 30, 2018 (Unaudited)
Total Returns
Average Annual | ||||||
Since | Since | |||||
Six | One | Five | Ten | Inception | Inception | |
For the Periods Ended June 30, 2018 | Months | Year | Years | Years | (8/31/04) | (9/19/12) |
Institutional Class Shares | 0.12% | 0.54% | 1.49% | 2.34% | 2.66% | N/A |
Investor Class Shares | -0.10% | 0.19% | 1.22% | N/A | N/A | 1.18% |
Bloomberg Barclays 1-3 Year U.S. | ||||||
Government/Credit Bond Index(1) | 0.08% | 0.21% | 0.84% | 1.65% | 2.27% | 0.78% |
(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 returns shown in the table above reflect reinvestment of dividends and/or capital gains distributions in additional shares. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. The returns reflect the actual performance for each period and do not include the impact of trades executed on the last business day of the period that were recorded on the first business day of the next period.
The Fund’s gross expense ratio for each Class, as reflected in the Fund’s current prospectus, is set forth under “Portfolio Characteristics”.
The Fund may invest in U.S. dollar denominated foreign securities which involve additional risks such as political and economic instability, and different and sometimes less strict financial reporting standards and regulation. The Fund may also invest in mortgage- and asset-backed securities, which include interest rate and prepayment risks more pronounced than those of other fixed income securities.
Past performance does not guarantee future results. Investment returns and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost.
For information about the performance of the Fund as of the most recent month-end, please call 1-866-44BAIRD or visit www.bairdfunds.com. Mutual fund performance changes over time and current performance may be lower or higher than that stated.
Page 10
Baird Short-Term Bond Fund
Summary Schedule of Investments, June 30, 2018 (Unaudited)
This schedule summarizes the Fund’s holdings by asset type. Details are reported for each of the Fund’s 50 largest individual holdings and for investments that, in total for any issuer, represent more than 1% of the Fund’s net assets. The total value of smaller holdings is reported as a single amount within each category.
The Fund reports a complete list of its holdings in regulatory filings four times in each fiscal year, at the quarter end. For the second and fourth fiscal quarters, the complete listing of the Fund’s holdings is available electronically at http://www.bairdassetmanagement.com/baird-funds/funds-and-performance#Literature and in the Fund’s Form N-CSR 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: | ||||||||||||
1.375%, 08/31/2020 | $ | 381,125,000 | $ | 371,656,426 | 6.4 | % | ||||||
2.000%, 08/31/2021 | 280,000,000 | 274,542,187 | 4.7 | % | ||||||||
1.125%, 09/30/2021 | 687,225,000 | 654,769,727 | 11.3 | % | ||||||||
Total U.S. Treasury Securities | ||||||||||||
(Cost $1,313,987,678) | 1,300,968,340 | 22.4 | % | |||||||||
Other Government Related Securities | ||||||||||||
Japan Bank for International Cooperation, | ||||||||||||
2.125%, 07/21/2020(1) | 20,900,000 | 20,544,631 | 0.4 | % | ||||||||
Other Government Related Securities(8)(9) | 77,697,396 | 1.3 | % | |||||||||
Total Other Government Related Securities | ||||||||||||
(Cost $99,037,998) | 98,242,027 | 1.7 | % | |||||||||
Corporate Bonds | ||||||||||||
Industrials(9) | ||||||||||||
Anglo American Capital PLC, | ||||||||||||
4.125%, 04/15/2021(1)(2) | 22,700,000 | 22,910,429 | 0.4 | % | ||||||||
Bayer US Finance II LLC, | ||||||||||||
3.500%, 06/25/2021(2) | 24,700,000 | 24,749,127 | 0.4 | % | ||||||||
Broadcom Corp. / Broadcom Cayman Finance Ltd., | ||||||||||||
2.375%, 01/15/2020 | 27,000,000 | 26,648,189 | 0.5 | % | ||||||||
Cenovus Energy, Inc., | ||||||||||||
5.700%, 10/15/2019(1) | 20,000,000 | 20,512,000 | 0.4 | % | ||||||||
CK Hutchison International Ltd., | ||||||||||||
2.250%, 09/29/2020(1)(2) | 20,000,000 | 19,557,226 | 0.3 | % | ||||||||
Conagra Brands, Inc., | ||||||||||||
2.831%, 10/09/2020 | ||||||||||||
(3 Month LIBOR USD + 0.500%)(3) | 20,000,000 | 19,903,800 | 0.3 | % | ||||||||
CVS Health Corp., | ||||||||||||
3.350%, 03/09/2021 | 19,550,000 | 19,528,495 | 0.3 | % | ||||||||
Diamond 1 Finance Corp. / Diamond 2 Finance Corp., | ||||||||||||
3.480%, 06/01/2019(2) | 19,135,000 | 19,183,177 | 0.3 | % |
The accompanying notes are an integral part of these financial statements.
Page 11
Baird Short-Term Bond Fund
Summary Schedule of Investments, June 30, 2018 (Unaudited)
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
DXC Technology Co., | ||||||||||||
2.875%, 03/27/2020 | $ | 23,714,000 | $ | 23,544,140 | 0.4 | % | ||||||
Forest Laboratories, Inc., | ||||||||||||
5.000%, 12/15/2021(2) | 20,000,000 | 20,692,933 | 0.4 | % | ||||||||
Fresenius Medical Care US Finance II, Inc., | ||||||||||||
4.125%, 10/15/2020(2) | 19,325,000 | 19,519,216 | 0.4 | % | ||||||||
Grupo Bimbo SAB de CV, | ||||||||||||
4.875%, 06/30/2020(1)(2) | 27,800,000 | 28,542,824 | 0.5 | % | ||||||||
HCA, Inc., | ||||||||||||
6.500%, 02/15/2020 | 21,500,000 | 22,319,687 | 0.4 | % | ||||||||
Keysight Technologies, Inc., | ||||||||||||
3.300%, 10/30/2019 | 28,625,000 | 28,550,476 | 0.5 | % | ||||||||
Kinder Morgan Energy Partners LP, | ||||||||||||
6.500%, 04/01/2020 | 22,320,000 | 23,458,320 | 0.4 | % | ||||||||
Maple Escrow Subsidiary, Inc., | ||||||||||||
3.551%, 05/25/2021(2) | 24,700,000 | 24,721,818 | 0.4 | % | ||||||||
Microchip Technology, Inc., | ||||||||||||
3.922%, 06/01/2021(2) | 24,643,000 | 24,683,925 | 0.4 | % | ||||||||
Molex Electronic Technologies LLC, | ||||||||||||
2.878%, 04/15/2020(2) | 31,303,000 | 30,985,519 | 0.5 | % | ||||||||
Newell Brands, Inc., | ||||||||||||
3.150%, 04/01/2021 | 24,283,000 | 24,057,657 | 0.4 | % | ||||||||
Nissan Motor Acceptance Corp., | ||||||||||||
2.150%, 07/13/2020(2) | 20,000,000 | 19,511,611 | 0.3 | % | ||||||||
Petrofac Ltd., | ||||||||||||
3.400%, 10/10/2018(1)(2) | 20,050,000 | 19,924,688 | 0.3 | % | ||||||||
Verisk Analytics, Inc., | ||||||||||||
4.875%, 01/15/2019 | 19,150,000 | 19,322,542 | 0.3 | % | ||||||||
Verizon Communications, Inc., | ||||||||||||
2.946%, 03/15/2022 | 23,880,000 | 23,437,235 | 0.4 | % | ||||||||
Zimmer Holdings, Inc., | ||||||||||||
2.700%, 04/01/2020 | 27,610,000 | 27,342,343 | 0.5 | % | ||||||||
Other Industrials(8) | 1,162,045,279 | 20.1 | % | |||||||||
Total Industrials | ||||||||||||
(Cost $1,734,312,898) | 1,715,652,656 | 29.5 | % | |||||||||
Utilities(7)(9) | ||||||||||||
Other Utilities(8) | 119,447,726 | 2.0 | % | |||||||||
Total Utilities | ||||||||||||
(Cost $120,799,472) | 119,447,726 | 2.0 | % | |||||||||
Financials(9) | ||||||||||||
Bank of Nova Scotia/The, | ||||||||||||
3.125%, 04/20/2021(1) | 20,000,000 | 19,896,738 | 0.3 | % | ||||||||
Canadian Imperial Bank of Commerce, | ||||||||||||
1.600%, 09/06/2019(1) | 20,000,000 | 19,705,748 | 0.3 | % |
The accompanying notes are an integral part of these financial statements.
Page 12
Baird Short-Term Bond Fund
Summary Schedule of Investments, June 30, 2018 (Unaudited)
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
Jackson National Life Global Funding, | ||||||||||||
2.200%, 01/30/2020(2) | $ | 24,125,000 | $ | 23,794,866 | 0.4 | % | ||||||
JPMorgan Chase & Co., | ||||||||||||
3.514%, 06/18/2022 | ||||||||||||
(3 Month LIBOR USD + 0.610%)(3) | 23,000,000 | 23,017,710 | 0.4 | % | ||||||||
National Australia Bank Ltd., | ||||||||||||
2.250%, 01/10/2020(1) | 24,600,000 | 24,303,322 | 0.4 | % | ||||||||
National Bank of Canada, | ||||||||||||
2.150%, 06/12/2020(1) | 23,525,000 | 23,035,465 | 0.4 | % | ||||||||
Stifel Financial Corp., | ||||||||||||
3.500%, 12/01/2020 | 27,373,000 | 27,415,524 | 0.5 | % | ||||||||
Sumitomo Mitsui Trust Bank Ltd., | ||||||||||||
2.050%, 03/06/2019(1)(2) | 22,400,000 | 22,279,252 | 0.4 | % | ||||||||
Other Financials(8) | 1,282,888,606 | 22.1 | % | |||||||||
Total Financials | ||||||||||||
(Cost $1,482,758,799) | 1,466,337,231 | 25.2 | % | |||||||||
Total Corporate Bonds | ||||||||||||
(Cost $3,337,871,169) | 3,301,437,613 | 56.7 | % | |||||||||
Municipal Bonds | ||||||||||||
County of Sonoma CA, | ||||||||||||
5.070%, 12/01/2022 | 20,910,000 | 21,778,601 | 0.4 | % | ||||||||
State of Illinois, | ||||||||||||
5.000%, 06/01/2019 | 19,000,000 | 19,421,420 | 0.3 | % | ||||||||
Other Municipal Bonds(8) | 64,190,163 | 1.1 | % | |||||||||
Total Municipal Bonds | ||||||||||||
(Cost $106,647,854) | 105,390,184 | 1.8 | % | |||||||||
Residential Mortgage-Backed Securities | ||||||||||||
Non-U.S. Government Agency Issues(7)(9) | ||||||||||||
Other Non-U.S. Government Agency Issues(6)(8) | 179,583,049 | 3.1 | % | |||||||||
Total Non-U.S. Government Agency Issues | ||||||||||||
(Cost $180,451,634) | 179,583,049 | 3.1 | % | |||||||||
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 | 27,624,326 | 0.5 | % | ||||||||
Series K504, Class A2, 2.566%, 09/25/2020(4) | 20,650,000 | 20,564,796 | 0.3 | % | ||||||||
3.871%-4.333%, 10/25/2020-04/25/2021 | 24,922,313 | 25,542,451 | 0.5 | % | ||||||||
Total U.S. Government Agency Issues | ||||||||||||
(Cost $74,495,022) | 73,731,573 | 1.3 | % |
The accompanying notes are an integral part of these financial statements.
Page 13
Baird Short-Term Bond Fund
Summary Schedule of Investments, June 30, 2018 (Unaudited)
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%, 05/17/2045 | $ | 20,654,614 | $ | 20,625,103 | 0.4 | % | ||||||
J.P. Morgan Chase Commercial Mortgage Securities Trust, | ||||||||||||
Series 2011-C5, Class A3, 4.171%, 08/15/2046 | 18,717,804 | 19,120,523 | 0.3 | % | ||||||||
Other Non-U.S. Government Agency Issues(8)(9) | 59,462,398 | 1.0 | % | |||||||||
Total Non-U.S. Government Agency Issues | ||||||||||||
(Cost $102,033,082) | 99,208,024 | 1.7 | % | |||||||||
Asset Backed Securities | ||||||||||||
BA Credit Card Trust, | ||||||||||||
Series 2018-2, 3.000%, 09/15/2023 | 29,775,000 | 29,779,588 | 0.5 | % | ||||||||
Capital One Multi-Asset Execution Trust, | ||||||||||||
Series 2017-A4, Class A4, 1.990%, 07/17/2023 | 42,500,000 | 41,639,588 | 0.7 | % | ||||||||
Chesapeake Funding II LLC, | ||||||||||||
Series 2017-2A, Class A1, 1.990%, 05/15/2029(2) | 25,760,880 | 25,497,454 | 0.4 | % | ||||||||
Citibank Credit Card Issuance Trust, | ||||||||||||
Series 2017-A3, Class A3, 1.920%, 04/07/2022 | 33,225,000 | 32,662,435 | 0.6 | % | ||||||||
GM Financial Automobile Leasing Trust, | ||||||||||||
Series 2017-2, Class A3, 2.020%, 09/21/2020 | 19,425,000 | 19,244,763 | 0.3 | % | ||||||||
Master Credit Card Trust II, | ||||||||||||
Series 2017-1A, Class A, 2.260%, 07/21/2021(1)(2) | 31,800,000 | 31,442,597 | 0.5 | % | ||||||||
Verizon Owner Trust: | ||||||||||||
Series 2016-2A, Class A, 1.680%, 05/20/2021(2) | 22,750,000 | 22,515,689 | 0.4 | % | ||||||||
Series 2018-1A, Class A1A, 2.820%, 09/20/2022(2) | 28,000,000 | 27,901,930 | 0.5 | % | ||||||||
Other Asset Backed Securities(8) | 340,170,900 | 5.9 | % | |||||||||
Total Asset Backed Securities | ||||||||||||
(Cost $576,811,050) | 570,854,944 | 9.8 | % | |||||||||
Total Long-Term Investments | ||||||||||||
(Cost $5,791,335,487) | 5,729,415,754 | 98.5 | % |
The accompanying notes are an integral part of these financial statements.
Page 14
Baird Short-Term Bond Fund
Summary Schedule of Investments, June 30, 2018 (Unaudited)
Short-Term Investment
% of | ||||||||||||
Shares | Value | Net Assets | ||||||||||
Money Market Mutual Fund | ||||||||||||
Fidelity Institutional Money Market Fund – | ||||||||||||
Government Portfolio, Institutional Class, 1.81%(5) | 159,805,870 | $ | 159,805,870 | 2.7 | % | |||||||
Total Short-Term Investment | ||||||||||||
(Cost $159,805,870) | 159,805,870 | 2.7 | % | |||||||||
Total Investments | ||||||||||||
(Cost $5,951,141,357) | 5,889,221,624 | 101.2 | % | |||||||||
Liabilities in Excess of Other Assets | (72,502,410 | ) | (1.2 | )% | ||||||||
TOTAL NET ASSETS | $ | 5,816,719,214 | 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 June 30, 2018, the value of these securities total $428,414,281, which represents 7.37% 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 June 30, 2018. |
(4) | Variable rate security. The rate reported is the rate in effect as of June 30, 2018. |
(5) | 7-Day Yield. |
(6) | Groupings containing a security that, on the last payment date, missed a partial principal or interest payment. |
(7) | Step-up bond; the interest rate shown is the rate in effect as of June 30, 2018. |
(8) | 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. |
(9) | Groupings contain, in aggregate, securities defined in Rule 144A under the Securities Act of 1933 totaling $1,029,114,319, representing 17.69% of total net assets. |
Summary of Fair Value Exposure at June 30, 2018 (Unaudited)
The Fund has adopted authoritative fair valuation accounting standards which establish a definition of fair value and set out a hierarchy for measuring fair value. These standards require additional disclosures about the various inputs and valuation techniques used to develop the measurements of fair value and a discussion on changes in valuation techniques and related inputs during the period.
These standards define fair value as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. The fair value hierarchy is organized into three levels based upon the assumptions (referred to as “inputs”) used in pricing the asset or liability. These standards state that “observable inputs” reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from independent sources and “unobservable inputs” reflect an entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability. These inputs are summarized into three broad levels and described below:
Level 1 – | Unadjusted quoted prices in active markets for identical unrestricted securities. |
Level 2 – | Other significant observable inputs (including quoted prices for similar securities, quoted prices in inactive markets, dealer indications, interest rates, yield curves, prepayment speeds, credit risk, default rates, inputs corroborated by observable market data, etc.). |
The accompanying notes are an integral part of these financial statements.
Page 15
Baird Short-Term Bond Fund
Summary Schedule of Investments, June 30, 2018 (Unaudited)
Summary of Fair Value Exposure at June 30, 2018 (Unaudited) (cont.)
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 following is a summary of the inputs used to value the Fund’s investments as of June 30, 2018:
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Long-Term Investments | ||||||||||||||||
U.S. Treasury Securities | $ | — | $ | 1,300,968,340 | $ | — | $ | 1,300,968,340 | ||||||||
Other Government Related Securities | — | 98,242,027 | — | 98,242,027 | ||||||||||||
Corporate Bonds | — | 3,301,437,613 | — | 3,301,437,613 | ||||||||||||
Municipal Bonds | — | 105,390,184 | — | 105,390,184 | ||||||||||||
Residential Mortgage-Backed Securities – | ||||||||||||||||
Non-U.S. Government Agency Issues | — | 179,583,049 | — | 179,583,049 | ||||||||||||
Commercial Mortgage-Backed Securities – | ||||||||||||||||
U.S. Government Agency Issues | — | 73,731,573 | — | 73,731,573 | ||||||||||||
Commercial Mortgage-Backed Securities – | ||||||||||||||||
Non-U.S. Government Agency Issues | — | 99,208,024 | — | 99,208,024 | ||||||||||||
Asset Backed Securities | — | 570,854,944 | — | 570,854,944 | ||||||||||||
Total Long-Term Investments | — | 5,729,415,754 | — | 5,729,415,754 | ||||||||||||
Short-Term Investment | ||||||||||||||||
Money Market Mutual Fund | 159,805,870 | — | — | 159,805,870 | ||||||||||||
Total Short-Term Investment | 159,805,870 | — | — | 159,805,870 | ||||||||||||
Total Investments | $ | 159,805,870 | $ | 5,729,415,754 | $ | — | $ | 5,889,221,624 |
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. See the Fund’s valuation policy in Note 2a to the financial statements.
The accompanying notes are an integral part of these financial statements.
Page 16
Baird Intermediate Bond Fund
June 30, 2018 (Unaudited)
Portfolio Characteristics
Quality Distribution(1)(2)
Net Assets | $3,322,485,275 | |||
SEC 30-Day | ||||
Yield(3) | ||||
Institutional Class | 3.00% | |||
Investor Class | 2.76% | |||
Average | ||||
Effective | ||||
Duration | 3.93 years | |||
Average | ||||
Effective | ||||
Maturity | 4.43 years | |||
Annualized | ||||
Expense | ||||
Sector Weightings(1) | Ratio(4) | |||
Institutional Class | 0.30% | |||
Investor Class | 0.55% | (5) | ||
Portfolio | ||||
Turnover Rate(6) | 14% | |||
Number of | ||||
Holdings | 513 | |||
(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 June 30, 2018. |
(4) | Reflects expense ratios as stated in the Fund’s current prospectus. |
(5) | Includes 0.25% 12b-1 fee. |
(6) | Not annualized. |
Page 17
Baird Intermediate Bond Fund
June 30, 2018 (Unaudited)
Total Returns
Average Annual | |||||
Six | One | Five | Ten | Since | |
For the Periods Ended June 30, 2018 | Months | Year | Years | Years | Inception(1) |
Institutional Class Shares | -1.16% | -0.45% | 2.00% | 3.87% | 4.67% |
Investor Class Shares | -1.31% | -0.71% | 1.75% | 3.61% | 4.40% |
Bloomberg Barclays Intermediate | |||||
U.S. Government/Credit Bond Index(2) | -0.97% | -0.58% | 1.60% | 3.08% | 4.21% |
(1) | For the period from September 29, 2000 (inception date) through June 30, 2018. |
(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 returns shown in the table above reflect reinvestment of dividends and/or capital gains distributions in additional shares. The returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. The returns reflect the actual performance for each period and do not include the impact of trades executed on the last business day of the period that were recorded on the first business day of the next period.
The Fund’s gross expense ratio for each Class, as reflected in the Fund’s current prospectus, is set forth under “Portfolio Characteristics”.
The Fund may invest in U.S. dollar denominated foreign securities which involve additional risks such as political and economic instability, and different and sometimes less strict financial reporting standards and regulation. The Fund may also invest in mortgage- and asset-backed securities, which include interest rate and prepayment risks more pronounced than those of other fixed income securities.
Past performance does not guarantee future results. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost.
For information about the performance of the Fund as of the most recent month-end, please call 1-866-44BAIRD or visit www.bairdfunds.com. Mutual fund performance changes over time and current performance may be lower or higher than that stated.
Page 18
Baird Intermediate Bond Fund
Summary Schedule of Investments, June 30, 2018 (Unaudited)
This schedule summarizes the Fund’s holdings by asset type. Details are reported for each of the Fund’s 50 largest individual holdings and for investments that, in total for any issuer, represent more than 1% of the Fund’s net assets. The total value of smaller holdings is reported as a single amount within each category.
The Fund reports a complete list of its holdings in regulatory filings four times in each fiscal year, at the quarter end. For the second and fourth fiscal quarters, the complete listing of the Fund’s holdings is available electronically at http://www.bairdassetmanagement.com/baird-funds/funds-and-performance#Literature and in the Fund’s Form N-CSR on the Securities and Exchange Commission’s website (www.sec.gov) or you can have it mailed to you without charge by calling 1-866-44BAIRD. For the first and third fiscal quarters, the Fund files the lists with the SEC on Form N-Q. Shareholders can look up the Fund’s Forms N-CSR and N-Q on the SEC’s website (www.sec.gov).
Long-Term Investments
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
U.S. Treasury Securities | ||||||||||||
U.S. Treasury Bonds: | ||||||||||||
2.625%, 08/15/2020 | $ | 16,500,000 | $ | 16,521,270 | 0.5 | % | ||||||
1.375%, 08/31/2020 | 187,400,000 | 182,744,281 | 5.5 | % | ||||||||
1.750%, 03/31/2022 | 274,025,000 | 264,947,922 | 8.0 | % | ||||||||
1.875%, 03/31/2022 | 286,125,000 | 277,910,082 | 8.3 | % | ||||||||
2.500%, 05/15/2024 | 227,675,000 | 224,099,792 | 6.7 | % | ||||||||
2.250%, 11/15/2025 | 175,350,000 | 168,644,232 | 5.1 | % | ||||||||
2.000%, 11/15/2026 | 126,525,000 | 118,572,706 | 3.6 | % | ||||||||
Total U.S. Treasury Securities | ||||||||||||
(Cost $1,280,905,286) | 1,253,440,285 | 37.7 | % | |||||||||
Other Government Related Securities | ||||||||||||
Other Government Related Securities(8)(9) | 38,613,334 | 1.1 | % | |||||||||
Total Other Government Related Securities | ||||||||||||
(Cost $38,785,144) | 38,613,334 | 1.1 | % | |||||||||
Corporate Bonds | ||||||||||||
Industrials | ||||||||||||
Abbott Laboratories, | ||||||||||||
3.400%, 11/30/2023 | 10,000,000 | 9,866,252 | 0.3 | % | ||||||||
CH Robinson Worldwide, Inc., | ||||||||||||
4.200%, 04/15/2028 | 12,300,000 | 12,082,752 | 0.4 | % | ||||||||
Diamond 1 Finance Corp. / Diamond 2 Finance Corp., | ||||||||||||
3.480%, 06/01/2019(2) | 10,900,000 | 10,927,444 | 0.3 | % | ||||||||
DXC Technology Co., | ||||||||||||
4.450%, 09/18/2022 | 14,000,000 | 14,410,208 | 0.4 | % | ||||||||
MPLX LP, | ||||||||||||
4.875%, 06/01/2025 | 10,192,000 | 10,479,115 | 0.3 | % | ||||||||
Nvent Finance Sarl, | ||||||||||||
3.950%, 04/15/2023(1)(2) | 15,800,000 | 15,636,646 | 0.5 | % | ||||||||
Penske Truck Leasing Co. LP / PTL Finance Corp., | ||||||||||||
3.950%, 03/10/2025(2) | 12,000,000 | 11,860,055 | 0.4 | % |
The accompanying notes are an integral part of these financial statements.
Page 19
Baird Intermediate Bond Fund
Summary Schedule of Investments, June 30, 2018 (Unaudited)
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
Sabine Pass Liquefaction LLC, | ||||||||||||
5.875%, 06/30/2026 | $ | 9,730,000 | $ | 10,435,372 | 0.3 | % | ||||||
Zimmer Biomet Holdings, Inc., | ||||||||||||
3.700%, 03/19/2023 | 10,000,000 | 9,928,590 | 0.3 | % | ||||||||
Other Industrials(7)(8)(9) | 523,445,651 | 15.7 | % | |||||||||
Total Industrials | ||||||||||||
(Cost $640,981,772) | 629,072,085 | 18.9 | % | |||||||||
Utilities | ||||||||||||
Edison International, | ||||||||||||
4.125%, 03/15/2028 | 13,600,000 | 13,390,624 | 0.4 | % | ||||||||
EDP Finance BV, | ||||||||||||
4.125%, 01/15/2020(1)(2) | 15,000,000 | 15,122,700 | 0.5 | % | ||||||||
Enel Finance International NV, | ||||||||||||
3.500%, 04/06/2028(1)(2) | 13,550,000 | 12,175,666 | 0.4 | % | ||||||||
Other Utilities(8)(9) | 38,844,657 | 1.1 | % | |||||||||
Total Utilities | ||||||||||||
(Cost $81,140,196) | 79,533,647 | 2.4 | % | |||||||||
Financials | ||||||||||||
Anthem, Inc., | ||||||||||||
3.350%, 12/01/2024 | 10,000,000 | 9,660,575 | 0.3 | % | ||||||||
Bank of America Corp., | ||||||||||||
2.369%, 07/21/2021 | ||||||||||||
(3 Month LIBOR USD + 0.660%)(3) | 11,000,000 | 10,783,237 | 0.3 | % | ||||||||
BNP Paribas SA, | ||||||||||||
3.500%, 03/01/2023(1)(2) | 10,000,000 | 9,747,039 | 0.3 | % | ||||||||
Boston Properties LP, | ||||||||||||
3.200%, 01/15/2025 | 12,175,000 | 11,588,069 | 0.4 | % | ||||||||
BPCE SA, | ||||||||||||
4.625%, 07/11/2024(1)(2) | 10,000,000 | 9,874,052 | 0.3 | % | ||||||||
Capital One NA, | ||||||||||||
2.650%, 08/08/2022 | 12,150,000 | 11,658,364 | 0.4 | % | ||||||||
First Horizon National Corp., | ||||||||||||
3.500%, 12/15/2020 | 13,196,000 | 13,240,097 | 0.4 | % | ||||||||
HSBC Holdings PLC, | ||||||||||||
3.262%, 03/13/2023 | ||||||||||||
(3 Month LIBOR USD + 1.055%)(1)(3) | 10,140,000 | 9,932,357 | 0.3 | % | ||||||||
Jackson National Life Global Funding, | ||||||||||||
3.250%, 01/30/2024(2) | 10,000,000 | 9,803,464 | 0.3 | % | ||||||||
John Hancock Life Insurance Co., | ||||||||||||
7.375%, 02/15/2024(2) | 11,325,000 | 13,228,595 | 0.4 | % | ||||||||
Nordea Bank AB, | ||||||||||||
4.250%, 09/21/2022(1)(2) | 10,000,000 | 10,142,462 | 0.3 | % | ||||||||
Prudential Insurance Co. of America, | ||||||||||||
8.300%, 07/01/2025(2) | 8,300,000 | 10,345,101 | 0.3 | % |
The accompanying notes are an integral part of these financial statements.
Page 20
Baird Intermediate Bond Fund
Summary Schedule of Investments, June 30, 2018 (Unaudited)
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
Standard Chartered PLC, | ||||||||||||
3.050%, 01/15/2021(1)(2) | $ | 10,000,000 | $ | 9,853,680 | 0.3 | % | ||||||
Sumitomo Mitsui Trust Bank Ltd., | ||||||||||||
2.050%, 03/06/2019(1)(2) | 12,000,000 | 11,935,314 | 0.4 | % | ||||||||
Other Financials(8)(9) | 614,232,103 | 18.4 | % | |||||||||
Total Financials | ||||||||||||
(Cost $783,720,298) | 766,024,509 | 23.1 | % | |||||||||
Total Corporate Bonds | ||||||||||||
(Cost $1,505,842,266) | 1,474,630,241 | 44.4 | % | |||||||||
Municipal Bonds | ||||||||||||
Other Municipal Bond(9) | 62,037,731 | 1.9 | % | |||||||||
Total Municipal Bonds | ||||||||||||
(Cost $61,829,271) | 62,037,731 | 1.9 | % | |||||||||
Residential Mortgage-Backed Securities | ||||||||||||
U.S. Government Agency Issues | ||||||||||||
Other U.S. Government Agency Issues(9) | 72,246 | 0.0 | % | |||||||||
Total U.S. Government Agency Issues | ||||||||||||
(Cost $69,626) | 72,246 | 0.0 | % | |||||||||
Non-U.S. Government Agency Issues | ||||||||||||
Other Non-U.S. Government Agency Issues(6)(7)(8)(9) | 79,657,625 | 2.4 | % | |||||||||
Total Non-U.S. Government Agency Issues | ||||||||||||
(Cost $78,792,610) | 79,657,625 | 2.4 | % | |||||||||
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 | 14,545,028 | 0.4 | % | ||||||||
Series K720, Class A2, 2.716%, 06/25/2022 | 15,850,000 | 15,661,182 | 0.5 | % | ||||||||
Series K028, Class A2, 3.111%, 02/25/2023 | 13,850,000 | 13,909,958 | 0.4 | % | ||||||||
Series K050, Class A2, 3.334%, 08/25/2025(4) | 12,150,000 | 12,230,558 | 0.4 | % | ||||||||
2.313%-3.350%, 03/25/2020-01/25/2028 | 32,582,449 | 32,332,222 | 1.0 | % | ||||||||
Total U.S. Government Agency Issues | ||||||||||||
(Cost $90,790,644) | 88,678,948 | 2.7 | % | |||||||||
Non-U.S. Government Agency Issues | ||||||||||||
Citigroup Commercial Mortgage Trust: | ||||||||||||
Series 2013-GC11, Class A4, 3.093%, 04/10/2046 | 11,100,000 | 10,967,198 | 0.3 | % | ||||||||
Series 2015-GC27, Class A5, 3.137%, 02/10/2048 | 11,675,000 | 11,374,493 | 0.4 | % | ||||||||
COMM Mortgage Trust, | ||||||||||||
Series 2013-CR11, Class A4, 4.258%, 08/12/2050 | 10,000,000 | 10,391,434 | 0.3 | % | ||||||||
Morgan Stanley Bank of America Merrill Lynch Trust, | ||||||||||||
Series 2014-C16, 3.600%, 06/17/2047 | 12,975,000 | 13,019,446 | 0.4 | % |
The accompanying notes are an integral part of these financial statements.
Page 21
Baird Intermediate Bond Fund
Summary Schedule of Investments, June 30, 2018 (Unaudited)
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
Wells Fargo Commercial Mortgage Trust: | ||||||||||||
Series 2014-LC18, Class ASB, 3.244%, 12/17/2047 | $ | 16,400,000 | $ | 16,351,635 | 0.5 | % | ||||||
Series 2015-P2, Class ASB, 3.656%, 12/17/2048 | 11,175,000 | 11,305,356 | 0.3 | % | ||||||||
Other Non-U.S. Government Agency Issues(9) | 56,630,833 | 1.7 | % | |||||||||
Total Non-U.S. Government Agency Issues | ||||||||||||
(Cost $133,620,231) | 130,040,395 | 3.9 | % | |||||||||
Asset Backed Securities | ||||||||||||
American Express Credit Account Master Trust, | ||||||||||||
Series 2017-1, Class A, 1.930%, 09/15/2022 | 12,000,000 | 11,823,044 | 0.4 | % | ||||||||
Capital One Multi-Asset Execution Trust, | ||||||||||||
Series 2017-A4, Class A4, 1.990%, 07/17/2023 | 20,275,000 | 19,864,533 | 0.6 | % | ||||||||
Citibank Credit Card Issuance Trust, | ||||||||||||
Series 2017-A3, Class A3, 1.920%, 04/07/2022 | 13,375,000 | 13,148,535 | 0.4 | % | ||||||||
Discover Card Execution Note Trust, | ||||||||||||
Series 2016-A4, Class A4, 1.390%, 03/15/2022 | 10,925,000 | 10,746,890 | 0.3 | % | ||||||||
Ford Credit Auto Owner Trust, | ||||||||||||
Series 2014-2, Class A, 2.310%, 04/15/2026(2) | 11,750,000 | 11,658,264 | 0.3 | % | ||||||||
PFS Financing Corp., | ||||||||||||
Series 2017-D, Class A, 2.400%, 10/17/2022(2) | 14,555,000 | 14,286,491 | 0.4 | % | ||||||||
Verizon Owner Trust, | ||||||||||||
Series 2017-3A, Class A1A, 2.060%, 04/20/2022(2) | 12,250,000 | 12,040,156 | 0.4 | % | ||||||||
Other Asset Backed Securities(8)(9) | 34,859,743 | 1.1 | % | |||||||||
Total Asset Backed Securities | ||||||||||||
(Cost $129,775,127) | 128,427,656 | 3.9 | % | |||||||||
Total Long-Term Investments | ||||||||||||
(Cost $3,320,410,205) | 3,255,598,461 | 98.0 | % |
The accompanying notes are an integral part of these financial statements.
Page 22
Baird Intermediate Bond Fund
Summary Schedule of Investments, June 30, 2018 (Unaudited)
Short-Term Investment
% of | ||||||||||||
Shares | Value | Net Assets | ||||||||||
Money Market Mutual Fund | ||||||||||||
Fidelity Institutional Money Market Fund – | ||||||||||||
Government Portfolio, Institutional Class, 1.81%(5) | 94,724,005 | $ | 94,724,005 | 2.8 | % | |||||||
Total Short-Term Investment | ||||||||||||
(Cost $94,724,005) | 94,724,005 | 2.8 | % | |||||||||
Total Investments | ||||||||||||
(Cost $3,415,134,210) | 3,350,322,466 | 100.8 | % | |||||||||
Liabilities in Excess of Other Assets | (27,837,191 | ) | (0.8 | )% | ||||||||
TOTAL NET ASSETS | $ | 3,322,485,275 | 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 June 30, 2018, the value of these securities total $188,637,129, which represents 5.68% 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 June 30, 2018. |
(4) | Variable rate security. The rate reported is the rate in effect as of June 30, 2018. |
(5) | 7-Day Yield. |
(6) | Grouping contains a security that, on the last payment date, missed a partial principal or interest payment. |
(7) | Groupings contain a security in default. |
(8) | Groupings contain, in aggregate, securities defined in Rule 144A under the Securities Act of 1933 totaling $440,080,781, representing 13.25% of total net assets. |
(9) | Represents the aggregate value, by category, of securities that are not among the 50 largest holdings and, in total for any issuer, represent 1% or less of net assets. |
Summary of Fair Value Exposure at June 30, 2018 (Unaudited)
The Fund has adopted authoritative fair valuation accounting standards which establish a definition of fair value and set out a hierarchy for measuring fair value. These standards require additional disclosures about the various inputs and valuation techniques used to develop the measurements of fair value and a discussion on changes in valuation techniques and related inputs during the period. These standards define fair value as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date.
The fair value hierarchy is organized into three levels based upon the assumptions (referred to as “inputs”) used in pricing the asset or liability. These standards state that “observable inputs” reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from independent sources and “unobservable inputs” reflect an entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability. These inputs are summarized into three broad levels and described below:
Level 1 – | Unadjusted quoted prices in active markets for identical unrestricted securities. |
Level 2 – | Other significant observable inputs (including quoted prices for similar securities, quoted prices in inactive markets, dealer indications, interest rates, yield curves, prepayment speeds, credit risk, default rates, inputs corroborated by observable market data, etc.). |
The accompanying notes are an integral part of these financial statements.
Page 23
Baird Intermediate Bond Fund
Summary Schedule of Investments, June 30, 2018 (Unaudited)
Summary of Fair Value Exposure at June 30, 2018 (Unaudited) (cont.)
Level 3 – | Significant unobservable inputs (including the Fund’s own assumptions about the factors that market participants would use in valuing the security) based on the best information available. |
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used to value the Fund’s investments as of June 30, 2018:
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Long-Term Investments | ||||||||||||||||
U.S. Treasury Securities | $ | — | $ | 1,253,440,285 | $ | — | $ | 1,253,440,285 | ||||||||
Other Government Related Securities | — | 38,613,334 | — | 38,613,334 | ||||||||||||
Corporate Bonds | — | 1,474,630,241 | — | 1,474,630,241 | ||||||||||||
Municipal Bonds | — | 62,037,731 | — | 62,037,731 | ||||||||||||
Residential Mortgage-Backed Securities – | ||||||||||||||||
U.S. Government Agency Issues | — | 72,246 | — | 72,246 | ||||||||||||
Residential Mortgage-Backed Securities – | ||||||||||||||||
Non-U.S. Government Agency Issues | — | 79,657,625 | — | 79,657,625 | ||||||||||||
Commercial Mortgage-Backed Securities – | ||||||||||||||||
U.S. Government Agency Issues | — | 88,678,948 | — | 88,678,948 | ||||||||||||
Commercial Mortgage-Backed Securities – | ||||||||||||||||
Non-U.S. Government Agency Issues | — | 130,040,395 | — | 130,040,395 | ||||||||||||
Asset Backed Securities | — | 128,427,656 | — | 128,427,656 | ||||||||||||
Total Long-Term Investments | — | 3,255,598,461 | — | 3,255,598,461 | ||||||||||||
Short-Term Investment | ||||||||||||||||
Money Market Mutual Fund | 94,724,005 | — | — | 94,724,005 | ||||||||||||
Total Short-Term Investment | 94,724,005 | — | — | 94,724,005 | ||||||||||||
Total Investments | $ | 94,724,005 | $ | 3,255,598,461 | $ | — | $ | 3,350,322,466 |
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. 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 24
Baird Aggregate Bond Fund
June 30, 2018 (Unaudited)
Portfolio Characteristics
Quality Distribution(1)(2)
Net Assets | $15,554,752,143 | |||
SEC 30-Day | ||||
Yield(3) | ||||
Institutional Class | 3.20% | |||
Investor Class | 2.94% | |||
Average | ||||
Effective | ||||
Duration | 6.01 years | |||
Average | ||||
Effective | ||||
Maturity | 8.08 years | |||
Annualized | ||||
Expense | ||||
Sector Weightings(1) | Ratio(4) | |||
Institutional Class | 0.30% | |||
Investor Class | 0.55% | (5) | ||
Portfolio | ||||
Turnover Rate(6) | 12% | |||
Number of | ||||
Holdings | 1,102 | |||
(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 June 30, 2018. |
(4) | Reflects expense ratios as stated in the Fund’s current prospectus. |
(5) | Includes 0.25% 12b-1 fee. |
(6) | Not annualized. |
Page 25
Baird Aggregate Bond Fund
June 30, 2018 (Unaudited)
Total Returns
Average Annual | |||||
Six | One | Five | Ten | Since | |
For the Periods Ended June 30, 2018 | Months | Year | Years | Years | Inception(1) |
Institutional Class Shares | -1.76% | -0.34% | 2.81% | 4.43% | 5.18% |
Investor Class Shares | -1.91% | -0.66% | 2.55% | 4.16% | 4.93% |
Bloomberg Barclays U.S. | |||||
Aggregate Bond Index(2) | -1.62% | -0.40% | 2.27% | 3.72% | 4.69% |
(1) | For the period from September 29, 2000 (inception date) through June 30, 2018. |
(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 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 26
Baird Aggregate Bond Fund
Summary Schedule of Investments, June 30, 2018 (Unaudited)
This schedule summarizes the Fund’s holdings by asset type. Details are reported for each of the Fund’s 50 largest individual holdings and for investments that, in total for any issuer, represent more than 1% of the Fund’s net assets. The total value of smaller holdings is reported as a single amount within each category.
The Fund reports a complete list of its holdings in regulatory filings four times in each fiscal year, at the quarter end. For the second and fourth fiscal quarters, the complete listing of the Fund’s holdings is available electronically at http://www.bairdassetmanagement.com/baird-funds/funds-and-performance#Literature and in the Fund’s Form N-CSR 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 | $ | 441,180,000 | $ | 426,565,913 | 2.7 | % | ||||||
1.875%, 03/31/2022 | 393,625,000 | 382,323,656 | 2.5 | % | ||||||||
2.500%, 05/15/2024 | 328,700,000 | 323,538,384 | 2.1 | % | ||||||||
2.250%, 11/15/2025 | 502,150,000 | 482,946,684 | 3.1 | % | ||||||||
2.000%, 11/15/2026 | 402,125,000 | 376,850,816 | 2.4 | % | ||||||||
2.250%, 11/15/2027 | 140,000,000 | 133,082,032 | 0.9 | % | ||||||||
3.500%, 02/15/2039 | 502,355,900 | 547,293,203 | 3.5 | % | ||||||||
2.875%, 05/15/2043 | 683,700,000 | 671,788,661 | 4.3 | % | ||||||||
Total U.S. Treasury Securities | ||||||||||||
(Cost $3,401,874,233) | 3,344,389,349 | 21.5 | % | |||||||||
Other Government Related Securities | ||||||||||||
Other Government Related Securities(8)(9) | 155,485,144 | 1.0 | % | |||||||||
Total Other Government Related Securities | ||||||||||||
(Cost $158,217,830) | 155,485,144 | 1.0 | % | |||||||||
Corporate Bonds | ||||||||||||
Industrials(9) | ||||||||||||
Diamond 1 Finance Corp. / Diamond 2 Finance Corp., | ||||||||||||
4.420%, 06/15/2021(2) | 50,575,000 | 51,314,533 | 0.3 | % | ||||||||
Sabine Pass Liquefaction LLC, | ||||||||||||
5.875%, 06/30/2026 | 38,000,000 | 40,754,791 | 0.3 | % | ||||||||
Solvay Finance America LLC, | ||||||||||||
4.450%, 12/03/2025(2) | 43,329,000 | 44,205,821 | 0.3 | % | ||||||||
Other Industrials(6)(8) | 2,920,565,578 | 18.7 | % | |||||||||
Total Industrials | ||||||||||||
(Cost $3,131,353,834) | 3,056,840,723 | 19.6 | % | |||||||||
Utilities(9) | ||||||||||||
Other Utilities(8) | 186,308,217 | 1.2 | % | |||||||||
Total Utilities | ||||||||||||
(Cost $196,974,108) | 186,308,217 | 1.2 | % |
The accompanying notes are an integral part of these financial statements.
Page 27
Baird Aggregate Bond Fund
Summary Schedule of Investments, June 30, 2018 (Unaudited)
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
Financials(9) | ||||||||||||
Australia & New Zealand Banking Group Ltd., | ||||||||||||
4.500%, 03/19/2024(1)(2) | $ | 44,423,000 | $ | 44,378,557 | 0.3 | % | ||||||
Capital One Bank(USA) NA, | ||||||||||||
3.375%, 02/15/2023 | 41,962,000 | 40,873,601 | 0.3 | % | ||||||||
ING Bank NV, | ||||||||||||
5.800%, 09/25/2023(1)(2) | 43,525,000 | 46,120,491 | 0.3 | % | ||||||||
Other Financials(6)(8) | 2,943,530,733 | 18.9 | % | |||||||||
Total Financials | ||||||||||||
(Cost $3,141,561,315) | 3,074,903,382 | 19.8 | % | |||||||||
Total Corporate Bonds | ||||||||||||
(Cost $6,469,889,257) | 6,318,052,322 | 40.6 | % | |||||||||
Municipal Bonds | ||||||||||||
Other Municipal Bonds(8) | 151,192,281 | 1.0 | % | |||||||||
Total Municipal Bonds | ||||||||||||
(Cost $150,228,367) | 151,192,281 | 1.0 | % | |||||||||
Residential Mortgage-Backed Securities | ||||||||||||
U.S. Government Agency Issues | ||||||||||||
Federal Gold Loan Mortgage Corp. (FGLMC): | ||||||||||||
3.000%, 02/01/2032 | 80,427,872 | 79,918,713 | 0.5 | % | ||||||||
4.000%, 01/01/2041 | 51,625,673 | 53,073,553 | 0.3 | % | ||||||||
3.000%, 11/01/2042 | 41,033,868 | 40,108,907 | 0.3 | % | ||||||||
3.000%, 01/01/2043 | 46,033,232 | 44,883,568 | 0.3 | % | ||||||||
3.500%, 04/01/2043 | 71,942,568 | 72,159,631 | 0.5 | % | ||||||||
3.500%, 02/01/2044 | 46,789,418 | 46,932,615 | 0.3 | % | ||||||||
3.500%, 05/01/2044 | 46,766,799 | 46,908,021 | 0.3 | % | ||||||||
3.000%, 10/01/2045 | 46,295,676 | 45,194,014 | 0.3 | % | ||||||||
3.500%, 01/01/2046 | 44,816,281 | 44,771,269 | 0.3 | % | ||||||||
3.500%, 08/01/2046 | 40,048,573 | 40,110,194 | 0.3 | % | ||||||||
3.000%, 10/01/2046 | 77,936,599 | 75,657,454 | 0.5 | % | ||||||||
3.000%, 05/01/2047 | 75,670,722 | 73,456,644 | 0.5 | % | ||||||||
2.500%-6.500%, 06/01/2020-08/01/2046 | 534,113,507 | 540,753,890 | 3.3 | % | ||||||||
Federal National Mortgage Association (FNMA): | ||||||||||||
3.500%, 07/01/2027 | 40,522,834 | 41,122,348 | 0.3 | % | ||||||||
3.000%, 12/01/2030 | 42,585,373 | 42,414,344 | 0.3 | % | ||||||||
3.500%, 01/01/2032 | 55,057,028 | 55,878,540 | 0.4 | % | ||||||||
4.000%, 05/01/2037 | 58,859,980 | 60,677,633 | 0.4 | % | ||||||||
3.500%, 12/01/2041 | 43,326,374 | 43,480,208 | 0.3 | % | ||||||||
4.000%, 02/01/2042 | 51,794,126 | 53,196,525 | 0.3 | % | ||||||||
3.000%, 03/01/2043 | 47,106,973 | 46,022,660 | 0.2 | % | ||||||||
3.000%, 05/01/2043 | 63,303,646 | 61,856,531 | 0.3 | % | ||||||||
3.500%, 09/01/2043 | 61,175,165 | 61,391,834 | 0.4 | % | ||||||||
3.500%, 10/01/2043 | 67,523,132 | 67,616,552 | 0.4 | % |
The accompanying notes are an integral part of these financial statements.
Page 28
Baird Aggregate Bond Fund
Summary Schedule of Investments, June 30, 2018 (Unaudited)
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
Federal National Mortgage Association (FNMA): (cont.) | ||||||||||||
3.500%, 02/01/2045 | $ | 47,697,828 | $ | 47,848,639 | 0.3 | % | ||||||
4.000%, 11/01/2045 | 44,631,332 | 45,532,416 | 0.3 | % | ||||||||
3.500%, 12/01/2045 | 40,311,506 | 40,242,591 | 0.3 | % | ||||||||
4.500%, 02/01/2046 | 40,414,741 | 42,513,452 | 0.3 | % | ||||||||
3.500%, 05/01/2046 | 70,102,480 | 69,982,637 | 0.4 | % | ||||||||
3.500%, 11/01/2046 | 61,915,636 | 61,809,792 | 0.4 | % | ||||||||
2.500%-6.000%, 11/01/2021-11/01/2047 | 871,933,616 | 885,725,208 | 5.8 | % | ||||||||
Government National Mortgage Association (GNMA): | ||||||||||||
3.000%, 08/20/2046 | 48,038,009 | 47,158,590 | 0.3 | % | ||||||||
4.500%, 06/20/2047 | 70,911,976 | 73,734,765 | 0.5 | % | ||||||||
3.000%-6.000%, 11/20/2033-07/20/2047 | 262,549,302 | 266,674,895 | 1.7 | % | ||||||||
Other U.S. Government Agency Issues(7)(8) | 16,878,862 | 0.1 | % | |||||||||
Total U.S. Government Agency Issues | ||||||||||||
(Cost $3,399,937,285) | 3,335,687,495 | 21.4 | % | |||||||||
Non-U.S. Government Agency Issues(9) | ||||||||||||
Other Non-U.S. Government Agency Issues(5)(8) | 552,753,795 | 3.6 | % | |||||||||
Total Non-U.S. Government Agency Issues | ||||||||||||
(Cost $551,495,506) | 552,753,795 | 3.6 | % | |||||||||
Commercial Mortgage-Backed Securities | ||||||||||||
U.S. Government Agency Issues | ||||||||||||
Freddie Mac Multifamily Structured | ||||||||||||
Pass Through Certificates: | ||||||||||||
Series K028, Class A2, 3.111%, 02/25/2023 | 47,010,000 | 47,213,511 | 0.3 | % | ||||||||
Series K037, Class A2, 3.490%, 01/25/2024 | 68,125,000 | 69,342,932 | 0.4 | % | ||||||||
Series K050, Class A2, 3.334%, 08/25/2025(3) | 72,374,000 | 72,853,861 | 0.5 | % | ||||||||
2.653%-3.850%, 10/25/2020-05/25/2028 | 268,853,000 | 266,687,233 | 1.8 | % | ||||||||
Other U.S. Government Agency Issues(8) | 34,017,378 | 0.2 | % | |||||||||
Total U.S. Government Agency Issues | ||||||||||||
(Cost $501,266,486) | 490,114,915 | 3.2 | % | |||||||||
Non-U.S. Government Agency Issues | ||||||||||||
Bank 2017-BNK9, | ||||||||||||
Series 2017-BNK9, Class A4, 3.538%, 11/17/2054 | 44,971,000 | 44,341,383 | 0.3 | % | ||||||||
Wells Fargo Commercial Mortgage Trust, | ||||||||||||
Series 2015-P2, Class A3, 3.541%, 12/15/2048 | 44,050,000 | 43,825,543 | 0.3 | % | ||||||||
Other Non-U.S. Government Agency Issues(8) | 598,462,753 | 3.8 | % | |||||||||
Total Non-U.S. Government Agency Issues | ||||||||||||
(Cost $708,531,870) | 686,629,679 | 4.4 | % |
The accompanying notes are an integral part of these financial statements.
Page 29
Baird Aggregate Bond Fund
Summary Schedule of Investments, June 30, 2018 (Unaudited)
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
Asset Backed Securities | ||||||||||||
Ford Credit Auto Owner Trust, | ||||||||||||
Series 2018-1, Class A, 3.190%, 07/15/2031(2) | $ | 40,550,000 | $ | 39,898,073 | 0.2 | % | ||||||
Other Asset Backed Securities(8)(9) | 193,036,939 | 1.3 | % | |||||||||
Total Asset Backed Securities | ||||||||||||
(Cost $236,341,429) | 232,935,012 | 1.5 | % | |||||||||
Total Long-Term Investments | ||||||||||||
(Cost $15,577,782,263) | 15,267,239,992 | 98.2 | % | |||||||||
Short-Term Investment | ||||||||||||
Shares | ||||||||||||
Money Market Mutual Fund | ||||||||||||
Fidelity Institutional Money Market Fund – | ||||||||||||
Government Portfolio, Institutional Class, 1.81%(4) | 313,547,708 | 313,547,708 | 2.0 | % | ||||||||
Total Short-Term Investment | ||||||||||||
(Cost $313,547,708) | 313,547,708 | 2.0 | % | |||||||||
Total Investments | ||||||||||||
(Cost $15,891,329,971) | 15,580,787,700 | 100.2 | % | |||||||||
Liabilities in Excess of Other Assets | (26,035,557 | ) | (0.2 | )% | ||||||||
TOTAL NET ASSETS | $ | 15,554,752,143 | 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 June 30, 2018, the value of these securities total $225,917,475, which represents 1.45% of total net assets. |
(3) | Variable rate security. The coupon is based on an underlying pool of loans. The rate reported is the rate in effect as of June 30, 2018. |
(4) | 7-Day Yield. |
(5) | Groupings contain a security that, on the last payment date, missed a partial principal or interest payment. |
(6) | Groupings contain a security in default. |
(7) | Groupings contain a security or a portion of a security purchased on a when-issued or delayed delivery basis. |
(8) | 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. |
(9) | Groupings contain, in aggregate, securities defined in Rule 144A under the Securities Act of 1933 totaling $2,239,568,341, representing 14.40% of total net assets. |
The accompanying notes are an integral part of these financial statements.
Page 30
Baird Aggregate Bond Fund
Summary Schedule of Investments, June 30, 2018 (Unaudited)
Summary of Fair Value Exposure at June 30, 2018 (Unaudited)
The Fund has adopted authoritative fair valuation accounting standards which establish a definition of fair value and set out a hierarchy for measuring fair value. These standards require additional disclosures about the various inputs and valuation techniques used to develop the measurements of fair value and a discussion on changes in valuation techniques and related inputs during the period. These standards define fair value as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date.
The fair value hierarchy is organized into three levels based upon the assumptions (referred to as “inputs”) used in pricing the asset or liability. These standards state that “observable inputs” reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from independent sources and “unobservable inputs” reflect an entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability. These inputs are summarized into three broad levels and described below:
Level 1 – | Unadjusted quoted prices in active markets for identical unrestricted securities. |
Level 2 – | Other significant observable inputs (including quoted prices for similar securities, quoted prices in inactive markets, dealer indications, interest rates, yield curves, prepayment speeds, credit risk, default rates, inputs corroborated by observable market data, etc.). |
Level 3 – | Significant unobservable inputs (including the Fund’s own assumptions about the factors that market participants would use in valuing the security) based on the best information available. |
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used to value the Fund’s investments as of June 30, 2018:
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Long-Term Investments | ||||||||||||||||
U.S. Treasury Securities | $ | — | $ | 3,344,389,349 | $ | — | $ | 3,344,389,349 | ||||||||
Other Government Related Securities | — | 155,485,144 | — | 155,485,144 | ||||||||||||
Corporate Bonds | — | 6,318,052,322 | — | 6,318,052,322 | ||||||||||||
Municipal Bonds | — | 151,192,281 | — | 151,192,281 | ||||||||||||
Residential Mortgage-Backed Securities – | ||||||||||||||||
U.S. Government Agency Issues | — | 3,335,687,495 | — | 3,335,687,495 | ||||||||||||
Residential Mortgage-Backed Securities – | ||||||||||||||||
Non-U.S. Government Agency Issues | — | 552,753,795 | — | 552,753,795 | ||||||||||||
Commercial Mortgage-Backed Securities – | ||||||||||||||||
U.S. Government Agency Issues | — | 490,114,915 | — | 490,114,915 | ||||||||||||
Commercial Mortgage-Backed Securities – | ||||||||||||||||
Non-U.S. Government Agency Issues | — | 686,629,679 | — | 686,629,679 | ||||||||||||
Asset Backed Securities | — | 232,935,012 | — | 232,935,012 | ||||||||||||
Total Long-Term Investments | — | 15,267,239,992 | — | 15,267,239,992 | ||||||||||||
Short-Term Investment | ||||||||||||||||
Money Market Mutual Fund | 313,547,708 | — | — | 313,547,708 | ||||||||||||
Total Short-Term Investment | 313,547,708 | — | — | 313,547,708 | ||||||||||||
Total Investments | $ | 313,547,708 | $ | 15,267,239,992 | $ | — | $ | 15,580,787,700 |
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. 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 31
Baird Core Plus Bond Fund
June 30, 2018 (Unaudited)
Portfolio Characteristics
Quality Distribution(1)(2)
Net Assets | $17,989,950,395 | |||
SEC 30-Day | ||||
Yield(3) | ||||
Institutional Class | 3.38% | |||
Investor Class | 3.12% | |||
Average | ||||
Effective | ||||
Duration | 5.79 years | |||
Average | ||||
Effective | ||||
Maturity | 7.80 years | |||
Annualized | ||||
Expense Ratio(4) | ||||
Institutional Class | 0.30% | |||
Sector Weightings(1) | Investor Class | 0.55% | (5) | |
Portfolio | ||||
Turnover Rate(6) | 14% | |||
Number of | ||||
Holdings | 1,311 | |||
(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 June 30, 2018. |
(4) | Reflects expense ratios as stated in the Fund’s current prospectus. |
(5) | Includes 0.25% 12b-1 fee. |
(6) | Not annualized. |
Page 32
Baird Core Plus Bond Fund
June 30, 2018 (Unaudited)
Total Returns
Average Annual | |||||
Six | One | Five | Ten | Since | |
For the Periods Ended June 30, 2018 | Months | Year | Years | Years | Inception(1) |
Institutional Class Shares | -1.74% | -0.16% | 3.09% | 5.06% | 5.66% |
Investor Class Shares | -1.88% | -0.41% | 2.83% | 4.80% | 5.40% |
Bloomberg Barclays U.S. | |||||
Universal Bond Index(2) | -1.67% | -0.28% | 2.63% | 4.07% | 4.95% |
(1) | For the period from September 29, 2000 (inception date) through June 30, 2018. |
(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 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 33
Baird Core Plus Bond Fund
Summary Schedule of Investments, June 30, 2018 (Unaudited)
This schedule summarizes the Fund’s holdings by asset type. Details are reported for each of the Fund’s 50 largest individual holdings and for investments that, in total for any issuer, represent more than 1% of the Fund’s net assets. The total value of smaller holdings is reported as a single amount within each category.
The Fund reports a complete list of its holdings in regulatory filings four times in each fiscal year, at the quarter end. For the second and fourth fiscal quarters, the complete listing of the Fund’s holdings is available electronically at http://www.bairdassetmanagement.com/baird-funds/funds-and-performance#Literature and in the Fund’s Form N-CSR 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 | $ | 378,300,000 | $ | 365,768,812 | 2.0 | % | ||||||
1.875%, 03/31/2022 | 381,325,000 | 370,376,801 | 2.1 | % | ||||||||
2.500%, 05/15/2024 | 45,375,000 | 44,662,471 | 0.3 | % | ||||||||
2.250%, 11/15/2025 | 394,775,000 | 379,677,939 | 2.1 | % | ||||||||
2.000%, 11/15/2026 | 80,925,000 | 75,838,738 | 0.4 | % | ||||||||
2.250%, 11/15/2027 | 235,000,000 | 223,387,696 | 1.2 | % | ||||||||
3.500%, 02/15/2039 | 397,620,000 | 433,188,350 | 2.4 | % | ||||||||
2.875%, 05/15/2043 | 705,350,000 | 693,061,477 | 3.9 | % | ||||||||
2.500%, 02/15/2045 | 118,225,000 | 107,792,567 | 0.6 | % | ||||||||
Total U.S. Treasury Securities | ||||||||||||
(Cost $2,734,422,745) | 2,693,754,851 | 15.0 | % | |||||||||
Other Government Related Securities | ||||||||||||
Other Government Related Securities(8)(9) | 221,183,658 | 1.2 | % | |||||||||
Total Other Government Related Securities | ||||||||||||
(Cost $225,875,199) | 221,183,658 | 1.2 | % | |||||||||
Corporate Bonds | ||||||||||||
Industrials | ||||||||||||
Forest Laboratories, Inc., | ||||||||||||
5.000%, 12/15/2021(2) | 41,397,000 | 42,831,267 | 0.2 | % | ||||||||
Genpact Luxembourg, | ||||||||||||
3.700%, 04/01/2022(1)(2)(3) | 43,005,000 | 42,011,802 | 0.2 | % | ||||||||
Sabine Pass Liquefaction LLC, | ||||||||||||
5.875%, 06/30/2026 | 50,315,000 | 53,962,561 | 0.3 | % | ||||||||
Seagate HDD Cayman, | ||||||||||||
4.250%, 03/01/2022(1) | 44,944,000 | 44,335,408 | 0.2 | % | ||||||||
Shire Acquisitions Investments Ireland DAC, | ||||||||||||
2.875%, 09/23/2023(1) | 54,196,000 | 50,987,300 | 0.3 | % | ||||||||
The Williams Companies, Inc., | ||||||||||||
3.700%, 01/15/2023 | 44,375,000 | 42,932,813 | 0.3 | % |
The accompanying notes are an integral part of these financial statements.
Page 34
Baird Core Plus Bond Fund
Summary Schedule of Investments, June 30, 2018 (Unaudited)
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
Western Digital Corp., | ||||||||||||
4.750%, 02/15/2026 | $ | 57,075,000 | $ | 55,505,438 | 0.3 | % | ||||||
Other Industrials(7)(8)(9) | 4,330,978,509 | 24.1 | % | |||||||||
Total Industrials | ||||||||||||
(Cost $4,768,930,409) | 4,663,545,098 | 25.9 | % | |||||||||
Utilities | ||||||||||||
Other Utilities(8)(9) | 271,179,150 | 1.5 | % | |||||||||
Total Utilities | ||||||||||||
(Cost $282,179,266) | 271,179,150 | 1.5 | % | |||||||||
Financials | ||||||||||||
Capital One Bank(USA) NA, | ||||||||||||
3.375%, 02/15/2023 | 42,388,000 | 41,288,551 | 0.2 | % | ||||||||
ING Bank NV, | ||||||||||||
5.800%, 09/25/2023(1)(2) | 39,680,000 | 42,046,205 | 0.2 | % | ||||||||
Nationwide Building Society, | ||||||||||||
4.000%, 09/14/2026(1)(2) | 53,541,000 | 50,007,534 | 0.3 | % | ||||||||
Royal Bank of Scotland Group PLC, | ||||||||||||
3.498%, 05/15/2023 | ||||||||||||
(3 Month LIBOR USD + 1.480%)(1)(4) | 62,335,000 | 60,384,409 | 0.4 | % | ||||||||
Other Financials(7)(8)(9) | 3,650,597,306 | 20.3 | % | |||||||||
Total Financials | ||||||||||||
(Cost $3,922,454,122) | 3,844,324,005 | 21.4 | % | |||||||||
Total Corporate Bonds | ||||||||||||
(Cost $8,973,563,797) | 8,779,048,253 | 48.8 | % | |||||||||
Municipal Bonds | ||||||||||||
Other Municipal Bond(9) | 109,431,789 | 0.6 | % | |||||||||
Total Municipal Bonds | ||||||||||||
(Cost $107,366,693) | 109,431,789 | 0.6 | % | |||||||||
Residential Mortgage-Backed Securities | ||||||||||||
U.S. Government Agency Issues | ||||||||||||
Federal Gold Loan Mortgage Corp. (FGLMC): | ||||||||||||
3.000%, 02/01/2032 | 58,799,521 | 58,427,283 | 0.3 | % | ||||||||
3.500%, 07/01/2042 | 69,204,208 | 69,413,298 | 0.4 | % | ||||||||
3.000%, 11/01/2042 | 55,005,522 | 53,765,621 | 0.3 | % | ||||||||
3.500%, 08/01/2044 | 63,603,312 | 63,743,707 | 0.4 | % | ||||||||
3.500%, 01/01/2046 | 61,709,918 | 61,647,939 | 0.3 | % | ||||||||
3.500%, 08/01/2046 | 91,962,821 | 92,104,321 | 0.5 | % | ||||||||
3.000%, 10/01/2046 | 125,179,504 | 121,554,141 | 0.7 | % | ||||||||
4.000%, 01/01/2047 | 41,297,806 | 42,359,352 | 0.2 | % | ||||||||
3.000%, 05/01/2047 | 86,898,103 | 84,355,518 | 0.5 | % | ||||||||
3.000%-6.500%, 12/01/2020-08/01/2047 | 678,313,909 | 680,738,261 | 3.8 | % |
The accompanying notes are an integral part of these financial statements.
Page 35
Baird Core Plus Bond Fund
Summary Schedule of Investments, June 30, 2018 (Unaudited)
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
Federal National Mortgage Association (FNMA): | ||||||||||||
3.500%, 01/01/2032 | $ | 50,162,118 | $ | 50,910,592 | 0.3 | % | ||||||
4.000%, 05/01/2037 | 77,796,166 | 80,198,588 | 0.4 | % | ||||||||
3.500%, 09/01/2043 | 43,983,176 | 44,138,955 | 0.2 | % | ||||||||
3.500%, 02/01/2045 | 58,821,245 | 59,007,227 | 0.3 | % | ||||||||
4.000%, 02/01/2045 | 51,995,255 | 53,385,548 | 0.3 | % | ||||||||
4.000%, 11/01/2045 | 61,528,468 | 62,770,696 | 0.4 | % | ||||||||
3.500%, 12/01/2045 | 46,075,480 | 45,996,711 | 0.3 | % | ||||||||
4.500%, 08/01/2046(3) | 39,597,268 | 41,443,230 | 0.2 | % | ||||||||
2.500%-6.500%, 11/01/2021-11/01/2047 | 995,005,614 | 1,013,763,418 | 5.6 | % | ||||||||
Government National Mortgage Association (GNMA): | ||||||||||||
3.500%, 10/20/2045 | 87,562,716 | 88,119,887 | 0.5 | % | ||||||||
3.000%, 08/20/2046 | 56,989,703 | 55,946,408 | 0.3 | % | ||||||||
4.500%, 06/20/2047 | 39,778,621 | 41,362,087 | 0.2 | % | ||||||||
3.000%-6.500%, 12/20/2028-07/20/2047 | 222,850,782 | 227,269,484 | 1.3 | % | ||||||||
Other U.S. Government Agency Issues(9) | 395,488 | 0.0 | % | |||||||||
Total U.S. Government Agency Issues | ||||||||||||
(Cost $3,249,256,694) | 3,192,817,760 | 17.7 | % | |||||||||
Non-U.S. Government Agency Issues | ||||||||||||
Argent Securities Inc. Asset-Backed | ||||||||||||
Pass-Through Certificates, | ||||||||||||
Series 2005-W5, Class A1, 2.326%, 01/25/2036 | ||||||||||||
(1 Month LIBOR USD + 0.235%)(4) | 42,586,917 | 42,241,955 | 0.2 | % | ||||||||
Other Non-U.S. Government Agency Issues(6)(8)(9) | 963,278,013 | 5.4 | % | |||||||||
Total Non-U.S. Government Agency Issues | ||||||||||||
(Cost $1,002,576,856) | 1,005,519,968 | 5.6 | % | |||||||||
Commercial Mortgage-Backed Securities | ||||||||||||
U.S. Government Agency Issues | ||||||||||||
Freddie Mac Multifamily Structured | ||||||||||||
Pass Through Certificates: | ||||||||||||
Series K029, Class A2, 3.320%, 02/25/2023(3) | 64,407,000 | 65,063,971 | 0.3 | % | ||||||||
Series K037, Class A2, 3.490%, 01/25/2024 | 66,950,000 | 68,146,925 | 0.4 | % | ||||||||
Series K048, Class A2, 3.284%, 06/25/2025(3) | 53,680,000 | 53,899,868 | 0.3 | % | ||||||||
Series K050, Class A2, 3.334%, 08/25/2025(3) | 82,726,000 | 83,274,498 | 0.5 | % | ||||||||
Series K061, Class A2, 3.347%, 11/25/2026(3) | 57,140,000 | 57,121,355 | 0.3 | % | ||||||||
3.130%-3.850%, 06/25/2021-05/25/2028 | 48,657,000 | 49,123,658 | 0.3 | % | ||||||||
Other U.S. Government Agency Issues(9) | 28,533,963 | 0.2 | % | |||||||||
Total U.S. Government Agency Issues | ||||||||||||
(Cost $414,665,503) | 405,164,238 | 2.3 | % | |||||||||
Non-U.S. Government Agency Issues | ||||||||||||
BANK, | ||||||||||||
Series 2017-BNK8, Class A4, 3.488%, 11/17/2050 | 43,125,000 | 42,294,210 | 0.2 | % |
The accompanying notes are an integral part of these financial statements.
Page 36
Baird Core Plus Bond Fund
Summary Schedule of Investments, June 30, 2018 (Unaudited)
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
Citigroup Commercial Mortgage Trust, | ||||||||||||
Series 2015-GC27, Class A5, 3.137%, 02/10/2048 | $ | 45,957,074 | $ | 44,774,166 | 0.2 | % | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust, | ||||||||||||
Series 2013-C10, Class A3, 4.104%, 07/17/2046(3) | 43,057,040 | 44,147,722 | 0.2 | % | ||||||||
Other Non-U.S. Government Agency Issues(9) | 717,181,436 | 4.1 | % | |||||||||
Total Non-U.S. Government Agency Issues | ||||||||||||
(Cost $871,536,994) | 848,397,534 | 4.7 | % | |||||||||
Asset Backed Securities | ||||||||||||
Ford Credit Auto Owner Trust, | ||||||||||||
Series 2016-2, Class A, 2.030%, 12/15/2027(2) | 57,475,000 | 55,652,640 | 0.3 | % | ||||||||
Other Asset Backed Securities(8)(9) | 251,666,039 | 1.4 | % | |||||||||
Total Asset Backed Securities | ||||||||||||
(Cost $311,297,550) | 307,318,679 | 1.7 | % | |||||||||
Total Long-Term Investments | ||||||||||||
(Cost $17,890,562,031) | 17,562,636,730 | 97.6 | % | |||||||||
Short-Term Investment | ||||||||||||
Shares | ||||||||||||
Money Market Mutual Fund | ||||||||||||
Fidelity Institutional Money Market Fund – | ||||||||||||
Government Portfolio, Institutional Class, 1.81%(5) | 414,317,263 | 414,317,263 | 2.3 | % | ||||||||
Total Short-Term Investment | ||||||||||||
(Cost $414,317,263) | 414,317,263 | 2.3 | % | |||||||||
Total Investments | ||||||||||||
(Cost $18,304,879,294) | 17,976,953,993 | 99.9 | % | |||||||||
Other Assets in Excess of Liabilities | 12,996,402 | 0.1 | % | |||||||||
TOTAL NET ASSETS | $ | 17,989,950,395 | 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 June 30, 2018, the value of these securities total $232,549,448, which represents 1.29% 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 June 30, 2018. |
(4) | Variable rate security. The rate reported is the rate in effect as of June 30, 2018. |
(5) | 7-Day Yield. |
(6) | Grouping contains a security that, on the last payment date, missed a partial principal or interest payment. |
(7) | Groupings contain a security in default. |
(8) | Groupings contain, in aggregate, securities defined in Rule 144A under the Securities Act of 1933 totaling $3,055,179,493 representing 16.98% of total net assets. |
(9) | 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 37
Baird Core Plus Bond Fund
Summary Schedule of Investments, June 30, 2018 (Unaudited)
Summary of Fair Value Exposure at June 30, 2018 (Unaudited)
The Fund has adopted authoritative fair valuation accounting standards which establish a definition of fair value and set out a hierarchy for measuring fair value. These standards require additional disclosures about the various inputs and valuation techniques used to develop the measurements of fair value and a discussion on changes in valuation techniques and related inputs during the period. These standards define fair value as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date.
The fair value hierarchy is organized into three levels based upon the assumptions (referred to as “inputs”) used in pricing the asset or liability. These standards state that “observable inputs” reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from independent sources and “unobservable inputs” reflect an entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability. These inputs are summarized into three broad levels and described below:
Level 1 – | Unadjusted quoted prices in active markets for identical unrestricted securities. |
Level 2 – | Other significant observable inputs (including quoted prices for similar securities, quoted prices in inactive markets, dealer indications, interest rates, yield curves, prepayment speeds, credit risk, default rates, inputs corroborated by observable market data, etc.). |
Level 3 – | Significant unobservable inputs (including the Fund’s own assumptions about the factors that market participants would use in valuing the security) based on the best information available. |
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used to value the Fund’s investments as of June 30, 2018:
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Long-Term Investments | ||||||||||||||||
U.S. Treasury Securities | $ | — | $ | 2,693,754,851 | $ | — | $ | 2,693,754,851 | ||||||||
Other Government Related Securities | — | 221,183,658 | — | 221,183,658 | ||||||||||||
Corporate Bonds | — | 8,779,048,253 | — | 8,779,048,253 | ||||||||||||
Taxable Municipal Bonds | — | 109,431,789 | — | 109,431,789 | ||||||||||||
Residential Mortgage-Backed Securities – | ||||||||||||||||
U.S. Government Agency Issues | — | 3,192,817,760 | — | 3,192,817,760 | ||||||||||||
Residential Mortgage-Backed Securities – | ||||||||||||||||
Non-U.S. Government Agency Issues | — | 1,005,519,968 | — | 1,005,519,968 | ||||||||||||
Commercial Mortgage-Backed Securities – | ||||||||||||||||
U.S. Government Agency Issues | — | 405,164,238 | — | 405,164,238 | ||||||||||||
Commercial Mortgage-Backed Securities – | ||||||||||||||||
Non-U.S. Government Agency Issues | — | 848,397,534 | — | 848,397,534 | ||||||||||||
Asset Backed Securities | — | 307,318,679 | — | 307,318,679 | ||||||||||||
Total Long-Term Investments | — | 17,562,636,730 | — | 17,562,636,730 | ||||||||||||
Short-Term Investment | ||||||||||||||||
Money Market Mutual Fund | 414,317,263 | — | — | 414,317,263 | ||||||||||||
Total Short-Term Investment | 414,317,263 | — | — | 414,317,263 | ||||||||||||
Total Investments | $ | 414,317,263 | $ | 17,562,636,730 | $ | — | $ | 17,976,953,993 |
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. 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 38
Baird Short-Term Municipal Bond Fund
June 30, 2018 (Unaudited)
Portfolio Characteristics
Quality Distribution(1)(2)
Net Assets | $240,276,970 | |||
SEC 30-Day | ||||
Yield(4) | ||||
Institutional Class | 2.06% | |||
Investor Class | 1.81% | |||
Average | ||||
Effective | ||||
Duration | 2.37 years | |||
Average | ||||
Effective | ||||
Maturity | 2.68 years | |||
Annualized | ||||
Expense | ||||
Ratio(5) | ||||
Institutional Class | 0.30% | |||
Sector Weightings(1) | Investor Class | 0.55% | (6) | |
Portfolio | ||||
Turnover Rate(7) | 77% | |||
�� | ||||
Number of | ||||
Holdings | 872 | |||
(1) | Percentages shown are based on the Fund’s total investments. |
(2) | The quality profile is calculated on a market value-weighted basis using the highest credit quality rating for each security held by the Fund given by S&P, Moody’s or Fitch, each of which is a Nationally Recognized Statistical Rating Organization (NRSRO). NRSROs rate the credit quality of securities using a scale that generally ranges from AAA (highest) to D (lowest). |
(3) | Includes pre-refunded and escrowed-to-maturity (ETM) bonds. |
(4) | SEC yields are based on SEC guidelines and are calculated for the 30 days ended June 30, 2018. |
(5) | Reflects expense ratios as stated in the Fund’s current prospectus. |
(6) | Includes 0.25% 12b-1 fee. |
(7) | Not annualized. |
Page 39
Baird Short-Term Municipal Bond Fund
June 30, 2018 (Unaudited)
Total Returns
Average | |||
Annual | |||
Six | One | Since | |
For the Periods Ended June 30, 2018 | Months | Year | Inception(1) |
Institutional Class Shares | 0.58% | 1.32% | 1.79% |
Investor Class Shares | 0.48% | 1.00% | 1.48% |
Bloomberg Barclays Short (1-5 Year) Municipal Bond Index(2) | 0.77% | 0.60% | 1.00% |
(1) | For the period from August 31, 2015 (inception date) through June 30, 2018. |
(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 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 40
Baird Short-Term Municipal Bond Fund
Summary Schedule of Investments, June 30, 2018 (Unaudited)
This schedule summarizes the Fund’s holdings by asset type. Details are reported for each of the Fund’s 50 largest individual holdings and for investments that, in total for any issuer, represent more than 1% of the Fund’s net assets. The total value of smaller holdings is reported as a single amount within each category.
The Fund reports a complete list of its holdings in regulatory filings four times in each fiscal year, at the quarter end. For the second and fourth fiscal quarters, the complete listing of the Fund’s holdings is available electronically at http://www.bairdassetmanagement.com/baird-funds/funds-and-performance#Literature and in the Fund’s Form N-CSR on the Securities and Exchange Commission’s website (www.sec.gov) or you can have it mailed to you without charge by calling 1-866-44BAIRD. For the first and third fiscal quarters, the Fund files the lists with the SEC on Form N-Q. Shareholders can look up the Fund’s Forms N-CSR and N-Q on the SEC’s website (www.sec.gov).
Long-Term Investments
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
Municipal Bonds | ||||||||||||
Alabama | ||||||||||||
Total Alabama | ||||||||||||
(Cost $3,262,842)(7) | $ | 3,247,116 | 1.4 | % | ||||||||
Alaska | ||||||||||||
Total Alaska | ||||||||||||
(Cost $765,452)(7) | 764,842 | 0.3 | % | |||||||||
Arizona | ||||||||||||
Arizona State University | ||||||||||||
5.000%, 07/01/2032 (Pre-refunded to 07/01/2022) | $ | 885,000 | 983,200 | 0.4 | % | |||||||
Other Arizona(3)(7) | 2,637,883 | 1.1 | % | |||||||||
Total Arizona | ||||||||||||
(Cost $3,631,155) | 3,621,083 | 1.5 | % | |||||||||
Arkansas | ||||||||||||
City of Springdale AR Sales & Use Tax Revenue | ||||||||||||
3.000%, 04/01/2043 | ||||||||||||
(Callable 04/01/2024) (Insured by BAM) | 1,000,000 | 985,040 | 0.4 | % | ||||||||
Other Arkansas(7) | 4,055,258 | 1.7 | % | |||||||||
Total Arkansas | ||||||||||||
(Cost $5,058,476) | 5,040,298 | 2.1 | % | |||||||||
California | ||||||||||||
Total California | ||||||||||||
(Cost $7,701,380)(7) | 7,728,637 | 3.2 | % | |||||||||
Colorado | ||||||||||||
Adams County Housing Authority | ||||||||||||
1.500%, 11/01/2020 (Callable 05/01/2019) | ||||||||||||
(Mandatory Tender Date 11/01/2019)(1) | 1,000,000 | 996,070 | 0.4 | % | ||||||||
Colorado Educational & Cultural Facilities Authority | ||||||||||||
3.000%-5.250%, 12/01/2018-12/15/2025 | 2,840,000 | 3,030,764 | 1.3 | % |
The accompanying notes are an integral part of these financial statements.
Page 41
Baird Short-Term Municipal Bond Fund
Summary Schedule of Investments, June 30, 2018 (Unaudited)
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
Colorado Housing & Finance Authority | ||||||||||||
1.850%, 04/01/2020 | ||||||||||||
(Mandatory Tender Date 10/01/2019)(1) | $ | 1,250,000 | $ | 1,250,138 | 0.5 | % | ||||||
Other Colorado(5)(7) | 5,739,174 | 2.4 | % | |||||||||
Total Colorado | ||||||||||||
(Cost $11,030,090) | 11,016,146 | 4.6 | % | |||||||||
Connecticut | ||||||||||||
State of Connecticut | ||||||||||||
5.000%, 11/01/2028 (Callable 11/01/2018) | 1,000,000 | 1,010,140 | 0.4 | % | ||||||||
Other Connecticut(7) | 2,336,551 | 1.0 | % | |||||||||
Total Connecticut | ||||||||||||
(Cost $3,361,666) | 3,346,691 | 1.4 | % | |||||||||
District of Columbia | ||||||||||||
Total District of Columbia | ||||||||||||
(Cost $340,422)(7) | 336,585 | 0.1 | % | |||||||||
Florida | ||||||||||||
Escambia County Health Facilities Authority | ||||||||||||
1.620%, 11/15/2029 (Callable 07/02/2018) | ||||||||||||
(Optional Put Date 06/29/2018) (Insured by AGC)(1) | 1,500,000 | 1,500,000 | 0.6 | % | ||||||||
Other Florida(7) | 8,803,287 | 3.7 | % | |||||||||
Total Florida | ||||||||||||
(Cost $10,324,835) | 10,303,287 | 4.3 | % | |||||||||
Georgia | ||||||||||||
Gainesville & Hall County Hospital Authority | ||||||||||||
2.460%, 08/15/2035 | ||||||||||||
(SIFMA Municipal Swap Index + 0.950%) | ||||||||||||
(Callable 08/22/2019) | ||||||||||||
(Mandatory Tender Date 02/18/2020)(2) | 1,125,000 | 1,130,850 | 0.5 | % | ||||||||
Other Georgia(7) | 2,601,902 | 1.1 | % | |||||||||
Total Georgia | ||||||||||||
(Cost $3,729,962) | 3,732,752 | 1.6 | % | |||||||||
Idaho | ||||||||||||
Total Idaho | ||||||||||||
(Cost $230,036)(7) | 230,029 | 0.1 | % | |||||||||
Illinois | ||||||||||||
Carroll & Jo Daviess Counties Community Unit | ||||||||||||
School District No. 314 | ||||||||||||
5.750%, 02/01/2028 (Pre-refunded to 08/01/2018) | 1,340,000 | 1,371,115 | 0.6 | % | ||||||||
Champaign County Community Unit | ||||||||||||
School District No. 116 | ||||||||||||
5.000%, 01/01/2019 (Insured by NATL) | 1,100,000 | 1,117,963 | 0.5 | % |
The accompanying notes are an integral part of these financial statements.
Page 42
Baird Short-Term Municipal Bond Fund
Summary Schedule of Investments, June 30, 2018 (Unaudited)
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
City of Chicago IL Waterworks Revenue | ||||||||||||
5.000%, 11/01/2020 | $ | 850,000 | $ | 906,091 | 0.4 | % | ||||||
Cook County Illinois School District No. 163 | ||||||||||||
6.000%, 12/15/2024 (Insured by BAM) | 795,000 | 933,394 | 0.4 | % | ||||||||
Illinois Finance Authority | ||||||||||||
6.000%, 05/01/2028 (Pre-refunded to 05/01/2020) | 1,500,000 | 1,614,990 | 0.7 | % | ||||||||
1.750%-6.250%, 10/01/2018-07/01/2042 | 1,845,000 | 1,911,634 | 0.8 | % | ||||||||
Southern Illinois University | ||||||||||||
5.250%, 04/01/2019 (Insured by NATL) | 1,390,000 | 1,419,009 | 0.6 | % | ||||||||
State of Illinois | ||||||||||||
5.000%, 12/01/2019 | 1,000,000 | 1,033,160 | 0.4 | % | ||||||||
Other Illinois(7) | 22,152,221 | 9.1 | % | |||||||||
Total Illinois | ||||||||||||
(Cost $32,569,072) | 32,459,577 | 13.5 | % | |||||||||
Indiana | ||||||||||||
Indiana Finance Authority | ||||||||||||
5.250%, 10/01/2022 (Callable 10/01/2021) | 800,000 | 882,320 | 0.4 | % | ||||||||
Other Indiana(7) | 5,947,546 | 2.4 | % | |||||||||
Total Indiana | ||||||||||||
(Cost $6,835,184) | 6,829,866 | 2.8 | % | |||||||||
Iowa | ||||||||||||
Iowa Finance Authority | ||||||||||||
1.810%, 07/01/2047 (SIFMA Municipal Swap Index + | ||||||||||||
0.300%) (Callable 11/02/2020) (Mandatory Tender | ||||||||||||
Date 05/03/2021) (Insured by GNMA)(2) | 1,000,000 | 1,000,020 | 0.4 | % | ||||||||
4.000%, 07/01/2047 | ||||||||||||
(Callable 07/01/2027) (Insured by GNMA) | 1,000,000 | 1,059,000 | 0.5 | % | ||||||||
Iowa Higher Education Loan Authority | ||||||||||||
2.000%, 12/01/2018 (Callable 07/30/2018) | 1,115,000 | 1,115,112 | 0.5 | % | ||||||||
Other Iowa(7) | 1,674,067 | 0.6 | % | |||||||||
Total Iowa | ||||||||||||
(Cost $4,828,484) | 4,848,199 | 2.0 | % | |||||||||
Kansas | ||||||||||||
Total Kansas | ||||||||||||
(Cost $1,858,723)(7) | 1,864,028 | 0.8 | % | |||||||||
Kentucky | ||||||||||||
Kentucky Economic Development Finance Authority | ||||||||||||
6.500%, 03/01/2045 (Pre-refunded to 06/01/2020) | 950,000 | 1,032,925 | 0.4 | % | ||||||||
Louisville/Jefferson County Metropolitan Government | ||||||||||||
1.250%, 06/01/2033 | ||||||||||||
(Mandatory Tender Date 06/03/2019)(1) | 1,000,000 | 994,480 | 0.4 | % | ||||||||
Other Kentucky(7) | 2,438,018 | 1.1 | % | |||||||||
Total Kentucky | ||||||||||||
(Cost $4,466,572) | 4,465,423 | 1.9 | % |
The accompanying notes are an integral part of these financial statements.
Page 43
Baird Short-Term Municipal Bond Fund
Summary Schedule of Investments, June 30, 2018 (Unaudited)
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
Louisiana | ||||||||||||
Total Louisiana | ||||||||||||
(Cost $3,617,480)(7) | $ | 3,607,828 | 1.5 | % | ||||||||
Maine | ||||||||||||
Total Maine | ||||||||||||
(Cost $604,976)(7) | 594,183 | 0.2 | % | |||||||||
Maryland | ||||||||||||
Maryland Health & Higher Educational Facilities Authority | ||||||||||||
5.000%, 07/01/2027 (ETM) (Insured by AMBAC) | $ | 1,855,000 | 2,110,322 | 0.9 | % | |||||||
Other Maryland(7) | 563,957 | 0.2 | % | |||||||||
Total Maryland | ||||||||||||
(Cost $2,675,304) | 2,674,279 | 1.1 | % | |||||||||
Massachusetts | ||||||||||||
Massachusetts Housing Finance Agency | ||||||||||||
4.000%, 12/01/2048 | ||||||||||||
(Callable 06/01/2027) (Insured by GNMA) | 1,000,000 | 1,054,260 | 0.4 | % | ||||||||
Other Massachusetts(3)(7) | 1,336,875 | 0.6 | % | |||||||||
Total Massachusetts | ||||||||||||
(Cost $2,410,030) | 2,391,135 | 1.0 | % | |||||||||
Michigan | ||||||||||||
Total Michigan | ||||||||||||
(Cost $6,493,566)(7) | 6,497,041 | 2.7 | % | |||||||||
Minnesota | ||||||||||||
City of Minneapolis MN/St. Paul | ||||||||||||
Metropolitan Airports Commission | ||||||||||||
5.000%, 01/01/2022 | 1,000,000 | 1,102,550 | 0.4 | % | ||||||||
Jordan Independent School District No. 717 | ||||||||||||
5.000%, 02/01/2035 (Callable 02/01/2023) | ||||||||||||
(Insured by SD CRED PROG) | 1,000,000 | 1,109,770 | 0.5 | % | ||||||||
Other Minnesota(7) | 5,021,550 | 2.1 | % | |||||||||
Total Minnesota | ||||||||||||
(Cost $7,263,089) | 7,233,870 | 3.0 | % | |||||||||
Mississippi | ||||||||||||
Total Mississippi | ||||||||||||
(Cost $1,669,194)(7) | 1,672,345 | 0.7 | % | |||||||||
Missouri | ||||||||||||
Total Missouri | ||||||||||||
(Cost $3,869,468)(7) | 3,870,884 | 1.6 | % |
The accompanying notes are an integral part of these financial statements.
Page 44
Baird Short-Term Municipal Bond Fund
Summary Schedule of Investments, June 30, 2018 (Unaudited)
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
Montana | ||||||||||||
Montana Board of Housing | ||||||||||||
4.000%, 06/01/2049 | ||||||||||||
(Callable 12/01/2027) (Insured by FHA) | $ | 1,275,000 | $ | 1,349,906 | 0.6 | % | ||||||
Other Montana(7) | 128,855 | 0.0 | % | |||||||||
Total Montana | ||||||||||||
(Cost $1,482,966) | 1,478,761 | 0.6 | % | |||||||||
Nebraska | ||||||||||||
Nebraska Investment Finance Authority | ||||||||||||
3.000%, 09/01/2043 | ||||||||||||
(Callable 09/01/2023) (Insured by GNMA) | 1,015,000 | 1,025,627 | 0.4 | % | ||||||||
Other Nebraska(7) | 1,205,379 | 0.5 | % | |||||||||
Total Nebraska | ||||||||||||
(Cost $2,238,144) | 2,231,006 | 0.9 | % | |||||||||
Nevada | ||||||||||||
Total Nevada | ||||||||||||
(Cost $472,365)(7) | 477,376 | 0.2 | % | |||||||||
New Hampshire | ||||||||||||
Total New Hampshire | ||||||||||||
(Cost $750,000)(7) | 750,000 | 0.3 | % | |||||||||
New Jersey | ||||||||||||
New Jersey Housing & Mortgage Finance Agency | ||||||||||||
4.500%, 10/01/2048 (Callable 10/01/2027) | 1,000,000 | 1,071,170 | 0.5 | % | ||||||||
Other New Jersey(7) | 4,311,074 | 1.7 | % | |||||||||
Total New Jersey | ||||||||||||
(Cost $5,405,363) | 5,382,244 | 2.2 | % | |||||||||
New Mexico | ||||||||||||
New Mexico Municipal Energy Acquisition Authority | ||||||||||||
2.078%, 11/01/2039 (1 Month LIBOR | ||||||||||||
USD + 0.750%) (Callable 02/01/2019) | ||||||||||||
(Mandatory Tender Date 08/01/2019)(2) | 940,000 | 940,883 | 0.4 | % | ||||||||
Other New Mexico(7) | 1,038,773 | 0.4 | % | |||||||||
Total New Mexico | ||||||||||||
(Cost $1,985,305) | 1,979,656 | 0.8 | % | |||||||||
New York | ||||||||||||
MTA Hudson Rail Yards Trust Obligations | ||||||||||||
5.000%, 11/15/2046 (Callable 11/15/2019) | 1,000,000 | 1,034,860 | 0.4 | % | ||||||||
Other New York(7) | 6,459,103 | 2.7 | % | |||||||||
Total New York | ||||||||||||
(Cost $7,494,553) | 7,493,963 | 3.1 | % |
The accompanying notes are an integral part of these financial statements.
Page 45
Baird Short-Term Municipal Bond Fund
Summary Schedule of Investments, June 30, 2018 (Unaudited)
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
North Carolina | ||||||||||||
North Carolina Eastern Municipal Power Agency | ||||||||||||
6.000%, 01/01/2022 (ETM) | $ | 1,255,000 | $ | 1,426,797 | 0.6 | % | ||||||
5.000%-5.000%, 01/01/2021-01/01/2021 | 1,320,000 | 1,422,044 | 0.6 | % | ||||||||
North Carolina Municipal Power Agency | ||||||||||||
5.000%, 01/01/2020 (ETM) | 1,000,000 | 1,031,220 | 0.4 | % | ||||||||
State of North Carolina | ||||||||||||
5.000%, 05/01/2024 (Callable 05/01/2023) | 1,250,000 | 1,414,950 | 0.6 | % | ||||||||
Other North Carolina(7) | 1,602,982 | 0.7 | % | |||||||||
Total North Carolina | ||||||||||||
(Cost $6,907,395) | 6,897,993 | 2.9 | % | |||||||||
North Dakota | ||||||||||||
Jamestown Park District | ||||||||||||
2.900%, 07/01/2035 (Callable 07/16/2018) | 995,000 | 976,274 | 0.4 | % | ||||||||
Other North Dakota(7) | 1,940,912 | 0.8 | % | |||||||||
Total North Dakota | ||||||||||||
(Cost $2,904,431) | 2,917,186 | 1.2 | % | |||||||||
Ohio | ||||||||||||
Total Ohio | ||||||||||||
(Cost $3,342,063)(7) | 3,344,709 | 1.4 | % | |||||||||
Oklahoma | ||||||||||||
Total Oklahoma | ||||||||||||
(Cost $2,856,710)(5)(7) | 2,861,237 | 1.2 | % | |||||||||
Oregon | ||||||||||||
Oregon State Facilities Authority | ||||||||||||
2.510%, 10/01/2022 (SIFMA Municipal Swap | ||||||||||||
Index + 1.000%) (Callable 07/30/2018) | ||||||||||||
(Mandatory Tender Date 09/15/2018)(2) | 965,000 | 965,579 | 0.4 | % | ||||||||
State of Oregon | ||||||||||||
4.000%, 12/01/2048 (Callable 12/01/2026) | 1,000,000 | 1,056,940 | 0.4 | % | ||||||||
Other Oregon(7) | 1,224,061 | 0.6 | % | |||||||||
Total Oregon | ||||||||||||
(Cost $3,260,906) | 3,246,580 | 1.4 | % | |||||||||
Pennsylvania | ||||||||||||
Total Pennsylvania | ||||||||||||
(Cost $10,159,772)(7) | 10,150,615 | 4.2 | % | |||||||||
Puerto Rico | ||||||||||||
Total Puerto Rico | ||||||||||||
(Cost $644,091)(6)(7) | 642,105 | 0.3 | % | |||||||||
Rhode Island | ||||||||||||
Total Rhode Island | ||||||||||||
(Cost $1,061,461)(7) | 1,046,102 | 0.4 | % |
The accompanying notes are an integral part of these financial statements.
Page 46
Baird Short-Term Municipal Bond Fund
Summary Schedule of Investments, June 30, 2018 (Unaudited)
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
South Carolina | ||||||||||||
South Carolina Jobs-Economic Development Authority | ||||||||||||
6.500%, 08/01/2039 (Pre-refunded to 08/01/2021) | ||||||||||||
(Insured by AGM) | $ | 1,545,000 | $ | 1,754,471 | 0.8 | % | ||||||
Other South Carolina(7) | 1,140,546 | 0.4 | % | |||||||||
Total South Carolina | ||||||||||||
(Cost $2,897,488) | 2,895,017 | 1.2 | % | |||||||||
Tennessee | ||||||||||||
Tennessee Housing Development Agency | ||||||||||||
4.000%, 01/01/2043 (Callable 07/01/2027) | 925,000 | 976,661 | 0.4 | % | ||||||||
Other Tennessee(7) | 3,242,460 | 1.4 | % | |||||||||
Total Tennessee | ||||||||||||
(Cost $4,239,562) | 4,219,121 | 1.8 | % | |||||||||
Texas | ||||||||||||
Central Texas Turnpike System | ||||||||||||
5.000%, 08/15/2042 | ||||||||||||
(Mandatory Tender Date 04/01/2020)(1) | 1,500,000 | 1,575,135 | 0.7 | % | ||||||||
Decatur Hospital Authority | ||||||||||||
5.750%, 09/01/2029 (ETM) | 1,710,000 | 2,045,348 | 0.9 | % | ||||||||
Katy Independent School District | ||||||||||||
1.939%, 08/15/2036 (1 Month LIBOR USD + 0.550%) | ||||||||||||
(Callable 02/15/2019) (Mandatory Tender | ||||||||||||
Date 08/15/2019) (PSF Guaranteed)(2) | 1,050,000 | 1,051,428 | 0.4 | % | ||||||||
Lake Travis Independent School District | ||||||||||||
2.625%, 02/15/2048 (Mandatory Tender | ||||||||||||
Date 02/15/2022) (PSF Guaranteed)(1) | 970,000 | 985,258 | 0.4 | % | ||||||||
Mansfield Independent School District | ||||||||||||
2.500%, 08/01/2042 (Mandatory Tender | ||||||||||||
Date 08/01/2021) (PSF Guaranteed)(1) | 1,350,000 | 1,367,618 | 0.6 | % | ||||||||
Panhandle Regional Housing Finance Agency | ||||||||||||
2.000%, 05/01/2021 (Mandatory Tender | ||||||||||||
Date 05/01/2020)(1) | 1,000,000 | 1,000,170 | 0.4 | % | ||||||||
Texas Municipal Gas Acquisition & Supply Corp. I | ||||||||||||
5.250%, 12/15/2018 | 980,000 | 994,582 | 0.4 | % | ||||||||
Travis County Housing Finance Corp. | ||||||||||||
2.000%, 04/01/2021 (Mandatory Tender | ||||||||||||
Date 04/01/2020)(1) | 1,000,000 | 999,820 | 0.4 | % | ||||||||
Other Texas(7) | 19,277,324 | 8.0 | % | |||||||||
Total Texas | ||||||||||||
(Cost $29,352,899) | 29,296,683 | 12.2 | % | |||||||||
Utah | ||||||||||||
Total Utah | ||||||||||||
(Cost $603,513)(7) | 601,505 | 0.3 | % |
The accompanying notes are an integral part of these financial statements.
Page 47
Baird Short-Term Municipal Bond Fund
Summary Schedule of Investments, June 30, 2018 (Unaudited)
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
Vermont | ||||||||||||
Vermont Housing Finance Agency | ||||||||||||
4.000%, 11/01/2048 (Callable 05/01/2027) | $ | 1,500,000 | $ | 1,585,680 | 0.7 | % | ||||||
Other Vermont(7) | 904,197 | 0.3 | % | |||||||||
Total Vermont | ||||||||||||
(Cost $2,494,450) | 2,489,877 | 1.0 | % | |||||||||
Virgin Islands | ||||||||||||
Total Virgin Islands | ||||||||||||
(Cost $106,197)(7) | 104,386 | 0.0 | % | |||||||||
Virginia | ||||||||||||
Total Virginia | ||||||||||||
(Cost $1,106,298)(7) | 1,101,580 | 0.5 | % | |||||||||
Washington | ||||||||||||
Total Washington | ||||||||||||
(Cost $2,008,644)(7) | 2,004,942 | 0.8 | % | |||||||||
West Virginia | ||||||||||||
Total West Virginia | ||||||||||||
(Cost $124,733)(7) | 123,971 | 0.1 | % | |||||||||
Wisconsin | ||||||||||||
Public Finance Authority | ||||||||||||
8.375%, 06/01/2037 (Pre-refunded to 06/01/2022) | 1,075,000 | 1,303,212 | 0.5 | % | ||||||||
8.625%, 06/01/2047 (Pre-refunded to 06/01/2022) | 1,250,000 | 1,534,275 | 0.6 | % | ||||||||
3.000%-4.000%, 12/01/2020-11/15/2022 | 600,000 | 604,629 | 0.3 | % | ||||||||
Village of Sussex WI Water System Revenue | ||||||||||||
3.000%, 06/01/2023 (Callable 06/01/2022) | 1,155,000 | 1,178,539 | 0.5 | % | ||||||||
Wisconsin Health & Educational Facilities Authority | ||||||||||||
2.650%-5.875%, 07/01/2018-11/15/2043 | 3,640,000 | 3,806,765 | 1.6 | % | ||||||||
Other Wisconsin(7) | 4,102,458 | 1.7 | % | |||||||||
Total Wisconsin | ||||||||||||
(Cost $12,564,129) | 12,529,878 | 5.2 | % | |||||||||
Wyoming | ||||||||||||
Wyoming Community Development Authority | ||||||||||||
4.000%, 12/01/2043 (Callable 06/01/2027) | 1,500,000 | 1,577,355 | 0.7 | % | ||||||||
Total Wyoming | ||||||||||||
(Cost $1,573,766) | 1,577,355 | 0.7 | % | |||||||||
Total Long-Term Investments | ||||||||||||
(Cost $236,634,662) | 236,219,972 | 98.3 | % |
The accompanying notes are an integral part of these financial statements.
Page 48
Baird Short-Term Municipal Bond Fund
Summary Schedule of Investments, June 30, 2018 (Unaudited)
Short-Term Investment
% of | ||||||||||||
Shares | Value | Net Assets | ||||||||||
Money Market Mutual Fund | ||||||||||||
Fidelity Institutional Money Market Fund – | ||||||||||||
Government Portfolio, Institutional Class, 1.81%(4) | 563,026 | $ | 563,026 | 0.2 | % | |||||||
Total Short-Term Investment | ||||||||||||
(Cost $563,026) | 563,026 | 0.2 | % | |||||||||
Total Investments | ||||||||||||
(Cost $237,197,688) | 236,782,998 | 98.5 | % | |||||||||
Other Assets in Excess of Liabilities | 3,493,972 | 1.5 | % | |||||||||
TOTAL NET ASSETS | $ | 240,276,970 | 100.0 | % |
Notes to Summary Schedule of Investments
AGC – Assured Guaranty Corp.
AGM – Assured Guaranty Municipal
AMBAC – Ambac Assurance Corp.
BAM – Build America Mutual Assurance Co.
FHA – Federal Housing Administration
GNMA – Ginnie Mae
NATL – National Public Finance Guarantee Corp.
PSF Guaranteed – Permanent School Fund Guaranteed
SD CRED PROG – State Credit Enhancement Program
ST – State Aid Intercept/Withholding
(1) | Variable rate security. The rate reported is the rate in effect as of June 30, 2018. |
(2) | Variable rate security based on a reference index and spread. The rate reported is the rate in effect as of June 30, 2018. |
(3) | Groupings contain a 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 June 30, 2018, the value of these securities total $327,248, which represents 0.14% of total net assets. |
(4) | 7-Day Yield. |
(5) | Groupings contain a security or a portion of a security purchased on a when-issued or delayed delivery basis. |
(6) | Groupings contain a security in default. |
(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. |
The accompanying notes are an integral part of these financial statements.
Page 49
Baird Short-Term Municipal Bond Fund
Summary Schedule of Investments, June 30, 2018 (Unaudited)
Summary of Fair Value Exposure at June 30, 2018 (Unaudited)
The Fund has adopted authoritative fair valuation accounting standards which establish a definition of fair value and set out a hierarchy for measuring fair value. These standards require additional disclosures about the various inputs and valuation techniques used to develop the measurements of fair value and a discussion on changes in valuation techniques and related inputs during the period. These standards define fair value as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date.
The fair value hierarchy is organized into three levels based upon the assumptions (referred to as “inputs”) used in pricing the asset or liability. These standards state that “observable inputs” reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from independent sources and “unobservable inputs” reflect an entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability. These inputs are summarized into three broad levels and described below:
Level 1 – | Unadjusted quoted prices in active markets for identical unrestricted securities. |
Level 2 – | Other significant observable inputs (including quoted prices for similar securities, quoted prices in inactive markets, dealer indications, interest rates, yield curves, prepayment speeds, credit risk, default rates, inputs corroborated by observable market data, etc.). |
Level 3 – | Significant unobservable inputs (including the Fund’s own assumptions about the factors that market participants would use in valuing the security) based on the best information available. |
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used to value the Fund’s investments as of June 30, 2018:
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Long-Term Investments | ||||||||||||||||
Municipal Bonds | $ | — | $ | 236,219,972 | $ | — | $ | 236,219,972 | ||||||||
Total Long-Term Investments | — | 236,219,972 | — | 236,219,972 | ||||||||||||
Short-Term Investment | ||||||||||||||||
Money Market Mutual Fund | 563,026 | — | — | 563,026 | ||||||||||||
Total Short-Term Investment | 563,026 | — | — | 563,026 | ||||||||||||
Total Investments | $ | 563,026 | $ | 236,219,972 | $ | — | $ | 236,782,998 |
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. 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 50
Baird Quality Intermediate Municipal Bond Fund
June 30, 2018 (Unaudited)
Portfolio Characteristics
Quality Distribution(1)(2)
Net Assets | $1,170,795,868 | |||
SEC 30-Day | ||||
Yield(4) | ||||
Institutional Class | 2.17% | |||
Investor Class | 1.91% | |||
Average | ||||
Effective | ||||
Duration | 4.42 years | |||
Average | ||||
Effective | ||||
Maturity | 4.79 years | |||
Sector Weightings(1) | Annualized | |||
Expense | ||||
Ratio(5) | ||||
Institutional Class | 0.30% | |||
Investor Class | 0.55% | (6) | ||
Portfolio | ||||
Turnover Rate(7) | 19% | |||
Number of | ||||
Holdings | 463 | |||
(1) | Percentages shown are based on the Fund’s total investments. |
(2) | The quality profile is calculated on a market value-weighted basis using the highest credit quality rating for each security held by the Fund given by S&P, Moody’s or Fitch, each of which is a Nationally Recognized Statistical Rating Organization (NRSRO). NRSROs rate the credit quality of securities using a scale that generally ranges from AAA (highest) to D (lowest). |
(3) | Includes pre-refunded and escrowed-to-maturity (ETM) bonds. |
(4) | SEC yields are based on SEC guidelines and are calculated for the 30 days ended June 30, 2018. |
(5) | Reflects expense ratios as stated in the Fund’s current prospectus. |
(6) | Includes 0.25% 12b-1 fee. |
(7) | Not annualized. |
Page 51
Baird Quality Intermediate Municipal Bond Fund
June 30, 2018 (Unaudited)
Total Returns
Average Annual | |||||
Six | One | Five | Ten | Since | |
For the Periods Ended June 30, 2018 | Months | Year | Years | Years | Inception(1) |
Institutional Class Shares | -0.26% | 0.05% | 2.01% | 3.33% | 3.89% |
Investor Class Shares | -0.46% | -0.21% | 1.76% | 3.07% | 3.63% |
Bloomberg Barclays Quality Intermediate | |||||
Municipal Bond Index(2) | -0.10% | 0.33% | 2.49% | 3.70% | 3.94% |
(1) | For the period from March 30, 2001 (inception date) through June 30, 2018. |
(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 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 52
Baird Quality Intermediate Municipal Bond Fund
Summary Schedule of Investments, June 30, 2018 (Unaudited)
This schedule summarizes the Fund’s holdings by asset type. Details are reported for each of the Fund’s 50 largest individual holdings and for investments that, in total for any issuer, represent more than 1% of the Fund’s net assets. The total value of smaller holdings is reported as a single amount within each category.
The Fund reports a complete list of its holdings in regulatory filings four times in each fiscal year, at the quarter end. For the second and fourth fiscal quarters, the complete listing of the Fund’s holdings is available electronically at http://www.bairdassetmanagement.com/baird-funds/funds-and-performance#Literature and in the Fund’s Form N-CSR on the Securities and Exchange Commission’s website (www.sec.gov) or you can have it mailed to you without charge by calling 1-866-44BAIRD. For the first and third fiscal quarters, the Fund files the lists with the SEC on Form N-Q. Shareholders can look up the Fund’s Forms N-CSR and N-Q on the SEC’s website (www.sec.gov).
Long-Term Investments
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
Municipal Bonds | ||||||||||||
Alaska | ||||||||||||
Total Alaska | ||||||||||||
(Cost $1,453,054)(1) | $ | 1,439,155 | 0.1 | % | ||||||||
Arizona | ||||||||||||
Total Arizona | ||||||||||||
(Cost $2,872,934)(1) | 2,868,583 | 0.2 | % | |||||||||
Arkansas | ||||||||||||
Total Arkansas | ||||||||||||
(Cost $4,517,368)(1) | 4,421,809 | 0.4 | % | |||||||||
California | ||||||||||||
City of Bakersfield CA | ||||||||||||
0.000%, 04/15/2021 (ETM) | $ | 12,380,000 | 11,758,153 | 1.0 | % | |||||||
Rio Hondo Community College District | ||||||||||||
0.000%, 08/01/2042 (Callable 08/01/2034) | 6,385,000 | 6,767,717 | 0.6 | % | ||||||||
San Joaquin Hills Transportation Corridor Agency | ||||||||||||
0.000%, 01/01/2020 (ETM) | 6,865,000 | 6,706,419 | 0.6 | % | ||||||||
0.000%, 01/01/2023 (ETM) | 14,005,000 | 12,823,818 | 1.1 | % | ||||||||
0.000%-–%, 01/01/2027-01/01/2028 | 1,750,000 | 1,382,500 | 0.1 | % | ||||||||
San Marcos Public Facilities Authority | ||||||||||||
0.000%, 09/01/2019 (ETM) | 17,495,000 | 17,146,500 | 1.5 | % | ||||||||
Other California(1) | 25,991,124 | 2.2 | % | |||||||||
Total California | ||||||||||||
(Cost $80,088,721) | 82,576,231 | 7.1 | % | |||||||||
Colorado | ||||||||||||
Dawson Ridge Metropolitan District No. 1 | ||||||||||||
0.000%, 10/01/2022 (ETM) | 36,700,000 | 33,501,595 | 2.9 | % | ||||||||
0.000%, 10/01/2022 (ETM) | 23,665,000 | 21,602,595 | 1.8 | % | ||||||||
Other Colorado(1) | 21,102,829 | 1.8 | % | |||||||||
Total Colorado | ||||||||||||
(Cost $74,526,186) | 76,207,019 | 6.5 | % |
The accompanying notes are an integral part of these financial statements.
Page 53
Baird Quality Intermediate Municipal Bond Fund
Summary Schedule of Investments, June 30, 2018 (Unaudited)
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
Connecticut | ||||||||||||
Total Connecticut | ||||||||||||
(Cost $7,560,631)(1) | $ | 7,531,284 | 0.6 | % | ||||||||
District of Columbia | ||||||||||||
Total District of Columbia | ||||||||||||
(Cost $150,240)(1) | 150,193 | 0.0 | % | |||||||||
Florida | ||||||||||||
County of Miami-Dade FL | ||||||||||||
4.500%, 10/01/2020 | $ | 7,100,000 | 7,498,736 | 0.7 | % | |||||||
School District of Broward County | ||||||||||||
5.250%, 07/01/2022 (Pre-refunded to 07/01/2021) | 8,445,000 | 9,282,829 | 0.8 | % | ||||||||
5.250%, 07/01/2023 (Pre-refunded to 07/01/2021) | 4,915,000 | 5,402,617 | 0.5 | % | ||||||||
State of Florida | ||||||||||||
5.000%, 06/01/2022 (Callable 06/01/2019) | 13,800,000 | 14,235,252 | 1.2 | % | ||||||||
Other Florida(1)(3) | 58,142,411 | 4.9 | % | |||||||||
Total Florida | ||||||||||||
(Cost $93,267,073) | 94,561,845 | 8.1 | % | |||||||||
Georgia | ||||||||||||
Forsyth County Hospital Authority | ||||||||||||
6.375%, 10/01/2028 (ETM) | 8,050,000 | 9,818,182 | 0.8 | % | ||||||||
Other Georgia(1) | 11,722,828 | 1.0 | % | |||||||||
Total Georgia | ||||||||||||
(Cost $21,319,632) | 21,541,010 | 1.8 | % | |||||||||
Illinois | ||||||||||||
Illinois Development Finance Authority | ||||||||||||
0.000%, 07/15/2023 (ETM) | 26,630,000 | 23,394,721 | 2.0 | % | ||||||||
0.000%, 07/15/2025 (ETM) | 44,955,000 | 36,867,146 | 3.2 | % | ||||||||
Illinois Finance Authority | ||||||||||||
5.000%, 12/01/2030 (Pre-refunded to 12/01/2021) | 6,825,000 | 7,492,007 | 0.7 | % | ||||||||
Kendall Kane & Will Counties Community Unit | ||||||||||||
School District No. 308 | ||||||||||||
0.000%, 02/01/2021 (Insured by AGM) | 13,625,000 | 12,763,491 | 1.1 | % | ||||||||
Southwestern Illinois Development Authority | ||||||||||||
7.625%, 11/01/2048 (Pre-refunded to 11/01/2023) | 6,020,000 | 7,660,089 | 0.7 | % | ||||||||
Village of Schaumburg IL | ||||||||||||
4.000%, 12/01/2024 (Callable 12/01/2022) | 5,750,000 | 6,150,258 | 0.5 | % | ||||||||
Other Illinois(1)(3) | 40,582,496 | 3.3 | % | |||||||||
Total Illinois | ||||||||||||
(Cost $133,859,705) | 134,910,208 | 11.5 | % | |||||||||
Indiana | ||||||||||||
Total Indiana | ||||||||||||
(Cost $12,102,731)(1) | 12,078,927 | 1.0 | % |
The accompanying notes are an integral part of these financial statements.
Page 54
Baird Quality Intermediate Municipal Bond Fund
Summary Schedule of Investments, June 30, 2018 (Unaudited)
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
Iowa | ||||||||||||
Total Iowa | ||||||||||||
(Cost $5,439,032)(1) | $ | 5,455,691 | 0.5 | % | ||||||||
Kansas | ||||||||||||
Total Kansas | ||||||||||||
(Cost $2,369,562)(1) | 2,352,827 | 0.2 | % | |||||||||
Kentucky | ||||||||||||
Total Kentucky | ||||||||||||
(Cost $241,973)(1) | 238,024 | 0.0 | % | |||||||||
Louisiana | ||||||||||||
Louisiana Public Facilities Authority | ||||||||||||
5.500%, 05/15/2027 (Pre-refunded to 05/15/2026) | $ | 11,765,000 | 14,074,940 | 1.2 | % | |||||||
5.500%, 05/15/2032 (Pre-refunded to 05/15/2026) | 22,180,000 | 26,939,828 | 2.3 | % | ||||||||
6.750%, 07/01/2039 (Pre-refunded to 07/01/2019) | 6,775,000 | 7,115,783 | 0.6 | % | ||||||||
Other Louisiana(1) | 6,966,735 | 0.6 | % | |||||||||
Total Louisiana | ||||||||||||
(Cost $52,189,985) | 55,097,286 | 4.7 | % | |||||||||
Maryland | ||||||||||||
State of Maryland | ||||||||||||
4.000%, 06/01/2030 (Callable 06/01/2024) | 5,790,000 | 6,214,986 | 0.5 | % | ||||||||
Other Maryland(1) | 4,450,602 | 0.4 | % | |||||||||
Total Maryland | ||||||||||||
(Cost $10,691,759) | 10,665,588 | 0.9 | % | |||||||||
Massachusetts | ||||||||||||
Commonwealth of Massachusetts | ||||||||||||
4.000%, 12/01/2022 (Pre-refunded to 12/01/2019) | 15,000,000 | 15,489,450 | 1.3 | % | ||||||||
Other Massachusetts(1) | 8,327,905 | 0.7 | % | |||||||||
Total Massachusetts | ||||||||||||
(Cost $23,822,752) | 23,817,355 | 2.0 | % | |||||||||
Michigan | ||||||||||||
Total Michigan | ||||||||||||
(Cost $20,006,898)(1) | 20,093,822 | 1.7 | % | |||||||||
Minnesota | ||||||||||||
University of Minnesota | ||||||||||||
5.500%, 07/01/2021 (ETM) | 11,260,000 | 12,057,208 | 1.0 | % | ||||||||
Other Minnesota(1) | 2,912,840 | 0.3 | % | |||||||||
Total Minnesota | ||||||||||||
(Cost $15,126,044) | 14,970,048 | 1.3 | % | |||||||||
Mississippi | ||||||||||||
Total Mississippi | ||||||||||||
(Cost $2,711,863)(1) | 2,683,934 | 0.2 | % |
The accompanying notes are an integral part of these financial statements.
Page 55
Baird Quality Intermediate Municipal Bond Fund
Summary Schedule of Investments, June 30, 2018 (Unaudited)
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
Missouri | ||||||||||||
Total Missouri | ||||||||||||
(Cost $10,536,104)(1) | $ | 10,316,993 | 0.9 | % | ||||||||
Montana | ||||||||||||
Total Montana | ||||||||||||
(Cost $1,389,833)(1) | 1,370,713 | 0.1 | % | |||||||||
Nebraska | ||||||||||||
Total Nebraska | ||||||||||||
(Cost $4,643,431)(1) | 4,527,405 | 0.4 | % | |||||||||
Nevada | ||||||||||||
Total Nevada | ||||||||||||
(Cost $2,152,887)(1) | 2,153,825 | 0.2 | % | |||||||||
New Hampshire | ||||||||||||
Total New Hampshire | ||||||||||||
(Cost $2,346,189)(1) | 2,385,003 | 0.2 | % | |||||||||
New Jersey | ||||||||||||
Total New Jersey | ||||||||||||
(Cost $11,304,755)(1) | 11,473,095 | 1.0 | % | |||||||||
New Mexico | ||||||||||||
Total New Mexico | ||||||||||||
(Cost $4,877,013)(1) | 4,797,568 | 0.4 | % | |||||||||
New York | ||||||||||||
Metropolitan Transportation Authority | ||||||||||||
6.000%, 04/01/2020 (ETM) (Insured by NATL) | $ | 7,225,000 | 7,580,109 | 0.7 | % | |||||||
New York City Water & Sewer System | ||||||||||||
5.000%, 06/15/2032 (Callable 12/15/2025) | 6,500,000 | 7,488,520 | 0.6 | % | ||||||||
New York State Dormitory Authority | ||||||||||||
5.000%, 12/15/2023 (Callable 12/15/2022) | 6,685,000 | 7,540,814 | 0.6 | % | ||||||||
5.000%, 03/15/2030 (Callable 03/15/2024) | 6,665,000 | 7,556,177 | 0.6 | % | ||||||||
5.000%-5.000%, 02/15/2030-03/15/2033 | 5,700,000 | 6,490,174 | 0.6 | % | ||||||||
New York State Urban Development Corp. | ||||||||||||
5.000%, 03/15/2032 (Callable 03/15/2024) | 6,000,000 | 6,802,260 | 0.6 | % | ||||||||
Other New York(1) | 18,324,551 | 1.6 | % | |||||||||
Total New York | ||||||||||||
(Cost $61,450,290) | 61,782,605 | 5.3 | % | |||||||||
North Carolina | ||||||||||||
North Carolina Eastern Municipal Power Agency | ||||||||||||
5.000%, 01/01/2021 (Callable 07/30/2018) (ETM) | 10,355,000 | 10,956,832 | 1.0 | % | ||||||||
4.500%, 01/01/2024 (Pre-refunded to 01/01/2022) | 12,170,000 | 12,980,644 | 1.1 | % | ||||||||
6.400%, 01/01/2021 (ETM) | 2,592,000 | 2,757,966 | 0.2 | % | ||||||||
Other North Carolina(1) | 1,706,378 | 0.1 | % | |||||||||
Total North Carolina | ||||||||||||
(Cost $28,531,924) | 28,401,820 | 2.4 | % |
The accompanying notes are an integral part of these financial statements.
Page 56
Baird Quality Intermediate Municipal Bond Fund
Summary Schedule of Investments, June 30, 2018 (Unaudited)
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
North Dakota | ||||||||||||
Total North Dakota | ||||||||||||
(Cost $6,848,873)(1) | $ | 6,765,895 | 0.6 | % | ||||||||
Ohio | ||||||||||||
Ohio Housing Finance Agency | ||||||||||||
4.000%, 03/01/2047 | ||||||||||||
(Callable 09/01/2025) (Insured by GNMA) | $ | 6,055,000 | 6,330,139 | 0.6 | % | |||||||
State of Ohio | ||||||||||||
5.000%, 06/15/2021 | 6,740,000 | 7,340,669 | 0.6 | % | ||||||||
Other Ohio(1) | 10,338,261 | 0.8 | % | |||||||||
Total Ohio | ||||||||||||
(Cost $24,052,694) | 24,009,069 | 2.0 | % | |||||||||
Oklahoma | ||||||||||||
Total Oklahoma | ||||||||||||
(Cost $885,000)(1) | 883,841 | 0.1 | % | |||||||||
Oregon | ||||||||||||
Total Oregon | ||||||||||||
(Cost $11,317,286)(1) | 11,118,408 | 0.9 | % | |||||||||
Pennsylvania | ||||||||||||
Total Pennsylvania | ||||||||||||
(Cost $22,313,251)(1) | 22,207,778 | 1.9 | % | |||||||||
Puerto Rico | ||||||||||||
Puerto Rico Public Finance Corp. | ||||||||||||
5.125%, 06/01/2024 (Insured by AMBAC) | 5,490,000 | �� | 6,042,788 | 0.5 | % | |||||||
5.500%, 08/01/2027 (ETM) (Insured by AMBAC) | 6,500,000 | 7,903,870 | 0.7 | % | ||||||||
6.000%-6.000%, 08/01/2026-08/01/2026 | 5,490,000 | 6,769,939 | 0.6 | % | ||||||||
Other Puerto Rico(1) | 1,282,951 | 0.1 | % | |||||||||
Total Puerto Rico | ||||||||||||
(Cost $22,232,929) | 21,999,548 | 1.9 | % | |||||||||
Rhode Island | ||||||||||||
Total Rhode Island | ||||||||||||
(Cost $5,689,564)(1) | 5,764,650 | 0.5 | % | |||||||||
South Carolina | ||||||||||||
Piedmont Municipal Power Agency | ||||||||||||
6.750%, 01/01/2020 (ETM) | 6,450,000 | 6,926,655 | 0.6 | % | ||||||||
5.375%, 01/01/2025 (ETM) (Insured by NATL) | 5,645,000 | 6,600,981 | 0.6 | % | ||||||||
Other South Carolina(1) | 6,064,218 | 0.5 | % | |||||||||
Total South Carolina | ||||||||||||
(Cost $19,439,470) | 19,591,854 | 1.7 | % | |||||||||
South Dakota | ||||||||||||
Total South Dakota | ||||||||||||
(Cost $911,260)(1) | 900,612 | 0.1 | % |
The accompanying notes are an integral part of these financial statements.
Page 57
Baird Quality Intermediate Municipal Bond Fund
Summary Schedule of Investments, June 30, 2018 (Unaudited)
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
Tennessee | ||||||||||||
Total Tennessee | ||||||||||||
(Cost $7,691,375)(1) | $ | 7,754,157 | 0.7 | % | ||||||||
Texas | ||||||||||||
City of Houston TX | ||||||||||||
0.000%, 12/01/2019 (ETM) (Insured by AGM) | $ | 13,355,000 | 13,012,444 | 1.1 | % | |||||||
5.500%, 12/01/2029 (ETM) (Insured by NATL) | 16,050,000 | 19,469,934 | 1.6 | % | ||||||||
5.750%, 12/01/2032 (ETM) (Insured by AGM) | 6,715,000 | 9,060,079 | 0.8 | % | ||||||||
5.500%, 12/01/2024 (ETM) (Insured by NATL) | 1,835,000 | 2,139,115 | 0.2 | % | ||||||||
County of Harris TX | ||||||||||||
5.750%, 10/01/2028 (Pre-refunded to 10/01/2018) | 6,930,000 | 7,003,112 | 0.6 | % | ||||||||
Harris County Health Facilities Development Corp. | ||||||||||||
5.750%, 07/01/2027 (ETM) | 5,000,000 | 6,034,800 | 0.5 | % | ||||||||
Lamar Consolidated Independent School District | ||||||||||||
5.000%, 02/15/2026 | ||||||||||||
(Callable 02/15/2025) (PSF Guaranteed) | 5,860,000 | 6,786,876 | 0.6 | % | ||||||||
North East Independent School District | ||||||||||||
5.000%, 08/01/2021 (PSF Guaranteed) | 6,095,000 | 6,657,142 | 0.6 | % | ||||||||
Tarrant County Health Facilities Development Corp. | ||||||||||||
6.000%, 09/01/2024 (ETM) | 6,065,000 | 6,785,158 | 0.6 | % | ||||||||
The University of Texas System | ||||||||||||
5.000%, 08/15/2022 | 8,595,000 | 9,627,002 | 0.8 | % | ||||||||
Tomball Independent School District | ||||||||||||
5.000%, 02/15/2025 (PSF Guaranteed) | 5,440,000 | 6,304,035 | 0.5 | % | ||||||||
Other Texas(1) | 136,142,963 | 11.7 | % | |||||||||
Total Texas | ||||||||||||
(Cost $228,491,118) | 229,022,660 | 19.6 | % | |||||||||
Utah | ||||||||||||
Total Utah | ||||||||||||
(Cost $9,925,353)(1) | 10,096,136 | 0.9 | % | |||||||||
Vermont | ||||||||||||
Total Vermont | ||||||||||||
(Cost $3,852,590)(1) | 3,791,271 | 0.3 | % | |||||||||
Virginia | ||||||||||||
Total Virginia | ||||||||||||
(Cost $2,420,140)(1) | 2,332,676 | 0.2 | % | |||||||||
Washington | ||||||||||||
State of Washington | ||||||||||||
5.000%, 07/01/2032 (Callable 01/01/2025) | 6,005,000 | 6,822,701 | 0.6 | % | ||||||||
5.000%-5.500%, 07/01/2023-08/01/2038 | 10,890,000 | 12,367,775 | 1.0 | % | ||||||||
Washington Health Care Facilities Authority | ||||||||||||
6.250%, 08/01/2036 | ||||||||||||
(Pre-refunded to 08/01/2018) (Insured by FHA) | 8,100,000 | 8,130,375 | 0.7 | % |
The accompanying notes are an integral part of these financial statements.
Page 58
Baird Quality Intermediate Municipal Bond Fund
Summary Schedule of Investments, June 30, 2018 (Unaudited)
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
Washington Health Care Facilities Authority (cont.) | ||||||||||||
6.125%-6.250%, 11/15/2031-11/15/2041 | $ | 5,465,000 | $ | 6,135,918 | 0.5 | % | ||||||
Other Washington(1) | 9,738,419 | 0.9 | % | |||||||||
Total Washington | ||||||||||||
(Cost $42,869,592) | 43,195,188 | 3.7 | % | |||||||||
Wisconsin | ||||||||||||
State of Wisconsin Clean Water Fund | ||||||||||||
Leveraged Loan Portfolio | ||||||||||||
5.000%, 06/01/2030(Pre-refunded to 06/01/2024) | 10,500,000 | 12,083,400 | 1.0 | % | ||||||||
5.000%, 06/01/2031(Pre-refunded to 06/01/2024) | 7,975,000 | 9,177,630 | 0.8 | % | ||||||||
5.000%, 06/01/2028(Pre-refunded to 06/01/2024) | 510,000 | 586,908 | 0.1 | % | ||||||||
Other Wisconsin(1) | 24,120,349 | 2.0 | % | |||||||||
Total Wisconsin | ||||||||||||
(Cost $46,983,046) | 45,968,287 | 3.9 | % | |||||||||
Wyoming | ||||||||||||
Total Wyoming | ||||||||||||
(Cost $734,424)(1) | 736,099 | 0.1 | % | |||||||||
Total Long-Term Investments | ||||||||||||
(Cost $1,148,208,534) | 1,157,007,995 | 98.8 | % | |||||||||
Short-Term Investment | ||||||||||||
Shares | ||||||||||||
Money Market Mutual Fund | ||||||||||||
Fidelity Institutional Money Market Fund – | ||||||||||||
Government Portfolio, Institutional Class, 1.81%(2) | 1,178,465 | 1,178,465 | 0.1 | % | ||||||||
Total Short-Term Investment | ||||||||||||
(Cost $1,178,465) | 1,178,465 | 0.1 | % | |||||||||
Total Investments | ||||||||||||
(Cost $1,149,386,999) | 1,158,186,460 | 98.9 | % | |||||||||
Other Assets in Excess of Liabilities | 12,609,408 | 1.1 | % | |||||||||
TOTAL NET ASSETS | $ | 1,170,795,868 | 100.0 | % |
Notes to Summary Schedule of Investments
AGM – Assured Guaranty Municipal
BAM – Build America Mutual Assurance Co.
FHA – Federal Housing Administration
GNMA – Ginnie Mae
NATL – National Public Finance Guarantee Corp.
PSF Guaranteed – Permanent School Fund Guaranteed
(1) | 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. |
(2) | 7-Day Yield. |
(3) | Groupings containing a security or a portion of a security purchased on a when-issued or delayed delivery basis. |
The accompanying notes are an integral part of these financial statements.
Page 59
Baird Quality Intermediate Municipal Bond Fund
Summary Schedule of Investments, June 30, 2018 (Unaudited)
Summary of Fair Value Exposure at June 30, 2018 (Unaudited)
The Fund has adopted authoritative fair valuation accounting standards which establish a definition of fair value and set out a hierarchy for measuring fair value. These standards require additional disclosures about the various inputs and valuation techniques used to develop the measurements of fair value and a discussion on changes in valuation techniques and related inputs during the period. These standards define fair value as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date.
The fair value hierarchy is organized into three levels based upon the assumptions (referred to as “inputs”) used in pricing the asset or liability. These standards state that “observable inputs” reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from independent sources and “unobservable inputs” reflect an entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability. These inputs are summarized into three broad levels and described below:
Level 1 – | Unadjusted quoted prices in active markets for identical unrestricted securities. |
Level 2 – | Other significant observable inputs (including quoted prices for similar securities, quoted prices in inactive markets, dealer indications, interest rates, yield curves, prepayment speeds, credit risk, default rates, inputs corroborated by observable market data, etc.). |
Level 3 – | Significant unobservable inputs (including the Fund’s own assumptions about the factors that market participants would use in valuing the security) based on the best information available. |
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used to value the Fund’s investments as of June 30, 2018:
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Long-Term Investments | ||||||||||||||||
Municipal Bonds | $ | — | $ | 1,157,007,995 | $ | — | $ | 1,157,007,995 | ||||||||
Total Long-Term Investments | — | 1,157,007,995 | — | 1,157,007,995 | ||||||||||||
Short-Term Investment | ||||||||||||||||
Money Market Mutual Fund | 1,178,465 | — | — | 1,178,465 | ||||||||||||
Total Short-Term Investment | 1,178,465 | — | — | 1,178,465 | ||||||||||||
Total Investments | $ | 1,178,465 | $ | 1,157,007,995 | $ | — | $ | 1,158,186,460 |
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. 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 60
Baird Core Intermediate Municipal Bond Fund
June 30, 2018 (Unaudited)
Portfolio Characteristics
Quality Distribution(1)(2)
Net Assets | $274,534,553 | |||
SEC 30-Day | ||||
Yield(4) | ||||
Institutional Class | 2.45% | |||
Investor Class | 2.20% | |||
Average | ||||
Effective | ||||
Duration | 4.76 years | |||
Average | ||||
Effective | ||||
Maturity | 5.07 years | |||
Annualized | ||||
Expense | ||||
Ratio(5) | ||||
Sector Weightings(1) | Institutional Class | 0.30% | ||
Investor Class | 0.55% | (6) | ||
Portfolio | ||||
Turnover Rate(7) | 36% | |||
Number of | ||||
Holdings | 700 | |||
(1) | Percentages shown are based on the Fund’s total investments. |
(2) | The quality profile is calculated on a market value-weighted basis using the highest credit quality rating for each security held by the Fund given by S&P, Moody’s or Fitch, each of which is a Nationally Recognized Statistical Rating Organization (NRSRO). NRSROs rate the credit quality of securities using a scale that generally ranges from AAA (highest) to D (lowest). |
(3) | Includes pre-refunded and escrowed-to-maturity (ETM) bonds. |
(4) | SEC yields are based on SEC guidelines and are calculated for the 30 days ended June 30, 2018. |
(5) | Reflects expense ratios as stated in the Fund’s current prospectus. |
(6) | Includes 0.25% 12b-1 fee. |
(7) | Not annualized. |
Page 61
Baird Core Intermediate Municipal Bond Fund
June 30, 2018 (Unaudited)
Total Returns
Average | |||
Annual | |||
Six | One | Since | |
For the Periods Ended June 30, 2018 | Months | Year | Inception(1) |
Institutional Class Shares | -0.21% | 1.70% | 2.87% |
Investor Class Shares | -0.32% | 1.45% | 2.63% |
Bloomberg Barclays Municipal Bond (1-15 Year) Index(2) | -0.07% | 1.01% | 2.14% |
(1) | For the period from August 31, 2015 (inception date) through June 30, 2018. |
(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 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 Core Intermediate Municipal Bond Fund
Summary Schedule of Investments, June 30, 2018 (Unaudited)
This schedule summarizes the Fund’s holdings by asset type. Details are reported for each of the Fund’s 50 largest individual holdings and for investments that, in total for any issuer, represent more than 1% of the Fund’s net assets. The total value of smaller holdings is reported as a single amount within each category.
The Fund reports a complete list of its holdings in regulatory filings four times in each fiscal year, at the quarter end. For the second and fourth fiscal quarters, the complete listing of the Fund’s holdings is available electronically at http://www.bairdassetmanagement.com/baird-funds/funds-and-performance#Literature and in the Fund's Form N-CSR 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 | $ | 1,061,380 | 0.4 | % | ||||||
City of Pell City AL Special Care | ||||||||||||
Facilities Financing Authority | ||||||||||||
5.000%, 12/01/2031(Callable 12/01/2021) | 1,000,000 | 1,081,580 | 0.4 | % | ||||||||
Other Alabama(1) | 3,471,733 | 1.3 | % | |||||||||
Total Alabama | ||||||||||||
(Cost $5,586,329) | 5,614,693 | 2.1 | % | |||||||||
Alaska | ||||||||||||
Alaska Industrial Development & Export Authority | ||||||||||||
3.500%, 12/01/2020 (Callable 12/01/2019) | 1,250,000 | 1,266,337 | 0.5 | % | ||||||||
City of Valdez AK | ||||||||||||
5.000%, 06/30/2029 (Callable 06/30/2022) | 1,000,000 | 1,174,820 | 0.4 | % | ||||||||
Other Alaska(1) | 1,291,344 | 0.5 | % | |||||||||
Total Alaska | ||||||||||||
(Cost $3,740,013) | 3,732,501 | 1.4 | % | |||||||||
Arizona | ||||||||||||
Total Arizona | ||||||||||||
(Cost $6,904,743)(1)(2) | 6,940,665 | 2.5 | % | |||||||||
Arkansas | ||||||||||||
Arkansas Technical University | ||||||||||||
4.000%, 06/01/2028 (Callable 06/01/2023) | 1,025,000 | 1,084,430 | 0.4 | % | ||||||||
City of Magnolia AR | ||||||||||||
3.200%, 08/01/2033 (Callable 08/01/2024) | ||||||||||||
(Insured by BAM) | 1,085,000 | 1,069,636 | 0.4 | % | ||||||||
City of Springdale AR Sales & Use Tax Revenue | ||||||||||||
3.000%, 04/01/2043 (Callable 04/01/2024) | ||||||||||||
(Insured by BAM) | 1,475,000 | 1,452,934 | 0.5 | % |
The accompanying notes are an integral part of these financial statements.
Page 63
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Summary Schedule of Investments, June 30, 2018 (Unaudited)
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
Other Arkansas(1) | $ | 6,301,072 | 2.3 | % | ||||||||
Total Arkansas | ||||||||||||
(Cost $9,993,837) | 9,908,072 | 3.6 | % | |||||||||
California | ||||||||||||
Corona-Norca Unified School District | ||||||||||||
6.800%, 08/01/2039 (Callable 08/01/2027) | ||||||||||||
(Insured by AGM)(1) | $ | 890,000 | 1,176,117 | 0.4 | % | |||||||
Other California(1) | 15,430,276 | 5.7 | % | |||||||||
Total California | ||||||||||||
(Cost $16,281,435) | 16,606,393 | 6.1 | % | |||||||||
Colorado | ||||||||||||
City of Sheridan CO | ||||||||||||
5.000%, 12/01/2042 (Callable 12/01/2025) | 1,130,000 | 1,264,018 | 0.5 | % | ||||||||
Colorado Educational & Cultural Facilities Authority | ||||||||||||
4.000%, 12/15/2025 | 1,340,000 | 1,386,029 | 0.5 | % | ||||||||
1.550%-5.000%, 10/01/2020-12/01/2035 | 2,135,000 | 2,325,545 | 0.8 | % | ||||||||
Colorado Housing & Finance Authority | ||||||||||||
1.850%, 04/01/2020 | ||||||||||||
(Mandatory Tender Date 10/01/2019)(1) | 1,500,000 | 1,500,165 | 0.5 | % | ||||||||
Grand River CO | ||||||||||||
0.000%, 12/01/2033 | 1,390,000 | 1,623,145 | 0.6 | % | ||||||||
Other Colorado(1) | 6,828,440 | 2.5 | % | |||||||||
Total Colorado | ||||||||||||
(Cost $14,956,081) | 14,927,342 | 5.4 | % | |||||||||
Connecticut | ||||||||||||
Total Connecticut | ||||||||||||
(Cost $2,306,230)(1) | 2,287,463 | 0.8 | % | |||||||||
District of Columbia | ||||||||||||
Total District of Columbia | ||||||||||||
(Cost $3,322,869)(1) | 3,343,847 | 1.2 | % | |||||||||
Florida | ||||||||||||
City of Tallahassee FL | ||||||||||||
5.000%, 10/01/2033 (Callable 10/01/2025) | 1,240,000 | 1,419,453 | 0.5 | % | ||||||||
Highlands County Health Facilities Authority | ||||||||||||
1.500%, 11/15/2037 (Callable 06/29/2018) | ||||||||||||
(Optional Put Date 07/06/2018)(1) | 1,600,000 | 1,600,000 | 0.6 | % | ||||||||
Reedy Creek Improvement District | ||||||||||||
4.000%, 06/01/2035 (Callable 06/01/2027) | 1,000,000 | 1,050,480 | 0.4 | % | ||||||||
Other Florida(1)(4) | 9,924,685 | 3.6 | % | |||||||||
Total Florida | ||||||||||||
(Cost $14,002,292) | 13,994,618 | 5.1 | % |
The accompanying notes are an integral part of these financial statements.
Page 64
Baird Core Intermediate Municipal Bond Fund
Summary Schedule of Investments, June 30, 2018 (Unaudited)
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
Georgia | ||||||||||||
City of Atlanta GA | ||||||||||||
5.000%, 01/01/2028 (Callable 01/01/2020) | $ | 1,000,000 | $ | 1,042,140 | 0.4 | % | ||||||
Other Georgia(1) | 4,260,419 | 1.5 | % | |||||||||
Total Georgia | ||||||||||||
(Cost $5,307,907) | 5,302,559 | 1.9 | % | |||||||||
Illinois | ||||||||||||
Chicago Board of Education | ||||||||||||
5.000%, 12/01/2023 (Insured by AGM) | 1,000,000 | 1,097,090 | 0.4 | % | ||||||||
Cook County School District No. 163 | ||||||||||||
6.000%, 12/15/2027 (Insured by BAM) | 1,150,000 | 1,396,135 | 0.5 | % | ||||||||
Illinois Finance Authority | ||||||||||||
5.100%, 12/01/2043 (Callable 12/01/2023) | 1,600,000 | 1,661,504 | 0.6 | % | ||||||||
2.738%-6.625%, 02/15/2021-11/01/2039 | 2,495,000 | 2,654,163 | 1.0 | % | ||||||||
Illinois Housing Development Authority | ||||||||||||
3.100%, 02/01/2035 (Callable 02/01/2026) | 1,200,000 | 1,129,872 | 0.4 | % | ||||||||
Metropolitan Water Reclamation | ||||||||||||
District of Greater Chicago | ||||||||||||
5.000%, 12/01/2031 (Callable 12/01/2021) | 1,000,000 | 1,075,800 | 0.4 | % | ||||||||
5.000%, 12/01/2034 (Callable 12/01/2026) | 1,500,000 | 1,673,085 | 0.6 | % | ||||||||
State of Illinois | ||||||||||||
5.000%, 06/15/2027 (Callable 06/15/2021) | 1,500,000 | 1,607,760 | 0.6 | % | ||||||||
0.000%-6.000%, 08/01/2019-07/01/2033 | 2,480,000 | 2,577,427 | 0.9 | % | ||||||||
Other Illinois(1)(4) | 21,485,256 | 7.8 | % | |||||||||
Total Illinois | ||||||||||||
(Cost $36,390,948) | 36,358,092 | 13.2 | % | |||||||||
Indiana | ||||||||||||
Columbus Multi-High School Building Corp. | ||||||||||||
5.000%, 01/15/2029 (Insured by ST) | 1,200,000 | 1,434,528 | 0.5 | % | ||||||||
IPS Multi-School Building Corp. | ||||||||||||
5.000%, 07/15/2026 | ||||||||||||
(Callable 01/15/2025) (Insured by ST) | 925,000 | 1,056,396 | 0.4 | % | ||||||||
Kankakee Valley Middle School Building Corp. | ||||||||||||
5.000%, 01/15/2029 (Insured by ST) | 1,000,000 | 1,173,550 | 0.4 | % | ||||||||
Other Indiana(1)(4) | 6,340,903 | 2.3 | % | |||||||||
Total Indiana | ||||||||||||
(Cost $10,106,874) | 10,005,377 | 3.6 | % | |||||||||
Iowa | ||||||||||||
Total Iowa | ||||||||||||
(Cost $2,134,844)(1) | 2,164,024 | 0.8 | % |
The accompanying notes are an integral part of these financial statements.
Page 65
Baird Core Intermediate Municipal Bond Fund
Summary Schedule of Investments, June 30, 2018 (Unaudited)
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
Kansas | ||||||||||||
City of Wichita KS | ||||||||||||
3.000%, 09/01/2023 (Callable 09/01/2022) | $ | 1,325,000 | $ | 1,319,395 | 0.5 | % | ||||||
Other Kansas(1) | 1,236,473 | 0.4 | % | |||||||||
Total Kansas | ||||||||||||
(Cost $2,546,155) | 2,555,868 | 0.9 | % | |||||||||
Kentucky | ||||||||||||
Total Kentucky | ||||||||||||
(Cost $880,533)(1) | 870,553 | 0.3 | % | |||||||||
Louisiana | ||||||||||||
Louisiana Public Facilities Authority | ||||||||||||
5.000%, 10/01/2023 | 1,000,000 | 1,108,120 | 0.4 | % | ||||||||
Other Louisiana(1) | 1,008,794 | 0.4 | % | |||||||||
Total Louisiana | ||||||||||||
(Cost $2,097,298) | 2,116,914 | 0.8 | % | |||||||||
Maine | ||||||||||||
Total Maine | ||||||||||||
(Cost $942,962)(1) | 923,868 | 0.3 | % | |||||||||
Massachusetts | ||||||||||||
Massachusetts Housing Finance Agency | ||||||||||||
4.000%, 12/01/2028 (Callable 06/01/2023) | 1,000,000 | 1,052,340 | 0.4 | % | ||||||||
Other Massachusetts(1)(2) | 1,201,075 | 0.4 | % | |||||||||
Total Massachusetts | ||||||||||||
(Cost $2,272,655) | 2,253,415 | 0.8 | % | |||||||||
Michigan | ||||||||||||
Detroit Michigan School District | ||||||||||||
5.000%, 05/01/2033 | ||||||||||||
(Callable 05/01/2022) (Insured by Q-SBLF) | 1,000,000 | 1,084,210 | 0.4 | % | ||||||||
Lake Orion Community School District | ||||||||||||
5.000%, 05/01/2025 (Insured by Q-SBLF) | 1,635,000 | 1,885,613 | 0.7 | % | ||||||||
Other Michigan(1) | 3,361,323 | 1.2 | % | |||||||||
Total Michigan | ||||||||||||
(Cost $6,284,386) | 6,331,146 | 2.3 | % | |||||||||
Minnesota | ||||||||||||
Total Minnesota | ||||||||||||
(Cost $5,695,593)(1) | 5,650,333 | 2.1 | % | |||||||||
Mississippi | ||||||||||||
State of Mississippi | ||||||||||||
5.000%, 10/15/2034 (Callable 10/15/2025) | 1,000,000 | 1,127,840 | 0.4 | % | ||||||||
Other Mississippi(1) | 753,751 | 0.3 | % | |||||||||
Total Mississippi | ||||||||||||
(Cost $1,864,448) | 1,881,591 | 0.7 | % |
The accompanying notes are an integral part of these financial statements.
Page 66
Baird Core Intermediate Municipal Bond Fund
Summary Schedule of Investments, June 30, 2018 (Unaudited)
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
Missouri | ||||||||||||
Missouri Housing Development Commission | ||||||||||||
3.950%, 11/01/2040 | ||||||||||||
(Callable 05/01/2025) (Insured by GNMA) | $ | 1,025,000 | $ | 1,051,250 | 0.4 | % | ||||||
4.000%, 05/01/2042 | ||||||||||||
(Callable 11/01/2026) (Insured by GNMA) | 1,175,000 | 1,238,697 | 0.4 | % | ||||||||
Other Missouri(1) | 2,741,304 | 1.0 | % | |||||||||
Total Missouri | ||||||||||||
(Cost $5,017,853) | 5,031,251 | 1.8 | % | |||||||||
Montana | ||||||||||||
Total Montana | ||||||||||||
(Cost $2,536,799)(1) | 2,538,699 | 0.9 | % | |||||||||
Nebraska | ||||||||||||
Total Nebraska | ||||||||||||
(Cost $3,541,639)(1) | 3,513,351 | 1.3 | % | |||||||||
Nevada | ||||||||||||
Las Vegas Convention & Visitors Authority | ||||||||||||
5.000%, 07/01/2026 | 1,000,000 | 1,156,610 | 0.4 | % | ||||||||
Other Nevada(1) | 2,207,926 | 0.8 | % | |||||||||
Total Nevada | ||||||||||||
(Cost $3,420,745) | 3,364,536 | 1.2 | % | |||||||||
New Jersey | ||||||||||||
New Jersey Health Care Facilities Financing Authority | ||||||||||||
4.000%, 07/01/2026 (Callable 07/01/2022) | 1,000,000 | 1,057,470 | 0.4 | % | ||||||||
New Jersey Housing & Mortgage Finance Agency | ||||||||||||
4.500%, 10/01/2048 (Callable 10/01/2027) | 1,500,000 | 1,606,755 | 0.6 | % | ||||||||
Other New Jersey(1) | 6,746,147 | 2.4 | % | |||||||||
Total New Jersey | ||||||||||||
(Cost $9,429,250) | 9,410,372 | 3.4 | % | |||||||||
New Mexico | ||||||||||||
Total New Mexico | ||||||||||||
(Cost $1,977,871)(1) | 1,945,866 | 0.7 | % | |||||||||
New York | ||||||||||||
MTA Hudson Rail Yards Trust Obligations | ||||||||||||
5.000%, 11/15/2046 (Callable 11/15/2019) | 1,250,000 | 1,293,575 | 0.5 | % | ||||||||
New York City Transitional Finance Authority | ||||||||||||
1.670%, 11/01/2022 (Optional Put Date 06/29/2018)(1) | 1,200,000 | 1,200,000 | 0.4 | % | ||||||||
Other New York(1) | 6,283,282 | 2.3 | % | |||||||||
Total New York | ||||||||||||
(Cost $8,799,848) | 8,776,857 | 3.2 | % |
The accompanying notes are an integral part of these financial statements.
Page 67
Baird Core Intermediate Municipal Bond Fund
Summary Schedule of Investments, June 30, 2018 (Unaudited)
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
North Carolina | ||||||||||||
Total North Carolina | ||||||||||||
(Cost $1,853,704)(1) | $ | 1,831,604 | 0.7 | % | ||||||||
North Dakota | ||||||||||||
City of Mandan ND | ||||||||||||
2.750%, 09/01/2041 (Callable 07/30/2018) | $ | 1,170,000 | 1,140,902 | 0.4 | % | |||||||
County of Ward ND | ||||||||||||
4.000%, 04/01/2026 | ||||||||||||
(Callable 04/01/2023) (Insured by AGM) | 1,030,000 | 1,076,124 | 0.4 | % | ||||||||
Jamestown Park District | ||||||||||||
2.900%, 07/01/2035 (Callable 07/16/2018) | 1,535,000 | 1,506,111 | 0.5 | % | ||||||||
Other North Dakota(1) | 453,904 | 0.2 | % | |||||||||
Total North Dakota | ||||||||||||
(Cost $4,187,658) | 4,177,041 | 1.5 | % | |||||||||
Ohio | ||||||||||||
Total Ohio | ||||||||||||
(Cost $7,234,699)(1) | 7,234,058 | 2.6 | % | |||||||||
Oklahoma | ||||||||||||
Total Oklahoma | ||||||||||||
(Cost $1,129,464)(1)(4) | 1,122,703 | 0.4 | % | |||||||||
Oregon | ||||||||||||
Washington & Multnomah Counties School District No. 48J | ||||||||||||
5.000%, 06/15/2036 | ||||||||||||
(Callable 06/15/2027) (Insured by SCH BD GTY) | 1,150,000 | 1,334,241 | 0.5 | % | ||||||||
Other Oregon(1) | 2,246,227 | 0.8 | % | |||||||||
Total Oregon | ||||||||||||
(Cost $3,457,680) | 3,580,468 | 1.3 | % | |||||||||
Pennsylvania | ||||||||||||
Commonwealth Financing Authority | ||||||||||||
4.000%, 06/01/2039 | ||||||||||||
(Callable 06/01/2028) (Insured by AGM) | 1,500,000 | 1,527,030 | 0.6 | % | ||||||||
Westmoreland County Municipal Authority | ||||||||||||
5.000%, 08/15/2028 | ||||||||||||
(Callable 08/15/2027) (Insured by BAM) | 1,540,000 | 1,794,716 | 0.7 | % | ||||||||
Other Pennsylvania(1) | 8,629,954 | 3.1 | % | |||||||||
Total Pennsylvania | ||||||||||||
(Cost $11,963,088) | 11,951,700 | 4.4 | % | |||||||||
Puerto Rico | ||||||||||||
Total Puerto Rico | ||||||||||||
(Cost $260,000)(1) | 260,000 | 0.1 | % |
The accompanying notes are an integral part of these financial statements.
Page 68
Baird Core Intermediate Municipal Bond Fund
Summary Schedule of Investments, June 30, 2018 (Unaudited)
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
Rhode Island | ||||||||||||
Total Rhode Island | ||||||||||||
(Cost $452,515)(1) | $ | 443,319 | 0.2 | % | ||||||||
South Carolina | ||||||||||||
Total South Carolina | ||||||||||||
(Cost $1,929,421)(1) | 1,943,151 | 0.7 | % | |||||||||
South Dakota | ||||||||||||
Total South Dakota | ||||||||||||
(Cost $707,956)(1) | 705,265 | 0.3 | % | |||||||||
Tennessee | ||||||||||||
Total Tennessee | ||||||||||||
(Cost $2,538,655)(1) | 2,527,245 | 0.9 | % | |||||||||
Texas | ||||||||||||
Mansfield Independent School District | ||||||||||||
5.000%, 02/15/2047 | ||||||||||||
(Callable 02/15/2020) (PSF Guaranteed) | $ | 1,400,000 | 1,465,086 | 0.5 | % | |||||||
San Angelo Independent School District | ||||||||||||
5.000%, 02/15/2029 | ||||||||||||
(Callable 02/15/2024) (PSF Guaranteed) | 1,250,000 | 1,415,575 | 0.5 | % | ||||||||
Other Texas(1)(4) | 22,611,712 | 8.3 | % | |||||||||
Total Texas | ||||||||||||
(Cost $25,634,620) | 25,492,373 | 9.3 | % | |||||||||
Utah | ||||||||||||
Total Utah | ||||||||||||
(Cost $3,638,569)(1) | 3,638,868 | 1.3 | % | |||||||||
Vermont | ||||||||||||
Total Vermont | ||||||||||||
(Cost $1,123,371)(1) | 1,106,131 | 0.4 | % | |||||||||
Virgin Islands | ||||||||||||
Total Virgin Islands | ||||||||||||
(Cost $424,787)(1) | 417,544 | 0.2 | % | |||||||||
Virginia | ||||||||||||
Total Virginia | ||||||||||||
(Cost $474,689)(1) | 469,746 | 0.2 | % | |||||||||
Washington | ||||||||||||
State of Washington | ||||||||||||
5.000%, 08/01/2029 (Callable 08/01/2026) | 2,000,000 | 2,333,380 | 0.8 | % | ||||||||
5.000%, 02/01/2038 (Callable 02/01/2024) | 645,000 | 719,556 | 0.3 | % | ||||||||
Other Washington(1) | 3,667,857 | 1.4 | % | |||||||||
Total Washington | ||||||||||||
(Cost $6,727,592) | 6,720,793 | 2.5 | % |
The accompanying notes are an integral part of these financial statements.
Page 69
Baird Core Intermediate Municipal Bond Fund
Summary Schedule of Investments, June 30, 2018 (Unaudited)
Long-Term Investments (cont.)
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
West Virginia | ||||||||||||
Total West Virginia | ||||||||||||
(Cost $500,124)(1) | $ | 500,125 | 0.2 | % | ||||||||
Wisconsin | ||||||||||||
Wisconsin Health & Educational Facilities Authority | ||||||||||||
5.000%, 08/15/2028 (Callable 08/15/2023) | $ | 1,000,000 | 1,109,200 | 0.4 | % | |||||||
2.650%-5.250%, 09/15/2019-10/15/2039 | 4,030,000 | 4,235,615 | 1.6 | % | ||||||||
Other Wisconsin(1) | 4,957,580 | 1.8 | % | |||||||||
Total Wisconsin | ||||||||||||
(Cost $10,300,570) | 10,302,395 | 3.8 | % | |||||||||
Total Long-Term Investments | ||||||||||||
(Cost $272,881,599) | 272,774,795 | 99.4 | % | |||||||||
Short-Term Investment | ||||||||||||
Shares | ||||||||||||
Money Market Mutual Fund | ||||||||||||
Fidelity Institutional Money Market Fund – | ||||||||||||
Government Portfolio, Institutional Class, 1.81%(3) | 2,785,950 | 2,785,950 | 1.0 | % | ||||||||
Total Short-Term Investment | ||||||||||||
(Cost $2,785,950) | 2,785,950 | 1.0 | % | |||||||||
Total Investments | ||||||||||||
(Cost $275,667,549) | 275,560,745 | 100.4 | % | |||||||||
Liabilities in Excess of Other Assets | (1,026,192 | ) | (0.4 | )% | ||||||||
TOTAL NET ASSETS | $ | 274,534,553 | 100.0 | % |
Notes to Summary Schedule of Investments
AGM – Assured Guaranty Municipal
BAM – Build America Mutual Assurance Co.
GNMA – Ginnie Mae
PSF Guaranteed – Permanent School Fund Guaranteed
Q-SBLF – Qualified School Building Loan Fund
SCH BD GTY – School Board Guaranty
ST – State Aid Intercept/Withholding
(1) | Variable rate security. The rate reported is the rate in effect as of June 30, 2018. |
(2) | Groupings contain a 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 June 30, 2018, the value of these securities total $589,774, which represents 0.21% of total net assets. |
(3) | 7-Day Yield. |
(4) | Groupings contain a security or a portion of a security purchased on a when-issued or delayed delivery basis. |
The accompanying notes are an integral part of these financial statements.
Page 70
Baird Core Intermediate Municipal Bond Fund
Summary Schedule of Investments, June 30, 2018 (Unaudited)
Summary of Fair Value Exposure at June 30, 2018 (Unaudited)
The Fund has adopted authoritative fair valuation accounting standards which establish a definition of fair value and set out a hierarchy for measuring fair value. These standards require additional disclosures about the various inputs and valuation techniques used to develop the measurements of fair value and a discussion on changes in valuation techniques and related inputs during the period. These standards define fair value as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date.
The fair value hierarchy is organized into three levels based upon the assumptions (referred to as “inputs”) used in pricing the asset or liability. These standards state that “observable inputs” reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from independent sources and “unobservable inputs” reflect an entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability. These inputs are summarized into three broad levels and described below:
Level 1 – | Unadjusted quoted prices in active markets for identical unrestricted securities. |
Level 2 – | Other significant observable inputs (including quoted prices for similar securities, quoted prices in inactive markets, dealer indications, interest rates, yield curves, prepayment speeds, credit risk, default rates, inputs corroborated by observable market data, etc.). |
Level 3 – | Significant unobservable inputs (including the Fund’s own assumptions about the factors that market participants would use in valuing the security) based on the best information available. |
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used to value the Fund’s investments as of June 30, 2018:
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Long-Term Investments | ||||||||||||||||
Municipal Bonds | $ | — | $ | 272,774,795 | $ | — | $ | 272,774,795 | ||||||||
Total Long-Term Investments | — | 272,774,795 | — | 272,774,795 | ||||||||||||
Short-Term Investment | ||||||||||||||||
Money Market Mutual Fund | 2,785,950 | — | — | 2,785,950 | ||||||||||||
Total Short-Term Investment | 2,785,950 | — | — | 2,785,950 | ||||||||||||
Total Investments | $ | 2,785,950 | $ | 272,774,795 | $ | — | $ | 275,560,745 |
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. 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 71
Additional Information on Fund Expenses
June 30, 2018 (Unaudited)
As a shareholder of a mutual fund, you incur two types of costs: (1) transaction costs, which may include sales charges (loads) on purchase payments, reinvested dividends, or other distributions; redemption fees; and exchange fees; and (2) ongoing costs, such as management fees; distribution and/or service (12b-1) fees; and other fund expenses. Although the Funds do not charge any sales loads, redemption fees, or other transaction fees, you will be assessed fees for outgoing wire transfers, returned checks and stop payment orders at prevailing rates charged by U.S. Bancorp Fund Services, LLC, the Funds’ transfer agent. If you request that a redemption be made by wire transfer, currently the Funds’ transfer agent charges a $15.00 fee.
This Example is intended to help you understand your ongoing costs (in dollars) of investing in each Fund and to compare these costs with the ongoing costs of investing in other mutual funds. The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (1/1/18 – 6/30/18).
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 72
Additional Information on Fund Expenses
June 30, 2018 (Unaudited)
Actual vs. Hypothetical Returns
Hypothetical | ||||||
(5% return | ||||||
Actual | before expenses) | |||||
Fund’s | Beginning | Ending | Expenses | Ending | Expenses | |
Annualized | Account | Account | Paid | Account | Paid | |
Expense | Value | Value | During | Value | During | |
Ratio(1) | 1/1/18 | 6/30/18 | Period(1) | 6/30/18 | Period(1) | |
Baird Ultra Short | ||||||
Bond Fund | ||||||
Institutional Class | 0.15% | $1,000.00 | $1,008.70 | $0.75 | $1,024.05 | $0.75 |
Investor Class | 0.40% | $1,000.00 | $1,006.60 | $1.99 | $1,022.81 | $2.01 |
Baird Short-Term | ||||||
Bond Fund | ||||||
Institutional Class | 0.30% | $1,000.00 | $1,001.20 | $1.49 | $1,023.31 | $1.51 |
Investor Class | 0.55% | $1,000.00 | $ 999.00 | $2.73 | $1,022.07 | $2.76 |
Baird Intermediate | ||||||
Bond Fund | ||||||
Institutional Class | 0.30% | $1,000.00 | $ 988.40 | $1.48 | $1,023.31 | $1.51 |
Investor Class | 0.55% | $1,000.00 | $ 986.90 | $2.71 | $1,022.07 | $2.76 |
Baird Aggregate | ||||||
Bond Fund | ||||||
Institutional Class | 0.30% | $1,000.00 | $ 982.40 | $1.47 | $1,023.31 | $1.51 |
Investor Class | 0.55% | $1,000.00 | $ 980.90 | $2.70 | $1,022.07 | $2.76 |
Baird Core Plus | ||||||
Bond Fund | ||||||
Institutional Class | 0.30% | $1,000.00 | $ 982.60 | $1.47 | $1,023.31 | $1.51 |
Investor Class | 0.55% | $1,000.00 | $ 981.20 | $2.70 | $1,022.07 | $2.76 |
Baird Short-Term | ||||||
Municipal Bond Fund | ||||||
Institutional Class | 0.30% | $1,000.00 | $1,005.80 | $1.49 | $1,023.31 | $1.51 |
Investor Class | 0.55% | $1,000.00 | $1,004.80 | $2.73 | $1,022.07 | $2.76 |
Baird Quality Intermediate | ||||||
Municipal Bond Fund | ||||||
Institutional Class | 0.30% | $1,000.00 | $ 997.40 | $1.49 | $1,023.31 | $1.51 |
Investor Class | 0.55% | $1,000.00 | $ 995.40 | $2.72 | $1,022.07 | $2.76 |
Baird Core Intermediate | ||||||
Municipal Bond Fund | ||||||
Institutional Class | 0.30% | $1,000.00 | $ 997.90 | $1.49 | $1,023.31 | $1.51 |
Investor Class | 0.55% | $1,000.00 | $ 996.80 | $2.72 | $1,022.07 | $2.76 |
(1) | Expenses are equal to the Fund’s annualized net expense ratio multiplied by the average account value over the period, 181 days, and divided by 365 to reflect the one-half year period. |
Page 73
Statements of Assets and Liabilities
June 30, 2018 (Unaudited)
Baird | Baird | Baird | ||||||||||
Ultra Short | Short-Term | Intermediate | ||||||||||
Bond Fund | Bond Fund | Bond Fund | ||||||||||
ASSETS: | ||||||||||||
Investments, at value | ||||||||||||
(cost $692,761,702, $5,951,141,357, | ||||||||||||
and $3,415,134,210, respectively) | $ | 692,298,924 | $ | 5,889,221,624 | $ | 3,350,322,466 | ||||||
Interest receivable | 2,661,844 | 35,904,494 | 22,256,337 | |||||||||
Receivable for investments sold | 3,564,405 | — | — | |||||||||
Receivable for Fund shares sold | 24,164,520 | 29,876,536 | 9,433,886 | |||||||||
Uninvested cash | 1,384,589 | 13,783,426 | 390,981 | |||||||||
Prepaid expenses and other assets | 111 | 245 | 170,336 | |||||||||
Total assets | 724,074,393 | 5,968,786,325 | 3,382,574,006 | |||||||||
LIABILITIES: | ||||||||||||
Payable for securities purchased | 18,866,458 | 144,271,228 | 52,744,436 | |||||||||
Payable for Fund shares redeemed | 376,750 | 6,318,997 | 6,511,560 | |||||||||
Payable to Advisor, net (Note 5) | 55,191 | 1,184,448 | 676,584 | |||||||||
Accrued Rule 12b-1 fees (Note 7) | 5,130 | 55,520 | 20,834 | |||||||||
Accrued expenses and other liabilities | 27,596 | 236,918 | 135,317 | |||||||||
Total liabilities | 19,331,125 | 152,067,111 | 60,088,731 | |||||||||
NET ASSETS | $ | 704,743,268 | $ | 5,816,719,214 | $ | 3,322,485,275 | ||||||
NET ASSETS CONSIST OF: | ||||||||||||
Capital stock | $ | 705,184,250 | $ | 5,891,886,524 | $ | 3,397,586,579 | ||||||
Accumulated undistributed | ||||||||||||
net investment income | 403,683 | 3,081,455 | 1,941,875 | |||||||||
Accumulated net realized | ||||||||||||
loss on investments sold | (381,887 | ) | (16,329,032 | ) | (12,231,435 | ) | ||||||
Net unrealized depreciation | ||||||||||||
on investments | (462,778 | ) | (61,919,733 | ) | (64,811,744 | ) | ||||||
NET ASSETS | $ | 704,743,268 | $ | 5,816,719,214 | $ | 3,322,485,275 | ||||||
INSTITUTIONAL CLASS SHARES | ||||||||||||
Net Assets | $ | 691,464,844 | $ | 5,674,261,133 | $ | 3,276,116,460 | ||||||
Shares outstanding ($0.01 par value, | ||||||||||||
unlimited shares authorized) | 68,952,877 | 593,710,239 | 304,454,427 | |||||||||
Net asset value, offering and | ||||||||||||
redemption price per share | $ | 10.03 | $ | 9.56 | $ | 10.76 | ||||||
INVESTOR CLASS SHARES | ||||||||||||
Net Assets | $ | 13,278,424 | $ | 142,458,081 | $ | 46,368,815 | ||||||
Shares outstanding ($0.01 par value, | ||||||||||||
unlimited shares authorized) | 1,324,627 | 14,909,539 | 4,124,015 | |||||||||
Net asset value, offering and | ||||||||||||
redemption price per share | $ | 10.02 | $ | 9.55 | $ | 11.24 |
The accompanying notes are an integral part of these financial statements.
Page 74
Statements of Assets and Liabilities
June 30, 2018 (Unaudited)
Baird | Baird | |||||||
Aggregate | Core Plus | |||||||
Bond Fund | Bond Fund | |||||||
ASSETS: | ||||||||
Investments, at value | ||||||||
(cost $15,891,329,971 and | ||||||||
$18,304,879,294, respectively) | $ | 15,580,787,700 | $ | 17,976,953,993 | ||||
Interest receivable | 100,322,904 | 129,247,582 | ||||||
Receivable for investments sold | 11,327 | — | ||||||
Receivable for Fund shares sold | 36,096,610 | 38,996,728 | ||||||
Uninvested cash | 1,066,613 | 1,707,098 | ||||||
Prepaid expenses and other assets | 172,443 | 9,083 | ||||||
Total assets | 15,718,457,597 | 18,146,914,484 | ||||||
LIABILITIES: | ||||||||
Payable for securities purchased | 141,590,491 | 140,341,132 | ||||||
Payable for Fund shares redeemed | 17,940,624 | 11,284,822 | ||||||
Payable to Advisor, net (Note 5) | 3,184,042 | 3,595,778 | ||||||
Accrued Rule 12b-1 fees (Note 7) | 344,650 | 1,023,201 | ||||||
Accrued expenses and other liabilities | 645,647 | 719,156 | ||||||
Total liabilities | 163,705,454 | 156,964,089 | ||||||
NET ASSETS | $ | 15,554,752,143 | $ | 17,989,950,395 | ||||
NET ASSETS CONSIST OF: | ||||||||
Capital stock | $ | 15,932,398,410 | $ | 18,381,250,071 | ||||
Accumulated undistributed net investment income | 2,833,909 | 7,013,614 | ||||||
Accumulated net realized loss on investments sold | (69,937,905 | ) | (70,387,989 | ) | ||||
Net unrealized depreciation on investments | (310,542,271 | ) | (327,925,301 | ) | ||||
NET ASSETS | $ | 15,554,752,143 | $ | 17,989,950,395 | ||||
INSTITUTIONAL CLASS SHARES | ||||||||
Net Assets | $ | 14,781,455,816 | $ | 15,697,408,666 | ||||
Shares outstanding ($0.01 par value, | ||||||||
unlimited shares authorized) | 1,402,851,468 | 1,443,974,563 | ||||||
Net asset value, offering and | ||||||||
redemption price per share | $ | 10.54 | $ | 10.87 | ||||
INVESTOR CLASS SHARES | ||||||||
Net Assets | $ | 773,296,327 | $ | 2,292,541,729 | ||||
Shares outstanding ($0.01 par value, | ||||||||
unlimited shares authorized) | 70,996,621 | 202,577,083 | ||||||
Net asset value, offering and | ||||||||
redemption price per share | $ | 10.89 | $ | 11.32 |
The accompanying notes are an integral part of these financial statements.
Page 75
Statements of Assets and Liabilities
June 30, 2018 (Unaudited)
Baird | Baird | |||||||||||
Baird | Quality | Core | ||||||||||
Short-Term | Intermediate | Intermediate | ||||||||||
Municipal | Municipal | Municipal | ||||||||||
Bond Fund | Bond Fund | Bond Fund | ||||||||||
ASSETS: | ||||||||||||
Investments, at value | ||||||||||||
(cost $237,197,688, $1,149,386,999 | ||||||||||||
and $275,667,549, respectively) | $ | 236,782,998 | $ | 1,158,186,460 | $ | 275,560,745 | ||||||
Interest receivable | 2,166,516 | 11,565,898 | 2,536,137 | |||||||||
Receivable for investments sold | — | 1,344,542 | — | |||||||||
Receivable for Fund shares sold | 3,340,094 | 3,415,559 | 1,609,609 | |||||||||
Uninvested cash | 11,884 | 30,625 | 25,000 | |||||||||
Total assets | 242,301,492 | 1,174,543,084 | 279,731,491 | |||||||||
LIABILITIES: | ||||||||||||
Payable for securities purchased | 1,630,919 | 1,452,369 | 5,030,973 | |||||||||
Payable for Fund shares redeemed | 295,263 | 1,923,606 | 99,267 | |||||||||
Payable to Advisor, net (Note 5) | 48,950 | 240,580 | 54,810 | |||||||||
Accrued Rule 12b-1 fees (Note 7) | 39,600 | 82,545 | 926 | |||||||||
Accrued expenses and other liabilities | 9,790 | 48,116 | 10,962 | |||||||||
Total liabilities | 2,024,522 | 3,747,216 | 5,196,938 | |||||||||
NET ASSETS | $ | 240,276,970 | $ | 1,170,795,868 | $ | 274,534,553 | ||||||
NET ASSETS CONSIST OF: | ||||||||||||
Capital stock | $ | 240,643,457 | $ | 1,169,407,378 | $ | 274,704,212 | ||||||
Accumulated undistributed | ||||||||||||
net investment income | 96,241 | 597,649 | 132,844 | |||||||||
Accumulated net realized | ||||||||||||
loss on investments sold | (48,038 | ) | (8,008,620 | ) | (195,699 | ) | ||||||
Net unrealized appreciation (depreciation) | ||||||||||||
on investments | (414,690 | ) | 8,799,461 | (106,804 | ) | |||||||
NET ASSETS | $ | 240,276,970 | $ | 1,170,795,868 | $ | 274,534,553 | ||||||
INSTITUTIONAL CLASS SHARES | ||||||||||||
Net Assets | $ | 169,526,997 | $ | 1,079,555,922 | $ | 272,326,898 | ||||||
Shares outstanding ($0.01 par value, | ||||||||||||
unlimited shares authorized) | 16,871,598 | 95,021,660 | 26,718,193 | |||||||||
Net asset value, offering and | ||||||||||||
redemption price per share | $ | 10.05 | $ | 11.36 | $ | 10.19 | ||||||
INVESTOR CLASS SHARES | ||||||||||||
Net Assets | $ | 70,749,973 | $ | 91,239,946 | $ | 2,207,655 | ||||||
Shares outstanding ($0.01 par value, | ||||||||||||
unlimited shares authorized) | 7,050,835 | 7,842,805 | 216,683 | |||||||||
Net asset value, offering and | ||||||||||||
redemption price per share | $ | 10.03 | $ | 11.63 | $ | 10.19 |
The accompanying notes are an integral part of these financial statements.
Page 76
Statements of Operations
Six Months Ended June 30, 2018 (Unaudited)
Baird | Baird | Baird | ||||||||||
Ultra Short | Short-Term | Intermediate | ||||||||||
Bond Fund | Bond Fund | Bond Fund | ||||||||||
INVESTMENT INCOME: | ||||||||||||
Interest income, net of paydowns | $ | 6,076,912 | $ | 65,585,626 | $ | 42,815,307 | ||||||
Total investment income | 6,076,912 | 65,585,626 | 42,815,307 | |||||||||
EXPENSES: | ||||||||||||
Investment advisory fees (Note 5) | 734,369 | 7,037,514 | 3,928,319 | |||||||||
Administration fees | 146,874 | 1,407,503 | 785,664 | |||||||||
Rule 12b-1 fees – Investor Class Shares (Note 7) | 11,546 | 173,957 | 61,231 | |||||||||
Total expenses | 892,789 | 8,618,974 | 4,775,214 | |||||||||
Fee waiver by Advisor (Note 5) | (440,621 | ) | — | — | ||||||||
Net expenses | 452,168 | 8,618,974 | 4,775,214 | |||||||||
NET INVESTMENT INCOME | 5,624,744 | 56,966,652 | 38,040,093 | |||||||||
REALIZED AND UNREALIZED | ||||||||||||
(LOSS) ON INVESTMENTS: | ||||||||||||
Net realized loss on investments | (18,978 | ) | (10,848,998 | ) | (9,119,180 | ) | ||||||
Change in unrealized depreciation on investments | (411,228 | ) | (42,776,257 | ) | (62,136,336 | ) | ||||||
Net realized and unrealized loss on investments | (430,206 | ) | (53,625,255 | ) | (71,255,516 | ) | ||||||
NET INCREASE (DECREASE) IN NET | ||||||||||||
ASSETS RESULTING FROM OPERATIONS | $ | 5,194,538 | $ | 3,341,397 | $ | (33,215,423 | ) |
The accompanying notes are an integral part of these financial statements.
Page 77
Statements of Operations
Six Months Ended June 30, 2018 (Unaudited)
Baird | Baird | |||||||
Aggregate | Core Plus | |||||||
Bond Fund | Bond Fund | |||||||
INVESTMENT INCOME: | ||||||||
Interest income, net of paydowns | $ | 224,037,998 | $ | 271,500,025 | ||||
Other income | — | 22,013 | ||||||
Total investment income | 224,037,998 | 271,522,038 | ||||||
EXPENSES: | ||||||||
Investment advisory fees (Note 5) | 18,750,632 | 21,026,375 | ||||||
Administration fees | 3,750,126 | 4,205,275 | ||||||
Rule 12b-1 fees – Investor Class Shares (Note 7) | 997,405 | 3,031,573 | ||||||
Total expenses | 23,498,163 | 28,263,223 | ||||||
NET INVESTMENT INCOME | 200,539,835 | 243,258,815 | ||||||
REALIZED AND UNREALIZED | ||||||||
(LOSS) ON INVESTMENTS: | ||||||||
Net realized loss on investments | (39,433,610 | ) | (45,357,339 | ) | ||||
Change in unrealized depreciation on investments | (426,882,319 | ) | (489,650,341 | ) | ||||
Net realized and unrealized loss on investments | (466,315,929 | ) | (535,007,680 | ) | ||||
NET DECREASE IN NET | ||||||||
ASSETS RESULTING FROM OPERATIONS | $ | (265,776,094 | ) | $ | (291,748,865 | ) |
The accompanying notes are an integral part of these financial statements.
Page 78
Statements of Operations
Six Months Ended June 30, 2018 (Unaudited)
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 | $ | 2,141,454 | $ | 15,514,567 | $ | 3,272,872 | ||||||
Other income | — | 239 | — | |||||||||
Total investment income | 2,141,454 | 15,514,806 | 3,272,872 | |||||||||
EXPENSES: | ||||||||||||
Investment advisory fees (Note 5) | 235,670 | 1,439,383 | 321,017 | |||||||||
Administration fees | 47,134 | 287,877 | 64,203 | |||||||||
Rule 12b-1 Fees – Investor Class Shares (Note 7) | 46,501 | 124,853 | 1,847 | |||||||||
Total expenses | 329,305 | 1,852,113 | 387,067 | |||||||||
NET INVESTMENT INCOME | 1,812,149 | 13,662,693 | 2,885,805 | |||||||||
REALIZED AND UNREALIZED | ||||||||||||
(LOSS) ON INVESTMENTS: | ||||||||||||
Net realized loss on investments | (69,677 | ) | (957,711 | ) | (178,642 | ) | ||||||
Change in unrealized depreciation on investments | (319,146 | ) | (16,077,669 | ) | (3,024,507 | ) | ||||||
Net realized and unrealized loss on investments | (388,823 | ) | (17,035,380 | ) | (3,203,149 | ) | ||||||
NET INCREASE (DECREASE) IN NET ASSETS | ||||||||||||
RESULTING FROM OPERATIONS | $ | 1,423,326 | $ | (3,372,687 | ) | $ | (317,344 | ) |
The accompanying notes are an integral part of these financial statements.
Page 79
Statements of Changes in Net Assets
Baird Ultra Short Bond Fund
Six Months Ended | ||||||||
June 30, 2018 | Year Ended | |||||||
(Unaudited) | December 31, 2017 | |||||||
OPERATIONS: | ||||||||
Net investment income | $ | 5,624,744 | $ | 7,160,829 | ||||
Net realized loss on investments | (18,978 | ) | (22,182 | ) | ||||
Change in unrealized depreciation on investments | (411,228 | ) | (182,448 | ) | ||||
Net increase in net assets resulting from operations | 5,194,538 | 6,956,199 | ||||||
CAPITAL SHARE TRANSACTIONS: | ||||||||
Proceeds from shares sold | 299,083,374 | 528,472,904 | ||||||
Shares issued to holders in | ||||||||
reinvestment of distributions | 4,903,706 | 6,842,101 | ||||||
Cost of shares redeemed | (138,756,407 | ) | (387,950,353 | ) | ||||
Net increase in net assets resulting | ||||||||
from capital share transactions | 165,230,673 | 147,364,652 | ||||||
DISTRIBUTIONS TO | ||||||||
INSTITUTIONAL CLASS SHAREHOLDERS: | ||||||||
From net investment income | (5,154,638 | ) | (7,173,958 | ) | ||||
Total Distributions | (5,154,638 | ) | (7,173,958 | ) | ||||
DISTRIBUTIONS TO | ||||||||
INVESTOR CLASS SHAREHOLDERS: | ||||||||
From net investment income | (74,501 | ) | (104,571 | ) | ||||
Total Distributions | (74,501 | ) | (104,571 | ) | ||||
TOTAL INCREASE IN NET ASSETS | 165,196,072 | 147,042,322 | ||||||
NET ASSETS: | ||||||||
Beginning of period | 539,547,196 | 392,504,874 | ||||||
End of period (including accumulated | ||||||||
undistributed net investment income | ||||||||
of $403,683 and $8,078, respectively) | $ | 704,743,268 | $ | 539,547,196 |
The accompanying notes are an integral part of these financial statements.
Page 80
Statements of Changes in Net Assets
Baird Short-Term Bond Fund
Six Months Ended | ||||||||
June 30, 2018 | Year Ended | |||||||
(Unaudited) | December 31, 2017 | |||||||
OPERATIONS: | ||||||||
Net investment income | $ | 56,966,652 | $ | 83,559,859 | ||||
Net realized loss on investments | (10,848,998 | ) | (4,735,685 | ) | ||||
Change in unrealized depreciation on investments | (42,776,257 | ) | (11,850,257 | ) | ||||
Net increase in net assets resulting from operations | 3,341,397 | 66,973,917 | ||||||
CAPITAL SHARE TRANSACTIONS: | ||||||||
Proceeds from shares sold | 1,221,639,088 | 3,358,426,214 | ||||||
Shares issued to holders in | ||||||||
reinvestment of distributions | 50,783,884 | 79,531,658 | ||||||
Cost of shares redeemed | (939,724,830 | ) | (1,759,494,811 | ) | ||||
Net increase in net assets resulting | ||||||||
from capital share transactions | 332,698,142 | 1,678,463,061 | ||||||
DISTRIBUTIONS TO | ||||||||
INSTITUTIONAL CLASS SHAREHOLDERS: | ||||||||
From net investment income | (52,808,126 | ) | (82,179,140 | ) | ||||
From net realized gains | — | (901,312 | ) | |||||
Total Distributions | (52,808,126 | ) | (83,080,452 | ) | ||||
DISTRIBUTIONS TO | ||||||||
INVESTOR CLASS SHAREHOLDERS: | ||||||||
From net investment income | (1,180,387 | ) | (1,855,366 | ) | ||||
From net realized gains | — | (22,433 | ) | |||||
Total Distributions | (1,180,387 | ) | (1,877,799 | ) | ||||
TOTAL INCREASE IN NET ASSETS | 282,051,026 | 1,660,478,727 | ||||||
NET ASSETS: | ||||||||
Beginning of period | 5,534,668,188 | 3,874,189,461 | ||||||
End of period (including accumulated | ||||||||
undistributed net investment income | ||||||||
of $3,081,455 and $103,316, respectively) | $ | 5,816,719,214 | $ | 5,534,668,188 |
The accompanying notes are an integral part of these financial statements.
Page 81
Statements of Changes in Net Assets
Baird Intermediate Bond Fund
Six Months Ended | ||||||||
June 30, 2018 | Year Ended | |||||||
(Unaudited) | December 31, 2017 | |||||||
OPERATIONS: | ||||||||
Net investment income | $ | 38,040,093 | $ | 60,914,051 | ||||
Net realized loss on investments | (9,119,180 | ) | (1,847,622 | ) | ||||
Change in unrealized appreciation (depreciation) | ||||||||
on investments | (62,136,336 | ) | 7,084,033 | |||||
Net increase (decrease) in net assets | ||||||||
resulting from operations | (33,215,423 | ) | 66,150,462 | |||||
CAPITAL SHARE TRANSACTIONS: | ||||||||
Proceeds from shares sold | 761,385,236 | 1,044,007,511 | ||||||
Shares issued to holders in | ||||||||
reinvestment of distributions | 29,588,239 | 53,812,675 | ||||||
Cost of shares redeemed | (354,943,262 | ) | (453,075,192 | ) | ||||
Net increase in net assets resulting | ||||||||
from capital share transactions | 436,030,213 | 644,744,994 | ||||||
DISTRIBUTIONS TO | ||||||||
INSTITUTIONAL CLASS SHAREHOLDERS: | ||||||||
From net investment income | (35,762,126 | ) | (59,422,061 | ) | ||||
From net realized gains | — | (988,707 | ) | |||||
Total Distributions | (35,762,126 | ) | (60,410,768 | ) | ||||
DISTRIBUTIONS TO | ||||||||
INVESTOR CLASS SHAREHOLDERS: | ||||||||
From net investment income | (469,929 | ) | (1,731,195 | ) | ||||
From net realized gains | — | (17,188 | ) | |||||
Total Distributions | (469,929 | ) | (1,748,383 | ) | ||||
TOTAL INCREASE IN NET ASSETS | 366,582,735 | 648,736,305 | ||||||
NET ASSETS: | ||||||||
Beginning of period | 2,955,902,540 | 2,307,166,235 | ||||||
End of period (including accumulated | ||||||||
undistributed net investment income | ||||||||
of $1,941,875 and $133,837, respectively) | $ | 3,322,485,275 | $ | 2,955,902,540 |
The accompanying notes are an integral part of these financial statements.
Page 82
Statements of Changes in Net Assets
Baird Aggregate Bond Fund
Six Months Ended | ||||||||
June 30, 2018 | Year Ended | |||||||
(Unaudited) | December 31, 2017 | |||||||
OPERATIONS: | ||||||||
Net investment income | $ | 200,539,835 | $ | 304,027,795 | ||||
Net realized loss on investments | (39,433,610 | ) | (976,549 | ) | ||||
Change in unrealized appreciation (depreciation) | ||||||||
on investments | (426,882,319 | ) | 207,542,499 | |||||
Net increase (decrease) in net assets | ||||||||
resulting from operations | (265,776,094 | ) | 510,593,745 | |||||
CAPITAL SHARE TRANSACTIONS: | ||||||||
Proceeds from shares sold | 3,022,412,780 | 5,511,985,366 | ||||||
Shares issued to holders in | ||||||||
reinvestment of distributions | 177,813,215 | 292,491,935 | ||||||
Cost of shares redeemed | (1,589,791,238 | ) | (2,160,707,258 | ) | ||||
Net increase in net assets resulting | ||||||||
from capital share transactions | 1,610,434,757 | 3,643,770,043 | ||||||
DISTRIBUTIONS TO | ||||||||
INSTITUTIONAL CLASS SHAREHOLDERS: | ||||||||
From net investment income | (188,931,410 | ) | (306,556,891 | ) | ||||
Total Distributions | (188,931,410 | ) | (306,556,891 | ) | ||||
DISTRIBUTIONS TO | ||||||||
INVESTOR CLASS SHAREHOLDERS: | ||||||||
From net investment income | (9,185,981 | ) | (18,620,382 | ) | ||||
Total Distributions | (9,185,981 | ) | (18,620,382 | ) | ||||
TOTAL INCREASE IN NET ASSETS | 1,146,541,272 | 3,829,186,515 | ||||||
NET ASSETS: | ||||||||
Beginning of period | 14,408,210,871 | 10,579,024,356 | ||||||
End of period (including accumulated | ||||||||
undistributed net investment income | ||||||||
of $2,833,909 and $411,465, respectively) | $ | 15,554,752,143 | $ | 14,408,210,871 |
The accompanying notes are an integral part of these financial statements.
Page 83
Statements of Changes in Net Assets
Baird Core Plus Bond Fund
Six Months Ended | ||||||||
June 30, 2018 | Year Ended | |||||||
(Unaudited) | December 31, 2017 | |||||||
OPERATIONS: | ||||||||
Net investment income | $ | 243,258,815 | $ | 382,254,125 | ||||
Net realized gain (loss) on investments | (45,357,339 | ) | 4,924,250 | |||||
Change in unrealized appreciation (depreciation) | ||||||||
on investments | (489,650,341 | ) | 255,225,834 | |||||
Net increase (decrease) in net assets | ||||||||
resulting from operations | (291,748,865 | ) | 642,404,209 | |||||
CAPITAL SHARE TRANSACTIONS: | ||||||||
Proceeds from shares sold | 3,979,236,033 | 6,092,321,719 | ||||||
Shares issued to holders in | ||||||||
reinvestment of distributions | 220,108,310 | 382,795,347 | ||||||
Cost of shares redeemed | (2,031,839,804 | ) | (3,265,688,109 | ) | ||||
Net increase in net assets resulting | ||||||||
from capital share transactions | 2,167,504,539 | 3,209,428,957 | ||||||
DISTRIBUTIONS TO | ||||||||
INSTITUTIONAL CLASS SHAREHOLDERS: | ||||||||
From net investment income | (207,012,600 | ) | (338,748,094 | ) | ||||
Total Distributions | (207,012,600 | ) | (338,748,094 | ) | ||||
DISTRIBUTIONS TO | ||||||||
INVESTOR CLASS SHAREHOLDERS: | ||||||||
From net investment income | (29,959,101 | ) | (67,363,694 | ) | ||||
Total Distributions | (29,959,101 | ) | (67,363,694 | ) | ||||
TOTAL INCREASE IN NET ASSETS | 1,638,783,973 | 3,445,721,378 | ||||||
NET ASSETS: | ||||||||
Beginning of period | 16,351,166,422 | 12,905,445,044 | ||||||
End of period (including accumulated | ||||||||
undistributed net investment income | ||||||||
of $7,013,614 and $726,500, respectively) | $ | 17,989,950,395 | $ | 16,351,166,422 |
The accompanying notes are an integral part of these financial statements.
Page 84
Statements of Changes in Net Assets
Baird Short-Term Municipal Bond Fund
Six Months Ended | ||||||||
June 30, 2018 | Year Ended | |||||||
(Unaudited) | December 31, 2017 | |||||||
OPERATIONS: | ||||||||
Net investment income | $ | 1,812,149 | $ | 1,422,218 | ||||
Net realized gain (loss) on investments | (69,677 | ) | 87,302 | |||||
Change in unrealized appreciation (depreciation) | ||||||||
on investments | (319,146 | ) | 379,262 | |||||
Net increase in net assets | ||||||||
resulting from operations | 1,423,326 | 1,888,782 | ||||||
CAPITAL SHARE TRANSACTIONS: | ||||||||
Proceeds from shares sold | 162,175,256 | 102,613,395 | ||||||
Shares issued to holders in | ||||||||
reinvestment of distributions | 1,343,528 | 1,032,531 | ||||||
Cost of shares redeemed | (48,747,807 | ) | (36,966,769 | ) | ||||
Net increase in net assets resulting | ||||||||
from capital share transactions | 114,770,977 | 66,679,157 | ||||||
DISTRIBUTIONS TO | ||||||||
INSTITUTIONAL CLASS SHAREHOLDERS: | ||||||||
From net investment income | (1,366,000 | ) | (1,369,931 | ) | ||||
From net realized gains | — | (36,967 | ) | |||||
Total Distributions | (1,366,000 | ) | (1,406,898 | ) | ||||
DISTRIBUTIONS TO | ||||||||
INVESTOR CLASS SHAREHOLDERS: | ||||||||
From net investment income | (355,134 | ) | (49,506 | ) | ||||
From net realized gains | — | (1,624 | ) | |||||
Total Distributions | (355,134 | ) | (51,130 | ) | ||||
TOTAL INCREASE IN NET ASSETS | 114,473,169 | 67,109,911 | ||||||
NET ASSETS: | ||||||||
Beginning of period | 125,803,801 | 58,693,890 | ||||||
End of period (including accumulated | ||||||||
undistributed net investment income | ||||||||
of $96,241 and $5,226, respectively) | $ | 240,276,970 | $ | 125,803,801 |
The accompanying notes are an integral part of these financial statements.
Page 85
Statements of Changes in Net Assets
Baird Quality Intermediate Municipal Bond Fund
Six Months Ended | ||||||||
June 30, 2018 | Year Ended | |||||||
(Unaudited) | December 31, 2017 | |||||||
OPERATIONS: | ||||||||
Net investment income | $ | 13,662,693 | $ | 24,318,881 | ||||
Net realized loss on investments | (957,711 | ) | (953,373 | ) | ||||
Change in unrealized appreciation (depreciation) | ||||||||
on investments | (16,077,669 | ) | 8,751,823 | |||||
Net increase (decrease) in net assets | ||||||||
resulting from operations | (3,372,687 | ) | 32,117,331 | |||||
CAPITAL SHARE TRANSACTIONS: | ||||||||
Proceeds from shares sold | 207,301,801 | 456,788,210 | ||||||
Shares issued to holders in | ||||||||
reinvestment of distributions | 11,280,459 | 21,217,912 | ||||||
Cost of shares redeemed | (182,764,676 | ) | (406,613,328 | ) | ||||
Net increase in net assets resulting | ||||||||
from capital share transactions | 35,817,584 | 71,392,794 | ||||||
DISTRIBUTIONS TO | ||||||||
INSTITUTIONAL CLASS SHAREHOLDERS: | ||||||||
From net investment income | (12,079,038 | ) | (21,803,402 | ) | ||||
From return of capital | — | (53,232 | ) | |||||
Total Distributions | (12,079,038 | ) | (21,856,634 | ) | ||||
DISTRIBUTIONS TO | ||||||||
INVESTOR CLASS SHAREHOLDERS: | ||||||||
From net investment income | (986,006 | ) | (2,515,479 | ) | ||||
From return of capital | — | (6,141 | ) | |||||
Total Distributions | (986,006 | ) | (2,521,620 | ) | ||||
TOTAL INCREASE IN NET ASSETS | 19,379,853 | 79,131,871 | ||||||
NET ASSETS: | ||||||||
Beginning of period | 1,151,416,015 | 1,072,284,144 | ||||||
End of period (including accumulated | ||||||||
undistributed net investment income | ||||||||
of $597,649 and $0, respectively) | $ | 1,170,795,868 | $ | 1,151,416,015 |
The accompanying notes are an integral part of these financial statements.
Page 86
Statements of Changes in Net Assets
Baird Core Intermediate Municipal Bond Fund
Six Months Ended | ||||||||
June 30, 2018 | Year Ended | |||||||
(Unaudited) | December 31, 2017 | |||||||
OPERATIONS: | ||||||||
Net investment income | $ | 2,885,805 | $ | 3,113,852 | ||||
Net realized gain (loss) on investments | (178,642 | ) | 289,925 | |||||
Change in unrealized appreciation (depreciation) | ||||||||
on investments | (3,024,507 | ) | 3,775,908 | |||||
Net increase (decrease) in net assets | ||||||||
resulting from operations | (317,344 | ) | 7,179,685 | |||||
CAPITAL SHARE TRANSACTIONS: | ||||||||
Proceeds from shares sold | 86,629,832 | 154,074,208 | ||||||
Shares issued to holders in | ||||||||
reinvestment of distributions | 1,747,192 | 1,974,464 | ||||||
Cost of shares redeemed | (47,278,853 | ) | (21,309,164 | ) | ||||
Net increase in net assets resulting | ||||||||
from capital share transactions | 41,098,171 | 134,739,508 | ||||||
DISTRIBUTIONS TO | ||||||||
INSTITUTIONAL CLASS SHAREHOLDERS: | ||||||||
From net investment income | (2,750,155 | ) | (3,078,238 | ) | ||||
Total Distributions | (2,750,155 | ) | (3,078,238 | ) | ||||
DISTRIBUTIONS TO | ||||||||
INVESTOR CLASS SHAREHOLDERS: | ||||||||
From net investment income | (14,396 | ) | (27,172 | ) | ||||
Total Distributions | (14,396 | ) | (27,172 | ) | ||||
TOTAL INCREASE IN NET ASSETS | 38,016,276 | 138,813,783 | ||||||
NET ASSETS: | ||||||||
Beginning of period | 236,518,277 | 97,704,494 | ||||||
End of period (including accumulated | ||||||||
undistributed net investment income | ||||||||
of $132,844 and $11,590, respectively) | $ | 274,534,553 | $ | 236,518,277 |
The accompanying notes are an integral part of these financial statements.
Page 87
Financial Highlights
Baird Ultra Short Bond Fund – Institutional Class
Six Months | ||||||||||||||||||||
Ended | ||||||||||||||||||||
June 30, 2018 | Year Ended December 31, | |||||||||||||||||||
(Unaudited) | 2017 | 2016 | 2015 | 2014 | ||||||||||||||||
Per Share Data: | ||||||||||||||||||||
Net asset value, | ||||||||||||||||||||
beginning of period | $ | 10.03 | $ | 10.03 | $ | 9.98 | $ | 10.03 | $ | 10.00 | ||||||||||
Income from | ||||||||||||||||||||
investment operations: | ||||||||||||||||||||
Net investment income | 0.10 | (1) | 0.13 | (1) | 0.11 | (1) | 0.08 | (1) | 0.09 | |||||||||||
Net realized and unrealized | ||||||||||||||||||||
gains (losses) on investments | (0.01 | ) | 0.00 | (2)(3) | 0.04 | (0.05 | ) | 0.03 | (3) | |||||||||||
Total from investment operations | 0.09 | 0.13 | 0.15 | 0.03 | 0.12 | |||||||||||||||
Less distributions: | ||||||||||||||||||||
Distributions from net | ||||||||||||||||||||
investment income | (0.09 | ) | (0.13 | ) | (0.10 | ) | (0.08 | ) | (0.09 | ) | ||||||||||
Total distributions | (0.09 | ) | (0.13 | ) | (0.10 | ) | (0.08 | ) | (0.09 | ) | ||||||||||
Net asset value, end of period | $ | 10.03 | $ | 10.03 | $ | 10.03 | $ | 9.98 | $ | 10.03 | ||||||||||
Total return | 0.87 | %(5) | 1.30 | % | 1.56 | % | 0.30 | % | 1.21 | % | ||||||||||
Supplemental data and ratios: | ||||||||||||||||||||
Net assets, end of period (millions) | $ | 691.5 | $ | 532.0 | $ | 387.3 | $ | 189.3 | $ | 84.5 | ||||||||||
Ratio of expenses to average net assets | 0.15 | %(6) | 0.15 | % | 0.15 | % | 0.15 | % | 0.15 | % | ||||||||||
Ratio of expenses to average | ||||||||||||||||||||
net assets (before waivers) | 0.30 | %(6) | 0.30 | % | 0.30 | % | 0.30 | % | 0.30 | % | ||||||||||
Ratio of net investment income | ||||||||||||||||||||
to average net assets | 1.92 | %(6) | 1.31 | % | 1.05 | % | 0.78 | % | 0.93 | % | ||||||||||
Ratio of net investment income | ||||||||||||||||||||
to average net assets (before waivers) | 1.77 | %(6) | 1.16 | % | 0.90 | % | 0.63 | % | 0.78 | % | ||||||||||
Portfolio turnover rate(4) | 36 | %(5) | 83 | % | 97 | % | 66 | % | 58 | % |
(1) | Calculated using average shares outstanding during the period. |
(2) | Amount is less than $0.005. |
(3) | Due to timing of capital share transactions, the per share amount of net realized and unrealized gain (loss) on investments varies from the amounts shown in the statement of operations. |
(4) | Portfolio turnover is calculated on the basis of the Fund as a whole without distinguishing between the classes of shares issued. |
(5) | Not annualized. |
(6) | Annualized. |
The accompanying notes are an integral part of these financial statements.
Page 88
Financial Highlights
Baird Ultra Short Bond Fund – Investor Class
Six Months | ||||||||||||||||||||
Ended | ||||||||||||||||||||
June 30, 2018 | Year Ended December 31, | |||||||||||||||||||
(Unaudited) | 2017 | 2016 | 2015 | 2014 | ||||||||||||||||
Per Share Data: | ||||||||||||||||||||
Net asset value, | ||||||||||||||||||||
beginning of period | $ | 10.03 | $ | 10.03 | $ | 9.98 | $ | 10.02 | $ | 10.00 | ||||||||||
Income from | ||||||||||||||||||||
investment operations: | ||||||||||||||||||||
Net investment income | 0.10 | (1) | 0.11 | (1) | 0.08 | (1) | 0.05 | (1) | 0.07 | |||||||||||
Net realized and unrealized | ||||||||||||||||||||
gains (losses) on investments | (0.03 | ) | (0.01 | ) | 0.05 | (0.03 | ) | 0.02 | (3) | |||||||||||
Total from investment operations | 0.07 | 0.10 | 0.13 | 0.02 | 0.09 | |||||||||||||||
Less distributions: | ||||||||||||||||||||
Distributions from net | ||||||||||||||||||||
investment income | (0.08 | ) | (0.10 | ) | (0.08 | ) | (0.06 | ) | (0.07 | ) | ||||||||||
Total distributions | (0.08 | ) | (0.10 | ) | (0.08 | ) | (0.06 | ) | (0.07 | ) | ||||||||||
Net asset value, end of period | $ | 10.02 | $ | 10.03 | $ | 10.03 | $ | 9.98 | $ | 10.02 | ||||||||||
Total return | 0.66 | %(4) | 1.05 | % | 1.32 | % | 0.16 | % | 0.88 | % | ||||||||||
Supplemental data and ratios: | ||||||||||||||||||||
Net assets, end of period (millions) | $ | 13.3 | $ | 7.6 | $ | 5.2 | $ | 1.2 | $ | 0.9 | ||||||||||
Ratio of expenses to average net assets | 0.40 | %(5) | 0.40 | % | 0.40 | % | 0.40 | % | 0.40 | % | ||||||||||
Ratio of expenses to average | ||||||||||||||||||||
net assets (before waivers) | 0.55 | %(5) | 0.55 | % | 0.55 | % | 0.55 | % | 0.55 | % | ||||||||||
Ratio of net investment income | ||||||||||||||||||||
to average net assets | 1.67 | %(5) | 1.06 | % | 0.80 | % | 0.53 | % | 0.68 | % | ||||||||||
Ratio of net investment income | ||||||||||||||||||||
to average net assets (before waivers) | 1.52 | %(5) | 0.91 | % | 0.65 | % | 0.38 | % | 0.53 | % | ||||||||||
Portfolio turnover rate(2) | 36 | %(4) | 83 | % | 97 | % | 66 | % | 58 | % |
(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. |
(3) | 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. |
(4) | Not annualized. |
(5) | Annualized. |
The accompanying notes are an integral part of these financial statements.
Page 89
Financial Highlights
Baird Short-Term Bond Fund – Institutional Class
Six Months | ||||||||||||||||||||||||
Ended | ||||||||||||||||||||||||
June 30, 2018 | Year Ended December 31, | |||||||||||||||||||||||
(Unaudited) | 2017 | 2016 | 2015 | 2014 | 2013 | |||||||||||||||||||
Per Share Data: | ||||||||||||||||||||||||
Net asset value, | ||||||||||||||||||||||||
beginning of period | $ | 9.64 | $ | 9.66 | $ | 9.60 | $ | 9.67 | $ | 9.69 | $ | 9.75 | ||||||||||||
Income from | ||||||||||||||||||||||||
investment operations: | ||||||||||||||||||||||||
Net investment income | 0.10 | (1) | 0.17 | (1) | 0.15 | (1) | 0.13 | (1) | 0.16 | 0.17 | (1) | |||||||||||||
Net realized and unrealized | ||||||||||||||||||||||||
gains (losses) on investments | (0.09 | ) | (0.02 | ) | 0.06 | (0.05 | ) | (0.01 | ) | (0.04 | ) | |||||||||||||
Total from | ||||||||||||||||||||||||
investment operations | 0.01 | 0.15 | 0.21 | 0.08 | 0.15 | 0.13 | ||||||||||||||||||
Less distributions: | ||||||||||||||||||||||||
Distributions from net | ||||||||||||||||||||||||
investment income | (0.09 | ) | (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 | (0.09 | ) | (0.17 | ) | (0.15 | ) | (0.15 | ) | (0.17 | ) | (0.19 | ) | ||||||||||||
Net asset value, end of period | $ | 9.56 | $ | 9.64 | $ | 9.66 | $ | 9.60 | $ | 9.67 | $ | 9.69 | ||||||||||||
Total return | 0.12 | %(4) | 1.53 | % | 2.25 | % | 0.89 | % | 1.49 | % | 1.33 | % | ||||||||||||
Supplemental data and ratios: | ||||||||||||||||||||||||
Net assets, | ||||||||||||||||||||||||
end of period (millions) | $ | 5,674.3 | $ | 5,399.7 | $ | 3,769.3 | $ | 2,976.0 | $ | 2,640.9 | $ | 1,985.0 | ||||||||||||
Ratio of expenses to | ||||||||||||||||||||||||
average net assets | 0.30 | %(5) | 0.30 | % | 0.30 | % | 0.30 | % | 0.30 | % | 0.30 | % | ||||||||||||
Ratio of net investment | ||||||||||||||||||||||||
income to average net assets | 2.03 | %(5) | 1.73 | % | 1.57 | % | 1.30 | % | 1.56 | % | 1.71 | % | ||||||||||||
Portfolio turnover rate(3) | 25 | %(4) | 55 | % | 44 | % | 38 | % | 51 | % | 45 | % |
(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. |
(4) | Not annualized. |
(5) | Annualized. |
The accompanying notes are an integral part of these financial statements.
Page 90
Financial Highlights
Baird Short-Term Bond Fund – Investor Class
Six Months | ||||||||||||||||||||||||
Ended | ||||||||||||||||||||||||
June 30, 2018 | Year Ended December 31, | |||||||||||||||||||||||
(Unaudited) | 2017 | 2016 | 2015 | 2014 | 2013 | |||||||||||||||||||
Per Share Data: | ||||||||||||||||||||||||
Net asset value, | ||||||||||||||||||||||||
beginning of period | $ | 9.64 | $ | 9.66 | $ | 9.60 | $ | 9.67 | $ | 9.69 | $ | 9.75 | ||||||||||||
Income from | ||||||||||||||||||||||||
investment operations: | ||||||||||||||||||||||||
Net investment income | 0.08 | (1) | 0.14 | (1) | 0.13 | (1) | 0.10 | (1) | 0.14 | 0.15 | (1) | |||||||||||||
Net realized and unrealized | ||||||||||||||||||||||||
gains (losses) on investments | (0.09 | ) | (0.02 | ) | 0.06 | (0.04 | ) | (0.02 | ) | (0.04 | ) | |||||||||||||
Total from | ||||||||||||||||||||||||
investment operations | (0.01 | ) | 0.12 | 0.19 | 0.06 | 0.12 | 0.11 | |||||||||||||||||
Less distributions: | ||||||||||||||||||||||||
Distributions from net | ||||||||||||||||||||||||
investment income | (0.08 | ) | (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 | (0.08 | ) | (0.14 | ) | (0.13 | ) | (0.13 | ) | (0.14 | ) | (0.17 | ) | ||||||||||||
Net asset value, end of period | $ | 9.55 | $ | 9.64 | $ | 9.66 | $ | 9.60 | $ | 9.67 | $ | 9.69 | ||||||||||||
Total return | (0.10 | )%(4) | 1.28 | % | 2.00 | % | 0.64 | % | 1.25 | % | 1.11 | % | ||||||||||||
Supplemental data and ratios: | ||||||||||||||||||||||||
Net assets, | ||||||||||||||||||||||||
end of period (millions) | $ | 142.5 | $ | 134.9 | $ | 104.9 | $ | 40.6 | $ | 35.8 | $ | 2.5 | ||||||||||||
Ratio of expenses to | ||||||||||||||||||||||||
average net assets | 0.55 | %(5) | 0.55 | % | 0.55 | % | 0.55 | % | 0.55 | % | 0.55 | % | ||||||||||||
Ratio of net investment | ||||||||||||||||||||||||
income to average net assets | 1.78 | %(5) | 1.48 | % | 1.32 | % | 1.05 | % | 1.31 | % | 1.46 | % | ||||||||||||
Portfolio turnover rate(3) | 25 | %(4) | 55 | % | 44 | % | 38 | % | 51 | % | 45 | % |
(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. |
(4) | Not annualized. |
(5) | Annualized. |
The accompanying notes are an integral part of these financial statements.
Page 91
Financial Highlights
Baird Intermediate Bond Fund – Institutional Class
Six Months | ||||||||||||||||||||||||
Ended | ||||||||||||||||||||||||
June 30, 2018 | Year Ended December 31, | |||||||||||||||||||||||
(Unaudited) | 2017 | 2016 | 2015 | 2014 | 2013 | |||||||||||||||||||
Per Share Data: | ||||||||||||||||||||||||
Net asset value, | ||||||||||||||||||||||||
beginning of period | $ | 11.01 | $ | 10.97 | $ | 10.93 | $ | 11.10 | $ | 11.00 | $ | 11.31 | ||||||||||||
Income from | ||||||||||||||||||||||||
investment operations: | ||||||||||||||||||||||||
Net investment income | 0.13 | (1) | 0.26 | (1) | 0.25 | (1) | 0.24 | (1) | 0.26 | (1) | 0.27 | |||||||||||||
Net realized and unrealized | ||||||||||||||||||||||||
gains (losses) on investments | (0.26 | ) | 0.04 | 0.06 | (0.13 | ) | 0.13 | (0.29 | ) | |||||||||||||||
Total from | ||||||||||||||||||||||||
investment operations | (0.13 | ) | 0.30 | 0.31 | 0.11 | 0.39 | (0.02 | ) | ||||||||||||||||
Less distributions: | ||||||||||||||||||||||||
Distributions from net | ||||||||||||||||||||||||
investment income | (0.12 | ) | (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 | (0.12 | ) | (0.26 | ) | (0.27 | ) | (0.28 | ) | (0.29 | ) | (0.29 | ) | ||||||||||||
Net asset value, end of period | $ | 10.76 | $ | 11.01 | $ | 10.97 | $ | 10.93 | $ | 11.10 | $ | 11.00 | ||||||||||||
Total return | (1.16 | )%(4) | 2.74 | % | 2.83 | % | 0.99 | % | 3.50 | % | (0.17 | )% | ||||||||||||
Supplemental data and ratios: | ||||||||||||||||||||||||
Net assets, | ||||||||||||||||||||||||
end of period (millions) | $ | 3,276.1 | $ | 2,902.0 | $ | 2,209.1 | $ | 1,787.0 | $ | 1,468.2 | $ | 1,113.7 | ||||||||||||
Ratio of expenses to | ||||||||||||||||||||||||
average net assets | 0.30 | %(5) | 0.30 | % | 0.30 | % | 0.30 | % | 0.30 | % | 0.30 | % | ||||||||||||
Ratio of net investment | ||||||||||||||||||||||||
income to average net assets | 2.42 | %(5) | 2.32 | % | 2.21 | % | 2.14 | % | 2.37 | % | 2.45 | % | ||||||||||||
Portfolio turnover rate(3) | 14 | %(4) | 31 | % | 30 | % | 39 | % | 29 | % | 45 | % |
(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. |
(4) | Not annualized. |
(5) | Annualized. |
The accompanying notes are an integral part of these financial statements.
Page 92
Financial Highlights
Baird Intermediate Bond Fund – Investor Class
Six Months | ||||||||||||||||||||||||
Ended | ||||||||||||||||||||||||
June 30, 2018 | Year Ended December 31, | |||||||||||||||||||||||
(Unaudited) | 2017 | 2016 | 2015 | 2014 | 2013 | |||||||||||||||||||
Per Share Data: | ||||||||||||||||||||||||
Net asset value, | ||||||||||||||||||||||||
beginning of period | $ | 11.50 | $ | 11.44 | $ | 11.39 | $ | 11.56 | $ | 11.43 | $ | 11.74 | ||||||||||||
Income from | ||||||||||||||||||||||||
investment operations: | ||||||||||||||||||||||||
Net investment income | 0.11 | (1) | 0.24 | (1) | 0.23 | (1) | 0.22 | (1) | 0.25 | (1) | 0.25 | |||||||||||||
Net realized and unrealized | ||||||||||||||||||||||||
gains (losses) on investments | (0.26 | ) | 0.04 | 0.06 | (0.14 | ) | 0.14 | (0.29 | ) | |||||||||||||||
Total from | ||||||||||||||||||||||||
investment operations | (0.15 | ) | 0.28 | 0.29 | 0.08 | 0.39 | (0.04 | ) | ||||||||||||||||
Less distributions: | ||||||||||||||||||||||||
Distributions from net | ||||||||||||||||||||||||
investment income | (0.11 | ) | (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 | (0.11 | ) | (0.22 | ) | (0.24 | ) | (0.25 | ) | (0.26 | ) | (0.27 | ) | ||||||||||||
Net asset value, end of period | $ | 11.24 | $ | 11.50 | $ | 11.44 | $ | 11.39 | $ | 11.56 | $ | 11.43 | ||||||||||||
Total return | (1.31 | )%(4) | 2.53 | % | 2.55 | % | 0.79 | % | 3.29 | % | (0.41 | )% | ||||||||||||
Supplemental data and ratios: | ||||||||||||||||||||||||
Net assets, | ||||||||||||||||||||||||
end of period (millions) | $ | 46.4 | $ | 53.9 | $ | 98.1 | $ | 103.4 | $ | 115.6 | $ | 42.1 | ||||||||||||
Ratio of expenses to | ||||||||||||||||||||||||
average net assets | 0.55 | %(5) | 0.55 | % | 0.55 | % | 0.55 | % | 0.55 | % | 0.55 | % | ||||||||||||
Ratio of net investment | ||||||||||||||||||||||||
income to average net assets | 2.17 | %(5) | 2.07 | % | 1.96 | % | 1.89 | % | 2.12 | % | 2.20 | % | ||||||||||||
Portfolio turnover rate(3) | 14 | %(4) | 31 | % | 30 | % | 39 | % | 29 | % | 45 | % |
(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. |
(4) | Not annualized. |
(5) | Annualized. |
The accompanying notes are an integral part of these financial statements.
Page 93
Financial Highlights
Baird Aggregate Bond Fund – Institutional Class
Six Months | ||||||||||||||||||||||||
Ended | ||||||||||||||||||||||||
June 30, 2018 | Year Ended December 31, | |||||||||||||||||||||||
(Unaudited) | 2017 | 2016 | 2015 | 2014 | 2013 | |||||||||||||||||||
Per Share Data: | ||||||||||||||||||||||||
Net asset value, | ||||||||||||||||||||||||
beginning of period | $ | 10.87 | $ | 10.70 | $ | 10.61 | $ | 10.81 | $ | 10.41 | $ | 10.89 | ||||||||||||
Income from | ||||||||||||||||||||||||
investment operations: | ||||||||||||||||||||||||
Net investment income | 0.14 | (1) | 0.26 | (1) | 0.25 | (1) | 0.24 | (1) | 0.30 | 0.32 | (1) | |||||||||||||
Net realized and unrealized | ||||||||||||||||||||||||
gains (losses) on investments | (0.33 | ) | 0.19 | 0.12 | (0.18 | ) | 0.41 | (0.45 | ) | |||||||||||||||
Total from | ||||||||||||||||||||||||
investment operations | (0.19 | ) | 0.45 | 0.37 | 0.06 | 0.71 | (0.13 | ) | ||||||||||||||||
Less distributions: | ||||||||||||||||||||||||
Distributions from net | ||||||||||||||||||||||||
investment income | (0.14 | ) | (0.28 | ) | (0.26 | ) | (0.26 | ) | (0.31 | ) | (0.35 | ) | ||||||||||||
Distributions from | ||||||||||||||||||||||||
net realized gains | — | — | (0.02 | ) | — | — | — | |||||||||||||||||
Total distributions | (0.14 | ) | (0.28 | ) | (0.28 | ) | (0.26 | ) | (0.31 | ) | (0.35 | ) | ||||||||||||
Net asset value, end of period | $ | 10.54 | $ | 10.87 | $ | 10.70 | $ | 10.61 | $ | 10.81 | $ | 10.41 | ||||||||||||
Total return | (1.76 | )%(3) | 4.20 | % | 3.52 | % | 0.55 | % | 6.89 | % | (1.25 | )% | ||||||||||||
Supplemental data and ratios: | ||||||||||||||||||||||||
Net assets, | ||||||||||||||||||||||||
end of period (millions) | $ | 14,781.5 | $ | 13,582.8 | $ | 9,769.9 | $ | 6,318.4 | $ | 3,448.6 | $ | 1,665.0 | ||||||||||||
Ratio of expenses to | ||||||||||||||||||||||||
average net assets | 0.30 | %(4) | 0.30 | % | 0.30 | % | 0.30 | % | 0.30 | % | 0.30 | % | ||||||||||||
Ratio of net investment | ||||||||||||||||||||||||
income to average net assets | 2.69 | %(4) | 2.40 | % | 2.25 | % | 2.24 | % | 2.81 | % | 3.01 | % | ||||||||||||
Portfolio turnover rate(2) | 12 | %(3) | 28 | % | 36 | % | 40 | % | 32 | % | 28 | % |
(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. |
(3) | Not annualized. |
(4) | Annualized. |
The accompanying notes are an integral part of these financial statements.
Page 94
Financial Highlights
Baird Aggregate Bond Fund – Investor Class
Six Months | ||||||||||||||||||||||||
Ended | ||||||||||||||||||||||||
June 30, 2018 | Year Ended December 31, | |||||||||||||||||||||||
(Unaudited) | 2017 | 2016 | 2015 | 2014 | 2013 | |||||||||||||||||||
Per Share Data: | ||||||||||||||||||||||||
Net asset value, | ||||||||||||||||||||||||
beginning of period | $ | 11.23 | $ | 11.05 | $ | 10.94 | $ | 11.15 | $ | 10.72 | $ | 11.21 | ||||||||||||
Income from | ||||||||||||||||||||||||
investment operations: | ||||||||||||||||||||||||
Net investment income | 0.13 | (1) | 0.24 | (1) | 0.23 | (1) | 0.22 | (1) | 0.28 | 0.29 | (1) | |||||||||||||
Net realized and unrealized | ||||||||||||||||||||||||
gains (losses) on investments | (0.34 | ) | 0.19 | 0.14 | (0.20 | ) | 0.43 | (0.46 | ) | |||||||||||||||
Total from | ||||||||||||||||||||||||
investment operations | (0.21 | ) | 0.43 | 0.37 | 0.02 | 0.71 | (0.17 | ) | ||||||||||||||||
Less distributions: | ||||||||||||||||||||||||
Distributions from net | ||||||||||||||||||||||||
investment income | (0.13 | ) | (0.25 | ) | (0.24 | ) | (0.23 | ) | (0.28 | ) | (0.32 | ) | ||||||||||||
Distributions from | ||||||||||||||||||||||||
net realized gains | — | — | (0.02 | ) | — | — | — | |||||||||||||||||
Total distributions | (0.13 | ) | (0.25 | ) | (0.26 | ) | (0.23 | ) | (0.28 | ) | (0.32 | ) | ||||||||||||
Net asset value, end of period | $ | 10.89 | $ | 11.23 | $ | 11.05 | $ | 10.94 | $ | 11.15 | $ | 10.72 | ||||||||||||
Total return | (1.91 | )%(3) | 3.90 | % | 3.34 | % | 0.21 | % | 6.71 | % | (1.54 | )% | ||||||||||||
Supplemental data and ratios: | ||||||||||||||||||||||||
Net assets, | ||||||||||||||||||||||||
end of period (millions) | $ | 773.3 | $ | 825.4 | $ | 809.1 | $ | 429.6 | $ | 241.7 | $ | 141.9 | ||||||||||||
Ratio of expenses to | ||||||||||||||||||||||||
average net assets | 0.55 | %(4) | 0.55 | % | 0.55 | % | 0.55 | % | 0.55 | % | 0.55 | % | ||||||||||||
Ratio of net investment | ||||||||||||||||||||||||
income to average net assets | 2.44 | %(4) | 2.15 | % | 2.00 | % | 1.99 | % | 2.56 | % | 2.76 | % | ||||||||||||
Portfolio turnover rate(2) | 12 | %(3) | 28 | % | 36 | % | 40 | % | 32 | % | 28 | % |
(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. |
(3) | Not annualized. |
(4) | Annualized. |
The accompanying notes are an integral part of these financial statements.
Page 95
Financial Highlights
Baird Core Plus Bond Fund – Institutional Class
Six Months | ||||||||||||||||||||||||
Ended | ||||||||||||||||||||||||
June 30, 2018 | Year Ended December 31, | |||||||||||||||||||||||
(Unaudited) | 2017 | 2016 | 2015 | 2014 | 2013 | |||||||||||||||||||
Per Share Data: | ||||||||||||||||||||||||
Net asset value, | ||||||||||||||||||||||||
beginning of period | $ | 11.22 | $ | 11.03 | $ | 10.85 | $ | 11.14 | $ | 10.77 | $ | 11.27 | ||||||||||||
Income from | ||||||||||||||||||||||||
investment operations: | ||||||||||||||||||||||||
Net investment income | 0.16 | (1) | 0.30 | (1) | 0.29 | (1) | 0.28 | (1) | 0.32 | 0.31 | ||||||||||||||
Net realized and unrealized | ||||||||||||||||||||||||
gains (losses) on investments | (0.36 | ) | 0.21 | 0.22 | (0.26 | ) | 0.38 | (0.46 | ) | |||||||||||||||
Total from | ||||||||||||||||||||||||
investment operations | (0.20 | ) | 0.51 | 0.51 | 0.02 | 0.70 | (0.15 | ) | ||||||||||||||||
Less distributions: | ||||||||||||||||||||||||
Distributions from net | ||||||||||||||||||||||||
investment income | (0.15 | ) | (0.32 | ) | (0.31 | ) | (0.31 | ) | (0.33 | ) | (0.34 | ) | ||||||||||||
Distributions from | ||||||||||||||||||||||||
net realized gains | — | — | (0.02 | ) | — | — | (0.01 | ) | ||||||||||||||||
Total distributions | (0.15 | ) | (0.32 | ) | (0.33 | ) | (0.31 | ) | (0.33 | ) | (0.35 | ) | ||||||||||||
Net asset value, end of period | $ | 10.87 | $ | 11.22 | $ | 11.03 | $ | 10.85 | $ | 11.14 | $ | 10.77 | ||||||||||||
Total return | (1.74 | )%(3) | 4.65 | % | 4.73 | % | 0.14 | % | 6.59 | % | (1.32 | )% | ||||||||||||
Supplemental data and ratios: | ||||||||||||||||||||||||
Net assets, | ||||||||||||||||||||||||
end of period (millions) | $ | 15,697.4 | $ | 13,920.2 | $ | 10,023.6 | $ | 7,199.8 | $ | 4,520.9 | $ | 1,789.7 | ||||||||||||
Ratio of expenses to | ||||||||||||||||||||||||
average net assets | 0.30 | %(4) | 0.30 | % | 0.30 | % | 0.30 | % | 0.30 | % | 0.30 | % | ||||||||||||
Ratio of net investment | ||||||||||||||||||||||||
income to average net assets | 2.93 | %(4) | 2.68 | % | 2.61 | % | 2.50 | % | 2.89 | % | 2.83 | % | ||||||||||||
Portfolio turnover rate(2) | 14 | %(3) | 30 | % | 33 | % | 34 | % | 35 | % | 36 | % |
(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. |
(3) | Not annualized. |
(4) | Annualized. |
The accompanying notes are an integral part of these financial statements.
Page 96
Financial Highlights
Baird Core Plus Bond Fund – Investor Class
Six Months | ||||||||||||||||||||||||
Ended | ||||||||||||||||||||||||
June 30, 2018 | Year Ended December 31, | |||||||||||||||||||||||
(Unaudited) | 2017 | 2016 | 2015 | 2014 | 2013 | |||||||||||||||||||
Per Share Data: | ||||||||||||||||||||||||
Net asset value, | ||||||||||||||||||||||||
beginning of period | $ | 11.68 | $ | 11.46 | $ | 11.26 | $ | 11.55 | $ | 11.16 | $ | 11.67 | ||||||||||||
Income from | ||||||||||||||||||||||||
investment operations: | ||||||||||||||||||||||||
Net investment income | 0.14 | (1) | 0.28 | (1) | 0.27 | (1) | 0.26 | (1) | 0.29 | 0.29 | ||||||||||||||
Net realized and unrealized | ||||||||||||||||||||||||
gains (losses) on investments | (0.36 | ) | 0.23 | 0.23 | (0.27 | ) | 0.40 | (0.48 | ) | |||||||||||||||
Total from | ||||||||||||||||||||||||
investment operations | (0.22 | ) | 0.51 | 0.50 | (0.01 | ) | 0.69 | (0.19 | ) | |||||||||||||||
Less distributions: | ||||||||||||||||||||||||
Distributions from net | ||||||||||||||||||||||||
investment income | (0.14 | ) | (0.29 | ) | (0.28 | ) | (0.28 | ) | (0.30 | ) | (0.31 | ) | ||||||||||||
Distributions from | ||||||||||||||||||||||||
net realized gains | — | — | (0.02 | ) | — | — | (0.01 | ) | ||||||||||||||||
Total distributions | (0.14 | ) | (0.29 | ) | (0.30 | ) | (0.28 | ) | (0.30 | ) | (0.32 | ) | ||||||||||||
Net asset value, end of period | $ | 11.32 | $ | 11.68 | $ | 11.46 | $ | 11.26 | $ | 11.55 | $ | 11.16 | ||||||||||||
Total return | (1.88 | )%(3) | 4.47 | % | 4.47 | % | (0.11 | )% | 6.27 | % | (1.61 | )% | ||||||||||||
Supplemental data and ratios: | ||||||||||||||||||||||||
Net assets, | ||||||||||||||||||||||||
end of period (millions) | $ | 2,292.5 | $ | 2,431.0 | $ | 2,881.8 | $ | 2,183.5 | $ | 2,195.7 | $ | 1,044.1 | ||||||||||||
Ratio of expenses to | ||||||||||||||||||||||||
average net assets | 0.55 | %(4) | 0.55 | % | 0.55 | % | 0.55 | % | 0.55 | % | 0.55 | % | ||||||||||||
Ratio of net investment | ||||||||||||||||||||||||
income to average net assets | 2.68 | %(4) | 2.43 | % | 2.36 | % | 2.25 | % | 2.64 | % | 2.58 | % | ||||||||||||
Portfolio turnover rate(2) | 14 | %(3) | 30 | % | 33 | % | 34 | % | 35 | % | 36 | % |
(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. |
(3) | Not annualized. |
(4) | Annualized. |
The accompanying notes are an integral part of these financial statements.
Page 97
Financial Highlights
Baird Short-Term Municipal Bond Fund – Institutional Class
Six Months | ||||||||||||||||
Ended | Period Ended | |||||||||||||||
June 30, 2018 | Year Ended December 31, | December 31, | ||||||||||||||
(Unaudited) | 2017 | 2016 | 2015(1) | |||||||||||||
Per Share Data: | ||||||||||||||||
Net asset value, beginning of period | $ | 10.08 | $ | 9.97 | $ | 10.04 | $ | 10.00 | ||||||||
Income from investment operations: | ||||||||||||||||
Net investment income(2) | 0.09 | 0.18 | 0.15 | 0.05 | ||||||||||||
Net realized and unrealized | ||||||||||||||||
gains (losses) on investments | (0.03 | ) | 0.10 | (0.08 | ) | 0.04 | ||||||||||
Total from investment operations | 0.06 | 0.28 | 0.07 | 0.09 | ||||||||||||
Less distributions: | ||||||||||||||||
Distributions from net investment income | (0.09 | ) | (0.17 | ) | (0.14 | ) | (0.04 | ) | ||||||||
Distributions from net realized gains | — | (0.00 | )(3) | (0.00 | )(3) | (0.01 | ) | |||||||||
Total distributions | (0.09 | ) | (0.17 | ) | (0.14 | ) | (0.05 | ) | ||||||||
Net asset value, end of period | $ | 10.05 | $ | 10.08 | $ | 9.97 | $ | 10.04 | ||||||||
Total return | 0.58 | %(4) | 2.84 | % | 0.71 | % | 0.94 | %(4) | ||||||||
Supplemental data and ratios: | ||||||||||||||||
Net assets, end of period (millions) | $ | 169.5 | $ | 120.9 | $ | 52.4 | $ | 12.3 | ||||||||
Ratio of expenses to average net assets | 0.30 | %(5) | 0.30 | % | 0.30 | % | 0.30 | %(5) | ||||||||
Ratio of net investment income | ||||||||||||||||
to average net assets | 1.97 | %(5) | 1.74 | % | 1.44 | % | 1.42 | %(5) | ||||||||
Portfolio turnover rate(6) | 77 | %(4) | 54 | % | 38 | % | 41 | %(4) |
(1) | Inception was close of business on August 31, 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 98
Financial Highlights
Baird Short-Term Municipal Bond Fund – Investor Class
Six Months | ||||||||||||||||
Ended | Period Ended | |||||||||||||||
June 30, 2018 | Year Ended December 31, | December 31, | ||||||||||||||
(Unaudited) | 2017 | 2016 | 2015(1) | |||||||||||||
Per Share Data: | ||||||||||||||||
Net asset value, beginning of period | $ | 10.06 | $ | 9.96 | $ | 10.04 | $ | 10.00 | ||||||||
Income from investment operations: | ||||||||||||||||
Net investment income(2) | 0.13 | 0.15 | 0.12 | 0.04 | ||||||||||||
Net realized and unrealized | ||||||||||||||||
gains (losses) on investments | (0.08 | ) | 0.09 | (0.08 | ) | 0.05 | ||||||||||
Total from investment operations | 0.05 | 0.24 | 0.04 | 0.09 | ||||||||||||
Less distributions: | ||||||||||||||||
Distributions from net investment income | (0.08 | ) | (0.14 | ) | (0.12 | ) | (0.04 | ) | ||||||||
Distributions from net realized gains | — | (0.00 | )(3) | (0.00 | )(3) | (0.01 | ) | |||||||||
Total distributions | (0.08 | ) | (0.14 | ) | (0.12 | ) | (0.05 | ) | ||||||||
Net asset value, end of period | $ | 10.03 | $ | 10.06 | $ | 9.96 | $ | 10.04 | ||||||||
Total return | 0.48 | %(4) | 2.45 | % | 0.40 | % | 0.86 | %(4) | ||||||||
Supplemental data and ratios: | ||||||||||||||||
Net assets, end of period (millions) | $ | 70.7 | $ | 4.9 | $ | 6.3 | $ | 0.1 | ||||||||
Ratio of expenses to average net assets | 0.55 | %(5) | 0.55 | % | 0.55 | % | 0.55 | %(5) | ||||||||
Ratio of net investment income | ||||||||||||||||
to average net assets | 1.72 | %(5) | 1.49 | % | 1.19 | % | 1.17 | %(5) | ||||||||
Portfolio turnover rate(6) | 77 | %(4) | 55 | % | 38 | % | 41 | %(4) |
(1) | Inception was close of business on August 31, 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 99
Financial Highlights
Baird Quality Intermediate Municipal Bond Fund – Institutional Class
Six Months | ||||||||||||||||||||||||
Ended | ||||||||||||||||||||||||
June 30, 2018 | Year Ended December 31, | |||||||||||||||||||||||
(Unaudited) | 2017 | 2016 | 2015 | 2014 | 2013 | |||||||||||||||||||
Per Share Data: | ||||||||||||||||||||||||
Net asset value, | ||||||||||||||||||||||||
beginning of period | $ | 11.52 | $ | 11.43 | $ | 11.74 | $ | 11.77 | $ | 11.55 | $ | 12.01 | ||||||||||||
Income from | ||||||||||||||||||||||||
investment operations: | ||||||||||||||||||||||||
Net investment income | 0.14 | (1) | 0.27 | (1) | 0.26 | (1) | 0.28 | (1) | 0.30 | 0.32 | (1) | |||||||||||||
Net realized and unrealized | ||||||||||||||||||||||||
gains (losses) on investments | (0.17 | ) | 0.09 | (0.31 | ) | (0.03 | ) | 0.22 | (0.46 | ) | ||||||||||||||
Total from | ||||||||||||||||||||||||
investment operations | (0.03 | ) | 0.36 | (0.05 | ) | 0.25 | 0.52 | (0.14 | ) | |||||||||||||||
Less distributions: | ||||||||||||||||||||||||
Distributions from net | ||||||||||||||||||||||||
investment income | (0.13 | ) | (0.27 | ) | (0.26 | ) | (0.28 | ) | (0.30 | ) | (0.32 | ) | ||||||||||||
Distributions from | ||||||||||||||||||||||||
return of capital | — | (0.00 | )(2) | — | — | — | — | |||||||||||||||||
Total distributions | (0.13 | ) | (0.27 | ) | (0.26 | ) | (0.28 | ) | (0.30 | ) | (0.32 | ) | ||||||||||||
Net asset value, end of period | $ | 11.36 | $ | 11.52 | $ | 11.43 | $ | 11.74 | $ | 11.77 | $ | 11.55 | ||||||||||||
Total return | (0.26 | )%(4) | 3.12 | % | (0.46 | )% | 2.19 | % | 4.54 | % | (1.19 | )% | ||||||||||||
Supplemental data and ratios: | ||||||||||||||||||||||||
Net assets, | ||||||||||||||||||||||||
end of period (millions) | $ | 1,079.6 | $ | 1,044.1 | $ | 936.2 | $ | 988.4 | $ | 918.9 | $ | 801.4 | ||||||||||||
Ratio of expenses to | ||||||||||||||||||||||||
average net assets | 0.30 | %(5) | 0.30 | % | 0.30 | % | 0.30 | % | 0.30 | % | 0.30 | % | ||||||||||||
Ratio of net investment | ||||||||||||||||||||||||
income to average net assets | 2.39 | %(5) | 2.29 | % | 2.19 | % | 2.42 | % | 2.56 | % | 2.65 | % | ||||||||||||
Portfolio turnover rate(3) | 19 | %(4) | 31 | % | 22 | % | 9 | % | 5 | % | 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. |
(4) | Not annualized. |
(5) | Annualized. |
The accompanying notes are an integral part of these financial statements.
Page 100
Financial Highlights
Baird Quality Intermediate Municipal Bond Fund – Investor Class
Six Months | ||||||||||||||||||||||||
Ended | ||||||||||||||||||||||||
June 30, 2018 | Year Ended December 31, | |||||||||||||||||||||||
(Unaudited) | 2017 | 2016 | 2015 | 2014 | 2013 | |||||||||||||||||||
Per Share Data: | ||||||||||||||||||||||||
Net asset value, | ||||||||||||||||||||||||
beginning of period | $ | 11.80 | $ | 11.69 | $ | 12.00 | $ | 12.03 | $ | 11.80 | $ | 12.26 | ||||||||||||
Income from | ||||||||||||||||||||||||
investment operations: | ||||||||||||||||||||||||
Net investment income | 0.11 | (1) | 0.24 | (1) | 0.23 | (1) | 0.26 | (1) | 0.28 | 0.29 | (1) | |||||||||||||
Net realized and unrealized | ||||||||||||||||||||||||
gains (losses) on investments | (0.16 | ) | 0.11 | (0.31 | ) | (0.04 | ) | 0.22 | (0.46 | ) | ||||||||||||||
Total from | ||||||||||||||||||||||||
investment operations | (0.05 | ) | 0.35 | (0.08 | ) | 0.22 | 0.50 | (0.17 | ) | |||||||||||||||
Less distributions: | ||||||||||||||||||||||||
Distributions from net | ||||||||||||||||||||||||
investment income | (0.12 | ) | (0.24 | ) | (0.23 | ) | (0.25 | ) | (0.27 | ) | (0.29 | ) | ||||||||||||
Distributions from | ||||||||||||||||||||||||
return of capital | — | (0.00 | )(2) | — | — | — | — | |||||||||||||||||
Total distributions | (0.12 | ) | (0.24 | ) | (0.23 | ) | (0.25 | ) | (0.27 | ) | (0.29 | ) | ||||||||||||
Net asset value, end of period | $ | 11.63 | $ | 11.80 | $ | 11.69 | $ | 12.00 | $ | 12.03 | $ | 11.80 | ||||||||||||
Total return | (0.46 | )%(4) | 2.97 | % | (0.70 | )% | 1.89 | % | 4.27 | % | (1.42 | )% | ||||||||||||
Supplemental data and ratios: | ||||||||||||||||||||||||
Net assets, | ||||||||||||||||||||||||
end of period (millions) | $ | 91.2 | $ | 107.3 | $ | 136.1 | $ | 160.3 | $ | 186.7 | $ | 205.6 | ||||||||||||
Ratio of expenses to | ||||||||||||||||||||||||
average net assets | 0.55 | %(5) | 0.55 | % | 0.55 | % | 0.55 | % | 0.55 | % | 0.55 | % | ||||||||||||
Ratio of net investment | ||||||||||||||||||||||||
income to average net assets | 2.14 | %(5) | 2.04 | % | 1.94 | % | 2.17 | % | 2.31 | % | 2.40 | % | ||||||||||||
Portfolio turnover rate(3) | 19 | %(4) | 31 | % | 22 | % | 9 | % | 5 | % | 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. |
(4) | Not annualized. |
(5) | Annualized. |
The accompanying notes are an integral part of these financial statements.
Page 101
Financial Highlights
Baird Core Intermediate Municipal Bond Fund – Institutional Class
Six Months | ||||||||||||||||
Ended | Period Ended | |||||||||||||||
June 30, 2018 | Year Ended December 31, | December 31, | ||||||||||||||
(Unaudited) | 2017 | 2016 | 2015(1) | |||||||||||||
Per Share Data: | ||||||||||||||||
Net asset value, beginning of period | $ | 10.32 | $ | 10.01 | $ | 10.13 | $ | 10.00 | ||||||||
Income from investment operations: | ||||||||||||||||
Net investment income(2) | 0.11 | 0.21 | 0.18 | 0.06 | ||||||||||||
Net realized and unrealized | ||||||||||||||||
gains (losses) on investments | (0.13 | ) | 0.30 | (0.05 | ) | 0.14 | ||||||||||
Total from investment operations | (0.02 | ) | 0.51 | 0.13 | 0.20 | |||||||||||
Less distributions: | ||||||||||||||||
Distributions from net investment income | (0.11 | ) | (0.20 | ) | (0.18 | ) | (0.06 | ) | ||||||||
Distributions from net realized gains | — | — | (0.07 | ) | (0.01 | ) | ||||||||||
Total distributions | (0.11 | ) | (0.20 | ) | (0.25 | ) | (0.07 | ) | ||||||||
Net asset value, end of period | $ | 10.19 | $ | 10.32 | $ | 10.01 | $ | 10.13 | ||||||||
Total return | (0.21 | )%(3) | 5.15 | % | 1.14 | % | 1.98 | %(3) | ||||||||
Supplemental data and ratios: | ||||||||||||||||
Net assets, end of period (millions) | $ | 272.3 | $ | 234.8 | $ | 96.3 | $ | 50.8 | ||||||||
Ratio of expenses to average net assets | 0.30 | %(4) | 0.30 | % | 0.30 | % | 0.30 | %(4) | ||||||||
Ratio of net investment income | ||||||||||||||||
to average net assets | 2.25 | %(4) | 2.04 | % | 1.79 | % | 1.75 | %(4) | ||||||||
Portfolio turnover rate(5) | 36 | %(3) | 66 | % | 95 | % | 108 | %(3) |
(1) | Inception was close of business on August 31, 2015. |
(2) | Calculated using average shares outstanding during the period. |
(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 102
Financial Highlights
Baird Core Intermediate Municipal Bond Fund – Investor Class
Six Months | ||||||||||||||||
Ended | Period Ended | |||||||||||||||
June 30, 2018 | Year Ended December 31, | December 31, | ||||||||||||||
(Unaudited) | 2017 | 2016 | 2015(1) | |||||||||||||
Per Share Data: | ||||||||||||||||
Net asset value, beginning of period | $ | 10.32 | $ | 10.00 | $ | 10.13 | $ | 10.00 | ||||||||
Income from investment operations: | ||||||||||||||||
Net investment income(2) | 0.13 | 0.18 | 0.16 | 0.05 | ||||||||||||
Net realized and unrealized | ||||||||||||||||
gains (losses) on investments | (0.16 | ) | 0.32 | (0.06 | ) | 0.14 | ||||||||||
Total from investment operations | (0.03 | ) | 0.50 | 0.10 | 0.19 | |||||||||||
Less distributions: | ||||||||||||||||
Distributions from net investment income | (0.10 | ) | (0.18 | ) | (0.16 | ) | (0.05 | ) | ||||||||
Distributions from net realized gains | — | — | (0.07 | ) | (0.01 | ) | ||||||||||
Total distributions | (0.10 | ) | (0.18 | ) | (0.23 | ) | (0.06 | ) | ||||||||
Net asset value, end of period | $ | 10.19 | $ | 10.32 | $ | 10.00 | $ | 10.13 | ||||||||
Total return | (0.32 | )%(3) | 5.00 | % | 0.91 | % | 1.91 | %(3) | ||||||||
Supplemental data and ratios: | ||||||||||||||||
Net assets, end of period (millions) | $ | 2.2 | $ | 1.7 | $ | 1.4 | $ | 0.2 | ||||||||
Ratio of expenses to average net assets | 0.55 | %(4) | 0.55 | % | 0.55 | % | 0.55 | %(4) | ||||||||
Ratio of net investment income | ||||||||||||||||
to average net assets | 2.00 | %(4) | 1.79 | % | 1.54 | % | 1.50 | %(4) | ||||||||
Portfolio turnover rate(5) | 36 | %(3) | 66 | % | 95 | % | 108 | %(3) |
(1) | Inception was close of business on August 31, 2015. |
(2) | Calculated using average shares outstanding during the period. |
(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 103
Notes to the Financial Statements
June 30, 2018 (Unaudited)
1. | Organization |
Baird Funds, Inc. (the “Corporation”) was incorporated on June 9, 2000, as a Wisconsin corporation and is registered as an open-end investment management company under the Investment Company Act of 1940, as amended (the “1940 Act”). The accompanying financial statements include the Baird Ultra Short Bond Fund, Baird Short-Term Bond Fund, Baird Intermediate Bond Fund, Baird 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 7.
The investment objective of the Baird Ultra Short Bond Fund is to seek current income consistent with preservation of capital.
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 104
Notes to the Financial Statements
June 30, 2018 (Unaudited)
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. 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 factors deemed relevant by the valuation committee and available information. Consequently, the price of the security used by a Fund to calculate its NAV may differ from quoted or published prices |
Page 105
Notes to the Financial Statements
June 30, 2018 (Unaudited)
2. | Significant Accounting Policies (cont.) |
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. 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. At June 30, 2018, the value of such securities were: |
Value | % of Net Assets | |||||||||
Ultra Short Bond Fund | $ | 163,901,205 | 23.3 | % | ||||||
Short-Term Bond Fund | $ | 1,457,528,600 | 25.1 | % | ||||||
Intermediate Bond Fund | $ | 628,717,910 | 18.9 | % | ||||||
Aggregate Bond Fund | $ | 2,465,485,816 | 15.9 | % | ||||||
Core Plus Bond Fund | $ | 3,287,728,941 | 18.3 | % | ||||||
Short-Term Municipal Bond Fund | $ | 327,248 | 0.1 | % | ||||||
Core Intermediate Municipal Bond Fund | $ | 589,774 | 0.2 | % |
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 June 30, 2018 consist of securities issued pursuant to Rule 144A under the Securities Act of 1933 and all have been deemed by the Advisor 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 six months ended June 30, 2018, or for any other tax years which are open for exam. As of June 30, 2018, 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. |
Page 106
Notes to the Financial Statements
June 30, 2018 (Unaudited)
2. | Significant Accounting Policies (cont.) |
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 respective assets or are divided equally amongst the Funds. |
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 periods:
Baird Ultra Short Bond Fund
Six Months Ended | Year Ended | |||||||||||||||
June 30, 2018 | December 31, 2017 | |||||||||||||||
Institutional Class Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 29,015,015 | $ | 291,016,994 | 50,742,505 | $ | 509,543,616 | ||||||||||
Shares issued to shareholders | ||||||||||||||||
in reinvestment of dividends | 484,921 | 4,860,379 | 675,449 | 6,779,811 | ||||||||||||
Shares redeemed | (13,595,109 | ) | (136,370,432 | ) | (36,975,717 | ) | (371,276,731 | ) | ||||||||
Net increase | 15,904,827 | $ | 159,506,941 | 14,442,237 | $ | 145,046,696 | ||||||||||
Shares Outstanding: | ||||||||||||||||
Beginning of period | 53,048,050 | 38,605,813 | ||||||||||||||
End of period | 68,952,877 | 53,048,050 |
Page 107
Notes to the Financial Statements
June 30, 2018 (Unaudited)
3. Capital Share Transactions (cont.)
Baird Ultra Short Bond Fund (cont.)
Six Months Ended | Year Ended | |||||||||||||||
June 30, 2018 | December 31, 2017 | |||||||||||||||
Investor Class Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 804,435 | $ | 8,066,380 | 1,885,948 | $ | 18,929,288 | ||||||||||
Shares issued to shareholders | ||||||||||||||||
in reinvestment of dividends | 4,324 | 43,327 | 6,209 | 62,290 | ||||||||||||
Shares redeemed | (237,925 | ) | (2,385,975 | ) | (1,660,556 | ) | (16,673,622 | ) | ||||||||
Net increase | 570,833 | $ | 5,723,732 | 231,601 | $ | 2,317,956 | ||||||||||
Shares Outstanding: | ||||||||||||||||
Beginning of period | 753,794 | 522,193 | ||||||||||||||
End of period | 1,324,627 | 753,794 | ||||||||||||||
Baird Short-Term Bond Fund | ||||||||||||||||
Six Months Ended | Year Ended | |||||||||||||||
June 30, 2018 | December 31, 2017 | |||||||||||||||
Institutional Class Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 122,165,112 | $ | 1,170,890,206 | 336,282,834 | $ | 3,259,977,948 | ||||||||||
Shares issued to shareholders | ||||||||||||||||
in reinvestment of dividends | 5,190,563 | 49,659,233 | 8,032,465 | 77,769,745 | ||||||||||||
Shares redeemed | (93,600,817 | ) | (896,617,572 | ) | (174,417,332 | ) | (1,689,788,863 | ) | ||||||||
Net increase | 33,754,858 | $ | 323,931,867 | 169,897,967 | $ | 1,647,958,830 | ||||||||||
Shares Outstanding: | ||||||||||||||||
Beginning of period | 559,955,381 | 390,057,414 | ||||||||||||||
End of period | 593,710,239 | 559,955,381 | ||||||||||||||
Six Months Ended | Year Ended | |||||||||||||||
June 30, 2018 | December 31, 2017 | |||||||||||||||
Investor Class Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 5,299,977 | $ | 50,748,882 | 10,154,639 | $ | 98,448,266 | ||||||||||
Shares issued to shareholders | ||||||||||||||||
in reinvestment of dividends | 117,589 | 1,124,651 | 182,007 | 1,761,913 | ||||||||||||
Shares redeemed | (4,502,939 | ) | (43,107,258 | ) | (7,193,481 | ) | (69,705,948 | ) | ||||||||
Net increase | 914,626 | $ | 8,766,275 | 3,143,165 | $ | 30,504,231 | ||||||||||
Shares Outstanding: | ||||||||||||||||
Beginning of period | 13,994,913 | 10,851,748 | ||||||||||||||
End of period | 14,909,539 | 13,994,913 |
Page 108
Notes to the Financial Statements
June 30, 2018 (Unaudited)
3. | Capital Share Transactions (cont.) |
Baird Intermediate Bond Fund
Six Months Ended | Year Ended | |||||||||||||||
June 30, 2018 | December 31, 2017 | |||||||||||||||
Institutional Class Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 69,866,106 | $ | 756,291,716 | 90,088,038 | (1) | $ | 996,848,306 | |||||||||
Shares issued to shareholders | ||||||||||||||||
in reinvestment of dividends | 2,698,521 | 29,131,635 | 4,712,946 | 52,099,400 | ||||||||||||
Shares redeemed | (31,730,703 | ) | (342,969,617 | ) | (32,466,170 | ) | (359,023,210 | ) | ||||||||
Net increase | 40,833,925 | $ | 442,453,734 | 62,334,814 | $ | 689,924,496 | ||||||||||
Shares Outstanding: | ||||||||||||||||
Beginning of period | 263,620,502 | 201,285,688 | ||||||||||||||
End of period | 304,454,427 | 263,620,502 |
(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. |
Six Months Ended | Year Ended | |||||||||||||||
June 30, 2018 | December 31, 2017 | |||||||||||||||
Investor Class Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 449,769 | $ | 5,093,520 | 4,090,053 | $ | 47,159,205 | ||||||||||
Shares issued to shareholders | ||||||||||||||||
in reinvestment of dividends | 40,458 | 456,604 | 148,473 | 1,713,275 | ||||||||||||
Shares redeemed | (1,058,065 | ) | (11,973,645 | ) | (8,119,282 | ) | (94,051,982 | ) | ||||||||
Net decrease | (567,837 | ) | $ | (6,423,521 | ) | (3,880,756 | ) | $ | (45,179,502 | ) | ||||||
Shares Outstanding: | ||||||||||||||||
Beginning of period | 4,691,852 | 8,572,608 | ||||||||||||||
End of period | 4,124,015 | 4,691,852 | ||||||||||||||
Baird Aggregate Bond Fund | ||||||||||||||||
Six Months Ended | Year Ended | |||||||||||||||
June 30, 2018 | December 31, 2017 | |||||||||||||||
Institutional Class Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 270,909,571 | $ | 2,881,835,709 | 479,982,655 | $ | 5,203,154,861 | ||||||||||
Shares issued to shareholders | ||||||||||||||||
in reinvestment of dividends | 16,000,312 | 169,184,790 | 25,337,673 | 274,844,157 | ||||||||||||
Shares redeemed | (133,306,593 | ) | (1,413,459,665 | ) | (169,229,148 | ) | (1,836,019,516 | ) | ||||||||
Net increase | 153,603,290 | $ | 1,637,560,834 | 336,091,180 | $ | 3,641,979,502 | ||||||||||
Shares Outstanding: | ||||||||||||||||
Beginning of period | 1,249,248,178 | 913,156,998 | ||||||||||||||
End of period | 1,402,851,468 | 1,249,248,178 |
Page 109
Notes to the Financial Statements
June 30, 2018 (Unaudited)
3. | Capital Share Transactions (cont.) |
Baird Aggregate Bond Fund (cont.)
Six Months Ended | Year Ended | |||||||||||||||
June 30, 2018 | December 31, 2017 | |||||||||||||||
Investor Class Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 12,800,183 | $ | 140,577,071 | 27,558,187 | $ | 308,830,505 | ||||||||||
Shares issued to shareholders | ||||||||||||||||
in reinvestment of dividends | 789,472 | 8,628,425 | 1,575,612 | 17,647,778 | ||||||||||||
Shares redeemed | (16,060,491 | ) | (176,331,573 | ) | (28,907,779 | ) | (324,687,742 | ) | ||||||||
Net increase/(decrease) | (2,470,835 | ) | $ | (27,126,077 | ) | 226,020 | $ | 1,790,541 | ||||||||
Shares Outstanding: | ||||||||||||||||
Beginning of period | 73,467,456 | 73,241,436 | ||||||||||||||
End of period | 70,996,621 | 73,467,456 | ||||||||||||||
Baird Core Plus Bond Fund | ||||||||||||||||
Six Months Ended | Year Ended | |||||||||||||||
June 30, 2018 | December 31, 2017 | |||||||||||||||
Institutional Class Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 328,796,366 | (2) | $ | 3,600,998,541 | 462,309,185 | (1) | $ | 5,184,855,364 | ||||||||
Shares issued to shareholders | ||||||||||||||||
in reinvestment of dividends | 17,433,210 | 190,383,234 | 28,241,952 | 316,106,641 | ||||||||||||
Shares redeemed | (142,633,642 | ) | (1,562,352,985 | ) | (159,221,421 | ) | (1,781,332,511 | ) | ||||||||
Net increase | 203,595,935 | $ | 2,229,028,790 | 331,329,716 | $ | 3,719,629,494 | ||||||||||
Shares Outstanding: | ||||||||||||||||
Beginning of period | 1,240,378,628 | 909,048,912 | ||||||||||||||
End of period | 1,443,974,563 | 1,240,378,628 |
(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. |
(2) | In the first quarter of 2018, 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 $21,780,947 in exchange for 1,987,313 shares of the Fund. The transfer was effected in accordance with policies and procedures approved by the Board of the Funds. |
Six Months Ended | Year Ended | |||||||||||||||
June 30, 2018 | December 31, 2017 | |||||||||||||||
Investor Class Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 33,035,225 | $ | 378,237,492 | 78,014,225 | $ | 907,466,355 | ||||||||||
Shares issued to shareholders | ||||||||||||||||
in reinvestment of dividends | 2,614,228 | 29,725,076 | 5,734,364 | 66,688,706 | ||||||||||||
Shares redeemed | (41,257,081 | ) | (469,486,819 | ) | (127,027,988 | ) | (1,484,355,598 | ) | ||||||||
Net decrease | (5,607,628 | ) | $ | (61,524,251 | ) | (43,279,399 | ) | $ | (510,200,537 | ) | ||||||
Shares Outstanding: | ||||||||||||||||
Beginning of period | 208,184,711 | 251,464,110 | ||||||||||||||
End of period | 202,577,083 | 208,184,711 |
Page 110
Notes to the Financial Statements
June 30, 2018 (Unaudited)
3. | Capital Share Transactions (cont.) |
Baird Short-Term Municipal Bond Fund
Six Months Ended | Year Ended | |||||||||||||||
June 30, 2018 | December 31, 2017 | |||||||||||||||
Institutional Class Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 9,522,121 | $ | 95,672,503 | 9,757,294 | $ | 98,511,265 | ||||||||||
Shares issued to shareholders | ||||||||||||||||
in reinvestment of dividends | 99,850 | 1,001,365 | 98,091 | 990,417 | ||||||||||||
Shares redeemed | (4,754,392 | ) | (47,723,680 | ) | (3,102,014 | ) | (31,318,541 | ) | ||||||||
Net increase | 4,867,579 | $ | 48,950,188 | 6,753,371 | $ | 68,183,141 | ||||||||||
Shares Outstanding: | ||||||||||||||||
Beginning of period | 12,004,019 | 5,250,648 | ||||||||||||||
End of period | 16,871,598 | 12,004,019 | ||||||||||||||
Six Months Ended | Year Ended | |||||||||||||||
June 30, 2018 | December 31, 2017 | |||||||||||||||
Investor Class Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 6,635,836 | $ | 66,502,753 | 405,390 | $ | 4,102,130 | ||||||||||
Shares issued to shareholders | ||||||||||||||||
in reinvestment of dividends | 34,187 | 342,163 | 4,181 | 42,114 | ||||||||||||
Shares redeemed | (102,004 | ) | (1,024,127 | ) | (562,293 | ) | (5,648,228 | ) | ||||||||
Net increase/(decrease) | 6,568,020 | $ | 65,820,789 | (152,722 | ) | $ | (1,503,984 | ) | ||||||||
Shares Outstanding: | ||||||||||||||||
Beginning of period | 482,815 | 635,537 | ||||||||||||||
End of period | 7,050,835 | 482,815 | ||||||||||||||
Baird Quality Intermediate Municipal Bond Fund | ||||||||||||||||
Six Months Ended | Year Ended | |||||||||||||||
June 30, 2018 | December 31, 2017 | |||||||||||||||
Institutional Class Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 17,464,789 | $ | 198,931,944 | 36,085,214 | $ | 418,858,383 | ||||||||||
Shares issued to shareholders | ||||||||||||||||
in reinvestment of dividends | 914,251 | 10,378,889 | 1,628,106 | 18,869,338 | ||||||||||||
Shares redeemed | (13,963,643 | ) | (158,901,070 | ) | (29,045,900 | ) | (335,980,419 | ) | ||||||||
Net increase | 4,415,396 | $ | 50,409,763 | 8,667,420 | $ | 101,747,302 | ||||||||||
Shares Outstanding: | ||||||||||||||||
Beginning of period | 90,606,264 | 81,938,844 | ||||||||||||||
End of period | 95,021,660 | 90,606,264 |
Page 111
Notes to the Financial Statements
June 30, 2018 (Unaudited)
3. | Capital Share Transactions (cont.) |
Baird Quality Intermediate Municipal Bond Fund (cont.)
Six Months Ended | Year Ended | |||||||||||||||
June 30, 2018 | December 31, 2017 | |||||||||||||||
Investor Class Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 717,808 | $ | 8,369,857 | 3,191,345 | $ | 37,929,827 | ||||||||||
Shares issued to shareholders | ||||||||||||||||
in reinvestment of dividends | 77,548 | 901,570 | 197,982 | 2,348,574 | ||||||||||||
Shares redeemed | (2,047,921 | ) | (23,863,606 | ) | (5,935,197 | ) | (70,632,909 | ) | ||||||||
Net decrease | (1,252,565 | ) | $ | (14,592,179 | ) | (2,545,870 | ) | $ | (30,354,508 | ) | ||||||
Shares Outstanding: | ||||||||||||||||
Beginning of period | 9,095,370 | 11,641,240 | ||||||||||||||
End of period | 7,842,805 | 9,095,370 | ||||||||||||||
Baird Core Intermediate Municipal Bond Fund | ||||||||||||||||
Six Months Ended | Year Ended | |||||||||||||||
June 30, 2018 | December 31, 2017 | |||||||||||||||
Institutional Class Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 8,398,378 | $ | 85,699,656 | 14,997,642 | $ | 153,589,205 | ||||||||||
Shares issued to shareholders | ||||||||||||||||
in reinvestment of dividends | 170,776 | 1,735,894 | 190,250 | 1,949,009 | ||||||||||||
Shares redeemed | (4,600,087 | ) | (46,847,153 | ) | (2,068,659 | ) | (21,112,103 | ) | ||||||||
Net increase | 3,969,067 | $ | 40,588,397 | 13,119,233 | $ | 134,426,111 | ||||||||||
Shares Outstanding: | ||||||||||||||||
Beginning of period | 22,749,126 | 9,629,893 | ||||||||||||||
End of period | 26,718,193 | 22,749,126 | ||||||||||||||
Six Months Ended | Year Ended | |||||||||||||||
June 30, 2018 | December 31, 2017 | |||||||||||||||
Investor Class Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 91,324 | $ | 930,176 | 47,604 | $ | 485,003 | ||||||||||
Shares issued to shareholders | ||||||||||||||||
in reinvestment of dividends | 1,112 | 11,298 | 2,491 | 25,455 | ||||||||||||
Shares redeemed | (42,021 | ) | (431,700 | ) | (19,260 | ) | (197,061 | ) | ||||||||
Net increase | 50,415 | $ | 509,774 | 30,835 | $ | 313,397 | ||||||||||
Shares Outstanding: | ||||||||||||||||
Beginning of period | 166,269 | 135,434 | ||||||||||||||
End of period | 216,684 | 166,269 |
Page 112
Notes to the Financial Statements
June 30, 2018 (Unaudited)
4. | Investment Transactions and Income Tax Information |
During the six months ended June 30, 2018, purchases and sales of investment securities (excluding short-term investments) were as follows:
U.S. Government Obligations | All Other | |||||||||||||||
Purchases | Sales | Purchases | Sales | |||||||||||||
Ultra Short Bond Fund | $ | 106,105,241 | $ | 44,045,337 | $ | 210,868,037 | $ | 113,840,977 | ||||||||
Short-Term Bond Fund | 768,783,421 | 606,803,811 | 1,001,120,113 | 778,995,438 | ||||||||||||
Intermediate Bond Fund | 441,728,438 | 242,651,455 | 406,493,303 | 184,233,801 | ||||||||||||
Aggregate Bond Fund | 1,748,587,758 | 874,971,997 | 1,662,965,650 | 929,633,049 | ||||||||||||
Core Plus Bond Fund | 1,947,324,551 | 1,346,547,406 | 2,443,394,244 | 1,019,325,649 | ||||||||||||
Short-Term Municipal Bond Fund | — | — | 259,451,842 | 138,468,775 | ||||||||||||
Quality Intermediate | ||||||||||||||||
Municipal Bond Fund | — | — | 255,566,118 | 216,348,215 | ||||||||||||
Core Intermediate | ||||||||||||||||
Municipal Bond Fund | — | — | 136,608,778 | 90,135,854 |
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:
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 depreciation | $ | (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 | ) | |||
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 113
Notes to the Financial Statements
June 30, 2018 (Unaudited)
4. | Investment Transactions and Income Tax Information (cont.) |
Quality | 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/depreciation | $ | (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.
The tax components of distributions paid during the periods shown below were as follows:
Six Months Ended | Year Ended | |||||||||||||||||||
June 30, 2018 | December 31, 2017 | |||||||||||||||||||
Ordinary | Long-Term | Ordinary | Long-Term | |||||||||||||||||
Income | Capital Gains | Income | Capital Gains | Return of | ||||||||||||||||
Distributions | Distributions | Distributions | Distributions | Capital | ||||||||||||||||
Ultra Short Bond Fund | $ | 5,229,139 | $ | — | $ | 7,278,529 | $ | — | $ | — | ||||||||||
Short-Term Bond Fund | $ | 53,988,513 | $ | — | $ | 84,958,251 | $ | — | $ | — | ||||||||||
Intermediate Bond Fund | $ | 36,232,055 | $ | — | $ | 61,473,435 | $ | 685,716 | $ | — | ||||||||||
Aggregate Bond Fund | $ | 198,117,391 | $ | — | $ | 325,177,273 | $ | — | $ | — | ||||||||||
Core Plus Bond Fund | $ | 236,971,701 | $ | — | $ | 406,111,788 | $ | — | $ | — | ||||||||||
Short-Term Municipal | ||||||||||||||||||||
Bond Fund | $ | — | $ | — | $ | 40,518 | $ | 21,644 | $ | — | ||||||||||
Quality Intermediate | ||||||||||||||||||||
Municipal Bond Fund | $ | — | $ | — | $ | — | $ | — | $ | 59,373 | ||||||||||
Core Intermediate | ||||||||||||||||||||
Municipal Bond Fund | $ | — | $ | — | $ | 34,999 | $ | — | $ | — |
Page 114
Notes to the Financial Statements
June 30, 2018 (Unaudited)
4. | Investment Transactions and Income Tax Information (cont.) |
For the six months ended June 30, 2018 the Short-Term Municipal Bond Fund, Quality Intermediate Municipal Bond Fund, and Core Intermediate Municipal Bond Fund made distributions of tax-exempt income of $1,721,134, $13,065,044, and $2,764,551, respectively. For the year ended December 31, 2017, the Short-Term Municipal Bond Fund, Quality Intermediate Municipal Bond Fund, and Core Intermediate Municipal Bond Fund made distributions of tax-exempt income of $1,395,866, $24,318,881, and $3,070,411, 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 | |||||
Ultra Short Bond Fund | $ | 213,819 | Short-term | Indefinitely | |||
147,361 | Long-term | Indefinitely | |||||
Short-Term Bond Fund | 2,814,040 | Short-term | Indefinitely | ||||
50,610 | Long-term | Indefinitely | |||||
Aggregate Bond Fund | 12,265,300 | Short-term | Indefinitely | ||||
10,825,760 | Long-term | Indefinitely | |||||
Core Plus Bond Fund | 17,065,469 | Short-term | Indefinitely | ||||
2,645,441 | Long-term | Indefinitely | |||||
Quality Intermediate Municipal Bond Fund | 4,125,183 | Short-term | Indefinitely | ||||
2,868,692 | Long-term | Indefinitely | |||||
Core Intermediate Municipal Bond Fund | 16,980 | Short-term | Indefinitely | ||||
— | Long-term | Indefinitely |
5. | Investment Advisory and Other Agreements |
The Funds have entered into an Investment Advisory Agreement with Baird for the provision of investment advisory services. Pursuant to the Investment Advisory Agreement, the Advisor is entitled to receive a fee, calculated daily and payable monthly, at the annual rate of 0.25% for the Funds as applied to the respective Fund’s average daily net assets. Certain officers of the Advisor are also officers of the Funds.
For 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 six months ended June 30, 2018, the Advisor waived the following amount pursuant to the fee waiver agreement between the Advisor and the Corporation on behalf of the Ultra Short Bond Fund:
Fund | Waived Amount | |
Ultra Short Bond Fund | $440,621 |
These fees are not subject to recoupment by the Advisor.
Page 115
Notes to the Financial Statements
June 30, 2018 (Unaudited)
5. | Investment Advisory and Other Agreements (cont.) |
The Funds have entered into an Administration Agreement with the Advisor. 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 six months ended June 30, 2018 for the Funds.
6. | 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 eligible net assets (including the amount borrowed) of the respective Fund, or $550,000,000 of total borrowings for all Funds, whichever is less. U.S. Bank charges interest at U.S. Bank’s Prime Rate less 2% but the interest rate can never be less than 1%. The LOC matures on May 26, 2019, 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. The Funds did not borrow on the line of credit for the six months ended June 30, 2018.
7. | 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.
For the six months ended June 30, 2018, the Funds incurred fees pursuant to the Plan as follows:
Ultra Short Bond Fund | $ | 11,546 | ||
Short-Term Bond Fund | $ | 173,957 | ||
Intermediate Bond Fund | $ | 61,231 | ||
Aggregate Bond Fund | $ | 997,405 | ||
Core Plus Bond Fund | $ | 3,031,573 | ||
Short-Term Municipal Bond Fund | $ | 46,501 | ||
Quality Intermediate Municipal Bond Fund | $ | 124,853 | ||
Core Intermediate Municipal Bond Fund | $ | 1,847 |
Page 116
Notes to the Financial Statements
June 30, 2018 (Unaudited)
8. | Subsequent Event |
In preparing these financial statements, management has evaluated events after June 30, 2018. There were no other subsequent events since June 30, 2018 through the date the financial statements were issued that would warrant adjustment to or additional disclosure in these financial statements.
Page 117
Additional Information
Proxy Voting
A description of the policies and procedures that the Funds use to determine how to vote proxies relating to portfolio securities is available without charge, upon request, by calling toll free, 1-866-44BAIRD, or by accessing the Funds’ website at www.bairdfunds.com; and by accessing the SEC’s website at www.sec.gov.
Each Fund’s proxy voting record for the most recent 12-month period ended June 30, if applicable, is available without charge, upon request, by calling toll free, 1-866-44BAIRD, or by accessing the Funds’ website at www.bairdfunds.com; and by accessing the SEC’s website at www.sec.gov. The Funds generally do not vote proxies because the securities held in their portfolios, consisting of bonds and other fixed-income securities, are not entitled to vote.
Portfolio Holdings Disclosure
The Funds file a complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Funds’ Forms N-Q are available on the SEC’s website at www.sec.gov and may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 1-800-732-0330. The Funds’ Forms N-Q may also be obtained by calling toll-free 1-866-44BAIRD.
Page 118
(This Page Intentionally Left Blank.)
Baird Funds, Inc.
c/o U.S. Bancorp Fund Services, LLC
P.O. Box 701
Milwaukee, WI 53201-0701
1-866-44BAIRD
Board of Directors
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
Semi-Annual Report –
Baird Funds
June 30, 2018
Baird MidCap Fund
Baird Small/Mid Cap Value Fund
Baird SmallCap Value Fund
Chautauqua International Growth Fund
Chautauqua Global Growth Fund
Go Green. | Go Paperless. |
Sign up to receive your Baird Funds’ prospectuses and reports online.
Table of Contents
Baird MidCap Fund | 1 |
Baird Small/Mid Cap Value Fund | 7 |
Baird SmallCap Value Fund | 13 |
Chautauqua International Growth Fund | 19 |
Chautauqua Global Growth Fund | 24 |
Additional Information on Fund Expenses | 30 |
Statements of Assets and Liabilities | 32 |
Statements of Operations | 34 |
Statements of Changes in Net Assets | 36 |
Financial Highlights | 41 |
Notes to the Financial Statements | 51 |
Additional Information | 62 |
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 MidCap Fund
June 30, 2018 (Unaudited)
Portfolio Characteristics
A June 30, 2018 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(1) | Equity Sector Analysis(2) | ||
Broadridge Financial Solutions, Inc. | 2.6% | ||
Edwards Lifesciences Corp. | 2.5% | ||
Fiserv, Inc. | 2.4% | ||
Burlington Stores, Inc. | 2.4% | ||
Vail Resorts, Inc. | 2.4% | ||
ICON PLC | 2.3% | ||
Verisk Analytics, Inc. | 2.3% | ||
Pool Corp. | 2.2% | ||
Tyler Technologies, Inc. | 2.2% | ||
EPAM Systems, Inc. | 2.1% | ||
Net Assets: | $1,497,477,503 | ||
Portfolio Turnover Rate(5): | 24% | ||
Number of Equity Holdings: | 59 | ||
Annualized Portfolio Expense Ratio(3): | |||
Gross | |||
Institutional Class: | 0.84% | ||
Investor Class: | 1.09% | (4) | |
Net | |||
Institutional Class: | 0.84% | ||
Investor Class: | 1.09% | (4) |
(1) | The Fund’s portfolio composition is subject to change and there is no assurance that the Fund will continue to hold any particular security. Percentages shown relate to the Fund’s total net assets as of June 30, 2018. |
(2) | Percentages shown in parentheses relate to the Fund’s total value of investments as of June 30, 2018, and may not add up to 100% due to rounding. |
(3) | 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. |
(4) | Includes 0.25% 12b-1 fee. |
(5) | Not annualized. |
Page 1
Baird MidCap Fund
June 30, 2018 (Unaudited)
Total Returns
Average Annual | |||||
Since | |||||
For the Periods Ended June 30, 2018 | Six Months | One Year | Five Year | Ten Year | Inception(1) |
Institutional Class Shares | 6.89% | 16.84% | 11.53% | 11.00% | 7.55% |
Investor Class Shares | 6.75% | 16.55% | 11.27% | 10.73% | 7.29% |
Russell Midcap® Growth Index(2) | 5.40% | 18.52% | 13.37% | 10.45% | 7.11% |
(1) | For the period from December 29, 2000 (inception date) through June 30, 2018. |
(2) | The Russell Midcap® Growth Index measures the performance of the mid-cap growth segment of the U.S. equity universe. It includes those Russell Midcap® Index companies with higher price-to-book ratios and higher forecasted growth values. This index does not reflect any deduction for fees, expenses or taxes. A direct investment in the index is not possible. |
The returns shown in the table above reflect reinvestment of dividends and/or capital gains distributions in additional shares. The returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. The returns reflect the actual performance for each period and do not include the impact of trades executed on the last business day of the period that were recorded on the first business day of the next period.
The gross expense ratio for each Class, as reflected in the Fund’s current prospectus, is set forth under “Portfolio Characteristics”.
The Fund focuses on growth-style stocks and therefore the performance of the Fund will typically be more volatile than the performance of funds that focus on types of stocks that have a broader investment style. The Fund may invest up to 15% of its total assets in U.S. dollar denominated foreign securities and ADRs. Foreign investments involve additional risks such as currency rate fluctuations, political and economic instability, and different and sometimes less strict financial reporting standards and regulation. The Fund invests a substantial portion of its assets in the stocks of mid-capitalization companies. Mid-capitalization companies often are more volatile and face greater risks than larger, more established companies.
Past performance does not guarantee future results. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost.
For information about the performance of the Fund as of the most recent month-end, please call 1-866-44BAIRD or visit www.bairdfunds.com. Mutual fund performance changes over time and current performance may be lower or higher than that stated.
Page 2
Baird MidCap Fund
Schedule of Investments, June 30, 2018 (Unaudited)
Common Stocks
% of | ||||||||||||
Shares | Value | Net Assets | ||||||||||
Aerospace & Defense | ||||||||||||
BWX Technologies, Inc. | 308,020 | $ | 19,195,806 | 1.3 | % | |||||||
Mercury Systems, Inc.(1) | 364,096 | 13,857,494 | 0.9 | % | ||||||||
33,053,300 | 2.2 | % | ||||||||||
Auto Components | ||||||||||||
Visteon Corp.(1) | 114,938 | 14,854,587 | 1.0 | % | ||||||||
Banks | ||||||||||||
East West Bancorp, Inc. | 438,915 | 28,617,258 | 1.9 | % | ||||||||
Biotechnology | ||||||||||||
Alexion Pharmaceuticals, Inc.(1) | 121,812 | 15,122,960 | 1.0 | % | ||||||||
Building Products | ||||||||||||
AO Smith Corp. | 531,228 | 31,422,136 | 2.1 | % | ||||||||
Capital Markets | ||||||||||||
Affiliated Managers Group, Inc. | 116,133 | 17,265,493 | 1.1 | % | ||||||||
MarketAxess Holdings, Inc. | 89,645 | 17,737,160 | 1.2 | % | ||||||||
35,002,653 | 2.3 | % | ||||||||||
Commercial Services & Supplies | ||||||||||||
Cintas Corporation | 81,718 | 15,123,550 | 1.0 | % | ||||||||
Distributors | ||||||||||||
LKQ Corp.(1) | 713,054 | 22,746,423 | 1.5 | % | ||||||||
Pool Corp. | 220,748 | 33,443,322 | 2.2 | % | ||||||||
56,189,745 | 3.7 | % | ||||||||||
Electrical Equipment | ||||||||||||
Rockwell Automation, Inc. | 146,746 | 24,393,588 | 1.6 | % | ||||||||
Electronic Equipment, Instruments & Components | ||||||||||||
CDW Corp. | 362,223 | 29,263,996 | 2.0 | % | ||||||||
Cognex Corp. | 214,365 | 9,562,823 | 0.6 | % | ||||||||
Littelfuse, Inc. | 102,518 | 23,392,557 | 1.6 | % | ||||||||
Trimble Navigation Ltd.(1) | 661,237 | 21,715,023 | 1.4 | % | ||||||||
83,934,399 | 5.6 | % | ||||||||||
Food Products | ||||||||||||
Lamb Weston Holdings, Inc. | 342,045 | 23,433,503 | 1.6 | % | ||||||||
Health Care Equipment & Supplies | ||||||||||||
The Cooper Cos., Inc. | 57,050 | 13,432,423 | 0.9 | % | ||||||||
Edwards Lifesciences Corp.(1) | 260,883 | 37,976,738 | 2.5 | % | ||||||||
IDEXX Laboratories, Inc.(1) | 110,929 | 24,175,866 | 1.6 | % | ||||||||
75,585,027 | 5.0 | % | ||||||||||
Health Care Providers & Services | ||||||||||||
Henry Schein, Inc.(1) | 386,665 | 28,087,346 | 1.9 | % | ||||||||
Health Care Technology | ||||||||||||
Veeva Systems, Inc.(1) | 298,011 | 22,905,125 | 1.5 | % |
The accompanying notes are an integral part of these financial statements.
Page 3
Baird MidCap Fund
Schedule of Investments, June 30, 2018 (Unaudited)
Common Stocks (cont.)
% of | ||||||||||||
Shares | Value | Net Assets | ||||||||||
Hotels, Restaurants & Leisure | ||||||||||||
Dominos Pizza, Inc. | 101,415 | $ | 28,616,271 | 1.9 | % | |||||||
Vail Resorts, Inc. | 128,726 | 35,295,382 | 2.4 | % | ||||||||
63,911,653 | 4.3 | % | ||||||||||
Insurance | ||||||||||||
Arthur J Gallagher & Co. | 288,720 | 18,847,642 | 1.3 | % | ||||||||
Internet Software & Services | ||||||||||||
GrubHub, Inc.(1) | 301,245 | 31,603,613 | 2.1 | % | ||||||||
IT Services | ||||||||||||
Broadridge Financial Solutions, Inc. | 336,495 | 38,730,574 | 2.6 | % | ||||||||
EPAM Systems, Inc.(1) | 256,361 | 31,873,363 | 2.1 | % | ||||||||
Euronet Worldwide, Inc.(1) | 328,005 | 27,476,979 | 1.8 | % | ||||||||
Fiserv, Inc.(1) | 487,503 | 36,119,097 | 2.4 | % | ||||||||
Gartner, Inc.(1) | 168,141 | 22,345,939 | 1.5 | % | ||||||||
Global Payments, Inc. | 195,140 | 21,756,159 | 1.5 | % | ||||||||
178,302,111 | 11.9 | % | ||||||||||
Life Sciences Tools & Services | ||||||||||||
ICON PLC(1)(2) | 256,280 | 33,964,788 | 2.3 | % | ||||||||
Machinery | ||||||||||||
Graco, Inc. | 560,111 | 25,328,220 | 1.7 | % | ||||||||
Oshkosh Truck Corporation | 228,987 | 16,102,366 | 1.1 | % | ||||||||
WABCO Holdings, Inc.(1) | 143,960 | 16,846,199 | 1.1 | % | ||||||||
Xylem, Inc. | 188,330 | 12,689,675 | 0.8 | % | ||||||||
70,966,460 | 4.7 | % | ||||||||||
Media | ||||||||||||
Cable One, Inc. | 40,637 | 29,798,706 | 2.0 | % | ||||||||
Multiline Retail | ||||||||||||
Dollar General Corp. | 184,911 | 18,232,225 | 1.2 | % | ||||||||
Ollie’s Bargain Outlet Holdings, Inc.(1) | 393,923 | 28,559,418 | 1.9 | % | ||||||||
46,791,643 | 3.1 | % | ||||||||||
Oil, Gas & Consumable Fuels | ||||||||||||
Diamondback Energy, Inc. | 223,972 | 29,467,996 | 2.0 | % | ||||||||
Pharmaceuticals | ||||||||||||
Jazz Pharmaceuticals PLC(1)(2) | 153,117 | 26,382,059 | 1.8 | % | ||||||||
Professional Services | ||||||||||||
Verisk Analytics, Inc.(1) | 315,353 | 33,944,597 | 2.3 | % | ||||||||
Road & Rail | ||||||||||||
J.B. Hunt Transport Services, Inc. | 254,717 | 30,960,851 | 2.1 | % | ||||||||
Semiconductors & Semiconductor Equipment | ||||||||||||
Microchip Technology, Inc. | 349,800 | 31,814,310 | 2.1 | % | ||||||||
Monolithic Power Systems, Inc. | 212,147 | 28,357,689 | 1.9 | % | ||||||||
60,171,999 | 4.0 | % |
The accompanying notes are an integral part of these financial statements.
Page 4
Baird MidCap Fund
Schedule of Investments, June 30, 2018 (Unaudited)
Common Stocks (cont.)
% of | ||||||||||||
Shares | Value | Net Assets | ||||||||||
Software | ||||||||||||
Red Hat, Inc.(1) | 105,985 | $ | 14,241,204 | 0.9 | % | |||||||
ServiceNow, Inc.(1) | 174,177 | 30,040,307 | 2.0 | % | ||||||||
Synopsys, Inc.(1) | 280,448 | 23,997,935 | 1.6 | % | ||||||||
Tyler Technologies, Inc.(1) | 145,206 | 32,250,253 | 2.2 | % | ||||||||
The Ultimate Software Group, Inc.(1) | 102,119 | 26,276,240 | 1.8 | % | ||||||||
126,805,939 | 8.5 | % | ||||||||||
Specialty Retail | ||||||||||||
Burlington Stores, Inc.(1) | 239,080 | 35,988,712 | 2.4 | % | ||||||||
O’Reilly Automotive, Inc.(1) | 111,423 | 30,481,990 | 2.0 | % | ||||||||
66,470,702 | 4.4 | % | ||||||||||
Textiles, Apparel & Luxury Goods | ||||||||||||
Lululemon Athletica, Inc.(1) | 139,420 | 17,406,587 | 1.2 | % | ||||||||
Trading Companies & Distributors | ||||||||||||
Beacon Roofing Supply, Inc.(1) | 643,110 | 27,409,348 | 1.8 | % | ||||||||
Fastenal Co. | 439,057 | 21,131,813 | 1.4 | % | ||||||||
Univar, Inc.(1) | 789,455 | 20,715,299 | 1.4 | % | ||||||||
Watsco, Inc. | 151,566 | 27,021,187 | 1.8 | % | ||||||||
96,277,647 | 6.4 | % | ||||||||||
Total Common Stocks | ||||||||||||
(Cost $1,040,931,422) | 1,449,800,170 | 96.8 | % | |||||||||
Short-Term Investment | ||||||||||||
Money Market Mutual Fund | ||||||||||||
Fidelity Institutional Money Market Fund – | ||||||||||||
Government Portfolio, Institutional Class 1.81%(3) | 48,900,750 | 48,900,750 | 3.3 | % | ||||||||
Total Short-Term Investment | ||||||||||||
(Cost $48,900,750) | 48,900,750 | 3.3 | % | |||||||||
Total Investments | ||||||||||||
(Cost $1,089,832,172) | 1,498,700,920 | 100.1 | % | |||||||||
Liabilities in Excess of Other Assets | (1,223,417 | ) | (0.1 | )% | ||||||||
TOTAL NET ASSETS | $ | 1,497,477,503 | 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’s 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 5
Baird MidCap Fund
Schedule of Investments, June 30, 2018 (Unaudited)
Summary of Fair Value Exposure at June 30, 2018 (Unaudited)
The Fund has adopted authoritative fair valuation accounting standards which establish a definition of fair value and set out a hierarchy for measuring fair value. These standards require additional disclosures about the various inputs and valuation techniques used to develop the measurements of fair value and a discussion on changes in valuation techniques and related inputs during the period. These standards define fair value as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. The fair value hierarchy is organized into three levels based upon the assumptions (referred to as “inputs”) used in pricing the asset or liability. These standards state that “observable inputs” reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from independent sources and “unobservable inputs” reflect an entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability. These inputs are summarized into three broad levels and described below:
Level 1 – | Unadjusted quoted prices in active markets for identical unrestricted securities. |
Level 2 – | Other significant observable inputs (including quoted prices for similar securities, quoted prices in inactive markets, dealer indications, interest rates, yield curves, prepayment speeds, credit risk, default rates, inputs corroborated by observable market data, etc.). |
Level 3 – | Significant unobservable inputs (including the Fund’s own assumptions about the factors that market participants would use in valuing the security) based on the best information available. |
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used to value the Fund’s investments as of June 30, 2018:
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Equity | ||||||||||||||||
Common Stocks | $ | 1,449,800,170 | $ | — | $ | — | $ | 1,449,800,170 | ||||||||
Total Equity | 1,449,800,170 | — | — | 1,449,800,170 | ||||||||||||
Short-Term Investment | ||||||||||||||||
Money Market Mutual Fund | 48,900,750 | — | — | 48,900,750 | ||||||||||||
Total Short-Term Investment | 48,900,750 | — | — | 48,900,750 | ||||||||||||
Total Investments* | $ | 1,498,700,920 | $ | — | $ | — | $ | 1,498,700,920 |
* | 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 6
Baird Small/Mid Cap Value Fund
June 30, 2018 (Unaudited)
Portfolio Characteristics
A June 30, 2018 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(1) | Equity Sector Analysis(2) | ||
Boingo Wireless, Inc. | 5.1% | ||
ICU Medical, Inc. | 4.6% | ||
Stamps.com, Inc. | 4.2% | ||
ZAGG, Inc. | 3.9% | ||
Bofi Holding, Inc. | 3.7% | ||
American Financial Group, Inc. | 3.2% | ||
Meta Financial Group, Inc. | 3.2% | ||
Silicon Motion Technology Corp. | 3.0% | ||
Cypress Semiconductor Corp. | 2.8% | ||
Lamb Weston Holdings, Inc. | 2.7% | ||
Net Assets: | $19,560,865 | ||
Portfolio Turnover Rate(5): | 9% | ||
Number of Equity Holdings: | 42 | ||
Annualized Portfolio Expense Ratio(3): | |||
Gross | |||
Institutional Class: | 1.92% | ||
Investor Class: | 2.17% | (4) | |
Net | |||
Institutional Class: | 0.95% | ||
Investor Class: | 1.20% | (4) |
(1) | The Fund’s portfolio composition is subject to change and there is no assurance that the Fund will continue to hold any particular security. Percentages shown relate to the Fund’s total net assets as of June 30, 2018. |
(2) | Percentages shown in parentheses relate to the Fund’s total value of investments as of June 30, 2018, and may not add up to 100% due to rounding. |
(3) | 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. |
(4) | Includes 0.25% 12b-1 fee. |
(5) | Not annualized. |
Page 7
Baird Small/Mid Cap Value Fund
June 30, 2018 (Unaudited)
Total Returns
Average | |||
Annual | |||
Since | |||
For the Periods Ended June 30, 2018 | Six Months | One Year | Inception(1) |
Institutional Class Shares | 0.00% | 14.68% | 9.40% |
Investor Class Shares | -0.08% | 14.31% | 9.12% |
Russell 2500® Value Index(2) | 3.00% | 11.49% | 12.57% |
(1) | For the period from November 30, 2015 (inception date) through June 30, 2018. |
(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 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 8
Baird Small/Mid Cap Value Fund
Schedule of Investments, June 30, 2018 (Unaudited)
Common Stocks
% of | ||||||||||||
Shares | Value | Net Assets | ||||||||||
Aerospace & Defense | ||||||||||||
Hexcel Corp. | 6,200 | $ | 411,556 | 2.1 | % | |||||||
Air Freight & Logistics | ||||||||||||
Air Transport Services Group, Inc.(1) | 21,047 | 475,451 | 2.4 | % | ||||||||
Atlas Air Worldwide Holdings, Inc.(1) | 6,445 | 462,107 | 2.4 | % | ||||||||
937,558 | 4.8 | % | ||||||||||
Banks | ||||||||||||
Hilltop Holdings, Inc. | 12,318 | 271,858 | 1.4 | % | ||||||||
Capital Markets | ||||||||||||
Diamond Hill Investment Group, Inc. | 1,550 | 301,367 | 1.5 | % | ||||||||
Commercial Services & Supplies | ||||||||||||
Deluxe Corp. | 4,731 | 313,240 | 1.6 | % | ||||||||
Communications Equipment | ||||||||||||
Resonant, Inc.(1) | 40,706 | 229,582 | 1.2 | % | ||||||||
Construction & Engineering | ||||||||||||
Quanta Services, Inc.(1) | 13,623 | 455,008 | 2.3 | % | ||||||||
Distributors | ||||||||||||
LKQ Corp.(1) | 10,523 | 335,684 | 1.7 | % | ||||||||
Electric Utilities | ||||||||||||
Alliant Energy Corp. | 8,484 | 359,043 | 1.8 | % | ||||||||
Pinnacle West Capital Corp. | 4,976 | 400,866 | 2.1 | % | ||||||||
759,909 | 3.9 | % | ||||||||||
Electronic Equipment, Instruments & Components | ||||||||||||
Belden, Inc. | 5,629 | 344,044 | 1.8 | % | ||||||||
Dolby Laboratories, Inc. – Class A | 6,445 | 397,593 | 2.0 | % | ||||||||
741,637 | 3.8 | % | ||||||||||
Energy Equipment & Services | ||||||||||||
Solaris Oilfield Infrastructure, Inc.(1) | 24,391 | 348,547 | 1.8 | % | ||||||||
Equity Real Estate Investment Trusts(REITs) | ||||||||||||
Agree Realty Corp. | 9,381 | 495,036 | 2.6 | % | ||||||||
CyrusOne, Inc. | 6,526 | 380,857 | 1.9 | % | ||||||||
Physicians Realty Trust | 24,881 | 396,603 | 2.0 | % | ||||||||
Ryman Hospitality Properties, Inc. | 4,731 | 393,383 | 2.0 | % | ||||||||
Sunstone Hotel Investors, Inc. | 17,947 | 298,279 | 1.5 | % | ||||||||
1,964,158 | 10.0 | % | ||||||||||
Food Products | ||||||||||||
Lamb Weston Holdings, Inc. | 7,668 | 525,334 | 2.7 | % |
The accompanying notes are an integral part of these financial statements.
Page 9
Baird Small/Mid Cap Value Fund
Schedule of Investments, June 30, 2018 (Unaudited)
Common Stocks (cont.)
% of | ||||||||||||
Shares | Value | Net Assets | ||||||||||
Health Care Equipment & Supplies | ||||||||||||
ICU Medical, Inc.(1) | 3,100 | $ | 910,315 | 4.6 | % | |||||||
Health Care Providers & Services | ||||||||||||
DaVita, Inc.(1) | 5,792 | 402,196 | 2.1 | % | ||||||||
Laboratory Corp. of America Holdings(1) | 2,284 | 410,047 | 2.1 | % | ||||||||
812,243 | 4.2 | % | ||||||||||
Household Durables | ||||||||||||
ZAGG, Inc.(1) | 43,399 | 750,802 | 3.9 | % | ||||||||
Household Products | ||||||||||||
Orchids Paper Products Co.(1) | 16,968 | 67,533 | 0.3 | % | ||||||||
Independent Power and Renewable Electricity Producers | ||||||||||||
Algonquin Power & Utilities Corp.(2) | 40,462 | 391,268 | 2.0 | % | ||||||||
Insurance | ||||||||||||
American Financial Group, Inc. | 5,874 | 630,456 | 3.2 | % | ||||||||
Internet Software & Services | ||||||||||||
j2 Global, Inc. | 5,955 | 515,763 | 2.7 | % | ||||||||
Stamps.com, Inc.(1) | 3,181 | 804,952 | 4.2 | % | ||||||||
VeriSign, Inc.(1) | 3,426 | 470,801 | 2.4 | % | ||||||||
1,791,516 | 9.3 | % | ||||||||||
IT Services | ||||||||||||
Leidos Holdings, Inc. | 6,118 | 360,962 | 1.8 | % | ||||||||
Mortgage Real Estate Investment Trusts (REITs) | ||||||||||||
Blackstone Mortgage Trust, Inc. | 14,521 | 456,395 | 2.3 | % | ||||||||
Pharmaceuticals | ||||||||||||
Jazz Pharmaceuticals PLC(1)(2) | 2,284 | 393,533 | 2.0 | % | ||||||||
Semiconductors & Semiconductor Equipment | ||||||||||||
Cypress Semiconductor Corp. | 35,731 | 556,689 | 2.8 | % | ||||||||
Integrated Device Technology, Inc.(1) | 12,971 | 413,515 | 2.1 | % | ||||||||
Silicon Motion Technology Corp. – ADR(2) | 11,013 | 582,478 | 3.0 | % | ||||||||
1,552,682 | 7.9 | % | ||||||||||
Thrifts & Mortgage Finance | ||||||||||||
Bofi Holding, Inc.(1) | 17,457 | 714,166 | 3.7 | % | ||||||||
Essent Group Ltd.(1)(2) | 8,321 | 298,058 | 1.5 | % | ||||||||
Meta Financial Group, Inc. | 6,363 | 619,756 | 3.2 | % | ||||||||
NMI Holdings, Inc. – Class A(1) | 23,086 | 376,302 | 1.9 | % | ||||||||
2,008,282 | 10.3 | % | ||||||||||
Trading Companies & Distributors | ||||||||||||
Air Lease Corp. | 8,729 | 366,356 | 1.9 | % |
The accompanying notes are an integral part of these financial statements.
Page 10
Baird Small/Mid Cap Value Fund
Schedule of Investments, June 30, 2018 (Unaudited)
Common Stocks (cont.)
% of | ||||||||||||
Shares | Value | Net Assets | ||||||||||
Wireless Telecommunication Services | ||||||||||||
Boingo Wireless, Inc.(1) | 44,159 | $ | 997,552 | 5.1 | % | |||||||
Total Common Stocks | ||||||||||||
(Cost $15,912,745) | 19,085,333 | 97.6 | % | |||||||||
Short-Term Investment | ||||||||||||
Money Market Fund | ||||||||||||
Fidelity Institutional Money Market Fund – | ||||||||||||
Government Portfolio, Institutional Class, 1.81%(3) | 451,517 | 451,517 | 2.3 | % | ||||||||
Total Short-Term Investment | ||||||||||||
(Cost $451,517) | 451,517 | 2.3 | % | |||||||||
Total Investments | ||||||||||||
(Cost $16,364,262) | 19,536,850 | 99.9 | % | |||||||||
Other Assets in Excess of Liabilities | 24,015 | 0.1 | % | |||||||||
TOTAL NET ASSETS | $ | 19,560,865 | 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’s 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 11
Baird Small/Mid Cap Value Fund
Schedule of Investments, June 30, 2018 (Unaudited)
Summary of Fair Value Exposure at June 30, 2018 (Unaudited)
The Fund has adopted authoritative fair valuation accounting standards which establish a definition of fair value and set out a hierarchy for measuring fair value. These standards require additional disclosures about the various inputs and valuation techniques used to develop the measurements of fair value and a discussion on changes in valuation techniques and related inputs during the period. These standards define fair value as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. Management has determined that these standards have no material impact on the 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 June 30, 2018:
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Equity | ||||||||||||||||
Common Stocks | $ | 19,085,333 | $ | — | $ | — | $ | 19,085,333 | ||||||||
Total Equity | 19,085,333 | — | — | 19,085,333 | ||||||||||||
Short-Term Investment | ||||||||||||||||
Money Market Fund | 451,517 | — | — | 451,517 | ||||||||||||
Total Short-Term Investment | 451,517 | — | — | 451,517 | ||||||||||||
Total Investments* | $ | 19,536,850 | $ | — | $ | — | $ | 19,536,850 |
* | 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 12
Baird SmallCap Value Fund
June 30, 2018 (Unaudited)
Portfolio Characteristics
A June 30, 2018 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(1) | Equity Sector Analysis(2) | ||
ICU Medical, Inc. | 5.9% | ||
Boingo Wireless, Inc. | 5.2% | ||
Stamps.com, Inc. | 4.0% | ||
ZAGG, Inc. | 3.8% | ||
Bofi Holding, Inc. | 3.6% | ||
Lamb Weston Holdings, Inc. | 3.3% | ||
j2 Global, Inc. | 3.2% | ||
NMI Holdings, Inc. | 3.1% | ||
Meta Financial Group, Inc. | 3.1% | ||
Merchants Bancorp | 2.9% | ||
Net Assets: | $37,001,349 | ||
Portfolio Turnover Rate(5): | 14% | ||
Number of Equity Holdings: | 39 | ||
Annualized Portfolio Expense Ratio(3): | |||
Gross | |||
Institutional Class: | 1.35% | ||
Investor Class: | 1.60% | (4) | |
Net | |||
Institutional Class: | 1.00% | ||
Investor Class: | 1.25% | (4) |
(1) | The Fund’s portfolio composition is subject to change and there is no assurance that the Fund will continue to hold any particular security. Percentages shown relate to the Fund’s total net assets as of June 30, 2018. |
(2) | Percentages shown in parentheses relate to the Fund’s total value of investments as of June 30, 2018, and may not add up to 100% due to rounding. |
(3) | 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. |
(4) | Includes 0.25% 12b-1 fee. |
(5) | Not annualized. |
Page 13
Baird SmallCap Value Fund
June 30, 2018 (Unaudited)
Total Returns
Average Annual | ||||
Since | ||||
For the Periods Ended June 30, 2018 | Six Months | One Year | Five Year | Inception(1) |
Institutional Class Shares | 1.41% | 15.88% | 9.70% | 10.98% |
Investor Class Shares | 1.30% | 15.64% | 9.43% | 10.70% |
Russell 2000® Value Index(2) | 5.44% | 13.10% | 11.18% | 12.66% |
(1) | For the period from May 1, 2012 (inception date) through June 30, 2018. |
(2) | The Russell 2000® Value Index measures the performance of the small-cap value segment of the U.S. equity universe. It includes those Russell 2000® Index companies with lower price-to-book ratios and lower forecasted growth values. This index does not reflect any deduction for fees, expenses or taxes. A direct investment in the index is not possible. |
The returns shown in the table above reflect reinvestment of dividends and/or capital gains distributions in additional shares. The returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. The returns reflect the actual performance for each period and do not include the impact of trades executed on the last business day of the period that were recorded on the first business day of the next period.
The gross expense ratio for each Class, as reflected in the Fund’s current prospectus, is set forth under “Portfolio Characteristics”.
The Fund focuses on small cap value style stocks and therefore the performance of the Fund may be more volatile than the performance of funds that focus on types of stocks that have a broader investment style. The Fund may invest up to 15% of its total assets in U.S. dollar denominated foreign securities and ADRs. Foreign investments involve additional risks such as currency rate fluctuations and the potential for political and economic instability, and different and sometimes less strict financial reporting standards and regulation.
Past performance does not guarantee future results. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost.
For information about the performance of the Fund as of the most recent month-end, please call 1-866-44BAIRD or visit www.bairdfunds.com. Mutual fund performance changes over time and current performance may be lower or higher than that stated.
Page 14
Baird SmallCap Value Fund
Schedule of Investments, June 30, 2018 (Unaudited)
Common Stocks
% of | ||||||||||||
Shares | Value | Net Assets | ||||||||||
Aerospace & Defense | ||||||||||||
Hexcel Corp. | 12,965 | $ | 860,617 | 2.3 | % | |||||||
Air Freight & Logistics | ||||||||||||
Air Transport Services Group, Inc.(1) | 39,055 | 882,252 | 2.4 | % | ||||||||
Atlas Air Worldwide Holdings, Inc.(1) | 12,005 | 860,759 | 2.3 | % | ||||||||
1,743,011 | 4.7 | % | ||||||||||
Banks | ||||||||||||
Hilltop Holdings, Inc. | 23,049 | 508,691 | 1.4 | % | ||||||||
Biotechnology | ||||||||||||
Eagle Pharmaceuticals, Inc.(1) | 8,003 | 605,507 | 1.6 | % | ||||||||
Building Products | ||||||||||||
Patrick Industries, Inc.(1) | 11,124 | 632,399 | 1.7 | % | ||||||||
Capital Markets | ||||||||||||
Diamond Hill Investment Group, Inc. | 4,162 | 809,218 | 2.2 | % | ||||||||
Commercial Services & Supplies | ||||||||||||
Deluxe Corp. | 10,244 | 678,255 | 1.8 | % | ||||||||
Communications Equipment | ||||||||||||
Resonant, Inc.(1) | 81,471 | 459,496 | 1.3 | % | ||||||||
Construction & Engineering | ||||||||||||
Quanta Services, Inc.(1) | 26,090 | 871,406 | 2.4 | % | ||||||||
Electic Utilities | ||||||||||||
Alliant Energy Corp. | 20,168 | 853,510 | 2.3 | % | ||||||||
Electronic Equipment, Instruments & Components | ||||||||||||
Belden, Inc. | 10,404 | 635,892 | 1.7 | % | ||||||||
Knowles Corp.(1) | 49,139 | 751,827 | 2.1 | % | ||||||||
1,387,719 | 3.8 | % | ||||||||||
Energy Equipment & Services | ||||||||||||
Solaris Oilfield Infrastructure, Inc.(1) | 52,020 | 743,366 | 2.0 | % | ||||||||
Equity Real Estate Investment Trusts (REITs) | ||||||||||||
Agree Realty Corp. | 20,008 | 1,055,822 | 2.9 | % | ||||||||
CyrusOne, Inc. | 12,325 | 719,287 | 2.0 | % | ||||||||
Physicians Realty Trust | 44,817 | 714,383 | 1.9 | % | ||||||||
Ryman Hospitality Properties, Inc. | 8,963 | 745,274 | 2.0 | % | ||||||||
Sunstone Hotel Investors, Inc. | 33,453 | 555,989 | 1.5 | % | ||||||||
3,790,755 | 10.3 | % | ||||||||||
Food Products | ||||||||||||
Lamb Weston Holdings, Inc. | 17,767 | 1,217,217 | 3.3 | % |
The accompanying notes are an integral part of these financial statements.
Page 15
Baird SmallCap Value Fund
Schedule of Investments, June 30, 2018 (Unaudited)
Common Stocks (cont.)
% of | ||||||||||||
Shares | Value | Net Assets | ||||||||||
Health Care Equipment & Supplies | ||||||||||||
ICU Medical, Inc.(1) | 7,422 | $ | 2,179,470 | 5.9 | % | |||||||
Household Durables | ||||||||||||
ZAGG, Inc.(1) | 81,951 | 1,417,752 | 3.8 | % | ||||||||
Household Products | ||||||||||||
Orchids Paper Products Co.(1) | 30,432 | 121,119 | 0.3 | % | ||||||||
Independent Power and Renewable Electricity Producers | ||||||||||||
Algonquin Power & Utilities Corp.(2) | 103,879 | 1,004,510 | 2.7 | % | ||||||||
Internet Software & Services | ||||||||||||
j2 Global, Inc. | 13,605 | 1,178,329 | 3.2 | % | ||||||||
Stamps.com, Inc.(1) | 5,922 | 1,498,562 | 4.0 | % | ||||||||
2,676,891 | 7.2 | % | ||||||||||
Mortgage Real Estate Investment Trusts (REITs) | ||||||||||||
Blackstone Mortgage Trust, Inc. – Class A | 27,851 | 875,357 | 2.4 | % | ||||||||
Capstead Mortgage Corp. | 84,032 | 752,086 | 2.0 | % | ||||||||
1,627,443 | 4.4 | % | ||||||||||
Semiconductors & Semiconductor Equipment | ||||||||||||
Cypress Semiconductor Corp. | 67,546 | 1,052,367 | 2.8 | % | ||||||||
Integrated Device Technology, Inc.(1) | 24,009 | 765,407 | 2.1 | % | ||||||||
Silicon Motion Technology Corp. – ADR(2) | 20,008 | 1,058,223 | 2.9 | % | ||||||||
2,875,997 | 7.8 | % | ||||||||||
Technology Hardware, Storage & Peripherals | ||||||||||||
Immersion Corp.(1) | 43,826 | 676,674 | 1.8 | % | ||||||||
Thrifts & Mortgage Finance | ||||||||||||
Bofi Holding, Inc.(1) | 32,012 | 1,309,611 | 3.6 | % | ||||||||
Merchants Bancorp | 37,294 | 1,063,998 | 2.9 | % | ||||||||
Meta Financial Group, Inc. | 11,845 | 1,153,703 | 3.1 | % | ||||||||
NMI Holdings, Inc.(1) | 71,067 | 1,158,392 | 3.1 | % | ||||||||
4,685,704 | 12.7 | % | ||||||||||
Trading Companies & Distributors | ||||||||||||
Air Lease Corp. | 16,166 | 678,487 | 1.8 | % | ||||||||
Wireless Telecommunication Services | ||||||||||||
Boingo Wireless, Inc.(1) | 85,574 | 1,933,117 | 5.2 | % | ||||||||
Total Common Stocks | ||||||||||||
(Cost $25,575,968) | 35,038,331 | 94.7 | % |
The accompanying notes are an integral part of these financial statements.
Page 16
Baird SmallCap Value Fund
Schedule of Investments, June 30, 2018 (Unaudited)
Short-Term Investment
% of | ||||||||||||
Shares | Value | Net Assets | ||||||||||
Money Market Mutual Fund | ||||||||||||
Fidelity Institutional Money Market Fund – | ||||||||||||
Government Portfolio, Institutional Class 1.81%(3) | 1,913,578 | $ | 1,913,578 | 5.2 | % | |||||||
Total Short-Term Investment | ||||||||||||
(Cost $1,913,578) | 1,913,578 | 5.2 | % | |||||||||
Total Investments | ||||||||||||
(Cost $27,489,546) | 36,951,909 | 99.9 | % | |||||||||
Other Assets in Excess of Liabilities | 49,440 | 0.1 | % | |||||||||
TOTAL NET ASSETS | $ | 37,001,349 | 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’s 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 17
Baird SmallCap Value Fund
Schedule of Investments, June 30, 2018 (Unaudited)
Summary of Fair Value Exposure at June 30, 2018 (Unaudited)
The Fund has adopted authoritative fair valuation accounting standards which establish a definition of fair value and set out a hierarchy for measuring fair value. These standards require additional disclosures about the various inputs and valuation techniques used to develop the measurements of fair value and a discussion on changes in valuation techniques and related inputs during the period. These standards define fair value as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. The fair value hierarchy is organized into three levels based upon the assumptions (referred to as “inputs”) used in pricing the asset or liability. These standards state that “observable inputs” reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from independent sources and “unobservable inputs” reflect an entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability. These inputs are summarized into three broad levels and described below:
Level 1 – | Unadjusted quoted prices in active markets for identical unrestricted securities. |
Level 2 – | Other significant observable inputs (including quoted prices for similar securities, quoted prices in inactive markets, dealer indications, interest rates, yield curves, prepayment speeds, credit risk, default rates, inputs corroborated by observable market data, etc.). |
Level 3 – | Significant unobservable inputs (including the Fund’s own assumptions about the factors that market participants would use in valuing the security) based on the best information available. |
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used to value the Fund’s investments as of June 30, 2018:
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Equity | ||||||||||||||||
Common Stocks | $ | 35,038,331 | $ | — | $ | — | $ | 35,038,331 | ||||||||
Total Equity | 35,038,331 | — | — | 35,038,331 | ||||||||||||
Short-Term Investment | ||||||||||||||||
Money Market Mutual Fund | 1,913,578 | — | — | 1,913,578 | ||||||||||||
Total Short-Term Investment | 1,913,578 | — | — | 1,913,578 | ||||||||||||
Total Investments* | $ | 36,951,909 | $ | — | $ | — | $ | 36,951,909 |
* | 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 18
Chautauqua International Growth Fund
June 30, 2018 (Unaudited)
Portfolio Characteristics
A June 30, 2018 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(1) | |||||
Temenos Group AG | 6.0% | Net Assets: | $94,860,413 | ||
ASML Holding NV | 5.5% | Portfolio Turnover Rate(5): | 23% | ||
HDFC Bank Ltd. – ADR | 5.4% | Number of Equity Holdings: | 27 | ||
Toronto-Dominion Bank | 4.9% | ||||
Wirecard AG | 4.9% | Annualized Portfolio Expense Ratio(3): | |||
Naspers Ltd. | 4.8% | Gross | |||
DBS Group Holdings Ltd. | 4.8% | Institutional Class: | 1.21% | ||
Core Laboratories NV | 4.8% | Investor Class: | 1.46% | (4) | |
Keyence Corp. | 4.7% | ||||
AMS AG | 4.2% | Net | |||
Institutional Class: | 0.95% | ||||
Investor Class: | 1.20% | (4) | |||
Equity Sector Analysis(2) | Country Allocation(2) | ||||
(1) | The Fund’s portfolio composition is subject to change and there is no assurance that the Fund will continue to hold any particular security. Percentages shown relate to the Fund’s total net assets as of June 30, 2018. |
(2) | Percentages shown in parentheses relate to the Fund’s total value of investments as of June 30, 2018, and may not add up to 100% due to rounding. |
(3) | 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. |
(4) | Includes 0.25% 12b-1 fee. |
(5) | Not annualized. |
Page 19
Chautauqua International Growth Fund
June 30, 2018 (Unaudited)
Total Returns
Average | |||
Annual | |||
Since | |||
For the Periods Ended June 30, 2018 | Six Months | One Year | Inception(1) |
Institutional Class Shares | 0.79% | 17.44% | 13.12% |
Investor Class Shares | 0.64% | 17.02% | 12.90% |
MSCI ACWI ex USA Index(2) | -3.77% | 7.28% | 11.07% |
(1) | For the period from April 15, 2016 (inception date) through June 30, 2018. |
(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 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 20
Chautauqua International Growth Fund
Schedule of Investments, June 30, 2018 (Unaudited)
Common Stocks
% of | ||||||||||||
Shares | Value | Net Assets | ||||||||||
Application Software | ||||||||||||
Temenos Group AG (Switzerland)(2) | 38,376 | $ | 5,771,235 | 6.0 | % | |||||||
Asset Management & Custody Banks | ||||||||||||
CI Financial Corp. (Canada)(1) | 70,254 | 1,262,771 | 1.3 | % | ||||||||
Julius Baer Group Ltd. (Switzerland)(2) | 51,122 | 2,994,291 | 3.2 | % | ||||||||
4,257,062 | 4.5 | % | ||||||||||
Automobile Manufacturers | ||||||||||||
BYD Co. Ltd. (China)(2) | 233,380 | 1,439,171 | 1.5 | % | ||||||||
Biotechnology | ||||||||||||
Genmab A/S (Denmark)(1)(2) | 20,994 | 3,230,308 | 3.4 | % | ||||||||
Cable & Satellite | ||||||||||||
Naspers Ltd. (South Africa)(2) | 18,229 | 4,596,330 | 4.8 | % | ||||||||
Data Processing & Outsourced Services | ||||||||||||
Wirecard AG (Germany)(2) | 28,804 | 4,609,234 | 4.9 | % | ||||||||
Diversified Banks | ||||||||||||
Bank Rakyat Indonesia Persero Tbk PT (Indonesia)(2) | 5,716,517 | 1,130,675 | 1.2 | % | ||||||||
DBS Group Holdings Ltd. (Singapore)(2) | 235,360 | 4,577,051 | 4.8 | % | ||||||||
Toronto-Dominion Bank (Canada)(1) | 80,847 | 4,679,305 | 4.9 | % | ||||||||
10,387,031 | 10.9 | % | ||||||||||
Education Services | ||||||||||||
TAL Education Group (China)(1) | 102,841 | 3,784,549 | 4.0 | % | ||||||||
Electronic Equipment & Instruments | ||||||||||||
Keyence Corp. (Japan)(2) | 7,703 | 4,344,604 | 4.7 | % | ||||||||
Health Care Distributors | ||||||||||||
Sinopharm Group Co. Ltd. (China) | 548,853 | 2,207,137 | 2.3 | % | ||||||||
Household Products | ||||||||||||
Reckitt Benckiser Group PLC (United Kingdom)(2) | 35,253 | 2,896,554 | 3.1 | % | ||||||||
Industrial Machinery | ||||||||||||
FANUC Corp. (Japan)(2) | 7,890 | 1,563,891 | 1.6 | % | ||||||||
Internet Retail | ||||||||||||
Alibaba Group Holding Ltd. – ADR (China)(1) | 8,479 | 1,573,109 | 1.7 | % | ||||||||
Ctrip.com International Ltd. – ADR (China)(1) | 50,685 | 2,414,126 | 2.5 | % | ||||||||
3,987,235 | 4.2 | % | ||||||||||
Oil & Gas Equipment & Services | ||||||||||||
Core Laboratories NV (Netherlands) | 35,800 | 4,518,318 | 4.8 | % | ||||||||
Personal Products | ||||||||||||
Amorepacific Corp. (Republic of Korea)(2) | 12,515 | 3,622,770 | 3.8 | % | ||||||||
Pharmaceuticals | ||||||||||||
Allergan PLC (Ireland) | 15,953 | 2,659,684 | 2.8 | % | ||||||||
Novo Nordisk A/S – ADR (Denmark) | 77,759 | 3,586,245 | 3.8 | % | ||||||||
Roche Holding AG (Switzerland)(2) | 8,611 | 1,910,421 | 2.0 | % | ||||||||
8,156,350 | 8.6 | % |
The accompanying notes are an integral part of these financial statements.
Page 21
Chautauqua International Growth Fund
Schedule of Investments, June 30, 2018 (Unaudited)
Common Stocks (cont.)
% of | ||||||||||||
Shares | Value | Net Assets | ||||||||||
Professional Services | ||||||||||||
Recruit Holdings Co. Ltd. (Japan)(2) | 141,743 | $ | 3,914,752 | 4.1 | % | |||||||
Regional Banks | ||||||||||||
HDFC Bank Ltd. – ADR (India) | 48,397 | 5,082,653 | 5.4 | % | ||||||||
Semiconductor Equipment | ||||||||||||
ASML Holding NV (Netherlands) | 26,431 | 5,232,545 | 5.5 | % | ||||||||
Semiconductors | ||||||||||||
AMS AG (Austria)(2) | 53,722 | 3,984,031 | 4.2 | % | ||||||||
Taiwan Semiconductor Manufacturing Co. Ltd. – ADR (Taiwan) | 64,555 | 2,360,131 | 2.5 | % | ||||||||
6,344,162 | 6.7 | % | ||||||||||
Total Common Stocks | ||||||||||||
(Cost $80,179,471) | 89,945,891 | 94.8 | % | |||||||||
Short-Term Investment | ||||||||||||
Money Market Fund | ||||||||||||
Fidelity Institutional Money Market Fund – | ||||||||||||
Government Portfolio, Institutional Class 1.81%(3) | 5,924,703 | 5,924,703 | 6.2 | % | ||||||||
Total Short-Term Investment | ||||||||||||
(Cost $5,924,703) | 5,924,703 | 6.2 | % | |||||||||
Total Investments | ||||||||||||
(Cost $86,104,174) | 95,870,594 | 101.0 | % | |||||||||
Liabilities in Excess of Other Assets | (1,010,181 | ) | (1.0 | )% | ||||||||
TOTAL NET ASSETS | $ | 94,860,413 | 100.0 | % |
Notes to Schedule of Investments
(1) | Non-Income Producing. |
(2) | Fair Valued Security – See Note 2a to the Financial Statements. |
(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’s Financial Services LLC (“S&P”). GICS is a service mark of MSCI and S&P and has been licensed for use by U.S. Bancorp Fund Services, LLC.
The accompanying notes are an integral part of these financial statements.
Page 22
Chautauqua International Growth Fund
Schedule of Investments, June 30, 2018 (Unaudited)
Summary of Fair Value Exposure at June 30, 2018 (Unaudited)
The Fund has adopted authoritative fair valuation accounting standards which establish a definition of fair value and set out a hierarchy for measuring fair value. These standards require additional disclosures about the various inputs and valuation techniques used to develop the measurements of fair value and a discussion on changes in valuation techniques and related inputs during the period. These standards define fair value as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. The fair value hierarchy is organized into three levels based upon the assumptions (referred to as “inputs”) used in pricing the asset or liability. These standards state that “observable inputs” reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from independent sources and “unobservable inputs” reflect an entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability. These inputs are summarized into three broad levels and described below:
Level 1 – | Unadjusted quoted prices in active markets for identical unrestricted securities. |
Level 2 – | Other significant observable inputs (including quoted prices for similar securities, quoted prices in inactive markets, dealer indications, interest rates, yield curves, prepayment speeds, credit risk, default rates, inputs corroborated by observable market data, etc.). |
Level 3 – | Significant unobservable inputs (including the Fund’s own assumptions about the factors that market participants would use in valuing the security) based on the best information available. |
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used to value the Fund’s investments as of June 30, 2018:
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Equity | ||||||||||||||||
Common Stocks | $ | 39,360,573 | $ | 50,585,318 | $ | — | $ | 89,945,891 | ||||||||
Total Equity | 39,360,573 | 50,585,318 | — | 89,945,891 | ||||||||||||
Short-Term Investment | ||||||||||||||||
Money Market Mutual Fund | 5,924,703 | — | — | 5,924,703 | ||||||||||||
Total Short-Term Investment | 5,924,703 | — | — | 5,924,703 | ||||||||||||
Total Investments* | $ | 45,285,276 | $ | 50,585,318 | $ | — | $ | 95,870,594 |
* | 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 June 30, 2018 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 June 30, 2018. See the Fund’s valuation policy in Note 2a to the financial statements.
Transfers into Level 1 | $ | 2,207,137 | ||
Transfers out of Level 2 | (2,207,137 | ) | ||
Net transfers | $ | — |
The accompanying notes are an integral part of these financial statements.
Page 23
Chautauqua Global Growth Fund
June 30, 2018 (Unaudited)
Portfolio Characteristics
A June 30, 2018 summary of the Fund’s top 10 holdings and equity sector analysis compared to the MSCI ACWI Index is shown below.
Top 10 Holdings(1)
Temenos Group AG | 5.9% | Net Assets: | $40,073,247 | ||
Recruit Holdings Co. Ltd. | 4.4% | Portfolio Turnover Rate(5): | 23% | ||
NVIDIA Corp. | 4.3% | Number of Equity Holdings: | 41 | ||
Wirecard AG | 3.7% | ||||
Charles Schwab Corp. | 3.7% | Annualized Portfolio Expense Ratio(3): | |||
HDFC Bank Ltd. – ADR | 3.7% | Gross | |||
Keyence Corp. | 3.6% | Institutional Class: | 2.26% | ||
Naspers Ltd. | 3.5% | Investor Class: | 2.51% | (4) | |
AMS AG | 3.4% | ||||
Toronto-Dominion Bank | 3.3% | Net | |||
Institutional Class: | 0.95% | ||||
Investor Class: | 1.20% | (4) | |||
Equity Sector Analysis(2) | Country Allocation(2) | ||||
(1) | The Fund’s portfolio composition is subject to change and there is no assurance that the Fund will continue to hold any particular security. Percentages shown relate to the Fund’s total net assets as of June 30, 2018. |
(2) | Percentages shown in parentheses relate to the Fund’s total value of investments as of June 30, 2018, and may not add up to 100% due to rounding. |
(3) | 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. |
(4) | Includes 0.25% 12b-1 fee. |
(5) | Not annualized. |
Page 24
Chautauqua Global Growth Fund
June 30, 2018 (Unaudited)
Total Returns
Average | |||
Annual | |||
Since | |||
For the Periods Ended June 30, 2018 | Six Months | One Year | Inception(1) |
Institutional Class Shares | 0.74% | 16.11% | 16.47% |
Investor Class Shares | 0.60% | 15.82% | 16.16% |
MSCI ACWI Index | -0.43% | 10.73% | 12.98% |
(1) | For the period from April 15, 2016 (inception date) through June 30, 2018. |
(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 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 25
Chautauqua Global Growth Fund
Schedule of Investments, June 30, 2018 (Unaudited)
Common Stocks
% of | ||||||||||||
Shares | Value | Net Assets | ||||||||||
Apparel Retail | ||||||||||||
TJX Cos, Inc. (United States) | 10,974 | $ | 1,044,505 | 2.6 | % | |||||||
Application Software | ||||||||||||
Temenos Group AG (Switzerland)(2) | 15,660 | 2,355,054 | 5.9 | % | ||||||||
Asset Management & Custody Banks | ||||||||||||
CI Financial Corp. (Canada)(1) | 21,807 | 391,967 | 1.0 | % | ||||||||
Julius Baer Group Ltd. (Switzerland)(2) | 15,107 | 884,839 | 2.2 | % | ||||||||
1,276,806 | 3.2 | % | ||||||||||
Automobile Manufacturers | ||||||||||||
BYD Co Ltd. (China)(2) | 97,830 | 603,283 | 1.5 | % | ||||||||
Biotechnology | ||||||||||||
Celgene Corp. (United States)(1) | 5,826 | 462,701 | 1.1 | % | ||||||||
Genmab A/S (Denmark)(1)(2) | 6,245 | 960,907 | 2.4 | % | ||||||||
Incyte Corp. (United States)(1) | 18,445 | 1,235,815 | 3.1 | % | ||||||||
Regeneron Pharmaceuticals, Inc. (United States)(1) | 2,521 | 869,720 | 2.2 | % | ||||||||
3,529,143 | 8.8 | % | ||||||||||
Cable & Satellite | ||||||||||||
Naspers Ltd. (South Africa)(2) | 5,483 | 1,382,505 | 3.5 | % | ||||||||
Data Processing & Outsourced Services | ||||||||||||
Wirecard AG (Germany)(2) | 9,256 | 1,481,151 | 3.7 | % | ||||||||
Diversified Banks | ||||||||||||
Bank Rakyat Indonesia Persero Tbk PT (Indonesia)(2) | 2,816,172 | 557,012 | 1.4 | % | ||||||||
Toronto-Dominion Bank (Canada)(1) | 23,163 | 1,340,641 | 3.3 | % | ||||||||
1,897,653 | 4.7 | % | ||||||||||
Education Services | ||||||||||||
TAL Education Group (China)(1) | 23,240 | 855,232 | 2.1 | % | ||||||||
Electronic Equipment & Instruments | ||||||||||||
Coherent, Inc. (United States)(1) | 2,841 | 444,389 | 1.1 | % | ||||||||
Keyence Corp. (Japan)(2) | 2,545 | 1,435,417 | 3.6 | % | ||||||||
Universal Display Corp. (United States) | 14,033 | 1,206,838 | 3.0 | % | ||||||||
3,086,644 | 7.7 | % | ||||||||||
Health Care Distributors | ||||||||||||
Sinopharm Group Co. Ltd. (China) | 95,983 | 385,982 | 1.0 | % | ||||||||
Household Products | ||||||||||||
Reckitt Benckiser Group PLC (United Kingdom)(2) | 4,810 | 395,213 | 1.0 | % | ||||||||
Industrial Machinery | ||||||||||||
FANUC Corp. (Japan)(2) | 3,290 | 652,117 | 1.6 | % |
The accompanying notes are an integral part of these financial statements.
Page 26
Chautauqua Global Growth Fund
Schedule of Investments, June 30, 2018 (Unaudited)
Common Stocks (cont.)
% of | ||||||||||||
Shares | Value | Net Assets | ||||||||||
Internet Retail | ||||||||||||
Alibaba Group Holding Ltd. – ADR (China)(1) | 2,164 | $ | 401,487 | 1.0 | % | |||||||
Amazon.com, Inc. (United States)(1) | 313 | 532,037 | 1.3 | % | ||||||||
Ctrip.com International Ltd. – ADR (China)(1) | 17,543 | 835,573 | 2.1 | % | ||||||||
1,769,097 | 4.4 | % | ||||||||||
Internet Software & Services | ||||||||||||
Alphabet, Inc. – Class A (United States)(1) | 364 | 411,025 | 1.0 | % | ||||||||
Investment Banking & Brokerage | ||||||||||||
DBS Group Holdings Ltd. (Singapore)(2) | 43,268 | 841,434 | 2.1 | % | ||||||||
IT Consulting & Other Services | ||||||||||||
MasterCard, Inc. – Class A (United States) | 4,940 | 970,809 | 2.4 | % | ||||||||
Life Sciences Tools & Services | ||||||||||||
Illumina, Inc. (United States)(1) | 1,903 | 531,489 | 1.3 | % | ||||||||
Oil & Gas Equipment & Services | ||||||||||||
Core Laboratories NV (Netherlands) | 10,514 | 1,326,972 | 3.3 | % | ||||||||
Other Diversified Financial Services | ||||||||||||
Charles Schwab Corp. (United States) | 28,963 | 1,480,009 | 3.7 | % | ||||||||
Personal Products | ||||||||||||
Amorepacific Corp. (Republic of Korea)(2) | 1,266 | 366,474 | 0.9 | % | ||||||||
Pharmaceuticals | ||||||||||||
Allergan PLC (Ireland) | 2,315 | 385,957 | 1.0 | % | ||||||||
Novo Nordisk A/S – ADR (Denmark) | 22,350 | 1,030,782 | 2.6 | % | ||||||||
Roche Holding AG (Switzerland)(2) | 1,564 | 346,986 | 0.8 | % | ||||||||
1,763,725 | 4.4 | % | ||||||||||
Professional Services | ||||||||||||
Recruit Holdings Co. Ltd. (Japan)(2) | 63,667 | 1,758,397 | 4.4 | % | ||||||||
Regional Banks | ||||||||||||
HDFC Bank Ltd. – ADR (India) | 14,088 | 1,479,522 | 3.7 | % | ||||||||
SVB Financial Group (United States)(1) | 3,968 | 1,145,800 | 2.9 | % | ||||||||
2,625,322 | 6.6 | % | ||||||||||
Semiconductor Equipment | ||||||||||||
ASML Holding NV (Netherlands) | 2,745 | 543,428 | 1.4 | % | ||||||||
Semiconductors | ||||||||||||
AMS AG (Austria)(2) | 18,576 | 1,377,599 | 3.4 | % | ||||||||
NVIDIA Corp. (United States) | 7,216 | 1,709,469 | 4.3 | % | ||||||||
Taiwan Semiconductor Manufacturing Co. Ltd. – ADR (Taiwan) | 16,528 | 604,264 | 1.5 | % | ||||||||
3,691,332 | 9.2 | % |
The accompanying notes are an integral part of these financial statements.
Page 27
Chautauqua Global Growth Fund
Schedule of Investments, June 30, 2018 (Unaudited)
Common Stocks (cont.)
% of | ||||||||||||
Shares | Value | Net Assets | ||||||||||
Systems Software | ||||||||||||
Red Hat, Inc. (United States)(1) | 9,591 | $ | 1,288,743 | 3.2 | % | |||||||
Total Common Stocks | ||||||||||||
(Cost $35,721,522) | 38,313,544 | 95.6 | % | |||||||||
Short-Term Investment | ||||||||||||
Money Market Fund | ||||||||||||
Fidelity Institutional Money Market Fund – | ||||||||||||
Government Portfolio, Institutional Class 1.81%(3) | 2,154,038 | 2,154,038 | 5.4 | % | ||||||||
Total Short-Term Investment | ||||||||||||
(Cost $2,154,038) | 2,154,038 | 5.4 | % | |||||||||
Total Investments | ||||||||||||
(Cost $37,875,560) | 40,467,582 | 101.0 | % | |||||||||
Liabilities in Excess of Other Assets | (394,335 | ) | (1.0 | )% | ||||||||
TOTAL NET ASSETS | $ | 40,073,247 | 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. |
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’s 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 28
Chautauqua Global Growth Fund
Schedule of Investments, June 30, 2018 (Unaudited)
Summary of Fair Value Exposure at June 30, 2018 (Unaudited)
The Fund has adopted authoritative fair valuation accounting standards which establish a definition of fair value and set out a hierarchy for measuring fair value. These standards require additional disclosures about the various inputs and valuation techniques used to develop the measurements of fair value and a discussion on changes in valuation techniques and related inputs during the period. These standards define fair value as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. The fair value hierarchy is organized into three levels based upon the assumptions (referred to as “inputs”) used in pricing the asset or liability. These standards state that “observable inputs” reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from independent sources and “unobservable inputs” reflect an entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability. These inputs are summarized into three broad levels and described below:
Level 1 – | Unadjusted quoted prices in active markets for identical unrestricted securities. |
Level 2 – | Other significant observable inputs (including quoted prices for similar securities, quoted prices in inactive markets, dealer indications, interest rates, yield curves, prepayment speeds, credit risk, default rates, inputs corroborated by observable market data, etc.). |
Level 3 – | Significant unobservable inputs (including the Fund’s own assumptions about the factors that market participants would use in valuing the security) based on the best information available. |
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used to value the Fund’s investments as of June 30, 2018:
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Equity | ||||||||||||||||
Common Stocks | $ | 22,915,156 | $ | 15,398,388 | $ | — | $ | 38,313,544 | ||||||||
Total Equity | 22,915,156 | 15,398,388 | — | 38,313,544 | ||||||||||||
Short-Term Investment | ||||||||||||||||
Money Market Fund | 2,154,038 | — | — | 2,154,038 | ||||||||||||
Total Short-Term Investment | 2,154,038 | — | — | 2,154,038 | ||||||||||||
Total Investments* | $ | 25,069,194 | $ | 15,398,388 | $ | — | $ | 40,467,582 |
* | 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 June 30, 2018 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 June 30, 2018. See the Fund’s valuation policy in Note 2a to the financial statements.
Transfers into Level 1 | $ | 385,982 | ||
Transfers out of Level 2 | (385,982 | ) | ||
Net transfers | $ | — |
The accompanying notes are an integral part of these financial statements.
Page 29
Additional Information on Fund Expenses
June 30, 2018 (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 (1/1/18 – 6/30/18).
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 30
Additional Information on Fund Expenses
June 30, 2018 (Unaudited)
Actual vs. Hypothetical Returns
For the Six Months Ended June 30, 2018
Hypothetical | ||||||
(5% return | ||||||
Actual | before expenses) | |||||
Fund's | Beginning | Ending | Expenses | Ending | Expenses | |
Annualized | Account | Account | Paid | Account | Paid | |
Expense | Value | Value | During | Value | During | |
Ratio(1) | 1/1/18 | 6/30/18 | Period(1) | 6/30/18 | Period(1) | |
Baird MidCap Fund | ||||||
Institutional Class | 0.82% | $1,000.00 | $1,068.90 | $4.21 | $1,020.73 | $4.11 |
Investor Class | 1.07% | $1,000.00 | $1,067.50 | $5.49 | $1,019.49 | $5.36 |
Baird Small/Mid | ||||||
Cap Value Fund | ||||||
Institutional Class | 0.95% | $1,000.00 | $1,000.00 | $4.71 | $1,020.08 | $4.76 |
Investor Class | 1.20% | $1,000.00 | $ 999.20 | $5.95 | $1,018.84 | $6.01 |
Baird SmallCap Value Fund | ||||||
Institutional Class | 1.00% | $1,000.00 | $1,014.10 | $4.99 | $1,019.84 | $5.01 |
Investor Class | 1.25% | $1,000.00 | $1,013.00 | $6.24 | $1,018.60 | $6.26 |
Chautauqua International | ||||||
Growth Fund | ||||||
Institutional Class | 0.95% | $1,000.00 | $1,007.90 | $4.73 | $1,020.08 | $4.76 |
Investor Class | 1.20% | $1,000.00 | $1,006.40 | $5.97 | $1,018.84 | $6.01 |
Chautauqua Global | ||||||
Growth Fund | ||||||
Institutional Class | 0.95% | $1,000.00 | $1,007.40 | $4.73 | $1,020.08 | $4.76 |
Investor Class | 1.20% | $1,000.00 | $1,006.00 | $5.97 | $1,018.84 | $6.01 |
(1) | Expenses are equal to the Fund's annualized net expense ratio multiplied by the average account value over the period, multiplied by 181 days and divided by 365 to reflect the one-half year period. |
Page 31
Statements of Assets and Liabilities
June 30, 2018 (Unaudited)
Baird | ||||||||||||
Baird | Small/Mid | Baird | ||||||||||
MidCap | Cap Value | SmallCap | ||||||||||
Fund | Fund | Value Fund | ||||||||||
ASSETS: | ||||||||||||
Investments, at value (cost $1,089,832,172, | ||||||||||||
$16,364,262 and $27,489,546, respectively) | $ | 1,498,700,920 | $ | 19,536,850 | $ | 36,951,909 | ||||||
Dividends receivable | 378,692 | 32,618 | 80,898 | |||||||||
Interest receivable | 86,423 | 692 | 2,486 | |||||||||
Receivable for Fund shares sold | 2,075,613 | 16,285 | 25,710 | |||||||||
Receivable from Advisor, net (Note 5) | — | 69 | — | |||||||||
Prepaid expenses and other assets | 1,195 | 8,691 | 1,419 | |||||||||
Total assets | 1,501,242,843 | 19,595,205 | 37,062,422 | |||||||||
LIABILITIES: | ||||||||||||
Payable for Fund shares repurchased | 2,487,820 | — | 5,604 | |||||||||
Payable to Advisor, net (Note 5) | 943,492 | — | 14,759 | |||||||||
Payable to directors | 2,423 | 2,297 | 2,238 | |||||||||
Accrued Rule 12b-1 fees (Note 7) | 61,192 | 77 | 1,599 | |||||||||
Accrued shareholder servicing fees | 143,287 | 6,748 | 8,415 | |||||||||
Accrued fund accounting fees | 30,339 | 8,113 | 7,964 | |||||||||
Accrued professional fees | 9,896 | 9,954 | 9,754 | |||||||||
Accrued expenses and other liabilities | 86,891 | 7,151 | 10,740 | |||||||||
Total liabilities | 3,765,340 | 34,340 | 61,073 | |||||||||
NET ASSETS | $ | 1,497,477,503 | $ | 19,560,865 | $ | 37,001,349 | ||||||
NET ASSETS CONSIST OF: | ||||||||||||
Capital stock | $ | 1,014,798,456 | $ | 16,470,185 | $ | 26,185,789 | ||||||
Accumulated undistributed | ||||||||||||
net investment income (loss) | (1,615,603 | ) | 39,095 | 61,825 | ||||||||
Accumulated net realized | ||||||||||||
gain (loss) on investments sold | 75,425,902 | (121,003 | ) | 1,291,372 | ||||||||
Net unrealized appreciation on investments | 408,868,748 | 3,172,588 | 9,462,363 | |||||||||
NET ASSETS | $ | 1,497,477,503 | $ | 19,560,865 | $ | 37,001,349 | ||||||
INSTITUTIONAL CLASS SHARES | ||||||||||||
Net Assets | $ | 1,380,621,843 | $ | 19,415,220 | $ | 34,628,186 | ||||||
Shares outstanding ($0.01 par value, | ||||||||||||
unlimited shares authorized) | 67,417,691 | 1,561,676 | 2,009,317 | |||||||||
Net asset value, offering and | ||||||||||||
redemption price per share | $ | 20.48 | $ | 12.43 | $ | 17.23 | ||||||
INVESTOR CLASS SHARES | ||||||||||||
Net Assets | $ | 116,855,660 | $ | 145,645 | $ | 2,373,163 | ||||||
Shares outstanding ($0.01 par value, | ||||||||||||
unlimited shares authorized) | 6,006,003 | 11,752 | 138,053 | |||||||||
Net asset value, offering and | ||||||||||||
redemption price per share | $ | 19.46 | $ | 12.39 | $ | 17.19 |
The accompanying notes are an integral part of these financial statements.
Page 32
Statements of Assets and Liabilities
June 30, 2018 (Unaudited)
Chautauqua | Chautauqua | |||||||
International | Global | |||||||
Growth Fund | Growth Fund | |||||||
ASSETS: | ||||||||
Investments, at value (cost $86,104,174 | ||||||||
and $37,875,560, respectively) | $ | 95,870,594 | $ | 40,467,582 | ||||
Foreign Currency, at value | ||||||||
(cost $70,798 and $12,025, respectively) | 70,209 | 13,183 | ||||||
Dividends receivable | 153,775 | 34,493 | ||||||
Interest receivable | 7,608 | 3,216 | ||||||
Receivable for Fund shares sold | 142,293 | 156,202 | ||||||
Prepaid expenses and other assets | 404 | 112 | ||||||
Total assets | 96,244,883 | 40,674,788 | ||||||
LIABILITIES: | ||||||||
Payable for securities purchased | 1,261,261 | 542,518 | ||||||
Payable for Fund shares repurchased | 13,677 | — | ||||||
Payable to Advisor, net (Note 5) | 54,402 | 14,229 | ||||||
Payable to directors | 2,416 | 2,241 | ||||||
Accrued Rule 12b-1 fees (Note 7) | 1,688 | 549 | ||||||
Accrued shareholder servicing fees | 10,071 | 6,655 | ||||||
Accrued fund accounting fees | 9,187 | 8,451 | ||||||
Accrued professional fees | 11,082 | 11,080 | ||||||
Accrued expenses and other liabilities | 20,686 | 15,818 | ||||||
Total liabilities | 1,384,470 | 601,541 | ||||||
NET ASSETS | $ | 94,860,413 | $ | 40,073,247 | ||||
NET ASSETS CONSIST OF: | ||||||||
Capital stock | $ | 82,599,686 | $ | 36,841,906 | ||||
Accumulated undistributed net investment income | 393,788 | 42,773 | ||||||
Accumulated net realized gain on investments | ||||||||
sold and foreign currency translation | 2,105,301 | 596,884 | ||||||
Net unrealized appreciation (depreciation) on: | ||||||||
Investments | 9,766,420 | 2,592,022 | ||||||
Foreign currency and other assets | ||||||||
denominated in foreign currency | (4,782 | ) | (338 | ) | ||||
NET ASSETS | $ | 94,860,413 | $ | 40,073,247 | ||||
INSTITUTIONAL CLASS SHARES | ||||||||
Net Assets | $ | 91,822,428 | $ | 39,128,310 | ||||
Shares outstanding ($0.01 par value, unlimited shares authorized) | 7,236,815 | 2,892,893 | ||||||
Net asset value, offering and redemption price per share | $ | 12.69 | $ | 13.53 | ||||
INVESTOR CLASS SHARES | ||||||||
Net Assets | $ | 3,037,985 | $ | 944,937 | ||||
Shares outstanding ($0.01 par value, unlimited shares authorized) | 240,151 | 70,244 | ||||||
Net asset value, offering and redemption price per share | $ | 12.65 | $ | 13.45 |
The accompanying notes are an integral part of these financial statements.
Page 33
Statements of Operations
Six Months Ended June 30, 2018 (Unaudited)
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, $1,486 and $3,887, respectively) | $ | 4,079,913 | $ | 117,498 | $ | 232,273 | ||||||
Interest | 402,030 | 7,096 | 9,328 | |||||||||
Total investment income | 4,481,943 | 124,594 | 241,601 | |||||||||
EXPENSES: | ||||||||||||
Investment advisory fees (Note 5) | 5,455,044 | 71,854 | 150,201 | |||||||||
Administration fees | 46,843 | 1,891 | 2,368 | |||||||||
Shareholder servicing fees | 288,579 | 7,093 | 8,514 | |||||||||
Fund accounting fees | 30,523 | 8,065 | 7,863 | |||||||||
Professional fees | 16,471 | 16,562 | 16,471 | |||||||||
Federal and state registration | 32,580 | 24,903 | 22,952 | |||||||||
Directors fees | 29,140 | 29,321 | 29,231 | |||||||||
Custody fees | 11,229 | 3,311 | 2,058 | |||||||||
Reports to shareholders | 43,265 | 542 | 633 | |||||||||
Miscellaneous expenses | 710 | 456 | 3,008 | |||||||||
Rule 12b-1 fees – Investor Class Shares (Note 7) | 143,162 | 172 | 3,069 | |||||||||
Total expenses | 6,097,546 | 164,170 | 246,368 | |||||||||
Fee waiver by Advisor (Note 5) | — | (78,671 | ) | (66,592 | ) | |||||||
Net expenses | 6,097,546 | 85,499 | 179,776 | |||||||||
NET INVESTMENT INCOME (LOSS) | (1,615,603 | ) | 39,095 | 61,825 | ||||||||
REALIZED AND UNREALIZED | ||||||||||||
GAIN (LOSS) ON INVESTMENTS: | ||||||||||||
Net realized gain (loss) on investments | 63,868,497 | (93,224 | ) | 534,095 | ||||||||
Change in unrealized appreciation (depreciation) | ||||||||||||
on investments | 33,064,433 | 62,962 | (98,368 | ) | ||||||||
Net realized and unrealized gain (loss) on investments | 96,932,930 | (30,262 | ) | 435,727 | ||||||||
NET INCREASE IN NET ASSETS | ||||||||||||
RESULTING FROM OPERATIONS | $ | 95,317,327 | $ | 8,833 | $ | 497,552 |
The accompanying notes are an integral part of these financial statements.
Page 34
Statements of Operations
Six Months Ended June 30, 2018 (Unaudited)
Chautauqua | Chautauqua | |||||||
International | Global | |||||||
Growth Fund | Growth Fund | |||||||
INVESTMENT INCOME: | ||||||||
Dividends (net of issuance fees and/or foreign taxes | ||||||||
withheld of $82,602 and $18,030, respectively) | $ | 756,678 | $ | 198,607 | ||||
Interest | 33,632 | 15,834 | ||||||
Other income | 33 | — | ||||||
Total investment income | 790,343 | 214,441 | ||||||
EXPENSES: | ||||||||
Investment advisory fees (Note 5) | 339,393 | 143,489 | ||||||
Administration fees | 3,711 | 2,172 | ||||||
Shareholder servicing fees | 11,315 | 6,584 | ||||||
Fund accounting fees | 9,322 | 8,416 | ||||||
Professional fees | 17,665 | 17,665 | ||||||
Federal and state registration | 27,955 | 26,892 | ||||||
Directors fees | 29,140 | 29,140 | ||||||
Custody fees | 16,306 | 11,688 | ||||||
Reports to shareholders | 903 | 633 | ||||||
Miscellaneous expenses | 378 | 274 | ||||||
Rule 12b-1 fees – Investor Class Shares (Note 7) | 3,079 | 1,046 | ||||||
Total expenses | 459,167 | 247,999 | ||||||
Fee waiver by Advisor (Note 5) | (53,059 | ) | (76,559 | ) | ||||
Net expenses | 406,108 | 171,440 | ||||||
NET INVESTMENT INCOME | 384,235 | 43,001 | ||||||
REALIZED AND UNREALIZED | ||||||||
GAIN (LOSS) ON INVESTMENTS AND | ||||||||
FOREIGN CURRENCY TRANSLATION: | ||||||||
Net realized gain (loss) on: | ||||||||
Investments | 965,566 | 182,883 | ||||||
Foreign currency translation | (35,895 | ) | 1,190 | |||||
Change in unrealized depreciation on: | ||||||||
Investments | (1,307,350 | ) | (292,106 | ) | ||||
Foreign currency translation | (4,520 | ) | (98 | ) | ||||
Net realized and unrealized loss on investments | ||||||||
and foreign currency translation | (382,199 | ) | (108,131 | ) | ||||
NET INCREASE (DECREASE) IN NET ASSETS | ||||||||
RESULTING FROM OPERATIONS | $ | 2,036 | $ | (65,130 | ) |
The accompanying notes are an integral part of these financial statements.
Page 35
Statements of Changes in Net Assets
Baird MidCap Fund
Six Months Ended | ||||||||
June 30, 2018 | Year Ended | |||||||
(Unaudited) | December 31, 2017 | |||||||
OPERATIONS: | ||||||||
Net investment loss | $ | (1,615,603 | ) | $ | (2,569,252 | ) | ||
Net realized gain on investments | 63,868,497 | 143,972,259 | ||||||
Change in unrealized appreciation on investments | 33,064,433 | 183,589,368 | ||||||
Net increase in net assets resulting from operations | 95,317,327 | 324,992,375 | ||||||
CAPITAL SHARE TRANSACTIONS: | ||||||||
Proceeds from shares sold | 142,836,791 | 349,351,022 | ||||||
Shares issued to holders in reinvestment of distributions | — | 47,937,259 | ||||||
Cost of shares redeemed | (131,658,408 | ) | (511,066,587 | ) | ||||
Net increase (decrease) in net assets resulting | ||||||||
from capital share transactions | 11,178,383 | (113,778,306 | ) | |||||
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 | 106,495,710 | 148,753,884 | ||||||
NET ASSETS: | ||||||||
Beginning of period | 1,390,981,793 | 1,242,227,909 | ||||||
End of period (including accumulated | ||||||||
undistributed net investment income (loss) | ||||||||
of $(1,615,603) and $0, respectively) | $ | 1,497,477,503 | $ | 1,390,981,793 |
The accompanying notes are an integral part of these financial statements.
Page 36
Statements of Changes in Net Assets
Baird Small/Mid Cap Value Fund
Six Months Ended | ||||||||
June 30, 2018 | Year Ended | |||||||
(Unaudited) | December 31, 2017 | |||||||
OPERATIONS: | ||||||||
Net investment income | $ | 39,095 | $ | 83,134 | ||||
Net realized gain (loss) on investments | (93,224 | ) | 412,449 | |||||
Change in unrealized appreciation on investments | 62,962 | 2,099,758 | ||||||
Net increase in net assets resulting from operations | 8,833 | 2,595,341 | ||||||
CAPITAL SHARE TRANSACTIONS: | ||||||||
Proceeds from shares sold | 3,018,047 | 6,798,695 | ||||||
Shares issued to holders in reinvestment of distributions | — | 75,423 | ||||||
Cost of shares redeemed | (411,259 | ) | (4,405,931 | ) | ||||
Net increase in net assets resulting | ||||||||
from capital share transactions | 2,606,788 | 2,468,187 | ||||||
DISTRIBUTIONS TO | ||||||||
INSTITUTIONAL CLASS SHAREHOLDERS: | ||||||||
From net investment income | — | (81,188 | ) | |||||
From net realized gains | — | (3,750 | ) | |||||
Total Distributions | — | (84,938 | ) | |||||
DISTRIBUTIONS TO | ||||||||
INVESTOR CLASS SHAREHOLDERS: | ||||||||
From net investment income | — | (310 | ) | |||||
From net realized gains | — | (14 | ) | |||||
Total Distributions | — | (324 | ) | |||||
TOTAL INCREASE IN NET ASSETS | 2,615,621 | 4,978,266 | ||||||
NET ASSETS: | ||||||||
Beginning of period | 16,945,244 | 11,966,978 | ||||||
End of period (including accumulated | ||||||||
undistributed net investment income | ||||||||
of $39,095 and $0, respectively) | $ | 19,560,865 | $ | 16,945,244 |
The accompanying notes are an integral part of these financial statements.
Page 37
Statements of Changes in Net Assets
Baird SmallCap Value Fund
Six Months Ended | ||||||||
June 30, 2018 | Year Ended | |||||||
(Unaudited) | December 31, 2017 | |||||||
OPERATIONS: | ||||||||
Net investment income | $ | 61,825 | $ | 185,540 | ||||
Net realized gain on investments | 534,095 | 1,935,024 | ||||||
Change in unrealized appreciation (depreciation) | ||||||||
on investments | (98,368 | ) | 3,236,935 | |||||
Net increase in net assets resulting from operations | 497,552 | 5,357,499 | ||||||
CAPITAL SHARE TRANSACTIONS: | ||||||||
Proceeds from shares sold | 2,919,167 | 4,358,641 | ||||||
Shares issued to holders in reinvestment of distributions | — | 879,036 | ||||||
Cost of shares redeemed | (2,633,036 | ) | (4,203,475 | ) | ||||
Net increase in net assets resulting | ||||||||
from capital share transactions | 286,131 | 1,034,202 | ||||||
DISTRIBUTIONS TO | ||||||||
INSTITUTIONAL CLASS SHAREHOLDERS: | ||||||||
From net investment income | — | (173,048 | ) | |||||
From net realized gains | — | (778,275 | ) | |||||
Total Distributions | — | (951,323 | ) | |||||
DISTRIBUTIONS TO | ||||||||
INVESTOR CLASS SHAREHOLDERS: | ||||||||
From net investment income | — | (8,072 | ) | |||||
From net realized gains | — | (63,535 | ) | |||||
Total Distributions | — | (71,607 | ) | |||||
TOTAL INCREASE IN NET ASSETS | 783,683 | 5,368,771 | ||||||
NET ASSETS: | ||||||||
Beginning of period | 36,217,666 | 30,848,895 | ||||||
End of period (including accumulated | ||||||||
undistributed net investment income | ||||||||
of $61,825 and $0, respectively) | $ | 37,001,349 | $ | 36,217,666 |
The accompanying notes are an integral part of these financial statements.
Page 38
Statements of Changes in Net Assets
Chautauqua International Growth Fund
Six Months Ended | ||||||||
June 30, 2018 | Year Ended | |||||||
(Unaudited) | December 31, 2017 | |||||||
OPERATIONS: | ||||||||
Net investment income | $ | 384,235 | $ | 163,385 | ||||
Net realized gain on investments | ||||||||
and foreign currency translation | 929,671 | 3,676,719 | ||||||
Change in unrealized appreciation (depreciation) | ||||||||
on investments and foreign currency translation | (1,311,870 | ) | 11,425,067 | |||||
Net increase in net assets | ||||||||
resulting from operations | 2,036 | 15,265,171 | ||||||
CAPITAL SHARE TRANSACTIONS: | ||||||||
Proceeds from shares sold | 27,994,503 | 54,726,978 | ||||||
Shares issued to holders in reinvestment of distributions | — | 2,307,063 | ||||||
Cost of shares redeemed | (8,942,328 | ) | (9,195,880 | ) | ||||
Redemption fees (Note 8) | 1,873 | 11,284 | ||||||
Net increase in net assets resulting | ||||||||
from capital share transactions | 19,054,048 | 47,849,445 | ||||||
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 | 19,056,084 | 60,647,027 | ||||||
NET ASSETS: | ||||||||
Beginning of period | 75,804,329 | 15,157,302 | ||||||
End of period (including accumulated | ||||||||
undistributed net investment income | ||||||||
of $393,788 and $9,553, respectively) | $ | 94,860,413 | $ | 75,804,329 |
The accompanying notes are an integral part of these financial statements.
Page 39
Statements of Changes in Net Assets
Chautauqua Global Growth Fund
Six Months Ended | ||||||||
June 30, 2018 | Year Ended | |||||||
(Unaudited) | December 31, 2017 | |||||||
OPERATIONS: | ||||||||
Net investment income (loss) | $ | 43,001 | $ | (40,268 | ) | |||
Net realized gain on investments | ||||||||
and foreign currency translation | 184,073 | 1,239,743 | ||||||
Change in unrealized appreciation (depreciation) | ||||||||
on investments and foreign currency translation | (292,204 | ) | 2,700,039 | |||||
Net increase (decrease) in net assets | ||||||||
resulting from operations | (65,130 | ) | 3,899,514 | |||||
CAPITAL SHARE TRANSACTIONS: | ||||||||
Proceeds from shares sold | 17,602,725 | 13,308,152 | ||||||
Shares issued to holders in reinvestment of distributions | — | 582,584 | ||||||
Cost of shares redeemed | (1,372,582 | ) | (1,065,485 | ) | ||||
Redemption fees (Note 8) | 1,452 | 965 | ||||||
Net increase in net assets resulting | ||||||||
from capital share transactions | 16,231,595 | 12,826,216 | ||||||
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 | 16,166,465 | 16,057,971 | ||||||
NET ASSETS: | ||||||||
Beginning of period | 23,906,782 | 7,848,811 | ||||||
End of period (including accumulated | ||||||||
undistributed net investment income (loss) | ||||||||
of $42,773 and $(228), respectively) | $ | 40,073,247 | $ | 23,906,782 |
The accompanying notes are an integral part of these financial statements.
Page 40
Financial Highlights
Baird MidCap Fund – Institutional Class
Six Months | ||||||||||||||||||||||||
Ended | ||||||||||||||||||||||||
June 30, 2018 | Year Ended December 31, | |||||||||||||||||||||||
(Unaudited) | 2017 | 2016 | 2015 | 2014 | 2013 | |||||||||||||||||||
Per Share Data: | ||||||||||||||||||||||||
Net asset value, | ||||||||||||||||||||||||
beginning of period | $ | 19.16 | $ | 15.80 | $ | 14.99 | $ | 15.57 | $ | 15.00 | $ | 11.52 | ||||||||||||
Income from | ||||||||||||||||||||||||
investment operations: | ||||||||||||||||||||||||
Net investment loss | (0.02 | )(1) | (0.03 | )(1) | (0.02 | )(1) | (0.03 | )(1) | (0.03 | )(1) | (0.01 | ) | ||||||||||||
Net realized and unrealized | ||||||||||||||||||||||||
gains (losses) on investments | 1.34 | 4.28 | 0.83 | (0.53 | ) | 0.76 | 3.80 | |||||||||||||||||
Total from | ||||||||||||||||||||||||
investment operations | 1.32 | 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 period | $ | 20.48 | $ | 19.16 | $ | 15.80 | $ | 14.99 | $ | 15.57 | $ | 15.00 | ||||||||||||
Total return | 6.89 | %(2) | 26.88 | % | 5.40 | % | (3.59 | )% | 4.85 | % | 32.90 | % | ||||||||||||
Supplemental data and ratios: | ||||||||||||||||||||||||
Net assets, | ||||||||||||||||||||||||
end of period (millions) | $ | 1,380.6 | $ | 1,279.6 | $ | 1,105.1 | $ | 1,035.0 | $ | 910.9 | $ | 286.1 | ||||||||||||
Ratio of expenses | ||||||||||||||||||||||||
to average net assets | 0.82 | %(3) | 0.83 | % | 0.82 | % | 0.80 | % | 0.85 | % | 0.85 | % | ||||||||||||
Ratio of expenses to | ||||||||||||||||||||||||
average net assets | ||||||||||||||||||||||||
(before waivers) | 0.82 | %(3) | 0.83 | % | 0.82 | % | 0.80 | % | 0.87 | % | 0.87 | % | ||||||||||||
Ratio of net investment | ||||||||||||||||||||||||
loss to average net assets | (0.20 | )%(3) | (0.17 | )% | (0.14 | )% | (0.18 | )% | (0.17 | )% | (0.04 | )% | ||||||||||||
Ratio of net investment | ||||||||||||||||||||||||
loss to average net assets | ||||||||||||||||||||||||
(before waivers) | (0.20 | )%(3) | (0.17 | )% | (0.14 | )% | (0.18 | )% | (0.19 | )% | (0.06 | )% | ||||||||||||
Portfolio turnover rate(4) | 24 | %(2) | 45 | % | 57 | % | 53 | % | 37 | % | 36 | % |
(1) | Calculated using average shares outstanding during the year. |
(2) | Not annualized. |
(3) | Annualized. |
(4) | Portfolio turnover is calculated on the basis of the Fund as a whole without distinguishing between the classes of shares issued. |
The accompanying notes are an integral part of these financial statements.
Page 41
Financial Highlights
Baird MidCap Fund – Investor Class
Six Months | ||||||||||||||||||||||||
Ended | ||||||||||||||||||||||||
June 30, 2018 | Year Ended December 31, | |||||||||||||||||||||||
(Unaudited) | 2017 | 2016 | 2015 | 2014 | 2013 | |||||||||||||||||||
Per Share Data: | ||||||||||||||||||||||||
Net asset value, | ||||||||||||||||||||||||
beginning of period | $ | 18.23 | $ | 15.10 | $ | 14.36 | $ | 14.96 | $ | 14.45 | $ | 11.13 | ||||||||||||
Income from | ||||||||||||||||||||||||
investment operations: | ||||||||||||||||||||||||
Net investment loss | (0.04 | )(1) | (0.07 | )(1) | (0.06 | )(1) | (0.06 | )(1) | (0.06 | )(1) | (0.03 | ) | ||||||||||||
Net realized and unrealized | ||||||||||||||||||||||||
gains (losses) on investments | 1.27 | 4.09 | 0.80 | (0.52 | ) | 0.73 | 3.66 | |||||||||||||||||
Total from | ||||||||||||||||||||||||
investment operations | 1.23 | 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 period | $ | 19.46 | $ | 18.23 | $ | 15.10 | $ | 14.36 | $ | 14.96 | $ | 14.45 | ||||||||||||
Total return | 6.75 | %(2) | 26.61 | % | 5.08 | % | (3.80 | )% | 4.62 | % | 32.62 | % | ||||||||||||
Supplemental data and ratios: | ||||||||||||||||||||||||
Net assets, | ||||||||||||||||||||||||
end of period (millions) | $ | 116.9 | $ | 111.4 | $ | 137.2 | $ | 184.1 | $ | 205.4 | $ | 143.1 | ||||||||||||
Ratio of expenses | ||||||||||||||||||||||||
to average net assets | 1.07 | %(3) | 1.08 | % | 1.07 | % | 1.05 | % | 1.10 | % | 1.10 | % | ||||||||||||
Ratio of expenses to | ||||||||||||||||||||||||
average net assets | ||||||||||||||||||||||||
(before waivers) | 1.07 | %(3) | 1.08 | % | 1.07 | % | 1.05 | % | 1.12 | % | 1.12 | % | ||||||||||||
Ratio of net investment | ||||||||||||||||||||||||
loss to average net assets | (0.45 | )%(3) | (0.42 | )% | (0.39 | )% | (0.43 | )% | (0.42 | )% | (0.29 | )% | ||||||||||||
Ratio of net investment | ||||||||||||||||||||||||
loss to average net assets | ||||||||||||||||||||||||
(before waivers) | (0.45 | )%(3) | (0.42 | )% | (0.39 | )% | (0.43 | )% | (0.44 | )% | (0.31 | )% | ||||||||||||
Portfolio turnover rate(4) | 24 | %(2) | 45 | % | 57 | % | 53 | % | 37 | % | 36 | % |
(1) | Calculated using average shares outstanding during the year. |
(2) | Not annualized. |
(3) | Annualized. |
(4) | Portfolio turnover is calculated on the basis of the Fund as a whole without distinguishing between the classes of shares issued. |
The accompanying notes are an integral part of these financial statements.
Page 42
Financial Highlights
Baird Small/Mid Cap Value Fund – Institutional Class
Six Months | ||||||||||||||||
Ended | Period Ended | |||||||||||||||
June 30, 2018 | Year Ended December 31, | December 31, | ||||||||||||||
(Unaudited) | 2017 | 2016 | 2015(1) | |||||||||||||
Per Share Data: | ||||||||||||||||
Net asset value, beginning of period | $ | 12.43 | $ | 10.29 | $ | 9.52 | $ | 10.00 | ||||||||
Income from investment operations: | ||||||||||||||||
Net investment income(2) | 0.03 | 0.07 | 0.13 | 0.02 | ||||||||||||
Net realized and unrealized | ||||||||||||||||
gains (losses) on investments | (0.03 | ) | 2.14 | 0.72 | (0.49 | ) | ||||||||||
Total from investment operations | 0.00 | 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 | $ | 12.43 | $ | 10.29 | $ | 9.52 | ||||||||
Total return | 0.00 | %(4) | 21.48 | % | 8.91 | % | (4.66 | )%(4) | ||||||||
Supplemental data and ratios: | ||||||||||||||||
Net assets, end of period (millions) | $ | 19.4 | $ | 16.9 | $ | 11.9 | $ | 4.7 | ||||||||
Ratio of expenses to average net assets | 0.95 | %(5) | 0.95 | % | 0.95 | % | 0.95 | %(5) | ||||||||
Ratio of expenses to | ||||||||||||||||
average net assets (before waivers) | 1.83 | %(5) | 1.91 | % | 2.86 | % | 6.88 | %(5) | ||||||||
Ratio of net investment income | ||||||||||||||||
to average net assets | 0.44 | %(5) | 0.62 | % | 1.35 | % | 1.96 | %(5) | ||||||||
Ratio of net investment loss to | ||||||||||||||||
average net assets (before waivers) | (0.44 | )%(5) | (0.34 | )% | (0.56 | )% | (3.97 | )%(5) | ||||||||
Portfolio turnover rate(6) | 9 | %(4) | 60 | % | 38 | % | 15 | %(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 43
Financial Highlights
Baird Small/Mid Cap Value Fund – Investor Class
Six Months | ||||||||||||||||
Ended | Period Ended | |||||||||||||||
June 30, 2018 | Year Ended December 31, | December 31, | ||||||||||||||
(Unaudited) | 2017 | 2016 | 2015(1) | |||||||||||||
Per Share Data: | ||||||||||||||||
Net asset value, beginning of period | $ | 12.40 | $ | 10.28 | $ | 9.52 | $ | 10.00 | ||||||||
Income from investment operations: | ||||||||||||||||
Net investment income(2) | 0.01 | 0.04 | 0.11 | 0.01 | ||||||||||||
Net realized and unrealized | ||||||||||||||||
gains (losses) on investments | (0.02 | ) | 2.13 | 0.71 | (0.48 | ) | ||||||||||
Total from investment operations | (0.01 | ) | 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 | $ | 12.39 | $ | 12.40 | $ | 10.28 | $ | 9.52 | ||||||||
Total return | (0.08 | )%(4) | 21.08 | % | 8.64 | % | (4.67 | )%(4) | ||||||||
Supplemental data and ratios: | ||||||||||||||||
Net assets, end of period (thousands) | $ | 145.6 | $ | 86.1 | $ | 53.2 | $ | 19.0 | ||||||||
Ratio of expenses to average net assets | 1.20 | %(5) | 1.20 | % | 1.20 | % | 1.20 | %(5) | ||||||||
Ratio of expenses to | ||||||||||||||||
average net assets (before waivers) | 2.08 | %(5) | 2.16 | % | 3.11 | % | 7.13 | %(5) | ||||||||
Ratio of net investment income | ||||||||||||||||
to average net assets | 0.19 | %(5) | 0.37 | % | 1.10 | % | 1.71 | %(5) | ||||||||
Ratio of net investment loss to | ||||||||||||||||
average net assets (before waivers) | (0.69 | )%(5) | (0.59 | )% | (0.81 | )% | (4.22 | )%(5) | ||||||||
Portfolio turnover rate(6) | 9 | %(4) | 60 | % | 38 | % | 15 | %(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 44
Financial Highlights
Baird SmallCap Value Fund – Institutional Class
Six Months | ||||||||||||||||||||||||
Ended | ||||||||||||||||||||||||
June 30, 2018 | Year Ended December 31, | |||||||||||||||||||||||
(Unaudited) | 2017 | 2016 | 2015 | 2014 | 2013 | |||||||||||||||||||
Per Share Data: | ||||||||||||||||||||||||
Net asset value, | ||||||||||||||||||||||||
beginning of period | $ | 16.99 | $ | 14.83 | $ | 13.03 | $ | 13.82 | $ | 14.01 | $ | 10.20 | ||||||||||||
Income from | ||||||||||||||||||||||||
investment operations: | ||||||||||||||||||||||||
Net investment income(1) | 0.03 | 0.09 | 0.21 | 0.11 | 0.05 | 0.07 | ||||||||||||||||||
Net realized and unrealized | ||||||||||||||||||||||||
gains (losses) on investments | 0.21 | 2.59 | 1.76 | (0.82 | ) | 0.01 | 3.99 | |||||||||||||||||
Total from | ||||||||||||||||||||||||
investment operations | 0.24 | 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 period | $ | 17.23 | $ | 16.99 | $ | 14.83 | $ | 13.03 | $ | 13.82 | $ | 14.01 | ||||||||||||
Total return | 1.41 | %(2) | 18.05 | % | 15.11 | % | (5.11 | )% | 0.42 | % | 39.85 | % | ||||||||||||
Supplemental data and ratios: | ||||||||||||||||||||||||
Net assets, | ||||||||||||||||||||||||
end of period (millions) | $ | 34.6 | $ | 33.6 | $ | 28.2 | $ | 23.1 | $ | 23.5 | $ | 19.0 | ||||||||||||
Ratio of expenses to | ||||||||||||||||||||||||
average net assets | 1.00 | %(3) | 1.00 | % | 1.00 | % | 1.00 | % | 1.00 | % | 1.00 | % | ||||||||||||
Ratio of expenses to average | ||||||||||||||||||||||||
net assets (before waivers) | 1.38 | %(3) | 1.35 | % | 1.43 | % | 1.51 | % | 1.55 | % | 2.02 | % | ||||||||||||
Ratio of net investment | ||||||||||||||||||||||||
income to average net assets | 0.37 | %(3) | 0.61 | % | 1.58 | % | 0.79 | % | 0.36 | % | 0.71 | % | ||||||||||||
Ratio of net investment | ||||||||||||||||||||||||
income (loss) to average | ||||||||||||||||||||||||
net assets (before waivers) | (0.01 | )%(3) | 0.26 | % | 1.15 | % | 0.28 | % | (0.19 | )% | (0.31 | )% | ||||||||||||
Portfolio turnover rate(4) | 14 | %(2) | 30 | % | 49 | % | 42 | % | 42 | % | 37 | % |
(1) | Calculated using average shares outstanding during the period. |
(2) | Not annualized. |
(3) | Annualized. |
(4) | Portfolio turnover is calculated on the basis of the Fund as a whole without distinguishing between the classes of shares issued. |
The accompanying notes are an integral part of these financial statements.
Page 45
Financial Highlights
Baird SmallCap Value Fund – Investor Class
Six Months | ||||||||||||||||||||||||
Ended | ||||||||||||||||||||||||
June 30, 2018 | Year Ended December 31, | |||||||||||||||||||||||
(Unaudited) | 2017 | 2016 | 2015 | 2014 | 2013 | |||||||||||||||||||
Per Share Data: | ||||||||||||||||||||||||
Net asset value, | ||||||||||||||||||||||||
beginning of period | $ | 16.97 | $ | 14.81 | $ | 12.99 | $ | 13.78 | $ | 13.98 | $ | 10.19 | ||||||||||||
Income from | ||||||||||||||||||||||||
investment operations: | ||||||||||||||||||||||||
Net investment income(1) | 0.01 | 0.06 | 0.18 | 0.07 | 0.02 | 0.04 | ||||||||||||||||||
Net realized and unrealized | ||||||||||||||||||||||||
gains (losses) on investments | 0.21 | 2.58 | 1.75 | (0.81 | ) | 0.00 | (2) | 3.99 | ||||||||||||||||
Total from | ||||||||||||||||||||||||
investment operations | 0.22 | 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 period | $ | 17.19 | $ | 16.97 | $ | 14.81 | $ | 12.99 | $ | 13.78 | $ | 13.98 | ||||||||||||
Total return | 1.30 | %(3) | 17.78 | % | 14.84 | % | (5.37 | )% | 0.13 | % | 39.58 | % | ||||||||||||
Supplemental data and ratios: | ||||||||||||||||||||||||
Net assets, | ||||||||||||||||||||||||
end of period (millions) | $ | 2.4 | $ | 2.6 | $ | 2.6 | $ | 2.0 | $ | 2.1 | $ | 1.1 | ||||||||||||
Ratio of expenses to | ||||||||||||||||||||||||
average net assets | 1.25 | %(4) | 1.25 | % | 1.25 | % | 1.25 | % | 1.25 | % | 1.25 | % | ||||||||||||
Ratio of expenses to average | ||||||||||||||||||||||||
net assets (before waivers) | 1.63 | %(4) | 1.60 | % | 1.68 | % | 1.76 | % | 1.80 | % | 2.27 | % | ||||||||||||
Ratio of net investment | ||||||||||||||||||||||||
income to average net assets | 0.12 | %(4) | 0.36 | % | 1.33 | % | 0.54 | % | 0.11 | % | 0.46 | % | ||||||||||||
Ratio of net investment | ||||||||||||||||||||||||
income (loss) to average | ||||||||||||||||||||||||
net assets (before waivers) | (0.26 | )%(4) | 0.01 | % | 0.90 | % | 0.03 | % | (0.44 | )% | (0.56 | )% | ||||||||||||
Portfolio turnover rate(5) | 14 | %(3) | 30 | % | 49 | % | 42 | % | 42 | % | 37 | % |
(1) | Calculated using average shares outstanding during the period. |
(2) | Amount is less than $0.005. |
(3) | Not annualized. |
(4) | Annualized. |
(5) | Portfolio turnover is calculated on the basis of the Fund as a whole without distinguishing between the classes of shares issued. |
The accompanying notes are an integral part of these financial statements.
Page 46
Financial Highlights
Chautauqua International Growth Fund – Institutional Class
Six Months | ||||||||||||
Ended | Year Ended | Period Ended | ||||||||||
June 30, 2018 | December 31, | December 31, | ||||||||||
(Unaudited) | 2017 | 2016(1) | ||||||||||
Per Share Data: | ||||||||||||
Net asset value, beginning of period | $ | 12.59 | $ | 9.57 | $ | 10.00 | ||||||
Income from investment operations: | ||||||||||||
Net investment income(2) | 0.06 | 0.04 | 0.00 | (3) | ||||||||
Net realized and unrealized gains (losses) | ||||||||||||
on investments and foreign currency translation | 0.04 | 3.41 | (0.43 | ) | ||||||||
Total from investment operations | 0.10 | 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) | 0.00 | (3) | — | |||||||
Net asset value, end of period | $ | 12.69 | $ | 12.59 | $ | 9.57 | ||||||
Total return | 0.79 | %(4) | 36.11 | % | (4.30 | )%(4) | ||||||
Supplemental data and ratios: | ||||||||||||
Net assets, end of period (millions) | $ | 91.8 | $ | 74.2 | $ | 14.8 | ||||||
Ratio of expenses to average net assets | 0.95 | %(5) | 0.95 | % | 0.95 | %(5) | ||||||
Ratio of expenses to average | ||||||||||||
net assets (before waivers) | 1.08 | %(5) | 1.20 | % | 2.32 | %(5) | ||||||
Ratio of net investment | ||||||||||||
income to average net assets | 0.92 | %(5) | 0.30 | % | 0.06 | %(5) | ||||||
Ratio of net investment income (loss) | ||||||||||||
to average net assets (before waivers) | 0.79 | %(5) | 0.05 | % | (1.31 | )%(5) | ||||||
Portfolio turnover rate(6) | 23 | %(4) | 71 | % | 73 | %(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 47
Financial Highlights
Chautauqua International Growth Fund – Investor Class
Six Months | ||||||||||||
Ended | Year Ended | Period Ended | ||||||||||
June 30, 2018 | December 31, | December 31, | ||||||||||
(Unaudited) | 2017 | 2016(1) | ||||||||||
Per Share Data: | ||||||||||||
Net asset value, beginning of period | $ | 12.57 | $ | 9.56 | $ | 10.00 | ||||||
Income from investment operations: | ||||||||||||
Net investment income (loss)(2) | 0.04 | 0.01 | (0.01 | ) | ||||||||
Net realized and unrealized gains (losses) | ||||||||||||
on investments and foreign currency translation | 0.04 | 3.41 | (0.44 | ) | ||||||||
Total from investment operations | 0.08 | 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 | ) | — | ||||||||
Paid in capital from redemption fees | 0.00 | (3) | 0.00 | (3) | 0.01 | |||||||
Net asset value, end of period | $ | 12.65 | $ | 12.57 | $ | 9.56 | ||||||
Total return | 0.64 | %(4) | 35.86 | % | (4.40 | )%(4) | ||||||
Supplemental data and ratios: | ||||||||||||
Net assets, end of period (millions) | $ | 3.0 | $ | 1.6 | $ | 0.3 | ||||||
Ratio of expenses to average net assets | 1.20 | %(5) | 1.20 | % | 1.20 | %(5) | ||||||
Ratio of expenses to average | ||||||||||||
net assets (before waivers) | 1.33 | %(5) | 1.45 | % | 2.58 | %(5) | ||||||
Ratio of net investment | ||||||||||||
income (loss) to average net assets | 0.67 | %(5) | 0.05 | % | (0.19 | )%(5) | ||||||
Ratio of net investment income (loss) | ||||||||||||
to average net assets (before waivers) | 0.54 | %(5) | (0.20 | )% | (1.57 | )%(5) | ||||||
Portfolio turnover rate(6) | 23 | %(4) | 71 | % | 73 | %(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 48
Financial Highlights
Chautauqua Global Growth Fund – Institutional Class
Six Months | ||||||||||||
Ended | Year Ended | Period Ended | ||||||||||
June 30, 2018 | December 31, | December 31, | ||||||||||
(Unaudited) | 2017 | 2016(1) | ||||||||||
Per Share Data: | ||||||||||||
Net asset value, beginning of period | $ | 13.43 | $ | 10.09 | $ | 10.00 | ||||||
Income from investment operations: | ||||||||||||
Net investment income (loss)(2) | 0.02 | (0.04 | ) | (0.01 | ) | |||||||
Net realized and unrealized gain on investments | 0.08 | 3.85 | 0.10 | |||||||||
Total from investment operations | 0.10 | 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) | 0.00 | (3) | — | |||||||
Net asset value, end of period | $ | 13.53 | $ | 13.43 | $ | 10.09 | ||||||
Total return | 0.74 | %(4) | 37.75 | % | 0.90 | %(4) | ||||||
Supplemental data and ratios: | ||||||||||||
Net assets, end of period (millions) | $ | 39.1 | $ | 23.2 | $ | 7.6 | ||||||
Ratio of expenses to average net assets | 0.95 | %(5) | 0.95 | % | 0.95 | %(5) | ||||||
Ratio of expenses to average | ||||||||||||
net assets (before waivers) | 1.38 | %(5) | 2.26 | % | 3.65 | %(5) | ||||||
Ratio of net investment | ||||||||||||
income (loss) to average net assets | 0.25 | %(5) | (0.30 | )% | (0.16 | )%(5) | ||||||
Ratio of net investment loss | ||||||||||||
to average net assets (before waivers) | (0.18 | )%(5) | (1.61 | )% | (2.86 | )%(5) | ||||||
Portfolio turnover rate(6) | 23 | %(4) | 61 | % | 69 | %(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 49
Financial Highlights
Chautauqua Global Growth Fund – Investor Class
Six Months | ||||||||||||
Ended | Year Ended | Period Ended | ||||||||||
June 30, 2018 | December 31, | December 31, | ||||||||||
(Unaudited) | 2017 | 2016(1) | ||||||||||
Per Share Data: | ||||||||||||
Net asset value, beginning of period | $ | 13.37 | $ | 10.08 | $ | 10.00 | ||||||
Income from investment operations: | ||||||||||||
Net investment income (loss)(2) | 0.00 | (3) | (0.07 | ) | (0.03 | ) | ||||||
Net realized and unrealized gain on investments | 0.08 | 3.83 | 0.11 | |||||||||
Total from investment operations | 0.08 | 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) | 0.00 | (3) | ||||||
Net asset value, end of period | $ | 13.45 | $ | 13.37 | $ | 10.08 | ||||||
Total return | 0.60 | %(4) | 37.29 | % | 0.80 | %(4) | ||||||
Supplemental data and ratios: | ||||||||||||
Net assets, end of period (millions) | $ | 0.9 | $ | 0.7 | $ | 0.2 | ||||||
Ratio of expenses to average net assets | 1.20 | %(5) | 1.20 | % | 1.20 | %(5) | ||||||
Ratio of expenses to average | ||||||||||||
net assets (before waivers) | 1.63 | %(5) | 2.51 | % | 3.90 | %(5) | ||||||
Ratio of net investment | ||||||||||||
income (loss) to average net assets | 0.00 | %(5) | (0.55 | )% | (0.41 | )%(5) | ||||||
Ratio of net investment loss | ||||||||||||
to average net assets (before waivers) | (0.43 | )%(5) | (1.86 | )% | (3.11 | )%(5) | ||||||
Portfolio turnover rate(6) | 23 | %(4) | 61 | % | 69 | %(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 50
Notes to the Financial Statements
June 30, 2018 (Unaudited)
1. Organization
Baird Funds, Inc. (the “Corporation”) was incorporated on June 9, 2000, as a Wisconsin corporation and is registered as an open-end management investment company under the Investment Company Act of 1940, as amended (the “1940 Act”). The accompanying financial statements include the Baird 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 7.
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 June 30, 2018, shareholders affiliated with the Advisor held 4% of the Institutional Class shares of the Baird MidCap Fund, 60% of the Institutional Class shares of the Baird Small/Mid Cap Value Fund, 54% of the Institutional Class shares of the Baird SmallCap Value Fund, 17% of the Institutional Class shares of the Chautauqua International Growth Fund, and 57% 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 51
Notes to the Financial Statements
June 30, 2018 (Unaudited)
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. 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 factors deemed relevant by the Valuation Committee 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. 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 52
Notes to the Financial Statements
June 30, 2018 (Unaudited)
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 six months ended June 30, 2018, or for any other tax years which are open for exam. As of June 30, 2018, 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 respective 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 53
Notes to the Financial Statements
June 30, 2018 (Unaudited)
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 | ||||||||||||||||
Six Months Ended | Year Ended | |||||||||||||||
June 30, 2018 | December 31, 2017 | |||||||||||||||
Institutional Class Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 6,594,408 | $ | 132,797,884 | 18,813,638 | $ | 334,054,013 | ||||||||||
Shares issued to shareholders | ||||||||||||||||
in reinvestment of dividends | — | — | 2,234,984 | 42,822,289 | ||||||||||||
Shares redeemed | (5,947,135 | ) | (119,580,093 | ) | (24,239,199 | ) | (440,804,306 | ) | ||||||||
Net increase/decrease | 647,273 | $ | 13,217,791 | (3,190,577 | ) | $ | (63,928,004 | ) | ||||||||
Shares Outstanding: | ||||||||||||||||
Beginning of period | 66,770,418 | 69,960,995 | ||||||||||||||
End of period | 67,417,691 | 66,770,418 | ||||||||||||||
Six Months Ended | Year Ended | |||||||||||||||
June 30, 2018 | December 31, 2017 | |||||||||||||||
Investor Class Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 524,319 | $ | 10,038,907 | 894,614 | $ | 15,297,009 | ||||||||||
Shares issued to shareholders | ||||||||||||||||
in reinvestment of dividends | — | — | 280,580 | 5,114,970 | ||||||||||||
Shares redeemed | (629,741 | ) | (12,078,315 | ) | (4,149,619 | ) | (70,262,281 | ) | ||||||||
Net decrease | (105,422 | ) | $ | (2,039,408 | ) | (2,974,425 | ) | $ | (49,850,302 | ) | ||||||
Shares Outstanding: | ||||||||||||||||
Beginning of period | 6,111,425 | 9,085,850 | ||||||||||||||
End of period | 6,006,003 | 6,111,425 |
Page 54
Notes to the Financial Statements
June 30, 2018 (Unaudited)
3. Capital Share Transactions (cont.)
Baird Small/Mid Cap Value Fund | ||||||||||||||||
Six Months Ended | Year Ended | |||||||||||||||
June 30, 2018 | December 31, 2017 | |||||||||||||||
Institutional Class Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 236,237 | $ | 2,934,347 | 603,626 | $ | 6,750,704 | ||||||||||
Shares issued to shareholders | ||||||||||||||||
in reinvestment of dividends | — | — | 6,045 | 75,148 | ||||||||||||
Shares redeemed | (31,325 | ) | (387,923 | ) | (410,676 | ) | (4,379,094 | ) | ||||||||
Net increase | 204,912 | $ | 2,546,424 | 198,995 | $ | 2,446,758 | ||||||||||
Shares Outstanding: | ||||||||||||||||
Beginning of period | 1,356,764 | 1,157,769 | ||||||||||||||
End of period | 1,561,676 | 1,356,764 | ||||||||||||||
Six Months Ended | Year Ended | |||||||||||||||
June 30, 2018 | December 31, 2017 | |||||||||||||||
Investor Class Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 6,707 | $ | 83,700 | 4,201 | $ | 47,991 | ||||||||||
Shares issued to shareholders | ||||||||||||||||
in reinvestment of dividends | — | — | 22 | 275 | ||||||||||||
Shares redeemed | (1,897 | ) | (23,336 | ) | (2,457 | ) | (26,837 | ) | ||||||||
Net increase | 4,810 | $ | 60,364 | 1,766 | $ | 21,429 | ||||||||||
Shares Outstanding: | ||||||||||||||||
Beginning of period | 6,942 | 5,176 | ||||||||||||||
End of period | 11,752 | 6,942 | ||||||||||||||
Baird SmallCap Value Fund | ||||||||||||||||
Six Months Ended | Year Ended | |||||||||||||||
June 30, 2018 | December 31, 2017 | |||||||||||||||
Institutional Class Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 160,855 | $ | 2,748,258 | 264,962 | $ | 4,207,425 | ||||||||||
Shares issued to shareholders | ||||||||||||||||
in reinvestment of dividends | — | — | 49,706 | 844,993 | ||||||||||||
Shares redeemed | (131,119 | ) | (2,218,722 | ) | (238,354 | ) | (3,638,071 | ) | ||||||||
Net increase | 29,736 | $ | 529,536 | 76,314 | $ | 1,414,347 | ||||||||||
Shares Outstanding: | ||||||||||||||||
Beginning of period | 1,979,581 | 1,903,267 | ||||||||||||||
End of period | 2,009,317 | 1,979,581 |
Page 55
Notes to the Financial Statements
June 30, 2018 (Unaudited)
3. Capital Share Transactions (cont.)
Baird SmallCap Value Fund (cont.) | ||||||||||||||||
Six Months Ended | Year Ended | |||||||||||||||
June 30, 2018 | December 31, 2017 | |||||||||||||||
Investor Class Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 10,045 | $ | 170,909 | 9,963 | $ | 151,216 | ||||||||||
Shares issued to shareholders | ||||||||||||||||
in reinvestment of dividends | — | — | 2,005 | 34,043 | ||||||||||||
Shares redeemed | (24,419 | ) | (414,314 | ) | (36,704 | ) | (565,404 | ) | ||||||||
Net decrease | (14,374 | ) | $ | (243,405 | ) | (24,736 | ) | $ | (380,145 | ) | ||||||
Shares Outstanding: | ||||||||||||||||
Beginning of period | 152,427 | 177,163 | ||||||||||||||
End of period | 138,053 | 152,427 | ||||||||||||||
Chautauqua International Growth Fund | ||||||||||||||||
Six Months Ended | Year Ended | |||||||||||||||
June 30, 2018 | December 31, 2017 | |||||||||||||||
Institutional Class Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold(1) | 2,028,114 | $ | 26,520,927 | 4,943,182 | $ | 53,609,498 | ||||||||||
Shares issued to shareholders | ||||||||||||||||
in reinvestment of dividends | — | — | 180,405 | 2,258,668 | ||||||||||||
Shares redeemed | (682,769 | ) | (8,914,854 | ) | (783,790 | ) | (9,147,273 | ) | ||||||||
Redemption fees | — | 1,782 | — | 10,830 | ||||||||||||
Net increase | 1,345,345 | $ | 17,607,855 | 4,339,797 | $ | 46,731,723 | ||||||||||
Shares Outstanding: | ||||||||||||||||
Beginning of period | 5,891,470 | 1,551,673 | ||||||||||||||
End of period | 7,236,815 | 5,891,470 |
(1) | In the first quarter of 2017, the Chautauqua International Growth Fund satisfied a transfer in kind request made by a large shareholder by transferring cash and securities into the Fund in the amount of $23,337,022 in exchange for 780,534 shares of the Fund. The transfer was effected in accordance with policies and procedures approved by the Board. |
Six Months Ended | Year Ended | |||||||||||||||
June 30, 2018 | December 31, 2017 | |||||||||||||||
Investor Class Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 113,479 | $ | 1,473,576 | 96,790 | $ | 1,117,480 | ||||||||||
Shares issued to shareholders | ||||||||||||||||
in reinvestment of dividends | — | — | 3,874 | 48,395 | ||||||||||||
Shares redeemed | (2,082 | ) | (27,474 | ) | (4,458 | ) | (48,607 | ) | ||||||||
Redemption fees | — | 91 | — | 454 | ||||||||||||
Net increase | 111,397 | $ | 1,446,193 | 96,206 | $ | 1,117,722 | ||||||||||
Shares Outstanding: | ||||||||||||||||
Beginning of period | 128,754 | 32,548 | ||||||||||||||
End of period | 240,151 | 128,754 |
Page 56
Notes to the Financial Statements
June 30, 2018 (Unaudited)
3. Capital Share Transactions (cont.)
Chautauqua Global Growth Fund | ||||||||||||||||
Six Months Ended | Year Ended | |||||||||||||||
June 30, 2018 | December 31, 2017 | |||||||||||||||
Institutional Class Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 1,257,086 | $ | 17,249,061 | 1,014,140 | $ | 12,886,555 | ||||||||||
Shares issued to shareholders | ||||||||||||||||
in reinvestment of dividends | — | — | 41,625 | 560,274 | ||||||||||||
Shares redeemed | (94,859 | ) | (1,299,221 | ) | (82,794 | ) | (1,020,496 | ) | ||||||||
Redemption fees | — | 1,413 | — | 965 | ||||||||||||
Net increase | 1,162,227 | $ | 15,951,253 | 972,971 | $ | 12,427,298 | ||||||||||
Shares Outstanding: | ||||||||||||||||
Beginning of period | 1,730,666 | 757,695 | ||||||||||||||
End of period | 2,892,893 | 1,730,666 | ||||||||||||||
Six Months Ended | Year Ended | |||||||||||||||
June 30, 2018 | December 31, 2017 | |||||||||||||||
Investor Class Shares | Shares | Amount | Shares | Amount | ||||||||||||
Shares sold | 25,764 | $ | 353,664 | 32,048 | $ | 421,597 | ||||||||||
Shares issued to shareholders | ||||||||||||||||
in reinvestment of dividends | — | — | 1,663 | 22,310 | ||||||||||||
Shares redeemed | (5,497 | ) | (73,361 | ) | (3,723 | ) | (44,989 | ) | ||||||||
Redemption fees | — | 39 | — | — | ||||||||||||
Net increase | 20,267 | $ | 280,342 | 29,988 | $ | 398,918 | ||||||||||
Shares Outstanding: | ||||||||||||||||
Beginning of period | 49,977 | 19,989 | ||||||||||||||
End of period | 70,244 | 49,977 |
4. Investment Transactions and Income Tax Information
During the six months ended June 30, 2018, 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: | $331,286,281 | $5,915,352 | $5,320,393 | $38,040,666 | $26,918,350 |
Sales: | $334,626,365 | $1,516,022 | $4,820,457 | $18,613,870 | $ 7,549,584 |
The Funds did not purchase or sell U.S. Government securities during the six months ended June 30, 2018.
Page 57
Notes to the Financial Statements
June 30, 2018 (Unaudited)
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.
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.
Page 58
Notes to the Financial Statements
June 30, 2018 (Unaudited)
4. Investment Transactions and Income Tax Information (cont.)
During the six months ended June 30, 2018, the Funds did not pay any distributions.
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 |
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 six months ended June 30, 2018, 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:
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.
Six Months | ||||||||||||||||
Ended | ||||||||||||||||
June 30, | Fiscal Year Ended December 31, | |||||||||||||||
2018 | 2017 | 2016 | 2015 | |||||||||||||
Reimbursed/Absorbed Expenses Subject | ||||||||||||||||
to be Recovered by Advisor Until: | 2021 | 2020 | 2019 | 2018 | ||||||||||||
Baird Small/MidCap Value Fund | $ | 78,671 | $ | 129,251 | $ | 156,332 | $ | 23,659 | * | |||||||
Baird SmallCap Value Fund | $ | 66,592 | $ | 110,672 | $ | 116,311 | $ | 131,370 | ||||||||
Chautauqua International Growth Fund | $ | 53,059 | $ | 137,404 | $ | 95,476 | N/A | |||||||||
Chautauqua Global Growth Fund | $ | 76,559 | $ | 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.
Page 59
Notes to the Financial Statements
June 30, 2018 (Unaudited)
5. Investment Advisory and Other Agreements (cont.)
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 six months ended June 30, 2018 for the Funds.
6. 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 eligible net assets (including the amount borrowed) of the respective Fund, or $550,000,000 of total borrowings for all Funds, whichever is less. U.S. Bank charges interest at U.S. Bank’s Prime Rate less 2% but the interest rate can never be less than 1%. The LOC matures on May 26, 2019, 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. The Funds did not borrow on the line of credit for the six months ended June 30, 2018.
7. 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.
For the six months ended June 30, 2018, the Funds incurred fees pursuant to the Plan as follows:
Baird MidCap Fund | $ | 143,162 | ||
Baird Small/Mid Cap Value Fund | $ | 172 | ||
Baird SmallCap Value Fund | $ | 3,069 | ||
Chautauqua International Growth Fund | $ | 3,079 | ||
Chautauqua Global Growth Fund | $ | 1,046 |
8. 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.
As of June 30, 2018, the Funds charged redemption fees as follows:
Chautauqua International Growth Fund | $ | 1,873 | ||
Chautauqua Global Growth Fund | $ | 1,452 |
The Baird MidCap Fund, Baird Small/Mid Cap Value Fund and Baird SmallCap Value Fund do not charge redemption fees.
Page 60
Notes to the Financial Statements
June 30, 2018 (Unaudited)
9. Subsequent Event
In preparing these financial statements, management has evaluated events after June 30, 2018. There were no other subsequent events since June 30, 2018 through the date the financial statements were issued that would warrant adjustment to or additional disclosure in these financial statements.
Page 61
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.
Page 62
(This Page Intentionally Left Blank.)
Baird Funds, Inc.
c/o U.S. Bancorp Fund Services, LLC
P.O. Box 701
Milwaukee, WI 53201-0701
1-866-44BAIRD
Board of Directors
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.
Not applicable – only required for annual reports on Form N-CSR.
Item 3. Audit Committee Financial Expert.
Not applicable – only required for annual reports on Form N-CSR.
Item 4. Principal Accountant Fees and Services.
Not applicable – only required for annual reports on Form N-CSR.
Item 5. Audit Committee of Listed Registrants.
Not applicable because the Registrant is not a “listed issuer” within the meaning of Rule 10A-3 under the Securities Exchange Act of 1934.
Item 6. 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, Baird Short-Term Municipal Bond Fund, Baird Quality Intermediate Municipal Bond Fund and Baird Core Intermediate Municipal Bond Fund are included as part of the report to shareholders filed under Item 1. The complete Schedule of Investments in securities of unaffiliated issuers as of the close of the reporting period for Baird Ultra Short Bond Fund, Baird Short-Term Bond Fund, Baird Intermediate Bond Fund, Baird Aggregate Bond Fund, Baird Core Plus Bond, Baird Short-Term Municipal Bond Fund, Baird Quality Intermediate Municipal Bond Fund and Baird Core Intermediate Municipal Bond Fund are listed below. |
Baird Ultra Short Bond Fund | ||||||||||||
Schedule of Investments | ||||||||||||
June 30, 2018(Unaudited) | ||||||||||||
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
LONG-TERM INVESTMENTS | ||||||||||||
U.S. Treasury Securities | ||||||||||||
U.S. Treasury Bonds: | ||||||||||||
1.250%, 12/15/2018 | $ | 86,000,000 | $ | 85,664,063 | ||||||||
0.875%, 04/15/2019 | 71,000,000 | 70,209,570 | ||||||||||
0.875%, 06/15/2019 | 2,000,000 | 1,972,031 | ||||||||||
157,845,664 | 22.4 | % | ||||||||||
Corporate Bonds | ||||||||||||
Industrials | ||||||||||||
Abbott Laboratories, | ||||||||||||
2.000%, 09/15/2018 | 2,217,000 | 2,213,569 | ||||||||||
Actavis Funding SCS: | ||||||||||||
2.450%, 06/15/2019(1) | 3,050,000 | 3,035,224 | ||||||||||
3.581%, 03/12/2020(3 Month LIBOR USD + 1.255%)(1)(2) | 1,500,000 | 1,516,222 | ||||||||||
Air Liquide Finance SA, | ||||||||||||
1.375%, 09/27/2019(1)(3) | 5,564,000 | 5,461,545 | ||||||||||
Alimentation Couche-Tard, Inc., | ||||||||||||
2.833%, 12/13/2019(3 Month LIBOR USD + 0.500%)(1)(2)(3) | 3,500,000 | 3,502,734 | ||||||||||
American Honda Finance Corp., | ||||||||||||
3.154%, 02/22/2019(3 Month LIBOR USD + 0.825%)(2) | 200,000 | 201,015 | ||||||||||
Amgen, Inc., | ||||||||||||
1.900%, 05/10/2019 | 480,000 | 476,874 | ||||||||||
Anadarko Petroleum Corp.: | ||||||||||||
8.700%, 03/15/2019 | 1,750,000 | 1,818,040 | ||||||||||
6.950%, 06/15/2019 | 4,165,000 | 4,309,754 | ||||||||||
Andeavor Logistics LP / Tesoro Logistics Finance Corp., | ||||||||||||
5.500%, 10/15/2019 | 1,655,000 | 1,696,375 | ||||||||||
Anheuser-Busch InBev Finance, Inc., | ||||||||||||
2.758%, 02/01/2019(3 Month LIBOR USD + 0.400%)(2) | 1,165,000 | 1,167,348 | ||||||||||
AT&T, Inc.: | ||||||||||||
2.375%, 11/27/2018 | 2,000,000 | 1,997,968 | ||||||||||
3.229%, 11/27/2018(3 Month LIBOR USD + 0.910%)(2) | 400,000 | 401,241 | ||||||||||
3.264%, 06/30/2020(3 Month LIBOR USD + 0.930%)(2) | 1,000,000 | 1,011,173 | ||||||||||
Bayer US Finance II LLC, | ||||||||||||
2.965%, 06/25/2021(3 Month LIBOR USD + 0.630%)(2)(3) | 3,000,000 | 3,004,214 | ||||||||||
Becton Dickinson and Co., | ||||||||||||
3.209%, 12/29/2020(3 Month LIBOR USD + 0.875%)(2) | 3,000,000 | 3,004,901 | ||||||||||
Buckeye Partners LP, | ||||||||||||
5.500%, 08/15/2019 | 2,890,000 | 2,959,842 | ||||||||||
Bunge Limited Finance Corp., | ||||||||||||
8.500%, 06/15/2019 | 4,000,000 | 4,201,565 | ||||||||||
Campbell Soup Co., | ||||||||||||
2.971%, 03/15/2021(3 Month LIBOR USD + 0.630%)(2) | 4,275,000 | 4,263,116 | ||||||||||
Canadian Pacific Railway Co. | ||||||||||||
7.250%, 05/15/2019(1) | 4,775,000 | 4,949,922 | ||||||||||
Chevron Phillips Chemical Co. LLC / Chevron Phillips Chemical Co. LP, | ||||||||||||
3.108%, 05/01/2020(3 Month LIBOR USD + 0.750%)(2)(3) | 1,500,000 | 1,511,505 | ||||||||||
CNH Industrial Capital LLC, | ||||||||||||
3.375%, 07/15/2019 | 1,548,000 | 1,549,238 | ||||||||||
CVS Health Corp.: | ||||||||||||
1.900%, 07/20/2018 | 3,700,000 | 3,699,223 | ||||||||||
2.250%, 12/05/2018 | 700,000 | 698,090 | ||||||||||
3.047%, 03/09/2021(3 Month LIBOR USD + 0.720%)(2) | 1,800,000 | 1,809,074 | ||||||||||
Daimler Finance North America LLC, | ||||||||||||
2.779%, 02/22/2021(3 Month LIBOR USD + 0.450%)(2)(3) | 3,500,000 | 3,502,270 | ||||||||||
Deutsche Telekom International Finance BV: | ||||||||||||
1.500%, 09/19/2019(1)(3) | 3,000,000 | 2,943,582 | ||||||||||
2.933%, 01/17/2020(3 Month LIBOR USD + 0.580%)(1)(2)(3) | 2,000,000 | 2,007,535 | ||||||||||
Diamond 1 Finance Corp. / Diamond 2 Finance Corp., | ||||||||||||
3.480%, 06/01/2019(3) | 3,500,000 | 3,508,812 | ||||||||||
Dollar Tree, Inc., | ||||||||||||
3.055%, 04/17/2020(3 Month LIBOR USD + 0.700%)(2) | 4,000,000 | 4,008,176 | ||||||||||
Dr Pepper Snapple Group, Inc., | ||||||||||||
2.600%, 01/15/2019 | 3,500,000 | 3,493,375 | ||||||||||
EI du Pont de Nemours & Co., | ||||||||||||
2.888%, 05/01/2020(3 Month LIBOR USD + 0.530%)(2) | 5,000,000 | 5,017,090 | ||||||||||
ERAC USA Finance LLC, | ||||||||||||
2.800%, 11/01/2018(3) | 4,325,000 | 4,324,269 | ||||||||||
Express Scripts Holding Co., | ||||||||||||
2.250%, 06/15/2019 | 3,500,000 | 3,474,625 | ||||||||||
Florida Gas Transmission Co. LLC, | ||||||||||||
7.900%, 05/15/2019(3) | 3,000,000 | 3,123,183 | ||||||||||
Ford Motor Credit Co. LLC: | ||||||||||||
1.897%, 08/12/2019 | 1,761,000 | 1,735,721 | ||||||||||
3.116%, 06/12/2020(3 Month LIBOR USD + 0.790%)(2) | 2,000,000 | 2,009,763 | ||||||||||
Fresenius Medical Care US Finance II, Inc., | ||||||||||||
6.500%, 09/15/2018(3) | 3,000,000 | 3,019,816 | ||||||||||
General Mills, Inc., | ||||||||||||
2.893%, 04/16/2021(3 Month LIBOR USD + 0.540%)(2) | 3,500,000 | 3,505,201 | ||||||||||
General Motors Financial Co., Inc.: | ||||||||||||
3.819%, 05/09/2019(3 Month LIBOR USD + 1.450%)(2) | 2,000,000 | 2,017,657 | ||||||||||
2.350%, 10/04/2019 | 2,000,000 | 1,982,818 | ||||||||||
Gilead Sciences, Inc., | ||||||||||||
1.850%, 09/20/2019 | 519,000 | 512,692 | ||||||||||
Glencore Funding LLC: | ||||||||||||
3.708%, 01/15/2019(3 Month LIBOR USD + 1.360%)(2)(3) | 2,000,000 | 2,007,344 | ||||||||||
3.125%, 04/29/2019(3) | 2,100,000 | 2,097,984 | ||||||||||
Harley-Davidson Financial Services, Inc., | ||||||||||||
2.400%, 09/15/2019(3) | 3,500,000 | 3,471,063 | ||||||||||
HCA, Inc., | ||||||||||||
4.250%, 10/15/2019 | 3,000,000 | 3,022,500 | ||||||||||
Hewlett Packard Enterprise Co.: | ||||||||||||
2.850%, 10/05/2018 | 709,000 | 710,029 | ||||||||||
4.251%, 10/05/2018(3 Month LIBOR USD + 1.930%)(2) | 1,000,000 | 1,004,371 | ||||||||||
HP, Inc., | ||||||||||||
3.288%, 01/14/2019(3 Month LIBOR USD + 0.940%)(2) | 737,000 | 738,542 | ||||||||||
Hyundai Capital America, Inc.: | ||||||||||||
3.134%, 04/03/2020(3 Month LIBOR USD + 0.800%)(2)(3) | 3,000,000 | 3,006,612 | ||||||||||
3.261%, 07/08/2021(3 Month LIBOR USD + 0.940%)(2)(3) | 1,825,000 | 1,825,876 | ||||||||||
Keysight Technologies, Inc., | ||||||||||||
3.300%, 10/30/2019 | 2,500,000 | 2,493,491 | ||||||||||
Kinder Morgan Energy Partners LP, | ||||||||||||
2.650%, 02/01/2019 | 3,125,000 | 3,118,819 | ||||||||||
Laboratory Corp. of America Holdings, | ||||||||||||
2.500%, 11/01/2018 | 2,000,000 | 1,997,799 | ||||||||||
Lockheed Martin Corp., | ||||||||||||
1.850%, 11/23/2018 | 4,000,000 | 3,987,880 | ||||||||||
LyondellBasell Industries NV, | ||||||||||||
5.000%, 04/15/2019(1) | 4,550,000 | 4,594,986 | ||||||||||
Martin Marietta Materials, Inc., | ||||||||||||
2.825%, 12/20/2019(3 Month LIBOR USD + 0.500%)(2) | 4,500,000 | 4,507,424 | ||||||||||
Molson Coors Brewing Co., | ||||||||||||
1.900%, 03/15/2019 | 3,700,000 | 3,673,627 | ||||||||||
Mondelez International, Inc., | ||||||||||||
2.878%, 02/01/2019(3 Month LIBOR USD + 0.520%)(2) | 500,000 | 500,820 | ||||||||||
Mylan NV, | ||||||||||||
2.500%, 06/07/2019(1) | 5,088,000 | 5,064,837 | ||||||||||
Newell Brands, Inc., | ||||||||||||
2.600%, 03/29/2019 | 1,332,000 | 1,327,315 | ||||||||||
Orange SA, | ||||||||||||
1.625%, 11/03/2019(1) | 4,045,000 | 3,969,919 | ||||||||||
Penske Truck Leasing Co. LP / PTL Finance Corp., | ||||||||||||
2.875%, 07/17/2018(3) | 245,000 | 245,031 | ||||||||||
Phillips 66, | ||||||||||||
3.098%, 04/15/2020(3 Month LIBOR USD + 0.750%)(2)(3) | 3,000,000 | 3,001,267 | ||||||||||
Qualcomm, Inc.: | ||||||||||||
2.781%, 05/20/2020(3 Month LIBOR USD + 0.450%)(2) | 2,000,000 | 2,019,292 | ||||||||||
2.881%, 05/20/2020(3 Month LIBOR USD + 0.550%)(2) | 1,500,000 | 1,508,042 | ||||||||||
Roche Holdings, Inc., | ||||||||||||
2.250%, 09/30/2019(3) | 450,000 | 447,127 | ||||||||||
Roper Technologies, Inc., | ||||||||||||
2.050%, 10/01/2018 | 3,573,000 | 3,568,526 | ||||||||||
Seagate HDD Cayman, | ||||||||||||
3.750%, 11/15/2018(1) | 3,000,000 | 3,007,623 | ||||||||||
Shire Acquisitions Investments Ireland DAC, | ||||||||||||
1.900%, 09/23/2019(1) | 2,000,000 | 1,968,574 | ||||||||||
Siemens Financieringsmaatschappij NV, | ||||||||||||
1.300%, 09/13/2019(1)(3) | 2,500,000 | 2,455,855 | ||||||||||
Spirit AeroSystems, Inc., | ||||||||||||
3.118%, 06/15/2021(3 Month LIBOR USD + 0.800%)(2) | 4,000,000 | 4,007,232 | ||||||||||
Suntory Holdings Ltd., | ||||||||||||
2.550%, 09/29/2019(1)(3) | 300,000 | 297,656 | ||||||||||
Telefonica Emisiones SAU, | ||||||||||||
5.877%, 07/15/2019(1) | 1,728,000 | 1,777,497 | ||||||||||
Tencent Holdings Ltd., | ||||||||||||
3.375%, 05/02/2019(1)(3) | 2,500,000 | 2,509,864 | ||||||||||
TransCanada PipeLines Ltd., | ||||||||||||
3.125%, 01/15/2019(1) | 1,000,000 | 1,001,494 | ||||||||||
TTX Co., | ||||||||||||
2.250%, 02/01/2019(3) | 3,800,000 | 3,783,248 | ||||||||||
Verizon Communications, Inc., | ||||||||||||
3.443%, 05/15/2025(3 Month LIBOR USD + 1.100%)(2) | 4,000,000 | 3,995,458 | ||||||||||
Vodafone Group PLC, | ||||||||||||
4.625%, 07/15/2018(1) | 1,775,000 | 1,776,115 | ||||||||||
Vulcan Materials Co., | ||||||||||||
2.950%, 03/01/2021(3 Month LIBOR USD + 0.650%)(2) | 5,000,000 | 5,008,195 | ||||||||||
Yara International ASA, | ||||||||||||
7.875%, 06/11/2019(1)(3) | 3,000,000 | 3,134,260 | ||||||||||
209,279,951 | 29.7 | % | ||||||||||
Utilities | ||||||||||||
Iberdrola Finance Ireland Ltd., | ||||||||||||
5.000%, 09/11/2019(1)(3) | 3,000,000 | 3,061,841 | ||||||||||
Mississippi Power Co., | ||||||||||||
2.987%, 03/27/2020(3 Month LIBOR USD + 0.650%)(2) | 2,000,000 | 1,999,997 | ||||||||||
National Rural Utilities Cooperative Finance Corp., | ||||||||||||
10.375%, 11/01/2018 | 4,000,000 | 4,102,409 | ||||||||||
Niagara Mohawk Power Corp., | ||||||||||||
4.881%, 08/15/2019(3) | 4,500,000 | 4,584,431 | ||||||||||
PSEG Power LLC, | ||||||||||||
2.450%, 11/15/2018 | 3,000,000 | 2,996,702 | ||||||||||
The Southern Co., | ||||||||||||
1.550%, 07/01/2018 | 1,775,000 | 1,775,000 | ||||||||||
United Utilities PLC, | ||||||||||||
5.375%, 02/01/2019(1) | 3,500,000 | 3,544,855 | ||||||||||
22,065,235 | 3.1 | % | ||||||||||
Financials | ||||||||||||
ABN AMRO Bank NV, | ||||||||||||
2.995%, 01/18/2019(3 Month LIBOR USD + 0.640%)(1)(2)(3) | 4,500,000 | 4,512,105 | ||||||||||
Air Lease Corp., | ||||||||||||
3.375%, 01/15/2019 | 3,009,000 | 3,014,804 | ||||||||||
Australia & New Zealand Banking Group Ltd., | ||||||||||||
2.250%, 06/13/2019(1) | 3,700,000 | 3,681,140 | ||||||||||
Bank of America Corp., | ||||||||||||
2.985%, 06/25/2022(3 Month LIBOR USD + 0.650%)(2) | 4,000,000 | 3,995,720 | ||||||||||
Bank of Montreal, | ||||||||||||
1.800%, 07/31/2018(1) | 1,575,000 | 1,574,266 | ||||||||||
Bank of Nova Scotia, | ||||||||||||
2.050%, 10/30/2018(1) | 3,500,000 | 3,494,033 | ||||||||||
Banque Federative du Credit Mutuel SA, | ||||||||||||
2.000%, 04/12/2019(1)(3) | 3,250,000 | 3,225,479 | ||||||||||
BB&T Corp., | ||||||||||||
3.018%, 02/01/2019(3 Month LIBOR USD + 0.660%)(2) | 880,000 | 882,255 | ||||||||||
BPCE SA, | ||||||||||||
2.500%, 07/15/2019(1) | 4,000,000 | 3,974,048 | ||||||||||
Capital One Financial Corp.: | ||||||||||||
2.450%, 04/24/2019 | 1,476,000 | 1,471,236 | ||||||||||
3.115%, 05/12/2020(3 Month LIBOR USD + 0.760%)(2) | 1,700,000 | 1,707,140 | ||||||||||
Capital One NA, | ||||||||||||
1.850%, 09/13/2019 | 750,000 | 739,421 | ||||||||||
Citibank NA, | ||||||||||||
1.850%, 09/18/2019 | 3,000,000 | 2,964,381 | ||||||||||
Citigroup, Inc., | ||||||||||||
2.050%, 06/07/2019 | 1,000,000 | 991,988 | ||||||||||
Citizens Bank NA, | ||||||||||||
2.861%, 03/02/2020(3 Month LIBOR USD + 0.540%)(2) | 2,000,000 | 2,004,109 | ||||||||||
Commonwealth Bank of Australia, | ||||||||||||
2.500%, 09/20/2018(1) | 500,000 | 500,043 | ||||||||||
Compass Bank, | ||||||||||||
3.057%, 06/11/2021(3 Month LIBOR USD + 0.730%)(2) | 4,750,000 | 4,747,962 | ||||||||||
Cooperatieve Rabobank UA, | ||||||||||||
2.250%, 01/14/2019(1) | 3,500,000 | 3,493,328 | ||||||||||
Credit Agricole SA, | ||||||||||||
3.297%, 06/10/2020(3 Month LIBOR USD + 0.970%)(1)(2)(3) | 1,000,000 | 1,012,116 | ||||||||||
Credit Suisse, | ||||||||||||
2.300%, 05/28/2019(1) | 3,450,000 | 3,433,419 | ||||||||||
Deutsche Bank AG: | ||||||||||||
3.805%, 01/18/2019(3 Month LIBOR USD + 1.450%)(1)(2) | 1,000,000 | 1,000,677 | ||||||||||
2.850%, 05/10/2019(1) | 3,064,000 | 3,037,100 | ||||||||||
Fifth Third Bank, | ||||||||||||
2.300%, 03/15/2019 | 1,380,000 | 1,375,313 | ||||||||||
FMR LLC, | ||||||||||||
7.490%, 06/15/2019(3) | 2,500,000 | 2,603,478 | ||||||||||
The Goldman Sachs Group, Inc.: | ||||||||||||
3.443%, 11/15/2018(3 Month LIBOR USD + 1.100%)(2) | 1,285,000 | 1,289,799 | ||||||||||
2.550%, 10/23/2019 | 2,455,000 | 2,439,959 | ||||||||||
HSBC Holdings Plc, | ||||||||||||
2.926%, 05/18/2021(3 Month LIBOR USD + 0.600%)(1)(2) | 3,000,000 | 3,004,371 | ||||||||||
HSBC USA, Inc.: | ||||||||||||
3.133%, 08/07/2018(3 Month LIBOR USD + 0.770%)(2) | 1,000,000 | 1,000,824 | ||||||||||
2.965%, 11/13/2019(3 Month LIBOR USD + 0.610%)(2) | 250,000 | 251,131 | ||||||||||
ING Bank NV: | ||||||||||||
2.000%, 11/26/2018(1)(3) | 1,400,000 | 1,396,314 | ||||||||||
3.462%, 03/22/2019(3 Month LIBOR USD + 1.130%)(1)(2)(3) | 800,000 | 805,429 | ||||||||||
JPMorgan Chase & Co.: | ||||||||||||
2.989%, 01/28/2019(3 Month LIBOR USD + 0.630%)(2) | 250,000 | 250,756 | ||||||||||
6.300%, 04/23/2019 | 1,000,000 | 1,028,129 | ||||||||||
3.317%, 01/23/2020(3 Month LIBOR USD + 0.955%)(2) | 1,000,000 | 1,011,991 | ||||||||||
2.945%, 06/18/2022(3 Month LIBOR USD + 0.610%)(2) | 3,000,000 | 2,998,920 | ||||||||||
KEB Hana Bank, | ||||||||||||
3.046%, 04/05/2020(3 Month LIBOR USD + 0.725%)(1)(2)(3) | 3,000,000 | 3,001,890 | ||||||||||
LeasePlan Corp. NV, | ||||||||||||
2.875%, 01/22/2019(1)(3) | 1,800,000 | 1,796,993 | ||||||||||
Lloyds Bank Plc, | ||||||||||||
2.853%, 05/07/2021(3 Month LIBOR USD + 0.490%)(1)(2) | 3,665,000 | 3,670,180 | ||||||||||
Macquarie Group Ltd., | ||||||||||||
7.625%, 08/13/2019(1)(3) | 3,725,000 | 3,899,030 | ||||||||||
Mitsubishi UFJ Trust & Banking Corp., | ||||||||||||
2.450%, 10/16/2019(1)(3) | 2,984,000 | 2,959,116 | ||||||||||
Mizuho Bank Ltd., | ||||||||||||
3.549%, 10/20/2018(3 Month LIBOR USD + 1.190%)(1)(2)(3) | 500,000 | 501,455 | ||||||||||
Mizuho Financial Group, Inc., | ||||||||||||
3.819%, 04/12/2021(3 Month LIBOR USD + 1.480%)(1)(2)(3) | 1,500,000 | 1,535,926 | ||||||||||
Morgan Stanley: | ||||||||||||
3.209%, 01/24/2019(3 Month LIBOR USD + 0.850%)(2) | 250,000 | 250,966 | ||||||||||
3.506%, 01/27/2020(3 Month LIBOR USD + 1.140%)(2) | 500,000 | 506,985 | ||||||||||
MUFG Union Bank NA: | ||||||||||||
2.625%, 09/26/2018 | 2,418,000 | 2,417,454 | ||||||||||
2.250%, 05/06/2019 | 700,000 | 696,219 | ||||||||||
National Bank of Canada, | ||||||||||||
2.886%, 06/12/2020(3 Month LIBOR USD + 0.560%)(1)(2) | 4,000,000 | 4,021,569 | ||||||||||
Nomura Holdings, Inc., | ||||||||||||
2.750%, 03/19/2019(1) | 2,210,000 | 2,209,288 | ||||||||||
Nordea Bank AB: | ||||||||||||
2.375%, 04/04/2019(1)(3) | 2,700,000 | 2,694,216 | ||||||||||
1.625%, 09/30/2019(1)(3) | 1,005,000 | 987,895 | ||||||||||
2.954%, 09/30/2019(3 Month LIBOR USD + 0.620%)(1)(2)(3) | 1,500,000 | 1,508,139 | ||||||||||
PNC Bank NA, | ||||||||||||
2.200%, 01/28/2019 | 2,240,000 | 2,234,209 | ||||||||||
Reliance Standard Life Global Funding II, | ||||||||||||
2.150%, 10/15/2018(3) | 1,500,000 | 1,497,762 | ||||||||||
ROYAL BK SCOTLAND GROUP Plc, | ||||||||||||
6.400%, 10/21/2019(1) | 670,000 | 695,093 | ||||||||||
Santander Holdings USA, Inc., | ||||||||||||
3.450%, 08/27/2018 | 425,000 | 425,234 | ||||||||||
Skandinaviska Enskilda Banken AB, | ||||||||||||
2.375%, 11/20/2018(1)(3) | 3,000,000 | 2,995,821 | ||||||||||
Societe Generale SA, | ||||||||||||
3.417%, 10/01/2018(3 Month LIBOR USD + 1.080%)(1)(2) | 1,500,000 | 1,503,549 | ||||||||||
Standard Chartered PLC, | ||||||||||||
2.100%, 08/19/2019(1)(3) | 450,000 | 443,898 | ||||||||||
Sumitomo Mitsui Banking Corp.: | ||||||||||||
3.102%, 07/23/2018(3 Month LIBOR USD + 0.740%)(1)(2) | 1,350,000 | 1,350,668 | ||||||||||
3.025%, 10/19/2018(3 Month LIBOR USD + 0.670%)(1)(2) | 1,000,000 | 1,001,583 | ||||||||||
2.703%, 01/17/2020(3 Month LIBOR USD + 0.350%)(1)(2) | 1,250,000 | 1,249,974 | ||||||||||
Sumitomo Mitsui Trust Bank Ltd, | ||||||||||||
2.824%, 03/06/2019(3 Month LIBOR USD + 0.510%)(1)(2)(3) | 2,000,000 | 2,003,394 | ||||||||||
Svenska Handelsbanken AB: | ||||||||||||
2.825%, 06/17/2019(3 Month LIBOR USD + 0.490%)(1)(2) | 850,000 | 852,736 | ||||||||||
2.800%, 05/24/2021(3 Month LIBOR USD + 0.470%)(1)(2) | 3,725,000 | 3,725,820 | ||||||||||
Synchrony Financial: | ||||||||||||
2.600%, 01/15/2019 | 2,400,000 | 2,395,387 | ||||||||||
3.584%, 02/03/2020(3 Month LIBOR USD + 1.230%)(2) | 1,000,000 | 1,009,376 | ||||||||||
UBS Group Funding Switzerland AG: | ||||||||||||
3.775%, 09/24/2020(3 Month LIBOR USD + 1.440%)(1)(2)(3) | 500,000 | 510,607 | ||||||||||
3.893%, 02/01/2022(3 Month LIBOR USD + 1.530%)(1)(2)(3) | 2,450,000 | 2,520,354 | ||||||||||
Wells Fargo & Co., | ||||||||||||
3.039%, 01/30/2020(3 Month LIBOR USD + 0.680%)(2) | 1,000,000 | 1,006,605 | ||||||||||
134,992,575 | 19.2 | % | ||||||||||
Total Corporate Bonds | 366,337,761 | 52.0 | % | |||||||||
Municipal Bonds | ||||||||||||
Iowa Higher Education Loan Authority, | ||||||||||||
2.000%, 12/01/2018(Callable 07/30/2018) | 1,000,000 | 997,780 | ||||||||||
Louisiana Public Facilities Authority, | ||||||||||||
1.838%, 12/15/2018 | 515,000 | 513,723 | ||||||||||
1,511,503 | 0.2 | % | ||||||||||
Residential Mortgage-Backed Securities | ||||||||||||
U.S. Government Agency Issues | ||||||||||||
Federal National Mortgage Association(FNMA): | ||||||||||||
5.000%, 12/01/2019 | 37,051 | 37,681 | ||||||||||
4.500%, 04/01/2020 | 43,009 | 43,323 | ||||||||||
5.000%, 04/01/2020 | 72,579 | 73,943 | ||||||||||
154,947 | 0.0 | % | ||||||||||
Non-U.S. Government Agency Issues | ||||||||||||
Aames Mortgage Investment Trust, | ||||||||||||
Series 2006-1, Class A3, 2.411%, 04/25/2036(1 Month LIBOR USD + 0.320%)(2) | 196,360 | 196,436 | ||||||||||
Accredited Mortgage Loan Trust, | ||||||||||||
Series 2005-4, Class A2D, 2.411%, 12/25/2035(1 Month LIBOR USD + 0.320%)(2) | 382,255 | 381,793 | ||||||||||
Aegis Asset Backed Securities Trust, | ||||||||||||
Series 2005-4, Class M1, 2.541%, 10/25/2035(1 Month LIBOR USD + 0.450%)(2) | 3,000,000 | 3,009,174 | ||||||||||
Carrington Mortgage Loan Trust: | ||||||||||||
Series 2005-NC1, Class M2, 2.871%, 02/26/2035(1 Month LIBOR USD + 0.780%)(2) | 2,130,060 | 2,132,872 | ||||||||||
Series 2006-RFC1, Class A3, 2.241%, 06/25/2035(1 Month LIBOR USD + 0.150%)(2) | 274,290 | 274,099 | ||||||||||
Series 2006-NC1, Class A3, 2.301%, 01/25/2036(1 Month LIBOR USD + 0.210%)(2) | 986,355 | 985,776 | ||||||||||
Series 2007-HE1, Class A2, 2.241%, 06/25/2037(1 Month LIBOR USD + 0.150%)(2) | 1,417,152 | 1,405,151 | ||||||||||
Citigroup Mortgage Loan Trust, Inc.: | ||||||||||||
Series 2007-WFH2, Class A4, 2.441%, 03/25/2037(1 Month LIBOR USD + 0.350%)(2) | 1,605,555 | 1,601,518 | ||||||||||
Series 2007-AMC4, Class A2C, 2.261%, 05/25/2037(1 Month LIBOR USD + 0.170%)(2) | 632,274 | 627,667 | ||||||||||
Countrywide Asset-Backed Certificates, | ||||||||||||
Series 2006-BC4, Class 2A2, 2.251%, 09/25/2036(1 Month LIBOR USD + 0.160%)(2) | 1,057,198 | 1,051,628 | ||||||||||
CWABS Asset-Backed Certificates Trust, | ||||||||||||
Series 2006-14, Class 2A2, 2.241%, 04/25/2033(1 Month LIBOR USD + 0.150%)(2) | 1,224,820 | 1,220,428 | ||||||||||
First Franklin Mortgage Loan Trust, | ||||||||||||
Series 2006-FF4, Class A2, 2.340%, 03/25/2036(1 Month LIBOR USD + 0.190%)(2) | 3,028,740 | 3,020,692 | ||||||||||
GSAMP Trust, | ||||||||||||
Series 2006-HE4, Class A2C, 2.241%, 06/25/2036(1 Month LIBOR USD + 0.150%)(2) | 580,606 | 575,158 | ||||||||||
Home Equity Asset Trust: | ||||||||||||
Series 2006-2, Class 2A4, 2.401%, 05/25/2036(1 Month LIBOR USD + 0.310%)(2)(3) | 2,638,858 | 2,645,137 | ||||||||||
Series 2006-3, Class 1A1, 2.291%, 07/25/2036(1 Month LIBOR USD + 0.200%)(2) | 1,261,045 | 1,259,844 | ||||||||||
Series 2007-2, Class 2A2, 2.276%, 07/25/2037(1 Month LIBOR USD + 0.185%)(2) | 1,890,127 | 1,885,803 | ||||||||||
HSI Asset Securitization Corp. Trust, | ||||||||||||
Series 2007-WF1, Class 2A3, 2.261%, 05/25/2037(1 Month LIBOR USD + 0.170%)(2) | 104,468 | 104,442 | ||||||||||
MASTR Alternative Loan Trust, | ||||||||||||
Series 2004-13, Class 8A1, 5.500%, 01/25/2025 | 45,686 | 46,199 | ||||||||||
Park Place Securities, Inc., | ||||||||||||
Series 2005-WCW1, Class M1, 2.541%, 05/25/2035(1 Month LIBOR USD + 0.450%)(2) | 140,006 | 140,169 | ||||||||||
RAMP Series 2007-RZ1 Trust, | ||||||||||||
Series 2007-RZ1, Class A2, 2.251%, 02/25/2037(1 Month LIBOR USD + 0.160%)(2) | 2,732,736 | 2,711,164 | ||||||||||
RASC Series Trust: | ||||||||||||
Series 2006-KS8, Class A3, 2.251%, 10/25/2035(1 Month LIBOR USD + 0.160%)(2) | 388,158 | 387,868 | ||||||||||
Series 2005-KS9, Class M2, 2.521%, 10/25/2035(1 Month LIBOR USD + 0.430%)(2) | 1,012,532 | 1,013,169 | ||||||||||
Saxon Asset Securities Trust, | ||||||||||||
Series 2006-1, Class A2C, 2.411%, 03/25/2036(1 Month LIBOR USD + 0.320%)(2) | 14,415 | 14,411 | ||||||||||
Soundview Home Loan Trust: | ||||||||||||
Series 2005-OPT4, Class 2A3, 2.351%, 12/25/2035(1 Month LIBOR USD + 0.260%)(2) | 46,854 | 46,851 | ||||||||||
Series 2006-OPT2, Class A3, 2.271%, 05/25/2036(1 Month LIBOR USD + 0.180%)(2) | 1,928,184 | 1,924,176 | ||||||||||
Towd Point Mortgage Trust, | ||||||||||||
Series 2017-5, Class A1, 2.691%, 02/26/2057(1 Month LIBOR USD + 0.600%)(2)(3) | 1,540,955 | 1,542,383 | ||||||||||
30,204,008 | 4.3 | % | ||||||||||
30,358,955 | 4.3 | % | ||||||||||
Commercial Mortgage-Backed Securities | ||||||||||||
U.S. Government Agency Issues | ||||||||||||
Freddie Mac Multifamily Structured Pass Through Certificates: | ||||||||||||
Series K008, Class A1, 2.746%, 12/25/2019 | 427,186 | 427,010 | ||||||||||
Series K009, Class A1, 2.757%, 05/25/2020 | 326,213 | 326,153 | ||||||||||
753,163 | 0.1 | % | ||||||||||
Asset Backed Securities | ||||||||||||
Ally Auto Receivables Trust: | ||||||||||||
Series 2015-1, Class A3, 1.390%, 09/16/2019 | 73,194 | 73,147 | ||||||||||
Series 2018-2, Class A2, 2.640%, 02/16/2021 | 2,000,000 | 1,998,918 | ||||||||||
American Express Credit Account Master Trust, | ||||||||||||
Series 2017-4, Class A, 1.640%, 12/15/2021 | 2,575,000 | 2,552,819 | ||||||||||
ARI Fleet Lease Trust, | ||||||||||||
Series 2017-A, Class A2, 1.910%, 04/15/2026(3) | 2,206,209 | 2,193,724 | ||||||||||
Barclays Dryrock Issuance Trust, | ||||||||||||
Series 2014-3, Class A, 2.410%, 07/15/2022 | 4,000,000 | 3,979,107 | ||||||||||
BMW Vehicle Lease Trust, | ||||||||||||
Series 2016-2, Class A4, 1.570%, 02/20/2020 | 2,450,000 | 2,429,720 | ||||||||||
Capital Auto Receivables Asset Trust, | ||||||||||||
Series 2016-3, Class A3, 1.540%, 08/20/2020 | 1,928,416 | 1,920,938 | ||||||||||
Capital One Multi-Asset Execution Trust, | ||||||||||||
Series 2016-A3, Class A3, 1.340%, 04/15/2022 | 5,700,000 | 5,625,645 | ||||||||||
Chase Issuance Trust: | ||||||||||||
Series 2016-A2, Class A, 1.370%, 06/15/2021 | 4,025,000 | 3,974,762 | ||||||||||
Series 2016-A5, Class A5, 1.270%, 07/15/2021 | 4,070,000 | 4,011,075 | ||||||||||
Chesapeake Funding II LLC, | ||||||||||||
Series 2016-2A, Class A1, 1.880%, 06/15/2028(3) | 4,733,634 | 4,700,224 | ||||||||||
Citibank Credit Card Issuance Trust, | ||||||||||||
Series 2014-A6, Class A6, 2.150%, 07/15/2021 | 3,600,000 | 3,578,910 | ||||||||||
Conseco Financial Corp., | ||||||||||||
Series 1998-4, Class A6, 6.530%, 04/01/2030(4) | 359,443 | 378,235 | ||||||||||
Dell Equipment Finance Trust, | ||||||||||||
Series 2017-2, Class A2A, 1.970%, 02/24/2020(3) | 2,284,622 | 2,275,865 | ||||||||||
Dell Equipment Finance Trust 2018-1, | ||||||||||||
Series 2018-1, Class A2A, 2.970%, 10/22/2020(3) | 1,500,000 | 1,499,989 | ||||||||||
Discover Card Execution Note Trust, | ||||||||||||
Series 2014-A4, Class A4, 2.120%, 12/15/2021 | 5,200,000 | 5,172,059 | ||||||||||
First National Master Note Trust, | ||||||||||||
Series 2017-1, Class A, 2.473%, 04/18/2022(1 Month LIBOR USD + 0.400%)(2) | 4,150,000 | 4,152,456 | ||||||||||
Ford Credit Auto Lease Trust, | ||||||||||||
Series 2017-A, Class A3, 1.880%, 04/15/2020 | 2,500,000 | 2,487,120 | ||||||||||
Ford Credit Auto Owner Trust: | ||||||||||||
Series 2015-B, Class A3, 1.160%, 11/15/2019 | 377,880 | 377,468 | ||||||||||
Series 2015-A, Class A4, 1.640%, 06/15/2020 | 1,447,000 | 1,443,022 | ||||||||||
Series 2016-A, Class A4, 1.600%, 06/15/2021 | 2,540,000 | 2,505,985 | ||||||||||
Series 2014-1, Class A, 2.260%, 11/15/2025(3) | 2,500,000 | 2,488,480 | ||||||||||
GM Financial Automobile Leasing Trust, | ||||||||||||
Series 2017-1A, Class A2A, 1.510%, 03/16/2020(3) | 2,332,538 | 2,327,109 | ||||||||||
Harley-Davidson Motorcycle Trust: | ||||||||||||
Series 2015-2, Class A3, 1.300%, 03/16/2020 | 11,290 | 11,285 | ||||||||||
Series 2015-1, Class A3, 1.410%, 06/15/2020 | 268,006 | 267,517 | ||||||||||
Honda Auto Receivables Owner Trust, | ||||||||||||
Series 2016-1, Class A3, 1.220%, 12/18/2019 | 414,693 | 412,852 | ||||||||||
Hyundai Auto Lease Securitization Trust: | ||||||||||||
Series 2016-A, Class A3, 1.600%, 07/15/2019(3) | 278,321 | 278,209 | ||||||||||
Series 2017-B, Class A3, 1.970%, 07/15/2020(3) | 5,350,000 | 5,306,877 | ||||||||||
Mercedes-Benz Auto Receivables Trust, | ||||||||||||
Series 2015-1, Class A3, 1.340%, 12/16/2019 | 730,879 | 729,380 | ||||||||||
MMAF Equipment Finance LLC: | ||||||||||||
Series 2013-AA, Class A4, 1.680%, 05/11/2020(3) | 274,517 | 274,433 | ||||||||||
Series 2014-AA, Class A4, 1.590%, 02/08/2022(3) | 1,762,109 | 1,746,655 | ||||||||||
Nissan Auto Lease Trust: | ||||||||||||
Series 2017-A, Class A2A, 1.640%, 09/16/2019 | 2,561,514 | 2,551,731 | ||||||||||
Series 2017-B, Class A2A, 1.830%, 12/16/2019 | 2,127,245 | 2,115,623 | ||||||||||
Nissan Auto Receivables Owner Trust: | ||||||||||||
Series 2015-C, Class A3, 1.370%, 05/15/2020 | 1,480,135 | 1,472,946 | ||||||||||
Series 2017-B, Class A2A, 1.560%, 05/15/2020 | 2,548,219 | 2,537,592 | ||||||||||
Series 2016-C, Class A3, 1.180%, 01/15/2021 | 2,768,085 | 2,737,230 | ||||||||||
OneMain Financial Issuance Trust, | ||||||||||||
Series 2015-2A, Class A, 2.570%, 07/18/2025(3) | 1,038,518 | 1,038,265 | ||||||||||
PFS Financing Corp., | ||||||||||||
Series 2016-BA, Class A, 1.870%, 10/15/2021(3) | 2,154,000 | 2,123,016 | ||||||||||
Santander Retail Auto Lease Trust, | ||||||||||||
Series 2017-A, Class A2A, 2.020%, 03/20/2020(3) | 3,880,630 | 3,862,463 | ||||||||||
SoFi Consumer Loan Program 2016-2 LLC, | ||||||||||||
Series 2016-2, Class A, 3.090%, 10/27/2025(3) | 974,803 | 973,057 | ||||||||||
Sofi Consumer Loan Program 2018-2 Trust, | ||||||||||||
Series 2018-2, Class A1, 2.930%, 04/26/2027(3) | 2,586,772 | 2,585,592 | ||||||||||
Springleaf Funding Trust, | ||||||||||||
Series 2015-AA, Class A, 3.160%, 11/15/2024(3) | 1,022,106 | 1,021,714 | ||||||||||
Synchrony Credit Card Master Note Trust, | ||||||||||||
Series 2016-1, Class A, 2.040%, 03/15/2022 | 2,700,000 | 2,691,619 | ||||||||||
Tesla Auto Lease Trust, | ||||||||||||
Series 2018-A, Class A, 2.320%, 12/20/2019(3) | 2,075,734 | 2,068,945 | ||||||||||
Toyota Auto Receivables Owner Trust, | ||||||||||||
Series 2017-C, Class A2A, 1.580%, 07/15/2020 | 2,027,808 | 2,018,152 | ||||||||||
Verizon Owner Trust: | ||||||||||||
Series 2016-1A, Class A, 1.420%, 01/20/2021(3) | 5,168,000 | 5,135,805 | ||||||||||
Series 2016-2A, Class A, 1.680%, 05/20/2021(3) | 3,600,000 | 3,562,922 | ||||||||||
World Financial Network Credit Card Master Trust: | ||||||||||||
Series 2012-C, Class A, 2.230%, 08/15/2022 | 5,000,000 | 4,995,801 | ||||||||||
Series 2012-A, Class A, 3.140%, 01/15/2023 | 1,590,000 | 1,594,217 | ||||||||||
116,260,675 | 16.5 | % | ||||||||||
Total Long-Term Investments (Cost $673,530,499) | 673,067,721 | 95.5 | % |
SHORT-TERM INVESTMENT | Shares | |||||||||||
Money Market Mutual Fund | ||||||||||||
Fidelity Institutional Money Market Fund - Government Portfolio, Institutional Class 1.81% (5) | 19,231,203 | 19,231,203 | 2.7 | % | ||||||||
Total Short-Term Investment (Cost $19,231,203) | 19,231,203 | 2.7 | % | |||||||||
Total Investments (Cost $692,761,702) | 692,298,924 | 98.2 | % | |||||||||
Other Assets in Excess of Liabilities | 12,444,344 | 1.8 | % | |||||||||
TOTAL NET ASSETS | $ | 704,743,268 | 100.0 | % |
Notes to Schedule of Investments | |||||||
(1) | Foreign Security. | ||||||
(2) | Variable rate security based on a reference index and spread. The rate reported is the rate in effect as of June 30, 2018. | ||||||
(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 June 30, 2018, the value of these securities total $163,901,205, which represents 23.26% of total 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 June 30, 2018. | ||||||
(5) | 7-Day Yield. |
Baird Ultra Short Bond Fund | ||||||||
Schedule of Investments, June 30, 2018 (Unaudited) | ||||||||
Summary of Fair Value Exposure at June 30, 2018 (Unaudited) | ||||||||
The Fund has adopted authoritative fair valuation accounting standards which establish a definition of fair value and set out a hierarchy for measuring fair value. These standards require additional disclosures about the various inputs and valuation techniques used to develop the measurements of fair value and a discussion on changes in valuation techniques and related inputs during the period. These standards define fair value as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. | ||||||||
The fair value hierarchy is organized into three levels based upon the assumptions (referred to as "inputs") used in pricing the asset or liability. These standards state that "observable inputs" reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from independent sources and "unobservable inputs" reflect an entity's own assumptions about the assumptions market participants would use in pricing the asset or liability. These inputs are summarized into three broad levels and described below: |
Level 1 - | Unadjusted quoted prices in active markets for identical unrestricted securities. | ||
Level 2 - | Other significant observable inputs (including quoted prices for similar securities, quoted prices in inactive markets, dealer indications, interest rates, yield curves, prepayment speeds, credit risk, default rates, inputs corroborated by observable market data, etc.). | ||
Level 3 - | Significant unobservable inputs (including the Fund's own assumptions about the factors that market participants would use in valuing the security) based on the best information available. |
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. | ||||||||
The following is a summary of the inputs used to value the Fund's investments as of June 30, 2018: |
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Long-Term Investments | ||||||||||||||||
U.S. Treasury Securities | $ | – | $ | 157,845,664 | $ | – | $ | 157,845,664 | ||||||||
Corporate Bonds | – | 366,337,761 | – | 366,337,761 | ||||||||||||
Municipal Bonds | – | 1,511,503 | – | 1,511,503 | ||||||||||||
Residential Mortgage-Backed Securities - U.S. Government Agency Issues | – | 154,947 | – | 154,947 | ||||||||||||
Residential Mortgage-Backed Securities - Non-U.S. Government Agency Issues | – | 30,204,008 | – | 30,204,008 | ||||||||||||
Commercial Mortgage-Backed Securities - U.S. Government Agency Issues | – | 753,163 | – | 753,163 | ||||||||||||
Asset Backed Securities | – | 116,260,675 | – | 116,260,675 | ||||||||||||
Total Long-Term Investments | – | 673,067,721 | – | 673,067,721 | ||||||||||||
Short-Term Investment | ||||||||||||||||
Money Market Mutual Fund | 19,231,203 | – | – | 19,231,203 | ||||||||||||
Total Short-Term Investment | 19,231,203 | – | – | 19,231,203 | ||||||||||||
Total Investments | $ | 19,231,203 | $ | 673,067,721 | $ | – | $ | 692,298,924 |
Changes in valuation techniques may result in transfers into or out of assigned levels within the fair value hierarchy. There were no transfers between Level 1, Level 2, and Level 3 fair value measurements during the reporting period. See the Fund's valuation policy in Note 2a to the financial statements. |
Baird Short-Term Bond Fund | ||||||||||||
Schedule of Investments | ||||||||||||
June 30, 2018 (Unaudited) | ||||||||||||
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
LONG-TERM INVESTMENTS | ||||||||||||
U.S. Treasury Securities | ||||||||||||
U.S. Treasury Bonds: | ||||||||||||
1.375%, 08/31/2020 | $ | 381,125,000 | $ | 371,656,426 | ||||||||
2.000%, 08/31/2021 | 280,000,000 | 274,542,187 | ||||||||||
1.125%, 09/30/2021 | 687,225,000 | 654,769,727 | ||||||||||
1,300,968,340 | 22.4 | % | ||||||||||
Other Government Related Securities | ||||||||||||
CNOOC Finance 2012 Ltd., | ||||||||||||
3.875%, 05/02/2022(1)(2) | 9,600,000 | 9,662,659 | ||||||||||
Electricite de France SA, | ||||||||||||
4.600%, 01/27/2020(1)(2) | 2,926,000 | 2,991,770 | ||||||||||
Japan Bank for International Cooperation, | ||||||||||||
2.125%, 07/21/2020(1) | 20,900,000 | 20,544,631 | ||||||||||
The Korea Development Bank, | ||||||||||||
3.000%, 03/17/2019(1) | 2,475,000 | 2,476,386 | ||||||||||
Korea Hydro & Nuclear Power Co. Ltd., | ||||||||||||
2.875%, 10/02/2018(1)(2) | 3,000,000 | 2,997,000 | ||||||||||
Nexen Energy ULC, | ||||||||||||
6.200%, 07/30/2019(1) | 2,065,000 | 2,131,233 | ||||||||||
Petroleos Mexicanos: | ||||||||||||
8.000%, 05/03/2019(1) | 9,963,000 | 10,327,945 | ||||||||||
6.375%, 02/04/2021(1) | 5,000,000 | 5,262,500 | ||||||||||
Sinopec Group Overseas Development [2015] Ltd., | ||||||||||||
2.500%, 04/28/2020(1)(2) | 8,000,000 | 7,882,781 | ||||||||||
Sinopec Group Overseas Development [2016] Ltd.: | ||||||||||||
2.125%, 05/03/2019(1)(2) | 7,000,000 | 6,939,002 | ||||||||||
1.750%, 09/29/2019(1)(2) | 2,375,000 | 2,331,039 | ||||||||||
Sinopec Group Overseas Development [2017] Ltd., | ||||||||||||
2.375%, 04/12/2020(1)(2) | 10,125,000 | 9,958,201 | ||||||||||
Syngenta Finance NV: | ||||||||||||
3.933%, 04/23/2021(1)(2) | 10,000,000 | 9,974,650 | ||||||||||
3.125%, 03/28/2022(1) | 5,000,000 | 4,762,230 | ||||||||||
98,242,027 | 1.7 | % | ||||||||||
Corporate Bonds | ||||||||||||
Industrials | ||||||||||||
21st Century Fox America, Inc., | ||||||||||||
6.900%, 03/01/2019 | 10,950,000 | 11,242,402 | ||||||||||
A.P. Meoller - Maersk A/S, | ||||||||||||
2.550%, 09/22/2019(1)(2) | 4,550,000 | 4,502,832 | ||||||||||
Abbott Laboratories: | ||||||||||||
2.350%, 11/22/2019 | 2,449,000 | 2,434,661 | ||||||||||
4.125%, 05/27/2020 | 480,000 | 488,238 | ||||||||||
Actavis Funding SCS: | ||||||||||||
2.450%, 06/15/2019(1) | 3,000,000 | 2,985,466 | ||||||||||
3.000%, 03/12/2020(1) | 3,900,000 | 3,881,519 | ||||||||||
3.581%, 03/12/2020(3 Month LIBOR USD + 1.255%)(1)(3) | 1,000,000 | 1,010,815 | ||||||||||
Allergan Funding SCS, | ||||||||||||
3.450%, 03/15/2022(1) | 2,850,000 | 2,804,365 | ||||||||||
Amgen, Inc., | ||||||||||||
5.700%, 02/01/2019 | 10,000,000 | 10,164,126 | ||||||||||
Anadarko Petroleum Corp., | ||||||||||||
8.700%, 03/15/2019 | 2,970,000 | 3,085,474 | ||||||||||
Anglo American Capital PLC, | ||||||||||||
4.125%, 04/15/2021(1)(2) | 22,700,000 | 22,910,429 | ||||||||||
AT&T, Inc.: | ||||||||||||
5.800%, 02/15/2019 | 3,000,000 | 3,051,490 | ||||||||||
2.300%, 03/11/2019 | 9,682,000 | 9,646,150 | ||||||||||
3.264%, 06/30/2020(3 Month LIBOR USD + 0.930%)(3) | 4,000,000 | 4,044,690 | ||||||||||
2.800%, 02/17/2021 | 11,025,000 | 10,849,458 | ||||||||||
AutoNation, Inc.: | ||||||||||||
5.500%, 02/01/2020 | 3,369,000 | 3,469,154 | ||||||||||
3.350%, 01/15/2021 | 2,561,000 | 2,544,226 | ||||||||||
Bayer US Finance II LLC, | ||||||||||||
3.500%, 06/25/2021(2) | 24,700,000 | 24,749,127 | ||||||||||
Beam Suntory, Inc., | ||||||||||||
3.250%, 05/15/2022 | 8,875,000 | 8,750,209 | ||||||||||
Becton Dickinson and Co.: | ||||||||||||
2.404%, 06/05/2020 | 10,350,000 | 10,164,256 | ||||||||||
3.125%, 11/08/2021 | 1,000,000 | 985,493 | ||||||||||
Bemis Co., Inc., | ||||||||||||
6.800%, 08/01/2019 | 9,075,000 | 9,419,472 | ||||||||||
Boardwalk Pipelines LP, | ||||||||||||
5.750%, 09/15/2019 | 10,750,000 | 11,028,038 | ||||||||||
Broadcom Corp. / Broadcom Cayman Finance Ltd., | ||||||||||||
2.375%, 01/15/2020 | 27,000,000 | 26,648,189 | ||||||||||
Bunge Limited Finance Corp.: | ||||||||||||
8.500%, 06/15/2019 | 10,255,000 | 10,771,761 | ||||||||||
3.500%, 11/24/2020 | 9,750,000 | 9,744,281 | ||||||||||
Campbell Soup Co., | ||||||||||||
3.300%, 03/15/2021 | 9,550,000 | 9,510,528 | ||||||||||
Cardinal Health, Inc., | ||||||||||||
1.948%, 06/14/2019 | 14,700,000 | 14,577,804 | ||||||||||
Carlisle Cos, Inc., | ||||||||||||
5.125%, 12/15/2020 | 2,950,000 | 3,049,312 | ||||||||||
Celgene Corp., | ||||||||||||
2.875%, 02/19/2021 | 7,000,000 | 6,906,219 | ||||||||||
Cenovus Energy, Inc., | ||||||||||||
5.700%, 10/15/2019(1) | 20,000,000 | 20,512,000 | ||||||||||
Charter Communications Operating LLC, | ||||||||||||
3.579%, 07/23/2020 | 3,000,000 | 2,996,190 | ||||||||||
Chevron Phillips Chemical Co. LLC / Chevron Phillips Chemical Co. LP, | ||||||||||||
3.108%, 05/01/2020(3 Month LIBOR USD + 0.750%)(2)(3) | 5,050,000 | 5,088,735 | ||||||||||
CK Hutchison International Ltd., | ||||||||||||
2.250%, 09/29/2020(1)(2) | 20,000,000 | 19,557,226 | ||||||||||
CNH Industrial Capital LLC: | ||||||||||||
3.375%, 07/15/2019 | 921,000 | 921,737 | ||||||||||
4.375%, 11/06/2020 | 9,810,000 | 9,963,821 | ||||||||||
4.875%, 04/01/2021 | 2,554,000 | 2,621,042 | ||||||||||
3.875%, 10/15/2021 | 10,560,000 | 10,507,200 | ||||||||||
4.375%, 04/05/2022 | 4,102,000 | 4,112,501 | ||||||||||
Coca-Cola FEMSA SAB de CV, | ||||||||||||
2.375%, 11/26/2018(1) | 1,798,000 | 1,795,535 | ||||||||||
Columbia Pipeline Group, Inc., | ||||||||||||
3.300%, 06/01/2020 | 6,575,000 | 6,547,793 | ||||||||||
Conagra Brands, Inc., | ||||||||||||
2.831%, 10/09/2020(3 Month LIBOR USD + 0.500%)(3) | 20,000,000 | 19,903,800 | ||||||||||
ConAgra Foods, Inc., | ||||||||||||
4.950%, 08/15/2020 | 4,500,000 | 4,634,190 | ||||||||||
CVS Health Corp.: | ||||||||||||
2.800%, 07/20/2020 | 6,725,000 | 6,661,501 | ||||||||||
3.350%, 03/09/2021 | 19,550,000 | 19,528,495 | ||||||||||
2.125%, 06/01/2021 | 5,000,000 | 4,806,459 | ||||||||||
Daimler Finance North America LLC: | ||||||||||||
3.218%, 08/01/2018(3 Month LIBOR USD + 0.860%)(2)(3) | 2,000,000 | 2,001,605 | ||||||||||
1.500%, 07/05/2019(2) | 5,700,000 | 5,617,011 | ||||||||||
2.200%, 05/05/2020(2) | 5,000,000 | 4,903,855 | ||||||||||
3.350%, 05/04/2021(2) | 15,000,000 | 14,941,746 | ||||||||||
Deutsche Telekom International Finance BV: | ||||||||||||
6.750%, 08/20/2018(1) | 3,900,000 | 3,921,776 | ||||||||||
2.933%, 01/17/2020(3 Month LIBOR USD + 0.580%)(1)(2)(3) | 8,000,000 | 8,030,137 | ||||||||||
Diamond 1 Finance Corp. / Diamond 2 Finance Corp.: | ||||||||||||
3.480%, 06/01/2019(2) | 19,135,000 | 19,183,177 | ||||||||||
4.420%, 06/15/2021(2) | 9,000,000 | 9,131,603 | ||||||||||
Discovery Communications LLC: | ||||||||||||
2.200%, 09/20/2019 | 10,000,000 | 9,890,488 | ||||||||||
4.375%, 06/15/2021 | 4,650,000 | 4,753,107 | ||||||||||
The Dow Chemical Co., | ||||||||||||
8.550%, 05/15/2019 | 14,777,000 | 15,487,479 | ||||||||||
DXC Technology Co.: | ||||||||||||
2.875%, 03/27/2020 | 23,714,000 | 23,544,140 | ||||||||||
3.250%, 03/01/2021(3 Month LIBOR USD + 0.950%)(3) | 2,000,000 | 2,000,528 | ||||||||||
4.450%, 09/18/2022 | 3,000,000 | 3,087,902 | ||||||||||
Ecolab, Inc., | ||||||||||||
2.000%, 01/14/2019 | 14,250,000 | 14,195,698 | ||||||||||
EMD Finance LLC, | ||||||||||||
2.950%, 03/19/2022(2) | 12,000,000 | 11,730,277 | ||||||||||
Enable Midstream Partners LP, | ||||||||||||
2.400%, 05/15/2019 | 3,000,000 | 2,981,058 | ||||||||||
Enbridge Energy Partners LP: | ||||||||||||
9.875%, 03/01/2019 | 4,150,000 | 4,328,824 | ||||||||||
4.375%, 10/15/2020 | 9,805,000 | 9,983,551 | ||||||||||
Energy Transfer Partners LP: | ||||||||||||
9.700%, 03/15/2019 | 6,994,000 | 7,315,864 | ||||||||||
4.150%, 10/01/2020 | 12,500,000 | 12,642,691 | ||||||||||
Energy Transfer Partners LP / Regency Energy Finance Corp., | ||||||||||||
5.750%, 09/01/2020 | 1,175,000 | 1,221,178 | ||||||||||
EQT Corp., | ||||||||||||
2.500%, 10/01/2020 | 15,000,000 | 14,656,187 | ||||||||||
ERAC USA Finance LLC, | ||||||||||||
2.350%, 10/15/2019(2) | 19,000,000 | 18,786,684 | ||||||||||
Express Scripts Holding Co.: | ||||||||||||
2.250%, 06/15/2019 | 2,157,000 | 2,141,362 | ||||||||||
2.600%, 11/30/2020 | 14,425,000 | 14,148,514 | ||||||||||
3.068%, 11/30/2020(3 Month LIBOR USD + 0.750%)(3) | 7,000,000 | 7,004,362 | ||||||||||
3.300%, 02/25/2021 | 5,000,000 | 4,981,664 | ||||||||||
Federal Express Corp. Pass Through Trust, | ||||||||||||
6.845%, 07/15/2020 | 459,836 | 470,182 | ||||||||||
FedEx Corp., | ||||||||||||
2.300%, 02/01/2020 | 2,000,000 | 1,979,384 | ||||||||||
Fidelity National Information Services, Inc.: | ||||||||||||
3.625%, 10/15/2020 | 1,673,000 | 1,683,549 | ||||||||||
2.250%, 08/15/2021 | 12,000,000 | 11,554,300 | ||||||||||
Fiserv, Inc., | ||||||||||||
2.700%, 06/01/2020 | 3,500,000 | 3,466,622 | ||||||||||
FMC Corp., | ||||||||||||
5.200%, 12/15/2019 | 4,496,000 | 4,620,838 | ||||||||||
Ford Motor Credit Co. LLC: | ||||||||||||
2.021%, 05/03/2019 | 7,000,000 | 6,942,040 | ||||||||||
1.897%, 08/12/2019 | 10,000,000 | 9,856,454 | ||||||||||
2.681%, 01/09/2020 | 5,000,000 | 4,953,105 | ||||||||||
3.200%, 01/15/2021 | 4,505,000 | 4,454,257 | ||||||||||
3.470%, 04/05/2021 | 2,500,000 | 2,484,901 | ||||||||||
Forest Laboratories, Inc., | ||||||||||||
5.000%, 12/15/2021(2) | 20,000,000 | 20,692,933 | ||||||||||
Fortive Corp., | ||||||||||||
1.800%, 06/15/2019 | 4,650,000 | 4,598,559 | ||||||||||
Fresenius Medical Care US Finance II, Inc.: | ||||||||||||
6.500%, 09/15/2018(2) | 1,750,000 | 1,761,560 | ||||||||||
4.125%, 10/15/2020(2) | 19,325,000 | 19,519,216 | ||||||||||
Fresenius Medical Care US Finance, Inc., | ||||||||||||
5.750%, 02/15/2021(2) | 4,782,000 | 5,014,405 | ||||||||||
General Mills, Inc., | ||||||||||||
3.200%, 04/16/2021 | 4,850,000 | 4,824,846 | ||||||||||
General Motors Financial Co, Inc., | ||||||||||||
3.550%, 04/09/2021 | 4,750,000 | 4,734,601 | ||||||||||
General Motors Financial Co., Inc.: | ||||||||||||
3.100%, 01/15/2019 | 2,825,000 | 2,827,656 | ||||||||||
2.400%, 05/09/2019 | 4,000,000 | 3,981,360 | ||||||||||
2.650%, 04/13/2020 | 3,425,000 | 3,383,768 | ||||||||||
3.163%, 08/07/2020(3 Month LIBOR USD + 0.800%)(3) | 7,000,000 | 7,023,332 | ||||||||||
3.700%, 11/24/2020 | 1,409,000 | 1,416,671 | ||||||||||
4.200%, 03/01/2021 | 1,215,000 | 1,231,937 | ||||||||||
3.200%, 07/06/2021 | 8,500,000 | 8,389,404 | ||||||||||
Georgia-Pacific LLC: | ||||||||||||
2.539%, 11/15/2019(2) | 8,750,000 | 8,693,939 | ||||||||||
5.400%, 11/01/2020(2) | 9,968,000 | 10,441,976 | ||||||||||
Gilead Sciences, Inc., | ||||||||||||
2.550%, 09/01/2020 | 5,000,000 | 4,939,926 | ||||||||||
Glencore Finance(Canada) Ltd., | ||||||||||||
4.250%, 10/25/2022(1)(2) | 5,760,000 | 5,825,030 | ||||||||||
Glencore Funding LLC: | ||||||||||||
2.500%, 01/15/2019(2) | 600,000 | 596,736 | ||||||||||
3.708%, 01/15/2019(3 Month LIBOR USD + 1.360%)(2)(3) | 6,395,000 | 6,418,483 | ||||||||||
3.125%, 04/29/2019(2) | 5,154,000 | 5,149,052 | ||||||||||
Grupo Bimbo SAB de CV, | ||||||||||||
4.875%, 06/30/2020(1)(2) | 27,800,000 | 28,542,824 | ||||||||||
Harris Corp., | ||||||||||||
2.700%, 04/27/2020 | 1,000,000 | 991,147 | ||||||||||
HCA, Inc., | ||||||||||||
6.500%, 02/15/2020 | 21,500,000 | 22,319,687 | ||||||||||
Hewlett Packard Enterprise Co.: | ||||||||||||
2.850%, 10/05/2018 | 6,303,000 | 6,312,148 | ||||||||||
4.251%, 10/05/2018(3 Month LIBOR USD + 1.930%)(3) | 9,000,000 | 9,039,339 | ||||||||||
2.100%, 10/04/2019(2) | 5,000,000 | 4,937,059 | ||||||||||
HP, Inc., | ||||||||||||
3.288%, 01/14/2019(3 Month LIBOR USD + 0.940%)(3) | 5,700,000 | 5,711,926 | ||||||||||
Hutchison Whampoa International Ltd., | ||||||||||||
4.625%, 01/13/2022(1)(2) | 8,000,000 | 8,217,448 | ||||||||||
Hyundai Capital America: | ||||||||||||
2.400%, 10/30/2018(2) | 8,125,000 | 8,113,045 | ||||||||||
2.500%, 03/18/2019(2) | 3,000,000 | 2,986,165 | ||||||||||
1.750%, 09/27/2019(2) | 5,000,000 | 4,902,900 | ||||||||||
2.750%, 09/18/2020(2) | 10,000,000 | 9,833,854 | ||||||||||
3.450%, 03/12/2021(2) | 5,000,000 | 4,960,754 | ||||||||||
Hyundai Capital Services, Inc., | ||||||||||||
1.625%, 08/30/2019(1)(2) | 1,455,000 | 1,426,774 | ||||||||||
The JM Smucker Co., | ||||||||||||
2.500%, 03/15/2020 | 2,725,000 | 2,696,418 | ||||||||||
Keysight Technologies, Inc., | ||||||||||||
3.300%, 10/30/2019 | 28,625,000 | 28,550,476 | ||||||||||
Kinder Morgan Energy Partners LP: | ||||||||||||
9.000%, 02/01/2019 | 2,692,000 | 2,782,728 | ||||||||||
6.500%, 04/01/2020 | 22,320,000 | 23,458,320 | ||||||||||
Kraft Heinz Foods Co.: | ||||||||||||
2.000%, 07/02/2018 | 10,000,000 | 10,000,000 | ||||||||||
5.375%, 02/10/2020 | 2,250,000 | 2,326,897 | ||||||||||
2.923%, 02/10/2021(3 Month LIBOR USD + 0.570%)(3) | 15,000,000 | 15,017,222 | ||||||||||
Laboratory Corp. of America Holdings: | ||||||||||||
2.500%, 11/01/2018 | 12,050,000 | 12,036,737 | ||||||||||
2.625%, 02/01/2020 | 2,000,000 | 1,984,054 | ||||||||||
LyondellBasell Industries NV, | ||||||||||||
5.000%, 04/15/2019(1) | 2,260,000 | 2,282,345 | ||||||||||
Maple Escrow Subsidiary, Inc., | ||||||||||||
3.551%, 05/25/2021(2) | 24,700,000 | 24,721,818 | ||||||||||
Marathon Petroleum Corp., | ||||||||||||
3.400%, 12/15/2020 | 15,000,000 | 15,030,053 | ||||||||||
Martin Marietta Materials, Inc.: | ||||||||||||
2.825%, 12/20/2019(3 Month LIBOR USD + 0.500%)(3) | 1,250,000 | 1,252,062 | ||||||||||
2.979%, 05/22/2020(3 Month LIBOR USD + 0.650%)(3) | 5,400,000 | 5,413,190 | ||||||||||
Masco Corp.: | ||||||||||||
7.125%, 03/15/2020 | 40,000 | 42,369 | ||||||||||
3.500%, 04/01/2021 | 3,881,000 | 3,875,908 | ||||||||||
McDonald's Corp., | ||||||||||||
2.100%, 12/07/2018 | 9,500,000 | 9,481,693 | ||||||||||
Medtronic, Inc., | ||||||||||||
3.141%, 03/15/2020(3 Month LIBOR USD + 0.800%)(3) | 2,250,000 | 2,274,478 | ||||||||||
Microchip Technology, Inc., | ||||||||||||
3.922%, 06/01/2021(2) | 24,643,000 | 24,683,925 | ||||||||||
Molex Electronic Technologies LLC, | ||||||||||||
2.878%, 04/15/2020(2) | 31,303,000 | 30,985,519 | ||||||||||
Mondelez International Holdings Netherlands BV, | ||||||||||||
1.625%, 10/28/2019(1)(2) | 9,750,000 | 9,581,568 | ||||||||||
Mondelez International, Inc., | ||||||||||||
2.878%, 02/01/2019(3 Month LIBOR USD + 0.520%)(3) | 9,337,000 | 9,352,306 | ||||||||||
Motiva Enterprises LLC, | ||||||||||||
5.750%, 01/15/2020(2) | 3,106,000 | 3,203,382 | ||||||||||
Mylan NV: | ||||||||||||
2.500%, 06/07/2019(1) | 3,847,000 | 3,829,487 | ||||||||||
3.750%, 12/15/2020(1) | 1,873,000 | 1,884,700 | ||||||||||
3.150%, 06/15/2021(1) | 3,000,000 | 2,967,060 | ||||||||||
NetApp, Inc., | ||||||||||||
2.000%, 09/27/2019 | 5,000,000 | 4,930,201 | ||||||||||
Newell Brands, Inc.: | ||||||||||||
2.600%, 03/29/2019 | 798,000 | 795,193 | ||||||||||
3.150%, 04/01/2021 | 24,283,000 | 24,057,657 | ||||||||||
Nissan Motor Acceptance Corp.: | ||||||||||||
2.650%, 09/26/2018(2) | 4,760,000 | 4,760,758 | ||||||||||
2.150%, 07/13/2020(2) | 20,000,000 | 19,511,611 | ||||||||||
2.150%, 09/28/2020(2) | 4,300,000 | 4,189,367 | ||||||||||
Norfolk Southern Railway Co., | ||||||||||||
9.750%, 06/15/2020 | 2,000,000 | 2,251,211 | ||||||||||
Northern Border Pipeline Co., | ||||||||||||
7.500%, 09/15/2021 | 4,500,000 | 4,940,381 | ||||||||||
Nutrien Ltd.: | ||||||||||||
6.500%, 05/15/2019(1) | 13,500,000 | 13,900,078 | ||||||||||
4.875%, 03/30/2020(1) | 13,000,000 | 13,269,051 | ||||||||||
ONEOK Partners LP: | ||||||||||||
8.625%, 03/01/2019 | 1,500,000 | 1,543,970 | ||||||||||
3.800%, 03/15/2020 | 2,800,000 | 2,814,152 | ||||||||||
Pentair Finance SA, | ||||||||||||
2.650%, 12/01/2019(1) | 10,353,000 | 10,240,199 | ||||||||||
Pernod Ricard SA, | ||||||||||||
5.750%, 04/07/2021(1)(2) | 6,375,000 | 6,761,384 | ||||||||||
Perrigo Finance Unlimited Co.: | ||||||||||||
3.500%, 03/15/2021(1) | 3,138,000 | 3,127,749 | ||||||||||
3.500%, 12/15/2021(1) | 2,401,000 | 2,376,162 | ||||||||||
Petrofac Ltd., | ||||||||||||
3.400%, 10/10/2018(1)(2) | 20,050,000 | 19,924,688 | ||||||||||
Phillips 66 Partners LP, | ||||||||||||
2.646%, 02/15/2020 | 2,000,000 | 1,977,218 | ||||||||||
Reliance Holding USA, Inc., | ||||||||||||
4.500%, 10/19/2020(2) | 16,778,000 | 17,051,540 | ||||||||||
Republic Services, Inc., | ||||||||||||
5.500%, 09/15/2019 | 6,446,000 | 6,638,314 | ||||||||||
Rolls-Royce PLC, | ||||||||||||
2.375%, 10/14/2020(1)(2) | 5,000,000 | 4,903,568 | ||||||||||
Royal Caribbean Cruises Ltd., | ||||||||||||
2.650%, 11/28/2020(1) | 5,000,000 | 4,914,225 | ||||||||||
Sabine Pass Liquefaction LLC, | ||||||||||||
5.625%, 02/01/2021(4) | 16,550,000 | 17,295,956 | ||||||||||
Seagate HDD Cayman, | ||||||||||||
4.250%, 03/01/2022(1) | 13,450,000 | 13,267,872 | ||||||||||
Sherwin-Williams Co.: | ||||||||||||
7.250%, 06/15/2019 | 2,513,000 | 2,614,417 | ||||||||||
2.250%, 05/15/2020 | 6,200,000 | 6,097,002 | ||||||||||
Shire Acquisitions Investments Ireland DAC: | ||||||||||||
1.900%, 09/23/2019(1) | 9,775,000 | 9,621,403 | ||||||||||
2.400%, 09/23/2021(1) | 11,450,000 | 10,961,818 | ||||||||||
Smithfield Foods, Inc.: | ||||||||||||
2.700%, 01/31/2020(2) | 14,875,000 | 14,661,568 | ||||||||||
2.650%, 10/03/2021(2) | 16,000,000 | 15,243,689 | ||||||||||
Solvay Finance America LLC, | ||||||||||||
3.400%, 12/03/2020(2) | 8,790,000 | 8,818,729 | ||||||||||
Spirit AeroSystems, Inc., | ||||||||||||
3.118%, 06/15/2021(3 Month LIBOR USD + 0.800%)(3) | 9,300,000 | 9,316,814 | ||||||||||
Stryker Corp., | ||||||||||||
2.000%, 03/08/2019 | 6,250,000 | 6,217,371 | ||||||||||
Telefonica Emisiones SAU, | �� | |||||||||||
5.462%, 02/16/2021(1) | 12,577,000 | 13,162,633 | ||||||||||
Teva Pharmaceutical Finance Netherlands III BV: | ||||||||||||
1.700%, 07/19/2019(1) | 7,000,000 | 6,833,600 | ||||||||||
2.200%, 07/21/2021(1) | 15,654,000 | 14,519,666 | ||||||||||
Time Warner Cable LLC: | ||||||||||||
6.750%, 07/01/2018 | 6,000,000 | 6,000,000 | ||||||||||
8.750%, 02/14/2019 | 4,395,000 | 4,541,649 | ||||||||||
8.250%, 04/01/2019 | 2,564,000 | 2,659,477 | ||||||||||
4.000%, 09/01/2021 | 9,700,000 | 9,699,776 | ||||||||||
Time Warner, Inc., | ||||||||||||
4.875%, 03/15/2020 | 3,225,000 | 3,311,090 | ||||||||||
Total Capital International SA, | ||||||||||||
2.676%, 06/19/2019(3 Month LIBOR USD + 0.350%)(1)(3) | 7,700,000 | 7,721,257 | ||||||||||
Total System Services, Inc., | ||||||||||||
3.800%, 04/01/2021 | 7,960,000 | 8,014,416 | ||||||||||
TransCanada PipeLines Ltd., | ||||||||||||
3.125%, 01/15/2019(1) | 6,800,000 | 6,810,158 | ||||||||||
TTX Co., | ||||||||||||
2.250%, 02/01/2019(2) | 7,450,000 | 7,417,157 | ||||||||||
Verisk Analytics, Inc.: | ||||||||||||
4.875%, 01/15/2019 | 19,150,000 | 19,322,542 | ||||||||||
5.800%, 05/01/2021 | 4,949,000 | 5,239,451 | ||||||||||
Verizon Communications, Inc.: | ||||||||||||
3.000%, 11/01/2021 | 7,000,000 | 6,885,828 | ||||||||||
2.946%, 03/15/2022 | 23,880,000 | 23,437,235 | ||||||||||
Vodafone Group Plc: | ||||||||||||
2.500%, 09/26/2022(1) | 3,000,000 | 2,869,499 | ||||||||||
3.290%, 01/16/2024(3 Month LIBOR USD + 0.990%)(1)(3) | 15,000,000 | 14,930,610 | ||||||||||
Volkswagen Group of America Finance LLC, | ||||||||||||
2.400%, 05/22/2020(2) | 5,270,000 | 5,183,901 | ||||||||||
Vulcan Materials Co.: | ||||||||||||
2.941%, 06/15/2020(3 Month LIBOR USD + 0.600%)(3) | 11,630,000 | 11,614,487 | ||||||||||
2.950%, 03/01/2021(3 Month LIBOR USD + 0.650%)(3) | 16,000,000 | 16,026,224 | ||||||||||
Walgreen Co., | ||||||||||||
5.250%, 01/15/2019 | 2,330,000 | 2,359,056 | ||||||||||
Yara International ASA, | ||||||||||||
7.875%, 06/11/2019(1)(2) | 500,000 | 522,377 | ||||||||||
Zimmer Holdings, Inc.: | ||||||||||||
2.700%, 04/01/2020 | 27,610,000 | 27,342,343 | ||||||||||
3.150%, 04/01/2022 | 2,190,000 | 2,149,927 | ||||||||||
Zoetis, Inc., | ||||||||||||
3.450%, 11/13/2020 | 7,932,000 | 7,951,297 | ||||||||||
1,715,652,656 | 29.5 | % |
Utilities | ||||||||||||
Dominion Resources, Inc.: | ||||||||||||
2.962%, 07/01/2019(7) | 4,000,000 | 3,991,098 | ||||||||||
2.500%, 12/01/2019 | 9,500,000 | 9,417,441 | ||||||||||
EDP Finance BV: | ||||||||||||
4.125%, 01/15/2020(1)(2) | 12,071,000 | 12,169,741 | ||||||||||
5.250%, 01/14/2021(1)(2) | 2,100,000 | 2,164,115 | ||||||||||
Enel Finance International NV, | ||||||||||||
2.875%, 05/25/2022(1)(2) | 4,233,000 | 4,033,317 | ||||||||||
Exelon Corp.: | ||||||||||||
2.850%, 06/15/2020 | 2,425,000 | 2,403,414 | ||||||||||
5.150%, 12/01/2020 | 7,775,000 | 8,035,746 | ||||||||||
Exelon Generation Co LLC: | ||||||||||||
2.950%, 01/15/2020 | 7,500,000 | 7,469,228 | ||||||||||
4.000%, 10/01/2020 | 8,300,000 | 8,413,673 | ||||||||||
Fortis, Inc., | ||||||||||||
2.100%, 10/04/2021(1) | 2,100,000 | 2,003,901 | ||||||||||
Iberdrola Finance Ireland Ltd., | ||||||||||||
5.000%, 09/11/2019(1)(2) | 2,400,000 | 2,449,473 | ||||||||||
Mississippi Power Co., | ||||||||||||
2.987%, 03/27/2020(3 Month LIBOR USD + 0.650%)(3) | 5,475,000 | 5,474,993 | ||||||||||
National Rural Utilities Cooperative Finance Corp., | ||||||||||||
10.375%, 11/01/2018 | 1,075,000 | 1,102,522 | ||||||||||
NextEra Energy Capital Holdings, Inc., | ||||||||||||
1.649%, 09/01/2018 | 6,575,000 | 6,560,567 | ||||||||||
NV Energy, Inc., | ||||||||||||
6.250%, 11/15/2020 | 1,668,000 | 1,780,449 | ||||||||||
Orange Cogen Funding Corp., | ||||||||||||
8.175%, 03/15/2022(2) | 7,419,090 | 8,019,789 | ||||||||||
Sempra Energy: | ||||||||||||
9.800%, 02/15/2019 | 2,575,000 | 2,679,377 | ||||||||||
2.848%, 01/15/2021(3 Month LIBOR USD + 0.500%)(3) | 1,425,000 | 1,425,717 | ||||||||||
The Southern Co.: | ||||||||||||
1.850%, 07/01/2019 | 4,750,000 | 4,702,765 | ||||||||||
2.750%, 06/15/2020 | 19,000,000 | 18,836,638 | ||||||||||
Southern Power Co., | ||||||||||||
1.950%, 12/15/2019 | 4,600,000 | 4,522,016 | ||||||||||
UIL Holdings Corp., | ||||||||||||
4.625%, 10/01/2020 | 1,750,000 | 1,791,746 | ||||||||||
119,447,726 | 2.0 | % | ||||||||||
Financials | ||||||||||||
ABN AMRO Bank NV: | ||||||||||||
2.500%, 10/30/2018(1)(2) | 1,150,000 | 1,149,750 | ||||||||||
2.100%, 01/18/2019(1)(2) | 18,000,000 | 17,934,480 | ||||||||||
1.800%, 09/20/2019(1)(2) | 4,750,000 | 4,676,784 | ||||||||||
Air Lease Corp.: | ||||||||||||
3.875%, 04/01/2021 | 6,885,000 | 6,935,488 | ||||||||||
3.375%, 06/01/2021 | 3,000,000 | 2,983,879 | ||||||||||
American Express Credit Corp., | ||||||||||||
2.833%, 08/15/2019(3 Month LIBOR USD + 0.490%)(3) | 2,000,000 | 2,006,923 | ||||||||||
American International Group, Inc.: | ||||||||||||
2.300%, 07/16/2019 | �� | 1,400,000 | 1,391,530 | |||||||||
3.375%, 08/15/2020 | 2,000,000 | 2,003,554 | ||||||||||
6.400%, 12/15/2020 | 16,900,000 | 18,113,815 | ||||||||||
Anthem, Inc., | ||||||||||||
2.500%, 11/21/2020 | 14,325,000 | 14,081,868 | ||||||||||
ANZ New Zealand(Int'l) Ltd.: | ||||||||||||
2.600%, 09/23/2019(1)(2) | 3,350,000 | 3,332,426 | ||||||||||
2.200%, 07/17/2020(1)(2) | 10,000,000 | 9,800,826 | ||||||||||
2.850%, 08/06/2020(1)(2) | 3,000,000 | 2,972,001 | ||||||||||
2.125%, 07/28/2021(1)(2) | 2,013,000 | 1,928,647 | ||||||||||
Assurant, Inc., | ||||||||||||
3.589%, 03/26/2021(3 Month LIBOR USD + 1.250%)(3) | 8,000,000 | 8,020,106 | ||||||||||
Australia & New Zealand Banking Group Ltd., | ||||||||||||
2.250%, 06/13/2019(1) | 1,000,000 | 994,903 | ||||||||||
Bank of America Corp.: | ||||||||||||
2.600%, 01/15/2019 | 5,750,000 | 5,746,353 | ||||||||||
5.625%, 07/01/2020 | 2,000,000 | 2,093,211 | ||||||||||
5.875%, 01/05/2021 | 10,000,000 | 10,612,084 | ||||||||||
2.369%, 07/21/2021(3 Month LIBOR USD + 0.660%)(3) | 10,000,000 | 9,802,943 | ||||||||||
2.328%, 10/01/2021(3 Month LIBOR USD + 0.630%)(3) | 10,000,000 | 9,776,067 | ||||||||||
3.499%, 05/17/2022(3 Month LIBOR USD + 0.630%)(3) | 5,000,000 | 4,998,283 | ||||||||||
Bank of Montreal: | ||||||||||||
1.800%, 07/31/2018(1) | 5,000,000 | 4,997,671 | ||||||||||
3.100%, 04/13/2021(1) | 15,000,000 | 14,940,085 | ||||||||||
1.900%, 08/27/2021(1) | 10,000,000 | 9,563,812 | ||||||||||
The Bank of New York Mellon Corp., | ||||||||||||
2.918%, 08/01/2018(3 Month LIBOR USD + 0.560%)(3) | 1,000,000 | 1,000,631 | ||||||||||
Bank of Nova Scotia/The, | ||||||||||||
3.125%, 04/20/2021(1) | 20,000,000 | 19,896,738 | ||||||||||
The Bank of Tokyo-Mitsubishi UFJ Ltd., | ||||||||||||
2.150%, 09/14/2018(1)(2) | 6,300,000 | 6,293,952 | ||||||||||
Banque Federative du Credit Mutuel SA: | ||||||||||||
2.000%, 04/12/2019(1)(2) | 18,600,000 | 18,459,663 | ||||||||||
2.200%, 07/20/2020(1)(2) | 5,000,000 | 4,884,326 | ||||||||||
2.750%, 10/15/2020(1)(2) | 2,200,000 | 2,172,274 | ||||||||||
2.700%, 07/20/2022(1)(2) | 2,800,000 | 2,698,880 | ||||||||||
Barclays Bank Plc, | ||||||||||||
10.179%, 06/12/2021(1)(2) | 4,500,000 | 5,192,274 | ||||||||||
Barclays Bank PLC, | ||||||||||||
5.140%, 10/14/2020(1) | 5,506,000 | 5,638,385 | ||||||||||
Barclays PLC: | ||||||||||||
2.875%, 06/08/2020(1) | 3,000,000 | 2,961,303 | ||||||||||
3.250%, 01/12/2021(1) | 15,175,000 | 14,957,618 | ||||||||||
BNP Paribas SA: | ||||||||||||
2.400%, 12/12/2018(1) | 1,600,000 | 1,599,106 | ||||||||||
2.375%, 05/21/2020(1) | 3,225,000 | 3,179,119 | ||||||||||
BNZ International Funding Ltd., | ||||||||||||
2.350%, 03/04/2019(1)(2) | 7,250,000 | 7,223,276 | ||||||||||
BPCE SA: | ||||||||||||
2.500%, 12/10/2018(1) | 10,525,000 | 10,519,118 | ||||||||||
2.500%, 07/15/2019(1) | 1,000,000 | 993,512 | ||||||||||
3.000%, 05/22/2022(1)(2) | 15,630,000 | 15,096,376 | ||||||||||
Canadian Imperial Bank of Commerce, | ||||||||||||
1.600%, 09/06/2019(1) | 20,000,000 | 19,705,748 | ||||||||||
Capital One Financial Corp.: | ||||||||||||
2.500%, 05/12/2020 | 10,400,000 | 10,252,514 | ||||||||||
3.450%, 04/30/2021 | 7,125,000 | 7,108,564 | ||||||||||
Capital One NA: | ||||||||||||
2.250%, 02/13/2019 | 1,500,000 | 1,494,105 | ||||||||||
2.400%, 09/05/2019 | 9,300,000 | 9,224,761 | ||||||||||
1.850%, 09/13/2019 | 5,000,000 | 4,929,473 | ||||||||||
Citigroup, Inc.: | ||||||||||||
2.150%, 07/30/2018 | 3,975,000 | 3,974,134 | ||||||||||
2.050%, 12/07/2018 | 4,000,000 | 3,992,336 | ||||||||||
2.450%, 01/10/2020 | 14,825,000 | 14,658,504 | ||||||||||
2.700%, 03/30/2021 | 10,000,000 | 9,807,754 | ||||||||||
Citizens Bank NA: | ||||||||||||
2.500%, 03/14/2019 | 2,700,000 | 2,693,875 | ||||||||||
2.250%, 03/02/2020 | 5,000,000 | 4,918,237 | ||||||||||
2.200%, 05/26/2020 | 9,100,000 | 8,908,551 | ||||||||||
CNA Financial Corp., | ||||||||||||
5.750%, 08/15/2021 | 6,000,000 | 6,364,004 | ||||||||||
Comerica Bank, | ||||||||||||
2.500%, 06/02/2020 | 7,000,000 | 6,909,038 | ||||||||||
Commonwealth Bank of Australia: | ||||||||||||
2.500%, 09/20/2018(1) | 2,150,000 | 2,150,185 | ||||||||||
1.750%, 11/02/2018(1) | 15,000,000 | 14,956,980 | ||||||||||
2.050%, 03/15/2019(1) | 1,500,000 | 1,492,471 | ||||||||||
Compass Bank: | ||||||||||||
2.750%, 09/29/2019 | 9,906,000 | 9,851,668 | ||||||||||
5.500%, 04/01/2020 | 1,360,000 | 1,399,170 | ||||||||||
3.500%, 06/11/2021 | 14,700,000 | 14,685,326 | ||||||||||
Credit Agricole SA, | ||||||||||||
3.375%, 01/10/2022(1)(2) | 10,000,000 | 9,790,506 | ||||||||||
Credit Suisse: | ||||||||||||
2.750%, 03/26/2020(1) | 9,000,000 | 8,901,612 | ||||||||||
3.450%, 04/16/2021(1) | 7,000,000 | 6,973,672 | ||||||||||
Credit Suisse AG, | ||||||||||||
5.400%, 01/14/2020(1) | 8,084,000 | 8,317,005 | ||||||||||
Deutsche Bank AG: | ||||||||||||
3.805%, 01/18/2019(3 Month LIBOR USD + 1.450%)(1)(3) | 4,000,000 | 4,002,708 | ||||||||||
2.500%, 02/13/2019(1) | 8,000,000 | 7,944,461 | ||||||||||
2.950%, 08/20/2020(1) | 4,400,000 | 4,278,234 | ||||||||||
3.125%, 01/13/2021(1) | 5,515,000 | 5,333,031 | ||||||||||
3.150%, 01/22/2021(1) | 3,000,000 | 2,903,324 | ||||||||||
4.250%, 10/14/2021(1) | 5,000,000 | 4,929,350 | ||||||||||
Discover Bank: | ||||||||||||
2.600%, 11/13/2018 | 8,000,000 | 7,995,370 | ||||||||||
8.700%, 11/18/2019 | 7,395,000 | 7,883,186 | ||||||||||
3.100%, 06/04/2020 | 8,735,000 | 8,690,102 | ||||||||||
Discover Financial Services, | ||||||||||||
5.200%, 04/27/2022 | 4,531,000 | 4,725,933 | ||||||||||
DNB Bank ASA, | ||||||||||||
2.125%, 10/02/2020(1)(2) | 14,300,000 | 13,945,273 | ||||||||||
Fifth Third Bancorp, | ||||||||||||
2.875%, 07/27/2020 | 5,000,000 | 4,971,867 | ||||||||||
First Horizon National Corp., | ||||||||||||
3.500%, 12/15/2020 | 11,148,000 | 11,185,253 | ||||||||||
First Niagara Financial Group, Inc., | ||||||||||||
6.750%, 03/19/2020 | 3,850,000 | 4,062,119 | ||||||||||
First Tennessee Bank NA, | ||||||||||||
2.950%, 12/01/2019 | 15,286,000 | 15,215,347 | ||||||||||
FMR LLC, | ||||||||||||
7.490%, 06/15/2019(2) | 1,000,000 | 1,041,391 | ||||||||||
Goldman Sachs Group, Inc., | ||||||||||||
2.876%, 10/31/2022(3 Month LIBOR USD + 0.821%)(3) | 12,000,000 | 11,714,640 | ||||||||||
The Goldman Sachs Group, Inc.: | ||||||||||||
2.900%, 07/19/2018 | 1,000,000 | 1,000,220 | ||||||||||
7.500%, 02/15/2019 | 3,000,000 | 3,082,870 | ||||||||||
3.382%, 10/23/2019(3 Month LIBOR USD + 1.020%)(3) | 2,751,000 | 2,776,447 | ||||||||||
2.300%, 12/13/2019 | 12,000,000 | 11,874,859 | ||||||||||
3.000%, 04/26/2022 | 5,000,000 | 4,884,504 | ||||||||||
Guardian Life Global Funding, | ||||||||||||
2.000%, 04/26/2021(2) | 7,825,000 | 7,567,821 | ||||||||||
The Hartford Financial Services Group, Inc.: | ||||||||||||
6.000%, 01/15/2019 | 455,000 | 462,348 | ||||||||||
5.500%, 03/30/2020 | 1,947,000 | 2,022,454 | ||||||||||
HSBC Bank USA NA, | ||||||||||||
4.875%, 08/24/2020 | 10,000,000 | 10,306,570 | ||||||||||
HSBC Holdings PLC, | ||||||||||||
3.400%, 03/08/2021(1) | 5,000,000 | 4,998,199 | ||||||||||
HSBC USA, Inc.: | ||||||||||||
3.215%, 09/24/2018(3 Month LIBOR USD + 0.880%)(3) | 1,000,000 | 1,001,773 | ||||||||||
2.965%, 11/13/2019(3 Month LIBOR USD + 0.610%)(3) | 9,750,000 | 9,794,096 | ||||||||||
5.000%, 09/27/2020 | 4,805,000 | 4,947,337 | ||||||||||
Humana, Inc., | ||||||||||||
2.500%, 12/15/2020 | 9,625,000 | 9,447,078 | ||||||||||
Huntington Bancshares, Inc.: | ||||||||||||
2.600%, 08/02/2018 | 7,375,000 | 7,375,000 | ||||||||||
3.150%, 03/14/2021 | 1,335,000 | 1,327,524 | ||||||||||
Huntington National Bank/The, | ||||||||||||
3.250%, 05/14/2021 | 5,000,000 | 4,988,259 | ||||||||||
ING Bank NV: | ||||||||||||
1.650%, 08/15/2019(1)(2) | 10,000,000 | 9,850,030 | ||||||||||
2.500%, 10/01/2019(1)(2) | 8,961,000 | 8,895,948 | ||||||||||
5.000%, 06/09/2021(1)(2) | 7,250,000 | 7,540,059 | ||||||||||
Jackson National Life Global Funding, | ||||||||||||
2.200%, 01/30/2020(2) | 24,125,000 | 23,794,866 | ||||||||||
Jefferies Group LLC: | ||||||||||||
8.500%, 07/15/2019 | 1,500,000 | 1,582,714 | ||||||||||
6.875%, 04/15/2021 | 7,133,000 | 7,687,203 | ||||||||||
JPMorgan Chase & Co.: | ||||||||||||
2.989%, 01/28/2019(3 Month LIBOR USD + 0.630%)(3) | 750,000 | 752,269 | ||||||||||
6.300%, 04/23/2019 | 5,000,000 | 5,140,644 | ||||||||||
2.250%, 01/23/2020 | 8,100,000 | 7,995,810 | ||||||||||
2.295%, 08/15/2021 | 10,550,000 | 10,192,475 | ||||||||||
3.514%, 06/18/2022(3 Month LIBOR USD + 0.610%)(3) | 23,000,000 | 23,017,710 | ||||||||||
KEB Hana Bank, | ||||||||||||
1.750%, 10/18/2019(1)(2) | 18,000,000 | 17,650,008 | ||||||||||
KeyBank NA: | ||||||||||||
2.350%, 03/08/2019 | 6,500,000 | 6,481,266 | ||||||||||
1.600%, 08/22/2019 | 3,000,000 | 2,955,768 | ||||||||||
2.500%, 12/15/2019 | 5,325,000 | 5,283,085 | ||||||||||
3.180%, 05/22/2022 | 9,972,000 | 9,837,806 | ||||||||||
Kookmin Bank, | ||||||||||||
1.625%, 08/01/2019(1)(2) | 8,000,000 | 7,863,680 | ||||||||||
Lloyds Bank PLC: | ||||||||||||
2.000%, 08/17/2018(1) | 4,500,000 | 4,496,369 | ||||||||||
2.050%, 01/22/2019(1) | 4,000,000 | 3,988,371 | ||||||||||
6.500%, 09/14/2020(1)(2) | 1,543,000 | 1,632,636 | ||||||||||
Macquarie Bank Ltd., | ||||||||||||
2.400%, 01/21/2020(1)(2) | 13,000,000 | 12,830,824 | ||||||||||
Macquarie Group Ltd, | ||||||||||||
6.000%, 01/14/2020(1)(2) | 15,475,000 | 16,093,246 | ||||||||||
Manufacturers & Traders Trust Co., | ||||||||||||
3.317%, 12/28/2020(1 Month LIBOR USD + 1.215%)(3) | 282,000 | 282,530 | ||||||||||
Marsh & McLennan Cos, Inc., | ||||||||||||
2.750%, 01/30/2022 | 7,000,000 | 6,842,786 | ||||||||||
Mitsubishi UFJ Financial Group, Inc., | ||||||||||||
2.190%, 09/13/2021(1) | 15,000,000 | 14,403,129 | ||||||||||
Mitsubishi UFJ Trust & Banking Corp., | ||||||||||||
2.650%, 10/19/2020(1)(2) | 4,550,000 | 4,477,852 | ||||||||||
Mizuho Bank Ltd.: | ||||||||||||
3.549%, 10/20/2018(3 Month LIBOR USD + 1.190%)(1)(2)(3) | 2,500,000 | 2,507,275 | ||||||||||
2.450%, 04/16/2019(1)(2) | 2,400,000 | 2,392,544 | ||||||||||
Mizuho Financial Group, Inc.: | ||||||||||||
2.632%, 04/12/2021(1)(2) | 12,350,000 | 12,058,398 | ||||||||||
3.819%, 04/12/2021(3 Month LIBOR USD + 1.480%)(1)(2)(3) | 3,000,000 | 3,071,852 | ||||||||||
2.273%, 09/13/2021(1) | 8,330,000 | 7,994,384 | ||||||||||
Morgan Stanley: | ||||||||||||
3.209%, 01/24/2019(3 Month LIBOR USD + 0.850%)(3) | 4,750,000 | 4,768,353 | ||||||||||
7.300%, 05/13/2019 | 15,125,000 | 15,677,328 | ||||||||||
3.506%, 01/27/2020(3 Month LIBOR USD + 1.140%)(3) | 4,000,000 | 4,055,884 | ||||||||||
2.903%, 02/10/2021(3 Month LIBOR USD + 0.550%)(3) | 9,850,000 | 9,869,294 | ||||||||||
3.292%, 07/22/2022(3 Month LIBOR USD + 0.930%)(3) | 10,000,000 | 10,080,547 | ||||||||||
National Australia Bank Ltd., | ||||||||||||
2.250%, 01/10/2020(1) | 24,600,000 | 24,303,322 | ||||||||||
National Bank of Canada: | ||||||||||||
3.176%, 12/14/2018(3 Month LIBOR USD + 0.840%)(1)(3) | 1,000,000 | 1,003,796 | ||||||||||
2.150%, 06/12/2020(1) | 23,525,000 | 23,035,465 | ||||||||||
New York Life Global Funding, | ||||||||||||
1.550%, 11/02/2018(2) | 9,500,000 | 9,470,193 | ||||||||||
Nomura Holdings, Inc.: | ||||||||||||
2.750%, 03/19/2019(1) | 5,313,000 | 5,311,289 | ||||||||||
6.700%, 03/04/2020(1) | 3,654,000 | 3,852,049 | ||||||||||
Nordea Bank AB: | ||||||||||||
2.954%, 09/30/2019(3 Month LIBOR USD + 0.620%)(1)(2)(3) | 2,400,000 | 2,413,022 | ||||||||||
4.875%, 05/13/2021(1)(2) | 8,980,000 | 9,233,923 | ||||||||||
The Northern Trust Co., | ||||||||||||
6.500%, 08/15/2018 | 4,075,000 | 4,094,071 | ||||||||||
Pricoa Global Funding I, | ||||||||||||
1.450%, 09/13/2019(2) | 12,000,000 | 11,799,130 | ||||||||||
Principal Life Global Funding II: | ||||||||||||
1.500%, 04/18/2019(2) | 3,000,000 | 2,971,019 | ||||||||||
2.150%, 01/10/2020(2) | 19,100,000 | 18,840,311 | ||||||||||
Protective Life Global Funding: | ||||||||||||
1.555%, 09/13/2019(2) | 18,000,000 | 17,707,656 | ||||||||||
2.161%, 09/25/2020(2) | 10,000,000 | 9,765,800 | ||||||||||
Prudential Financial, Inc., | ||||||||||||
7.375%, 06/15/2019 | 7,000,000 | 7,290,688 | ||||||||||
RBC USA Holdco Corp., | ||||||||||||
5.250%, 09/15/2020 | 3,310,000 | 3,452,339 | ||||||||||
Regions Financial Corp., | ||||||||||||
3.200%, 02/08/2021 | 16,500,000 | 16,414,559 | ||||||||||
Reliance Standard Life Global Funding II: | ||||||||||||
2.150%, 10/15/2018(2) | 13,000,000 | 12,980,601 | ||||||||||
2.500%, 04/24/2019(2) | 2,300,000 | 2,291,672 | ||||||||||
2.500%, 01/15/2020(2) | 6,000,000 | 5,937,067 | ||||||||||
Royal Bank of Scotland Group PLC, | ||||||||||||
3.498%, 05/15/2023(3 Month LIBOR USD + 1.480%)(1)(3) | 8,000,000 | 7,749,663 | ||||||||||
The Royal Bank of Scotland PLC: | ||||||||||||
5.625%, 08/24/2020(1) | 2,450,000 | 2,553,016 | ||||||||||
6.125%, 01/11/2021(1) | 9,517,000 | 10,067,081 | ||||||||||
Santander Holdings USA, Inc., | ||||||||||||
2.700%, 05/24/2019 | 5,401,000 | 5,384,728 | ||||||||||
Santander UK Group Holdings PLC: | ||||||||||||
2.875%, 10/16/2020(1) | 1,030,000 | 1,015,134 | ||||||||||
3.125%, 01/08/2021(1) | 3,500,000 | 3,451,483 | ||||||||||
2.875%, 08/05/2021(1) | 2,970,000 | 2,877,045 | ||||||||||
Santander UK PLC: | ||||||||||||
2.500%, 03/14/2019(1) | 10,000,000 | 9,979,864 | ||||||||||
2.125%, 11/03/2020(1) | 5,200,000 | 5,048,095 | ||||||||||
Skandinaviska Enskilda Banken AB: | ||||||||||||
2.375%, 11/20/2018(1)(2) | 5,000,000 | 4,993,035 | ||||||||||
2.375%, 03/25/2019(1)(2) | 950,000 | 946,779 | ||||||||||
2.450%, 05/27/2020(1)(2) | 4,700,000 | 4,630,440 | ||||||||||
SMBC Aviation Capital Finance DAC, | ||||||||||||
2.650%, 07/15/2021(1)(2) | 800,000 | 775,682 | ||||||||||
Societe Generale SA: | ||||||||||||
2.625%, 10/01/2018(1) | 5,700,000 | 5,701,662 | ||||||||||
3.417%, 10/01/2018(3 Month LIBOR USD + 1.080%)(1)(3) | 6,000,000 | 6,014,195 | ||||||||||
Standard Chartered PLC: | ||||||||||||
2.100%, 08/19/2019(1)(2) | 4,500,000 | 4,438,978 | ||||||||||
2.400%, 09/08/2019(1)(2) | 4,225,000 | 4,181,867 | ||||||||||
2.250%, 04/17/2020(1)(2) | 5,000,000 | 4,891,370 | ||||||||||
3.050%, 01/15/2021(1)(2) | 17,271,000 | 17,018,291 | ||||||||||
Stifel Financial Corp., | ||||||||||||
3.500%, 12/01/2020 | 27,373,000 | 27,415,524 | ||||||||||
Sumitomo Mitsui Banking Corp.: | ||||||||||||
1.950%, 07/23/2018(1) | 3,500,000 | 3,499,143 | ||||||||||
1.762%, 10/19/2018(1) | 5,000,000 | 4,988,052 | ||||||||||
3.295%, 01/18/2019(3 Month LIBOR USD + 0.940%)(1)(3) | 1,000,000 | 1,004,164 | ||||||||||
2.450%, 01/16/2020(1) | 4,500,000 | 4,448,726 | ||||||||||
Sumitomo Mitsui Trust Bank Ltd., | ||||||||||||
2.050%, 03/06/2019(1)(2) | 22,400,000 | 22,279,252 | ||||||||||
Svenska Handelsbanken AB: | ||||||||||||
2.825%, 06/17/2019(3 Month LIBOR USD + 0.490%)(1)(3) | 2,000,000 | 2,006,438 | ||||||||||
3.267%, 10/01/2020(3 Month LIBOR USD + 0.930%)(1)(3) | 10,000,000 | 10,141,565 | ||||||||||
Synchrony Financial: | ||||||||||||
2.600%, 01/15/2019 | 2,000,000 | 1,996,156 | ||||||||||
3.000%, 08/15/2019 | 13,350,000 | 13,321,653 | ||||||||||
2.700%, 02/03/2020 | 6,600,000 | 6,530,411 | ||||||||||
3.750%, 08/15/2021 | 8,489,000 | 8,480,194 | ||||||||||
Trinity Acquisition PLC, | ||||||||||||
3.500%, 09/15/2021(1) | 12,885,000 | 12,779,661 | ||||||||||
UBS Group Funding Jersey Ltd., | ||||||||||||
3.000%, 04/15/2021(1)(2) | 3,000,000 | 2,954,148 | ||||||||||
UBS Group Funding Switzerland AG: | ||||||||||||
2.950%, 09/24/2020(1)(2) | 11,600,000 | 11,477,746 | ||||||||||
3.775%, 09/24/2020(3 Month LIBOR USD + 1.440%)(1)(2)(3) | 2,000,000 | 2,042,427 | ||||||||||
2.650%, 02/01/2022(1)(2) | 9,471,000 | 9,124,329 | ||||||||||
WEA Finance LLC / Westfield UK & Europe Finance PLC: | ||||||||||||
2.700%, 09/17/2019(2) | 8,000,000 | 7,966,831 | ||||||||||
3.250%, 10/05/2020(2) | 6,000,000 | 5,988,063 | ||||||||||
Wells Fargo & Co.: | ||||||||||||
3.039%, 01/30/2020(3 Month LIBOR USD + 0.680%)(3) | 1,975,000 | 1,988,044 | ||||||||||
2.500%, 03/04/2021 | 3,900,000 | 3,812,965 | ||||||||||
Westpac Banking Corp., | ||||||||||||
1.650%, 05/13/2019(1) | 4,650,000 | 4,602,444 | ||||||||||
Willis Towers Watson PLC, | ||||||||||||
5.750%, 03/15/2021(1) | 13,085,000 | 13,794,791 | ||||||||||
1,466,337,231 | 25.2 | % | ||||||||||
Total Corporate Bonds | 3,301,437,613 | 56.7 | % |
Municipal Bonds | ||||||||||||
City of Bristol VA, | ||||||||||||
3.002%, 10/01/2020 | 8,210,000 | 8,226,338 | ||||||||||
City of Pittsburg CA, | ||||||||||||
5.864%, 07/01/2021 | 1,925,000 | 1,986,350 | ||||||||||
City of Williston ND, | ||||||||||||
3.100%, 07/15/2025 | 1,375,000 | 1,373,872 | ||||||||||
Cook County School District No. 144, | ||||||||||||
2.500%, 12/01/2018 | 745,000 | 743,421 | ||||||||||
County of Sonoma CA, | ||||||||||||
5.070%, 12/01/2022 | 20,910,000 | 21,778,601 | ||||||||||
Fresno Joint Powers Financing Authority, | ||||||||||||
2.880%, 04/01/2021 | 1,685,000 | 1,640,617 | ||||||||||
Illinois Housing Development Authority, | ||||||||||||
4.000%, 02/01/2034 | 8,005,000 | 8,070,321 | ||||||||||
Iowa Tobacco Settlement Authority, | ||||||||||||
6.500%, 06/01/2023 | 170,000 | 172,955 | ||||||||||
Memphis-Shelby County Industrial Development Board, | ||||||||||||
2.222%, 11/01/2020 | 5,990,000 | 5,874,393 | ||||||||||
New Hampshire Housing Finance Authority, | ||||||||||||
4.000%, 07/01/2036 | 7,035,000 | 7,100,777 | ||||||||||
New Jersey Economic Development Authority, | ||||||||||||
3.155%, 02/15/2021 | 1,440,000 | 1,318,694 | ||||||||||
New Jersey Sports & Exposition Authority: | ||||||||||||
6.076%, 03/01/2023 | 2,195,000 | 2,376,922 | ||||||||||
5.976%, 03/01/2024 | 3,950,000 | 4,146,275 | ||||||||||
Oakland Redevelopment Agency Successor Bonds, | ||||||||||||
2.271%, 09/01/2018 | 1,675,000 | 1,674,682 | ||||||||||
Public Finance Authority, | ||||||||||||
2.625%, 11/01/2019 | 4,500,000 | 4,432,410 | ||||||||||
Rhode Island Housing & Mortgage Finance Corp., | ||||||||||||
3.000%, 10/01/2034 | 4,800,000 | 4,741,344 | ||||||||||
San Diego Metropolitan Transit System, | ||||||||||||
4.840%, 12/01/2018 | 1,780,000 | 1,791,873 | ||||||||||
State of Hawaii Department of Business Economic Development & Tourism, | ||||||||||||
1.467%, 07/01/2022 | 8,651,459 | 8,518,919 | ||||||||||
State of Illinois, | ||||||||||||
5.000%, 06/01/2019 | 19,000,000 | 19,421,420 | ||||||||||
105,390,184 | 1.8 | % | ||||||||||
Residential Mortgage-Backed Securities | ||||||||||||
Non-U.S. Government Agency Issues | ||||||||||||
ACE Securities Corp. Home Equity Loan Trust, | ||||||||||||
Series 2006-OP1, Class A2C, 2.241%, 04/25/2036(1 Month LIBOR USD + 0.150%)(3) | 2,804,740 | 2,790,275 | ||||||||||
Aegis Asset Backed Securities Trust, | ||||||||||||
Series 2005-4, Class M1, 2.541%, 10/25/2035(1 Month LIBOR USD + 0.450%)(3) | 13,280,000 | 13,320,610 | ||||||||||
Alternative Loan Trust: | ||||||||||||
Series 2004-12CB, Class 1A1, 5.000%, 07/25/2019 | 167,516 | 168,824 | ||||||||||
Series 2005-50CB, Class 4A1, 5.000%, 11/25/2020(6) | 81,291 | 81,433 | ||||||||||
Series 2004-J2, Class 3A3, 5.500%, 04/25/2034 | 122,764 | 123,479 | ||||||||||
Series 2004-8CB, Class A, 2.361%, 06/25/2034(1 Month LIBOR USD + 0.270%)(3) | 3,794,477 | 3,793,372 | ||||||||||
Series 2005-73CB, Class 1A7, 5.500%, 01/25/2036(6) | 73,205 | 72,653 | ||||||||||
Series 2006-28CB, Class A17, 6.000%, 10/25/2036(6) | 653,272 | 531,590 | ||||||||||
Argent Securities Inc. Asset-Backed Pass-Through Certificates, | ||||||||||||
Series 2005-W3, Class A2D, 2.431%, 11/25/2035(1 Month LIBOR USD + 0.340%)(3) | 5,553,078 | 5,547,704 | ||||||||||
Asset Backed Securities Corp. Home Equity Loan Trust, | ||||||||||||
Series 2006-HE1, Class A1, 2.306%, 01/25/2036(1 Month LIBOR USD + 0.215%)(3) | 8,084,041 | 8,048,886 | ||||||||||
Banc of America Mortgage Trust, | ||||||||||||
Series 2004-B, Class 2A2, 3.919%, 03/25/2034(4) | 1,364,732 | 1,386,128 | ||||||||||
Carrington Mortgage Loan Trust: | ||||||||||||
Series 2006-OPT1, Class A3, 2.271%, 12/25/2035(1 Month LIBOR USD + 0.180%)(3) | 1,586,938 | 1,584,270 | ||||||||||
Series 2006-NC1, Class A3, 2.301%, 01/25/2036(1 Month LIBOR USD + 0.210%)(3) | 5,240,014 | 5,236,936 | ||||||||||
Countrywide Asset-Backed Certificates: | ||||||||||||
Series 2006-2, Class 2A3, 2.391%, 06/25/2036(1 Month LIBOR USD + 0.300%)(3) | 10,041,155 | 10,006,768 | ||||||||||
Series 2006-9, Class 1AF3, 4.606%, 08/25/2036(4)(6) | 674,172 | 624,844 | ||||||||||
Series 2006-13, Class 1AF3, 4.421%, 01/25/2037(4) | 427,078 | 425,889 | ||||||||||
Credit-Based Asset Servicing & Securitization LLC, | ||||||||||||
Series 2005-CB8, Class AF2, 3.741%, 12/25/2035(4)(7) | 17,631 | 17,584 | ||||||||||
CWABS Asset-Backed Certificates Trust, | ||||||||||||
Series 2005-16, Class 3AV, 2.321%, 05/25/2036(1 Month LIBOR USD + 0.230%)(3) | 2,111,279 | 2,109,789 | ||||||||||
GSAA Trust: | ||||||||||||
Series 2005-8, Class A4, 2.361%, 06/25/2035(1 Month LIBOR USD + 0.270%)(3) | 3,981,851 | 3,992,637 | ||||||||||
Series 2005-6, Class A3, 2.461%, 06/25/2035(1 Month LIBOR USD + 0.370%)(3) | 913,897 | 919,798 | ||||||||||
GSAMP Trust, | ||||||||||||
Series 2006-HE7, Class A2D, 2.321%, 10/25/2036(1 Month LIBOR USD + 0.230%)(3) | 10,189,558 | 10,124,893 | ||||||||||
J.P. Morgan Mortgage Acquisition Trust, | ||||||||||||
Series 2006-CH1, Class A1, 2.221%, 07/25/2036(1 Month LIBOR USD + 0.130%)(3) | 3,042,916 | 3,030,866 | ||||||||||
J.P. Morgan Mortgage Trust, | ||||||||||||
Series 2005-A4, Class 1A1, 4.162%, 07/25/2035(4) | 823,225 | 827,194 | ||||||||||
MASTR Alternative Loan Trust: | ||||||||||||
Series 2003-5, Class 7A1, 5.000%, 07/25/2018 | 46,594 | 47,280 | ||||||||||
Series 2003-9, Class 3A1, 4.750%, 11/25/2018 | 22,651 | 22,636 | ||||||||||
Series 2003-5, Class 4A1, 5.500%, 07/25/2033 | 3,760,430 | 3,927,036 | ||||||||||
New Century Home Equity Loan Trust, | ||||||||||||
Series 2005-C, Class A1, 2.321%, 12/25/2035(1 Month LIBOR USD + 0.230%)(3) | 3,786,510 | 3,773,721 | ||||||||||
Nomura Home Equity Loan, Inc., | ||||||||||||
Series 2006-HE2, Class A3, 2.261%, 03/25/2036(1 Month LIBOR USD + 0.170%)(3) | 1,029,561 | 1,028,564 | ||||||||||
Park Place Securities, Inc., | ||||||||||||
Series 2005-WCW1, Class M1, 2.541%, 05/25/2035(1 Month LIBOR USD + 0.450%)(3) | 2,038,923 | 2,041,296 | ||||||||||
Popular ABS Mortgage Pass-Through Trust, | ||||||||||||
Series 2005-B, Class M2, 2.751%, 08/25/2035(1 Month LIBOR USD + 0.660%)(3) | 1,658,041 | 1,663,230 | ||||||||||
RAMP Series Trust, | ||||||||||||
Series 2006-NC2, Class A2, 2.281%, 12/25/2035(1 Month LIBOR USD + 0.190%)(3) | 336,824 | 336,743 | ||||||||||
RASC Series Trust, | ||||||||||||
Series 2005-AHL2, Class A3, 2.441%, 10/25/2035(1 Month LIBOR USD + 0.350%)(3) | 2,564,235 | 2,563,740 | ||||||||||
Renaissance Home Equity Loan Trust, | ||||||||||||
Series 2007-2, Class AF2, 5.675%, 06/25/2037(4)(7) | 1,914,212 | 873,299 | ||||||||||
Saxon Asset Securities Trust, | ||||||||||||
Series 2006-2, Class A3C, 2.241%, 09/25/2036(1 Month LIBOR USD + 0.150%)(3) | 1,002,454 | 997,551 | ||||||||||
Soundview Home Loan Trust: | ||||||||||||
Series 2005-OPT4, Class 2A3, 2.351%, 12/25/2035(1 Month LIBOR USD + 0.260%)(3) | 69,898 | 69,894 | ||||||||||
Series 2006-OPT2, Class A3, 2.271%, 05/25/2036(1 Month LIBOR USD + 0.180%)(3) | 3,599,277 | 3,591,795 | ||||||||||
Specialty Underwriting & Residential Finance Trust, | ||||||||||||
Series 2006-BC1, Class A2D, 2.391%, 12/25/2036(1 Month LIBOR USD + 0.300%)(3) | 3,717,774 | 3,722,553 | ||||||||||
Structured Asset Investment Loan Trust, | ||||||||||||
Series 2004-9, Class A5, 3.091%, 10/25/2034(1 Month LIBOR USD + 1.000%)(3) | 5,723,008 | 5,720,683 | ||||||||||
Structured Asset Securities Corp., | ||||||||||||
Series 2004-4XS, Class 1A6, 5.050%, 02/25/2034(4)(7) | 114,176 | 115,814 | ||||||||||
Thornburg Mortgage Securities Trust, | ||||||||||||
Series 2003-5, Class 3A, 3.362%, 10/25/2043(4) | 6,638,386 | 6,740,712 | ||||||||||
Towd Point Mortgage Trust: | ||||||||||||
Series 2015-4, Class A1B, 2.750%, 04/25/2055(2)(4) | 1,936,999 | 1,915,341 | ||||||||||
Series 2015-4, Class A1, 3.500%, 04/25/2055(2)(4) | 4,171,261 | 4,174,589 | ||||||||||
Series 2016-5, Class A1, 2.500%, 10/25/2056(2)(4) | 10,466,672 | 10,221,565 | ||||||||||
Series 2017-1, Class A1, 2.750%, 10/25/2056(2)(4) | 14,080,795 | 13,785,542 | ||||||||||
Series 2017-5, Class A1, 2.691%, 02/26/2057(1 Month LIBOR USD + 0.600%)(2)(3) | 15,206,794 | 15,220,883 | ||||||||||
Series 2017-3, Class A1, 2.750%, 06/25/2057(2)(4) | 17,401,503 | 17,029,050 | ||||||||||
WaMu Mortgage Pass-Through Certificates Trust: | ||||||||||||
Series 2004-CB4, Class 21A, 5.500%, 12/25/2019 | 16,746 | 16,895 | ||||||||||
Series 2004-CB4, Class 22A, 6.000%, 12/25/2019 | 39,697 | 40,161 | ||||||||||
Series 2004-AR3, Class A1, 3.952%, 06/25/2034(4) | 5,075,713 | 5,176,054 | ||||||||||
179,583,049 | 3.1 | % | ||||||||||
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 | 27,624,326 | ||||||||||
Series K504, Class A2, 2.566%, 09/25/2020(4) | 20,650,000 | 20,564,796 | ||||||||||
Series K010, Class A2, 4.333%, 10/25/2020(4) | 14,775,000 | 15,183,013 | ||||||||||
Series K014, Class A2, 3.871%, 04/25/2021 | 10,147,313 | 10,359,438 | ||||||||||
73,731,573 | 1.3 | % | ||||||||||
Non-U.S. Government Agency Issues | ||||||||||||
COMM Mortgage Trust, | ||||||||||||
Series 2012-CR1, Class ASB, 3.053%, 05/17/2045 | 20,654,614 | 20,625,103 | ||||||||||
GS Mortgage Securities Trust, | ||||||||||||
Series 2011-GC5, Class A4, 3.707%, 08/10/2044 | 8,112,000 | 8,207,148 | ||||||||||
J.P. Morgan Chase Commercial Mortgage Securities Trust: | ||||||||||||
Series 2012-C8, Class ASB, 2.379%, 10/17/2045 | 14,165,778 | 13,973,970 | ||||||||||
Series 2011-C5, Class ASB, 3.678%, 08/15/2046 | 4,656,587 | 4,690,086 | ||||||||||
Series 2011-C5, Class A3, 4.171%, 08/15/2046 | 18,717,804 | 19,120,523 | ||||||||||
JPMBB Commercial Mortgage Securities Trust, | ||||||||||||
Series 2013-C14, Class ASB, 3.761%, 08/17/2046(4) | 13,400,000 | 13,594,992 | ||||||||||
Morgan Stanley Bank of America Merrill Lynch Trust, | ||||||||||||
Series 2013-C9, Class AAB, 2.657%, 05/17/2046 | 12,040,908 | 11,910,836 | ||||||||||
WFRBS Commercial Mortgage Trust, | ||||||||||||
Series 2012-C6, Class A4, 3.440%, 04/15/2045 | 7,050,000 | 7,085,366 | ||||||||||
99,208,024 | 1.7 | % | ||||||||||
352,522,646 | 3.0 | % | ||||||||||
Asset Backed Securities | 172,939,597 | |||||||||||
Ally Auto Receivables Trust 2018-3, | ||||||||||||
Series 2018-3, 3.000%, 01/17/2023 | 8,000,000 | 7,999,453 | ||||||||||
American Express Credit Account Master Trust: | ||||||||||||
Series 2017-1, Class A, 1.930%, 09/15/2022 | 18,450,000 | 18,177,931 | ||||||||||
Series 2017-6, Class A, 2.040%, 05/15/2023 | 11,600,000 | 11,365,575 | ||||||||||
BA Credit Card Trust, | ||||||||||||
Series 2018-2, 3.000%, 09/15/2023 | 29,775,000 | 29,779,588 | ||||||||||
Bank of The West Auto Trust, | ||||||||||||
Series 2017-1, Class A3, 2.110%, 01/15/2023(2) | 7,500,000 | 7,368,716 | ||||||||||
Barclays Dryrock Issuance Trust, | ||||||||||||
Series 2015-1, Class A, 2.200%, 12/15/2022 | 6,750,000 | 6,666,394 | ||||||||||
Capital One Multi-Asset Execution Trust, | ||||||||||||
Series 2017-A4, Class A4, 1.990%, 07/17/2023 | 42,500,000 | 41,639,588 | ||||||||||
Chesapeake Funding II LLC: | ||||||||||||
Series 2017-2A, Class A1, 1.990%, 05/15/2029(2) | 25,760,880 | 25,497,454 | ||||||||||
Series 2017-3A, Class A1, 1.910%, 08/15/2029(2) | 11,123,456 | 10,991,146 | ||||||||||
Series A-1, 3.040%, 04/15/2030(2) | 11,700,000 | 11,660,829 | ||||||||||
Citibank Credit Card Issuance Trust: | ||||||||||||
Series 2016-A1, Class A1, 1.750%, 11/19/2021 | 9,165,000 | 9,029,487 | ||||||||||
Series 2017-A3, Class A3, 1.920%, 04/07/2022 | 33,225,000 | 32,662,435 | ||||||||||
Series 2018-A1, Class A1, 2.490%, 01/20/2023 | 8,850,000 | 8,737,974 | ||||||||||
Conseco Financial Corp.: | ||||||||||||
Series 1998-2, Class A5, 6.240%, 12/01/2028 | 5,693 | 5,817 | ||||||||||
Series 1998-3, Class A5, 6.220%, 03/01/2030 | 108,461 | 114,429 | ||||||||||
Dell Equipment Finance Trust, | ||||||||||||
Series 2017-2, Class A3, 2.190%, 10/24/2022(2) | 10,000,000 | 9,893,609 | ||||||||||
Discover Card Execution Note Trust, | ||||||||||||
Series 2016-A4, Class A4, 1.390%, 03/15/2022 | 19,075,000 | 18,764,020 | ||||||||||
Ford Credit Auto Owner Trust: | ||||||||||||
Series 2014-2, Class A, 2.310%, 04/15/2026(2) | 16,392,000 | 16,264,023 | ||||||||||
Series 2015-1, Class A, 2.120%, 07/15/2026(2) | 12,592,000 | 12,422,233 | ||||||||||
GM Financial Automobile Leasing Trust: | ||||||||||||
Series 2017-2, Class A3, 2.020%, 09/21/2020 | 19,425,000 | 19,244,763 | ||||||||||
Series 2018-1, Class A3, 2.610%, 01/20/2021 | 9,875,000 | 9,820,750 | ||||||||||
Hyundai Auto Lease Securitization Trust: | ||||||||||||
Series 2017-B, Class A3, 1.970%, 07/15/2020(2) | 12,850,000 | 12,746,423 | ||||||||||
Series 2017-A, Class A3, 1.880%, 08/17/2020(2) | 16,675,000 | 16,599,839 | ||||||||||
Kookmin Bank, | ||||||||||||
2.125%, 10/21/2020(1)(2) | 3,400,000 | 3,305,072 | ||||||||||
Master Credit Card Trust II, | ||||||||||||
Series 2017-1A, Class A, 2.260%, 07/21/2021(1)(2) | 31,800,000 | 31,442,597 | ||||||||||
MMAF Equipment Finance LLC, | ||||||||||||
Series 2017-AA, Class A3, 2.040%, 02/16/2022(2) | 11,625,000 | 11,437,055 | ||||||||||
Nissan Auto Lease Trust, | ||||||||||||
Series 2017-A, Class A3, 1.910%, 04/15/2020 | 12,375,000 | 12,272,551 | ||||||||||
PFS Financing Corp.: | ||||||||||||
Series 2016-BA, Class A, 1.870%, 10/15/2021(2) | 15,734,000 | 15,507,674 | ||||||||||
Series 2018-B, Class A, 2.890%, 02/15/2023(2) | 7,395,000 | 7,330,006 | ||||||||||
Santander Retail Auto Lease Trust, | ||||||||||||
Series 2017-A, Class A4, 2.370%, 01/20/2022(2) | 3,148,000 | 3,103,820 | ||||||||||
SoFi Consumer Loan Program, | ||||||||||||
Series 2017-3, Class A, 2.770%, 05/26/2026(2) | 6,595,291 | 6,542,307 | ||||||||||
SoFi Consumer Loan Program LLC, | ||||||||||||
Series 2017-4, Class A, 2.500%, 06/25/2026(2) | 3,930,830 | 3,881,080 | ||||||||||
Synchrony Credit Card Master Note Trust, | ||||||||||||
Series 2016-3, Class A, 1.580%, 09/15/2022 | 16,310,000 | 16,058,144 | ||||||||||
TCF Auto Receivables Owner Trust, | ||||||||||||
Series 2016-1A, Class A4, 2.030%, 02/15/2022(2) | 14,404,000 | 14,227,501 | ||||||||||
Verizon Owner Trust: | ||||||||||||
Series 2016-2A, Class A, 1.680%, 05/20/2021(2) | 22,750,000 | 22,515,689 | ||||||||||
Series 2017-1A, Class A, 2.060%, 09/20/2021(2) | 5,100,000 | 5,041,907 | ||||||||||
Series 2018-1A, Class A1A, 2.820%, 09/20/2022(2) | 28,000,000 | 27,901,930 | ||||||||||
Volvo Financial Equipment LLC, | ||||||||||||
Series 2018-1A, Class A3, 2.540%, 02/15/2022(2) | 12,800,000 | 12,692,261 | ||||||||||
World Financial Network Credit Card Master Trust: | ||||||||||||
Series 2017-C, Class A, 2.310%, 08/15/2024 | 14,125,000 | 13,856,754 | ||||||||||
Series 2016-A, Class A, 2.030%, 04/15/2025 | 12,000,000 | 11,627,509 | ||||||||||
World Omni Automobile Lease Securitization Trust, | ||||||||||||
Series 2017-A, Class A3, 2.130%, 04/15/2020 | 14,775,000 | 14,658,611 | ||||||||||
570,854,944 | 9.8 | % | ||||||||||
Total Long-Term Investments(Cost $5,791,335,487) | 5,729,415,754 | 98.5 | % |
SHORT-TERM INVESTMENT | Shares | |||||||||||
Money Market Mutual Fund | ||||||||||||
Fidelity Institutional Money Market Fund - Government Portfolio, Institutional Class 1.81%(5) | 159,805,870 | 159,805,870 | ||||||||||
Total Short-Term Investment(Cost $159,805,870) | 159,805,870 | 2.7 | % | |||||||||
Total Investments(Cost $5,951,141,357) | 5,889,221,624 | 101.2 | % | |||||||||
Liabilities in Excess of Other Assets | (72,502,410 | ) | (1.2 | )% | ||||||||
TOTAL NET ASSETS | $ | 5,816,719,214 | 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 June 30, 2018, the value of these securities total $1,457,528,600, which represents 25.06% 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 June 30, 2018. |
(4) | Variable rate security. The rate reported is the rate in effect as of June 30, 2018. |
(5) | 7-Day Yield. |
(6) | Security that, on the last payment date, missed a partial principal or interest payment. |
(7) | Step-up bond; the interest rate shown is the rate in effect as of June 30, 2018. |
Baird Short-Term Bond Fund | ||||||||
Schedule of Investments, June 30, 2018 (Unaudited) | ||||||||
Summary of Fair Value Exposure at June 30, 2018 (Unaudited) | ||||||||
The Fund has adopted authoritative fair valuation accounting standards which establish a definition of fair value and set out a hierarchy for measuring fair value. These standards require additional disclosures about the various inputs and valuation techniques used to develop the measurements of fair value and a discussion on changes in valuation techniques and related inputs during the period. These standards define fair value as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. | ||||||||
The fair value hierarchy is organized into three levels based upon the assumptions (referred to as "inputs") used in pricing the asset or liability. These standards state that "observable inputs" reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from independent sources and "unobservable inputs" reflect an entity's own assumptions about the assumptions market participants would use in pricing the asset or liability. These inputs are summarized into three broad levels and described below: |
Level 1 - | Unadjusted quoted prices in active markets for identical unrestricted securities. | ||
Level 2 - | Other significant observable inputs (including quoted prices for similar securities, quoted prices in inactive markets, dealer indications, interest rates, yield curves, prepayment speeds, credit risk, default rates, inputs corroborated by observable market data, etc.). | ||
Level 3 - | Significant unobservable inputs (including the Fund's own assumptions about the factors that market participants would use in valuing the security) based on the best information available. |
The following is a summary of the inputs used to value the Fund's investments as of June 30, 2018: |
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Long-Term Investments | ||||||||||||||||
U.S. Treasury Securities | $ | – | $ | 1,300,968,340 | $ | – | $ | 1,300,968,340 | ||||||||
Other Government Related Securities | – | 98,242,027 | – | 98,242,027 | ||||||||||||
Corporate Bonds | – | 3,301,437,613 | – | 3,301,437,613 | ||||||||||||
Municipal Bonds | – | 105,390,184 | – | 105,390,184 | ||||||||||||
Residential Mortgage-Backed Securities - Non-U.S. Government Agency Issues | – | 179,583,049 | – | 179,583,049 | ||||||||||||
Commercial Mortgage-Backed Securities - U.S. Government Agency Issues | – | 73,731,573 | – | 73,731,573 | ||||||||||||
Commercial Mortgage-Backed Securities - Non-U.S. Government Agency Issues | – | 99,208,024 | – | 99,208,024 | ||||||||||||
Asset Backed Securities | – | 570,854,944 | – | 570,854,944 | ||||||||||||
Total Long-Term Investments | – | 5,729,415,754 | – | 5,729,415,754 | ||||||||||||
Short-Term Investment | ||||||||||||||||
Money Market Mutual Fund | 159,805,870 | – | – | 159,805,870 | ||||||||||||
Total Short-Term Investment | 159,805,870 | – | – | 159,805,870 | ||||||||||||
Total Investments | $ | 159,805,870 | $ | 5,729,415,754 | $ | – | $ | 5,889,221,624 |
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. See the Fund's valuation policy in Note 2a to the financial statements. | ||||||||
Baird Intermediate Bond Fund | ||||||||||||
Schedule of Investments | ||||||||||||
June 30, 2018 (Unaudited) | ||||||||||||
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
LONG-TERM INVESTMENTS | ||||||||||||
U.S. Treasury Securities | ||||||||||||
U.S. Treasury Bonds: | ||||||||||||
2.625%, 08/15/2020 | $ | 16,500,000 | $ | 16,521,270 | ||||||||
1.375%, 08/31/2020 | 187,400,000 | 182,744,281 | ||||||||||
1.750%, 03/31/2022 | 274,025,000 | 264,947,922 | ||||||||||
1.875%, 03/31/2022 | 286,125,000 | 277,910,082 | ||||||||||
2.500%, 05/15/2024 | 227,675,000 | 224,099,792 | ||||||||||
2.250%, 11/15/2025 | 175,350,000 | 168,644,232 | ||||||||||
2.000%, 11/15/2026 | 126,525,000 | 118,572,706 | ||||||||||
1,253,440,285 | 37.7 | % | ||||||||||
Other Government Related Securities | ||||||||||||
CDP Financial, Inc., | ||||||||||||
4.400%, 11/25/2019 (1)(2) | 1,000,000 | 1,022,573 | ||||||||||
Centrais Eletricas Brasileiras SA, | ||||||||||||
5.750%, 10/27/2021 (1)(2) | 1,150,000 | 1,122,400 | ||||||||||
CNOOC Finance (2013) Ltd., | ||||||||||||
3.000%, 05/09/2023 (1) | 2,000,000 | 1,928,262 | ||||||||||
CNOOC Nexen Finance (2014) ULC, | ||||||||||||
4.250%, 04/30/2024 (1) | 5,150,000 | 5,207,690 | ||||||||||
Electricite de France SA, | ||||||||||||
2.350%, 10/13/2020 (1)(2) | 8,875,000 | 8,705,200 | ||||||||||
Export-Import Bank of Korea, | ||||||||||||
2.250%, 01/21/2020 (1) | 3,200,000 | 3,151,482 | ||||||||||
KFW, | ||||||||||||
4.875%, 06/17/2019 (1) | 3,250,000 | 3,321,711 | ||||||||||
Korea Gas Corp., | ||||||||||||
2.875%, 07/29/2018 (1)(2) | 1,000,000 | 999,871 | ||||||||||
Petroleos Mexicanos, | ||||||||||||
5.500%, 01/21/2021 (1) | 2,000,000 | 2,058,980 | ||||||||||
Sinopec Group Overseas Development [2015] Ltd., | ||||||||||||
2.500%, 04/28/2020 (1)(2) | 3,000,000 | 2,956,043 | ||||||||||
Sinopec Group Overseas Development [2016] Ltd.: | ||||||||||||
1.750%, 09/29/2019(1)(2) | 3,000,000 | 2,944,470 | ||||||||||
2.750%, 05/03/2021(1)(2) | 5,300,000 | 5,194,652 | ||||||||||
38,613,334 | 1.1 | % | ||||||||||
Corporate Bonds | ||||||||||||
Industrials | ||||||||||||
21st Century Fox America, Inc., | ||||||||||||
3.700%, 10/15/2025 | 2,825,000 | 2,767,744 | ||||||||||
Abbott Laboratories, | ||||||||||||
3.400%, 11/30/2023 | 10,000,000 | 9,866,252 | ||||||||||
Agilent Technologies, Inc., | ||||||||||||
3.050%, 09/22/2026 | 1,450,000 | 1,347,460 | ||||||||||
Alimentation Couche-Tard, Inc., | ||||||||||||
2.700%, 07/26/2022(1)(2) | 7,400,000 | 7,112,327 | ||||||||||
Anadarko Holding Co., | ||||||||||||
7.500%, 10/15/2026 | 1,288,000 | 1,490,449 | ||||||||||
Anadarko Petroleum Corp., | ||||||||||||
6.950%, 06/15/2019 | 1,000,000 | 1,034,755 | ||||||||||
Anheuser-Busch InBev Finance, Inc.: | ||||||||||||
3.300%, 02/01/2023 | 4,455,000 | 4,417,750 | ||||||||||
3.650%, 02/01/2026 | 3,775,000 | 3,695,512 | ||||||||||
Apple, Inc., | ||||||||||||
2.400%, 05/03/2023 | 2,000,000 | 1,926,851 | ||||||||||
AT&T, Inc.: | ||||||||||||
3.950%, 01/15/2025 | 8,000,000 | 7,824,228 | ||||||||||
4.300%, 02/15/2030(2) | 9,367,000 | 8,841,571 | ||||||||||
Boardwalk Pipelines LP, | ||||||||||||
5.950%, 06/01/2026 | 1,360,000 | 1,458,402 | ||||||||||
Boston Scientific Corp., | ||||||||||||
4.125%, 10/01/2023 | 3,000,000 | 3,058,103 | ||||||||||
BP Capital Markets PLC: | ||||||||||||
4.750%, 03/10/2019(1) | 2,500,000 | 2,536,167 | ||||||||||
2.521%, 01/15/2020(1) | 2,650,000 | 2,633,338 | ||||||||||
3.245%, 05/06/2022(1) | 1,000,000 | 996,850 | ||||||||||
Broadcom Corp. / Broadcom Cayman Finance Ltd.: | ||||||||||||
2.375%, 01/15/2020 | 1,500,000 | 1,480,455 | ||||||||||
3.000%, 01/15/2022 | 5,275,000 | 5,130,785 | ||||||||||
Bunge Limited Finance Corp.: | ||||||||||||
3.500%, 11/24/2020 | 2,500,000 | 2,498,534 | ||||||||||
3.750%, 09/25/2027 | 5,000,000 | 4,718,560 | ||||||||||
Campbell Soup Co., | ||||||||||||
3.950%, 03/15/2025 | 8,000,000 | 7,713,554 | ||||||||||
Cenovus Energy, Inc., | ||||||||||||
5.700%, 10/15/2019(1) | 3,000,000 | 3,076,800 | ||||||||||
CH Robinson Worldwide, Inc., | ||||||||||||
4.200%, 04/15/2028 | 12,300,000 | 12,082,752 | ||||||||||
Charter Communications Operating LLC: | ||||||||||||
4.464%, 07/23/2022 | 7,425,000 | 7,516,230 | ||||||||||
3.750%, 02/15/2028 | 3,765,000 | 3,409,810 | ||||||||||
4.200%, 03/15/2028 | 2,000,000 | 1,872,359 | ||||||||||
Chevron Phillips Chemical Co. LLC / Chevron Phillips Chemical Co. LP, | ||||||||||||
2.450%, 05/01/2020(2) | 4,125,000 | 4,076,046 | ||||||||||
CNH Industrial Capital LLC, | ||||||||||||
3.875%, 10/15/2021 | 3,000,000 | 2,985,000 | ||||||||||
Coca-Cola FEMSA SAB de CV, | ||||||||||||
2.375%, 11/26/2018(1) | 1,576,000 | 1,573,840 | ||||||||||
Comcast Corp.: | ||||||||||||
2.750%, 03/01/2023 | 1,475,000 | 1,417,906 | ||||||||||
2.350%, 01/15/2027 | 4,175,000 | 3,656,570 | ||||||||||
Constellation Brands, Inc.: | ||||||||||||
2.700%, 05/09/2022 | 2,975,000 | 2,875,461 | ||||||||||
3.500%, 05/09/2027 | 3,475,000 | 3,291,527 | ||||||||||
Cox Communications, Inc.: | ||||||||||||
3.250%, 12/15/2022(2) | 3,600,000 | 3,496,881 | ||||||||||
3.850%, 02/01/2025(2) | 2,800,000 | 2,742,882 | ||||||||||
3.350%, 09/15/2026(2) | 1,700,000 | 1,571,719 | ||||||||||
CVS Health Corp.: | ||||||||||||
2.250%, 08/12/2019 | 3,375,000 | 3,347,310 | ||||||||||
4.000%, 12/05/2023 | 4,425,000 | 4,443,415 | ||||||||||
4.100%, 03/25/2025 | 3,225,000 | 3,207,911 | ||||||||||
Daimler Finance North America LLC: | ||||||||||||
2.250%, 07/31/2019(2) | 2,300,000 | 2,281,706 | ||||||||||
2.200%, 05/05/2020(2) | 5,000,000 | 4,903,855 | ||||||||||
DCP Midstream LLC, | ||||||||||||
9.750%, 03/15/2019(2) | 1,600,000 | 1,666,000 | ||||||||||
Deutsche Telekom International Finance BV: | ||||||||||||
6.750%, 08/20/2018(1) | 2,850,000 | 2,865,913 | ||||||||||
6.000%, 07/08/2019(1) | 1,700,000 | 1,751,351 | ||||||||||
Diamond 1 Finance Corp. / Diamond 2 Finance Corp., | ||||||||||||
3.480%, 06/01/2019(2) | 10,900,000 | 10,927,444 | ||||||||||
Dollar Tree, Inc., | ||||||||||||
3.700%, 05/15/2023 | 5,050,000 | 5,004,678 | ||||||||||
The Dow Chemical Co., | ||||||||||||
8.550%, 05/15/2019 | 8,800,000 | 9,223,104 | ||||||||||
DXC Technology Co.: | ||||||||||||
4.450%, 09/18/2022 | 14,000,000 | 14,410,208 | ||||||||||
4.250%, 04/15/2024 | 1,700,000 | 1,698,148 | ||||||||||
Ecolab, Inc., | ||||||||||||
3.250%, 01/14/2023 | 5,000,000 | 4,937,208 | ||||||||||
Energy Transfer Partners LP, | ||||||||||||
9.700%, 03/15/2019 | 2,457,000 | 2,570,071 | ||||||||||
EnLink Midstream Partners LP, | ||||||||||||
4.400%, 04/01/2024 | 10,000,000 | 9,619,666 | ||||||||||
Enterprise Products Operating LLC, | ||||||||||||
2.550%, 10/15/2019 | 3,000,000 | 2,979,751 | ||||||||||
EQT Midstream Partners LP, | ||||||||||||
4.125%, 12/01/2026 | 5,000,000 | 4,607,962 | ||||||||||
ERAC USA Finance LLC: | ||||||||||||
2.350%, 10/15/2019(2) | 6,650,000 | 6,575,339 | ||||||||||
2.600%, 12/01/2021(2) | 4,825,000 | 4,680,295 | ||||||||||
Express Scripts Holding Co., | ||||||||||||
3.000%, 07/15/2023 | 5,655,000 | 5,364,151 | ||||||||||
Federal Express Corp. Pass Through Trust, | ||||||||||||
6.845%, 07/15/2020 | 285,706 | 292,134 | ||||||||||
Fidelity National Information Services, Inc.: | ||||||||||||
3.500%, 04/15/2023 | 2,319,000 | 2,291,997 | ||||||||||
3.875%, 06/05/2024 | 1,192,000 | 1,188,390 | ||||||||||
3.000%, 08/15/2026 | 2,000,000 | 1,832,167 | ||||||||||
4.250%, 05/15/2028 | 8,675,000 | 8,639,398 | ||||||||||
Fiserv, Inc.: | ||||||||||||
4.750%, 06/15/2021 | 1,728,000 | 1,796,956 | ||||||||||
3.500%, 10/01/2022 | 2,900,000 | 2,856,058 | ||||||||||
FMC Corp., | ||||||||||||
4.100%, 02/01/2024 | 2,000,000 | 2,005,792 | ||||||||||
Ford Motor Credit Co. LLC: | ||||||||||||
5.750%, 02/01/2021 | 2,000,000 | 2,098,571 | ||||||||||
3.336%, 03/18/2021 | 1,800,000 | 1,783,857 | ||||||||||
3.339%, 03/28/2022 | 2,000,000 | 1,957,219 | ||||||||||
2.979%, 08/03/2022 | 7,000,000 | 6,742,455 | ||||||||||
Freeport-McMoRan, Inc.: | ||||||||||||
3.550%, 03/01/2022 | 2,000,000 | 1,900,000 | ||||||||||
3.875%, 03/15/2023 | 1,100,000 | 1,039,500 | ||||||||||
General Electric Co.: | ||||||||||||
6.000%, 08/07/2019 | 774,000 | 800,268 | ||||||||||
5.500%, 01/08/2020 | 731,000 | 757,718 | ||||||||||
5.550%, 05/04/2020 | 816,000 | 850,468 | ||||||||||
General Motors Financial Co., Inc.: | ||||||||||||
2.350%, 10/04/2019 | 5,500,000 | 5,452,750 | ||||||||||
4.375%, 09/25/2021 | 5,325,000 | 5,427,641 | ||||||||||
3.450%, 01/14/2022 | 1,475,000 | 1,453,819 | ||||||||||
3.150%, 06/30/2022 | 1,000,000 | 971,870 | ||||||||||
4.150%, 06/19/2023 | 1,325,000 | 1,324,682 | ||||||||||
Georgia-Pacific LLC, | ||||||||||||
5.400%, 11/01/2020(2) | 6,797,000 | 7,120,196 | ||||||||||
Glencore Funding LLC: | ||||||||||||
2.500%, 01/15/2019(2) | 4,400,000 | 4,376,064 | ||||||||||
4.125%, 05/30/2023(2) | 1,750,000 | 1,746,167 | ||||||||||
4.625%, 04/29/2024(2) | 1,000,000 | 1,005,415 | ||||||||||
4.000%, 03/27/2027(2) | 4,725,000 | 4,460,047 | ||||||||||
3.875%, 10/27/2027(2) | 1,150,000 | 1,062,681 | ||||||||||
Grupo Bimbo SAB de CV: | ||||||||||||
4.875%, 06/30/2020(1)(2) | 3,504,000 | 3,597,628 | ||||||||||
3.875%, 06/27/2024(1)(2) | 3,000,000 | 2,933,853 | ||||||||||
Hutchison Whampoa International Ltd.: | ||||||||||||
7.625%, 04/09/2019(1)(2) | 5,400,000 | 5,587,045 | ||||||||||
4.625%, 01/13/2022(1)(2) | 7,000,000 | 7,190,267 | ||||||||||
Hyundai Capital America: | ||||||||||||
2.500%, 03/18/2019(2) | 1,300,000 | 1,294,005 | ||||||||||
2.000%, 07/01/2019(2) | 2,500,000 | 2,467,468 | ||||||||||
1.750%, 09/27/2019(2) | 3,000,000 | 2,941,740 | ||||||||||
3.450%, 03/12/2021(2) | 9,000,000 | 8,929,358 | ||||||||||
Ingersoll-Rand Co., | ||||||||||||
6.391%, 11/15/2027(1) | 1,195,000 | 1,332,331 | ||||||||||
Johnson Controls International PLC, | ||||||||||||
4.250%, 03/01/2021(1) | 2,000,000 | 2,044,844 | ||||||||||
Keysight Technologies, Inc., | ||||||||||||
3.300%, 10/30/2019 | 4,690,000 | 4,677,790 | ||||||||||
Kinder Morgan, Inc.: | ||||||||||||
5.625%, 11/15/2023(2) | 1,000,000 | 1,064,859 | ||||||||||
4.300%, 03/01/2028 | 5,000,000 | 4,857,454 | ||||||||||
7.800%, 08/01/2031 | 7,000,000 | 8,467,500 | ||||||||||
Kraft Heinz Foods Co.: | ||||||||||||
3.500%, 06/06/2022 | 2,000,000 | 1,980,193 | ||||||||||
6.375%, 07/15/2028 | 6,629,000 | 7,428,320 | ||||||||||
Laboratory Corp. of America Holdings, | ||||||||||||
4.625%, 11/15/2020 | 468,000 | 481,204 | ||||||||||
LyondellBasell Industries NV, | ||||||||||||
6.000%, 11/15/2021(1) | 1,100,000 | 1,177,233 | ||||||||||
McCormick & Co., Inc., | ||||||||||||
3.150%, 08/15/2024 | 6,000,000 | 5,734,464 | ||||||||||
Mead Johnson Nutrition Co., | ||||||||||||
3.000%, 11/15/2020 | 5,400,000 | 5,373,364 | ||||||||||
Midcontinent Express Pipeline LLC, | ||||||||||||
6.700%, 09/15/2019(2) | 1,000,000 | 1,029,500 | ||||||||||
The Mosaic Co., | ||||||||||||
4.250%, 11/15/2023 | 8,606,000 | 8,656,728 | ||||||||||
MPLX LP: | ||||||||||||
3.375%, 03/15/2023 | 1,675,000 | 1,638,066 | ||||||||||
4.875%, 06/01/2025 | 10,192,000 | 10,479,115 | ||||||||||
Noble Energy, Inc., | ||||||||||||
4.150%, 12/15/2021 | 450,000 | 457,213 | ||||||||||
Nutrien Ltd., | ||||||||||||
3.150%, 10/01/2022(1) | 1,306,000 | 1,270,348 | ||||||||||
Nvent Finance Sarl, | ||||||||||||
3.950%, 04/15/2023(1)(2) | 15,800,000 | 15,636,646 | ||||||||||
ONEOK Partners LP, | ||||||||||||
3.375%, 10/01/2022 | 3,336,000 | 3,290,762 | ||||||||||
ONEOK, Inc., | ||||||||||||
7.500%, 09/01/2023 | 7,470,000 | 8,555,303 | ||||||||||
Penske Truck Leasing Co. LP / PTL Finance Corp., | ||||||||||||
3.950%, 03/10/2025(2) | 12,000,000 | 11,860,055 | ||||||||||
Petrofac Ltd., | ||||||||||||
3.400%, 10/10/2018(1)(2) | 6,880,000 | 6,837,000 | ||||||||||
Phillips 66 Partners LP: | ||||||||||||
3.605%, 02/15/2025 | 2,000,000 | 1,907,133 | ||||||||||
3.750%, 03/01/2028 | 4,100,000 | 3,831,837 | ||||||||||
POSCO, | ||||||||||||
5.250%, 04/14/2021(1)(2) | 3,000,000 | 3,121,547 | ||||||||||
R.R. Donnelley & Sons Co., | ||||||||||||
7.625%, 06/15/2020 | 1,000,000 | 1,025,000 | ||||||||||
Regency Energy Partners LP / Regency Energy Finance Corp., | ||||||||||||
4.500%, 11/01/2023 | 1,100,000 | 1,106,490 | ||||||||||
Rockies Express Pipeline LLC, | ||||||||||||
5.625%, 04/15/2020(2) | 1,000,000 | 1,023,750 | ||||||||||
Roper Technologies, Inc., | ||||||||||||
3.800%, 12/15/2026 | 1,450,000 | 1,406,226 | ||||||||||
Sabine Pass Liquefaction LLC, | ||||||||||||
5.875%, 06/30/2026 | 9,730,000 | 10,435,372 | ||||||||||
Samarco Mineracao SA, | ||||||||||||
5.375%, 09/26/2024(1)(2)(7) | 1,675,000 | 1,222,750 | ||||||||||
Schlumberger Holdings Corp., | ||||||||||||
2.350%, 12/21/2018(2) | 4,500,000 | 4,491,174 | ||||||||||
Schneider Electric SE, | ||||||||||||
2.950%, 09/27/2022(1)(2) | 2,000,000 | 1,963,599 | ||||||||||
Sherwin-Williams Co., | ||||||||||||
3.125%, 06/01/2024 | 4,000,000 | 3,820,515 | ||||||||||
Smithfield Foods, Inc.: | ||||||||||||
2.700%, 01/31/2020(2) | 7,118,000 | 7,015,869 | ||||||||||
2.650%, 10/03/2021(2) | 8,000,000 | 7,621,844 | ||||||||||
Solvay Finance America LLC, | ||||||||||||
3.400%, 12/03/2020(2) | 4,375,000 | 4,389,299 | ||||||||||
Sysco Corp.: | ||||||||||||
2.600%, 10/01/2020 | 7,600,000 | 7,507,396 | ||||||||||
2.500%, 07/15/2021 | 2,000,000 | 1,952,999 | ||||||||||
2.600%, 06/12/2022 | 150,000 | 144,997 | ||||||||||
TC PipeLines LP: | ||||||||||||
4.375%, 03/13/2025 | 5,500,000 | 5,439,082 | ||||||||||
3.900%, 05/25/2027 | 8,025,000 | 7,545,330 | ||||||||||
Telefonica Emisiones SAU, | ||||||||||||
5.462%, 02/16/2021(1) | 400,000 | 418,625 | ||||||||||
Time Warner Cable LLC, | ||||||||||||
6.750%, 07/01/2018 | 2,000,000 | 2,000,000 | ||||||||||
Time Warner, Inc.: | ||||||||||||
4.700%, 01/15/2021 | 1,325,000 | 1,363,729 | ||||||||||
4.750%, 03/29/2021 | 2,000,000 | 2,063,774 | ||||||||||
3.600%, 07/15/2025 | 4,000,000 | 3,803,271 | ||||||||||
TransCanada PipeLines Ltd., | ||||||||||||
9.875%, 01/01/2021(1) | 556,000 | 641,238 | ||||||||||
Vale Overseas Ltd.: | ||||||||||||
4.375%, 01/11/2022(1) | 2,775,000 | 2,808,272 | ||||||||||
6.250%, 08/10/2026(1) | 3,460,000 | 3,747,180 | ||||||||||
Valero Energy Corp., | ||||||||||||
3.400%, 09/15/2026 | 4,500,000 | 4,260,748 | ||||||||||
Verizon Communications, Inc.: | ||||||||||||
3.376%, 02/15/2025 | 6,424,000 | 6,149,538 | ||||||||||
4.125%, 03/16/2027 | 3,000,000 | 2,968,924 | ||||||||||
4.329%, 09/21/2028(2) | 2,051,000 | 2,032,748 | ||||||||||
Wabtec Corp.: | ||||||||||||
4.375%, 08/15/2023 | 7,850,000 | 7,865,387 | ||||||||||
3.450%, 11/15/2026 | 5,000,000 | 4,620,148 | ||||||||||
Walgreen Co., | ||||||||||||
5.250%, 01/15/2019 | 605,000 | 612,545 | ||||||||||
Waste Management, Inc., | ||||||||||||
3.125%, 03/01/2025 | 1,975,000 | 1,901,324 | ||||||||||
Western Gas Partners LP, | ||||||||||||
4.500%, 03/01/2028 | 7,000,000 | 6,736,494 | ||||||||||
WestRock MWV LLC, | ||||||||||||
7.375%, 09/01/2019 | 2,033,000 | 2,130,953 | ||||||||||
Williams Partners LP: | ||||||||||||
5.250%, 03/15/2020 | 1,000,000 | 1,030,885 | ||||||||||
4.125%, 11/15/2020 | 1,625,000 | 1,645,404 | ||||||||||
4.300%, 03/04/2024 | 2,500,000 | 2,508,943 | ||||||||||
Yara International ASA, | ||||||||||||
3.800%, 06/06/2026(1)(2) | 300,000 | 285,133 | ||||||||||
Zimmer Biomet Holdings, Inc., | ||||||||||||
3.700%, 03/19/2023 | 10,000,000 | 9,928,590 | ||||||||||
Zoetis, Inc.: | ||||||||||||
3.250%, 02/01/2023 | 7,150,000 | 7,039,717 | ||||||||||
4.500%, 11/13/2025 | 2,000,000 | 2,069,591 | ||||||||||
3.000%, 09/12/2027 | 4,000,000 | 3,699,863 | ||||||||||
629,072,085 | 18.9 | % |
Municipal Bonds | ||||||||||||
Alabama Economic Settlement Authority, | ||||||||||||
3.163%, 09/15/2025 | 5,000,000 | 4,954,150 | ||||||||||
Alaska Municipal Bond Bank Authority: | ||||||||||||
4.309%, 08/01/2018 | 1,000,000 | 1,001,560 | ||||||||||
4.459%, 08/01/2019 | 1,340,000 | 1,364,803 | ||||||||||
California Qualified School Bond Joint Powers Authority, | ||||||||||||
5.955%, 03/01/2019 | 3,375,000 | 3,442,298 | ||||||||||
California School Finance Authority, | ||||||||||||
4.426%, 07/01/2020 | 2,500,000 | 2,576,900 | ||||||||||
Central Valley Support Joint Powers Agency, | ||||||||||||
5.326%, 09/01/2022 | 2,000,000 | 2,151,220 | ||||||||||
City of Berwyn IL, | ||||||||||||
5.790%, 12/01/2022 | 5,095,000 | 5,103,916 | ||||||||||
City of Bristol VA, | ||||||||||||
3.668%, 10/01/2022 | 7,500,000 | 7,671,975 | ||||||||||
County of Cook IL, | ||||||||||||
5.240%, 11/15/2025 | 2,345,000 | 2,489,569 | ||||||||||
Dallas Independent School District, | ||||||||||||
4.950%, 02/15/2022 | 1,965,000 | 2,070,658 | ||||||||||
Davie Florida Water & Sewer Revenue, | ||||||||||||
6.062%, 10/01/2025 | 1,000,000 | 1,070,520 | ||||||||||
Iowa Tobacco Settlement Authority, | ||||||||||||
6.500%, 06/01/2023 | 625,000 | 635,863 | ||||||||||
New Hampshire Housing Finance Authority, | ||||||||||||
2.600%, 01/01/2020 | 1,450,000 | 1,440,952 | ||||||||||
New Jersey Economic Development Authority: | ||||||||||||
2.502%, 02/15/2019 | 4,450,000 | 4,379,067 | ||||||||||
3.156%, 02/15/2021 | 3,000,000 | 2,747,280 | ||||||||||
3.230%, 02/15/2022 | 2,000,000 | 1,762,040 | ||||||||||
North Carolina Housing Finance Agency: | ||||||||||||
4.000%, 01/01/2030 | 240,000 | 242,693 | ||||||||||
3.000%, 01/01/2033 | 4,210,000 | 4,145,292 | ||||||||||
North East Texas Independent School District, | ||||||||||||
5.240%, 08/01/2027 | 2,100,000 | 2,404,479 | ||||||||||
Public Finance Authority: | ||||||||||||
2.625%, 11/01/2019 | 3,000,000 | 2,954,940 | ||||||||||
2.820%, 03/01/2020 | 2,000,000 | 1,987,400 | ||||||||||
South Dakota Housing Development Authority, | ||||||||||||
2.700%, 11/01/2036 | 1,645,000 | 1,605,175 | ||||||||||
Winnebago & Boone Counties School District No. 205: | ||||||||||||
3.800%, 12/01/2026 | 2,200,000 | 2,163,150 | ||||||||||
3.950%, 12/01/2027 | 1,700,000 | 1,671,831 | ||||||||||
62,037,731 | 1.9 | % | ||||||||||
Residential Mortgage-Backed Securities | ||||||||||||
U.S. Government Agency Issues | ||||||||||||
Fannie Mae REMIC Trust: | ||||||||||||
Series 1989-2, Class D, 8.800%, 01/25/2019 | 171 | 173 | ||||||||||
Series 1990-108, Class G, 7.000%, 09/25/2020 | 1,210 | 1,242 | ||||||||||
Series G-29, Class O, 8.500%, 09/25/2021 | 193 | 204 | ||||||||||
Series 1991-137, Class H, 7.000%, 10/25/2021 | 11,251 | 11,637 | ||||||||||
Series 1993-32, Class H, 6.000%, 03/25/2023 | 8,462 | 8,824 | ||||||||||
Federal Gold Loan Mortgage Corp. (FGLMC): | ||||||||||||
6.000%, 06/01/2021 | 39,923 | 41,212 | ||||||||||
6.000%, 07/01/2028 | 4,239 | 4,671 | ||||||||||
Federal Home Loan Mortgage Corp. (FHLMC): | ||||||||||||
Series 74, Class F, 6.000%, 10/15/2020 | 250 | 254 | ||||||||||
Series 1395, Class G, 6.000%, 10/15/2022 | 3,880 | 4,029 | ||||||||||
72,246 | 0.0 | % | ||||||||||
Non-U.S. Government Agency Issues | ||||||||||||
Accredited Mortgage Loan Trust, | ||||||||||||
Series 2005-4, Class A1, 2.331%, 12/25/2035 (1 Month LIBOR USD + 0.240%)(3) | 907,314 | 907,508 | ||||||||||
Alternative Loan Trust: | ||||||||||||
Series 2005-50CB, Class 4A1, 5.000%, 11/25/2020(6) | 93,484 | 93,648 | ||||||||||
Series 2005-85CB, Class 3A1, 5.250%, 02/25/2021(2)(6) | 95,158 | 93,325 | ||||||||||
Series 2006-7CB, Class 3A1, 5.250%, 05/25/2021(6) | 179,196 | 175,978 | ||||||||||
Series 2004-8CB, Class A, 2.361%, 06/25/2034 (1 Month LIBOR USD + 0.270%)(3) | 2,330,893 | 2,330,214 | ||||||||||
Series 2005-11CB, Class 2A1, 5.500%, 06/25/2035(6) | 39,250 | 39,401 | ||||||||||
AMRESCO Residential Securities Corp. Mortgage Loan Trust, | ||||||||||||
Series 1998-1, Class A6, 6.510%, 08/25/2027(4) | 2,530 | 2,633 | ||||||||||
Argent Securities Inc. Asset-Backed Pass-Through Certificates: | ||||||||||||
Series 2005-W3, Class A2D, 2.431%, 11/25/2035 (1 Month LIBOR USD + 0.340%)(3) | 1,065,339 | 1,064,308 | ||||||||||
Series 2005-W5, Class A1, 2.326%, 01/25/2036 (1 Month LIBOR USD + 0.235%)(3) | 7,554,153 | 7,492,962 | ||||||||||
Banc of America Alternative Loan Trust: | ||||||||||||
Series 2004-11, Class 4A1, 5.500%, 12/25/2019 | 52,428 | 52,663 | ||||||||||
Series 2005-6, Class 7A1, 5.500%, 07/25/2020(6) | 4,367 | 4,126 | ||||||||||
Series 2006-2, Class 7A1, 6.000%, 03/25/2021(6) | 86,514 | 79,953 | ||||||||||
Banc of America Funding Trust, | ||||||||||||
Series 2004-2, Class 1CB1, 5.750%, 09/20/2034 | 2,753,909 | 2,931,102 | ||||||||||
Bear Stearns ARM Trust, | ||||||||||||
Series 2004-5, Class 2A, 4.241%, 07/25/2034(4) | 1,134,982 | 1,125,063 | ||||||||||
Citigroup Global Markets Mortgage Securities VII, Inc., | ||||||||||||
Series 2003-UP2, Class A2, 7.000%, 06/25/2033(4)(8) | 49,888 | 50,538 | ||||||||||
Cityscape Home Equity Loan Trust, | ||||||||||||
Series 1997-C, Class A4, 7.000%, 07/25/2028(7)(8) | 3,921 | 1,961 | ||||||||||
Countrywide Asset-Backed Certificates: | ||||||||||||
Series 2004-12, Class AF6, 4.634%, 03/25/2035(4) | 1,249 | 1,276 | ||||||||||
Series 2005-1, Class AF6, 5.030%, 06/25/2035(4) | 96,446 | 98,001 | ||||||||||
Series 2006-9, Class 1AF3, 4.606%, 08/25/2036(4)(6) | 620,238 | 574,856 | ||||||||||
Series 2006-13, Class 1AF3, 4.421%, 01/25/2037(4) | 64,190 | 64,012 | ||||||||||
Delta Funding Home Equity Loan Trust: | ||||||||||||
Series 1997-2, Class A6, 7.040%, 06/25/2027(4) | 995 | 950 | ||||||||||
Series 1999-2, Class A7F, 7.030%, 08/15/2030 | 247,167 | 248,368 | ||||||||||
GSAMP Trust, | ||||||||||||
Series 2005-WMC2, Class A1B, 2.711%, 11/25/2035 (1 Month LIBOR USD + 0.620%)(3) | 1,423,631 | 1,425,542 | ||||||||||
IMC Home Equity Loan Trust, | ||||||||||||
Series 1998-1, Class A6, 7.020%, 06/20/2029(4)(8) | 961 | 960 | ||||||||||
J.P. Morgan Alternative Loan Trust: | ||||||||||||
Series 2005-S1, Class 3A1, 5.500%, 10/25/2020(6) | 104,403 | 113,340 | ||||||||||
Series 2006-A1, Class 2A1, 3.653%, 03/25/2036(4)(6) | 362,889 | 327,894 | ||||||||||
J.P. Morgan Mortgage Acquisition Trust, | ||||||||||||
Series 2006-CH1, Class A1, 2.221%, 07/25/2036 (1 Month LIBOR USD + 0.130%)(3) | 1,460,600 | 1,454,816 | ||||||||||
MASTR Alternative Loan Trust: | ||||||||||||
Series 2004-1, Class 1A1, 5.000%, 01/25/2019 | 16,063 | 16,040 | ||||||||||
Series 2005-3, Class 4A1, 5.500%, 03/25/2020 | 13,169 | 13,251 | ||||||||||
MortgageIT Trust, | ||||||||||||
Series 2005-3, Class A1, 2.691%, 08/25/2035 (1 Month LIBOR USD + 0.600%)(3) | 5,246,677 | 5,125,357 | ||||||||||
New Century Home Equity Loan Trust: | ||||||||||||
Series 2005-C, Class A1, 2.321%, 12/25/2035 (1 Month LIBOR USD + 0.230%)(3) | 1,893,255 | 1,886,861 | ||||||||||
Series 2005-C, Class A2C, 2.341%, 12/25/2035 (1 Month LIBOR USD + 0.250%)(3) | 764,620 | 764,027 | ||||||||||
New Residential Mortgage Loan Trust, | ||||||||||||
Series 2017-2A, Class A3, 4.000%, 03/25/2057(2)(4) | 4,236,578 | 4,295,812 | ||||||||||
Nomura Home Equity Loan, Inc., | ||||||||||||
Series 2006-HE2, Class A3, 2.261%, 03/25/2036 (1 Month LIBOR USD + 0.170%)(3) | 1,372,747 | 1,371,418 | ||||||||||
RALI Series Trust, | ||||||||||||
Series 2004-QS6, Class A1, 5.000%, 05/25/2019(6) | 4,416 | 4,392 | ||||||||||
RAMP Series Trust, | ||||||||||||
Series 2005-RS1, Class AI6, 4.713%, 11/25/2034 | 8,757 | 8,762 | ||||||||||
Saxon Asset Securities Trust, | ||||||||||||
Series 2005-4, Class A1B, 2.471%, 11/25/2037 (1 Month LIBOR USD + 0.380%)(3) | 37,110 | 37,118 | ||||||||||
Soundview Home Loan Trust, | ||||||||||||
Series 2003-2, Class A2, 3.391%, 11/25/2033 (1 Month LIBOR USD + 1.300%)(3) | 1,710,924 | 1,759,473 | ||||||||||
Specialty Underwriting & Residential Finance Trust: | ||||||||||||
Series 2004-BC4, Class A1A, 2.761%, 10/25/2035 (1 Month LIBOR USD + 0.670%)(3) | 1,730,542 | 1,722,917 | ||||||||||
Series 2006-BC1, Class A2D, 2.391%, 12/25/2036 (1 Month LIBOR USD + 0.300%)(3) | 2,875,284 | 2,878,980 | ||||||||||
Structured Asset Investment Loan Trust, | ||||||||||||
Series 2004-9, Class A5, 3.091%, 10/25/2034 (1 Month LIBOR USD + 1.000%)(3) | 2,666,826 | 2,665,742 | ||||||||||
Thornburg Mortgage Securities Trust, | ||||||||||||
Series 2003-5, Class 3A, 3.362%, 10/25/2043(4) | 3,983,032 | 4,044,427 | ||||||||||
Towd Point Mortgage Trust: | ||||||||||||
Series 2015-5, Class A1B, 2.750%, 05/25/2055(2)(4) | 2,649,258 | 2,611,319 | ||||||||||
Series 2016-2, Class A1, 3.000%, 08/25/2055(2)(4) | 2,432,321 | 2,400,965 | ||||||||||
Series 2017-1, Class A1, 2.750%, 10/25/2056(2)(4) | 6,907,725 | 6,762,881 | ||||||||||
Series 2017-5, Class A1, 2.691%, 02/26/2057 (1 Month LIBOR USD + 0.600%)(2)(3) | 7,116,779 | 7,123,373 | ||||||||||
WaMu Mortgage Pass-Through Certificates Trust: | ||||||||||||
Series 2004-CB1, Class 5A, 5.000%, 06/25/2019 | 53,978 | 54,141 | ||||||||||
Series 2004-CB3, Class 3A, 5.500%, 10/25/2019 | 61,737 | 62,033 | ||||||||||
Series 2004-CB3, Class 4A, 6.000%, 10/25/2019 | 39,391 | 39,895 | ||||||||||
Series 2004-CB4, Class 21A, 5.500%, 12/25/2019 | 40,190 | 40,548 | ||||||||||
Series 2004-CB4, Class 22A, 6.000%, 12/25/2019 | 27,144 | 27,461 | ||||||||||
Series 2004-AR3, Class A1, 3.952%, 06/25/2034(4) | 3,072,498 | 3,133,238 | ||||||||||
Series 2004-CB2, Class 3A, 6.000%, 08/25/2034 | 2,742,982 | 2,898,373 | ||||||||||
Wells Fargo Home Equity Asset-Backed Securities Trust, | ||||||||||||
Series 2004-2, Class A33, 3.091%, 10/25/2034 (1 Month LIBOR USD + 1.000%)(3) | 3,030,970 | 3,042,626 | ||||||||||
Wells Fargo Mortgage Backed Securities Trust, | ||||||||||||
Series 2005-AR10, Class 2A17, 3.911%, 06/25/2035(4) | 4,000,246 | 4,110,797 | ||||||||||
79,657,625 | 2.4 | % | ||||||||||
Commercial Mortgage-Backed Securities | ||||||||||||
U.S. Government Agency Issues | ||||||||||||
Freddie Mac Multifamily Structured Pass Through Certificates: | ||||||||||||
Series K713, Class A2, 2.313%, 03/25/2020 | 4,387,449 | 4,352,733 | ||||||||||
Series K015, Class A2, 3.230%, 07/25/2021 | 2,950,000 | 2,960,772 | ||||||||||
Series K717, Class A2, 2.991%, 09/25/2021 | 14,569,000 | 14,545,028 | ||||||||||
Series K720, Class A2, 2.716%, 06/25/2022 | 15,850,000 | 15,661,182 | ||||||||||
Series K028, Class A2, 3.111%, 02/25/2023 | 13,850,000 | 13,909,958 | ||||||||||
Series K727, Class A2, 2.946%, 07/25/2024 | 5,400,000 | 5,334,548 | ||||||||||
Series K041, Class A2, 3.171%, 10/25/2024 | 3,845,000 | 3,848,650 | ||||||||||
Series K050, Class A2, 3.334%, 08/25/2025(4) | 12,150,000 | 12,230,558 | ||||||||||
Series K071, Class A2, 3.286%, 11/25/2027 | 7,075,000 | 6,982,904 | ||||||||||
Series K073, Class A2, 3.350%, 01/25/2028 | 8,925,000 | 8,852,615 | ||||||||||
88,678,948 | 2.7 | % | ||||||||||
Non-U.S. Government Agency Issues | ||||||||||||
Citigroup Commercial Mortgage Trust: | ||||||||||||
Series 2013-GC11, Class A4, 3.093%, 04/10/2046 | 11,100,000 | 10,967,198 | ||||||||||
Series 2015-GC27, Class A5, 3.137%, 02/10/2048 | 11,675,000 | 11,374,493 | ||||||||||
COMM Mortgage Trust, | ||||||||||||
Series 2013-CR11, Class A4, 4.258%, 08/12/2050 | 10,000,000 | 10,391,434 | ||||||||||
J.P. Morgan Chase Commercial Mortgage Securities Trust, | ||||||||||||
Series 2011-C5, Class A3, 4.171%, 08/15/2046 | 9,219,901 | 9,418,270 | ||||||||||
JPMBB Commercial Mortgage Securities Trust, | ||||||||||||
Series 2013-C12, Class A5, 3.664%, 07/17/2045 | 3,373,000 | 3,413,364 | ||||||||||
Morgan Stanley Bank of America Merrill Lynch Trust: | ||||||||||||
Series 2013-C7, Class A4, 2.918%, 02/16/2046 | 9,540,000 | 9,366,104 | ||||||||||
Series 2014-C16, 3.600%, 06/17/2047 | 12,975,000 | 13,019,446 | ||||||||||
Series 2016-C29, Class ASB, 3.140%, 05/17/2049 | 5,000,000 | 4,932,979 | ||||||||||
Wells Fargo Commercial Mortgage Trust: | ||||||||||||
Series 2014-LC18, Class ASB, 3.244%, 12/17/2047 | 16,400,000 | 16,351,635 | ||||||||||
Series 2015-P2, Class ASB, 3.656%, 12/17/2048 | 11,175,000 | 11,305,356 | ||||||||||
Series A-4, 3.809%, 12/17/2048 | 3,600,000 | 3,638,947 | ||||||||||
WFRBS Commercial Mortgage Trust: | ||||||||||||
Series 2012-C6, Class A4, 3.440%, 04/15/2045 | 8,875,000 | 8,919,521 | ||||||||||
Series 2014-C24, Class ASB, 3.324%, 11/18/2047 | 8,652,000 | 8,628,073 | ||||||||||
Series 2013-C12, Class ASB, 2.838%, 03/17/2048 | 8,367,915 | 8,313,575 | ||||||||||
130,040,395 | 3.9 | % | ||||||||||
218,719,343 | 6.6 | % | ||||||||||
Other Asset Backed Securities | ||||||||||||
American Express Credit Account Master Trust, | ||||||||||||
Series 2017-1, Class A, 1.930%, 09/15/2022 | 12,000,000 | 11,823,044 | ||||||||||
Capital One Multi-Asset Execution Trust, | ||||||||||||
Series 2017-A4, Class A4, 1.990%, 07/17/2023 | 20,275,000 | 19,864,533 | ||||||||||
Chesapeake Funding II LLC, | ||||||||||||
Series 2017-3A, Class A1, 1.910%, 08/15/2029(2) | 6,199,592 | 6,125,850 | ||||||||||
Citibank Credit Card Issuance Trust, | ||||||||||||
Series 2017-A3, Class A3, 1.920%, 04/07/2022 | 13,375,000 | 13,148,535 | ||||||||||
Conseco Financial Corp.: | ||||||||||||
Series 1998-2, Class A5, 6.240%, 12/01/2028 | 88,662 | 90,592 | ||||||||||
Series 1998-7, Class A1, 6.320%, 05/01/2029 | 1,753,040 | 1,825,451 | ||||||||||
Series 1998-3, Class A5, 6.220%, 03/01/2030 | 198,123 | 209,023 | ||||||||||
Series 1998-4, Class A5, 6.180%, 04/01/2030 | 86,932 | 90,921 | ||||||||||
Discover Card Execution Note Trust, | ||||||||||||
Series 2016-A4, Class A4, 1.390%, 03/15/2022 | 10,925,000 | 10,746,890 | ||||||||||
Ford Credit Auto Owner Trust, | ||||||||||||
Series 2014-2, Class A, 2.310%, 04/15/2026(2) | 11,750,000 | 11,658,264 | ||||||||||
GM Financial Automobile Leasing Trust, | ||||||||||||
Series 2018-1, Class A3, 2.610%, 01/20/2021 | 5,775,000 | 5,743,274 | ||||||||||
Korea Housing Finance Corp., | ||||||||||||
1.625%, 09/15/2018(1)(2) | 1,050,000 | 1,046,585 | ||||||||||
MMAF Equipment Finance LLC, | ||||||||||||
Series 2017-AA, Class A3, 2.040%, 02/16/2022(2) | 6,250,000 | 6,148,954 | ||||||||||
Oakwood Mortgage Investors, Inc., | ||||||||||||
Series 1999-B, Class A3, 6.450%, 12/15/2023 | 43,093 | 43,577 | ||||||||||
PFS Financing Corp., | ||||||||||||
Series 2017-D, Class A, 2.400%, 10/17/2022(2) | 14,555,000 | 14,286,491 | ||||||||||
SoFi Consumer Loan Program, | ||||||||||||
Series 2017-3, Class A, 2.770%, 05/26/2026(2) | 3,489,885 | 3,461,849 | ||||||||||
Verizon Owner Trust: | ||||||||||||
Series 2017-3A, Class A1A, 2.060%, 04/20/2022(2) | 12,250,000 | 12,040,156 | ||||||||||
Series 2018-1A, Class A1A, 2.820%, 09/20/2022(2) | 4,350,000 | 4,334,764 | ||||||||||
World Financial Network Credit Card Master Trust, | ||||||||||||
Series 2017-C, Class A, 2.310%, 08/15/2024 | 5,850,000 | 5,738,903 | ||||||||||
128,427,656 | 3.9 | % | ||||||||||
Total Long-Term Investments (Cost $3,320,410,205) | 3,255,598,461 | 98.0 | % | |||||||||
SHORT-TERM INVESTMENT | Shares | |||||||||||
Money Market Mutual Fund | ||||||||||||
Fidelity Institutional Money Market Fund - Government Portfolio, Institutional Class 1.81%(5) | 94,724,005 | 94,724,005 | ||||||||||
Total Short-Term Investment (Cost $94,724,005) | 94,724,005 | 2.8 | % | |||||||||
Total Investments (Cost $3,415,134,210) | 3,350,322,466 | 100.8 | % | |||||||||
Liabilities in Excess of Other Assets | (27,837,191 | ) | (0.8 | )% | ||||||||
TOTAL NET ASSETS | $ | 3,322,485,275 | 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 June 30, 2018, the value of these securities total $628,717,910, which represents 18.92% 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 June 30, 2018. |
(4) | Variable rate security. The rate reported is the rate in effect as of June 30, 2018. |
(5) | 7-Day Yield. |
(6) | Security that, on the last payment date, missed a partial principal or interest payment. |
(7) | Security in default. |
(8) | Step-up bond; the interest rate shown is the rate in effect as of June 30, 2018. |
Baird Intermediate Bond Fund | ||||||||
Schedule of Investments, June 30, 2018 (Unaudited) | ||||||||
Summary of Fair Value Exposure at June 30, 2018 (Unaudited) | ||||||||
The Fund has adopted authoritative fair valuation accounting standards which establish a definition of fair value and set out a hierarchy for measuring fair value. These standards require additional disclosures about the various inputs and valuation techniques used to develop the measurements of fair value and a discussion on changes in valuation techniques and related inputs during the period. These standards define fair value as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. | ||||||||
The fair value hierarchy is organized into three levels based upon the assumptions (referred to as "inputs") used in pricing the asset or liability. These standards state that "observable inputs" reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from independent sources and "unobservable inputs" reflect an entity's own assumptions about the assumptions market participants would use in pricing the asset or liability. These inputs are summarized into three broad levels and described below: |
Level 1 - | Unadjusted quoted prices in active markets for identical unrestricted securities. | ||
Level 2 - | Other significant observable inputs (including quoted prices for similar securities, quoted prices in inactive markets, dealer indications, interest rates, yield curves, prepayment speeds, credit risk, default rates, inputs corroborated by observable market data, etc.). | ||
Level 3 - | Significant unobservable inputs (including the Fund's own assumptions about the factors that market participants would use in valuing the security) based on the best information available. |
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. | ||||||||
The following is a summary of the inputs used to value the Fund's investments as of June 30, 2018: |
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Long-Term Investments | ||||||||||||||||
U.S. Treasury Securities | $ | – | $ | 1,253,440,285 | $ | – | $ | 1,253,440,285 | ||||||||
Other Government Related Securities | – | 38,613,334 | – | 38,613,334 | ||||||||||||
Corporate Bonds | – | 1,474,630,241 | – | 1,474,630,241 | ||||||||||||
Municipal Bonds | – | 62,037,731 | – | 62,037,731 | ||||||||||||
Residential Mortgage-Backed Securities - U.S. Government Agency Issues | – | 72,246 | – | 72,246 | ||||||||||||
Residential Mortgage-Backed Securities - Non-U.S. Government Agency Issues | – | 79,657,625 | – | 79,657,625 | ||||||||||||
Commercial Mortgage-Backed Securities - U.S. Government Agency Issues | – | 88,678,948 | – | 88,678,948 | ||||||||||||
Commercial Mortgage-Backed Securities - Non-U.S. Government Agency Issues | – | 130,040,395 | – | 130,040,395 | ||||||||||||
Asset Backed Securities | – | 128,427,656 | – | 128,427,656 | ||||||||||||
Total Long-Term Investments | – | 3,255,598,461 | – | 3,255,598,461 | ||||||||||||
Short-Term Investment | ||||||||||||||||
Money Market Mutual Fund | 94,724,005 | – | 94,724,005 | |||||||||||||
Total Short-Term Investment | 94,724,005 | – | – | 94,724,005 | ||||||||||||
Total Investments | $ | 94,724,005 | $ | 3,255,598,461 | $ | – | $ | 3,350,322,466 |
Changes in valuation techniques may result in transfers into or out of assigned levels within the fair value hierarchy. There were no transfers between Level 1, Level 2, and Level 3 fair value measurements during the reporting period. See the Fund's valuation policy in Note 2a to the financial statements. |
Baird Aggregate Bond Fund | ||||||||||||
Schedule of Investments | ||||||||||||
June 30, 2018 (Unaudited) | ||||||||||||
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
LONG-TERM INVESTMENTS | ||||||||||||
U.S. Treasury Securities | ||||||||||||
U.S. Treasury Bonds: | ||||||||||||
1.750%, 03/31/2022 | $ | 441,180,000 | $ | 426,565,913 | ||||||||
1.875%, 03/31/2022 | 393,625,000 | 382,323,656 | ||||||||||
2.500%, 05/15/2024 | 328,700,000 | 323,538,384 | ||||||||||
2.250%, 11/15/2025 | 502,150,000 | 482,946,684 | ||||||||||
2.000%, 11/15/2026 | 402,125,000 | 376,850,816 | ||||||||||
2.250%, 11/15/2027 | 140,000,000 | 133,082,032 | ||||||||||
3.500%, 02/15/2039 | 502,355,900 | 547,293,203 | ||||||||||
2.875%, 05/15/2043 | 683,700,000 | 671,788,661 | ||||||||||
3,344,389,349 | 21.5 | % | ||||||||||
Other Government Related Securities | ||||||||||||
CNOOC Finance(2015) Australia Pty Ltd., | ||||||||||||
2.625%, 05/05/2020(1) | 14,500,000 | 14,311,688 | ||||||||||
CNPC General Capital Ltd., | ||||||||||||
2.750%, 05/14/2019(1)(2) | 2,000,000 | 1,991,289 | ||||||||||
Comision Federal de Electricidad, | ||||||||||||
4.875%, 01/15/2024(1)(2) | 2,678,000 | 2,691,390 | ||||||||||
Corp Andina de Fomento, | ||||||||||||
4.375%, 06/15/2022(1) | 6,107,000 | 6,317,630 | ||||||||||
Export-Import Bank of Korea, | ||||||||||||
2.250%, 01/21/2020(1) | 11,000,000 | 10,833,218 | ||||||||||
Industrial Bank of Korea, | ||||||||||||
2.000%, 04/23/2020(1)(2) | 7,000,000 | 6,831,342 | ||||||||||
Korea Development Bank/The, | ||||||||||||
2.250%, 05/18/2020(1) | 2,000,000 | 1,960,031 | ||||||||||
Korea Gas Corp., | ||||||||||||
4.250%, 11/02/2020(1)(2) | 2,321,000 | 2,362,871 | ||||||||||
Nexen Energy ULC, | ||||||||||||
6.400%, 05/15/2037(1) | 7,567,000 | 9,262,258 | ||||||||||
Petroleos Mexicanos: | ||||||||||||
8.000%, 05/03/2019(1) | 5,911,000 | 6,127,520 | ||||||||||
5.500%, 01/21/2021(1) | 5,600,000 | 5,765,144 | ||||||||||
4.875%, 01/24/2022(1) | 4,000,000 | 4,035,200 | ||||||||||
4.500%, 01/23/2026(1) | 2,500,000 | 2,345,500 | ||||||||||
6.625%, 06/15/2035(1) | 893,000 | 872,907 | ||||||||||
6.350%, 02/12/2048(1)(2) | 8,500,000 | 7,671,250 | ||||||||||
Sinopec Group Overseas Development [2014] Ltd., | ||||||||||||
4.375%, 04/10/2024(1)(2) | 1,500,000 | 1,529,637 | ||||||||||
Sinopec Group Overseas Development [2015] Ltd.: | ||||||||||||
2.500%, 04/28/2020(1)(2) | 15,000,000 | 14,780,215 | ||||||||||
3.250%, 04/28/2025(1)(2) | 10,000,000 | 9,508,515 | ||||||||||
Sinopec Group Overseas Development [2016] Ltd., | ||||||||||||
3.500%, 05/03/2026(1)(2) | 13,450,000 | 12,811,125 | ||||||||||
Sinopec Group Overseas Development [2017] Ltd: | ||||||||||||
2.250%, 09/13/2020(1)(2) | 9,125,000 | 8,909,376 | ||||||||||
3.000%, 04/12/2022(1)(2) | 15,000,000 | 14,623,020 | ||||||||||
Syngenta Finance NV, | ||||||||||||
4.441%, 04/24/2023(1)(2) | 10,000,000 | 9,944,018 | ||||||||||
155,485,144 | 1.0 | % | ||||||||||
Corporate Bonds | ||||||||||||
Industrials | ||||||||||||
21st Century Fox America, Inc.: | ||||||||||||
7.300%, 04/30/2028 | 6,350,000 | 7,678,236 | ||||||||||
6.150%, 03/01/2037 | 2,570,000 | 3,014,390 | ||||||||||
6.750%, 01/09/2038 | 5,650,000 | 7,173,053 | ||||||||||
Abbott Laboratories: | ||||||||||||
4.750%, 11/30/2036 | 33,949,000 | 35,754,966 | ||||||||||
4.900%, 11/30/2046 | 4,700,000 | 5,059,685 | ||||||||||
AbbVie, Inc.: | ||||||||||||
2.500%, 05/14/2020 | 9,500,000 | 9,385,526 | ||||||||||
4.500%, 05/14/2035 | 9,000,000 | 8,759,460 | ||||||||||
4.300%, 05/14/2036 | 6,000,000 | 5,723,086 | ||||||||||
Actavis Funding SCS: | ||||||||||||
3.850%, 06/15/2024(1) | 12,067,000 | 11,849,775 | ||||||||||
3.800%, 03/15/2025(1) | 12,000,000 | 11,652,543 | ||||||||||
4.550%, 03/15/2035(1) | 8,000,000 | 7,569,227 | ||||||||||
Acuity Brands Lighting, Inc., | ||||||||||||
6.000%, 12/15/2019 | 3,749,000 | 3,892,434 | ||||||||||
Allegion US Holding Co., Inc., | ||||||||||||
3.200%, 10/01/2024 | 7,000,000 | 6,619,200 | ||||||||||
Amgen, Inc., | ||||||||||||
4.400%, 05/01/2045 | 12,300,000 | 11,722,798 | ||||||||||
Anadarko Finance Co., | ||||||||||||
7.500%, 05/01/2031(1) | 7,170,000 | 8,881,374 | ||||||||||
Anadarko Petroleum Corp., | ||||||||||||
8.700%, 03/15/2019 | 2,432,000 | 2,526,556 | ||||||||||
Analog Devices, Inc., | ||||||||||||
3.125%, 12/05/2023 | 10,000,000 | 9,709,336 | ||||||||||
Andeavor Logistics LP / Tesoro Logistics Finance Corp., | ||||||||||||
5.250%, 01/15/2025 | 4,276,000 | 4,382,387 | ||||||||||
Anheuser-Busch InBev Finance, Inc.: | ||||||||||||
2.650%, 02/01/2021 | 6,300,000 | 6,213,169 | ||||||||||
4.375%, 04/15/2038 | 7,000,000 | 6,795,631 | ||||||||||
Apple, Inc., | ||||||||||||
2.400%, 05/03/2023 | 2,678,000 | 2,580,054 | ||||||||||
AT&T, Inc.: | ||||||||||||
3.950%, 01/15/2025 | 5,000,000 | 4,890,143 | ||||||||||
3.400%, 05/15/2025 | 23,200,000 | 21,755,550 | ||||||||||
4.125%, 02/17/2026 | 7,650,000 | 7,477,232 | ||||||||||
5.250%, 03/01/2037 | 10,000,000 | 9,835,533 | ||||||||||
4.900%, 08/15/2037(2) | 10,000,000 | 9,489,390 | ||||||||||
4.800%, 06/15/2044 | 1,375,000 | 1,247,639 | ||||||||||
4.750%, 05/15/2046 | 5,000,000 | 4,466,386 | ||||||||||
5.150%, 11/15/2046(2) | 10,599,000 | 9,985,181 | ||||||||||
5.150%, 02/15/2050(2) | 27,500,000 | 25,626,722 | ||||||||||
Baxalta, Inc., | ||||||||||||
2.875%, 06/23/2020 | 5,000,000 | 4,943,096 | ||||||||||
Bayer US Finance II LLC, | ||||||||||||
4.250%, 12/15/2025(2) | 13,975,000 | 14,049,780 | ||||||||||
Bayer US Finance LLC, | ||||||||||||
2.375%, 10/08/2019(2) | 10,000,000 | 9,914,794 | ||||||||||
Becton Dickinson and Co.: | ||||||||||||
2.675%, 12/15/2019 | 4,007,000 | 3,976,948 | ||||||||||
3.250%, 11/12/2020 | 7,000,000 | 6,964,462 | ||||||||||
3.363%, 06/06/2024 | 6,300,000 | 6,051,682 | ||||||||||
3.734%, 12/15/2024 | 4,000,000 | 3,905,004 | ||||||||||
4.875%, 05/15/2044 | 10,815,000 | 10,615,143 | ||||||||||
Bell Canada, Inc., | ||||||||||||
4.464%, 04/01/2048(1) | 7,225,000 | 7,060,415 | ||||||||||
Boardwalk Pipelines LP: | ||||||||||||
5.950%, 06/01/2026 | 22,721,000 | 24,364,958 | ||||||||||
4.450%, 07/15/2027 | 7,000,000 | 6,797,124 | ||||||||||
Boral Finance Pty Ltd., | ||||||||||||
3.000%, 11/01/2022(1)(2) | 6,000,000 | 5,780,712 | ||||||||||
Boston Scientific Corp., | ||||||||||||
2.850%, 05/15/2020 | 7,000,000 | 6,947,925 | ||||||||||
Broadcom Corp. / Broadcom Cayman Finance Ltd., | ||||||||||||
3.125%, 01/15/2025 | 12,000,000 | 11,131,943 | ||||||||||
Bunge Limited Finance Corp.: | ||||||||||||
8.500%, 06/15/2019 | 6,933,000 | 7,282,362 | ||||||||||
3.500%, 11/24/2020 | 12,235,000 | 12,227,823 | ||||||||||
3.000%, 09/25/2022 | 15,000,000 | 14,442,389 | ||||||||||
3.250%, 08/15/2026 | 11,550,000 | 10,541,969 | ||||||||||
Burlington Northern Santa Fe LLC, | ||||||||||||
4.150%, 04/01/2045 | 3,000,000 | 2,925,290 | ||||||||||
Campbell Soup Co.: | ||||||||||||
3.950%, 03/15/2025 | 10,325,000 | 9,955,305 | ||||||||||
4.800%, 03/15/2048 | 7,000,000 | 6,328,513 | ||||||||||
Canadian Natural Resources Ltd., | ||||||||||||
6.500%, 02/15/2037(1) | 982,000 | 1,165,792 | ||||||||||
Carlisle Cos, Inc., | ||||||||||||
3.500%, 12/01/2024 | 5,000,000 | 4,826,076 | ||||||||||
Celgene Corp.: | ||||||||||||
3.550%, 08/15/2022 | 6,450,000 | 6,400,933 | ||||||||||
3.250%, 02/20/2023 | 6,175,000 | 6,032,080 | ||||||||||
4.000%, 08/15/2023 | 2,477,000 | 2,498,035 | ||||||||||
Celulosa Arauco y Constitucion SA, | ||||||||||||
3.875%, 11/02/2027(1) | 12,000,000 | 11,130,000 | ||||||||||
CF Industries, Inc.: | ||||||||||||
3.450%, 06/01/2023 | 21,000,000 | 19,871,040 | ||||||||||
5.150%, 03/15/2034 | 3,000,000 | 2,782,500 | ||||||||||
Charter Communications Operating LLC: | ||||||||||||
4.464%, 07/23/2022 | 13,773,000 | 13,942,227 | ||||||||||
6.384%, 10/23/2035 | 5,800,000 | 6,061,039 | ||||||||||
Chevron Phillips Chemical Co. LLC / Chevron Phillips Chemical Co. LP, | ||||||||||||
3.108%, 05/01/2020(3 Month LIBOR USD + 0.750%)(2)(3) | 25,000,000 | 25,191,756 | ||||||||||
CK Hutchison International Ltd., | ||||||||||||
2.875%, 04/05/2022(1)(2) | 8,000,000 | 7,797,200 | ||||||||||
Columbia Pipeline Group, Inc.: | ||||||||||||
3.300%, 06/01/2020 | 14,575,000 | 14,514,689 | ||||||||||
4.500%, 06/01/2025 | 2,819,000 | 2,812,532 | ||||||||||
Comcast Corp.: | ||||||||||||
4.250%, 01/15/2033 | 5,712,000 | 5,578,054 | ||||||||||
3.200%, 07/15/2036 | 6,000,000 | 4,991,695 | ||||||||||
3.969%, 11/01/2047 | 8,622,000 | 7,594,767 | ||||||||||
ConAgra Foods, Inc.: | ||||||||||||
4.950%, 08/15/2020 | 332,000 | 341,900 | ||||||||||
9.750%, 03/01/2021 | 4,548,000 | 5,242,488 | ||||||||||
7.125%, 10/01/2026 | 6,441,000 | 7,583,116 | ||||||||||
7.000%, 10/01/2028 | 4,300,000 | 5,089,397 | ||||||||||
ConocoPhillips Co., | ||||||||||||
3.243%, 05/15/2022(3 Month LIBOR USD + 0.900%)(3) | 8,425,000 | 8,577,241 | ||||||||||
Corning, Inc., | ||||||||||||
4.375%, 11/15/2057 | 9,000,000 | 7,846,064 | ||||||||||
Cox Communications, Inc.: | ||||||||||||
3.850%, 02/01/2025(2) | 4,725,000 | 4,628,614 | ||||||||||
3.350%, 09/15/2026(2) | 2,800,000 | 2,588,713 | ||||||||||
4.800%, 02/01/2035(2) | 9,000,000 | 8,287,654 | ||||||||||
8.375%, 03/01/2039(2) | 19,011,000 | 25,141,793 | ||||||||||
4.600%, 08/15/2047(2) | 5,000,000 | 4,569,179 | ||||||||||
CSX Corp., | ||||||||||||
4.650%, 03/01/2068 | 9,000,000 | 8,480,973 | ||||||||||
CVS Health Corp.: | ||||||||||||
3.500%, 07/20/2022 | 7,000,000 | 6,938,322 | ||||||||||
4.780%, 03/25/2038 | 23,000,000 | 22,622,146 | ||||||||||
5.050%, 03/25/2048 | 19,300,000 | 19,641,536 | ||||||||||
Daimler Finance North America LLC, | ||||||||||||
1.500%, 07/05/2019(2) | 10,700,000 | 10,544,212 | ||||||||||
Danone SA, | ||||||||||||
2.589%, 11/02/2023(1)(2) | 19,600,000 | 18,459,210 | ||||||||||
DCP Midstream LLC, | ||||||||||||
9.750%, 03/15/2019(2) | 5,065,000 | 5,273,931 | ||||||||||
Deutsche Telekom International Finance BV, | ||||||||||||
8.750%, 06/15/2030(1) | 1,661,000 | 2,201,183 | ||||||||||
Diamond 1 Finance Corp. / Diamond 2 Finance Corp.: | ||||||||||||
3.480%, 06/01/2019(2) | 8,947,000 | 8,969,526 | ||||||||||
4.420%, 06/15/2021(2) | 50,575,000 | 51,314,533 | ||||||||||
Dominion Gas Holdings LLC, | ||||||||||||
2.800%, 11/15/2020 | 7,275,000 | 7,187,885 | ||||||||||
Dow Chemical Co./The, | ||||||||||||
8.550%, 05/15/2019 | 26,000,000 | 27,250,081 | ||||||||||
DXC Technology Co.: | ||||||||||||
3.250%, 03/01/2021(3 Month LIBOR USD + 0.950%)(3) | 8,000,000 | 8,002,113 | ||||||||||
4.250%, 04/15/2024 | 34,725,000 | 34,687,166 | ||||||||||
4.750%, 04/15/2027 | 6,815,000 | 6,885,368 | ||||||||||
Enable Midstream Partners LP, | ||||||||||||
3.900%, 05/15/2024 | 5,000,000 | 4,786,269 | ||||||||||
Enbridge Energy Partners LP: | ||||||||||||
7.500%, 04/15/2038 | 4,500,000 | 5,556,532 | ||||||||||
7.375%, 10/15/2045 | 20,000,000 | 25,446,334 | ||||||||||
Energy Transfer Partners LP: | ||||||||||||
9.700%, 03/15/2019 | 893,000 | 934,096 | ||||||||||
4.150%, 10/01/2020 | 10,000,000 | 10,114,153 | ||||||||||
4.050%, 03/15/2025 | 26,585,000 | 25,686,820 | ||||||||||
6.500%, 02/01/2042 | 5,621,000 | 5,791,319 | ||||||||||
Ensco PLC, | ||||||||||||
5.200%, 03/15/2025(1) | 4,000,000 | 3,320,000 | ||||||||||
Enterprise Products Operating LLC, | ||||||||||||
3.700%, 02/15/2026 | 8,350,000 | 8,159,033 | ||||||||||
EQT Midstream Partners LP: | ||||||||||||
4.750%, 07/15/2023 | 10,000,000 | 9,983,889 | ||||||||||
4.000%, 08/01/2024 | 3,000,000 | 2,848,499 | ||||||||||
4.125%, 12/01/2026 | 10,000,000 | 9,215,924 | ||||||||||
ERAC USA Finance LLC: | ||||||||||||
2.350%, 10/15/2019(2) | 4,000,000 | 3,955,091 | ||||||||||
3.300%, 12/01/2026(2) | 20,225,000 | 19,012,359 | ||||||||||
Express Scripts Holding Co.: | ||||||||||||
3.300%, 02/25/2021 | 2,350,000 | 2,341,382 | ||||||||||
4.750%, 11/15/2021 | 5,000,000 | 5,158,531 | ||||||||||
3.900%, 02/15/2022 | 10,000,000 | 10,008,826 | ||||||||||
3.050%, 11/30/2022 | 10,000,000 | 9,639,760 | ||||||||||
3.000%, 07/15/2023 | 5,512,000 | 5,228,506 | ||||||||||
3.500%, 06/15/2024 | 9,000,000 | 8,638,251 | ||||||||||
Federal Express Corp. Pass Through Trust, | ||||||||||||
6.845%, 07/15/2020 | 275,241 | 281,434 | ||||||||||
FedEx Corp., | ||||||||||||
3.200%, 02/01/2025 | 6,000,000 | 5,802,358 | ||||||||||
Fidelity National Information Services, Inc.: | ||||||||||||
3.625%, 10/15/2020 | 5,577,000 | 5,612,165 | ||||||||||
3.500%, 04/15/2023 | 12,188,000 | 12,046,079 | ||||||||||
3.875%, 06/05/2024 | 582,000 | 580,237 | ||||||||||
4.500%, 08/15/2046 | 17,040,000 | 15,826,487 | ||||||||||
4.750%, 05/15/2048 | 15,000,000 | 14,490,542 | ||||||||||
Fiserv, Inc.: | ||||||||||||
2.700%, 06/01/2020 | 10,000,000 | 9,904,633 | ||||||||||
4.625%, 10/01/2020 | 1,785,000 | 1,835,866 | ||||||||||
3.500%, 10/01/2022 | 5,410,000 | 5,328,025 | ||||||||||
FMC Corp., | ||||||||||||
4.100%, 02/01/2024 | 6,400,000 | 6,418,534 | ||||||||||
Fomento Economico Mexicano SAB de CV: | ||||||||||||
2.875%, 05/10/2023(1) | 5,000,000 | 4,772,607 | ||||||||||
4.375%, 05/10/2043(1) | 4,374,000 | 4,303,232 | ||||||||||
Ford Motor Credit Co. LLC: | ||||||||||||
2.375%, 03/12/2019 | 6,806,000 | 6,779,546 | ||||||||||
2.597%, 11/04/2019 | 10,000,000 | 9,917,113 | ||||||||||
3.200%, 01/15/2021 | 25,000,000 | 24,718,407 | ||||||||||
3.336%, 03/18/2021 | 7,500,000 | 7,432,739 | ||||||||||
3.339%, 03/28/2022 | 5,000,000 | 4,893,046 | ||||||||||
2.979%, 08/03/2022 | 13,000,000 | 12,521,702 | ||||||||||
Forest Laboratories, Inc., | ||||||||||||
5.000%, 12/15/2021(2) | 24,000,000 | 24,831,519 | ||||||||||
Fortive Corp., | ||||||||||||
2.350%, 06/15/2021 | 5,125,000 | 4,966,997 | ||||||||||
Fresenius Medical Care US Finance II, Inc., | ||||||||||||
4.750%, 10/15/2024(2) | 14,530,000 | 14,944,686 | ||||||||||
General Electric Co.: | ||||||||||||
2.200%, 01/09/2020 | 1,432,000 | 1,414,860 | ||||||||||
5.550%, 05/04/2020 | 1,585,000 | 1,651,950 | ||||||||||
4.650%, 10/17/2021 | 1,534,000 | 1,595,528 | ||||||||||
General Motors Financial Co., Inc.: | ||||||||||||
2.400%, 05/09/2019 | 9,000,000 | 8,958,061 | ||||||||||
2.350%, 10/04/2019 | 6,800,000 | 6,741,582 | ||||||||||
2.650%, 04/13/2020 | 3,500,000 | 3,457,865 | ||||||||||
2.450%, 11/06/2020 | 9,000,000 | 8,798,373 | ||||||||||
4.200%, 03/01/2021 | 30,000,000 | 30,418,200 | ||||||||||
4.375%, 09/25/2021 | 2,675,000 | 2,726,561 | ||||||||||
3.450%, 01/14/2022 | 5,000,000 | 4,928,200 | ||||||||||
3.150%, 06/30/2022 | 6,000,000 | 5,831,220 | ||||||||||
Georgia-Pacific LLC, | ||||||||||||
2.539%, 11/15/2019(2) | 19,125,000 | 19,002,467 | ||||||||||
Gilead Sciences, Inc., | ||||||||||||
4.600%, 09/01/2035 | 4,600,000 | 4,734,293 | ||||||||||
Glencore Funding LLC: | ||||||||||||
2.500%, 01/15/2019(2) | 4,463,000 | 4,438,721 | ||||||||||
4.125%, 05/30/2023(2) | 13,691,000 | 13,661,017 | ||||||||||
4.625%, 04/29/2024(2) | 30,620,000 | 30,785,807 | ||||||||||
4.000%, 04/16/2025(2) | 4,450,000 | 4,282,013 | ||||||||||
4.000%, 03/27/2027(2) | 17,550,000 | 16,565,888 | ||||||||||
3.875%, 10/27/2027(2) | 2,000,000 | 1,848,140 | ||||||||||
Grupo Bimbo SAB de CV: | ||||||||||||
4.500%, 01/25/2022(1)(2) | 13,157,000 | 13,427,845 | ||||||||||
3.875%, 06/27/2024(1)(2) | 18,220,000 | 17,818,270 | ||||||||||
4.875%, 06/27/2044(1)(2) | 7,400,000 | 6,876,071 | ||||||||||
4.700%, 11/10/2047(1)(2) | 25,000,000 | 22,711,500 | ||||||||||
Gulf South Pipeline Co. LP, | ||||||||||||
4.000%, 06/15/2022 | 3,633,000 | 3,624,971 | ||||||||||
Gulfstream Natural Gas System LLC, | ||||||||||||
4.600%, 09/15/2025(2) | 5,000,000 | 5,164,631 | ||||||||||
Halliburton Co., | ||||||||||||
3.800%, 11/15/2025 | 9,000,000 | 8,935,633 | ||||||||||
Harris Corp.: | ||||||||||||
2.700%, 04/27/2020 | 4,000,000 | 3,964,587 | ||||||||||
3.832%, 04/27/2025 | 5,000,000 | 4,902,648 | ||||||||||
Hewlett Packard Enterprise Co.: | ||||||||||||
2.850%, 10/05/2018 | 3,496,000 | 3,501,074 | ||||||||||
2.100%, 10/04/2019(2) | 11,000,000 | 10,861,530 | ||||||||||
3.600%, 10/15/2020 | 10,000,000 | 10,047,512 | ||||||||||
4.400%, 10/15/2022 | 15,150,000 | 15,529,634 | ||||||||||
Holcim US Finance Sarl & Cie SCS, | ||||||||||||
6.000%, 12/30/2019(1)(2) | 1,232,000 | 1,276,843 | ||||||||||
Hubbell, Inc., | ||||||||||||
3.150%, 08/15/2027 | 11,700,000 | 10,935,549 | ||||||||||
Hutchison Whampoa International Ltd.: | ||||||||||||
7.625%, 04/09/2019(1)(2) | 8,288,000 | 8,575,080 | ||||||||||
5.750%, 09/11/2019(1)(2) | 9,150,000 | 9,437,118 | ||||||||||
3.625%, 10/31/2024(1)(2) | 7,850,000 | 7,723,128 | ||||||||||
Hyundai Capital America: | ||||||||||||
2.500%, 03/18/2019(2) | 4,275,000 | 4,255,285 | ||||||||||
2.000%, 07/01/2019(2) | 8,600,000 | 8,488,091 | ||||||||||
2.750%, 09/18/2020(2) | 6,000,000 | 5,900,312 | ||||||||||
3.000%, 03/18/2021(2) | 15,000,000 | 14,722,564 | ||||||||||
3.750%, 07/08/2021(2) | 12,950,000 | 12,934,331 | ||||||||||
3.100%, 04/05/2022(2) | 17,825,000 | 17,389,000 | ||||||||||
Hyundai Capital Services, Inc., | ||||||||||||
2.625%, 09/29/2020(1)(2) | 5,150,000 | 5,038,657 | ||||||||||
Ingersoll-Rand Luxembourg Finance SA, | ||||||||||||
2.625%, 05/01/2020(1) | 2,650,000 | 2,627,622 | ||||||||||
JM Smucker Co./The, | ||||||||||||
3.500%, 03/15/2025 | 5,000,000 | 4,782,066 | ||||||||||
Johnson Controls International PLC: | ||||||||||||
6.000%, 01/15/2036(1) | 1,168,000 | 1,342,999 | ||||||||||
4.500%, 02/15/2047(1) | 4,400,000 | 4,200,340 | ||||||||||
4.950%, 07/02/2064(1)(8) | 2,400,000 | 2,282,368 | ||||||||||
Kansas City Southern, | ||||||||||||
4.700%, 05/01/2048 | 10,075,000 | 9,760,693 | ||||||||||
Keysight Technologies, Inc.: | ||||||||||||
3.300%, 10/30/2019 | 16,500,000 | 16,457,043 | ||||||||||
4.600%, 04/06/2027 | 32,450,000 | 32,593,522 | ||||||||||
Kinder Morgan Energy Partners LP: | ||||||||||||
9.000%, 02/01/2019 | 893,000 | 923,097 | ||||||||||
4.300%, 05/01/2024 | 10,000,000 | 9,989,039 | ||||||||||
6.950%, 01/15/2038 | 6,008,000 | 6,847,470 | ||||||||||
6.500%, 09/01/2039 | 893,000 | 963,542 | ||||||||||
7.500%, 11/15/2040 | 4,017,000 | 4,754,011 | ||||||||||
Kinder Morgan, Inc.: | ||||||||||||
5.000%, 02/15/2021(2) | 4,155,000 | 4,297,260 | ||||||||||
5.625%, 11/15/2023(2) | 5,017,000 | 5,342,395 | ||||||||||
7.800%, 08/01/2031 | 14,995,000 | 18,138,595 | ||||||||||
7.750%, 01/15/2032 | 18,464,000 | 22,547,938 | ||||||||||
Kraft Heinz Foods Co.: | ||||||||||||
2.800%, 07/02/2020 | 4,000,000 | 3,971,364 | ||||||||||
3.000%, 06/01/2026 | 10,000,000 | 9,005,237 | ||||||||||
5.000%, 07/15/2035 | 14,740,000 | 14,520,509 | ||||||||||
Laboratory Corp. of America Holdings: | ||||||||||||
2.500%, 11/01/2018 | 11,345,000 | 11,332,513 | ||||||||||
3.200%, 02/01/2022 | 2,400,000 | 2,374,163 | ||||||||||
Lafarge SA, | ||||||||||||
7.125%, 07/15/2036(1) | 893,000 | 1,114,860 | ||||||||||
Lockheed Martin Corp., | ||||||||||||
3.100%, 01/15/2023 | 5,000,000 | 4,935,257 | ||||||||||
Magellan Midstream Partners LP, | ||||||||||||
3.200%, 03/15/2025 | 5,000,000 | 4,815,312 | ||||||||||
Marathon Petroleum Corp.: | ||||||||||||
3.400%, 12/15/2020 | 10,825,000 | 10,846,688 | ||||||||||
3.625%, 09/15/2024 | 1,600,000 | 1,562,622 | ||||||||||
4.750%, 09/15/2044 | 1,500,000 | 1,427,124 | ||||||||||
Martin Marietta Materials, Inc., | ||||||||||||
6.250%, 05/01/2037 | 893,000 | 1,000,878 | ||||||||||
Medtronic, Inc., | ||||||||||||
3.150%, 03/15/2022 | 3,975,000 | 3,943,161 | ||||||||||
Microsoft Corp.: | ||||||||||||
4.450%, 11/03/2045 | 10,000,000 | 10,748,898 | ||||||||||
3.950%, 08/08/2056 | 12,000,000 | 11,730,684 | ||||||||||
Molex Electronic Technologies LLC, | ||||||||||||
2.878%, 04/15/2020(2) | 23,093,000 | 22,858,787 | ||||||||||
Mosaic Co./The: | ||||||||||||
4.250%, 11/15/2023 | 5,000,000 | 5,029,472 | ||||||||||
5.450%, 11/15/2033 | 2,000,000 | 2,022,040 | ||||||||||
4.875%, 11/15/2041 | 5,000,000 | 4,540,283 | ||||||||||
MPLX LP: | ||||||||||||
4.500%, 07/15/2023 | 22,405,000 | 22,879,114 | ||||||||||
4.875%, 12/01/2024 | 12,165,000 | 12,541,709 | ||||||||||
4.875%, 06/01/2025 | 12,500,000 | 12,852,133 | ||||||||||
4.125%, 03/01/2027 | 7,275,000 | 6,939,649 | ||||||||||
4.500%, 04/15/2038 | 5,725,000 | 5,287,882 | ||||||||||
Mylan NV: | ||||||||||||
3.150%, 06/15/2021(1) | 5,000,000 | 4,945,100 | ||||||||||
3.950%, 06/15/2026(1) | 28,925,000 | 27,623,245 | ||||||||||
Mylan, Inc., | ||||||||||||
4.550%, 04/15/2028(2) | 10,000,000 | 9,772,553 | ||||||||||
Newell Brands, Inc., | ||||||||||||
3.850%, 04/01/2023 | 15,000,000 | 14,775,216 | ||||||||||
Nutrien Ltd.: | ||||||||||||
6.500%, 05/15/2019(1) | 5,000,000 | 5,148,177 | ||||||||||
3.375%, 03/15/2025(1) | 2,625,000 | 2,470,484 | ||||||||||
Nvent Finance Sarl, | ||||||||||||
4.550%, 04/15/2028(1)(2) | 15,525,000 | 15,232,703 | ||||||||||
ONEOK Partners LP: | ||||||||||||
8.625%, 03/01/2019 | 7,627,000 | 7,850,571 | ||||||||||
3.375%, 10/01/2022 | 1,130,000 | 1,114,677 | ||||||||||
ONEOK, Inc., | ||||||||||||
7.500%, 09/01/2023 | 5,000,000 | 5,726,441 | ||||||||||
Orange SA, | ||||||||||||
9.000%, 03/01/2031(1) | 19,783,000 | 27,147,252 | ||||||||||
Pactiv LLC, | ||||||||||||
7.950%, 12/15/2025 | 286,000 | 313,170 | ||||||||||
Pernod Ricard SA: | ||||||||||||
4.450%, 01/15/2022(1)(2) | 331,000 | 340,334 | ||||||||||
4.250%, 07/15/2022(1)(2) | 20,527,000 | 20,968,689 | ||||||||||
Perrigo Finance Unlimited Co., | ||||||||||||
4.375%, 03/15/2026(1) | 4,875,000 | 4,771,163 | ||||||||||
Petrofac Ltd., | ||||||||||||
3.400%, 10/10/2018(1)(2) | 15,546,000 | 15,448,838 | ||||||||||
Pfizer, Inc., | ||||||||||||
5.800%, 08/12/2023 | 6,000,000 | 6,692,778 | ||||||||||
Phillips 66: | ||||||||||||
4.300%, 04/01/2022 | 10,000,000 | 10,299,337 | ||||||||||
5.875%, 05/01/2042 | 6,000,000 | 6,963,960 | ||||||||||
4.875%, 11/15/2044 | 21,130,000 | 21,827,171 | ||||||||||
Phillips 66 Partners LP: | ||||||||||||
3.605%, 02/15/2025 | 3,000,000 | 2,860,699 | ||||||||||
3.550%, 10/01/2026 | 7,000,000 | 6,545,811 | ||||||||||
POSCO, | ||||||||||||
4.250%, 10/28/2020(1)(2) | 975,000 | 989,849 | ||||||||||
Qualcomm, Inc.: | ||||||||||||
2.250%, 05/20/2020 | 3,600,000 | 3,546,926 | ||||||||||
2.881%, 05/20/2020(3 Month LIBOR USD + 0.550%)(3) | 7,450,000 | 7,489,944 | ||||||||||
R.R. Donnelley & Sons Co., | ||||||||||||
7.625%, 06/15/2020 | 893,000 | 915,325 | ||||||||||
Regency Energy Partners LP / Regency Energy Finance Corp., | ||||||||||||
5.875%, 03/01/2022 | 8,955,000 | 9,470,808 | ||||||||||
Republic Services, Inc., | ||||||||||||
5.500%, 09/15/2019 | 7,400,000 | 7,620,776 | ||||||||||
Rio Tinto Alcan, Inc., | ||||||||||||
5.750%, 06/01/2035(1) | 446,000 | 523,568 | ||||||||||
Rockies Express Pipeline LLC, | ||||||||||||
5.625%, 04/15/2020(2) | 1,785,000 | 1,827,394 | ||||||||||
Rockwell Collins, Inc., | ||||||||||||
4.350%, 04/15/2047 | 9,175,000 | 8,762,845 | ||||||||||
Sabine Pass Liquefaction LLC: | ||||||||||||
5.625%, 03/01/2025 | 17,500,000 | 18,614,162 | ||||||||||
5.875%, 06/30/2026 | 38,000,000 | 40,754,791 | ||||||||||
Samarco Mineracao SA, | ||||||||||||
5.750%, 10/24/2023(1)(2)(7) | 4,463,000 | 3,257,990 | ||||||||||
Schlumberger Holdings Corp., | ||||||||||||
2.350%, 12/21/2018(2) | 10,000,000 | 9,980,387 | ||||||||||
Shell International Finance BV: | ||||||||||||
3.250%, 05/11/2025(1) | 5,725,000 | 5,609,458 | ||||||||||
4.125%, 05/11/2035(1) | 10,000,000 | 10,143,568 | ||||||||||
Sherwin-Williams Co./The, | ||||||||||||
4.500%, 06/01/2047 | 4,000,000 | 3,817,654 | ||||||||||
Shire Acquisitions Investments Ireland DAC, | ||||||||||||
2.875%, 09/23/2023(1) | 25,000,000 | 23,519,863 | ||||||||||
SK Telecom Co. Ltd., | ||||||||||||
6.625%, 07/20/2027(1)(2) | 1,339,000 | 1,593,289 | ||||||||||
Smithfield Foods, Inc.: | ||||||||||||
2.650%, 10/03/2021(2) | 6,000,000 | 5,716,383 | ||||||||||
3.350%, 02/01/2022(2) | 20,062,000 | 19,372,516 | ||||||||||
Solvay Finance America LLC: | ||||||||||||
3.400%, 12/03/2020(2) | 15,088,000 | 15,137,313 | ||||||||||
4.450%, 12/03/2025(2) | 43,329,000 | 44,205,821 | ||||||||||
Spectra Energy Partners LP, | ||||||||||||
4.500%, 03/15/2045 | 7,000,000 | 6,484,685 | ||||||||||
Sprint Capital Corp., | ||||||||||||
6.900%, 05/01/2019 | 2,499,000 | 2,549,480 | ||||||||||
Stryker Corp., | ||||||||||||
2.625%, 03/15/2021 | 6,225,000 | 6,119,454 | ||||||||||
Sunoco Logistics Partners Operations LP: | ||||||||||||
3.900%, 07/15/2026 | 12,000,000 | 11,232,700 | ||||||||||
5.400%, 10/01/2047 | 7,425,000 | 6,827,229 | ||||||||||
Sysco Corp., | ||||||||||||
3.300%, 07/15/2026 | 11,550,000 | 10,946,590 | ||||||||||
TC PipeLines LP: | ||||||||||||
4.375%, 03/13/2025 | 31,115,000 | 30,770,369 | ||||||||||
3.900%, 05/25/2027 | 10,327,000 | 9,709,736 | ||||||||||
Telecom Italia Capital SA: | ||||||||||||
7.175%, 06/18/2019(1) | 1,785,000 | 1,835,783 | ||||||||||
7.200%, 07/18/2036(1) | 5,475,000 | 5,671,553 | ||||||||||
Telefonica Emisiones SAU: | ||||||||||||
5.462%, 02/16/2021(1) | 8,830,000 | 9,241,158 | ||||||||||
5.213%, 03/08/2047(1) | 7,225,000 | 6,964,281 | ||||||||||
4.895%, 03/06/2048(1) | 12,550,000 | 11,568,023 | ||||||||||
Teva Pharmaceutical Finance Netherlands III BV: | ||||||||||||
2.800%, 07/21/2023(1) | 25,000,000 | 21,593,750 | ||||||||||
3.150%, 10/01/2026(1) | 15,000,000 | 12,055,866 | ||||||||||
Thermo Fisher Scientific, Inc., | ||||||||||||
3.000%, 04/15/2023 | 7,975,000 | 7,754,076 | ||||||||||
Time Warner Cable LLC: | ||||||||||||
6.550%, 05/01/2037 | 893,000 | 947,350 | ||||||||||
6.750%, 06/15/2039 | 2,767,000 | 2,949,851 | ||||||||||
Time Warner, Inc.: | ||||||||||||
3.600%, 07/15/2025 | 2,200,000 | 2,091,799 | ||||||||||
3.875%, 01/15/2026 | 7,000,000 | 6,725,014 | ||||||||||
2.950%, 07/15/2026 | 6,250,000 | 5,618,521 | ||||||||||
3.800%, 02/15/2027 | 6,300,000 | 5,949,559 | ||||||||||
Timken Co./The, | ||||||||||||
3.875%, 09/01/2024 | 2,000,000 | 1,979,047 | ||||||||||
Transcontinental Gas Pipe Line Co. LLC: | ||||||||||||
7.250%, 12/01/2026 | 3,500,000 | 4,153,742 | ||||||||||
4.600%, 03/15/2048(2) | 5,150,000 | 4,953,192 | ||||||||||
TTX Co.: | ||||||||||||
3.600%, 01/15/2025(2) | 5,000,000 | 4,899,621 | ||||||||||
3.900%, 02/01/2045(2) | 10,250,000 | 9,630,723 | ||||||||||
Vale Overseas Ltd.: | ||||||||||||
6.250%, 08/10/2026(1) | 7,000,000 | 7,581,000 | ||||||||||
8.250%, 01/17/2034(1) | 8,526,000 | 10,636,185 | ||||||||||
6.875%, 11/21/2036(1) | 3,483,000 | 3,910,364 | ||||||||||
6.875%, 11/10/2039(1) | 16,643,000 | 18,848,198 | ||||||||||
Valero Energy Corp., | ||||||||||||
6.625%, 06/15/2037 | 2,100,000 | 2,511,057 | ||||||||||
Valero Energy Partners LP, | ||||||||||||
4.375%, 12/15/2026 | 10,000,000 | 9,857,816 | ||||||||||
Verisk Analytics, Inc., | ||||||||||||
5.800%, 05/01/2021 | 8,325,000 | 8,813,583 | ||||||||||
Verizon Communications, Inc.: | ||||||||||||
4.329%, 09/21/2028(2) | 3,077,000 | 3,049,618 | ||||||||||
4.500%, 08/10/2033 | 16,325,000 | 15,808,830 | ||||||||||
4.272%, 01/15/2036 | 8,148,000 | 7,516,520 | ||||||||||
5.250%, 03/16/2037 | 18,000,000 | 18,485,978 | ||||||||||
4.812%, 03/15/2039 | 36,839,000 | 35,621,660 | ||||||||||
Vodafone Group PLC: | ||||||||||||
7.875%, 02/15/2030(1) | 3,100,000 | 3,879,190 | ||||||||||
5.000%, 05/30/2038(1) | 6,800,000 | 6,705,401 | ||||||||||
4.375%, 02/19/2043(1) | 15,554,000 | 13,977,232 | ||||||||||
Vulcan Materials Co., | ||||||||||||
4.700%, 03/01/2048(2) | 3,446,000 | 3,219,834 | ||||||||||
Wabtec Corp.: | ||||||||||||
4.375%, 08/15/2023 | 2,678,000 | 2,683,249 | ||||||||||
3.450%, 11/15/2026 | 19,315,000 | 17,847,631 | ||||||||||
Walgreens Boots Alliance, Inc.: | ||||||||||||
3.300%, 11/18/2021 | 6,383,000 | 6,342,403 | ||||||||||
3.800%, 11/18/2024 | 5,934,000 | 5,849,492 | ||||||||||
4.500%, 11/18/2034 | 4,750,000 | 4,460,750 | ||||||||||
Western Gas Partners LP: | ||||||||||||
5.375%, 06/01/2021 | 10,701,000 | 11,092,507 | ||||||||||
3.950%, 06/01/2025 | 8,000,000 | 7,544,570 | ||||||||||
WestRock Co., | ||||||||||||
3.000%, 09/15/2024(2) | 10,000,000 | 9,480,297 | ||||||||||
WestRock MWV LLC: | ||||||||||||
9.750%, 06/15/2020 | 143,000 | 158,574 | ||||||||||
8.200%, 01/15/2030 | 7,963,000 | 10,529,118 | ||||||||||
Williams Companies, Inc./The, | ||||||||||||
4.550%, 06/24/2024 | 5,000,000 | 5,000,000 | ||||||||||
Williams Partners LP: | ||||||||||||
3.600%, 03/15/2022 | 10,176,000 | 10,126,263 | ||||||||||
6.300%, 04/15/2040 | 2,767,000 | 3,091,278 | ||||||||||
4.850%, 03/01/2048 | 7,000,000 | 6,669,022 | ||||||||||
Woodside Finance Ltd., | ||||||||||||
3.650%, 03/05/2025(1)(2) | 12,300,000 | 11,986,806 | ||||||||||
Yara International ASA, | ||||||||||||
3.800%, 06/06/2026(1)(2) | 13,965,000 | 13,272,936 | ||||||||||
Zimmer Holdings, Inc., | ||||||||||||
3.150%, 04/01/2022 | 9,500,000 | 9,326,169 | ||||||||||
Zoetis, Inc.: | ||||||||||||
3.450%, 11/13/2020 | 5,145,000 | 5,157,517 | ||||||||||
3.250%, 02/01/2023 | 34,200,000 | 33,672,494 | ||||||||||
4.700%, 02/01/2043 | 3,568,000 | 3,679,495 | ||||||||||
3,056,840,723 | 19.6 | % |
Utilities | ||||||||||||
Ameren Corp., | ||||||||||||
2.700%, 11/15/2020 | 10,000,000 | 9,889,494 | ||||||||||
Arizona Public Service Co., | ||||||||||||
8.750%, 03/01/2019 | 759,000 | 787,884 | ||||||||||
Ausgrid Finance Pty Ltd., | ||||||||||||
3.850%, 05/01/2023(1)(2) | 5,000,000 | 5,010,544 | ||||||||||
Berkshire Hathaway Energy Co., | ||||||||||||
2.400%, 02/01/2020 | 5,000,000 | 4,959,278 | ||||||||||
Duke Energy Corp., | ||||||||||||
2.650%, 09/01/2026 | 10,000,000 | 9,006,721 | ||||||||||
Edison International, | ||||||||||||
2.950%, 03/15/2023 | 5,000,000 | 4,803,387 | ||||||||||
EDP Finance BV, | ||||||||||||
3.625%, 07/15/2024(1)(2) | 19,175,000 | 18,359,717 | ||||||||||
Enel Finance International NV: | ||||||||||||
2.875%, 05/25/2022(1)(2) | 7,000,000 | 6,669,789 | ||||||||||
3.625%, 05/25/2027(1)(2) | 22,790,000 | 20,846,360 | ||||||||||
3.500%, 04/06/2028(1)(2) | 8,000,000 | 7,188,585 | ||||||||||
6.800%, 09/15/2037(1)(2) | 4,565,000 | 5,455,679 | ||||||||||
4.750%, 05/25/2047(1)(2) | 34,392,000 | 32,519,274 | ||||||||||
Entergy Corp., | ||||||||||||
2.950%, 09/01/2026 | 13,075,000 | 11,929,569 | ||||||||||
Exelon Corp., | ||||||||||||
4.950%, 06/15/2035 | 3,500,000 | 3,684,458 | ||||||||||
Mega Advance Investments Ltd., | ||||||||||||
5.000%, 05/12/2021(1)(2) | 4,909,000 | 5,034,596 | ||||||||||
National Rural Utilities Cooperative Finance Corp.: | ||||||||||||
2.000%, 01/27/2020 | 2,000,000 | 1,971,818 | ||||||||||
8.000%, 03/01/2032 | 4,659,000 | 6,494,622 | ||||||||||
NiSource, Inc., | ||||||||||||
3.950%, 03/30/2048 | 11,750,000 | 10,865,906 | ||||||||||
PSEG Power LLC, | ||||||||||||
5.125%, 04/15/2020 | 3,575,000 | 3,687,249 | ||||||||||
RGS I&M Funding Corp., | ||||||||||||
9.820%, 12/07/2022 | 713,509 | 817,145 | ||||||||||
South Carolina Electric & Gas Co., | ||||||||||||
4.100%, 06/15/2046 | 10,000,000 | 9,092,266 | ||||||||||
Southern Co., The, | ||||||||||||
4.250%, 07/01/2036 | 5,525,000 | 5,427,599 | ||||||||||
Talent Yield Investments Ltd., | ||||||||||||
4.500%, 04/25/2022(1)(2) | 1,785,000 | 1,806,277 | ||||||||||
186,308,217 | 1.2 | % | ||||||||||
Financials | ||||||||||||
ABN AMRO Bank NV: | ||||||||||||
2.500%, 10/30/2018(1)(2) | 11,033,000 | 11,030,606 | ||||||||||
2.100%, 01/18/2019(1)(2) | 10,550,000 | 10,511,598 | ||||||||||
2.450%, 06/04/2020(1)(2) | 9,000,000 | 8,854,173 | ||||||||||
7.750%, 05/15/2023(1)(2) | 7,200,000 | 8,137,360 | ||||||||||
4.750%, 07/28/2025(1)(2) | 18,414,000 | 18,307,567 | ||||||||||
4.800%, 04/18/2026(1)(2) | 9,000,000 | 8,988,003 | ||||||||||
AIA Group Ltd., | ||||||||||||
3.200%, 03/11/2025(1)(2) | 6,000,000 | 5,762,181 | ||||||||||
Ally Financial, Inc., | ||||||||||||
8.000%, 12/31/2018 | 360,000 | 366,750 | ||||||||||
American International Group, Inc.: | ||||||||||||
6.400%, 12/15/2020 | 10,830,000 | 11,607,847 | ||||||||||
4.875%, 06/01/2022 | 17,698,000 | 18,535,595 | ||||||||||
4.125%, 02/15/2024 | 893,000 | 897,112 | ||||||||||
3.875%, 01/15/2035 | 4,875,000 | 4,336,902 | ||||||||||
8.175%, 05/15/2058(3 Month LIBOR USD + 4.195%)(3) | 893,000 | 1,125,180 | ||||||||||
Ameriprise Financial, Inc., | ||||||||||||
7.300%, 06/28/2019 | 1,785,000 | 1,859,673 | ||||||||||
AmSouth Bancorporation, | ||||||||||||
6.750%, 11/01/2025 | 223,000 | 253,241 | ||||||||||
Anthem, Inc.: | ||||||||||||
5.100%, 01/15/2044 | 1,584,000 | 1,634,501 | ||||||||||
4.375%, 12/01/2047 | 8,650,000 | 7,982,391 | ||||||||||
ANZ New Zealand(Int'l) Ltd.: | ||||||||||||
2.850%, 08/06/2020(1)(2) | 15,350,000 | 15,206,740 | ||||||||||
2.750%, 02/03/2021(1)(2) | 3,000,000 | 2,947,274 | ||||||||||
Aon PLC: | ||||||||||||
4.000%, 11/27/2023(1) | 6,150,000 | 6,223,971 | ||||||||||
3.875%, 12/15/2025(1) | 9,126,000 | 9,009,269 | ||||||||||
4.450%, 05/24/2043(1) | 1,274,000 | 1,194,879 | ||||||||||
Australia & New Zealand Banking Group Ltd., | ||||||||||||
4.500%, 03/19/2024(1)(2) | 44,423,000 | 44,378,557 | ||||||||||
Banco Santander SA: | ||||||||||||
3.500%, 04/11/2022(1) | 13,000,000 | 12,680,659 | ||||||||||
5.179%, 11/19/2025(1) | 14,000,000 | 14,068,698 | ||||||||||
4.379%, 04/12/2028(1) | 13,400,000 | 12,812,097 | ||||||||||
Bank of America Corp.: | ||||||||||||
2.369%, 07/21/2021(3 Month LIBOR USD + 0.660%)(3) | 29,000,000 | 28,428,533 | ||||||||||
3.300%, 01/11/2023 | 7,000,000 | 6,897,310 | ||||||||||
4.125%, 01/22/2024 | 15,000,000 | 15,246,900 | ||||||||||
3.093%, 10/01/2025(3 Month LIBOR USD + 1.090%)(3) | 15,000,000 | 14,283,422 | ||||||||||
3.500%, 04/19/2026 | 9,000,000 | 8,705,415 | ||||||||||
3.248%, 10/21/2027 | 6,000,000 | 5,591,822 | ||||||||||
7.750%, 05/14/2038 | 1,138,000 | 1,541,052 | ||||||||||
Bank of Montreal, | ||||||||||||
3.100%, 04/13/2021(1) | 12,500,000 | 12,450,071 | ||||||||||
Bank of Nova Scotia/The: | ||||||||||||
2.450%, 09/19/2022(1) | 10,000,000 | 9,594,820 | ||||||||||
4.500%, 12/16/2025(1) | 5,500,000 | 5,483,900 | ||||||||||
Bank of Tokyo-Mitsubishi UFJ Ltd./The: | ||||||||||||
4.100%, 09/09/2023(1)(2) | 2,911,000 | 2,972,244 | ||||||||||
3.750%, 03/10/2024(1)(2) | 2,800,000 | 2,809,765 | ||||||||||
BanPonce Trust I, | ||||||||||||
8.327%, 02/01/2027 | 1,941,000 | 1,940,037 | ||||||||||
Barclays Bank PLC, | ||||||||||||
10.179%, 06/12/2021(1)(2) | 3,709,000 | 4,279,588 | ||||||||||
Barclays PLC: | ||||||||||||
3.250%, 01/12/2021(1) | 12,175,000 | 12,000,593 | ||||||||||
3.684%, 01/10/2023(1) | 24,625,000 | 23,946,845 | ||||||||||
4.338%, 05/16/2024(3 Month LIBOR USD + 1.356%)(1)(3) | 5,000,000 | 4,938,185 | ||||||||||
3.650%, 03/16/2025(1) | 8,100,000 | 7,586,719 | ||||||||||
BB&T Corp., | ||||||||||||
2.625%, 06/29/2020 | 5,000,000 | 4,946,725 | ||||||||||
Berkshire Hathaway, Inc., | ||||||||||||
2.750%, 03/15/2023 | 14,675,000 | 14,361,146 | ||||||||||
BNP Paribas SA: | ||||||||||||
2.375%, 05/21/2020(1) | 10,000,000 | 9,857,733 | ||||||||||
3.500%, 03/01/2023(1)(2) | 5,000,000 | 4,873,520 | ||||||||||
3.250%, 03/03/2023(1) | 3,570,000 | 3,531,748 | ||||||||||
3.375%, 01/09/2025(1)(2) | 8,350,000 | 7,888,100 | ||||||||||
BNZ International Funding Ltd.: | ||||||||||||
2.350%, 03/04/2019(1)(2) | 7,300,000 | 7,273,092 | ||||||||||
2.400%, 02/21/2020(1)(2) | 7,000,000 | 6,899,946 | ||||||||||
2.750%, 03/02/2021(1)(2) | 14,000,000 | 13,748,379 | ||||||||||
2.650%, 11/03/2022(1)(2) | 20,350,000 | 19,491,507 | ||||||||||
3.375%, 03/01/2023(1)(2) | 20,000,000 | 19,619,767 | ||||||||||
BPCE SA: | ||||||||||||
2.500%, 07/15/2019(1) | 7,925,000 | 7,873,583 | ||||||||||
5.700%, 10/22/2023(1)(2) | 21,395,000 | 22,343,312 | ||||||||||
4.000%, 04/15/2024(1) | 2,500,000 | 2,503,238 | ||||||||||
5.150%, 07/21/2024(1)(2) | 31,285,000 | 31,720,254 | ||||||||||
4.500%, 03/15/2025(1)(2) | 10,000,000 | 9,748,877 | ||||||||||
Capital One Bank(USA) NA, | ||||||||||||
3.375%, 02/15/2023 | 41,962,000 | 40,873,601 | ||||||||||
Capital One Financial Corp.: | ||||||||||||
3.050%, 03/09/2022 | 4,000,000 | 3,920,284 | ||||||||||
3.200%, 01/30/2023 | 6,550,000 | 6,353,617 | ||||||||||
Capital One NA: | ||||||||||||
2.400%, 09/05/2019 | 12,000,000 | 11,902,917 | ||||||||||
1.850%, 09/13/2019 | 5,000,000 | 4,929,474 | ||||||||||
Citigroup, Inc.: | ||||||||||||
2.350%, 08/02/2021 | 9,000,000 | 8,693,633 | ||||||||||
2.750%, 04/25/2022 | 8,675,000 | 8,396,946 | ||||||||||
3.142%, 01/24/2023(3 Month LIBOR USD + 0.722%)(3) | 12,200,000 | 11,952,555 | ||||||||||
2.876%, 07/24/2023(3 Month LIBOR USD + 0.950%)(3) | 20,350,000 | 19,623,184 | ||||||||||
3.730%, 09/01/2023(3 Month LIBOR USD + 1.430%)(3) | 7,000,000 | 7,143,978 | ||||||||||
3.750%, 06/16/2024 | 1,000,000 | 988,299 | ||||||||||
3.700%, 01/12/2026 | 4,500,000 | 4,361,627 | ||||||||||
3.887%, 01/10/2028(3 Month LIBOR USD + 1.563%)(3) | 7,600,000 | 7,360,865 | ||||||||||
Citizens Bank NA: | ||||||||||||
2.300%, 12/03/2018 | 4,000,000 | 3,994,450 | ||||||||||
2.500%, 03/14/2019 | 7,800,000 | 7,782,305 | ||||||||||
2.450%, 12/04/2019 | 19,300,000 | 19,122,852 | ||||||||||
2.250%, 03/02/2020 | 4,750,000 | 4,672,325 | ||||||||||
CNA Financial Corp.: | ||||||||||||
5.750%, 08/15/2021 | 7,199,000 | 7,635,744 | ||||||||||
7.250%, 11/15/2023 | 4,000,000 | 4,575,863 | ||||||||||
4.500%, 03/01/2026 | 14,000,000 | 14,278,569 | ||||||||||
3.450%, 08/15/2027 | 9,550,000 | 8,880,953 | ||||||||||
Comerica Bank: | ||||||||||||
2.500%, 06/02/2020 | 29,000,000 | 28,623,158 | ||||||||||
4.000%, 07/27/2025 | 10,000,000 | 9,925,948 | ||||||||||
Compass Bank: | ||||||||||||
2.750%, 09/29/2019 | 31,216,000 | 31,044,789 | ||||||||||
2.875%, 06/29/2022 | 8,000,000 | 7,722,969 | ||||||||||
3.875%, 04/10/2025 | 23,885,000 | 23,035,651 | ||||||||||
Cooperatieve Rabobank UA: | ||||||||||||
4.625%, 12/01/2023(1) | 14,630,000 | 14,736,397 | ||||||||||
3.750%, 07/21/2026(1) | 12,000,000 | 11,233,610 | ||||||||||
Credit Agricole SA: | ||||||||||||
3.375%, 01/10/2022(1)(2) | 10,180,000 | 9,966,736 | ||||||||||
3.750%, 04/24/2023(1)(2) | 5,000,000 | 4,898,738 | ||||||||||
4.375%, 03/17/2025(1)(2) | 3,000,000 | 2,894,154 | ||||||||||
4.000%, 01/10/2033(5 Year Swap Rate USD + 1.644%)(1)(2)(3) | 8,000,000 | 7,302,473 | ||||||||||
Credit Suisse AG: | ||||||||||||
5.300%, 08/13/2019(1) | 1,406,000 | 1,441,738 | ||||||||||
5.400%, 01/14/2020(1) | 5,000,000 | 5,144,115 | ||||||||||
3.625%, 09/09/2024(1) | 4,325,000 | 4,252,714 | ||||||||||
Credit Suisse Group AG: | ||||||||||||
3.574%, 01/09/2023(1)(2) | 17,000,000 | 16,652,038 | ||||||||||
4.207%, 06/12/2024(3 Month LIBOR USD + 1.240%)(1)(2)(3) | 8,325,000 | 8,331,057 | ||||||||||
4.282%, 01/09/2028(1)(2) | 8,900,000 | 8,657,442 | ||||||||||
3.869%, 01/12/2029(3 Month LIBOR USD + 1.410%)(1)(2)(3) | 11,000,000 | 10,343,613 | ||||||||||
Credit Suisse Group Funding Guernsey Ltd.: | ||||||||||||
3.800%, 06/09/2023(1) | 14,550,000 | 14,361,233 | ||||||||||
4.550%, 04/17/2026(1) | 2,000,000 | 1,999,843 | ||||||||||
Credit Suisse USA, Inc., | ||||||||||||
7.125%, 07/15/2032 | 5,063,000 | 6,374,497 | ||||||||||
Daiwa Securities Group, Inc., | ||||||||||||
3.129%, 04/19/2022(1)(2) | 12,000,000 | 11,753,897 | ||||||||||
Deutsche Bank AG: | ||||||||||||
2.700%, 07/13/2020(1) | 8,300,000 | 8,072,161 | ||||||||||
2.950%, 08/20/2020(1) | 575,000 | 559,087 | ||||||||||
3.125%, 01/13/2021(1) | 1,625,000 | 1,571,383 | ||||||||||
4.250%, 10/14/2021(1) | 36,125,000 | 35,614,554 | ||||||||||
3.300%, 11/16/2022(1) | 22,175,000 | 20,775,129 | ||||||||||
3.700%, 05/30/2024(1) | 10,000,000 | 9,282,913 | ||||||||||
Discover Bank: | ||||||||||||
2.600%, 11/13/2018 | 4,875,000 | 4,872,179 | ||||||||||
3.350%, 02/06/2023 | 8,600,000 | 8,380,675 | ||||||||||
4.200%, 08/08/2023 | 20,000,000 | 20,180,496 | ||||||||||
3.450%, 07/27/2026 | 12,000,000 | 11,134,583 | ||||||||||
Discover Financial Services: | ||||||||||||
3.950%, 11/06/2024 | 10,000,000 | 9,758,470 | ||||||||||
4.100%, 02/09/2027 | 9,150,000 | 8,776,525 | ||||||||||
Fifth Third Bancorp, | ||||||||||||
2.875%, 07/27/2020 | 6,000,000 | 5,966,240 | ||||||||||
First Horizon National Corp., | ||||||||||||
3.500%, 12/15/2020 | 29,078,000 | 29,175,170 | ||||||||||
First Tennessee Bank NA, | ||||||||||||
2.950%, 12/01/2019 | 5,612,000 | 5,586,061 | ||||||||||
FirstMerit Bank NA, | ||||||||||||
4.270%, 11/25/2026 | 4,600,000 | 4,573,705 | ||||||||||
FMR LLC, | ||||||||||||
4.950%, 02/01/2033(2) | 1,750,000 | 1,890,838 | ||||||||||
GE Capital International Funding Co. Unlimited Co., | ||||||||||||
2.342%, 11/15/2020(1) | 12,638,000 | 12,353,400 | ||||||||||
Goldman Sachs Capital I, | ||||||||||||
6.345%, 02/15/2034 | 1,053,000 | 1,201,152 | ||||||||||
Goldman Sachs Group, Inc./The: | ||||||||||||
7.500%, 02/15/2019 | 1,964,000 | 2,018,252 | ||||||||||
2.550%, 10/23/2019 | 2,700,000 | 2,683,458 | ||||||||||
2.350%, 11/15/2021 | 6,175,000 | 5,938,442 | ||||||||||
3.000%, 04/26/2022 | 20,000,000 | 19,538,015 | ||||||||||
2.905%, 07/24/2023(3 Month LIBOR USD + 0.990%)(3) | 8,000,000 | 7,705,357 | ||||||||||
3.919%, 11/29/2023(3 Month LIBOR USD + 1.600%)(3) | 5,000,000 | 5,165,047 | ||||||||||
3.850%, 07/08/2024 | 3,000,000 | 2,974,800 | ||||||||||
3.500%, 01/23/2025 | 3,000,000 | 2,897,041 | ||||||||||
3.750%, 05/22/2025 | 5,000,000 | 4,874,819 | ||||||||||
3.272%, 09/29/2025(3 Month LIBOR USD + 1.201%)(3) | 15,000,000 | 14,242,844 | ||||||||||
4.109%, 10/28/2027(3 Month LIBOR USD + 1.750%)(3) | 10,000,000 | 10,199,725 | ||||||||||
3.691%, 06/05/2028(3 Month LIBOR USD + 1.510%)(3) | 6,775,000 | 6,422,586 | ||||||||||
4.223%, 05/01/2029(3 Month LIBOR USD + 1.301%)(3) | 10,000,000 | 9,849,101 | ||||||||||
Guardian Life Global Funding, | ||||||||||||
3.400%, 04/25/2023(2) | 6,950,000 | 6,930,709 | ||||||||||
Guardian Life Insurance Co. of America/The: | ||||||||||||
4.875%, 06/19/2064(2) | 2,000,000 | 2,008,121 | ||||||||||
4.850%, 01/24/2077(2) | 22,227,000 | 21,667,371 | ||||||||||
Hartford Financial Services Group, Inc./The, | ||||||||||||
5.125%, 04/15/2022 | 1,538,000 | 1,623,075 | ||||||||||
Highmark, Inc., | ||||||||||||
4.750%, 05/15/2021(2) | 4,378,000 | 4,468,563 | ||||||||||
HSBC Bank USA NA, | ||||||||||||
7.000%, 01/15/2039 | 4,200,000 | 5,402,729 | ||||||||||
HSBC Holdings PLC: | ||||||||||||
2.650%, 01/05/2022(1) | 4,000,000 | 3,872,926 | ||||||||||
3.262%, 03/13/2023(3 Month LIBOR USD + 1.055%)(1)(3) | 15,600,000 | 15,280,549 | ||||||||||
3.600%, 05/25/2023(1) | 2,275,000 | 2,252,698 | ||||||||||
3.950%, 05/18/2024(3 Month LIBOR USD + 0.987%)(1)(3) | 6,000,000 | 5,978,519 | ||||||||||
4.375%, 11/23/2026(1) | 10,000,000 | 9,829,944 | ||||||||||
HSBC USA, Inc.: | ||||||||||||
2.350%, 03/05/2020 | 3,000,000 | 2,964,961 | ||||||||||
5.000%, 09/27/2020 | 3,716,000 | 3,826,078 | ||||||||||
9.125%, 05/15/2021 | 625,000 | 712,336 | ||||||||||
Huntington Bancshares, Inc.: | ||||||||||||
3.150%, 03/14/2021 | 7,600,000 | 7,557,439 | ||||||||||
2.300%, 01/14/2022 | 26,450,000 | 25,400,292 | ||||||||||
Huntington National Bank/The, | ||||||||||||
2.200%, 11/06/2018 | 4,825,000 | 4,818,513 | ||||||||||
ING Bank NV: | ||||||||||||
2.050%, 08/17/2018(1)(2) | 7,275,000 | 7,270,538 | ||||||||||
2.000%, 11/26/2018(1)(2) | 6,000,000 | 5,984,203 | ||||||||||
2.500%, 10/01/2019(1)(2) | 3,500,000 | 3,474,592 | ||||||||||
2.450%, 03/16/2020(1)(2) | 9,225,000 | 9,102,506 | ||||||||||
5.800%, 09/25/2023(1)(2) | 43,525,000 | 46,120,491 | ||||||||||
Invesco Finance PLC: | ||||||||||||
3.125%, 11/30/2022(1) | 5,902,000 | 5,806,895 | ||||||||||
3.750%, 01/15/2026(1) | 4,900,000 | 4,816,879 | ||||||||||
Jackson National Life Global Funding, | ||||||||||||
3.250%, 01/30/2024(2) | 23,475,000 | 23,013,631 | ||||||||||
Jefferies Group LLC: | ||||||||||||
6.875%, 04/15/2021 | 3,570,000 | 3,847,374 | ||||||||||
6.250%, 01/15/2036 | 1,390,000 | 1,425,017 | ||||||||||
Jefferies Group LLC / Jefferies Group Capital Finance, Inc.: | ||||||||||||
4.850%, 01/15/2027 | 4,600,000 | 4,464,801 | ||||||||||
4.150%, 01/23/2030 | 10,000,000 | 8,824,184 | ||||||||||
John Hancock Life Insurance Co., | ||||||||||||
7.375%, 02/15/2024(2) | 13,339,000 | 15,581,123 | ||||||||||
JPMorgan Chase & Co.: | ||||||||||||
2.250%, 01/23/2020 | 3,675,000 | 3,627,729 | ||||||||||
4.250%, 10/15/2020 | 886,000 | 905,756 | ||||||||||
2.550%, 03/01/2021 | 7,000,000 | 6,859,918 | ||||||||||
2.295%, 08/15/2021 | 18,000,000 | 17,390,004 | ||||||||||
3.589%, 10/24/2023(3 Month LIBOR USD + 1.230%)(3) | 15,000,000 | 15,270,365 | ||||||||||
3.559%, 04/23/2024(3 Month LIBOR USD + 0.730%)(3) | 15,000,000 | 14,859,459 | ||||||||||
3.125%, 01/23/2025 | 14,000,000 | 13,388,325 | ||||||||||
5.600%, 07/15/2041 | 4,106,000 | 4,630,388 | ||||||||||
KEB Hana Bank, | ||||||||||||
1.750%, 10/18/2019(1)(2) | 20,000,000 | 19,611,120 | ||||||||||
KeyBank NA: | ||||||||||||
2.250%, 03/16/2020 | 5,000,000 | 4,933,572 | ||||||||||
3.400%, 05/20/2026 | 18,965,000 | 18,051,661 | ||||||||||
Kookmin Bank, | ||||||||||||
1.625%, 08/01/2019(1)(2) | 7,000,000 | 6,880,720 | ||||||||||
LeasePlan Corp. NV, | ||||||||||||
2.875%, 01/22/2019(1)(2) | 11,000,000 | 10,981,625 | ||||||||||
Liberty Mutual Group, Inc.: | ||||||||||||
4.250%, 06/15/2023(2) | 2,678,000 | 2,705,067 | ||||||||||
10.750%, 06/15/2088(3 Month LIBOR USD + 7.120%)(2)(3) | 2,231,000 | 3,324,190 | ||||||||||
Liberty Mutual Insurance Co., | ||||||||||||
7.697%, 10/15/2097(2) | 465,000 | 644,434 | ||||||||||
Lincoln National Corp., | ||||||||||||
4.399%, 04/20/2067(3 Month LIBOR USD + 2.040%)(3) | 1,004,000 | 933,720 | ||||||||||
Lloyds Bank PLC, | ||||||||||||
5.800%, 01/13/2020(1)(2) | 1,428,000 | 1,482,047 | ||||||||||
Lloyds Banking Group PLC: | ||||||||||||
2.907%, 11/07/2023(3 Month LIBOR USD + 0.810%)(1)(3) | 18,669,000 | 17,781,446 | ||||||||||
3.574%, 11/07/2028(3 Month LIBOR USD + 1.205%)(1)(3) | 10,000,000 | 9,226,302 | ||||||||||
Macquarie Bank Ltd.: | ||||||||||||
2.400%, 01/21/2020(1)(2) | 17,000,000 | 16,778,770 | ||||||||||
4.875%, 06/10/2025(1)(2) | 7,600,000 | 7,574,649 | ||||||||||
Macquarie Group Ltd.: | ||||||||||||
3.000%, 12/03/2018(1)(2) | 8,525,000 | 8,533,232 | ||||||||||
7.625%, 08/13/2019(1)(2) | 3,944,000 | 4,128,261 | ||||||||||
3.189%, 11/28/2023(3 Month LIBOR USD + 1.023%)(1)(2)(3) | 15,000,000 | 14,312,100 | ||||||||||
4.150%, 03/27/2024(3 Month LIBOR USD + 1.330%)(1)(2)(3) | 24,000,000 | 23,886,467 | ||||||||||
Manufacturers & Traders Trust Co., | ||||||||||||
2.100%, 02/06/2020 | 10,850,000 | 10,679,352 | ||||||||||
Manulife Financial Corp.: | ||||||||||||
4.150%, 03/04/2026(1) | 10,000,000 | 9,982,413 | ||||||||||
5.375%, 03/04/2046(1) | 5,150,000 | 5,830,393 | ||||||||||
Marsh & McLennan Companies, Inc., | ||||||||||||
4.350%, 01/30/2047 | 8,150,000 | 8,106,963 | ||||||||||
Massachusetts Mutual Life Insurance Co.: | ||||||||||||
8.875%, 06/01/2039(2) | 8,124,000 | 12,717,053 | ||||||||||
4.500%, 04/15/2065(2) | 3,000,000 | 2,810,116 | ||||||||||
4.900%, 04/01/2077(2) | 11,175,000 | 11,019,827 | ||||||||||
MBIA Insurance Corp., | ||||||||||||
13.608%, 01/15/2033(3 Month LIBOR USD + 11.260%)(2)(3)(7) | 714,000 | 364,140 | ||||||||||
MetLife, Inc.: | ||||||||||||
6.500%, 12/15/2032 | 466,000 | 573,452 | ||||||||||
4.875%, 11/13/2043 | 3,375,000 | 3,561,941 | ||||||||||
4.050%, 03/01/2045 | 12,375,000 | 11,493,195 | ||||||||||
Mitsubishi UFJ Financial Group, Inc.: | ||||||||||||
2.950%, 03/01/2021(1) | 8,738,000 | 8,643,682 | ||||||||||
2.190%, 09/13/2021(1) | 12,400,000 | 11,906,587 | ||||||||||
2.665%, 07/25/2022(1) | 9,000,000 | 8,686,542 | ||||||||||
3.455%, 03/02/2023(1) | 10,650,000 | 10,558,393 | ||||||||||
Mizuho Bank Ltd., | ||||||||||||
2.450%, 04/16/2019(1)(2) | 2,100,000 | 2,093,476 | ||||||||||
Mizuho Financial Group, Inc.: | ||||||||||||
2.632%, 04/12/2021(1)(2) | 13,000,000 | 12,693,051 | ||||||||||
2.953%, 02/28/2022(1) | 12,575,000 | 12,273,209 | ||||||||||
2.601%, 09/11/2022(1) | 13,000,000 | 12,459,376 | ||||||||||
Morgan Stanley: | ||||||||||||
7.300%, 05/13/2019 | 15,110,000 | 15,661,780 | ||||||||||
2.375%, 07/23/2019 | 1,000,000 | 994,168 | ||||||||||
5.625%, 09/23/2019 | 1,941,000 | 2,000,112 | ||||||||||
2.650%, 01/27/2020 | 4,200,000 | 4,169,500 | ||||||||||
2.800%, 06/16/2020 | 5,000,000 | 4,959,653 | ||||||||||
2.500%, 04/21/2021 | 8,000,000 | 7,813,502 | ||||||||||
2.750%, 05/19/2022 | 20,000,000 | 19,375,005 | ||||||||||
3.759%, 10/24/2023(3 Month LIBOR USD + 1.400%)(3) | 8,000,000 | 8,183,072 | ||||||||||
3.875%, 04/29/2024 | 1,650,000 | 1,652,920 | ||||||||||
3.700%, 10/23/2024 | 4,000,000 | 3,948,985 | ||||||||||
3.591%, 07/22/2028(3 Month LIBOR USD + 1.340%)(3) | 12,000,000 | 11,405,365 | ||||||||||
3.772%, 01/24/2029(3 Month LIBOR USD + 1.140%)(3) | 1,000,000 | 963,329 | ||||||||||
MUFG Americas Holdings Corp., | ||||||||||||
2.250%, 02/10/2020 | 5,000,000 | 4,925,662 | ||||||||||
National Australia Bank Ltd./New York, | ||||||||||||
2.500%, 07/12/2026(1) | 7,875,000 | 7,130,932 | ||||||||||
Nationwide Building Society: | ||||||||||||
3.766%, 03/08/2024(3 Month LIBOR USD + 1.064%)(1)(2)(3) | 20,000,000 | 19,584,328 | ||||||||||
4.000%, 09/14/2026(1)(2) | 23,507,000 | 21,955,643 | ||||||||||
4.302%, 03/08/2029(3 Month LIBOR USD + 1.452%)(1)(2)(3) | 20,000,000 | 19,256,433 | ||||||||||
4.125%, 10/18/2032(5 Year Mid Swap Rate USD + 1.849%)(1)(2)(3) | 7,000,000 | 6,411,178 | ||||||||||
Nationwide Financial Services, Inc., | ||||||||||||
5.375%, 03/25/2021(2) | 16,905,000 | 17,625,394 | ||||||||||
New York Life Insurance Co., | ||||||||||||
6.750%, 11/15/2039(2) | 12,026,000 | 15,948,487 | ||||||||||
Nomura Holdings, Inc.: | ||||||||||||
2.750%, 03/19/2019(1) | 1,625,000 | 1,624,477 | ||||||||||
6.700%, 03/04/2020(1) | 1,667,000 | 1,757,352 | ||||||||||
Nordea Bank AB, | ||||||||||||
4.250%, 09/21/2022(1)(2) | 15,793,000 | 16,017,991 | ||||||||||
Peachtree Corners Funding Trust, | ||||||||||||
3.976%, 02/15/2025(2) | 8,000,000 | 7,783,742 | ||||||||||
People's United Bank NA, | ||||||||||||
4.000%, 07/15/2024 | 11,400,000 | 11,368,203 | ||||||||||
PNC Bank NA, | ||||||||||||
4.200%, 11/01/2025 | 2,678,000 | 2,722,620 | ||||||||||
Pricoa Global Funding I, | ||||||||||||
2.550%, 11/24/2020(2) | 14,000,000 | 13,787,724 | ||||||||||
Principal Financial Group, Inc.: | ||||||||||||
3.300%, 09/15/2022 | 1,860,000 | 1,843,920 | ||||||||||
3.125%, 05/15/2023 | 4,667,000 | 4,560,079 | ||||||||||
3.400%, 05/15/2025 | 16,000,000 | 15,605,026 | ||||||||||
4.300%, 11/15/2046 | 2,325,000 | 2,210,481 | ||||||||||
Principal Life Global Funding II: | ||||||||||||
2.200%, 04/08/2020(2) | 4,000,000 | 3,936,918 | ||||||||||
3.000%, 04/18/2026(2) | 13,400,000 | 12,562,423 | ||||||||||
Protective Life Corp.: | ||||||||||||
7.375%, 10/15/2019 | 7,096,000 | 7,470,372 | ||||||||||
8.450%, 10/15/2039 | 1,400,000 | 2,030,526 | ||||||||||
Protective Life Global Funding, | ||||||||||||
2.700%, 11/25/2020(2) | 8,000,000 | 7,892,909 | ||||||||||
Prudential Financial, Inc.: | ||||||||||||
3.878%, 03/27/2028 | 15,000,000 | 14,825,823 | ||||||||||
6.625%, 12/01/2037 | 5,000,000 | 6,288,467 | ||||||||||
3.935%, 12/07/2049 | 11,426,000 | 10,256,957 | ||||||||||
RBC USA Holdco Corp., | ||||||||||||
5.250%, 09/15/2020 | 2,025,000 | 2,112,080 | ||||||||||
Regions Bank, | ||||||||||||
2.250%, 09/14/2018 | 5,000,000 | 4,997,600 | ||||||||||
Regions Financial Corp.: | ||||||||||||
3.200%, 02/08/2021 | 25,000,000 | 24,870,544 | ||||||||||
2.750%, 08/14/2022 | 8,800,000 | 8,486,196 | ||||||||||
Reliance Standard Life Global Funding II: | ||||||||||||
2.500%, 04/24/2019(2) | 5,355,000 | 5,335,611 | ||||||||||
2.500%, 01/15/2020(2) | 6,940,000 | 6,867,207 | ||||||||||
2.375%, 05/04/2020(2) | 30,000,000 | 29,455,592 | ||||||||||
Royal Bank of Canada, | ||||||||||||
4.650%, 01/27/2026(1) | 7,773,000 | 7,885,955 | ||||||||||
Royal Bank of Scotland Group PLC: | ||||||||||||
3.498%, 05/15/2023(3 Month LIBOR USD + 1.480%)(1)(3) | 10,000,000 | 9,687,080 | ||||||||||
3.875%, 09/12/2023(1) | 10,000,000 | 9,714,214 | ||||||||||
4.892%, 05/18/2029(3 Month LIBOR USD + 1.754%)(1)(3) | 10,000,000 | 9,955,491 | ||||||||||
Santander Holdings USA, Inc.: | ||||||||||||
2.700%, 05/24/2019 | 2,701,000 | 2,692,863 | ||||||||||
2.650%, 04/17/2020 | 2,000,000 | 1,982,381 | ||||||||||
Santander UK Group Holdings PLC: | ||||||||||||
2.875%, 10/16/2020(1) | 4,866,000 | 4,795,769 | ||||||||||
3.125%, 01/08/2021(1) | 2,600,000 | 2,563,959 | ||||||||||
3.571%, 01/10/2023(1) | 5,000,000 | 4,856,787 | ||||||||||
3.823%, 11/03/2028(3 Month LIBOR USD + 1.400%)(1)(3) | 6,000,000 | 5,508,690 | ||||||||||
Santander UK PLC, | ||||||||||||
5.000%, 11/07/2023(1)(2) | 15,880,000 | 16,121,170 | ||||||||||
Skandinaviska Enskilda Banken AB: | ||||||||||||
2.375%, 11/20/2018(1)(2) | 6,835,000 | 6,825,479 | ||||||||||
2.375%, 03/25/2019(1)(2) | 1,725,000 | 1,719,150 | ||||||||||
2.450%, 05/27/2020(1)(2) | 15,000,000 | 14,778,000 | ||||||||||
SMBC Aviation Capital Finance DAC, | ||||||||||||
3.000%, 07/15/2022(1)(2) | 8,000,000 | 7,714,523 | ||||||||||
Societe Generale SA: | ||||||||||||
2.500%, 04/08/2021(1)(2) | 10,225,000 | 9,952,115 | ||||||||||
3.250%, 01/12/2022(1)(2) | 8,000,000 | 7,806,558 | ||||||||||
5.000%, 01/17/2024(1)(2) | 10,000,000 | 10,033,548 | ||||||||||
4.250%, 04/14/2025(1)(2) | 16,157,000 | 15,509,899 | ||||||||||
Standard Chartered PLC: | ||||||||||||
2.100%, 08/19/2019(1)(2) | 14,000,000 | 13,810,153 | ||||||||||
2.250%, 04/17/2020(1)(2) | 8,000,000 | 7,826,192 | ||||||||||
3.050%, 01/15/2021(1)(2) | 4,500,000 | 4,434,156 | ||||||||||
5.700%, 03/26/2044(1)(2) | 6,000,000 | 6,262,920 | ||||||||||
Stifel Financial Corp., | ||||||||||||
4.250%, 07/18/2024 | 7,850,000 | 7,821,251 | ||||||||||
Sumitomo Mitsui Banking Corp.: | ||||||||||||
2.450%, 01/16/2020(1) | 20,500,000 | 20,266,418 | ||||||||||
3.950%, 07/19/2023(1) | 1,850,000 | 1,875,981 | ||||||||||
Sumitomo Mitsui Financial Group, Inc.: | ||||||||||||
2.934%, 03/09/2021(1) | 5,950,000 | 5,882,287 | ||||||||||
2.442%, 10/19/2021(1) | 15,775,000 | 15,233,151 | ||||||||||
2.784%, 07/12/2022(1) | 10,000,000 | 9,680,778 | ||||||||||
3.102%, 01/17/2023(1) | 12,000,000 | 11,725,083 | ||||||||||
SunTrust Banks, Inc.: | ||||||||||||
2.900%, 03/03/2021 | 14,150,000 | 13,976,812 | ||||||||||
2.700%, 01/27/2022 | 12,800,000 | 12,471,241 | ||||||||||
3.300%, 05/15/2026 | 3,925,000 | 3,705,374 | ||||||||||
Svenska Handelsbanken AB, | ||||||||||||
2.400%, 10/01/2020(1) | 5,200,000 | 5,105,534 | ||||||||||
Swedbank AB: | ||||||||||||
2.375%, 02/27/2019(1)(2) | 7,300,000 | 7,282,465 | ||||||||||
2.200%, 03/04/2020(1)(2) | 6,468,000 | 6,384,634 | ||||||||||
Synchrony Financial: | ||||||||||||
3.000%, 08/15/2019 | 2,000,000 | 1,995,753 | ||||||||||
3.750%, 08/15/2021 | 10,225,000 | 10,214,394 | ||||||||||
4.250%, 08/15/2024 | 26,864,000 | 26,335,136 | ||||||||||
4.500%, 07/23/2025 | 23,127,000 | 22,713,266 | ||||||||||
3.950%, 12/01/2027 | 7,000,000 | 6,457,555 | ||||||||||
TD Ameritrade Holding Corp.: | ||||||||||||
5.600%, 12/01/2019 | 2,945,000 | 3,048,648 | ||||||||||
2.950%, 04/01/2022 | 4,625,000 | 4,544,171 | ||||||||||
3.625%, 04/01/2025 | 7,000,000 | 6,926,308 | ||||||||||
Torchmark Corp., | ||||||||||||
3.800%, 09/15/2022 | 12,475,000 | 12,535,941 | ||||||||||
Trinity Acquisition PLC: | ||||||||||||
4.400%, 03/15/2026(1) | 27,305,000 | 27,037,252 | ||||||||||
6.125%, 08/15/2043(1) | 15,671,000 | 18,218,820 | ||||||||||
UBS AG, | ||||||||||||
3.150%, 06/01/2020(3 Month LIBOR USD + 0.850%)(1)(3) | 4,710,000 | 4,750,750 | ||||||||||
UBS Group Funding Switzerland AG: | ||||||||||||
2.650%, 02/01/2022(1)(2) | 14,150,000 | 13,632,063 | ||||||||||
3.491%, 05/23/2023(1)(2) | 4,825,000 | 4,716,989 | ||||||||||
2.859%, 08/15/2023(3 Month LIBOR USD + 0.954%)(1)(2)(3) | 21,550,000 | 20,625,840 | ||||||||||
4.253%, 03/23/2028(1)(2) | 17,150,000 | 17,039,838 | ||||||||||
Voya Financial, Inc.: | ||||||||||||
5.500%, 07/15/2022 | 23,802,000 | 25,372,753 | ||||||||||
3.125%, 07/15/2024 | 14,375,000 | 13,579,515 | ||||||||||
3.650%, 06/15/2026 | 5,800,000 | 5,486,343 | ||||||||||
WEA Finance LLC / Westfield UK & Europe Finance PLC: | ||||||||||||
2.700%, 09/17/2019(2) | 5,985,000 | 5,960,186 | ||||||||||
3.250%, 10/05/2020(2) | 8,000,000 | 7,984,084 | ||||||||||
Wells Fargo & Co.: | ||||||||||||
2.150%, 01/30/2020 | 2,750,000 | 2,711,419 | ||||||||||
2.500%, 03/04/2021 | 5,000,000 | 4,888,416 | ||||||||||
3.069%, 01/24/2023 | 10,000,000 | 9,724,358 | ||||||||||
3.589%, 10/31/2023(3 Month LIBOR USD + 1.230%)(3) | 5,000,000 | 5,101,244 | ||||||||||
3.000%, 02/19/2025 | 5,000,000 | 4,716,238 | ||||||||||
3.000%, 04/22/2026 | 8,000,000 | 7,416,371 | ||||||||||
3.900%, 05/01/2045 | 15,000,000 | 13,662,002 | ||||||||||
Westpac Banking Corp., | ||||||||||||
4.322%, 11/23/2031(5 Year Mid Swap Rate USD + 2.236%)(1)(3) | 8,350,000 | 8,045,301 | ||||||||||
Willis North America, Inc.: | ||||||||||||
7.000%, 09/29/2019 | 5,463,000 | 5,701,069 | ||||||||||
3.600%, 05/15/2024 | 9,000,000 | 8,697,573 | ||||||||||
Willis Towers Watson PLC, | ||||||||||||
5.750%, 03/15/2021(1) | 13,879,000 | 14,631,861 | ||||||||||
3,074,903,382 | 19.8 | % | ||||||||||
Total Corporate Bonds | 6,318,052,322 | 40.6 | % |
Municipal Bonds | ||||||||||||
Atlanta Independent School System, | ||||||||||||
5.557%, 03/01/2026 | 4,465,000 | 5,072,419 | ||||||||||
California Housing Finance Agency: | ||||||||||||
3.656%, 02/01/2029(Callable 08/01/2025) | 19,650,000 | 19,542,908 | ||||||||||
2.794%, 08/01/2036(Callable 08/01/2025) | 11,495,000 | 11,206,475 | ||||||||||
California Qualified School Bond Joint Powers Authority, | ||||||||||||
7.155%, 03/01/2027 | 6,695,000 | 7,913,825 | ||||||||||
California School Finance Authority, | ||||||||||||
5.041%, 07/01/2020 | 2,230,000 | 2,321,051 | ||||||||||
City of Berwyn IL, | ||||||||||||
5.790%, 12/01/2022 | 10,000,000 | 10,017,500 | ||||||||||
City of Vernon CA Electric System Revenue, | ||||||||||||
4.500%, 08/01/2022 | 7,265,000 | 7,530,899 | ||||||||||
County of Cuyahoga OH, | ||||||||||||
9.125%, 10/01/2023 | 895,000 | 1,022,358 | ||||||||||
Eaton Community City School District, | ||||||||||||
5.390%, 08/25/2027 (Callable 06/01/2020) | 2,305,000 | 2,342,387 | ||||||||||
Iowa Tobacco Settlement Authority, | ||||||||||||
6.500%, 06/01/2023 (Callable 04/30/2018) | 3,290,000 | 3,347,180 | ||||||||||
Kentucky Housing Corp., | ||||||||||||
3.500%, 01/01/2040 (Callable 07/01/2025) | 5,200,000 | 5,191,888 | ||||||||||
Louisiana Housing Corp., | ||||||||||||
2.100%, 12/01/2038 (09/01/2024) | 4,548,374 | 4,254,504 | ||||||||||
Maryland Community Development Administration Housing Revenue, | ||||||||||||
3.160%, 09/01/2041 (Callable 09/01/2025) | 15,590,000 | 15,315,616 | ||||||||||
New Hampshire Housing Finance Authority: | ||||||||||||
3.050%, 01/01/2021 | 765,000 | 761,359 | ||||||||||
3.750%, 07/01/2034(Callable 07/01/2023) | 1,290,000 | 1,294,476 | ||||||||||
4.000%, 07/01/2036(Callable 07/01/2025) | 6,880,000 | 6,945,773 | ||||||||||
North Carolina Housing Finance Agency, | ||||||||||||
2.812%, 07/01/2035 (Callable 01/01/2024) | 2,760,000 | 2,688,130 | ||||||||||
North Texas Tollway Authority, | ||||||||||||
8.910%, 02/01/2030 (Callable 02/01/2020) | 18,785,000 | 20,435,262 | ||||||||||
State of California, | ||||||||||||
7.950%, 03/01/2036 (Callable 03/01/2020) | 10,125,000 | 10,921,635 | ||||||||||
State Public School Building Authority, | ||||||||||||
5.000%, 09/15/2027 | 4,458,000 | 4,841,120 | ||||||||||
Three Rivers Local School District, | ||||||||||||
5.209%, 09/15/2027 (Callable 12/01/2020) | 2,365,000 | 2,464,661 | ||||||||||
West Contra Costa Unified School District, | ||||||||||||
6.250%, 08/01/2030 | 1,785,000 | 2,167,043 | ||||||||||
Westlake City School District, | ||||||||||||
5.227%, 12/01/2026 (Callable 12/01/2020) | 3,570,000 | 3,593,812 | ||||||||||
151,192,281 | 1.0 | % | ||||||||||
Residential Mortgage-Backed Securities | ||||||||||||
U.S. Government Agency Issues | ||||||||||||
Fannie Mae REMIC Trust: | ||||||||||||
Series 1989-37, Class G, 8.000%, 07/25/2019 | 9,725 | 9,913 | ||||||||||
Series 1989-94, Class G, 7.500%, 12/25/2019 | 5,666 | 5,780 | ||||||||||
Series 1990-58, Class J, 7.000%, 05/25/2020 | 671 | 692 | ||||||||||
Series 1990-76, Class G, 7.000%, 07/25/2020 | 5,826 | 5,960 | ||||||||||
Series 1990-105, Class J, 6.500%, 09/25/2020 | 4,874 | 4,996 | ||||||||||
Series 1990-108, Class G, 7.000%, 09/25/2020 | 1,395 | 1,433 | ||||||||||
Series 1991-1, Class G, 7.000%, 01/25/2021 | 1,880 | 1,932 | ||||||||||
Series 1991-86, Class Z, 6.500%, 07/25/2021 | 5,916 | 6,135 | ||||||||||
Series 1993-58, Class H, 5.500%, 04/25/2023 | 66,392 | 68,516 | ||||||||||
Series 1998-66, Class C, 6.000%, 12/25/2028 | 45,871 | 48,301 | ||||||||||
Federal Gold Loan Mortgage Corp.(FGLMC): | ||||||||||||
6.000%, 06/01/2020 | 18,093 | 18,306 | ||||||||||
3.500%, 11/01/2025 | 2,939,164 | 2,974,216 | ||||||||||
3.000%, 12/01/2026 | 1,041,449 | 1,041,824 | ||||||||||
2.500%, 04/01/2028 | 3,081,802 | 3,014,200 | ||||||||||
6.500%, 06/01/2029 | 141,472 | 157,489 | ||||||||||
3.000%, 04/01/2031 | 8,847,811 | 8,789,772 | ||||||||||
3.000%, 02/01/2032 | 80,427,872 | 79,918,713 | ||||||||||
3.500%, 05/01/2032 | 22,388,508 | 22,711,530 | ||||||||||
3.500%, 07/01/2032 | 27,746,625 | 28,146,577 | ||||||||||
5.000%, 08/01/2033 | 5,716,622 | 6,109,355 | ||||||||||
3.500%, 01/01/2034 | 22,724,280 | 23,052,313 | ||||||||||
5.000%, 09/01/2035 | 11,637,998 | 12,418,823 | ||||||||||
5.500%, 01/01/2036 | 194,550 | 211,048 | ||||||||||
5.000%, 03/01/2036 | 5,009,181 | 5,345,308 | ||||||||||
6.000%, 12/01/2036 | 174,208 | 192,045 | ||||||||||
5.000%, 02/01/2038 | 2,779,019 | 2,963,185 | ||||||||||
5.500%, 05/01/2038 | 594,566 | 642,351 | ||||||||||
5.500%, 01/01/2039 | 12,323,065 | 13,367,570 | ||||||||||
4.500%, 11/01/2039 | 4,394,367 | 4,621,229 | ||||||||||
4.500%, 11/01/2039 | 5,145,673 | 5,410,202 | ||||||||||
4.500%, 12/01/2039 | 26,632,320 | 28,009,226 | ||||||||||
5.000%, 03/01/2040 | 1,136,449 | 1,212,844 | ||||||||||
4.500%, 08/01/2040 | 943,090 | 991,861 | ||||||||||
4.500%, 09/01/2040 | 3,615,532 | 3,802,407 | ||||||||||
4.000%, 01/01/2041 | 34,174,250 | 35,132,704 | ||||||||||
4.000%, 01/01/2041 | 17,451,423 | 17,940,849 | ||||||||||
4.500%, 03/01/2041 | 2,625,512 | 2,761,329 | ||||||||||
3.500%, 10/01/2041 | 10,866,728 | 10,899,548 | ||||||||||
4.000%, 03/01/2042 | 8,126,117 | 8,354,384 | ||||||||||
3.500%, 06/01/2042 | 5,475,425 | 5,491,911 | ||||||||||
3.500%, 07/01/2042 | 14,679,211 | 14,723,581 | ||||||||||
3.000%, 08/01/2042 | 19,068,580 | 18,638,464 | ||||||||||
3.000%, 10/01/2042 | 7,314,672 | 7,145,320 | ||||||||||
3.000%, 11/01/2042 | 41,033,868 | 40,108,907 | ||||||||||
3.500%, 12/01/2042 | 15,547,250 | 15,594,149 | ||||||||||
3.000%, 01/01/2043 | 14,490,660 | 14,084,364 | ||||||||||
3.000%, 01/01/2043 | 31,542,572 | 30,799,204 | ||||||||||
3.500%, 01/01/2043 | 24,193,398 | 24,266,526 | ||||||||||
3.000%, 02/01/2043 | 3,998,608 | 3,904,699 | ||||||||||
3.000%, 04/01/2043 | 6,469,782 | 6,318,025 | ||||||||||
3.000%, 04/01/2043 | 10,025,588 | 9,787,826 | ||||||||||
3.000%, 04/01/2043 | 17,530,544 | 17,118,634 | ||||||||||
3.500%, 04/01/2043 | 71,942,568 | 72,159,631 | ||||||||||
3.500%, 05/01/2043 | 14,783,371 | 14,827,645 | ||||||||||
3.000%, 06/01/2043 | 20,668,571 | 20,174,543 | ||||||||||
3.000%, 08/01/2043 | 6,452,347 | 6,298,298 | ||||||||||
3.500%, 11/01/2043 | 11,621,758 | 11,656,622 | ||||||||||
3.500%, 01/01/2044 | 12,690,703 | 12,729,052 | ||||||||||
3.500%, 02/01/2044 | 46,789,418 | 46,932,615 | ||||||||||
4.000%, 03/01/2044 | 7,147,908 | 7,315,213 | ||||||||||
3.500%, 05/01/2044 | 46,766,799 | 46,908,021 | ||||||||||
4.000%, 05/01/2044 | 24,765,771 | 25,461,264 | ||||||||||
4.000%, 07/01/2044 | 6,058,208 | 6,200,278 | ||||||||||
3.500%, 10/01/2044 | 12,051,046 | 12,059,160 | ||||||||||
4.000%, 10/01/2044 | 14,298,619 | 14,672,856 | ||||||||||
3.500%, 01/01/2045 | 32,782,313 | 32,881,370 | ||||||||||
3.500%, 06/01/2045 | 2,941,075 | 2,942,222 | ||||||||||
3.000%, 10/01/2045 | 46,295,676 | 45,194,014 | ||||||||||
4.000%, 11/01/2045 | 20,045,851 | 20,515,407 | ||||||||||
3.500%, 01/01/2046 | 44,816,281 | 44,771,269 | ||||||||||
4.000%, 04/01/2046 | 13,811,589 | 14,172,787 | ||||||||||
3.500%, 05/01/2046 | 12,977,951 | 12,948,841 | ||||||||||
3.000%, 08/01/2046 | 5,869,168 | 5,690,255 | ||||||||||
3.500%, 08/01/2046 | 40,048,573 | 40,110,194 | ||||||||||
3.000%, 10/01/2046 | 77,936,599 | 75,657,454 | ||||||||||
3.000%, 05/01/2047 | 75,670,722 | 73,456,644 | ||||||||||
Federal Home Loan Mortgage Corp.(FHLMC): | ||||||||||||
Series 141, Class D, 5.000%, 05/15/2021 | 2,539 | 2,549 | ||||||||||
Series 1081, Class K, 7.000%, 05/15/2021 | 19,889 | 20,524 | ||||||||||
Series 163, Class F, 6.000%, 07/15/2021(4) | 4,429 | 4,524 | ||||||||||
Series 188, Class H, 7.000%, 09/15/2021 | 10,001 | 10,234 | ||||||||||
Federal National Mortgage Association(FNMA): | ||||||||||||
5.000%, 11/01/2021 | 231,436 | 235,373 | ||||||||||
3.000%, 04/01/2027 | 8,217,592 | 8,218,828 | ||||||||||
3.500%, 07/01/2027 | 40,522,834 | 41,122,348 | ||||||||||
2.500%, 12/01/2027 | 10,638,361 | 10,424,034 | ||||||||||
2.500%, 05/01/2028 | 14,231,710 | 13,935,950 | ||||||||||
5.000%, 05/01/2028 | 203,496 | 215,751 | ||||||||||
3.000%, 11/01/2028 | 27,938,064 | 27,942,281 | ||||||||||
4.500%, 08/01/2029 | 1,581,073 | 1,650,904 | ||||||||||
4.500%, 09/01/2029 | 1,861,244 | 1,943,423 | ||||||||||
2.500%, 04/01/2030 | 5,181,979 | 5,059,794 | ||||||||||
2.500%, 05/01/2030 | 16,224,065 | 15,841,581 | ||||||||||
3.000%, 12/01/2030 | 16,365,630 | 16,327,846 | ||||||||||
3.000%, 12/01/2030 | 26,219,743 | 26,086,498 | ||||||||||
3.500%, 01/01/2032 | 55,057,028 | 55,878,540 | ||||||||||
2.500%, 02/01/2032 | 8,958,730 | 8,711,290 | ||||||||||
6.000%, 03/01/2033 | 49,094 | 54,101 | ||||||||||
3.500%, 10/01/2033 | 25,991,287 | 26,380,302 | ||||||||||
4.500%, 10/01/2033 | 18,857,728 | 19,739,735 | ||||||||||
5.000%, 10/01/2033 | 20,477,141 | 21,931,992 | ||||||||||
5.000%, 11/01/2033 | 56,637 | 60,660 | ||||||||||
4.000%, 01/01/2034 | 8,427,034 | 8,718,172 | ||||||||||
5.500%, 04/01/2034 | 6,769,167 | 7,363,579 | ||||||||||
4.000%, 06/01/2034 | 10,964,436 | 11,345,027 | ||||||||||
4.000%, 09/01/2034 | 13,063,445 | 13,516,784 | ||||||||||
5.500%, 09/01/2034 | 180,602 | 196,281 | ||||||||||
6.000%, 11/01/2034 | 48,877 | 53,868 | ||||||||||
5.500%, 02/01/2035 | 612,540 | 665,427 | ||||||||||
5.000%, 07/01/2035 | 5,265,473 | 5,638,285 | ||||||||||
5.000%, 10/01/2035 | 2,627,018 | 2,813,807 | ||||||||||
5.000%, 02/01/2036 | 3,730,059 | 3,995,274 | ||||||||||
5.500%, 11/01/2036 | 244,652 | 265,156 | ||||||||||
2.500%, 12/01/2036 | 34,364,622 | 32,713,851 | ||||||||||
5.500%, 04/01/2037 | 1,525,489 | 1,657,513 | ||||||||||
4.000%, 05/01/2037 | 58,859,980 | 60,677,633 | ||||||||||
4.000%, 04/01/2039 | 14,241,921 | 14,643,341 | ||||||||||
5.000%, 06/01/2039 | 12,416,064 | 13,295,334 | ||||||||||
5.000%, 06/01/2039 | 18,234,141 | 19,524,570 | ||||||||||
4.500%, 11/01/2039 | 251,906 | 264,919 | ||||||||||
4.000%, 08/01/2040 | 1,819,484 | 1,868,534 | ||||||||||
3.500%, 12/01/2040 | 10,961,139 | 11,000,097 | ||||||||||
4.000%, 12/01/2040 | 10,738,811 | 11,028,964 | ||||||||||
3.500%, 02/01/2041 | 17,109,788 | 17,170,609 | ||||||||||
4.000%, 02/01/2041 | 25,502,264 | 26,206,857 | ||||||||||
3.500%, 03/01/2041 | 24,806,551 | 24,894,743 | ||||||||||
4.500%, 05/01/2041 | 9,260,029 | 9,741,985 | ||||||||||
4.000%, 06/01/2041 | 20,826,255 | 21,386,995 | ||||||||||
4.500%, 07/01/2041 | 9,831,167 | 10,333,952 | ||||||||||
5.000%, 07/01/2041 | 13,913,438 | 14,897,204 | ||||||||||
3.500%, 09/01/2041 | 25,031,208 | 25,120,212 | ||||||||||
4.000%, 09/01/2041 | 2,873,819 | 2,951,511 | ||||||||||
4.000%, 10/01/2041 | 7,469,284 | 7,671,594 | ||||||||||
3.500%, 11/01/2041 | 10,145,183 | 10,181,110 | ||||||||||
3.500%, 12/01/2041 | 43,326,374 | 43,480,208 | ||||||||||
4.000%, 12/01/2041 | 10,418,102 | 10,700,278 | ||||||||||
4.000%, 01/01/2042 | 13,777,483 | 14,150,338 | ||||||||||
4.500%, 01/01/2042 | 13,633,111 | 14,337,973 | ||||||||||
4.000%, 02/01/2042 | 51,794,126 | 53,196,525 | ||||||||||
3.000%, 05/01/2042 | 9,579,108 | 9,369,165 | ||||||||||
3.500%, 08/01/2042 | 9,853,957 | 9,887,224 | ||||||||||
4.000%, 08/01/2042 | 18,960,721 | 19,473,959 | ||||||||||
3.000%, 03/01/2043 | 39,954,603 | 39,031,506 | ||||||||||
3.000%, 03/01/2043 | 7,152,370 | 6,991,154 | ||||||||||
3.000%, 05/01/2043 | 23,462,409 | 22,922,260 | ||||||||||
3.000%, 05/01/2043 | 39,841,237 | 38,934,271 | ||||||||||
3.000%, 06/01/2043 | 9,791,722 | 9,565,373 | ||||||||||
3.000%, 07/01/2043 | 3,800,297 | 3,712,518 | ||||||||||
4.000%, 07/01/2043 | 35,240,760 | 36,192,340 | ||||||||||
3.000%, 08/01/2043 | 6,132,130 | 5,990,879 | ||||||||||
3.500%, 09/01/2043 | 61,175,165 | 61,391,834 | ||||||||||
4.500%, 09/01/2043 | 14,761,940 | 15,529,799 | ||||||||||
3.500%, 10/01/2043 | 67,523,132 | 67,616,552 | ||||||||||
3.000%, 11/01/2043 | 31,635,413 | 30,929,861 | ||||||||||
4.000%, 01/01/2045 | 10,476,115 | 10,731,585 | ||||||||||
3.500%, 02/01/2045 | 47,697,828 | 47,848,639 | ||||||||||
4.000%, 02/01/2045 | 24,572,958 | 25,237,909 | ||||||||||
3.500%, 04/01/2045 | 36,021,667 | 36,009,540 | ||||||||||
4.000%, 10/01/2045(9) | 10,958,742 | 11,222,453 | ||||||||||
4.000%, 11/01/2045 | 44,631,332 | 45,532,416 | ||||||||||
3.500%, 12/01/2045 | 40,311,506 | 40,242,591 | ||||||||||
4.500%, 02/01/2046 | 40,414,741 | 42,513,452 | ||||||||||
3.000%, 05/01/2046 | 18,143,844 | 17,642,312 | ||||||||||
3.500%, 05/01/2046 | 70,102,480 | 69,982,637 | ||||||||||
3.000%, 07/01/2046 | 11,318,181 | 11,005,315 | ||||||||||
4.500%, 08/01/2046 | 36,034,951 | 37,714,843 | ||||||||||
3.000%, 11/01/2046 | 27,803,944 | 27,054,150 | ||||||||||
3.500%, 11/01/2046 | 61,915,636 | 61,809,792 | ||||||||||
4.000%, 11/01/2047 | 35,062,970 | 35,795,840 | ||||||||||
Government National Mortgage Association(GNMA): | ||||||||||||
6.000%, 11/20/2033 | 46,670 | 51,541 | ||||||||||
5.000%, 07/20/2040 | 2,161,642 | 2,325,527 | ||||||||||
3.500%, 10/20/2041 | 9,829,795 | 9,946,823 | ||||||||||
3.500%, 01/15/2042 | 16,553,751 | 16,687,373 | ||||||||||
4.000%, 06/20/2042 | 11,055,186 | 11,428,663 | ||||||||||
3.500%, 09/20/2042 | 4,220,017 | 4,270,262 | ||||||||||
3.500%, 01/20/2043 | 27,430,744 | 27,757,525 | ||||||||||
3.500%, 03/20/2045 | 20,743,450 | 20,853,113 | ||||||||||
3.000%, 04/20/2045 | 33,823,813 | 33,412,417 | ||||||||||
3.500%, 04/20/2045 | 29,942,810 | 30,133,325 | ||||||||||
4.000%, 08/20/2045 | 14,233,281 | 14,700,097 | ||||||||||
4.500%, 01/20/2046 | 16,068,318 | 16,911,076 | ||||||||||
4.000%, 04/20/2046 | 15,196,473 | 15,686,846 | ||||||||||
4.000%, 05/20/2046 | 36,539,000 | 37,671,107 | ||||||||||
3.000%, 06/20/2046 | 23,621,870 | 23,188,882 | ||||||||||
3.000%, 08/20/2046 | 48,038,009 | 47,158,590 | ||||||||||
4.500%, 06/20/2047 | 70,911,976 | 73,734,765 | ||||||||||
4.500%, 07/20/2047 | 17,636,232 | 18,337,691 | ||||||||||
3,335,687,495 | 21.4 | % |
Non-U.S. Government Agency Issues | ||||||||||||
Accredited Mortgage Loan Trust, | ||||||||||||
Series 2005-4, Class A1, 2.331%, 12/25/2035(1 Month LIBOR USD + 0.240%)(3) | 2,311,401 | 2,311,894 | ||||||||||
Alternative Loan Trust: | ||||||||||||
Series 2005-50CB, Class 4A1, 5.000%, 11/25/2020(6) | 90,680 | 90,838 | ||||||||||
Series 2006-7CB, Class 3A1, 5.250%, 05/25/2021(6) | 511,121 | 501,943 | ||||||||||
Series 2006-J5, Class 3A1, 4.329%, 07/25/2021(4) | 116,148 | 111,933 | ||||||||||
Series 2006-43CB, Class 2A1, 6.000%, 02/25/2022(6) | 99,753 | 100,124 | ||||||||||
Series 2004-8CB, Class A, 2.361%, 06/25/2034(1 Month LIBOR USD + 0.270%)(3) | 10,190,882 | 10,187,915 | ||||||||||
Series 2006-28CB, Class A17, 6.000%, 10/25/2036(6) | 655,969 | 533,785 | ||||||||||
Argent Securities Inc. Asset-Backed Pass-Through Certificates: | ||||||||||||
Series 2005-W3, Class A2D, 2.431%, 11/25/2035(1 Month LIBOR USD + 0.340%)(3) | 3,355,817 | 3,352,569 | ||||||||||
Series 2005-W5, Class A1, 2.326%, 01/25/2036(1 Month LIBOR USD + 0.235%)(3) | 34,510,050 | 34,230,512 | ||||||||||
Asset Backed Securities Corp. Home Equity Loan Trust: | ||||||||||||
Series 2006-HE1, Class A3, 2.291%, 01/25/2036(1 Month LIBOR USD + 0.200%)(3) | 7,465,137 | 7,411,021 | ||||||||||
Series 2006-HE1, Class A1, 2.306%, 01/25/2036(1 Month LIBOR USD + 0.215%)(3) | 2,714,506 | 2,702,701 | ||||||||||
Series 2006-HE3, Class A2, 2.256%, 03/25/2036(1 Month LIBOR USD + 0.165%)(3) | 12,846,945 | 12,658,748 | ||||||||||
Series 2006-HE6, Class A1, 2.236%, 11/25/2036(1 Month LIBOR USD + 0.145%)(3)(6) | 27,524,750 | 26,639,727 | ||||||||||
Banc of America Alternative Loan Trust: | ||||||||||||
Series 2004-11, Class 4A1, 5.500%, 12/25/2019 | 16,581 | 16,655 | ||||||||||
Series 2005-2, Class 4A1, 5.500%, 03/25/2020 | 46,272 | 45,952 | ||||||||||
Series 2005-4, Class 3A1, 5.500%, 05/25/2020 | 200,027 | 198,160 | ||||||||||
Series 2005-10, Class 5A1, 5.250%, 11/25/2020 | 73,019 | 73,262 | ||||||||||
Series 2007-1, Class 1A1, 5.627%, 04/25/2022(4)(6) | 363,321 | 361,864 | ||||||||||
Series 2005-2, Class 1CB2, 5.500%, 03/25/2035(6) | 73,026 | 72,496 | ||||||||||
Series 2005-9, Class 1CB3, 5.500%, 10/25/2035(6) | 166,911 | 166,132 | ||||||||||
Series 2005-11, Class 1CB4, 5.500%, 12/25/2035(6) | 100,544 | 97,065 | ||||||||||
Series 2006-5, Class CB7, 6.000%, 06/25/2046(6) | 366,358 | 336,767 | ||||||||||
Bayview Financial Trust: | ||||||||||||
Series 2007-A, Class 1A2, 6.205%, 05/28/2037(8) | 1,074,942 | 1,097,783 | ||||||||||
Series 2007-B, Class 1A2, 6.831%, 08/28/2037(8) | 1,724,575 | 1,640,576 | ||||||||||
Bear Stearns ALT-A Trust: | ||||||||||||
Series 2004-4, Class A1, 2.691%, 06/25/2034(1 Month LIBOR USD + 0.600%)(3) | 2,027,409 | 2,022,329 | ||||||||||
Series 2005-4, Class 1A1, 2.531%, 04/25/2035(1 Month LIBOR USD + 0.440%)(3) | 4,789,038 | 4,786,865 | ||||||||||
Series 2005-7, Class 12A1, 2.631%, 08/25/2035(1 Month LIBOR USD + 0.540%)(3) | 11,363,302 | 11,367,080 | ||||||||||
Bear Stearns Asset Backed Securities I Trust, | ||||||||||||
Series 2004-AC2, Class 2A, 5.000%, 05/25/2034 | 244,866 | 244,419 | ||||||||||
Chase Mortgage Finance Trust, | ||||||||||||
Series 2006-A1, Class 2A3, 3.779%, 09/25/2036(4) | 1,462,500 | 1,381,910 | ||||||||||
Citigroup Global Markets Mortgage Securities VII, Inc., | ||||||||||||
Series 2003-UP2, Class A2, 7.000%, 06/25/2033(8) | 179,597 | 181,936 | ||||||||||
Citigroup Mortgage Loan Trust, Inc., | ||||||||||||
Series 2005-9, Class 2A2, 5.500%, 11/25/2035(6) | 64,904 | 65,052 | ||||||||||
Countrywide Asset-Backed Certificates: | ||||||||||||
Series 2005-13, Class AF3, 4.634%, 02/25/2033(4) | 691,819 | 671,001 | ||||||||||
Series 2004-S1, Class A3, 5.115%, 02/25/2035(8) | 344,148 | 346,398 | ||||||||||
Series 2005-1, Class AF6, 5.030%, 06/25/2035(4) | 207,454 | 210,801 | ||||||||||
Series 2005-10, Class AF6, 4.450%, 12/25/2035(4) | 166,093 | 169,438 | ||||||||||
Series 2006-10, Class 1AF3, 4.649%, 12/25/2035(4)(6) | 704,538 | 636,626 | ||||||||||
Credit Suisse First Boston Mortgage Securities Corp., | ||||||||||||
Series 2003-AR26, Class 8A1, 3.783%, 11/25/2033(4) | 7,538,702 | 7,701,476 | ||||||||||
Credit-Based Asset Servicing & Securitization LLC, | ||||||||||||
Series 2005-CB8, Class AF2, 3.741%, 12/25/2035(8) | 16,786 | 16,741 | ||||||||||
CWABS Asset-Backed Certificates Trust: | ||||||||||||
Series 2005-11, Class AF3, 4.472%, 12/25/2032(4) | 109,967 | 109,755 | ||||||||||
Series 2004-15, Class AF6, 4.613%, 04/25/2035(4) | 67,943 | 68,182 | ||||||||||
Series 2005-17, Class 1AF5, 4.425%, 03/25/2036(4) | 248,306 | 247,983 | ||||||||||
Series 2005-16, Class 3AV, 2.321%, 05/25/2036(1 Month LIBOR USD + 0.230%)(3) | 5,498,976 | 5,495,096 | ||||||||||
CWHEQ Home Equity Loan Trust, | ||||||||||||
Series 2007-S1, Class A6, 5.693%, 11/25/2036(4) | 51,396 | 52,316 | ||||||||||
Deutsche Mortgage Securities, Inc. Mortgage Loan Trust, | ||||||||||||
Series 2004-4, Class 1A6, 6.150%, 04/25/2034(8) | 3,632 | 3,691 | ||||||||||
First Franklin Mortgage Loan Trust: | ||||||||||||
Series 2006-FFH1, Class A4, 2.391%, 01/25/2036(1 Month LIBOR USD + 0.300%)(3) | 1,750,950 | 1,749,984 | ||||||||||
Series 2006-FF1, Class 2A4, 2.431%, 01/25/2036(1 Month LIBOR USD + 0.340%)(3) | 8,173,444 | 8,200,648 | ||||||||||
Series 2005-FF12, Class A2C, 2.421%, 11/25/2036(1 Month LIBOR USD + 0.330%)(3) | 4,565,358 | 4,569,998 | ||||||||||
First Horizon Alternative Mortgage Securities Trust: | ||||||||||||
Series 2005-FA7, Class 2A1, 5.000%, 09/25/2020 | 43,737 | 43,839 | ||||||||||
Series 2006-FA6, Class 3A1, 5.750%, 11/25/2021(6) | 98,019 | 95,174 | ||||||||||
Series 2006-FA8, Class 2A1, 5.750%, 01/25/2022(6) | 339,337 | 296,509 | ||||||||||
Fremont Home Loan Trust, | ||||||||||||
Series 2006-A, Class 1A1, 2.236%, 05/25/2036(1 Month LIBOR USD + 0.145%)(3)(6) | 24,487,325 | 23,808,265 | ||||||||||
GE Capital Mortgage Services, Inc. Trust, | ||||||||||||
Series 1999-HE1, Class A7, 6.265%, 04/25/2029 | 381 | 387 | ||||||||||
GE Mortgage Services LLC, | ||||||||||||
Series 1997-HE4, Class A7, 6.735%, 12/25/2028 | 33 | 30 | ||||||||||
GMACM Mortgage Loan Trust, | ||||||||||||
Series 2004-GH1, Class A6, 4.810%, 07/25/2035(8) | 805 | 806 | ||||||||||
GSAA Home Equity Trust, | ||||||||||||
Series 2004-6, Class A1, 2.891%, 06/25/2034(1 Month LIBOR USD + 0.800%)(3) | 1,731,249 | 1,705,117 | ||||||||||
GSAMP Trust: | ||||||||||||
Series 2005-WMC2, Class A1B, 2.711%, 11/25/2035(1 Month LIBOR USD + 0.620%)(3) | 6,891,539 | 6,900,791 | ||||||||||
Series 2005-WMC2, Class A2C, 2.791%, 11/25/2035(1 Month LIBOR USD + 0.700%)(3) | 6,718,310 | 6,734,549 | ||||||||||
HomeBanc Mortgage Trust, | ||||||||||||
Series 2005-3, Class A1, 2.331%, 07/25/2035(1 Month LIBOR USD + 0.240%)(3) | 3,470,030 | 3,445,901 | ||||||||||
IMC Home Equity Loan Trust, | ||||||||||||
Series 1997-5, Class A10, 6.880%, 11/20/2028 | 796 | 794 | ||||||||||
Impac CMB Trust: | ||||||||||||
Series 2004-4, Class 2A2, 4.513%, 09/25/2034(8) | 83,791 | 85,106 | ||||||||||
Series 2004-5, Class 1A2, 2.791%, 10/25/2034(1 Month LIBOR USD + 0.700%)(3) | 4,591,206 | 4,592,250 | ||||||||||
Series 2004-6, Class 1A1, 2.891%, 10/25/2034(1 Month LIBOR USD + 0.800%)(3) | 3,567,967 | 3,497,932 | ||||||||||
J.P. Morgan Alternative Loan Trust, | ||||||||||||
Series 2006-A1, Class 2A1, 3.653%, 03/25/2036(4)(6) | 323,900 | 292,665 | ||||||||||
J.P. Morgan Mortgage Acquisition Trust, | ||||||||||||
Series 2006-CH1, Class A1, 2.221%, 07/25/2036(1 Month LIBOR USD + 0.130%)(3) | 2,794,918 | 2,783,851 | ||||||||||
J.P. Morgan Mortgage Trust: | ||||||||||||
Series 2007-A1, Class 5A5, 3.692%, 07/25/2035(4) | 5,262,261 | 5,432,937 | ||||||||||
Series 2007-A1, Class 5A2, 3.692%, 07/25/2035(4) | 3,475,362 | 3,575,730 | ||||||||||
Series 2005-A4, Class 1A1, 4.162%, 07/25/2035(4) | 1,485,857 | 1,493,019 | ||||||||||
Series 2006-A7, Class 2A4R, 3.613%, 01/25/2037(4) | 684,972 | 648,248 | ||||||||||
Series 2006-A7, Class 2A2, 3.613%, 01/25/2037(4) | 160,323 | 151,728 | ||||||||||
Series 2007-A2, Class 2A3, 3.752%, 04/25/2037(4) | 1,879,220 | 1,802,164 | ||||||||||
MASTR Alternative Loan Trust: | ||||||||||||
Series 2004-2, Class 6A1, 5.250%, 12/25/2018 | 91,637 | 91,830 | ||||||||||
Series 2004-1, Class 1A1, 5.000%, 01/25/2019 | 20,072 | 20,043 | ||||||||||
Series 2004-2, Class 4A1, 5.000%, 02/25/2019 | 2,208 | 2,208 | ||||||||||
MASTR Asset Backed Securities Trust, | ||||||||||||
Series 2006-NC1, Class A4, 2.691%, 01/25/2036(1 Month LIBOR USD + 0.600%)(3) | 5,807,379 | 5,820,256 | ||||||||||
Merrill Lynch Mortgage Investors Trust: | ||||||||||||
Series 2004-F, Class A1A, 3.460%, 12/25/2029(4) | 6,669,027 | 6,693,162 | ||||||||||
Series 2005-A10, Class A, 2.301%, 02/25/2036(1 Month LIBOR USD + 0.210%)(3) | 18,084,256 | 17,371,313 | ||||||||||
Morgan Stanley Mortgage Loan Trust, | ||||||||||||
Series 2004-7AR, Class 2A1, 3.724%, 09/25/2034(4) | 3,174,774 | 3,250,060 | ||||||||||
MortgageIT Trust: | ||||||||||||
Series 2005-2, Class 1A1, 2.611%, 05/25/2035(1 Month LIBOR USD + 0.520%)(3) | 1,733,157 | 1,737,571 | ||||||||||
Series 2005-3, Class A1, 2.691%, 08/25/2035(1 Month LIBOR USD + 0.600%)(3) | 4,260,659 | 4,162,139 | ||||||||||
New Century Home Equity Loan Trust, | ||||||||||||
Series 2005-C, Class A1, 2.321%, 12/25/2035(1 Month LIBOR USD + 0.230%)(3) | 9,466,275 | 9,434,303 | ||||||||||
New Residential Mortgage Loan Trust: | ||||||||||||
Series 2017-2A, Class A3, 4.000%, 03/25/2057(2)(4) | 15,140,850 | 15,352,544 | ||||||||||
Series 2017-3A, Class A1, 4.000%, 04/25/2057(2)(4) | 16,446,109 | 16,605,115 | ||||||||||
Series 2017-4A, Class A1, 4.000%, 05/25/2057(2)(4) | 29,799,744 | 30,152,865 | ||||||||||
Series 2018-1A, Class A1A, 4.000%, 12/25/2057(2)(4) | 16,061,236 | 16,163,319 | ||||||||||
Park Place Securities, Inc., | ||||||||||||
Series 2005-WCW1, Class M1, 2.541%, 05/25/2035(1 Month LIBOR USD + 0.450%)(3) | 2,076,303 | 2,078,719 | ||||||||||
Popular ABS Mortgage Pass-Through Trust, | ||||||||||||
Series 2006-E, Class A2, 2.241%, 01/25/2037(1 Month LIBOR USD + 0.150%)(3) | 3,331,344 | 3,317,190 | ||||||||||
RALI Series Trust, | ||||||||||||
Series 2004-QS6, Class A1, 5.000%, 05/25/2019(6) | 22,956 | 22,826 | ||||||||||
RAMP Series Trust, | ||||||||||||
Series 2005-RS1, Class AI6, 4.713%, 11/25/2034 | 13,668 | 13,676 | ||||||||||
RASC Series Trust, | ||||||||||||
Series 2006-KS4, Class A4, 2.331%, 06/25/2036(1 Month LIBOR USD + 0.240%)(3) | 9,988,311 | 9,935,859 | ||||||||||
Renaissance Home Equity Loan Trust, | ||||||||||||
Series 2007-1, Class AF3, 5.612%, 04/25/2037(8) | 2,495,963 | 1,211,961 | ||||||||||
Specialty Underwriting & Residential Finance Trust: | ||||||||||||
Series 2004-BC4, Class A1A, 2.761%, 10/25/2035(1 Month LIBOR USD + 0.670%)(3) | 1,826,657 | 1,818,608 | ||||||||||
Series 2005-AB3, Class A2C, 2.451%, 09/25/2036(1 Month LIBOR USD + 0.360%)(3) | 1,942,204 | 1,946,597 | ||||||||||
Series 2006-BC1, Class A2D, 2.391%, 12/25/2036(1 Month LIBOR USD + 0.300%)(3) | 1,674,583 | 1,676,735 | ||||||||||
Structured Adjustable Rate Mortgage Loan Trust: | ||||||||||||
Series 2004-12, Class 3A1, 3.735%, 09/25/2034(4) | 4,316,773 | 4,307,871 | ||||||||||
Series 2004-16, Class 1A2, 3.979%, 11/25/2034(4) | 7,276,165 | 7,300,777 | ||||||||||
Series 2004-16, Class 2A, 3.996%, 11/25/2034(4) | 5,098,521 | 5,154,941 | ||||||||||
Structured Asset Securities Corp.: | ||||||||||||
Series 2005-WF1, Class A3, 2.751%, 02/25/2035(1 Month LIBOR USD + 0.660%)(3) | 5,695,216 | 5,705,024 | ||||||||||
Series 2005-7XS, Class 1A4B, 5.440%, 04/25/2035(8) | 32,300 | 33,106 | ||||||||||
Structured Asset Securities Corp. Mortgage Loan Trust, | ||||||||||||
Series 2006-OPT1, Class A6, 2.241%, 04/25/2036(1 Month LIBOR USD + 0.150%)(3) | 13,221,241 | 12,984,695 | ||||||||||
Thornburg Mortgage Securities Trust, | ||||||||||||
Series 2003-5, Class 3A, 3.362%, 10/25/2043(4) | 15,436,326 | 15,674,265 | ||||||||||
Towd Point Mortgage Trust: | ||||||||||||
Series 2015-3, Class A1A, 3.500%, 03/25/2054(2)(4) | 6,415,350 | 6,410,479 | ||||||||||
Series 2015-5, Class A1, 3.500%, 05/25/2055(2)(4) | 3,556,051 | 3,550,735 | ||||||||||
Series 2016-3, Class A1, 2.250%, 08/25/2055(2)(4) | 1,947,402 | 1,902,081 | ||||||||||
Series 2016-2, Class A1, 3.000%, 08/25/2055(2)(4) | 10,042,650 | 9,913,185 | ||||||||||
Series 2016-5, Class A1, 2.500%, 10/25/2056(2)(4) | 5,431,159 | 5,303,974 | ||||||||||
Series 2017-1, Class A1, 2.750%, 10/25/2056(2)(4) | 36,045,899 | 35,290,071 | ||||||||||
Series 2017-6, Class A1, 2.750%, 10/25/2057(2)(4) | 32,128,420 | 31,310,199 | ||||||||||
WaMu Mortgage Pass-Through Certificates Trust: | ||||||||||||
Series 2004-CB1, Class 5A, 5.000%, 06/25/2019 | 52,693 | 52,853 | ||||||||||
Series 2004-CB2, Class 7A, 5.500%, 08/25/2019 | 77,242 | 77,504 | ||||||||||
Series 2004-CB3, Class 3A, 5.500%, 10/25/2019 | 6,528 | 6,559 | ||||||||||
Series 2004-CB3, Class 4A, 6.000%, 10/25/2019 | 35,859 | 36,317 | ||||||||||
Series 2004-CB4, Class 21A, 5.500%, 12/25/2019 | 30,104 | 30,372 | ||||||||||
Series 2004-CB2, Class 3A, 6.000%, 08/25/2034 | 6,781,948 | 7,166,149 | ||||||||||
Series 2004-CB3, Class 2A, 6.500%, 10/25/2034 | 3,485,122 | 3,711,988 | ||||||||||
Series 2004-AR14, Class A1, 3.480%, 01/25/2035(4) | 9,770,085 | 9,992,924 | ||||||||||
Wells Fargo Mortgage Backed Securities Trust, | ||||||||||||
Series 2005-AR10, Class 2A17, 3.911%, 06/25/2035(4) | 14,918,597 | 15,330,888 | ||||||||||
552,753,795 | 3.6 | % | ||||||||||
3,888,441,290 | 25.0 | % | ||||||||||
Commercial Mortgage-Backed Securities | ||||||||||||
U.S. Government Agency Issues | ||||||||||||
Fannie Mae REMIC Trust: | ||||||||||||
Series 2011-M4, Class A2, 3.726%, 06/25/2021 | 22,235,048 | 22,695,666 | ||||||||||
Series 2014-M2, Class A2, 3.513%, 12/25/2023(4) | 11,095,000 | 11,321,712 | ||||||||||
Freddie Mac Multifamily Structured Pass Through Certificates: | ||||||||||||
Series K714, Class A2, 3.034%, 10/25/2020(4) | 34,345,000 | 34,355,753 | ||||||||||
Series K720, Class A2, 2.716%, 06/25/2022 | 17,950,000 | 17,736,165 | ||||||||||
Series K721, Class A2, 3.090%, 08/25/2022(4) | 25,545,000 | 25,554,919 | ||||||||||
Series K028, Class A2, 3.111%, 02/25/2023 | 47,010,000 | 47,213,511 | ||||||||||
Series K029, Class A2, 3.320%, 02/25/2023(4) | 27,398,000 | 27,677,468 | ||||||||||
Series K037, Class A2, 3.490%, 01/25/2024 | 68,125,000 | 69,342,932 | ||||||||||
Series K050, Class A2, 3.334%, 08/25/2025(4) | 72,374,000 | 72,853,861 | ||||||||||
Series K058, Class A2, 2.653%, 08/25/2026 | 19,865,000 | 18,931,585 | ||||||||||
Series K064, Class A2, 3.224%, 03/25/2027 | 33,820,000 | 33,447,151 | ||||||||||
Series K065, Class A2, 3.243%, 04/25/2027 | 28,200,000 | 27,879,485 | ||||||||||
Series K066, Class A2, 3.117%, 06/25/2027 | 11,100,000 | 10,849,038 | ||||||||||
Series K068, Class A2, 3.244%, 08/25/2027 | 9,000,000 | 8,878,937 | ||||||||||
Series K069, Class A2, 3.187%, 09/25/2027(4) | 23,130,000 | 22,655,856 | ||||||||||
Series K071, Class A2, 3.286%, 11/25/2027 | 23,025,000 | 22,725,281 | ||||||||||
Series K077, Class A2, 3.850%, 05/25/2028(4) | 15,475,000 | 15,995,595 | ||||||||||
490,114,915 | 3.2 | % | ||||||||||
Non-U.S. Government Agency Issues | ||||||||||||
Bank 2017-BNK4 | ||||||||||||
Series 2017-BNK4, Class A4, 3.625%, 05/17/2050 | 26,535,000 | 26,332,875 | ||||||||||
Bank 2017-BNK9 | ||||||||||||
Series 2017-BNK9, Class A4, 3.538%, 11/17/2054 | 44,971,000 | 44,341,383 | ||||||||||
CD Mortgage Trust, | ||||||||||||
Series 2016-CD1, Class A4, 2.724%, 08/12/2049 | 37,060,000 | 34,481,332 | ||||||||||
Citigroup Commercial Mortgage Trust: | ||||||||||||
Series 2013-GC11, Class A4, 3.093%, 04/10/2046 | 34,503,388 | 34,090,586 | ||||||||||
Series 2014-GC19, Class A3, 3.753%, 03/12/2047 | 11,825,000 | 11,948,892 | ||||||||||
Series 2015-GC27, Class A5, 3.137%, 02/10/2048 | 24,587,000 | 23,954,145 | ||||||||||
COMM Mortgage Trust: | ||||||||||||
Series 2012-CR1, Class A3, 3.391%, 05/17/2045 | 7,488,584 | 7,498,258 | ||||||||||
Series 2013-CR9, Class A3, 4.022%, 07/12/2045(4) | 24,756,958 | 25,446,162 | ||||||||||
Series 2012-CR2, Class A4, 3.147%, 08/17/2045 | 19,660,536 | 19,503,808 | ||||||||||
Series 2013-CR10, Class A3, 3.923%, 08/10/2046 | 23,175,000 | 23,762,132 | ||||||||||
DBJPM Mortgage Trust, | ||||||||||||
Series 2016-C3, Class ASB, 2.756%, 08/12/2049 | 10,360,000 | 9,986,555 | ||||||||||
GS Mortgage Securities Trust: | ||||||||||||
Series 2012-GCJ9, Class A3, 2.773%, 11/13/2045 | 36,918,489 | 36,101,364 | ||||||||||
Series 2013-GC14, Class A5, 4.243%, 08/10/2046 | 25,000,000 | 25,959,465 | ||||||||||
J.P. Morgan Chase Commercial Mortgage Securities Trust: | ||||||||||||
Series 2013-LC11, Class A5, 2.960%, 04/15/2046 | 16,702,913 | 16,387,181 | ||||||||||
Series 2013-C10, Class ASB, 2.702%, 12/17/2047 | 8,977,525 | 8,889,835 | ||||||||||
Series 2012-LC9, Class A5, 2.840%, 12/17/2047 | 14,450,059 | 14,141,556 | ||||||||||
JPMBB Commercial Mortgage Securities Trust: | ||||||||||||
Series 2013-C12, Class ASB, 3.157%, 07/17/2045 | 4,415,412 | 4,418,885 | ||||||||||
Series 2013-C12, Class A5, 3.664%, 07/17/2045 | 6,835,000 | 6,916,793 | ||||||||||
Series 2013-C15, Class A4, 4.096%, 11/17/2045 | 2,130,000 | 2,198,216 | ||||||||||
Series 2013-C17, Class A3, 3.928%, 01/17/2047 | 8,450,000 | 8,618,099 | ||||||||||
Series 2013-C17, Class A4, 4.199%, 01/17/2047 | 10,000,000 | 10,363,381 | ||||||||||
Series 2014-C24, Class ASB, 3.368%, 11/18/2047 | 10,000,000 | 10,021,857 | ||||||||||
Series 2014-C25, Class ASB, 3.407%, 11/18/2047 | 8,538,000 | 8,565,926 | ||||||||||
Morgan Stanley Bank of America Merrill Lynch Trust: | ||||||||||||
Series 2012-C5, Class A4, 3.176%, 08/17/2045 | 37,550,000 | 37,266,385 | ||||||||||
Series 2012-C6, Class A4, 2.858%, 11/15/2045 | 26,885,945 | 26,405,144 | ||||||||||
Series 2013-C10, Class A3, 4.104%, 07/17/2046(4) | 6,630,160 | 6,798,109 | ||||||||||
Series 2013-C12, Class A3, 3.973%, 10/17/2046 | 22,850,000 | 23,364,474 | ||||||||||
Series 2016-C29, Class ASB, 3.140%, 05/17/2049 | 12,250,000 | 12,085,800 | ||||||||||
Wells Fargo Commercial Mortgage Trust: | ||||||||||||
Series 2015-C27, Class ASB, 3.278%, 02/18/2048 | 18,000,000 | 17,946,871 | ||||||||||
Series 2015-SG1, Class ASB, 3.556%, 09/17/2048 | 18,900,000 | 19,013,440 | ||||||||||
Series 2015-P2, Class A3, 3.541%, 12/15/2048 | 44,050,000 | 43,825,543 | ||||||||||
WFRBS Commercial Mortgage Trust: | ||||||||||||
Series 2012-C6, Class A4, 3.440%, 04/15/2045 | 26,735,220 | 26,869,337 | ||||||||||
Series 2013-C13, Class ASB, 2.654%, 05/17/2045 | 7,226,602 | 7,160,011 | ||||||||||
Series 2013-C18, Class A4, 3.896%, 12/17/2046 | 12,900,000 | 13,224,932 | ||||||||||
Series 2014-C21, Class A5, 3.678%, 08/16/2047 | 21,344,000 | 21,531,514 | ||||||||||
Series 2014-C24, Class A4, 3.343%, 11/18/2047 | 10,330,000 | 10,209,994 | ||||||||||
Series 2014-C23, Class ASB, 3.636%, 10/17/2057 | 6,920,000 | 6,999,439 | ||||||||||
686,629,679 | 4.4 | % | ||||||||||
1,176,744,594 | 7.6 | % | ||||||||||
Asset Backed Securities | ||||||||||||
Citibank Credit Card Issuance Trust, | ||||||||||||
Series 2007-A3, Class A3, 6.150%, 06/15/2039 | 8,166,000 | 10,323,943 | ||||||||||
Conseco Financial Corp.: | ||||||||||||
Series 1998-2, Class A5, 6.240%, 12/01/2028 | 177,234 | 181,092 | ||||||||||
Series 1998-7, Class A1, 6.320%, 05/01/2029 | 13,416,232 | 13,970,403 | ||||||||||
Series 1998-3, Class A5, 6.220%, 03/01/2030 | 266,851 | 281,533 | ||||||||||
Series 1998-4, Class A5, 6.180%, 04/01/2030 | 1,625,169 | 1,699,749 | ||||||||||
Ford Credit Auto Owner Trust: | ||||||||||||
Series 2014-2, Class A, 2.310%, 04/15/2026(2) | 27,030,000 | 26,818,969 | ||||||||||
Series 2015-1, Class A, 2.120%, 07/15/2026(2) | 9,540,000 | 9,411,381 | ||||||||||
Series 2016-1, Class A, 2.310%, 08/15/2027(2) | 28,860,000 | 28,269,793 | ||||||||||
Series 2016-2, Class A, 2.030%, 12/15/2027(2) | 22,030,000 | 21,331,495 | ||||||||||
Series 2018-1, Class A, 3.190%, 07/15/2031(2) | 40,550,000 | 39,898,073 | ||||||||||
MMAF Equipment Finance LLC, | ||||||||||||
Series 2016-AA, Class A5, 2.210%, 12/15/2032(2) | 14,100,000 | 13,531,664 | ||||||||||
Oakwood Mortgage Investors, Inc., | ||||||||||||
Series 1999-B, Class A3, 6.450%, 12/15/2023 | 19,231 | 19,447 | ||||||||||
PFS Financing Corp., | ||||||||||||
Series 2017-D, Class A, 2.400%, 10/17/2022(2) | 20,150,000 | 19,778,275 | ||||||||||
Sofi Consumer Loan Program, | ||||||||||||
Series 2017-6, Class A2, 2.820%, 11/25/2026(2) | 10,000,000 | 9,918,826 | ||||||||||
SpareBank 1 Boligkreditt AS, | ||||||||||||
1.750%, 11/15/2020(1)(2) | 4,463,000 | 4,393,525 | ||||||||||
Synchrony Credit Card Master Note Trust: | ||||||||||||
Series 2015-1, Class A, 2.370%, 03/15/2023 | 20,883,000 | 20,665,282 | ||||||||||
Series 2016-2, Class A, 2.210%, 05/15/2024 | 8,900,000 | 8,670,706 | ||||||||||
Verizon Owner Trust, | ||||||||||||
Series 2017-2A, Class A, 1.920%, 12/20/2021(2) | 3,825,000 | 3,770,856 | ||||||||||
232,935,012 | 1.5 | % | ||||||||||
Total Long-Term Investments(Cost $15,577,782,263) | 15,267,239,992 | 98.2 | % |
SHORT-TERM INVESTMENT | Shares | |||||||||||
Money Market Mutual Fund | ||||||||||||
Fidelity Institutional Money Market Fund - Government Portfolio, Institutional Class 1.81%(5) | 313,547,708 | 313,547,708 | 2.0 | % | ||||||||
Total Short-Term Investment(Cost $313,547,708) | 313,547,708 | 2.0 | % | |||||||||
Total Investments(Cost $15,891,329,971) | 15,580,787,700 | 100.2 | % | |||||||||
Liabilities in Excess of Other Assets | (26,035,557 | ) | (0.2 | )% | ||||||||
TOTAL NET ASSETS | $ | 15,554,752,143 | 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 June 30, 2018, the value of these securities total $2,465,485,816, which represents 15.85% 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 June 30, 2018. | ||||||
(4) | Variable rate security. The coupon is based on an underlying pool of loans. The rate reported is the rate in effect as of June 30, 2018. | ||||||
(5) | 7-Day Yield. | ||||||
(6) | Security that, on the last payment date, missed a partial principal or interest payment. | ||||||
(7) | Security in Default. | ||||||
(8) | Step-up bond; the interest rate shown is the rate in effect as of June 30, 2018. | ||||||
(9) | Security or a portion of the security purchased on a when-issued or delayed delivery basis. |
Baird Aggregate Bond Fund | ||||||||
Schedule of Investments, June 30, 2018 (Unaudited) | ||||||||
Summary of Fair Value Exposure at June 30, 2018 (Unaudited) | ||||||||
The Fund has adopted authoritative fair valuation accounting standards which establish a definition of fair value and set out a hierarchy for measuring fair value. These standards require additional disclosures about the various inputs and valuation techniques used to develop the measurements of fair value and a discussion on changes in valuation techniques and related inputs during the period. These standards define fair value as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. | ||||||||
The fair value hierarchy is organized into three levels based upon the assumptions (referred to as "inputs") used in pricing the asset or liability. These standards state that "observable inputs" reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from independent sources and "unobservable inputs" reflect an entity's own assumptions about the assumptions market participants would use in pricing the asset or liability. These inputs are summarized into three broad levels and described below: |
Level 1 - | Unadjusted quoted prices in active markets for identical unrestricted securities. | ||
Level 2 - | Other significant observable inputs (including quoted prices for similar securities, quoted prices in inactive markets, dealer indications, interest rates, yield curves, prepayment speeds, credit risk, default rates, inputs corroborated by observable market data, etc.). | ||
Level 3 - | Significant unobservable inputs (including the Fund's own assumptions about the factors that market participants would use in valuing the security) based on the best information available. |
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. | ||||||||
The following is a summary of the inputs used to value the Fund's investments as of June 30, 2018: |
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Long-Term Investments | ||||||||||||||||
U.S. Treasury Securities | $ | – | $ | 3,344,389,349 | $ | – | $ | 3,344,389,349 | ||||||||
Other Government Related Securities | – | 155,485,144 | – | 155,485,144 | ||||||||||||
Corporate Bonds | – | 6,318,052,322 | – | 6,318,052,322 | ||||||||||||
Municipal Bonds | – | 151,192,281 | – | 151,192,281 | ||||||||||||
Residential Mortgage-Backed Securities - U.S. Government Agency Issues | – | 3,335,687,495 | – | 3,335,687,495 | ||||||||||||
Residential Mortgage-Backed Securities - Non-U.S. Government Agency Issues | – | 552,753,795 | – | 552,753,795 | ||||||||||||
Commercial Mortgage-Backed Securities - U.S. Government Agency Issues | – | 490,114,915 | – | 490,114,915 | ||||||||||||
Commercial Mortgage-Backed Securities - Non-U.S. Government Agency Issues | – | 686,629,679 | – | 686,629,679 | ||||||||||||
Asset Backed Securities | – | 232,935,012 | – | 232,935,012 | ||||||||||||
Total Long-Term Investments | – | 15,267,239,992 | – | 15,267,239,992 | ||||||||||||
Short-Term Investment | ||||||||||||||||
Money Market Mutual Fund | 313,547,708 | – | – | 313,547,708 | ||||||||||||
Total Short-Term Investment | 313,547,708 | – | – | 313,547,708 | ||||||||||||
Total Investments | $ | 313,547,708 | $ | 15,267,239,992 | $ | – | $ | 15,580,787,700 |
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. See the Fund's valuation policy in Note 2a to the financial statements. |
Baird Core Plus Bond Fund | ||||||||||||
Schedule of Investments | ||||||||||||
June 30, 2018(Unaudited) | ||||||||||||
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
LONG-TERM INVESTMENTS | ||||||||||||
U.S. Treasury Securities | ||||||||||||
U.S. Treasury Bonds: | ||||||||||||
1.750%, 03/31/2022 | $ | 378,300,000 | $ | 365,768,812 | ||||||||
1.875%, 03/31/2022 | 381,325,000 | 370,376,801 | ||||||||||
2.500%, 05/15/2024 | 45,375,000 | 44,662,471 | ||||||||||
2.250%, 11/15/2025 | 394,775,000 | 379,677,939 | ||||||||||
2.000%, 11/15/2026 | 80,925,000 | 75,838,738 | ||||||||||
2.250%, 11/15/2027 | 235,000,000 | 223,387,696 | ||||||||||
3.500%, 02/15/2039 | 397,620,000 | 433,188,350 | ||||||||||
2.875%, 05/15/2043 | 705,350,000 | 693,061,477 | ||||||||||
2.500%, 02/15/2045 | 118,225,000 | 107,792,567 | ||||||||||
2,693,754,851 | 15.0 | % | ||||||||||
Other Government Related Securities | ||||||||||||
Centrais Eletricas Brasileiras SA: | ||||||||||||
6.875%, 07/30/2019(1)(2) | 3,000,000 | 3,067,530 | ||||||||||
5.750%, 10/27/2021(1)(2) | 4,000,000 | 3,904,000 | ||||||||||
CNOOC Curtis Funding No. 1 Pty Ltd., | ||||||||||||
4.500%, 10/03/2023(1)(2) | 5,000,000 | 5,151,960 | ||||||||||
CNOOC Finance(2013) Ltd., | ||||||||||||
3.000%, 05/09/2023(1) | 2,415,000 | 2,328,376 | ||||||||||
CNOOC Finance(2015) USA LLC, | ||||||||||||
3.500%, 05/05/2025 | 21,200,000 | 20,429,253 | ||||||||||
CNOOC Nexen Finance(2014) ULC, | ||||||||||||
4.250%, 04/30/2024(1) | 4,450,000 | 4,499,849 | ||||||||||
CNPC General Capital Ltd., | ||||||||||||
2.750%, 05/14/2019(1)(2) | 2,000,000 | 1,991,289 | ||||||||||
Comision Federal de Electricidad, | ||||||||||||
5.750%, 02/14/2042(1)(2) | 5,200,000 | 5,083,052 | ||||||||||
Corp Andina de Fomento, | ||||||||||||
4.375%, 06/15/2022(1) | 4,081,000 | 4,221,754 | ||||||||||
Electricite de France SA, | ||||||||||||
4.750%, 10/13/2035(1)(2) | 10,000,000 | 10,352,511 | ||||||||||
Export-Import Bank of Korea: | ||||||||||||
2.250%, 01/21/2020(1) | 14,000,000 | 13,787,732 | ||||||||||
4.000%, 01/29/2021(1) | 2,400,000 | 2,428,298 | ||||||||||
The Korea Development Bank: | ||||||||||||
2.250%, 05/18/2020(1) | 7,200,000 | 7,056,110 | ||||||||||
3.000%, 09/14/2022(1) | 4,400,000 | 4,292,398 | ||||||||||
Nexen Energy ULC, | ||||||||||||
6.400%, 05/15/2037(1) | 6,249,000 | 7,648,982 | ||||||||||
Petrobras Global Finance BV: | ||||||||||||
5.299%, 01/27/2025(1)(2) | 3,400,000 | 3,141,600 | ||||||||||
7.375%, 01/17/2027(1) | 9,300,000 | 9,288,375 | ||||||||||
Petroleos Mexicanos: | ||||||||||||
4.875%, 01/24/2022(1) | 6,500,000 | 6,557,200 | ||||||||||
4.250%, 01/15/2025(1) | 15,000,000 | 14,025,000 | ||||||||||
4.500%, 01/23/2026(1) | 4,500,000 | 4,221,900 | ||||||||||
6.500%, 06/02/2041(1) | 4,000,000 | 3,761,600 | ||||||||||
Sinopec Group Overseas Development [2014] Ltd., | ||||||||||||
4.375%, 04/10/2024(1)(2) | 1,500,000 | 1,529,637 | ||||||||||
Sinopec Group Overseas Development [2015] Ltd.: | ||||||||||||
2.500%, 04/28/2020(1)(2) | 20,000,000 | 19,706,953 | ||||||||||
3.250%, 04/28/2025(1)(2) | 20,000,000 | 19,017,030 | ||||||||||
Sinopec Group Overseas Development [2016] Ltd.: | ||||||||||||
1.750%, 09/29/2019(1)(2) | 8,000,000 | 7,851,920 | ||||||||||
3.500%, 05/03/2026(1)(2) | 10,000,000 | 9,525,000 | ||||||||||
Sinopec Group Overseas Development [2017] Ltd, | ||||||||||||
3.000%, 04/12/2022(1)(2) | 6,950,000 | 6,775,333 | ||||||||||
Syngenta Finance NV: | ||||||||||||
3.125%, 03/28/2022(1) | 5,000,000 | 4,762,229 | ||||||||||
4.441%, 04/24/2023(1)(2) | 5,000,000 | 4,972,009 | ||||||||||
4.892%, 04/24/2025(1)(2) | 10,000,000 | 9,804,778 | ||||||||||
221,183,658 | 1.2 | % | ||||||||||
Corporate Bonds | ||||||||||||
Industrials | ||||||||||||
21st Century Fox America, Inc.: | ||||||||||||
6.900%, 03/01/2019 | 6,659,000 | 6,836,818 | ||||||||||
3.700%, 09/15/2024 | 4,025,000 | 4,009,378 | ||||||||||
7.430%, 10/01/2026 | 3,300,000 | 3,943,271 | ||||||||||
6.150%, 03/01/2037 | 9,000,000 | 10,556,231 | ||||||||||
5.400%, 10/01/2043 | 5,000,000 | 5,527,415 | ||||||||||
4.750%, 09/15/2044 | 1,950,000 | 1,972,277 | ||||||||||
A.P. Meoller - Maersk A/S: | ||||||||||||
2.550%, 09/22/2019(1)(2) | 10,000,000 | 9,896,334 | ||||||||||
3.750%, 09/22/2024(1)(2) | 4,475,000 | 4,355,746 | ||||||||||
Abbott Laboratories: | ||||||||||||
3.400%, 11/30/2023 | 10,000,000 | 9,866,252 | ||||||||||
4.750%, 11/30/2036 | 38,500,000 | 40,548,063 | ||||||||||
AbbVie, Inc.: | ||||||||||||
3.200%, 11/06/2022 | 3,000,000 | 2,950,533 | ||||||||||
3.600%, 05/14/2025 | 2,500,000 | 2,421,270 | ||||||||||
4.300%, 05/14/2036 | 3,825,000 | 3,648,468 | ||||||||||
Actavis Funding SCS: | ||||||||||||
3.850%, 06/15/2024(1) | 10,125,000 | 9,942,734 | ||||||||||
3.800%, 03/15/2025(1) | 10,200,000 | 9,904,661 | ||||||||||
4.550%, 03/15/2035(1) | 14,098,000 | 13,338,871 | ||||||||||
Acuity Brands Lighting, Inc., | ||||||||||||
6.000%, 12/15/2019 | 700,000 | 726,782 | ||||||||||
The ADT Corp., | ||||||||||||
3.500%, 07/15/2022 | 6,900,000 | 6,458,400 | ||||||||||
Agilent Technologies, Inc., | ||||||||||||
3.875%, 07/15/2023 | 5,325,000 | 5,307,389 | ||||||||||
Alibaba Group Holding Ltd., | ||||||||||||
3.125%, 11/28/2021(1) | 10,000,000 | 9,904,161 | ||||||||||
Allegion US Holding Co., Inc., | ||||||||||||
3.200%, 10/01/2024 | 22,750,000 | 21,512,400 | ||||||||||
Amgen, Inc., | ||||||||||||
4.400%, 05/01/2045 | 8,000,000 | 7,624,584 | ||||||||||
Anadarko Petroleum Corp.: | ||||||||||||
8.700%, 03/15/2019 | 4,380,000 | 4,550,295 | ||||||||||
6.450%, 09/15/2036 | 4,025,000 | 4,651,514 | ||||||||||
Andeavor Logistics LP, | ||||||||||||
3.500%, 12/01/2022 | 8,600,000 | 8,402,863 | ||||||||||
Anglo American Capital PLC: | ||||||||||||
3.750%, 04/10/2022(1)(2) | 7,000,000 | 6,949,670 | ||||||||||
4.125%, 09/27/2022(1)(2) | 5,385,000 | 5,414,422 | ||||||||||
3.625%, 09/11/2024(1)(2) | 4,325,000 | 4,094,954 | ||||||||||
Anheuser-Busch InBev Finance, Inc., | ||||||||||||
3.300%, 02/01/2023 | 20,350,000 | 20,179,847 | ||||||||||
ANR Pipeline Co., | ||||||||||||
9.625%, 11/01/2021 | 9,150,000 | 11,074,202 | ||||||||||
Aramark Services, Inc., | ||||||||||||
5.000%, 02/01/2028(2) | 1,000,000 | 955,000 | ||||||||||
ArcelorMittal: | ||||||||||||
5.500%, 03/01/2021(1) | 7,950,000 | 8,283,900 | ||||||||||
6.250%, 02/25/2022(1) | 7,760,000 | 8,254,622 | ||||||||||
Arrow Electronics, Inc., | ||||||||||||
3.250%, 09/08/2024 | 15,000,000 | 14,022,175 | ||||||||||
AT&T, Inc.: | ||||||||||||
3.950%, 01/15/2025 | 4,425,000 | 4,327,776 | ||||||||||
3.400%, 05/15/2025 | 20,225,000 | 18,965,776 | ||||||||||
4.125%, 02/17/2026 | 8,925,000 | 8,723,437 | ||||||||||
4.300%, 02/15/2030(2) | 10,980,000 | 10,364,092 | ||||||||||
5.250%, 03/01/2037 | 7,125,000 | 7,007,817 | ||||||||||
4.900%, 08/15/2037(2) | 10,000,000 | 9,489,390 | ||||||||||
5.150%, 11/15/2046(2) | 10,321,000 | 9,723,281 | ||||||||||
4.500%, 03/09/2048 | 15,264,000 | 13,158,933 | ||||||||||
5.150%, 02/15/2050(2) | 23,650,000 | 22,038,981 | ||||||||||
Avnet, Inc., | ||||||||||||
3.750%, 12/01/2021 | 5,000,000 | 4,982,273 | ||||||||||
Ball Corp.: | ||||||||||||
5.250%, 07/01/2025 | 25,000,000 | 25,500,000 | ||||||||||
4.875%, 03/15/2026 | 7,000,000 | 6,973,750 | ||||||||||
Bayer US Finance II LLC: | ||||||||||||
4.250%, 12/15/2025(2) | 25,000,000 | 25,133,775 | ||||||||||
4.625%, 06/25/2038(2) | 12,000,000 | 11,896,406 | ||||||||||
4.875%, 06/25/2048(2) | 5,125,000 | 5,139,732 | ||||||||||
Bayer US Finance LLC, | ||||||||||||
2.375%, 10/08/2019(2) | 14,725,000 | 14,599,534 | ||||||||||
Beam Suntory, Inc.: | ||||||||||||
3.250%, 05/15/2022 | 7,000,000 | 6,901,573 | ||||||||||
3.250%, 06/15/2023 | 10,960,000 | 10,631,218 | ||||||||||
Becton Dickinson and Co.: | ||||||||||||
3.250%, 11/12/2020 | 13,000,000 | 12,934,002 | ||||||||||
3.363%, 06/06/2024 | 10,000,000 | 9,605,844 | ||||||||||
3.734%, 12/15/2024 | 9,250,000 | 9,030,322 | ||||||||||
4.875%, 05/15/2044 | 5,455,000 | 5,354,194 | ||||||||||
Bemis Co., Inc., | ||||||||||||
4.500%, 10/15/2021 | 1,000,000 | 1,026,180 | ||||||||||
Boardwalk Pipelines LP: | ||||||||||||
4.950%, 12/15/2024 | 15,475,000 | 15,754,417 | ||||||||||
5.950%, 06/01/2026 | 26,406,000 | 28,316,583 | ||||||||||
Boral Finance Pty Ltd.: | ||||||||||||
3.000%, 11/01/2022(1)(2) | 8,650,000 | 8,333,859 | ||||||||||
3.750%, 05/01/2028(1)(2) | 5,550,000 | 5,285,113 | ||||||||||
Broadcom Corp. / Broadcom Cayman Finance Ltd.: | ||||||||||||
3.000%, 01/15/2022 | 25,000,000 | 24,316,515 | ||||||||||
3.125%, 01/15/2025 | 13,250,000 | 12,291,520 | ||||||||||
Broadridge Financial Solutions, Inc., | ||||||||||||
3.400%, 06/27/2026 | 18,286,000 | 17,333,234 | ||||||||||
Browning-Ferris Industries, Inc., | ||||||||||||
9.250%, 05/01/2021 | 1,600,000 | 1,799,173 | ||||||||||
Bunge Limited Finance Corp.: | ||||||||||||
8.500%, 06/15/2019 | 13,690,000 | 14,379,855 | ||||||||||
3.250%, 08/15/2026 | 13,188,000 | 12,037,012 | ||||||||||
3.750%, 09/25/2027 | 22,800,000 | 21,516,634 | ||||||||||
Burlington Northern Santa Fe LLC, | ||||||||||||
4.150%, 04/01/2045 | 3,100,000 | 3,022,799 | ||||||||||
Campbell Soup Co.: | ||||||||||||
3.950%, 03/15/2025 | 11,000,000 | 10,606,137 | ||||||||||
4.800%, 03/15/2048 | 7,325,000 | 6,622,336 | ||||||||||
Carlisle Cos, Inc., | ||||||||||||
3.750%, 12/01/2027 | 4,600,000 | 4,372,361 | ||||||||||
Celgene Corp.: | ||||||||||||
3.550%, 08/15/2022 | 5,730,000 | 5,686,410 | ||||||||||
3.250%, 02/20/2023 | 10,000,000 | 9,768,551 | ||||||||||
CF Industries, Inc.: | ||||||||||||
3.450%, 06/01/2023 | 24,874,000 | 23,536,774 | ||||||||||
5.375%, 03/15/2044 | 10,922,000 | 9,638,665 | ||||||||||
Charter Communications Operating LLC: | ||||||||||||
4.464%, 07/23/2022 | 33,748,000 | 34,162,657 | ||||||||||
6.384%, 10/23/2035 | 6,000,000 | 6,270,040 | ||||||||||
CK Hutchison International Ltd.: | ||||||||||||
2.250%, 09/29/2020(1)(2) | 17,600,000 | 17,210,359 | ||||||||||
2.875%, 04/05/2022(1)(2) | 7,475,000 | 7,285,509 | ||||||||||
CNH Industrial NV, | ||||||||||||
4.500%, 08/15/2023(1) | 6,168,000 | 6,201,307 | ||||||||||
Columbia Pipeline Group, Inc.: | ||||||||||||
3.300%, 06/01/2020 | 9,943,000 | 9,901,856 | ||||||||||
4.500%, 06/01/2025 | 14,135,000 | 14,102,568 | ||||||||||
5.800%, 06/01/2045 | 2,223,000 | 2,505,037 | ||||||||||
Comcast Cable Communications Holdings, Inc., | ||||||||||||
9.455%, 11/15/2022 | 2,030,000 | 2,495,527 | ||||||||||
Comcast Corp.: | ||||||||||||
4.250%, 01/15/2033 | 5,900,000 | 5,761,645 | ||||||||||
4.400%, 08/15/2035 | 13,575,000 | 13,208,372 | ||||||||||
3.200%, 07/15/2036 | 15,000,000 | 12,479,238 | ||||||||||
4.650%, 07/15/2042 | 2,000,000 | 1,945,785 | ||||||||||
ConocoPhillips Canada Funding Co. I, | ||||||||||||
5.950%, 10/15/2036(1) | 845,000 | 1,010,329 | ||||||||||
Constellation Brands, Inc., | ||||||||||||
4.750%, 12/01/2025 | 1,000,000 | 1,035,200 | ||||||||||
Corning, Inc., | ||||||||||||
4.375%, 11/15/2057 | 10,000,000 | 8,717,849 | ||||||||||
Cox Communications, Inc.: | ||||||||||||
2.950%, 06/30/2023(2) | 5,475,000 | 5,186,942 | ||||||||||
3.850%, 02/01/2025(2) | 2,875,000 | 2,816,352 | ||||||||||
3.350%, 09/15/2026(2) | 16,750,000 | 15,486,049 | ||||||||||
4.800%, 02/01/2035(2) | 4,450,000 | 4,097,785 | ||||||||||
6.450%, 12/01/2036(2) | 5,550,000 | 6,078,746 | ||||||||||
8.375%, 03/01/2039(2) | 11,639,000 | 15,392,422 | ||||||||||
4.700%, 12/15/2042(2) | 5,000,000 | 4,378,628 | ||||||||||
CSX Corp.: | ||||||||||||
6.220%, 04/30/2040 | 475,000 | 572,867 | ||||||||||
4.650%, 03/01/2068 | 9,000,000 | 8,480,973 | ||||||||||
CVS Health Corp.: | ||||||||||||
3.875%, 07/20/2025 | 2,302,000 | 2,230,486 | ||||||||||
4.780%, 03/25/2038 | 30,000,000 | 29,507,146 | ||||||||||
5.050%, 03/25/2048 | 19,475,000 | 19,819,633 | ||||||||||
Danone SA: | ||||||||||||
3.000%, 06/15/2022(1)(2) | 3,500,000 | 3,420,362 | ||||||||||
2.589%, 11/02/2023(1)(2) | 10,000,000 | 9,417,964 | ||||||||||
DCP Midstream LLC: | ||||||||||||
9.750%, 03/15/2019(2) | 10,505,000 | 10,938,331 | ||||||||||
4.750%, 09/30/2021(2) | 2,245,000 | 2,267,450 | ||||||||||
Deutsche Telekom International Finance BV: | ||||||||||||
6.750%, 08/20/2018(1) | 1,250,000 | 1,256,979 | ||||||||||
8.750%, 06/15/2030(1)(3) | 18,415,000 | 24,403,848 | ||||||||||
Diamond 1 Finance Corp. / Diamond 2 Finance Corp.: | ||||||||||||
3.480%, 06/01/2019(2) | 13,810,000 | 13,844,770 | ||||||||||
4.420%, 06/15/2021(2) | 39,125,000 | 39,697,105 | ||||||||||
5.450%, 06/15/2023(2) | 32,680,000 | 34,204,110 | ||||||||||
DISH DBS Corp., | ||||||||||||
5.000%, 03/15/2023 | 2,500,000 | 2,168,750 | ||||||||||
Dominion Gas Holdings LLC, | ||||||||||||
3.600%, 12/15/2024 | 6,100,000 | 6,070,985 | ||||||||||
The Dow Chemical Co.: | ||||||||||||
8.550%, 05/15/2019 | 32,350,000 | 33,905,389 | ||||||||||
4.125%, 11/15/2021 | 835,000 | 851,194 | ||||||||||
DXC Technology Co.: | ||||||||||||
3.250%, 03/01/2021(3 Month LIBOR USD + 0.950%)(4) | 12,000,000 | 12,003,170 | ||||||||||
4.450%, 09/18/2022 | 2,000,000 | 2,058,601 | ||||||||||
4.250%, 04/15/2024 | 37,639,000 | 37,597,991 | ||||||||||
4.750%, 04/15/2027 | 18,650,000 | 18,842,570 | ||||||||||
Eaton Corp.: | ||||||||||||
2.750%, 11/02/2022 | 2,625,000 | 2,548,615 | ||||||||||
4.000%, 11/02/2032 | 3,660,000 | 3,643,254 | ||||||||||
Ecolab, Inc., | ||||||||||||
3.250%, 01/14/2023 | 6,325,000 | 6,245,568 | ||||||||||
EMC Corp., | ||||||||||||
2.650%, 06/01/2020 | 200,000 | 194,227 | ||||||||||
Enable Midstream Partners LP, | ||||||||||||
4.400%, 03/15/2027 | 15,000,000 | 14,267,119 | ||||||||||
Enable Oklahoma Intrastate Transmission LLC, | ||||||||||||
6.250%, 03/15/2020(2) | 3,300,000 | 3,426,473 | ||||||||||
Enbridge Energy Partners LP: | ||||||||||||
7.500%, 04/15/2038 | 4,500,000 | 5,556,532 | ||||||||||
7.375%, 10/15/2045 | 23,298,000 | 29,642,434 | ||||||||||
Encana Corp., | ||||||||||||
6.500%, 05/15/2019(1) | 610,000 | 626,989 | ||||||||||
Energy Transfer Equity LP, | ||||||||||||
4.250%, 03/15/2023 | 10,000,000 | 9,650,100 | ||||||||||
Energy Transfer Partners LP: | ||||||||||||
9.700%, 03/15/2019 | 1,189,000 | 1,243,718 | ||||||||||
4.150%, 10/01/2020 | 13,475,000 | 13,628,821 | ||||||||||
5.200%, 02/01/2022 | 1,000,000 | 1,037,100 | ||||||||||
3.600%, 02/01/2023 | 5,000,000 | 4,884,850 | ||||||||||
4.050%, 03/15/2025 | 6,204,000 | 5,994,397 | ||||||||||
4.200%, 04/15/2027 | 8,275,000 | 7,797,556 | ||||||||||
6.500%, 02/01/2042 | 14,000,000 | 14,424,207 | ||||||||||
5.150%, 03/15/2045 | 5,000,000 | 4,456,636 | ||||||||||
EnLink Midstream Partners LP, | ||||||||||||
4.400%, 04/01/2024 | 23,605,000 | 22,707,222 | ||||||||||
Ensco PLC, | ||||||||||||
5.200%, 03/15/2025(1) | 6,000,000 | 4,980,000 | ||||||||||
Enterprise Products Operating LLC: | ||||||||||||
2.850%, 04/15/2021 | 10,000,000 | 9,875,646 | ||||||||||
3.350%, 03/15/2023 | 10,000,000 | 9,853,103 | ||||||||||
3.750%, 02/15/2025 | 7,000,000 | 6,931,709 | ||||||||||
EQT Midstream Partners LP: | ||||||||||||
4.750%, 07/15/2023 | 22,000,000 | 21,964,555 | ||||||||||
4.125%, 12/01/2026 | 14,750,000 | 13,593,488 | ||||||||||
ERAC USA Finance LLC: | ||||||||||||
2.350%, 10/15/2019(2) | 5,385,000 | 5,324,542 | ||||||||||
2.600%, 12/01/2021(2) | 10,400,000 | 10,088,096 | ||||||||||
Express Scripts Holding Co.: | ||||||||||||
4.750%, 11/15/2021 | 14,700,000 | 15,166,082 | ||||||||||
3.050%, 11/30/2022 | 15,000,000 | 14,459,640 | ||||||||||
3.500%, 06/15/2024 | 7,500,000 | 7,198,542 | ||||||||||
FedEx Corp.: | ||||||||||||
8.000%, 01/15/2019 | 6,100,000 | 6,268,222 | ||||||||||
3.900%, 02/01/2035 | 7,000,000 | 6,546,148 | ||||||||||
Fidelity National Information Services, Inc.: | ||||||||||||
3.625%, 10/15/2020 | 2,789,000 | 2,806,585 | ||||||||||
4.500%, 10/15/2022 | 1,529,000 | 1,577,508 | ||||||||||
3.500%, 04/15/2023 | 3,268,000 | 3,229,946 | ||||||||||
3.875%, 06/05/2024 | 6,367,000 | 6,347,718 | ||||||||||
3.000%, 08/15/2026 | 9,300,000 | 8,519,575 | ||||||||||
4.500%, 08/15/2046 | 6,700,000 | 6,222,856 | ||||||||||
4.750%, 05/15/2048 | 15,000,000 | 14,490,542 | ||||||||||
Fiserv, Inc.: | ||||||||||||
4.625%, 10/01/2020 | 3,000,000 | 3,085,489 | ||||||||||
3.500%, 10/01/2022 | 11,625,000 | 11,448,853 | ||||||||||
3.850%, 06/01/2025 | 11,720,000 | 11,672,621 | ||||||||||
Florida Gas Transmission Co. LLC, | ||||||||||||
3.875%, 07/15/2022(2) | 3,000,000 | 3,021,375 | ||||||||||
Fomento Economico Mexicano SAB de CV: | ||||||||||||
2.875%, 05/10/2023(1) | 11,700,000 | 11,167,901 | ||||||||||
4.375%, 05/10/2043(1) | 4,000,000 | 3,935,283 | ||||||||||
Ford Motor Credit Co. LLC: | ||||||||||||
2.551%, 10/05/2018 | 8,500,000 | 8,494,665 | ||||||||||
2.681%, 01/09/2020 | 5,000,000 | 4,953,104 | ||||||||||
3.200%, 01/15/2021 | 11,250,000 | 11,123,283 | ||||||||||
5.750%, 02/01/2021 | 13,000,000 | 13,640,709 | ||||||||||
3.336%, 03/18/2021 | 5,500,000 | 5,450,676 | ||||||||||
5.875%, 08/02/2021 | 8,975,000 | 9,514,569 | ||||||||||
2.979%, 08/03/2022 | 10,000,000 | 9,632,079 | ||||||||||
4.250%, 09/20/2022 | 4,459,000 | 4,494,940 | ||||||||||
Forest Laboratories, Inc., | ||||||||||||
5.000%, 12/15/2021(2) | 41,397,000 | 42,831,267 | ||||||||||
Freeport-McMoRan, Inc.: | ||||||||||||
3.100%, 03/15/2020 | 3,775,000 | 3,699,500 | ||||||||||
3.550%, 03/01/2022 | 6,275,000 | 5,961,250 | ||||||||||
3.875%, 03/15/2023 | 23,000,000 | 21,735,000 | ||||||||||
Fresenius Medical Care US Finance II, Inc., | ||||||||||||
4.750%, 10/15/2024(2) | 8,075,000 | 8,305,460 | ||||||||||
Fresenius US Finance II, Inc., | ||||||||||||
4.500%, 01/15/2023(2) | 33,385,000 | 33,942,786 | ||||||||||
General Electric Co.: | ||||||||||||
2.200%, 01/09/2020 | 2,864,000 | 2,829,720 | ||||||||||
5.550%, 05/04/2020 | 1,199,000 | 1,249,646 | ||||||||||
4.375%, 09/16/2020 | 838,000 | 858,307 | ||||||||||
5.300%, 02/11/2021 | 859,000 | 898,672 | ||||||||||
4.650%, 10/17/2021 | 2,420,000 | 2,517,065 | ||||||||||
General Mills, Inc.: | ||||||||||||
2.200%, 10/21/2019 | 12,000,000 | 11,859,470 | ||||||||||
3.700%, 10/17/2023 | 20,000,000 | 19,796,159 | ||||||||||
4.000%, 04/17/2025 | 3,175,000 | 3,126,841 | ||||||||||
General Motors Financial Co., Inc.: | ||||||||||||
2.400%, 05/09/2019 | 6,500,000 | 6,469,711 | ||||||||||
2.350%, 10/04/2019 | 2,700,000 | 2,676,804 | ||||||||||
2.450%, 11/06/2020 | 9,000,000 | 8,798,373 | ||||||||||
3.700%, 11/24/2020 | 1,509,000 | 1,517,215 | ||||||||||
4.200%, 03/01/2021 | 21,283,000 | 21,579,685 | ||||||||||
3.200%, 07/06/2021 | 25,600,000 | 25,266,912 | ||||||||||
4.375%, 09/25/2021 | 4,450,000 | 4,535,775 | ||||||||||
3.450%, 01/14/2022 | 5,200,000 | 5,125,328 | ||||||||||
3.150%, 06/30/2022 | 6,325,000 | 6,147,078 | ||||||||||
4.150%, 06/19/2023 | 3,375,000 | 3,374,190 | ||||||||||
Genpact Luxembourg, | ||||||||||||
3.700%, 04/01/2022(1)(2)(3) | 43,005,000 | 42,011,802 | ||||||||||
Georgia-Pacific LLC: | ||||||||||||
5.400%, 11/01/2020(2) | 11,000,000 | 11,523,047 | ||||||||||
3.163%, 11/15/2021(2) | 20,000,000 | 19,872,488 | ||||||||||
Glencore Finance(Canada) Ltd.: | ||||||||||||
4.950%, 11/15/2021(1)(2) | 2,000,000 | 2,075,800 | ||||||||||
4.250%, 10/25/2022(1)(2) | 7,000,000 | 7,079,030 | ||||||||||
6.000%, 11/15/2041(1)(2) | 9,400,000 | 9,834,562 | ||||||||||
Glencore Funding LLC: | ||||||||||||
4.125%, 05/30/2023(2) | 16,940,000 | 16,902,901 | ||||||||||
4.625%, 04/29/2024(2) | 26,730,000 | 26,874,743 | ||||||||||
4.000%, 03/27/2027(2) | 7,000,000 | 6,607,477 | ||||||||||
Grupo Bimbo SAB de CV: | ||||||||||||
3.875%, 06/27/2024(1)(2) | 26,633,000 | 26,045,773 | ||||||||||
4.875%, 06/27/2044(1)(2) | 9,575,000 | 8,897,078 | ||||||||||
4.700%, 11/10/2047(1)(2) | 22,671,000 | 20,595,697 | ||||||||||
Gulf South Pipeline Co. LP, | ||||||||||||
4.000%, 06/15/2022 | 3,000,000 | 2,993,370 | ||||||||||
Gulfstream Natural Gas System LLC, | ||||||||||||
4.600%, 09/15/2025(2) | 10,000,000 | 10,329,261 | ||||||||||
HB Fuller Co., | ||||||||||||
4.000%, 02/15/2027 | 6,725,000 | 6,035,687 | ||||||||||
HCA, Inc.: | ||||||||||||
4.250%, 10/15/2019 | 10,900,000 | 10,981,750 | ||||||||||
6.500%, 02/15/2020 | 5,000,000 | 5,190,625 | ||||||||||
5.000%, 03/15/2024 | 10,366,000 | 10,366,000 | ||||||||||
5.375%, 02/01/2025 | 25,300,000 | 24,912,910 | ||||||||||
5.250%, 04/15/2025 | 4,200,000 | 4,200,000 | ||||||||||
Hewlett Packard Enterprise Co.: | ||||||||||||
2.100%, 10/04/2019(2) | 9,000,000 | 8,886,707 | ||||||||||
3.600%, 10/15/2020 | 7,550,000 | 7,585,871 | ||||||||||
Hexcel Corp., | ||||||||||||
3.950%, 02/15/2027 | 19,000,000 | 18,509,331 | ||||||||||
Husky Energy, Inc., | ||||||||||||
4.000%, 04/15/2024(1) | 7,380,000 | 7,371,203 | ||||||||||
Hutchison Whampoa International Ltd.: | ||||||||||||
7.625%, 04/09/2019(1)(2) | 2,000,000 | 2,069,276 | ||||||||||
3.250%, 11/08/2022(1)(2) | 4,625,000 | 4,552,573 | ||||||||||
3.625%, 10/31/2024(1)(2) | 15,000,000 | 14,757,570 | ||||||||||
Hyundai Capital America: | ||||||||||||
2.500%, 03/18/2019(2) | 24,750,000 | 24,635,860 | ||||||||||
1.750%, 09/27/2019(2) | 10,000,000 | 9,805,800 | ||||||||||
3.450%, 03/12/2021(2) | 20,950,000 | 20,785,562 | ||||||||||
3.000%, 03/18/2021(2) | 10,000,000 | 9,815,042 | ||||||||||
3.750%, 07/08/2021(2) | 10,150,000 | 10,137,719 | ||||||||||
3.100%, 04/05/2022(2) | 2,000,000 | 1,951,080 | ||||||||||
Hyundai Capital Services, Inc., | ||||||||||||
2.625%, 09/29/2020(1)(2) | 9,225,000 | 9,025,556 | ||||||||||
Ingersoll-Rand Global Holding Co. Ltd, | ||||||||||||
5.750%, 06/15/2043 | 4,126,000 | 4,858,016 | ||||||||||
Ingersoll-Rand Luxembourg Finance SA, | ||||||||||||
4.650%, 11/01/2044(1) | 1,300,000 | 1,322,847 | ||||||||||
Johnson Controls International PLC: | ||||||||||||
3.900%, 02/14/2026(1) | 10,000,000 | 9,870,467 | ||||||||||
5.250%, 12/01/2041(1) | 1,150,000 | 1,191,656 | ||||||||||
Kansas City Southern, | ||||||||||||
4.700%, 05/01/2048 | 12,000,000 | 11,625,639 | ||||||||||
Kerr-McGee Corp., | ||||||||||||
7.875%, 09/15/2031 | 12,790,000 | 16,219,526 | ||||||||||
Keysight Technologies, Inc.: | ||||||||||||
3.300%, 10/30/2019 | 13,300,000 | 13,265,374 | ||||||||||
4.550%, 10/30/2024 | 7,283,000 | 7,370,696 | ||||||||||
4.600%, 04/06/2027 | 26,806,000 | 26,924,560 | ||||||||||
Kinder Morgan Energy Partners LP: | ||||||||||||
9.000%, 02/01/2019 | 8,828,000 | 9,125,527 | ||||||||||
6.850%, 02/15/2020 | 4,645,000 | 4,891,046 | ||||||||||
6.500%, 02/01/2037 | 400,000 | 431,830 | ||||||||||
6.950%, 01/15/2038 | 5,130,000 | 5,846,791 | ||||||||||
7.500%, 11/15/2040 | 2,500,000 | 2,958,682 | ||||||||||
Kinder Morgan, Inc.: | ||||||||||||
3.050%, 12/01/2019 | 7,000,000 | 6,978,359 | ||||||||||
5.000%, 02/15/2021(2) | 10,008,000 | 10,350,655 | ||||||||||
8.050%, 10/15/2030 | 14,009,000 | 16,710,823 | ||||||||||
7.800%, 08/01/2031 | 16,174,000 | 19,564,764 | ||||||||||
5.200%, 03/01/2048 | 8,025,000 | 7,758,729 | ||||||||||
Kinross Gold Corp., | ||||||||||||
6.875%, 09/01/2041(1) | 5,500,000 | 5,637,500 | ||||||||||
Kraft Heinz Foods Co.: | ||||||||||||
3.500%, 07/15/2022 | 17,000,000 | 16,802,405 | �� | |||||||||
6.750%, 03/15/2032 | 10,000,000 | 11,963,104 | ||||||||||
5.000%, 07/15/2035 | 7,075,000 | 6,969,648 | ||||||||||
5.000%, 06/04/2042 | 5,000,000 | 4,773,546 | ||||||||||
Lafarge SA, | ||||||||||||
7.125%, 07/15/2036(1) | 1,500,000 | 1,872,665 | ||||||||||
LafargeHolcim Finance US LLC, | ||||||||||||
3.500%, 09/22/2026(2) | 12,565,000 | 11,707,817 | ||||||||||
Lear Corp., | ||||||||||||
5.250%, 01/15/2025 | 21,600,000 | 22,214,575 | ||||||||||
Lennox International, Inc., | ||||||||||||
3.000%, 11/15/2023 | 10,000,000 | 9,519,804 | ||||||||||
Magellan Midstream Partners LP: | ||||||||||||
5.000%, 03/01/2026 | 10,000,000 | 10,531,605 | ||||||||||
4.200%, 03/15/2045 | 8,770,000 | 7,833,327 | ||||||||||
4.250%, 09/15/2046 | 1,230,000 | 1,141,625 | ||||||||||
Maple Escrow Subsidiary, Inc., | ||||||||||||
4.417%, 05/25/2025(2) | 7,000,000 | 7,034,916 | ||||||||||
Marathon Oil Corp., | ||||||||||||
2.800%, 11/01/2022 | 10,175,000 | 9,756,140 | ||||||||||
Marathon Petroleum Corp.: | ||||||||||||
3.400%, 12/15/2020 | 20,000,000 | 20,040,071 | ||||||||||
3.625%, 09/15/2024 | 2,500,000 | 2,441,596 | ||||||||||
4.750%, 09/15/2044 | 3,985,000 | 3,791,392 | ||||||||||
Martin Marietta Materials, Inc., | ||||||||||||
6.250%, 05/01/2037 | 450,000 | 504,362 | ||||||||||
Masco Corp.: | ||||||||||||
7.125%, 03/15/2020 | 232,000 | 245,738 | ||||||||||
6.500%, 08/15/2032 | 13,934,000 | 15,561,682 | ||||||||||
McDonald's Corp., | ||||||||||||
3.700%, 01/30/2026 | 7,250,000 | 7,198,144 | ||||||||||
Microsoft Corp.: | ||||||||||||
4.200%, 11/03/2035 | 5,650,000 | 5,941,073 | ||||||||||
3.950%, 08/08/2056 | 17,000,000 | 16,618,469 | ||||||||||
Molex Electronic Technologies LLC: | ||||||||||||
2.878%, 04/15/2020(2) | 26,313,000 | 26,046,129 | ||||||||||
3.900%, 04/15/2025(2) | 4,500,000 | 4,446,568 | ||||||||||
The Mosaic Co., | ||||||||||||
5.450%, 11/15/2033 | 16,101,000 | 16,278,433 | ||||||||||
MPLX LP: | ||||||||||||
5.500%, 02/15/2023 | 1,900,000 | 1,935,910 | ||||||||||
4.500%, 07/15/2023 | 275,000 | 280,819 | ||||||||||
4.875%, 12/01/2024 | 9,650,000 | 9,948,828 | ||||||||||
4.000%, 02/15/2025 | 8,125,000 | 7,943,752 | ||||||||||
4.875%, 06/01/2025 | 14,500,000 | 14,908,474 | ||||||||||
4.900%, 04/15/2058 | 5,000,000 | 4,441,346 | ||||||||||
Murphy Oil Corp., | ||||||||||||
4.450%, 12/01/2022 | 12,600,000 | 12,409,866 | ||||||||||
Mylan NV: | ||||||||||||
3.750%, 12/15/2020(1) | 5,875,000 | 5,911,700 | ||||||||||
3.150%, 06/15/2021(1) | 8,100,000 | 8,011,062 | ||||||||||
Mylan, Inc.: | ||||||||||||
3.125%, 01/15/2023(2) | 11,800,000 | 11,331,414 | ||||||||||
4.200%, 11/29/2023 | 4,525,000 | 4,529,242 | ||||||||||
4.550%, 04/15/2028(2) | 5,000,000 | 4,886,277 | ||||||||||
Newell Brands, Inc., | ||||||||||||
3.850%, 04/01/2023 | 20,000,000 | 19,700,287 | ||||||||||
Noble Energy, Inc.: | ||||||||||||
3.900%, 11/15/2024 | 3,000,000 | 2,957,890 | ||||||||||
5.050%, 11/15/2044 | 3,000,000 | 2,998,092 | ||||||||||
NuStar Logistics LP: | ||||||||||||
4.800%, 09/01/2020 | 4,275,000 | 4,285,688 | ||||||||||
6.750%, 02/01/2021 | 3,000,000 | 3,142,500 | ||||||||||
Nutrien Ltd.: | ||||||||||||
4.000%, 12/15/2026(1) | 10,000,000 | 9,699,006 | ||||||||||
4.125%, 03/15/2035(1) | 6,550,000 | 6,065,666 | ||||||||||
Nvent Finance Sarl: | ||||||||||||
3.950%, 04/15/2023(1)(2) | 11,055,000 | 10,940,704 | ||||||||||
4.550%, 04/15/2028(1)(2) | 10,000,000 | 9,811,725 | ||||||||||
ONEOK Partners LP: | ||||||||||||
3.375%, 10/01/2022 | 6,541,000 | 6,452,301 | ||||||||||
5.000%, 09/15/2023 | 5,800,000 | 6,025,784 | ||||||||||
ONEOK, Inc.: | ||||||||||||
4.250%, 02/01/2022 | 6,450,000 | 6,553,393 | ||||||||||
7.500%, 09/01/2023 | 22,959,000 | 26,294,674 | ||||||||||
Oracle Corp.: | ||||||||||||
3.400%, 07/08/2024 | 8,850,000 | 8,768,067 | ||||||||||
3.900%, 05/15/2035 | 7,425,000 | 7,198,741 | ||||||||||
Orange SA, | ||||||||||||
9.000%, 03/01/2031(1) | 22,353,000 | 30,673,939 | ||||||||||
Owens Corning: | ||||||||||||
4.200%, 12/01/2024 | 10,000,000 | 9,865,738 | ||||||||||
3.400%, 08/15/2026 | 5,000,000 | 4,559,006 | ||||||||||
Packaging Corp. of America, | ||||||||||||
4.500%, 11/01/2023 | 4,700,000 | 4,856,683 | ||||||||||
Pactiv LLC, | ||||||||||||
7.950%, 12/15/2025 | 1,338,000 | 1,465,110 | ||||||||||
Pentair Finance SA, | ||||||||||||
2.650%, 12/01/2019(1) | 5,000,000 | 4,945,522 | ||||||||||
Pernod Ricard SA, | ||||||||||||
4.250%, 07/15/2022(1)(2) | 26,700,000 | 27,274,517 | ||||||||||
Perrigo Finance Unlimited Co., | ||||||||||||
3.900%, 12/15/2024(1) | 31,500,000 | 30,657,515 | ||||||||||
Petrofac Ltd., | ||||||||||||
3.400%, 10/10/2018(1)(2) | 31,575,000 | 31,377,656 | ||||||||||
Pfizer, Inc., | ||||||||||||
5.800%, 08/12/2023 | 7,938,000 | 8,854,546 | ||||||||||
Phillips 66: | ||||||||||||
4.300%, 04/01/2022 | 6,168,000 | 6,352,631 | ||||||||||
4.650%, 11/15/2034 | 13,000,000 | 13,115,130 | ||||||||||
5.875%, 05/01/2042 | 5,000,000 | 5,803,300 | ||||||||||
4.875%, 11/15/2044 | 15,000,000 | 15,494,916 | ||||||||||
Phillips 66 Partners LP: | ||||||||||||
3.605%, 02/15/2025 | 2,000,000 | 1,907,133 | ||||||||||
4.680%, 02/15/2045 | 2,000,000 | 1,874,772 | ||||||||||
Plum Creek Timberlands LP: | ||||||||||||
4.700%, 03/15/2021 | 1,200,000 | 1,239,514 | ||||||||||
3.250%, 03/15/2023 | 8,375,000 | 8,180,828 | ||||||||||
POSCO, | ||||||||||||
4.250%, 10/28/2020(1)(2) | 2,300,000 | 2,335,029 | ||||||||||
Qwest Capital Funding, Inc., | ||||||||||||
7.625%, 08/03/2021 | 200,000 | 207,000 | ||||||||||
Regency Energy Partners LP / Regency Energy Finance Corp., | ||||||||||||
4.500%, 11/01/2023 | 11,850,000 | 11,919,915 | ||||||||||
Reliance Holding USA, Inc.: | ||||||||||||
4.500%, 10/19/2020(2) | 2,000,000 | 2,032,607 | ||||||||||
5.400%, 02/14/2022(2) | 3,500,000 | 3,633,759 | ||||||||||
Republic Services, Inc.: | ||||||||||||
5.500%, 09/15/2019 | 13,000,000 | 13,387,850 | ||||||||||
4.750%, 05/15/2023 | 13,459,000 | 14,087,302 | ||||||||||
2.900%, 07/01/2026 | 15,000,000 | 13,929,629 | ||||||||||
Rockies Express Pipeline LLC: | ||||||||||||
6.850%, 07/15/2018(2) | 2,000,000 | 2,001,600 | ||||||||||
5.625%, 04/15/2020(2) | 2,695,000 | 2,759,006 | ||||||||||
Sabine Pass Liquefaction LLC: | ||||||||||||
5.625%, 03/01/2025 | 14,500,000 | 15,423,163 | ||||||||||
5.875%, 06/30/2026 | 50,315,000 | 53,962,561 | ||||||||||
Samarco Mineracao SA: | ||||||||||||
5.750%, 10/24/2023(1)(2)(7) | 5,475,000 | 3,996,750 | ||||||||||
5.375%, 09/26/2024(1)(2)(7) | 5,125,000 | 3,741,250 | ||||||||||
Schlumberger Holdings Corp., | ||||||||||||
3.000%, 12/21/2020(2) | 11,000,000 | 10,934,036 | ||||||||||
Schneider Electric SE, | ||||||||||||
2.950%, 09/27/2022(1)(2) | 5,000,000 | 4,908,999 | ||||||||||
Seagate HDD Cayman, | ||||||||||||
4.250%, 03/01/2022(1) | 44,944,000 | 44,335,408 | ||||||||||
The Sherwin-Williams Co., | ||||||||||||
4.500%, 06/01/2047 | 10,550,000 | 10,069,063 | ||||||||||
Shire Acquisitions Investments Ireland DAC, | ||||||||||||
2.875%, 09/23/2023(1) | 54,196,000 | 50,987,300 | ||||||||||
Silgan Holdings, Inc., | ||||||||||||
4.750%, 03/15/2025 | 1,000,000 | 950,000 | �� | |||||||||
SK Telecom Co. Ltd., | ||||||||||||
6.625%, 07/20/2027(1)(2) | 960,000 | 1,142,314 | ||||||||||
Smithfield Foods, Inc.: | ||||||||||||
2.650%, 10/03/2021(2) | 10,200,000 | 9,717,851 | ||||||||||
3.350%, 02/01/2022(2) | 23,982,000 | 23,157,795 | ||||||||||
Solvay Finance America LLC: | ||||||||||||
3.400%, 12/03/2020(2) | 39,226,000 | 39,354,205 | ||||||||||
4.450%, 12/03/2025(2) | 24,426,000 | 24,920,293 | ||||||||||
Sonoco Products Co., | ||||||||||||
4.375%, 11/01/2021 | 1,000,000 | 1,023,250 | ||||||||||
Spectra Energy Partners LP: | ||||||||||||
3.500%, 03/15/2025 | 15,150,000 | 14,449,000 | ||||||||||
4.500%, 03/15/2045 | 5,000,000 | 4,631,918 | ||||||||||
Sprint Capital Corp., | ||||||||||||
6.900%, 05/01/2019 | 675,000 | 688,635 | ||||||||||
Standard Industries, Inc.: | ||||||||||||
6.000%, 10/15/2025(2) | 8,511,000 | 8,532,277 | ||||||||||
4.750%, 01/15/2028(2) | 21,000,000 | 19,267,500 | ||||||||||
Sunoco Logistics Partners Operations LP: | ||||||||||||
3.450%, 01/15/2023 | 2,000,000 | 1,941,000 | ||||||||||
6.100%, 02/15/2042 | 1,000,000 | 1,004,252 | ||||||||||
Sunoco LP / Sunoco Finance Corp., | ||||||||||||
4.875%, 01/15/2023(2) | 2,000,000 | 1,920,000 | ||||||||||
Targa Resources Partners LP: | ||||||||||||
4.125%, 11/15/2019 | 12,000,000 | 12,000,000 | ||||||||||
5.000%, 01/15/2028(2) | 28,000,000 | 26,040,000 | ||||||||||
TC PipeLines LP: | ||||||||||||
4.375%, 03/13/2025 | 25,830,000 | 25,543,906 | ||||||||||
3.900%, 05/25/2027 | 5,885,000 | 5,533,243 | ||||||||||
Tech Data Corp., | ||||||||||||
3.700%, 02/15/2022 | 7,000,000 | 6,846,449 | ||||||||||
Telecom Italia Capital SA: | ||||||||||||
7.175%, 06/18/2019(1) | 500,000 | 514,225 | ||||||||||
5.303%, 05/30/2024(1)(2) | 21,500,000 | 21,204,375 | ||||||||||
7.200%, 07/18/2036(1) | 3,175,000 | 3,288,983 | ||||||||||
Telefonica Emisiones SAU: | ||||||||||||
5.462%, 02/16/2021(1) | 2,402,000 | 2,513,846 | ||||||||||
4.570%, 04/27/2023(1) | 1,000,000 | 1,033,792 | ||||||||||
4.103%, 03/08/2027(1) | 8,125,000 | 7,857,566 | ||||||||||
7.045%, 06/20/2036(1) | 4,925,000 | 5,920,091 | ||||||||||
5.213%, 03/08/2047(1) | 5,000,000 | 4,819,571 | ||||||||||
4.895%, 03/06/2048(1) | 9,475,000 | 8,733,627 | ||||||||||
TELUS Corp., | ||||||||||||
2.800%, 02/16/2027(1) | 13,100,000 | 11,997,784 | ||||||||||
Tenet Healthcare Corp., | ||||||||||||
6.750%, 06/15/2023 | 1,000,000 | 995,000 | ||||||||||
Teva Pharmaceutical Finance Netherlands III BV: | ||||||||||||
2.800%, 07/21/2023(1) | 24,275,000 | 20,967,531 | ||||||||||
3.150%, 10/01/2026(1) | 36,000,000 | 28,934,079 | ||||||||||
Thermo Fisher Scientific, Inc., | ||||||||||||
3.300%, 02/15/2022 | 7,000,000 | 6,959,148 | ||||||||||
Time Warner Cable LLC: | ||||||||||||
6.750%, 07/01/2018 | 11,000,000 | 11,000,000 | ||||||||||
8.750%, 02/14/2019 | 1,132,000 | 1,169,772 | ||||||||||
8.250%, 04/01/2019 | 35,000 | 36,303 | ||||||||||
Time Warner, Inc.: | ||||||||||||
3.800%, 02/15/2027 | 3,500,000 | 3,305,311 | ||||||||||
4.850%, 07/15/2045 | 12,000,000 | 10,931,047 | ||||||||||
The Timken Co., | ||||||||||||
3.875%, 09/01/2024 | 18,500,000 | 18,306,185 | ||||||||||
T-Mobile USA, Inc., | ||||||||||||
4.750%, 02/01/2028 | 17,250,000 | 15,977,813 | ||||||||||
Total System Services, Inc., | ||||||||||||
4.000%, 06/01/2023 | 10,775,000 | 10,797,757 | ||||||||||
TransCanada PipeLines Ltd., | ||||||||||||
4.750%, 05/15/2038(1) | 10,000,000 | 9,996,244 | ||||||||||
Transcontinental Gas Pipe Line Co. LLC, | ||||||||||||
4.450%, 08/01/2042 | 2,600,000 | 2,459,211 | ||||||||||
Transocean, Inc.: | ||||||||||||
8.375%, 12/15/2021(1)(3) | 5,500,000 | 5,885,000 | ||||||||||
5.800%, 10/15/2022(1) | 5,000,000 | 4,962,500 | ||||||||||
TTX Co.: | ||||||||||||
4.650%, 06/15/2044(2) | 7,710,000 | 8,027,355 | ||||||||||
3.900%, 02/01/2045(2) | 25,325,000 | 23,794,934 | ||||||||||
Tyco Electronics Group SA, | ||||||||||||
7.125%, 10/01/2037(1) | 500,000 | 673,018 | ||||||||||
United Rentals North America, Inc.: | ||||||||||||
4.625%, 10/15/2025 | 15,540,000 | 14,801,850 | ||||||||||
5.875%, 09/15/2026 | 13,000,000 | 13,130,000 | ||||||||||
Vale Overseas Ltd.: | ||||||||||||
4.375%, 01/11/2022(1) | 2,700,000 | 2,732,373 | ||||||||||
6.250%, 08/10/2026(1) | 22,000,000 | 23,826,000 | ||||||||||
8.250%, 01/17/2034(1) | 425,000 | 530,187 | ||||||||||
6.875%, 11/21/2036(1) | 10,225,000 | 11,479,608 | ||||||||||
6.875%, 11/10/2039(1) | 15,850,000 | 17,950,125 | ||||||||||
Valeant Pharmaceuticals International, Inc., | ||||||||||||
5.875%, 05/15/2023(1)(2) | 5,000,000 | 4,696,875 | ||||||||||
Valero Energy Corp.: | ||||||||||||
3.400%, 09/15/2026 | 17,500,000 | 16,569,575 | ||||||||||
6.625%, 06/15/2037 | 5,000,000 | 5,978,707 | ||||||||||
Valero Energy Partners LP, | ||||||||||||
4.500%, 03/15/2028 | 20,000,000 | 19,663,059 | ||||||||||
Verisk Analytics, Inc.: | ||||||||||||
5.800%, 05/01/2021 | 2,585,000 | 2,736,710 | ||||||||||
4.000%, 06/15/2025 | 10,000,000 | 9,835,184 | ||||||||||
Verizon Communications, Inc.: | ||||||||||||
4.500%, 08/10/2033 | 15,710,000 | 15,213,276 | ||||||||||
4.400%, 11/01/2034 | 790,000 | 736,780 | ||||||||||
4.272%, 01/15/2036 | 19,793,000 | 18,259,018 | ||||||||||
5.250%, 03/16/2037 | 18,225,000 | 18,717,052 | ||||||||||
4.812%, 03/15/2039 | 37,955,000 | 36,700,782 | ||||||||||
Viacom, Inc., | ||||||||||||
2.750%, 12/15/2019 | 10,000,000 | 9,909,306 | ||||||||||
Viterra, Inc., | ||||||||||||
5.950%, 08/01/2020(1)(2) | 7,000,000 | 7,321,160 | ||||||||||
Vodafone Group PLC: | ||||||||||||
7.875%, 02/15/2030(1) | 9,793,000 | 12,254,487 | ||||||||||
6.150%, 02/27/2037(1) | 11,825,000 | 13,002,497 | ||||||||||
4.375%, 02/19/2043(1) | 5,054,000 | 4,541,657 | ||||||||||
Vulcan Materials Co.: | ||||||||||||
4.500%, 04/01/2025 | 3,000,000 | 3,014,812 | ||||||||||
4.700%, 03/01/2048(2) | 500,000 | 467,184 | ||||||||||
Wabtec Corp.: | ||||||||||||
4.375%, 08/15/2023 | 9,750,000 | 9,769,112 | ||||||||||
3.450%, 11/15/2026 | 27,225,000 | 25,156,705 | ||||||||||
Walgreen Co., | ||||||||||||
5.250%, 01/15/2019 | 2,482,000 | 2,512,952 | ||||||||||
Walgreens Boots Alliance, Inc.: | ||||||||||||
3.300%, 11/18/2021 | 8,060,000 | 8,008,737 | ||||||||||
3.800%, 11/18/2024 | 10,000,000 | 9,857,587 | ||||||||||
3.450%, 06/01/2026 | 7,000,000 | 6,524,377 | ||||||||||
Walmart, Inc., | ||||||||||||
4.050%, 06/29/2048 | 11,975,000 | 12,058,710 | ||||||||||
Waste Management, Inc., | ||||||||||||
3.900%, 03/01/2035 | 5,000,000 | 4,862,761 | ||||||||||
Weatherford International Ltd., | ||||||||||||
4.500%, 04/15/2022(1) | 5,020,000 | 4,607,758 | ||||||||||
Western Digital Corp., | ||||||||||||
4.750%, 02/15/2026 | 57,075,000 | 55,505,438 | ||||||||||
Western Gas Partners LP, | ||||||||||||
5.375%, 06/01/2021 | 18,000,000 | 18,658,549 | ||||||||||
WestRock MWV LLC: | ||||||||||||
7.375%, 09/01/2019 | 6,650,000 | 6,970,409 | ||||||||||
9.750%, 06/15/2020 | 1,060,000 | 1,175,443 | ||||||||||
8.200%, 01/15/2030 | 3,012,000 | 3,982,632 | ||||||||||
Weyerhaeuser Co., | ||||||||||||
7.375%, 10/01/2019 | 11,865,000 | 12,467,561 | ||||||||||
The Williams Companies, Inc.: | ||||||||||||
7.875%, 09/01/2021 | 5,065,000 | 5,634,812 | ||||||||||
3.700%, 01/15/2023 | 44,375,000 | 42,932,813 | ||||||||||
4.550%, 06/24/2024 | 7,629,000 | 7,629,000 | ||||||||||
7.500%, 01/15/2031 | 120,000 | 142,722 | ||||||||||
7.750%, 06/15/2031 | 3,500,000 | 4,204,130 | ||||||||||
5.750%, 06/24/2044 | 2,500,000 | 2,584,375 | ||||||||||
Williams Partners LP: | ||||||||||||
5.250%, 03/15/2020 | 2,000,000 | 2,061,769 | ||||||||||
6.300%, 04/15/2040 | 1,590,000 | 1,776,340 | ||||||||||
Woodside Finance Ltd., | ||||||||||||
3.650%, 03/05/2025(1)(2) | 15,125,000 | 14,739,873 | ||||||||||
WPX Energy, Inc., | ||||||||||||
6.000%, 01/15/2022 | 4,000,000 | 4,160,000 | ||||||||||
Wynn Las Vegas LLC / Wynn Las Vegas Capital Corp., | ||||||||||||
4.250%, 05/30/2023(2) | 4,000,000 | 3,800,000 | ||||||||||
Xerox Corp., | ||||||||||||
3.625%, 03/15/2023 | 34,975,000 | 33,558,314 | ||||||||||
Yara International ASA: | ||||||||||||
7.875%, 06/11/2019(1)(2) | 5,880,000 | 6,143,149 | ||||||||||
3.800%, 06/06/2026(1)(2) | 20,250,000 | 19,246,470 | ||||||||||
Zimmer Biomet Holdings, Inc., | ||||||||||||
3.550%, 04/01/2025 | 5,000,000 | 4,759,554 | ||||||||||
Zoetis, Inc.: | ||||||||||||
3.450%, 11/13/2020 | 11,885,000 | 11,913,914 | ||||||||||
3.250%, 02/01/2023 | 24,276,000 | 23,901,563 | ||||||||||
4.500%, 11/13/2025 | 16,275,000 | 16,841,292 | ||||||||||
4,663,545,098 | 25.9 | % |
Utilities | ||||||||||||
Appalachian Power Co., | ||||||||||||
6.700%, 08/15/2037 | 1,400,000 | 1,816,904 | ||||||||||
Arizona Public Service Co., | ||||||||||||
8.750%, 03/01/2019 | 1,150,000 | 1,193,764 | ||||||||||
Berkshire Hathaway Energy Co., | ||||||||||||
3.500%, 02/01/2025 | 7,000,000 | 6,949,080 | ||||||||||
CMS Energy Corp., | ||||||||||||
5.050%, 03/15/2022 | 1,000,000 | 1,048,554 | ||||||||||
Consolidated Edison Co. of New York, Inc., | ||||||||||||
4.625%, 12/01/2054 | 7,600,000 | 7,804,146 | ||||||||||
Dominion Resources, Inc.: | ||||||||||||
2.500%, 12/01/2019 | 5,225,000 | 5,179,592 | ||||||||||
5.950%, 06/15/2035 | 1,880,000 | 2,163,128 | ||||||||||
Edison International, | ||||||||||||
2.950%, 03/15/2023 | 5,000,000 | 4,803,387 | ||||||||||
EDP Finance BV: | ||||||||||||
4.125%, 01/15/2020(1)(2) | 8,816,000 | 8,888,115 | ||||||||||
3.625%, 07/15/2024(1)(2) | 27,200,000 | 26,043,510 | ||||||||||
Enel Finance International NV: | ||||||||||||
2.875%, 05/25/2022(1)(2) | 7,500,000 | 7,146,203 | ||||||||||
3.625%, 05/25/2027(1)(2) | 27,500,000 | 25,154,669 | ||||||||||
3.500%, 04/06/2028(1)(2) | 7,000,000 | 6,290,012 | ||||||||||
6.800%, 09/15/2037(1)(2) | 3,875,000 | 4,631,053 | ||||||||||
6.000%, 10/07/2039(1)(2) | 631,000 | 701,261 | ||||||||||
4.750%, 05/25/2047(1)(2) | 42,584,000 | 40,265,199 | ||||||||||
Exelon Corp.: | ||||||||||||
3.950%, 06/15/2025 | 15,775,000 | 15,679,947 | ||||||||||
5.100%, 06/15/2045 | 5,875,000 | 6,262,969 | ||||||||||
Exelon Generation Co. LLC, | ||||||||||||
5.600%, 06/15/2042 | 6,100,000 | 6,160,867 | ||||||||||
Fortis Inc., | ||||||||||||
3.055%, 10/04/2026(1) | 14,150,000 | 12,892,124 | ||||||||||
Infraestructura Energetica Nova SAB de CV, | ||||||||||||
3.750%, 01/14/2028(1)(2) | 5,000,000 | 4,428,000 | ||||||||||
KeySpan Corp., | ||||||||||||
8.000%, 11/15/2030 | 1,875,000 | 2,521,807 | ||||||||||
Mega Advance Investments Ltd., | ||||||||||||
5.000%, 05/12/2021(1)(2) | 2,800,000 | 2,871,637 | ||||||||||
National Rural Utilities Cooperative Finance Corp., | ||||||||||||
2.300%, 11/15/2019 | 5,000,000 | 4,964,427 | ||||||||||
NiSource, Inc., | ||||||||||||
3.950%, 03/30/2048 | 11,775,000 | 10,889,025 | ||||||||||
PSEG Power LLC, | ||||||||||||
3.000%, 06/15/2021 | 25,027,000 | 24,747,551 | ||||||||||
RGS I&M Funding Corp., | ||||||||||||
9.820%, 12/07/2022 | 145,317 | 166,424 | ||||||||||
South Carolina Electric & Gas Co., | ||||||||||||
4.100%, 06/15/2046 | 7,325,000 | 6,660,085 | ||||||||||
The Southern Co., | ||||||||||||
2.950%, 07/01/2023 | 17,400,000 | 16,784,190 | ||||||||||
Talent Yield Investments Ltd., | ||||||||||||
4.500%, 04/25/2022(1)(2) | 6,000,000 | 6,071,520 | ||||||||||
271,179,150 | 1.5 | % | ||||||||||
Financials | ||||||||||||
ABN AMRO Bank NV: | ||||||||||||
2.500%, 10/30/2018(1)(2) | 6,750,000 | 6,748,535 | ||||||||||
2.450%, 06/04/2020(1)(2) | 13,000,000 | 12,789,361 | ||||||||||
7.750%, 05/15/2023(1)(2) | 8,000,000 | 9,041,511 | ||||||||||
4.750%, 07/28/2025(1)(2) | 28,175,000 | 28,012,149 | ||||||||||
4.800%, 04/18/2026(1)(2) | 18,925,000 | 18,899,773 | ||||||||||
AIA Group Ltd., | ||||||||||||
3.200%, 03/11/2025(1)(2) | 9,000,000 | 8,643,271 | ||||||||||
AIG SunAmerica Global Financing X, | ||||||||||||
6.900%, 03/15/2032(2) | 2,000,000 | 2,585,251 | ||||||||||
Ally Financial, Inc.: | ||||||||||||
3.250%, 11/05/2018 | 8,200,000 | 8,200,000 | ||||||||||
8.000%, 12/31/2018 | 1,218,000 | 1,240,837 | ||||||||||
3.750%, 11/18/2019 | 18,200,000 | 18,177,250 | ||||||||||
4.125%, 03/30/2020 | 10,000,000 | 10,012,500 | ||||||||||
5.125%, 09/30/2024 | 3,000,000 | 3,052,500 | ||||||||||
American International Group, Inc.: | ||||||||||||
6.400%, 12/15/2020 | 3,500,000 | 3,751,382 | ||||||||||
4.875%, 06/01/2022 | 25,651,000 | 26,864,988 | ||||||||||
3.750%, 07/10/2025 | 11,400,000 | 11,011,594 | ||||||||||
3.875%, 01/15/2035 | 15,000,000 | 13,344,313 | ||||||||||
6.820%, 11/15/2037 | 4,173,000 | 5,103,697 | ||||||||||
AmSouth Bancorporation, | ||||||||||||
6.750%, 11/01/2025 | 860,000 | 976,624 | ||||||||||
Anthem, Inc., | ||||||||||||
3.350%, 12/01/2024 | 7,050,000 | 6,810,705 | ||||||||||
ANZ New Zealand(Int'l) Ltd.: | ||||||||||||
2.750%, 02/03/2021(1)(2) | 10,000,000 | 9,824,248 | ||||||||||
2.125%, 07/28/2021(1)(2) | 16,750,000 | 16,048,105 | ||||||||||
Aon Corp., | ||||||||||||
5.000%, 09/30/2020(1) | 150,000 | 155,213 | ||||||||||
Aon PLC, | ||||||||||||
3.875%, 12/15/2025(1) | 14,490,000 | 14,304,658 | ||||||||||
Assurant, Inc., | ||||||||||||
3.589%, 03/26/2021(3 Month LIBOR USD + 1.250%)(4) | 12,000,000 | 12,030,158 | ||||||||||
Australia & New Zealand Banking Group Ltd.: | ||||||||||||
1.600%, 07/15/2019(1) | 5,000,000 | 4,932,833 | ||||||||||
4.500%, 03/19/2024(1)(2) | 32,000,000 | 31,967,985 | ||||||||||
Banco Santander SA: | ||||||||||||
3.500%, 04/11/2022(1) | 12,000,000 | 11,705,224 | ||||||||||
3.848%, 04/12/2023(1) | 16,700,000 | 16,332,471 | ||||||||||
5.179%, 11/19/2025(1) | 11,150,000 | 11,204,713 | ||||||||||
Bank of America Corp.: | ||||||||||||
2.625%, 04/19/2021 | 17,500,000 | 17,191,606 | ||||||||||
2.369%, 07/21/2021(3 Month LIBOR USD + 0.660%)(4) | 4,500,000 | 4,411,324 | ||||||||||
3.300%, 01/11/2023 | 22,650,000 | 22,317,724 | ||||||||||
3.004%, 12/20/2023(3 Month LIBOR USD + 0.790%)(4) | 8,352,000 | 8,097,573 | ||||||||||
3.093%, 10/01/2025(3 Month LIBOR USD + 1.090%)(4) | 12,000,000 | 11,426,738 | ||||||||||
3.248%, 10/21/2027 | 6,000,000 | 5,591,822 | ||||||||||
7.750%, 05/14/2038 | 725,000 | 981,778 | ||||||||||
Bank of Montreal: | ||||||||||||
1.900%, 08/27/2021(1) | 26,450,000 | 25,296,283 | ||||||||||
3.803%, 12/15/2032(5 Year Swap Rate USD + 1.432%)(1)(4) | 5,000,000 | 4,631,550 | ||||||||||
The Bank of Nova Scotia: | ||||||||||||
2.450%, 09/19/2022(1) | 8,225,000 | 7,891,739 | ||||||||||
4.500%, 12/16/2025(1) | 8,048,000 | 8,024,442 | ||||||||||
The Bank of Tokyo-Mitsubishi UFJ Ltd., | ||||||||||||
2.300%, 03/05/2020(1)(2) | 8,075,000 | 7,948,453 | ||||||||||
BanPonce Trust I, | ||||||||||||
8.327%, 02/01/2027 | 2,435,000 | 2,433,792 | ||||||||||
Barclays PLC: | ||||||||||||
2.750%, 11/08/2019(1) | 7,000,000 | 6,944,343 | ||||||||||
3.250%, 01/12/2021(1) | 25,000,000 | 24,641,875 | ||||||||||
3.684%, 01/10/2023(1) | 21,000,000 | 20,421,674 | ||||||||||
4.338%, 05/16/2024(3 Month LIBOR USD + 1.356%)(1)(4) | 5,000,000 | 4,938,185 | ||||||||||
3.650%, 03/16/2025(1) | 17,350,000 | 16,250,565 | ||||||||||
4.337%, 01/10/2028(1) | 10,000,000 | 9,497,810 | ||||||||||
BB&T Corp.: | ||||||||||||
2.450%, 01/15/2020 | 15,000,000 | 14,853,463 | ||||||||||
2.625%, 06/29/2020 | 13,000,000 | 12,861,485 | ||||||||||
Berkshire Hathaway Finance Corp., | ||||||||||||
4.400%, 05/15/2042 | 3,500,000 | 3,576,534 | ||||||||||
BNP Paribas SA: | ||||||||||||
5.000%, 01/15/2021(1) | 5,000,000 | 5,199,445 | ||||||||||
3.250%, 03/03/2023(1) | 4,000,000 | 3,957,141 | ||||||||||
3.375%, 01/09/2025(1)(2) | 8,000,000 | 7,557,461 | ||||||||||
BNZ International Funding Ltd.: | ||||||||||||
2.350%, 03/04/2019(1)(2) | 14,025,000 | 13,973,303 | ||||||||||
2.400%, 02/21/2020(1)(2) | 8,000,000 | 7,885,653 | ||||||||||
2.750%, 03/02/2021(1)(2) | 18,750,000 | 18,413,007 | ||||||||||
3.375%, 03/01/2023(1)(2) | 24,750,000 | 24,279,462 | ||||||||||
BPCE SA: | ||||||||||||
2.500%, 12/10/2018(1) | 5,750,000 | 5,746,787 | ||||||||||
5.700%, 10/22/2023(1)(2) | 31,200,000 | 32,582,909 | ||||||||||
4.625%, 07/11/2024(1)(2) | 3,185,000 | 3,144,885 | ||||||||||
5.150%, 07/21/2024(1)(2) | 37,902,000 | 38,429,314 | ||||||||||
4.500%, 03/15/2025(1)(2) | 5,500,000 | 5,361,882 | ||||||||||
Brighthouse Financial, Inc., | ||||||||||||
4.700%, 06/22/2047 | 7,000,000 | 5,768,939 | ||||||||||
Canadian Imperial Bank of Commerce, | ||||||||||||
1.600%, 09/06/2019(1) | 8,475,000 | 8,350,311 | ||||||||||
Capital One Bank(USA) NA, | ||||||||||||
3.375%, 02/15/2023 | 42,388,000 | 41,288,551 | ||||||||||
Capital One Financial Corp.: | ||||||||||||
2.450%, 04/24/2019 | 3,975,000 | 3,962,171 | ||||||||||
3.050%, 03/09/2022 | 10,000,000 | 9,800,711 | ||||||||||
3.200%, 01/30/2023 | 5,000,000 | 4,850,089 | ||||||||||
3.750%, 07/28/2026 | 11,960,000 | 11,113,127 | ||||||||||
Capital One NA, | ||||||||||||
1.850%, 09/13/2019 | 5,000,000 | 4,929,474 | ||||||||||
CIT Group, Inc.: | ||||||||||||
4.125%, 03/09/2021 | 100,000 | 99,375 | ||||||||||
5.000%, 08/01/2023 | 5,000,000 | 5,058,000 | ||||||||||
5.250%, 03/07/2025 | 100,000 | 100,750 | ||||||||||
Citigroup, Inc.: | ||||||||||||
2.400%, 02/18/2020 | 8,000,000 | 7,898,010 | ||||||||||
2.350%, 08/02/2021 | 8,125,000 | 7,848,419 | ||||||||||
3.142%, 01/24/2023(3 Month LIBOR USD + 0.722%)(4) | 10,000,000 | 9,797,176 | ||||||||||
2.876%, 07/24/2023(3 Month LIBOR USD + 0.950%)(4) | 12,000,000 | 11,571,410 | ||||||||||
3.730%, 09/01/2023(3 Month LIBOR USD + 1.430%)(4) | 8,000,000 | 8,164,546 | ||||||||||
3.700%, 01/12/2026 | 4,700,000 | 4,555,477 | ||||||||||
3.887%, 01/10/2028(3 Month LIBOR USD + 1.563%)(4) | 30,000,000 | 29,056,046 | ||||||||||
Citizens Bank NA: | ||||||||||||
2.450%, 12/04/2019 | 36,000,000 | 35,669,569 | ||||||||||
2.550%, 05/13/2021 | 6,175,000 | 6,022,166 | ||||||||||
CNA Financial Corp.: | ||||||||||||
5.875%, 08/15/2020 | 6,839,000 | 7,180,553 | ||||||||||
5.750%, 08/15/2021 | 9,177,000 | 9,733,744 | ||||||||||
7.250%, 11/15/2023 | 12,400,000 | 14,185,175 | ||||||||||
4.500%, 03/01/2026 | 21,125,000 | 21,545,341 | ||||||||||
3.450%, 08/15/2027 | 9,000,000 | 8,369,484 | ||||||||||
CNO Financial Group, Inc.: | ||||||||||||
4.500%, 05/30/2020 | 5,000,000 | 4,993,750 | ||||||||||
5.250%, 05/30/2025 | 18,640,000 | 18,500,200 | ||||||||||
Comerica Bank, | ||||||||||||
4.000%, 07/27/2025 | 21,425,000 | 21,266,344 | ||||||||||
Commonwealth Bank of Australia: | ||||||||||||
5.000%, 10/15/2019(1)(2) | 5,900,000 | 6,052,028 | ||||||||||
4.500%, 12/09/2025(1)(2) | 19,000,000 | 18,856,583 | ||||||||||
Compass Bank: | ||||||||||||
2.750%, 09/29/2019 | 38,994,000 | 38,780,129 | ||||||||||
2.875%, 06/29/2022 | 15,700,000 | 15,156,326 | ||||||||||
3.875%, 04/10/2025 | 28,230,000 | 27,226,144 | ||||||||||
Cooperatieve Rabobank UA: | ||||||||||||
3.875%, 02/08/2022(1) | 4,150,000 | 4,208,686 | ||||||||||
4.625%, 12/01/2023(1) | 7,229,000 | 7,281,573 | ||||||||||
3.750%, 07/21/2026(1) | 23,000,000 | 21,531,085 | ||||||||||
Credit Agricole SA: | ||||||||||||
3.375%, 01/10/2022(1)(2) | 23,225,000 | 22,738,451 | ||||||||||
3.750%, 04/24/2023(1)(2) | 8,375,000 | 8,205,387 | ||||||||||
3.250%, 10/04/2024(1)(2) | 8,575,000 | 8,075,019 | ||||||||||
4.375%, 03/17/2025(1)(2) | 23,403,000 | 22,577,295 | ||||||||||
Credit Suisse AG, | ||||||||||||
5.300%, 08/13/2019(1) | 7,166,000 | 7,348,147 | ||||||||||
Credit Suisse Group AG: | ||||||||||||
3.574%, 01/09/2023(1)(2) | 9,000,000 | 8,815,785 | ||||||||||
4.207%, 06/12/2024(3 Month LIBOR USD + 1.240%)(1)(2)(4) | 6,000,000 | 6,004,366 | ||||||||||
4.282%, 01/09/2028(1)(2) | 15,000,000 | 14,591,194 | ||||||||||
3.869%, 01/12/2029(3 Month LIBOR USD + 1.410%)(1)(2)(4) | 10,850,000 | 10,202,563 | ||||||||||
Credit Suisse Group Funding Guernsey Ltd.: | ||||||||||||
3.800%, 06/09/2023(1) | 21,100,000 | 20,826,255 | ||||||||||
3.750%, 03/26/2025(1) | 15,000,000 | 14,426,541 | ||||||||||
4.550%, 04/17/2026(1) | 5,000,000 | 4,999,609 | ||||||||||
Daiwa Securities Group, Inc., | ||||||||||||
3.129%, 04/19/2022(1)(2) | 13,775,000 | 13,492,495 | ||||||||||
Deutsche Bank AG: | ||||||||||||
2.700%, 07/13/2020(1) | 5,000,000 | 4,862,748 | ||||||||||
2.950%, 08/20/2020(1) | 8,625,000 | 8,386,311 | ||||||||||
3.150%, 01/22/2021(1) | 12,000,000 | 11,613,296 | ||||||||||
3.375%, 05/12/2021(1) | 5,450,000 | 5,271,413 | ||||||||||
4.250%, 10/14/2021(1) | 29,900,000 | 29,477,513 | ||||||||||
3.300%, 11/16/2022(1) | 17,625,000 | 16,512,363 | ||||||||||
3.950%, 02/27/2023(1) | 3,000,000 | 2,880,605 | ||||||||||
Digital Realty Trust LP, | ||||||||||||
4.450%, 07/15/2028 | 7,000,000 | 7,021,852 | ||||||||||
Discover Bank: | ||||||||||||
8.700%, 11/18/2019 | 3,237,000 | 3,450,693 | ||||||||||
3.100%, 06/04/2020 | 12,000,000 | 11,938,320 | ||||||||||
3.350%, 02/06/2023 | 7,000,000 | 6,821,480 | ||||||||||
Discover Financial Services: | ||||||||||||
3.950%, 11/06/2024 | 25,000,000 | 24,396,175 | ||||||||||
4.100%, 02/09/2027 | 4,600,000 | 4,412,242 | ||||||||||
Fifth Third Bancorp, | ||||||||||||
2.875%, 07/27/2020 | 9,250,000 | 9,197,953 | ||||||||||
First Horizon National Corp., | ||||||||||||
3.500%, 12/15/2020 | 29,022,000 | 29,118,983 | ||||||||||
First Republic Bank, | ||||||||||||
4.625%, 02/13/2047 | 1,850,000 | 1,826,395 | ||||||||||
First Tennessee Bank NA, | ||||||||||||
2.950%, 12/01/2019 | 12,000,000 | 11,944,535 | ||||||||||
FMR LLC: | ||||||||||||
4.950%, 02/01/2033(2) | 4,235,000 | 4,575,828 | ||||||||||
6.500%, 12/14/2040(2) | 1,820,000 | 2,275,819 | ||||||||||
GE Capital International Funding Co. Unlimited Co., | ||||||||||||
2.342%, 11/15/2020(1) | 24,200,000 | 23,655,031 | ||||||||||
Goldman Sachs Capital I, | ||||||||||||
6.345%, 02/15/2034 | 125,000 | 142,587 | ||||||||||
The Goldman Sachs Group, Inc.: | ||||||||||||
7.500%, 02/15/2019 | 1,825,000 | 1,875,412 | ||||||||||
2.550%, 10/23/2019 | 4,000,000 | 3,975,494 | ||||||||||
2.300%, 12/13/2019 | 12,450,000 | 12,320,167 | ||||||||||
5.250%, 07/27/2021 | 1,100,000 | 1,156,023 | ||||||||||
2.350%, 11/15/2021 | 10,000,000 | 9,616,910 | ||||||||||
5.750%, 01/24/2022 | 15,100,000 | 16,159,485 | ||||||||||
3.919%, 11/29/2023(3 Month LIBOR USD + 1.600%)(4) | 10,000,000 | 10,330,093 | ||||||||||
3.500%, 01/23/2025 | 9,400,000 | 9,077,394 | ||||||||||
3.272%, 09/29/2025(3 Month LIBOR USD + 1.201%)(4) | 24,000,000 | 22,788,550 | ||||||||||
3.814%, 04/23/2029(3 Month LIBOR USD + 1.158%)(4) | 17,425,000 | 16,573,574 | ||||||||||
4.223%, 05/01/2029(3 Month LIBOR USD + 1.301%)(4) | 15,050,000 | 14,822,898 | ||||||||||
6.750%, 10/01/2037 | 300,000 | 356,053 | ||||||||||
The Guardian Life Insurance Co. of America: | ||||||||||||
4.875%, 06/19/2064(2) | 11,215,000 | 11,260,538 | ||||||||||
4.850%, 01/24/2077(2) | 10,066,000 | 9,812,559 | ||||||||||
The Hartford Financial Services Group, Inc., | ||||||||||||
5.125%, 04/15/2022 | 6,097,000 | 6,434,258 | ||||||||||
High Street Funding Trust I, | ||||||||||||
4.111%, 02/15/2028(2) | 9,000,000 | 8,834,670 | ||||||||||
High Street Funding Trust II, | ||||||||||||
4.682%, 02/15/2048(2) | 7,000,000 | 6,961,990 | ||||||||||
Highmark, Inc., | ||||||||||||
4.750%, 05/15/2021(2) | 7,800,000 | 7,961,351 | ||||||||||
HSBC Holdings PLC: | ||||||||||||
3.400%, 03/08/2021(1) | 9,100,000 | 9,096,721 | ||||||||||
2.650%, 01/05/2022(1) | 4,000,000 | 3,872,926 | ||||||||||
3.262%, 03/13/2023(3 Month LIBOR USD + 1.055%)(1)(4) | 30,996,000 | 30,361,276 | ||||||||||
3.600%, 05/25/2023(1) | 6,000,000 | 5,941,182 | ||||||||||
3.950%, 05/18/2024(3 Month LIBOR USD + 0.987%)(1)(4) | 9,000,000 | 8,967,778 | ||||||||||
4.583%, 06/19/2029(3 Month LIBOR USD + 1.535%)(1)(4) | 17,125,000 | 17,296,835 | ||||||||||
HSBC USA, Inc., | ||||||||||||
2.350%, 03/05/2020 | 2,750,000 | 2,717,881 | ||||||||||
Humana, Inc., | ||||||||||||
8.150%, 06/15/2038(3) | 8,983,000 | 12,725,465 | ||||||||||
Huntington Bancshares, Inc.: | ||||||||||||
3.150%, 03/14/2021 | 17,225,000 | 17,128,538 | ||||||||||
2.300%, 01/14/2022 | 15,225,000 | 14,620,773 | ||||||||||
The Huntington National Bank: | ||||||||||||
2.200%, 11/06/2018 | 5,000,000 | 4,993,278 | ||||||||||
2.875%, 08/20/2020 | 12,275,000 | 12,204,890 | ||||||||||
ING Bank NV: | ||||||||||||
2.050%, 08/17/2018(1)(2) | 4,125,000 | 4,122,470 | ||||||||||
2.450%, 03/16/2020(1)(2) | 9,500,000 | 9,373,855 | ||||||||||
2.750%, 03/22/2021(1)(2) | 9,175,000 | 9,012,570 | ||||||||||
5.800%, 09/25/2023(1)(2) | 39,680,000 | 42,046,205 | ||||||||||
ING Groep NV, | ||||||||||||
3.150%, 03/29/2022(1) | 4,000,000 | 3,924,936 | ||||||||||
Invesco Finance PLC, | ||||||||||||
3.125%, 11/30/2022(1) | 5,500,000 | 5,411,373 | ||||||||||
Jackson National Life Global Funding, | ||||||||||||
3.250%, 01/30/2024(2) | 10,000,000 | 9,803,464 | ||||||||||
Jefferies Group LLC, | ||||||||||||
6.450%, 06/08/2027 | 1,000,000 | 1,078,997 | ||||||||||
Jefferies Group LLC / Jefferies Group Capital Finance, Inc.: | ||||||||||||
4.850%, 01/15/2027 | 15,750,000 | 15,287,090 | ||||||||||
4.150%, 01/23/2030 | 30,200,000 | 26,649,036 | ||||||||||
John Hancock Life Insurance Co., | ||||||||||||
7.375%, 02/15/2024(2) | 17,115,000 | 19,991,823 | ||||||||||
JPMorgan Chase & Co.: | ||||||||||||
2.250%, 01/23/2020 | 3,650,000 | 3,603,050 | ||||||||||
4.250%, 10/15/2020 | 8,300,000 | 8,485,070 | ||||||||||
2.295%, 08/15/2021 | 22,000,000 | 21,254,450 | ||||||||||
4.350%, 08/15/2021 | 2,400,000 | 2,468,124 | ||||||||||
4.500%, 01/24/2022 | 4,400,000 | 4,551,413 | ||||||||||
3.200%, 01/25/2023 | 5,350,000 | 5,254,266 | ||||||||||
3.589%, 10/24/2023(3 Month LIBOR USD + 1.230%)(4) | 10,000,000 | 10,180,243 | ||||||||||
3.559%, 04/23/2024(3 Month LIBOR USD + 0.730%)(4) | 15,575,000 | 15,429,072 | ||||||||||
3.125%, 01/23/2025 | 21,850,000 | 20,895,350 | ||||||||||
KEB Hana Bank, | ||||||||||||
1.750%, 10/18/2019(1)(2) | 16,750,000 | 16,424,313 | ||||||||||
KeyBank NA: | ||||||||||||
2.250%, 03/16/2020 | 9,425,000 | 9,299,784 | ||||||||||
3.400%, 05/20/2026 | 21,575,000 | 20,535,965 | ||||||||||
KeyCorp, | ||||||||||||
2.900%, 09/15/2020 | 17,200,000 | 17,061,955 | ||||||||||
LeasePlan Corp. NV, | ||||||||||||
2.875%, 01/22/2019(1)(2) | 5,400,000 | 5,390,980 | ||||||||||
Liberty Mutual Group, Inc.: | ||||||||||||
6.500%, 03/15/2035(2) | 750,000 | 895,755 | ||||||||||
10.750%, 06/15/2088(3 Month LIBOR USD + 7.120%)(2)(4) | 900,000 | 1,341,000 | ||||||||||
Liberty Mutual Insurance Co., | ||||||||||||
7.697%, 10/15/2097(2) | 375,000 | 519,705 | ||||||||||
Life Storage LP, | ||||||||||||
3.875%, 12/15/2027 | 2,575,000 | 2,436,924 | ||||||||||
Lincoln National Corp., | ||||||||||||
4.399%, 04/20/2067(3 Month LIBOR USD + 2.040%)(4) | 930,000 | 864,900 | ||||||||||
Lloyds Bank PLC, | ||||||||||||
5.800%, 01/13/2020(1)(2) | 6,350,000 | 6,590,337 | ||||||||||
Lloyds Banking Group PLC: | ||||||||||||
2.907%, 11/07/2023(3 Month LIBOR USD + 0.810%)(1)(4) | 9,400,000 | 8,953,109 | ||||||||||
3.750%, 01/11/2027(1) | 7,800,000 | 7,372,959 | ||||||||||
4.375%, 03/22/2028(1) | 15,000,000 | 14,797,770 | ||||||||||
3.574%, 11/07/2028(3 Month LIBOR USD + 1.205%)(1)(4) | 21,550,000 | 19,882,680 | ||||||||||
Macquarie Bank Ltd.: | ||||||||||||
2.400%, 01/21/2020(1)(2) | 17,750,000 | 17,519,010 | ||||||||||
4.875%, 06/10/2025(1)(2) | 7,800,000 | 7,773,982 | ||||||||||
Macquarie Group Ltd.: | ||||||||||||
7.625%, 08/13/2019(1)(2) | 2,467,000 | 2,582,257 | ||||||||||
3.189%, 11/28/2023(3 Month LIBOR USD + 1.023%)(1)(2)(4) | 31,650,000 | 30,198,531 | ||||||||||
4.150%, 03/27/2024(3 Month LIBOR USD + 1.330%)(1)(2)(4) | 21,000,000 | 20,900,658 | ||||||||||
Manufacturers & Traders Trust Co.: | ||||||||||||
2.100%, 02/06/2020 | 8,000,000 | 7,874,177 | ||||||||||
3.317%, 12/28/2020(1 Month LIBOR USD + 1.215%)(4) | 9,483,000 | 9,500,822 | ||||||||||
Manulife Financial Corp.: | ||||||||||||
4.900%, 09/17/2020(1) | 3,234,000 | 3,332,978 | ||||||||||
4.150%, 03/04/2026(1) | 16,375,000 | 16,346,202 | ||||||||||
Marsh & McLennan Companies, Inc.: | ||||||||||||
4.800%, 07/15/2021 | 1,000,000 | 1,039,769 | ||||||||||
3.300%, 03/14/2023 | 6,875,000 | 6,795,685 | ||||||||||
3.750%, 03/14/2026 | 9,225,000 | 9,134,746 | ||||||||||
5.875%, 08/01/2033 | 3,729,000 | 4,393,129 | ||||||||||
Massachusetts Mutual Life Insurance Co.: | ||||||||||||
7.625%, 11/15/2023(2) | 3,184,000 | 3,652,201 | ||||||||||
8.875%, 06/01/2039(2) | 11,851,000 | 18,551,181 | ||||||||||
4.900%, 04/01/2077(2) | 8,000,000 | 7,888,914 | ||||||||||
MBIA Insurance Corp., | ||||||||||||
13.608%, 01/15/2033(3 Month LIBOR USD + 11.260%)(2)(4)(7) | 700,000 | 357,000 | ||||||||||
MetLife Capital Trust IV, | ||||||||||||
7.875%, 12/15/2067(2)(3) | 900,000 | 1,115,928 | ||||||||||
MetLife, Inc.: | ||||||||||||
4.875%, 11/13/2043 | 3,375,000 | 3,561,941 | ||||||||||
4.050%, 03/01/2045 | 9,025,000 | 8,381,906 | ||||||||||
Mitsubishi UFJ Financial Group, Inc.: | ||||||||||||
2.950%, 03/01/2021(1) | 5,749,000 | 5,686,945 | ||||||||||
2.190%, 09/13/2021(1) | 20,000,000 | 19,204,172 | ||||||||||
3.455%, 03/02/2023(1) | 15,000,000 | 14,870,977 | ||||||||||
Mitsubishi UFJ Trust & Banking Corp., | ||||||||||||
2.450%, 10/16/2019(1)(2) | 10,000,000 | 9,916,609 | ||||||||||
Mizuho Bank Ltd.: | ||||||||||||
2.650%, 09/25/2019(1)(2) | 5,000,000 | 4,973,850 | ||||||||||
2.400%, 03/26/2020(1)(2) | 20,000,000 | 19,708,009 | ||||||||||
Mizuho Financial Group, Inc.: | ||||||||||||
2.953%, 02/28/2022(1) | 9,750,000 | 9,516,007 | ||||||||||
2.601%, 09/11/2022(1) | 5,000,000 | 4,792,068 | ||||||||||
3.170%, 09/11/2027(1) | 24,650,000 | 23,087,546 | ||||||||||
Morgan Stanley: | ||||||||||||
7.300%, 05/13/2019 | 4,675,000 | 4,845,719 | ||||||||||
2.375%, 07/23/2019 | 2,000,000 | 1,988,336 | ||||||||||
5.625%, 09/23/2019 | 10,225,000 | 10,536,396 | ||||||||||
2.650%, 01/27/2020 | 7,000,000 | 6,949,167 | ||||||||||
3.125%, 01/23/2023 | 15,000,000 | 14,636,011 | ||||||||||
3.750%, 02/25/2023 | 1,000,000 | 1,001,134 | ||||||||||
3.759%, 10/24/2023(3 Month LIBOR USD + 1.400%)(4) | 10,000,000 | 10,228,840 | ||||||||||
3.700%, 10/23/2024 | 5,000,000 | 4,936,231 | ||||||||||
4.000%, 07/23/2025 | 2,500,000 | 2,492,397 | ||||||||||
3.875%, 01/27/2026 | 7,000,000 | 6,890,492 | ||||||||||
3.125%, 07/27/2026 | 13,175,000 | 12,255,718 | ||||||||||
3.591%, 07/22/2028(3 Month LIBOR USD + 1.340%)(4) | 15,350,000 | 14,589,362 | ||||||||||
MUFG Americas Holdings Corp.: | ||||||||||||
2.250%, 02/10/2020 | 7,000,000 | 6,895,926 | ||||||||||
3.500%, 06/18/2022 | 1,150,000 | 1,146,941 | ||||||||||
Nationwide Building Society: | ||||||||||||
3.766%, 03/08/2024(3 Month LIBOR USD + 1.064%)(1)(2)(4) | 14,500,000 | 14,198,638 | ||||||||||
3.900%, 07/21/2025(1)(2) | 8,100,000 | 8,025,267 | ||||||||||
4.000%, 09/14/2026(1)(2) | 53,541,000 | 50,007,534 | ||||||||||
4.302%, 03/08/2029(3 Month LIBOR USD + 1.452%)(1)(2)(4) | 1,100,000 | 1,059,104 | ||||||||||
4.125%, 10/18/2032(5 Year Mid Swap Rate USD + 1.849%)(1)(2)(4) | 8,000,000 | 7,327,061 | ||||||||||
Nationwide Financial Services, Inc., | ||||||||||||
5.375%, 03/25/2021(2) | 14,788,000 | 15,418,179 | ||||||||||
Nationwide Mutual Insurance Co.: | ||||||||||||
7.875%, 04/01/2033(2) | 3,600,000 | 4,860,690 | ||||||||||
9.375%, 08/15/2039(2) | 20,434,000 | 31,995,839 | ||||||||||
New England Mutual Life Insurance Co., | ||||||||||||
7.875%, 02/15/2024(2) | 3,200,000 | 3,816,221 | ||||||||||
New York Life Insurance Co., | ||||||||||||
6.750%, 11/15/2039(2) | 25,105,000 | 33,293,428 | ||||||||||
Nippon Life Insurance Co., | ||||||||||||
5.000%, 10/18/2042(3 Month LIBOR USD + 4.240%)(1)(2)(4) | 2,000,000 | 2,041,660 | ||||||||||
Nomura Holdings, Inc.: | ||||||||||||
2.750%, 03/19/2019(1) | 11,393,000 | 11,389,331 | ||||||||||
6.700%, 03/04/2020(1) | 2,525,000 | 2,661,857 | ||||||||||
Peachtree Corners Funding Trust, | ||||||||||||
3.976%, 02/15/2025(2) | 16,000,000 | 15,567,485 | ||||||||||
Popular, Inc., | ||||||||||||
7.000%, 07/01/2019(1) | 1,000,000 | 1,015,000 | ||||||||||
Principal Financial Group, Inc.: | ||||||||||||
3.300%, 09/15/2022 | 1,215,000 | 1,204,496 | ||||||||||
3.125%, 05/15/2023 | 3,675,000 | 3,590,806 | ||||||||||
Principal Life Global Funding II, | ||||||||||||
2.200%, 04/08/2020(2) | 8,000,000 | 7,873,837 | ||||||||||
Protective Life Corp., | ||||||||||||
7.375%, 10/15/2019 | 5,360,000 | 5,642,784 | ||||||||||
Protective Life Global Funding, | ||||||||||||
2.700%, 11/25/2020(2) | 10,725,000 | 10,581,432 | ||||||||||
Prudential Financial, Inc., | ||||||||||||
3.878%, 03/27/2028 | 11,275,000 | 11,144,077 | ||||||||||
Prudential Insurance Co. of America, | ||||||||||||
8.300%, 07/01/2025(2) | 21,011,000 | 26,188,062 | ||||||||||
Raymond James Financial, Inc., | ||||||||||||
4.950%, 07/15/2046 | 15,000,000 | 15,284,516 | ||||||||||
Realty Income Corp., | ||||||||||||
3.875%, 04/15/2025 | 10,000,000 | 9,859,384 | ||||||||||
Regions Financial Corp.: | ||||||||||||
3.200%, 02/08/2021 | 30,725,000 | 30,565,899 | ||||||||||
2.750%, 08/14/2022 | 12,000,000 | 11,572,085 | ||||||||||
Reliance Standard Life Global Funding II: | ||||||||||||
2.500%, 01/15/2020(2) | 14,000,000 | 13,853,155 | ||||||||||
2.375%, 05/04/2020(2) | 23,750,000 | 23,319,011 | ||||||||||
3.050%, 01/20/2021(2) | 10,954,000 | 10,826,917 | ||||||||||
Royal Bank of Canada, | ||||||||||||
4.650%, 01/27/2026(1) | 29,930,000 | 30,364,933 | ||||||||||
Royal Bank of Scotland Group PLC: | ||||||||||||
3.498%, 05/15/2023(3 Month LIBOR USD + 1.480%)(1)(4) | 62,335,000 | 60,384,409 | ||||||||||
4.519%, 06/25/2024(3 Month LIBOR USD + 1.550%)(1)(4) | 17,475,000 | 17,487,526 | ||||||||||
4.892%, 05/18/2029(3 Month LIBOR USD + 1.754%)(1)(4) | 4,250,000 | 4,231,084 | ||||||||||
Santander Holdings USA, Inc., | ||||||||||||
3.400%, 01/18/2023 | 5,750,000 | 5,551,710 | ||||||||||
Santander UK Group Holdings PLC: | ||||||||||||
2.875%, 08/05/2021(1) | 9,375,000 | 9,081,581 | ||||||||||
3.823%, 11/03/2028(3 Month LIBOR USD + 1.400%)(1)(4) | 6,000,000 | 5,508,691 | ||||||||||
Santander UK PLC: | ||||||||||||
5.000%, 11/07/2023(1)(2) | 28,200,000 | 28,628,273 | ||||||||||
4.000%, 03/13/2024(1) | 7,700,000 | 7,717,770 | ||||||||||
Societe Generale SA: | ||||||||||||
5.200%, 04/15/2021(1)(2) | 10,100,000 | 10,573,117 | ||||||||||
3.250%, 01/12/2022(1)(2) | 20,000,000 | 19,516,395 | ||||||||||
5.000%, 01/17/2024(1)(2) | 13,000,000 | 13,043,613 | ||||||||||
4.250%, 04/14/2025(1)(2) | 17,100,000 | 16,415,131 | ||||||||||
Standard Chartered PLC: | ||||||||||||
2.100%, 08/19/2019(1)(2) | 18,685,000 | 18,431,623 | ||||||||||
2.250%, 04/17/2020(1)(2) | 7,000,000 | 6,847,918 | ||||||||||
3.050%, 01/15/2021(1)(2) | 14,000,000 | 13,795,152 | ||||||||||
3.885%, 03/15/2024(3 Month LIBOR USD + 1.080%)(1)(2)(4) | 9,800,000 | 9,622,589 | ||||||||||
5.700%, 03/26/2044(1)(2) | 14,000,000 | 14,613,479 | ||||||||||
Stifel Financial Corp.: | ||||||||||||
3.500%, 12/01/2020 | 5,000,000 | 5,007,768 | ||||||||||
4.250%, 07/18/2024 | 19,615,000 | 19,543,164 | ||||||||||
Sumitomo Mitsui Banking Corp.: | ||||||||||||
1.950%, 07/23/2018(1) | 4,000,000 | 3,999,020 | ||||||||||
2.250%, 07/11/2019(1) | 12,050,000 | 11,947,258 | ||||||||||
2.450%, 01/16/2020(1) | 12,450,000 | 12,308,141 | ||||||||||
3.000%, 01/18/2023(1) | 2,500,000 | 2,435,350 | ||||||||||
Sumitomo Mitsui Financial Group, Inc.: | ||||||||||||
2.784%, 07/12/2022(1) | 13,325,000 | 12,899,636 | ||||||||||
3.102%, 01/17/2023(1) | 16,125,000 | 15,755,580 | ||||||||||
SunTrust Banks, Inc.: | ||||||||||||
2.900%, 03/03/2021 | 15,125,000 | 14,939,878 | ||||||||||
2.750%, 05/01/2023 | 6,345,000 | 6,128,379 | ||||||||||
3.300%, 05/15/2026 | 28,734,000 | 27,126,170 | ||||||||||
Swedbank AB, | ||||||||||||
2.650%, 03/10/2021(1)(2) | 7,025,000 | 6,899,800 | ||||||||||
Synchrony Financial: | ||||||||||||
3.750%, 08/15/2021 | 16,825,000 | 16,807,547 | ||||||||||
4.250%, 08/15/2024 | 33,325,000 | 32,668,940 | ||||||||||
4.500%, 07/23/2025 | 12,420,000 | 12,197,810 | ||||||||||
3.700%, 08/04/2026 | 5,388,000 | 4,949,745 | ||||||||||
3.950%, 12/01/2027 | 18,000,000 | 16,605,141 | ||||||||||
Synovus Financial Corp., | ||||||||||||
3.125%, 11/01/2022 | 15,000,000 | 14,325,000 | ||||||||||
TD Ameritrade Holding Corp., | ||||||||||||
5.600%, 12/01/2019 | 1,000,000 | 1,035,194 | ||||||||||
Torchmark Corp., | ||||||||||||
3.800%, 09/15/2022 | 1,275,000 | 1,281,228 | ||||||||||
Trinity Acquisition PLC: | ||||||||||||
4.400%, 03/15/2026(1) | 15,776,000 | 15,621,304 | ||||||||||
6.125%, 08/15/2043(1) | 14,325,000 | 16,653,984 | ||||||||||
UBS Group Funding Switzerland AG: | ||||||||||||
3.775%, 09/24/2020(3 Month LIBOR USD + 1.440%)(1)(2)(4) | 26,350,000 | 26,908,974 | ||||||||||
2.650%, 02/01/2022(1)(2) | 10,000,000 | 9,633,966 | ||||||||||
3.491%, 05/23/2023(1)(2) | 24,075,000 | 23,536,067 | ||||||||||
2.859%, 08/15/2023(3 Month LIBOR USD + 0.954%)(1)(2)(4) | 17,700,000 | 16,940,945 | ||||||||||
UnitedHealth Group, Inc., | ||||||||||||
4.625%, 07/15/2035 | 12,175,000 | 12,804,817 | ||||||||||
Voya Financial, Inc.: | ||||||||||||
5.500%, 07/15/2022 | 23,194,000 | 24,724,629 | ||||||||||
3.650%, 06/15/2026 | 7,102,000 | 6,717,933 | ||||||||||
Wells Fargo & Co.: | ||||||||||||
2.150%, 01/30/2020 | 7,000,000 | 6,901,795 | ||||||||||
2.500%, 03/04/2021 | 15,950,000 | 15,594,048 | ||||||||||
3.069%, 01/24/2023 | 12,000,000 | 11,669,229 | ||||||||||
3.589%, 10/31/2023(3 Month LIBOR USD + 1.230%)(4) | 10,000,000 | 10,202,487 | ||||||||||
3.000%, 02/19/2025 | 5,225,000 | 4,928,469 | ||||||||||
3.000%, 04/22/2026 | 4,000,000 | 3,708,186 | ||||||||||
Westpac Banking Corp.: | ||||||||||||
1.600%, 08/19/2019(1) | 15,000,000 | 14,788,380 | ||||||||||
4.875%, 11/19/2019(1) | 636,000 | 652,096 | ||||||||||
2.100%, 05/13/2021(1) | 13,300,000 | 12,833,590 | ||||||||||
4.322%, 11/23/2031(5 Year Mid Swap Rate USD + 2.236%)(1)(4) | 10,000,000 | 9,635,091 | ||||||||||
Willis North America, Inc., | ||||||||||||
7.000%, 09/29/2019 | 16,003,000 | 16,700,386 | ||||||||||
Willis Towers Watson PLC, | ||||||||||||
5.750%, 03/15/2021(1) | 20,329,000 | 21,431,739 | ||||||||||
3,844,324,005 | 21.4 | % | ||||||||||
Total Corporate Bonds | 8,779,048,253 | 48.8 | % |
Municipal Bonds | ||||||||||||
Bellevue Union School District, | ||||||||||||
5.000%, 08/01/2028 | 625,000 | 644,575 | ||||||||||
California Housing Finance Agency, | ||||||||||||
2.794%, 08/01/2036 | 15,780,000 | 15,383,922 | ||||||||||
California Qualified School Bond Joint Powers Authority: | ||||||||||||
6.739%, 09/01/2026 | 2,415,000 | 2,802,559 | ||||||||||
7.155%, 03/01/2027 | 1,700,000 | 2,009,485 | ||||||||||
California School Finance Authority, | ||||||||||||
5.041%, 07/01/2020 | 1,500,000 | 1,561,245 | ||||||||||
Camden County Improvement Authority, | ||||||||||||
7.747%, 07/01/2034 | 1,100,000 | 1,191,432 | ||||||||||
Central Valley Support Joint Powers Agency, | ||||||||||||
5.676%, 09/01/2024 | 1,500,000 | 1,672,455 | ||||||||||
City of Vernon CA Electric System Revenue, | ||||||||||||
4.500%, 08/01/2022 | 7,500,000 | 7,774,500 | ||||||||||
City of Williston ND, | ||||||||||||
3.100%, 07/15/2025 | 2,060,000 | 2,058,311 | ||||||||||
Colton Joint Unified School District, | ||||||||||||
6.008%, 08/01/2026 | 1,250,000 | 1,445,825 | ||||||||||
Hillsborough City School District: | ||||||||||||
–%, 09/01/2036 | 10,000,000 | 4,468,200 | ||||||||||
–%, 09/01/2042 | 10,000,000 | 3,352,900 | ||||||||||
Iowa Tobacco Settlement Authority, | ||||||||||||
6.500%, 06/01/2023 | 1,815,000 | 1,846,545 | ||||||||||
New Hampshire Housing Finance Authority: | ||||||||||||
3.100%, 07/01/2021 | 1,425,000 | 1,418,944 | ||||||||||
3.750%, 07/01/2034 | 3,790,000 | 3,803,151 | ||||||||||
North Carolina Housing Finance Agency: | ||||||||||||
2.870%, 07/01/2032 | 3,915,000 | 3,813,601 | ||||||||||
2.812%, 07/01/2035 | 4,880,000 | 4,752,925 | ||||||||||
North East Texas Independent School District, | ||||||||||||
5.240%, 08/01/2027 | 3,000,000 | 3,434,970 | ||||||||||
Rhode Island Housing & Mortgage Finance Corp., | ||||||||||||
2.913%, 10/01/2039 | 2,650,000 | 2,605,639 | ||||||||||
State of Illinois, | ||||||||||||
6.200%, 07/01/2021 | 15,910,000 | 16,434,712 | ||||||||||
State Public School Building Authority, | ||||||||||||
5.000%, 09/15/2027 | 1,998,000 | 2,169,708 | ||||||||||
Three Rivers Local School District, | ||||||||||||
5.209%, 09/15/2027 | 1,350,000 | 1,406,889 | ||||||||||
Town of Davie FL, | ||||||||||||
6.599%, 10/01/2030 | 1,000,000 | 1,076,390 | ||||||||||
West Allis West Milwaukee School District, | ||||||||||||
4.000%, 04/01/2020 | 15,885,000 | 15,890,560 | ||||||||||
West Contra Costa Unified School District, | ||||||||||||
6.250%, 08/01/2030 | 4,320,000 | 5,244,609 | ||||||||||
Westlake City School District, | ||||||||||||
5.227%, 12/01/2026 | 1,160,000 | 1,167,737 | ||||||||||
109,431,789 | 0.6 | % | ||||||||||
Residential Mortgage-Backed Securities | ||||||||||||
U.S. Government Agency Issues | ||||||||||||
Fannie Mae REMIC Trust: | ||||||||||||
Series 1989-94, Class G, 7.500%, 12/25/2019 | 814 | 830 | ||||||||||
Series 1990-15, Class J, 7.000%, 02/25/2020 | 454 | 455 | ||||||||||
Series 1991-21, Class J, 7.000%, 03/25/2021 | 659 | 676 | ||||||||||
Series 1991-43, Class J, 7.000%, 05/25/2021 | 17,172 | 17,701 | ||||||||||
Series 1991-65, Class Z, 6.500%, 06/25/2021 | 10,967 | 11,311 | ||||||||||
Series 1992-129, Class L, 6.000%, 07/25/2022 | 32,737 | 34,026 | ||||||||||
Series 1993-32, Class H, 6.000%, 03/25/2023 | 9,784 | 10,203 | ||||||||||
Series 1993-58, Class H, 5.500%, 04/25/2023 | 42,020 | 43,364 | ||||||||||
Series 2004-90, Class LH, 5.000%, 04/25/2034 | 263,598 | 265,151 | ||||||||||
Federal Gold Loan Mortgage Corp.(FGLMC): | ||||||||||||
5.000%, 12/01/2020 | 13,056 | 13,286 | ||||||||||
5.000%, 05/01/2021 | 22,951 | 23,212 | ||||||||||
6.000%, 06/01/2021 | 6,142 | 6,340 | ||||||||||
3.000%, 05/01/2027 | 5,653,127 | 5,655,166 | ||||||||||
6.500%, 12/01/2028 | 15,635 | 17,405 | ||||||||||
6.500%, 06/01/2029 | 6,997 | 7,789 | ||||||||||
3.000%, 10/01/2030 | 39,836,163 | 39,636,197 | ||||||||||
3.000%, 02/01/2032 | 58,799,521 | 58,427,283 | ||||||||||
3.500%, 05/01/2032 | 28,577,406 | 28,989,722 | ||||||||||
3.500%, 01/01/2034 | 28,916,377 | 29,333,795 | ||||||||||
5.000%, 03/01/2036 | 5,531,817 | 5,903,014 | ||||||||||
5.500%, 04/01/2037 | 123,205 | 133,150 | ||||||||||
5.500%, 04/01/2038 | 75,283 | 81,442 | ||||||||||
5.500%, 05/01/2038 | 123,613 | 133,547 | ||||||||||
5.500%, 01/01/2039 | 19,813,758 | 21,493,176 | ||||||||||
4.500%, 11/01/2039 | 2,549,953 | 2,681,596 | ||||||||||
4.500%, 11/01/2039 | 746,891 | 785,287 | ||||||||||
4.500%, 08/01/2040 | 2,530,199 | 2,661,051 | ||||||||||
4.500%, 08/01/2040 | 3,700,382 | 3,891,744 | ||||||||||
4.000%, 10/01/2040 | 24,671,177 | 25,362,202 | ||||||||||
4.000%, 01/01/2041 | 17,348,996 | 17,835,568 | ||||||||||
3.500%, 06/01/2042 | 4,795,830 | 4,810,282 | ||||||||||
3.500%, 06/01/2042 | 7,124,843 | 7,146,296 | ||||||||||
3.500%, 07/01/2042 | 27,864,684 | 27,948,909 | ||||||||||
3.500%, 07/01/2042 | 41,339,524 | 41,464,389 | ||||||||||
3.000%, 08/01/2042 | 22,742,450 | 22,229,465 | ||||||||||
3.500%, 09/01/2042 | 15,717,608 | 15,765,021 | ||||||||||
3.000%, 11/01/2042 | 55,005,522 | 53,765,621 | ||||||||||
3.500%, 12/01/2042 | 24,595,650 | 24,669,843 | ||||||||||
3.000%, 01/01/2043 | 41,129,980 | 40,160,665 | ||||||||||
3.000%, 02/01/2043 | 7,466,562 | 7,291,206 | ||||||||||
3.500%, 02/01/2043 | 16,434,238 | 16,483,889 | ||||||||||
3.000%, 03/01/2043 | 17,423,671 | 17,012,749 | ||||||||||
3.000%, 04/01/2043 | 13,738,881 | 13,416,618 | ||||||||||
3.000%, 04/01/2043 | 14,164,335 | 13,828,421 | ||||||||||
3.000%, 06/01/2043 | 12,480,939 | 12,182,615 | ||||||||||
3.000%, 08/01/2043 | 28,342,601 | 27,665,925 | ||||||||||
3.500%, 05/01/2044 | 13,876,628 | 13,918,532 | ||||||||||
3.500%, 08/01/2044 | 29,082,833 | 29,131,685 | ||||||||||
3.500%, 08/01/2044 | 34,520,479 | 34,612,022 | ||||||||||
4.000%, 09/01/2044 | 15,856,494 | 16,228,250 | ||||||||||
4.000%, 10/01/2044 | 23,705,495 | 24,325,938 | ||||||||||
3.500%, 01/01/2045 | 26,174,235 | 26,253,325 | ||||||||||
4.000%, 02/01/2045 | 16,783,551 | 17,176,698 | ||||||||||
3.500%, 06/01/2045 | 30,185,882 | 30,197,647 | ||||||||||
3.000%, 10/01/2045 | 38,494,811 | 37,578,780 | ||||||||||
4.000%, 10/01/2045 | 25,609,476 | 26,207,809 | ||||||||||
3.500%, 12/01/2045 | 28,796,406 | 28,767,487 | ||||||||||
3.500%, 01/01/2046 | 61,709,918 | 61,647,939 | ||||||||||
3.500%, 03/01/2046 | 7,832,970 | 7,836,023 | ||||||||||
3.500%, 08/01/2046 | 91,962,821 | 92,104,321 | ||||||||||
4.000%, 08/01/2046 | 15,863,298 | 16,248,307 | ||||||||||
3.000%, 10/01/2046 | 79,700,462 | 77,369,735 | ||||||||||
3.000%, 10/01/2046 | 45,479,042 | 44,184,406 | ||||||||||
4.000%, 01/01/2047 | 41,297,806 | 42,359,352 | ||||||||||
3.000%, 05/01/2047 | 86,898,103 | 84,355,518 | ||||||||||
3.500%, 08/01/2047 | 28,713,948 | 28,691,781 | ||||||||||
Federal Home Loan Mortgage Corp.(FHLMC): | ||||||||||||
Series 1053, Class G, 7.000%, 03/15/2021 | 1,094 | 1,135 | ||||||||||
Series 136, Class E, 6.000%, 04/15/2021 | 1,285 | 1,304 | ||||||||||
Series 1122, Class G, 7.000%, 08/15/2021 | 3,010 | 3,136 | ||||||||||
Series 1186, Class I, 7.000%, 12/15/2021 | 5,907 | 6,196 | ||||||||||
Federal National Mortgage Association(FNMA): | ||||||||||||
5.000%, 11/01/2021 | 37,558 | 38,196 | ||||||||||
3.000%, 04/01/2027 | 10,511,424 | 10,513,005 | ||||||||||
3.500%, 07/01/2027 | 37,851,257 | 38,411,246 | ||||||||||
2.500%, 12/01/2027 | 16,096,150 | 15,771,868 | ||||||||||
5.000%, 05/01/2028 | 41,187 | 43,667 | ||||||||||
3.500%, 07/01/2028 | 27,462,176 | 27,808,259 | ||||||||||
6.500%, 09/01/2028 | 10,747 | 11,846 | ||||||||||
6.500%, 02/01/2029 | 25,143 | 27,715 | ||||||||||
4.500%, 07/01/2030 | 4,753,334 | 4,968,176 | ||||||||||
3.000%, 08/01/2030 | 31,339,046 | 31,266,683 | ||||||||||
4.000%, 11/01/2031 | 20,823,108 | 21,545,401 | ||||||||||
3.500%, 01/01/2032 | 50,162,118 | 50,910,592 | ||||||||||
5.500%, 01/01/2032 | 10,748 | 11,633 | ||||||||||
2.500%, 07/01/2032 | 17,723,419 | 17,278,262 | ||||||||||
5.000%, 09/01/2033 | 14,131,616 | 15,136,440 | ||||||||||
4.500%, 10/01/2033 | 26,216,157 | 27,442,330 | ||||||||||
4.000%, 01/01/2034 | 14,624,664 | 15,129,918 | ||||||||||
5.500%, 04/01/2034 | 800,605 | 870,978 | ||||||||||
4.000%, 09/01/2034 | 21,115,890 | 21,848,672 | ||||||||||
5.500%, 09/01/2034 | 35,969 | 39,091 | ||||||||||
5.000%, 02/01/2035 | 19,837,370 | 21,244,022 | ||||||||||
5.000%, 02/01/2035 | 13,706,690 | 14,679,910 | ||||||||||
5.500%, 02/01/2035 | 31,612 | 34,341 | ||||||||||
5.000%, 04/01/2035 | 1,435,822 | 1,537,532 | ||||||||||
5.000%, 07/01/2035 | 4,117,600 | 4,409,139 | ||||||||||
5.000%, 02/01/2036 | 2,530,649 | 2,710,583 | ||||||||||
5.000%, 03/01/2036 | 1,152,885 | 1,234,930 | ||||||||||
5.500%, 04/01/2036 | 3,829,431 | 4,155,846 | ||||||||||
4.000%, 05/01/2037 | 77,796,166 | 80,198,588 | ||||||||||
6.000%, 05/01/2038 | 6,117,983 | 6,688,318 | ||||||||||
4.000%, 06/01/2039 | 12,872,640 | 13,218,439 | ||||||||||
5.000%, 06/01/2039 | 17,991,638 | 19,264,904 | ||||||||||
4.500%, 01/01/2040 | 3,961,786 | 4,148,552 | ||||||||||
4.500%, 01/01/2040 | 9,055,234 | 9,521,940 | ||||||||||
5.000%, 06/01/2040 | 15,042,461 | 16,132,845 | ||||||||||
4.000%, 08/01/2040 | 1,205,599 | 1,238,100 | ||||||||||
4.500%, 08/01/2040 | 14,236,878 | 14,978,180 | ||||||||||
4.500%, 08/01/2040 | 5,305,149 | 5,581,429 | ||||||||||
4.000%, 10/01/2040 | 2,123,624 | 2,181,079 | ||||||||||
4.000%, 11/01/2040 | 21,960,462 | 22,554,380 | ||||||||||
4.000%, 12/01/2040 | 4,407,227 | 4,544,594 | ||||||||||
3.500%, 01/01/2041 | 2,281,147 | 2,289,255 | ||||||||||
4.000%, 01/01/2041 | 4,585,576 | 4,709,576 | ||||||||||
3.500%, 02/01/2041 | 2,650,208 | 2,659,629 | ||||||||||
4.000%, 02/01/2041 | 451,000 | 463,461 | ||||||||||
3.500%, 03/01/2041 | 18,099,637 | 18,163,985 | ||||||||||
4.000%, 03/01/2041 | 8,114,396 | 8,333,923 | ||||||||||
4.500%, 07/01/2041 | 6,269,052 | 6,589,664 | ||||||||||
3.500%, 09/01/2041 | 37,310,922 | 37,443,590 | ||||||||||
4.000%, 09/01/2041 | 3,755,809 | 3,857,345 | ||||||||||
3.500%, 11/01/2041 | 20,282,896 | 20,354,723 | ||||||||||
3.500%, 12/01/2041 | 3,538,013 | 3,550,563 | ||||||||||
4.000%, 12/01/2041 | 16,561,656 | 17,010,232 | ||||||||||
4.000%, 01/01/2042 | 31,101,603 | 31,943,293 | ||||||||||
4.500%, 01/01/2042 | 12,445,746 | 13,089,219 | ||||||||||
4.000%, 02/01/2042 | 27,568,035 | 28,314,479 | ||||||||||
3.000%, 05/01/2042 | 4,090,630 | 4,000,977 | ||||||||||
3.500%, 05/01/2042 | 20,414,858 | 20,499,599 | ||||||||||
3.500%, 06/01/2042 | 7,825,959 | 7,853,722 | ||||||||||
3.500%, 08/01/2042 | 12,416,266 | 12,458,185 | ||||||||||
3.500%, 09/01/2042 | 20,429,734 | 20,491,105 | ||||||||||
3.000%, 03/01/2043 | 7,670,960 | 7,495,403 | ||||||||||
3.000%, 04/01/2043 | 2,273,119 | 2,221,043 | ||||||||||
3.000%, 05/01/2043 | 30,564,115 | 29,860,472 | ||||||||||
3.500%, 05/01/2043 | 19,257,160 | 19,283,893 | ||||||||||
3.000%, 06/01/2043 | 31,621,793 | 30,890,810 | ||||||||||
3.000%, 07/01/2043 | 25,589,112 | 25,010,908 | ||||||||||
4.000%, 07/01/2043 | 35,576,123 | 36,536,758 | ||||||||||
3.000%, 08/01/2043 | 9,198,196 | 8,986,320 | ||||||||||
3.500%, 09/01/2043 | 43,983,176 | 44,138,955 | ||||||||||
4.500%, 09/01/2043 | 8,672,591 | 9,123,706 | ||||||||||
4.000%, 01/01/2045 | 17,874,170 | 18,310,049 | ||||||||||
3.500%, 02/01/2045 | 58,821,245 | 59,007,227 | ||||||||||
4.000%, 02/01/2045 | 25,057,766 | 25,718,890 | ||||||||||
4.000%, 02/01/2045 | 17,923,735 | 18,408,990 | ||||||||||
4.000%, 02/01/2045 | 9,013,753 | 9,257,668 | ||||||||||
4.000%, 03/01/2045 | 12,948,291 | 13,290,032 | ||||||||||
4.000%, 11/01/2045 | 61,528,468 | 62,770,696 | ||||||||||
3.500%, 12/01/2045 | 46,075,480 | 45,996,711 | ||||||||||
4.500%, 02/01/2046 | 37,143,863 | 39,072,720 | ||||||||||
4.500%, 08/01/2046 | 39,597,268 | 41,443,230 | ||||||||||
3.000%, 10/01/2046 | 32,195,363 | 31,299,234 | ||||||||||
3.500%, 11/01/2046 | 38,003,130 | 37,938,164 | ||||||||||
4.000%, 11/01/2047 | 21,691,545 | 22,144,932 | ||||||||||
Government National Mortgage Association(GNMA): | ||||||||||||
6.000%, 12/20/2028 | 19,339 | 21,188 | ||||||||||
6.500%, 01/20/2029 | 10,235 | 11,518 | ||||||||||
6.000%, 11/20/2033 | 13,944 | 15,399 | ||||||||||
5.000%, 07/20/2040 | 743,295 | 799,647 | ||||||||||
4.000%, 08/20/2041 | 6,733,746 | 6,963,108 | ||||||||||
3.500%, 10/20/2041 | 12,229,080 | 12,374,672 | ||||||||||
4.000%, 12/20/2041 | 8,765,075 | 9,064,312 | ||||||||||
4.000%, 02/20/2042 | 17,032,030 | 17,613,684 | ||||||||||
4.000%, 06/20/2042 | 14,414,680 | 14,901,651 | ||||||||||
3.500%, 09/20/2042 | 9,449,790 | 9,562,303 | ||||||||||
3.000%, 04/20/2045 | 19,783,079 | 19,542,460 | ||||||||||
3.500%, 04/20/2045 | 27,967,838 | 28,145,787 | ||||||||||
4.000%, 05/20/2045 | 21,783,226 | 22,542,253 | ||||||||||
3.500%, 06/20/2045 | 26,424,724 | 26,592,857 | ||||||||||
3.500%, 10/20/2045 | 87,562,716 | 88,119,887 | ||||||||||
4.500%, 01/20/2046 | 21,044,559 | 22,148,313 | ||||||||||
3.000%, 06/20/2046 | 15,747,913 | 15,459,255 | ||||||||||
3.000%, 08/20/2046 | 56,989,703 | 55,946,408 | ||||||||||
4.500%, 06/20/2047 | 39,778,621 | 41,362,087 | ||||||||||
4.500%, 07/20/2047 | 20,688,229 | 21,511,077 | ||||||||||
3,192,817,760 | 17.7 | % | ||||||||||
Non-U.S. Government Agency Issues | ||||||||||||
ABFC Trust, | ||||||||||||
Series 2006-OPT1, Class A3C2, 2.241%, 09/25/2036(1 Month LIBOR USD + 0.150%)(4) | 7,889,607 | 7,688,212 | ||||||||||
Accredited Mortgage Loan Trust: | ||||||||||||
Series 2005-4, Class A2D, 2.411%, 12/25/2035(1 Month LIBOR USD + 0.320%)(4) | 6,986,598 | 6,978,155 | ||||||||||
Series 2007-1, Class A3, 2.221%, 02/25/2037(1 Month LIBOR USD + 0.130%)(4) | 2,832,682 | 2,822,121 | ||||||||||
ACE Securities Corp. Home Equity Loan Trust, | ||||||||||||
Series 2006-OP1, Class A2C, 2.241%, 04/25/2036(1 Month LIBOR USD + 0.150%)(4) | 6,950,927 | 6,915,078 | ||||||||||
Alternative Loan Trust: | ||||||||||||
Series 2005-3CB, Class 2A1, 5.000%, 03/25/2020 | 517,492 | 512,447 | ||||||||||
Series 2005-50CB, Class 4A1, 5.000%, 11/25/2020(6) | 159,533 | 159,812 | ||||||||||
Series 2005-85CB, Class 3A1, 5.250%, 02/25/2021(2)(6) | 7,463 | 7,320 | ||||||||||
Series 2006-7CB, Class 3A1, 5.250%, 05/25/2021(6) | 226,814 | 222,741 | ||||||||||
Series 2006-J5, Class 3A1, 4.329%, 07/25/2021(3) | 28,628 | 27,589 | ||||||||||
Series 2006-43CB, Class 2A1, 6.000%, 02/25/2022(6) | 145,587 | 146,129 | ||||||||||
Series 2005-11CB, Class 2A6, 5.500%, 06/25/2025(6) | 6,885,739 | 6,912,342 | ||||||||||
Series 2004-18CB, Class 1A1, 6.000%, 09/25/2034 | 5,363,697 | 5,530,921 | ||||||||||
Series 2005-6CB, Class 1A4, 5.500%, 04/25/2035(6) | 16,936,126 | 16,396,119 | ||||||||||
Series 2005-29CB, Class A1, 5.500%, 07/25/2035(6) | 3,359,761 | 3,063,707 | ||||||||||
Series 2005-49CB, Class A5, 5.500%, 11/25/2035(6) | 3,207,240 | 3,001,624 | ||||||||||
Series 2005-73CB, Class 1A7, 5.500%, 01/25/2036(6) | 440,989 | 437,663 | ||||||||||
Series 2005-85CB, Class 2A2, 5.500%, 02/25/2036(6) | 3,903,812 | 3,743,935 | ||||||||||
Series 2006-28CB, Class A17, 6.000%, 10/25/2036(6) | 559,364 | 455,174 | ||||||||||
AMRESCO Residential Securities Corp. Mortgage Loan Trust, | ||||||||||||
Series 1998-2, Class A6, 6.405%, 12/25/2027 | 1,183 | 1,173 | ||||||||||
Argent Securities Inc. Asset-Backed Pass-Through Certificates, | ||||||||||||
Series 2005-W5, Class A1, 2.326%, 01/25/2036(1 Month LIBOR USD + 0.235%)(4) | 42,586,917 | 42,241,955 | ||||||||||
Arroyo Mortgage Trust, | ||||||||||||
Series 2018-1, Class A1, 3.763%, 04/25/2048(2)(4) | 6,808,355 | 6,796,862 | ||||||||||
Asset Backed Securities Corp. Home Equity Loan Trust: | ||||||||||||
Series 2006-HE3, Class A4, 2.261%, 03/25/2036(1 Month LIBOR USD + 0.170%)(4) | 797,100 | 792,082 | ||||||||||
Series 2006-HE2, Class A1, 2.281%, 03/25/2036(1 Month LIBOR USD + 0.190%)(4) | 19,821,745 | 19,711,624 | ||||||||||
Series 2006-HE6, Class A4, 2.251%, 11/25/2036(1 Month LIBOR USD + 0.160%)(4) | 772,163 | 759,740 | ||||||||||
Banc of America Alternative Loan Trust: | ||||||||||||
Series 2004-6, Class 4A1, 5.000%, 07/25/2019 | 909,480 | 908,018 | ||||||||||
Series 2004-11, Class 4A1, 5.500%, 12/25/2019 | 8,669 | 8,708 | ||||||||||
Series 2005-2, Class 4A1, 5.500%, 03/25/2020 | 213,465 | 211,992 | ||||||||||
Series 2005-4, Class 3A1, 5.500%, 05/25/2020 | 143,593 | 142,253 | ||||||||||
Series 2005-8, Class 5A1, 5.500%, 09/25/2020(6) | 38,832 | 37,467 | ||||||||||
Series 2007-1, Class 1A1, 5.627%, 04/25/2022(4)(6) | 264,586 | 263,525 | ||||||||||
Series 2003-8, Class 1CB1, 5.500%, 10/25/2033 | 2,533,016 | 2,581,721 | ||||||||||
Series 2004-10, Class 1CB1, 6.000%, 11/25/2034 | 12,664,348 | 13,297,104 | ||||||||||
Series 2004-11, Class 1CB1, 6.000%, 12/25/2034 | 13,197,628 | 13,722,231 | ||||||||||
Series 2005-2, Class 1CB2, 5.500%, 03/25/2035(6) | 940,883 | 934,059 | ||||||||||
Series 2005-6, Class CB7, 5.250%, 07/25/2035(6) | 3,193,205 | 3,169,727 | ||||||||||
Series 2005-9, Class 1CB3, 5.500%, 10/25/2035(6) | 44,154 | 43,947 | ||||||||||
Series 2005-9, Class 2CB1, 6.000%, 10/25/2035(6) | 6,827,763 | 6,693,352 | ||||||||||
Series 2006-5, Class CB7, 6.000%, 06/25/2046(6) | 253,115 | 232,671 | ||||||||||
Banc of America Funding Trust: | ||||||||||||
Series 2005-C, Class A1, 2.324%, 05/20/2035(1 Month LIBOR USD + 0.240%)(4) | 7,414,107 | 7,326,760 | ||||||||||
Series 2007-C, Class 1A3, 3.742%, 05/20/2036(3)(6) | 3,115,671 | 2,997,065 | ||||||||||
Series 2006-G, Class 1A1, 2.274%, 07/20/2036(1 Month LIBOR USD + 0.190%)(4) | 37,914,170 | 37,318,811 | ||||||||||
Series 2007-C, Class 7A5, 2.384%, 05/20/2047(1 Month LIBOR USD + 0.300%)(4)(6) | 3,385,292 | 3,109,589 | ||||||||||
Bayview Financial Trust: | ||||||||||||
Series 2007-A, Class 1A2, 6.205%, 05/28/2037(8) | 243,935 | 249,119 | ||||||||||
Series 2007-B, Class 1A2, 6.831%, 08/28/2037(3)(8) | 115,930 | 110,283 | ||||||||||
Bear Stearns ARM Trust, | ||||||||||||
Series 2005-9, Class A1, 3.520%, 10/25/2035(1 Year CMT Rate + 2.300%)(4) | 1,044,714 | 1,056,350 | ||||||||||
Bear Stearns Asset Backed Securities I Trust: | ||||||||||||
Series 2005-HE4, Class M2, 3.051%, 04/25/2035(1 Month LIBOR USD + 0.960%)(4) | 4,888,758 | 4,899,127 | ||||||||||
Series 2007-HE5, Class 1A2, 2.271%, 11/25/2035(1 Month LIBOR USD + 0.180%)(4) | 5,176,506 | 5,174,515 | ||||||||||
Series 2006-HE8, Class 21A2, 2.261%, 07/25/2036(1 Month LIBOR USD + 0.170%)(4) | 6,830,695 | 6,800,114 | ||||||||||
Bear Stearns Asset Backed Securities Trust, | ||||||||||||
Series 2007-2, Class A2, 2.411%, 05/25/2037(1 Month LIBOR USD + 0.320%)(4) | 7,681,913 | 7,667,669 | ||||||||||
Carrington Mortgage Loan Trust: | ||||||||||||
Series 2005-NC1, Class M2, 2.871%, 02/26/2035(1 Month LIBOR USD + 0.780%)(4) | 4,314,773 | 4,320,470 | ||||||||||
Series 2005-FRE1, Class A6, 2.471%, 07/25/2035(1 Month LIBOR USD + 0.380%)(4) | 4,830,475 | 4,815,642 | ||||||||||
Series 2006-OPT1, Class A3, 2.271%, 12/25/2035(1 Month LIBOR USD + 0.180%)(4) | 2,991,561 | 2,986,533 | ||||||||||
Series 2006-NC1, Class A3, 2.301%, 01/25/2036(1 Month LIBOR USD + 0.210%)(4) | 1,263,768 | 1,263,026 | ||||||||||
Series 2007-HE1, Class A2, 2.241%, 06/25/2037(1 Month LIBOR USD + 0.150%)(4) | 1,711,536 | 1,697,042 | ||||||||||
Chase Mortgage Finance Trust: | ||||||||||||
Series 2005-A2, Class 1A5, 3.602%, 01/25/2036(3) | 1,098,727 | 1,032,200 | ||||||||||
Series 2006-A1, Class 2A3, 3.779%, 09/25/2036(3) | 846,638 | 799,985 | ||||||||||
Series 2007-A1, Class 3A1, 3.841%, 02/25/2037(3) | 3,981,396 | 3,991,291 | ||||||||||
Series 2007-A1, Class 2A3, 4.260%, 02/25/2037(3) | 2,180,854 | 2,211,193 | ||||||||||
CHL Mortgage Pass-Through Trust, | ||||||||||||
Series 2005-6, Class 2A1, 5.500%, 04/25/2035 | 625,876 | 604,633 | ||||||||||
Citicorp Mortgage Securities Trust: | ||||||||||||
Series 2006-3, Class 1A4, 6.000%, 06/25/2036 | 5,835,986 | 5,927,613 | ||||||||||
Series 2007-2, Class 1A3, 6.000%, 02/25/2037 | 1,315,706 | 1,284,831 | ||||||||||
Citicorp Residential Mortgage Trust: | ||||||||||||
Series 2006-2, Class A4, 5.489%, 09/25/2036(3)(8) | 316,764 | 316,253 | ||||||||||
Series 2006-3, Class A4, 5.351%, 11/25/2036(3)(8) | 1,007,240 | 1,013,883 | ||||||||||
Series 2007-1, Class A6, 5.453%, 03/25/2037(3)(8) | 52,527 | 54,302 | ||||||||||
Series 2007-2, Class A4, 5.190%, 06/25/2037(3)(8) | 23,372,950 | 23,608,636 | ||||||||||
Citigroup Mortgage Loan Trust, | ||||||||||||
Series 2018-RP2, Class A1, 3.500%, 02/25/2058(2)(4) | 24,065,082 | 24,003,733 | ||||||||||
Citigroup Mortgage Loan Trust, Inc.: | ||||||||||||
Series 2006-AR1, Class 1A1, 4.280%, 10/25/2035(1 Year CMT Rate + 2.400%)(4) | 16,103,122 | 16,264,653 | ||||||||||
Series 2005-9, Class 22A2, 6.000%, 10/25/2035(6) | 4,314,768 | 4,391,230 | ||||||||||
Series 2005-9, Class 2A2, 5.500%, 11/25/2035(6) | 205,665 | 206,132 | ||||||||||
Series 2007-AMC4, Class A2C, 2.261%, 05/25/2037(1 Month LIBOR USD + 0.170%)(4) | 2,709,748 | 2,690,000 | ||||||||||
Cityscape Home Equity Loan Trust, | ||||||||||||
Series 1997-C, Class A4, 7.000%, 07/25/2028(8) | 7,057 | 3,530 | ||||||||||
Countrywide Asset-Backed Certificates: | ||||||||||||
Series 2005-13, Class AF3, 4.634%, 02/25/2033(3) | 451,562 | 437,974 | ||||||||||
Series 2006-23, Class 2A3, 2.261%, 08/25/2033(1 Month LIBOR USD + 0.170%)(4) | 4,173,270 | 4,147,085 | ||||||||||
Series 2006-22, Class 2A3, 2.251%, 01/25/2034(1 Month LIBOR USD + 0.160%)(4) | 12,205,563 | 12,091,200 | ||||||||||
Series 2007-11, Class 2A3, 2.281%, 04/25/2034(1 Month LIBOR USD + 0.190%)(4) | 8,764,326 | 8,639,783 | ||||||||||
Series 2004-12, Class AF6, 4.634%, 03/25/2035(3) | 22,477 | 22,969 | ||||||||||
Series 2005-10, Class AF6, 4.450%, 12/25/2035(3) | 271,708 | 277,180 | ||||||||||
Series 2006-10, Class 1AF3, 4.649%, 12/25/2035(3)(6) | 684,099 | 618,157 | ||||||||||
Series 2006-9, Class 1AF3, 4.606%, 08/25/2036(3)(6) | 276,860 | 256,603 | ||||||||||
Series 2006-13, Class 3AV2, 2.241%, 01/25/2037(1 Month LIBOR USD + 0.150%)(4) | 6,558,984 | 6,531,887 | ||||||||||
Series 2006-13, Class 1AF3, 4.421%, 01/25/2037(3) | 42,793 | 42,674 | ||||||||||
Series 2007-9, Class 2A3, 2.271%, 06/25/2047(1 Month LIBOR USD + 0.180%)(4) | 31,851,366 | 31,543,612 | ||||||||||
Credit Suisse First Boston Mortgage Securities Corp., | ||||||||||||
Series 2005-7, Class 3A1, 5.000%, 08/25/2020 | 131,648 | 127,830 | ||||||||||
Credit-Based Asset Servicing & Securitization LLC: | ||||||||||||
Series 2005-CB8, Class AF2, 3.741%, 12/25/2035(3)(8) | 102,794 | 102,524 | ||||||||||
Series 2007-CB4, Class A1A, 2.181%, 04/25/2037(1 Month LIBOR USD + 0.090%)(4) | 4,227,984 | 4,120,765 | ||||||||||
CWABS Asset-Backed Certificates Trust: | ||||||||||||
Series 2005-11, Class AF3, 4.472%, 12/25/2032(3) | 371,543 | 370,828 | ||||||||||
Series 2006-14, Class 2A2, 2.241%, 04/25/2033(1 Month LIBOR USD + 0.150%)(4) | 4,171,592 | 4,156,634 | ||||||||||
Series 2004-15, Class AF6, 4.613%, 04/25/2035(3) | 19,745 | 19,815 | ||||||||||
Series 2005-7, Class AF6, 4.693%, 08/25/2035(3) | 86,668 | 88,472 | ||||||||||
Series 2006-18, Class 2A2, 2.251%, 03/25/2037(1 Month LIBOR USD + 0.160%)(4) | 5,847,002 | 5,779,438 | ||||||||||
CWHEQ Home Equity Loan Trust, | ||||||||||||
Series 2007-S1, Class A6, 5.693%, 11/25/2036(3) | 5,573 | 5,672 | ||||||||||
Deutsche Alt-A Securities, Inc. Mortgage Loan Trust: | ||||||||||||
Series 2005-1, Class 1A1, 2.591%, 02/25/2035(1 Month LIBOR USD + 0.500%)(4) | 7,733,674 | 7,490,445 | ||||||||||
Series 2005-2, Class 1A7, 5.483%, 04/25/2035(3) | 10,601,359 | 10,906,798 | ||||||||||
First Franklin Mortgage Loan Trust: | ||||||||||||
Series 2006-FF3, Class A2B, 2.291%, 02/25/2036(1 Month LIBOR USD + 0.200%)(4) | 10,246,921 | 10,190,194 | ||||||||||
Series 2006-FF4, Class A2, 2.340%, 03/25/2036(1 Month LIBOR USD + 0.190%)(4) | 7,621,389 | 7,601,139 | ||||||||||
Series 2006-FF6, Class A4, 2.341%, 04/25/2036(1 Month LIBOR USD + 0.250%)(4) | 28,848,000 | 28,181,404 | ||||||||||
First Horizon Alternative Mortgage Securities Trust: | ||||||||||||
Series 2006-FA6, Class 3A1, 5.750%, 11/25/2021(6) | 84,653 | 82,196 | ||||||||||
Series 2006-FA8, Class 2A1, 5.750%, 01/25/2022(6) | 239,793 | 209,529 | ||||||||||
Series 2004-AA1, Class A1, 4.023%, 06/25/2034(3) | 5,303,954 | 5,273,369 | ||||||||||
Series 2005-AA2, Class 2A1, 3.582%, 04/25/2035(3) | 2,584,785 | 2,590,569 | ||||||||||
GE Capital Mortgage Services, Inc. Trust, | ||||||||||||
Series 1999-HE1, Class A7, 6.265%, 04/25/2029 | 230 | 234 | ||||||||||
GSAA Home Equity Trust: | ||||||||||||
Series 2004-6, Class A1, 2.891%, 06/25/2034(1 Month LIBOR USD + 0.800%)(4) | 2,541,158 | 2,502,799 | ||||||||||
Series 2005-14, Class 1A1, 2.341%, 12/25/2035(1 Month LIBOR USD + 0.250%)(4) | 21,056,978 | 20,638,880 | ||||||||||
Series 2007-8, Class A3, 2.541%, 08/25/2037(1 Month LIBOR USD + 0.450%)(4) | 7,518,099 | 7,133,746 | ||||||||||
GSAMP Trust: | ||||||||||||
Series 2005-AHL2, Class A2C, 2.331%, 12/25/2035(1 Month LIBOR USD + 0.240%)(4) | 5,838,912 | 5,820,093 | ||||||||||
Series 2006-HE7, Class A2D, 2.321%, 10/25/2036(1 Month LIBOR USD + 0.230%)(4) | 1,468,655 | 1,459,335 | ||||||||||
GSR Mortgage Loan Trust: | ||||||||||||
Series 2004-15F, Class 5A1, 5.500%, 01/25/2020 | 140,099 | 125,786 | ||||||||||
Series 2005-3F, Class 2A4, 6.000%, 03/25/2035 | 2,908,556 | 2,970,169 | ||||||||||
Series 2005-AR2, Class 2A1, 3.845%, 04/25/2035(3) | 3,818,745 | 3,853,915 | ||||||||||
Home Equity Asset Trust, | ||||||||||||
Series 2007-2, Class 2A2, 2.276%, 07/25/2037(1 Month LIBOR USD + 0.185%)(4) | 1,602,828 | 1,599,161 | ||||||||||
HomeBanc Mortgage Trust, | ||||||||||||
Series 2005-4, Class A1, 2.361%, 10/25/2035(1 Month LIBOR USD + 0.270%)(4) | 7,062,986 | 7,038,636 | ||||||||||
HSI Asset Securitization Corp. Trust: | ||||||||||||
Series 2006-OPT4, Class 2A3, 2.251%, 03/25/2036(1 Month LIBOR USD + 0.160%)(4) | 3,851,556 | 3,823,184 | ||||||||||
Series 2007-WF1, Class 2A3, 2.261%, 05/25/2037(1 Month LIBOR USD + 0.170%)(4) | 4,097,947 | 4,096,930 | ||||||||||
J.P. Morgan Alternative Loan Trust: | ||||||||||||
Series 2005-S1, Class 3A1, 5.500%, 10/25/2020 | 383,960 | 416,827 | ||||||||||
Series 2006-A1, Class 2A1, 3.653%, 03/25/2036(3) | 99,794 | 90,171 | ||||||||||
Series 2006-S3, Class A3A, 6.000%, 08/25/2036(8) | 212,216 | 210,800 | ||||||||||
Series 2007-S1, Class A1, 2.371%, 06/25/2037(1 Month LIBOR USD + 0.280%)(4) | 7,417,154 | 7,287,681 | ||||||||||
J.P. Morgan Mortgage Acquisition Trust, | ||||||||||||
Series 2007-CH1, Class AV5, 2.331%, 11/25/2036(1 Month LIBOR USD + 0.240%)(4) | 1,047,568 | 1,047,169 | ||||||||||
J.P. Morgan Mortgage Trust: | ||||||||||||
Series 2006-S3, Class 2A3, 5.000%, 08/25/2021 | 47,117 | 47,230 | ||||||||||
Series 2005-A8, Class 2A3, 3.501%, 11/25/2035(3) | 7,313,531 | 7,133,135 | ||||||||||
Series 2006-A2, Class 2A1, 3.611%, 04/25/2036(3) | 1,903,028 | 1,812,843 | ||||||||||
Series 2006-A2, Class 3A3, 3.640%, 04/25/2036(3) | 2,225,861 | 2,029,476 | ||||||||||
Series 2006-A7, Class 2A2, 3.613%, 01/25/2037(3) | 2,737,436 | 2,590,669 | ||||||||||
Series 2006-A7, Class 2A4R, 3.613%, 01/25/2037(3) | 2,799,865 | 2,649,750 | ||||||||||
Series 2007-A2, Class 2A3, 3.752%, 04/25/2037(3) | 5,537,970 | 5,310,890 | ||||||||||
Series 2007-A4, Class 2A3, 4.027%, 06/25/2037(3) | 6,613,109 | 6,212,343 | ||||||||||
Luminent Mortgage Trust, | ||||||||||||
Series 2005-1, Class A1, 2.351%, 11/25/2035(1 Month LIBOR USD + 0.260%)(4) | 10,499,825 | 10,235,076 | ||||||||||
MASTR Alternative Loan Trust: | ||||||||||||
Series 2004-1, Class 1A1, 5.000%, 01/25/2019 | 6,425 | 6,416 | ||||||||||
Series 2004-5, Class 4A1, 5.500%, 07/25/2019 | 30,731 | 30,886 | ||||||||||
Series 2005-3, Class 4A1, 5.500%, 03/25/2020 | 126,167 | 126,958 | ||||||||||
Series 2004-2, Class 2A1, 6.000%, 02/25/2034 | 3,110,754 | 3,291,354 | ||||||||||
Series 2004-8, Class 2A1, 6.000%, 09/25/2034 | 2,551,460 | 2,706,706 | ||||||||||
Series 2005-6, Class 1A5, 5.500%, 12/25/2035 | 2,863,470 | 2,737,837 | ||||||||||
MASTR Asset Backed Securities Trust, | ||||||||||||
Series 2006-NC1, Class A4, 2.691%, 01/25/2036(1 Month LIBOR USD + 0.600%)(4) | 3,205,227 | 3,212,334 | ||||||||||
Merrill Lynch Mortgage Investors Trust: | ||||||||||||
Series 2004-F, Class A1B, 2.711%, 12/25/2029(1 Month LIBOR USD + 0.620%)(4) | 8,602,945 | 8,320,432 | ||||||||||
Series 2005-A5, Class A3, 3.989%, 06/25/2035(3) | 3,046,716 | 3,043,492 | ||||||||||
Mill City Mortgage Loan Trust, | ||||||||||||
Series 2018-2, Class A1, 3.500%, 05/25/2058(2)(3) | 33,000,000 | 32,887,470 | ||||||||||
Morgan Stanley Capital I, Inc. Trust, | ||||||||||||
Series 2006-HE2, Class A1, 2.261%, 03/25/2036(1 Month LIBOR USD + 0.170%)(4) | 8,642,021 | 8,474,475 | ||||||||||
MortgageIT Trust: | ||||||||||||
Series 2005-4, Class A1, 2.371%, 10/25/2035(1 Month LIBOR USD + 0.280%)(4) | 5,615,582 | 5,551,471 | ||||||||||
Series 2005-5, Class A1, 2.351%, 12/25/2035(1 Month LIBOR USD + 0.260%)(4) | 5,552,167 | 5,516,949 | ||||||||||
New Century Home Equity Loan Trust, | ||||||||||||
Series 2005-C, Class A1, 2.321%, 12/25/2035(1 Month LIBOR USD + 0.230%)(4) | 5,662,120 | 5,642,996 | ||||||||||
New Residential Mortgage Loan Trust: | ||||||||||||
Series 2016-1A, Class A1, 3.750%, 03/25/2056(2)(3) | 17,320,550 | 17,346,585 | ||||||||||
Series 2017-1A, Class A1, 4.000%, 02/25/2057(2)(3) | 26,229,279 | 26,446,673 | ||||||||||
Series 2017-3A, Class A1, 4.000%, 04/25/2057(2)(3) | 28,196,678 | 28,469,292 | ||||||||||
Series 2017-6A, Class A1, 4.000%, 08/25/2057(2)(3) | 33,634,176 | 33,935,976 | ||||||||||
Series 2018-1A, Class A1A, 4.000%, 12/25/2057(2)(3) | 17,924,039 | 18,037,962 | ||||||||||
Nomura Asset Acceptance Corp. Alternative Loan Trust, | ||||||||||||
Series 2005-WF1, Class 2A3, 5.100%, 03/25/2035 | 3,372,506 | 3,439,111 | ||||||||||
RALI Series Trust: | ||||||||||||
Series 2004-QS3, Class CB, 5.000%, 03/25/2019 | 153,385 | 153,225 | ||||||||||
Series 2004-QS13, Class CB, 5.000%, 09/25/2019 | 213,824 | 214,417 | ||||||||||
Series 2005-QS2, Class A1, 5.500%, 02/25/2035 | 215,674 | 210,785 | ||||||||||
Series 2005-QS5, Class A1, 2.491%, 04/25/2035(1 Month LIBOR USD + 0.400%)(4) | 2,730,536 | 2,212,858 | ||||||||||
Series 2005-QS9, Class A2, 2.591%, 06/25/2035(1 Month LIBOR USD + 0.500%)(4) | 1,144,965 | 987,436 | ||||||||||
Series 2005-QS11, Class A2, 2.591%, 07/25/2035(1 Month LIBOR USD + 0.500%)(4) | 4,870,342 | 4,210,693 | ||||||||||
Series 2005-QA7, Class A22, 4.330%, 07/25/2035(3) | 2,846,078 | 2,677,279 | ||||||||||
RAMP Series Trust: | ||||||||||||
Series 2002-RS3, Class AI5, 5.572%, 06/25/2032(3) | 1,740,471 | 1,740,656 | ||||||||||
Series 2006-NC2, Class A2, 2.281%, 12/25/2035(1 Month LIBOR USD + 0.190%)(4) | 1,177,802 | 1,177,519 | ||||||||||
RASC Series Trust: | ||||||||||||
Series 2006-KS8, Class A3, 2.251%, 10/25/2035(1 Month LIBOR USD + 0.160%)(4) | 2,855,486 | 2,853,348 | ||||||||||
Series 2006-EMX2, Class A3, 2.391%, 02/25/2036(1 Month LIBOR USD + 0.300%)(4) | 6,753,858 | 6,764,472 | ||||||||||
Series 2007-KS1, Class A3, 2.241%, 11/25/2036(1 Month LIBOR USD + 0.150%)(4) | 2,407,077 | 2,345,742 | ||||||||||
Renaissance Home Equity Loan Trust: | ||||||||||||
Series 2005-1, Class AF6, 4.970%, 05/25/2035(8) | 26,814 | 27,448 | ||||||||||
Series 2005-2, Class AF6, 4.781%, 08/25/2035(8) | 1,475,201 | 1,515,014 | ||||||||||
Series 2005-3, Class AF3, 4.814%, 11/25/2035(3)(8) | 232,410 | 233,068 | ||||||||||
Series 2006-2, Class AF3, 5.797%, 08/25/2036(3)(8) | 15,632,997 | 9,808,322 | ||||||||||
Series 2006-3, Class AF2, 5.580%, 11/25/2036(3)(8) | 10,386,801 | 5,963,427 | ||||||||||
Series 2007-1, Class AF3, 5.612%, 04/25/2037(8) | 279,641 | 135,785 | ||||||||||
Series 2007-2, Class AF2, 5.675%, 06/25/2037(3)(8) | 1,435,659 | 654,974 | ||||||||||
Soundview Home Loan Trust: | ||||||||||||
Series 2005-OPT4, Class 2A3, 2.351%, 12/25/2035(1 Month LIBOR USD + 0.260%)(4) | 310,254 | 310,233 | ||||||||||
Series 2006-OPT4, Class 2A3, 2.241%, 06/25/2036(1 Month LIBOR USD + 0.150%)(4) | 2,895,044 | 2,884,545 | ||||||||||
Series 2006-EQ1, Class A3, 2.251%, 10/25/2036(1 Month LIBOR USD + 0.160%)(4) | 14,909,591 | 14,798,851 | ||||||||||
Specialty Underwriting & Residential Finance Trust, | ||||||||||||
Series 2004-BC4, Class A1A, 2.761%, 10/25/2035(1 Month LIBOR USD + 0.670%)(4) | 2,046,539 | 2,037,521 | ||||||||||
Structured Asset Securities Corp.: | ||||||||||||
Series 2003-31A, Class 2A7, 3.762%, 10/25/2033(3) | 1,691,747 | 1,721,870 | ||||||||||
Series 2005-7XS, Class 1A4B, 5.440%, 04/25/2035(8) | 56,727 | 58,143 | ||||||||||
Towd Point Mortgage Trust: | ||||||||||||
Series 2015-3, Class A1A, 3.500%, 03/25/2054(2)(3) | 8,244,160 | 8,237,901 | ||||||||||
Series 2016-3, Class A1, 2.250%, 08/25/2055(2)(3) | 117,313 | 114,583 | ||||||||||
Series 2016-2, Class A1, 3.000%, 08/25/2055(2)(3) | 13,071,860 | 12,903,344 | ||||||||||
Series 2016-4, Class A1, 2.250%, 07/25/2056(2)(3) | 16,465,799 | 16,031,564 | ||||||||||
Series 2017-1, Class A1, 2.750%, 10/25/2056(2)(3) | 4,696,522 | 4,598,043 | ||||||||||
WaMu Mortgage Pass-Through Certificates Trust: | ||||||||||||
Series 2004-CB1, Class 5A, 5.000%, 06/25/2019 | 31,053 | 31,146 | ||||||||||
Series 2004-CB2, Class 5A, 5.000%, 07/25/2019 | 5,601 | 5,611 | ||||||||||
Series 2004-CB2, Class 7A, 5.500%, 08/25/2019 | 12,137 | 12,178 | ||||||||||
Series 2004-CB3, Class 3A, 5.500%, 10/25/2019 | 4,764 | 4,787 | ||||||||||
Series 2004-CB3, Class 4A, 6.000%, 10/25/2019 | 15,678 | 15,879 | ||||||||||
Series 2004-CB4, Class 22A, 6.000%, 12/25/2019 | 38,001 | 38,445 | ||||||||||
Series 2004-CB3, Class 1A, 6.000%, 10/25/2034 | 3,304,203 | 3,462,252 | ||||||||||
Series 2004-CB3, Class 2A, 6.500%, 10/25/2034 | 4,017,743 | 4,279,280 | ||||||||||
Series 2005-3, Class 1CB3, 2.541%, 05/25/2035(1 Month LIBOR USD + 0.450%)(4) | 6,596,660 | 5,577,446 | ||||||||||
Series 2005-6, Class 2A4, 5.500%, 08/25/2035 | 8,145,703 | 7,895,744 | ||||||||||
Series 2007-HY3, Class 4A1, 3.681%, 08/25/2036(3) | 18,033,233 | 17,893,082 | ||||||||||
Series 2006-AR10, Class 1A1, 3.321%, 09/25/2036(3) | 1,231,044 | 1,192,692 | ||||||||||
Wells Fargo Alternative Loan Trust, | ||||||||||||
Series 2007-PA1, Class A4, 6.000%, 03/25/2037 | 55,985 | 52,786 | ||||||||||
Wells Fargo Mortgage Backed Securities Trust: | ||||||||||||
Series 2005-AR16, Class 4A2, 4.093%, 10/25/2035(3) | 1,217,025 | 1,218,803 | ||||||||||
Series 2005-16, Class A18, 6.000%, 01/25/2036 | 1,358,012 | 1,371,141 | ||||||||||
Series 2006-AR10, Class 5A5, 4.278%, 07/25/2036(3) | 6,148,704 | 6,230,629 | ||||||||||
Series 2006-AR14, Class 2A3, 3.633%, 10/25/2036(3) | 3,235,619 | 3,069,238 | ||||||||||
Series 2006-15, Class A1, 6.000%, 11/25/2036 | 4,669,020 | 4,662,605 | ||||||||||
Series 2007-4, Class A15, 6.000%, 04/25/2037 | 4,826,838 | 4,862,543 | ||||||||||
Series 2007-7, Class A49, 6.000%, 06/25/2037 | 4,613,802 | 4,595,661 | ||||||||||
Series 2007-8, Class 2A8, 6.000%, 07/25/2037 | 4,447,499 | 4,428,393 | ||||||||||
1,005,519,968 | 5.6 | % | ||||||||||
4,198,337,728 | 23.3 | % |
Commercial Mortgage-Backed Securities | ||||||||||||
U.S. Government Agency Issues | ||||||||||||
Fannie Mae REMIC Trust, | ||||||||||||
Series 2017-M4, Class A2, 2.683%, 12/25/2026(3) | 30,325,000 | 28,533,963 | ||||||||||
Freddie Mac Multifamily Structured Pass Through Certificates: | ||||||||||||
Series K716, Class A2, 3.130%, 06/25/2021 | 13,550,000 | 13,585,347 | ||||||||||
Series K029, Class A2, 3.320%, 02/25/2023(3) | 64,407,000 | 65,063,971 | ||||||||||
Series K037, Class A2, 3.490%, 01/25/2024 | 66,950,000 | 68,146,925 | ||||||||||
Series K048, Class A2, 3.284%, 06/25/2025(3) | 53,680,000 | 53,899,868 | ||||||||||
Series K050, Class A2, 3.334%, 08/25/2025(3) | 82,726,000 | 83,274,498 | ||||||||||
Series K061, Class A2, 3.347%, 11/25/2026(3) | 57,140,000 | 57,121,355 | ||||||||||
Series K065, Class A2, 3.243%, 04/25/2027 | 16,658,000 | 16,468,668 | ||||||||||
Series K077, Class A2, 3.850%, 05/25/2028(3) | 18,449,000 | 19,069,643 | ||||||||||
405,164,238 | 2.3 | % | ||||||||||
Non-U.S. Government Agency Issues | ||||||||||||
BANK: | ||||||||||||
Series 2017-BNK4, Class A4, 3.625%, 05/17/2050 | 24,252,000 | 24,067,265 | ||||||||||
Series 2017-BNK8, Class A4, 3.488%, 11/17/2050 | 43,125,000 | 42,294,210 | ||||||||||
Series 2017-BNK9, Class A4, 3.538%, 11/17/2054 | 11,858,000 | 11,691,982 | ||||||||||
Citigroup Commercial Mortgage Trust: | ||||||||||||
Series 2014-GC19, Class A3, 3.753%, 03/12/2047 | 5,000,000 | 5,052,386 | ||||||||||
Series 2015-GC27, Class A5, 3.137%, 02/10/2048 | 45,957,074 | 44,774,166 | ||||||||||
Series 2015-GC29, Class A4, 3.192%, 04/10/2048 | 9,555,000 | 9,357,424 | ||||||||||
COMM Mortgage Trust: | ||||||||||||
Series 2012-CR1, Class A3, 3.391%, 05/17/2045 | 24,224,935 | 24,256,231 | ||||||||||
Series 2013-CR9, Class A3, 4.022%, 07/12/2045(3) | 33,942,776 | 34,887,702 | ||||||||||
Series 2012-CR2, Class A4, 3.147%, 08/17/2045 | 35,088,000 | 34,808,289 | ||||||||||
Series 2013-CR6, Class A4, 3.101%, 03/10/2046 | 13,725,000 | 13,585,747 | ||||||||||
Series 2013-CR10, Class A4, 4.210%, 08/10/2046(3) | 11,500,000 | 11,936,632 | ||||||||||
Series 2014-CR18, Class A4, 3.550%, 07/17/2047 | 5,450,000 | 5,460,677 | ||||||||||
Series 2014-CR19, Class A5, 3.796%, 08/12/2047 | 18,000,000 | 18,244,827 | ||||||||||
Series 2014-CR20, Class ASB, 3.305%, 11/13/2047 | 25,550,000 | 25,588,969 | ||||||||||
DBUBS Mortgage Trust, | ||||||||||||
Series 2011-LC3A, Class A4, 4.551%, 08/10/2044 | 2,071,291 | 2,134,277 | ||||||||||
GS Mortgage Securities Trust: | ||||||||||||
Series 2011-GC5, Class A4, 3.707%, 08/10/2044 | 17,924,873 | 18,135,119 | ||||||||||
Series 2012-GCJ9, Class A3, 2.773%, 11/13/2045 | 41,375,651 | 40,459,876 | ||||||||||
Series 2014-GC20, Class AAB, 3.655%, 04/12/2047 | 23,004,000 | 23,237,042 | ||||||||||
J.P. Morgan Chase Commercial Mortgage Securities Trust: | ||||||||||||
Series 2013-LC11, Class A5, 2.960%, 04/15/2046 | 31,025,000 | 30,438,540 | ||||||||||
Series 2013-LC11, Class A4, 2.694%, 04/17/2046 | 7,325,540 | 7,134,086 | ||||||||||
Series 2011-C5, Class A3, 4.171%, 08/15/2046 | 7,701,152 | 7,866,845 | ||||||||||
Series 2012-LC9, Class ASB, 2.437%, 12/17/2047 | 3,313,565 | 3,266,850 | ||||||||||
Series 2013-C10, Class ASB, 2.702%, 12/17/2047 | 18,089,713 | 17,913,016 | ||||||||||
JPMBB Commercial Mortgage Securities Trust: | ||||||||||||
Series 2013-C15, Class A4, 4.096%, 11/17/2045 | 10,000,000 | 10,320,260 | ||||||||||
Series 2013-C17, Class A3, 3.928%, 01/17/2047 | 23,700,000 | 24,171,474 | ||||||||||
Series 2014-C24, Class ASB, 3.368%, 11/18/2047 | 12,425,000 | 12,452,157 | ||||||||||
Series 2014-C25, Class A5, 3.672%, 11/18/2047 | 35,997,000 | 36,230,379 | ||||||||||
JPMBB Commercial Mortgage Securities Trust 2015-C30, | ||||||||||||
Series 2015-C30, Class A5, 3.822%, 07/15/2048(3) | 10,955,000 | 11,091,032 | ||||||||||
Morgan Stanley Bank of America Merrill Lynch Trust: | ||||||||||||
Series 2012-C5, Class A4, 3.176%, 08/17/2045 | 40,690,000 | 40,382,669 | ||||||||||
Series 2012-C6, Class A4, 2.858%, 11/15/2045(3) | 34,575,000 | 33,956,695 | ||||||||||
Series 2013-C10, Class A3, 4.104%, 07/17/2046(3) | 43,057,040 | 44,147,722 | ||||||||||
Series 2013-C12, Class A3, 3.973%, 10/17/2046 | 19,350,000 | 19,785,671 | ||||||||||
Series 2015-C25, Class ASB, 3.383%, 10/19/2048 | 29,047,000 | 28,959,336 | ||||||||||
Wells Fargo Commercial Mortgage Trust: | ||||||||||||
Series 2015-C26, Class ASB, 2.991%, 02/15/2048 | 15,049,000 | 14,848,957 | ||||||||||
Series 2016-C35, Class ASB, 2.788%, 07/17/2048 | 11,000,000 | 10,650,390 | ||||||||||
WFRBS Commercial Mortgage Trust: | ||||||||||||
Series 2013-C11, Class A5, 3.071%, 03/17/2045 | 12,000,000 | 11,864,681 | ||||||||||
Series 2012-C6, Class A4, 3.440%, 04/15/2045 | 19,291,000 | 19,387,773 | ||||||||||
Series 2013-C18, Class A4, 3.896%, 12/17/2046 | 21,950,000 | 22,502,887 | ||||||||||
Series 2014-C21, Class ASB, 3.393%, 08/16/2047 | 12,655,000 | 12,714,780 | ||||||||||
Series 2014-C24, Class A5, 3.607%, 11/18/2047 | 27,670,000 | 27,717,977 | ||||||||||
Series 2014-C23, Class ASB, 3.636%, 10/17/2057 | 10,500,000 | 10,620,536 | ||||||||||
848,397,534 | 4.7 | % | ||||||||||
1,253,561,772 | 7.0 | % | ||||||||||
Other Asset Backed Securities | ||||||||||||
Citibank Credit Card Issuance Trust, | ||||||||||||
Series 2007-A3, Class A3, 6.150%, 06/15/2039 | 6,100,000 | 7,711,983 | ||||||||||
Conseco Financial Corp.: | ||||||||||||
Series 1998-3, Class A5, 6.220%, 03/01/2030 | 153,726 | 162,184 | ||||||||||
Series 1998-4, Class A5, 6.180%, 04/01/2030 | 74,979 | 78,419 | ||||||||||
Ford Credit Auto Owner Trust: | ||||||||||||
Series 2014-2, Class A, 2.310%, 04/15/2026(2) | 32,858,000 | 32,601,468 | ||||||||||
Series 2016-1, Class A, 2.310%, 08/15/2027(2) | 37,625,000 | 36,855,542 | ||||||||||
Series 2016-2, Class A, 2.030%, 12/15/2027(2) | 57,475,000 | 55,652,640 | ||||||||||
Series 2018-1, Class A, 3.190%, 07/15/2031(2) | 19,600,000 | 19,284,889 | ||||||||||
Oakwood Mortgage Investors, Inc., | ||||||||||||
Series 1999-B, Class A3, 6.450%, 12/15/2023 | 12,312 | 12,450 | ||||||||||
OneMain Financial Issuance Trust, | ||||||||||||
Series 2015-2A, Class A, 2.570%, 07/18/2025(2) | 1,075,964 | 1,075,702 | ||||||||||
PFS Financing Corp.: | ||||||||||||
Series 2016-BA, Class A, 1.870%, 10/15/2021(2) | 40,200,000 | 39,621,743 | ||||||||||
Series 2018-D, Class A, 3.190%, 04/17/2023(2) | 32,300,000 | 32,220,352 | ||||||||||
Santander Retail Auto Lease Trust, | ||||||||||||
Series 2018-A, Class A3, 2.930%, 05/20/2021(2) | 26,825,000 | 26,741,762 | ||||||||||
Sofi Consumer Loan Program 2018-2 Trust, | ||||||||||||
Series 2018-2, Class A1, 2.930%, 04/26/2027(2) | 9,097,546 | 9,093,397 | ||||||||||
SoFi Consumer Loan Program LLC: | ||||||||||||
Series 2017-4, Class A, 2.500%, 06/25/2026(2) | 11,792,490 | 11,643,241 | ||||||||||
Series 2017-5, Class A2, 2.780%, 09/25/2026(2) | 30,110,000 | 29,640,742 | ||||||||||
SpareBank 1 Boligkreditt AS, | ||||||||||||
1.750%, 11/15/2020(1)(2) | 5,000,000 | 4,922,165 | ||||||||||
307,318,679 | 1.7 | % | ||||||||||
Total Long-Term Investments(Cost $17,890,562,031) | 17,562,636,730 | 97.6 | % | |||||||||
SHORT-TERM INVESTMENT | Shares | |||||||||||
Money Market Mutual Fund | ||||||||||||
Fidelity Institutional Money Market Fund - Government Portfolio, Institutional Class 1.81%(5) | 414,317,263 | 414,317,263 | ||||||||||
Total Short-Term Investment (Cost $414,317,263) | 414,317,263 | 2.3 | % | |||||||||
Total Investments (Cost $18,304,879,294) | 17,976,953,993 | 99.9 | % | |||||||||
Other Assets in Excess of Liabilities | 12,996,402 | 0.1 | % | |||||||||
TOTAL NET ASSETS | $ | 17,989,950,395 | 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 June 30, 2018, the value of these securities total $3,287,728,941, which represents 18.27% of total net assets. |
(3) | Variable rate security. The rate reported is the rate in effect as of June 30, 2018. |
(4) | Variable rate security based on a reference index and spread. The rate reported is the rate in effect as of June 30, 2018. |
(5) | 7-Day Yield. |
(6) | Security that, on the last payment date, missed a partial principal or interest payment. |
(7) | Security in default. |
(8) | Step-up bond; the interest rate shown is the rate in effect as of June 30, 2018. |
Baird Core Plus Bond Fund | ||||||||
Schedule of Investments, June 30, 2018 (Unaudited) | ||||||||
Summary of Fair Value Exposure at June 30, 2018 (Unaudited) | ||||||||
The Fund has adopted authoritative fair valuation accounting standards which establish a definition of fair value and set out a hierarchy for measuring fair value. These standards require additional disclosures about the various inputs and valuation techniques used to develop the measurements of fair value and a discussion on changes in valuation techniques and related inputs during the period. These standards define fair value as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. | ||||||||
The fair value hierarchy is organized into three levels based upon the assumptions (referred to as "inputs") used in pricing the asset or liability. These standards state that "observable inputs" reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from independent sources and "unobservable inputs" reflect an entity's own assumptions about the assumptions market participants would use in pricing the asset or liability. These inputs are summarized into three broad levels and described below: |
Level 1 - | Unadjusted quoted prices in active markets for identical unrestricted securities. | ||
Level 2 - | Other significant observable inputs (including quoted prices for similar securities, quoted prices in inactive markets, dealer indications, interest rates, yield curves, prepayment speeds, credit risk, default rates, inputs corroborated by observable market data, etc.). | ||
Level 3 - | Significant unobservable inputs (including the Fund's own assumptions about the factors that market participants would use in valuing the security) based on the best information available. |
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. | ||||||||
The following is a summary of the inputs used to value the Fund's investments as of June 30, 2018: |
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Long-Term Investments | ||||||||||||||||
U.S. Treasury Securities | $ | – | $ | 2,693,754,851 | $ | – | $ | 2,693,754,851 | ||||||||
Other Government Related Securities | – | 221,183,658 | – | 221,183,658 | ||||||||||||
Corporate Bonds | – | 8,779,048,253 | – | 8,779,048,253 | ||||||||||||
Municipal Bonds | – | 109,431,789 | – | 109,431,789 | ||||||||||||
Residential Mortgage-Backed Securities - U.S. Government Agency Issues | – | 3,192,817,760 | – | 3,192,817,760 | ||||||||||||
Residential Mortgage-Backed Securities - Non-U.S. Government Agency Issues | – | 1,005,519,968 | – | 1,005,519,968 | ||||||||||||
Commercial Mortgage-Backed Securities - U.S. Government Agency Issues | – | 405,164,238 | – | 405,164,238 | ||||||||||||
Commercial Mortgage-Backed Securities - Non-U.S. Government Agency Issues | – | 848,397,534 | – | 848,397,534 | ||||||||||||
Asset Backed Securities | – | 307,318,679 | – | 307,318,679 | ||||||||||||
Total Long-Term Investments | – | 17,562,636,730 | – | 17,562,636,730 | ||||||||||||
Short-Term Investment | ||||||||||||||||
Money Market Mutual Fund | 414,317,263 | – | – | 414,317,263 | ||||||||||||
Total Short-Term Investment | 414,317,263 | – | – | 414,317,263 | ||||||||||||
Total Investments | $ | 414,317,263 | $ | 17,562,636,730 | $ | – | $ | 17,976,953,993 |
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. See the Fund's valuation policy in Note 2a to the financial statements. | ||||||||
Baird Short-Term Municipal Bond Fund | ||||||||||||
Schedule of Investments | ||||||||||||
June 30, 2018 (Unaudited) | ||||||||||||
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
LONG-TERM INVESTMENTS | ||||||||||||
Municipal Bonds | ||||||||||||
Alabama | ||||||||||||
Alabama Special Care Facilities Financing Authority, | ||||||||||||
1.850%, 11/15/2046(Mandatory Tender Date 11/01/2022)(1) | $ | 65,000 | $ | 64,118 | ||||||||
Anniston Public Building Authority, | ||||||||||||
3.250%, 03/01/2019(Insured by AGM) | 50,000 | 50,503 | ||||||||||
Autauga County Board of Education, | ||||||||||||
4.000%, 04/01/2019 | 150,000 | 152,695 | ||||||||||
Black Belt Energy Gas District: | ||||||||||||
4.000%, 07/01/2046(Callable 03/01/2021)(Mandatory Tender Date 06/01/2021)(1) | 570,000 | 596,306 | ||||||||||
4.000%, 08/01/2047(Callable 04/01/2022)(Mandatory Tender Date 07/01/2022)(1) | 695,000 | 737,659 | ||||||||||
City of Decatur AL, | ||||||||||||
2.000%, 10/01/2018 | 100,000 | 100,154 | ||||||||||
City of Scottsboro AL, | ||||||||||||
3.375%, 08/01/2018(Insured by AGC) | 50,000 | 50,071 | ||||||||||
City of Troy AL, | ||||||||||||
3.000%, 07/01/2019(Insured by BAM) | 75,000 | 76,040 | ||||||||||
County of Jefferson AL Sewer Revenue, | ||||||||||||
0.000%, 10/01/2025(Callable 10/01/2023)(Insured by AGM) | 750,000 | 590,415 | ||||||||||
County of Talladega AL, | ||||||||||||
2.000%, 01/01/2019 | 200,000 | 200,520 | ||||||||||
Decatur City Board of Education, | ||||||||||||
4.000%, 02/01/2019 | 50,000 | 50,716 | ||||||||||
Jasper Water Works & Sewer Board, Inc., | ||||||||||||
5.000%, 06/01/2024(Callable 06/01/2021) | 100,000 | 107,471 | ||||||||||
Montgomery Medical Clinic Board, | ||||||||||||
5.000%, 03/01/2019 | 265,000 | 269,606 | ||||||||||
Shelby County Board of Education, | ||||||||||||
3.000%, 02/01/2019 | 100,000 | 100,842 | ||||||||||
Tuscaloosa Public Educational Building Authority, | ||||||||||||
5.250%, 07/01/2019(Pre-refunded to 07/01/2018)(Insured by AGC) | 100,000 | 100,000 | ||||||||||
3,247,116 | 1.4 | % | ||||||||||
Alaska | ||||||||||||
Alaska Housing Finance Corp., | ||||||||||||
4.000%, 06/01/2040(Callable 06/01/2021) | 5,000 | 5,039 | ||||||||||
Alaska Industrial Development & Export Authority, | ||||||||||||
3.500%, 12/01/2020(Callable 12/01/2019) | 750,000 | 759,803 | ||||||||||
764,842 | 0.3 | % | ||||||||||
Arizona | ||||||||||||
Arizona Health Facilities Authority: | ||||||||||||
4.625%, 07/01/2019 | 30,000 | 30,882 | ||||||||||
3.360%, 02/01/2048 (SIFMA Municipal Swap Index + 1.850%)(Callable 08/05/2022)(Mandatory Tender Date 02/01/2023)(2) | 75,000 | 78,562 | ||||||||||
Arizona Industrial Development Authority: | ||||||||||||
3.000%, 07/01/2018(Insured by SD CRED PROG) | 25,000 | 25,000 | ||||||||||
4.000%, 07/01/2018 | 250,000 | 250,000 | ||||||||||
4.000%, 07/01/2019(Insured by SD CRED PROG) | 30,000 | 30,579 | ||||||||||
4.000%, 07/01/2020(Insured by SD CRED PROG) | 160,000 | 165,400 | ||||||||||
3.375%, 07/01/2021 | 310,000 | 308,038 | ||||||||||
4.000%, 07/01/2021(Insured by SD CRED PROG) | 165,000 | 171,951 | ||||||||||
3.000%, 07/01/2022 | 200,000 | 194,846 | ||||||||||
Arizona State University, | ||||||||||||
5.000%, 07/01/2032(Pre-refunded to 07/01/2022) | 885,000 | 983,200 | ||||||||||
BluePath 2016-1 TE Trust, | ||||||||||||
2.750%, 09/01/2026(Callable 08/27/2021)(3) | 229,667 | 227,175 | ||||||||||
City of El Mirage AZ, | ||||||||||||
5.000%, 07/01/2026(Callable 07/01/2020) | 50,000 | 52,948 | ||||||||||
City of Winslow AZ, | ||||||||||||
2.000%, 07/01/2019(Insured by AGM) | 25,000 | 25,116 | ||||||||||
Estrella Mountain Ranch Community Facilities District, | ||||||||||||
4.000%, 07/15/2019(Insured by AGM) | 390,000 | 399,188 | ||||||||||
Festival Ranch Community Facilities District, | ||||||||||||
2.000%, 07/15/2018(Insured by BAM) | 25,000 | 25,004 | ||||||||||
Glendale Industrial Development Authority, | ||||||||||||
4.000%, 05/15/2019 | 120,000 | 122,352 | ||||||||||
Industrial Development Authority of the City of Phoenix, | ||||||||||||
6.750%, 07/01/2043(Pre-refunded to 07/01/2018) | 265,000 | 272,950 | ||||||||||
Maricopa County Industrial Development Authority, | ||||||||||||
2.625%, 07/01/2021 | 85,000 | 83,045 | ||||||||||
Vistancia Community Facilities District, | ||||||||||||
5.000%, 07/15/2021(Callable 07/15/2020) | 165,000 | 174,847 | ||||||||||
3,621,083 | 1.5 | % | ||||||||||
Arkansas | ||||||||||||
Arkansas Technical University, | ||||||||||||
4.000%, 06/01/2026(Callable 06/01/2023) | 200,000 | 213,018 | ||||||||||
City of Bentonville AR: | ||||||||||||
5.000%, 11/01/2021(Callable 07/30/2018)(Insured by AMBAC) | 100,000 | 100,272 | ||||||||||
2.625%, 11/01/2027(Callable 11/01/2025) | 225,000 | 228,076 | ||||||||||
City of Conway AR, | ||||||||||||
4.000%, 12/01/2023(Callable 06/01/2022) | 35,000 | 37,253 | ||||||||||
City of Fayetteville AR, | ||||||||||||
3.050%, 01/01/2047(Callable 01/01/2027) | 685,000 | 668,080 | ||||||||||
City of Hot Springs AR, | ||||||||||||
4.000%, 12/01/2027(Callable 12/01/2023)(Insured by BAM) | 255,000 | 271,185 | ||||||||||
City of Jacksonville AR, | ||||||||||||
4.000%, 12/01/2025(Callable 06/01/2021) | 110,000 | 115,298 | ||||||||||
City of Little Rock AR: | ||||||||||||
3.000%, 10/01/2021 | 100,000 | 102,585 | ||||||||||
2.000%, 03/01/2038(Callable 03/01/2021) | 75,000 | 74,995 | ||||||||||
City of Lonoke AR, | ||||||||||||
5.000%, 06/01/2023 | 160,000 | 180,187 | ||||||||||
City of Magnolia AR, | ||||||||||||
2.600%, 08/01/2036(Callable 08/01/2024)(Insured by BAM) | 565,000 | 561,763 | ||||||||||
City of Marion AR, | ||||||||||||
2.900%, 09/01/2047(Callable 09/01/2027) | 350,000 | 348,583 | ||||||||||
City of Pine Bluff AR, | ||||||||||||
3.000%, 02/01/2047(Callable 08/01/2027)(Insured by BAM) | 600,000 | 583,212 | ||||||||||
City of Rogers AR, | ||||||||||||
2.125%, 11/01/2029(Callable 11/01/2021) | 110,000 | 109,683 | ||||||||||
City of Springdale AR Sales & Use Tax Revenue, | ||||||||||||
3.000%, 04/01/2043(Callable 04/01/2024)(Insured by BAM) | 1,000,000 | 985,040 | ||||||||||
Lonoke County School District No. 4, | ||||||||||||
3.000%, 02/01/2020(Callable 07/30/2018)(Insured by ST) | 110,000 | 110,110 | ||||||||||
Northwest Arkansas Conservation Authority, | ||||||||||||
4.000%, 03/01/2024(Callable 09/01/2022)(Insured by BAM) | 325,000 | 350,958 | ||||||||||
5,040,298 | 2.1 | % | ||||||||||
California | ||||||||||||
Allan Hancock Joint Community College District, | ||||||||||||
0.000%, 08/01/2036(Pre-refunded to 08/01/2022) | 225,000 | 96,358 | ||||||||||
Bay Area Toll Authority: | ||||||||||||
2.110%, 04/01/2034 (SIFMA Municipal Swap Index + 0.600%)(Callable 10/01/2019)(Mandatory Tender Date 04/01/2020)(2) | 500,000 | 502,840 | ||||||||||
2.210%, 04/01/2047 (SIFMA Municipal Swap Index + 0.700%)(Callable 04/01/2019)(Mandatory Tender Date 10/01/2019)(2) | 225,000 | 225,837 | ||||||||||
California Health Facilities Financing Authority: | ||||||||||||
5.000%, 04/01/2020 | 65,000 | 67,982 | ||||||||||
2.548%, 07/01/2022(Insured by NATL)(1)(5) | 200,000 | 194,012 | ||||||||||
California State Public Works Board, | ||||||||||||
5.000%, 12/01/2019(Insured by AMBAC) | 230,000 | 237,516 | ||||||||||
California State University, | ||||||||||||
4.000%, 11/01/2049(Callable 05/01/2021)(Mandatory Tender Date 11/01/2021)(1) | 75,000 | 79,230 | ||||||||||
California Statewide Communities Development Authority: | ||||||||||||
6.000%, 01/01/2021(ETM) | 100,000 | 104,768 | ||||||||||
3.500%, 11/01/2021(Callable 11/01/2019)(Insured by CA MTG) | 200,000 | 204,066 | ||||||||||
3.000%, 07/01/2026(Callable 01/01/2021)(Insured by CA MTG) | 625,000 | 633,725 | ||||||||||
5.050%, 04/01/2028(Insured by NATL)(1)(5) | 400,000 | 400,000 | ||||||||||
Central School District: | ||||||||||||
6.250%, 08/01/2040(Callable 08/01/2021) | 225,000 | 252,972 | ||||||||||
0.000%, 08/01/2051(Callable 08/01/2022) | 400,000 | 62,148 | ||||||||||
Ceres Unified School District, | ||||||||||||
0.000%, 08/01/2034(Pre-refunded to 08/01/2020) | 300,000 | 107,847 | ||||||||||
City of Redding CA, | ||||||||||||
2.912%, 07/01/2022(ETM)(Insured by NATL)(1)(5) | 195,000 | 191,057 | ||||||||||
Colton Public Financing Authority, | ||||||||||||
5.000%, 04/01/2024(Callable 04/01/2022) | 565,000 | 621,545 | ||||||||||
Commerce Community Development Commission Successor Agency, | ||||||||||||
0.000%, 08/01/2021(ETM) | 230,000 | 197,513 | ||||||||||
Corona-Norca Unified School District, | ||||||||||||
0.000%, 08/01/2026 | 90,000 | 91,003 | ||||||||||
Fresno Unified School District: | ||||||||||||
0.000%, 08/01/2033(Callable 08/01/2021) | 310,000 | 127,423 | ||||||||||
0.000%, 08/01/2033(Callable 08/01/2023)(Insured by BAM) | 585,000 | 272,206 | ||||||||||
0.000%, 08/01/2035(Callable 08/01/2023)(Insured by BAM) | 150,000 | 60,788 | ||||||||||
0.000%, 08/01/2036(Callable 08/01/2023)(Insured by BAM) | 45,000 | 17,015 | ||||||||||
0.000%, 08/01/2039(Callable 08/01/2023)(Insured by BAM) | 150,000 | 45,930 | ||||||||||
0.000%, 08/01/2041(Callable 08/01/2021) | 120,000 | 28,249 | ||||||||||
0.000%, 08/01/2041(Callable 08/01/2023)(Insured by BAM) | 1,000,000 | 265,240 | ||||||||||
0.000%, 08/01/2044(Callable 08/01/2023) | 1,000,000 | 210,820 | ||||||||||
Glendale Unified School District/CA, | ||||||||||||
0.000%, 09/01/2041(Callable 09/01/2021) | 500,000 | 117,480 | ||||||||||
Golden State Tobacco Securitization Corp., | ||||||||||||
5.000%, 06/01/2022 | 135,000 | 148,823 | ||||||||||
Healdsburg Unified School District, | ||||||||||||
0.000%, 08/01/2032(Callable 08/01/2022) | 30,000 | 16,424 | ||||||||||
Jurupa Public Financing Authority, | ||||||||||||
4.000%, 09/01/2018 | 25,000 | 25,107 | ||||||||||
La Quinta Financing Authority, | ||||||||||||
5.550%, 10/01/2018(Insured by NATL) | 20,000 | 20,203 | ||||||||||
Mendocino-Lake Community College District, | ||||||||||||
0.000%, 08/01/2035(Pre-refunded to 08/01/2021)(Insured by AGM) | 65,000 | 22,251 | ||||||||||
Morongo Unified School District, | ||||||||||||
0.000%, 08/01/2039(Pre-refunded to 08/01/2022) | 100,000 | 33,154 | ||||||||||
Northern California Gas Authority, | ||||||||||||
2.176%, 07/01/2019 (3 Month LIBOR USD + 0.630%)(2) | 505,000 | 504,929 | ||||||||||
Pittsburg Unified School District Financing Authority, | ||||||||||||
0.000%, 09/01/2035(Pre-refunded to 09/01/2021)(Insured by AGM) | 200,000 | 66,036 | ||||||||||
Roseville Finance Authority, | ||||||||||||
4.000%, 09/01/2019 | 50,000 | 51,298 | ||||||||||
San Diego Community Facilities District No. 3, | ||||||||||||
5.000%, 09/01/2018 | 25,000 | 25,119 | ||||||||||
San Diego Redevelopment Agency Successor Agency, | ||||||||||||
4.000%, 09/01/2018 | 50,000 | 50,231 | ||||||||||
Soledad Unified School District: | ||||||||||||
5.000%, 08/01/2024(Callable 08/01/2018)(Insured by BAM) | 75,000 | 75,198 | ||||||||||
5.000%, 08/01/2026(Callable 08/01/2018)(Insured by BAM) | 100,000 | 100,261 | ||||||||||
5.000%, 08/01/2027(Callable 08/01/2018)(Insured by BAM) | 50,000 | 50,130 | ||||||||||
State of California: | ||||||||||||
5.000%, 09/01/2022 | 165,000 | 186,072 | ||||||||||
3.000%, 12/01/2032(Callable 06/01/2019)(Mandatory Tender Date 12/01/2019)(1) | 100,000 | 101,260 | ||||||||||
University of California, | ||||||||||||
1.400%, 05/15/2046(Callable 11/15/2020)(Mandatory Tender Date 05/15/2021)(1) | 330,000 | 323,964 | ||||||||||
Victor Valley Union High School District, | ||||||||||||
0.000%, 08/01/2044(Pre-refunded to 08/01/2023) | 1,000,000 | 273,350 | ||||||||||
Westminster School District: | ||||||||||||
0.000%, 08/01/2038(Callable 08/01/2023)(Insured by BAM) | 165,000 | 55,222 | ||||||||||
0.000%, 08/01/2048(Callable 08/01/2023)(Insured by BAM) | 1,000,000 | 156,880 | ||||||||||
0.000%, 08/01/2053(Callable 08/01/2023)(Insured by BAM) | 255,000 | 27,155 | ||||||||||
7,728,637 | 3.2 | % | ||||||||||
Colorado | ||||||||||||
Adams County Housing Authority, | ||||||||||||
1.500%, 11/01/2020(Callable 05/01/2019)(Mandatory Tender Date 11/01/2019)(1) | 1,000,000 | 996,070 | ||||||||||
Bromley Park Metropolitan District No. 2: | ||||||||||||
5.000%, 12/01/2024(Insured by BAM) | 200,000 | 226,532 | ||||||||||
5.000%, 12/01/2025(Insured by BAM) | 315,000 | 359,046 | ||||||||||
Colorado Educational & Cultural Facilities Charter Schools: | ||||||||||||
0.000%, 12/01/2019(6) | 380,000 | 394,634 | ||||||||||
0.000%, 12/01/2020(6) | 300,000 | 318,210 | ||||||||||
0.000%, 12/01/2021(6) | 80,000 | 86,307 | ||||||||||
0.000%, 12/01/2022(6) | 200,000 | 218,734 | ||||||||||
0.000%, 12/01/2023(6) | 100,000 | 110,525 | ||||||||||
Colorado Educational & Cultural Facilities Authority: | ||||||||||||
3.000%, 12/01/2018 | 125,000 | 125,996 | ||||||||||
3.000%, 12/15/2018 | 75,000 | 75,546 | ||||||||||
4.000%, 12/01/2019 | 275,000 | 284,482 | ||||||||||
4.000%, 06/01/2020 | 100,000 | 104,171 | ||||||||||
4.000%, 10/01/2020 | 125,000 | 130,710 | ||||||||||
5.000%, 10/01/2020 | 415,000 | 442,747 | ||||||||||
4.000%, 11/01/2021 | 50,000 | 52,970 | ||||||||||
4.000%, 03/01/2022 | 45,000 | 47,703 | ||||||||||
4.000%, 04/01/2023 | 130,000 | 137,054 | ||||||||||
5.250%, 03/01/2025(Insured by NATL) | 540,000 | 620,212 | ||||||||||
5.000%, 10/01/2025 | 160,000 | 181,693 | ||||||||||
4.000%, 12/15/2025 | 800,000 | 827,480 | ||||||||||
Colorado Health Facilities Authority: | ||||||||||||
5.000%, 05/15/2019 | 250,000 | 256,035 | ||||||||||
2.800%, 05/15/2042(Callable 11/15/2022)(Mandatory Tender Date 05/15/2023)(1) | 800,000 | 804,248 | ||||||||||
Colorado Housing & Finance Authority: | ||||||||||||
1.850%, 04/01/2020(Mandatory Tender Date 10/01/2019)(1) | 1,250,000 | 1,250,138 | ||||||||||
4.000%, 05/01/2048(Callable 11/01/2026)(Insured by GNMA) | 485,000 | 509,332 | ||||||||||
E-470 Public Highway Authority: | ||||||||||||
0.000%, 09/01/2020(Insured by NATL) | 125,000 | 119,610 | ||||||||||
0.000%, 09/01/2028(Callable 09/01/2020)(Insured by NATL) | 200,000 | 120,946 | ||||||||||
2.458%, 09/01/2039 (1 Month LIBOR USD + 1.050%)(Callable 03/01/2021)(Mandatory Tender Date 09/01/2021)(2) | 400,000 | 403,996 | ||||||||||
High Plains Metropolitan District, | ||||||||||||
4.000%, 12/01/2022(Insured by NATL) | 420,000 | 445,427 | ||||||||||
Lincoln Park Metropolitan District, | ||||||||||||
4.000%, 12/01/2023(Insured by AGM) | 150,000 | 161,397 | ||||||||||
Lyons Regional Library District, | ||||||||||||
3.000%, 12/01/2020 | 30,000 | 30,674 | ||||||||||
Park 70 Metropolitan District, | ||||||||||||
5.000%, 12/01/2018 | 160,000 | 162,251 | ||||||||||
Regional Transportation District, | ||||||||||||
5.000%, 06/01/2025(Pre-refunded to 06/01/2020) | 100,000 | 106,120 | ||||||||||
Southlands Metropolitan District No. 1: | ||||||||||||
3.000%, 12/01/2022 | 275,000 | 274,656 | ||||||||||
3.000%, 12/01/2022 | 100,000 | 99,875 | ||||||||||
Sterling Hills West Metropolitan District: | ||||||||||||
5.000%, 12/01/2018 | 50,000 | 50,610 | ||||||||||
5.000%, 12/01/2019 | 100,000 | 103,839 | ||||||||||
5.000%, 12/01/2020 | 125,000 | 132,386 | ||||||||||
VDW Metropolitan District No. 2, | ||||||||||||
1.250%, 12/01/2018(Insured by AGM) | 25,000 | 24,944 | ||||||||||
Vista Ridge Metropolitan District, | ||||||||||||
4.500%, 12/01/2024(Insured by BAM) | 200,000 | 218,840 | ||||||||||
11,016,146 | 4.6 | % | ||||||||||
Connecticut | ||||||||||||
City of Hartford CT, | ||||||||||||
5.000%, 04/01/2020(ETM)(Insured by ST) | 200,000 | 210,370 | ||||||||||
Connecticut Housing Finance Authority, | ||||||||||||
4.000%, 11/15/2044(Callable 11/15/2023) | 75,000 | 77,818 | ||||||||||
Connecticut State Health & Educational Facilities Authority: | ||||||||||||
4.000%, 11/01/2021 | 100,000 | 105,941 | ||||||||||
5.000%, 11/01/2021(Callable 07/30/2018)(Insured by AGM) | 50,000 | 50,136 | ||||||||||
4.500%, 07/01/2024(Pre-refunded to 07/01/2018) | 100,000 | 100,000 | ||||||||||
5.000%, 11/01/2026(Callable 11/01/2022) | 445,000 | 482,166 | ||||||||||
4.625%, 07/01/2030(Pre-refunded to 07/01/2018) | 100,000 | 100,000 | ||||||||||
Southeastern Connecticut Water Authority, | ||||||||||||
4.000%, 09/01/2022(Callable 07/30/2018)(Insured by ST) | 355,000 | 355,664 | ||||||||||
State of Connecticut: | ||||||||||||
4.000%, 11/01/2020 | 225,000 | 234,553 | ||||||||||
5.000%, 11/01/2020 | 150,000 | 159,758 | ||||||||||
5.000%, 11/01/2028(Callable 11/01/2018) | 1,000,000 | 1,010,140 | ||||||||||
Town of Hamden CT, | ||||||||||||
4.000%, 08/15/2021(Insured by BAM) | 415,000 | 434,688 | ||||||||||
Town of Plymouth CT, | ||||||||||||
4.000%, 07/15/2019 | 25,000 | 25,457 | ||||||||||
3,346,691 | 1.4 | % | ||||||||||
District of Columbia | ||||||||||||
District of Columbia Housing Finance Agency: | ||||||||||||
2.000%, 09/01/2021(Mandatory Tender Date 09/01/2020)(1) | 150,000 | 149,557 | ||||||||||
3.500%, 06/15/2023 | 185,000 | 187,028 | ||||||||||
336,585 | 0.1 | % | ||||||||||
Florida | ||||||||||||
City of Boynton Beach FL, | ||||||||||||
4.500%, 11/01/2022(Callable 11/01/2021)(Insured by AGM) | 130,000 | 139,671 | ||||||||||
City of Jacksonville FL, | ||||||||||||
5.000%, 11/01/2022 | 50,000 | 55,442 | ||||||||||
City of North Port FL, | ||||||||||||
4.000%, 07/01/2018(Insured by BAM) | 50,000 | 50,000 | ||||||||||
City of Port St. Lucie FL: | ||||||||||||
5.000%, 09/01/2021 | 55,000 | 59,624 | ||||||||||
5.250%, 09/01/2022(Insured by NATL) | 100,000 | 111,935 | ||||||||||
City of Tallahassee FL, | ||||||||||||
5.000%, 12/01/2019 | 190,000 | 197,646 | ||||||||||
City of Tampa FL, | ||||||||||||
5.250%, 11/15/2024(Pre-refunded to 05/15/2020) | 395,000 | 420,876 | ||||||||||
County of Escambia FL, | ||||||||||||
2.100%, 07/01/2022(Mandatory Tender Date 04/11/2019)(1) | 60,000 | 60,082 | ||||||||||
County of Miami-Dade FL, | ||||||||||||
0.000%, 10/01/2023(ETM)(Insured by NATL) | 50,000 | 44,234 | ||||||||||
Escambia County Health Facilities Authority, | ||||||||||||
1.620%, 11/15/2029(Callable 07/02/2018)(Optional Put Date 06/29/2018)(Insured by AGC)(1) | 1,500,000 | 1,500,000 | ||||||||||
Florida Department of Environmental Protection, | ||||||||||||
5.000%, 07/01/2022(Callable 07/01/2018) | 100,000 | 101,000 | ||||||||||
Florida Gulf Coast University Financing Corp., | ||||||||||||
4.100%, 02/01/2025(Callable 02/01/2020) | 100,000 | 102,069 | ||||||||||
Florida Higher Educational Facilities Financial Authority, | ||||||||||||
5.000%, 11/01/2019 | 195,000 | 202,936 | ||||||||||
Florida Housing Finance Corp.: | ||||||||||||
3.700%, 07/01/2021(Callable 01/01/2021)(Insured by GNMA) | 635,000 | 651,148 | ||||||||||
4.350%, 01/01/2046(Callable 01/01/2024) | 500,000 | 508,280 | ||||||||||
4.000%, 07/01/2047(Callable 07/01/2025)(Insured by GNMA) | 145,000 | 151,412 | ||||||||||
Florida Municipal Power Agency: | ||||||||||||
2.702%, 10/01/2021(Callable 07/05/2018)(Insured by AMBAC)(1)(5) | 75,000 | 75,000 | ||||||||||
2.770%, 10/01/2021(Insured by AMBAC)(1)(5) | 100,000 | 100,000 | ||||||||||
Florida State Municipal Loan Council, | ||||||||||||
3.000%, 10/01/2020(Insured by NATL) | 540,000 | 546,437 | ||||||||||
Heritage Bay Community Development District: | ||||||||||||
2.125%, 05/01/2020 | 125,000 | 125,032 | ||||||||||
2.250%, 05/01/2021 | 125,000 | 124,658 | ||||||||||
Jacksonville FL Housing Authority, | ||||||||||||
0.000%, 01/01/2021(1) | 125,000 | 124,964 | ||||||||||
Lee County School Board, | ||||||||||||
5.000%, 08/01/2023 | 140,000 | 158,662 | ||||||||||
Martin County Health Facilities Authority, | ||||||||||||
3.750%, 11/15/2020 | 125,000 | 129,706 | ||||||||||
Miami Health Facilities Authority: | ||||||||||||
2.250%, 07/01/2018 | 45,000 | 45,000 | ||||||||||
5.000%, 07/01/2020 | 300,000 | 316,062 | ||||||||||
Miami-Dade County Educational Facilities Authority: | ||||||||||||
5.000%, 04/01/2022 | 150,000 | 165,466 | ||||||||||
5.000%, 04/01/2023 | 150,000 | 168,387 | ||||||||||
Miami-Dade County Industrial Development Authority: | ||||||||||||
5.000%, 01/15/2019 | 100,000 | 101,438 | ||||||||||
5.000%, 01/15/2022 | 385,000 | 411,561 | ||||||||||
1.750%, 09/01/2027(Mandatory Tender Date 11/01/2019)(1) | 695,000 | 692,727 | ||||||||||
Orange County Health Facilities Authority, | ||||||||||||
6.250%, 10/01/2021(ETM)(Insured by NATL) | 140,000 | 150,668 | ||||||||||
Orange County Housing Finance Authority: | ||||||||||||
4.375%, 03/01/2031(Callable 03/01/2021)(Insured by GNMA) | 720,000 | 738,346 | ||||||||||
4.000%, 09/01/2040(Callable 09/01/2024)(Insured by GNMA) | 570,000 | 591,905 | ||||||||||
Palm Beach County Health Facilities Authority, | ||||||||||||
5.000%, 11/15/2022 | 220,000 | 244,926 | ||||||||||
Pinellas County Housing Finance Authority: | ||||||||||||
4.375%, 09/01/2027(Callable 09/01/2021)(Insured by GNMA) | 260,000 | 267,501 | ||||||||||
3.500%, 03/01/2046(Callable 09/01/2025)(Insured by GNMA) | 600,000 | 618,048 | ||||||||||
St. Lucie County School Board, | ||||||||||||
5.000%, 10/01/2018(Insured by AGM) | 50,000 | 50,438 | ||||||||||
10,303,287 | 4.3 | % |
Georgia | ||||||||||||
Burke County Development Authority: | ||||||||||||
2.200%, 10/01/2032(Mandatory Tender Date 04/02/2019)(1) | 50,000 | 50,103 | ||||||||||
1.850%, 12/01/2049(Mandatory Tender Date 08/22/2019)(1) | 100,000 | 99,843 | ||||||||||
1.850%, 12/01/2049(Mandatory Tender Date 08/22/2019)(1) | 70,000 | 69,890 | ||||||||||
City of Atlanta GA: | ||||||||||||
5.000%, 01/01/2023(Callable 01/01/2020) | 450,000 | 470,119 | ||||||||||
5.000%, 01/01/2024(Callable 01/01/2020) | 500,000 | 521,675 | ||||||||||
Colquitt County Development Authority, | ||||||||||||
0.000%, 12/01/2021(ETM) | 35,000 | 32,494 | ||||||||||
Gainesville & Hall County Hospital Authority, | ||||||||||||
2.460%, 08/15/2035 (SIFMA Municipal Swap Index + 0.950%)(Callable 08/22/2019)(Mandatory Tender Date 02/18/2020)(2) | 1,125,000 | 1,130,850 | ||||||||||
Macon-Bibb County Hospital Authority, | ||||||||||||
5.000%, 08/01/2022(Pre-refunded to 08/01/2019) | 50,000 | 51,792 | ||||||||||
Main Street Natural Gas, Inc.: | ||||||||||||
5.000%, 03/15/2019 | 125,000 | 127,872 | ||||||||||
5.000%, 03/15/2022 | 155,000 | 169,009 | ||||||||||
Monroe County Development Authority: | ||||||||||||
2.000%, 07/01/2025(Mandatory Tender Date 06/13/2019)(1) | 405,000 | 405,109 | ||||||||||
2.050%, 07/01/2049(Mandatory Tender Date 11/19/2021)(1) | 250,000 | 246,455 | ||||||||||
Morgan County Hospital Authority, | ||||||||||||
2.750%, 09/01/2019(Callable 03/01/2019) | 250,000 | 250,993 | ||||||||||
Private Colleges & Universities Authority: | ||||||||||||
3.750%, 10/01/2021 | 25,000 | 25,912 | ||||||||||
5.000%, 10/01/2021 | 75,000 | 80,636 | ||||||||||
3,732,752 | 1.6 | % | ||||||||||
Idaho | ||||||||||||
Idaho Health Facilities Authority, | ||||||||||||
4.000%, 07/01/2018(Insured by AGM) | 205,000 | 205,000 | ||||||||||
Idaho Housing & Finance Association, | ||||||||||||
5.000%, 07/15/2018 | 25,000 | 25,029 | ||||||||||
230,029 | 0.1 | % | ||||||||||
Illinois | ||||||||||||
Bureau County Township High School District No. 502: | ||||||||||||
3.000%, 12/01/2021(Insured by BAM) | 30,000 | 30,556 | ||||||||||
6.625%, 10/01/2043(Pre-refunded to 12/01/2023)(Insured by BAM) | 145,000 | 177,976 | ||||||||||
Carroll & Jo Daviess Counties Community Unit School District No. 314, | ||||||||||||
5.750%, 02/01/2028(Pre-refunded to 08/01/2018) | 1,340,000 | 1,371,115 | ||||||||||
Champaign County Community Unit School District No. 116, | ||||||||||||
5.000%, 01/01/2019(Insured by NATL) | 1,100,000 | 1,117,963 | ||||||||||
Chicago Board of Education: | ||||||||||||
5.000%, 12/01/2022(Insured by AGM) | 295,000 | 320,343 | ||||||||||
5.000%, 12/01/2023(Insured by AGM) | 500,000 | 548,545 | ||||||||||
Chicago O'Hare International Airport, | ||||||||||||
5.000%, 01/01/2020 | 60,000 | 62,800 | ||||||||||
Chicago Transit Authority, | ||||||||||||
5.250%, 12/01/2023(Callable 12/01/2021) | 85,000 | 92,887 | ||||||||||
City of Berwyn IL, | ||||||||||||
4.000%, 12/01/2019 | 125,000 | 128,002 | ||||||||||
City of Chicago IL: | ||||||||||||
5.000%, 01/01/2023(Callable 01/01/2019)(Partially Pre-refunded) | 50,000 | 50,401 | ||||||||||
5.250%, 01/01/2038(Pre-refunded to 01/01/2022) | 380,000 | 422,435 | ||||||||||
City of Chicago IL Motor Fuel Tax Revenue: | ||||||||||||
5.000%, 01/01/2019 | 100,000 | 101,013 | ||||||||||
5.000%, 01/01/2020 | 300,000 | 306,627 | ||||||||||
City of Chicago IL Wastewater Transmission Revenue, | ||||||||||||
5.000%, 01/01/2020 | 50,000 | 52,099 | ||||||||||
City of Chicago IL Waterworks Revenue: | ||||||||||||
5.000%, 11/01/2019 | 100,000 | 103,962 | ||||||||||
5.000%, 11/01/2020 | 850,000 | 906,091 | ||||||||||
City of Fairfield IL, | ||||||||||||
2.000%, 12/01/2018(Insured by MAC) | 275,000 | 274,469 | ||||||||||
City of Springfield IL: | ||||||||||||
5.000%, 03/01/2019 | 100,000 | 102,065 | ||||||||||
4.000%, 12/01/2019 | 95,000 | 97,683 | ||||||||||
Cook County Community College District No. 510, | ||||||||||||
0.000%, 12/01/2019(Insured by AGM) | 500,000 | 484,665 | ||||||||||
Cook County Community High School District No. 219, | ||||||||||||
0.000%, 12/01/2020(Insured by NATL) | 55,000 | 51,020 | ||||||||||
Cook county Illinois School District No. 163, | ||||||||||||
6.000%, 12/15/2024(Insured by BAM) | 795,000 | 933,394 | ||||||||||
Cook County School District No. 154, | ||||||||||||
3.500%, 12/01/2024(Insured by BAM) | 214,000 | 219,177 | ||||||||||
Cook County Township High School District No. 201, | ||||||||||||
0.000%, 12/01/2020(Insured by AMBAC) | 210,000 | 194,802 | ||||||||||
County of Cook IL: | ||||||||||||
4.000%, 11/15/2018 | 50,000 | 50,432 | ||||||||||
5.000%, 11/15/2021(Callable 11/15/2019) | 210,000 | 218,041 | ||||||||||
County of Jefferson IL, | ||||||||||||
2.000%, 01/15/2020(Insured by AGM) | 100,000 | 100,346 | ||||||||||
County of Washington IL, | ||||||||||||
4.000%, 12/15/2024(Insured by AGM) | 250,000 | 265,615 | ||||||||||
Danville Public Building Commission, | ||||||||||||
4.000%, 12/01/2019 | 115,000 | 118,623 | ||||||||||
DuPage County Community High School District No. 100, | ||||||||||||
2.000%, 12/15/2018 | 70,000 | 70,146 | ||||||||||
DuPage County School District No. 34, | ||||||||||||
0.000%, 01/01/2020(Insured by NATL) | 460,000 | 445,795 | ||||||||||
Fulton, Mason, Knox, Schuyler, Etc. Counties Community College District No. 534: | ||||||||||||
3.250%, 12/01/2020(Insured by BAM) | 210,000 | 213,908 | ||||||||||
4.000%, 12/01/2027(Callable 12/01/2022)(Insured by BAM) | 65,000 | 67,529 | ||||||||||
Governors State University, | ||||||||||||
4.000%, 10/01/2020(Callable 07/30/2018)(Insured by AGC) | 50,000 | 50,028 | ||||||||||
Illinois Development Finance Authority, | ||||||||||||
0.000%, 01/01/2020(Insured by AGM) | 75,000 | 72,416 | ||||||||||
Illinois Finance Authority: | ||||||||||||
4.000%, 10/01/2018 | 50,000 | 50,250 | ||||||||||
5.000%, 10/01/2019 | 75,000 | 77,580 | ||||||||||
4.000%, 11/01/2019 | 145,000 | 148,835 | ||||||||||
5.000%, 02/15/2020 | 100,000 | 104,551 | ||||||||||
5.000%, 10/01/2020 | 105,000 | 110,856 | ||||||||||
5.000%, 01/01/2021 | 125,000 | 132,511 | ||||||||||
4.000%, 09/01/2021 | 75,000 | 78,584 | ||||||||||
5.000%, 11/01/2021 | 60,000 | 64,879 | ||||||||||
6.250%, 05/01/2022(Pre-refunded to 05/01/2020) | 145,000 | 156,765 | ||||||||||
5.000%, 05/15/2022 | 70,000 | 76,086 | ||||||||||
5.000%, 10/01/2022 | 50,000 | 54,351 | ||||||||||
5.000%, 05/15/2023 | 120,000 | 133,955 | ||||||||||
6.000%, 05/01/2028(Pre-refunded to 05/01/2020) | 1,500,000 | 1,614,990 | ||||||||||
2.738%, 05/01/2036 (1 Month LIBOR USD + 1.350%)(Callable 11/01/2020)(Mandatory Tender Date 05/01/2021)(2) | 135,000 | 135,752 | ||||||||||
5.375%, 08/15/2039(Pre-refunded to 08/15/2018) | 100,000 | 100,467 | ||||||||||
1.750%, 07/01/2042(Mandatory Tender Date 05/06/2020)(1) | 490,000 | 486,212 | ||||||||||
Illinois Health Facilities Authority, | ||||||||||||
2.728%, 06/01/2019(Insured by NATL)(1)(5) | 50,000 | 49,947 | ||||||||||
Illinois Housing Development Authority, | ||||||||||||
2.450%, 06/01/2043(Callable 01/01/2023)(Insured by GNMA) | 454,757 | 429,622 | ||||||||||
Illinois State University, | ||||||||||||
5.000%, 04/01/2023(Callable 04/01/2021)(Insured by BAM) | 100,000 | 105,254 | ||||||||||
Jefferson County Township High School District No. 201, | ||||||||||||
6.500%, 12/30/2020(Insured by BAM) | 195,000 | 214,473 | ||||||||||
Joliet Park District: | ||||||||||||
5.000%, 03/01/2022(Callable 03/01/2021) | 170,000 | 176,764 | ||||||||||
4.000%, 02/01/2023(Insured by BAM) | 150,000 | 156,239 | ||||||||||
Lake County Community High School District No. 117, | ||||||||||||
0.000%, 12/01/2019(Insured by NATL) | 235,000 | 227,125 | ||||||||||
Lake County Community High School District No. 127, | ||||||||||||
0.000%, 02/01/2020(Insured by NATL) | 150,000 | 145,205 | ||||||||||
Lake County Community Unit School District No. 116, | ||||||||||||
5.000%, 01/15/2025(Callable 01/15/2023) | 145,000 | 161,695 | ||||||||||
Lake County Elementary School District No. 6, | ||||||||||||
0.000%, 12/01/2019(Insured by AMBAC) | 80,000 | 76,686 | ||||||||||
Lake County Forest Preserve District, | ||||||||||||
2.048%, 12/15/2020 (3 Month LIBOR USD + 0.480%)(2) | 855,000 | 855,017 | ||||||||||
Lake County School District No. 1, | ||||||||||||
3.000%, 02/01/2019 | 85,000 | 85,652 | ||||||||||
McDonough County Community Unit School District No. 185 Macomb, | ||||||||||||
3.000%, 12/01/2019 | 205,000 | 208,440 | ||||||||||
Menard Cass & Sangamon Counties Community Unit School District No. 202, | ||||||||||||
4.000%, 12/01/2022(Insured by AGM) | 300,000 | 318,162 | ||||||||||
Metropolitan Pier & Exposition Authority: | ||||||||||||
0.000%, 06/15/2019(ETM)(Insured by NATL) | 25,000 | 24,594 | ||||||||||
0.000%, 06/15/2019 | 45,000 | 43,769 | ||||||||||
0.000%, 06/15/2019(Insured by NATL) | 130,000 | 126,445 | ||||||||||
0.000%, 06/15/2019(ETM) | 5,000 | 4,919 | ||||||||||
5.650%, 06/15/2022(Insured by NATL)(1) | 95,000 | 105,207 | ||||||||||
5.500%, 12/15/2023(Insured by NATL) | 225,000 | 247,655 | ||||||||||
0.000%, 06/15/2024(Insured by NATL) | 25,000 | 19,867 | ||||||||||
5.700%, 06/15/2025(Callable 06/15/2022)(Insured by NATL) | 35,000 | 38,723 | ||||||||||
5.700%, 06/15/2025(Pre-refunded to 06/15/2022)(Insured by NATL) | 25,000 | 28,686 | ||||||||||
Monroe & St Clair Counties Community Unit School District No. 5, | ||||||||||||
5.000%, 04/15/2020(Insured by BAM) | 270,000 | 284,699 | ||||||||||
Ogle & Winnebago Counties Community Unit School District, | ||||||||||||
5.000%, 12/01/2021(Insured by BAM) | 150,000 | 163,160 | ||||||||||
Peoria Public Building Commission, | ||||||||||||
5.000%, 12/01/2020(Insured by BAM) | 185,000 | 196,200 | ||||||||||
Plano Special Service Areas No. 3 & 4, | ||||||||||||
4.000%, 03/01/2030(Callable 03/01/2025) | 335,000 | 348,501 | ||||||||||
Prospect Heights Park District, | ||||||||||||
4.000%, 12/01/2020(Insured by BAM) | 120,000 | 125,216 | ||||||||||
Public Building Commission of Chicago, | ||||||||||||
5.000%, 03/01/2020(Callable 07/30/2018)(Insured by AMBAC) | 100,000 | 100,198 | ||||||||||
Regional Transportation Authority, | ||||||||||||
6.250%, 07/01/2021(Insured by AGM) | 600,000 | 672,642 | ||||||||||
Rock Island County School District No. 37, | ||||||||||||
4.000%, 02/01/2019(Insured by BAM) | 135,000 | 136,729 | ||||||||||
Sangamon County Water Reclamation District, | ||||||||||||
5.000%, 01/01/2021 | 205,000 | 216,757 | ||||||||||
Shelby Christian Macon Counties Community School District No. 21 Central A & M: | ||||||||||||
4.000%, 12/01/2025(Callable 12/01/2023)(Insured by AGM) | 400,000 | 421,676 | ||||||||||
4.000%, 12/01/2026(Callable 12/01/2023)(Insured by AGM) | 435,000 | 456,345 | ||||||||||
Southern Illinois University, | ||||||||||||
5.250%, 04/01/2019(Insured by NATL) | 1,390,000 | 1,419,009 | ||||||||||
Southwestern Illinois Development Authority, | ||||||||||||
7.125%, 11/01/2030(Pre-refunded to 11/01/2023) | 105,000 | 130,979 | ||||||||||
St. Clair County Community Consolidated School District, | ||||||||||||
0.000%, 12/01/2021 | 510,000 | 464,319 | ||||||||||
St. Clair County School District No. 119: | ||||||||||||
5.000%, 04/01/2022(Insured by AGM) | 350,000 | 383,971 | ||||||||||
5.000%, 04/01/2023(Insured by AGM) | 300,000 | 335,484 | ||||||||||
0.000%, 04/01/2033(Pre-refunded to 04/01/2019)(Insured by AGC) | 675,000 | 277,115 | ||||||||||
State of Illinois: | ||||||||||||
0.000%, 08/01/2018 | 40,000 | 39,918 | ||||||||||
0.000%, 08/01/2018 | 20,000 | 19,959 | ||||||||||
5.000%, 06/01/2019 | 100,000 | 102,218 | ||||||||||
0.000%, 08/01/2019 | 100,000 | 96,842 | ||||||||||
5.000%, 12/01/2019 | 1,000,000 | 1,033,160 | ||||||||||
5.000%, 03/01/2020 | 105,000 | 108,132 | ||||||||||
5.000%, 04/01/2020 | 40,000 | 41,244 | ||||||||||
4.000%, 06/15/2021 | 35,000 | 36,534 | ||||||||||
5.000%, 01/01/2022(Callable 01/01/2020) | 105,000 | 107,520 | ||||||||||
6.500%, 06/15/2022 | 325,000 | 345,157 | ||||||||||
5.000%, 08/01/2024(Callable 08/01/2022) | 100,000 | 104,414 | ||||||||||
4.500%, 09/01/2024(Callable 09/01/2018) | 175,000 | 175,312 | ||||||||||
University of Illinois: | ||||||||||||
4.000%, 10/01/2019 | 100,000 | 102,356 | ||||||||||
5.000%, 08/15/2020 | 260,000 | 274,859 | ||||||||||
5.000%, 10/01/2021 | 300,000 | 323,904 | ||||||||||
5.000%, 03/15/2022 | 50,000 | 54,408 | ||||||||||
Village of Bolingbrook IL, | ||||||||||||
0.000%, 01/01/2019(Insured by NATL) | 235,000 | 232,267 | ||||||||||
Village of Cary IL, | ||||||||||||
1.500%, 03/01/2019(Insured by BAM) | 96,000 | 95,590 | ||||||||||
Village of Crestwood IL: | ||||||||||||
2.000%, 12/15/2018(Insured by BAM) | 150,000 | 150,126 | ||||||||||
4.000%, 12/15/2021(Insured by BAM) | 250,000 | 264,100 | ||||||||||
4.500%, 12/15/2025(Callable 12/15/2022)(Insured by BAM) | 60,000 | 64,656 | ||||||||||
Village of Hawthorn Woods IL, | ||||||||||||
3.125%, 12/30/2021 | 355,000 | 362,015 | ||||||||||
Village of Lansing IL, | ||||||||||||
5.000%, 03/01/2022(Insured by AGM) | 340,000 | 367,938 | ||||||||||
Village of Lyons IL, | ||||||||||||
5.000%, 12/01/2025(Callable 12/01/2022)(Insured by BAM) | 25,000 | 27,354 | ||||||||||
Village of Matteson IL, | ||||||||||||
8.000%, 12/01/2029(Pre-refunded to 06/01/2022)(1) | 350,000 | 385,035 | ||||||||||
Village of McCook IL, | ||||||||||||
5.000%, 12/01/2020(Callable 12/01/2018) | 50,000 | 50,583 | ||||||||||
Village of Montgomery IL, | ||||||||||||
2.100%, 03/01/2020(Insured by BAM) | 200,000 | 201,008 | ||||||||||
Village of Oak Park IL: | ||||||||||||
5.000%, 11/01/2020 | 235,000 | 250,562 | ||||||||||
4.000%, 11/01/2021 | 245,000 | 258,828 | ||||||||||
Village of Orland Hills IL: | ||||||||||||
4.000%, 12/01/2022(Insured by BAM) | 145,000 | 151,496 | ||||||||||
4.000%, 12/01/2023(Insured by BAM) | 130,000 | 136,313 | ||||||||||
Village of Richton Park IL: | ||||||||||||
3.000%, 12/01/2018(Insured by BAM) | 50,000 | 50,186 | ||||||||||
3.000%, 12/01/2019(Insured by BAM) | 65,000 | 65,618 | ||||||||||
3.000%, 12/01/2020(Insured by BAM) | 45,000 | 45,470 | ||||||||||
4.000%, 12/01/2021(Insured by BAM) | 65,000 | 67,455 | ||||||||||
4.000%, 12/01/2022(Insured by BAM) | 80,000 | 83,449 | ||||||||||
Village of River Grove IL: | ||||||||||||
3.000%, 12/15/2020(Insured by BAM) | 75,000 | 75,352 | ||||||||||
3.000%, 12/15/2021(Insured by BAM) | 120,000 | 119,999 | ||||||||||
Village of Tremont IL: | ||||||||||||
3.000%, 01/01/2019(Insured by BAM) | 60,000 | 60,332 | ||||||||||
3.000%, 07/01/2019(Insured by BAM) | 50,000 | 50,544 | ||||||||||
3.000%, 01/01/2020(Insured by BAM) | 70,000 | 71,004 | ||||||||||
3.000%, 07/01/2020(Insured by BAM) | 95,000 | 96,923 | ||||||||||
West Chicago Park District, | ||||||||||||
4.000%, 12/01/2022(Callable 07/30/2018) | 230,000 | 230,209 | ||||||||||
Western Illinois University: | ||||||||||||
4.000%, 04/01/2019(Insured by BAM) | 50,000 | 50,656 | ||||||||||
5.000%, 04/01/2020(Insured by BAM) | 250,000 | 261,118 | ||||||||||
White County Community Unit School District No. 5, | ||||||||||||
4.300%, 12/01/2021(Insured by AGM) | 100,000 | �� | 105,279 | |||||||||
Will County Community Consolidated School District No. 70-C: | ||||||||||||
4.000%, 12/01/2019(Insured by AGM) | 155,000 | 159,531 | ||||||||||
4.000%, 12/01/2020(Insured by AGM) | 130,000 | 136,025 | ||||||||||
4.000%, 12/01/2022(Insured by AGM) | 270,000 | 288,911 | ||||||||||
Will County Community High School District No. 210: | ||||||||||||
5.000%, 01/01/2021(Callable 01/01/2019) | 125,000 | 125,751 | ||||||||||
0.000%, 01/01/2022(ETM)(Insured by AGM) | 145,000 | 133,725 | ||||||||||
0.000%, 01/01/2023(ETM)(Insured by AGM) | 255,000 | 228,363 | ||||||||||
0.000%, 01/01/2023(Insured by AGM) | 115,000 | 98,221 | ||||||||||
Will County IL School District No. 114, | ||||||||||||
0.000%, 12/01/2019(Insured by NATL) | 50,000 | 48,210 | ||||||||||
Will County IL School District No. 365, | ||||||||||||
0.000%, 11/01/2021(Insured by AGM) | 200,000 | 182,504 | ||||||||||
Williamson County Community Unit School District No. 5 Carterville, | ||||||||||||
0.000%, 01/01/2031(Pre-refunded to 01/01/2019)(Insured by AGC) | 500,000 | 242,585 | ||||||||||
Winnebago & Boone Counties School District No. 205, | ||||||||||||
0.000%, 02/01/2022 | 95,000 | 85,610 | ||||||||||
32,459,577 | 13.5 | % |
Indiana | ||||||||||||
City of Goshen IN, | ||||||||||||
4.100%, 01/01/2021(Callable 07/30/2018)(Insured by AGM) | 470,000 | 470,987 | ||||||||||
City of Greenwood IN, | ||||||||||||
4.300%, 10/01/2022(Callable 10/01/2018) | 100,000 | 101,604 | ||||||||||
City of Lawrence IN: | ||||||||||||
3.000%, 01/01/2020(Insured by BAM) | 175,000 | 177,564 | ||||||||||
4.000%, 01/01/2021(Insured by BAM) | 200,000 | 208,990 | ||||||||||
4.000%, 01/01/2022(Insured by BAM) | 400,000 | 423,260 | ||||||||||
City of Whiting IN, | ||||||||||||
1.850%, 06/01/2044(Mandatory Tender Date 10/01/2019)(1) | 175,000 | 174,507 | ||||||||||
County of Lake IN, | ||||||||||||
4.000%, 07/15/2021(Insured by AGM) | 100,000 | 105,766 | ||||||||||
Hammond Sanitary District, | ||||||||||||
5.000%, 01/15/2021(Insured by BAM) | 445,000 | 477,814 | ||||||||||
Indiana Bond Bank: | ||||||||||||
5.250%, 10/15/2019 | 80,000 | 83,452 | ||||||||||
2.543%, 10/15/2022 (3 Month LIBOR USD + 0.970%)(2) | 200,000 | 200,016 | ||||||||||
Indiana Finance Authority: | ||||||||||||
5.250%, 10/01/2022(Callable 10/01/2021) | 800,000 | 882,320 | ||||||||||
5.750%, 05/01/2031(Pre-refunded to 05/01/2019) | 75,000 | 77,585 | ||||||||||
Indiana Health & Educational Facilities Financing Authority, | ||||||||||||
1.750%, 11/15/2031(Mandatory Tender Date 11/02/2021)(1) | 305,000 | 301,968 | ||||||||||
Indiana Health Facility Financing Authority, | ||||||||||||
2.881%, 05/01/2020(Insured by AMBAC)(1)(5) | 25,000 | 24,746 | ||||||||||
Indiana Housing & Community Development Authority, | ||||||||||||
4.000%, 12/01/2027(Callable 06/01/2021)(Insured by GNMA) | 410,000 | 417,323 | ||||||||||
Indianapolis Local Public Improvement Bond Bank, | ||||||||||||
5.000%, 06/01/2020 | 125,000 | 132,358 | ||||||||||
Kankakee Valley Middle School Building Corp., | ||||||||||||
5.000%, 07/15/2022(Insured by ST) | 215,000 | 237,061 | ||||||||||
Lafayette Redevelopment Authority, | ||||||||||||
3.000%, 07/15/2018 | 130,000 | 130,033 | ||||||||||
Michigan City School Building Corp., | ||||||||||||
5.000%, 07/15/2023(Insured by ST) | 350,000 | 394,275 | ||||||||||
Munster School Building Corp., | ||||||||||||
4.000%, 07/15/2023(Insured by ST) | 160,000 | 172,699 | ||||||||||
Vinton-Tecumseh School Building Corp.: | ||||||||||||
4.000%, 01/15/2020(Insured by ST) | 275,000 | 283,684 | ||||||||||
4.000%, 07/15/2020(Insured by ST) | 255,000 | 265,787 | ||||||||||
4.000%, 01/15/2021(Insured by ST) | 265,000 | 278,295 | ||||||||||
4.000%, 07/15/2021(Insured by ST) | 220,000 | 232,753 | ||||||||||
4.000%, 07/15/2022(Insured by ST) | 385,000 | 412,528 | ||||||||||
5.000%, 01/15/2023(Insured by ST) | 145,000 | 162,491 | ||||||||||
6,829,866 | 2.8 | % | ||||||||||
Iowa | ||||||||||||
City of Cedar Rapids IA, | ||||||||||||
2.625%, 08/15/2029(Insured by AMBAC)(1)(5) | 830,000 | 811,532 | ||||||||||
City of Coralville IA, | ||||||||||||
4.000%, 06/01/2019 | 100,000 | 102,161 | ||||||||||
Iowa Finance Authority: | ||||||||||||
3.500%, 07/01/2046(Callable 01/01/2026)(Insured by GNMA) | 240,000 | 247,164 | ||||||||||
1.810%, 07/01/2047 (SIFMA Municipal Swap Index + 0.300%) (Callable 11/02/2020)(Mandatory Tender Date 05/03/2021)(Insured by GNMA)(2) | 1,000,000 | 1,000,020 | ||||||||||
4.000%, 07/01/2047(Callable 07/01/2027)(Insured by GNMA) | 1,000,000 | 1,059,000 | ||||||||||
Iowa Higher Education Loan Authority, | ||||||||||||
2.000%, 12/01/2018(Callable 07/30/2018) | 1,115,000 | 1,115,112 | ||||||||||
Iowa Western Community College, | ||||||||||||
3.000%, 06/01/2021 | 500,000 | 513,210 | ||||||||||
4,848,199 | 2.0 | % | ||||||||||
Kansas | ||||||||||||
City of Hutchinson KS, | ||||||||||||
4.000%, 12/01/2018 | 200,000 | 201,042 | ||||||||||
City of Wichita KS, | ||||||||||||
3.000%, 09/01/2023(Callable 09/01/2022) | 790,000 | 786,658 | ||||||||||
Johnson County Unified School District No 233 Olathe, | ||||||||||||
4.250%, 09/01/2028(Callable 09/01/2018)(Insured by AGM) | 50,000 | 50,202 | ||||||||||
Kansas Development Finance Authority, | ||||||||||||
5.250%, 11/01/2028(Pre-refunded to 11/01/2018)(Insured by AGM) | 50,000 | 50,629 | ||||||||||
Kansas Municipal Energy Agency, | ||||||||||||
5.000%, 04/01/2022(Insured by BAM) | 515,000 | 570,064 | ||||||||||
State of Kansas Department of Transportation, | ||||||||||||
1.728%, 09/01/2019 (1 Month LIBOR USD + 0.400%)(2) | 205,000 | 205,433 | ||||||||||
1,864,028 | 0.8 | % | ||||||||||
Kentucky | ||||||||||||
City of Owensboro KY, | ||||||||||||
0.000%, 01/01/2020(Insured by AMBAC) | 25,000 | 24,171 | ||||||||||
County of Carroll KY, | ||||||||||||
1.050%, 09/01/2042(Mandatory Tender Date 09/01/2019)(1) | 250,000 | 247,627 | ||||||||||
Kentucky Economic Development Finance Authority: | ||||||||||||
4.750%, 08/15/2019(Callable 08/15/2018) | 125,000 | 125,395 | ||||||||||
4.750%, 08/15/2019(Pre-refunded to 08/15/2018) | 125,000 | 125,493 | ||||||||||
6.000%, 06/01/2030(Pre-refunded to 06/01/2020) | 190,000 | 204,810 | ||||||||||
6.375%, 06/01/2040(Pre-refunded to 06/01/2020) | 330,000 | 358,037 | ||||||||||
6.500%, 03/01/2045(Pre-refunded to 06/01/2020) | 950,000 | 1,032,925 | ||||||||||
Kentucky Infrastructure Authority, | ||||||||||||
5.000%, 02/01/2022 | 500,000 | 552,630 | ||||||||||
Kentucky Public Energy Authority, | ||||||||||||
4.000%, 04/01/2048(Callable 01/02/2024)(Mandatory Tender Date 04/01/2024)(1) | 610,000 | 650,242 | ||||||||||
Louisville/Jefferson County Metropolitan Government: | ||||||||||||
1.250%, 06/01/2033(Mandatory Tender Date 06/03/2019)(1) | 1,000,000 | 994,480 | ||||||||||
1.500%, 10/01/2033(Mandatory Tender Date 04/01/2019)(1) | 150,000 | 149,613 | ||||||||||
4,465,423 | 1.9 | % | ||||||||||
Louisiana | ||||||||||||
Calcasieu Parish Fire Protection District No. 1: | ||||||||||||
3.000%, 03/01/2020(Insured by BAM) | 110,000 | 111,842 | ||||||||||
3.500%, 03/01/2022(Insured by BAM) | 145,000 | 150,865 | ||||||||||
4.000%, 03/01/2024(Insured by BAM) | 155,000 | 166,098 | ||||||||||
Calcasieu Parish School Board, | ||||||||||||
5.000%, 02/01/2025(Callable 02/01/2022) | 115,000 | 125,314 | ||||||||||
City of New Orleans LA, | ||||||||||||
0.000%, 09/01/2018(Insured by AMBAC) | 170,000 | 169,442 | ||||||||||
City of Shreveport LA, | ||||||||||||
5.000%, 08/01/2023(Insured by BAM) | 150,000 | 169,149 | ||||||||||
Louisiana Local Government Environmental Facilities & Community Development Authority: | ||||||||||||
5.500%, 10/01/2025(Pre-refunded to 10/01/2020) | 50,000 | 54,015 | ||||||||||
5.625%, 10/01/2030(Pre-refunded to 10/01/2020) | 80,000 | 86,644 | ||||||||||
5.750%, 09/01/2035(Pre-refunded to 09/01/2023) | 75,000 | 88,161 | ||||||||||
5.875%, 10/01/2040(Pre-refunded to 10/01/2020) | 780,000 | 849,046 | ||||||||||
6.000%, 10/01/2044(Pre-refunded to 10/01/2020) | 125,000 | 136,406 | ||||||||||
6.000%, 10/01/2044(Pre-refunded to 10/01/2020) | 315,000 | 343,744 | ||||||||||
Louisiana Public Facilities Authority: | ||||||||||||
0.000%, 10/01/2018 | 235,000 | 233,663 | ||||||||||
0.000%, 02/01/2020(ETM) | 200,000 | 194,486 | ||||||||||
5.000%, 10/01/2023 | 255,000 | 282,571 | ||||||||||
Regional Transit Authority, | ||||||||||||
0.000%, 12/01/2021(Insured by NATL) | 120,000 | 101,436 | ||||||||||
State of Louisiana Gasoline & Fuels Tax Revenue, | ||||||||||||
5.000%, 05/01/2024(Pre-refunded to 05/01/2022) | 310,000 | 344,946 | ||||||||||
3,607,828 | 1.5 | % | ||||||||||
Maine | ||||||||||||
Maine State Housing Authority: | ||||||||||||
3.500%, 11/15/2045(Callable 05/15/2025) | 40,000 | 41,144 | ||||||||||
4.000%, 11/15/2045(Callable 11/15/2025) | 530,000 | 553,039 | ||||||||||
594,183 | 0.2 | % | ||||||||||
Maryland | ||||||||||||
Maryland Community Development Administration, | ||||||||||||
3.750%, 09/01/2019 | 30,000 | 30,672 | ||||||||||
Maryland Health & Higher Educational Facilities Authority: | ||||||||||||
5.000%, 07/01/2018 | 25,000 | 25,000 | ||||||||||
5.000%, 07/01/2027(ETM)(Insured by AMBAC) | 1,855,000 | 2,110,322 | ||||||||||
Montgomery County Housing Opportunites Commission, | ||||||||||||
4.000%, 07/01/2048(Callable 07/01/2026) | 485,000 | 508,285 | ||||||||||
2,674,279 | 1.1 | % | ||||||||||
Massachusetts | ||||||||||||
Eaton Vance Municipal Bond Fund II, | ||||||||||||
2.560%, 07/01/2019 (SIFMA Municipal Swap Index + 1.050%)(Callable 07/30/2018)(2)(3) | 100,000 | 100,073 | ||||||||||
Massachusetts Health & Educational Facilities Authority, | ||||||||||||
5.250%, 07/01/2038(Pre-refunded to 07/01/2018) | 80,000 | 80,000 | ||||||||||
Massachusetts Housing Finance Agency: | ||||||||||||
4.000%, 12/01/2044(Callable 06/01/2025) | 160,000 | 166,829 | ||||||||||
4.000%, 12/01/2048(Callable 06/01/2027)(Insured by GNMA) | 1,000,000 | 1,054,260 | ||||||||||
4.000%, 12/01/2048(Callable 06/01/2027)(Insured by GNMA) | 700,000 | 739,578 | ||||||||||
Town of Ashburnham MA, | ||||||||||||
4.250%, 07/01/2021(Callable 07/30/2018)(Insured by AGC) | 250,000 | 250,395 | ||||||||||
2,391,135 | 1.0 | % | ||||||||||
Michigan | ||||||||||||
Battle Creek Tax Increment Finance Authority, | ||||||||||||
4.300%, 12/01/2028(Callable 12/01/2018) | 500,000 | 504,920 | ||||||||||
Carman-Ainsworth Community School District, | ||||||||||||
5.000%, 05/01/2019(Insured by BAM) | 200,000 | 205,348 | ||||||||||
City of Detroit MI: | ||||||||||||
5.000%, 07/01/2020 | 265,000 | 280,306 | ||||||||||
7.000%, 07/01/2027(Callable 07/01/2019)(Insured by AGM) | 50,000 | 52,648 | ||||||||||
City of Kalamazoo MI Wastewater System Revenue, | ||||||||||||
5.000%, 10/01/2023 | 50,000 | 56,897 | ||||||||||
City of Saginaw MI, | ||||||||||||
4.000%, 07/01/2020(Insured by AGM) | 25,000 | 26,003 | ||||||||||
Davison Community Schools, | ||||||||||||
3.000%, 05/01/2022 | 190,000 | 193,165 | ||||||||||
Ecorse Public School District, | ||||||||||||
4.000%, 05/01/2022(Insured by Q-SBLF) | 830,000 | 881,709 | ||||||||||
Essexville-Hampton Public Schools, | ||||||||||||
4.000%, 05/01/2022(Insured by Q-SBLF) | 325,000 | 347,097 | ||||||||||
Fruitport Community Schools: | ||||||||||||
4.000%, 05/01/2020(Insured by Q-SBLF) | 65,000 | 67,392 | ||||||||||
4.000%, 05/01/2021(Insured by Q-SBLF) | 100,000 | 105,526 | ||||||||||
4.000%, 05/01/2023(Insured by Q-SBLF) | 135,000 | 145,940 | ||||||||||
Jenison Public Schools, | ||||||||||||
3.500%, 05/01/2021(Callable 05/01/2020) | 250,000 | 256,012 | ||||||||||
Karegnondi Water Authority: | ||||||||||||
4.000%, 11/01/2019 | 200,000 | 205,636 | ||||||||||
5.000%, 11/01/2020 | 100,000 | 106,740 | ||||||||||
Michigan Finance Authority: | ||||||||||||
3.400%, 10/01/2020 | 100,000 | 101,621 | ||||||||||
5.000%, 07/01/2025(Callable 07/01/2024)(Insured by AGM) | 475,000 | 538,180 | ||||||||||
2.179%, 10/15/2038 (1 Month LIBOR USD + 0.750%)(Callable 04/15/2020)(Mandatory Tender Date 10/15/2020)(2) | 350,000 | 352,856 | ||||||||||
1.948%, 12/01/2039 (1 Month LIBOR USD + 0.540%)(Callable 06/01/2020)(Mandatory Tender Date 12/01/2020)(2) | 100,000 | 100,404 | ||||||||||
1.100%, 11/15/2046(Mandatory Tender Date 08/15/2019)(1) | 100,000 | 99,163 | ||||||||||
Michigan State Hospital Finance Authority: | ||||||||||||
1.625%, 11/01/2027(Mandatory Tender Date 11/01/2019)(1) | 145,000 | 144,497 | ||||||||||
1.900%, 11/15/2047(Mandatory Tender Date 04/01/2021)(1) | 290,000 | 289,150 | ||||||||||
Pinckney Community Schools, | ||||||||||||
5.000%, 05/01/2021(Insured by Q-SBLF) | 100,000 | 108,291 | ||||||||||
Public Schools of South Haven, | ||||||||||||
4.000%, 05/01/2020(Insured by AGM) | 50,000 | 51,932 | ||||||||||
Royal Oak Hospital Finance Authority, | ||||||||||||
5.000%, 09/01/2019 | 50,000 | 51,859 | ||||||||||
South Lake Schools: | ||||||||||||
4.000%, 11/01/2021(Insured by Q-SBLF) | 425,000 | 448,009 | ||||||||||
4.000%, 05/01/2022(Insured by Q-SBLF) | 290,000 | 306,539 | ||||||||||
Wayne County Airport Authority, | ||||||||||||
5.000%, 12/01/2018 | 300,000 | 304,245 | ||||||||||
Western Michigan University, | ||||||||||||
5.000%, 11/15/2025(Callable 11/15/2021) | 75,000 | 82,495 | ||||||||||
White Cloud Public Schools, | ||||||||||||
4.000%, 05/01/2019(Insured by Q-SBLF) | 30,000 | 30,557 | ||||||||||
Ypsilanti School District, | ||||||||||||
4.000%, 05/01/2020(Insured by Q-SBLF) | 50,000 | 51,904 | ||||||||||
6,497,041 | 2.7 | % | ||||||||||
Minnesota | ||||||||||||
City of Maple Grove MN, | ||||||||||||
4.000%, 05/01/2022 | 600,000 | 636,024 | ||||||||||
City of Minneapolis MN/St. Paul Housing & Redevelopment Authority: | ||||||||||||
2.851%, 08/01/2027(Insured by NATL)(1)(5) | 25,000 | 24,379 | ||||||||||
2.776%, 08/01/2028(Insured by NATL)(1)(5) | 175,000 | 170,607 | ||||||||||
City of Minneapolis MN/St. Paul Metropolitan Airports Commission: | ||||||||||||
5.000%, 01/01/2022 | 1,000,000 | 1,102,550 | ||||||||||
5.000%, 01/01/2025 | 125,000 | 145,170 | ||||||||||
City of Plato MN, | ||||||||||||
4.000%, 04/01/2022 | 265,000 | 278,534 | ||||||||||
City of Rochester MN, | ||||||||||||
1.700%, 12/01/2020(Mandatory Tender Date 12/01/2019)(1) | 150,000 | 149,729 | ||||||||||
County of Kanabec MN, | ||||||||||||
2.750%, 12/01/2019(Callable 12/01/2018) | 400,000 | 400,284 | ||||||||||
Housing & Redevelopment Authority of The City of St Paul Minnesota, | ||||||||||||
2.200%, 09/01/2021(Callable 03/01/2020)(Mandatory Tender Date 09/01/2020)(1) | 750,000 | 752,550 | ||||||||||
Jordan Independent School District No. 717, | ||||||||||||
5.000%, 02/01/2035(Callable 02/01/2023)(Insured by SD CRED PROG) | 1,000,000 | 1,109,770 | ||||||||||
Minnesota Higher Education Facilities Authority, | ||||||||||||
5.000%, 04/01/2023 | 100,000 | 112,450 | ||||||||||
Minnesota Housing Finance Agency: | ||||||||||||
2.900%, 01/01/2025(Insured by GNMA) | 70,000 | 70,662 | ||||||||||
4.000%, 01/01/2047(Callable 01/01/2026)(Insured by GNMA) | 430,000 | 448,176 | ||||||||||
4.000%, 07/01/2047(Callable 01/01/2027)(Insured by GNMA) | 720,000 | 753,523 | ||||||||||
Plymouth Intermediate District No. 287: | ||||||||||||
4.000%, 05/01/2020 | 25,000 | 25,943 | ||||||||||
5.000%, 05/01/2022 | 105,000 | 114,602 | ||||||||||
Prior Lake-Savage Independent School District No. 719, | ||||||||||||
0.000%, 02/01/2022(Insured by SD CRED PROG) | 655,000 | 606,969 | ||||||||||
University of Minnesota, | ||||||||||||
5.500%, 07/01/2021(ETM) | 310,000 | 331,948 | ||||||||||
7,233,870 | 3.0 | % | ||||||||||
Mississippi | ||||||||||||
Mississippi Business Finance Corp., | ||||||||||||
1.950%, 05/01/2037(Optional Put Date 11/01/2018)(1) | 878,000 | 878,817 | ||||||||||
Mississippi Development Bank, | ||||||||||||
5.000%, 03/01/2024(Insured by AGM) | 50,000 | 56,165 | ||||||||||
Mississippi Home Corp., | ||||||||||||
3.050%, 06/01/2019(Insured by GNMA) | 140,000 | 141,674 | ||||||||||
Southwest Mississippi Regional Medical Center, | ||||||||||||
2.100%, 06/01/2019(Callable 12/01/2018) | 150,000 | 149,901 | ||||||||||
State of Mississippi, | ||||||||||||
1.658%, 09/01/2027 (1 Month LIBOR USD + 0.330%)(Callable 03/01/2020)(Mandatory Tender Date 09/01/2020)(2) | 350,000 | 350,690 | ||||||||||
University of Southern Mississippi, | ||||||||||||
2.000%, 09/01/2018 | 95,000 | 95,098 | ||||||||||
1,672,345 | 0.7 | % | ||||||||||
Missouri | ||||||||||||
City of St. Louis MO, | ||||||||||||
5.000%, 07/01/2023(Insured by AGM) | 415,000 | 469,046 | ||||||||||
Industrial Development Authority of the City of St. Louis MO, | ||||||||||||
3.875%, 11/15/2029(Callable 11/15/2026) | 500,000 | 509,480 | ||||||||||
Kirkwood Industrial Development Authority, | ||||||||||||
8.000%, 05/15/2021(Pre-refunded to 05/15/2020) | 420,000 | 457,787 | ||||||||||
Missouri Association of Rural Education, | ||||||||||||
3.000%, 04/15/2022(Callable 07/30/2018) | 300,000 | 300,063 | ||||||||||
Missouri Housing Development Commission, | ||||||||||||
4.000%, 05/01/2042(Callable 11/01/2026)(Insured by GNMA) | 695,000 | 732,676 | ||||||||||
Move Rolla Transportation Development District, | ||||||||||||
3.750%, 06/01/2029(Callable 06/01/2026) | 435,000 | 439,150 | ||||||||||
St. Charles County School District No. R-IV, | ||||||||||||
0.000%, 03/01/2027(Pre-refunded to 03/01/2019)(Insured by ST) | 95,000 | 58,199 | ||||||||||
State of Missouri Environmental Improvement & Energy Resources Authority, | ||||||||||||
1.855%, 12/01/2022(Insured by NATL)(1)(5) | 275,000 | 270,454 | ||||||||||
State of Missouri Health & Educational Facilities Authority: | ||||||||||||
4.000%, 02/01/2019 | 260,000 | 263,073 | ||||||||||
2.728%, 06/01/2020(Insured by AMBAC)(1)(5) | 50,000 | 49,754 | ||||||||||
5.000%, 02/01/2022 | 215,000 | 232,976 | ||||||||||
5.000%, 05/15/2022 | 80,000 | 88,226 | ||||||||||
3,870,884 | 1.6 | % | ||||||||||
Montana | ||||||||||||
Montana Board of Housing, | ||||||||||||
4.000%, 06/01/2049(Callable 12/01/2027)(Insured by FHA) | 1,275,000 | 1,349,906 | ||||||||||
Montana Facility Finance Authority, | ||||||||||||
5.000%, 07/01/2025 | 110,000 | 128,855 | ||||||||||
1,478,761 | 0.6 | % | ||||||||||
Nebraska | ||||||||||||
Central Plains Energy Project: | ||||||||||||
5.000%, 08/01/2039(Mandatory Tender Date 12/01/2019)(1) | 250,000 | 260,880 | ||||||||||
5.000%, 09/01/2042(Callable 09/01/2022) | 600,000 | 656,424 | ||||||||||
Douglas County Hospital Authority No. 2, | ||||||||||||
5.000%, 05/15/2019 | 50,000 | 51,325 | ||||||||||
Gering School District: | ||||||||||||
5.000%, 12/01/2026(Callable 05/30/2022) | 115,000 | 126,676 | ||||||||||
5.000%, 12/01/2027(Callable 05/30/2022) | 100,000 | 110,074 | ||||||||||
Nebraska Investment Finance Authority, | ||||||||||||
3.000%, 09/01/2043(Callable 09/01/2023)(Insured by GNMA) | 1,015,000 | 1,025,627 | ||||||||||
2,231,006 | 0.9 | % | ||||||||||
Nevada | ||||||||||||
City of North Las Vegas NV, | ||||||||||||
2.000%, 12/01/2018 | 95,000 | 95,033 | ||||||||||
Las Vegas Redevelopment Agency, | ||||||||||||
5.000%, 06/15/2023 | 250,000 | 279,298 | ||||||||||
Nevada Housing Division, | ||||||||||||
4.400%, 04/01/2029(Callable 10/01/2021)(Insured by GNMA) | 100,000 | 103,045 | ||||||||||
477,376 | 0.2 | % |
New Hampshire | ||||||||||||
New Hampshire Health and Education Facilities Authority Act, | ||||||||||||
1.500%, 05/01/2026(Callable 06/29/2018)(Optional Put Date 07/06/2018)(1) | 750,000 | 750,000 | 0.3 | % | ||||||||
New Jersey | ||||||||||||
Cape May County Industrial Pollution Control Financing Authority, | ||||||||||||
6.800%, 03/01/2021(Insured by NATL) | 85,000 | 93,748 | ||||||||||
City of Atlantic City NJ, | ||||||||||||
5.000%, 03/01/2022(Insured by BAM) | 100,000 | 108,399 | ||||||||||
City of Bayonne NJ, | ||||||||||||
5.000%, 07/15/2022(Insured by AGM) | 475,000 | 523,165 | ||||||||||
City of Trenton NJ: | ||||||||||||
4.000%, 07/15/2022(Insured by AGM) | 500,000 | 527,420 | ||||||||||
4.000%, 07/15/2023(Insured by AGM) | 200,000 | 212,448 | ||||||||||
Landis Sewage Authority, | ||||||||||||
4.500%, 09/19/2019(Insured by NATL)(1)(5) | 50,000 | 50,000 | ||||||||||
New Jersey Economic Development Authority: | ||||||||||||
5.250%, 09/01/2019 | 250,000 | 259,097 | ||||||||||
5.000%, 03/01/2020 | 135,000 | 140,790 | ||||||||||
5.000%, 07/15/2021 | 100,000 | 106,354 | ||||||||||
5.000%, 07/15/2022 | 240,000 | 258,672 | ||||||||||
0.000%, 07/01/2024(ETM)(Insured by NATL) | 115,000 | 98,445 | ||||||||||
3.125%, 07/01/2029(Callable 07/01/2027) | 300,000 | 294,105 | ||||||||||
New Jersey Educational Facilities Authority: | ||||||||||||
5.000%, 07/01/2022 | 150,000 | 165,312 | ||||||||||
5.000%, 07/01/2035(Pre-refunded to 07/01/2018)(Insured by AGM) | 75,000 | 75,000 | ||||||||||
New Jersey Health Care Facilities Financing Authority: | ||||||||||||
4.000%, 07/01/2019(ETM) | 105,000 | 107,392 | ||||||||||
4.250%, 11/15/2021(Callable 11/15/2020) | 70,000 | 73,821 | ||||||||||
5.250%, 07/01/2024(Pre-refunded to 07/01/2019) | 75,000 | 77,705 | ||||||||||
5.000%, 07/01/2025(Insured by AGM) | 50,000 | 57,012 | ||||||||||
New Jersey Higher Education Student Assistance Authority, | ||||||||||||
5.250%, 06/01/2020(Callable 06/01/2019) | 100,000 | 102,973 | ||||||||||
New Jersey Housing & Mortgage Finance Agency: | ||||||||||||
1.350%, 02/01/2020(Mandatory Tender Date 02/01/2019)(1) | 100,000 | 99,765 | ||||||||||
4.500%, 10/01/2048(Callable 10/01/2027) | 1,000,000 | 1,071,170 | ||||||||||
New Jersey Sports & Exposition Authority, | ||||||||||||
4.500%, 09/01/2022(Callable 09/01/2018)(Insured by ST) | 300,000 | 301,083 | ||||||||||
New Jersey Transportation Trust Fund Authority: | ||||||||||||
5.000%, 06/15/2019 | 100,000 | 102,789 | ||||||||||
5.250%, 12/15/2019 | 35,000 | 36,571 | ||||||||||
5.000%, 06/15/2021(Callable 07/25/2018) | 185,000 | 185,415 | ||||||||||
Town of West New York NJ, | ||||||||||||
4.000%, 04/15/2019(Insured by MAC) | 200,000 | 203,624 | ||||||||||
Township of Irvington NJ, | ||||||||||||
0.000%, 07/15/2018(Insured by AGM) | 50,000 | 49,969 | ||||||||||
5,382,244 | 2.2 | % | ||||||||||
New Mexico | ||||||||||||
Montecito Estates Public Improvement District, | ||||||||||||
2.000%, 10/01/2018(Insured by BAM) | 100,000 | 100,157 | ||||||||||
New Mexico Educational Assistance Foundation, | ||||||||||||
4.000%, 09/01/2020 | 100,000 | 104,445 | ||||||||||
New Mexico Hospital Equipment Loan Council, | ||||||||||||
4.750%, 07/01/2022 | 400,000 | 412,976 | ||||||||||
New Mexico Mortgage Finance Authority: | ||||||||||||
5.300%, 09/01/2040(Callable 09/01/2019)(Insured by GNMA) | 40,000 | 41,421 | ||||||||||
3.500%, 03/01/2045(Callable 03/01/2026) | 35,000 | 36,053 | ||||||||||
3.750%, 03/01/2048(Callable 03/01/2027)(Insured by GNMA) | 330,000 | 343,721 | ||||||||||
New Mexico Municipal Energy Acquisition Authority, | ||||||||||||
2.078%, 11/01/2039 (1 Month LIBOR USD + 0.750%)(Callable 02/01/2019)(Mandatory Tender Date 08/01/2019)(2) | 940,000 | 940,883 | ||||||||||
1,979,656 | 0.8 | % | ||||||||||
New York | ||||||||||||
Brooklyn Arena Local Development Corp., | ||||||||||||
5.000%, 07/15/2020 | 100,000 | 106,010 | ||||||||||
City of New York NY, | ||||||||||||
5.000%, 08/01/2022 | 160,000 | 178,837 | ||||||||||
City of Yonkers NY, | ||||||||||||
5.000%, 03/15/2024(Callable 03/15/2021)(Insured by AGM) | 50,000 | 54,294 | ||||||||||
County of Rockland NY, | ||||||||||||
5.000%, 03/01/2023(Insured by AGM) | 415,000 | 466,589 | ||||||||||
Housing Development Corp., | ||||||||||||
2.000%, 11/01/2057(Callable 08/01/2020)(Mandatory Tender Date 12/31/2021)(1) | 100,000 | 99,899 | ||||||||||
Long Island Power Authority, | ||||||||||||
2.038%, 05/01/2033 (1 Month LIBOR USD + 0.650%)(Callable 07/30/2018)(Mandatory Tender Date 11/01/2018)(2) | 75,000 | 75,013 | ||||||||||
Metropolitan Transportation Authority: | ||||||||||||
1.880%, 11/01/2028 (SIFMA Municipal Swap Index + 0.370%)(Callable 07/30/2018)(Mandatory Tender Date 11/01/2018)(2) | 175,000 | 175,005 | ||||||||||
2.090%, 11/01/2031 (SIFMA Municipal Swap Index + 0.580%)(Callable 05/01/2019)(Mandatory Tender Date 11/01/2019)(2) | 600,000 | 601,806 | ||||||||||
2.048%, 11/01/2032 (1 Month LIBOR USD + 0.680%)(Mandatory Tender Date 04/06/2021)(Insured by AGM)(2) | 100,000 | 100,884 | ||||||||||
1.960%, 11/01/2034 (SIFMA Municipal Swap Index + 0.450%)(Callable 05/01/2019)(Mandatory Tender Date 11/01/2019)(2) | 50,000 | 50,100 | ||||||||||
4.000%, 11/15/2034(Callable 08/15/2019)(Mandatory Tender Date 11/15/2019)(1) | 540,000 | 553,975 | ||||||||||
Monroe County Industrial Development Corp.: | ||||||||||||
5.000%, 10/01/2018 | 135,000 | 136,037 | ||||||||||
5.000%, 10/01/2019 | 145,000 | 150,043 | ||||||||||
5.000%, 10/01/2020 | 100,000 | 105,960 | ||||||||||
MTA Hudson Rail Yards Trust Obligations, | ||||||||||||
5.000%, 11/15/2046(Callable 11/15/2019) | 1,000,000 | 1,034,860 | ||||||||||
New York City Transitional Finance Authority: | ||||||||||||
5.000%, 11/01/2018 | 50,000 | 50,602 | ||||||||||
1.650%, 08/01/2023(Optional Put Date 06/29/2018)(1) | 200,000 | 200,000 | ||||||||||
New York State Dormitory Authority: | ||||||||||||
4.000%, 12/01/2018 | 200,000 | 201,452 | ||||||||||
5.250%, 05/15/2021 | 100,000 | 107,686 | ||||||||||
5.000%, 12/15/2021 | 45,000 | 49,748 | ||||||||||
New York State Housing Finance Agency, | ||||||||||||
1.250%, 11/01/2018(Insured by GNMA) | 15,000 | 14,985 | ||||||||||
State of New York Mortgage Agency: | ||||||||||||
3.500%, 10/01/2043(Callable 04/01/2023) | 350,000 | 359,139 | ||||||||||
4.000%, 10/01/2046(Callable 04/01/2025) | 495,000 | 516,275 | ||||||||||
Town of Oyster Bay NY, | ||||||||||||
3.000%, 03/01/2020(Insured by AGM) | 200,000 | 203,084 | ||||||||||
Triborough Bridge & Tunnel Authority: | ||||||||||||
1.828%, 11/15/2027 (1 Month LIBOR USD + 0.500%)(Callable 05/15/2021)(Mandatory Tender Date 11/15/2021)(2) | 525,000 | 526,360 | ||||||||||
1.923%, 01/01/2031 (1 Month LIBOR USD + 0.580%)(Callable 11/01/2018)(Mandatory Tender Date 12/01/2018)(2) | 820,000 | 820,721 | ||||||||||
1.678%, 01/01/2033 (1 Month LIBOR USD + 0.350%)(Callable 06/03/2019)(Mandatory Tender Date 12/03/2019)(2) | 30,000 | 30,027 | ||||||||||
Utility Debt Securitization Authority, | ||||||||||||
5.000%, 12/15/2025(Callable 12/15/2023) | 210,000 | 241,204 | ||||||||||
Yonkers Industrial Development Agency, | ||||||||||||
5.000%, 06/01/2019(ETM) | 275,000 | 283,368 | ||||||||||
7,493,963 | 3.1 | % | ||||||||||
North Carolina | ||||||||||||
Durham Housing Authority, | ||||||||||||
1.800%, 01/01/2021(Mandatory Tender Date 01/01/2020)(1) | 75,000 | 74,758 | ||||||||||
North Carolina Capital Facilities Finance Agency, | ||||||||||||
5.000%, 06/01/2022(Insured by AGC) | 100,000 | 108,674 | ||||||||||
North Carolina Eastern Municipal Power Agency: | ||||||||||||
5.000%, 01/01/2021(ETM) | 610,000 | 656,323 | ||||||||||
5.000%, 01/01/2021(ETM) | 710,000 | 765,721 | ||||||||||
6.000%, 01/01/2022(ETM) | 1,255,000 | 1,426,797 | ||||||||||
North Carolina Housing Finance Agency, | ||||||||||||
4.000%, 07/01/2048(Callable 07/01/2027)(Insured by GNMA) | 425,000 | 449,629 | ||||||||||
North Carolina Medical Care Commission: | ||||||||||||
5.000%, 11/01/2018 | 25,000 | 25,313 | ||||||||||
5.750%, 01/01/2035(Pre-refunded to 01/01/2021) | 120,000 | 131,296 | ||||||||||
North Carolina Municipal Power Agency, | ||||||||||||
5.000%, 01/01/2020(ETM) | 1,000,000 | 1,031,220 | ||||||||||
State of North Carolina: | ||||||||||||
5.000%, 03/01/2020 | 300,000 | 315,582 | ||||||||||
5.000%, 05/01/2024(Callable 05/01/2023) | 1,250,000 | 1,414,950 | ||||||||||
Wilmington Housing Authority, | ||||||||||||
1.500%, 10/01/2020(Mandatory Tender Date 10/01/2019)(1) | 500,000 | 497,730 | ||||||||||
6,897,993 | 2.9 | % | ||||||||||
North Dakota | ||||||||||||
City of Mandan ND, | ||||||||||||
2.750%, 09/01/2041(Callable 07/30/2018) | 565,000 | 550,948 | ||||||||||
City of West Fargo ND, | ||||||||||||
5.000%, 05/01/2022 | 200,000 | 220,134 | ||||||||||
County of Burleigh ND, | ||||||||||||
4.500%, 07/01/2032(Pre-refunded to 07/01/2022) | 325,000 | 354,868 | ||||||||||
County of Ward ND, | ||||||||||||
4.000%, 04/01/2024(Callable 04/01/2023)(Insured by AGM) | 500,000 | 530,350 | ||||||||||
Jamestown Park District, | ||||||||||||
2.900%, 07/01/2035(Callable 07/16/2018) | 995,000 | 976,274 | ||||||||||
North Dakota Housing Finance Agency, | ||||||||||||
4.000%, 07/01/2048(Callable 01/01/2027) | 270,000 | 284,612 | ||||||||||
2,917,186 | 1.2 | % | ||||||||||
Ohio | ||||||||||||
Adams County/Ohio Valley Local School District, | ||||||||||||
4.000%, 12/01/2020 | 750,000 | 778,650 | ||||||||||
City of Bowling Green OH: | ||||||||||||
4.500%, 06/01/2019(ETM) | 35,000 | 35,904 | ||||||||||
5.000%, 06/01/2020(ETM) | 100,000 | 106,120 | ||||||||||
City of Hamilton OH, | ||||||||||||
4.000%, 10/15/2023(Pre-refunded to 10/15/2019)(Insured by AGC) | 25,000 | 25,755 | ||||||||||
County of Holmes OH, | ||||||||||||
3.000%, 12/01/2022(Callable 12/01/2018)(Insured by AGM) | 250,000 | 251,158 | ||||||||||
County of Licking OH, | ||||||||||||
3.000%, 05/09/2019 | 600,000 | 605,856 | ||||||||||
County of Lorain OH: | ||||||||||||
2.000%, 12/01/2018 | 205,000 | 205,383 | ||||||||||
4.000%, 12/01/2020 | 140,000 | 146,996 | ||||||||||
County of Richland OH, | ||||||||||||
3.250%, 02/01/2019 | 150,000 | 151,197 | ||||||||||
Greater Cleveland Regional Transit Authority, | ||||||||||||
5.000%, 12/01/2023 | 140,000 | 160,353 | ||||||||||
Groveport-Madison Local School District, | ||||||||||||
4.000%, 12/01/2024(Callable 12/01/2022)(Insured by BAM) | 50,000 | 52,920 | ||||||||||
Lancaster Port Authority, | ||||||||||||
1.948%, 08/01/2019 (1 Month LIBOR USD + 0.620%)(Callable 02/01/2019)(2) | 70,000 | 70,042 | ||||||||||
Ohio Higher Educational Facility Commission, | ||||||||||||
5.000%, 12/01/2020 | 35,000 | 37,605 | ||||||||||
Ohio Housing Finance Agency, | ||||||||||||
4.000%, 03/01/2047(Callable 09/01/2025)(Insured by GNMA) | 200,000 | 209,088 | ||||||||||
Oregon City School District, | ||||||||||||
0.000%, 12/01/2021 | 245,000 | 227,228 | ||||||||||
Shawnee State University, | ||||||||||||
2.000%, 06/01/2019(Insured by BAM) | 250,000 | 250,470 | ||||||||||
Summit County Development Finance Authority, | ||||||||||||
2.000%, 11/15/2019 | 30,000 | 29,984 | ||||||||||
3,344,709 | 1.4 | % | ||||||||||
Oklahoma | ||||||||||||
Catoosa Industrial Authority, | ||||||||||||
4.000%, 10/01/2028(Callable 10/01/2026)(6) | 325,000 | 324,174 | ||||||||||
Cleveland County Justice Authority, | ||||||||||||
4.000%, 03/01/2020(Callable 03/01/2019) | 125,000 | 126,780 | ||||||||||
Logan County Independent School District, | ||||||||||||
4.000%, 08/01/2020 | 25,000 | 26,038 | ||||||||||
Oklahoma Housing Finance Agency, | ||||||||||||
2.050%, 04/01/2021(Mandatory Tender Date 04/01/2020)(1) | 725,000 | 725,007 | ||||||||||
Oklahoma Water Resources Board, | ||||||||||||
5.000%, 04/01/2023 | 750,000 | 852,795 | ||||||||||
Texas County Development Authority, | ||||||||||||
4.000%, 12/01/2023 | 675,000 | 726,287 | ||||||||||
Tulsa Industrial Authority, | ||||||||||||
3.000%, 10/01/2018 | 80,000 | 80,156 | ||||||||||
2,861,237 | 1.2 | % | ||||||||||
Oregon | ||||||||||||
Oregon State Facilities Authority: | ||||||||||||
2.510%, 10/01/2022 (SIFMA Municipal Swap Index + 1.000%)(Callable 07/30/2018)(Mandatory Tender Date 09/15/2018)(2) | 965,000 | 965,579 | ||||||||||
4.750%, 03/15/2024(Callable 03/15/2020) | 15,000 | 15,681 | ||||||||||
6.375%, 09/01/2040(Pre-refunded to 09/01/2020) | 750,000 | 821,377 | ||||||||||
Port of Morrow OR, | ||||||||||||
4.000%, 06/01/2026(Callable 06/01/2019) | 220,000 | 222,532 | ||||||||||
State of Oregon, | ||||||||||||
4.000%, 12/01/2048(Callable 12/01/2026) | 1,000,000 | 1,056,940 | ||||||||||
State of Oregon Housing & Community Services Department, | ||||||||||||
3.500%, 07/01/2036(Callable 01/01/2025) | 160,000 | 164,471 | ||||||||||
3,246,580 | 1.4 | % | ||||||||||
Pennsylvania | ||||||||||||
Allegheny County Higher Education Building Authority, | ||||||||||||
4.000%, 10/15/2018 | 365,000 | 366,945 | ||||||||||
Allegheny County Hospital Development Authority, | ||||||||||||
4.125%, 10/15/2026(Callable 10/15/2021) | 30,000 | 31,440 | ||||||||||
Bethlehem Area School District, | ||||||||||||
1.951%, 07/01/2031 (1 Month LIBOR USD + 0.480%)(Callable 11/02/2020) (Mandatory Tender Date 11/01/2021)(Insured by ST)(2) | 500,000 | 500,705 | ||||||||||
Bethlehem Parking Authority, | ||||||||||||
2.000%, 10/01/2018(Insured by BAM) | 100,000 | 100,120 | ||||||||||
Centennial School District Bucks County, | ||||||||||||
5.000%, 12/15/2022(Insured by ST) | 50,000 | 56,106 | ||||||||||
Central Bucks School District, | ||||||||||||
4.000%, 05/15/2022(Pre-refunded to 05/15/2021)(Insured by ST) | 50,000 | 52,815 | ||||||||||
Chester County Health & Education Facilities Authority: | ||||||||||||
5.000%, 11/01/2019 | 225,000 | 235,310 | ||||||||||
5.000%, 05/15/2031(Pre-refunded to 05/15/2020) | 30,000 | 31,799 | ||||||||||
5.000%, 05/15/2040(Pre-refunded to 05/15/2020) | 60,000 | 63,599 | ||||||||||
City of Erie PA, | ||||||||||||
0.000%, 11/15/2018(ETM)(Insured by AGM) | 60,000 | 59,665 | ||||||||||
Coatesville School District, | ||||||||||||
5.000%, 08/01/2023(Insured by AGM) | 150,000 | 168,003 | ||||||||||
Commonwealth Financing Authority: | ||||||||||||
5.000%, 06/01/2022 | 250,000 | 273,730 | ||||||||||
5.000%, 06/01/2023 | 225,000 | 250,949 | ||||||||||
Commonwealth of Pennsylvania, | ||||||||||||
3.750%, 10/01/2021(Callable 10/01/2019) | 175,000 | 178,220 | ||||||||||
County of Allegheny PA, | ||||||||||||
2.130%, 11/01/2026 (3 Month LIBOR USD + 0.550%)(Callable 07/30/2018)(Insured by AGM)(2) | 70,000 | 68,995 | ||||||||||
Crawford Central School District, | ||||||||||||
5.000%, 02/01/2019(Callable 08/01/2018)(Insured by ST) | 100,000 | 100,258 | ||||||||||
Delaware County Authority: | ||||||||||||
3.000%, 06/01/2019 | 170,000 | 170,896 | ||||||||||
4.000%, 06/01/2020 | 390,000 | 400,257 | ||||||||||
Delaware River Port Authority, | ||||||||||||
5.000%, 01/01/2022 | 110,000 | 120,073 | ||||||||||
East Allegheny School District, | ||||||||||||
0.000%, 11/15/2021(Insured by AGM) | 480,000 | 438,120 | ||||||||||
Erie City Water Authority, | ||||||||||||
4.000%, 12/01/2025(Callable 12/01/2022)(Insured by AGM) | 365,000 | 386,316 | ||||||||||
Erie Parking Authority, | ||||||||||||
2.000%, 09/01/2019(Insured by BAM) | 105,000 | 105,336 | ||||||||||
Hollidaysburg Sewer Authority: | ||||||||||||
2.000%, 12/01/2018(Insured by BAM) | 50,000 | 50,079 | ||||||||||
2.000%, 12/01/2019(Insured by BAM) | 105,000 | 105,349 | ||||||||||
Indiana County Industrial Development Authority, | ||||||||||||
1.450%, 09/01/2020(Callable 03/01/2020) | 320,000 | 314,320 | ||||||||||
Lancaster Higher Education Authority, | ||||||||||||
5.000%, 10/01/2022(Insured by BAM) | 35,000 | 38,829 | ||||||||||
Lancaster Industrial Development Authority, | ||||||||||||
5.000%, 05/01/2022 | 45,000 | 48,789 | ||||||||||
Northampton County General Purpose Authority, | ||||||||||||
2.449%, 08/15/2048 (1 Month LIBOR USD + 1.040%)(Callable 02/15/2023)(Mandatory Tender Date 08/15/2024)(2) | 75,000 | 75,117 | ||||||||||
Pennsylvania Economic Development Financing Authority, | ||||||||||||
5.000%, 03/01/2019 | 130,000 | 132,857 | ||||||||||
Pennsylvania Higher Educational Facilities Authority: | ||||||||||||
5.000%, 08/15/2024(Pre-refunded to 08/15/2021) | 185,000 | 202,625 | ||||||||||
2.850%, 05/01/2034(Mandatory Tender Date 05/01/2021)(1) | 500,000 | 501,745 | ||||||||||
Pennsylvania Housing Finance Agency: | ||||||||||||
3.700%, 10/01/2042(Callable 10/01/2021) | 165,000 | 167,084 | ||||||||||
3.500%, 10/01/2046(Callable 10/01/2025) | 210,000 | 215,733 | ||||||||||
4.000%, 10/01/2046(Callable 04/01/2026) | 235,000 | 246,372 | ||||||||||
Pennsylvania Turnpike Commission: | ||||||||||||
2.390%, 12/01/2020 (SIFMA Municipal Swap Index + 0.880%)(Callable 06/01/2020)(2) | 225,000 | 227,243 | ||||||||||
2.490%, 12/01/2021 (SIFMA Municipal Swap Index + 0.980%)(Callable 06/01/2021)(2) | 855,000 | 868,235 | ||||||||||
5.000%, 12/01/2022 | 50,000 | 55,921 | ||||||||||
5.450%, 12/01/2035(Pre-refunded to 12/01/2020)(Insured by AGM) | 40,000 | 43,489 | ||||||||||
Pittsburgh Water & Sewer Authority, | ||||||||||||
2.028%, 09/01/2040 (1 Month LIBOR USD + 0.640%)(Callable 06/01/2020) (Mandatory Tender Date 12/01/2020)(Insured by AGM)(2) | 50,000 | 50,084 | ||||||||||
School District of Philadelphia: | ||||||||||||
5.000%, 09/01/2018(Insured by ST) | 185,000 | 186,008 | ||||||||||
5.000%, 09/01/2019(Insured by ST) | 500,000 | 518,235 | ||||||||||
5.000%, 06/01/2024 | 225,000 | 247,757 | ||||||||||
School District of Reading, | ||||||||||||
5.000%, 03/01/2024(Insured by AGM) | 100,000 | 112,667 | ||||||||||
Scranton School District: | ||||||||||||
5.000%, 06/01/2019(Insured by ST) | 100,000 | 102,464 | ||||||||||
2.198%, 04/01/2031 (1 Month LIBOR USD + 0.850%)(Callable 10/01/2020) (Mandatory Tender Date 04/01/2021)(Insured by ST)(2) | 290,000 | 290,922 | ||||||||||
Snyder County Higher Education Authority, | ||||||||||||
4.650%, 01/01/2023(Pre-refunded to 07/01/2018) | 50,000 | 50,000 | ||||||||||
Somerset County General Authority, | ||||||||||||
2.000%, 10/01/2019(Insured by BAM) | 155,000 | 155,606 | ||||||||||
Urban Redevelopment Authority of Pittsburgh, | ||||||||||||
2.250%, 12/01/2020(Callable 12/01/2019)(Mandatory Tender Date 06/01/2020)(1) | 575,000 | 578,335 | ||||||||||
Washington County Industrial Development Authority/PA, | ||||||||||||
4.000%, 11/01/2020(Pre-refunded to 05/01/2020) | 80,000 | 83,918 | ||||||||||
West Mifflin Sanitary Sewer Municipal Authority, | ||||||||||||
4.000%, 08/01/2020(Insured by BAM) | 200,000 | 208,682 | ||||||||||
Wilkinsburg School District, | ||||||||||||
3.000%, 05/15/2020(Insured by AGM) | 110,000 | 112,493 | ||||||||||
10,150,615 | 4.2 | % |
Puerto Rico | ||||||||||||
Commonwealth of Puerto Rico: | ||||||||||||
5.500%, 07/01/2018(Insured by NATL) | 50,000 | 50,000 | ||||||||||
0.000%, 07/01/2019(Insured by NATL)(7) | 50,000 | 48,013 | ||||||||||
Puerto Rico Highway & Transportation Authority, | ||||||||||||
4.600%, 07/01/2022(ETM)(Insured by NATL) | 25,000 | 27,272 | ||||||||||
Puerto Rico Public Finance Corp.: | ||||||||||||
5.375%, 06/01/2019(Insured by AMBAC) | 340,000 | 351,716 | ||||||||||
5.125%, 06/01/2024(Insured by AMBAC) | 150,000 | 165,104 | ||||||||||
642,105 | 0.3 | % | ||||||||||
Rhode Island | ||||||||||||
Providence Public Buildings Authority, | ||||||||||||
5.125%, 06/15/2021(Insured by AGM) | 395,000 | 411,973 | ||||||||||
Rhode Island Health & Educational Building Corp., | ||||||||||||
5.000%, 05/15/2024(Insured by BAM) | 500,000 | 567,510 | ||||||||||
Rhode Island Housing & Mortgage Finance Corp., | ||||||||||||
3.500%, 10/01/2046(Callable 04/01/2025) | 65,000 | 66,619 | ||||||||||
1,046,102 | 0.4 | % | ||||||||||
South Carolina | ||||||||||||
City of Myrtle Beach SC, | ||||||||||||
5.000%, 10/01/2020 | 100,000 | 106,345 | ||||||||||
Scago Educational Facilities Corp. for Marro School District, | ||||||||||||
4.250%, 12/01/2029(Callable 12/01/2020)(Insured by AGM) | 100,000 | 103,474 | ||||||||||
South Carolina Jobs-Economic Development Authority: | ||||||||||||
5.125%, 08/01/2020(Pre-refunded to 08/01/2019) | 500,000 | 518,860 | ||||||||||
5.250%, 08/01/2030(Pre-refunded to 08/01/2023) | 50,000 | 57,548 | ||||||||||
6.000%, 08/01/2031(Pre-refunded to 08/01/2021)(Insured by AGM) | 50,000 | 56,035 | ||||||||||
6.500%, 08/01/2039(Pre-refunded to 08/01/2021)(Insured by AGM) | 1,545,000 | 1,754,471 | ||||||||||
South Carolina State Housing Finance & Development Authority, | ||||||||||||
4.000%, 07/01/2036(Callable 07/01/2025)(Insured by GNMA) | 285,000 | 298,284 | ||||||||||
2,895,017 | 1.2 | % | ||||||||||
Tennessee | ||||||||||||
Clarksville Natural Gas Acquisition Corp., | ||||||||||||
5.000%, 12/15/2020 | 75,000 | 80,111 | ||||||||||
Knox County Health Educational & Housing Facility Board, | ||||||||||||
4.000%, 04/01/2019 | 270,000 | 273,742 | ||||||||||
Montgomery County Health Educational & Housing Facilities Board, | ||||||||||||
1.750%, 12/01/2020(Mandatory Tender Date 12/01/2019)(Insured by HUD)(1) | 380,000 | 379,419 | ||||||||||
Nashville & Davidson County Metropolitan Government: | ||||||||||||
2.050%, 04/01/2021(Mandatory Tender Date 04/01/2020)(1) | 150,000 | 150,537 | ||||||||||
2.100%, 04/01/2021(Mandatory Tender Date 10/01/2020)(1) | 250,000 | 250,818 | ||||||||||
1.550%, 11/15/2030(Mandatory Tender Date 11/03/2020)(1) | 860,000 | 853,352 | ||||||||||
Tennessee Energy Acquisition Corp.: | ||||||||||||
5.250%, 09/01/2018 | 85,000 | 85,489 | ||||||||||
4.000%, 05/01/2048(Callable 02/01/2023)(Mandatory Tender Date 05/01/2023)(1) | 555,000 | 591,064 | ||||||||||
Tennessee Housing Development Agency: | ||||||||||||
5.000%, 07/01/2029(Callable 07/30/2018) | 390,000 | 390,000 | ||||||||||
4.000%, 01/01/2043(Callable 07/01/2027) | 925,000 | 976,661 | ||||||||||
3.800%, 07/01/2043(Callable 01/01/2022) | 130,000 | 130,464 | ||||||||||
4.000%, 01/01/2046(Callable 01/01/2025) | 55,000 | 57,464 | ||||||||||
4,219,121 | 1.8 | % | ||||||||||
Texas | ||||||||||||
Bexar County Health Facilities Development Corp.: | ||||||||||||
4.000%, 07/15/2018 | 60,000 | 60,040 | ||||||||||
4.000%, 07/15/2019 | 75,000 | 76,349 | ||||||||||
Carrollton-Farmers Branch Independent School District, | ||||||||||||
5.000%, 02/15/2020(PSF Guaranteed) | 125,000 | 131,630 | ||||||||||
Central Texas Turnpike System, | ||||||||||||
5.000%, 08/15/2042(Mandatory Tender Date 04/01/2020)(1) | 1,500,000 | 1,575,135 | ||||||||||
City of Bullard TX, | ||||||||||||
3.000%, 09/01/2020(Insured by BAM) | 135,000 | 137,092 | ||||||||||
City of Houston TX, | ||||||||||||
2.770%, 09/01/2033(Insured by AMBAC)(1)(5) | 650,000 | 603,083 | ||||||||||
City of Mission TX, | ||||||||||||
4.000%, 02/15/2019(Insured by BAM) | 100,000 | 101,447 | ||||||||||
City of Round Rock TX: | ||||||||||||
4.000%, 12/01/2023 | 30,000 | 32,279 | ||||||||||
4.000%, 12/01/2024 | 250,000 | 268,705 | ||||||||||
City of San Antonio TX Electric & Gas Systems Revenue, | ||||||||||||
3.000%, 12/01/2045(Mandatory Tender Date 12/01/2019)(1) | 120,000 | 122,064 | ||||||||||
Clear Creek Independent School District: | ||||||||||||
1.450%, 02/15/2035(Mandatory Tender Date 08/14/2020)(PSF Guaranteed)(1) | 285,000 | 282,352 | ||||||||||
1.350%, 02/15/2038(Mandatory Tender Date 08/15/2018)(PSF Guaranteed)(1) | 50,000 | 49,985 | ||||||||||
Clifton Higher Education Finance Corp.: | ||||||||||||
4.000%, 08/15/2018 | 100,000 | 100,256 | ||||||||||
5.000%, 08/15/2018 | 100,000 | 100,395 | ||||||||||
Clyde Education Facilities Corp., | ||||||||||||
4.000%, 08/15/2021(PSF Guaranteed) | 140,000 | 147,288 | ||||||||||
Corpus Christi Independent School District, | ||||||||||||
2.000%, 08/15/2047(Mandatory Tender Date 08/15/2019)(PSF Guaranteed)(1) | 250,000 | 250,685 | ||||||||||
County of Harris TX, | ||||||||||||
2.210%, 08/15/2021 (SIFMA Municipal Swap Index + 0.700%)(Callable 07/30/2018)(Mandatory Tender Date 08/15/2018)(2) | 80,000 | 80,032 | ||||||||||
Cypress-Fairbanks Independent School District, | ||||||||||||
3.000%, 02/15/2036(Mandatory Tender Date 08/15/2019)(PSF Guaranteed)(1) | 490,000 | 496,737 | ||||||||||
Dallas Independent School District: | ||||||||||||
5.000%, 02/15/2036(Mandatory Tender Date 02/15/2020)(PSF Guaranteed)(1) | 200,000 | 209,952 | ||||||||||
5.000%, 02/15/2036(Pre-refunded to 02/15/2022)(PSF Guaranteed)(1) | 5,000 | 5,541 | ||||||||||
5.000%, 02/15/2036(Mandatory Tender Date 02/15/2022)(PSF Guaranteed)(1) | 350,000 | 384,780 | ||||||||||
Dawson Independent School District, | ||||||||||||
0.000%, 02/16/2019(PSF Guaranteed) | 245,000 | 242,430 | ||||||||||
Decatur Hospital Authority, | ||||||||||||
5.750%, 09/01/2029(ETM) | 1,710,000 | 2,045,348 | ||||||||||
Denton County Fresh Water Supply District No. 6: | ||||||||||||
4.000%, 02/15/2019(Insured by BAM) | 150,000 | 152,077 | ||||||||||
4.000%, 02/15/2020(Insured by BAM) | 175,000 | 181,076 | ||||||||||
Denton Independent School District, | ||||||||||||
2.000%, 08/01/2042(Pre-refunded to 08/01/2018)(PSF Guaranteed)(1) | 55,000 | 55,024 | ||||||||||
Fort Bend County Municipal Utility District No. 134B, | ||||||||||||
4.625%, 09/01/2024(Insured by AGM) | 320,000 | 355,504 | ||||||||||
Fort Bend County Municipal Utility District No. 58, | ||||||||||||
5.000%, 04/01/2019(Insured by BAM) | 150,000 | 153,552 | ||||||||||
Fort Bend Independent School District: | ||||||||||||
1.350%, 08/01/2040(Callable 07/30/2018)(Mandatory Tender Date 08/01/2019)(PSF Guaranteed)(1) | 625,000 | 622,337 | ||||||||||
1.500%, 08/01/2042(Mandatory Tender Date 08/01/2021)(PSF Guaranteed)(1) | 375,000 | 367,665 | ||||||||||
Galveston County Municipal Utility District No. 6, | ||||||||||||
2.000%, 09/01/2020(Insured by BAM) | 295,000 | 294,935 | ||||||||||
Generation Park Management District, | ||||||||||||
3.000%, 09/01/2018 | 160,000 | 160,301 | ||||||||||
Grand Parkway Transportation Corp., | ||||||||||||
5.000%, 10/01/2052(Mandatory Tender Date 10/01/2023)(1) | 385,000 | 434,646 | ||||||||||
Harlingen Consolidated Independent School District, | ||||||||||||
5.000%, 08/15/2021(PSF Guaranteed) | 100,000 | 109,431 | ||||||||||
Harris County Cultural Education Facilities Finance Corp.: | ||||||||||||
2.090%, 12/01/2042 (SIFMA Municipal Swap Index + 0.580%)(Callable 06/01/2019)(Mandatory Tender Date 12/01/2019)(2) | 50,000 | 50,126 | ||||||||||
2.274%, 10/01/2045 (1 Month LIBOR USD + 0.850%)(Callable 12/01/2019)(Mandatory Tender Date 06/01/2020)(2) | 300,000 | 302,442 | ||||||||||
Harris County Health Facilities Development Corp.: | ||||||||||||
5.000%, 11/15/2032(Pre-refunded to 11/15/2018)(Insured by AGC) | 75,000 | 75,988 | ||||||||||
5.125%, 11/15/2037(Pre-refunded to 11/15/2018)(Insured by AGC) | 75,000 | 76,022 | ||||||||||
Harris County Municipal Utility District No. 153, | ||||||||||||
4.000%, 09/01/2023(Callable 09/01/2022)(Insured by BAM) | 100,000 | 106,053 | ||||||||||
Harris County Municipal Utility District No. 196, | ||||||||||||
3.000%, 09/01/2021(Callable 09/01/2020)(Insured by BAM) | 500,000 | 511,265 | ||||||||||
Harris County Municipal Utility District No. 26, | ||||||||||||
2.000%, 04/01/2019(Insured by AGM) | 500,000 | 501,245 | ||||||||||
Harris County Municipal Utility District No. 500, | ||||||||||||
5.000%, 12/01/2021(Insured by AGM) | 85,000 | 92,925 | ||||||||||
Harris County-Houston Sports Authority, | ||||||||||||
5.000%, 11/15/2020 | 250,000 | 266,947 | ||||||||||
Katy Independent School District, | ||||||||||||
1.939%, 08/15/2036 (1 Month LIBOR USD + 0.550%)(Callable 02/15/2019) (Mandatory Tender Date 08/15/2019)(PSF Guaranteed)(2) | 1,050,000 | 1,051,428 | ||||||||||
Lake Travis Independent School District, | ||||||||||||
2.625%, 02/15/2048(Mandatory Tender Date 02/15/2022)(PSF Guaranteed)(1) | 970,000 | 985,258 | ||||||||||
Leander Independent School District: | ||||||||||||
0.000%, 08/15/2023(Pre-refunded to 08/15/2020)(PSF Guaranteed) | 40,000 | 33,262 | ||||||||||
0.000%, 08/15/2036(Pre-refunded to 08/15/2024)(PSF Guaranteed) | 100,000 | 46,610 | ||||||||||
0.000%, 08/15/2045(Pre-refunded to 08/15/2024)(PSF Guaranteed) | 1,000,000 | 277,950 | ||||||||||
0.000%, 08/15/2046(Pre-refunded to 08/15/2024)(PSF Guaranteed) | 550,000 | 143,649 | ||||||||||
Lower Colorado River Authority, | ||||||||||||
5.000%, 05/15/2024(Callable 05/15/2022) | 125,000 | 137,805 | ||||||||||
Mansfield Independent School District, | ||||||||||||
2.500%, 08/01/2042(Mandatory Tender Date 08/01/2021)(PSF Guaranteed)(1) | 1,350,000 | 1,367,618 | ||||||||||
Matagorda County Hospital District, | ||||||||||||
5.000%, 02/15/2035(Pre-refunded to 08/15/2018)(Insured by FHA) | 245,000 | 246,007 | ||||||||||
Mission Economic Development Corp., | ||||||||||||
1.800%, 12/01/2018(1) | 120,000 | 119,930 | ||||||||||
Montgomery County Municipal Utility District No. 119: | ||||||||||||
4.000%, 04/01/2020(Insured by BAM) | 350,000 | 361,935 | ||||||||||
4.000%, 04/01/2021(Insured by BAM) | 175,000 | 183,150 | ||||||||||
New Hope Cultural Education Facilities Finance Corp.: | ||||||||||||
1.250%, 11/01/2018 | 100,000 | 99,803 | ||||||||||
3.000%, 07/01/2019 | 100,000 | 100,852 | ||||||||||
4.000%, 04/01/2020 | 50,000 | 51,592 | ||||||||||
3.000%, 07/01/2021 | 120,000 | 122,837 | ||||||||||
3.625%, 08/15/2022(Callable 08/15/2021) | 100,000 | 99,110 | ||||||||||
4.000%, 06/15/2024 | 50,000 | 53,806 | ||||||||||
North East Independent School District, | ||||||||||||
2.000%, 08/01/2044(Mandatory Tender Date 08/01/2019)(PSF Guaranteed)(1) | 50,000 | 50,133 | ||||||||||
North Texas Higher Education Authority, Inc., | ||||||||||||
3.212%, 07/01/2030 (3 Month LIBOR USD + 0.900%)(2) | 35,000 | 34,993 | ||||||||||
North Texas Tollway Authority: | ||||||||||||
5.000%, 01/01/2022 | 25,000 | 27,484 | ||||||||||
6.250%, 01/01/2022(Callable 01/01/2019) | 700,000 | 715,722 | ||||||||||
1.950%, 01/01/2038(Mandatory Tender Date 01/01/2019)(1) | 400,000 | 399,904 | ||||||||||
Northside Independent School District: | ||||||||||||
5.000%, 08/15/2022(PSF Guaranteed) | 100,000 | 111,923 | ||||||||||
1.750%, 06/01/2032(Callable 07/20/2018)(Mandatory Tender Date 06/01/2022)(PSF Guaranteed)(1) | 315,000 | 308,108 | ||||||||||
2.125%, 08/01/2040(Callable 08/01/2018)(Mandatory Tender Date 08/01/2020)(PSF Guaranteed)(1) | 500,000 | 500,070 | ||||||||||
2.000%, 08/01/2044(Mandatory Tender Date 08/01/2019)(PSF Guaranteed)(1) | 500,000 | 501,325 | ||||||||||
2.000%, 06/01/2046(Mandatory Tender Date 06/01/2021)(PSF Guaranteed)(1) | 590,000 | 587,840 | ||||||||||
Northwest Harris County Municipal Utility District No. 16, | ||||||||||||
5.500%, 10/01/2021(Insured by BAM) | 25,000 | 27,421 | ||||||||||
Olmos Park Higher Education Facilities Corp., | ||||||||||||
5.000%, 12/01/2021 | 210,000 | 228,711 | ||||||||||
Panhandle Regional Housing Finance Agency, | ||||||||||||
2.000%, 05/01/2021(Mandatory Tender Date 05/01/2020)(1) | 1,000,000 | 1,000,170 | ||||||||||
Round Rock Independent School District, | ||||||||||||
1.500%, 08/01/2040(Callable 08/01/2018)(Mandatory Tender Date 08/01/2021)(PSF Guaranteed)(1) | 300,000 | 294,222 | ||||||||||
SA Energy Acquisition Public Facility Corp., | ||||||||||||
5.500%, 08/01/2021 | 25,000 | 27,418 | ||||||||||
San Antonio Water System, | ||||||||||||
2.000%, 05/01/2043(Mandatory Tender Date 11/01/2021)(1) | 100,000 | 99,233 | ||||||||||
San Jacinto College District, | ||||||||||||
5.000%, 02/15/2034(Pre-refunded to 02/15/2019) | 25,000 | 25,529 | ||||||||||
San Juan Higher Education Finance Authority, | ||||||||||||
5.125%, 08/15/2020 | 300,000 | 311,469 | ||||||||||
South Shore Harbor Municipal Utility District No. 7, | ||||||||||||
4.000%, 09/01/2023(Insured by BAM) | 370,000 | 393,935 | ||||||||||
Southwest Texas Junior College District, | ||||||||||||
4.000%, 10/01/2023(Insured by BAM) | 100,000 | 105,662 | ||||||||||
State of Texas: | ||||||||||||
5.000%, 08/01/2020 | 375,000 | 400,072 | ||||||||||
2.000%, 08/01/2025(Callable 07/30/2018)(Mandatory Tender Date 08/01/2019)(1) | 180,000 | 180,200 | ||||||||||
Tarrant County Cultural Education Facilities Finance Corp., | ||||||||||||
2.500%, 12/01/2018(Callable 07/20/2018) | 105,000 | 105,022 | ||||||||||
Texas Department of Housing & Community Affairs, | ||||||||||||
4.050%, 07/01/2026(Callable 01/01/2021)(Insured by GNMA) | 480,000 | 492,374 | ||||||||||
Texas Municipal Gas Acquisition & Supply Corp. I: | ||||||||||||
5.250%, 12/15/2018 | 980,000 | 994,582 | ||||||||||
5.250%, 12/15/2021 | 120,000 | 131,675 | ||||||||||
Texas Municipal Gas Acquisition & Supply Corp. III: | ||||||||||||
5.000%, 12/15/2021 | 140,000 | 152,467 | ||||||||||
5.000%, 12/15/2022 | 150,000 | 166,433 | ||||||||||
5.000%, 12/15/2023(Callable 12/15/2022) | 180,000 | 199,238 | ||||||||||
Texas State Affordable Housing Corp., | ||||||||||||
1.900%, 12/01/2020(Callable 06/01/2019)(Mandatory Tender Date 12/01/2019)(1) | 105,000 | 104,869 | ||||||||||
Texas State Public Finance Authority Charter School Finance Corp., | ||||||||||||
6.000%, 08/15/2026(Pre-refunded to 02/15/2020) | 250,000 | 266,528 | ||||||||||
Texas Transportation Commission State Highway Fund, | ||||||||||||
4.000%, 04/01/2026(Mandatory Tender Date 10/01/2021)(1) | 530,000 | 561,752 | ||||||||||
Town of Providence Village TX, | ||||||||||||
4.000%, 03/01/2024(Insured by BAM) | 275,000 | 296,794 | ||||||||||
Travis County Health Facilities Development Corp., | ||||||||||||
7.125%, 01/01/2046(Pre-refunded to 01/01/2021) | 375,000 | 422,809 | ||||||||||
Travis County Housing Finance Corp., | ||||||||||||
2.000%, 04/01/2021(Mandatory Tender Date 04/01/2020)(1) | 1,000,000 | 999,820 | ||||||||||
Tyler Health Facilities Development Corp., | ||||||||||||
5.500%, 07/01/2027(Pre-refunded to 07/01/2021) | 50,000 | 54,940 | ||||||||||
Viridian Municipal Management District, | ||||||||||||
6.000%, 12/01/2023(Insured by BAM) | 50,000 | 59,305 | ||||||||||
West Ranch Management District: | ||||||||||||
2.000%, 09/01/2018(Insured by MAC) | 50,000 | 50,037 | ||||||||||
3.000%, 09/01/2019(Insured by MAC) | 50,000 | 50,726 | ||||||||||
29,296,683 | 12.2 | % | ||||||||||
Utah | ||||||||||||
Utah Charter School Finance Authority, | ||||||||||||
4.000%, 04/15/2022(Insured by UT CSCE) | 250,000 | 263,542 | ||||||||||
Utah Housing Corp.: | ||||||||||||
2.000%, 07/01/2021(Mandatory Tender Date 01/01/2021)(Insured by GNMA)(1) | 250,000 | 249,033 | ||||||||||
4.000%, 01/01/2045(Callable 01/01/2026)(Insured by FHA) | 85,000 | 88,930 | ||||||||||
601,505 | 0.3 | % | ||||||||||
Vermont | ||||||||||||
City of Burlington VT, | ||||||||||||
5.000%, 07/01/2023(Pre-refunded to 07/01/2021) | 25,000 | 27,223 | ||||||||||
Vermont Economic Development Authority, | ||||||||||||
2.000%, 07/01/2020(Callable 07/01/2019) | 350,000 | 343,004 | ||||||||||
Vermont Housing Finance Agency: | ||||||||||||
4.000%, 11/01/2044(Callable 11/01/2023) | 110,000 | 115,028 | ||||||||||
4.000%, 11/01/2048(Callable 05/01/2027) | 1,500,000 | 1,585,680 | ||||||||||
Vermont Public Power Supply Authority, | ||||||||||||
5.000%, 07/01/2022 | 380,000 | 418,942 | ||||||||||
2,489,877 | 1.0 | % | ||||||||||
Virgin Islands | ||||||||||||
Virgin Islands Public Finance Authority, | ||||||||||||
5.000%, 09/01/2020 | 100,000 | 104,386 | 0.0 | % | ||||||||
Virginia | ||||||||||||
City of Petersburg VA, | ||||||||||||
4.000%, 11/01/2025(Callable 11/01/2022)(Insured by ST) | 330,000 | 344,480 | ||||||||||
City of Virginia Beach VA, | ||||||||||||
4.000%, 04/01/2027(Pre-refunded to 04/01/2022)(Insured by ST) | 100,000 | 107,441 | ||||||||||
Colonial Heights Economic Development Authority, | ||||||||||||
1.800%, 01/01/2020(Mandatory Tender Date 07/01/2019)(1) | 380,000 | 379,551 | ||||||||||
Stafford County & Staunton Industrial Development Authority, | ||||||||||||
5.500%, 02/01/2041(Pre-refunded to 02/01/2021)(Insured by ST) | 30,000 | 32,672 | ||||||||||
Virginia Commonwealth University Health System Authority, | ||||||||||||
4.750%, 07/01/2041(Pre-refunded to 07/01/2021) | 60,000 | 65,083 | ||||||||||
Virginia Resources Authority, | ||||||||||||
4.250%, 11/01/2040(Pre-refunded to 11/01/2020) | 45,000 | 47,407 | ||||||||||
Wise County Industrial Development Authority, | ||||||||||||
2.150%, 10/01/2040(Mandatory Tender Date 09/01/2020)(1) | 125,000 | 124,946 | ||||||||||
1,101,580 | 0.5 | % | ||||||||||
Washington | ||||||||||||
Central Puget Sound Regional Transit Authority, | ||||||||||||
2.210%, 11/01/2045 (SIFMA Municipal Swap Index + 0.700%)(Callable 07/16/2018)(Mandatory Tender Date 11/01/2018)(2) | 50,000 | 50,000 | ||||||||||
Central Washington University, | ||||||||||||
4.000%, 05/01/2024(Callable 05/01/2023) | 230,000 | 246,567 | ||||||||||
City of Seattle WA, | ||||||||||||
2.190%, 05/01/2045 (SIFMA Municipal Swap Index + 0.680%)(Callable 07/20/2018)(Mandatory Tender Date 11/01/2018)(2) | 225,000 | 225,110 | ||||||||||
Grays Harbor County Public Hospital District No. 1, | ||||||||||||
3.000%, 08/01/2019(Callable 12/01/2018) | 500,000 | 499,835 | ||||||||||
King County Housing Authority: | ||||||||||||
3.500%, 05/01/2021 | 300,000 | 310,629 | ||||||||||
3.500%, 05/01/2022 | 335,000 | 348,518 | ||||||||||
Washington Health Care Facilities Authority: | ||||||||||||
4.000%, 10/01/2019 | 225,000 | 231,370 | ||||||||||
5.000%, 10/01/2042(Mandatory Tender Date 10/01/2021)(1) | 85,000 | 92,913 | ||||||||||
2,004,942 | 0.8 | % | ||||||||||
West Virginia | ||||||||||||
West Virginia Hospital Finance Authority, | ||||||||||||
5.125%, 09/01/2021(Callable 09/01/2019) | 120,000 | 123,971 | 0.1 | % | ||||||||
Wisconsin | ||||||||||||
Campbellsport School District, | ||||||||||||
5.000%, 03/01/2022 | 540,000 | 595,496 | ||||||||||
City of Kenosha WI, | ||||||||||||
5.000%, 06/01/2021 | 200,000 | 217,356 | ||||||||||
City of Onalaska WI, | ||||||||||||
2.125%, 07/01/2019(Callable 04/01/2019) | 535,000 | 536,439 | ||||||||||
Public Finance Authority: | ||||||||||||
4.000%, 12/01/2020 | 350,000 | 354,084 | ||||||||||
3.000%, 11/15/2022(Callable 11/15/2018) | 250,000 | 250,545 | ||||||||||
8.375%, 06/01/2037(Pre-refunded to 06/01/2022) | 1,075,000 | 1,303,212 | ||||||||||
8.625%, 06/01/2047(Pre-refunded to 06/01/2022) | 1,250,000 | 1,534,275 | ||||||||||
Southeast Wisconsin Professional Baseball Park District, | ||||||||||||
0.000%, 12/15/2021(ETM)(Insured by NATL) | 30,000 | 27,971 | ||||||||||
State of Wisconsin: | �� | |||||||||||
5.000%, 05/01/2025(Callable 05/01/2023) | 500,000 | 565,490 | ||||||||||
5.000%, 05/01/2026(Callable 05/01/2023) | 60,000 | 67,859 | ||||||||||
5.000%, 05/01/2029(Pre-refunded to 05/01/2022) | 100,000 | 111,077 | ||||||||||
Village of Somers WI, | ||||||||||||
3.000%, 05/01/2022 | 500,000 | 507,230 | ||||||||||
Village of Sussex WI Water System Revenue, | ||||||||||||
3.000%, 06/01/2023(Callable 06/01/2022) | 1,155,000 | 1,178,539 | ||||||||||
West Allis West Milwaukee School District, | ||||||||||||
3.000%, 04/01/2019 | 150,000 | 149,974 | ||||||||||
Western Technical College District, | ||||||||||||
2.000%, 04/01/2019(Callable 07/30/2018) | 125,000 | 125,042 | ||||||||||
Wisconsin Center District: | ||||||||||||
0.000%, 12/15/2018(Insured by NATL) | 80,000 | 79,333 | ||||||||||
5.000%, 12/15/2022 | 15,000 | 16,771 | ||||||||||
5.250%, 12/15/2023(Insured by AGM) | 80,000 | 88,684 | ||||||||||
5.250%, 12/15/2027(Insured by AGM) | 25,000 | 28,731 | ||||||||||
Wisconsin Health & Educational Facilities Authority: | ||||||||||||
3.000%, 07/01/2018 | 25,000 | 25,000 | ||||||||||
4.200%, 08/15/2018(ETM) | 100,000 | 100,331 | ||||||||||
5.000%, 11/15/2018 | 15,000 | 15,193 | ||||||||||
5.500%, 02/15/2019(Insured by AMBAC) | 65,000 | 66,516 | ||||||||||
5.000%, 08/15/2020 | 55,000 | 58,437 | ||||||||||
2.650%, 11/01/2020(Callable 11/01/2019) | 500,000 | 498,980 | ||||||||||
5.875%, 02/15/2022(Insured by BHAC) | 25,000 | 27,647 | ||||||||||
4.000%, 09/15/2022 | 200,000 | 207,590 | ||||||||||
5.000%, 06/01/2023(Callable 06/01/2022) | 65,000 | 70,967 | ||||||||||
5.250%, 08/15/2023(Pre-refunded to 08/15/2020) | 410,000 | 439,327 | ||||||||||
4.000%, 09/15/2023(Callable 09/15/2022) | 50,000 | 51,618 | ||||||||||
4.000%, 09/15/2024(Callable 09/15/2023) | 360,000 | 371,066 | ||||||||||
4.500%, 06/01/2025(Pre-refunded to 06/01/2020) | 500,000 | 523,990 | ||||||||||
5.000%, 07/01/2025(Callable 07/01/2024) | 300,000 | 331,827 | ||||||||||
4.000%, 09/15/2025(Callable 09/15/2023) | 300,000 | 308,070 | ||||||||||
4.000%, 09/15/2025(Callable 09/15/2022) | 200,000 | 204,416 | ||||||||||
3.000%, 02/15/2035(Pre-refunded to 08/15/2025) | 95,000 | 98,078 | ||||||||||
4.000%, 02/15/2038(Pre-refunded to 08/15/2025) | 275,000 | 301,923 | ||||||||||
5.000%, 11/15/2043(Mandatory Tender Date 06/01/2020)(1) | 100,000 | 105,789 | ||||||||||
Wisconsin Housing & Economic Development Authority: | ||||||||||||
3.500%, 09/01/2046(Callable 09/01/2025)(Insured by FNMA) | 450,000 | 464,067 | ||||||||||
4.000%, 03/01/2048(Callable 03/01/2027)(Insured by FNMA) | 495,000 | 520,938 | ||||||||||
12,529,878 | 5.2 | % | ||||||||||
Wyoming | ||||||||||||
Wyoming Community Development Authority, | ||||||||||||
4.000%, 12/01/2043(Callable 06/01/2027) | 1,500,000 | 1,577,355 | 0.7 | % | ||||||||
Total Municipal Bonds (Cost $236,634,662) | 236,219,972 | 98.3 | % |
SHORT-TERM INVESTMENT | Shares | |||||||||||
Money Market Mutual Fund | ||||||||||||
Fidelity Institutional Money Market Fund - Government Portfolio, Institutional Class, 1.81%(4) | 563,026 | 563,026 | ||||||||||
Total Short-Term Investment (Cost $563,026) | 563,026 | 0.2 | % | |||||||||
Total Investments (Cost $237,197,688) | 236,782,998 | 98.5 | % | |||||||||
Other Assets in Excess of Liabilities | 3,493,972 | 1.5 | % | |||||||||
TOTAL NET ASSETS | $ | 240,276,970 | 100.0 | % |
Notes to Schedule of Investments | ||||||||
AGC | Assured Guaranty Corp. | |||||||
AGM | Assured Guaranty Municipal | |||||||
AMBAC | Ambac Assurance Corp. | |||||||
BAM | Build America Mutual Assurance Co. | |||||||
BHAC | Berkshire Hathaway Assurance Corp. | |||||||
CA MTG | CA Mortgage Insurance | |||||||
FHA | Federal Housing Administration | |||||||
FNMA | Fannie Mae | |||||||
GNMA | Ginnie Mae | |||||||
HUD | US Department of Housing and Development | |||||||
MAC | Municipal Assurance Corp. | |||||||
NATL | National Public Finance Guarantee Corp. | |||||||
Q-SBLF | Qualified School Building Loan Fund | |||||||
SD CRED PROG | State Credit Enhancement Program | |||||||
ST | State Aid Intercept/Withholding | |||||||
UT CSCE | Utah Charter School Finance Authority | |||||||
(1) | Variable rate security. The rate reported is the rate in effect as of June 30, 2018. | |||||||
(2) | Variable rate security based on a reference index and spread. The rate reported is the rate in effect as of June 30, 2018. | |||||||
(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 June 30, 2018, the value of these securities total $327,248, which represents 0.14% of total net assets. | |||||||
(4) | 7-Day Yield. | |||||||
(5) | 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. | |||||||
(6) | Security or a portion of the security purchased on a when-issued or delayed delivery basis. | |||||||
(7) | Security in default. |
Baird Short-Term Municipal Bond Fund | ||||||||
Schedule of Investments, June 30, 2018 (Unaudited) | ||||||||
Summary of Fair Value Exposure at June 30, 2018 (Unaudited) | ||||||||
The Fund has adopted authoritative fair valuation accounting standards which establish a definition of fair value and set out a hierarchy for measuring fair value. These standards require additional disclosures about the various inputs and valuation techniques used to develop the measurements of fair value and a discussion on changes in valuation techniques and related inputs during the period. These standards define fair value as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. | ||||||||
The fair value hierarchy is organized into three levels based upon the assumptions (referred to as "inputs") used in pricing the asset or liability. These standards state that "observable inputs" reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from independent sources and "unobservable inputs" reflect an entity's own assumptions about the assumptions market participants would use in pricing the asset or liability. These inputs are summarized into three broad levels and described below: |
Level 1 - | Unadjusted quoted prices in active markets for identical unrestricted securities. | ||
Level 2 - | Other significant observable inputs (including quoted prices for similar securities, quoted prices in inactive markets, dealer indications, interest rates, yield curves, prepayment speeds, credit risk, default rates, inputs corroborated by observable market data, etc.). | ||
Level 3 - | Significant unobservable inputs (including the Fund's own assumptions about the factors that market participants would use in valuing the security) based on the best information available. |
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. | ||||||||
The following is a summary of the inputs used to value the Fund's investments as of June 30, 2018: |
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Long-Term Investments | ||||||||||||||||
Municipal Bonds | $ | – | $ | 236,219,972 | $ | – | $ | 236,219,972 | ||||||||
Total Long-Term Investments | – | 236,219,972 | – | 236,219,972 | ||||||||||||
Short-Term Investment | ||||||||||||||||
Money Market Mutual Fund | 563,026 | – | – | 563,026 | ||||||||||||
Total Short-Term Investment | 563,026 | – | – | 563,026 | ||||||||||||
Total Investments | $ | 563,026 | $ | 236,219,972 | $ | – | $ | 236,782,998 |
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. See the Fund's valuation policy in Note 2a to the financial statements. | ||||||||
Baird Quality Intermediate Municipal Bond Fund | ||||||||||||
Schedule of Investments | ||||||||||||
June 30, 2018 (Unaudited) | ||||||||||||
Principal | % of | |||||||||||
Amount | Value | Net Assets | ||||||||||
LONG-TERM INVESTMENTS | ||||||||||||
Municipal Bonds | ||||||||||||
Alaska | ||||||||||||
City of Valdez AK, | ||||||||||||
5.000%, 06/30/2029(Callable 06/30/2022) | $ | 1,225,000 | $ | 1,439,155 | 0.1 | % | ||||||
Arizona | ||||||||||||
Arizona State University, | ||||||||||||
5.000%, 07/01/2032(Pre-refunded to 07/01/2022) | 715,000 | 794,336 | ||||||||||
City of Tucson AZ, | ||||||||||||
5.000%, 07/01/2028(Callable 07/01/2025) | 750,000 | 869,633 | ||||||||||
Industrial Development Authority of the City of Phoenix, | ||||||||||||
1.200%, 08/01/2019(Mandatory Tender Date 08/01/2018)(1) | 1,205,000 | 1,204,614 | ||||||||||
2,868,583 | 0.2 | % | ||||||||||
Arkansas | ||||||||||||
Arkansas Development Finance Authority, | ||||||||||||
5.500%, 12/01/2018(ETM) | 170,000 | 172,795 | ||||||||||
City of Pine Bluff AR, | ||||||||||||
3.000%, 02/01/2047(Callable 08/01/2027)(Insured by BAM) | 2,350,000 | 2,284,247 | ||||||||||
City of Rogers AR: | ||||||||||||
4.000%, 11/01/2025(Callable 05/01/2024) | 570,000 | 613,519 | ||||||||||
4.000%, 11/01/2026(Callable 05/01/2024) | 680,000 | 728,872 | ||||||||||
4.000%, 11/01/2027(Callable 05/01/2024) | 460,000 | 489,987 | ||||||||||
4.000%, 11/01/2028(Callable 05/01/2024) | 125,000 | 132,389 | ||||||||||
4,421,809 | 0.4 | % | ||||||||||
California | ||||||||||||
Aromas-San Juan Unified School District, | ||||||||||||
0.000%, 08/01/2050(Pre-refunded to 08/01/2021)(Insured by AGM) | 875,000 | 73,867 | ||||||||||
Brea Redevelopment Agency: | ||||||||||||
0.000%, 08/01/2033(Callable 08/01/2027) | 1,500,000 | 1,372,935 | ||||||||||
0.000%, 08/01/2034(Callable 08/01/2027) | 1,750,000 | 1,593,497 | ||||||||||
California Infrastructure & Economic Development Bank, | ||||||||||||
5.000%, 07/01/2029(Pre-refunded to 01/01/2028) | 150,000 | 182,442 | ||||||||||
Centinela Valley Union High School District, | ||||||||||||
5.000%, 08/01/2050(Callable 08/01/2022)(Insured by AGM) | 385,000 | 425,552 | ||||||||||
Citrus Community College District, | ||||||||||||
0.000%, 08/01/2034(Callable 02/01/2024) | 885,000 | 787,756 | ||||||||||
City of Bakersfield CA, | ||||||||||||
0.000%, 04/15/2021(ETM) | 12,380,000 | 11,758,153 | ||||||||||
City of Pasadena CA, | ||||||||||||
4.250%, 06/01/2034(Callable 06/01/2023) | 500,000 | 534,460 | ||||||||||
Commerce Community Development Commission Successor Agency, | ||||||||||||
0.000%, 08/01/2021(ETM) | 415,000 | 356,381 | ||||||||||
Contra Costa Transportation Authority, | ||||||||||||
5.000%, 03/01/2028(Callable 03/01/2025) | 1,510,000 | 1,765,492 | ||||||||||
El Rancho Unified School District, | ||||||||||||
0.000%, 08/01/2035(Pre-refunded to 08/01/2023)(Insured by BAM) | 300,000 | 131,520 | ||||||||||
Mendocino-Lake Community College District, | ||||||||||||
0.000%, 08/01/2051(Pre-refunded to 08/01/2021)(Insured by AGM) | 1,285,000 | 119,466 | ||||||||||
Metropolitan Water District of Southern California, | ||||||||||||
5.000%, 07/01/2032(Callable 01/01/2026) | 4,555,000 | 5,383,463 | ||||||||||
Mount San Antonio Community College District, | ||||||||||||
0.000%, 08/01/2028(Callable 02/01/2028) | 550,000 | 527,252 | ||||||||||
Newport Mesa Unified School District, | ||||||||||||
0.000%, 08/01/2027(Insured by NATL) | 1,085,000 | 847,504 | ||||||||||
Northern California Power Agency, | ||||||||||||
7.500%, 07/01/2023(Pre-refunded to 07/01/2021)(Insured by AMBAC) | 515,000 | 571,274 | ||||||||||
Pittsburg Unified School District Financing Authority, | ||||||||||||
0.000%, 09/01/2040(Pre-refunded to 09/01/2021)(Insured by AGM) | 815,000 | 182,707 | ||||||||||
Rio Hondo Community College District, | ||||||||||||
0.000%, 08/01/2042(Callable 08/01/2034) | 6,385,000 | 6,767,717 | ||||||||||
Roseville Joint Union School District, | ||||||||||||
0.000%, 08/01/2039(Pre-refunded to 08/01/2021)(Insured by AGM) | 105,000 | 24,814 | ||||||||||
San Diego Unified School District: | ||||||||||||
0.000%, 07/01/2033(Pre-refunded to 07/01/2024) | 350,000 | 403,550 | ||||||||||
4.000%, 07/01/2034(Callable 07/01/2027) | 1,000,000 | 1,066,930 | ||||||||||
4.000%, 07/01/2035(Callable 07/01/2027) | 2,000,000 | 2,127,420 | ||||||||||
San Joaquin Hills Transportation Corridor Agency: | ||||||||||||
0.000%, 01/01/2020(ETM) | 6,865,000 | 6,706,419 | ||||||||||
0.000%, 01/01/2023(ETM) | 14,005,000 | 12,823,818 | ||||||||||
0.000%, 01/01/2027(ETM) | 1,030,000 | 820,158 | ||||||||||
0.000%, 01/01/2028(ETM) | 720,000 | 562,342 | ||||||||||
San Marcos Public Facilities Authority, | ||||||||||||
0.000%, 09/01/2019(ETM) | 17,495,000 | 17,146,500 | ||||||||||
San Mateo Union High School District: | ||||||||||||
5.000%, 09/01/2033(Callable 09/01/2023) | 190,000 | 213,839 | ||||||||||
5.000%, 09/01/2041(Callable 09/01/2023) | 2,105,000 | 2,369,115 | ||||||||||
0.000%, 12/15/2043(Pre-refunded to 12/15/2024)(Insured by AMBAC) | 1,295,000 | 1,402,524 | ||||||||||
San Ysidro School District: | ||||||||||||
0.000%, 08/01/2042(Pre-refunded to 08/01/2021)(Insured by AGM) | 375,000 | 74,197 | ||||||||||
0.000%, 08/01/2043(Pre-refunded to 08/01/2021)(Insured by AGM) | 290,000 | 53,108 | ||||||||||
0.000%, 08/01/2044(Pre-refunded to 08/01/2021)(Insured by AGM) | 150,000 | 25,419 | ||||||||||
0.000%, 08/01/2050(Pre-refunded to 08/01/2021)(Insured by AGM) | 525,000 | 55,629 | ||||||||||
Sutter Union High School District: | ||||||||||||
0.000%, 08/01/2036(Pre-refunded to 08/01/2025) | 50,000 | 19,202 | ||||||||||
0.000%, 08/01/2037(Pre-refunded to 08/01/2025) | 50,000 | 17,879 | ||||||||||
0.000%, 08/01/2041(Pre-refunded to 08/01/2025) | 50,000 | 13,390 | ||||||||||
0.000%, 08/01/2043(Pre-refunded to 08/01/2025) | 200,000 | 46,164 | ||||||||||
0.000%, 08/01/2044(Pre-refunded to 08/01/2025) | 345,000 | 73,885 | ||||||||||
0.000%, 06/01/2050(Pre-refunded to 08/01/2025) | 700,000 | 95,809 | ||||||||||
Tustin Unified School District, | ||||||||||||
0.000%, 08/01/2028(Callable 08/01/2021) | 830,000 | 881,261 | ||||||||||
Victor Valley Union High School District: | ||||||||||||
0.000%, 08/01/2036(Pre-refunded to 08/01/2023)(Insured by AGM) | 510,000 | 226,848 | ||||||||||
0.000%, 08/01/2038(Pre-refunded to 08/01/2023)(Insured by AGM) | 460,000 | 180,486 | ||||||||||
0.000%, 08/01/2041(Pre-refunded to 08/01/2023) | 545,000 | 179,027 | ||||||||||
0.000%, 08/01/2042(Pre-refunded to 08/01/2023) | 2,000,000 | 617,880 | ||||||||||
0.000%, 08/01/2046(Pre-refunded to 08/01/2023) | 200,000 | 48,384 | ||||||||||
0.000%, 08/01/2052(Pre-refunded to 08/01/2023) | 790,000 | 131,258 | ||||||||||
Westminster School District, | ||||||||||||
0.000%, 08/01/2048(Callable 08/01/2023)(Insured by BAM) | 5,020,000 | 787,538 | ||||||||||
82,576,231 | 7.1 | % | ||||||||||
Colorado | ||||||||||||
Brush School District No. RE-2J: | ||||||||||||
5.000%, 12/01/2030(Callable 12/01/2027)(Insured by BAM) | 160,000 | 187,784 | ||||||||||
5.000%, 12/01/2031(Callable 12/01/2027)(Insured by BAM) | 380,000 | 444,961 | ||||||||||
5.000%, 12/01/2032(Callable 12/01/2027)(Insured by BAM) | 395,000 | 461,818 | ||||||||||
5.000%, 12/01/2035(Callable 12/01/2027)(Insured by BAM) | 460,000 | 532,078 | ||||||||||
City of Colorado Springs CO, | ||||||||||||
5.000%, 12/15/2032(Pre-refunded to 12/15/2018)(Insured by AGM) | 1,300,000 | 1,320,488 | ||||||||||
City of Fort Lupton CO, | ||||||||||||
4.000%, 12/01/2042(Callable 12/01/2027)(Insured by AGM) | 850,000 | 885,190 | ||||||||||
Colorado Health Facilities Authority, | ||||||||||||
0.000%, 07/15/2022(ETM) | 6,505,000 | 5,946,025 | ||||||||||
Colorado Housing & Finance Authority, | ||||||||||||
1.850%, 04/01/2020(Mandatory Tender Date 10/01/2019)(1) | 3,900,000 | 3,900,429 | ||||||||||
Colorado School of Mines, | ||||||||||||
5.000%, 12/01/2027(Insured by ST) | 175,000 | 207,769 | ||||||||||
Dawson Ridge Metropolitan District No. 1: | ||||||||||||
0.000%, 10/01/2022(ETM) | 36,700,000 | 33,501,595 | ||||||||||
0.000%, 10/01/2022(ETM) | 23,665,000 | 21,602,595 | ||||||||||
Mesa County Valley School District No. 51, | ||||||||||||
5.500%, 12/01/2037(Callable 12/01/2027)(Insured by ST) | 1,000,000 | 1,211,850 | ||||||||||
Regional Transportation District, | ||||||||||||
4.375%, 06/01/2039(Callable 06/01/2023) | 5,725,000 | 6,004,437 | ||||||||||
76,207,019 | 6.5 | % | ||||||||||
Connecticut | ||||||||||||
City of Hartford CT, | ||||||||||||
4.000%, 04/01/2019(ETM)(Insured by ST) | 845,000 | 858,858 | ||||||||||
Connecticut Housing Finance Authority, | ||||||||||||
4.000%, 11/15/2047(Callable 11/15/2026) | 1,800,000 | 1,892,502 | ||||||||||
Harbor Point Infrastructure Improvement District, | ||||||||||||
7.875%, 04/01/2039(Pre-refunded to 04/01/2020) | 100,000 | 110,456 | ||||||||||
State of Connecticut, | ||||||||||||
5.000%, 10/15/2020 | 4,395,000 | 4,669,468 | ||||||||||
7,531,284 | 0.6 | % | ||||||||||
District of Columbia | ||||||||||||
District of Columbia, | ||||||||||||
5.250%, 07/15/2038(Pre-refunded to 07/15/2018)(Insured by AGC) | 150,000 | 150,193 | 0.0 | % | ||||||||
Florida | ||||||||||||
City of Miami Beach FL, | ||||||||||||
6.250%, 10/01/2022(ETM)(Insured by AMBAC) | 1,260,000 | 1,374,131 | ||||||||||
City of Miramar FL: | ||||||||||||
5.000%, 10/01/2029(Callable 10/01/2027) | 1,000,000 | 1,185,210 | ||||||||||
5.000%, 10/01/2030(Callable 10/01/2027) | 1,000,000 | 1,181,630 | ||||||||||
5.000%, 10/01/2034(Callable 10/01/2027) | 1,000,000 | 1,169,180 | ||||||||||
5.000%, 10/01/2035(Callable 10/01/2027) | 1,000,000 | 1,166,530 | ||||||||||
City of Orlando FL, | ||||||||||||
5.000%, 11/01/2034(Callable 11/01/2027)(Insured by AGM) | 1,000,000 | 1,136,350 | ||||||||||
City of Sunrise FL, | ||||||||||||
5.500%, 10/01/2018(ETM)(Insured by AMBAC) | 885,000 | 893,797 | ||||||||||
City of Tallahassee FL Utility System Revenue: | ||||||||||||
5.000%, 10/01/2033(Callable 10/01/2024) | 255,000 | 289,897 | ||||||||||
5.000%, 10/01/2034(Callable 10/01/2024) | 1,000,000 | 1,133,160 | ||||||||||
5.000%, 10/01/2035(Callable 10/01/2024) | 825,000 | 932,827 | ||||||||||
County of Miami-Dade FL: | ||||||||||||
4.500%, 10/01/2020 | 7,100,000 | 7,498,736 | ||||||||||
5.250%, 10/01/2022(Insured by AGM) | 1,140,000 | 1,289,021 | ||||||||||
5.250%, 10/01/2030(ETM)(Insured by NATL) | 1,960,000 | 2,403,313 | ||||||||||
County of Seminole FL, | ||||||||||||
6.000%, 10/01/2019(ETM)(Insured by NATL) | 2,485,000 | 2,559,227 | ||||||||||
Escambia County Housing Finance Authority: | ||||||||||||
0.000%, 10/15/2018(ETM) | 4,130,000 | 4,110,424 | ||||||||||
2.050%, 05/01/2021(Mandatory Tender Date 05/01/2020)(1) | 1,500,000 | 1,503,735 | ||||||||||
Gulf Environmental Services, Inc., | ||||||||||||
5.000%, 10/01/2018(ETM)(Insured by NATL) | 365,000 | 368,230 | ||||||||||
Highlands County Health Facilities Authority: | ||||||||||||
1.500%, 11/15/2035(Callable 07/02/2018)(Optional Put Date 07/06/2018)(1) | 3,300,000 | 3,300,000 | ||||||||||
1.500%, 11/15/2037(Callable 06/29/2018)(Optional Put Date 07/06/2018)(1) | 2,000,000 | 2,000,000 | ||||||||||
Hillsborough County Industrial Development Authority: | ||||||||||||
5.625%, 08/15/2029(Pre-refunded to 08/15/2018) | 2,950,000 | 2,964,632 | ||||||||||
8.000%, 08/15/2032(Pre-refunded to 08/15/2019) | 2,065,000 | 2,227,061 | ||||||||||
JEA Water & Sewer System Revenue, | ||||||||||||
5.000%, 10/01/2028(Pre-refunded to 04/01/2024) | 705,000 | 809,721 | ||||||||||
Lee County School Board, | ||||||||||||
5.000%, 08/01/2032(Callable 08/01/2026) | 1,000,000 | 1,141,730 | ||||||||||
Miami-Dade County Health Facilities Authority, | ||||||||||||
5.750%, 05/01/2021(ETM)(Insured by NATL) | 750,000 | 800,542 | ||||||||||
Mid-Bay Bridge Authority: | ||||||||||||
6.875%, 10/01/2022(ETM) | 4,675,000 | 5,160,919 | ||||||||||
6.875%, 10/01/2022(ETM)(Insured by AMBAC) | 3,175,000 | 3,528,759 | ||||||||||
Orange County Housing Finance Authority, | ||||||||||||
1.150%, 12/01/2019(Mandatory Tender Date 12/01/2018)(1) | 2,550,000 | 2,544,058 | ||||||||||
Orange County School Board: | ||||||||||||
5.000%, 08/01/2029(Pre-refunded to 08/01/2024) | 165,000 | 191,451 | ||||||||||
5.000%, 08/01/2033(Callable 08/01/2026) | 4,900,000 | 5,628,581 | ||||||||||
Pinellas County Housing Finance Authority, | ||||||||||||
4.250%, 03/01/2027(Callable 09/01/2019)(Insured by GNMA) | 410,000 | 417,815 | ||||||||||
Reedy Creek Florida | ||||||||||||
0.000%, 10/01/2030(3) | 130,000 | 153,082 | ||||||||||
0.000%, 10/01/2031(3) | 300,000 | 352,398 | ||||||||||
School Board of Miami-Dade County, | ||||||||||||
5.000%, 03/15/2039(Callable 03/15/2024) | 2,000,000 | 2,228,020 | ||||||||||
School District of Broward County: | ||||||||||||
5.250%, 07/01/2022(Pre-refunded to 07/01/2021) | 8,445,000 | 9,282,829 | ||||||||||
5.250%, 07/01/2023(Pre-refunded to 07/01/2021) | 4,915,000 | 5,402,617 | ||||||||||
Seminole County School Board, | ||||||||||||
5.000%, 07/01/2035(Callable 07/01/2026) | 145,000 | 164,926 | ||||||||||
State of Florida, | ||||||||||||
5.000%, 06/01/2022(Callable 06/01/2019) | 13,800,000 | 14,235,252 | ||||||||||
Tampa Bay Water, | ||||||||||||
5.000%, 10/01/2019(ETM) | 1,760,000 | 1,832,054 | ||||||||||
94,561,845 | 8.1 | % | ||||||||||
Georgia | ||||||||||||
Atlanta Development Authority: | ||||||||||||
5.000%, 09/01/2023(ETM) | 2,350,000 | 2,670,540 | ||||||||||
5.000%, 09/01/2024(Pre-refunded to 09/01/2023) | 810,000 | 920,484 | ||||||||||
5.000%, 09/01/2032(Pre-refunded to 09/01/2023) | 1,275,000 | 1,448,910 | ||||||||||
Forsyth County Hospital Authority, | ||||||||||||
6.375%, 10/01/2028(ETM) | 8,050,000 | 9,818,182 | ||||||||||
Georgia Housing & Finance Authority, | ||||||||||||
3.500%, 12/01/2046(Callable 12/01/2025) | 1,180,000 | 1,214,869 | ||||||||||
Richmond County Development Authority: | ||||||||||||
0.000%, 12/01/2021(ETM) | 1,835,000 | 1,712,257 | ||||||||||
0.000%, 12/01/2021(ETM) | 4,025,000 | 3,755,768 | ||||||||||
21,541,010 | 1.8 | % | ||||||||||
Illinois | ||||||||||||
Boone & Winnebago Counties Community Unit School District No. 200, | ||||||||||||
0.000%, 01/01/2024(ETM)(Insured by AGM) | 385,000 | 337,703 | ||||||||||
City of Chicago IL, | ||||||||||||
5.000%, 01/01/2034(Pre-refunded to 01/01/2025) | 2,065,000 | 2,388,771 | ||||||||||
Cook County Community High School District No. 233, | ||||||||||||
4.000%, 12/01/2026(Callable 06/01/2022) | 3,695,000 | 3,873,505 | ||||||||||
Cook County Illinois School District No. 159: | ||||||||||||
0.000%, 12/01/2022(ETM) | 2,000,000 | 1,814,400 | ||||||||||
0.000%, 12/01/2028(ETM) | 55,000 | 40,839 | ||||||||||
Cook County Illinois School District No. 163: | ||||||||||||
6.000%, 12/15/2026(Insured by BAM) | 1,165,000 | 1,398,140 | ||||||||||
5.000%, 12/15/2028(Insured by BAM) | 1,305,000 | 1,486,095 | ||||||||||
Cook County School District No. 144, | ||||||||||||
4.500%, 12/01/2025(ETM)(Insured by AGM) | 105,000 | 115,782 | ||||||||||
County of Du Page IL, | ||||||||||||
5.600%, 01/01/2021 | 520,000 | 549,292 | ||||||||||
Illinois Development Finance Authority: | ||||||||||||
0.000%, 07/15/2023(ETM) | 26,630,000 | 23,394,721 | ||||||||||
0.000%, 07/15/2025(ETM) | 44,955,000 | 36,867,146 | ||||||||||
Illinois Finance Authority: | ||||||||||||
6.250%, 05/01/2022(Pre-refunded to 05/01/2020) | 2,550,000 | 2,756,907 | ||||||||||
5.000%, 12/01/2030(Pre-refunded to 12/01/2021) | 6,825,000 | 7,492,007 | ||||||||||
6.625%, 11/01/2039(Pre-refunded to 05/01/2019) | 395,000 | 411,278 | ||||||||||
Illinois Housing Development Authority: | ||||||||||||
3.100%, 02/01/2035(Callable 02/01/2026) | 2,715,000 | 2,556,335 | ||||||||||
3.500%, 08/01/2046(Callable 02/01/2026) | 885,000 | 906,612 | ||||||||||
4.000%, 08/01/2048(Callable 08/01/2027)(Insured by GNMA)(3) | 900,000 | 946,629 | ||||||||||
Kane County Community Unit School District No. 304: | ||||||||||||
9.000%, 01/01/2023(ETM)(Insured by AGM) | 805,000 | 1,039,231 | ||||||||||
9.000%, 01/01/2023(Insured by AGM) | 2,720,000 | 3,484,537 | ||||||||||
Kendall Kane & Will Counties Community Unit School District No. 308, | ||||||||||||
0.000%, 02/01/2021(Insured by AGM) | 13,625,000 | 12,763,491 | ||||||||||
Lake County Community Consolidated School District No. 50: | ||||||||||||
5.000%, 01/01/2021(ETM) | 910,000 | 979,105 | ||||||||||
5.000%, 01/01/2021 | 465,000 | 497,722 | ||||||||||
Madison County Community Unit School District No. 7, | ||||||||||||
4.000%, 12/01/2018(Insured by BAM) | 500,000 | 504,250 | ||||||||||
Metropolitan Pier & Exposition Authority, | ||||||||||||
5.500%, 12/15/2023(ETM) | 2,310,000 | 2,537,997 | ||||||||||
Metropolitan Water Reclamation District of Greater Chicago: | ||||||||||||
5.000%, 12/01/2031(Callable 12/01/2021) | 1,800,000 | 1,936,440 | ||||||||||
5.000%, 12/01/2034(Callable 12/01/2026) | 295,000 | 329,040 | ||||||||||
Public Building Commission of Chicago, | ||||||||||||
7.000%, 01/01/2020(ETM)(Insured by NATL) | 1,555,000 | 1,634,694 | ||||||||||
Regional Transportation Authority: | ||||||||||||
7.750%, 06/01/2020(Insured by NATL) | 385,000 | 414,918 | ||||||||||
6.700%, 11/01/2021(Insured by NATL) | 755,000 | 819,908 | ||||||||||
6.000%, 07/01/2022(Insured by NATL) | 4,705,000 | 5,396,776 | ||||||||||
Southwestern Illinois Development Authority, | ||||||||||||
7.625%, 11/01/2048(Pre-refunded to 11/01/2023) | 6,020,000 | 7,660,089 | ||||||||||
State of Illinois, | ||||||||||||
6.500%, 06/15/2022 | 145,000 | 153,993 | ||||||||||
Village of Oak Park IL, | ||||||||||||
2.000%, 11/01/2019 | 650,000 | 651,268 | ||||||||||
Village of Schaumburg IL, | ||||||||||||
4.000%, 12/01/2024(Callable 12/01/2022) | 5,750,000 | 6,150,258 | ||||||||||
Will County Community High School District No. 210, | ||||||||||||
0.000%, 01/01/2025(ETM)(Insured by AGM) | 25,000 | 20,896 | ||||||||||
Will County Community Unit School District No. 201-U, | ||||||||||||
0.000%, 11/01/2024(ETM)(Insured by NATL) | 705,000 | 599,433 | ||||||||||
134,910,208 | 11.5 | % |
Indiana | ||||||||||||
Carmel Redevelopment Authority, | ||||||||||||
4.000%, 08/01/2033(Callable 08/01/2022) | 1,000,000 | 1,044,350 | ||||||||||
Columbus Multi-High School Building Corp.: | ||||||||||||
5.000%, 01/15/2026(Insured by ST) | 1,125,000 | 1,308,634 | ||||||||||
5.000%, 01/15/2027(Insured by ST) | 1,265,000 | 1,483,314 | ||||||||||
5.000%, 07/15/2028(Insured by ST) | 1,000,000 | 1,191,270 | ||||||||||
5.000%, 01/15/2029(Insured by ST) | 575,000 | 687,378 | ||||||||||
Franklin Community Multi-School Building Corp., | ||||||||||||
5.000%, 07/15/2020(Insured by NATL) | 1,990,000 | 2,114,096 | ||||||||||
Indiana Health & Educational Facilities Financing Authority, | ||||||||||||
1.750%, 11/15/2031(Mandatory Tender Date 11/02/2021)(1) | 2,325,000 | 2,301,890 | ||||||||||
Kankakee Valley Middle School Building Corp.: | ||||||||||||
5.000%, 01/15/2029(Insured by ST) | 475,000 | 557,436 | ||||||||||
5.000%, 07/15/2029(Insured by ST) | 1,180,000 | 1,390,559 | ||||||||||
12,078,927 | 1.0 | % | ||||||||||
Iowa | ||||||||||||
Iowa Finance Authority, | ||||||||||||
4.000%, 07/01/2047(Callable 07/01/2027)(Insured by GNMA) | 850,000 | 900,150 | ||||||||||
Iowa Higher Education Loan Authority: | ||||||||||||
4.500%, 10/01/2033(Pre-refunded to 10/01/2021) | 2,100,000 | 2,266,824 | ||||||||||
5.000%, 10/01/2038(Pre-refunded to 10/01/2021) | 2,090,000 | 2,288,717 | ||||||||||
5,455,691 | 0.5 | % | ||||||||||
Kansas | ||||||||||||
City of Wichita KS: | ||||||||||||
5.000%, 11/15/2020(ETM) | 1,120,000 | 1,201,570 | ||||||||||
5.000%, 11/15/2029(Pre-refunded to 11/15/2021) | 40,000 | 43,928 | ||||||||||
5.000%, 11/15/2034(Pre-refunded to 11/15/2019) | 1,060,000 | 1,107,329 | ||||||||||
2,352,827 | 0.2 | % | ||||||||||
Kentucky | ||||||||||||
Kentucky Infrastructure Authority: | ||||||||||||
5.000%, 02/01/2023(Pre-refunded to 02/01/2022) | 70,000 | 77,496 | ||||||||||
5.000%, 02/01/2025(Pre-refunded to 02/01/2022) | 70,000 | 77,496 | ||||||||||
5.000%, 02/01/2026(Pre-refunded to 02/01/2022) | 75,000 | 83,032 | ||||||||||
238,024 | 0.0 | % | ||||||||||
Louisiana | ||||||||||||
Jefferson Parish Hospital Service District, | ||||||||||||
6.000%, 01/01/2039(Pre-refunded to 01/01/2021) | 1,080,000 | 1,185,440 | ||||||||||
Louisiana Public Facilities Authority: | ||||||||||||
5.500%, 05/15/2027(Pre-refunded to 05/15/2026) | 11,765,000 | 14,074,940 | ||||||||||
5.500%, 05/15/2032(Pre-refunded to 05/15/2026) | 22,180,000 | 26,939,828 | ||||||||||
6.750%, 07/01/2039(Pre-refunded to 07/01/2019) | 6,775,000 | 7,115,783 | ||||||||||
State of Louisiana: | ||||||||||||
5.000%, 11/15/2020(Callable 05/15/2020) | 4,000,000 | 4,234,600 | ||||||||||
5.000%, 05/01/2027(Pre-refunded to 05/01/2022) | 1,390,000 | 1,546,695 | ||||||||||
55,097,286 | 4.7 | % | ||||||||||
Maryland | ||||||||||||
City of Baltimore MD, | ||||||||||||
5.000%, 07/01/2024(ETM) | 1,220,000 | 1,371,463 | ||||||||||
Maryland Health & Higher Educational Facilities Authority, | ||||||||||||
5.000%, 07/01/2027(ETM)(Insured by AMBAC) | 1,780,000 | 2,024,999 | ||||||||||
State of Maryland: | ||||||||||||
5.000%, 03/01/2021(Callable 03/01/2020) | 1,000,000 | 1,054,140 | ||||||||||
4.000%, 06/01/2030(Callable 06/01/2024) | 5,790,000 | 6,214,986 | ||||||||||
10,665,588 | 0.9 | % | ||||||||||
Massachusetts | ||||||||||||
Commonwealth of Massachusetts, | ||||||||||||
4.000%, 12/01/2022(Pre-refunded to 12/01/2019) | 15,000,000 | 15,489,450 | ||||||||||
Massachusetts Clean Water Trust, | ||||||||||||
5.000%, 02/01/2031(Callable 02/01/2026) | 2,125,000 | 2,478,451 | ||||||||||
Massachusetts Department of Transportation, | ||||||||||||
5.000%, 01/01/2020(ETM) | 815,000 | 839,206 | ||||||||||
Massachusetts Development Finance Agency, | ||||||||||||
5.000%, 07/15/2033(Callable 07/15/2026) | 625,000 | 734,100 | ||||||||||
Massachusetts Housing Finance Agency: | ||||||||||||
4.000%, 12/01/2044(Callable 06/01/2025) | 1,675,000 | 1,746,489 | ||||||||||
4.000%, 12/01/2048(Callable 06/01/2027)(Insured by GNMA) | 1,615,000 | 1,702,630 | ||||||||||
Massachusetts Water Resources Authority, | ||||||||||||
6.500%, 07/15/2019(ETM) | 815,000 | 827,029 | ||||||||||
23,817,355 | 2.0 | % | ||||||||||
Michigan | ||||||||||||
Algonac Community Schools: | ||||||||||||
4.000%, 05/01/2028(Callable 05/01/2027)(Insured by Q-SBLF) | 175,000 | 185,273 | ||||||||||
4.000%, 05/01/2029(Callable 05/01/2027)(Insured by Q-SBLF) | 370,000 | 390,261 | ||||||||||
4.000%, 05/01/2030(Callable 05/01/2027)(Insured by Q-SBLF) | 470,000 | 494,266 | ||||||||||
Brighton Area School District, | ||||||||||||
5.000%, 05/01/2021(Insured by Q-SBLF) | 500,000 | 540,450 | ||||||||||
Ecorse Public School District, | ||||||||||||
5.000%, 05/01/2027(Insured by Q-SBLF) | 515,000 | 600,423 | ||||||||||
Fraser Public School District: | ||||||||||||
5.000%, 05/01/2024(Insured by Q-SBLF) | 1,000,000 | 1,141,170 | ||||||||||
5.000%, 05/01/2026(Callable 05/01/2025)(Insured by Q-SBLF) | 1,140,000 | 1,313,200 | ||||||||||
Michigan Finance Authority, | ||||||||||||
5.000%, 06/01/2027(Pre-refunded to 06/01/2022) | 1,315,000 | 1,455,363 | ||||||||||
Michigan State Housing Development Authority, | ||||||||||||
4.000%, 06/01/2046(Callable 12/01/2025) | 3,430,000 | 3,584,282 | ||||||||||
Pinckney Community Schools: | ||||||||||||
5.000%, 05/01/2022(Insured by Q-SBLF) | 1,935,000 | 2,137,285 | ||||||||||
5.000%, 05/01/2023(Insured by Q-SBLF) | 2,200,000 | 2,475,242 | ||||||||||
State of Michigan, | ||||||||||||
0.000%, 06/01/2022(ETM)(Insured by AMBAC) | 2,000,000 | 1,840,240 | ||||||||||
Warren Consolidated Schools: | ||||||||||||
5.000%, 05/01/2033(Callable 05/01/2026)(Insured by Q-SBLF) | 2,595,000 | 2,908,424 | ||||||||||
5.000%, 05/01/2035(Callable 05/01/2026)(Insured by Q-SBLF) | 925,000 | 1,027,943 | ||||||||||
20,093,822 | 1.7 | % | ||||||||||
Minnesota | ||||||||||||
Housing & Redevelopment Authority of The City of St Paul Minnesota, | ||||||||||||
2.200%, 09/01/2021(Callable 03/01/2020)(Mandatory Tender Date 09/01/2020)(1) | 1,140,000 | 1,143,876 | ||||||||||
Minneapolis-Saint Paul Metropolitan Airports Commission, | ||||||||||||
5.000%, 01/01/2032(Callable 01/01/2027) | 505,000 | 589,719 | ||||||||||
Minnesota Housing Finance Agency: | ||||||||||||
4.250%, 07/01/2028(Callable 01/01/2020)(Insured by GNMA) | 145,000 | 147,484 | ||||||||||
4.500%, 07/01/2034(Callable 07/01/2021)(Insured by GNMA) | 450,000 | 466,619 | ||||||||||
4.000%, 07/01/2047(Callable 01/01/2027)(Insured by GNMA) | 540,000 | 565,142 | ||||||||||
University of Minnesota, | ||||||||||||
5.500%, 07/01/2021(ETM) | 11,260,000 | 12,057,208 | ||||||||||
14,970,048 | 1.3 | % | ||||||||||
Mississippi | ||||||||||||
Mississippi Development Bank, | ||||||||||||
5.000%, 03/01/2029(Callable 03/01/2027) | 825,000 | 949,319 | ||||||||||
Oxford School District, | ||||||||||||
4.000%, 05/01/2027 | 500,000 | 545,805 | ||||||||||
State of Mississippi, | ||||||||||||
5.000%, 10/01/2028(Callable 10/01/2027) | 1,000,000 | 1,188,810 | ||||||||||
2,683,934 | 0.2 | % | ||||||||||
Missouri | ||||||||||||
Hazelwood School District, | ||||||||||||
4.000%, 03/01/2028(Callable 03/01/2026)(Insured by ST) | 2,800,000 | 3,078,796 | ||||||||||
Missouri Housing Development Commission: | ||||||||||||
3.950%, 11/01/2040(Callable 05/01/2025)(Insured by GNMA) | 2,625,000 | 2,692,226 | ||||||||||
4.000%, 05/01/2042(Callable 11/01/2026)(Insured by GNMA) | 1,335,000 | 1,407,371 | ||||||||||
St. Charles County School District No. R-IV, | ||||||||||||
4.000%, 03/01/2029(Callable 03/01/2026)(Insured by ST) | 600,000 | 651,474 | ||||||||||
Webster Groves School District: | ||||||||||||
4.000%, 03/01/2028(Callable 03/01/2026) | 910,000 | 994,648 | ||||||||||
4.000%, 03/01/2029(Callable 03/01/2026) | 1,370,000 | 1,492,478 | ||||||||||
10,316,993 | 0.9 | % | ||||||||||
Montana | ||||||||||||
Flathead County School District No. 44, | ||||||||||||
4.000%, 07/01/2036(Callable 07/01/2028) | 210,000 | 222,428 | ||||||||||
Montana Facility Finance Authority: | ||||||||||||
5.000%, 07/01/2028(Callable 07/01/2027) | 430,000 | 514,198 | ||||||||||
5.000%, 07/01/2029(Callable 07/01/2027) | 535,000 | 634,087 | ||||||||||
1,370,713 | 0.1 | % | ||||||||||
Nebraska | ||||||||||||
Village of Boys Town NE, | ||||||||||||
3.000%, 09/01/2028 | 4,500,000 | 4,527,405 | 0.4 | % | ||||||||
Nevada | ||||||||||||
County of Clark NV, | ||||||||||||
5.000%, 07/01/2033(Callable 07/01/2024) | 1,925,000 | 2,153,825 | 0.2 | % | ||||||||
New Hampshire | ||||||||||||
New Hampshire Health and Education Facilities Authority Act, | ||||||||||||
1.500%, 05/01/2026(Callable 06/29/2018)(Optional Put Date 07/06/2018)(1) | 250,000 | 250,000 | ||||||||||
New Hampshire Housing Finance Authority, | ||||||||||||
5.250%, 07/01/2028(Callable 01/01/2021) | 1,030,000 | 1,070,963 | ||||||||||
State of New Hampshire, | ||||||||||||
5.000%, 07/01/2021(Callable 07/01/2020) | 1,000,000 | 1,064,040 | ||||||||||
2,385,003 | 0.2 | % | ||||||||||
New Jersey | ||||||||||||
New Jersey Building Authority, | ||||||||||||
5.000%, 06/15/2024(ETM) | 1,410,000 | 1,623,939 | ||||||||||
New Jersey Economic Development Authority, | ||||||||||||
0.000%, 07/01/2025(ETM)(Insured by NATL) | 100,000 | 82,667 | ||||||||||
New Jersey Health Care Facilities Financing Authority, | ||||||||||||
0.000%, 07/01/2023(ETM)(Insured by NATL) | 180,000 | 160,254 | ||||||||||
New Jersey Housing & Mortgage Finance Agency, | ||||||||||||
4.500%, 10/01/2048(Callable 10/01/2027) | 1,680,000 | 1,799,566 | ||||||||||
New Jersey Transportation Trust Fund Authority, | ||||||||||||
5.250%, 12/15/2020 | 5,000,000 | 5,317,350 | ||||||||||
New Jersey Turnpike Authority, | ||||||||||||
5.500%, 01/01/2025(Insured by BHAC) | 2,100,000 | 2,489,319 | ||||||||||
11,473,095 | 1.0 | % | ||||||||||
New Mexico | ||||||||||||
New Mexico Finance Authority, | ||||||||||||
4.000%, 06/01/2029(Callable 06/01/2026) | 2,615,000 | 2,840,125 | ||||||||||
New Mexico Mortgage Financial Authority: | ||||||||||||
4.625%, 09/01/2025(Callable 03/01/2020)(Insured by GNMA) | 560,000 | 573,418 | ||||||||||
4.500%, 09/01/2028(Callable 03/01/2020)(Insured by GNMA) | 210,000 | 213,925 | ||||||||||
3.550%, 09/01/2037(Callable 03/01/2027)(Insured by GNMA) | 1,175,000 | 1,170,100 | ||||||||||
4,797,568 | 0.4 | % | ||||||||||
New York | ||||||||||||
City of New York NY: | ||||||||||||
5.250%, 08/15/2021(Callable 08/15/2018) | 1,125,000 | 1,129,916 | ||||||||||
5.000%, 08/01/2022 | 5,000,000 | 5,588,650 | ||||||||||
Metropolitan Transportation Authority: | ||||||||||||
6.000%, 04/01/2020(ETM)(Insured by NATL) | 7,225,000 | 7,580,109 | ||||||||||
5.000%, 11/15/2028(Pre-refunded to 11/15/2023) | 210,000 | 242,134 | ||||||||||
5.000%, 11/15/2031(Pre-refunded to 05/15/2023) | 1,000,000 | 1,140,930 | ||||||||||
New York City Transitional Finance Authority Future Tax Secured Revenue: | ||||||||||||
5.000%, 08/01/2029(Callable 08/01/2026) | 500,000 | 582,950 | ||||||||||
5.000%, 08/01/2033(Callable 08/01/2026) | 2,835,000 | 3,260,930 | ||||||||||
New York City Water & Sewer System, | ||||||||||||
5.000%, 06/15/2032(Callable 12/15/2025) | 6,500,000 | 7,488,520 | ||||||||||
New York State Dormitory Authority: | ||||||||||||
5.000%, 12/15/2023(Callable 12/15/2022) | 6,685,000 | 7,540,814 | ||||||||||
5.000%, 02/15/2030(Callable 08/15/2026) | 700,000 | 816,074 | ||||||||||
5.000%, 03/15/2030(Callable 03/15/2024) | 6,665,000 | 7,556,177 | ||||||||||
5.000%, 03/15/2033(Callable 03/15/2025) | 5,000,000 | 5,674,100 | ||||||||||
New York State Thruway Authority, | ||||||||||||
5.000%, 03/15/2022(Pre-refunded to 03/15/2019) | 4,040,000 | 4,141,162 | ||||||||||
New York State Urban Development Corp.: | ||||||||||||
5.000%, 03/15/2022 | 2,015,000 | 2,237,879 | ||||||||||
5.000%, 03/15/2032(Callable 03/15/2024) | 6,000,000 | 6,802,260 | ||||||||||
61,782,605 | 5.3 | % | ||||||||||
North Carolina | ||||||||||||
North Carolina Eastern Municipal Power Agency: | ||||||||||||
5.000%, 01/01/2021(Callable 07/30/2018)(ETM) | 10,355,000 | 10,956,832 | ||||||||||
6.400%, 01/01/2021(ETM) | 2,592,000 | 2,757,966 | ||||||||||
4.500%, 01/01/2024(Pre-refunded to 01/01/2022) | 12,170,000 | 12,980,644 | ||||||||||
North Carolina Medical Care Commission, | ||||||||||||
5.750%, 01/01/2035(Pre-refunded to 01/01/2021) | 525,000 | 574,418 | ||||||||||
State of North Carolina, | ||||||||||||
5.000%, 05/01/2024(Callable 05/01/2023) | 1,000,000 | 1,131,960 | ||||||||||
28,401,820 | 2.4 | % | ||||||||||
North Dakota | ||||||||||||
County of Burleigh ND: | ||||||||||||
5.000%, 07/01/2025(Pre-refunded to 07/01/2021) | 1,500,000 | 1,631,070 | ||||||||||
5.000%, 07/01/2029(Pre-refunded to 07/01/2021) | 470,000 | 511,069 | ||||||||||
North Dakota Housing Finance Agency: | ||||||||||||
3.450%, 07/01/2037(Callable 07/01/2026)(Insured by FHA) | 3,050,000 | 3,024,776 | ||||||||||
3.500%, 07/01/2046(Callable 01/01/2026) | 1,550,000 | 1,598,980 | ||||||||||
6,765,895 | 0.6 | % | ||||||||||
Ohio | ||||||||||||
Akron Bath Copley Joint Township Hospital District, | ||||||||||||
3.800%, 01/01/2027(Pre-refunded to 01/01/2022) | 920,000 | 954,243 | ||||||||||
City of Bowling Green OH, | ||||||||||||
5.750%, 06/01/2031(Pre-refunded to 06/01/2020) | 750,000 | 806,423 | ||||||||||
Cleveland Municipal School District, | ||||||||||||
5.000%, 12/01/2020(Insured by SD CRED PROG) | 2,015,000 | 2,166,931 | ||||||||||
County of Lorain OH, | ||||||||||||
2.000%, 11/07/2018 | 1,000,000 | 1,001,050 | ||||||||||
County of Montgomery OH, | ||||||||||||
5.250%, 05/01/2029(Pre-refunded to 11/12/2023) | 1,045,000 | 1,200,203 | ||||||||||
Lucas-Plaza Housing Development Corp., | ||||||||||||
0.000%, 06/01/2024(ETM)(Insured by FHA) | 1,200,000 | 1,029,468 | ||||||||||
Ohio Housing Finance Agency: | ||||||||||||
5.000%, 11/01/2028(Callable 05/01/2020)(Insured by GNMA) | 400,000 | 409,324 | ||||||||||
3.500%, 09/01/2046(Callable 09/01/2025)(Insured by GNMA) | 1,555,000 | 1,605,382 | ||||||||||
4.000%, 03/01/2047(Callable 09/01/2025)(Insured by GNMA) | 6,055,000 | 6,330,139 | ||||||||||
State of Ohio: | ||||||||||||
5.000%, 06/15/2021 | 6,740,000 | 7,340,669 | ||||||||||
5.000%, 04/01/2027(Pre-refunded to 04/01/2022) | 710,000 | 786,992 | ||||||||||
University of Akron/The, | ||||||||||||
5.000%, 01/01/2033(Callable 07/01/2026) | 335,000 | 378,245 | ||||||||||
24,009,069 | 2.0 | % | ||||||||||
Oklahoma | ||||||||||||
Oklahoma Housing Finance Agency, | ||||||||||||
1.900%, 03/01/2021(Mandatory Tender Date 03/01/2020)(1) | 885,000 | 883,841 | 0.1 | % | ||||||||
Oregon | ||||||||||||
State of Oregon: | ||||||||||||
4.000%, 12/01/2045(Callable 06/01/2025) | 3,825,000 | 4,004,431 | ||||||||||
4.000%, 12/01/2048(Callable 12/01/2026) | 3,250,000 | 3,435,055 | ||||||||||
State of Oregon Housing & Community Services Department, | ||||||||||||
4.000%, 01/01/2047(Callable 07/01/2025) | 1,735,000 | 1,815,920 | ||||||||||
Washington County School District No. 1: | ||||||||||||
5.000%, 06/15/2034(Callable 06/15/2027)(Insured by SCH BD GTY) | 1,000,000 | 1,165,340 | ||||||||||
5.000%, 06/15/2035(Callable 06/15/2027)(Insured by SCH BD GTY) | 600,000 | 697,662 | ||||||||||
11,118,408 | 0.9 | % | ||||||||||
Pennsylvania | ||||||||||||
Commonwealth Financing Authority, | ||||||||||||
4.000%, 06/01/2039(Callable 06/01/2028)(Insured by AGM) | 1,500,000 | 1,527,030 | ||||||||||
Erie Sewer Authority, | ||||||||||||
5.125%, 06/01/2020(ETM)(Insured by AMBAC) | 930,000 | 968,707 | ||||||||||
Latrobe Municipal Authority: | ||||||||||||
1.250%, 04/01/2019(Insured by BAM) | 120,000 | 119,626 | ||||||||||
3.000%, 04/01/2020(Insured by BAM) | 325,000 | 332,228 | ||||||||||
Pennsylvania Higher Educational Facilities Authority, | ||||||||||||
5.750%, 08/15/2041(Pre-refunded to 08/15/2021) | 500,000 | 558,940 | ||||||||||
Pennsylvania Housing Finance Agency: | ||||||||||||
3.500%, 10/01/2046(Callable 10/01/2025) | 1,695,000 | 1,741,273 | ||||||||||
3.700%, 10/01/2047(Callable 04/01/2027) | 4,000,000 | 4,005,760 | ||||||||||
Pennsylvania Turnpike Commission, | ||||||||||||
6.000%, 12/01/2030(Callable 12/01/2027)(Insured by AGM) | 1,360,000 | 1,693,594 | ||||||||||
Philadelphia Gas Works Co., | ||||||||||||
7.000%, 05/15/2020(ETM)(Insured by NATL) | 805,000 | 858,935 | ||||||||||
Philadelphia Hospitals & Higher Education Facilities Authority: | ||||||||||||
5.000%, 05/15/2020(ETM) | 1,575,000 | 1,667,972 | ||||||||||
5.250%, 05/15/2023(Pre-refunded to 05/15/2020) | 2,790,000 | 2,967,444 | ||||||||||
South Fork Municipal Authority: | ||||||||||||
5.500%, 07/01/2029(Pre-refunded to 07/01/2020) | 2,450,000 | 2,625,297 | ||||||||||
5.375%, 07/01/2035(Pre-refunded to 07/01/2020)(Insured by AGC) | 1,290,000 | 1,377,849 | ||||||||||
Westmoreland County Municipal Authority, | ||||||||||||
5.000%, 08/15/2027(Insured by BAM) | 1,505,000 | 1,763,123 | ||||||||||
22,207,778 | 1.9 | % | ||||||||||
Puerto Rico | ||||||||||||
Puerto Rico Highways & Transportation Authority, | ||||||||||||
5.250%, 07/01/2022(ETM)(Insured by AGM) | 1,150,000 | 1,282,951 | ||||||||||
Puerto Rico Public Finance Corp.: | ||||||||||||
5.125%, 06/01/2024(Insured by AMBAC) | 5,490,000 | 6,042,788 | ||||||||||
6.000%, 08/01/2026(ETM) | 1,800,000 | 2,219,652 | ||||||||||
6.000%, 08/01/2026(ETM)(Insured by AGC) | 950,000 | 1,171,483 | ||||||||||
6.000%, 08/01/2026(ETM)(Insured by AGC) | 1,155,000 | 1,424,277 | ||||||||||
6.000%, 08/01/2026(ETM)(Insured by AGC) | 1,585,000 | 1,954,527 | ||||||||||
5.500%, 08/01/2027(ETM)(Insured by AMBAC) | 6,500,000 | 7,903,870 | ||||||||||
21,999,548 | 1.9 | % | ||||||||||
Rhode Island | ||||||||||||
State of Rhode Island, | ||||||||||||
5.000%, 08/01/2024 | 5,000,000 | 5,764,650 | 0.5 | % |
South Carolina | ||||||||||||
Charleston Educational Excellence Finance Corp., | ||||||||||||
5.000%, 12/01/2026(Callable 12/01/2023) | 4,580,000 | 5,195,735 | ||||||||||
City of Columbia SC Waterworks & Sewer System Revenue, | ||||||||||||
5.000%, 02/01/2029(Callable 02/01/2028) | 120,000 | 144,163 | ||||||||||
Piedmont Municipal Power Agency: | ||||||||||||
6.750%, 01/01/2020(ETM) | 6,450,000 | 6,926,655 | ||||||||||
5.375%, 01/01/2025(ETM)(Insured by NATL) | 5,645,000 | 6,600,981 | ||||||||||
South Carolina Educational Facilities Authority, | ||||||||||||
1.570%, 10/01/2039(Optional Put Date 06/29/2018)(1) | 600,000 | 600,000 | ||||||||||
South Carolina Jobs-Economic Development Authority, | ||||||||||||
6.500%, 04/01/2042(Pre-refunded to 04/01/2020) | 115,000 | 124,320 | ||||||||||
19,591,854 | 1.7 | % | ||||||||||
South Dakota | ||||||||||||
Harrisburg School District No. 41-2, | ||||||||||||
2.375%, 08/01/2026(Insured by ST) | 415,000 | 411,223 | ||||||||||
Sioux Falls School District No. 49-5, | ||||||||||||
1.375%, 08/01/2021(Insured by ST) | 150,000 | 146,417 | ||||||||||
South Dakota Housing Development Authority, | ||||||||||||
3.375%, 05/01/2033(Callable 05/01/2022) | 340,000 | 342,972 | ||||||||||
900,612 | 0.1 | % | ||||||||||
Tennessee | ||||||||||||
Metropolitan Government Nashville & Davidson County Health & Educational Facs Bd: | ||||||||||||
0.000%, 06/01/2021(ETM) | 1,315,000 | 1,240,979 | ||||||||||
4.875%, 11/01/2028(ETM)(Insured by NATL) | 1,025,000 | 1,158,701 | ||||||||||
Shelby County Health Educational & Housing Facilities Board, | ||||||||||||
5.500%, 08/15/2019(ETM)(Insured by NATL) | 1,630,000 | 1,665,632 | ||||||||||
Tennessee Housing Development Agency: | ||||||||||||
4.500%, 07/01/2028(Callable 01/01/2020) | 730,000 | 735,833 | ||||||||||
3.900%, 07/01/2042(Callable 07/01/2027) | 400,000 | 405,156 | ||||||||||
4.000%, 01/01/2043(Callable 07/01/2027) | 1,325,000 | 1,399,001 | ||||||||||
3.650%, 07/01/2047(Callable 01/01/2027) | 1,155,000 | 1,148,855 | ||||||||||
7,754,157 | 0.7 | % | ||||||||||
Texas | ||||||||||||
Amarillo Independent School District, | ||||||||||||
5.000%, 02/01/2026(Callable 02/01/2024)(PSF Guaranteed) | 1,370,000 | 1,572,623 | ||||||||||
Anna Independent School District, | ||||||||||||
5.000%, 08/15/2035(Callable 08/15/2026)(PSF Guaranteed) | 910,000 | 1,043,752 | ||||||||||
Arlington Higher Education Finance Corp.: | ||||||||||||
4.000%, 08/15/2024(PSF Guaranteed) | 1,025,000 | 1,118,982 | ||||||||||
5.000%, 08/15/2024(PSF Guaranteed) | 1,010,000 | 1,159,773 | ||||||||||
5.000%, 08/15/2026(PSF Guaranteed) | 500,000 | 583,305 | ||||||||||
4.000%, 08/15/2027(Callable 08/15/2026)(PSF Guaranteed) | 865,000 | 942,504 | ||||||||||
5.000%, 02/15/2028(Callable 02/15/2025)(PSF Guaranteed) | 1,675,000 | 1,913,503 | ||||||||||
4.000%, 08/15/2028(Callable 08/15/2026)(PSF Guaranteed) | 850,000 | 923,576 | ||||||||||
5.000%, 08/15/2033(Callable 08/15/2024)(PSF Guaranteed) | 1,460,000 | 1,632,412 | ||||||||||
Austin Community College District Public Facility Corp., | ||||||||||||
5.000%, 08/01/2033(Callable 08/01/2025) | 700,000 | 792,953 | ||||||||||
Burleson Independent School District, | ||||||||||||
5.000%, 08/01/2025(PSF Guaranteed) | 1,240,000 | 1,446,051 | ||||||||||
City of Austin TX, | ||||||||||||
5.000%, 11/15/2024(Callable 11/15/2022) | 3,000,000 | 3,353,130 | ||||||||||
City of El Paso TX, | ||||||||||||
4.000%, 03/01/2028(Callable 03/01/2026) | 1,000,000 | 1,081,480 | ||||||||||
City of Houston TX: | ||||||||||||
0.000%, 12/01/2019(ETM)(Insured by AGM) | 13,355,000 | 13,012,444 | ||||||||||
5.500%, 12/01/2024(ETM)(Insured by NATL) | 1,835,000 | 2,139,115 | ||||||||||
5.500%, 12/01/2029(ETM)(Insured by NATL) | 16,050,000 | 19,469,934 | ||||||||||
5.750%, 12/01/2032(ETM)(Insured by AGM) | 6,715,000 | 9,060,079 | ||||||||||
City of San Antonio TX, | ||||||||||||
5.650%, 02/01/2019(ETM) | 4,770,000 | 4,885,052 | ||||||||||
Conroe Independent School District: | ||||||||||||
5.000%, 02/15/2023(Pre-refunded to 02/15/2021)(PSF Guaranteed) | 1,745,000 | 1,887,532 | ||||||||||
5.000%, 02/15/2023(Callable 02/15/2021)(PSF Guaranteed) | 935,000 | 1,010,875 | ||||||||||
County of Bexar TX: | ||||||||||||
4.000%, 06/15/2030(Callable 06/15/2026) | 150,000 | 160,977 | ||||||||||
5.000%, 06/15/2036(Callable 06/15/2026) | 2,120,000 | 2,414,680 | ||||||||||
County of Harris TX: | ||||||||||||
5.750%, 10/01/2020(Pre-refunded to 10/01/2018) | 175,000 | 176,846 | ||||||||||
5.000%, 10/01/2026(Callable 10/01/2025) | 4,170,000 | 4,883,862 | ||||||||||
5.750%, 10/01/2028(Pre-refunded to 10/01/2018) | 6,930,000 | 7,003,112 | ||||||||||
County of Montgomery TX, | ||||||||||||
5.000%, 03/01/2027(Pre-refunded to 03/01/2022) | 665,000 | 737,312 | ||||||||||
Crowley Independent School District, | ||||||||||||
5.000%, 08/01/2036(Callable 08/01/2025)(PSF Guaranteed) | 2,000,000 | 2,271,060 | ||||||||||
Dallas Independent School District, | ||||||||||||
5.000%, 02/15/2020(PSF Guaranteed) | 2,410,000 | 2,537,826 | ||||||||||
Decatur Hospital Authority, | ||||||||||||
5.750%, 09/01/2029(ETM) | 565,000 | 675,802 | ||||||||||
DeSoto Independent School District, | ||||||||||||
5.000%, 08/15/2032(Callable 08/15/2025)(Insured by BAM) | 1,080,000 | 1,218,197 | ||||||||||
Ennis Independent School District, | ||||||||||||
5.000%, 08/15/2025(PSF Guaranteed) | 1,145,000 | 1,340,291 | ||||||||||
Fort Bend Independent School District, | ||||||||||||
5.000%, 08/15/2024(PSF Guaranteed) | 1,655,000 | 1,913,676 | ||||||||||
Godley Independent School District, | ||||||||||||
5.000%, 02/15/2023(PSF Guaranteed) | 1,445,000 | 1,625,712 | ||||||||||
Goose Creek Consolidated Independent School District, | ||||||||||||
5.000%, 02/15/2021(PSF Guaranteed) | 1,050,000 | 1,133,527 | ||||||||||
Harlingen Consolidated Independent School District: | ||||||||||||
5.000%, 08/15/2024(PSF Guaranteed) | 2,810,000 | 3,247,461 | ||||||||||
5.000%, 08/15/2025(PSF Guaranteed) | 1,445,000 | 1,687,341 | ||||||||||
Harris County Cultural Education Facilities Finance Corp., | ||||||||||||
7.000%, 01/01/2048(Pre-refunded to 01/01/2023) | 3,800,000 | 4,587,360 | ||||||||||
Harris County Health Facilities Development Corp.: | ||||||||||||
5.500%, 10/01/2019(ETM) | 2,995,000 | 3,071,792 | ||||||||||
5.750%, 07/01/2027(ETM) | 5,000,000 | 6,034,800 | ||||||||||
Harris County Toll Road Authority, | ||||||||||||
5.000%, 08/15/2028(Callable 02/15/2028) | 665,000 | 791,283 | ||||||||||
Houston Higher Education Finance Corp.: | ||||||||||||
5.000%, 02/15/2020(PSF Guaranteed) | 1,000,000 | 1,049,100 | ||||||||||
5.000%, 02/15/2026(Callable 02/15/2024)(PSF Guaranteed) | 1,030,000 | 1,157,802 | ||||||||||
5.000%, 02/15/2034(Callable 02/15/2024)(PSF Guaranteed) | 1,795,000 | 1,968,541 | ||||||||||
Humble Independent School District, | ||||||||||||
5.000%, 02/15/2021(PSF Guaranteed) | 1,500,000 | 1,620,120 | ||||||||||
Irving Independent School District, | ||||||||||||
5.000%, 02/15/2025(Callable 08/15/2024)(PSF Guaranteed) | 1,250,000 | 1,443,837 | ||||||||||
Keller Independent School District: | ||||||||||||
5.000%, 02/15/2022(PSF Guaranteed) | 1,370,000 | 1,515,206 | ||||||||||
5.000%, 02/15/2023(PSF Guaranteed) | 3,355,000 | 3,788,768 | ||||||||||
Killeen Independent School District, | ||||||||||||
4.000%, 02/15/2024(Callable 02/15/2021)(PSF Guaranteed) | 1,145,000 | 1,202,777 | ||||||||||
La Porte Independent School District, | ||||||||||||
5.000%, 02/15/2025(PSF Guaranteed) | 1,080,000 | 1,253,686 | ||||||||||
Lamar Consolidated Independent School District, | ||||||||||||
5.000%, 02/15/2026(Callable 02/15/2025)(PSF Guaranteed) | 5,860,000 | 6,786,876 | ||||||||||
Leander Independent School District: | ||||||||||||
0.000%, 08/15/2037(Pre-refunded to 08/15/2024)(PSF Guaranteed) | 345,000 | 159,973 | ||||||||||
0.000%, 08/15/2041(Pre-refunded to 08/15/2024)(PSF Guaranteed) | 8,915,000 | 3,122,568 | ||||||||||
0.000%, 08/15/2042(Pre-refunded to 08/15/2024)(PSF Guaranteed) | 1,500,000 | 496,680 | ||||||||||
0.000%, 08/15/2047(Pre-refunded to 08/15/2024)(PSF Guaranteed) | 500,000 | 122,615 | ||||||||||
0.000%, 08/15/2048(Pre-refunded to 08/15/2024)(PSF Guaranteed) | 625,000 | 144,131 | ||||||||||
Llano Independent School District, | ||||||||||||
5.000%, 02/15/2024(Callable 02/15/2023)(PSF Guaranteed) | 1,265,000 | 1,429,741 | ||||||||||
Lower Colorado River Authority, | ||||||||||||
4.750%, 01/01/2028(ETM)(Insured by AGM) | 1,200,000 | 1,346,460 | ||||||||||
Lubbock Housing Finance Corp., | ||||||||||||
8.000%, 10/01/2021(ETM) | 1,980,000 | 2,356,992 | ||||||||||
Lubbock Independent School District, | ||||||||||||
4.000%, 02/15/2022(Callable 02/15/2020)(PSF Guaranteed) | 1,000,000 | 1,036,020 | ||||||||||
Mansfield Independent School District: | ||||||||||||
5.000%, 02/15/2023(PSF Guaranteed) | 1,725,000 | 1,943,161 | ||||||||||
5.000%, 02/15/2024(PSF Guaranteed) | 1,905,000 | 2,180,996 | ||||||||||
Melissa Independent School District, | ||||||||||||
5.000%, 08/01/2036(Callable 08/01/2026)(PSF Guaranteed) | 1,020,000 | 1,171,664 | ||||||||||
Mesquite Independent School District: | ||||||||||||
5.000%, 08/15/2024(PSF Guaranteed) | 1,425,000 | 1,646,844 | ||||||||||
5.000%, 08/15/2025(PSF Guaranteed) | 2,615,000 | 3,059,158 | ||||||||||
5.000%, 08/15/2025(PSF Guaranteed) | 1,500,000 | 1,754,775 | ||||||||||
Montgomery County Health Facilities Development Corp., | ||||||||||||
0.000%, 07/15/2023(ETM) | 200,000 | 178,344 | ||||||||||
New Caney Independent School District: | ||||||||||||
5.000%, 02/15/2023(PSF Guaranteed) | 1,000,000 | 1,126,940 | ||||||||||
5.000%, 02/15/2024(PSF Guaranteed) | 1,030,000 | 1,179,814 | ||||||||||
Newark Higher Education Finance Corp.: | ||||||||||||
4.000%, 08/15/2020(PSF Guaranteed) | 355,000 | 370,315 | ||||||||||
4.000%, 08/15/2022(PSF Guaranteed) | 215,000 | 229,972 | ||||||||||
5.000%, 08/15/2024(PSF Guaranteed) | 135,000 | 154,359 | ||||||||||
North East Independent School District: | ||||||||||||
5.000%, 08/01/2021(PSF Guaranteed) | 6,095,000 | 6,657,142 | ||||||||||
5.000%, 02/01/2024(PSF Guaranteed) | 2,930,000 | 3,358,366 | ||||||||||
North Texas Tollway Authority: | ||||||||||||
0.000%, 09/01/2037(Pre-refunded to 09/01/2031) | 2,130,000 | 916,752 | ||||||||||
0.000%, 09/01/2043(Pre-refunded to 09/01/2031) | 4,425,000 | 1,213,822 | ||||||||||
0.000%, 09/01/2043(Pre-refunded to 09/01/2031) | 2,085,000 | 2,280,177 | ||||||||||
0.000%, 09/01/2045(Pre-refunded to 09/01/2031) | 755,000 | 903,493 | ||||||||||
Northside Independent School District, | ||||||||||||
5.000%, 08/15/2025(PSF Guaranteed) | 1,000,000 | 1,169,140 | ||||||||||
Northwest Independent School District, | ||||||||||||
4.000%, 02/15/2027(Callable 02/15/2023)(PSF Guaranteed) | 1,265,000 | 1,348,933 | ||||||||||
Pasadena Independent School District, | ||||||||||||
5.000%, 02/15/2022(Callable 02/15/2021)(PSF Guaranteed) | 1,115,000 | 1,202,806 | ||||||||||
Pflugerville Independent School District, | ||||||||||||
5.000%, 02/15/2025(Callable 02/15/2024)(PSF Guaranteed) | 1,020,000 | 1,164,310 | ||||||||||
Port Arthur Independent School District, | ||||||||||||
5.000%, 02/15/2024(PSF Guaranteed) | 1,700,000 | 1,949,203 | ||||||||||
Prosper Independent School District, | ||||||||||||
5.000%, 02/15/2031(Callable 02/15/2028)(PSF Guaranteed) | 1,020,000 | 1,209,904 | ||||||||||
Retama Development Corp., | ||||||||||||
8.750%, 12/15/2018(ETM) | 2,035,000 | 2,100,425 | ||||||||||
San Angelo Independent School District, | ||||||||||||
5.000%, 02/15/2029(Callable 02/15/2024)(PSF Guaranteed) | 1,500,000 | 1,698,690 | ||||||||||
San Antonio Water System, | ||||||||||||
2.000%, 05/01/2044(Mandatory Tender Date 11/01/2022)(1) | 1,950,000 | 1,927,595 | ||||||||||
San Jacinto College District, | ||||||||||||
5.000%, 02/15/2026(Pre-refunded to 02/15/2021) | 700,000 | 755,307 | ||||||||||
Sherman Independent School District, | ||||||||||||
5.000%, 02/15/2026(Callable 02/15/2024)(PSF Guaranteed) | 1,775,000 | 2,036,191 | ||||||||||
Socorro Independent School District, | ||||||||||||
4.000%, 08/15/2033(Callable 02/15/2027)(PSF Guaranteed) | 900,000 | 967,869 | ||||||||||
Spring Independent School District, | ||||||||||||
5.000%, 08/15/2019(Pre-refunded to 08/15/2018)(PSF Guaranteed) | 1,020,000 | 1,024,315 | ||||||||||
Tarrant County Health Facilities Development Corp., | ||||||||||||
6.000%, 09/01/2024(ETM) | 6,065,000 | 6,785,158 | ||||||||||
Temple Independent School District, | ||||||||||||
4.000%, 02/01/2022(Callable 02/01/2021)(PSF Guaranteed) | 1,120,000 | 1,175,709 | ||||||||||
Texas State Public Finance Authority, | ||||||||||||
6.200%, 02/15/2040(Pre-refunded to 02/15/2020) | 395,000 | 422,038 | ||||||||||
Tomball Independent School District, | ||||||||||||
5.000%, 02/15/2025(PSF Guaranteed) | 5,440,000 | 6,304,035 | ||||||||||
Town of Flower Mound TX, | ||||||||||||
5.000%, 03/01/2031(Callable 03/01/2024) | 505,000 | 574,958 | ||||||||||
Tyler Health Facilities Development Corp., | ||||||||||||
5.500%, 07/01/2027(Pre-refunded to 07/01/2021) | 600,000 | 659,274 | ||||||||||
The University of Texas System, | ||||||||||||
5.000%, 08/15/2022 | 8,595,000 | 9,627,002 | ||||||||||
Wichita Falls Independent School District, | ||||||||||||
5.000%, 02/01/2024(PSF Guaranteed) | 1,670,000 | 1,912,267 | ||||||||||
Wylie Independent School District, | ||||||||||||
6.750%, 08/15/2023(PSF Guaranteed) | 1,010,000 | 1,233,937 | ||||||||||
Ysleta Independent School District: | ||||||||||||
5.000%, 08/15/2023(Callable 08/15/2021)(PSF Guaranteed) | 1,020,000 | 1,114,258 | ||||||||||
5.000%, 08/15/2025(Callable 08/15/2024)(PSF Guaranteed) | 1,545,000 | 1,789,357 | ||||||||||
229,022,660 | 19.6 | % | ||||||||||
Utah | ||||||||||||
Granite School District Board of Education: | ||||||||||||
5.000%, 06/01/2022(Pre-refunded to 06/01/2021)(Insured by SCH BD GTY) | 3,900,000 | 4,248,855 | ||||||||||
5.000%, 06/01/2023(Pre-refunded to 06/01/2021)(Insured by SCH BD GTY) | 1,750,000 | 1,906,537 | ||||||||||
Timpanogos Special Service District: | ||||||||||||
4.000%, 06/01/2025(Callable 06/01/2024) | 100,000 | 108,022 | ||||||||||
4.000%, 06/01/2027(Callable 06/01/2024) | 375,000 | 401,250 | ||||||||||
4.000%, 06/01/2028(Callable 06/01/2024) | 425,000 | 453,314 | ||||||||||
Utah Charter School Finance Authority: | ||||||||||||
5.000%, 04/15/2024(Insured by UT CSCE) | 235,000 | 263,752 | ||||||||||
5.000%, 04/15/2037(Callable 04/15/2026)(Insured by UT CSCE) | 500,000 | 553,920 | ||||||||||
Utah Housing Corp., | ||||||||||||
4.000%, 01/01/2045(Callable 01/01/2026)(Insured by FHA) | 2,065,000 | 2,160,486 | ||||||||||
10,096,136 | 0.9 | % | ||||||||||
Vermont | ||||||||||||
Vermont Housing Finance Agency: | ||||||||||||
3.600%, 11/01/2036(Callable 11/01/2025) | 1,680,000 | 1,692,886 | ||||||||||
4.000%, 05/01/2048(Callable 11/01/2026)(Insured by GNMA) | 1,300,000 | 1,363,687 | ||||||||||
4.000%, 11/01/2048(Callable 05/01/2027) | 695,000 | 734,698 | ||||||||||
3,791,271 | 0.3 | % | ||||||||||
Virginia | ||||||||||||
City of Bristol VA, | ||||||||||||
5.500%, 11/01/2018(ETM)(Insured by AGM) | 560,000 | 567,599 | ||||||||||
Danville Industrial Development Authority, | ||||||||||||
5.250%, 10/01/2028(ETM)(Insured by AMBAC) | 1,500,000 | 1,686,870 | ||||||||||
Virginia Housing Development Authority, | ||||||||||||
3.700%, 03/01/2023(Callable 03/01/2021) | 75,000 | 78,207 | ||||||||||
2,332,676 | 0.2 | % | ||||||||||
Washington | ||||||||||||
Snohomish County Public Utility District No. 1, | ||||||||||||
6.800%, 01/01/2020(Callable 07/30/2018)(ETM)(Insured by NATL) | 1,980,000 | 2,084,385 | ||||||||||
Snohomish County School District No. 201, | ||||||||||||
4.000%, 12/01/2021(Callable 12/01/2020)(Insured by SCH BD GTY) | 4,500,000 | 4,735,800 | ||||||||||
State of Washington: | ||||||||||||
5.500%, 07/01/2023 | 5,040,000 | 5,705,179 | ||||||||||
5.000%, 08/01/2029(Callable 08/01/2026) | 2,120,000 | 2,473,383 | ||||||||||
5.000%, 07/01/2032(Callable 01/01/2025) | 6,005,000 | 6,822,701 | ||||||||||
5.000%, 08/01/2034(Callable 08/01/2023) | 2,755,000 | 3,074,525 | ||||||||||
5.000%, 08/01/2038(Callable 08/01/2026) | 975,000 | 1,114,688 | ||||||||||
Thurston & Pierce Counties Community Schools, | ||||||||||||
4.250%, 12/01/2021(Callable 12/01/2020)(Insured by SCH BD GTY) | 2,755,000 | 2,918,234 | ||||||||||
Washington Health Care Facilities Authority: | ||||||||||||
6.125%, 11/15/2031(Pre-refunded to 05/15/2021) | 620,000 | 694,208 | ||||||||||
6.250%, 08/01/2036(Pre-refunded to 08/01/2018)(Insured by FHA) | 8,100,000 | 8,130,375 | ||||||||||
6.250%, 11/15/2041(Pre-refunded to 05/15/2021) | 4,845,000 | 5,441,710 | ||||||||||
43,195,188 | 3.7 | % | ||||||||||
Wisconsin | ||||||||||||
Public Finance Authority, | ||||||||||||
5.000%, 03/01/2025 | 525,000 | 601,246 | ||||||||||
Southeast Wisconsin Professional Baseball Park District: | ||||||||||||
5.500%, 12/15/2026(Insured by NATL) | 795,000 | 940,922 | ||||||||||
0.000%, 12/15/2027(ETM)(Insured by NATL) | 45,000 | 34,731 | ||||||||||
0.000%, 12/15/2029(ETM)(Insured by NATL) | 210,000 | 152,395 | ||||||||||
State of Wisconsin: | ||||||||||||
5.000%, 05/01/2024(Callable 05/01/2023) | 2,150,000 | 2,431,607 | ||||||||||
5.000%, 05/01/2032(Callable 05/01/2023) | 5,000,000 | 5,586,700 | ||||||||||
State of Wisconsin Clean Water Fund Leveraged Loan Portfolio: | ||||||||||||
5.000%, 06/01/2028(Pre-refunded to 06/01/2024) | 510,000 | 586,908 | ||||||||||
5.000%, 06/01/2030(Pre-refunded to 06/01/2024) | 10,500,000 | 12,083,400 | ||||||||||
5.000%, 06/01/2031(Pre-refunded to 06/01/2024) | 7,975,000 | 9,177,630 | ||||||||||
University of Wisconsin Hospitals & Clinics, | ||||||||||||
5.000%, 04/01/2038(Callable 04/01/2023) | 2,295,000 | 2,513,484 | ||||||||||
Wisconsin Center District: | ||||||||||||
4.000%, 12/15/2029(Callable 06/15/2026) | 1,435,000 | 1,522,248 | ||||||||||
5.000%, 12/15/2030(Callable 06/15/2026) | 775,000 | 880,966 | ||||||||||
5.000%, 12/15/2031(Callable 06/15/2026) | 2,530,000 | 2,874,004 | ||||||||||
Wisconsin Health & Educational Facilities Authority, | ||||||||||||
5.000%, 08/15/2027(Pre-refunded to 08/15/2022) | 1,750,000 | 1,949,097 | ||||||||||
Wisconsin Housing & Economic Development Authority: | ||||||||||||
3.500%, 09/01/2046(Callable 09/01/2025)(Insured by FNMA) | 2,625,000 | 2,707,057 | ||||||||||
4.000%, 03/01/2048(Callable 03/01/2027)(Insured by FNMA) | 1,830,000 | 1,925,892 | ||||||||||
45,968,287 | 3.9 | % | ||||||||||
Wyoming | ||||||||||||
Wyoming Community Development Authority, | ||||||||||||
4.000%, 12/01/2043(Callable 06/01/2027) | 700,000 | 736,099 | 0.1 | % | ||||||||
Total Municipal Bonds (Cost $1,148,208,534) | 1,157,007,995 | 98.8 | % | |||||||||
Shares | ||||||||||||
SHORT-TERM INVESTMENTS | ||||||||||||
Money Market Mutual Fund | ||||||||||||
Fidelity Institutional Money Market Fund - Government Portfolio, Institutional Class 1.81%(2) | 1,178,465 | 1,178,465 | ||||||||||
Total Short-Term Investments (Cost $1,178,465) | 1,178,465 | 0.1 | % | |||||||||
Total Investments (Cost $1,149,386,999) | 1,158,186,460 | 98.9 | % | |||||||||
Other Assets in Excess of Liabilities | 12,609,408 | 1.1 | % | |||||||||
TOTAL NET ASSETS | $ | 1,170,795,868 | 100.0 | % |
Notes to Schedule of Investments | ||
AGC | Assured Guaranty Corp. | |
AGM | Assured Guaranty Municipal | |
AMBAC | Ambac Assurance Corp. | |
BAM | Build America Mutual Assurance Co. | |
BHAC | Berkshire Hathaway Assurance Corp. | |
FHA | Federal Housing Administration | |
FNMA | Fannie Mae | |
GNMA | Ginnie Mae | |
NATL | National Public Finance Guarantee Corp. | |
Q-SBLF | Qualified School Building Loan Fund | |
SCH BD GTY | School Board Guaranty | |
SD CRED PROG | State Credit Enhancement Program | |
ST | State Aid Intercept/Withholding | |
UT CSCE | Utah Charter School Finance Authority | |
(1) | Variable rate security. The rate reported is the rate in effect as of June 30, 2018. | |
(2) | 7-Day Yield. | |
(3) | Security or a portion of the security purchased on a when-issued or delayed delivery basis. |
Baird Quality Intermediate Municipal Bond Fund | ||||||||
Schedule of Investments, June 30, 2018 (Unaudited) | ||||||||
Summary of Fair Value Exposure at June 30, 2018 (Unaudited) | ||||||||
The Fund has adopted authoritative fair valuation accounting standards which establish a definition of fair value and set out a hierarchy for measuring fair value. These standards require additional disclosures about the various inputs and valuation techniques used to develop the measurements of fair value and a discussion on changes in valuation techniques and related inputs during the period. These standards define fair value as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. | ||||||||
The fair value hierarchy is organized into three levels based upon the assumptions (referred to as "inputs") used in pricing the asset or liability. These standards state that "observable inputs" reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from independent sources and "unobservable inputs" reflect an entity's own assumptions about the assumptions market participants would use in pricing the asset or liability. These inputs are summarized into three broad levels and described below: |
Level 1 - | Unadjusted quoted prices in active markets for identical unrestricted securities. | ||
Level 2 - | Other significant observable inputs (including quoted prices for similar securities, quoted prices in inactive markets, dealer indications, interest rates, yield curves, prepayment speeds, credit risk, default rates, inputs corroborated by observable market data, etc.). | ||
Level 3 - | Significant unobservable inputs (including the Fund's own assumptions about the factors that market participants would use in valuing the security) based on the best information available. |
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. | ||||||||
The following is a summary of the inputs used to value the Fund's investments as of June 30, 2018: |
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Long-Term Investments | ||||||||||||||||
Municipal Bonds | $ | – | $ | 1,157,007,995 | $ | – | $ | 1,157,007,995 | ||||||||
Total Long-Term Investments | – | 1,157,007,995 | – | 1,157,007,995 | ||||||||||||
Short-Term Investment | ||||||||||||||||
Money Market Mutual Fund | 1,178,465 | – | – | 1,178,465 | ||||||||||||
Total Short-Term Investment | 1,178,465 | – | – | 1,178,465 | ||||||||||||
Total Investments | $ | 1,178,465 | $ | 1,157,007,995 | $ | – | $ | 1,158,186,460 |
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. See the Fund's valuation policy in Note 2a to the financial statements. | ||||||||
Baird Core Intermediate Municipal Bond Fund | ||||||||||||
Schedule of Investments | ||||||||||||
June 30, 2018 (Unaudited) | ||||||||||||
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 | $ | 357,421 | ||||||||
Black Belt Energy Gas District, | ||||||||||||
4.000%, 08/01/2047(Callable 04/01/2022)(Mandatory Tender Date 07/01/2022)(1) | 1,000,000 | 1,061,380 | ||||||||||
City of Birmingham AL: | ||||||||||||
5.000%, 03/01/2037(Callable 03/01/2023)(1) | 30,000 | 32,892 | ||||||||||
0.000%, 03/01/2040(Callable 09/01/2025) | 185,000 | 196,328 | ||||||||||
5.000%, 03/01/2043(Callable 03/01/2023)(1) | 285,000 | 311,297 | ||||||||||
0.000%, 03/01/2045(Callable 09/01/2025) | 650,000 | 696,273 | ||||||||||
City of Mobile Alabama Industrial Development Board, | ||||||||||||
1.625%, 07/15/2034(Mandatory Tender Date 10/02/2018)(1) | 150,000 | 149,980 | ||||||||||
City of Pell City AL Special Care Facilities Financing Authority, | ||||||||||||
5.000%, 12/01/2031(Callable 12/01/2021) | 1,000,000 | 1,081,580 | ||||||||||
Columbia Industrial Development Board, | ||||||||||||
1.570%, 12/01/2037(Optional Put Date 06/29/2018)(1) | 225,000 | 225,000 | ||||||||||
County of Jefferson AL Sewer Revenue, | ||||||||||||
0.000%, 10/01/2025(Callable 10/01/2023)(Insured by AGM) | 1,000,000 | 787,220 | ||||||||||
Eutaw Industrial Development Board, | ||||||||||||
1.570%, 06/01/2028(Optional Put Date 06/29/2018)(1) | 300,000 | 300,000 | ||||||||||
Jasper Water Works & Sewer Board, Inc., | ||||||||||||
5.000%, 06/01/2024(Callable 06/01/2021) | 200,000 | 214,942 | ||||||||||
Town of Mulga AL, | ||||||||||||
3.000%, 08/15/2018(Insured by AGM) | 200,000 | 200,380 | ||||||||||
5,614,693 | 2.1 | % | ||||||||||
Alaska | ||||||||||||
Alaska Housing Finance Corp.: | ||||||||||||
5.000%, 12/01/2029(Callable 06/01/2024) | 225,000 | 252,441 | ||||||||||
4.000%, 06/01/2040(Callable 06/01/2021) | 15,000 | 15,118 | ||||||||||
Alaska Industrial Development & Export Authority, | ||||||||||||
3.500%, 12/01/2020(Callable 12/01/2019) | 1,250,000 | 1,266,337 | ||||||||||
Alaska Municipal Bond Bank Authority, | ||||||||||||
5.000%, 08/01/2027(Callable 08/01/2023) | 500,000 | 557,735 | ||||||||||
City of Valdez AK: | ||||||||||||
5.000%, 01/01/2021 | 435,000 | 466,050 | ||||||||||
5.000%, 06/30/2029(Callable 06/30/2022) | 1,000,000 | 1,174,820 | ||||||||||
3,732,501 | 1.4 | % | ||||||||||
Arizona | ||||||||||||
Arizona Health Facilities Authority, | ||||||||||||
3.360%, 02/01/2048 (SIFMA Municipal Swap Index + 1.850%)(Callable 08/09/2019)(Mandatory Tender Date 02/05/2020)(2) | 115,000 | 116,717 | ||||||||||
Arizona Industrial Development Authority: | ||||||||||||
4.000%, 07/01/2018 | 490,000 | 490,000 | ||||||||||
3.375%, 07/01/2021 | 600,000 | 596,202 | ||||||||||
4.000%, 07/01/2023(Insured by SD CRED PROG) | 100,000 | 105,605 | ||||||||||
4.000%, 07/01/2023(Insured by SD CRED PROG) | 115,000 | 120,842 | ||||||||||
4.000%, 07/01/2024(Insured by SD CRED PROG) | 200,000 | 210,002 | ||||||||||
4.000%, 07/01/2025(Insured by SD CRED PROG) | 100,000 | 105,427 | ||||||||||
4.000%, 07/01/2026(Insured by SD CRED PROG) | 100,000 | 105,171 | ||||||||||
Arizona State University, | ||||||||||||
5.000%, 07/01/2029(Callable 07/01/2024) | 150,000 | 171,744 | ||||||||||
BluePath 2016-1 TE Trust, | ||||||||||||
2.750%, 09/01/2026(Callable 08/27/2021)(3) | 444,487 | 439,665 | ||||||||||
City of El Mirage AZ, | ||||||||||||
5.000%, 07/01/2026(Callable 07/01/2020) | 400,000 | 423,588 | ||||||||||
City of Tucson AZ, | ||||||||||||
5.000%, 07/01/2032(Callable 07/01/2025) | 500,000 | 573,880 | ||||||||||
Greater Arizona Development Authority, | ||||||||||||
5.000%, 08/01/2029(Callable 08/01/2019) | 710,000 | 733,359 | ||||||||||
Industrial Development Authority of the City of Phoenix: | ||||||||||||
5.000%, 07/01/2037(Callable 07/01/2028) | 250,000 | 276,948 | ||||||||||
5.000%, 07/01/2042(Callable 07/01/2028) | 500,000 | 550,820 | ||||||||||
Maricopa County Industrial Development Authority, | ||||||||||||
2.625%, 07/01/2021 | 215,000 | 210,055 | ||||||||||
Maricopa County Unified School District No. 95, | ||||||||||||
5.000%, 07/01/2028(Callable 07/01/2025) | 700,000 | 815,059 | ||||||||||
Town of Marana AZ: | ||||||||||||
4.000%, 07/01/2036(Callable 07/01/2027) | 350,000 | 368,931 | ||||||||||
4.000%, 07/01/2037(Callable 07/01/2027) | 500,000 | 526,650 | ||||||||||
6,940,665 | 2.5 | % | ||||||||||
Arkansas | ||||||||||||
Arkansas Development Finance Authority, | ||||||||||||
3.000%, 07/01/2018 | 100,000 | 100,000 | ||||||||||
Arkansas Technical University, | ||||||||||||
4.000%, 06/01/2028(Callable 06/01/2023) | 1,025,000 | 1,084,430 | ||||||||||
City of Conway AR, | ||||||||||||
5.000%, 10/01/2035(Callable 04/01/2024) | 185,000 | 207,703 | ||||||||||
City of Fayetteville AR, | ||||||||||||
3.050%, 01/01/2047(Callable 01/01/2027) | 1,035,000 | 1,009,436 | ||||||||||
City of Hot Springs AR, | ||||||||||||
4.000%, 12/01/2030(Callable 12/01/2023)(Insured by BAM) | 540,000 | 571,482 | ||||||||||
City of Little Rock AR: | ||||||||||||
1.150%, 10/01/2018 | 85,000 | 84,879 | ||||||||||
4.000%, 10/01/2031(Callable 10/01/2025) | 105,000 | 110,111 | ||||||||||
4.000%, 10/01/2033(Callable 10/01/2025) | 210,000 | 218,982 | ||||||||||
2.000%, 03/01/2038(Callable 03/01/2021) | 200,000 | 199,988 | ||||||||||
City of Lonoke AR: | ||||||||||||
5.000%, 06/01/2025 | 210,000 | 241,116 | ||||||||||
4.000%, 06/01/2028(Callable 06/01/2025) | 50,000 | 53,388 | ||||||||||
City of Magnolia AR, | ||||||||||||
3.200%, 08/01/2033(Callable 08/01/2024)(Insured by BAM) | 1,085,000 | 1,069,636 | ||||||||||
City of Marion AR: | ||||||||||||
3.000%, 09/01/2018 | 225,000 | 225,533 | ||||||||||
2.900%, 09/01/2047(Callable 09/01/2027) | 400,000 | 398,380 | ||||||||||
City of Pine Bluff AR, | ||||||||||||
3.000%, 02/01/2047(Callable 08/01/2027)(Insured by BAM) | 955,000 | 928,279 | ||||||||||
City of Springdale AR Sales & Use Tax Revenue, | ||||||||||||
3.000%, 04/01/2043(Callable 04/01/2024)(Insured by BAM) | 1,475,000 | 1,452,934 | ||||||||||
Northwest Arkansas Conservation Authority, | ||||||||||||
4.000%, 03/01/2027(Callable 09/01/2022)(Insured by BAM) | 365,000 | 390,229 | ||||||||||
University of Central Arkansas: | ||||||||||||
4.000%, 11/01/2027(Callable 11/01/2025)(Insured by BAM) | 340,000 | 364,521 | ||||||||||
4.000%, 11/01/2028(Callable 11/01/2025)(Insured by BAM) | 250,000 | 266,158 | ||||||||||
4.000%, 11/01/2031(Callable 11/01/2025)(Insured by BAM) | 885,000 | 930,887 | ||||||||||
9,908,072 | 3.6 | % | ||||||||||
California | ||||||||||||
Abag Finance Authority for Nonprofit Corps., | ||||||||||||
5.000%, 09/02/2025(Insured by AGM) | 380,000 | 446,029 | ||||||||||
Acalanes Union High School District, | ||||||||||||
0.000%, 08/01/2039(Callable 08/01/2029) | 100,000 | 92,916 | ||||||||||
Bay Area Toll Authority: | ||||||||||||
2.610%, 04/01/2045 (SIFMA Municipal Swap Index + 1.100%)(Callable 10/01/2023)(Mandatory Tender Date 04/01/2024)(2) | 450,000 | 462,951 | ||||||||||
2.210%, 04/01/2047 (SIFMA Municipal Swap Index + 0.700%)(Callable 04/01/2019)(Mandatory Tender Date 10/01/2019)(2) | 250,000 | 250,930 | ||||||||||
California Health Facilities Financing Authority: | ||||||||||||
5.000%, 04/01/2020 | 300,000 | 313,761 | ||||||||||
2.548%, 07/01/2022(Insured by NATL)(1)(5) | 300,000 | 291,018 | ||||||||||
California Public Finance Authority: | ||||||||||||
5.000%, 10/15/2020 | 180,000 | 190,003 | ||||||||||
5.000%, 10/15/2021 | 200,000 | 215,004 | ||||||||||
California State Public Works Board, | ||||||||||||
5.000%, 12/01/2019(Insured by AMBAC) | 225,000 | 232,353 | ||||||||||
California Statewide Communities Development Authority, | ||||||||||||
5.050%, 04/01/2028(Insured by NATL)(1)(5) | 700,000 | 700,000 | ||||||||||
Chawanakee Unified School District: | ||||||||||||
0.000%, 08/01/2026(Insured by BAM) | 110,000 | 114,023 | ||||||||||
0.000%, 08/01/2027(Callable 08/01/2026)(Insured by BAM) | 100,000 | 102,768 | ||||||||||
0.000%, 08/01/2028(Callable 08/01/2026)(Insured by BAM) | 75,000 | 76,470 | ||||||||||
0.000%, 08/01/2029(Callable 08/01/2026)(Insured by BAM) | 80,000 | 81,044 | ||||||||||
City of Redding CA, | ||||||||||||
2.912%, 07/01/2022(ETM)(Insured by NATL)(1)(5) | 85,000 | 83,281 | ||||||||||
College of the Sequoias Tulare Area Improvement District No. 3, | ||||||||||||
0.000%, 08/01/2041(Callable 08/01/2026)(Insured by AGM) | 235,000 | 249,413 | ||||||||||
Colton Joint Unified School District, | ||||||||||||
0.000%, 08/01/2035(Callable 08/01/2026)(Insured by AGM) | 250,000 | 247,827 | ||||||||||
Corona-Norca Unified School District, | ||||||||||||
6.800%, 08/01/2039(Callable 08/01/2027)(Insured by AGM)(1) | 890,000 | 1,176,117 | ||||||||||
Covina-Valley Unified School District, | ||||||||||||
0.000%, 08/01/2032(Callable 08/01/2019)(Insured by AGM) | 180,000 | 89,734 | ||||||||||
Denair Unified School District, | ||||||||||||
0.000%, 08/01/2031(Insured by AGM) | 30,000 | 32,031 | ||||||||||
Desert Hot Springs Redevelopment Agency Successor Agency, | ||||||||||||
5.000%, 09/01/2029(Callable 09/01/2027)(Insured by BAM) | 300,000 | 349,830 | ||||||||||
Dinuba Redevelopment Agency, | ||||||||||||
5.000%, 09/01/2028(Callable 09/01/2024)(Insured by BAM) | 330,000 | 373,002 | ||||||||||
East Bay Municipal Utility District, | ||||||||||||
5.000%, 06/01/2033(Callable 06/01/2024) | 475,000 | 544,645 | ||||||||||
El Rancho Unified School District, | ||||||||||||
0.000%, 08/01/2034(Callable 08/01/2028)(Insured by AGM) | 245,000 | 238,167 | ||||||||||
Enterprise Elementary School District, | ||||||||||||
0.000%, 08/01/2035(Callable 08/01/2031) | 30,000 | 32,811 | ||||||||||
Fresno Joint Powers Financing Authority: | ||||||||||||
5.000%, 04/01/2020 | 250,000 | 262,787 | ||||||||||
5.000%, 04/01/2027(Insured by AGM) | 305,000 | 359,043 | ||||||||||
Golden State Tobacco Securitization Corp., | ||||||||||||
5.000%, 06/01/2022 | 365,000 | 402,372 | ||||||||||
Imperial Community College District, | ||||||||||||
0.000%, 08/01/2040(Callable 08/01/2030)(Insured by AGM)(1) | 140,000 | 165,880 | ||||||||||
Lake Elsinore Redevelopment Agency Successor Agency, | ||||||||||||
5.000%, 09/01/2027(Callable 09/01/2025)(Insured by BAM) | 275,000 | 316,118 | ||||||||||
Lake Elsinore School Financing Authority: | ||||||||||||
5.000%, 09/01/2028(Callable 09/01/2027)(Insured by BAM) | 150,000 | 177,829 | ||||||||||
5.000%, 09/01/2029(Callable 09/01/2027)(Insured by BAM) | 240,000 | 282,396 | ||||||||||
5.000%, 09/01/2030(Callable 09/01/2027)(Insured by BAM) | 250,000 | 291,963 | ||||||||||
Long Beach Bond Finance Authority: | ||||||||||||
5.250%, 11/15/2023 | 90,000 | 101,776 | ||||||||||
5.000%, 11/15/2029 | 50,000 | 58,258 | ||||||||||
Mount Diablo Unified School District, | ||||||||||||
0.000%, 08/01/2035(Callable 08/01/2025)(Insured by AGM) | 530,000 | 502,747 | ||||||||||
Mountain View Los Altos Union High School District, | ||||||||||||
0.000%, 08/01/2030 | 105,000 | 112,179 | ||||||||||
Needles Unified School District, | ||||||||||||
0.000%, 08/01/2034(Insured by AGM) | 25,000 | 22,455 | ||||||||||
Northern California Gas Authority, | ||||||||||||
2.176%, 07/01/2019 (3 Month LIBOR USD + 0.630%)(2) | 545,000 | 544,924 | ||||||||||
Norwalk-La Mirada Unified School District, | ||||||||||||
0.000%, 08/01/2029(Insured by AGC) | 210,000 | 216,644 | ||||||||||
Oak Park Unified School District, | ||||||||||||
0.000%, 08/01/2038(Callable 08/01/2031)(Insured by AGM) | 110,000 | 127,449 | ||||||||||
Oceanside Unified School District, | ||||||||||||
0.000%, 08/01/2051(Pre-refunded to 08/01/2022) | 1,000,000 | 146,580 | ||||||||||
Redondo Beach Unified School District: | ||||||||||||
0.000%, 08/01/2031 | 20,000 | 20,882 | ||||||||||
6.375%, 08/01/2034(Callable 08/01/2026) | 590,000 | 753,294 | ||||||||||
Rialto Unified School District, | ||||||||||||
0.000%, 08/01/2041(Callable 08/01/2036)(Insured by AGM) | 290,000 | 276,242 | ||||||||||
Richmond Joint Powers Financing Authority, | ||||||||||||
5.500%, 11/01/2029(Callable 11/01/2025) | 300,000 | 347,286 | ||||||||||
Rio Hondo Community College District: | ||||||||||||
0.000%, 08/01/2042(Callable 08/01/2034) | 125,000 | 130,550 | ||||||||||
0.000%, 08/01/2042(Callable 08/01/2034) | 35,000 | 37,098 | ||||||||||
Riverside County Public Financing Authority, | ||||||||||||
5.000%, 10/01/2026(Callable 10/01/2025)(Insured by AGM) | 250,000 | 291,170 | ||||||||||
San Bernardino City Unified School District, | ||||||||||||
5.000%, 08/01/2027(Callable 08/01/2023)(Insured by AGM) | 450,000 | 506,988 | ||||||||||
San Diego Unified School District: | ||||||||||||
5.000%, 07/01/2030(Callable 07/01/2026) | 570,000 | 679,508 | ||||||||||
4.000%, 07/01/2032(Callable 07/01/2026) | 300,000 | 327,648 | ||||||||||
Santa Paula Union High School District, | ||||||||||||
0.000%, 08/01/2037(Callable 08/01/2027) | 80,000 | 74,251 | ||||||||||
School District of Belmont-Redwood Shores CA, | ||||||||||||
0.000%, 08/01/2031(Callable 08/01/2026) | 75,000 | 77,239 | ||||||||||
Silicon Valley Clean Water, | ||||||||||||
5.000%, 02/01/2039(Callable 02/01/2024) | 290,000 | 324,319 | ||||||||||
Solano County Community College District, | ||||||||||||
0.000%, 08/01/2041(Callable 08/01/2028) | 100,000 | 89,371 | ||||||||||
Soledad Unified School District: | ||||||||||||
5.000%, 08/01/2037(Callable 08/01/2018)(Insured by BAM) | 100,000 | 100,250 | ||||||||||
5.000%, 08/01/2038(Callable 08/01/2018)(Insured by BAM) | 100,000 | 100,249 | ||||||||||
5.000%, 08/01/2039(Callable 08/01/2018)(Insured by BAM) | 100,000 | 100,248 | ||||||||||
5.000%, 08/01/2040(Callable 08/01/2018)(Insured by BAM) | 50,000 | 50,124 | ||||||||||
5.000%, 08/01/2041(Callable 08/01/2018)(Insured by BAM) | 100,000 | 100,246 | ||||||||||
State of California, | ||||||||||||
2.231%, 12/01/2029 (1 Month LIBOR USD + 0.830%)(Callable 07/30/2018)(Mandatory Tender Date 12/03/2018)(2) | 135,000 | 135,335 | ||||||||||
Summerville Union High School District, | ||||||||||||
0.000%, 08/01/2033(Callable 08/01/2028)(Insured by BAM) | 25,000 | 21,975 | ||||||||||
Upland Unified School District, | ||||||||||||
0.000%, 08/01/2041(Callable 08/01/2025) | 670,000 | 776,001 | ||||||||||
West Hills Community College District, | ||||||||||||
0.000%, 08/01/2035(Callable 08/01/2027)(Insured by AGM) | 50,000 | 48,081 | ||||||||||
Westside Union School District, | ||||||||||||
0.000%, 08/01/2028 | 160,000 | 117,002 | ||||||||||
Wiseburn School District, | ||||||||||||
0.000%, 08/01/2036(Callable 08/01/2031)(Insured by AGM) | 50,000 | 43,508 | ||||||||||
16,606,393 | 6.1 | % | ||||||||||
Colorado | ||||||||||||
Board of Governors of Colorado State University System, | ||||||||||||
5.000%, 03/01/2032(Callable 03/01/2027) | 125,000 | 145,181 | ||||||||||
Broadlands Metropolitan District No. 2, | ||||||||||||
1.500%, 12/01/2018 | 75,000 | 74,817 | ||||||||||
Bromley Park Metropolitan District, | ||||||||||||
5.000%, 12/01/2023(Insured by BAM) | 225,000 | 252,815 | ||||||||||
City of Commerce City CO: | ||||||||||||
5.000%, 12/15/2028(Callable 12/15/2027)(Insured by AGM) | 100,000 | 116,888 | ||||||||||
5.000%, 12/15/2029(Callable 12/15/2027)(Insured by AGM) | 310,000 | 359,302 | ||||||||||
5.000%, 12/15/2030(Callable 12/15/2027)(Insured by AGM) | 500,000 | 578,185 | ||||||||||
City of Fort Lupton CO: | ||||||||||||
5.000%, 12/01/2027(Insured by AGM) | 75,000 | 89,044 | ||||||||||
5.000%, 12/01/2028(Callable 12/01/2027)(Insured by AGM) | 210,000 | 247,225 | ||||||||||
5.000%, 12/01/2029(Callable 12/01/2027)(Insured by AGM) | 250,000 | 292,962 | ||||||||||
5.000%, 12/01/2030(Callable 12/01/2027)(Insured by AGM) | 350,000 | 409,206 | ||||||||||
City of Sheridan CO, | ||||||||||||
5.000%, 12/01/2042(Callable 12/01/2025) | 1,130,000 | 1,264,018 | ||||||||||
Colorado Educational & Cultural Facilities Authority: | ||||||||||||
5.000%, 10/01/2020 | 400,000 | 426,744 | ||||||||||
5.000%, 10/01/2025 | 750,000 | 851,685 | ||||||||||
4.000%, 12/15/2025 | 1,340,000 | 1,386,029 | ||||||||||
4.000%, 04/01/2028 | 270,000 | 286,556 | ||||||||||
5.000%, 08/15/2030(Callable 08/15/2024) | 500,000 | 545,560 | ||||||||||
1.550%, 12/01/2035(Callable 07/02/2018)(Optional Put Date 06/29/2018)(1) | 215,000 | 215,000 | ||||||||||
Colorado Health Facilities Authority: | ||||||||||||
5.000%, 12/01/2023 | 50,000 | 55,380 | ||||||||||
5.000%, 06/01/2027 | 750,000 | 857,678 | ||||||||||
Colorado Housing & Finance Authority: | ||||||||||||
1.850%, 04/01/2020(Mandatory Tender Date 10/01/2019)(1) | 1,500,000 | 1,500,165 | ||||||||||
4.000%, 05/01/2048(Callable 11/01/2026)(Insured by GNMA) | 485,000 | 509,333 | ||||||||||
Colorado School of Mines, | ||||||||||||
5.000%, 12/01/2029(Callable 12/01/2027)(Insured by ST) | 125,000 | 146,481 | ||||||||||
E-470 Public Highway Authority, | ||||||||||||
2.458%, 09/01/2039 (1 Month LIBOR USD + 1.050%)(Callable 03/01/2021)(Mandatory Tender Date 09/01/2021)(2) | 500,000 | 504,995 | ||||||||||
El Paso County School District No. 3, | ||||||||||||
5.000%, 12/01/2030(Callable 12/01/2022)(Insured by ST) | 250,000 | 278,600 | ||||||||||
Glen Metropolitan District No. 1, | ||||||||||||
2.500%, 12/01/2025(Insured by BAM) | 145,000 | 142,487 | ||||||||||
Grand River CO, | ||||||||||||
0.000%, 12/01/2033 | 1,390,000 | 1,623,145 | ||||||||||
Southlands Metropolitan District No. 1, | ||||||||||||
3.000%, 12/01/2022 | 275,000 | 274,656 | ||||||||||
Sterling Hills West Metropolitan District, | ||||||||||||
5.000%, 12/01/2027 | 230,000 | 257,257 | ||||||||||
VDW Metropolitan District No. 2, | ||||||||||||
1.250%, 12/01/2018(Insured by AGM) | 35,000 | 34,921 | ||||||||||
Vista Ridge Metropolitan District: | ||||||||||||
5.000%, 12/01/2025(Insured by BAM) | 600,000 | 677,496 | ||||||||||
5.000%, 12/01/2026(Insured by BAM) | 460,000 | 523,531 | ||||||||||
14,927,342 | 5.4 | % | ||||||||||
Connecticut | ||||||||||||
City of Hartford CT: | ||||||||||||
5.000%, 04/01/2027(Callable 04/01/2023)(Insured by BAM) | 535,000 | 578,276 | ||||||||||
5.000%, 10/01/2034(Pre-refunded to 10/01/2024) | 250,000 | 288,730 | ||||||||||
Connecticut Housing Finance Authority, | ||||||||||||
4.000%, 11/15/2047(Callable 11/15/2026) | 235,000 | 247,077 | ||||||||||
Connecticut State Health & Educational Facilities Authority, | ||||||||||||
5.000%, 11/01/2026(Callable 11/01/2022) | 135,000 | 146,275 | ||||||||||
State of Connecticut: | ||||||||||||
5.000%, 04/15/2024 | 175,000 | 195,121 | ||||||||||
5.000%, 07/15/2030(Callable 07/15/2023) | 225,000 | 243,144 | ||||||||||
5.000%, 09/01/2033(Callable 09/01/2026) | 300,000 | 333,267 | ||||||||||
Town of Hamden CT, | ||||||||||||
4.000%, 08/15/2019(Insured by BAM) | 250,000 | 255,573 | ||||||||||
2,287,463 | 0.8 | % | ||||||||||
District of Columbia | ||||||||||||
District of Columbia, | ||||||||||||
5.250%, 07/15/2045(Pre-refunded to 07/15/2018)(Insured by AGM) | 100,000 | 100,129 | ||||||||||
District of Columbia Housing Finance Agency: | ||||||||||||
2.000%, 09/01/2021(Mandatory Tender Date 09/01/2020)(1) | 825,000 | 822,566 | ||||||||||
3.500%, 06/15/2023 | 405,000 | 409,439 | ||||||||||
Metropolitan Washington Airports Authority: | ||||||||||||
5.000%, 10/01/2033(Callable 10/01/2025) | 250,000 | 283,372 | ||||||||||
6.500%, 10/01/2041(Callable 10/01/2026)(Insured by AGC) | 305,000 | 386,008 | ||||||||||
0.000%, 10/01/2044(Callable 10/01/2028)(Insured by AGM) | 680,000 | 861,247 | ||||||||||
0.000%, 10/01/2044(Callable 10/01/2028) | 340,000 | 429,257 | ||||||||||
Washington Metropolitan Area Transit Authority, | ||||||||||||
5.250%, 07/01/2024(Pre-refunded to 07/01/2019) | 50,000 | 51,829 | ||||||||||
3,343,847 | 1.2 | % | ||||||||||
Florida | ||||||||||||
City of Orlando FL: | ||||||||||||
5.000%, 10/01/2027(Pre-refunded to 10/01/2020) | 100,000 | 107,051 | ||||||||||
5.000%, 11/01/2034(Callable 11/01/2027)(Insured by AGM) | 775,000 | 880,671 | ||||||||||
City of Tallahassee FL, | ||||||||||||
5.000%, 10/01/2033(Callable 10/01/2025) | 1,240,000 | 1,419,453 | ||||||||||
County of Bay FL, | �� | |||||||||||
4.000%, 09/01/2018 | 250,000 | 250,962 | ||||||||||
County of Manatee FL, | ||||||||||||
1.580%, 09/01/2024(Optional Put Date 06/29/2018)(1) | 200,000 | 200,000 | ||||||||||
County of Miami-Dade FL: | ||||||||||||
5.000%, 04/01/2027(Callable 04/01/2026) | 120,000 | 140,080 | ||||||||||
0.000%, 10/01/2034(Callable 10/01/2029)(Insured by AGC) | 155,000 | 196,934 | ||||||||||
0.000%, 10/01/2039(Callable 10/01/2029)(Insured by AGC) | 190,000 | 241,634 | ||||||||||
Escambia County Health Facilities Authority, | ||||||||||||
1.620%, 11/15/2029(Callable 07/02/2018)(Optional Put Date 06/29/2018)(Insured by AGC)(1) | 400,000 | 400,000 | ||||||||||
Florida Housing Finance Corp.: | ||||||||||||
4.350%, 01/01/2046(Callable 01/01/2024) | 700,000 | 711,592 | ||||||||||
4.000%, 07/01/2047(Callable 07/01/2025)(Insured by GNMA) | 335,000 | 349,814 | ||||||||||
Florida Municipal Power Agency: | ||||||||||||
4.000%, 10/01/2030(Callable 10/01/2027)(6) | 500,000 | 537,490 | ||||||||||
5.000%, 10/01/2031(Callable 10/01/2018)(Partially Pre-refunded)(Insured by AGM) | 130,000 | 131,031 | ||||||||||
Heritage Bay Community Development District, | ||||||||||||
2.000%, 05/01/2019 | 225,000 | 225,274 | ||||||||||
Highlands County Health Facilities Authority, | ||||||||||||
1.500%, 11/15/2037(Callable 06/29/2018)(Optional Put Date 07/06/2018)(1) | 1,600,000 | 1,600,000 | ||||||||||
Hillsborough County Aviation Authority, | ||||||||||||
5.000%, 10/01/2035(Callable 10/01/2024) | 500,000 | 556,535 | ||||||||||
Martin County Health Facilities Authority: | ||||||||||||
3.370%, 11/15/2021 | 295,000 | 305,068 | ||||||||||
5.000%, 11/15/2023 | 260,000 | 290,922 | ||||||||||
Miami Health Facilities Authority: | ||||||||||||
5.000%, 07/01/2020 | 140,000 | 147,496 | ||||||||||
5.000%, 07/01/2021 | 250,000 | 268,222 | ||||||||||
Miami-Dade County Industrial Development Authority: | ||||||||||||
5.000%, 01/15/2020 | 350,000 | 362,705 | ||||||||||
5.000%, 01/15/2021 | 365,000 | 385,236 | ||||||||||
Monroe County School District, | ||||||||||||
5.000%, 10/01/2025(Insured by AGM) | 200,000 | 232,074 | ||||||||||
Orange County School Board, | ||||||||||||
5.000%, 08/01/2031(Callable 08/01/2025) | 660,000 | 751,265 | ||||||||||
Palm Beach County Health Facilities Authority, | ||||||||||||
4.750%, 07/01/2025(Pre-refunded to 07/01/2020)(Insured by AGM) | 130,000 | 137,796 | ||||||||||
Pinellas County Health Facilities Authority, | ||||||||||||
2.972%, 11/15/2023(Insured by NATL)(1)(5) | 275,000 | 275,000 | ||||||||||
Pinellas County School Board, | ||||||||||||
5.000%, 07/01/2033(Callable 07/01/2027) | 515,000 | 593,038 | ||||||||||
Putnam County Development Authority, | ||||||||||||
1.580%, 09/01/2024(Optional Put Date 06/29/2018)(1) | 1,000,000 | 1,000,000 | ||||||||||
Reedy Creek Improvement District, | ||||||||||||
4.000%, 06/01/2035(Callable 06/01/2027) | 1,000,000 | 1,050,480 | ||||||||||
Village Community Development District No. 7, | ||||||||||||
4.000%, 05/01/2021 | 235,000 | 246,795 | ||||||||||
13,994,618 | 5.1 | % | ||||||||||
Georgia | ||||||||||||
Barnesville-Lamar County Industrial Development Authority, | ||||||||||||
5.000%, 06/01/2028 | 175,000 | 206,125 | ||||||||||
Bartow County Development Authority, | ||||||||||||
2.700%, 08/01/2043(Mandatory Tender Date 08/23/2018)(1) | 520,000 | 520,874 | ||||||||||
Burke County Development Authority: | ||||||||||||
2.350%, 10/01/2032(Mandatory Tender Date 12/11/2020)(1) | 100,000 | 100,448 | ||||||||||
1.850%, 12/01/2049(Mandatory Tender Date 08/22/2019)(1) | 140,000 | 139,780 | ||||||||||
Chatham County Hospital Authority, | ||||||||||||
5.000%, 01/01/2031(Pre-refunded to 01/01/2022) | 150,000 | 165,222 | ||||||||||
City of Atlanta GA: | ||||||||||||
5.000%, 01/01/2025(Callable 01/01/2020) | 225,000 | 234,619 | ||||||||||
5.500%, 11/01/2027(Insured by AGM) | 140,000 | 166,929 | ||||||||||
5.000%, 01/01/2028(Callable 01/01/2020) | 1,000,000 | 1,042,140 | ||||||||||
City of Dahlonega GA, | ||||||||||||
4.000%, 09/01/2021(Insured by AGM) | 150,000 | 158,010 | ||||||||||
Gainesville & Hall County Hospital Authority, | ||||||||||||
5.000%, 02/15/2029(Callable 02/15/2027) | 475,000 | 541,229 | ||||||||||
Main Street Natural Gas, Inc., | ||||||||||||
4.000%, 04/01/2048(Callable 06/01/2023)(Mandatory Tender Date 09/01/2023)(1) | 500,000 | 534,840 | ||||||||||
Monroe County Development Authority, | ||||||||||||
2.050%, 07/01/2049(Mandatory Tender Date 11/19/2021)(1) | 750,000 | 739,365 | ||||||||||
Morgan County Hospital Authority, | ||||||||||||
2.750%, 09/01/2019(Callable 03/01/2019) | 750,000 | 752,978 | ||||||||||
5,302,559 | 1.9 | % |
Illinois | ||||||||||||
Bourbonnais Township Park District: | ||||||||||||
4.000%, 12/15/2023(Insured by BAM) | 100,000 | 102,961 | ||||||||||
4.000%, 12/15/2024(Insured by BAM) | 125,000 | 128,143 | ||||||||||
4.000%, 12/15/2025(Insured by BAM) | 130,000 | 132,687 | ||||||||||
4.000%, 12/15/2026(Callable 12/15/2025)(Insured by BAM) | 135,000 | 136,998 | ||||||||||
Bureau County Township High School District No. 502, | ||||||||||||
6.625%, 10/01/2043(Pre-refunded to 12/01/2023)(Insured by BAM) | 290,000 | 355,952 | ||||||||||
Chicago Board of Education: | ||||||||||||
4.250%, 12/01/2018(ETM) | 230,000 | 232,560 | ||||||||||
5.000%, 12/01/2023(Insured by AGM) | 1,000,000 | 1,097,090 | ||||||||||
City of Berwyn IL, | ||||||||||||
4.000%, 12/01/2020 | 100,000 | 103,037 | ||||||||||
City of Chicago IL: | ||||||||||||
4.000%, 01/01/2019 | 210,000 | 212,232 | ||||||||||
4.250%, 01/01/2019(ETM) | 175,000 | 177,336 | ||||||||||
5.000%, 01/01/2021(Callable 01/01/2020)(Partially Pre-refunded) | 100,000 | 102,695 | ||||||||||
5.000%, 01/01/2023(Callable 01/01/2020)(Partially Pre-refunded) | 125,000 | 127,890 | ||||||||||
5.000%, 01/01/2023 | 170,000 | 187,049 | ||||||||||
5.000%, 01/01/2024 | 250,000 | 266,793 | ||||||||||
5.000%, 01/01/2025(Callable 01/01/2024)(Insured by AGM) | 110,000 | 123,616 | ||||||||||
5.000%, 01/01/2026(Callable 01/01/2024) | 250,000 | 264,495 | ||||||||||
0.000%, 01/01/2027(Insured by NATL) | 300,000 | 221,931 | ||||||||||
5.625%, 01/01/2031(Callable 01/01/2027) | 250,000 | 278,823 | ||||||||||
City of Chicago IL Waterworks Revenue: | ||||||||||||
5.000%, 11/01/2028(Callable 11/01/2027)(Insured by AGM) | 625,000 | 716,162 | ||||||||||
5.000%, 11/01/2033(Callable 11/01/2027)(Insured by AGM) | 375,000 | 422,280 | ||||||||||
City of Country Club Hills IL, | ||||||||||||
4.000%, 12/01/2019(Insured by BAM) | 195,000 | 200,095 | ||||||||||
City of Kankakee IL, | ||||||||||||
4.500%, 05/01/2031(Callable 05/01/2025)(Insured by AGM) | 135,000 | 143,552 | ||||||||||
City of Rockford IL, | ||||||||||||
3.000%, 12/15/2022(Insured by AGM) | 150,000 | 153,330 | ||||||||||
Coles Cumberland Moultrie Etc Counties Community Unit School District No. 2, | ||||||||||||
4.000%, 12/01/2018(Insured by BAM) | 250,000 | 252,280 | ||||||||||
Cook & Will Counties School District No. 194: | ||||||||||||
4.000%, 12/01/2025(Callable 12/01/2024)(Insured by BAM) | 160,000 | 166,232 | ||||||||||
4.000%, 12/01/2026(Callable 12/01/2024)(Insured by BAM) | 130,000 | 134,153 | ||||||||||
Cook County Community Consolidated School District No. 65, | ||||||||||||
0.000%, 12/01/2023 | 200,000 | 172,522 | ||||||||||
Cook County School District No. 104, | ||||||||||||
0.000%, 12/01/2022(ETM) | 500,000 | 453,600 | ||||||||||
Cook County School District No. 163: | ||||||||||||
6.000%, 12/15/2025(Insured by BAM) | 430,000 | 511,119 | ||||||||||
6.000%, 12/15/2027(Insured by BAM) | 1,150,000 | 1,396,135 | ||||||||||
Cook County School District No. 83, | ||||||||||||
5.625%, 06/01/2033 | 475,000 | 548,307 | ||||||||||
County of Washington IL, | ||||||||||||
4.000%, 12/15/2029(Callable 12/15/2026)(Insured by AGM) | 275,000 | 289,091 | ||||||||||
Decatur Park District, | ||||||||||||
4.000%, 03/01/2019(Callable 07/30/2018) | 525,000 | 525,887 | ||||||||||
DeKalb County Community Unit School District No. 428, | ||||||||||||
0.000%, 01/01/2030(Callable 07/01/2020) | 300,000 | 162,975 | ||||||||||
DuPage County High School District No. 87, | ||||||||||||
5.000%, 01/01/2029(Callable 01/01/2025) | 300,000 | 335,919 | ||||||||||
Ford, Champaign Counties Community Unit School District No. 10, | ||||||||||||
5.000%, 12/01/2027(Callable 12/01/2026)(Insured by AGM) | 550,000 | 633,869 | ||||||||||
Illinois Finance Authority: | ||||||||||||
5.000%, 02/15/2021 | 100,000 | 107,795 | ||||||||||
5.000%, 10/01/2021 | 170,000 | 182,390 | ||||||||||
5.000%, 10/01/2023 | 205,000 | 224,750 | ||||||||||
4.375%, 12/01/2028(Callable 12/01/2023) | 300,000 | 305,991 | ||||||||||
5.000%, 01/01/2029(Callable 01/01/2027) | 430,000 | 476,044 | ||||||||||
5.250%, 02/15/2030(Pre-refunded to 02/15/2020) | 245,000 | 258,686 | ||||||||||
5.000%, 08/01/2030(Callable 08/01/2024) | 300,000 | 335,931 | ||||||||||
6.250%, 10/01/2033(Callable 10/01/2020) | 150,000 | 160,260 | ||||||||||
4.000%, 05/15/2034(Callable 05/15/2026) | 180,000 | 183,281 | ||||||||||
2.738%, 05/01/2036 (1 Month LIBOR USD + 1.350%)(Callable 11/01/2020)(Mandatory Tender Date 05/01/2021)(2) | 300,000 | 301,671 | ||||||||||
5.375%, 08/15/2039(Pre-refunded to 08/15/2018) | 65,000 | 65,304 | ||||||||||
6.625%, 11/01/2039(Pre-refunded to 05/01/2019) | 50,000 | 52,060 | ||||||||||
5.100%, 12/01/2043(Callable 12/01/2023) | 1,600,000 | 1,661,504 | ||||||||||
Illinois Housing Development Authority: | ||||||||||||
3.100%, 02/01/2035(Callable 02/01/2026) | 1,200,000 | 1,129,872 | ||||||||||
2.450%, 06/01/2043(Callable 01/01/2023)(Insured by GNMA) | 744,630 | 703,475 | ||||||||||
Illinois State University, | ||||||||||||
5.000%, 04/01/2023(Callable 04/01/2021)(Insured by BAM) | 440,000 | 463,118 | ||||||||||
Knox & Warren Counties Community Unit School District No. 205, | ||||||||||||
6.125%, 01/01/2036(Callable 01/01/2021) | 100,000 | 107,932 | ||||||||||
Lake County Community Consolidated School District No. 34, | ||||||||||||
3.000%, 01/01/2019 | 100,000 | 100,677 | ||||||||||
Macoupin, Sangaman & Montgomery Government Bonds, | ||||||||||||
0.000%, 12/01/2032(6) | 685,000 | 710,605 | ||||||||||
Madison County Community Unit School District No. 7, | ||||||||||||
4.000%, 12/01/2018(Insured by BAM) | 685,000 | 690,822 | ||||||||||
Metropolitan Pier & Exposition Authority: | ||||||||||||
0.000%, 06/15/2019(Insured by NATL) | 375,000 | 364,744 | ||||||||||
0.000%, 06/15/2020(Insured by NATL) | 140,000 | 131,799 | ||||||||||
5.500%, 12/15/2023(Insured by NATL) | 150,000 | 165,103 | ||||||||||
5.700%, 06/15/2025(Pre-refunded to 06/15/2022)(Insured by NATL) | 15,000 | 17,212 | ||||||||||
5.700%, 06/15/2025(Callable 06/15/2022)(Insured by NATL) | 50,000 | 55,318 | ||||||||||
Metropolitan Water Reclamation District of Greater Chicago: | ||||||||||||
5.000%, 12/01/2031(Callable 12/01/2021) | 1,000,000 | 1,075,800 | ||||||||||
5.000%, 12/01/2034(Callable 12/01/2026) | 1,500,000 | 1,673,085 | ||||||||||
Monroe & St. Clair Counties Community Unit School District No. 5, | ||||||||||||
5.000%, 04/15/2021(Insured by BAM) | 100,000 | 107,713 | ||||||||||
Ogle & Winnebago Counties Community Unit School District: | ||||||||||||
5.000%, 12/01/2023(Insured by BAM) | 415,000 | 464,298 | ||||||||||
5.000%, 12/01/2024(Insured by BAM) | 100,000 | 112,514 | ||||||||||
Peoria City School District No. 150, | ||||||||||||
5.000%, 01/01/2026(Insured by BAM) | 330,000 | 370,940 | ||||||||||
Sangamon County Water Reclamation District, | ||||||||||||
5.000%, 01/01/2021 | 80,000 | 84,588 | ||||||||||
Schaumburg Park District, | ||||||||||||
3.000%, 12/01/2018 | 425,000 | 427,720 | ||||||||||
Shelby Christian Macon Counties Community School District, | ||||||||||||
4.000%, 12/01/2027(Callable 12/01/2023)(Insured by AGM) | 155,000 | 161,662 | ||||||||||
Southwestern Illinois Development Authority, | ||||||||||||
5.100%, 02/01/2029(Callable 02/01/2019)(Partially Pre-refunded)(Insured by AGC) | 100,000 | 101,829 | ||||||||||
St. Clair County Community Consolidated School District, | ||||||||||||
0.000%, 12/01/2021 | 200,000 | 182,086 | ||||||||||
St. Clair County School District No. 118, | ||||||||||||
0.000%, 12/01/2018(Insured by AGC) | 350,000 | 347,245 | ||||||||||
State of Illinois: | ||||||||||||
0.000%, 08/01/2019 | 150,000 | 145,263 | ||||||||||
0.000%, 08/01/2019 | 110,000 | 106,526 | ||||||||||
5.000%, 12/01/2019 | 500,000 | 516,580 | ||||||||||
5.000%, 01/01/2022(Callable 01/01/2020) | 220,000 | 225,280 | ||||||||||
6.000%, 06/15/2024(Insured by NATL) | 100,000 | 116,294 | ||||||||||
5.000%, 08/01/2024(Callable 08/01/2022) | 665,000 | 694,353 | ||||||||||
5.000%, 05/01/2027(Callable 05/01/2024) | 150,000 | 157,007 | ||||||||||
5.000%, 06/15/2027(Callable 06/15/2021) | 1,500,000 | 1,607,760 | ||||||||||
5.250%, 07/01/2028(Callable 07/01/2023) | 175,000 | 183,845 | ||||||||||
5.500%, 07/01/2033(Callable 07/01/2023) | 410,000 | 432,279 | ||||||||||
Town of Cicero IL: | ||||||||||||
5.000%, 01/01/2019(Insured by AGM) | 400,000 | 405,756 | ||||||||||
5.000%, 01/01/2019(Insured by BAM) | 205,000 | 207,950 | ||||||||||
University of Illinois, | ||||||||||||
5.000%, 10/01/2021 | 700,000 | 755,776 | ||||||||||
Village of Cary IL, | ||||||||||||
1.500%, 03/01/2019(Insured by BAM) | 128,000 | 127,453 | ||||||||||
Village of Crestwood IL: | ||||||||||||
2.000%, 12/15/2018(Insured by BAM) | 525,000 | 525,441 | ||||||||||
4.000%, 12/15/2021(Insured by BAM) | 250,000 | 264,100 | ||||||||||
4.500%, 12/15/2026(Callable 12/15/2022)(Insured by BAM) | 200,000 | 214,910 | ||||||||||
Village of Franklin Park IL, | ||||||||||||
5.000%, 04/01/2023(Insured by BAM) | 460,000 | 505,080 | ||||||||||
Village of River Grove IL: | ||||||||||||
4.000%, 12/15/2027(Callable 12/15/2026)(Insured by BAM) | 135,000 | 139,002 | ||||||||||
4.000%, 12/15/2028(Callable 12/15/2026)(Insured by BAM) | 205,000 | 210,174 | ||||||||||
Will County Community High School District No. 210: | ||||||||||||
4.000%, 01/01/2022(Callable 01/01/2019) | 85,000 | 85,041 | ||||||||||
0.000%, 01/01/2023(Insured by AGM) | 140,000 | 119,574 | ||||||||||
0.000%, 01/01/2026(Insured by AGM) | 195,000 | 145,882 | ||||||||||
0.000%, 01/01/2027 | 660,000 | 430,643 | ||||||||||
0.000%, 01/01/2027(Insured by AGM) | 115,000 | 82,079 | ||||||||||
0.000%, 01/01/2028 | 465,000 | 285,877 | ||||||||||
0.000%, 01/01/2028(Insured by AGM) | 100,000 | 68,086 | ||||||||||
0.000%, 01/01/2029 | 40,000 | 22,967 | ||||||||||
0.000%, 01/01/2033 | 175,000 | 78,642 | ||||||||||
3.375%, 01/01/2033(Callable 01/01/2023) | 20,000 | 15,724 | ||||||||||
Will County Community Unit School District No. 201, | ||||||||||||
0.000%, 11/01/2019(Insured by NATL) | 905,000 | 878,393 | ||||||||||
Will County IL School District No. 365, | ||||||||||||
0.000%, 11/01/2021(Insured by AGM) | 500,000 | 456,260 | ||||||||||
Will County Township High School District No. 204: | ||||||||||||
5.000%, 01/01/2025 | 125,000 | 141,783 | ||||||||||
6.250%, 01/01/2031(Callable 01/01/2021) | 300,000 | 330,411 | ||||||||||
Will Grundy Counties Community College District No. 525, | ||||||||||||
6.250%, 06/01/2024(Callable 07/30/2018)(Partially Pre-refunded) | 140,000 | 140,281 | ||||||||||
36,358,092 | 13.2 | % | ||||||||||
Indiana | ||||||||||||
Carmel Redevelopment Authority, | ||||||||||||
4.000%, 08/01/2033(Callable 08/01/2022) | 250,000 | 261,088 | ||||||||||
City of Jeffersonville IN: | ||||||||||||
5.000%, 01/01/2029(Callable 01/01/2028)(Insured by BAM) | 770,000 | 893,654 | ||||||||||
5.000%, 01/01/2030(Callable 01/01/2028)(Insured by BAM) | 325,000 | 376,032 | ||||||||||
City of Lawrence IN, | ||||||||||||
5.000%, 01/01/2027(Insured by BAM) | 385,000 | 445,799 | ||||||||||
City of Whiting IN, | ||||||||||||
1.850%, 06/01/2044(Mandatory Tender Date 10/01/2019)(1) | 300,000 | 299,154 | ||||||||||
Columbus Multi-High School Building Corp., | ||||||||||||
5.000%, 01/15/2029(Insured by ST) | 1,200,000 | 1,434,528 | ||||||||||
East Allen Multi School Building Corp., | ||||||||||||
5.000%, 07/15/2026(Callable 01/15/2023)(Insured by ST) | 165,000 | 183,772 | ||||||||||
Franklin Township Community School Corp., | ||||||||||||
5.000%, 01/15/2035(Callable 01/15/2023)(Insured by ST) | 775,000 | 854,748 | ||||||||||
Hammond Sanitary District: | ||||||||||||
5.000%, 01/15/2022(Insured by BAM) | 285,000 | 312,594 | ||||||||||
5.000%, 07/15/2026(Insured by BAM) | 585,000 | 671,112 | ||||||||||
5.000%, 01/15/2028(Callable 07/15/2027)(Insured by BAM) | 295,000 | 340,371 | ||||||||||
Indiana Bond Bank: | ||||||||||||
2.170%, 10/15/2022 (SIFMA Municipal Swap Index + 0.660%)(2) | 100,000 | 99,080 | ||||||||||
2.543%, 10/15/2022 (3 Month LIBOR USD + 0.970%)(2) | 510,000 | 510,041 | ||||||||||
Indiana Finance Authority, | ||||||||||||
5.500%, 08/15/2045(Callable 08/15/2020) | 165,000 | 171,669 | ||||||||||
Indiana Health & Educational Facilities Financing Authority, | ||||||||||||
1.750%, 11/15/2031(Mandatory Tender Date 11/02/2021)(1) | 500,000 | 495,030 | ||||||||||
IPS Multi-School Building Corp., | ||||||||||||
5.000%, 07/15/2026(Callable 01/15/2025)(Insured by ST) | 925,000 | 1,056,396 | ||||||||||
Kankakee Valley Middle School Building Corp., | ||||||||||||
5.000%, 01/15/2029(Insured by ST) | 1,000,000 | 1,173,550 | ||||||||||
Munster School Building Corp., | ||||||||||||
4.000%, 07/15/2024(Insured by ST) | 170,000 | 183,802 | ||||||||||
Shelbyville Central Renovation School Building Corp., | ||||||||||||
5.000%, 01/15/2029(Callable 07/15/2026)(Insured by ST)(6) | 210,000 | 242,957 | ||||||||||
10,005,377 | 3.6 | % | ||||||||||
Iowa | ||||||||||||
City of Coralville IA: | ||||||||||||
4.000%, 06/01/2019 | 100,000 | 102,161 | ||||||||||
4.000%, 05/01/2022 | 100,000 | 103,368 | ||||||||||
4.000%, 05/01/2037(Callable 05/01/2025) | 500,000 | 499,980 | ||||||||||
4.250%, 05/01/2037(Callable 05/01/2022) | 450,000 | 458,415 | ||||||||||
Iowa Higher Education Loan Authority, | ||||||||||||
2.000%, 12/01/2018(Callable 07/30/2018) | 1,000,000 | 1,000,100 | ||||||||||
2,164,024 | 0.8 | % | ||||||||||
Kansas | ||||||||||||
City of Hutchinson KS: | ||||||||||||
4.000%, 12/01/2020 | 330,000 | 338,775 | ||||||||||
4.000%, 12/01/2021 | 360,000 | 371,581 | ||||||||||
5.000%, 12/01/2022 | 140,000 | 150,644 | ||||||||||
City of Wichita KS, | ||||||||||||
3.000%, 09/01/2023(Callable 09/01/2022) | 1,325,000 | 1,319,395 | ||||||||||
Kansas Development Finance Authority, | ||||||||||||
5.000%, 12/01/2019(Insured by BAM) | 250,000 | 260,230 | ||||||||||
State of Kansas Department of Transportation, | ||||||||||||
1.728%, 09/01/2019 (1 Month LIBOR USD + 0.400%)(2) | 115,000 | 115,243 | ||||||||||
2,555,868 | 0.9 | % | ||||||||||
Kentucky | ||||||||||||
Kentucky Public Energy Authority, | ||||||||||||
4.000%, 04/01/2048(Callable 01/02/2024)(Mandatory Tender Date 04/01/2024)(1) | 500,000 | 532,985 | ||||||||||
Louisville & Jefferson County Metropolitan Government, | ||||||||||||
5.000%, 10/01/2019 | 325,000 | 337,568 | ||||||||||
870,553 | 0.3 | % | ||||||||||
Louisiana | ||||||||||||
City of Shreveport LA, | ||||||||||||
5.000%, 08/01/2023(Insured by BAM) | 350,000 | 394,681 | ||||||||||
Louisiana Public Facilities Authority, | ||||||||||||
5.000%, 10/01/2023 | 1,000,000 | 1,108,120 | ||||||||||
St. Tammany Parish Wide School District No. 12: | ||||||||||||
4.000%, 03/01/2035(Callable 03/01/2027) | 100,000 | 105,002 | ||||||||||
4.000%, 03/01/2036(Callable 03/01/2027) | 115,000 | 120,487 | ||||||||||
Terrebonne Parish Consolidated Government, | ||||||||||||
0.000%, 04/01/2034(Insured by AGM) | 715,000 | 388,624 | ||||||||||
2,116,914 | 0.8 | % | ||||||||||
Maine | ||||||||||||
Maine State Housing Authority: | ||||||||||||
3.500%, 11/15/2045(Callable 05/15/2025) | 255,000 | 262,295 | ||||||||||
4.000%, 11/15/2045(Callable 11/15/2025) | 570,000 | 594,778 | ||||||||||
3.500%, 11/15/2046(Callable 11/15/2025) | 65,000 | 66,795 | ||||||||||
923,868 | 0.3 | % | ||||||||||
Massachusetts | ||||||||||||
Eaton Vance Municipal Bond Fund II, | ||||||||||||
2.560%, 07/01/2019 (SIFMA Municipal Swap Index + 1.050%)(Callable 07/30/2018)(2)(3) | 150,000 | 150,109 | ||||||||||
Massachusetts Housing Finance Agency, | ||||||||||||
4.000%, 12/01/2028(Callable 06/01/2023) | 1,000,000 | 1,052,340 | ||||||||||
Town of Ashburnham MA, | ||||||||||||
4.250%, 07/01/2021(Callable 07/30/2018)(Insured by AGC) | 700,000 | 701,106 | ||||||||||
University of Massachusetts Building Authority, | ||||||||||||
5.000%, 11/01/2039(Callable 11/01/2024) | 310,000 | 349,860 | ||||||||||
2,253,415 | 0.8 | % | ||||||||||
Michigan | ||||||||||||
Adrian City School District, | ||||||||||||
5.000%, 05/01/2029(Callable 05/01/2027)(Insured by Q-SBLF) | 125,000 | 144,994 | ||||||||||
City of Detroit MI: | ||||||||||||
4.250%, 07/01/2018(Insured by BHAC) | 100,000 | 100,000 | ||||||||||
5.000%, 07/01/2039(Callable 07/01/2022)(Insured by AGM) | 155,000 | 164,249 | ||||||||||
5.250%, 07/01/2041(Callable 07/01/2021) | 50,000 | 53,778 | ||||||||||
City of Wyandotte MI, | ||||||||||||
5.000%, 10/01/2023(Insured by BAM) | 25,000 | 27,780 | ||||||||||
Detroit Michigan School District, | ||||||||||||
5.000%, 05/01/2033(Callable 05/01/2022)(Insured by Q-SBLF) | 1,000,000 | 1,084,210 | ||||||||||
Flushing Community Schools, | ||||||||||||
4.000%, 05/01/2029(Callable 05/01/2028)(Insured by Q-SBLF) | 220,000 | 242,141 | ||||||||||
Lake Orion Community School District, | ||||||||||||
5.000%, 05/01/2025(Insured by Q-SBLF) | 1,635,000 | 1,885,613 | ||||||||||
Michigan Finance Authority: | ||||||||||||
5.000%, 07/01/2034(Callable 07/01/2025) | 250,000 | 276,352 | ||||||||||
1.100%, 11/15/2046(Mandatory Tender Date 08/15/2019)(1) | 565,000 | 560,271 | ||||||||||
Roseville Community Schools, | ||||||||||||
5.000%, 05/01/2026(Insured by Q-SBLF) | 400,000 | 466,352 | ||||||||||
Trenton Public Schools School District: | ||||||||||||
5.000%, 05/01/2029(Callable 05/01/2028)(Insured by Q-SBLF) | 135,000 | 159,467 | ||||||||||
5.000%, 05/01/2030(Callable 05/01/2028)(Insured by Q-SBLF) | 300,000 | 353,247 | ||||||||||
Warren Consolidated Schools: | ||||||||||||
5.000%, 05/01/2019(Insured by BAM) | 130,000 | 133,531 | ||||||||||
5.000%, 05/01/2025(Insured by BAM) | 300,000 | 343,959 | ||||||||||
Western Michigan University, | ||||||||||||
5.000%, 11/15/2029(Callable 05/15/2025) | 250,000 | 283,298 | ||||||||||
Ypsilanti School District, | ||||||||||||
4.000%, 05/01/2020(Insured by Q-SBLF) | 50,000 | 51,904 | ||||||||||
6,331,146 | 2.3 | % | ||||||||||
Minnesota | ||||||||||||
City of Maple Grove MN: | ||||||||||||
5.000%, 05/01/2027 | 200,000 | 232,158 | ||||||||||
5.000%, 05/01/2031(Callable 05/01/2027) | 200,000 | 227,486 | ||||||||||
City of Plato MN, | ||||||||||||
4.000%, 04/01/2021 | 280,000 | 291,746 | ||||||||||
County of Kanabec MN, | ||||||||||||
2.750%, 12/01/2019(Callable 12/01/2018) | 600,000 | 600,426 | ||||||||||
Minneapolis & St Paul MN Housing Revenue Bonds, | ||||||||||||
0.000%, 08/15/2034(1) | 900,000 | 900,000 | ||||||||||
Minnesota Housing Finance Agency: | ||||||||||||
4.375%, 07/01/2026(Callable 07/01/2021)(Insured by GNMA) | 145,000 | 148,870 | ||||||||||
3.300%, 07/01/2029(Callable 07/01/2025) | 715,000 | 721,235 | ||||||||||
4.000%, 01/01/2047(Callable 01/01/2026)(Insured by GNMA) | 970,000 | 1,011,002 | ||||||||||
Plymouth Intermediate District No. 287: | ||||||||||||
4.000%, 02/01/2026 | 600,000 | 654,840 | ||||||||||
4.000%, 02/01/2027 | 200,000 | 218,504 | ||||||||||
4.000%, 02/01/2028(Callable 02/01/2027) | 350,000 | 380,709 | ||||||||||
4.000%, 02/01/2037(Callable 02/01/2027) | 250,000 | 263,357 | ||||||||||
5,650,333 | 2.1 | % | ||||||||||
Mississippi | ||||||||||||
City of Jackson MS, | ||||||||||||
4.000%, 09/01/2018(Insured by BAM) | 250,000 | 250,865 | ||||||||||
Mississippi Development Bank, | ||||||||||||
4.375%, 03/01/2023(Callable 07/01/2019)(Insured by AGC) | 150,000 | 153,117 | ||||||||||
Southwest Mississippi Regional Medical Center, | ||||||||||||
2.100%, 06/01/2019(Callable 12/01/2018) | 350,000 | 349,769 | ||||||||||
State of Mississippi, | ||||||||||||
5.000%, 10/15/2034(Callable 10/15/2025) | 1,000,000 | 1,127,840 | ||||||||||
1,881,591 | 0.7 | % |
Missouri | ||||||||||||
County of Boone MO, | ||||||||||||
4.000%, 08/01/2019 | 250,000 | 254,522 | ||||||||||
Industrial Development Authority of the City of St. Louis MO, | ||||||||||||
4.750%, 11/15/2047(Callable 11/15/2026) | 500,000 | 514,940 | ||||||||||
Missouri Housing Development Commission: | ||||||||||||
3.700%, 11/01/2035(Callable 05/01/2025)(Insured by GNMA) | 180,000 | 182,272 | ||||||||||
3.950%, 11/01/2040(Callable 05/01/2025)(Insured by GNMA) | 1,025,000 | 1,051,250 | ||||||||||
4.000%, 05/01/2042(Callable 11/01/2026)(Insured by GNMA) | 1,175,000 | 1,238,697 | ||||||||||
Move Rolla Transportation Development District, | ||||||||||||
3.750%, 06/01/2029(Callable 06/01/2026) | 435,000 | 439,150 | ||||||||||
St. Louis Municipal Finance Corp., | ||||||||||||
3.000%, 06/01/2020(Insured by AGM) | 130,000 | 132,769 | ||||||||||
St. Louis Regional Convention & Sports Complex Authority, | ||||||||||||
5.250%, 08/15/2019(Insured by AMBAC) | 70,000 | 72,332 | ||||||||||
State of Missouri Environmental Improvement & Energy Resources Authority, | ||||||||||||
1.855%, 12/01/2022(Insured by NATL)(1)(5) | 500,000 | 491,735 | ||||||||||
State of Missouri Health & Educational Facilities Authority: | ||||||||||||
4.000%, 08/01/2018 | 100,000 | 100,176 | ||||||||||
4.000%, 08/01/2019 | 150,000 | 153,408 | ||||||||||
0.000%, 03/01/2040(1) | 400,000 | 400,000 | ||||||||||
5,031,251 | 1.8 | % | ||||||||||
Montana | ||||||||||||
City of Billings MT: | ||||||||||||
5.000%, 07/01/2028(Callable 07/01/2027) | 300,000 | 354,249 | ||||||||||
5.000%, 07/01/2029(Callable 07/01/2027) | 550,000 | 646,580 | ||||||||||
Flathead County School District No. 44, | ||||||||||||
4.000%, 07/01/2038(Callable 07/01/2028) | 305,000 | 322,516 | ||||||||||
Montana Board of Housing: | ||||||||||||
3.600%, 12/01/2030(Callable 06/01/2022) | 445,000 | 452,961 | ||||||||||
3.750%, 12/01/2038(Callable 12/01/2027)(Insured by FHA) | 500,000 | 504,335 | ||||||||||
Yellowstone County School District No. 8, | ||||||||||||
5.000%, 07/01/2027 | 220,000 | 258,058 | ||||||||||
2,538,699 | 0.9 | % | ||||||||||
Nebraska | ||||||||||||
Central Plains Energy Project: | ||||||||||||
5.000%, 09/01/2027(Callable 09/01/2022) | 40,000 | 43,762 | ||||||||||
5.000%, 09/01/2042(Callable 09/01/2022) | 450,000 | 492,318 | ||||||||||
County of Buffalo NE: | ||||||||||||
4.000%, 12/15/2029(Callable 09/13/2021) | 200,000 | 211,486 | ||||||||||
4.000%, 12/15/2031(Callable 09/13/2021) | 300,000 | 316,656 | ||||||||||
Douglas County Hospital Authority No. 2, | ||||||||||||
5.000%, 05/15/2019 | 150,000 | 153,975 | ||||||||||
Gering School District: | ||||||||||||
5.000%, 12/01/2031(Callable 05/30/2022) | 25,000 | 27,430 | ||||||||||
5.000%, 12/01/2033(Callable 05/30/2022) | 430,000 | 470,115 | ||||||||||
5.000%, 12/01/2034(Callable 05/30/2022) | 300,000 | 327,402 | ||||||||||
Nebraska Investment Finance Authority: | ||||||||||||
3.500%, 09/01/2036(Callable 03/01/2025) | 395,000 | 397,322 | ||||||||||
3.500%, 09/01/2046(Callable 03/01/2025) | 185,000 | 190,197 | ||||||||||
Papio-Missouri River Natural Resource District: | ||||||||||||
4.000%, 12/15/2027(Callable 06/15/2022) | 150,000 | 158,353 | ||||||||||
4.000%, 12/15/2028(Callable 06/15/2022) | 210,000 | 221,290 | ||||||||||
Village of Boys Town NE, | ||||||||||||
3.000%, 09/01/2028 | 500,000 | 503,045 | ||||||||||
3,513,351 | 1.3 | % | ||||||||||
Nevada | ||||||||||||
City of North Las Vegas NV, | ||||||||||||
2.000%, 12/01/2018 | 185,000 | 185,065 | ||||||||||
Las Vegas Convention & Visitors Authority, | ||||||||||||
5.000%, 07/01/2026 | 1,000,000 | 1,156,610 | ||||||||||
Nevada Housing Division: | ||||||||||||
1.200%, 02/01/2019(Callable 07/20/2018)(Mandatory Tender Date 08/01/2018)(1) | 140,000 | 139,955 | ||||||||||
4.400%, 04/01/2029(Callable 10/01/2021)(Insured by GNMA) | 720,000 | 741,924 | ||||||||||
5.375%, 10/01/2039(Callable 04/01/2019)(Insured by GNMA) | 195,000 | 197,691 | ||||||||||
State of Nevada, | ||||||||||||
5.000%, 06/01/2033(Callable 12/01/2023) | 300,000 | 333,876 | ||||||||||
Washoe County School District, | ||||||||||||
5.000%, 05/01/2030(Callable 05/01/2027) | 525,000 | 609,415 | ||||||||||
3,364,536 | 1.2 | % | ||||||||||
New Jersey | ||||||||||||
City of Atlantic City NJ: | ||||||||||||
4.000%, 03/01/2019(Insured by AGM) | 200,000 | 202,716 | ||||||||||
5.000%, 03/01/2020(Insured by AGM) | 200,000 | 209,414 | ||||||||||
5.000%, 03/01/2021(Insured by BAM) | 100,000 | 106,448 | ||||||||||
City of Trenton NJ, | ||||||||||||
4.000%, 07/15/2023(Insured by AGM) | 400,000 | 424,896 | ||||||||||
City of Union City NJ, | ||||||||||||
5.000%, 11/01/2023(Insured by ST) | 375,000 | 415,361 | ||||||||||
Landis Sewage Authority, | ||||||||||||
4.500%, 09/19/2019(Insured by NATL)(1)(5) | 100,000 | 100,000 | ||||||||||
New Jersey Economic Development Authority: | ||||||||||||
5.000%, 07/15/2019 | 130,000 | 133,388 | ||||||||||
5.000%, 07/15/2020 | 100,000 | 104,641 | ||||||||||
5.000%, 06/15/2023(Insured by BAM) | 295,000 | 324,801 | ||||||||||
5.000%, 03/01/2024(Callable 03/01/2023) | 150,000 | 161,937 | ||||||||||
3.125%, 07/01/2029(Callable 07/01/2027) | 200,000 | 196,070 | ||||||||||
New Jersey Health Care Facilities Financing Authority: | ||||||||||||
5.000%, 07/01/2025(Insured by AGM) | 200,000 | 228,046 | ||||||||||
4.500%, 11/15/2025(Callable 11/15/2020) | 150,000 | 159,411 | ||||||||||
4.000%, 07/01/2026(Callable 07/01/2022) | 1,000,000 | 1,057,470 | ||||||||||
5.000%, 07/01/2026(Callable 07/01/2025)(Insured by AGM) | 225,000 | 257,013 | ||||||||||
New Jersey Housing & Mortgage Finance Agency: | ||||||||||||
1.350%, 02/01/2020(Mandatory Tender Date 02/01/2019)(1) | 710,000 | 708,331 | ||||||||||
4.500%, 10/01/2048(Callable 10/01/2027) | 1,500,000 | 1,606,755 | ||||||||||
New Jersey Transportation Trust Fund Authority: | ||||||||||||
5.250%, 12/15/2019 | 345,000 | 360,487 | ||||||||||
5.000%, 06/15/2021(Callable 07/25/2018) | 350,000 | 350,784 | ||||||||||
0.000%, 12/15/2024(Insured by BHAC) | 555,000 | 462,698 | ||||||||||
New Jersey Turnpike Authority: | ||||||||||||
5.000%, 01/01/2026(Callable 01/01/2023) | 500,000 | 555,525 | ||||||||||
5.000%, 01/01/2029(Callable 01/01/2028) | 50,000 | 59,024 | ||||||||||
2.138%, 01/01/2030 (1 Month LIBOR USD + 0.750%)(Callable 07/01/2022)(Mandatory Tender Date 01/01/2023)(2) | 650,000 | 656,351 | ||||||||||
Passaic Valley Sewerage Commission, | ||||||||||||
5.750%, 12/01/2022 | 500,000 | 568,805 | ||||||||||
9,410,372 | 3.4 | % | ||||||||||
New Mexico | ||||||||||||
New Mexico Hospital Equipment Loan Council, | ||||||||||||
4.750%, 07/01/2022 | 635,000 | 655,599 | ||||||||||
New Mexico Mortgage Finance Authority, | ||||||||||||
3.500%, 09/01/2036(Callable 03/01/2025) | 975,000 | 974,971 | ||||||||||
New Mexico Municipal Energy Acquisition Authority, | ||||||||||||
2.078%, 11/01/2039 (1 Month LIBOR USD + 0.750%)(Callable 02/01/2019)(Mandatory Tender Date 08/01/2019)(2) | 315,000 | 315,296 | ||||||||||
1,945,866 | 0.7 | % | ||||||||||
New York | ||||||||||||
Brooklyn Arena Local Development Corp., | ||||||||||||
4.000%, 07/15/2029(Callable 01/15/2027)(Insured by AGM) | 610,000 | 647,118 | ||||||||||
City of New York, | ||||||||||||
1.540%, 08/01/2021(Optional Put Date 06/29/2018)(Insured by AGM)(1) | 900,000 | 900,000 | ||||||||||
City of New York NY, | ||||||||||||
5.250%, 07/01/2029(Callable 07/01/2023) | 250,000 | 278,117 | ||||||||||
County of Nassau NY: | ||||||||||||
5.000%, 07/01/2022(Callable 07/01/2018)(Insured by AGM) | 95,000 | 95,000 | ||||||||||
5.000%, 07/01/2022(Callable 07/01/2018)(Insured by AGM) | 5,000 | 5,000 | ||||||||||
Long Island Power Authority, | ||||||||||||
2.038%, 05/01/2033 (1 Month LIBOR USD + 0.650%)(Callable 07/30/2018)(Mandatory Tender Date 11/01/2018)(2) | 200,000 | 200,036 | ||||||||||
Metropolitan Transportation Authority, | ||||||||||||
5.000%, 11/15/2038(Callable 11/15/2023) | 500,000 | 552,080 | ||||||||||
MTA Hudson Rail Yards Trust Obligations, | ||||||||||||
5.000%, 11/15/2046(Callable 11/15/2019) | 1,250,000 | 1,293,575 | ||||||||||
New York City Municipal Water Revenue, | ||||||||||||
0.000%, 06/15/2033(1) | 595,000 | 595,000 | ||||||||||
New York City Transitional Finance Authority, | ||||||||||||
1.670%, 11/01/2022(Optional Put Date 06/29/2018)(1) | 1,200,000 | 1,200,000 | ||||||||||
New York City Transitional Finance Authority Future Tax Secured Revenue: | ||||||||||||
1.650%, 08/01/2022(Optional Put Date 06/29/2018)(1) | 500,000 | 500,000 | ||||||||||
5.000%, 08/01/2034(Callable 08/01/2026) | 650,000 | 744,634 | ||||||||||
New York State Dormitory Authority: | ||||||||||||
4.000%, 12/01/2018 | 400,000 | 402,904 | ||||||||||
5.000%, 07/01/2023(Insured by ST) | 150,000 | 170,600 | ||||||||||
New York State Energy Research & Development Authority, | ||||||||||||
2.728%, 05/01/2032(Optional Put Date 07/26/2018)(1)(5) | 100,000 | 99,998 | ||||||||||
Niskayuna Central School District, | ||||||||||||
1.630%, 03/15/2019(Insured by ST) | 165,000 | 164,152 | ||||||||||
Port Authority of New York & New Jersey, | ||||||||||||
5.000%, 09/01/2031(Callable 09/01/2024) | 270,000 | 308,645 | ||||||||||
State of New York Mortgage Agency, | ||||||||||||
3.500%, 10/01/2043(Callable 04/01/2023) | 375,000 | 384,791 | ||||||||||
Triborough Bridge & Tunnel Authority, | ||||||||||||
1.923%, 01/01/2031 (1 Month LIBOR USD + 0.580%)(Callable 11/01/2018)(Mandatory Tender Date 12/01/2018)(2) | 235,000 | 235,207 | ||||||||||
8,776,857 | 3.2 | % | ||||||||||
North Carolina | ||||||||||||
North Carolina Capital Facilities Finance Agency, | ||||||||||||
5.000%, 06/01/2022(Insured by AGC) | 150,000 | 163,011 | ||||||||||
North Carolina Housing Finance Agency, | ||||||||||||
4.000%, 07/01/2047(Callable 01/01/2027) | 640,000 | 673,133 | ||||||||||
Wilmington Housing Authority, | ||||||||||||
1.500%, 10/01/2020(Mandatory Tender Date 10/01/2019)(1) | 1,000,000 | 995,460 | ||||||||||
1,831,604 | 0.7 | % | ||||||||||
North Dakota | ||||||||||||
City of Mandan ND, | ||||||||||||
2.750%, 09/01/2041(Callable 07/30/2018) | 1,170,000 | 1,140,902 | ||||||||||
County of Ward ND, | ||||||||||||
4.000%, 04/01/2026(Callable 04/01/2023)(Insured by AGM) | 1,030,000 | 1,076,124 | ||||||||||
Jamestown Park District, | ||||||||||||
2.900%, 07/01/2035(Callable 07/16/2018) | 1,535,000 | 1,506,111 | ||||||||||
North Dakota Housing Finance Agency, | ||||||||||||
3.500%, 07/01/2046(Callable 01/01/2026) | 440,000 | 453,904 | ||||||||||
4,177,041 | 1.5 | % | ||||||||||
Ohio | ||||||||||||
American Municipal Power, Inc., | ||||||||||||
5.250%, 02/15/2027(Pre-refunded to 02/15/2022) | 285,000 | 316,207 | ||||||||||
City of Bowling Green OH, | ||||||||||||
4.500%, 06/01/2019(ETM) | 80,000 | 82,067 | ||||||||||
City of Cleveland OH: | ||||||||||||
5.000%, 10/01/2023 | 430,000 | 487,035 | ||||||||||
5.000%, 01/01/2025(Insured by AGM) | 100,000 | 113,617 | ||||||||||
Clermont County Port Authority, | ||||||||||||
5.000%, 12/01/2023(Insured by BAM) | 310,000 | 350,833 | ||||||||||
Columbus-Franklin County Finance Authority: | ||||||||||||
3.820%, 11/15/2036(Callable 11/15/2021) | 500,000 | 502,655 | ||||||||||
4.000%, 11/15/2038(Callable 05/15/2022) | 345,000 | 345,721 | ||||||||||
County of Licking OH: | ||||||||||||
4.000%, 12/01/2026(Callable 12/01/2021) | 105,000 | 110,610 | ||||||||||
4.000%, 12/01/2027(Callable 12/01/2021) | 60,000 | 63,045 | ||||||||||
4.000%, 12/01/2028(Callable 12/01/2021) | 250,000 | 262,100 | ||||||||||
County of Lorain OH: | ||||||||||||
2.000%, 11/07/2018 | 750,000 | 750,787 | ||||||||||
2.500%, 04/11/2019 | 150,000 | 150,941 | ||||||||||
4.000%, 12/01/2028(Callable 12/01/2023) | 180,000 | 191,704 | ||||||||||
5.000%, 12/01/2031(Callable 12/01/2023) | 480,000 | 538,560 | ||||||||||
Lancaster Port Authority, | ||||||||||||
1.948%, 08/01/2019 (1 Month LIBOR USD + 0.620%)(Callable 02/01/2019)(2) | 200,000 | 200,120 | ||||||||||
New Riegel Local School District, | ||||||||||||
4.000%, 12/01/2033(Callable 12/01/2020)(Insured by BAM) | 215,000 | 221,835 | ||||||||||
Ohio Housing Finance Agency: | ||||||||||||
3.200%, 09/01/2036(Callable 09/01/2025)(Insured by GNMA) | 945,000 | 927,064 | ||||||||||
4.000%, 03/01/2047(Callable 09/01/2025)(Insured by GNMA) | 390,000 | 407,721 | ||||||||||
Ohio Turnpike & Infrastructure Commission: | ||||||||||||
0.000%, 02/15/2034(Callable 02/15/2031) | 650,000 | 633,237 | ||||||||||
0.000%, 02/15/2036(Callable 02/15/2031) | 335,000 | 326,156 | ||||||||||
State of Ohio, | ||||||||||||
5.000%, 11/15/2028(Callable 05/15/2023) | 225,000 | 252,043 | ||||||||||
7,234,058 | 2.6 | % | ||||||||||
Oklahoma | ||||||||||||
Catoosa Industrial Authority, | ||||||||||||
4.000%, 10/01/2028(Callable 10/01/2026)(6) | 350,000 | 349,111 | ||||||||||
Oklahoma Housing Finance Agency, | ||||||||||||
3.300%, 03/01/2031(Callable 03/01/2022)(Insured by GNMA) | 560,000 | 564,911 | ||||||||||
Oklahoma Water Resources Board, | ||||||||||||
5.000%, 10/01/2028(Callable 10/01/2024) | 180,000 | 208,681 | ||||||||||
1,122,703 | 0.4 | % | ||||||||||
Oregon | ||||||||||||
Clackamas Community College District, | ||||||||||||
0.000%, 06/15/2040(Callable 06/15/2027) | 300,000 | 310,896 | ||||||||||
Oregon State Facilities Authority, | ||||||||||||
2.510%, 10/01/2022 (SIFMA Municipal Swap Index + 1.000%)(Callable 07/30/2018)(Mandatory Tender Date 09/15/2018)(2) | 250,000 | 250,150 | ||||||||||
Salem Hospital Facility Authority, | ||||||||||||
5.000%, 05/15/2035(Callable 05/15/2026) | 500,000 | 559,920 | ||||||||||
Umatilla County School District, | ||||||||||||
0.000%, 06/15/2030 | 100,000 | 88,370 | ||||||||||
Umatilla County School District No. 6R: | ||||||||||||
0.000%, 06/15/2028(Callable 06/15/2027)(Insured by SCH BD GTY) | 100,000 | 89,123 | ||||||||||
0.000%, 06/15/2035(Callable 06/15/2027)(Insured by SCH BD GTY) | 415,000 | 360,569 | ||||||||||
Washington & Multnomah Counties School District No. 48J: | ||||||||||||
5.000%, 06/15/2035(Callable 06/15/2027)(Insured by SCH BD GTY) | 505,000 | 587,199 | ||||||||||
5.000%, 06/15/2036(Callable 06/15/2027)(Insured by SCH BD GTY) | 1,150,000 | 1,334,241 | ||||||||||
3,580,468 | 1.3 | % | ||||||||||
Pennsylvania | ||||||||||||
Bethlehem Parking Authority, | ||||||||||||
2.000%, 10/01/2018(Insured by BAM) | 250,000 | 250,300 | ||||||||||
City of Philadelphia PA, | ||||||||||||
5.000%, 08/01/2020 | 270,000 | 286,856 | ||||||||||
Commonwealth Financing Authority: | ||||||||||||
5.000%, 06/01/2022 | 750,000 | 821,190 | ||||||||||
4.000%, 06/01/2039(Callable 06/01/2028)(Insured by AGM) | 1,500,000 | 1,527,030 | ||||||||||
Delaware County Authority, | ||||||||||||
3.000%, 06/01/2019 | 200,000 | 201,054 | ||||||||||
Greater Latrobe School Authority, | ||||||||||||
2.250%, 04/15/2019(Callable 07/30/2018)(Insured by AGM) | 670,000 | 670,703 | ||||||||||
Indiana County Industrial Development Authority, | ||||||||||||
1.450%, 09/01/2020(Callable 03/01/2020) | 1,000,000 | 982,250 | ||||||||||
Northampton County General Purpose Authority, | ||||||||||||
2.910%, 08/15/2043 (SIFMA Municipal Swap Index + 1.400%)(Callable 02/15/2020)(Mandatory Tender Date 08/15/2020)(2) | 225,000 | 227,740 | ||||||||||
Penn Hills School District, | ||||||||||||
5.000%, 11/15/2018(Insured by BAM) | 410,000 | 414,428 | ||||||||||
Pennsylvania Higher Educational Facilities Authority, | ||||||||||||
5.250%, 07/01/2019 | 510,000 | 517,900 | ||||||||||
Pennsylvania Housing Finance Agency, | ||||||||||||
3.500%, 10/01/2046(Callable 10/01/2025) | 475,000 | 487,967 | ||||||||||
Pennsylvania Turnpike Commission: | ||||||||||||
5.000%, 06/01/2019 | 25,000 | 25,754 | ||||||||||
5.000%, 06/01/2020 | 50,000 | 52,982 | ||||||||||
5.000%, 12/01/2023(Pre-refunded to 12/01/2019) | 200,000 | 208,874 | ||||||||||
0.000%, 12/01/2028 | 305,000 | 336,189 | ||||||||||
6.000%, 12/01/2030(Callable 12/01/2027)(Insured by AGM) | 50,000 | 62,265 | ||||||||||
6.000%, 12/01/2030(Callable 12/01/2027)(Insured by BAM) | 205,000 | 254,333 | ||||||||||
0.000%, 12/01/2038(Callable 12/01/2028) | 290,000 | 316,196 | ||||||||||
6.375%, 12/01/2038(Callable 12/01/2027)(1) | 490,000 | 606,997 | ||||||||||
Reading School District, | ||||||||||||
5.000%, 02/01/2023(Insured by AGM) | 230,000 | 255,353 | ||||||||||
School District of Philadelphia: | ||||||||||||
5.000%, 09/01/2018(Insured by ST) | 300,000 | 301,635 | ||||||||||
5.000%, 09/01/2023(Insured by ST) | 55,000 | 61,139 | ||||||||||
Sports & Exhibition Authority of Pittsburgh and Allegheny County, | ||||||||||||
5.000%, 12/15/2028(Callable 12/15/2027)(Insured by BAM) | 500,000 | 576,410 | ||||||||||
Upper Moreland Township School District, | ||||||||||||
5.000%, 10/01/2030(Callable 04/01/2025)(Insured by ST) | 250,000 | 285,063 | ||||||||||
Washington County Industrial Development Authority, | ||||||||||||
5.000%, 11/01/2019 | 285,000 | 295,950 | ||||||||||
West Mifflin Sanitary Sewer Municipal Authority, | ||||||||||||
4.000%, 08/01/2020(Insured by BAM) | 125,000 | 130,426 | ||||||||||
Westmoreland County Municipal Authority, | ||||||||||||
5.000%, 08/15/2028(Callable 08/15/2027)(Insured by BAM) | 1,540,000 | 1,794,716 | ||||||||||
11,951,700 | 4.4 | % | ||||||||||
Puerto Rico | ||||||||||||
Commonwealth of Puerto Rico: | ||||||||||||
4.750%, 07/01/2018(Insured by AGC) | 60,000 | 60,000 | ||||||||||
5.500%, 07/01/2018(Insured by NATL) | 200,000 | 200,000 | ||||||||||
260,000 | 0.1 | % | ||||||||||
Rhode Island | ||||||||||||
Providence Public Buildings Authority, | ||||||||||||
5.125%, 06/15/2021(Insured by AGM) | 60,000 | 62,578 | ||||||||||
Rhode Island Health & Educational Building Corp., | ||||||||||||
5.000%, 05/15/2024(Insured by BAM) | 200,000 | 227,004 | ||||||||||
Rhode Island Housing & Mortgage Finance Corp., | ||||||||||||
3.500%, 10/01/2046(Callable 04/01/2025) | 150,000 | 153,737 | ||||||||||
443,319 | 0.2 | % |
South Carolina | ||||||||||||
City of Greenville SC, | ||||||||||||
5.000%, 02/01/2025(Callable 02/01/2022) | 325,000 | 358,615 | ||||||||||
County of Florence SC, | ||||||||||||
5.000%, 11/01/2033(Callable 11/01/2024) | 250,000 | 279,682 | ||||||||||
Scago Educational Facilities Corp. for Union School District, | ||||||||||||
5.000%, 12/01/2023(Insured by BAM) | 500,000 | 564,505 | ||||||||||
South Carolina Educational Facilities Authority, | ||||||||||||
1.570%, 10/01/2039(Optional Put Date 06/29/2018)(1) | 360,000 | 360,000 | ||||||||||
Sumter Two School Facilities, Inc., | ||||||||||||
5.000%, 12/01/2023(Insured by BAM) | 200,000 | 222,902 | ||||||||||
University of South Carolina, | ||||||||||||
5.000%, 05/01/2023 | 140,000 | 157,447 | ||||||||||
1,943,151 | 0.7 | % | ||||||||||
South Dakota | ||||||||||||
South Dakota Health & Educational Facilities Authority, | ||||||||||||
5.000%, 09/01/2028(Pre-refunded to 09/01/2020) | 330,000 | 352,206 | ||||||||||
South Dakota Housing Development Authority, | ||||||||||||
3.375%, 05/01/2033(Callable 05/01/2022) | 350,000 | 353,059 | ||||||||||
705,265 | 0.3 | % | ||||||||||
Tennessee | ||||||||||||
Knox County Health Educational & Housing Facility Board: | ||||||||||||
1.150%, 08/01/2018 | 625,000 | 624,863 | ||||||||||
5.000%, 04/01/2022 | 200,000 | 217,012 | ||||||||||
5.000%, 01/01/2026(Callable 01/01/2023) | 145,000 | 160,384 | ||||||||||
Nashville & Davidson County Metropolitan Government, | ||||||||||||
1.550%, 11/15/2030(Mandatory Tender Date 11/03/2020)(1) | 255,000 | 253,029 | ||||||||||
Tennessee Energy Acquisition Corp.: | ||||||||||||
5.625%, 09/01/2026 | 50,000 | 57,141 | ||||||||||
4.000%, 05/01/2048(Callable 02/01/2023)(Mandatory Tender Date 05/01/2023)(1) | 350,000 | 372,743 | ||||||||||
Tennessee Housing Development Agency: | ||||||||||||
3.600%, 01/01/2031(Callable 01/01/2023) | 275,000 | 278,107 | ||||||||||
4.000%, 01/01/2042(Callable 07/01/2026) | 285,000 | 299,857 | ||||||||||
4.000%, 07/01/2043(Callable 01/01/2023) | 55,000 | 55,615 | ||||||||||
4.000%, 07/01/2045(Callable 01/01/2025) | 200,000 | 208,494 | ||||||||||
2,527,245 | 0.9 | % | ||||||||||
Texas | ||||||||||||
Allen Independent School District, | ||||||||||||
5.000%, 02/15/2023(PSF Guaranteed) | 350,000 | 394,264 | ||||||||||
Arlington Higher Education Finance Corp., | ||||||||||||
4.000%, 08/15/2028(Callable 08/15/2026)(PSF Guaranteed) | 250,000 | 271,072 | ||||||||||
Bexar County Health Facilities Development Corp.: | ||||||||||||
5.000%, 07/15/2021 | 145,000 | 154,954 | ||||||||||
5.000%, 07/15/2021 | 250,000 | 267,163 | ||||||||||
5.000%, 07/15/2022 | 200,000 | 216,590 | ||||||||||
Brazoria-Fort Bend County Municipal Utility, | ||||||||||||
2.000%, 09/01/2019(Insured by MAC) | 180,000 | 179,915 | ||||||||||
Burleson Independent School District, | ||||||||||||
2.500%, 02/01/2047(Mandatory Tender Date 08/01/2022)(PSF Guaranteed)(1)(6) | 675,000 | 679,171 | ||||||||||
Central Texas Turnpike System, | ||||||||||||
5.000%, 08/15/2042(Mandatory Tender Date 04/01/2020)(1) | 500,000 | 525,045 | ||||||||||
City of Amarillo Waterworks & Sewer System Revenue, | ||||||||||||
5.000%, 04/01/2027(6) | 175,000 | 207,055 | ||||||||||
City of Bryan TX, | ||||||||||||
5.000%, 07/01/2030(Callable 07/01/2027)(Insured by AGM) | 525,000 | 610,381 | ||||||||||
City of Dallas TX, | ||||||||||||
5.000%, 02/15/2021 | 550,000 | 593,455 | ||||||||||
City of Houston TX, | ||||||||||||
2.770%, 09/01/2033(Insured by AMBAC)(1)(5) | 800,000 | 742,256 | ||||||||||
City of Round Rock TX: | ||||||||||||
4.000%, 12/01/2022 | 280,000 | 299,247 | ||||||||||
4.000%, 12/01/2024 | 205,000 | 220,338 | ||||||||||
Clifton Higher Education Finance Corp., | ||||||||||||
5.000%, 08/15/2018 | 180,000 | 180,711 | ||||||||||
Crane County Water District, | ||||||||||||
5.000%, 02/15/2023 | 250,000 | 279,632 | ||||||||||
Danbury Higher Education Authority, Inc.: | ||||||||||||
4.000%, 02/15/2027(PSF Guaranteed) | 200,000 | 215,396 | ||||||||||
4.000%, 02/15/2028(Callable 02/15/2027)(PSF Guaranteed) | 200,000 | 214,924 | ||||||||||
4.000%, 02/15/2030(Callable 02/15/2027)(PSF Guaranteed) | 200,000 | 212,270 | ||||||||||
4.000%, 02/15/2031(Callable 02/15/2027)(PSF Guaranteed) | 200,000 | 211,806 | ||||||||||
5.000%, 02/15/2047(Callable 02/15/2022)(PSF Guaranteed) | 500,000 | 541,155 | ||||||||||
Dickinson Independent School District, | ||||||||||||
1.350%, 08/01/2037(Mandatory Tender Date 08/01/2019)(PSF Guaranteed)(1) | 750,000 | 746,805 | ||||||||||
Ferris Independent School District, | ||||||||||||
5.000%, 08/15/2029(Callable 08/15/2026)(PSF Guaranteed) | 560,000 | 650,642 | ||||||||||
Fort Bend Independent School District, | ||||||||||||
1.350%, 08/01/2042(Mandatory Tender Date 08/01/2020)(PSF Guaranteed)(1) | 1,000,000 | 986,430 | ||||||||||
Grand Parkway Transportation Corp.: | ||||||||||||
0.000%, 10/01/2034(Callable 10/01/2028) | 40,000 | 37,218 | ||||||||||
0.000%, 10/01/2048(Callable 10/01/2028) | 250,000 | 232,015 | ||||||||||
Harris County Cultural Education Facilities Finance Corp.: | ||||||||||||
5.000%, 12/01/2026(Callable 12/01/2024) | 100,000 | 113,329 | ||||||||||
5.000%, 12/01/2035(Callable 12/01/2022) | 185,000 | 203,145 | ||||||||||
Harris County Municipal Utility District No. 390, | ||||||||||||
2.000%, 04/01/2019(Insured by BAM) | 375,000 | 375,604 | ||||||||||
Harris County Municipal Utility District No. 500, | ||||||||||||
3.000%, 12/01/2022(Insured by AGM) | 175,000 | 178,117 | ||||||||||
Harris County Municipal Utility District No. 71, | ||||||||||||
4.000%, 09/01/2028(Callable 09/01/2023)(Insured by BAM) | 250,000 | 259,075 | ||||||||||
Harris County-Houston Sports Authority, | ||||||||||||
5.000%, 11/15/2026(Callable 11/15/2024)(Insured by AGM) | 135,000 | 153,724 | ||||||||||
Lake Travis Independent School District, | ||||||||||||
2.625%, 02/15/2048(Mandatory Tender Date 02/15/2022)(PSF Guaranteed)(1) | 225,000 | 228,539 | ||||||||||
Lamar Consolidated Independent School District, | ||||||||||||
1.050%, 08/15/2047(Mandatory Tender Date 08/15/2018)(PSF Guaranteed)(1) | 600,000 | 599,610 | ||||||||||
Laredo Community College District: | ||||||||||||
5.000%, 08/01/2028(Callable 08/01/2027)(Insured by BAM) | 250,000 | 289,685 | ||||||||||
5.000%, 08/01/2030(Callable 08/01/2027)(Insured by BAM) | 500,000 | 575,080 | ||||||||||
Leander Independent School District, | ||||||||||||
0.000%, 08/15/2047(Pre-refunded to 08/15/2024)(PSF Guaranteed) | 950,000 | 232,969 | ||||||||||
Mansfield Independent School District: | ||||||||||||
2.500%, 08/01/2042(Mandatory Tender Date 08/01/2021)(PSF Guaranteed)(1) | 500,000 | 506,525 | ||||||||||
5.000%, 02/15/2047(Callable 02/15/2020)(PSF Guaranteed) | 1,400,000 | 1,465,086 | ||||||||||
Mesquite Independent School District, | ||||||||||||
5.000%, 08/15/2029(Callable 08/15/2025)(PSF Guaranteed) | 500,000 | 575,390 | ||||||||||
Montgomery County Municipal Utility District No. 119: | ||||||||||||
4.000%, 04/01/2023(Insured by BAM) | 200,000 | 214,820 | ||||||||||
4.000%, 04/01/2024(Insured by BAM) | 200,000 | 213,852 | ||||||||||
New Caney Independent School District, | ||||||||||||
3.000%, 02/15/2050(Mandatory Tender Date 08/15/2021)(PSF Guaranteed)(1)(6) | 575,000 | 588,599 | ||||||||||
New Hope Cultural Education Facilities Finance Corp.: | ||||||||||||
3.000%, 07/01/2019 | 125,000 | 126,065 | ||||||||||
4.000%, 04/01/2020 | 175,000 | 180,570 | ||||||||||
4.000%, 07/01/2022 | 120,000 | 126,522 | ||||||||||
3.625%, 08/15/2022(Callable 08/15/2021) | 230,000 | 227,953 | ||||||||||
North Texas Tollway Authority: | ||||||||||||
5.000%, 01/01/2024 | 100,000 | 114,027 | ||||||||||
5.000%, 01/01/2033(Callable 01/01/2026) | 675,000 | 766,463 | ||||||||||
0.000%, 09/01/2037(Pre-refunded to 09/01/2031) | 2,000,000 | 860,800 | ||||||||||
5.500%, 09/01/2041(Pre-refunded to 09/01/2021) | 240,000 | 265,601 | ||||||||||
0.000%, 09/01/2043(Pre-refunded to 09/01/2031) | 350,000 | 382,763 | ||||||||||
Northside Independent School District, | ||||||||||||
2.125%, 08/01/2040(Callable 08/01/2018)(Mandatory Tender Date 08/01/2020)(PSF Guaranteed)(1) | 500,000 | 500,070 | ||||||||||
Rio Vista Independent School District, | ||||||||||||
4.000%, 08/15/2028(Callable 08/15/2025)(Insured by BAM) | 125,000 | 131,805 | ||||||||||
Rosebud-Lott Independent School District: | ||||||||||||
5.500%, 02/15/2030(Callable 02/15/2025)(PSF Guaranteed) | 100,000 | 118,657 | ||||||||||
5.500%, 02/15/2031(Callable 02/15/2025)(PSF Guaranteed) | 100,000 | 118,791 | ||||||||||
SA Energy Acquisition Public Facility Corp., | ||||||||||||
5.500%, 08/01/2022 | 115,000 | 128,531 | ||||||||||
San Angelo Independent School District, | ||||||||||||
5.000%, 02/15/2029(Callable 02/15/2024)(PSF Guaranteed) | 1,250,000 | 1,415,575 | ||||||||||
San Juan Higher Education Finance Authority, | ||||||||||||
5.125%, 08/15/2020 | 555,000 | 576,218 | ||||||||||
Siena Municipal Utility District No. 1, | ||||||||||||
2.250%, 09/01/2018(Insured by BAM) | 75,000 | 75,078 | ||||||||||
Texas Municipal Gas Acquisition & Supply Corp. I: | ||||||||||||
5.250%, 12/15/2018 | 145,000 | 147,158 | ||||||||||
5.250%, 12/15/2019 | 40,000 | 41,837 | ||||||||||
6.250%, 12/15/2026 | 335,000 | 389,943 | ||||||||||
Texas Municipal Gas Acquisition & Supply Corp. III: | ||||||||||||
5.000%, 12/15/2026(Callable 12/15/2022) | 190,000 | 207,788 | ||||||||||
5.000%, 12/15/2028(Callable 12/15/2022) | 575,000 | 625,312 | ||||||||||
Texas Municipal Power Agency, | ||||||||||||
5.000%, 09/01/2047(Callable 09/01/2020) | 500,000 | 527,420 | ||||||||||
Town of Providence Village TX, | ||||||||||||
4.000%, 03/01/2025(Insured by BAM) | 105,000 | 114,002 | ||||||||||
Viridian Municipal Management District, | ||||||||||||
6.000%, 12/01/2035(Callable 12/01/2024)(Insured by BAM) | 90,000 | 108,020 | ||||||||||
Washington County Junior College District, | ||||||||||||
5.000%, 10/01/2028(Callable 04/01/2026)(Insured by BAM) | 500,000 | 572,345 | ||||||||||
25,492,373 | 9.3 | % | ||||||||||
Utah | ||||||||||||
Salt Lake City Corp., | ||||||||||||
5.000%, 07/01/2030(Callable 07/01/2027) | 155,000 | 181,948 | ||||||||||
Timpanogos Special Service District: | ||||||||||||
4.000%, 06/01/2026(Callable 06/01/2024) | 450,000 | 483,282 | ||||||||||
4.000%, 06/01/2029(Callable 06/01/2024) | 40,000 | 42,530 | ||||||||||
Utah Charter School Finance Authority: | ||||||||||||
4.000%, 04/15/2019(Insured by UT CSCE) | 205,000 | 208,423 | ||||||||||
5.000%, 04/15/2027(Callable 04/15/2026)(Insured by UT CSCE) | 365,000 | 415,323 | ||||||||||
5.000%, 04/15/2028(Callable 04/15/2026)(Insured by UT CSCE) | 720,000 | 816,055 | ||||||||||
5.000%, 04/15/2037(Callable 04/15/2026)(Insured by UT CSCE) | 520,000 | 576,077 | ||||||||||
Utah Housing Corp.: | ||||||||||||
2.000%, 07/01/2021(Mandatory Tender Date 01/01/2021)(Insured by GNMA)(1) | 400,000 | 398,452 | ||||||||||
4.000%, 01/01/2045(Callable 01/01/2026)(Insured by FHA) | 410,000 | 428,958 | ||||||||||
Utah Transit Authority, | ||||||||||||
5.000%, 12/15/2029(Callable 06/15/2028) | 75,000 | 87,820 | ||||||||||
3,638,868 | 1.3 | % | ||||||||||
Vermont | ||||||||||||
Vermont Economic Development Authority, | ||||||||||||
2.000%, 07/01/2020(Callable 07/01/2019) | 650,000 | 637,007 | ||||||||||
Vermont Housing Finance Agency, | ||||||||||||
3.650%, 11/01/2032(Callable 11/01/2024) | 120,000 | 121,622 | ||||||||||
Vermont Public Power Supply Authority, | ||||||||||||
4.000%, 07/01/2020 | 335,000 | 347,502 | ||||||||||
1,106,131 | 0.4 | % | ||||||||||
Virgin Islands | ||||||||||||
Virgin Islands Public Finance Authority, | ||||||||||||
5.000%, 09/01/2020 | 400,000 | 417,544 | 0.2 | % | ||||||||
Virginia | ||||||||||||
City of Petersburg VA, | ||||||||||||
4.000%, 11/01/2025(Callable 11/01/2022)(Insured by ST) | 450,000 | 469,746 | 0.2 | % | ||||||||
Washington | ||||||||||||
Central Puget Sound Regional Transit Authority, | ||||||||||||
2.210%, 11/01/2045 (SIFMA Municipal Swap Index + 0.700%) (Callable 07/16/2018)(Mandatory Tender Date 11/01/2018)(2) | 250,000 | 250,000 | ||||||||||
City of Tacoma WA: | ||||||||||||
5.000%, 12/01/2026(Callable 06/01/2026) | 360,000 | 420,851 | ||||||||||
5.000%, 12/01/2027(Callable 06/01/2026) | 400,000 | 465,752 | ||||||||||
Energy Northwest, | ||||||||||||
5.000%, 07/01/2030(Callable 07/01/2028) | 750,000 | 896,587 | ||||||||||
Grays Harbor County Public Hospital District No. 1, | ||||||||||||
3.000%, 08/01/2019(Callable 12/01/2018) | 1,000,000 | 999,670 | ||||||||||
Lewis County School District No. 302, | ||||||||||||
5.000%, 12/01/2031(Callable 06/01/2025)(Insured by SCH BD GTY) | 235,000 | 270,621 | ||||||||||
State of Washington: | ||||||||||||
5.000%, 08/01/2029(Callable 08/01/2026) | 2,000,000 | 2,333,380 | ||||||||||
5.000%, 02/01/2038(Callable 02/01/2024) | 645,000 | 719,556 | ||||||||||
Washington Biomedical Research Properties 3.2, | ||||||||||||
5.000%, 01/01/2037(Callable 07/01/2025) | 100,000 | 113,140 | ||||||||||
Washington State Housing Finance Commission: | ||||||||||||
3.700%, 12/01/2033(Callable 06/01/2024) | 85,000 | 85,137 | ||||||||||
3.700%, 12/01/2034(Callable 06/01/2025) | 165,000 | 166,099 | ||||||||||
6,720,793 | 2.5 | % | ||||||||||
West Virginia | ||||||||||||
Morgantown Building Commission: | ||||||||||||
2.300%, 10/01/2018 | 245,000 | 245,059 | ||||||||||
2.400%, 10/01/2019(Callable 10/01/2018) | 255,000 | 255,066 | ||||||||||
500,125 | 0.2 | % | ||||||||||
Wisconsin | ||||||||||||
Public Finance Authority: | ||||||||||||
4.000%, 12/01/2020 | 650,000 | 657,585 | ||||||||||
3.000%, 11/15/2022(Callable 11/15/2018) | 750,000 | 751,635 | ||||||||||
Southeast Wisconsin Professional Baseball Park District, | ||||||||||||
0.000%, 12/15/2023(ETM)(Insured by NATL) | 25,000 | 22,035 | ||||||||||
State of Wisconsin, | ||||||||||||
5.000%, 05/01/2029(Pre-refunded to 05/01/2024) | 350,000 | 402,490 | ||||||||||
University of Wisconsin Hospitals & Clinics, | ||||||||||||
5.000%, 04/01/2038(Callable 04/01/2023) | 690,000 | 755,688 | ||||||||||
Village of Sussex WI Water System Revenue, | ||||||||||||
3.000%, 06/01/2023(Callable 06/01/2022) | 590,000 | 602,024 | ||||||||||
West Allis West Milwaukee School District, | ||||||||||||
3.000%, 04/01/2019 | 130,000 | 129,978 | ||||||||||
Wisconsin Center District: | ||||||||||||
5.250%, 12/15/2023(Insured by AGM) | 195,000 | 216,167 | ||||||||||
0.000%, 12/15/2027(Insured by NATL) | 20,000 | 14,927 | ||||||||||
5.250%, 12/15/2027(Insured by AGM) | 85,000 | 97,684 | ||||||||||
5.000%, 12/15/2028(Callable 06/15/2026) | 85,000 | 97,332 | ||||||||||
5.000%, 12/15/2030(Callable 12/15/2022) | 395,000 | 422,741 | ||||||||||
Wisconsin Health & Educational Facilities Authority: | ||||||||||||
4.000%, 09/15/2019 | 165,000 | 168,081 | ||||||||||
2.650%, 11/01/2020(Callable 11/01/2019) | 1,000,000 | 997,960 | ||||||||||
5.000%, 07/01/2023 | 165,000 | 181,406 | ||||||||||
5.000%, 07/01/2024 | 250,000 | 277,680 | ||||||||||
4.000%, 09/15/2025(Callable 09/15/2023) | 200,000 | 205,380 | ||||||||||
5.000%, 07/01/2026(Callable 07/01/2024) | 50,000 | 54,902 | ||||||||||
4.000%, 09/15/2026(Callable 09/15/2023) | 500,000 | 511,530 | ||||||||||
4.000%, 07/15/2028(Callable 07/15/2021) | 170,000 | 175,192 | ||||||||||
5.000%, 08/15/2028(Callable 08/15/2023) | 1,000,000 | 1,109,200 | ||||||||||
5.000%, 12/15/2030(Callable 12/15/2024) | 360,000 | 398,596 | ||||||||||
5.125%, 04/15/2031(Callable 04/15/2023) | 370,000 | 401,339 | ||||||||||
5.000%, 02/15/2032(Callable 02/15/2022) | 50,000 | 53,454 | ||||||||||
5.000%, 04/01/2032(Callable 10/01/2022) | 290,000 | 315,595 | ||||||||||
5.250%, 10/15/2039(Callable 10/15/2021) | 460,000 | 494,500 | ||||||||||
Wisconsin Housing & Economic Development Authority: | ||||||||||||
4.550%, 07/01/2037(Callable 07/01/2022) | 165,000 | 170,163 | ||||||||||
4.700%, 07/01/2047(Callable 07/01/2022) | 90,000 | 96,193 | ||||||||||
4.000%, 03/01/2048(Callable 03/01/2027)(Insured by FNMA) | 495,000 | 520,938 | ||||||||||
10,302,395 | 3.8 | % | ||||||||||
Total Municipal Bonds (Cost $272,881,599) | 272,774,795 | 99.4 | % | |||||||||
SHORT-TERM INVESTMENTS | Shares | |||||||||||
Money Market Mutual Fund | ||||||||||||
Fidelity Institutional Money Market Fund - Government Portfolio, Institutional Class 1.81%(4) | 2,785,950 | 2,785,950 | ||||||||||
Total Short-Term Investments (Cost $2,785,950) | 2,785,950 | 1.0 | % | |||||||||
Total Investments (Cost $275,667,549) | 275,560,745 | 100.4 | % | |||||||||
Liabilities in Excess of Other Assets | (1,026,192 | ) | (0.4 | )% | ||||||||
TOTAL NET ASSETS | $ | 274,534,553 | 100.0 | % |
Notes to Schedule of Investments | ||||||||
AGC | Assured Guaranty Corp. | |||||||
AGM | Assured Guaranty Municipal | |||||||
AMBAC | Ambac Assurance Corp. | |||||||
BAM | Build America Mutual Assurance Co. | |||||||
BHAC | Berkshire Hathaway Assurance Corp. | |||||||
FHA | Federal Housing Administration | |||||||
FNMA | Fannie Mae | |||||||
GNMA | Ginnie Mae | |||||||
MAC | Municipal Assurance Corp. | |||||||
NATL | National Public Finance Guarantee Corp. | |||||||
Q-SBLF | Qualified School Building Loan Fund | |||||||
SCH BD GTY | School Board Guaranty | |||||||
SD CRED PROG | State Credit Enhancement Program | |||||||
ST | State Aid Intercept/Withholding | |||||||
UT CSCE | Utah Charter School Finance Authority | |||||||
(1) | Variable rate security. The rate reported is the rate in effect as of June 30, 2018. | |||||||
(2) | Variable rate security based on a reference index and spread. The rate reported is the rate in effect as of June 30, 2018. | |||||||
(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 June 30, 2018, the value of these securities total $589,774, which represents 0.21% of total net assets. | |||||||
(4) | 7-Day Yield. | |||||||
(5) | 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. | |||||||
(6) | Security or a portion of the security purchased on a when-issued or delayed delivery basis. |
Baird Core Intermediate Municipal Bond Fund | ||||||||
Schedule of Investments, June 30, 2018 (Unaudited) | ||||||||
Summary of Fair Value Exposure at June 30, 2018 (Unaudited) | ||||||||
The Fund has adopted authoritative fair valuation accounting standards which establish a definition of fair value and set out a hierarchy for measuring fair value. These standards require additional disclosures about the various inputs and valuation techniques used to develop the measurements of fair value and a discussion on changes in valuation techniques and related inputs during the period. These standards define fair value as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. | ||||||||
The fair value hierarchy is organized into three levels based upon the assumptions (referred to as "inputs") used in pricing the asset or liability. These standards state that "observable inputs" reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from independent sources and "unobservable inputs" reflect an entity's own assumptions about the assumptions market participants would use in pricing the asset or liability. These inputs are summarized into three broad levels and described below: |
Level 1 - | Unadjusted quoted prices in active markets for identical unrestricted securities. | ||
Level 2 - | Other significant observable inputs (including quoted prices for similar securities, quoted prices in inactive markets, dealer indications, interest rates, yield curves, prepayment speeds, credit risk, default rates, inputs corroborated by observable market data, etc.). | ||
Level 3 - | Significant unobservable inputs (including the Fund's own assumptions about the factors that market participants would use in valuing the security) based on the best information available. |
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. | ||||||||
The following is a summary of the inputs used to value the Fund's investments as of June 30, 2018: |
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Long-Term Investments | ||||||||||||||||
Municipal Bonds | $ | – | $ | 272,774,795 | $ | – | $ | 272,774,795 | ||||||||
Total Long-Term Investments | – | 272,774,795 | – | 272,774,795 | ||||||||||||
Short-Term Investment | ||||||||||||||||
Money Market Mutual Fund | 2,785,950 | – | – | 2,785,950 | ||||||||||||
Total Short-Term Investment | 2,785,950 | – | – | 2,785,950 | ||||||||||||
Total Investments | $ | 2,785,950 | $ | 272,774,795 | $ | – | $ | 275,560,745 |
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. See the Fund's valuation policy in Note 2a to the financial statements. | ||||||||
(b) | Not Applicable. |
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable because the Registrant is not a closed-end management investment company.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable because the Registrant is not a closed-end management investment company.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not applicable because the Registrant is not a closed-end management investment company.
Item 10. Submission of Matters to a Vote of Security Holders.
There have been no material changes to the procedures by which shareholders may recommend nominees to the Registrant’s board of directors.
Item 11. Controls and Procedures.
(a) | The Registrant’s management, with the participation of its principal executive and principal financial officers, has evaluated the effectiveness of the Registrant's disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940 (the “Act”)), as of a date within 90 days prior to the filing date of this Form N-CSR, as required by Rule 30a-3(b) under the Act and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934. Based on such evaluation, the Registrant's principal executive and principal financial officers have concluded that the design and operation of the Registrant's disclosure controls and procedures are effective in providing reasonable assurance that the information required to be disclosed on Form N-CSR is recorded, processed, summarized and reported within the applicable time periods. |
(b) | There were no changes in the Registrant's internal control over financial reporting (as defined in Rule 30a-3(d) under the Act) that occurred during the second fiscal quarter of the period covered by this report that have materially affected, or are reasonably likely to materially affect, the Registrant's internal control over financial reporting. |
Item 12. 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 |
Incorporated by reference to the Registrant’s Form N-CSR filed on March 9, 2018.
(2) | A separate certification for each principal executive and principal financial officer 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. |
(4) | Changes in the Registrant’s independent public accountant. |
There was no change in the Registrant’s independent public accountant for the period covered by the report.
(b) | Certifications pursuant to Section 906 of the Sarbanes-Oxley Act of 2002. Furnished herewith. |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the Registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant) BAIRD FUNDS, INC.
By (Signature and Title) /s/Mary Ellen Stanek
Mary Ellen Stanek, President
Date September 7, 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 (Signature and Title) /s/Mary Ellen Stanek
Mary Ellen Stanek, President
Date September 7, 2018
By (Signature and Title) /s/Heidi Schneider
Heidi Schneider, Treasurer
Date September 7, 2018